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, 2020
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, 2020
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 | | | | | 19.70% | | | | | $ | 1,000.00 | | | | | $ | 1,196.97 | | | | | | 0.83% | | | | | $ | 4.60 | | |
Destinations Large Cap Equity Fund – Class Z | | | | | 19.69% | | | | | | 1,000.00 | | | | | | 1,196.89 | | | | | | 0.68% | | | | | | 3.77 | | |
Destinations Small-Mid Cap Equity Fund – Class I | | | | | 9.07% | | | | | | 1,000.00 | | | | | | 1,090.66 | | | | | | 1.12% | | | | | | 5.90 | | |
Destinations Small-Mid Cap Equity Fund – Class Z | | | | | 9.09% | | | | | | 1,000.00 | | | | | | 1,090.91 | | | | | | 0.98% | | | | | | 5.16 | | |
Destinations International Equity Fund – Class I | | | | | 17.43% | | | | | | 1,000.00 | | | | | | 1,174.34 | | | | | | 1.23% | | | | | | 6.74 | | |
Destinations International Equity Fund – Class Z | | | | | 17.55% | | | | | | 1,000.00 | | | | | | 1,175.46 | | | | | | 1.09% | | | | | | 5.98 | | |
Destinations Equity Income Fund – Class I | | | | | (0.53)% | | | | | | 1,000.00 | | | | | | 994.65 | | | | | | 0.92% | | | | | | 4.63 | | |
Destinations Equity Income Fund – Class Z | | | | | (0.50)% | | | | | | 1,000.00 | | | | | | 995.00 | | | | | | 0.77% | | | | | | 3.87 | | |
Destinations Real Assets Fund – Class I | | | | | (9.25)% | | | | | | 1,000.00 | | | | | | 907.47 | | | | | | 0.89% | | | | | | 4.28 | | |
Destinations Real Assets Fund – Class Z | | | | | (9.51)% | | | | | | 1,000.00 | | | | | | 904.94 | | | | | | 0.73% | | | | | | 3.51 | | |
Destinations Core Fixed Income Fund – Class I | | | | | 0.90% | | | | | | 1,000.00 | | | | | | 1,009.03 | | | | | | 0.78% | | | | | | 3.95 | | |
Destinations Core Fixed Income Fund – Class Z | | | | | 1.05% | | | | | | 1,000.00 | | | | | | 1,010.49 | | | | | | 0.63% | | | | | | 3.19 | | |
Destinations Low Duration Fixed Income Fund – Class I | | | | | (0.83)% | | | | | | 1,000.00 | | | | | | 991.67 | | | | | | 0.94% | | | | | | 4.72 | | |
Destinations Low Duration Fixed Income Fund – Class Z | | | | | (0.74)% | | | | | | 1,000.00 | | | | | | 992.55 | | | | | | 0.79% | | | | | | 3.97 | | |
Destinations Global Fixed Income Opportunities Fund – Class I | | | | | 0.03% | | | | | | 1,000.00 | | | | | | 1,000.34 | | | | | | 0.99% | | | | | | 4.99 | | |
Destinations Global Fixed Income Opportunities Fund – Class Z | | | | | 0.11% | | | | | | 1,000.00 | | | | | | 1,001.07 | | | | | | 0.84% | | | | | | 4.24 | | |
Destinations Municipal Fixed Income Fund – Class I | | | | | 0.11% | | | | | | 1,000.00 | | | | | | 1,001.10 | | | | | | 0.80% | | | | | | 4.04 | | |
Destinations Municipal Fixed Income Fund – Class Z | | | | | 0.09% | | | | | | 1,000.00 | | | | | | 1,000.90 | | | | | | 0.65% | | | | | | 3.28 | | |
Destinations Multi Strategy Alternatives Fund – Class I | | | | | 1.82% | | | | | | 1,000.00 | | | | | | 1,018.19 | | | | | | 1.42% | | | | | | 7.22 | | |
Destinations Multi Strategy Alternatives Fund – Class Z | | | | | 1.91% | | | | | | 1,000.00 | | | | | | 1,019.15 | | | | | | 1.27% | | | | | | 6.46 | | |
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 | | | | | | 1,021.78 | | | | | | 0.68% | | | | | | 3.47 | | |
Destinations Small-Mid Cap Equity Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,019.56 | | | | | | 1.12% | | | | | | 5.70 | | |
Destinations Small-Mid Cap Equity Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.27 | | | | | | 0.98% | | | | | | 4.99 | | |
Destinations International Equity Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,019.00 | | | | | | 1.23% | | | | | | 6.26 | | |
Destinations International Equity Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,019.71 | | | | | | 1.09% | | | | | | 5.55 | | |
Destinations Equity Income Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.57 | | | | | | 0.92% | | | | | | 4.69 | | |
Destinations Equity Income Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,021.32 | | | | | | 0.77% | | | | | | 3.92 | | |
Destinations Real Assets Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.72 | | | | | | 0.89% | | | | | | 4.53 | | |
Destinations Real Assets Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,021.53 | | | | | | 0.73% | | | | | | 3.72 | | |
Destinations Core Fixed Income Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,021.27 | | | | | | 0.78% | | | | | | 3.97 | | |
Destinations Core Fixed Income Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,022.03 | | | | | | 0.63% | | | | | | 3.21 | | |
Destinations Low Duration Fixed Income Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.47 | | | | | | 0.94% | | | | | | 4.79 | | |
Destinations Low Duration Fixed Income Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,021.22 | | | | | | 0.79% | | | | | | 4.02 | | |
Destinations Global Fixed Income Opportunities Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.21 | | | | | | 0.99% | | | | | | 5.04 | | |
Destinations Global Fixed Income Opportunities Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.97 | | | | | | 0.84% | | | | | | 4.28 | | |
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 | | | | | | 1,018.05 | | | | | | 1.42% | | | | | | 7.22 | | |
Destinations Multi Strategy Alternatives Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,018.80 | | | | | | 1.27% | | | | | | 6.46 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 98.7% | | ||||||||||||
| BASIC MATERIALS – 2.6% | | ||||||||||||
| Chemicals – 1.7% | | ||||||||||||
| | | 4,937 | | | | Air Products & Chemicals Inc. | | | | $ | 1,442,888 | | |
| | | 2,299 | | | | Albemarle Corp. | | | | | 209,232 | | |
| | | 83,856 | | | | Celanese Corp., Class A Shares | | | | | 8,482,034 | | |
| | | 440,979 | | | | CF Industries Holdings Inc. | | | | | 14,389,145 | | |
| | | 16,419 | | | | Dow Inc. | | | | | 740,825 | | |
| | | 366,012 | | | | DuPont de Nemours Inc. | | | | | 20,408,829 | | |
| | | 3,038 | | | | Eastman Chemical Co. | | | | | 222,108 | | |
| | | 5,507 | | | | Ecolab Inc. | | | | | 1,085,319 | | |
| | | 2,945 | | | | FMC Corp. | | | | | 314,703 | | |
| | | 2,427 | | | | International Flavors & Fragrances Inc. | | | | | 300,438 | | |
| | | 30,588 | | | | Linde PLC | | | | | 7,639,047 | | |
| | | 5,635 | | | | LyondellBasell Industries NV, Class A Shares | | | | | 368,980 | | |
| | | 7,708 | | | | Mosaic Co. | | | | | 140,517 | | |
| | | 5,200 | | | | PPG Industries Inc. | | | | | 626,080 | | |
| | | 30,932 | | | | Sherwin-Williams Co. | | | | | 20,756,919 | | |
| | | | | | | Total Chemicals | | | | | 77,127,064 | | |
| Forest Products & Paper – 0.2% | | ||||||||||||
| | | 232,236 | | | | International Paper Co. | | | | | 8,423,200 | | |
| Iron/Steel – 0.2% | | ||||||||||||
| | | 183,957 | | | | Nucor Corp. | | | | | 8,362,685 | | |
| Mining – 0.5% | | ||||||||||||
| | | 1,270,916 | | | | Freeport-McMoRan Inc. | | | | | 19,838,999 | | |
| | | 17,912 | | | | Newmont Corp. | | | | | 1,205,119 | | |
| | | | | | | Total Mining | | | | | 21,044,118 | | |
| | | | | | | TOTAL BASIC MATERIALS | | | | | 114,957,067 | | |
| COMMUNICATIONS – 18.5% | | ||||||||||||
| Advertising – 0.0% | | ||||||||||||
| | | 8,904 | | | | Interpublic Group of Cos., Inc. | | | | | 158,135 | | |
| | | 4,849 | | | | Omnicom Group Inc. | | | | | 262,282 | | |
| | | | | | | Total Advertising | | | | | 420,417 | | |
| Internet – 14.8% | | ||||||||||||
| | | 239,870 | | | | Alibaba Group Holding Ltd., ADR* | | | | | 68,849,886 | | |
| | | 34,385 | | | | Alphabet Inc., Class A Shares* | | | | | 56,031,389 | | |
| | | 22,141 | | | | Alphabet Inc., Class C Shares* | | | | | 36,182,379 | | |
| | | 58,150 | | | | Amazon.com Inc.* | | | | | 200,673,324 | | |
| | | 26,434 | | | | Booking Holdings Inc.* | | | | | 50,500,835 | | |
| | | 3,261 | | | | CDW Corp. | | | | | 370,613 | | |
| | | 4,969 | | | | E*TRADE Financial Corp. | | | | | 268,823 | | |
| | | 14,740 | | | | eBay Inc. | | | | | 807,457 | | |
| | | 3,043 | | | | Expedia Group Inc. | | | | | 298,671 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| COMMUNICATIONS – (continued) | | ||||||||||||
| Internet – (continued) | | ||||||||||||
| | | 1,332 | | | | F5 Networks Inc.* | | | | $ | 176,264 | | |
| | | 428,658 | | | | Facebook Inc., Class A Shares* | | | | | 125,682,526 | | |
| | | 8,313 | | | | IAC/InterActiveCorp* | | | | | 1,105,546 | | |
| | | 6,618 | | | | KE Holdings Inc., ADR* | | | | | 339,437 | | |
| | | 72,319 | | | | Match Group Inc.* | | | | | 8,076,586 | | |
| | | 54,678 | | | | Netflix Inc.* | | | | | 28,955,282 | | |
| | | 12,239 | | | | NortonLifeLock Inc. | | | | | 287,861 | | |
| | | 66,079 | | | | Proofpoint Inc.* | | | | | 7,246,884 | | |
| | | 82,100 | | | | Roku Inc., Class A Shares* | | | | | 14,242,708 | | |
| | | 329,844 | | | | Snap Inc., Class A Shares* | | | | | 7,451,176 | | |
| | | 27,937 | | | | Spotify Technology SA* | | | | | 7,882,704 | | |
| | | 121,700 | | | | Tencent Holdings Ltd. | | | | | 8,330,400 | | |
| | | 233,719 | | | | Twitter Inc.* | | | | | 9,484,317 | | |
| | | 364,537 | | | | Uber Technologies Inc.* | | | | | 12,259,379 | | |
| | | 41,843 | | | | VeriSign Inc.* | | | | | 8,987,876 | | |
| | | 5,100 | | | | Wix.com Ltd.* | | | | | 1,502,613 | | |
| | | | | | | Total Internet | | | | | 655,994,936 | | |
| Media – 1.5% | | ||||||||||||
| | | 3,363 | | | | Charter Communications Inc., Class A Shares* | | | | | 2,070,296 | | |
| | | 549,601 | | | | Comcast Corp., Class A Shares | | | | | 24,627,621 | | |
| | | 3,462 | | | | Discovery Inc., Class A Shares* | | | | | 76,389 | | |
| | | 6,953 | | | | Discovery Inc., Class C Shares* | | | | | 138,851 | | |
| | | 5,570 | | | | DISH Network Corp., Class A Shares* | | | | | 197,846 | | |
| | | 329,768 | | | | Fox Corp., Class A Shares | | | | | 9,187,337 | | |
| | | 3,763 | | | | Fox Corp., Class B Shares | | | | | 104,611 | | |
| | | 8,704 | | | | News Corp., Class A Shares | | | | | 131,605 | | |
| | | 2,410 | | | | News Corp., Class B Shares | | | | | 36,319 | | |
| | | 12,297 | | | | ViacomCBS Inc., Class B Shares | | | | | 342,471 | | |
| | | 193,778 | | | | Walt Disney Co. | | | | | 25,553,505 | | |
| | | | | | | Total Media | | | | | 62,466,851 | | |
| Telecommunications – 2.2% | | ||||||||||||
| | | 1,207 | | | | Arista Networks Inc.* | | | | | 269,704 | | |
| | | 699,111 | | | | AT&T Inc. | | | | | 20,840,499 | | |
| | | 22,026 | | | | CenturyLink Inc. | | | | | 236,780 | | |
| | | 651,541 | | | | Cisco Systems Inc. | | | | | 27,508,061 | | |
| | | 338,964 | | | | Corning Inc. | | | | | 11,002,771 | | |
| | | 7,145 | | | | Juniper Networks Inc. | | | | | 178,625 | | |
| | | 91,712 | | | | Motorola Solutions Inc. | | | | | 14,192,432 | | |
| | | 12,990 | | | | T-Mobile US Inc.* | | | | | 1,515,673 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| COMMUNICATIONS – (continued) | | ||||||||||||
| Telecommunications – (continued) | | ||||||||||||
| | | 392,148 | | | | Verizon Communications Inc. | | | | $ | 23,242,612 | | |
| | | | | | | Total Telecommunications | | | | | 98,987,157 | | |
| | | | | | | TOTAL COMMUNICATIONS | | | | | 817,869,361 | | |
| CONSUMER CYCLICAL – 7.2% | | ||||||||||||
| Airlines – 0.2% | | ||||||||||||
| | | 227,365 | | | | Alaska Air Group Inc. | | | | | 8,855,867 | | |
| | | 9,853 | | | | American Airlines Group Inc.(a) | | | | | 128,582 | | |
| | | 12,524 | | | | Delta Air Lines Inc. | | | | | 386,365 | | |
| | | 11,985 | | | | Southwest Airlines Co. | | | | | 450,396 | | |
| | | 5,653 | | | | United Airlines Holdings Inc.* | | | | | 203,508 | | |
| | | | | | | Total Airlines | | | | | 10,024,718 | | |
| Apparel – 1.2% | | ||||||||||||
| | | 7,828 | | | | Hanesbrands Inc. | | | | | 119,690 | | |
| | | 417,425 | | | | NIKE Inc., Class B Shares | | | | | 46,705,683 | | |
| | | 64,636 | | | | PVH Corp. | | | | | 3,604,103 | | |
| | | 1,062 | | | | Ralph Lauren Corp., Class A Shares | | | | | 73,097 | | |
| | | 6,295 | | | | Tapestry Inc. | | | | | 92,725 | | |
| | | 3,383 | | | | Under Armour Inc., Class A Shares* | | | | | 33,187 | | |
| | | 5,032 | | | | Under Armour Inc., Class C Shares* | | | | | 44,533 | | |
| | | 7,074 | | | | VF Corp. | | | | | 465,115 | | |
| | | | | | | Total Apparel | | | | | 51,138,133 | | |
| Auto Manufacturers – 0.8% | | ||||||||||||
| | | 66,812 | | | | Cummins Inc. | | | | | 13,846,787 | | |
| | | 41,344 | | | | Ferrari NV | | | | | 8,051,744 | | |
| | | 88,443 | | | | Ford Motor Co. | | | | | 603,181 | | |
| | | 435,324 | | | | General Motors Co. | | | | | 12,898,650 | | |
| | | 7,646 | | | | PACCAR Inc. | | | | | 656,333 | | |
| | | 26,068 | | | | XPeng Inc., ADR*(b)@ | | | | | 534,394 | | |
| | | | | | | Total Auto Manufacturers | | | | | 36,591,089 | | |
| Auto Parts & Equipment – 0.1% | | ||||||||||||
| | | 56,893 | | | | Aptiv PLC | | | | | 4,899,625 | | |
| | | 4,384 | | | | BorgWarner Inc. | | | | | 177,947 | | |
| | | | | | | Total Auto Parts & Equipment | | | | | 5,077,572 | | |
| Distribution/Wholesale – 0.0% | | ||||||||||||
| | | 4,564 | | | | Copart Inc.* | | | | | 471,552 | | |
| | | 12,959 | | | | Fastenal Co. | | | | | 633,177 | | |
| | | 6,739 | | | | LKQ Corp.* | | | | | 213,896 | | |
| | | 985 | | | | WW Grainger Inc. | | | | | 359,949 | | |
| | | | | | | Total Distribution/Wholesale | | | | | 1,678,574 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – (continued) | | ||||||||||||
| Entertainment – 0.3% | | ||||||||||||
| | | 69,971 | | | | DraftKings Inc., Class A Shares* | | | | $ | 2,474,175 | | |
| | | 165,611 | | | | Live Nation Entertainment Inc.* | | | | | 9,406,705 | | |
| | | | | | | Total Entertainment | | | | | 11,880,880 | | |
| Home Builders – 0.3% | | ||||||||||||
| | | 7,380 | | | | DR Horton Inc. | | | | | 526,711 | | |
| | | 147,179 | | | | Lennar Corp., Class A Shares | | | | | 11,011,933 | | |
| | | 78 | | | | NVR Inc.* | | | | | 325,130 | | |
| | | 5,653 | | | | PulteGroup Inc. | | | | | 252,067 | | |
| | | | | | | Total Home Builders | | | | | 12,115,841 | | |
| Home Furnishings – 0.1% | | ||||||||||||
| | | 73,563 | | | | Dolby Laboratories Inc., Class A Shares | | | | | 5,138,376 | | |
| | | 2,994 | | | | Leggett & Platt Inc. | | | | | 122,754 | | |
| | | 1,364 | | | | Whirlpool Corp. | | | | | 242,410 | | |
| | | | | | | Total Home Furnishings | | | | | 5,503,540 | | |
| Housewares – 0.0% | | ||||||||||||
| | | 8,594 | | | | Newell Brands Inc. | | | | | 137,332 | | |
| Leisure Time – 0.0% | | ||||||||||||
| | | 10,141 | | | | Carnival Corp. | | | | | 167,124 | | |
| | | 5,659 | | | | Norwegian Cruise Line Holdings Ltd.* | | | | | 96,825 | | |
| | | 3,789 | | | | Royal Caribbean Cruises Ltd. | | | | | 260,835 | | |
| | | | | | | Total Leisure Time | | | | | 524,784 | | |
| Lodging – 0.5% | | ||||||||||||
| | | 6,250 | | | | Hilton Worldwide Holdings Inc. | | | | | 564,750 | | |
| | | 256,563 | | | | Las Vegas Sands Corp. | | | | | 13,010,310 | | |
| | | 6,108 | | | | Marriott International Inc., Class A Shares | | | | | 628,574 | | |
| | | 10,642 | | | | MGM Resorts International | | | | | 239,445 | | |
| | | 78,778 | | | | Wynn Resorts Ltd. | | | | | 6,889,136 | | |
| | | | | | | Total Lodging | | | | | 21,332,215 | | |
| Retail – 3.7% | | ||||||||||||
| | | 1,542 | | | | Advance Auto Parts Inc. | | | | | 241,030 | | |
| | | 529 | | | | AutoZone Inc.* | | | | | 632,848 | | |
| | | 5,075 | | | | Best Buy Co., Inc. | | | | | 562,868 | | |
| | | 29,115 | | | | CarMax Inc.* | | | | | 3,113,267 | | |
| | | 39,077 | | | | Carvana Co., Class A Shares* | | | | | 8,439,069 | | |
| | | 6,350 | | | | Chipotle Mexican Grill Inc., Class A Shares* | | | | | 8,320,278 | | |
| | | 80,403 | | | | Costco Wholesale Corp. | | | | | 27,952,907 | | |
| | | 2,896 | | | | Darden Restaurants Inc. | | | | | 250,996 | | |
| | | 5,604 | | | | Dollar General Corp. | | | | | 1,131,335 | | |
| | | 205,159 | | | | Dollar Tree Inc.* | | | | | 19,750,657 | | |
| | | 21,020 | | | | Domino’s Pizza Inc. | | | | | 8,596,339 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – (continued) | | ||||||||||||
| Retail – (continued) | | ||||||||||||
| | | 4,300 | | | | Gap Inc. | | | | $ | 74,777 | | |
| | | 3,265 | | | | Genuine Parts Co. | | | | | 308,347 | | |
| | | 23,999 | | | | Home Depot Inc. | | | | | 6,840,675 | | |
| | | 3,398 | | | | Kohl’s Corp. | | | | | 72,581 | | |
| | | 5,247 | | | | L Brands Inc. | | | | | 154,262 | | |
| | | 183,110 | | | | Lowe’s Cos., Inc. | | | | | 30,156,386 | | |
| | | 21,798 | | | | Lululemon Athletica Inc.* | | | | | 8,188,855 | | |
| | | 16,583 | | | | McDonald’s Corp. | | | | | 3,540,802 | | |
| | | 1,652 | | | | O’Reilly Automotive Inc.* | | | | | 769,221 | | |
| | | 104,159 | | | | Ross Stores Inc. | | | | | 9,486,802 | | |
| | | 26,053 | | | | Starbucks Corp. | | | | | 2,200,697 | | |
| | | 11,161 | | | | Target Corp. | | | | | 1,687,655 | | |
| | | 2,477 | | | | Tiffany & Co. | | | | | 303,432 | | |
| | | 26,734 | | | | TJX Cos., Inc. | | | | | 1,464,756 | | |
| | | 2,530 | | | | Tractor Supply Co. | | | | | 376,540 | | |
| | | 1,265 | | | | Ulta Beauty Inc.* | | | | | 293,708 | | |
| | | 16,301 | | | | Walgreens Boots Alliance Inc. | | | | | 619,764 | | |
| | | 31,635 | | | | Walmart Inc. | | | | | 4,392,520 | | |
| | | 94,608 | | | | Yum! Brands Inc. | | | | | 9,068,177 | | |
| | | | | | | Total Retail | | | | | 158,991,551 | | |
| Textiles – 0.0% | | ||||||||||||
| | | 1,336 | | | | Mohawk Industries Inc.* | | | | | 123,353 | | |
| Toys/Games/Hobbies – 0.0% | | ||||||||||||
| | | 2,830 | | | | Hasbro Inc. | | | | | 223,400 | | |
| | | | | | | TOTAL CONSUMER CYCLICAL | | | | | 315,342,982 | | |
| CONSUMER NON-CYCLICAL – 25.4% | | ||||||||||||
| Agriculture – 1.4% | | ||||||||||||
| | | 231,218 | | | | Altria Group Inc. | | | | | 10,113,475 | | |
| | | 685,779 | | | | Archer-Daniels-Midland Co. | | | | | 30,695,468 | | |
| | | 251,647 | | | | Philip Morris International Inc. | | | | | 20,078,914 | | |
| | | | | | | Total Agriculture | | | | | 60,887,857 | | |
| Beverages – 0.8% | | ||||||||||||
| | | 117,744 | | | | Brown-Forman Corp., Class B Shares | | | | | 8,615,328 | | |
| | | 86,318 | | | | Coca-Cola Co. | | | | | 4,275,331 | | |
| | | 3,712 | | | | Constellation Brands Inc., Class A Shares | | | | | 684,790 | | |
| | | 221,136 | | | | Molson Coors Beverage Co., Class B Shares | | | | | 8,323,559 | | |
| | | 8,281 | | | | Monster Beverage Corp.* | | | | | 694,445 | | |
| | | 80,839 | | | | PepsiCo Inc. | | | | | 11,322,310 | | |
| | | | | | | Total Beverages | | | | | 33,915,763 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Biotechnology – 3.2% | | ||||||||||||
| | | 222,274 | | | | Alexion Pharmaceuticals Inc.* | | | | $ | 25,388,136 | | |
| | | 46,733 | | | | Amgen Inc. | | | | | 11,838,404 | | |
| | | 3,783 | | | | Argenx SE, ADR* | | | | | 874,894 | | |
| | | 51,437 | | | | Biogen Inc.* | | | | | 14,795,339 | | |
| | | 478 | | | | Bio-Rad Laboratories Inc., Class A Shares* | | | | | 243,106 | | |
| | | 16,682 | | | | Corteva Inc. | | | | | 476,271 | | |
| | | 241,657 | | | | Exact Sciences Corp.* | | | | | 18,194,356 | | |
| | | 146,372 | | | | Gilead Sciences Inc. | | | | | 9,770,331 | | |
| | | 69,042 | | | | Illumina Inc.* | | | | | 24,663,183 | | |
| | | 131,883 | | | | Incyte Corp.* | | | | | 12,706,927 | | |
| | | 2,252 | | | | Regeneron Pharmaceuticals Inc.* | | | | | 1,396,082 | | |
| | | 73,788 | | | | Vertex Pharmaceuticals Inc.* | | | | | 20,595,707 | | |
| | | | | | | Total Biotechnology | | | | | 140,942,736 | | |
| Commercial Services – 4.9% | | ||||||||||||
| | | 9,597 | | | | Automatic Data Processing Inc. | | | | | 1,334,847 | | |
| | | 24,690 | | | | Avalara Inc.* | | | | | 3,269,203 | | |
| | | 23,966 | | | | Cintas Corp. | | | | | 7,986,430 | | |
| | | 14,581 | | | | CoStar Group Inc.* | | | | | 12,373,437 | | |
| | | 76,913 | | | | Equifax Inc. | | | | | 12,942,150 | | |
| | | 1,866 | | | | FleetCor Technologies Inc.* | | | | | 469,206 | | |
| | | 2,007 | | | | Gartner Inc.* | | | | | 260,549 | | |
| | | 59,875 | | | | Global Payments Inc. | | | | | 10,575,122 | | |
| | | 545,282 | | | | H&R Block Inc. | | | | | 7,906,589 | | |
| | | 8,854 | | | | IHS Markit Ltd. | | | | | 707,612 | | |
| | | 17,237 | | | | MarketAxess Holdings Inc. | | | | | 8,376,148 | | |
| | | 3,589 | | | | Moody’s Corp. | | | | | 1,057,463 | | |
| | | 189,248 | | | | New Oriental Education & Technology Group Inc., ADR* | | | | | 27,749,434 | | |
| | | 7,921 | | | | Nielsen Holdings PLC | | | | | 121,033 | | |
| | | 320,993 | | | | PayPal Holdings Inc.* | | | | | 65,527,511 | | |
| | | 190,684 | | | | Quanta Services Inc. | | | | | 9,772,555 | | |
| | | 2,668 | | | | Robert Half International Inc. | | | | | 141,938 | | |
| | | 3,217 | | | | Rollins Inc. | | | | | 177,385 | | |
| | | 46,154 | | | | S&P Global Inc. | | | | | 16,911,749 | | |
| | | 121,599 | | | | Square Inc., Class A Shares* | | | | | 19,402,336 | | |
| | | 34,809 | | | | StoneCo Ltd., Class A Shares* | | | | | 1,775,259 | | |
| | | 89,705 | | | | TransUnion | | | | | 7,779,218 | | |
| | | 1,622 | | | | United Rentals Inc.* | | | | | 287,175 | | |
| | | 3,597 | | | | Verisk Analytics Inc., Class A Shares | | | | | 671,452 | | |
| | | | | | | Total Commercial Services | | | | | 217,575,801 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Cosmetics/Personal Care – 0.6% | | ||||||||||||
| | | 19,093 | | | | Colgate-Palmolive Co. | | | | $ | 1,513,311 | | |
| | | 7,894 | | | | Coty Inc., Class A Shares | | | | | 28,261 | | |
| | | 71,426 | | | | Estee Lauder Cos., Inc., Class A Shares | | | | | 15,836,573 | | |
| | | 55,303 | | | | Procter & Gamble Co. | | | | | 7,650,064 | | |
| | | | | | | Total Cosmetics/Personal Care | | | | | 25,028,209 | | |
| Food – 1.1% | | ||||||||||||
| | | 3,691 | | | | Campbell Soup Co. | | | | | 194,183 | | |
| | | 485,424 | | | | Conagra Brands Inc. | | | | | 18,620,865 | | |
| | | 13,637 | | | | General Mills Inc. | | | | | 872,086 | | |
| | | 3,277 | | | | Hershey Co. | | | | | 487,093 | | |
| | | 6,376 | | | | Hormel Foods Corp. | | | | | 325,048 | | |
| | | 2,574 | | | | JM Smucker Co. | | | | | 309,343 | | |
| | | 5,466 | | | | Kellogg Co. | | | | | 387,594 | | |
| | | 13,888 | | | | Kraft Heinz Co. | | | | | 486,636 | | |
| | | 17,293 | | | | Kroger Co. | | | | | 617,014 | | |
| | | 3,224 | | | | Lamb Weston Holdings Inc. | | | | | 202,628 | | |
| | | 2,781 | | | | McCormick & Co., Inc. | | | | | 573,442 | | |
| | | 478,266 | | | | Mondelez International Inc., Class A Shares | | | | | 27,940,300 | | |
| | | 11,226 | | | | Sysco Corp. | | | | | 675,132 | | |
| | | 6,477 | | | | Tyson Foods Inc., Class A Shares | | | | | 406,756 | | |
| | | | | | | Total Food | | | | | 52,098,120 | | |
| Healthcare-Products – 5.1% | | ||||||||||||
| | | 162,128 | | | | Abbott Laboratories | | | | | 17,748,152 | | |
| | | 94,787 | | | | ABIOMED Inc.* | | | | | 29,158,377 | | |
| | | 173,064 | | | | Alcon Inc.* | | | | | 9,887,661 | | |
| | | 101,174 | | | | Align Technology Inc.* | | | | | 30,046,655 | | |
| | | 11,251 | | | | Baxter International Inc. | | | | | 979,625 | | |
| | | 31,871 | | | | Boston Scientific Corp.* | | | | | 1,307,348 | | |
| | | 1,118 | | | | Cooper Cos., Inc. | | | | | 351,477 | | |
| | | 14,046 | | | | Danaher Corp. | | | | | 2,900,078 | | |
| | | 4,864 | | | | DENTSPLY SIRONA Inc. | | | | | 218,248 | | |
| | | 372,208 | | | | Edwards Lifesciences Corp.* | | | | | 31,950,335 | | |
| | | 3,275 | | | | Henry Schein Inc.* | | | | | 217,591 | | |
| | | 5,638 | | | | Hologic Inc.* | | | | | 336,701 | | |
| | | 71,601 | | | | IDEXX Laboratories Inc.* | | | | | 28,000,287 | | |
| | | 22,810 | | | | Intuitive Surgical Inc.* | | | | | 16,670,460 | | |
| | | 232,477 | | | | Medtronic PLC | | | | | 24,984,303 | | |
| | | 3,274 | | | | ResMed Inc. | | | | | 591,874 | | |
| | | 1,927 | | | | STERIS PLC | | | | | 307,626 | | |
| | | 56,400 | | | | Stryker Corp. | | | | | 11,176,224 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Healthcare-Products – (continued) | | ||||||||||||
| | | 1,013 | | | | Teleflex Inc. | | | | $ | 398,058 | | |
| | | 17,476 | | | | Thermo Fisher Scientific Inc. | | | | | 7,496,854 | | |
| | | 49,395 | | | | Varian Medical Systems Inc.* | | | | | 8,578,430 | | |
| | | 1,620 | | | | West Pharmaceutical Services Inc. | | | | | 460,015 | | |
| | | 4,551 | | | | Zimmer Biomet Holdings Inc. | | | | | 641,145 | | |
| | | | | | | Total Healthcare-Products | | | | | 224,407,524 | | |
| Healthcare-Services – 2.6% | | ||||||||||||
| | | 59,802 | | | | Anthem Inc. | | | | | 16,835,459 | | |
| | | 186,203 | | | | Centene Corp.* | | | | | 11,417,968 | | |
| | | 96,694 | | | | DaVita Inc.* | | | | | 8,389,171 | | |
| | | 58,334 | | | | HCA Healthcare Inc. | | | | | 7,917,090 | | |
| | | 29,067 | | | | Humana Inc. | | | | | 12,067,746 | | |
| | | 4,024 | | | | IQVIA Holdings Inc.* | | | | | 658,930 | | |
| | | 32,933 | | | | Laboratory Corp. of America Holdings* | | | | | 5,787,975 | | |
| | | 3,059 | | | | Quest Diagnostics Inc. | | | | | 340,283 | | |
| | | 166,554 | | | | UnitedHealth Group Inc. | | | | | 52,056,453 | | |
| | | 1,749 | | | | Universal Health Services Inc., Class B Shares | | | | | 193,002 | | |
| | | | | | | Total Healthcare-Services | | | ��� | | 115,664,077 | | |
| Household Products/Wares – 0.1% | | ||||||||||||
| | | 1,845 | | | | Avery Dennison Corp. | | | | | 212,895 | | |
| | | 5,499 | | | | Church & Dwight Co., Inc. | | | | | 526,969 | | |
| | | 2,759 | | | | Clorox Co. | | | | | 616,636 | | |
| | | 7,598 | | | | Kimberly-Clark Corp. | | | | | 1,198,660 | | |
| | | | | | | Total Household Products/Wares | | | | | 2,555,160 | | |
| Pharmaceuticals – 5.6% | | ||||||||||||
| | | 115,069 | | | | AbbVie Inc. | | | | | 11,020,158 | | |
| | | 3,387 | | | | AmerisourceBergen Corp., Class A Shares | | | | | 328,641 | | |
| | | 69,353 | | | | Becton Dickinson & Co. | | | | | 16,836,828 | | |
| | | 658,487 | | | | Bristol-Myers Squibb Co. | | | | | 40,957,891 | | |
| | | 317,696 | | | | Cardinal Health Inc. | | | | | 16,126,249 | | |
| | | 152,794 | | | | Cigna Corp. | | | | | 27,101,072 | | |
| | | 290,483 | | | | CVS Health Corp. | | | | | 18,044,804 | | |
| | | 2,060 | | | | DexCom Inc.* | | | | | 876,345 | | |
| | | 112,033 | | | | Eli Lilly & Co. | | | | | 16,624,577 | | |
| | | 46,554 | | | | Horizon Therapeutics PLC* | | | | | 3,497,136 | | |
| | | 180,441 | | | | Johnson & Johnson | | | | | 27,681,454 | | |
| | | 3,643 | | | | McKesson Corp. | | | | | 558,982 | | |
| | | 355,541 | | | | Merck & Co., Inc. | | | | | 30,316,981 | | |
| | | 11,287 | | | | Mylan NV* | | | | | 184,881 | | |
| | | 2,908 | | | | Perrigo Co. PLC | | | | | 152,088 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Pharmaceuticals – (continued) | | ||||||||||||
| | | 623,739 | | | | Pfizer Inc. | | | | $ | 23,571,097 | | |
| | | 101,448 | | | | Sarepta Therapeutics Inc.* | | | | | 14,854,016 | | |
| | | 10,598 | | | | Zoetis Inc., Class A Shares | | | | | 1,696,740 | | |
| | | | | | | Total Pharmaceuticals | | | | | 250,429,940 | | |
| | | | | | | TOTAL CONSUMER NON-CYCLICAL | | | | | 1,123,505,187 | | |
| ENERGY – 1.7% | | ||||||||||||
| Energy-Alternate Sources – 0.2% | | ||||||||||||
| | | 125,222 | | | | NextEra Energy Partners LP(a) | | | | | 7,553,391 | | |
| Oil & Gas – 1.5% | | ||||||||||||
| | | 8,466 | | | | Apache Corp. | | | | | 125,297 | | |
| | | 8,829 | | | | Cabot Oil & Gas Corp. | | | | | 167,486 | | |
| | | 41,668 | | | | Chevron Corp. | | | | | 3,497,195 | | |
| | | 4,304 | | | | Concho Resources Inc. | | | | | 223,722 | | |
| | | 561,854 | | | | ConocoPhillips | | | | | 21,288,648 | | |
| | | 8,546 | | | | Devon Energy Corp. | | | | | 92,895 | | |
| | | 3,320 | | | | Diamondback Energy Inc. | | | | | 129,347 | | |
| | | 13,212 | | | | EOG Resources Inc. | | | | | 599,032 | | |
| | | 94,341 | | | | Exxon Mobil Corp. | | | | | 3,767,980 | | |
| | | 209,024 | | | | Hess Corp. | | | | | 9,623,465 | | |
| | | 3,061 | | | | HollyFrontier Corp. | | | | | 73,066 | | |
| | | 18,498 | | | | Marathon Oil Corp. | | | | | 97,669 | | |
| | | 322,109 | | | | Marathon Petroleum Corp. | | | | | 11,421,985 | | |
| | | 10,187 | | | | Noble Energy Inc. | | | | | 101,361 | | |
| | | 20,559 | | | | Occidental Petroleum Corp. | | | | | 261,922 | | |
| | | 127,943 | | | | Phillips 66 | | | | | 7,480,827 | | |
| | | 56,119 | | | | Pioneer Natural Resources Co. | | | | | 5,832,448 | | |
| | | 9,088 | | | | Valero Energy Corp. | | | | | 477,938 | | |
| | | | | | | Total Oil & Gas | | | | | 65,262,283 | | |
| Oil & Gas Services – 0.0% | | ||||||||||||
| | | 14,696 | | | | Baker Hughes Co., Class A Shares | | | | | 209,859 | | |
| | | 19,897 | | | | Halliburton Co. | | | | | 321,933 | | |
| | | 8,319 | | | | National Oilwell Varco Inc. | | | | | 99,828 | | |
| | | 30,860 | | | | Schlumberger NV | | | | | 586,649 | | |
| | | 8,994 | | | | TechnipFMC PLC | | | | | 69,254 | | |
| | | | | | | Total Oil & Gas Services | | | | | 1,287,523 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| ENERGY – (continued) | | ||||||||||||
| Pipelines – 0.0% | | ||||||||||||
| | | 44,117 | | | | Kinder Morgan Inc. | | | | $ | 609,697 | | |
| | | 9,573 | | | | ONEOK Inc. | | | | | 263,066 | | |
| | | 27,287 | | | | Williams Cos., Inc. | | | | | 566,478 | | |
| | | | | | | Total Pipelines | | | | | 1,439,241 | | |
| | | | | | | TOTAL ENERGY | | | | | 75,542,438 | | |
| FINANCIAL – 11.7% | | ||||||||||||
| Banks – 3.4% | | ||||||||||||
| | | 174,250 | | | | Bank of America Corp. | | | | | 4,485,195 | | |
| | | 476,136 | | | | Bank of New York Mellon Corp. | | | | | 17,607,509 | | |
| | | 211,780 | | | | Citigroup Inc. | | | | | 10,826,194 | | |
| | | 9,293 | | | | Citizens Financial Group Inc. | | | | | 240,410 | | |
| | | 3,165 | | | | Comerica Inc. | | | | | 125,112 | | |
| | | 16,221 | | | | Fifth Third Bancorp | | | | | 335,126 | | |
| | | 3,784 | | | | First Republic Bank | | | | | 427,251 | | |
| | | 120,515 | | | | Goldman Sachs Group Inc. | | | | | 24,689,908 | | |
| | | 22,930 | | | | Huntington Bancshares Inc. | | | | | 215,771 | | |
| | | 350,317 | | | | JPMorgan Chase & Co. | | | | | 35,098,260 | | |
| | | 22,143 | | | | KeyCorp | | | | | 272,802 | | |
| | | 2,916 | | | | M&T Bank Corp. | | | | | 301,106 | | |
| | | 421,376 | | | | Morgan Stanley | | | | | 22,021,110 | | |
| | | 4,553 | | | | Northern Trust Corp. | | | | | 372,845 | | |
| | | 57,998 | | | | PNC Financial Services Group Inc. | | | | | 6,449,378 | | |
| | | 21,617 | | | | Regions Financial Corp. | | | | | 249,893 | | |
| | | 71,484 | | | | State Street Corp. | | | | | 4,867,346 | | |
| | | 1,160 | | | | SVB Financial Group* | | | | | 296,241 | | |
| | | 514,051 | | | | Truist Financial Corp. | | | | | 19,950,319 | | |
| | | 30,547 | | | | US Bancorp | | | | | 1,111,911 | | |
| | | 83,260 | | | | Wells Fargo & Co. | | | | | 2,010,729 | | |
| | | 3,826 | | | | Zions Bancorp N.A. | | | | | 123,044 | | |
| | | | | | | Total Banks | | | | | 152,077,460 | | |
| Diversified Financial Services – 3.7% | | ||||||||||||
| | | 14,744 | | | | American Express Co. | | | | | 1,497,843 | | |
| | | 2,699 | | | | Ameriprise Financial Inc. | | | | | 423,203 | | |
| | | 282,464 | | | | Ant International Co., Ltd., Class C Shares, Private Placement*(b)(c)@ | | | | | 1,982,897 | | |
| | | 3,449 | | | | BlackRock Inc., Class A Shares | | | | | 2,049,361 | | |
| | | 138,345 | | | | Capital One Financial Corp. | | | | | 9,549,955 | | |
| | | 25,519 | | | | Cboe Global Markets Inc. | | | | | 2,342,389 | | |
| | | 190,738 | | | | Charles Schwab Corp. | | | | | 6,776,921 | | |
| | | 8,005 | | | | CME Group Inc., Class A Shares | | | | | 1,407,839 | | |
| | | 6,994 | | | | Discover Financial Services | | | | | 371,242 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Diversified Financial Services – (continued) | | ||||||||||||
| | | 6,294 | | | | Franklin Resources Inc. | | | | $ | 132,552 | | |
| | | 12,222 | | | | Intercontinental Exchange Inc. | | | | | 1,298,343 | | |
| | | 8,175 | | | | Invesco Ltd. | | | | | 83,385 | | |
| | | 117,856 | | | | LPL Financial Holdings Inc. | | | | | 9,683,049 | | |
| | | 349 | | | | Maplebear Inc. d/b/a Instacart, Non-voting Shares*(b)(c)@ | | | | | 16,159 | | |
| | | 6,679 | | | | Maplebear Inc. d/b/a Instacart, Private Placement*(b)(c)@ | | | | | 309,238 | | |
| | | 123,757 | | | | Mastercard Inc., Class A Shares | | | | | 44,328,520 | | |
| | | 2,615 | | | | Nasdaq Inc. | | | | | 351,508 | | |
| | | 2,694 | | | | Raymond James Financial Inc. | | | | | 203,990 | | |
| | | 70,095 | | | | Rocket Cos., Inc., Class A Shares*(a) | | | | | 1,962,660 | | |
| | | 12,156 | | | | Synchrony Financial | | | | | 301,590 | | |
| | | 5,046 | | | | T Rowe Price Group Inc. | | | | | 702,454 | | |
| | | 29,342 | | | | Tradeweb Markets Inc., Class A Shares | | | | | 1,681,003 | | |
| | | 355,906 | | | | Visa Inc., Class A Shares | | | | | 75,448,513 | | |
| | | 9,095 | | | | Western Union Co. | | | | | 214,551 | | |
| | | 48,834 | | | | XP Inc., Class A Shares* | | | | | 2,411,911 | | |
| | | | | | | Total Diversified Financial Services | | | | | 165,531,076 | | |
| Equity Real Estate Investment Trusts (REITs) – 1.1% | | ||||||||||||
| | | 2,801 | | | | Alexandria Real Estate Equities Inc. | | | | | 471,632 | | |
| | | 9,887 | | | | American Tower Corp. | | | | | 2,463,346 | | |
| | | 3,357 | | | | Apartment Investment & Management Co., Class A Shares | | | | | 120,953 | | |
| | | 3,141 | | | | AvalonBay Communities Inc. | | | | | 496,466 | | |
| | | 3,277 | | | | Boston Properties Inc. | | | | | 284,673 | | |
| | | 9,286 | | | | Crown Castle International Corp. | | | | | 1,515,939 | | |
| | | 6,044 | | | | Digital Realty Trust Inc. | | | | | 940,749 | | |
| | | 8,395 | | | | Duke Realty Corp. | | | | | 323,627 | | |
| | | 1,974 | | | | Equinix Inc. | | | | | 1,559,026 | | |
| | | 298,475 | | | | Equity Residential | | | | | 16,848,914 | | |
| | | 1,491 | | | | Essex Property Trust Inc. | | | | | 322,816 | | |
| | | 2,920 | | | | Extra Space Storage Inc. | | | | | 311,126 | | |
| | | 1,517 | | | | Federal Realty Investment Trust | | | | | 120,207 | | |
| | | 12,343 | | | | Healthpeak Properties Inc. | | | | | 341,160 | | |
| | | 15,459 | | | | Host Hotels & Resorts Inc. | | | | | 173,605 | | |
| | | 6,257 | | | | Iron Mountain Inc. | | | | | 188,273 | | |
| | | 10,409 | | | | Kimco Realty Corp. | | | | | 124,804 | | |
| | | 2,588 | | | | Mid-America Apartment Communities Inc. | | | | | 303,107 | | |
| | | 16,470 | | | | Prologis Inc. | | | | | 1,677,634 | | |
| | | 3,315 | | | | Public Storage | | | | | 704,106 | | |
| | | 7,633 | | | | Realty Income Corp. | | | | | 473,475 | | |
| | | 3,534 | | | | Regency Centers Corp. | | | | | 140,335 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Equity Real Estate Investment Trusts (REITs) – (continued) | | ||||||||||||
| | | 2,470 | | | | SBA Communications Corp., Class A Shares | | | | $ | 755,993 | | |
| | | 6,784 | | | | Simon Property Group Inc. | | | | | 460,294 | | |
| | | 1,610 | | | | SL Green Realty Corp. | | | | | 75,284 | | |
| | | 6,610 | | | | UDR Inc. | | | | | 230,094 | | |
| | | 8,509 | | | | Ventas Inc. | | | | | 350,656 | | |
| | | 3,600 | | | | Vornado Realty Trust | | | | | 128,988 | | |
| | | 9,359 | | | | Welltower Inc. | | | | | 538,330 | | |
| | | 480,770 | | | | Weyerhaeuser Co. | | | | | 14,572,139 | | |
| | | | | | | Total Equity Real Estate Investment Trusts (REITs) | | | | | 47,017,751 | | |
| Insurance – 3.5% | | ||||||||||||
| | | 16,257 | | | | Aflac Inc. | | | | | 590,454 | | |
| | | 171,908 | | | | Allstate Corp. | | | | | 15,987,444 | | |
| | | 628,626 | | | | American International Group Inc. | | | | | 18,318,162 | | |
| | | 5,136 | | | | Aon PLC, Class A Shares | | | | | 1,027,149 | | |
| | | 4,195 | | | | Arthur J Gallagher & Co. | | | | | 441,733 | | |
| | | 108,020 | | | | Assurant Inc. | | | | | 13,130,911 | | |
| | | 178,351 | | | | Berkshire Hathaway Inc., Class B Shares* | | | | | 38,887,652 | | |
| | | 156,555 | | | | Chubb Ltd. | | | | | 19,569,375 | | |
| | | 3,409 | | | | Cincinnati Financial Corp. | | | | | 270,709 | | |
| | | 911 | | | | Everest Re Group Ltd. | | | | | 200,493 | | |
| | | 2,136 | | | | Globe Life Inc. | | | | | 176,177 | | |
| | | 8,140 | | | | Hartford Financial Services Group Inc. | | | | | 329,263 | | |
| | | 4,145 | | | | Lincoln National Corp. | | | | | 149,427 | | |
| | | 5,192 | | | | Loews Corp. | | | | | 186,185 | | |
| | | 171,798 | | | | Marsh & McLennan Cos., Inc. | | | | | 19,741,308 | | |
| | | 17,082 | | | | MetLife Inc. | | | | | 656,974 | | |
| | | 5,706 | | | | Principal Financial Group Inc. | | | | | 240,280 | | |
| | | 13,078 | | | | Progressive Corp. | | | | | 1,242,933 | | |
| | | 8,934 | | | | Prudential Financial Inc. | | | | | 605,457 | | |
| | | 5,580 | | | | Travelers Cos., Inc. | | | | | 647,503 | | |
| | | 4,281 | | | | Unum Group | | | | | 79,113 | | |
| | | 268,062 | | | | Voya Financial Inc. | | | | | 13,915,098 | | |
| | | 35,087 | | | | Willis Towers Watson PLC | | | | | 7,211,431 | | |
| | | 3,116 | | | | WR Berkley Corp. | | | | | 193,348 | | |
| | | | | | | Total Insurance | | | | | 153,798,579 | | |
| Real Estate – 0.0% | | ||||||||||||
| | | 7,655 | | | | CBRE Group Inc., Class A Shares* | | | | | 360,015 | | |
| Savings & Loans – 0.0% | | ||||||||||||
| | | 9,808 | | | | People’s United Financial Inc. | | | | | 103,769 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 518,888,650 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – 7.9% | | ||||||||||||
| Aerospace/Defense – 2.0% | | ||||||||||||
| | | 11,967 | | | | Boeing Co. | | | | $ | 2,056,170 | | |
| | | 58,329 | | | | General Dynamics Corp. | | | | | 8,711,436 | | |
| | | 8,719 | | | | Howmet Aerospace Inc. | | | | | 152,757 | | |
| | | 44,597 | | | | L3Harris Technologies Inc. | | | | | 8,060,462 | | |
| | | 26,527 | | | | Lockheed Martin Corp. | | | | | 10,352,427 | | |
| | | 101,268 | | | | Northrop Grumman Corp. | | | | | 34,695,429 | | |
| | | 305,517 | | | | Raytheon Technologies Corp. | | | | | 18,636,537 | | |
| | | 16,582 | | | | Teledyne Technologies Inc.* | | | | | 5,200,281 | | |
| | | 1,129 | | | | TransDigm Group Inc. | | | | | 564,127 | | |
| | | | | | | Total Aerospace/Defense | | | | | 88,429,626 | | |
| Building Materials – 0.9% | | ||||||||||||
| | | 394,685 | | | | Carrier Global Corp.* | | | | | 11,781,347 | | |
| | | 3,130 | | | | Fortune Brands Home & Security Inc. | | | | | 263,170 | | |
| | | 16,426 | | | | Johnson Controls International PLC | | | | | 669,031 | | |
| | | 212,414 | | | | Louisiana-Pacific Corp. | | | | | 6,996,917 | | |
| | | 1,413 | | | | Martin Marietta Materials Inc. | | | | | 286,655 | | |
| | | 6,007 | | | | Masco Corp. | | | | | 350,208 | | |
| | | 129,588 | | | | Vulcan Materials Co. | | | | | 15,550,560 | | |
| | | | | | | Total Building Materials | | | | | 35,897,888 | | |
| Electrical Components & Equipment – 0.0% | | ||||||||||||
| | | 5,080 | | | | AMETEK Inc. | | | | | 511,556 | | |
| | | 13,320 | | | | Emerson Electric Co. | | | | | 925,340 | | |
| | | | | | | Total Electrical Components & Equipment | | | | | 1,436,896 | | |
| Electronics – 0.7% | | ||||||||||||
| | | 6,837 | | | | Agilent Technologies Inc. | | | | | 686,572 | | |
| | | 2,036 | | | | Allegion PLC | | | | | 210,502 | | |
| | | 6,576 | | | | Amphenol Corp., Class A Shares | | | | | 722,045 | | |
| | | 218,883 | | | | FLIR Systems Inc. | | | | | 8,076,783 | | |
| | | 93,100 | | | | Fortive Corp. | | | | | 6,713,441 | | |
| | | 3,312 | | | | Garmin Ltd. | | | | | 343,156 | | |
| | | 15,662 | | | | Honeywell International Inc. | | | | | 2,592,844 | | |
| | | 4,133 | | | | Keysight Technologies Inc.* | | | | | 407,183 | | |
| | | 532 | | | | Mettler-Toledo International Inc.* | | | | | 516,455 | | |
| | | 2,524 | | | | PerkinElmer Inc. | | | | | 297,125 | | |
| | | 26,739 | | | | Roper Technologies Inc. | | | | | 11,422,633 | | |
| | | 7,316 | | | | TE Connectivity Ltd. | | | | | 706,726 | | |
| | | 1,402 | | | | Waters Corp.* | | | | | 303,197 | | |
| | | | | | | Total Electronics | | | | | 32,998,662 | | |
| Engineering & Construction – 0.0% | | ||||||||||||
| | | 2,917 | | | | Jacobs Engineering Group Inc. | | | | | 263,318 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Environmental Control – 0.0% | | ||||||||||||
| | | 3,717 | | | | Pentair PLC | | | | $ | 167,785 | | |
| | | 4,622 | | | | Republic Services Inc., Class A Shares | | | | | 428,552 | | |
| | | 8,595 | | | | Waste Management Inc. | | | | | 979,830 | | |
| | | | | | | Total Environmental Control | | | | | 1,576,167 | | |
| Hand/Machine Tools – 0.0% | | ||||||||||||
| | | 1,156 | | | | Snap-on Inc. | | | | | 171,400 | | |
| | | 3,461 | | | | Stanley Black & Decker Inc. | | | | | 558,259 | | |
| | | | | | | Total Hand/Machine Tools | | | | | 729,659 | | |
| Machinery-Construction & Mining – 0.5% | | ||||||||||||
| | | 151,571 | | | | Caterpillar Inc. | | | | | 21,570,069 | | |
| Machinery-Diversified – 0.5% | | ||||||||||||
| | | 6,981 | | | | Deere & Co. | | | | | 1,466,429 | | |
| | | 3,116 | | | | Dover Corp. | | | | | 342,261 | | |
| | | 2,783 | | | | Flowserve Corp. | | | | | 82,599 | | |
| | | 1,700 | | | | IDEX Corp. | | | | | 306,391 | | |
| | | 227,375 | | | | Ingersoll Rand Inc.* | | | | | 7,971,768 | | |
| | | 96,995 | | | | Otis Worldwide Corp. | | | | | 6,100,986 | | |
| | | 2,616 | | | | Rockwell Automation Inc. | | | | | 603,066 | | |
| | | 50,722 | | | | Westinghouse Air Brake Technologies Corp. | | | | | 3,375,549 | | |
| | | 4,085 | | | | Xylem Inc. | | | | | 327,535 | | |
| | | | | | | Total Machinery-Diversified | | | | | 20,576,584 | | |
| Miscellaneous Manufacturers – 1.6% | | ||||||||||||
| | | 12,831 | | | | 3M Co. | | | | | 2,091,710 | | |
| | | 166,869 | | | | AO Smith Corp. | | | | | 8,171,575 | | |
| | | 170,448 | | | | Eaton Corp. PLC | | | | | 17,402,741 | | |
| | | 195,378 | | | | General Electric Co. | | | | | 1,238,697 | | |
| | | 6,399 | | | | Illinois Tool Works Inc. | | | | | 1,264,122 | | |
| | | 26,392 | | | | Parker-Hannifin Corp. | | | | | 5,437,016 | | |
| | | 220,901 | | | | Textron Inc. | | | | | 8,710,126 | | |
| | | 239,132 | | | | Trane Technologies PLC | | | | | 28,310,837 | | |
| | | | | | | Total Miscellaneous Manufacturers | | | | | 72,626,824 | | |
| Packaging & Containers – 0.0% | | ||||||||||||
| | | 34,545 | | | | Amcor PLC | | | | | 382,068 | | |
| | | 7,338 | | | | Ball Corp. | | | | | 589,755 | | |
| | | 2,091 | | | | Packaging Corp. of America | | | | | 211,693 | | |
| | | 3,606 | | | | Sealed Air Corp. | | | | | 141,716 | | |
| | | 5,496 | | | | WestRock Co. | | | | | 166,694 | | |
| | | | | | | Total Packaging & Containers | | | | | 1,491,926 | | |
| Shipbuilding – 0.2% | | ||||||||||||
| | | 50,788 | | | | Huntington Ingalls Industries Inc. | | | | | 7,695,398 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Transportation – 1.5% | | ||||||||||||
| | | 3,042 | | | | CH Robinson Worldwide Inc. | | | | $ | 299,029 | | |
| | | 17,087 | | | | CSX Corp. | | | | | 1,306,472 | | |
| | | 3,777 | | | | Expeditors International of Washington Inc. | | | | | 333,849 | | |
| | | 94,784 | | | | FedEx Corp. | | | | | 20,837,315 | | |
| | | 22,833 | | | | JB Hunt Transport Services Inc. | | | | | 3,208,950 | | |
| | | 2,170 | | | | Kansas City Southern | | | | | 395,027 | | |
| | | 18,520 | | | | Norfolk Southern Corp. | | | | | 3,936,056 | | |
| | | 2,068 | | | | Old Dominion Freight Line Inc. | | | | | 418,108 | | |
| | | 116,248 | | | | Union Pacific Corp. | | | | | 22,370,765 | | |
| | | 66,743 | | | | United Parcel Service Inc., Class B Shares | | | | | 10,920,490 | | |
| | | | | | | Total Transportation | | | | | 64,026,061 | | |
| | | | | | | TOTAL INDUSTRIAL | | | | | 349,319,078 | | |
| TECHNOLOGY – 22.2% | | ||||||||||||
| Computers – 3.7% | | ||||||||||||
| | | 14,217 | | | | Accenture PLC, Class A Shares | | | | | 3,411,085 | | |
| | | 869,736 | | | | Apple Inc.* | | | | | 112,230,733 | | |
| | | 411,830 | | | | Cognizant Technology Solutions Corp., Class A Shares | | | | | 27,534,954 | | |
| | | 26,202 | | | | Crowdstrike Holdings Inc., Class A Shares* | | | | | 3,294,377 | | |
| | | 5,444 | | | | DXC Technology Co. | | | | | 108,771 | | |
| | | 2,947 | | | | Fortinet Inc.* | | | | | 389,019 | | |
| | | 29,071 | | | | Hewlett Packard Enterprise Co. | | | | | 281,117 | | |
| | | 32,339 | | | | HP Inc. | | | | | 632,227 | | |
| | | 63,412 | | | | International Business Machines Corp. | | | | | 7,819,334 | | |
| | | 91,522 | | | | Leidos Holdings Inc. | | | | | 8,281,826 | | |
| | | 4,767 | | | | NetApp Inc. | | | | | 225,908 | | |
| | | 4,988 | | | | Seagate Technology PLC | | | | | 239,374 | | |
| | | 6,767 | | | | Western Digital Corp. | | | | | 259,988 | | |
| | | | | | | Total Computers | | | | | 164,708,713 | | |
| Office/Business Equipment – 0.1% | | ||||||||||||
| | | 3,842 | | | | Xerox Holdings Corp. | | | | | 72,460 | | |
| | | 20,051 | | | | Zebra Technologies Corp., Class A Shares* | | | | | 5,745,213 | | |
| | | | | | | Total Office/Business Equipment | | | | | 5,817,673 | | |
| Semiconductors – 5.8% | | ||||||||||||
| | | 290,639 | | | | Advanced Micro Devices Inc.* | | | | | 26,395,834 | | |
| | | 8,158 | | | | Analog Devices Inc. | | | | | 953,507 | | |
| | | 517,202 | | | | Applied Materials Inc. | | | | | 31,859,643 | | |
| | | 28,089 | | | | ASML Holding NV, Class NY Registered Shares, ADR | | | | | 10,510,342 | | |
| | | 65,724 | | | | Broadcom Inc. | | | | | 22,816,087 | | |
| | | 546,183 | | | | Intel Corp. | | | | | 27,828,024 | | |
| | | 838 | | | | IPG Photonics Corp.* | | | | | 135,530 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| TECHNOLOGY – (continued) | | ||||||||||||
| Semiconductors – (continued) | | ||||||||||||
| | | 3,450 | | | | KLA Corp. | | | | $ | 707,733 | | |
| | | 3,239 | | | | Lam Research Corp. | | | | | 1,089,405 | | |
| | | 207,134 | | | | Marvell Technology Group Ltd. | | | | | 8,032,657 | | |
| | | 5,880 | | | | Maxim Integrated Products Inc. | | | | | 402,427 | | |
| | | 54,124 | | | | Microchip Technology Inc. | | | | | 5,937,403 | | |
| | | 107,037 | | | | Micron Technology Inc.* | | | | | 4,871,254 | | |
| | | 122,617 | | | | NVIDIA Corp. | | | | | 65,597,643 | | |
| | | 70,699 | | | | NXP Semiconductors NV | | | | | 8,891,106 | | |
| | | 63,625 | | | | Qorvo Inc.* | | | | | 8,161,179 | | |
| | | 187,884 | | | | QUALCOMM Inc. | | | | | 22,376,984 | | |
| | | 3,742 | | | | Skyworks Solutions Inc. | | | | | 542,029 | | |
| | | 61,100 | | | | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | | | | | 4,842,175 | | |
| | | 20,473 | | | | Texas Instruments Inc. | | | | | 2,910,237 | | |
| | | 5,487 | | | | Xilinx Inc. | | | | | 571,526 | | |
| | | | | | | Total Semiconductors | | | | | 255,432,725 | | |
| Software – 12.6% | | ||||||||||||
| | | 244,844 | | | | Activision Blizzard Inc. | | | | | 20,449,371 | | |
| | | 109,405 | | | | Adobe Inc.* | | | | | 56,167,433 | | |
| | | 3,566 | | | | Akamai Technologies Inc.* | | | | | 415,189 | | |
| | | 1,944 | | | | ANSYS Inc.* | | | | | 659,035 | | |
| | | 39,247 | | | | Autodesk Inc.* | | | | | 9,642,988 | | |
| | | 2,613 | | | | Broadridge Financial Solutions Inc. | | | | | 359,026 | | |
| | | 6,183 | | | | Cadence Design Systems Inc.* | | | | | 685,757 | | |
| | | 6,794 | | | | Cerner Corp. | | | | | 498,476 | | |
| | | 2,536 | | | | Citrix Systems Inc. | | | | | 368,227 | | |
| | | 53,200 | | | | Datadog Inc., Class A Shares* | | | | | 4,444,860 | | |
| | | 6,443 | | | | Electronic Arts Inc.* | | | | | 898,605 | | |
| | | 2,896 | | | | Epic Games Inc., Private Placement*(b)(c)@ | | | | | 1,665,200 | | |
| | | 122,622 | | | | Fidelity National Information Services Inc. | | | | | 18,497,529 | | |
| | | 125,080 | | | | Fiserv Inc.* | | | | | 12,455,466 | | |
| | | 151,625 | | | | Intuit Inc. | | | | | 52,369,759 | | |
| | | 1,738 | | | | Jack Henry & Associates Inc. | | | | | 287,500 | | |
| | | 557,234 | | | | Microsoft Corp. | | | | | 125,672,984 | | |
| | | 83,751 | | | | MSCI Inc., Class A Shares | | | | | 31,261,736 | | |
| | | 355,955 | | | | Oracle Corp. | | | | | 20,367,745 | | |
| | | 7,172 | | | | Paychex Inc. | | | | | 548,443 | | |
| | | 18,733 | | | | Paycom Software Inc.* | | | | | 5,609,784 | | |
| | | 290,650 | | | | salesforce.com Inc.* | | | | | 79,245,722 | | |
| | | 73,300 | | | | Sea Ltd., ADR* | | | | | 11,200,973 | | |
| | | 100,395 | | | | ServiceNow Inc.* | | | | | 48,392,398 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| TECHNOLOGY – (continued) | | ||||||||||||
| Software – (continued) | | ||||||||||||
| | | 81,310 | | | | Slack Technologies Inc., Class A Shares* | | | | $ | 2,670,220 | | |
| | | 1,898 | | | | Snowflake Inc., Class B Shares, Private Placement*(b)(c)@ | | | | | 73,585 | | |
| | | 187,029 | | | | Splunk Inc.* | | | | | 41,021,071 | | |
| | | 20,012 | | | | Stripe Inc., Class B Shares, Private Placement*(b)(c)@ | | | | | 313,988 | | |
| | | 3,341 | | | | Synopsys Inc.* | | | | | 739,363 | | |
| | | 2,509 | | | | Take-Two Interactive Software Inc.* | | | | | 429,516 | | |
| | | 20,830 | | | | Temenos AG, Class Registered Shares | | | | | 3,359,900 | | |
| | | 903 | | | | Tyler Technologies Inc.* | | | | | 311,815 | | |
| | | 18,259 | | | | Workday Inc., Class A Shares* | | | | | 4,376,865 | | |
| | | | | | | Total Software | | | | | 555,460,529 | | |
| | | | | | | TOTAL TECHNOLOGY | | | | | 981,419,640 | | |
| UTILITIES – 1.5% | | ||||||||||||
| Electric – 1.5% | | ||||||||||||
| | | 14,955 | | | | AES Corp. | | | | | 265,451 | | |
| | | 5,632 | | | | Alliant Energy Corp. | | | | | 304,973 | | |
| | | 5,423 | | | | Ameren Corp. | | | | | 429,014 | | |
| | | 11,183 | | | | American Electric Power Co., Inc. | | | | | 881,556 | | |
| | | 12,220 | | | | CenterPoint Energy Inc. | | | | | 245,255 | | |
| | | 6,264 | | | | CMS Energy Corp. | | | | | 378,909 | | |
| | | 7,530 | | | | Consolidated Edison Inc. | | | | | 537,190 | | |
| | | 18,729 | | | | Dominion Energy Inc. | | | | | 1,469,103 | | |
| | | 4,310 | | | | DTE Energy Co. | | | | | 511,468 | | |
| | | 16,408 | | | | Duke Energy Corp. | | | | | 1,318,219 | | |
| | | 291,174 | | | | Edison International | | | | | 15,280,812 | | |
| | | 4,429 | | | | Entergy Corp. | | | | | 439,091 | | |
| | | 5,144 | | | | Evergy Inc. | | | | | 273,764 | | |
| | | 7,416 | | | | Eversource Energy | | | | | 635,625 | | |
| | | 244,566 | | | | Exelon Corp. | | | | | 9,026,931 | | |
| | | 152,115 | | | | FirstEnergy Corp. | | | | | 4,348,968 | | |
| | | 10,925 | | | | NextEra Energy Inc. | | | | | 3,049,932 | | |
| | | 5,618 | | | | NRG Energy Inc. | | | | | 193,315 | | |
| | | 2,481 | | | | Pinnacle West Capital Corp. | | | | | 181,981 | | |
| | | 761,013 | | | | PPL Corp. | | | | | 21,026,789 | | |
| | | 11,126 | | | | Public Service Enterprise Group Inc. | | | | | 581,222 | | |
| | | 6,498 | | | | Sempra Energy | | | | | 803,478 | | |
| | | 23,586 | | | | Southern Co. | | | | | 1,230,718 | | |
| | | 6,952 | | | | WEC Energy Group Inc. | | | | | 654,044 | | |
| | | 11,708 | | | | Xcel Energy Inc. | | | | | 813,413 | | |
| | | | | | | Total Electric | | | | | 64,881,221 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| UTILITIES – (continued) | | ||||||||||||
| Gas – 0.0% | | ||||||||||||
| | | 2,757 | | | | Atmos Energy Corp. | | | | $ | 275,204 | | |
| | | 9,089 | | | | NiSource Inc. | | | | | 201,412 | | |
| | | | | | | Total Gas | | | | | 476,616 | | |
| Water – 0.0% | | ||||||||||||
| | | 4,084 | | | | American Water Works Co., Inc. | | | | | 577,233 | | |
| | | | | | | TOTAL UTILITIES | | | | | 65,935,070 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $3,115,131,870) | | | | | 4,362,779,473 | | |
| PREFERRED STOCKS – 0.2% | | ||||||||||||
| COMMUNICATIONS – 0.0% | | ||||||||||||
| Internet – 0.0% | | ||||||||||||
| | | 2,858 | | | | DoorDash Inc., Series G, Private Placement*(b)(c)@ | | | | | 656,000 | | |
| | | 1,463 | | | | DoorDash Inc., Series H, Private Placement*(b)(c)@ | | | | | 335,804 | | |
| | | | | | | Total Internet | | | | | 991,804 | | |
| | | | | | | TOTAL COMMUNICATIONS | | | | | 991,804 | | |
| CONSUMER CYCLICAL – 0.2% | | ||||||||||||
| Auto Manufacturers – 0.2% | | ||||||||||||
| | | 48,210 | | | | Aurora Innovation Inc., Series B, Private Placement*(b)(c)@ | | | | | 445,475 | | |
| | | 213,270 | | | | Rivian Automotive Inc., Series D, Private Placement*(b)(c)@ | | | | | 3,303,552 | | |
| | | 348,850 | | | | Rivian Automotive Inc., Series E, Private Placement*(b)(c)@ | | | | | 5,403,687 | | |
| | | 9,549 | | | | Waymo LLC, Series A2, Private Placement*(b)(c)@ | | | | | 819,946 | | |
| | | | | | | Total Auto Manufacturers | | | | | 9,972,660 | | |
| | | | | | | TOTAL CONSUMER CYCLICAL | | | | | 9,972,660 | | |
| FINANCIAL – 0.0% | | ||||||||||||
| Diversified Financial Services – 0.0% | | ||||||||||||
| | | 13,638 | | | | Maplebear Inc. d/b/a Instacart, Series G*(b)(c)@ | | | | | 655,877 | | |
| INDUSTRIAL – 0.0% | | ||||||||||||
| Electrical Components & Equipment – 0.0% | | ||||||||||||
| | | 48,400 | | | | GM Cruise Holdings LLC, Class F Shares, Private Placement*(b)(c)@ | | | | | 883,300 | | |
| TECHNOLOGY – 0.0% | | ||||||||||||
| Software – 0.0% | | ||||||||||||
| | | 15,057 | | | | Magic Leap Inc., Series D, Private Placement*(b)(c)@ | | | | | 81,308 | | |
| | | 51,900 | | | | Uipath Inc., Series D1, Private Placement*(b)(c)@ | | | | | 965,001 | | |
| | | 8,715 | | | | Uipath Inc., Series D2, Private Placement*(b)(c)@ | | | | | 162,042 | | |
| | | 1,878 | | | | Uipath Inc., Series E, Private Placement*(b)(c)@ | | | | | 34,919 | | |
| | | | | | | Total Software | | | | | 1,243,270 | | |
| | | | | | | TOTAL TECHNOLOGY | | | | | 1,243,270 | | |
| | | | | | | TOTAL PREFERRED STOCKS (Cost – $12,614,175) | | | | | 13,746,911 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $3,127,746,045) | | | | | 4,376,526,384 | | |
| Face Amount† | | | | ||||||||||
| SHORT-TERM INVESTMENTS – 1.1% | | ||||||||||||
| TIME DEPOSITS – 1.1% | | ||||||||||||
| | $ | 17,058,116 | | | | ANZ National Bank – London, 0.010% due 9/1/20 | | | | $ | 17,058,116 | | |
| | | 19,915CHF | | | | BNP Paribas SA – Paris, (1.430)% due 9/1/20 | | | | | 22,033 | | |
| | | | | | | Brown Brothers Harriman – Grand Cayman: | | | | | | | |
| | | 4 | | | | 0.010% due 9/1/20 | | | | | 4 | | |
| | | 4GBP | | | | 0.010% due 9/1/20 | | | | | 6 | | |
| | | 50,281CAD | | | | 0.030% due 9/1/20 | | | | | 38,553 | | |
| | | 151,249HKD | | | | 0.150% due 9/1/20 | | | | | 19,516 | | |
| | | 8,407,126 | | | | Citibank – New York, 0.010% due 9/1/20 | | | | | 8,407,126 | | |
| | | 16,634,389 | | | | JPMorgan Chase & Co. – New York, 0.010% due 9/1/20 | | | | | 16,634,389 | | |
| | | 6,698,809 | | | | Skandinaviska Enskilda Banken AB – Stockholm, 0.010% due 9/1/20 | | | | | 6,698,809 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $48,878,552) | | | | | 48,878,552 | | |
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 0.2% | | ||||||||||||
| MONEY MARKET FUND – 0.2% | | ||||||||||||
| | $ | 6,728,123 | | | | Federated Government Obligations Fund, Premier Class, 0.054%(d) (Cost – $6,728,123) | | | | | 6,728,123 | | |
| | | | | | | TOTAL INVESTMENTS – 100.2% (Cost – $3,183,352,720) | | | | | 4,432,133,059 | | |
| | | | | | | Liabilities in Excess of Other Assets – (0.2)% | | | | | (8,605,186) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 4,423,527,873 | | |
Security | | | Acquisition Date | | | Acquisition Cost | | | Market Value | | | Percent of Net Assets | | ||||||||||||
Ant International Co., Ltd., Class C Shares, Private Placement | | | | | 6/7/2018 | | | | | $ | 1,584,623 | | | | | $ | 1,982,897 | | | | | | 0.05% | | |
Aurora Innovation Inc., Series B, Private Placement | | | | | 3/1/2019 | | | | | | 445,475 | | | | | | 445,475 | | | | | | 0.01% | | |
DoorDash Inc., Series G, Private Placement | | | | | 11/12/2019 | | | | | | 542,154 | | | | | | 656,000 | | | | | | 0.01% | | |
DoorDash Inc., Series H, Private Placement | | | | | 6/17/2020 | | | | | | 335,804 | | | | | | 335,804 | | | | | | 0.01% | | |
Epic Games Inc., Private Placement | | | | | 6/18/2020 | | | | | | 1,665,200 | | | | | | 1,665,200 | | | | | | 0.04% | | |
GM Cruise Holdings LLC, Class F Shares, Private Placement | | | | | 5/7/2019 | | | | | | 883,300 | | | | | | 883,300 | | | | | | 0.02% | | |
Security | | | Acquisition Date | | | Acquisition Cost | | | Market Value | | | Percent of Net Assets | | ||||||||||||
Magic Leap Inc., Series D, Private Placement | | | | | 10/12/2017 | | | | | | 406,539 | | | | | | 81,308 | | | | | | 0.00%* | | |
Maplebear Inc. d/b/a Instacart, Non-voting Shares | | | | | 8/7/2020 | | | | | | 16,171 | | | | | | 16,159 | | | | | | 0.00%* | | |
Maplebear Inc. d/b/a Instacart, Private Placement | | | | | 8/7/2020 | | | | | | 309,464 | | | | | | 309,238 | | | | | | 0.01% | | |
Maplebear Inc. d/b/a Instacart, Series G | | | | | 7/2/2020 | | | | | | 655,877 | | | | | | 655,877 | | | | | | 0.01% | | |
Rivian Automotive Inc., Series D, Private Placement | | | | | 12/23/2019 | | | | | | 2,291,373 | | | | | | 3,303,552 | | | | | | 0.08% | | |
Rivian Automotive Inc., Series E, Private Placement | | | | | 7/10/2020 | | | | | | 5,403,687 | | | | | | 5,403,687 | | | | | | 0.12% | | |
Snowflake Inc., Class B Shares, Private Placement | | | | | 3/17/2020 | | | | | | 73,617 | | | | | | 73,585 | | | | | | 0.00%* | | |
Stripe Inc., Class B Shares, Private Placement | | | | | 12/17/2019 | | | | | | 313,988 | | | | | | 313,988 | | | | | | 0.01% | | |
Uipath Inc., Series D1, Private Placement | | | | | 4/26/2019 | | | | | | 680,784 | | | | | | 965,001 | | | | | | 0.02% | | |
Uipath Inc., Series D2, Private Placement | | | | | 4/26/2019 | | | | | | 114,317 | | | | | | 162,042 | | | | | | 0.00% | | |
Uipath Inc., Series E, Private Placement | | | | | 7/9/2020 | | | | | | 34,919 | | | | | | 34,919 | | | | | | 0.00%* | | |
Waymo LLC, Series A2, Private Placement | | | | | 5/8/2020 | | | | | | 819,946 | | | | | | 819,946 | | | | | | 0.02% | | |
XPeng Inc., ADR | | | | | 8/27/2020 | | | | | | 391,020 | | | | | | 534,394 | | | | | | 0.01% | | |
Total | | | | | | | | | | | | | | | | $ | 18,642,372 | | | | | | 0.42% | | |
|
| Consumer Non-cyclical | | | | | 25.3% | | |
| Technology | | | | | 22.2 | | |
| Communications | | | | | 18.5 | | |
| Financial | | | | | 11.7 | | |
| Industrial | | | | | 7.9 | | |
| Consumer Cyclical | | | | | 7.3 | | |
| Basic Materials | | | | | 2.6 | | |
| Energy | | | | | 1.7 | | |
| Utilities | | | | | 1.5 | | |
| Short-Term Investments | | | | | 1.1 | | |
| Money Market Fund | | | | | 0.2 | | |
| | | | | | 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 | | | | | 46 | | | | | | 9/20 | | | | | $ | 7,171,754 | | | | | $ | 8,047,700 | | | | | $ | 875,946 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 95.4% | | ||||||||||||
| BASIC MATERIALS – 3.5% | | ||||||||||||
| Chemicals – 3.2% | | ||||||||||||
| | | 26,083 | | | | Cabot Corp. | | | | $ | 965,332 | | |
| | | 78,800 | | | | Celanese Corp., Class A Shares | | | | | 7,970,620 | | |
| | | 29,944 | | | | Ingevity Corp.* | | | | | 1,681,954 | | |
| | | 21,282 | | | | Innospec Inc. | | | | | 1,589,553 | | |
| | | 100,532 | | | | Olin Corp. | | | | | 1,130,985 | | |
| | | 81,000 | | | | PPG Industries Inc. | | | | | 9,752,400 | | |
| | | 15,784 | | | | Rogers Corp.* | | | | | 1,788,485 | | |
| | | 18,352 | | | | Sensient Technologies Corp. | | | | | 1,013,397 | | |
| | | 125,429 | | | | Valvoline Inc. | | | | | 2,558,752 | | |
| | | 56,675 | | | | WR Grace & Co. | | | | | 2,307,239 | | |
| | | | | | | Total Chemicals | | | | | 30,758,717 | | |
| Mining – 0.3% | | ||||||||||||
| | | 53,246 | | | | Arconic Corp.* | | | | | 1,184,724 | | |
| | | 196,286 | | | | Livent Corp.* | | | | | 1,664,505 | | |
| | | | | | | Total Mining | | | | | 2,849,229 | | |
| | | | | | | TOTAL BASIC MATERIALS | | | | | 33,607,946 | | |
| COMMUNICATIONS – 5.7% | | ||||||||||||
| Internet – 3.1% | | ||||||||||||
| | | 25,963 | | | | Cardlytics Inc.* | | | | | 1,969,294 | | |
| | | 307,988 | | | | CarParts.com Inc.* | | | | | 4,327,231 | | |
| | | 308,510 | | | | ChannelAdvisor Corp.* | | | | | 5,189,138 | | |
| | | 24,901 | | | | Cogent Communications Holdings Inc. | | | | | 1,674,841 | | |
| | | 17,420 | | | | Fiverr International Ltd.* | | | | | 2,101,723 | | |
| | | 721,222 | | | | Limelight Networks Inc.* | | | | | 4,089,329 | | |
| | | 522,245 | | | | Magnite Inc.* | | | | | 3,838,501 | | |
| | | 67,459 | | | | Open Lending Corp., Class A Shares*(a) | | | | | 1,474,654 | | |
| | | 19,680 | | | | Overstock.com Inc.* | | | | | 1,722,000 | | |
| | | 179,348 | | | | Upwork Inc.* | | | | | 2,731,470 | | |
| | | | | | | Total Internet | | | | | 29,118,181 | | |
| Media – 0.3% | | ||||||||||||
| | | 29,621 | | | | Nexstar Media Group Inc., Class A Shares | | | | | 2,843,912 | | |
| Telecommunications – 2.3% | | ||||||||||||
| | | 125,000 | | | | Motorola Solutions Inc. | | | | | 19,343,750 | | |
| | | 225,724 | | | | Viavi Solutions Inc.* | | | | | 3,010,029 | | |
| | | | | | | Total Telecommunications | | | | | 22,353,779 | | |
| | | | | | | TOTAL COMMUNICATIONS | | | | | 54,315,872 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – 12.1% | | ||||||||||||
| Apparel – 0.7% | | ||||||||||||
| | | 23,425 | | | | Carter’s Inc. | | | | $ | 1,865,099 | | |
| | | 66,811 | | | | Crocs Inc.* | | | | | 2,666,427 | | |
| | | 22,181 | | | | Oxford Industries Inc. | | | ��� | | 1,098,625 | | |
| | | 37,061 | | | | Steven Madden Ltd. | | | | | 784,211 | | |
| | | | | | | Total Apparel | | | | | 6,414,362 | | |
| Auto Manufacturers – 0.1% | | ||||||||||||
| | | 49,394 | | | | GreenPower Motor Co., Inc.*(b) | | | | | 975,532 | | |
| Auto Parts & Equipment – 1.5% | | ||||||||||||
| | | 268,800 | | | | BorgWarner Inc. | | | | | 10,910,592 | | |
| | | 126,268 | | | | Shyft Group Inc. | | | | | 2,521,572 | | |
| | | 49,731 | | | | XPEL Inc.* | | | | | 1,238,302 | | |
| | | | | | | Total Auto Parts & Equipment | | | | | 14,670,466 | | |
| Entertainment – 0.5% | | ||||||||||||
| | | 119,188 | | | | GAN Ltd.*(a) | | | | | 2,449,313 | | |
| | | 85,079 | | | | Twin River Worldwide Holdings Inc. | | | | | 2,035,940 | | |
| | | | | | | Total Entertainment | | | | | 4,485,253 | | |
| Home Builders – 1.5% | | ||||||||||||
| | | 78,709 | | | | Century Communities Inc.* | | | | | 2,808,337 | | |
| | | 41,145 | | | | Installed Building Products Inc.* | | | | | 3,572,209 | | |
| | | 32,781 | | | | LGI Homes Inc.* | | | | | 3,666,883 | | |
| | | 68,716 | | | | Skyline Champion Corp.* | | | | | 1,961,155 | | |
| | | 34,245 | | | | Winnebago Industries Inc. | | | | | 1,848,545 | | |
| | | | | | | Total Home Builders | | | | | 13,857,129 | | |
| Home Furnishings – 1.0% | | ||||||||||||
| | | 115,500 | | | | Dolby Laboratories Inc., Class A Shares | | | | | 8,067,675 | | |
| | | 105,473 | | | | Purple Innovation Inc., Class A Shares* | | | | | 1,994,494 | | |
| | | | | | | Total Home Furnishings | | | | | 10,062,169 | | |
| Leisure Time – 2.6% | | ||||||||||||
| | | 95,351 | | | | Callaway Golf Co. | | | | | 1,989,022 | | |
| | | 119,367 | | | | Camping World Holdings Inc., Class A Shares | | | | | 3,468,805 | | |
| | | 48,665 | | | | Fox Factory Holding Corp.* | | | | | 4,905,919 | | |
| | | 65,300 | | | | Malibu Boats Inc., Class A Shares* | | | | | 3,385,805 | | |
| | | 240,477 | | | | Nautilus Inc.* | | | | | 2,849,652 | | |
| | | 75,354 | | | | OneWater Marine Inc., Class A Shares* | | | | | 2,153,617 | | |
| | | 309,444 | | | | Vista Outdoor Inc.* | | | | | 6,006,308 | | |
| | | | | | | Total Leisure Time | | | | | 24,759,128 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – (continued) | | ||||||||||||
| Retail – 4.2% | | ||||||||||||
| | | 30,500 | | | | Advance Auto Parts Inc. | | | | $ | 4,767,455 | | |
| | | 85,102 | | | | American Eagle Outfitters Inc. | | | | | 1,073,136 | | |
| | | 192,282 | | | | At Home Group Inc.* | | | | | 3,674,509 | | |
| | | 46,528 | | | | BJ’s Wholesale Club Holdings Inc.* | | | | | 2,066,308 | | |
| | | 88,787 | | | | BMC Stock Holdings Inc.* | | | | | 3,544,377 | | |
| | | 111,097 | | | | El Pollo Loco Holdings Inc.* | | | | | 1,985,303 | | |
| | | 24,226 | | | | Freshpet Inc.* | | | | | 2,752,074 | | |
| | | 288,816 | | | | GrowGeneration Corp.*(a) | | | | | 4,608,059 | | |
| | | 105,457 | | | | Lovesac Co.*(a) | | | | | 2,791,447 | | |
| | | 52,556 | | | | MarineMax Inc.* | | | | | 1,545,672 | | |
| | | 116,773 | | | | Sonic Automotive Inc., Class A Shares | | | | | 4,934,827 | | |
| | | 193,745 | | | | Sportsman’s Warehouse Holdings Inc.* | | | | | 3,040,828 | | |
| | | 17,989 | | | | Texas Roadhouse Inc., Class A Shares | | | | | 1,133,127 | | |
| | | 367,631 | | | | Waitr Holdings Inc.*(a) | | | | | 1,481,553 | | |
| | | | | | | Total Retail | | | | | 39,398,675 | | |
| | | | | | | TOTAL CONSUMER CYCLICAL | | | | | 114,622,714 | | |
| CONSUMER NON-CYCLICAL – 22.6% | | ||||||||||||
| Agriculture – 1.2% | | ||||||||||||
| | | 173,398 | | | | Darling Ingredients Inc.* | | | | | 5,543,534 | | |
| | | 21,662 | | | | Sanderson Farms Inc. | | | | | 2,533,588 | | |
| | | 96,141 | | | | Turning Point Brands Inc. | | | | | 2,778,475 | | |
| | | | | | | Total Agriculture | | | | | 10,855,597 | | |
| Beverages – 0.4% | | ||||||||||||
| | | 141,871 | | | | Celsius Holdings Inc.*(a) | | | | | 2,755,135 | | |
| | | 35,983 | | | | MGP Ingredients Inc. | | | | | 1,279,196 | | |
| | | | | | | Total Beverages | | | | | 4,034,331 | | |
| Biotechnology – 3.5% | | ||||||||||||
| | | 57,696 | | | | Apellis Pharmaceuticals Inc.* | | | | | 1,778,768 | | |
| | | 78,828 | | | | Applied Therapeutics Inc.* | | | | | 1,899,755 | | |
| | | 56,352 | | | | Black Diamond Therapeutics Inc.* | | | | | 1,621,247 | | |
| | | 90,132 | | | | Crinetics Pharmaceuticals Inc.* | | | | | 1,444,816 | | |
| | | 142,141 | | | | Gamida Cell Ltd.* | | | | | 619,735 | | |
| | | 94,035 | | | | Immunovant Inc.*(a) | | | | | 3,193,429 | | |
| | | 13,993 | | | | Mirati Therapeutics Inc.* | | | | | 2,090,134 | | |
| | | 76,330 | | | | NeoGenomics Inc.* | | | | | 2,973,053 | | |
| | | 73,640 | | | | Relay Therapeutics Inc.* | | | | | 2,959,592 | | |
| | | 97,485 | | | | SpringWorks Therapeutics Inc.* | | | | | 4,329,309 | | |
| | | 30,687 | | | | Turning Point Therapeutics Inc.* | | | | | 2,399,110 | | |
| | | 73,913 | | | | Twist Bioscience Corp.* | | | | | 5,168,736 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Biotechnology – (continued) | | ||||||||||||
| | | 68,405 | | | | Xenon Pharmaceuticals Inc.* | | | | $ | 831,121 | | |
| | | 55,709 | | | | Y-mAbs Therapeutics Inc.* | | | | | 2,397,158 | | |
| | | | | | | Total Biotechnology | | | | | 33,705,963 | | |
| Commercial Services – 2.0% | | ||||||||||||
| | | 107,064 | | | | Aspen Group Inc.*(a) | | | | | 1,368,278 | | |
| | | 44,000 | | | | Global Payments Inc. | | | | | 7,771,280 | | |
| | | 52,590 | | | | Huron Consulting Group Inc.* | | | | | 2,281,354 | | |
| | | 41,337 | | | | K12 Inc.* | | | | | 1,538,150 | | |
| | | 59,095 | | | | Kelly Services Inc., Class A Shares | | | | | 1,122,214 | | |
| | | 58,004 | | | | Korn Ferry | | | | | 1,769,122 | | |
| | | 63,780 | | | | Repay Holdings Corp., Class A Shares* | | | | | 1,613,634 | | |
| | | 174,892 | | | | Team Inc.* | | | | | 1,114,062 | | |
| | | 133,062 | | | | Universal Technical Institute Inc.* | | | | | 938,087 | | |
| | | | | | | Total Commercial Services | | | | | 19,516,181 | | |
| Cosmetics/Personal Care – 0.2% | | ||||||||||||
| | | 81,779 | | | | elf Beauty Inc.* | | | | | 1,597,144 | | |
| Food – 2.7% | | ||||||||||||
| | | 41,983 | | | | Cal-Maine Foods Inc.* | | | | | 1,620,124 | | |
| | | 72,978 | | | | Hain Celestial Group Inc.* | | | | | 2,392,949 | | |
| | | 27,000 | | | | Hershey Co. | | | | | 4,013,280 | | |
| | | 203,328 | | | | Hostess Brands Inc., Class A Shares* | | | | | 2,610,732 | | |
| | | 108,700 | | | | Kroger Co. | | | | | 3,878,416 | | |
| | | 134,700 | | | | Sysco Corp. | | | | | 8,100,858 | | |
| | | 80,543 | | | | TreeHouse Foods Inc.* | | | | | 3,448,046 | | |
| | | | | | | Total Food | | | | | 26,064,405 | | |
| Healthcare-Products – 6.9% | | ||||||||||||
| | | 299,250 | | | | Alphatec Holdings Inc.* | | | | | 1,792,507 | | |
| | | 63,360 | | | | Axonics Modulation Technologies Inc.*(a) | | | | | 2,677,594 | | |
| | | 80,415 | | | | Castle Biosciences Inc.* | | | | | 3,677,378 | | |
| | | 16,800 | | | | Cooper Cos., Inc. | | | | | 5,281,584 | | |
| | | 144,112 | | | | Envista Holdings Corp.* | | | | | 3,457,247 | | |
| | | 138,849 | | | | GenMark Diagnostics Inc.* | | | | | 1,800,872 | | |
| | | 20,799 | | | | Inari Medical Inc.* | | | | | 1,662,672 | | |
| | | 48,523 | | | | Inspire Medical Systems Inc.* | | | | | 5,796,072 | | |
| | | 51,879 | | | | Integra LifeSciences Holdings Corp.* | | | | | 2,479,297 | | |
| | | 92,143 | | | | Natera Inc.* | | | | | 5,870,431 | | |
| | | 34,739 | | | | NuVasive Inc.* | | | | | 1,810,944 | | |
| | | 96,248 | | | | OrthoPediatrics Corp.* | | | | | 4,850,899 | | |
| | | 88,109 | | | | Quanterix Corp.* | | | | | 3,136,680 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Healthcare-Products – (continued) | | ||||||||||||
| | | 144,770 | | | | SeaSpine Holdings Corp.* | | | | $ | 1,926,889 | | |
| | | 44,727 | | | | Tandem Diabetes Care Inc.* | | | | | 5,041,627 | | |
| | | 13,700 | | | | Teleflex Inc. | | | | | 5,383,415 | | |
| | | 57,800 | | | | Zimmer Biomet Holdings Inc. | | | | | 8,142,864 | | |
| | | | | | | Total Healthcare-Products | | | | | 64,788,972 | | |
| Healthcare-Services – 1.6% | | ||||||||||||
| | | 15,511 | | | | Fulgent Genetics Inc.* | | | | | 458,505 | | |
| | | 10,300 | | | | Humana Inc. | | | | | 4,276,251 | | |
| | | 69,900 | | | | Quest Diagnostics Inc. | | | | | 7,775,676 | | |
| | | 112,251 | | | | SI-BONE Inc.* | | | | | 2,449,317 | | |
| | | 44,637 | | | | Vapotherm Inc.* | | | | | 1,388,657 | | |
| | | | | | | Total Healthcare-Services | | | | | 16,348,406 | | |
| Household Products/Wares – 1.0% | | ||||||||||||
| | | 68,000 | | | | Avery Dennison Corp. | | | | | 7,846,520 | | |
| | | 28,525 | | | | Spectrum Brands Holdings Inc. | | | | | 1,700,090 | | |
| | | | | | | Total Household Products/Wares | | | | | 9,546,610 | | |
| Pharmaceuticals – 3.0% | | ||||||||||||
| | | 83,695 | | | | AdaptHealth Corp., Class A Shares* | | | | | 1,776,845 | | |
| | | 49,201 | | | | Aeglea BioTherapeutics Inc.* | | | | | 357,937 | | |
| | | 24,488 | | | | Axsome Therapeutics Inc.* | | | | | 1,795,215 | | |
| | | 292,599 | | | | Cytokinetics Inc.* | | | | | 7,010,672 | | |
| | | 27,457 | | | | Global Blood Therapeutics Inc.* | | | | | 1,723,750 | | |
| | | 113,418 | | | | Merus NV* | | | | | 1,368,955 | | |
| | | 51,580 | | | | MyoKardia Inc.* | | | | | 5,644,915 | | |
| | | 120,060 | | | | Odonate Therapeutics Inc.* | | | | | 1,938,969 | | |
| | | 77,143 | | | | Prestige Consumer Healthcare Inc.* | | | | | 2,810,319 | | |
| | | 110,145 | | | | Revance Therapeutics Inc.* | | | | | 3,219,538 | | |
| | | 76,889 | | | | scPharmaceuticals Inc.* | | | | | 658,170 | | |
| | | | | | | Total Pharmaceuticals | | | | | 28,305,285 | | |
| | | | | | | TOTAL CONSUMER NON-CYCLICAL | | | | | 214,762,894 | | |
| ENERGY – 2.0% | | ||||||||||||
| Energy-Alternate Sources – 1.0% | | ||||||||||||
| | | 223,849 | | | | Plug Power Inc.* | | | | | 2,905,560 | | |
| | | 167,261 | | | | Sunnova Energy International Inc.* | | | | | 3,967,431 | | |
| | | 93,119 | | | | TPI Composites Inc.* | | | | | 2,859,684 | | |
| | | | | | | Total Energy-Alternate Sources | | | | | 9,732,675 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| ENERGY – (continued) | | ||||||||||||
| Oil & Gas – 0.8% | | ||||||||||||
| | | 39,544 | | | | Murphy USA Inc.* | | | | $ | 5,332,904 | | |
| | | 122,342 | | | | Parsley Energy Inc., Class A Shares | | | | | 1,315,176 | | |
| | | 67,819 | | | | PDC Energy Inc.* | | | | | 1,026,780 | | |
| | | | | | | Total Oil & Gas | | | | | 7,674,860 | | |
| Oil & Gas Services – 0.2% | | ||||||||||||
| | | 31,599 | | | | DMC Global Inc. | | | | | 1,119,553 | | |
| | | 87,992 | | | | Select Energy Services Inc., Class A Shares* | | | | | 419,722 | | |
| | | | | | | Total Oil & Gas Services | | | | | 1,539,275 | | |
| | | | | | | TOTAL ENERGY | | | | | 18,946,810 | | |
| FINANCIAL – 16.9% | | ||||||||||||
| Banks – 3.7% | | ||||||||||||
| | | 122,145 | | | | Bank of NT Butterfield & Son Ltd. | | | | | 3,078,054 | | |
| | | 110,504 | | | | BankUnited Inc. | | | | | 2,583,584 | | |
| | | 422,708 | | | | First Horizon National Corp. | | | | | 4,036,861 | | |
| | | 382,788 | | | | FNB Corp. | | | | | 2,870,910 | | |
| | | 125,331 | | | | Live Oak Bancshares Inc. | | | | | 2,779,842 | | |
| | | 184,843 | | | | Pinnacle Financial Partners Inc. | | | | | 7,384,478 | | |
| | | 68,131 | | | | Triumph Bancorp Inc.* | | | | | 1,945,821 | | |
| | | 164,736 | | | | Umpqua Holdings Corp. | | | | | 1,858,222 | | |
| | | 99,391 | | | | Univest Financial Corp. | | | | | 1,599,201 | | |
| | | 49,159 | | | | Western Alliance Bancorp | | | | | 1,735,313 | | |
| | | 148,900 | | | | Zions Bancorp N.A. | | | | | 4,788,624 | | |
| | | | | | | Total Banks | | | | | 34,660,910 | | |
| Diversified Financial Services – 2.8% | | ||||||||||||
| | | 264,600 | | | | Capital One Financial Corp. | | | | | 18,265,338 | | |
| | | 20,573 | | | | Cohen & Steers Inc. | | | | | 1,244,667 | | |
| | | 67,513 | | | | I3 Verticals Inc., Class A Shares* | | | | | 1,882,938 | | |
| | | 230,700 | | | | Synchrony Financial | | | | | 5,723,667 | | |
| | | | | | | Total Diversified Financial Services | | | | | 27,116,610 | | |
| Equity Real Estate Investment Trusts (REITs) – 4.1% | | ||||||||||||
| | | 278,900 | | | | American Homes 4 Rent, Class A Shares | | | | | 7,987,696 | | |
| | | 113,180 | | | | Blackstone Mortgage Trust Inc., Class A Shares | | | | | 2,690,289 | | |
| | | 152,983 | | | | Columbia Property Trust Inc. | | | | | 1,805,199 | | |
| | | 102,053 | | | | Corporate Office Properties Trust | | | | | 2,514,586 | | |
| | | 89,268 | | | | Dynex Capital Inc. | | | | | 1,414,005 | | |
| | | 58,300 | | | | Federal Realty Investment Trust | | | | | 4,619,692 | | |
| | | 149,051 | | | | Lexington Realty Trust | | | | | 1,694,710 | | |
| | | 464,100 | | | | Medical Properties Trust Inc. | | | | | 8,622,978 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Equity Real Estate Investment Trusts (REITs) – (continued) | | ||||||||||||
| | | 22,700 | | | | SBA Communications Corp., Class A Shares | | | | $ | 6,947,789 | | |
| | | | | | | Total Equity Real Estate Investment Trusts (REITs) | | | | | 38,296,944 | | |
| Insurance – 5.6% | | ||||||||||||
| | | 180,273 | | | | BRP Group Inc., Class A Shares* | | | | | 4,959,310 | | |
| | | 38,563 | | | | Goosehead Insurance Inc., Class A Shares | | | | | 3,962,734 | | |
| | | 27,805 | | | | Hanover Insurance Group Inc. | | | | | 2,849,735 | | |
| | | 115,900 | | | | Hartford Financial Services Group Inc. | | | | | 4,688,155 | | |
| | | 69,965 | | | | James River Group Holdings Ltd. | | | | | 3,407,995 | | |
| | | 30,355 | | | | Kemper Corp. | | | | | 2,357,369 | | |
| | | 12,748 | | | | Kinsale Capital Group Inc. | | | | | 2,641,768 | | |
| | | 212,902 | | | | MGIC Investment Corp. | | | | | 1,952,311 | | |
| | | 79,831 | | | | NMI Holdings Inc., Class A Shares* | | | | | 1,369,102 | | |
| | | 51,389 | | | | Palomar Holdings Inc.* | | | | | 5,773,554 | | |
| | | 96,700 | | | | Progressive Corp. | | | | | 9,190,368 | | |
| | | 99,353 | | | | Trean Insurance Group Inc.* | | | | | 1,554,874 | | |
| | | 38,500 | | | | Willis Towers Watson PLC | | | | | 7,912,905 | | |
| | | | | | | Total Insurance | | | | | 52,620,180 | | |
| Investment Companies – 0.1% | | ||||||||||||
| | | 177,051 | | | | Grid Dynamics Holdings Inc.* | | | | | 1,313,718 | | |
| Private Equity – 0.3% | | ||||||||||||
| | | 255,752 | | | | Hercules Capital Inc. | | | | | 2,869,537 | | |
| Real Estate – 0.0% | | ||||||||||||
| | | 63,448 | | | | Newmark Group Inc., Class A Shares | | | | | 281,075 | | |
| Savings & Loans – 0.3% | | ||||||||||||
| | | 251,833 | | | | Sterling Bancorp | | | | | 2,938,891 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 160,097,865 | | |
| INDUSTRIAL – 18.2% | | ||||||||||||
| Aerospace/Defense – 1.2% | | ||||||||||||
| | | 36,413 | | | | Hexcel Corp. | | | | | 1,434,308 | | |
| | | 59,900 | | | | L3Harris Technologies Inc. | | | | | 10,826,326 | | |
| | | | | | | Total Aerospace/Defense | | | | | 12,260,634 | | |
| Building Materials – 1.7% | | ||||||||||||
| | | 261,300 | | | | Carrier Global Corp. | | | | | 7,799,805 | | |
| | | 51,022 | | | | Forterra Inc.* | | | | | 676,042 | | |
| | | 69,279 | | | | Griffon Corp. | | | | | 1,505,433 | | |
| | | 46,033 | | | | Masonite International Corp.* | | | | | 4,202,353 | | |
| | | 107,397 | | | | PGT Innovations Inc.* | | | | | 1,947,107 | | |
| | | | | | | Total Building Materials | | | | | 16,130,740 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Electrical Components & Equipment – 3.4% | | ||||||||||||
| | | 75,900 | | | | AMETEK Inc. | | | | $ | 7,643,130 | | |
| | | 22,092 | | | | Belden Inc. | | | | | 744,059 | | |
| | | 69,000 | | | | Emerson Electric Co. | | | | | 4,793,430 | | |
| | | 235,000 | | | | Energizer Holdings Inc. | | | | | 10,878,150 | | |
| | | 126,780 | | | | nLight Inc.* | | | | | 2,961,581 | | |
| | | 60,778 | | | | Vicor Corp.* | | | | | 5,289,509 | | |
| | | | | | | Total Electrical Components & Equipment | | | | | 32,309,859 | | |
| Electronics – 3.5% | | ||||||||||||
| | | 112,100 | | | | Agilent Technologies Inc. | | | | | 11,257,082 | | |
| | | 189,000 | | | | FLIR Systems Inc. | | | | | 6,974,100 | | |
| | | 27,300 | | | | Garmin Ltd. | | | ��� | | 2,828,553 | | |
| | | 30,300 | | | | Hubbell Inc., Class B Shares | | | | | 4,391,076 | | |
| | | 64,900 | | | | PerkinElmer Inc. | | | | | 7,640,028 | | |
| | | | | | | Total Electronics | | | | | 33,090,839 | | |
| Engineering & Construction – 0.6% | | ||||||||||||
| | | 17,627 | | | | EMCOR Group Inc. | | | | | 1,322,201 | | |
| | | 51,600 | | | | Jacobs Engineering Group Inc. | | | | | 4,657,932 | | |
| | | | | | | Total Engineering & Construction | | | | | 5,980,133 | | |
| Environmental Control – 1.6% | | ||||||||||||
| | | 26,451 | | | | Casella Waste Systems Inc., Class A Shares* | | | | | 1,485,225 | | |
| | | 41,889 | | | | Clean Harbors Inc.* | | | | | 2,559,418 | | |
| | | 115,260 | | | | Harsco Corp.* | | | | | 1,630,929 | | |
| | | 86,277 | | | | Montrose Environmental Group Inc.* | | | | | 2,432,149 | | |
| | | 71,000 | | | | Republic Services Inc., Class A Shares | | | | | 6,583,120 | | |
| | | | | | | Total Environmental Control | | | | | 14,690,841 | | |
| Hand/Machine Tools – 0.9% | | ||||||||||||
| | | 25,635 | | | | Regal Beloit Corp. | | | | | 2,534,276 | | |
| | | 38,500 | | | | Stanley Black & Decker Inc. | | | | | 6,210,050 | | |
| | | | | | | Total Hand/Machine Tools | | | | | 8,744,326 | | |
| Machinery-Construction & Mining – 0.6% | | ||||||||||||
| | | 174,184 | | | | Bloom Energy Corp., Class A Shares* | | | | | 2,727,721 | | |
| | | 54,751 | | | | BWX Technologies Inc. | | | | | 3,044,703 | | |
| | | | | | | Total Machinery-Construction & Mining | | | | | 5,772,424 | | |
| Machinery-Diversified – 2.6% | | ||||||||||||
| | | 58,867 | | | | Altra Industrial Motion Corp. | | | | | 2,298,756 | | |
| | | 30,634 | | | | Chart Industries Inc.* | | | | | 2,013,266 | | |
| | | 50,322 | | | | CIRCOR International Inc.* | | | | | 1,492,047 | | |
| | | 71,534 | | | | Ichor Holdings Ltd.* | | | | | 1,799,795 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Machinery-Diversified – (continued) | | ||||||||||||
| | | 26,200 | | | | IDEX Corp. | | | | $ | 4,722,026 | | |
| | | 27,600 | | | | Nordson Corp. | | | | | 5,147,124 | | |
| | | 102,400 | | | | Otis Worldwide Corp. | | | | | 6,440,960 | | |
| | | 24,606 | | | | SPX FLOW Inc.* | | | | | 1,069,869 | | |
| | | | | | | Total Machinery-Diversified | | | | | 24,983,843 | | |
| Miscellaneous Manufacturers – 1.1% | | ||||||||||||
| | | 73,702 | | | | Enerpac Tool Group Corp., Class A Shares | | | | | 1,533,002 | | |
| | | 32,798 | | | | EnPro Industries Inc. | | | | | 1,919,339 | | |
| | | 31,939 | | | | Hillenbrand Inc. | | | | | 1,012,786 | | |
| | | 54,541 | | | | ITT Inc. | | | | | 3,425,720 | | |
| | | 32,400 | | | | Standex International Corp. | | | | | 1,874,016 | | |
| | | | | | | Total Miscellaneous Manufacturers | | | | | 9,764,863 | | |
| Packaging & Containers – 0.4% | | ||||||||||||
| | | 120,521 | | | | O-I Glass Inc. | | | | | 1,311,268 | | |
| | | 46,032 | | | | Silgan Holdings Inc. | | | | | 1,751,978 | | |
| | | | | | | Total Packaging & Containers | | | | | 3,063,246 | | |
| Transportation – 0.6% | | ||||||||||||
| | | 47,322 | | | | ArcBest Corp. | | | | | 1,600,430 | | |
| | | 26,607 | | | | CryoPort Inc.* | | | | | 1,476,156 | | |
| | | 47,690 | | | | Echo Global Logistics Inc.* | | | | | 1,302,891 | | |
| | | 70,338 | | | | Marten Transport Ltd. | | | | | 1,277,338 | | |
| | | | | | | Total Transportation | | | | | 5,656,815 | | |
| | | | | | | TOTAL INDUSTRIAL | | | | | 172,448,563 | | |
| TECHNOLOGY – 11.6% | | ||||||||||||
| Computers – 1.5% | | ||||||||||||
| | | 14,697 | | | | CACI International Inc., Class A Shares* | | | | | 3,441,891 | | |
| | | 67,863 | | | | Endava PLC, ADR* | | | | | 3,697,855 | | |
| | | 47,861 | | | | ExlService Holdings Inc.* | | | | | 3,048,267 | | |
| | | 93,123 | | | | Virtusa Corp.* | | | | | 3,682,083 | | |
| | | | | | | Total Computers | | | | | 13,870,096 | | |
| Semiconductors – 6.1% | | ||||||||||||
| | | 66,871 | | | | FormFactor Inc.* | | | | | 1,747,339 | | |
| | | 29,473 | | | | Inphi Corp.* | | | | | 3,359,333 | | |
| | | 42,000 | | | | KLA Corp. | | | | | 8,615,880 | | |
| | | 81,348 | | | | MACOM Technology Solutions Holdings Inc.* | | | | | 2,898,429 | | |
| | | 173,000 | | | | Marvell Technology Group Ltd. | | | | | 6,708,940 | | |
| | | 50,600 | | | | NXP Semiconductors NV | | | | | 6,363,456 | | |
| | | 18,965 | | | | Semtech Corp.* | | | | | 1,112,297 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| TECHNOLOGY – (continued) | | ||||||||||||
| Semiconductors – (continued) | | ||||||||||||
| | | 119,617 | | | | SiTime Corp.* | | | | $ | 7,880,368 | | |
| | | 202,911 | | | | Ultra Clean Holdings Inc.* | | | | | 4,975,378 | | |
| | | 144,100 | | | | Xilinx Inc. | | | | | 15,009,456 | | |
| | | | | | | Total Semiconductors | | | | | 58,670,876 | | |
| Software – 4.0% | | ||||||||||||
| | | 39,936 | | | | Bandwidth Inc., Class A Shares* | | | | | 6,289,121 | | |
| | | 57,600 | | | | Citrix Systems Inc. | | | | | 8,363,520 | | |
| | | 145,644 | | | | Digital Turbine Inc.* | | | | | 3,523,128 | | |
| | | 66,662 | | | | Domo Inc., Class B Shares* | | | | | 2,714,477 | | |
| | | 13,482 | | | | Everbridge Inc.* | | | | | 2,003,560 | | |
| | | 18,252 | | | | Five9 Inc.* | | | | | 2,326,035 | | |
| | | 47,067 | | | | IBEX Ltd.* | | | | | 752,601 | | |
| | | 48,318 | | | | ManTech International Corp., Class A Shares | | | | | 3,616,602 | | |
| | | 49,344 | | | | Model N Inc.* | | | | | 1,940,206 | | |
| | | 61,920 | | | | Phreesia Inc.* | | | | | 1,952,957 | | |
| | | 25,130 | | | | Schrodinger Inc.* | | | | | 1,519,360 | | |
| | | 95,998 | | | | SVMK Inc.* | | | | | 2,389,390 | | |
| | | | | | | Total Software | | | | | 37,390,957 | | |
| | | | | | | TOTAL TECHNOLOGY | | | | | 109,931,929 | | |
| UTILITIES – 2.8% | | ||||||||||||
| Electric – 2.6% | | ||||||||||||
| | | 57,400 | | | | Ameren Corp. | | | | | 4,540,914 | | |
| | | 51,842 | | | | Ameresco Inc., Class A Shares* | | | | | 1,769,886 | | |
| | | 32,216 | | | | Black Hills Corp. | | | | | 1,806,673 | | |
| | | 77,900 | | | | CMS Energy Corp. | | | | | 4,712,171 | | |
| | | 30,686 | | | | Hawaiian Electric Industries Inc. | | | | | 1,062,043 | | |
| | | 33,608 | | | | IDACORP Inc. | | | | | 3,021,359 | | |
| | | 113,547 | | | | Portland General Electric Co. | | | | | 4,331,818 | | |
| | | 29,500 | | | | Sempra Energy | | | | | 3,647,675 | | |
| | | | | | | Total Electric | | | | | 24,892,539 | | |
| Gas – 0.2% | | ||||||||||||
| | | 36,605 | | | | Spire Inc. | | | | | 2,130,777 | | |
| | | | | | | TOTAL UTILITIES | | | | | 27,023,316 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $739,513,118) | | | | | 905,757,909 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| EXCHANGE TRADED FUNDS (ETFs) – 3.0% | | ||||||||||||
| | | 74,668 | | | | iShares Core S&P Mid-Cap | | | | $ | 14,378,817 | | |
| | | 194,033 | | | | iShares Core S&P Small-Cap | | | | | 14,352,621 | | |
| | | | | | | TOTAL EXCHANGE TRADED FUNDS (ETFs) (Cost – $29,413,546) | | | | | 28,731,438 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $768,926,664) | | | | | 934,489,347 | | |
| Face Amount | | | | | | | | ||||||
| SHORT-TERM INVESTMENTS – 1.5% | | ||||||||||||
| TIME DEPOSITS – 1.5% | | ||||||||||||
| | $ | 7,631,987 | | | | ANZ National Bank – London, 0.010% due 9/1/20 | | | | | 7,631,987 | | |
| | | 2,367,215 | | | | Citibank – New York, 0.010% due 9/1/20 | | | | | 2,367,215 | | |
| | | 3,812,659 | | | | JPMorgan Chase & Co. – New York, 0.010% due 9/1/20 | | | | | 3,812,659 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $13,811,861) | | | | | 13,811,861 | | |
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 1.6% | | ||||||||||||
| MONEY MARKET FUND – 1.6% | | ||||||||||||
| | | 15,585,626 | | | | Federated Government Obligations Fund, Premier Class, 0.054%(c) (Cost – $15,585,626) | | | | | 15,585,626 | | |
| | | | | | | TOTAL INVESTMENTS – 101.5% (Cost – $798,324,151) | | | | | 963,886,834 | | |
| | | | | | | Liabilities in Excess of Other Assets – (1.5)% | | | | | (14,169,895) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 949,716,939 | | |
| Consumer Non-cyclical | | | | | 22.3% | | |
| Industrial | | | | | 17.9 | | |
| Financial | | | | | 16.6 | | |
| Consumer Cyclical | | | | | 11.9 | | |
| Technology | | | | | 11.4 | | |
| Communications | | | | | 5.6 | | |
| Basic Materials | | | | | 3.5 | | |
| Utilities | | | | | 2.8 | | |
| Energy | | | | | 2.0 | | |
| Exchange Traded Funds (ETFs) | | | | | 3.0 | | |
| Short-Term Investments | | | | | 1.4 | | |
| Money Market Fund | | | | | 1.6 | | |
| | | | | | 100.0% | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 94.1% | | ||||||||||||
| Australia – 1.0% | | ||||||||||||
| | | 177,488 | | | | Appen Ltd. | | | | $ | 4,501,615 | | |
| | | 774,413 | | | | Elmo Software Ltd.*(a) | | | | | 3,270,938 | | |
| | | 969,811 | | | | Nanosonics Ltd.*(a) | | | | | 4,314,676 | | |
| | | 305,250 | | | | Pro Medicus Ltd. | | | | | 5,810,744 | | |
| | | 1,228,595 | | | | South32 Ltd. | | | | | 1,869,283 | | |
| | | 228,953 | | | | Treasury Wine Estates Ltd. | | | | | 1,544,582 | | |
| | | | | | | Total Australia | | | | | 21,311,838 | | |
| Austria – 0.2% | | ||||||||||||
| | | 169,957 | | | | Erste Group Bank AG* | | | | | 4,129,648 | | |
| Belgium – 0.1% | | ||||||||||||
| | | 16,379 | | | | Galapagos NV* | | | | | 2,224,688 | | |
| Bermuda – 0.4% | | ||||||||||||
| | | 194,018 | | | | Golar LNG Ltd.* | | | | | 2,008,086 | | |
| | | 494,716 | | | | Hiscox Ltd.* | | | | | 5,267,551 | | |
| | | | | | | Total Bermuda | | | | | 7,275,637 | | |
| Brazil – 1.9% | | ||||||||||||
| | | 96,026 | | | | Afya Ltd., Class A Shares* | | | | | 2,455,385 | | |
| | | 317,908 | | | | B3 SA – Brasil Bolsa Balcao | | | | | 3,411,316 | | |
| | | 443,596 | | | | Localiza Rent a Car SA | | | | | 3,904,344 | | |
| | | 368,794 | | | | Notre Dame Intermedica Participacoes SA | | | | | 4,987,068 | | |
| | | 146,110 | | | | Pagseguro Digital Ltd., Class A Shares* | | | | | 6,157,076 | | |
| | | 771,851 | | | | Rumo SA* | | | | | 3,183,355 | | |
| | | 140,005 | | | | StoneCo Ltd., Class A Shares* | | | | | 7,140,255 | | |
| | | 111,710 | | | | Suzano SA* | | | | | 1,023,385 | | |
| | | 132,154 | | | | XP Inc., Class A Shares* | | | | | 6,527,086 | | |
| | | | | | | Total Brazil | | | | | 38,789,270 | | |
| Canada – 1.5% | | ||||||||||||
| | | 43,725 | | | | Agnico Eagle Mines Ltd. | | | | | 3,605,418 | | |
| | | 30,065 | | | | Descartes Systems Group Inc.* | | | | | 1,834,744 | | |
| | | 82,032 | | | | Equitable Group Inc.(a) | | | | | 4,861,412 | | |
| | | 58,274 | | | | Franco-Nevada Corp. | | | | | 8,765,228 | | |
| | | 3,423 | | | | Lightspeed POS Inc.* | | | | | 118,894 | | |
| | | 104,955 | | | | Magna International Inc. | | | | | 5,101,863 | | |
| | | 732,769 | | | | Seven Generations Energy Ltd., Class A Shares* | | | | | 2,314,836 | | |
| | | 42,800 | | | | TMX Group Ltd. | | | | | 4,499,874 | | |
| | | | | | | Total Canada | | | | | 31,102,269 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| China – 11.4% | | ||||||||||||
| | | 65,903 | | | | 58.com Inc., ADR* | | | | $ | 3,648,390 | | |
| | | 3,178,000 | | | | AK Medical Holdings Ltd.(a) | | | | | 8,087,798 | | |
| | | 156,696 | | | | Alibaba Group Holding Ltd., ADR* | | | | | 44,976,453 | | |
| | | 36,448 | | | | Baidu Inc., ADR* | | | | | 4,540,327 | | |
| | | 426,421 | | | | Beijing Oriental Yuhong Waterproof Technology Co., Ltd., Class A Shares(b) | | | | | 3,714,215 | | |
| | | 651,200 | | | | BTG Hotels Group Co., Ltd., Class A Shares(b) | | | | | 1,828,312 | | |
| | | 1,369,463 | | | | China Conch Venture Holdings Ltd. | | | | | 5,922,475 | | |
| | | 291,939 | | | | China Literature Ltd.*(a)(c) | | | | | 1,798,487 | | |
| | | 1,712,311 | | | | China Mengniu Dairy Co., Ltd.* | | | | | 8,380,269 | | |
| | | 200,691 | | | | China Tourism Group Duty Free Corp., Ltd, Class A Shares(b) | | | | | 6,083,448 | | |
| | | 73,428 | | | | GDS Holdings Ltd., ADR*(a) | | | | | 5,943,262 | | |
| | | 454,025 | | | | Glodon Co., Ltd., Class A Shares(b) | | | | | 4,610,881 | | |
| | | 626,000 | | | | Gree Electric Appliances Inc. of Zhuhai, Class A Shares(b) | | | | | 4,968,733 | | |
| | | 927,853 | | | | Hangzhou Hikvision Digital Technology Co., Ltd., Class A Shares(b) | | | | | 5,059,094 | | |
| | | 180,585 | | | | Hangzhou Tigermed Consulting Co., Ltd., Class A Shares(b) | | | | | 2,948,454 | | |
| | | 486,231 | | | | Han’s Laser Technology Industry Group Co., Ltd., Class A Shares(b) | | | | | 2,631,161 | | |
| | | 916,877 | | | | Hua Hong Semiconductor Ltd.*(a)(c) | | | | | 3,293,775 | | |
| | | 1,326 | | | | KE Holdings Inc., ADR* | | | | | 68,011 | | |
| | | 1,649,407 | | | | Kingdee International Software Group Co., Ltd.* | | | | | 4,208,802 | | |
| | | 936,553 | | | | Kingsoft Corp., Ltd | | | | | 5,004,452 | | |
| | | 19,865 | | | | Kweichow Moutai Co., Ltd., Class A Shares(b) | | | | | 5,172,077 | | |
| | | 168,744 | | | | LexinFintech Holdings Ltd., ADR* | | | | | 1,317,891 | | |
| | | 113,769 | | | | Li Auto Inc., ADR* | | | | | 1,854,435 | | |
| | | 169,106 | | | | Meituan Dianping, Class B Shares* | | | | | 5,558,144 | | |
| | | 545,662 | | | | Midea Group Co., Ltd., Class A Shares(b) | | | | | 5,610,754 | | |
| | | 25,419 | | | | New Oriental Education & Technology Group Inc., ADR* | | | | | 3,727,188 | | |
| | | 6,412 | | | | Nongfu Spring Co., Ltd.*(d) | | | | | 17,788 | | |
| | | 462,453 | | | | Ping An Insurance Group Co. of China Ltd., Class H Shares(e) | | | | | 4,900,200 | | |
| | | 413,977 | | | | SF Holding Co., Ltd., Class A Shares(b) | | | | | 5,132,804 | | |
| | | 261,480 | | | | Shanghai Henlius Biotech Inc., Class H Shares*(a)(c)(e) | | | | | 1,853,621 | | |
| | | 458,600 | | | | Shanghai Kindly Medical Instruments Co., Ltd., Class H Shares(e) | | | | | 3,601,615 | | |
| | | 83,138 | | | | Shenzhen Mindray Bio-Medical Electronics Co., Ltd., Class A Shares(b) | | | | | 4,149,675 | | |
| | | 293,035 | | | | Shenzhou International Group Holdings Ltd. | | | | | 4,699,392 | | |
| | | 3,878,019 | | | | Sino Biopharmaceutical Ltd. | | | | | 4,445,089 | | |
| | | 328,489 | | | | Tencent Holdings Ltd. | | | | | 22,385,850 | | |
| | | 16,395 | | | | Tencent Holdings Ltd., ADR | | | | | 1,120,434 | | |
| | | 152,454 | | | | Tencent Music Entertainment Group, ADR* | | | | | 2,382,856 | | |
| | | 606,060 | | | | Venustech Group Inc., Class A Shares(b) | | | | | 3,367,707 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| China – (continued) | | ||||||||||||
| | | 896,725 | | | | WH Group Ltd.(c) | | | | $ | 771,995 | | |
| | | 2,077,741 | | | | Xiaomi Corp., Class B Shares*(c) | | | | | 6,297,051 | | |
| | | 336,000 | | | | Yihai International Holding Ltd.* | | | | | 5,295,952 | | |
| | | 34,094 | | | | Yum China Holdings Inc. | | | | | 1,967,565 | | |
| | | 271,681 | | | | Yunnan Baiyao Group Co., Ltd., Class A Shares(b) | | | | | 4,584,934 | | |
| | | 98,955 | | | | Zai Lab Ltd., ADR* | | | | | 7,854,058 | | |
| | | 52,736 | | | | ZTO Express Cayman Inc., ADR | | | | | 1,768,238 | | |
| | | | | | | Total China | | | | | 237,554,112 | | |
| Denmark – 0.6% | | ||||||||||||
| | | 29,231 | | | | Jyske Bank AS, Class Registered Shares* | | | | | 870,026 | | |
| | | 121,510 | | | | Novozymes AS, Class B Shares | | | | | 7,174,119 | | |
| | | 33,694 | | | | Royal Unibrew AS | | | | | 3,525,019 | | |
| | | 38,759 | | | | Sydbank AS* | | | | | 651,082 | | |
| | | | | | | Total Denmark | | | | | 12,220,246 | | |
| Egypt – 0.5% | | ||||||||||||
| | | 18,181,040 | | | | Cleopatra Hospital* | | | | | 5,808,310 | | |
| | | 3,056,344 | | | | Fawry for Banking & Payment Technology Services SAE* | | | | | 4,791,364 | | |
| | | | | | | Total Egypt | | | | | 10,599,674 | | |
| Finland – 0.0% | | ||||||||||||
| | | 89,004 | | | | Wartsila OYJ Abp | | | | | 760,278 | | |
| France – 6.3% | | ||||||||||||
| | | 20,190 | | | | Air Liquide SA | | | | | 3,353,929 | | |
| | | 61,415 | | | | Aubay | | | | | 2,447,431 | | |
| | | 16,917 | | | | Cie Generale des Etablissements Michelin SCA | | | | | 1,908,775 | | |
| | | 119,521 | | | | Danone SA | | | | | 7,865,810 | | |
| | | 6,034 | | | | Dassault Aviation SA* | | | | | 5,487,202 | | |
| | | 31,313 | | | | Dassault Systemes SE | | | | | 5,895,365 | | |
| | | 68,304 | | | | Esker SA | | | | | 12,475,582 | | |
| | | 77,443 | | | | EssilorLuxottica SA* | | | | | 10,374,374 | | |
| | | 135,383 | | | | Legrand SA | | | | | 11,287,471 | | |
| | | 42,435 | | | | L’Oreal SA | | | | | 14,038,399 | | |
| | | 8,574 | | | | LVMH Moet Hennessy Louis Vuitton SE | | | | | 4,025,374 | | |
| | | 44,821 | | | | MGI Digital Graphic Technology*(a) | | | | | 2,354,451 | | |
| | | 81,935 | | | | Pernod Ricard SA | | | | | 14,044,445 | | |
| | | 69,460 | | | | Sanofi | | | | | 7,034,473 | | |
| | | 139,003 | | | | Schneider Electric SE | | | | | 17,238,348 | | |
| | | 160,939 | | | | Thales SA | | | | | 12,572,306 | | |
| | | | | | | Total France | | | | | 132,403,735 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Germany – 5.8% | | ||||||||||||
| | | 57,233 | | | | Atoss Software AG(a) | | | | $ | 8,746,240 | | |
| | | 129,746 | | | | Bayer AG, Class Registered Shares | | | | | 8,573,281 | | |
| | | 169,728 | | | | Deutsche Wohnen SE | | | | | 9,034,162 | | |
| | | 183,993 | | | | Elmos Semiconductor SE | | | | | 4,773,317 | | |
| | | 135,068 | | | | Evotec SE*(a) | | | | | 3,604,211 | | |
| | | 115,935 | | | | GEA Group AG | | | | | 4,228,612 | | |
| | | 139,173 | | | | Henkel AG & Co. KGaA | | | | | 14,181,760 | | |
| | | 20,039 | | | | Hypoport SE* | | | | | 11,998,256 | | |
| | | 28,721 | | | | Infineon Technologies AG | | | | | 793,687 | | |
| | | 48,105 | | | | Knorr-Bremse AG | | | | | 6,113,230 | | |
| | | 19,648 | | | | LEG Immobilien AG | | | | | 2,892,197 | | |
| | | 44,810 | | | | Mensch und Maschine Software SE | | | | | 2,715,898 | | |
| | | 15,805 | | | | MorphoSys AG* | | | | | 1,988,187 | | |
| | | 79,486 | | | | Nexus AG | | | | | 4,031,595 | | |
| | | 86,459 | | | | SAP SE | | | | | 14,212,026 | | |
| | | 2,209 | | | | Sartorius AG | | | | | 935,534 | | |
| | | 60,165 | | | | Symrise AG, Class A Shares | | | | | 8,289,485 | | |
| | | 99,984 | | | | TAG Immobilien AG* | | | | | 2,983,642 | | |
| | | 55,640 | | | | TeamViewer AG*(c) | | | | | 3,016,056 | | |
| | | 83,005 | | | | Vonovia SE | | | | | 5,943,312 | | |
| | | 19,712 | | | | Zalando SE*(c) | | | | | 1,722,432 | | |
| | | | | | | Total Germany | | | | | 120,777,120 | | |
| Greece – 0.2% | | ||||||||||||
| | | 475,568 | | | | Sarantis SA | | | �� | | 4,954,388 | | |
| Hong Kong – 1.5% | | ||||||||||||
| | | 1,036,000 | | | | AIA Group Ltd. | | | | | 10,540,471 | | |
| | | 246,000 | | | | CK Hutchison Holdings Ltd. | | | | | 1,596,556 | | |
| | | 414,355 | | | | Galaxy Entertainment Group Ltd. | | | | | 3,235,575 | | |
| | | 58,644 | | | | Hong Kong Exchanges & Clearing Ltd. | | | | | 2,948,090 | | |
| | | 161,619 | | | | New Frontier Health Corp.*(a) | | | | | 1,260,628 | | |
| | | 552,711 | | | | Techtronic Industries Co., Ltd. | | | | | 6,984,725 | | |
| | | 1,520,000 | | | | Vitasoy International Holdings Ltd.(a) | | | | | 5,402,691 | | |
| | | | | | | Total Hong Kong | | | | | 31,968,736 | | |
| Hungary – 0.0% | | ||||||||||||
| | | 8,246 | | | | Wizz Air Holdings PLC*(c) | | | | | 432,326 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| India – 7.2% | | ||||||||||||
| | | 320,670 | | | | Aavas Financiers Ltd.* | | | | $ | 6,068,350 | | |
| | | 520,991 | | | | Amara Raja Batteries Ltd. | | | | | 5,179,908 | | |
| | | 114,501 | | | | Asian Paints Ltd. | | | | | 2,959,187 | | |
| | | 629,889 | | | | Axis Bank Ltd.* | | | | | 4,217,925 | | |
| | | 102,312 | | | | Bajaj Finance Ltd. | | | | | 4,830,164 | | |
| | | 707,156 | | | | Berger Paints India Ltd. | | | | | 5,188,823 | | |
| | | 443,471 | | | | Bharti Airtel Ltd. | | | | | 3,100,685 | | |
| | | 68,257 | | | | Britannia Industries Ltd. | | | | | 3,464,246 | | |
| | | 2,801,059 | | | | City Union Bank Ltd. | | | | | 5,152,550 | | |
| | | 124,400 | | | | Divi’s Laboratories Ltd. | | | | | 5,275,221 | | |
| | | 208,784 | | | | Dr Lal PathLabs Ltd. | | | | | 5,012,044 | | |
| | | 69,678 | | | | Dr Reddy’s Laboratories Ltd. | | | | | 4,034,828 | | |
| | | 26,955 | | | | Dr Reddy’s Laboratories Ltd., ADR | | | | | 1,567,972 | | |
| | | 1,353,973 | | | | Edelweiss Financial Services Ltd.* | | | | | 1,477,937 | | |
| | | 481,278 | | | | Gulf Oil Lubricants India Ltd. | | | | | 4,339,433 | | |
| | | 244,310 | | | | HDFC Bank Ltd.* | | | | | 3,691,156 | | |
| | | 239,544 | | | | Hemisphere Properties India Ltd.*(b)(c)(d) | | | | | 527,578 | | |
| | | 101,267 | | | | Hindustan Unilever Ltd. | | | | | 2,912,324 | | |
| | | 462,731 | | | | Housing Development Finance Corp., Ltd | | | | | 11,484,253 | | |
| | | 154,371 | | | | ICICI Lombard General Insurance Co., Ltd. | | | | | 2,633,523 | | |
| | | 2,463,598 | | | | JM Financial Ltd. | | | | | 2,725,084 | | |
| | | 243,133 | | | | Kotak Mahindra Bank Ltd.* | | | | | 4,623,018 | | |
| | | 33,848 | | | | Maruti Suzuki India Ltd. | | | | | 3,143,584 | | |
| | | 622,894 | | | | Max Financial Services Ltd.* | | | | | 4,984,056 | | |
| | | 484,609 | | | | Metropolis Healthcare Ltd. | | | | | 12,499,382 | | |
| | | 191,687 | | | | Muthoot Finance Ltd. | | | | | 2,988,071 | | |
| | | 690,565 | | | | Nippon Life India Asset Management Ltd.(c) | | | | | 2,541,184 | | |
| | | 4,020,770 | | | | NTPC Ltd. | | | | | 5,310,018 | | |
| | | 407,091 | | | | Reliance Industries Ltd. | | | | | 11,167,867 | | |
| | | 320,155 | | | | SBI Life Insurance Co., Ltd.*(c) | | | | | 3,618,989 | | |
| | | 231,692 | | | | Spandana Sphoorty Financial Ltd.* | | | | | 1,940,395 | | |
| | | 207,571 | | | | Supreme Industries Ltd. | | | | | 3,814,700 | | |
| | | 306,121 | | | | Tata Communications Ltd. | | | | | 3,597,987 | | |
| | | 496,441 | | | | Tata Consumer Products Ltd. | | | | | 3,615,379 | | |
| | | 112,808 | | | | Titan Co., Ltd. | | | | | 1,685,687 | | |
| | | | | | | Total India | | | | | 151,373,508 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Indonesia – 1.0% | | ||||||||||||
| | | 32,614,500 | | | | Ace Hardware Indonesia Tbk PT | | | | $ | 3,459,483 | | |
| | | 25,404,900 | | | | Bank BTPN Syariah Tbk PT | | | | | 6,780,712 | | |
| | | 2,997,000 | | | | Bank Central Asia Tbk PT | | | | | 6,452,504 | | |
| | | 55,865,700 | | | | Sarana Menara Nusantara Tbk PT@ | | | | | 3,968,162 | | |
| | | 595,845 | | | | Telekomunikasi Indonesia Persero Tbk PT | | | | | 116,770 | | |
| | | | | | | Total Indonesia | | | | | 20,777,631 | | |
| Ireland – 0.8% | | ||||||||||||
| | | 193,016 | | | | Experian PLC | | | | | 7,198,594 | | |
| | | 36,727 | | | | Kerry Group PLC, Class A Shares | | | | | 4,827,978 | | |
| | | 46,100 | | | | Ryanair Holdings PLC, ADR* | | | | | 3,729,490 | | |
| | | | | | | Total Ireland | | | | | 15,756,062 | | |
| Israel – 0.4% | | ||||||||||||
| | | 57,722 | | | | Rami Levy Chain Stores Hashikma Marketing 2006 Ltd. | | | | | 3,471,941 | | |
| | | 18,526 | | | | Wix.com Ltd.* | | | | | 5,458,315 | | |
| | | | | | | Total Israel | | | | | 8,930,256 | | |
| Italy – 0.7% | | ||||||||||||
| | | 415,374 | | | | Banca Mediolanum SpA | | | | | 3,078,313 | | |
| | | 143,209 | | | | Carel Industries SpA(b) | | | | | 3,503,677 | | |
| | | 18,038 | | | | DiaSorin SpA | | | | | 3,260,865 | | |
| | | 177,235 | | | | Gruppo MutuiOnline SpA(b) | | | | | 4,907,639 | | |
| | | | | | | Total Italy | | | | | 14,750,494 | | |
| Japan – 16.4% | | ||||||||||||
| | | 109,326 | | | | Atrae Inc.* | | | | | 3,501,735 | | |
| | | 669,422 | | | | Avant Corp. | | | | | 6,552,969 | | |
| | | 207,068 | | | | BASE Inc.*(a) | | | | | 17,778,557 | | |
| | | 234,700 | | | | Chiba Bank Ltd. | | | | | 1,214,758 | | |
| | | 30,600 | | | | Daiichi Sankyo Co., Ltd. | | | | | 2,730,285 | | |
| | | 15,600 | | | | Disco Corp. | | | | | 3,624,317 | | |
| | | 310,200 | | | | eGuarantee Inc. | | | | | 6,586,591 | | |
| | | 163,912 | | | | en-japan Inc. | | | | | 4,728,833 | | |
| | | 68,400 | | | | Ezaki Glico Co., Ltd. | | | | | 2,903,200 | | |
| | | 106,200 | | | | Freee KK* | | | | | 5,853,305 | | |
| | | 197,600 | | | | Fujitsu General Ltd. | | | | | 5,156,585 | | |
| | | 230,200 | | | | Hachijuni Bank Ltd. | | | | | 888,513 | | |
| | | 40,500 | | | | Hennge KK*(a) | | | | | 1,942,573 | | |
| | | 59,310 | | | | Hirose Electric Co., Ltd. | | | | | 6,709,993 | | |
| | | 28,800 | | | | Hoshizaki Corp. | | | | | 2,199,416 | | |
| | | 780,130 | | | | Infomart Corp. | | | | | 5,364,628 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Japan – (continued) | | ||||||||||||
| | | 95,600 | | | | IR Japan Holdings Ltd. | | | | $ | 11,670,321 | | |
| | | 148,500 | | | | Ito En Ltd. | | | | | 8,971,129 | | |
| | | 231,300 | | | | Japan Elevator Service Holdings Co., Ltd. | | | | | 7,994,822 | | |
| | | 222,668 | | | | Japan Material Co., Ltd. | | | | | 2,957,852 | | |
| | | 213,400 | | | | Kansai Paint Co., Ltd. | | | | | 5,081,653 | | |
| | | 195,700 | | | | Kao Corp. | | | | | 14,889,606 | | |
| | | 7,938 | | | | Keyence Corp. | | | | | 3,267,358 | | |
| | | 89,400 | | | | Kobayashi Pharmaceutical Co., Ltd. | | | | | 7,956,733 | | |
| | | 8,200 | | | | Kose Corp. | | | | | 959,655 | | |
| | | 38,800 | | | | Kusuri no Aoki Holdings Co., Ltd. | | | | | 3,311,158 | | |
| | | 76,800 | | | | M&A Capital Partners Co., Ltd.* | | | | | 2,812,025 | | |
| | | 387,700 | | | | Mebuki Financial Group Inc. | | | | | 938,146 | | |
| | | 129,500 | | | | Medley Inc.*(a) | | | | | 5,544,831 | | |
| | | 221,000 | | | | Miroku Jyoho Service Co., Ltd. | | | | | 4,510,647 | | |
| | | 196,900 | | | | Mitsubishi Electric Corp. | | | | | 2,703,207 | | |
| | | 94,500 | | | | Murata Manufacturing Co., Ltd. | | | | | 5,589,483 | | |
| | | 163,200 | | | | Nihon Kohden Corp. | | | | | 5,596,924 | | |
| | | 401,200 | | | | Nippon Telegraph & Telephone Corp. | | | | | 9,131,041 | | |
| | | 23,100 | | | | Nissin Foods Holdings Co., Ltd. | | | | | 2,312,031 | | |
| | | 207,300 | | | | Nomura Research Institute Ltd. | | | | | 5,517,351 | | |
| | | 345,200 | | | | North Pacific Bank Ltd. | | | | | 724,943 | | |
| | | 37,600 | | | | Obic Co., Ltd. | | | | | 6,663,348 | | |
| | | 86,900 | | | | Omron Corp. | | | | | 6,357,533 | | |
| | | 67,000 | | | | ORIX Corp. | | | | | 827,118 | | |
| | | 178,900 | | | | Otsuka Holdings Co., Ltd. | | | | | 7,851,170 | | |
| | | 227,100 | | | | Outsourcing Inc. | | | | | 1,873,495 | | |
| | | 129,500 | | | | Pan Pacific International Holdings Corp. | | | | | 3,046,672 | | |
| | | 237,400 | | | | Persol Holdings Co., Ltd. | | | | | 3,690,917 | | |
| | | 1,023,706 | | | | Prestige International Inc. | | | | | 8,613,814 | | |
| | | 428,396 | | | | Rakus Co., Ltd. | | | | | 11,409,754 | | |
| | | 157,700 | | | | Rohto Pharmaceutical Co., Ltd. | | | | | 5,009,553 | | |
| | | 402,900 | | | | Santen Pharmaceutical Co., Ltd. | | | | | 7,682,049 | | |
| | | 92,900 | | | | Secom Co., Ltd. | | | | | 8,776,421 | | |
| | | 130,000 | | | | Seven & i Holdings Co., Ltd. | | | | | 4,205,566 | | |
| | | 236,800 | | | | Shimadzu Corp. | | | | | 7,060,270 | | |
| | | 12,400 | | | | SMC Corp. | | | | | 6,770,984 | | |
| | | 137,838 | | | | SMS Co., Ltd. | | | | | 3,797,817 | | |
| | | 50,200 | | | | Sohgo Security Services Co., Ltd. | | | | | 2,344,999 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Japan – (continued) | | ||||||||||||
| | | 132,800 | | | | Stanley Electric Co., Ltd. | | | | $ | 3,801,239 | | |
| | | 55,400 | | | | Suzuki Motor Corp. | | | | | 2,264,050 | | |
| | | 505,700 | | | | Systena Corp. | | | | | 8,141,705 | | |
| | | 275,240 | | | | Takeda Pharmaceutical Co., Ltd. | | | | | 10,236,826 | | |
| | | 182,400 | | | | Terumo Corp. | | | | | 7,401,101 | | |
| | | 158,800 | | | | Toyo Suisan Kaisha Ltd. | | | | | 9,015,731 | | |
| | | 148,290 | | | | YAKUODO Holdings Co., Ltd. | | | | | 3,526,997 | | |
| | | 136,000 | | | | Yokogawa Electric Corp. | | | | | 2,216,159 | | |
| | | 1,380,300 | | | | Z Holdings Corp. | | | | | 9,158,640 | | |
| | | | | | | Total Japan | | | | | 341,921,102 | | |
| Malaysia – 0.1% | | ||||||||||||
| | | 468,000 | | | | Carlsberg Brewery Malaysia Bhd | | | | | 2,451,465 | | |
| Mexico – 1.0% | | ||||||||||||
| | | 34,113 | | | | Fomento Economico Mexicano SAB de CV, ADR | | | | | 1,989,811 | | |
| | | 278,770 | | | | Gruma SAB de CV, Class B Shares | | | | | 3,293,738 | | |
| | | 1,271,781 | | | | Grupo Mexico SAB de CV, Class B Shares | | | | | 3,394,749 | | |
| | | 2,284,208 | | | | Qualitas Controladora SAB de CV | | | | | 8,999,645 | | |
| | | 1,215,667 | | | | Wal-Mart de Mexico SAB de CV | | | | | 2,911,577 | | |
| | | | | | | Total Mexico | | | | | 20,589,520 | | |
| Netherlands – 2.7% | | ||||||||||||
| | | 1,182 | | | | Adyen NV*(c) | | | | | 1,992,801 | | |
| | | 57,912 | | | | Akzo Nobel NV | | | | | 5,730,978 | | |
| | | 21,194 | | | | ASML Holding NV | | | | | 7,947,458 | | |
| | | 32,931 | | | | Core Laboratories NV | | | | | 689,246 | | |
| | | 28,757 | | | | Euronext NV(c) | ��� | | | | 3,495,705 | | |
| | | 78,995 | | | | Heineken NV | | | | | 7,318,651 | | |
| | | 192,727 | | | | Koninklijke Philips NV | | | | | 9,113,951 | | |
| | | 75,029 | | | | NXP Semiconductors NV | | | | | 9,435,647 | | |
| | | 103,711 | | | | Prosus NV* | | | | | 10,374,527 | | |
| | | | | | | Total Netherlands | | | | | 56,098,964 | | |
| Norway – 0.5% | | ||||||||||||
| | | 110,918 | | | | Medistim ASA* | | | | | 3,100,848 | | |
| | | 785,438 | | | | Pexip Holding ASA* | | | | | 7,416,779 | | |
| | | | | | | Total Norway | | | | | 10,517,627 | | |
| Peru – 0.2% | | ||||||||||||
| | | 23,914 | | | | Credicorp Ltd. | | | | | 3,120,299 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Philippines – 0.6% | | ||||||||||||
| | | 3,717,382 | | | | Ayala Land Inc. | | | | $ | 2,198,254 | | |
| | | 1,003,924 | | | | BDO Unibank Inc. | | | | | 1,778,188 | | |
| | | 2,885,928 | | | | Philippine Seven Corp.(b) | | | | | 7,202,278 | | |
| | | 101,335 | | | | SM Investments Corp. | | | | | 1,775,199 | | |
| | | | | | | Total Philippines | | | | | 12,953,919 | | |
| Poland – 0.1% | | ||||||||||||
| | | 416,383 | | | | Powszechny Zaklad Ubezpieczen SA* | | | | | 3,066,919 | | |
| Portugal – 0.6% | | ||||||||||||
| | | 654,820 | | | | Galp Energia SGPS SA | | | | | 7,007,177 | | |
| | | 379,530 | | | | Jeronimo Martins SGPS SA | | | | | 6,228,117 | | |
| | | | | | | Total Portugal | | | | | 13,235,294 | | |
| Russia – 0.9% | | ||||||||||||
| | | 121,811 | | | | HeadHunter Group PLC, ADR | | | | | 2,484,944 | | |
| | | 28,731 | | | | Novatek PJSC, GDR | | | | | 4,255,061 | | |
| | | 685,216 | | | | Sberbank of Russia PJSC, ADR* | | | | | 8,354,302 | | |
| | | 67,483 | | | | Yandex NV, Class A Shares* | | | | | 4,604,365 | | |
| | | | | | | Total Russia | | | | | 19,698,672 | | |
| Singapore – 0.2% | | ||||||||||||
| | | 3,536,400 | | | | Sheng Siong Group Ltd. | | | | | 4,557,403 | | |
| South Africa – 0.9% | | ||||||||||||
| | | 117,342 | | | | Bid Corp., Ltd | | | | | 1,936,285 | | |
| | | 175,365 | | | | Bidvest Group Ltd. | | | | | 1,408,059 | | |
| | | 26,458 | | | | Capitec Bank Holdings Ltd. | | | | | 1,301,730 | | |
| | | 75,046 | | | | Naspers Ltd., Class N Shares | | | | | 13,660,820 | | |
| | | | | | | Total South Africa | | | | | 18,306,894 | | |
| South Korea – 3.3% | | ||||||||||||
| | | 45,174 | | | | Korea Shipbuilding & Offshore Engineering Co., Ltd.* | | | | | 3,266,476 | | |
| | | 101,285 | | | | LEENO Industrial Inc. | | | | | 10,787,090 | | |
| | | 3,030 | | | | LG Household & Health Care Ltd. | | | | | 3,770,302 | | |
| | | 53,240 | | | | NAVER Corp. | | | | | 14,386,553 | | |
| | | 389,362 | | | | NICE Information Service Co., Ltd. | | | | | 5,883,682 | | |
| | | 670,198 | | | | Samsung Electronics Co., Ltd. | | | | | 30,481,544 | | |
| | | | | | | Total South Korea | | | | | 68,575,647 | | |
| Spain – 0.6% | | ||||||||||||
| | | 206,423 | | | | Amadeus IT Group SA | | | | | 11,651,842 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Sweden – 2.2% | | ||||||||||||
| | | 77,437 | | | | Assa Abloy AB, Class B Shares | | | | $ | 1,791,659 | | |
| | | 312,595 | | | | Biotage AB | | | | | 6,088,176 | | |
| | | 125,939 | | | | Cellavision AB | | | | | 4,605,958 | | |
| | | 151,191 | | | | Epiroc AB, Class A Shares | | | | | 2,252,947 | | |
| | | 143,124 | | | | Essity AB, Class B Shares* | | | | | 4,926,829 | | |
| | | 477,248 | | | | Fortnox AB | | | | | 16,602,887 | | |
| | | 177,937 | | | | Svenska Handelsbanken AB, Class A Shares* | | | | | 1,788,974 | | |
| | | 306,632 | | | | Swedbank AB, Class A Shares* | | | | | 5,201,839 | | |
| | | 142,277 | | | | Xvivo Perfusion AB* | | | | | 3,323,005 | | |
| | | | | | | Total Sweden | | | | | 46,582,274 | | |
| Switzerland – 5.6% | | ||||||||||||
| | | 47,444 | | | | Alcon Inc.* | | | | | 2,694,145 | | |
| | | 71 | | | | Chocoladefabriken Lindt & Spruengli AG | | | | | 604,716 | | |
| | | 48,667 | | | | Cie Financiere Richemont SA, Class Registered Shares | | | | | 3,222,791 | | |
| | | 6,002 | | | | Geberit AG, Class Registered Shares | | | | | 3,455,465 | | |
| | | 5,346 | | | | Givaudan SA, Class Registered Shares | | | | | 22,433,533 | | |
| | | 177,385 | | | | Julius Baer Group Ltd. | | | | | 8,492,532 | | |
| | | 16,814 | | | | Lonza Group AG, Class Registered Shares | | | | | 10,418,914 | | |
| | | 317,709 | | | | Nestle SA, Class Registered Shares | | | | | 38,178,671 | | |
| | | 16,525 | | | | Roche Holding AG | | | | | 5,775,442 | | |
| | | 12,940 | | | | Schindler Holding AG | | | | | 3,450,445 | | |
| | | 3,365 | | | | SGS SA, Class Registered Shares | | | | | 8,700,046 | | |
| | | 17,822 | | | | Sika AG, Class Registered Shares | | | | | 4,268,934 | | |
| | | 20,893 | | | | Temenos AG, Class Registered Shares | | | | | 3,368,323 | | |
| | | 220,031 | | | | UBS Group AG, Class Registered Shares | | | | | 2,678,559 | | |
| | | | | | | Total Switzerland | | | | | 117,742,516 | | |
| Taiwan – 3.9% | | ||||||||||||
| | | 1,183,000 | | | | Bioteque Corp. | | | | | 5,633,977 | | |
| | | 532,000 | | | | Chief Telecom Inc. | | | | | 7,061,123 | | |
| | | 790,000 | | | | Delta Electronics Inc. | | | | | 5,068,750 | | |
| | | 36,381 | | | | Ginko International Co., Ltd. | | | | | 156,647 | | |
| | | 299,820 | | | | Poya International Co., Ltd. | | | | | 5,858,043 | | |
| | | 1,125,000 | | | | Taiwan Semiconductor Manufacturing Co., Ltd. | | | | | 16,348,132 | | |
| | | 422,904 | | | | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | | | | | 33,515,142 | | |
| | | 248,550 | | | | Voltronic Power Technology Corp. | | | | | 8,739,487 | | |
| | | | | | | Total Taiwan | | | | | 82,381,301 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Thailand – 0.6% | | ||||||||||||
| | | 2,697,986 | | | | CP ALL PCL, Class F Shares(b)@ | | | | $ | 5,515,844 | | |
| | | 1,845,600 | | | | TQM Corp. PCL, Class F Shares(b) | | | | | 7,486,980 | | |
| | | | | | | Total Thailand | | | | | 13,002,824 | | |
| United Arab Emirates – 0.4% | | ||||||||||||
| | | 439,095 | | | | First Abu Dhabi Bank PJSC | | | | | 1,363,539 | | |
| | | 1,209,149 | | | | Network International Holdings PLC(c) | | | | | 6,051,539 | | |
| | | | | | | Total United Arab Emirates | | | | | 7,415,078 | | |
| United Kingdom – 8.2% | | ||||||||||||
| | | 181,850 | | | | 4imprint Group PLC* | | | | | 5,310,099 | | |
| | | 480,806 | | | | Amcor PLC | | | | | 5,319,918 | | |
| | | 243,777 | | | | Avon Rubber PLC | | | | | 12,448,192 | | |
| | | 202,576 | | | | boohoo Group PLC* | | | | | 783,457 | | |
| | | 189,657 | | | | Burberry Group PLC | | | | | 3,685,980 | | |
| | | 227,378 | | | | Compass Group PLC | | | | | 3,709,680 | | |
| | | 149,793 | | | | Craneware PLC(a) | | | | | 3,462,585 | | |
| | | 26,430 | | | | Croda International PLC | | | | | 2,080,640 | | |
| | | 310,536 | | | | Diageo PLC | | | | | 10,387,409 | | |
| | | 79,279 | | | | Farfetch Ltd., Class A Shares* | | | | | 2,195,236 | | |
| | | 215,097 | | | | FDM Group Holdings PLC | | | | | 3,001,823 | | |
| | | 438,499 | | | | Future PLC | | | | | 8,781,833 | | |
| | | 623,291 | | | | GB Group PLC* | | | | | 6,082,245 | | |
| | | 186,155 | | | | Halma PLC | | | | | 5,519,331 | | |
| | | 220,151 | | | | HomeServe PLC | | | | | 3,822,786 | | |
| | | 377,713 | | | | IMI PLC | | | | | 5,321,733 | | |
| | | 83,151 | | | | Intertek Group PLC | | | | | 6,531,297 | | |
| | | 4,065,342 | | | | Johnson Service Group PLC | | | | | 5,793,013 | | |
| | | 32,205 | | | | Linde PLC | | | | | 8,080,001 | | |
| | | 67,714 | | | | London Stock Exchange Group PLC | | | | | 7,965,469 | | |
| | | 309,651 | | | | Patisserie Holdings PLC*(b)(d) | | | | | 4,139 | | |
| | | 142,539 | | | | Reckitt Benckiser Group PLC | | | | | 14,345,725 | | |
| | | 99,537 | | | | Smith & Nephew PLC | | | | | 2,024,448 | | |
| | | 104,459 | | | | Spectris PLC | | | | | 3,541,158 | | |
| | | 66,838 | | | | Spirax-Sarco Engineering PLC | | | | | 9,153,467 | | |
| | | 1,394,726 | | | | Strix Group PLC | | | | | 4,146,207 | | |
| | | 669,557 | | | | Trainline PLC* | | | | | 3,543,532 | | |
| | | 209,906 | | | | Unilever NV | | | | | 12,174,822 | | |
| | | 847,722 | | | | YouGov PLC(b) | | | | | 11,320,276 | | |
| | | | | | | Total United Kingdom | | | | | 170,536,501 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| United States – 3.6% | | ||||||||||||
| | | 2,052 | | | | Alphabet Inc., Class A Shares* | | | | $ | 3,343,796 | | |
| | | 53,719 | | | | Analog Devices Inc. | | | | | 6,278,677 | | |
| | | 31,918 | | | | ANSYS Inc.* | | | | | 10,820,521 | | |
| | | 1,490 | | | | Booking Holdings Inc.* | | | | | 2,846,570 | | |
| | | 179,118 | | | | Cadence Design Systems Inc.* | | | | | 19,865,977 | | |
| | | 102,057 | | | | Colgate-Palmolive Co. | | | | | 8,089,038 | | |
| | | 18,738 | | | | Nordson Corp. | | | | | 3,494,450 | | |
| | | 141,102 | | | | Philip Morris International Inc. | | | | | 11,258,529 | | |
| | | 15,954 | | | | Royalty Pharma PLC, Class A Shares* | | | | | 660,176 | | |
| | | 18,141 | | | | Texas Instruments Inc. | | | | | 2,578,743 | | |
| | | 18,000 | | | | Visa Inc., Class A Shares | | | | | 3,815,820 | | |
| | | 32,259 | | | | Waste Connections Inc. | | | | | 3,226,868 | | |
| | | | | | | Total United States | | | | | 76,279,165 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $1,420,029,281) | | | | | 1,968,777,142 | | |
| EXCHANGE TRADED FUNDS (ETFs) – 2.9% | | ||||||||||||
| United States – 2.9% | | ||||||||||||
| | | 465,853 | | | | iShares Core MSCI EAFE | | | | | 28,617,350 | | |
| | | 589,637 | | | | iShares Core MSCI Emerging Markets | | | | | 31,427,652 | | |
| | | | | | | Total United States | | | | | 60,045,002 | | |
| | | | | | | TOTAL EXCHANGE TRADED FUNDS (ETFs) (Cost – $56,670,670) | | | | | 60,045,002 | | |
| PREFERRED STOCK – 0.0% | | ||||||||||||
| United Kingdom – 0.0% | | ||||||||||||
| | | 1,899 | | | | Roofoods Ltd. Series G*(b)(d)@ (Cost – $793,594) | | | | | 793,594 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $1,477,493,545) | | | | | 2,029,615,738 | | |
| Face Amount† | | | | | | | | ||||||
| SHORT-TERM INVESTMENTS – 3.0% | | ||||||||||||
| TIME DEPOSITS – 3.0% | | ||||||||||||
| | $ | 20,012,084 | | | | Banco Bilbao Vizcaya Argentaria SA – Madrid, 0.010% due 9/1/20 | | | | $ | 20,012,084 | | |
| | | 20,083,470 | | | | Barclays Bank PLC – London, 0.010% due 9/1/20 | | | | | 20,083,470 | | |
| | | | | | | BNP Paribas SA – Paris: | | | | | | | |
| | | 146,267CHF | | | | (1.430)% due 9/1/20 | | | | | 161,817 | | |
| | | 678,961EUR | | | | (0.690)% due 9/1/20 | | | | | 810,272 | | |
| | | | | | | Brown Brothers Harriman – Grand Cayman: | | | | | | | |
| | | 460DKK | | | | (0.650)% due 9/1/20 | | | | | 74 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – (continued) | | ||||||||||||
| TIME DEPOSITS – (continued) | | ||||||||||||
| | | 1,620SEK | | | | (0.250)% due 9/1/20 | | | | $ | 187 | | |
| | | 20NOK | | | | (0.150)% due 9/1/20 | | | | | 2 | | |
| | | 125,180AUD | | | | 0.010% due 9/1/20 | | | | | 92,345 | | |
| | | 4NZD | | | | 0.010% due 9/1/20 | | | | | 3 | | |
| | | 124,546SGD | | | | 0.010% due 9/1/20 | | | | | 91,541 | | |
| | | 148GBP | | | | 0.010% due 9/1/20 | | | | | 198 | | |
| | | 14,914CAD | | | | 0.030% due 9/1/20 | | | | | 11,436 | | |
| | | 81,959HKD | | | | 0.150% due 9/1/20 | | | | | 10,575 | | |
| | | 18,995ZAR | | | | 4.500% due 9/1/20 | | | | | 1,121 | | |
| | | 113,120GBP | | | | Citibank – London, 0.010% due 9/1/20 | | | | | 151,213 | | |
| | | 2,480,258HKD | | | | Hong Kong & Shanghai Bank – Hong Kong, 0.150% due 9/1/20 | | | | | 320,027 | | |
| | | 11,447,380 | | | | JPMorgan Chase & Co. – New York, 0.010% due 9/1/20 | | | | | 11,447,380 | | |
| | | | | | | Sumitomo Mitsui Banking Corp. – Tokyo: | | | | | | | |
| | | 88,590,640JPY | | | | (0.230)% due 9/1/20 | | | | | 836,353 | | |
| | | 8,532,256 | | | | 0.010% due 9/1/20 | | | | | 8,532,256 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $62,562,354) | | | | | 62,562,354 | | |
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 1.9% | | ||||||||||||
| MONEY MARKET FUND – 1.9% | | ||||||||||||
| | | 39,244,796 | | | | Federated Government Obligations Fund, Premier Class, 0.054%(f) (Cost – $39,244,796) | | | | | 39,244,796 | | |
| | | | | | | TOTAL INVESTMENTS – 101.9% (Cost – $1,579,300,695) | | | | | 2,131,422,888 | | |
| | | | | | | Liabilities in Excess of Other Assets – (1.9)% | | | | | (39,839,670) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 2,091,583,218 | | |
|
Security | | | Acquisition Date | | | Acquisition Cost | | | Market Value | | | Percent of Net Assets | | ||||||||||||
CP ALL PCL, Class F Shares | | | | | 3/23/2020 | | | | | $ | 30,091 | | | | | $ | 5,515,844 | | | | | | 0.26% | | |
Roofoods Ltd. Series G | | | | | 5/16/19 | | | | | | 793,594 | | | | | | 793,594 | | | | | | 0.04% | | |
Sarana Menara Nusantara Tbk PT | | | | | 4/3/17 | | | | | | 1,400 | | | | | | 3,968,162 | | | | | | 0.19% | | |
Total | | | | | | | | | | | | | | | | $ | 10,277,600 | | | | | | 0.49% | | |
| ADR — American Depositary Receipts | |
| GDR — Global Depositary Receipts | |
| PCL — Public Company Limited | |
| PLC — Public Limited Company | |
| | | | |||||
| Consumer Non-cyclical | | | | | 30.6% | | |
| Technology | | | | | 15.7 | | |
| Industrial | | | | | 12.2 | | |
| Financial | | | | | 11.7 | | |
| Communications | | | | | 11.0 | | |
| Consumer Cyclical | | | | | 5.6 | | |
| Basic Materials | | | | | 4.2 | | |
| Energy | | | | | 1.2 | | |
| Utilities | | | | | 0.2 | | |
| Diversified | | | | | 0.1 | | |
| Exchange Traded Funds (ETFs) | | | | | 2.8 | | |
| Short-Term Investments | | | | | 2.9 | | |
| Money Market Fund | | | | | 1.8 | | |
| | | | | | 100.0% | | |
| Number of Contracts | | | Notional Amount | | | Security Name | | | Counterparty | | | Expiration Date | | | Exercise Rate | | | Value | | |||||||||
| 64 | | | $177,216 | | | Farfetch Ltd. | | | | | BBH | | | | | | 10/16/20 | | | | $25.00 | | | | $ | 26,880 | | |
| 118 | | | $326,742 | | | Farfetch Ltd. | | | | | JPM | | | | | | 10/16/20 | | | | $26.00 | | | | | 38,940 | | |
| 97 | | | $1,219,872 | | | NXP Semiconductors NV | | | | | JPM | | | | | | 9/18/20 | | | | $120.00 | | | | | 74,933 | | |
| 47 | | | $591,072 | | | NXP Semiconductors NV | | | | | JPM | | | | | | 9/18/20 | | | | $130.00 | | | | | 10,152 | | |
| 11 | | | $138,336 | | | NXP Semiconductors NV | | | | | BBH | | | | | | 1/15/21 | | | | $140.00 | | | | | 7,150 | | |
| 11 | | | $138,336 | | | NXP Semiconductors NV | | | | | BBH | | | | | | 1/15/21 | | | | $145.00 | | | | | 5,203 | | |
| 50 | | | $628,800 | | | NXP Semiconductors NV | | | | | JPM | | | | | | 1/15/21 | | | | $150.00 | | | | | 19,000 | | |
| 18 | | | CHF 262,440 | | | Temenos AG | | | | | GSC | | | | | | 9/18/20 | | | | CHF 160.00 | | | | | 398 | | |
| | | | | | | TOTAL OPTIONS CONTRACTS WRITTEN (Premiums received – $179,936) | | | | | | | | | | | | | | | | | | | $ | 182,656 | | |
|
Foreign Currency | | | Local Currency | | | Counterparty | | | Market Value | | | Settlement Date | | | Unrealized Appreciation | | | Unrealized (Depreciation) | | | Unrealized Appreciation/ (Depreciation) | | |||||||||||||||||||||
Contracts to Buy: | | | | | | | | | |||||||||||||||||||||||||||||||||||
Hong Kong Dollar | | | | | 139,247 | | | | | | BBH | | | | | $ | 17,966 | | | | | | 9/8/20 | | | | | $ | — | | | | | $ | (1) | | | | | $ | (1) | | |
Contracts to Sell: | | | | | | | | | |||||||||||||||||||||||||||||||||||
Japanese Yen | | | | | 289,675,000 | | | | | | JPM | | | | | | 2,735,152 | | | | | | 9/15/20 | | | | | $ | — | | | | | $ | (4,162) | | | | | $ | (4,162) | | |
Japanese Yen | | | | | 1,563,100,000 | | | | | | HSBC | | | | | | 14,797,510 | | | | | | 2/19/21 | | | | | | — | | | | | | (2,277) | | | | | | (2,277) | | |
Japanese Yen | | | | | 795,000,000 | | | | | | MSC | | | | | | 7,526,083 | | | | | | 2/19/21 | | | | | | — | | | | | | (1,949) | | | | | | (1,949) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | — | | | | | $ | (8,388) | | | | | $ | (8,388) | | |
Net Unrealized Depreciation on Open Forward Foreign Currency Contracts | | | | $ | — | | | | | $ | (8,389) | | | | | $ | (8,389) | | | ||||||||||||||||||||||||
|
| AUD — Australian Dollar | |
| CAD — Canadian Dollar | |
| CHF — Swiss Franc | |
| DKK — Danish Krone | |
| EUR — Euro | |
| GBP — British Pound | |
| HKD — Hong Kong Dollar | |
| JPY — Japanese Yen | |
| NOK — Norwegian Krone | |
| NZD — New Zealand Dollar | |
| SEK — Swedish Krona | |
| SGD — Singapore Dollar | |
| ZAR — South African Rand | |
| BBH — Brown Brothers Harriman & Co. | |
| GSC — Goldman Sachs & Co. | |
| HSBC — HSBC Bank USA | |
| JPM — JPMorgan Chase & Co. | |
| MSC — Morgan Stanley | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 86.2% | | ||||||||||||
| BASIC MATERIALS – 1.0% | | ||||||||||||
| Chemicals – 1.0% | | ||||||||||||
| | | 32,833 | | | | DuPont de Nemours Inc. | | | | $ | 1,830,768 | | |
| | | 52,187 | | | | Nutrien Ltd. | | | | | 1,933,104 | | |
| | | | | | | Total Chemicals | | | | | 3,763,872 | | |
| | | | | | | TOTAL BASIC MATERIALS | | | | | 3,763,872 | | |
| COMMUNICATIONS – 14.7% | | ||||||||||||
| Media – 0.9% | | ||||||||||||
| | | 74,552 | | | | Comcast Corp., Class A Shares | | | | | 3,340,675 | | |
| Telecommunications – 13.8% | | ||||||||||||
| | | 384,047 | | | | AT&T Inc. | | | | | 11,448,441 | | |
| | | 189,200 | | | | BCE Inc. | | | | | 8,132,612 | | |
| | | 211,759 | | | | Cisco Systems Inc. | | | | | 8,940,465 | | |
| | | 83,685 | | | | Nippon Telegraph & Telephone Corp. | | | | | 1,905,182 | | |
| | | 112,887 | | | | SK Telecom Co., Ltd., ADR | | | | | 2,593,014 | | |
| | | 146,867 | | | | Telefonica Brasil SA | | | | | 1,282,208 | | |
| | | 200,926 | | | | Verizon Communications Inc. | | | | | 11,908,884 | | |
| | | 4,498,593 | | | | Vodafone Group PLC | | | | | 6,701,438 | | |
| | | | | | | Total Telecommunications | | | | | 52,912,244 | | |
| | | | | | | TOTAL COMMUNICATIONS | | | | | 56,252,919 | | |
| CONSUMER CYCLICAL – 2.3% | | ||||||||||||
| Distribution/Wholesale – 0.7% | | ||||||||||||
| | | 155,100 | | | | Mitsui & Co., Ltd. | | | | | 2,802,562 | | |
| Home Builders – 0.2% | | ||||||||||||
| | | 519,800 | | | | Taylor Wimpey PLC | | | | | 851,182 | | |
| Retail – 0.6% | | ||||||||||||
| | | 6,275 | | | | Genuine Parts Co. | | | | | 592,611 | | |
| | | 10,307 | | | | Lowe’s Cos., Inc. | | | | | 1,697,460 | | |
| | | | | | | Total Retail | | | | | 2,290,071 | | |
| Toys/Games/Hobbies – 0.8% | | ||||||||||||
| | | 5,461 | | | | Nintendo Co., Ltd. | | | | | 2,925,250 | | |
| | | | | | | TOTAL CONSUMER CYCLICAL | | | | | 8,869,065 | | |
| CONSUMER NON-CYCLICAL – 27.3% | | ||||||||||||
| Agriculture – 5.4% | | ||||||||||||
| | | 221,250 | | | | British American Tobacco PLC | | | | | 7,490,019 | | |
| | | 164,591 | | | | Philip Morris International Inc. | | | | | 13,132,716 | | |
| | | | | | | Total Agriculture | | | | | 20,622,735 | | |
| Beverages – 2.7% | | ||||||||||||
| | | 101,911 | | | | Coca-Cola Co. | | | | | 5,047,652 | | |
| | | 38,585 | | | | PepsiCo Inc. | | | | | 5,404,215 | | |
| | | | | | | Total Beverages | | | | | 10,451,867 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Biotechnology – 2.1% | | ||||||||||||
| | | 8,300 | | | | Amgen Inc. | | | | $ | 2,102,556 | | |
| | | 84,750 | | | | Gilead Sciences Inc. | | | | | 5,657,062 | | |
| | | | | | | Total Biotechnology | | | | | 7,759,618 | | |
| Cosmetics/Personal Care – 1.6% | | ||||||||||||
| | | 105,550 | | | | Unilever PLC | | | | | 6,292,791 | | |
| Food – 1.1% | | ||||||||||||
| | | 75,700 | | | | Seven & i Holdings Co., Ltd. | | | | | 2,453,416 | | |
| | | 924,000 | | | | Tingyi Cayman Islands Holding Corp. | | | | | 1,735,894 | | |
| | | | | | | Total Food | | | | | 4,189,310 | | |
| Healthcare-Services – 1.2% | | ||||||||||||
| | | 9,796 | | | | Anthem Inc. | | | | | 2,757,770 | | |
| | | 21,886 | | | | Fresenius Medical Care AG & Co. KGaA | | | | | 1,855,998 | | |
| | | | | | | Total Healthcare-Services | | | | | 4,613,768 | | |
| Household Products/Wares – 0.4% | | ||||||||||||
| | | 16,213 | | | | Henkel AG & Co. KGaA | | | | | 1,655,466 | | |
| Pharmaceuticals – 12.8% | | ||||||||||||
| | | 116,201 | | | | AbbVie Inc. | | | | | 11,128,570 | | |
| | | 13,733 | | | | AstraZeneca PLC | | | | | 1,531,023 | | |
| | | 23,384 | | | | Bayer AG, Class Registered Shares | | | | | 1,549,925 | | |
| | | 81,110 | | | | Bristol-Myers Squibb Co. | | | | | 5,045,042 | | |
| | | 511,894 | | | | GlaxoSmithKline PLC | | | | | 10,072,518 | | |
| | | 68,025 | | | | Merck & Co., Inc. | | | | | 5,800,492 | | |
| | | 268,125 | | | | Pfizer Inc. | | | | | 10,132,444 | | |
| | | 4,112 | | | | Roche Holding AG | | | | | 1,436,175 | | |
| | | 21,284 | | | | Sanofi | | | | | 2,155,725 | | |
| | | | | | | Total Pharmaceuticals | | | | | 48,851,914 | | |
| | | | | | | TOTAL CONSUMER NON-CYCLICAL | | | | | 104,437,469 | | |
| ENERGY – 7.7% | | ||||||||||||
| Oil & Gas – 4.7% | | ||||||||||||
| | | 132,832 | | | | Chevron Corp. | | | | | 11,148,590 | | |
| | | 175,350 | | | | Exxon Mobil Corp. | | | | | 7,003,479 | | |
| | | | | | | Total Oil & Gas | | | | | 18,152,069 | | |
| Pipelines – 3.0% | | ||||||||||||
| | | 195,100 | | | | Enbridge Inc. | | | | | 6,242,542 | | |
| | | 150,065 | | | | Enterprise Products Partners LP | | | | | 2,635,141 | | |
| | | 49,700 | | | | TC Energy Corp. | | | | | 2,324,186 | | |
| | | | | | | Total Pipelines | | | | | 11,201,869 | | |
| | | | | | | TOTAL ENERGY | | | | | 29,353,938 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – 10.0% | | ||||||||||||
| Banks – 7.4% | | ||||||||||||
| | | 91,285 | | | | Bank of America Corp. | | | | $ | 2,349,676 | | |
| | | 97,075 | | | | Canadian Imperial Bank of Commerce | | | | | 7,708,240 | | |
| | | 53,098 | | | | Citigroup Inc. | | | | | 2,714,370 | | |
| | | 219,016 | | | | ING Groep NV | | | | | 1,778,387 | | |
| | | 23,652 | | | | JPMorgan Chase & Co. | | | | | 2,369,694 | | |
| | | 288,675 | | | | KeyCorp | | | | | 3,556,476 | | |
| | | 250,880 | | | | Oversea-Chinese Banking Corp., Ltd | | | | | 1,598,713 | | |
| | | 36,850 | | | | PNC Financial Services Group Inc. | | | | | 4,097,720 | | |
| | | 207,900 | | | | Regions Financial Corp. | | | | | 2,403,324 | | |
| | | | | | | Total Banks | | | | | 28,576,600 | | |
| Diversified Financial Services – 0.6% | | ||||||||||||
| | | 12,082 | | | | Deutsche Boerse AG | | | | | 2,283,915 | | |
| Equity Real Estate Investment Trusts (REITs) – 0.4% | | ||||||||||||
| | | 46,250 | | | | National Retail Properties Inc. | | | | | 1,639,100 | | |
| Insurance – 1.6% | | ||||||||||||
| | | 57,047 | | | | Ageas SA/NV | | | | | 2,396,412 | | |
| | | 9,159 | | | | Allianz SE, Class Registered Shares | | | | | 1,984,077 | | |
| | | 7,683 | | | | Everest Re Group Ltd. | | | | | 1,690,875 | | |
| | | | | | | Total Insurance | | | | | 6,071,364 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 38,570,979 | | |
| INDUSTRIAL – 6.5% | | ||||||||||||
| Aerospace/Defense – 1.1% | | ||||||||||||
| | | 15,368 | | | | General Dynamics Corp. | | | | | 2,295,211 | | |
| | | 20,953 | | | | Thales SA | | | | | 1,637,848 | | |
| | | | | | | Total Aerospace/Defense | | | | | 3,933,059 | | |
| Miscellaneous Manufacturers – 1.8% | | ||||||||||||
| | | 16,775 | | | | 3M Co. | | | | | 2,734,660 | | |
| | | 18,748 | | | | Eaton Corp. PLC | | | | | 1,914,171 | | |
| | | 16,548 | | | | Siemens AG, Class Registered Shares | | | | | 2,284,098 | | |
| | | | | | | Total Miscellaneous Manufacturers | | | | | 6,932,929 | | |
| Transportation – 3.6% | | ||||||||||||
| | | 75,202 | | | | Deutsche Post AG, Class Registered Shares | | | | | 3,421,120 | | |
| | | 63,150 | | | | United Parcel Service Inc., Class B Shares | | | | | 10,332,603 | | |
| | | | | | | Total Transportation | | | | | 13,753,723 | | |
| | | | | | | TOTAL INDUSTRIAL | | | | | 24,619,711 | | |
| TECHNOLOGY – 4.6% | | ||||||||||||
| Computers – 1.4% | | ||||||||||||
| | | 24,810 | | | | Amdocs Ltd. | | | | | 1,519,116 | | |
| | | 32,400 | | | | International Business Machines Corp. | | | | | 3,995,244 | | |
| | | | | | | Total Computers | | | | | 5,514,360 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| TECHNOLOGY – (continued) | | ||||||||||||
| Semiconductors – 1.5% | | ||||||||||||
| | | 6,696 | | | | Broadcom Inc. | | | | $ | 2,324,516 | | |
| | | 45,770 | | | | Infineon Technologies AG | | | | | 1,265,044 | | |
| | | 59,790 | | | | Samsung Electronics Co., Ltd. | | | | | 2,391,489 | | |
| | | | | | | Total Semiconductors | | | | | 5,981,049 | | |
| Software – 1.7% | | ||||||||||||
| | | 16,104 | | | | Microsoft Corp. | | | | | 3,631,935 | | |
| | | 43,876 | | | | Oracle Corp. | | | | | 2,510,585 | | |
| | | | | | | Total Software | | | | | 6,142,520 | | |
| | | | | | | TOTAL TECHNOLOGY | | | | | 17,637,929 | | |
| UTILITIES – 12.1% | | ||||||||||||
| Electric – 9.5% | | ||||||||||||
| | | 122,200 | | | | Dominion Energy Inc. | | | | | 9,585,368 | | |
| | | 110,330 | | | | Duke Energy Corp. | | | | | 8,863,912 | | |
| | | 43,671 | | | | Evergy Inc. | | | | | 2,324,171 | | |
| | | 214,725 | | | | PPL Corp. | | | | | 5,932,852 | | |
| | | 47,475 | | | | Public Service Enterprise Group Inc. | | | | | 2,480,094 | | |
| | | 140,160 | | | | Southern Co. | | | | | 7,313,549 | | |
| | | | | | | Total Electric | | | | | 36,499,946 | | |
| Gas – 2.1% | | ||||||||||||
| | | 716,938 | | | | National Grid PLC | | | | | 8,080,949 | | |
| Water – 0.5% | | ||||||||||||
| | | 72,271 | | | | Veolia Environnement SA | | | | | 1,742,214 | | |
| | | | | | | TOTAL UTILITIES | | | | | 46,323,109 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $321,026,751) | | | | | 329,828,991 | | |
| EXCHANGE TRADED FUNDS (ETFs) – 10.0% | | ||||||||||||
| | | 773,777 | | | | iShares Core Dividend Growth(a) | | | | | 31,817,710 | | |
| | | 75,579 | | | | iShares Core High Dividend(a) | | | | | 6,403,809 | | |
| | | | | | | TOTAL EXCHANGE TRADED FUNDS (ETFs) (Cost – $33,021,196) | | | | | 38,221,519 | | |
| CONVERTIBLE PREFERRED STOCKS – 1.5% | | ||||||||||||
| CONSUMER NON-CYCLICAL – 0.3% | | ||||||||||||
| Healthcare-Products – 0.3% | | ||||||||||||
| | | 16,940 | | | | Avantor Inc., 6.250% | | | | | 1,243,227 | | |
| TECHNOLOGY – 0.9% | | ||||||||||||
| Semiconductors – 0.6% | | ||||||||||||
| | | 1,750 | | | | Broadcom Inc., 8.000% | | | | | 2,152,850 | | |
| Software – 0.3% | | ||||||||||||
| | | 23,640 | | | | Change Healthcare Inc., 6.000% | | | | | 1,233,535 | | |
| | | | | | | TOTAL TECHNOLOGY | | | | | 3,386,385 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| CONVERTIBLE PREFERRED STOCKS – (continued) | | ||||||||||||
| UTILITIES – 0.3% | | ||||||||||||
| Electric – 0.3% | | ||||||||||||
| | | 29,050 | | | | CenterPoint Energy Inc., 7.000% | | | | $ | 1,090,827 | | |
| | | | | | | TOTAL CONVERTIBLE PREFERRED STOCKS (Cost – $5,901,079) | | | | | 5,720,439 | | |
| EQUITY LINKED NOTE – 0.3% | | ||||||||||||
| FINANCIAL – 0.3% | | ||||||||||||
| Diversified Financial Services – 0.3% | | ||||||||||||
| | | 6,600 | | | | Citigroup Global Markets Holdings Inc.*(b)(c)(d) (Cost – $951,102) | | | | | 952,032 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $360,900,128) | | | | | 374,722,981 | | |
| Face Amount | | | | | | | | ||||||
| SHORT-TERM INVESTMENTS – 1.7% | | ||||||||||||
| TIME DEPOSITS – 1.7% | | ||||||||||||
| | $ | 2,690,474 | | | | ANZ National Bank – London, 0.010% due 9/1/20 | | | | $ | 2,690,474 | | |
| | | 768 | | | | Brown Brothers Harriman – Grand Cayman, 0.010% due 9/1/20 | | | | | 768 | | |
| | | 1,821,852 | | | | JPMorgan Chase & Co. – New York, 0.010% due 9/1/20 | | | | | 1,821,852 | | |
| | | 2,179,702 | | | | Skandinaviska Enskilda Banken AB – Stockholm, 0.010% due 9/1/20 | | | | | 2,179,702 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $6,692,796) | | | | | 6,692,796 | | |
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 0.3% | | ||||||||||||
| MONEY MARKET FUND – 0.3% | | ||||||||||||
| | $ | 959,784 | | | | Federated Government Obligations Fund, Premier Class, 0.054%(e) (Cost – $959,784) | | | | $ | 959,784 | | |
| | | | | | | TOTAL INVESTMENTS – 100.0% (Cost – $368,552,708) | | | | | 382,375,561 | | |
| | | | | | | Liabilities in Excess of Other Assets – 0.0% | | | | | (60,812) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 382,314,749 | | |
| Consumer Non-cyclical | | | | | 27.6% | | |
| Communications | | | | | 14.7 | | |
| Utilities | | | | | 12.4 | | |
| Financial | | | | | 10.3 | | |
| Energy | | | | | 7.7 | | |
| Industrial | | | | | 6.4 | | |
| Technology | | | | | 5.5 | | |
| Consumer Cyclical | | | | | 2.3 | | |
| Basic Materials | | | | | 1.0 | | |
| Exchange Traded Funds (ETFs) | | | | | 10.0 | | |
| Short-Term Investments | | | | | 1.8 | | |
| Money Market Fund | | | | | 0.3 | | |
| | | | | | 100.0% | | |
| Shares/Units | | | Security | | | Value | | ||||||
| EXCHANGE TRADED FUNDS (ETFs) – 107.3% | | ||||||||||||
| United States – 107.3% | | ||||||||||||
| | | 87 | | | | iShares Core US REIT | | | | $ | 3,969 | | |
| | | 103 | | | | iShares Global Infrastructure | | | | | 4,093 | | |
| | | 237 | | | | iShares North American Natural Resources | | | | | 5,243 | | |
| | | | | | | Total United States | | | | | 13,305 | | |
| | | | | | | TOTAL EXCHANGE TRADED FUNDS (ETFs) (Cost – $13,803) | | | | | 13,305 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $13,803) | | | | | 13,305 | | |
| Face Amount | | | | | | | | | | | |||
| SHORT-TERM INVESTMENTS – 129.2% | | ||||||||||||
| TIME DEPOSIT – 129.2% | | ||||||||||||
| | $ | 16,015 | | | | Brown Brothers Harriman – Grand Cayman, 0.010% due 9/1/20 (Cost – $16,015) | | | | | 16,015 | | |
| | | | | | | TOTAL INVESTMENTS – 236.5% (Cost – $29,818) | | | | | 29,320 | | |
| | | | | | | Liabilities in Excess of Other Assets – (136.5)% | | | | | (16,920) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 12,400 | | |
| Exchange Traded Funds (ETFs) | | | | | 45.4% | | |
| Short-Term Investments | | | | | 54.6 | | |
| | | | | | 100.0% | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| U.S. GOVERNMENT AGENCIES & OBLIGATIONS – 23.6% | | ||||||||||||
| U.S. GOVERNMENT OBLIGATIONS – 23.1% | | ||||||||||||
| | | | | | | U.S. Treasury Bonds: | | ||||||
| | $ | 1,000,000 | | | | 5.250% due 11/15/28 | | | | $ | 1,376,680 | | |
| | | 500,000 | | | | 6.250% due 5/15/30 | | | | | 763,535 | | |
| | | 600,000 | | | | 5.375% due 2/15/31 | | | | | 883,852 | | |
| | | 2,050,000 | | | | 4.500% due 5/15/38 | | | | | 3,189,271 | | |
| | | 300,000 | | | | 4.375% due 11/15/39 | | | | | 466,102 | | |
| | | 630,000 | | | | 1.125% due 8/15/40 | | | | | 615,727 | | |
| | | 2,850,000 | | | | 3.875% due 8/15/40 | | | | | 4,198,184 | | |
| | | 3,000,000 | | | | 4.375% due 5/15/41 | | | | | 4,720,781 | | |
| | | 2,500,000 | | | | 3.125% due 11/15/41 | | | | | 3,356,348 | | |
| | | 950,000 | | | | 3.000% due 5/15/42 | | | | | 1,254,557 | | |
| | | 3,500,000 | | | | 2.750% due 8/15/42 | | | | | 4,454,844 | | |
| | | 1,000,000 | | | | 2.750% due 11/15/42 | | | | | 1,271,367 | | |
| | | 3,500,000 | | | | 2.875% due 5/15/43 | | | | | 4,537,148 | | |
| | | 300,000 | | | | 3.750% due 11/15/43 | | | | | 442,617 | | |
| | | 3,000,000 | | | | 3.125% due 8/15/44 | | | | | 4,055,039 | | |
| | | 1,475,000 | | | | 2.500% due 2/15/45 | | | | | 1,802,323 | | |
| | | 600,000 | | | | 2.875% due 8/15/45 | | | | | 782,742 | | |
| | | 1,000,000 | | | | 2.500% due 2/15/46 | | | | | 1,225,391 | | |
| | | 2,500,000 | | | | 2.500% due 5/15/46 | | | | | 3,066,406 | | |
| | | 1,700,000 | | | | 2.875% due 11/15/46 | | | | | 2,232,645 | | |
| | | 3,500,000 | | | | 3.000% due 2/15/47 | | | | | 4,701,348 | | |
| | | 1,000,000 | | | | 3.000% due 5/15/47 | | | | | 1,345,078 | | |
| | | 1,100,000 | | | | 2.750% due 8/15/47 | | | | | 1,418,914 | | |
| | | 550,000 | | | | 2.750% due 11/15/47 | | | | | 710,467 | | |
| | | 500,000 | | | | 3.000% due 8/15/48 | | | | | 677,871 | | |
| | | 21,900,000 | | | | 2.875% due 5/15/49 | | | | | 29,181,750 | | |
| | | 300,000 | | | | 2.250% due 8/15/49 | | | | | 354,891 | | |
| | | 12,450,000 | | | | 2.000% due 2/15/50 | | | | | 14,012,086 | | |
| | | 17,700,000 | | | | 1.250% due 5/15/50 | | | | | 16,693,312 | | |
| | | | | | | U.S. Treasury Notes: | | ||||||
| | | 30,300,000 | | | | 1.500% due 8/31/21 | | | | | 30,700,055 | | |
| | | 2,200,000 | | | | 2.000% due 11/15/21 | | | | | 2,249,242 | | |
| | | 8,000,000 | | | | 2.125% due 12/31/21 | | | | | 8,209,687 | | |
| | | 4,000,000 | | | | 1.875% due 1/31/22 | | | | | 4,096,719 | | |
| | | 500,000 | | | | 1.750% due 2/28/22 | | | | | 511,992 | | |
| | | 2,700,000 | | | | 1.875% due 2/28/22 | | | | | 2,769,820 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| U.S. GOVERNMENT AGENCIES & OBLIGATIONS – (continued) | | ||||||||||||
| U.S. GOVERNMENT OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 6,000,000 | | | | 1.875% due 3/31/22 | | | | $ | 6,163,359 | | |
| | | 800,000 | | | | 1.750% due 4/30/22 | | | | | 821,344 | | |
| | | 10,000,000 | | | | 0.125% due 6/30/22 | | | | | 9,996,875 | | |
| | | 4,000,000 | | | | 1.750% due 6/30/22 | | | | | 4,117,187 | | |
| | | 3,000,000 | | | | 1.875% due 7/31/22 | | | | | 3,099,258 | | |
| | | 1,500,000 | | | | 1.625% due 8/15/22 | | | | | 1,543,535 | | |
| | | 1,000,000 | | | | 1.625% due 8/31/22 | | | | | 1,029,727 | | |
| | | 2,000,000 | | | | 1.375% due 10/15/22 | | | | | 2,052,187 | | |
| | | 1,700,000 | | | | 1.875% due 10/31/22 | | | | | 1,764,016 | | |
| | | 2,500,000 | | | | 1.625% due 11/15/22 | | | | | 2,581,641 | | |
| | | 1,250,000 | | | | 2.000% due 11/30/22 | | | | | 1,302,148 | | |
| | | 2,500,000 | | | | 1.500% due 1/15/23 | | | | | 2,580,566 | | |
| | | 2,500,000 | | | | 1.750% due 1/31/23 | | | | | 2,597,363 | | |
| | | 5,000,000 | | | | 1.500% due 3/31/23 | | | | | 5,174,805 | | |
| | | 5,000,000 | | | | 1.625% due 5/31/23 | | | | | 5,202,930 | | |
| | | 4,000,000 | | | | 1.375% due 8/31/23 | | | | | 4,146,094 | | |
| | | 2,500,000 | | | | 1.625% due 10/31/23 | | | | | 2,615,332 | | |
| | | 9,000,000 | | | | 2.250% due 12/31/23 | | | | | 9,619,102 | | |
| | | 5,000,000 | | | | 2.750% due 2/15/24 | | | | | 5,442,383 | | |
| | | 23,000,000 | | | | 2.125% due 2/29/24 | | | | | 24,553,398 | | |
| | | 9,500,000 | | | | 2.125% due 3/31/24 | | | | | 10,156,094 | | |
| | | 2,600,000 | | | | 2.000% due 4/30/24 | | | | | 2,770,930 | | |
| | | 2,000,000 | | | | 2.500% due 5/15/24 | | | | | 2,170,234 | | |
| | | 900,000 | | | | 2.000% due 5/31/24 | | | | | 960,363 | | |
| | | 4,500,000 | | | | 1.750% due 6/30/24 | | | | | 4,765,078 | | |
| | | 4,000,000 | | | | 2.000% due 6/30/24 | | | | | 4,273,750 | | |
| | | 23,000,000 | | | | 2.125% due 7/31/24 | | | | | 24,721,406 | | |
| | | 1,000,000 | | | | 1.875% due 8/31/24 | | | | | 1,066,055 | | |
| | | 1,400,000 | | | | 1.500% due 9/30/24 | | | | | 1,472,898 | | |
| | | 1,400,000 | | | | 2.125% due 9/30/24 | | | | | 1,508,336 | | |
| | | 1,600,000 | | | | 1.500% due 10/31/24 | | | | | 1,684,562 | | |
| | | 4,000,000 | | | | 2.250% due 11/15/24 | | | | | 4,339,219 | | |
| | | 4,000,000 | | | | 2.125% due 11/30/24 | | | | | 4,320,469 | | |
| | | 2,400,000 | | | | 2.250% due 12/31/24 | | | | | 2,607,844 | | |
| | | 2,500,000 | | | | 2.000% due 2/15/25 | | | | | 2,694,434 | | |
| | | 1,200,000 | | | | 0.500% due 3/31/25 | | | | | 1,213,828 | | |
| | | 7,000,000 | | | | 0.375% due 4/30/25 | | | | | 7,038,555 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| U.S. GOVERNMENT AGENCIES & OBLIGATIONS – (continued) | | ||||||||||||
| U.S. GOVERNMENT OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 1,900,000 | | | | 2.125% due 5/15/25 | | | | $ | 2,065,285 | | |
| | | 1,500,000 | | | | 0.250% due 6/30/25 | | | | | 1,499,180 | | |
| | | 2,000,000 | | | | 0.250% due 7/31/25 | | | | | 1,998,281 | | |
| | | 2,000,000 | | | | 2.875% due 7/31/25 | | | | | 2,254,062 | | |
| | | 3,200,000 | | | | 2.000% due 8/15/25 | | | | | 3,471,125 | | |
| | | 2,000,000 | | | | 2.750% due 8/31/25 | | | | | 2,245,156 | | |
| | | 25,300,000 | | | | 2.250% due 11/15/25 | | | | | 27,839,883 | | |
| | | 5,000,000 | | | | 1.625% due 2/15/26 | | | | | 5,348,047 | | |
| | | 2,000,000 | | | | 2.500% due 2/28/26 | | | | | 2,236,172 | | |
| | | 21,050,000 | | | | 1.625% due 5/15/26 | | | | | 22,550,635 | | |
| | | 2,500,000 | | | | 1.875% due 6/30/26 | | | | | 2,716,602 | | |
| | | 2,250,000 | | | | 1.625% due 10/31/26 | | | | | 2,416,113 | | |
| | | 2,100,000 | | | | 2.250% due 2/15/27 | | | | | 2,342,074 | | |
| | | 4,000,000 | | | | 0.500% due 4/30/27 | | | | | 4,009,375 | | |
| | | 400,000 | | | | 2.375% due 5/15/27 | | | | | 450,500 | | |
| | | 16,400,000 | | | | 0.500% due 6/30/27 | | | | | 16,423,062 | | |
| | | 1,100,000 | | | | 0.375% due 7/31/27 | | | | | 1,091,578 | | |
| | | 2,000,000 | | | | 2.250% due 8/15/27 | | | | | 2,241,562 | | |
| | | 4,220,000 | | | | 2.250% due 11/15/27 | | | | | 4,741,236 | | |
| | | 5,000,000 | | | | 2.750% due 2/15/28 | | | | | 5,812,500 | | |
| | | 1,000,000 | | | | 2.875% due 8/15/28 | | | | | 1,179,297 | | |
| | | 1,500,000 | | | | 3.125% due 11/15/28 | | | | | 1,804,570 | | |
| | | 1,000,000 | | | | 2.625% due 2/15/29 | | | | | 1,165,977 | | |
| | | 500,000 | | | | 2.375% due 5/15/29 | | | | | 574,141 | | |
| | | 5,500,000 | | | | 1.625% due 8/15/29 | | | | | 5,971,797 | | |
| | | 16,000,000 | | | | 1.500% due 2/15/30 | | | | | 17,215,000 | | |
| | | 10,300,000 | | | | 0.625% due 5/15/30 | | | | | 10,229,187 | | |
| | | 1,100,000 | | | | 0.625% due 8/15/30 | | | | | 1,090,891 | | |
| | | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS | | | | | 489,479,384 | | |
| U.S. GOVERNMENT AGENCIES – 0 .5% | | ||||||||||||
| | | | | | | Federal Home Loan Banks (FHLB): | | ||||||
| | | 1,000,000 | | | | 1.375% due 2/18/21 | | | | | 1,005,717 | | |
| | | 2,000,000 | | | | 3.625% due 6/11/21 | | | | | 2,054,419 | | |
| | | 250,000 | | | | 0.500% due 4/14/25 | | | | | 251,310 | | |
| | | 555,000 | | | | 3.125% due 6/13/25 | | | | | 625,921 | | |
| | | | | | | Federal Home Loan Mortgage Corp. (FHLMC): | | ||||||
| | | 1,645,000 | | | | 2.375% due 1/13/22 | | | | | 1,694,771 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| U.S. GOVERNMENT AGENCIES & OBLIGATIONS – (continued) | | ||||||||||||
| U.S. GOVERNMENT AGENCIES – (continued) | | ||||||||||||
| | $ | 95,000 | | | | 0.125% due 7/25/22 | | | | $ | 94,927 | | |
| | | 500,000 | | | | 2.750% due 6/19/23 | | | | | 534,765 | | |
| | | 100,000 | | | | 0.375% due 7/21/25 | | | | | 99,732 | | |
| | | 1,300,000 | | | | 6.250% due 7/15/32 | | | | | 2,031,884 | | |
| | | | | | | Federal National Mortgage Association (FNMA): | | ||||||
| | | 350,000 | | | | 2.625% due 1/11/22 | | | | | 361,678 | | |
| | | 1,000,000 | | | | 1.875% due 4/5/22 | | | | | 1,027,247 | | |
| | | 150,000 | | | | 7.250% due 5/15/30 | | | | | 235,761 | | |
| | | 10,000 | | | | 0.875% due 8/5/30 | | | | | 9,857 | | |
| | | 425,000 | | | | 6.625% due 11/15/30 | | | | | 651,917 | | |
| | | | | | | TOTAL U.S. GOVERNMENT AGENCIES | | | | | 10,679,906 | | |
| | | | | | | TOTAL U.S. GOVERNMENT AGENCIES & OBLIGATIONS (Cost – $465,117,912) | | | | | 500,159,290 | | |
| MORTGAGE-BACKED SECURITIES – 20.0% | | ||||||||||||
| FHLMC – 3.7% | | ||||||||||||
| | | | | | | Federal Home Loan Mortgage Corp. (FHLMC), Gold: | | ||||||
| | | 2,660,852 | | | | 2.500% due 2/1/32 | | | | | 2,798,678 | | |
| | | 24,072,743 | | | | 3.000% due 3/1/32 – 4/1/50 | | | | | 25,687,642 | | |
| | | 3,955,896 | | | | 3.030% due 1/1/50 | | | | | 4,317,360 | | |
| | | 26,607,127 | | | | 3.500% due 6/1/33 – 2/1/48 | | | | | 29,219,012 | | |
| | | 4,591,996 | | | | 4.000% due 5/1/46 – 1/1/49 | | | | | 5,049,973 | | |
| | | 2,650,679 | | | | 4.500% due 9/1/46 – 3/1/49 | | | | | 2,900,717 | | |
| | | 59,467 | | | | 5.000% due 10/1/48 | | | | | 65,278 | | |
| | | | | | | Federal Home Loan Mortgage Corp. (FHLMC), Gold UMBS: | | ||||||
| | | 226,487 | | | | 2.500% due 6/1/50 | | | | | 240,833 | | |
| | | 4,168,447 | | | | 3.000% due 8/1/34 – 8/1/50 | | | | | 4,412,776 | | |
| | | 1,806,716 | | | | 3.500% due 6/1/33 – 5/1/50 | | | | | 1,904,601 | | |
| | | 987,247 | | | | 4.000% due 7/1/29 – 5/1/50 | | | | | 1,059,953 | | |
| | | 293,397 | | | | 4.500% due 7/1/48 | | | | | 317,180 | | |
| | | | | | | TOTAL FHLMC | | | | | 77,974,003 | | |
| FNMA – 14.0% | | ||||||||||||
| | | | | | | Federal National Mortgage Association (FNMA), UMBS: | | ||||||
| | | 4,725,000 | | | | 2.000% due 9/1/35 – 9/1/50(a) | | | | | 4,882,559 | | |
| | | 9,893,501 | | | | 2.000% due 6/1/50 | | | | | 10,222,547 | | |
| | | 27,288,500 | | | | 2.500% due 1/1/32 – 8/1/50 | | | | | 28,793,598 | | |
| | | 17,934,000 | | | | 2.500% due 9/1/35 – 9/1/50(a) | | | | | 18,861,958 | | |
| | | 50,894,593 | | | | 3.000% due 2/1/32 – 7/1/50 | | | | | 54,304,764 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
| FNMA – (continued) | | ||||||||||||
| | $ | 7,994,000 | | | | 3.000% due 9/1/35 – 10/1/50(a) | | | | $ | 8,419,447 | | |
| | | 55,718,357 | | | | 3.500% due 7/1/26 – 7/1/50 | | | | | 60,469,217 | | |
| | | 1,342,000 | | | | 3.500% due 9/1/35 – 9/1/50(a) | | | | | 1,416,112 | | |
| | | 21,256,534 | | | | 4.000% due 7/1/26 – 5/1/50 | | | | | 23,041,449 | | |
| | | 331,000 | | | | 4.000% due 9/1/35 – 9/1/50(a) | | | | | 352,697 | | |
| | | 3,222,524 | | | | 4.500% due 5/1/48 – 6/1/49 | | | | | 3,497,421 | | |
| | | 2,175,000 | | | | 4.500% due 9/1/50(a) | | | | | 2,349,425 | | |
| | | 4,751,594 | | | | 5.000% due 4/1/40 – 1/1/49 | | | | | 5,467,185 | | |
| | | | | | | Federal National Mortgage Association (FNMA): | | | |||||
| | | 12,100,000 | | | | 2.220% due 12/1/29 | | | | | 13,128,913 | | |
| | | 3,700,000 | | | | 2.310% due 12/1/29 | | | | | 4,041,355 | | |
| | | 3,000,000 | | | | 2.315% due 12/1/29 | | | | | 3,280,310 | | |
| | | 10,000,000 | | | | 2.410% due 10/1/29 | | | | | 10,965,144 | | |
| | | 1,700,000 | | | | 2.490% due 9/1/28 | | | | | 1,871,364 | | |
| | | 12,150,578 | | | | 2.690% due 8/1/30 | | | | | 13,548,943 | | |
| | | 4,845,978 | | | | 2.697% due 5/1/44(b) | | | | | 5,022,020 | | |
| | | 4,443,000 | | | | 2.760% due 9/1/31 | | | | | 5,006,618 | | |
| | | 10,900,000 | | | | 2.960% due 9/1/34 | | | | | 12,266,954 | | |
| | | 6,065,051 | | | | 3.000% due 4/1/53 | | | | | 6,458,222 | | |
| | | | | | | TOTAL FNMA | | | | | 297,668,222 | | |
| GNMA – 2.3% | | ||||||||||||
| | | | | | | Government National Mortgage Association (GNMA): | | ||||||
| | | 1,265,000 | | | | 2.500% due 9/1/50(a) | | | | | 1,333,241 | | |
| | | 5,842,000 | | | | 3.000% due 9/1/50(a) | | | | | 6,151,443 | | |
| | | 4,366,500 | | | | 3.500% due 9/1/50(a) | | | | | 4,595,741 | | |
| | | 875,000 | | | | 4.000% due 9/1/50(a) | | | | | 932,012 | | |
| | | 550,000 | | | | 4.500% due 9/1/50(a) | | | | | 590,455 | | |
| | | 275,000 | | | | 5.000% due 9/1/50(a) | | | | | 298,246 | | |
| | | | | | | Government National Mortgage Association (GNMA) II: | | | | | | | |
| | | 1,573,649 | | | | 2.500% due 12/20/46 – 8/20/50 | | | | | 1,663,072 | | |
| | | 9,404,646 | | | | 3.000% due 7/20/45 – 8/20/50 | | | | | 9,933,016 | | |
| | | 12,336,271 | | | | 3.500% due 5/20/43 – 3/20/50 | | | | | 13,163,451 | | |
| | | 6,378,563 | | | | 4.000% due 9/20/45 – 11/20/48 | | | | | 6,878,501 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
| GNMA – (continued) | | ||||||||||||
| | $ | 2,663,112 | | | | 4.500% due 2/20/47 – 8/20/49 | | | | $ | 2,879,711 | | |
| | | 767,008 | | | | 5.000% due 3/20/48 – 4/20/49 | | | | | 833,863 | | |
| | | | | | | TOTAL GNMA | | | | | 49,252,752 | | |
| | | | | | | TOTAL MORTGAGE-BACKED SECURITIES (Cost – $404,326,878) | | | | | 424,894,977 | | |
| CORPORATE BONDS & NOTES – 19.2% | | ||||||||||||
| Basic Materials – 0.8% | | ||||||||||||
| | | | | | | Air Products & Chemicals Inc., Senior Unsecured Notes: | | | |||||
| | | 350,000 | | | | 3.000% due 11/3/21 | | | | | 360,692 | | |
| | | 100,000 | | | | 2.050% due 5/15/30 | | | | | 105,560 | | |
| | | 400,000 | | | | Alcoa Nederland Holding BV, Company Guaranteed Notes, 6.125% due 5/15/28(c) | | | | | 432,000 | | |
| | | | | | | Arconic Corp.: | | | |||||
| | | 210,000 | | | | Secured Notes, 6.125% due 2/15/28(c) | | | | | 221,550 | | |
| | | 60,000 | | | | Senior Secured Notes, 6.000% due 5/15/25(c) | | | | | 63,600 | | |
| | | 300,000 | | | | Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV, Company Guaranteed Notes, 4.750% due 6/15/27(c) | | | | | 314,250 | | |
| | | 100,000 | | | | Barrick North America Finance LLC, Company Guaranteed Notes, 5.750% due 5/1/43 | | | | | 145,473 | | |
| | | 200,000 | | | | BHP Billiton Finance USA Ltd., Company Guaranteed Notes, 4.125% due 2/24/42 | | | | | 252,007 | | |
| | | 400,000 | | | | Braskem Idesa SAPI, Senior Secured Notes, 7.450% due 11/15/29(c) | | | | | 374,000 | | |
| | | 700,000 | | | | Braskem Netherlands Finance BV, Company Guaranteed Notes, 8.500% (5-Year CMT Index + 8.220)% due 1/23/81(b)(c) | | | | | 733,902 | | |
| | | | | | | CNAC HK Finbridge Co., Ltd., Company Guaranteed Notes: | | | |||||
| | | 300,000 | | | | 3.500% due 7/19/22 | | | | | 310,617 | | |
| | | 300,000 | | | | 3.375% due 6/19/24 | | | | | 317,247 | | |
| | | 800,000 | | | | CSN Islands XII Corp., Company Guaranteed Notes, 7.000%(d) | | | | | 670,000 | | |
| | | 200,000 | | | | CSN Resources SA, Company Guaranteed Notes, 7.625% due 4/17/26(c) | | | | | 200,002 | | |
| | | | | | | Dow Chemical Co., Senior Unsecured Notes: | | | |||||
| | | 100,000 | | | | 3.150% due 5/15/24 | | | | | 107,724 | | |
| | | 250,000 | | | | 4.625% due 10/1/44 | | | | | 288,342 | | |
| | | | | | | DuPont de Nemours Inc., Senior Unsecured Notes: | | | |||||
| | | 300,000 | | | | 2.169% due 5/1/23 | | | | | 305,900 | | |
| | | 375,000 | | | | 5.419% due 11/15/48 | | | | | 510,832 | | |
| | | 150,000 | | | | Eastman Chemical Co., Senior Unsecured Notes, 3.800% due 3/15/25 | | | | | 166,210 | | |
| | | 100,000 | | | | Ecolab Inc., Senior Unsecured Notes, 4.800% due 3/24/30 | | | | | 126,678 | | |
| | | 100,000 | | | | Freeport-McMoRan Inc., Company Guaranteed Notes, 4.625% due 8/1/30 | | | | | 106,874 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Basic Materials – (continued) | | ||||||||||||
| | $ | 560,000 | | | | Georgia-Pacific LLC, Senior Unsecured Notes, 3.600% due 3/1/25(c) | | | | $ | 628,096 | | |
| | | 95,000 | | | | Hexion Inc., Company Guaranteed Notes, 7.875% due 7/15/27(c) | | | | | 95,237 | | |
| | | 130,000 | | | | Illuminate Buyer LLC/Illuminate Holdings IV Inc., Senior Unsecured Notes, 9.000% due 7/1/28(c) | | | | | 140,075 | | |
| | | | | | | International Paper Co., Senior Unsecured Notes: | | | |||||
| | | 100,000 | | | | 3.000% due 2/15/27 | | | | | 110,008 | | |
| | | 100,000 | | | | 7.300% due 11/15/39 | | | | | 145,177 | | |
| | | 100,000 | | | | 4.400% due 8/15/47 | | | | | 120,089 | | |
| | | 600,000 | | | | Inversiones CMPC SA, Company Guaranteed Notes, 4.750% due 9/15/24 | | | | | 659,504 | | |
| | | 160,000 | | | | Kraton Polymers LLC/Kraton Polymers Capital Corp., Company Guaranteed Notes, 7.000% due 4/15/25(c) | | | | | 165,125 | | |
| | | 100,000 | | | | LYB International Finance II BV, Company Guaranteed Notes, 3.500% due 3/2/27 | | | | | 111,242 | | |
| | | | | | | LYB International Finance III LLC, Company Guaranteed Notes: | | | |||||
| | | 100,000 | | | | 4.200% due 10/15/49 | | | | | 110,111 | | |
| | | 100,000 | | | | 4.200% due 5/1/50 | | | | | 109,927 | | |
| | | 600,000 | | | | MEGlobal Canada ULC, Company Guaranteed Notes, 5.000% due 5/18/25(c) | | | | | 655,500 | | |
| | | 100,000 | | | | Mosaic Co., Senior Unsecured Notes, 4.050% due 11/15/27 | | | | | 110,752 | | |
| | | 250,000 | | | | Newmont Corp., Company Guaranteed Notes, 2.800% due 10/1/29 | | | | | 271,282 | | |
| | | 85,000 | | | | Novelis Corp., Company Guaranteed Notes, 4.750% due 1/30/30(c) | | | | | 86,145 | | |
| | | 100,000 | | | | Nucor Corp., Senior Unsecured Notes, 5.200% due 8/1/43 | | | | | 130,646 | | |
| | | 150,000 | | | | Nutrien Ltd., Senior Unsecured Notes, 6.125% due 1/15/41 | | | | | 198,669 | | |
| | | | | | | POSCO, Senior Unsecured Notes: | | | |||||
| | | 200,000 | | | | 2.375% due 11/12/22 | | | | | 204,999 | | |
| | | 400,000 | | | | 2.375% due 1/17/23 | | | | | 409,766 | | |
| | | 100,000 | | | | PPG Industries Inc., Senior Unsecured Notes, 2.800% due 8/15/29 | | | | | 108,516 | | |
| | | 200,000 | | | | Rio Tinto Finance USA Ltd., Company Guaranteed Notes, 5.200% due 11/2/40 | | | | | 285,783 | | |
| | | 160,000 | | | | Schweitzer-Mauduit International Inc., Company Guaranteed Notes, 6.875% due 10/1/26(c) | | | | | 172,000 | | |
| | | 100,000 | | | | Sherwin-Williams Co., Senior Unsecured Notes, 4.500% due 6/1/47 | | | | | 126,375 | | |
| | | 200,000 | | | | Sociedad Quimica y Minera de Chile SA, Senior Unsecured Notes, 4.375% due 1/28/25 | | | | | 218,500 | | |
| | | | | | | Southern Copper Corp., Senior Unsecured Notes: | | | | | | | |
| | | 125,000 | | | | 3.875% due 4/23/25 | | | | | 137,762 | | |
| | | 125,000 | | | | 6.750% due 4/16/40 | | | | | 179,695 | | |
| | | 800,000 | | | | Syngenta Finance NV, Company Guaranteed Notes, 5.676% due 4/24/48 | | | | | 854,122 | | |
| | | 100,000 | | | | Teck Resources Ltd., Senior Unsecured Notes, 6.000% due 8/15/40 | | | | | 108,034 | | |
| | | 1,100,000 | | | | UPL Corp., Ltd., Senior Unsecured Notes, 3.250% due 10/13/21 | | | | | 1,109,649 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Basic Materials – (continued) | | ||||||||||||
| | | | | | | Vale Overseas Ltd., Company Guaranteed Notes: | | | |||||
| | $ | 100,000 | | | | 6.250% due 8/10/26 | | | | $ | 118,850 | | |
| | | 125,000 | | | | 6.875% due 11/21/36 | | | | | 166,045 | | |
| | | 400,000 | | | | Vedanta Resources Finance II PLC, Company Guaranteed Notes, 9.250% due 4/23/26(c) | | | | | 324,000 | | |
| | | 1,600,000 | | | | Vedanta Resources Ltd., Senior Unsecured Notes, 6.125% due 8/9/24 | | | | | 1,234,445 | | |
| | | 100,000 | | | | Westlake Chemical Corp., Company Guaranteed Notes, 5.000% due 8/15/46 | | | | | 114,006 | | |
| | | 255,000 | | | | WR Grace & Co.-Conn, Company Guaranteed Notes, 4.875% due 6/15/27(c) | | | | | 267,112 | | |
| | | | | | | Total Basic Materials | | | | | 16,100,704 | | |
| Communications – 2.0% | | ||||||||||||
| | | | | | | Alibaba Group Holding Ltd., Senior Unsecured Notes: | | | | | | | |
| | | 200,000 | | | | 3.600% due 11/28/24 | | | | | 221,138 | | |
| | | 200,000 | | | | 4.000% due 12/6/37 | | | | | 239,724 | | |
| | | | | | | Alphabet Inc., Senior Unsecured Notes: | | | |||||
| | | 200,000 | | | | 1.900% due 8/15/40 | | | | | 194,463 | | |
| | | 800,000 | | | | 2.250% due 8/15/60 | | | | | 759,845 | | |
| | | 255,000 | | | | Altice France SA, Senior Secured Notes, 7.375% due 5/1/26(c) | | | | | 270,721 | | |
| | | | | | | Amazon.com Inc., Senior Unsecured Notes: | | | |||||
| | | 845,000 | | | | 2.800% due 8/22/24 | | | | | 920,033 | | |
| | | 215,000 | | | | 3.800% due 12/5/24 | | | | | 243,511 | | |
| | | 250,000 | | | | 3.150% due 8/22/27 | | | | | 286,219 | | |
| | | 100,000 | | | | 4.050% due 8/22/47 | | | | | 129,271 | | |
| | | 300,000 | | | | 2.500% due 6/3/50 | | | | | 301,764 | | |
| | | 100,000 | | | | 4.250% due 8/22/57 | | | | | 136,120 | | |
| | | 250,000 | | | | America Movil SAB de CV, Senior Unsecured Notes, 4.375% due 7/16/42 | | | | | 304,615 | | |
| | | | | | | AT&T Inc., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 4.250% due 3/1/27 | | | | | 292,737 | | |
| | | 100,000 | | | | 4.300% due 2/15/30 | | | | | 119,466 | | |
| | | 100,000 | | | | 2.750% due 6/1/31 | | | | | 105,940 | | |
| | | 960,000 | | | | 2.250% due 2/1/32 | | | | | 973,045 | | |
| | | 250,000 | | | | 5.250% due 3/1/37 | | | | | 314,816 | | |
| | | 250,000 | | | | 5.350% due 9/1/40 | | | | | 320,627 | | |
| | | 100,000 | | | | 6.375% due 3/1/41 | | | | | 141,180 | | |
| | | 100,000 | | | | 3.500% due 6/1/41 | | | | | 105,877 | | |
| | | 250,000 | | | | 4.850% due 7/15/45 | | | | | 297,040 | | |
| | | 150,000 | | | | 4.750% due 5/15/46 | | | | | 179,075 | | |
| | | 200,000 | | | | 4.500% due 3/9/48 | | | | | 234,252 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Communications – (continued) | | ||||||||||||
| | $ | 200,000 | | | | 3.650% due 6/1/51 | | | | $ | 208,819 | | |
| | | 400,000 | | | | 3.300% due 2/1/52 | | | | | 396,034 | | |
| | | 300,000 | | | | 5.700% due 3/1/57 | | | | | 409,029 | | |
| | | 100,000 | | | | 3.850% due 6/1/60 | | | | | 106,041 | | |
| | | 1,000,000 | | | | Axiata SPV2 Bhd, Senior Unsecured Notes, 3.466% due 11/19/20 | | | | | 1,004,090 | | |
| | | | | | | Baidu Inc., Senior Unsecured Notes: | | | |||||
| | | 200,000 | | | | 4.875% due 11/14/28 | | | | | 239,632 | | |
| | | 200,000 | | | | 3.425% due 4/7/30 | | | | | 222,516 | | |
| | | 50,000 | | | | Bell Canada Inc., Company Guaranteed Notes, 4.464% due 4/1/48 | | | | | 63,469 | | |
| | | 100,000 | | | | Booking Holdings Inc., Senior Unsecured Notes, 4.625% due 4/13/30 | | | | | 120,680 | | |
| | | 100,000 | | | | British Telecommunications PLC, Senior Unsecured Notes, 9.625% due 12/15/30 | | | | | 162,791 | | |
| | | 200,000 | | | | C&W Senior Financing DAC, Senior Unsecured Notes, 6.875% due 9/15/27 | | | | | 209,420 | | |
| | | | | | | CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes: | | | |||||
| | | 740,000 | | | | 5.750% due 2/15/26(c) | | | | | 775,564 | | |
| | | 265,000 | | | | 4.750% due 3/1/30(c) | | | | | 284,703 | | |
| | | 125,000 | | | | 4.500% due 8/15/30(c) | | | | | 132,656 | | |
| | | 125,000 | | | | Cengage Learning Inc., Senior Unsecured Notes, 9.500% due 6/15/24(c) | | | | | 83,750 | | |
| | | | | | | CenturyLink Inc.: | | | |||||
| | | 125,000 | | | | Senior Secured Notes, 4.000% due 2/15/27(c) | | | | | 127,016 | | |
| | | 135,000 | | | | Senior Unsecured Notes, 5.125% due 12/15/26(c) | | | | | 139,998 | | |
| | | | | | | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes: | | | |||||
| | | 780,000 | | | | 4.464% due 7/23/22 | | | | | 831,160 | | |
| | | 250,000 | | | | 4.908% due 7/23/25 | | | | | 290,868 | | |
| | | 350,000 | | | | 5.050% due 3/30/29 | | | | | 422,144 | | |
| | | 250,000 | | | | 6.484% due 10/23/45 | | | | | 333,955 | | |
| | | 100,000 | | | | 4.800% due 3/1/50 | | | | | 113,715 | | |
| | | 50,000 | | | | 3.700% due 4/1/51 | | | | | 49,555 | | |
| | | 175,000 | | | | Cincinnati Bell Inc., Company Guaranteed Notes, 7.000% due 7/15/24(c) | | | | | 180,906 | | |
| | | | | | | Cisco Systems Inc., Senior Unsecured Notes: | | | |||||
| | | 150,000 | | | | 2.200% due 9/20/23 | | | | | 158,119 | | |
| | | 100,000 | | | | 3.625% due 3/4/24 | | | | | 111,140 | | |
| | | 100,000 | | | | 5.500% due 1/15/40 | | | | | 146,641 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Communications – (continued) | | ||||||||||||
| | $ | 126,000 | | | | Clear Channel Worldwide Holdings Inc., Company Guaranteed Notes, 9.250% due 2/15/24 | | | | $ | 123,480 | | |
| | | | | | | Comcast Corp., Company Guaranteed Notes: | | | |||||
| | | 250,000 | | | | 3.000% due 2/1/24 | | | | | 270,206 | | |
| | | 250,000 | | | | 3.300% due 2/1/27 | | | | | 282,749 | | |
| | | 500,000 | | | | 4.150% due 10/15/28 | | | | | 605,681 | | |
| | | 150,000 | | | | 4.400% due 8/15/35 | | | | | 191,163 | | |
| | | 400,000 | | | | 3.400% due 7/15/46 | | | | | 441,909 | | |
| | | 200,000 | | | | 3.969% due 11/1/47 | | | | | 240,510 | | |
| | | 970,000 | | | | 4.700% due 10/15/48 | | | | | 1,298,041 | | |
| | | 100,000 | | | | 3.999% due 11/1/49 | | | | | 120,758 | | |
| | | 150,000 | | | | 4.950% due 10/15/58 | | | | | 214,487 | | |
| | | | | | | CommScope Inc., Senior Secured Notes: | | | |||||
| | | 105,000 | | | | 5.500% due 3/1/24(c) | | | | | 108,412 | | |
| | | 100,000 | | | | 6.000% due 3/1/26(c) | | | | | 106,250 | | |
| | | | | | | Corning Inc., Senior Unsecured Notes: | | | |||||
| | | 100,000 | | | | 3.900% due 11/15/49 | | | | | 114,694 | | |
| | | 50,000 | | | | 5.450% due 11/15/79 | | | | | 62,477 | | |
| | | | | | | CSC Holdings LLC, Senior Unsecured Notes: | | | |||||
| | | 295,000 | | | | 5.750% due 1/15/30(c) | | | | | 321,550 | | |
| | | 200,000 | | | | 4.625% due 12/1/30(c) | | | | | 204,542 | | |
| | | 100,000 | | | | Deutsche Telekom International Finance BV, Company Guaranteed Notes, 8.750% due 6/15/30 | | | | | 156,840 | | |
| | | 165,000 | | | | Diamond Sports Group LLC/Diamond Sports Finance Co., Senior Secured Notes, 5.375% due 8/15/26(c) | | | | | 128,700 | | |
| | | | | | | Digicel Group 0.5 Ltd.: | | | |||||
| | | 51,222 | | | | Senior Unsecured Notes, 8.000% due 4/1/25(c)(e) | | | | | 18,312 | | |
| | | 76,581 | | | | Subordinated Notes, 7.000%(c)(d)(e) | | | | | 9,190 | | |
| | | | | | | Discovery Communications LLC, Company Guaranteed Notes: | | | |||||
| | | 400,000 | | | | 3.800% due 3/13/24 | | | | | 437,333 | | |
| | | 350,000 | | | | 4.125% due 5/15/29 | | | | | 399,982 | | |
| | | 100,000 | | | | 4.650% due 5/15/50 | | | | | 114,221 | | |
| | | 160,000 | | | | DISH DBS Corp., Company Guaranteed Notes, 5.875% due 11/15/24 | | | | | 169,116 | | |
| | | 100,000 | | | | eBay Inc., Senior Unsecured Notes, 4.000% due 7/15/42 | | | | | 110,620 | | |
| | | 130,000 | | | | Embarq Corp., Senior Unsecured Notes, 7.995% due 6/1/36 | | | | | 155,900 | | |
| | | | | | | Expedia Group Inc., Company Guaranteed Notes: | | | |||||
| | | 1,000,000 | | | | 3.800% due 2/15/28 | | | | | 998,083 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Communications – (continued) | | ||||||||||||
| | $ | 65,000 | | | | 3.250% due 2/15/30 | | | | $ | 61,429 | | |
| | | | | | | Fox Corp., Senior Unsecured Notes: | | | |||||
| | | 200,000 | | | | 4.709% due 1/25/29 | | | | | 240,011 | | |
| | | 50,000 | | | | 5.576% due 1/25/49 | | | | | 68,594 | | |
| | | | | | | Frontier Communications Corp.: | | | |||||
| | | | | | | Senior Unsecured Notes: | | | |||||
| | | 45,000 | | | | 8.500% due 4/15/20(f)(h) | | | | | 18,675 | | |
| | | 100,000 | | | | 7.125% due 1/15/23(f)(h) | | | | | 41,000 | | |
| | | 80,000 | | | | Secured Notes, 8.500% due 4/1/26(c)(f)(h) | | | | | 81,000 | | |
| | | 125,000 | | | | Senior Secured Notes, 8.000% due 4/1/27(c)(f)(h) | | | | | 125,625 | | |
| | | 400,000 | | | | Globo Comunicacao e Participacoes SA, Senior Unsecured Notes, 4.875% due 1/22/30(c) | | | | | 394,004 | | |
| | | 185,000 | | | | Gogo Intermediate Holdings LLC/Gogo Finance Co., Inc., Senior Secured Notes, 9.875% due 5/1/24(c) | | | | | 192,400 | | |
| | | | | | | Gray Television Inc., Company Guaranteed Notes: | | | |||||
| | | 65,000 | | | | 5.125% due 10/15/24(c) | | | | | 66,449 | | |
| | | 190,000 | | | | 7.000% due 5/15/27(c) | | | | | 206,150 | | |
| | | 80,000 | | | | GrubHub Holdings Inc., Company Guaranteed Notes, 5.500% due 7/1/27(c) | | | | | 83,700 | | |
| | | 250,000 | | | | Grupo Televisa SAB, Senior Unsecured Notes, 4.625% due 1/30/26 | | | | | 279,837 | | |
| | | 120,000 | | | | GTT Communications Inc., Company Guaranteed Notes, 7.875% due 12/31/24(c) | | | | | 44,387 | | |
| | | | | | | iHeartCommunications Inc.: | | | |||||
| | | 25,000 | | | | Company Guaranteed Notes, 8.375% due 5/1/27 | | | | | 25,125 | | |
| | | 105,000 | | | | Senior Secured Notes, 5.250% due 8/15/27(c) | | | | | 104,737 | | |
| | | | | | | Intelsat Jackson Holdings SA, Company Guaranteed Notes: | | | |||||
| | | 110,000 | | | | 5.500% due 8/1/23(f) | | | | | 73,150 | | |
| | | 190,000 | | | | 8.500% due 10/15/24(c)(f) | | | | | 129,200 | | |
| | | 100,000 | | | | Interpublic Group of Cos., Inc., Senior Unsecured Notes, 4.750% due 3/30/30 | | | | | 120,172 | | |
| | | 800,000 | | | | JD.com Inc., Senior Unsecured Notes, 3.375% due 1/14/30 | | | | | 874,237 | | |
| | | | | | | Level 3 Financing Inc., Company Guaranteed Notes: | | | |||||
| | | 160,000 | | | | 4.625% due 9/15/27(c) | | | | | 167,600 | | |
| | | 120,000 | | | | 4.250% due 7/1/28(c) | | | | | 123,510 | | |
| | | | | | | Match Group Holdings II LLC, Senior Unsecured Notes: | | | |||||
| | | 255,000 | | | | 5.000% due 12/15/27(c) | | | | | 271,894 | | |
| | | 65,000 | | | | 4.625% due 6/1/28(c) | | | | | 68,446 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Communications – (continued) | | ||||||||||||
| | $ | 200,000 | | | | Motorola Solutions Inc., Senior Unsecured Notes, 4.600% due 5/23/29 | | | | $ | 234,534 | | |
| | | | | | | Netflix Inc., Senior Unsecured Notes: | | | |||||
| | | 140,000 | | | | 5.875% due 2/15/25 | | | | | 161,700 | | |
| | | 75,000 | | | | 5.375% due 11/15/29(c) | | | | | 90,187 | | |
| | | 200,000 | | | | Network i2i Ltd., Company Guaranteed Notes, 5.650% (5-Year CMT Index + 4.277)%(b)(c)(d) | | | | | 201,100 | | |
| | | 110,000 | | | | Nexstar Broadcasting Inc., Company Guaranteed Notes, 5.625% due 7/15/27(c) | | | | | 116,050 | | |
| | | 690,000 | | | | Omnicom Group Inc., Senior Unsecured Notes, 2.450% due 4/30/30 | | | | | 712,683 | | |
| | | 100,000 | | | | Omnicom Group Inc./Omnicom Capital Inc., Senior Unsecured Notes, 3.600% due 4/15/26 | | | | | 112,647 | | |
| | | 800,000 | | | | Ooredoo International Finance Ltd., Company Guaranteed Notes, 3.250% due 2/21/23 | | | | | 838,928 | | |
| | | 250,000 | | | | Orange SA, Senior Unsecured Notes, 9.000% due 3/1/31 | | | | | 409,442 | | |
| | | 180,000 | | | | Radiate Holdco LLC/Radiate Finance Inc., Senior Unsecured Notes, 6.875% due 2/15/23(c) | | | | | 184,500 | | |
| | | 150,000 | | | | Rogers Communications Inc., Company Guaranteed Notes, 5.000% due 3/15/44 | | | | | 195,381 | | |
| | | 125,000 | | | | Scripps Escrow Inc., Company Guaranteed Notes, 5.875% due 7/15/27(c) | | | | | 125,000 | | |
| | | 600,000 | | | | SingTel Group Treasury Pte Ltd., Company Guaranteed Notes, 4.500% due 9/8/21 | | | | | 619,958 | | |
| | | | | | | Sirius XM Radio Inc., Company Guaranteed Notes: | | | |||||
| | | 145,000 | | | | 5.375% due 7/15/26(c) | | | | | 151,706 | | |
| | | 110,000 | | | | 5.500% due 7/1/29(c) | | | | | 120,811 | | |
| | | 190,000 | | | | 4.125% due 7/1/30(c) | | | | | 199,975 | | |
| | | 415,000 | | | | Sprint Capital Corp., Company Guaranteed Notes, 6.875% due 11/15/28 | | | | | 530,885 | | |
| | | 395,000 | | | | Sprint Corp., Company Guaranteed Notes, 7.125% due 6/15/24 | | | | | 459,073 | | |
| | | 100,000 | | | | TD Ameritrade Holding Corp., Senior Unsecured Notes, 2.750% due 10/1/29 | | | | | 112,155 | | |
| | | 200,000 | | | | Telefonica Chile SA, Senior Unsecured Notes, 3.875% due 10/12/22 | | | | | 208,880 | | |
| | | | | | | Telefonica Emisiones SA, Company Guaranteed Notes: | | | |||||
| | | 200,000 | | | | 4.103% due 3/8/27 | | | | | 229,196 | | |
| | | 200,000 | | | | 5.213% due 3/8/47 | | | | | 243,094 | | |
| | | | | | | Telesat Canada/Telesat LLC: | | | |||||
| | | 130,000 | | | | Company Guaranteed Notes, 6.500% due 10/15/27(c) | | | | | 133,536 | | |
| | | 130,000 | | | | Senior Secured Notes, 4.875% due 6/1/27(c) | | | | | 131,950 | | |
| | | 100,000 | | | | TELUS Corp., Senior Unsecured Notes, 3.700% due 9/15/27 | | | | | 113,010 | | |
| | | 900,000 | | | | Tencent Holdings Ltd., Senior Unsecured Notes, 2.390% due 6/3/30(c) | | | | | 932,429 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Communications – (continued) | | ||||||||||||
| | $ | 55,000 | | | | Terrier Media Buyer Inc., Company Guaranteed Notes, 8.875% due 12/15/27(c) | | | | $ | 56,941 | | |
| | | | | | | Time Warner Cable LLC, Senior Secured Notes: | | | |||||
| | | 150,000 | | | | 4.000% due 9/1/21 | | | | | 153,479 | | |
| | | 150,000 | | | | 7.300% due 7/1/38 | | | | | 213,029 | | |
| | | 150,000 | | | | 4.500% due 9/15/42 | | | | | 167,383 | | |
| | | | | | | T-Mobile USA Inc.: | | | |||||
| | | | | | | Senior Secured Notes: | | | |||||
| | | 200,000 | | | | 3.500% due 4/15/25(c) | | | | | 220,960 | | |
| | | 200,000 | | | | 3.750% due 4/15/27(c) | | | | | 226,182 | | |
| | | 1,370,000 | | | | 3.875% due 4/15/30(c) | | | | | 1,565,787 | | |
| | | 50,000 | | | | 4.375% due 4/15/40(c) | | | | | 60,133 | | |
| | | 100,000 | | | | 4.500% due 4/15/50(c) | | | | | 122,148 | | |
| | | 500,000 | | | | Company Guaranteed Notes, 4.500% due 2/1/26 | | | | | 516,155 | | |
| | | | | | | TWDC Enterprises 18 Corp., Company Guaranteed Notes: | | | |||||
| | | 150,000 | | | | 2.450% due 3/4/22 | | | | | 154,844 | | |
| | | 125,000 | | | | 3.150% due 9/17/25 | | | | | 139,435 | | |
| | | | | | | Uber Technologies Inc., Company Guaranteed Notes: | | | |||||
| | | 130,000 | | | | 8.000% due 11/1/26(c) | | | | | 137,747 | | |
| | | 70,000 | | | | 7.500% due 9/15/27(c) | | | | | 73,384 | | |
| | | 135,000 | | | | Univision Communications Inc., Senior Secured Notes, 6.625% due 6/1/27(c) | | | | | 135,675 | | |
| | | | | | | Verizon Communications Inc., Senior Unsecured Notes: | | | |||||
| | | 400,000 | | | | 5.150% due 9/15/23 | | | | | 454,421 | | |
| | | 493,000 | | | | 4.329% due 9/21/28 | | | | | 597,225 | | |
| | | 500,000 | | | | 5.250% due 3/16/37 | | | | | 676,817 | | |
| | | 100,000 | | | | 4.522% due 9/15/48 | | | | | 130,826 | | |
| | | 350,000 | | | | 5.012% due 4/15/49 | | | | | 485,681 | | |
| | | | | | | ViacomCBS Inc., Senior Unsecured Notes: | | | |||||
| | | 100,000 | | | | 4.950% due 1/15/31 | | | | | 119,387 | | |
| | | 100,000 | | | | 5.900% due 10/15/40 | | | | | 124,088 | | |
| | | 100,000 | | | | 5.850% due 9/1/43 | | | | | 124,538 | | |
| | | 50,000 | | | | 4.950% due 5/19/50 | | | | | 58,038 | | |
| | | 165,000 | | | | ViaSat Inc., Senior Unsecured Notes, 6.500% due 7/15/28(c) | | | | | 170,775 | | |
| | | 200,000 | | | | Virgin Media Finance PLC, Senior Unsecured Notes, 5.000% due 7/15/30(c) | | | | | 205,940 | | |
| | | | | | | Vodafone Group PLC, Senior Unsecured Notes: | | | | | | | |
| | | 350,000 | | | | 4.375% due 5/30/28 | | | | | 418,876 | | |
| | | 250,000 | | | | 4.375% due 2/19/43 | | | | | 292,531 | | |
| | | 100,000 | | | | 5.250% due 5/30/48 | | | | | 130,583 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Communications – (continued) | | ||||||||||||
| | $ | 200,000 | | | | VTR Finance NV, Senior Unsecured Notes, 6.375% due 7/15/28(c) | | | | $ | 213,500 | | |
| | | | | | | Walt Disney Co., Company Guaranteed Notes: | | | | | | | |
| | | 250,000 | | | | 3.375% due 11/15/26 | | | | | 283,965 | | |
| | | 100,000 | | | | 2.000% due 9/1/29 | | | | | 103,974 | | |
| | | 150,000 | | | | 4.750% due 11/15/46 | | | | | 191,571 | | |
| | | 50,000 | | | | 2.750% due 9/1/49 | | | | | 49,028 | | |
| | | 150,000 | | | | 4.700% due 3/23/50 | | | | | 198,285 | | |
| | | 100,000 | | | | 3.600% due 1/13/51 | | | | | 113,059 | | |
| | | 100,000 | | | | 3.800% due 5/13/60 | | | | | 116,195 | | |
| | | | | | | Zayo Group Holdings Inc.: | | | | | | | |
| | | 160,000 | | | | Senior Secured Notes, 4.000% due 3/1/27(c) | | | | | 158,200 | | |
| | | 65,000 | | | | Senior Unsecured Notes, 6.125% due 3/1/28(c) | | | | | 67,113 | | |
| | | | | | | Total Communications | | | | | 42,679,136 | | |
| Consumer Cyclical – 1.4% | | ||||||||||||
| | | 96,523 | | | | American Airlines 2019-1 Class AA Pass-Through Trust, Pass-Thru Certificates, 3.150% due 2/15/32 | | | | | 90,462 | | |
| | | 115,000 | | | | American Axle & Manufacturing Inc., Company Guaranteed Notes, 6.250% due 3/15/26 | | | | | 117,211 | | |
| | | | | | | American Honda Finance Corp., Senior Unsecured Notes: | | | | | | | |
| | | 225,000 | | | | 2.050% due 1/10/23 | | | | | 233,453 | | |
| | | 150,000 | | | | 2.900% due 2/16/24 | | | | | 160,880 | | |
| | | 170,000 | | | | Aramark Services Inc., Company Guaranteed Notes, 6.375% due 5/1/25(c) | | | | | 178,075 | | |
| | | | | | | Asbury Automotive Group Inc., Company Guaranteed Notes: | | | | | | | |
| | | 38,000 | | | | 4.500% due 3/1/28(c) | | | | | 38,855 | | |
| | | 38,000 | | | | 4.750% due 3/1/30(c) | | | | | 39,382 | | |
| | | 250,000 | | | | AutoZone Inc., Senior Unsecured Notes, 3.125% due 4/18/24 | | | | | 269,600 | | |
| | | | | | | Beacon Roofing Supply Inc.: | | | | | | | |
| | | 215,000 | | | | Company Guaranteed Notes, 4.875% due 11/1/25(c) | | | | | 213,145 | | |
| | | 90,000 | | | | Senior Secured Notes, 4.500% due 11/15/26(c) | | | | | 92,700 | | |
| | | 215,000 | | | | Boyd Gaming Corp., Company Guaranteed Notes, 4.750% due 12/1/27 | | | | | 214,194 | | |
| | | 370,000 | | | | Boyne USA Inc., Secured Notes, 7.250% due 5/1/25(c) | | | | | 392,200 | | |
| | | 200,000 | | | | Caesars Resort Collection LLC/CRC Finco Inc., Company Guaranteed Notes, 5.250% due 10/15/25(c) | | | | | 191,474 | | |
| | | 65,000 | | | | Carnival Corp., Senior Secured Notes, 11.500% due 4/1/23(c) | | | | | 72,510 | | |
| | | 75,000 | | | | Carvana Co., Company Guaranteed Notes, 8.875% due 10/1/23(c) | | | | | 78,585 | | |
| | | 280,000 | | | | Cedar Fair LP, Company Guaranteed Notes, 5.250% due 7/15/29 | | | | | 271,354 | | |
| | | 115,000 | | | | Century Communities Inc., Company Guaranteed Notes, 6.750% due 6/1/27 | | | | | 123,912 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Cyclical – (continued) | | ||||||||||||
| | $ | 500,000 | | | | CK Hutchison International 20 Ltd., Company Guaranteed Notes, 2.500% due 5/8/30(c) | | | | $ | 525,193 | | |
| | | | | | | Clarios Global LP/Clarios US Finance Co.: | | | |||||
| | | 80,000 | | | | Company Guaranteed Notes, 8.500% due 5/15/27(c) | | | | | 84,943 | | |
| | | 150,000 | | | | Senior Secured Notes, 6.250% due 5/15/26(c) | | | | | 159,094 | | |
| | | 165,000 | | | | Colt Merger Sub Inc., Senior Secured Notes, 6.250% due 7/1/25(c) | | | | | 174,644 | | |
| | | 140,000 | | | | Constellation Merger Sub Inc., Senior Unsecured Notes, 8.500% due 9/15/25(c) | | | | | 119,000 | | |
| | | 300,000 | | | | Costco Wholesale Corp., Senior Unsecured Notes, 2.300% due 5/18/22 | | | | | 310,541 | | |
| | | 235,000 | | | | Dana Financing Luxembourg SARL, Company Guaranteed Notes, 5.750% due 4/15/25(c) | | | | | 243,633 | | |
| | | | | | | Dana Inc., Senior Unsecured Notes: | | | |||||
| | | 45,000 | | | | 5.375% due 11/15/27 | | | | | 47,727 | | |
| | | 110,000 | | | | 5.625% due 6/15/28 | | | | | 116,050 | | |
| | | 60,000 | | | | Dealer Tire LLC/DT Issuer LLC, Senior Unsecured Notes, 8.000% due 2/1/28(c) | | | | | 59,775 | | |
| | | 50,000 | | | | Delta Air Lines Inc., Senior Secured Notes, 7.000% due 5/1/25(c) | | | | | 54,736 | | |
| | | 775,000 | | | | Dollar General Corp., Senior Unsecured Notes, 3.500% due 4/3/30 | | | | | 889,123 | | |
| | | 720,000 | | | | Dollar Tree Inc., Senior Unsecured Notes, 4.000% due 5/15/25 | | | | | 816,037 | | |
| | | 215,000 | | | | eG Global Finance PLC, Senior Secured Notes, 8.500% due 10/30/25(c) | | | | | 230,050 | | |
| | | 200,000 | | | | Falabella SA, Senior Unsecured Notes, 3.750% due 4/30/23 | | | | | 207,764 | | |
| | | | | | | Ford Motor Co., Senior Unsecured Notes: | | | |||||
| | | 70,000 | | | | 9.000% due 4/22/25 | | | | | 81,919 | | |
| | | 170,000 | | | | 7.450% due 7/16/31 | | | | | 198,102 | | |
| | | | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes: | | | |||||
| | | 400,000 | | | | 5.750% due 2/1/21 | | | | | 404,246 | | |
| | | 400,000 | | | | 4.389% due 1/8/26 | | | | | 406,928 | | |
| | | | | | | General Motors Co., Senior Unsecured Notes: | | | |||||
| | | 200,000 | | | | 6.125% due 10/1/25 | | | | | 234,704 | | |
| | | 75,000 | | | | 6.250% due 10/2/43 | | | | | 87,167 | | |
| | | 100,000 | | | | 5.400% due 4/1/48 | | | | | 109,624 | | |
| | | 50,000 | | | | 5.950% due 4/1/49 | | | | | 58,752 | | |
| | | | | | | General Motors Financial Co., Inc.: | | | |||||
| | | | | | | Company Guaranteed Notes: | | | |||||
| | | 500,000 | | | | 3.450% due 1/14/22 | | | | | 513,583 | | |
| | | 860,000 | | | | 1.294% (3-Month USD-LIBOR + 0.990)% due 1/5/23(b) | | | | | 851,316 | | |
| | | 415,000 | | | | 3.950% due 4/13/24 | | | | | 443,098 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Cyclical – (continued) | | ||||||||||||
| | $ | 100,000 | | | | 4.350% due 1/17/27 | | | | $ | 108,294 | | |
| | | | | | | Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 5.100% due 1/17/24 | | | | | 274,660 | | |
| | | 150,000 | | | | 5.650% due 1/17/29 | | | | | 176,212 | | |
| | | 105,000 | | | | Golden Entertainment Inc., Senior Unsecured Notes, 7.625% due 4/15/26(c) | | | | | 99,750 | | |
| | | | | | | Golden Nugget Inc.: | | | |||||
| | | 50,000 | | | | Company Guaranteed Notes, 8.750% due 10/1/25(c) | | | | | 37,250 | | |
| | | 280,000 | | | | Senior Unsecured Notes, 6.750% due 10/15/24(c) | | | | | 239,400 | | |
| | | 50,000 | | | | Group 1 Automotive Inc., Company Guaranteed Notes, 4.000% due 8/15/28(c) | | | | | 49,886 | | |
| | | 100,000 | | | | Hasbro Inc., Senior Unsecured Notes, 3.900% due 11/19/29 | | | | | 104,914 | | |
| | | | | | | Hilton Domestic Operating Co., Inc., Company Guaranteed Notes: | | | |||||
| | | 10,000 | | | | 5.375% due 5/1/25(c) | | | | | 10,483 | | |
| | | 10,000 | | | | 5.750% due 5/1/28(c) | | | | | 10,575 | | |
| | | | | | | Home Depot Inc., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 2.625% due 6/1/22 | | | | | 259,896 | | |
| | | 100,000 | | | | 2.500% due 4/15/27 | | | | | 109,436 | | |
| | | 200,000 | | | | 2.950% due 6/15/29 | | | | | 225,484 | | |
| | | 100,000 | | | | 2.700% due 4/15/30 | | | | | 110,726 | | |
| | | 100,000 | | | | 3.300% due 4/15/40 | | | | | 113,963 | | |
| | | 700,000 | | | | 3.900% due 6/15/47 | | | | | 850,544 | | |
| | | 100,000 | | | | 3.350% due 4/15/50 | | | | | 113,771 | | |
| | | 250,000 | | | | 3.500% due 9/15/56 | | | | | 296,176 | | |
| | | 830,000 | | | | Hyundai Capital America, Senior Unsecured Notes, 3.000% due 2/10/27(c) | | | | | 868,028 | | |
| | | 210,000 | | | | IAA Inc., Senior Unsecured Notes, 5.500% due 6/15/27(c) | | | | | 221,283 | | |
| | | 155,000 | | | | Installed Building Products Inc., Company Guaranteed Notes, 5.750% due 2/1/28(c) | | | | | 163,525 | | |
| | | | | | | IRB Holding Corp.: | | | |||||
| | | 230,000 | | | | Company Guaranteed Notes, 6.750% due 2/15/26(c) | | | | | 233,737 | | |
| | | 100,000 | | | | Senior Secured Notes, 7.000% due 6/15/25(c) | | | | | 106,750 | | |
| | | 255,000 | | | | KAR Auction Services Inc., Company Guaranteed Notes, 5.125% due 6/1/25(c) | | | | | 256,912 | | |
| | | 100,000 | | | | Kohl’s Corp., Senior Unsecured Notes, 9.500% due 5/15/25 | | | | | 120,385 | | |
| | | 150,000 | | | | Las Vegas Sands Corp., Senior Unsecured Notes, 3.500% due 8/18/26 | | | | | 153,042 | | |
| | | | | | | Latam Finance Ltd., Company Guaranteed Notes: | | | |||||
| | | 400,000 | | | | 6.875% due 4/11/24(f) | | | | | 139,500 | | |
| | | 600,000 | | | | 7.000% due 3/1/26(c)(f) | | | | | 208,500 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Cyclical – (continued) | | ||||||||||||
| | $ | 165,000 | | | | Lions Gate Capital Holdings LLC, Company Guaranteed Notes, 6.375% due 2/1/24(c) | | | | $ | 168,712 | | |
| | | | | | | Live Nation Entertainment Inc.: | | | |||||
| | | 310,000 | | | | Company Guaranteed Notes, 5.625% due 3/15/26(c) | | | | | 305,350 | | |
| | | 75,000 | | | | Senior Secured Notes, 6.500% due 5/15/27(c) | | | | | 81,935 | | |
| | | | | | | Lowe’s Cos., Inc., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 2.500% due 4/15/26 | | | | | 271,791 | | |
| | | 250,000 | | | | 3.700% due 4/15/46 | | | | | 282,274 | | |
| | | 100,000 | | | | 4.550% due 4/5/49 | | | | | 126,845 | | |
| | | 250,000 | | | | LTF Merger Sub Inc., Company Guaranteed Notes, 8.500% due 6/15/23(c) | | | | | 230,000 | | |
| | | 130,000 | | | | M/I Homes Inc., Company Guaranteed Notes, 4.950% due 2/1/28 | | | | | 134,875 | | |
| | | 250,000 | | | | Marriott International Inc., Senior Unsecured Notes, 3.600% due 4/15/24 | | | | | 258,732 | | |
| | | 210,000 | | | | Marriott Ownership Resorts Inc./ILG LLC, Company Guaranteed Notes, 6.500% due 9/15/26 | | | | | 218,138 | | |
| | | 140,000 | | | | Mattamy Group Corp., Senior Unsecured Notes, 4.625% due 3/1/30(c) | | | | | 143,150 | | |
| | | | | | | McDonald’s Corp., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 3.500% due 3/1/27 | | | | | 282,963 | | |
| | | 100,000 | | | | 3.500% due 7/1/27 | | | | | 114,297 | | |
| | | 200,000 | | | | 2.125% due 3/1/30 | | | | | 207,807 | | |
| | | 100,000 | | | | 3.600% due 7/1/30 | | | | | 116,305 | | |
| | | 75,000 | | | | 4.875% due 12/9/45 | | | | | 97,305 | | |
| | | 150,000 | | | | 4.450% due 3/1/47 | | | | | 186,124 | | |
| | | | | | | MGM Resorts International, Company Guaranteed Notes: | | | |||||
| | | 165,000 | | | | 6.750% due 5/1/25 | | | | | 176,550 | | |
| | | 76,000 | | | | 5.750% due 6/15/25 | | | | | 81,434 | | |
| | | 190,000 | | | | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., Senior Secured Notes, 6.500% due 6/20/27(c) | | | | | 197,600 | | |
| | | 120,000 | | | | Murphy Oil USA Inc., Company Guaranteed Notes, 4.750% due 9/15/29 | | | | | 129,730 | | |
| | | 220,000 | | | | NCL Corp., Ltd., Senior Unsecured Notes, 3.625% due 12/15/24(c) | | | | | 150,975 | | |
| | | 65,000 | | | | Newell Brands Inc., Senior Unsecured Notes, 4.875% due 6/1/25 | | | | | 70,429 | | |
| | | | | | | NIKE Inc., Senior Unsecured Notes: | | | |||||
| | | 200,000 | | | | 2.850% due 3/27/30 | | | | | 223,592 | | |
| | | 100,000 | | | | 3.375% due 3/27/50 | | | | | 114,448 | | |
| | | | | | | Nordstrom Inc.: | | | |||||
| | | 40,000 | | | | Senior Secured Notes, 8.750% due 5/15/25(c) | | | | | 44,142 | | |
| | | 100,000 | | | | Senior Unsecured Notes, 4.000% due 3/15/27 | | | | | 87,718 | | |
| | | 230,000 | | | | Penn National Gaming Inc., Senior Unsecured Notes, 5.625% due 1/15/27(c) | | | | | 238,050 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Cyclical – (continued) | | ||||||||||||
| | $ | 200,000 | | | | Performance Food Group Inc., Company Guaranteed Notes, 5.500% due 10/15/27(c) | | | | $ | 208,500 | | |
| | | | | | | PetSmart Inc.: | | | |||||
| | | 140,000 | | | | Company Guaranteed Notes, 7.125% due 3/15/23(c) | | | | | 141,035 | | |
| | | 106,000 | | | | Senior Secured Notes, 5.875% due 6/1/25(c) | | | | | 109,048 | | |
| | | 220,000 | | | | Resideo Funding Inc., Company Guaranteed Notes, 6.125% due 11/1/26(c) | | | | | 221,650 | | |
| | | 100,000 | | | | Ross Stores Inc., Senior Unsecured Notes, 4.800% due 4/15/30 | | | | | 120,563 | | |
| | | 200,000 | | | | Sands China Ltd., Senior Unsecured Notes, 5.400% due 8/8/28 | | | | | 226,600 | | |
| | | | | | | Scientific Games International Inc.: | | | |||||
| | | 80,000 | | | | Company Guaranteed Notes, 8.250% due 3/15/26(c) | | | | | 82,410 | | |
| | | 200,000 | | | | Senior Secured Notes, 5.000% due 10/15/25(c) | | | | | 197,876 | | |
| | | 155,000 | | | | Scotts Miracle-Gro Co., Company Guaranteed Notes, 4.500% due 10/15/29 | | | | | 165,841 | | |
| | | 280,000 | | | | Six Flags Entertainment Corp., Company Guaranteed Notes, 4.875% due 7/31/24(c) | | | | | 271,516 | | |
| | | 95,000 | | | | Six Flags Theme Parks Inc., Senior Secured Notes, 7.000% due 7/1/25(c) | | | | | 102,809 | | |
| | | 100,000 | | | | Southwest Airlines Co., Senior Unsecured Notes, 2.625% due 2/10/30 | | | | | 93,677 | | |
| | | | | | | Staples Inc.: | | | |||||
| | | 130,000 | | | | Senior Secured Notes, 7.500% due 4/15/26(c) | | | | | 115,726 | | |
| | | 55,000 | | | | Senior Unsecured Notes, 10.750% due 4/15/27(c) | | | | | 38,225 | | |
| | | | | | | Starbucks Corp., Senior Unsecured Notes: | | | | | | | |
| | | 250,000 | | | | 3.100% due 3/1/23 | | | | | 265,947 | | |
| | | 150,000 | | | | 3.550% due 8/15/29 | | | | | 172,523 | | |
| | | 75,000 | | | | 4.450% due 8/15/49 | | | | | 90,949 | | |
| | | 100,000 | | | | 3.500% due 11/15/50 | | | | | 105,949 | | |
| | | 235,000 | | | | Stars Group Holdings BV/Stars Group US Co.-Borrower LLC, Company Guaranteed Notes, 7.000% due 7/15/26(c) | | | | | 250,510 | | |
| | | 225,000 | | | | Superior Plus LP/Superior General Partner Inc., Senior Unsecured Notes, 7.000% due 7/15/26(c) | | | | | 241,875 | | |
| | | | | | | Target Corp., Senior Unsecured Notes: | | | | | | | |
| | | 100,000 | | | | 2.900% due 1/15/22 | | | | | 103,597 | | |
| | | 125,000 | | | | 3.500% due 7/1/24 | | | | | 139,040 | | |
| | | 200,000 | | | | 3.375% due 4/15/29 | | | | | 232,836 | | |
| | | 100,000 | | | | 3.900% due 11/15/47 | | | | | 129,687 | | |
| | | 320,000 | | | | Tempur Sealy International Inc., Company Guaranteed Notes, 5.500% due 6/15/26 | | | | | 334,800 | | |
| | | 100,000 | | | | TJX Cos., Inc., Senior Unsecured Notes, 4.500% due 4/15/50 | | | | | 126,556 | | |
| | | 750,000 | | | | Toyota Motor Corp., Senior Unsecured Notes, 3.419% due 7/20/23 | | | | | 810,992 | | |
| | | 155,000 | | | | TRI Pointe Group Inc., Company Guaranteed Notes, 5.700% due 6/15/28 | | | | | 170,888 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Cyclical – (continued) | | ||||||||||||
| | $ | 235,000 | | | | Twin River Worldwide Holdings Inc., Senior Unsecured Notes, 6.750% due 6/1/27(c) | | | | $ | 232,650 | | |
| | | 100,000 | | | | United Airlines 2019-2 Class AA Pass-Through Trust, Pass-Thru Certificates, 2.700% due 5/1/32 | | | | | 92,208 | | |
| | | | | | | Viking Cruises Ltd.: | | | | | | | |
| | | 360,000 | | | | Company Guaranteed Notes, 5.875% due 9/15/27(c) | | | | | 255,600 | | |
| | | 50,000 | | | | Senior Secured Notes, 13.000% due 5/15/25(c) | | | | | 55,500 | | |
| | | | | | | Walgreens Boots Alliance Inc., Senior Unsecured Notes: | | | | | | | |
| | | 150,000 | | | | 3.450% due 6/1/26 | | | | | 164,861 | | |
| | | 75,000 | | | | 4.800% due 11/18/44 | | | | | 82,204 | | |
| | | 75,000 | | | | 4.100% due 4/15/50 | | | | | 75,291 | | |
| | | | | | | Walmart Inc., Senior Unsecured Notes: | | | | | | | |
| | | 250,000 | | | | 2.550% due 4/11/23 | | | | | 263,628 | | |
| | | 250,000 | | | | 3.300% due 4/22/24 | | | | | 273,170 | | |
| | | 200,000 | | | | 3.250% due 7/8/29 | | | | | 233,485 | | |
| | | 250,000 | | | | 4.300% due 4/22/44 | | | | | 331,334 | | |
| | | 150,000 | | | | 4.050% due 6/29/48 | | | | | 193,495 | | |
| | | 100,000 | | | | Whirlpool Corp., Senior Unsecured Notes, 4.600% due 5/15/50 | | | | | 123,359 | | |
| | | 245,000 | | | | William Carter Co., Company Guaranteed Notes, 5.625% due 3/15/27(c) | | | | | 260,283 | | |
| | | 115,000 | | | | Wolverine Escrow LLC, Senior Secured Notes, 9.000% due 11/15/26(c) | | | | | 88,550 | | |
| | | 100,000 | | | | WW Grainger Inc., Senior Unsecured Notes, 4.200% due 5/15/47 | | | | | 121,233 | | |
| | | 140,000 | | | | Wyndham Hotels & Resorts Inc., Company Guaranteed Notes, 4.375% due 8/15/28(c) | | | | | 141,078 | | |
| | | | | | | Yum! Brands Inc., Senior Unsecured Notes: | | | | | | | |
| | | 65,000 | | | | 7.750% due 4/1/25(c) | | | | | 72,556 | | |
| | | 130,000 | | | | 4.750% due 1/15/30(c) | | | | | 143,325 | | |
| | | | | | | Total Consumer Cyclical | | | | | 29,085,529 | | |
| Consumer Non-cyclical – 3.0% | | ||||||||||||
| | | | | | | Abbott Laboratories, Senior Unsecured Notes: | | | | | | | |
| | | 140,000 | | | | 3.750% due 11/30/26 | | | | | 163,777 | | |
| | | 200,000 | | | | 4.900% due 11/30/46 | | | | | 285,748 | | |
| | | | | | | AbbVie Inc., Senior Unsecured Notes: | | | |||||
| | | 100,000 | | | | 3.250% due 10/1/22(c) | | | | | 104,905 | | |
| | | 350,000 | | | | 2.850% due 5/14/23 | | | | | 369,889 | | |
| | | 300,000 | | | | 3.750% due 11/14/23 | | | | | 328,715 | | |
| | | 450,000 | | | | 3.850% due 6/15/24(c) | | | | | 496,441 | | |
| | | 405,000 | | | | 3.800% due 3/15/25(c) | | | | | 452,755 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 250,000 | | | | 3.200% due 11/21/29(c) | | | | $ | 276,693 | | |
| | | 100,000 | | | | 4.550% due 3/15/35(c) | | | | | 124,777 | | |
| | | 84,000 | | | | 4.750% due 3/15/45(c) | | | | | 103,290 | | |
| | | 475,000 | | | | 4.450% due 5/14/46 | | | | | 572,576 | | |
| | | 200,000 | | | | 4.250% due 11/21/49(c) | | | | | 240,724 | | |
| | | 200,000 | | | | Adani Ports & Special Economic Zone Ltd., Senior Unsecured Notes, 3.950% due 1/19/22 | | | | | 204,495 | | |
| | | 100,000 | | | | Aetna Inc., Senior Unsecured Notes, 3.875% due 8/15/47 | | | | | 116,093 | | |
| | | 150,000 | | | | Air Medical Group Holdings Inc., Senior Unsecured Notes, 6.375% due 5/15/23(c) | | | | | 147,969 | | |
| | | 120,000 | | | | Air Methods Corp., Senior Unsecured Notes, 8.000% due 5/15/25(c) | | | | | 101,100 | | |
| | | | | | | Albertsons Cos., Inc./Safeway Inc./New Albertsons LP/Albertsons LLC: | | | |||||
| | | | | | | Company Guaranteed Notes: | | | |||||
| | | 135,000 | | | | 4.625% due 1/15/27(c) | | | | | 142,646 | | |
| | | 125,000 | | | | 4.875% due 2/15/30(c) | | | | | 134,375 | | |
| | | 140,000 | | | | Senior Unsecured Notes, 3.500% due 3/15/29(c) | | | | | 141,050 | | |
| | | | | | | Allied Universal Holdco LLC/Allied Universal Finance Corp.: | | | |||||
| | | 130,000 | | | | Senior Secured Notes, 6.625% due 7/15/26(c) | | | | | 139,425 | | |
| | | 255,000 | | | | Senior Unsecured Notes, 9.750% due 7/15/27(c) | | | | | 282,413 | | |
| | | | | | | Altria Group Inc., Company Guaranteed Notes: | | | |||||
| | | 75,000 | | | | 4.000% due 1/31/24 | | | | | 82,925 | | |
| | | 250,000 | | | | 4.800% due 2/14/29 | | | | | 298,983 | | |
| | | 150,000 | | | | 5.375% due 1/31/44 | | | | | 185,386 | | |
| | | 250,000 | | | | 3.875% due 9/16/46 | | | | | 259,436 | | |
| | | 100,000 | | | | AmerisourceBergen Corp., Senior Unsecured Notes, 2.800% due 5/15/30 | | | | | 107,914 | | |
| | | | | | | Amgen Inc., Senior Unsecured Notes: | | | |||||
| | | 300,000 | | | | 2.650% due 5/11/22 | | | | | 311,253 | | |
| | | 150,000 | | | | 2.600% due 8/19/26 | | | | | 164,619 | | |
| | | 700,000 | | | | 2.450% due 2/21/30 | | | | | 745,689 | | |
| | | 150,000 | | | | 4.950% due 10/1/41 | | | | | 198,848 | | |
| | | 100,000 | | | | 4.400% due 5/1/45 | | | | | 124,161 | | |
| | | 100,000 | | | | 4.563% due 6/15/48 | | | | | 129,172 | | |
| | | 100,000 | | | | 4.663% due 6/15/51 | | | | | 132,152 | | |
| | | | | | | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes: | | | |||||
| | | 63,000 | | | | 3.650% due 2/1/26 | | | | | 71,160 | | |
| | | 450,000 | | | | 4.700% due 2/1/36 | | | | | 536,699 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 150,000 | | | | 4.900% due 2/1/46 | | | | $ | 184,469 | | |
| | | 134,000 | | | | Anheuser-Busch InBev Finance Inc., Company Guaranteed Notes, 3.300% due 2/1/23 | | | | | 142,566 | | |
| | | | | | | Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes: | | | |||||
| | | 200,000 | | | | 4.000% due 4/13/28 | | | | | 231,698 | | |
| | | 250,000 | | | | 4.950% due 1/15/42 | | | | | 303,290 | | |
| | | 200,000 | | | | 3.750% due 7/15/42 | | | | | 213,229 | | |
| | | 250,000 | | | | 4.600% due 4/15/48 | | | | | 297,368 | | |
| | | 645,000 | | | | 5.550% due 1/23/49 | | | | | 870,460 | | |
| | | 100,000 | | | | 4.500% due 6/1/50 | | | | | 121,025 | | |
| | | | | | | Anthem Inc., Senior Unsecured Notes: | | | |||||
| | | 1,185,000 | | | | 3.300% due 1/15/23 | | | | | 1,261,972 | | |
| | | 35,000 | | | | 2.375% due 1/15/25 | | | | | 37,320 | | |
| | | 200,000 | | | | 3.650% due 12/1/27 | | | | | 229,625 | | |
| | | 100,000 | | | | 4.650% due 1/15/43 | | | | | 126,843 | | |
| | | 150,000 | | | | 4.375% due 12/1/47 | | | | | 187,689 | | |
| | | | | | | Archer-Daniels-Midland Co., Senior Unsecured Notes: | | | |||||
| | | 100,000 | | | | 3.250% due 3/27/30 | | | | | 114,846 | | |
| | | 100,000 | | | | 3.750% due 9/15/47 | | | | | 124,193 | | |
| | | 110,000 | | | | ASGN Inc., Company Guaranteed Notes, 4.625% due 5/15/28(c) | | | | | 113,850 | | |
| | | | | | | AstraZeneca PLC, Senior Unsecured Notes: | | | |||||
| | | 350,000 | | | | 3.375% due 11/16/25 | | | | | 394,577 | | |
| | | 200,000 | | | | 1.375% due 8/6/30 | | | | | 195,865 | | |
| | | 100,000 | | | | 4.375% due 11/16/45 | | | | | 131,634 | | |
| | | 265,000 | | | | Avantor Funding Inc., Company Guaranteed Notes, 4.625% due 7/15/28(c) | | | | | 280,291 | | |
| | | | | | | B&G Foods Inc., Company Guaranteed Notes: | | | |||||
| | | 105,000 | | | | 5.250% due 4/1/25 | | | | | 108,645 | | |
| | | 85,000 | | | | 5.250% due 9/15/27 | | | | | 90,896 | | |
| | | 52,000 | | | | Banner Health, Unsecured Notes, 3.181% due 1/1/50 | | | | | 56,698 | | |
| | | | | | | BAT Capital Corp., Company Guaranteed Notes: | | | |||||
| | | 100,000 | | | | 3.222% due 8/15/24 | | | | | 107,842 | | |
| | | 200,000 | | | | 3.557% due 8/15/27 | | | | | 218,616 | | |
| | | 100,000 | | | | 4.390% due 8/15/37 | | | | | 108,884 | | |
| | | | | | | Bausch Health Cos., Inc.: | | | |||||
| | | | | | | Company Guaranteed Notes: | | | |||||
| | | 235,000 | | | | 7.000% due 1/15/28(c) | | | | | 250,275 | | |
| | | 120,000 | | | | 6.250% due 2/15/29(c) | | | | | 125,442 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 135,000 | | | | 5.250% due 1/30/30(c) | | | | $ | 134,189 | | |
| | | 65,000 | | | | Senior Secured Notes, 7.000% due 3/15/24(c) | | | | | 67,532 | | |
| | | | | | | Becton Dickinson & Co., Senior Unsecured Notes: | | | |||||
| | | 1,280,000 | | | | 2.894% due 6/6/22 | | | | | 1,328,837 | | |
| | | 200,000 | | | | 3.363% due 6/6/24 | | | | | 217,627 | | |
| | | 163,000 | | | | 3.700% due 6/6/27 | | | | | 184,719 | | |
| | | 100,000 | | | | 4.685% due 12/15/44 | | | | | 125,990 | | |
| | | 100,000 | | | | Biogen Inc., Senior Unsecured Notes, 5.200% due 9/15/45 | | | | | 136,160 | | |
| | | | | | | Boston Scientific Corp., Senior Unsecured Notes: | | | |||||
| | | 150,000 | | | | 4.000% due 3/1/29 | | | | | 174,799 | | |
| | | 100,000 | | | | 4.700% due 3/1/49 | | | | | 132,925 | | |
| | | | | | | Bristol-Myers Squibb Co., Senior Unsecured Notes: | | | |||||
| | | 100,000 | | | | 2.750% due 2/15/23 | | | | | 105,809 | | |
| | | 500,000 | | | | 3.875% due 8/15/25 | | | | | 575,589 | | |
| | | 250,000 | | | | 3.250% due 2/27/27 | | | | | 287,110 | | |
| | | 400,000 | | | | 3.400% due 7/26/29 | | | | | 466,792 | | |
| | | 100,000 | | | | 5.000% due 8/15/45 | | | | | 142,343 | | |
| | | 1,180,000 | | | | 4.350% due 11/15/47 | | | | | 1,573,105 | | |
| | | 150,000 | | | | 4.250% due 10/26/49 | | | | | 199,112 | | |
| | | 250,000 | | | | Campbell Soup Co., Senior Unsecured Notes, 3.950% due 3/15/25 | | | | | 281,565 | | |
| | | 100,000 | | | | Cardinal Health Inc., Senior Unsecured Notes, 4.368% due 6/15/47 | | | | | 110,847 | | |
| | | 230,000 | | | | Catalent Pharma Solutions Inc., Company Guaranteed Notes, 5.000% due 7/15/27(c) | | | | | 242,650 | | |
| | | | | | | Centene Corp., Senior Unsecured Notes: | | | |||||
| | | 285,000 | | | | 5.375% due 8/15/26(c) | | | | | 301,744 | | |
| | | 160,000 | | | | 4.250% due 12/15/27 | | | | | 168,000 | | |
| | | 130,000 | | | | Charles River Laboratories International Inc., Company Guaranteed Notes, 4.250% due 5/1/28(c) | | | | | 136,825 | | |
| | | 100,000 | | | | Children’s Hospital Corp., Company Guaranteed Notes, 4.115% due 1/1/47 | | | | | 126,900 | | |
| | | | | | | Cigna Corp., Company Guaranteed Notes: | | | |||||
| | | 500,000 | | | | 3.400% due 9/17/21 | | | | | 515,611 | | |
| | | 660,000 | | | | 1.165% (3-Month USD-LIBOR + 0.890)% due 7/15/23(b) | | | | | 667,424 | | |
| | | 100,000 | | | | 4.800% due 8/15/38 | | | | | 125,811 | | |
| | | 150,000 | | | | 4.800% due 7/15/46 | | | | | 192,056 | | |
| | | 675,000 | | | | 4.900% due 12/15/48 | | | | | 891,761 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 300,000 | | | | Cintas Corp. No 2, Company Guaranteed Notes, 2.900% due 4/1/22 | | | | $ | 311,092 | | |
| | | | | | | Coca-Cola Co., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 2.200% due 5/25/22 | | | | | 258,504 | | |
| | | 100,000 | | | | 1.750% due 9/6/24 | | | | | 104,922 | | |
| | | 100,000 | | | | 2.125% due 9/6/29 | | | | | 107,185 | | |
| | | 100,000 | | | | 4.200% due 3/25/50 | | | | | 131,496 | | |
| | | 150,000 | | | | 2.600% due 6/1/50 | | | | | 151,995 | | |
| | | | | | | CommonSpirit Health, Senior Secured Notes: | | | |||||
| | | 36,000 | | | | 3.817% due 10/1/49 | | | | | 40,205 | | |
| | | 13,000 | | | | 4.187% due 10/1/49 | | | | | 13,881 | | |
| | | 250,000 | | | | Conagra Brands Inc., Senior Unsecured Notes, 4.850% due 11/1/28 | | | | | 305,270 | | |
| | | | | | | Constellation Brands Inc., Company Guaranteed Notes: | | | |||||
| | | 350,000 | | | | 2.700% due 5/9/22 | | | | | 362,214 | | |
| | | 580,000 | | | | 3.150% due 8/1/29 | | | | | 630,485 | | |
| | | 50,000 | | | | 5.250% due 11/15/48 | | | | | 67,185 | | |
| | | | | | | Senior Unsecured Notes: | | | |||||
| | | 160,000 | | | | 2.875% due 5/1/30 | | | | | 172,073 | | |
| | | 100,000 | | | | 3.750% due 5/1/50 | | | | | 109,842 | | |
| | | | | | | CVS Health Corp., Senior Unsecured Notes: | | | |||||
| | | 100,000 | | | | 3.500% due 7/20/22 | | | | | 105,395 | | |
| | | 752,000 | | | | 3.700% due 3/9/23 | | | | | 809,463 | | |
| | | 37,000 | | | | 4.100% due 3/25/25 | | | | | 42,193 | | |
| | | 300,000 | | | | 3.875% due 7/20/25 | | | | | 339,549 | | |
| | | 350,000 | | | | 2.875% due 6/1/26 | | | | | 381,056 | | |
| | | 250,000 | | | | 4.300% due 3/25/28 | | | | | 294,317 | | |
| | | 100,000 | | | | 3.750% due 4/1/30 | | | | | 115,502 | | |
| | | 250,000 | | | | 4.780% due 3/25/38 | | | | | 306,233 | | |
| | | 100,000 | | | | 5.125% due 7/20/45 | | | | | 128,868 | | |
| | | 300,000 | | | | 5.050% due 3/25/48 | | | | | 389,427 | | |
| | | 85,000 | | | | DaVita Inc., Company Guaranteed Notes, 4.625% due 6/1/30(c) | | | | | 89,356 | | |
| | | | | | | DH Europe Finance II SARL, Company Guaranteed Notes: | | | |||||
| | | 25,000 | | | | 2.600% due 11/15/29 | | | | | 27,195 | | |
| | | 50,000 | | | | 3.250% due 11/15/39 | | | | | 56,101 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 210,000 | | | | Diageo Capital PLC, Company Guaranteed Notes, 2.375% due 10/24/29 | | | | $ | 224,904 | | |
| | | 138,000 | | | | Duke University Health System Inc., Senior Unsecured Notes, 3.920% due 6/1/47 | | | | | 176,127 | | |
| | | | | | | Eli Lilly & Co., Senior Unsecured Notes: | | | |||||
| | | 200,000 | | | | 3.375% due 3/15/29 | | | | | 232,691 | | |
| | | 125,000 | | | | 3.950% due 3/15/49 | | | | | 160,146 | | |
| | | 60,000 | | | | Emergent BioSolutions Inc., Company Guaranteed Notes, 3.875% due 8/15/28(c) | | | | | 60,912 | | |
| | | 420,861 | | | | ENA Norte Trust, Pass-Thru Certificates, 4.950% due 4/25/23 | | | | | 421,918 | | |
| | | | | | | Encompass Health Corp., Company Guaranteed Notes: | | | |||||
| | | 65,000 | | | | 4.500% due 2/1/28 | | | | | 66,649 | | |
| | | 20,000 | | | | 4.750% due 2/1/30 | | | | | 20,866 | | |
| | | 90,000 | | | | Envision Healthcare Corp., Company Guaranteed Notes, 8.750% due 10/15/26(c) | | | | | 39,600 | | |
| | | 100,000 | | | | Estee Lauder Cos., Inc., Senior Unsecured Notes, 4.150% due 3/15/47 | | | | | 125,946 | | |
| | | | | | | Garda World Security Corp.: | | | |||||
| | | 220,000 | | | | Senior Secured Notes, 4.625% due 2/15/27(c) | | | | | 226,050 | | |
| | | 200,000 | | | | Senior Unsecured Notes, 8.750% due 5/15/25(c) | | | | | 203,000 | | |
| | | 100,000 | | | | General Mills Inc., Senior Unsecured Notes, 4.700% due 4/17/48 | | | | | 136,684 | | |
| | | | | | | Gilead Sciences Inc., Senior Unsecured Notes: | | | |||||
| | | 275,000 | | | | 2.950% due 3/1/27 | | | | | 307,660 | | |
| | | 250,000 | | | | 4.150% due 3/1/47 | | | | | 319,974 | | |
| | | | | | | GlaxoSmithKline Capital Inc., Company Guaranteed Notes: | | | |||||
| | | 500,000 | | | | 3.625% due 5/15/25 | | | | | 569,356 | | |
| | | 50,000 | | | | 4.200% due 3/18/43 | | | | | 64,190 | | |
| | | 300,000 | | | | GlaxoSmithKline Capital PLC, Company Guaranteed Notes, 3.375% due 6/1/29 | | | | | 346,584 | | |
| | | | | | | Global Payments Inc., Senior Unsecured Notes: | | ||||||
| | | 125,000 | | | | 4.800% due 4/1/26 | | | | $ | 147,218 | | |
| | | 100,000 | | | | 4.150% due 8/15/49 | | | | | 117,499 | | |
| | | | | | | HCA Inc.: | | | |||||
| | | | | | | Company Guaranteed Notes: | | | |||||
| | | 340,000 | | | | 5.375% due 9/1/26 | | | | | 385,900 | | |
| | | 215,000 | | | | 3.500% due 9/1/30 | | | | | 225,476 | | |
| | | | | | | Senior Secured Notes: | | | |||||
| | | 625,000 | | | | 4.125% due 6/15/29 | | | | | 719,247 | | |
| | | 100,000 | | | | 5.250% due 6/15/49 | | | | | 124,902 | | |
| | | 100,000 | | | | Hershey Co., Senior Unsecured Notes, 2.450% due 11/15/29 | | | | | 108,937 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 160,000 | | | | H-Food Holdings LLC/Hearthside Finance Co., Inc., Senior Unsecured Notes, 8.500% due 6/1/26(c) | | | | $ | 156,800 | | |
| | | 105,000 | | | | Hill-Rom Holdings Inc., Company Guaranteed Notes, 4.375% due 9/15/27(c) | | | | | 109,784 | | |
| | | 200,000 | | | | Horizon Therapeutics USA Inc., Company Guaranteed Notes, 5.500% due 8/1/27(c) | | | | | 217,782 | | |
| | | 100,000 | | | | Humana Inc., Senior Unsecured Notes, 4.800% due 3/15/47 | | | | | 132,301 | | |
| | | 205,000 | | | | IQVIA Inc., Company Guaranteed Notes, 5.000% due 5/15/27(c) | | | | | 215,784 | | |
| | | 70,000 | | | | Jaguar Holding Co. II/PPD Development LP, Company Guaranteed Notes, 5.000% due 6/15/28(c) | | | | | 74,200 | | |
| | | | | | | JBS USA LUX SA/JBS USA Finance Inc., Company Guaranteed Notes: | | | |||||
| | | 20,000 | | | | 5.875% due 7/15/24(c) | | | | | 20,400 | | |
| | | 30,000 | | | | 5.750% due 6/15/25(c) | | | | | 30,975 | | |
| | | 175,000 | | | | 6.750% due 2/15/28(c) | | | | | 193,813 | | |
| | | | | | | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance Inc.: | | | |||||
| | | 125,000 | | | | Company Guaranteed Notes, 6.500% due 4/15/29(c) | | | | | 141,899 | | |
| | | 90,000 | | | | Senior Unsecured Notes, 5.500% due 1/15/30(c) | | | | | 99,983 | | |
| | | 100,000 | | | | JM Smucker Co., Senior Unsecured Notes, 3.550% due 3/15/50 | | | | | 107,594 | | |
| | | | | | | Johnson & Johnson, Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 2.250% due 3/3/22 | | | | | 257,230 | | |
| | | 150,000 | | | | 2.950% due 3/3/27 | | | | | 168,302 | | |
| | | 250,000 | | | | 3.625% due 3/3/37 | | | | | 303,924 | | |
| | | 100,000 | | | | 3.700% due 3/1/46 | | | | | 123,741 | | |
| | | 100,000 | | | | 2.450% due 9/1/60 | | | | | 97,596 | | |
| | | 81,000 | | | | Kaiser Foundation Hospitals, Company Guaranteed Notes, 3.266% due 11/1/49 | | | | | 90,419 | | |
| | | 50,000 | | | | Kellogg Co., Senior Unsecured Notes, 4.500% due 4/1/46 | | | | | 63,157 | | |
| | | | | | | Keurig Dr Pepper Inc., Company Guaranteed Notes: | | | |||||
| | | 250,000 | | | | 4.597% due 5/25/28 | | | | | 301,953 | | |
| | | 100,000 | | | | 5.085% due 5/25/48 | | | | | 135,886 | | |
| | | | | | | Kimberly-Clark Corp., Senior Unsecured Notes: | | | |||||
| | | 100,000 | | | | 3.200% due 7/30/46 | | | | | 115,514 | | |
| | | 50,000 | | | | 2.875% due 2/7/50 | | | | | 54,249 | | |
| | | | | | | Kraft Heinz Foods Co., Company Guaranteed Notes: | | | |||||
| | | 129,000 | | | | 3.950% due 7/15/25 | | | | | 140,307 | | |
| | | 150,000 | | | | 5.000% due 7/15/35 | | | | | 173,478 | | |
| | | 420,000 | | | | 5.200% due 7/15/45 | | | | | 475,936 | | |
| | | 200,000 | | | | Kroger Co., Senior Unsecured Notes, 4.450% due 2/1/47 | | | | | 244,794 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 175,000 | | | | Kronos Acquisition Holdings Inc., Company Guaranteed Notes, 9.000% due 8/15/23(c) | | | | $ | 177,625 | | |
| | | 1,740,000 | | | | Laboratory Corp. of America Holdings, Senior Unsecured Notes, 3.600% due 2/1/25 | | | | | 1,941,369 | | |
| | | | | | | LifePoint Health Inc., Senior Secured Notes: | | | |||||
| | | 85,000 | | | | 6.750% due 4/15/25(c) | | | | | 91,800 | | |
| | | 145,000 | | | | 4.375% due 2/15/27(c) | | | | | 144,275 | | |
| | | 100,000 | | | | McKesson Corp., Senior Unsecured Notes, 4.883% due 3/15/44 | | | | | 122,871 | | |
| | | 250,000 | | | | Medtronic Global Holdings SCA, Company Guaranteed Notes, 3.350% due 4/1/27 | | | | | 286,409 | | |
| | | | | | | Medtronic Inc., Company Guaranteed Notes: | | | |||||
| | | 250,000 | | | | 3.150% due 3/15/22 | | | | | 260,865 | | |
| | | 75,000 | | | | 4.625% due 3/15/45 | | | | | 102,961 | | |
| | | 21,000 | | | | Memorial Sloan-Kettering Cancer Center, Unsecured Notes, 2.955% due 1/1/50 | | | | | 22,502 | | |
| | | | | | | Merck & Co., Inc., Senior Unsecured Notes: | | | |||||
| | | 300,000 | | | | 2.900% due 3/7/24 | | | | | 324,676 | | |
| | | 300,000 | | | | 1.450% due 6/24/30 | | | | | 304,285 | | |
| | | 250,000 | | | | 3.700% due 2/10/45 | | | | | 303,629 | | |
| | | 55,000 | | | | Molina Healthcare Inc., Senior Unsecured Notes, 4.375% due 6/15/28(c) | | | | | 57,475 | | |
| | | 150,000 | | | | Molson Coors Beverage Co., Company Guaranteed Notes, 4.200% due 7/15/46 | | | | | 154,545 | | |
| | | | | | | Moody’s Corp., Senior Unsecured Notes: | | | |||||
| | | 300,000 | | | | 2.750% due 12/15/21 | | | | | 308,739 | | |
| | | 100,000 | | | | 2.550% due 8/18/60 | | | | | 92,775 | | |
| | | 250,000 | | | | MPH Acquisition Holdings LLC, Company Guaranteed Notes, 7.125% due 6/1/24(c) | | | | | 253,825 | | |
| | | 125,000 | | | | Mylan NV, Company Guaranteed Notes, 5.250% due 6/15/46 | | | | | 156,146 | | |
| | | 10,000 | | | | Northwell Healthcare Inc., Secured Notes, 4.260% due 11/1/47 | | | | | 11,731 | | |
| | | | | | | Novartis Capital Corp., Company Guaranteed Notes: | | | |||||
| | | 250,000 | | | | 2.400% due 5/17/22 | | | | | 258,874 | | |
| | | 150,000 | | | | 3.100% due 5/17/27 | | | | | 168,162 | | |
| | | 200,000 | | | | 2.200% due 8/14/30 | | | | | 214,534 | | |
| | | 50,000 | | | | 4.400% due 5/6/44 | | | | | 66,309 | | |
| | | 50,000 | | | | 2.750% due 8/14/50 | | | | | 52,863 | | |
| | | | | | | Ortho-Clinical Diagnostics Inc./Ortho-Clinical Diagnostics SA, Senior Unsecured Notes: | | ||||||
| | | 25,000 | | | | 7.375% due 6/1/25(c) | | | | | 26,000 | | |
| | | 135,000 | | | | 7.250% due 2/1/28(c) | | | | | 139,725 | | |
| | | | | | | PayPal Holdings Inc., Senior Unsecured Notes: | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 35,000 | | | | 2.400% due 10/1/24 | | | | $ | 37,337 | | |
| | | 70,000 | | | | 2.850% due 10/1/29 | | | | | 77,467 | | |
| | | 200,000 | | | | 2.300% due 6/1/30 | | | | | 212,671 | | |
| | | | | | | PepsiCo Inc., Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 2.750% due 3/5/22 | | | | | 518,640 | | |
| | | 100,000 | | | | 2.250% due 3/19/25 | | | | | 107,388 | | |
| | | 150,000 | | | | 2.375% due 10/6/26 | | | | | 164,066 | | |
| | | 100,000 | | | | 2.750% due 3/19/30 | | | | | 112,033 | | |
| | | 250,000 | | | | 3.450% due 10/6/46 | | | | | 292,244 | | |
| | | 200,000 | | | | 3.625% due 3/19/50 | | | | | 242,152 | | |
| | | | | | | Pfizer Inc., Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 2.800% due 3/11/22 | | | | | 519,067 | | |
| | | 250,000 | | | | 4.000% due 12/15/36 | | | | | 306,831 | | |
| | | 150,000 | | | | 4.125% due 12/15/46 | | | | | 191,972 | | |
| | | 100,000 | | | | 4.000% due 3/15/49 | | | | | 127,198 | | |
| | | 100,000 | | | | 2.700% due 5/28/50 | | | | | 103,771 | | |
| | | | | | | Philip Morris International Inc., Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 2.625% due 2/18/22 | | | | | 515,212 | | |
| | | 250,000 | | | | 3.375% due 8/15/29 | | | | | 284,714 | | |
| | | 200,000 | | | | 2.100% due 5/1/30 | | | | | 207,260 | | |
| | ��� | 100,000 | | | | 4.125% due 3/4/43 | | | | | 117,928 | | |
| | | 165,000 | | | | Pilgrim’s Pride Corp., Company Guaranteed Notes, 5.875% due 9/30/27(c) | | | | | 175,313 | | |
| | | 120,000 | | | | Polaris Intermediate Corp., Senior Unsecured Notes, 8.500% due 12/1/22(c)(e) | | | | | 121,950 | | |
| | | | | | | Post Holdings Inc., Company Guaranteed Notes: | | | |||||
| | | 45,000 | | | | 5.500% due 12/15/29(c) | | | | | 49,329 | | |
| | | 190,000 | | | | 4.625% due 4/15/30(c) | | | | | 198,313 | | |
| | | | | | | Prime Security Services Borrower LLC/Prime Finance Inc.: | | | |||||
| | | 115,000 | | | | Secured Notes, 6.250% due 1/15/28(c) | | | | | 120,750 | | |
| | | 85,000 | | | | Senior Secured Notes, 3.375% due 8/31/27(c) | | | | | 84,695 | | |
| | | | | | | Procter & Gamble Co., Senior Unsecured Notes: | | | |||||
| | | 300,000 | | | | 2.150% due 8/11/22 | | | | | 311,283 | | |
| | | 150,000 | | | | 3.500% due 10/25/47 | | | | | 188,982 | | |
| | | 8,000 | | | | Providence St Joseph Health Obligated Group, Unsecured Notes, 3.930% due 10/1/48 | | | | | 9,555 | | |
| | | 400,000 | | | | PSA Treasury Pte Ltd., Company Guaranteed Notes, 2.125% due 9/5/29 | | | | | 416,732 | | |
| | | 160,000 | | | | Radiology Partners Inc., Company Guaranteed Notes, 9.250% due 2/1/28(c) | | | | | 170,000 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 165,000 | | | | Refinitiv US Holdings Inc., Company Guaranteed Notes, 8.250% due 11/15/26(c) | | | | $ | 182,738 | | |
| | | | | | | Reynolds American Inc., Company Guaranteed Notes: | | | |||||
| | | 1,565,000 | | | | 4.000% due 6/12/22 | | | | | 1,658,274 | | |
| | | 250,000 | | | | 5.850% due 8/15/45 | | | | | 308,841 | | |
| | | 650,000 | | | | Royalty Pharma PLC, Senior Unsecured Notes, 3.300% due 9/2/40(c) | | | | | 633,905 | | |
| | | 75,000 | | | | Sabre GLBL Inc., Senior Secured Notes, 9.250% due 4/15/25(c) | | | | | 83,438 | | |
| | | 305,000 | | | | Select Medical Corp., Company Guaranteed Notes, 6.250% due 8/15/26(c) | | | | | 327,652 | | |
| | | 250,000 | | | | ServiceMaster Co. LLC, Company Guaranteed Notes, 5.125% due 11/15/24(c) | | | | | 255,000 | | |
| | | 125,000 | | | | Shire Acquisitions Investments Ireland DAC, Company Guaranteed Notes, 2.875% due 9/23/23 | | | | | 133,102 | | |
| | | 650,000 | | | | Smithfield Foods Inc., Company Guaranteed Notes, 4.250% due 2/1/27(c) | | | | | 680,074 | | |
| | | 130,000 | | | | Spectrum Brands Inc., Company Guaranteed Notes, 5.000% due 10/1/29(c) | | | | | 135,200 | | |
| | | 7,000 | | | | Stanford Health Care, Unsecured Notes, 3.795% due 11/15/48 | | | | | 8,742 | | |
| | | | | | | Stryker Corp., Senior Unsecured Notes: | | | |||||
| | | 350,000 | | | | 3.375% due 11/1/25 | | | | | 392,785 | | |
| | | 100,000 | | | | 2.900% due 6/15/50 | | | | | 103,871 | | |
| | | | | | | Sysco Corp., Company Guaranteed Notes: | | | |||||
| | | 350,000 | | | | 3.550% due 3/15/25 | | | | | 381,981 | | |
| | | 360,000 | | | | 3.250% due 7/15/27 | | | | | 387,741 | | |
| | | 425,000 | | | | 3.300% due 2/15/50 | | | | | 392,073 | | |
| | | 100,000 | | | | 6.600% due 4/1/50 | | | | | 137,945 | | |
| | | | | | | Takeda Pharmaceutical Co., Ltd., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 5.000% due 11/26/28 | | | | | 309,269 | | |
| | | 200,000 | | | | 3.175% due 7/9/50 | | | | | 203,214 | | |
| | | | | | | Tenet Healthcare Corp.: | | | |||||
| | | | | | | Senior Secured Notes: | | | |||||
| | | 190,000 | | | | 4.875% due 1/1/26(c) | | | | | 197,600 | | |
| | | 80,000 | | | | 5.125% due 11/1/27(c) | | | | | 84,400 | | |
| | | 200,000 | | | | Secured Notes, 6.250% due 2/1/27(c) | | | | | 210,000 | | |
| | | 180,000 | | | | Senior Unsecured Notes, 7.000% due 8/1/25 | | | | | 185,850 | | |
| | | 150,000 | | | | Thermo Fisher Scientific Inc., Senior Unsecured Notes, 4.100% due 8/15/47 | | | | | 191,583 | | |
| | | 150,000 | | | | Tyson Foods Inc., Senior Unsecured Notes, 4.550% due 6/2/47 | | | | | 188,223 | | |
| | | 500,000 | | | | Unilever Capital Corp., Company Guaranteed Notes, 3.125% due 3/22/23 | | | | | 533,932 | | |
| | | | | | | United Rentals North America Inc., Company Guaranteed Notes: | | | |||||
| | | 15,000 | | | | 5.250% due 1/15/30 | | | | | 16,659 | | |
| | | 150,000 | | | | 4.000% due 7/15/30 | | | | | 156,750 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 25,000 | | | | 3.875% due 2/15/31 | | | | $ | 25,719 | | |
| | | | | | | UnitedHealth Group Inc., Senior Unsecured Notes: | | | |||||
| | | 100,000 | | | | 1.250% due 1/15/26 | | | | | 102,576 | | |
| | | 350,000 | | | | 3.850% due 6/15/28 | | | | | 413,618 | | |
| | | 200,000 | | | | 2.000% due 5/15/30 | | | | | 209,382 | | |
| | | 100,000 | | | | 4.750% due 7/15/45 | | | | | 135,659 | | |
| | | 250,000 | | | | 4.250% due 4/15/47 | | | | | 321,042 | | |
| | | 150,000 | | | | 3.700% due 8/15/49 | | | | | 180,859 | | |
| | | | | | | Upjohn Inc., Company Guaranteed Notes: | | | |||||
| | | 230,000 | | | | 1.650% due 6/22/25(c) | | | | | 236,236 | | |
| | | 100,000 | | | | 4.000% due 6/22/50(c) | | | | | 108,885 | | |
| | | 15,000 | | | | US Foods Inc., Senior Secured Notes, 6.250% due 4/15/25(c) | | | | | 15,900 | | |
| | | 125,000 | | | | Verisk Analytics Inc., Senior Unsecured Notes, 4.125% due 9/12/22 | | | | | 133,551 | | |
| | | 253,000 | | | | Verscend Escrow Corp., Senior Unsecured Notes, 9.750% due 8/15/26(c) | | | | | 274,505 | | |
| | | 145,000 | | | | Vizient Inc., Senior Unsecured Notes, 6.250% due 5/15/27(c) | | | | | 154,063 | | |
| | | 180,000 | | | | West Street Merger Sub Inc., Senior Unsecured Notes, 6.375% due 9/1/25(c) | | | | | 185,121 | | |
| | | 17,000 | | | | Yale University, Unsecured Notes, 2.402% due 4/15/50 | | | | | 17,540 | | |
| | | 100,000 | | | | Zimmer Biomet Holdings Inc., Senior Unsecured Notes, 3.550% due 3/20/30 | | | | | 111,816 | | |
| | | 100,000 | | | | Zoetis Inc., Senior Unsecured Notes, 3.950% due 9/12/47 | | | | | 123,122 | | |
| | | | | | | Total Consumer Non-cyclical | | | | | 63,413,693 | | |
| Energy – 1.9% | | ||||||||||||
| | | 150,000 | | | | Aker BP ASA, Senior Unsecured Notes, 4.750% due 6/15/24(c) | | | | | 154,513 | | |
| | | 105,000 | | | | Antero Midstream Partners LP/Antero Midstream Finance Corp., Company Guaranteed Notes, 5.750% due 3/1/27(c) | | | | | 93,712 | | |
| | | | | | | Apache Corp., Senior Unsecured Notes: | | | |||||
| | | 70,000 | | | | 4.625% due 11/15/25 | | | | | 71,575 | | |
| | | 135,000 | | | | 4.375% due 10/15/28 | | | | | 133,982 | | |
| | | | | | | Baker Hughes a GE Co. LLC/Baker Hughes Co.-Obligor Inc., Senior Unsecured Notes: | | | |||||
| | | 145,000 | | | | 3.337% due 12/15/27 | | | | | 157,939 | | |
| | | 35,000 | | | | 3.138% due 11/7/29 | | | | | 37,486 | | |
| | | 100,000 | | | | 4.486% due 5/1/30 | | | | | 117,063 | | |
| | | | | | | BP Capital Markets America Inc., Company Guaranteed Notes: | | | |||||
| | | 100,000 | | | | 2.520% due 9/19/22 | | | | | 104,014 | | |
| | | 350,000 | | | | 3.224% due 4/14/24 | | | | | 378,462 | | |
| | | 150,000 | | | | 3.000% due 2/24/50 | | | | | 147,554 | | |
| | | 300,000 | | | | BP Capital Markets PLC, Company Guaranteed Notes, 3.994% due 9/26/23 | | | | | 330,705 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | $ | 600,000 | | | | Canacol Energy Ltd., Company Guaranteed Notes, 7.250% due 5/3/25 | | | | $ | 621,750 | | |
| | | | | | | Canadian Natural Resources Ltd., Senior Unsecured Notes: | | | |||||
| | | 1,045,000 | | | | 2.950% due 1/15/23 | | | | | 1,088,435 | | |
| | | 125,000 | | | | 5.850% due 2/1/35 | | | | | 153,805 | | |
| | | 135,000 | | | | Cenovus Energy Inc., Senior Unsecured Notes, 5.375% due 7/15/25 | | | | | 137,368 | | |
| | | 150,000 | | | | Cheniere Corpus Christi Holdings LLC, Senior Secured Notes, 5.125% due 6/30/27 | | | | | 168,980 | | |
| | | | | | | Cheniere Energy Partners LP: | | | |||||
| | | 185,000 | | | | Company Guaranteed Notes, 5.625% due 10/1/26 | | | | | 193,915 | | |
| | | 285,000 | | | | Senior Secured Notes, 5.250% due 10/1/25 | | | | | 291,623 | | |
| | | | | | | Chevron Corp., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 2.498% due 3/3/22 | | | | | 257,839 | | |
| | | 300,000 | | | | 3.191% due 6/24/23 | | | | | 321,386 | | |
| | | 100,000 | | | | 2.236% due 5/11/30 | | | | | 106,574 | | |
| | | 400,000 | | | | CNOOC Finance 2012 Ltd., Company Guaranteed Notes, 3.875% due 5/2/22 | | | | | 418,718 | | |
| | | 200,000 | | | | CNOOC Finance 2013 Ltd., Company Guaranteed Notes, 3.000% due 5/9/23 | | | | | 210,396 | | |
| | | 1,050,000 | | | | CNOOC Finance 2015 USA LLC, Company Guaranteed Notes, 3.500% due 5/5/25 | | | | | 1,158,591 | | |
| | | | | | | CNPC Global Capital Ltd., Company Guaranteed Notes: | | | |||||
| | | 600,000 | | | | 1.125% due 6/23/23 | | | | | 601,128 | | |
| | | 200,000 | | | | 1.350% due 6/23/25 | | | | | 201,270 | | |
| | | 180,000 | | | | CNX Midstream Partners LP/CNX Midstream Finance Corp., Senior Unsecured Notes, 6.500% due 3/15/26(c) | | | | | 180,266 | | |
| | | 100,000 | | | | Concho Resources Inc., Company Guaranteed Notes, 3.750% due 10/1/27 | | | | | 109,682 | | |
| | | | | | | ConocoPhillips Co., Company Guaranteed Notes: | | | |||||
| | | 150,000 | | | | 4.950% due 3/15/26 | | | | | 180,486 | | |
| | | 200,000 | | | | 5.950% due 3/15/46 | | | | | 302,145 | | |
| | | 255,000 | | | | CSI Compressco LP/CSI Compressco Finance Inc., Senior Secured Notes, 7.500% due 4/1/25(c) | | | | | 226,950 | | |
| | | | | | | Delek & Avner Tamar Bond Ltd., Senior Secured Notes: | | | |||||
| | | 200,000 | | | | 5.082% due 12/30/23(c) | | | | | 203,509 | | |
| | | 300,000 | | | | 5.412% due 12/30/25(c) | | | | | 298,456 | | |
| | | | | | | Devon Energy Corp., Senior Unsecured Notes: | | | |||||
| | | 75,000 | | | | 5.600% due 7/15/41 | | | | | 78,403 | | |
| | | 50,000 | | | | 5.000% due 6/15/45 | | | | | 49,748 | | |
| | | 100,000 | | | | Diamondback Energy Inc., Company Guaranteed Notes, 3.500% due 12/1/29 | | | | | 101,692 | | |
| | | | | | | Ecopetrol SA, Senior Unsecured Notes: | | | |||||
| | | 300,000 | | | | 5.375% due 6/26/26 | | | | | 333,300 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | $ | 100,000 | | | | 6.875% due 4/29/30 | | | | $ | 120,375 | | |
| | | 100,000 | | | | Enable Midstream Partners LP, Senior Unsecured Notes, 4.150% due 9/15/29 | | | | | 93,209 | | |
| | | 150,000 | | | | Enbridge Energy Partners LP, Company Guaranteed Notes, 5.500% due 9/15/40 | | | | | 182,521 | | |
| | | 100,000 | | | | Enbridge Inc., Company Guaranteed Notes, 4.000% due 10/1/23 | | | | | 108,678 | | |
| | | 90,000 | | | | Endeavor Energy Resources LP/EER Finance Inc., Senior Unsecured Notes, 6.625% due 7/15/25(c) | | | | | 93,882 | | |
| | | | | | | Energy Transfer Operating LP, Company Guaranteed Notes: | | | |||||
| | | 500,000 | | | | 5.875% due 1/15/24 | | | | | 555,391 | | |
| | | 420,000 | | | | 4.750% due 1/15/26 | | | | | 458,116 | | |
| | | 100,000 | | | | 6.125% due 12/15/45 | | | | | 101,524 | | |
| | | 200,000 | | | | 5.300% due 4/15/47 | | | | | 192,107 | | |
| | | 150,000 | | | | 6.000% due 6/15/48 | | | | | 153,721 | | |
| | | 75,000 | | | | 5.000% due 5/15/50 | | | | | 71,716 | | |
| | | | | | | Enterprise Products Operating LLC, Company Guaranteed Notes: | | | |||||
| | | 770,000 | | | | 3.750% due 2/15/25 | | | | | 860,842 | | |
| | | 200,000 | | | | 3.125% due 7/31/29 | | | | | 218,228 | | |
| | | 150,000 | | | | 2.800% due 1/31/30 | | | | | 160,091 | | |
| | | 250,000 | | | | 4.900% due 5/15/46 | | | | | 291,713 | | |
| | | 200,000 | | | | 4.200% due 1/31/50 | | | | | 217,585 | | |
| | | 75,000 | | | | EOG Resources Inc., Senior Unsecured Notes, 4.950% due 4/15/50 | | | | | 95,473 | | |
| | | 50,000 | | | | EQM Midstream Partners LP, Senior Unsecured Notes, 6.500% due 7/1/27(c) | | | | | 54,750 | | |
| | | 125,000 | | | | EQT Corp., Senior Unsecured Notes, 7.875% due 2/1/25 | | | | | 143,491 | | |
| | | | | | | Equinor ASA, Company Guaranteed Notes: | | | |||||
| | | 250,000 | | | | 2.450% due 1/17/23 | | | | | 261,877 | | |
| | | 100,000 | | | | 3.700% due 3/1/24 | | | | | 111,223 | | |
| | | 100,000 | | | | 3.250% due 11/18/49 | | | | | 107,197 | | |
| | | 100,000 | | | | 3.700% due 4/6/50 | | | | | 116,341 | | |
| | | 135,000 | | | | Exterran Energy Solutions LP/EES Finance Corp., Company Guaranteed Notes, 8.125% due 5/1/25 | | | | | 116,100 | | |
| | | 50,000 | | | | Extraction Oil & Gas Inc., Company Guaranteed Notes, 5.625% due 2/1/26(c)(f) | | | | | 11,750 | | |
| | | | | | | Exxon Mobil Corp., Senior Unsecured Notes: | | | |||||
| | | 100,000 | | | | 1.571% due 4/15/23 | | | | $ | 103,110 | | |
| | | 645,000 | | | | 2.992% due 3/19/25 | | | | | 708,202 | | |
| | | 500,000 | | | | 3.043% due 3/1/26 | | | | | 556,783 | | |
| | | 100,000 | | | | 3.294% due 3/19/27 | | | | | 113,769 | | |
| | | 200,000 | | | | 3.482% due 3/19/30 | | | | | 232,191 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | $ | 100,000 | | | | 3.567% due 3/6/45 | | | | $ | 111,796 | | |
| | | 51,000 | | | | 4.327% due 3/19/50 | | | | | 65,140 | | |
| | | 149,000 | | | | 3.452% due 4/15/51 | | | | | 166,075 | | |
| | | 105,000 | | | | FTS International Inc., Senior Secured Notes, 6.250% due 5/1/22 | | | | | 36,750 | | |
| | | 1,400,000 | | | | Geopark Ltd., Company Guaranteed Notes, 6.500% due 9/21/24 | | | | | 1,354,500 | | |
| | | 200,000 | | | | Gran Tierra Energy Inc., Company Guaranteed Notes, 7.750% due 5/23/27(c) | | | | | 83,947 | | |
| | | 1,100,000 | | | | Gran Tierra Energy International Holdings Ltd., Company Guaranteed Notes, 6.250% due 2/15/25 | | | | | 461,709 | | |
| | | 175,000 | | | | Gulfport Energy Corp., Company Guaranteed Notes, 6.375% due 5/15/25 | | | | | 103,250 | | |
| | | | | | | Halliburton Co., Senior Unsecured Notes: | | | |||||
| | | 620,000 | | | | 2.920% due 3/1/30 | | | | | 628,454 | | |
| | | 150,000 | | | | 5.000% due 11/15/45 | | | | | 164,241 | | |
| | | 100,000 | | | | Hess Corp., Senior Unsecured Notes, 5.800% due 4/1/47 | | | | | 113,918 | | |
| | | | | | | Hess Midstream Operations LP, Company Guaranteed Notes: | | | |||||
| | | 160,000 | | | | 5.625% due 2/15/26(c) | | | | | 166,470 | | |
| | | 145,000 | | | | 5.125% due 6/15/28(c) | | | | | 149,077 | | |
| | | 190,000 | | | | Hilcorp Energy I LP/Hilcorp Finance Co., Senior Unsecured Notes, 6.250% due 11/1/28(c) | | | | | 178,600 | | |
| | | 200,000 | | | | Hunt Oil Co. of Peru LLC Sucursal Del Peru, Senior Unsecured Notes, 6.375% due 6/1/28 | | | | | 200,200 | | |
| | | 600,000 | | | | Indian Oil Corp., Ltd., Senior Unsecured Notes, 5.625% due 8/2/21 | | | | | 619,500 | | |
| | | 90,000 | | | | Indigo Natural Resources LLC, Senior Unsecured Notes, 6.875% due 2/15/26(c) | | | | | 92,025 | | |
| | | | | | | Kinder Morgan Energy Partners LP, Company Guaranteed Notes: | | | |||||
| | | 100,000 | | | | 4.250% due 9/1/24 | | | | | 111,518 | | |
| | | 150,000 | | | | 6.950% due 1/15/38 | | | | | 198,887 | | |
| | | 75,000 | | | | 5.000% due 8/15/42 | | | | | 83,543 | | |
| | | | | | | Kinder Morgan Inc., Company Guaranteed Notes: | | | |||||
| | | 200,000 | | | | 4.300% due 6/1/25 | | | | | 227,041 | | |
| | | 150,000 | | | | 5.050% due 2/15/46 | | | | | 177,089 | | |
| | | 100,000 | | | | Magellan Midstream Partners LP, Senior Unsecured Notes, 3.950% due 3/1/50 | | | | | 104,994 | | |
| | | 50,000 | | | | Marathon Oil Corp., Senior Unsecured Notes, 5.200% due 6/1/45 | | | | | 49,689 | | |
| | | | | | | Marathon Petroleum Corp., Senior Unsecured Notes: | | | |||||
| | | 200,000 | | | | 4.700% due 5/1/25 | | | | | 228,303 | | |
| | | 75,000 | | | | 6.500% due 3/1/41 | | | | | 95,680 | | |
| | | 300,000 | | | | Medco Bell Pte Ltd., Senior Secured Notes, 6.375% due 1/30/27(c) | | | | | 282,000 | | |
| | | 215,000 | | | | MEG Energy Corp., Company Guaranteed Notes, 7.125% due 2/1/27(c) | | | | | 205,706 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | $ | 120,000 | | | | Moss Creek Resources Holdings Inc., Company Guaranteed Notes, 7.500% due 1/15/26(c) | | | | $ | 82,200 | | |
| | | | | | | MPLX LP, Senior Unsecured Notes: | | | |||||
| | | 425,000 | | | | 1.750% due 3/1/26 | | | | | 424,871 | | |
| | | 200,000 | | | | 4.125% due 3/1/27 | | | | | 221,221 | | |
| | | 250,000 | | | | 5.200% due 3/1/47 | | | | | 282,841 | | |
| | | 105,000 | | | | Nabors Industries Ltd., Company Guaranteed Notes, 7.250% due 1/15/26(c) | | | | | 47,250 | | |
| | | 90,000 | | | | NGL Energy Partners LP/NGL Energy Finance Corp., Company Guaranteed Notes, 7.500% due 4/15/26 | | | | | 59,850 | | |
| | | | | | | Noble Energy Inc., Senior Unsecured Notes: | | | |||||
| | | 150,000 | | | | 3.850% due 1/15/28 | | | | | 170,147 | | |
| | | 100,000 | | | | 4.950% due 8/15/47 | | | | | 130,960 | | |
| | | 265,000 | | | | NuStar Logistics LP, Company Guaranteed Notes, 6.000% due 6/1/26 | | | | | 277,341 | | |
| | | | | | | Oasis Petroleum Inc., Company Guaranteed Notes: | | | |||||
| | | 125,000 | | | | 6.875% due 3/15/22 | | | | | 24,297 | | |
| | | 100,000 | | | | 6.250% due 5/1/26(c) | | | | | 18,000 | | |
| | | | | | | Occidental Petroleum Corp., Senior Unsecured Notes: | | | |||||
| | | 160,000 | | | | 2.700% due 8/15/22 | | | | | 157,308 | | |
| | | 95,000 | | | | 8.000% due 7/15/25 | | | | | 103,361 | | |
| | | 275,000 | | | | 3.500% due 8/15/29 | | | | | 236,500 | | |
| | | 225,000 | | | | 6.625% due 9/1/30 | | | | | 231,188 | | |
| | | 200,000 | | | | Oleoducto Central SA, Senior Unsecured Notes, 4.000% due 5/7/21 | | | | | 202,975 | | |
| | | | | | | ONEOK Inc., Company Guaranteed Notes: | | | |||||
| | | 100,000 | | | | 4.000% due 7/13/27 | | | | | 104,383 | | |
| | | 100,000 | | | | 5.200% due 7/15/48 | | | | | 98,126 | | |
| | | 150,000 | | | | 4.450% due 9/1/49 | | | | | 134,916 | | |
| | | 400,000 | | | | ONGC Videsh Vankorneft Pte Ltd., Company Guaranteed Notes, 2.875% due 1/27/22 | | | | | 404,088 | | |
| | | 100,000 | | | | Ovintiv Inc., Company Guaranteed Notes, 6.500% due 2/1/38 | | | | | 94,760 | | |
| | | 260,000 | | | | Par Petroleum LLC/Par Petroleum Finance Corp., Senior Secured Notes, 7.750% due 12/15/25(c) | | | | | 239,200 | | |
| | | 205,000 | | | | Parkland Corp., Company Guaranteed Notes, 5.875% due 7/15/27(c) | | | | | 218,838 | | |
| | | 210,000 | | | | Parsley Energy LLC/Parsley Finance Corp., Company Guaranteed Notes, 5.625% due 10/15/27(c) | | | | | 217,350 | | |
| | | 85,000 | | | | PBF Holding Co. LLC/PBF Finance Corp., Company Guaranteed Notes, 6.000% due 2/15/28(c) | | | | | 71,676 | | |
| | | 135,000 | | | | Peabody Energy Corp., Senior Secured Notes, 6.000% due 3/31/22(c) | | | | | 62,775 | | |
| | | 450,000 | | | | Pertamina Persero PT, Senior Unsecured Notes, 4.300% due 5/20/23 | | | | | 481,500 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | $ | 750,000 | | | | Peru LNG Srl, Senior Unsecured Notes, 5.375% due 3/22/30 | | | | $ | 575,123 | | |
| | | 200,000 | | | | Petronas Capital Ltd., Company Guaranteed Notes, 3.500% due 4/21/30(c) | | | | | 226,579 | | |
| | | | | | | Phillips 66, Company Guaranteed Notes: | | | |||||
| | | 250,000 | | | | 4.300% due 4/1/22 | | | | | 264,866 | | |
| | | 150,000 | | | | 4.875% due 11/15/44 | | | | | 181,993 | | |
| | | | | | | Plains All American Pipeline LP/PAA Finance Corp., Senior Unsecured Notes: | | | |||||
| | | 100,000 | | | | 4.500% due 12/15/26 | | | | | 108,996 | | |
| | | 100,000 | | | | 4.900% due 2/15/45 | | | | | 95,515 | | |
| | | 200,000 | | | | PTTEP Treasury Center Co., Ltd., Company Guaranteed Notes, 2.587% due 6/10/27(c) | | | | | 207,583 | | |
| | | 235,000 | | | | QEP Resources Inc., Senior Unsecured Notes, 5.250% due 5/1/23 | | | | | 192,700 | | |
| | | 110,000 | | | | Rattler Midstream LP, Company Guaranteed Notes, 5.625% due 7/15/25(c) | | | | | 116,325 | | |
| | | 1,500,000 | | | | Reliance Industries Ltd., Senior Unsecured Notes, 5.400% due 2/14/22 | | | | | 1,586,330 | | |
| | | | | | | Sabine Pass Liquefaction LLC, Senior Secured Notes: | | | |||||
| | | 100,000 | | | | 5.750% due 5/15/24 | | | | | 114,561 | | |
| | | 620,000 | | | | 5.000% due 3/15/27 | | | | | 704,598 | | |
| | | 100,000 | | | | 4.200% due 3/15/28 | | | | | 110,021 | | |
| | | | | | | Shell International Finance BV, Company Guaranteed Notes: | | | |||||
| | | 250,000 | | | | 1.750% due 9/12/21 | | | | | 253,791 | | |
| | | 250,000 | | | | 2.500% due 9/12/26 | | | | | 273,574 | | |
| | | 200,000 | | | | 3.875% due 11/13/28 | | | | | 235,631 | | |
| | | 250,000 | | | | 2.375% due 11/7/29 | | | | | 266,112 | | |
| | | 200,000 | | | | 2.750% due 4/6/30 | | | | | 219,661 | | |
| | | 100,000 | | | | 4.000% due 5/10/46 | | | | | 118,600 | | |
| | | 150,000 | | | | 3.750% due 9/12/46 | | | | | 170,557 | | |
| | | 1,300,000 | | | | Sinopec Group Overseas Development 2018 Ltd., Company Guaranteed Notes, 2.700% due 5/13/30(c) | | | | | 1,376,648 | | |
| | | 305,000 | | | | SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., Company Guaranteed Notes, 7.500% due 6/15/25(c) | | | | | 273,356 | | |
| | | | | | | Suncor Energy Inc., Senior Unsecured Notes: | | | |||||
| | | 150,000 | | | | 3.600% due 12/1/24 | | | | | 165,347 | | |
| | | 100,000 | | | | 6.500% due 6/15/38 | | | | | 131,304 | | |
| | | 100,000 | | | | Sunoco Logistics Partners Operations LP, Company Guaranteed Notes, 4.250% due 4/1/24 | | | | | 106,313 | | |
| | | | | | | Sunoco LP/Sunoco Finance Corp., Company Guaranteed Notes: | | | |||||
| | | 195,000 | | | | 5.500% due 2/15/26 | | | | | 200,924 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | $ | 105,000 | | | | 6.000% due 4/15/27 | | | | $ | 111,771 | | |
| | | | | | | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Company Guaranteed Notes: | | | |||||
| | | 125,000 | | | | 6.500% due 7/15/27 | | | | | 135,000 | | |
| | | 240,000 | | | | 4.875% due 2/1/31(c) | | | | | 241,812 | | |
| | | 125,000 | | | | TerraForm Power Operating LLC, Company Guaranteed Notes, 4.250% due 1/31/23(c) | | | | | 129,400 | | |
| | | | | | | Total Capital International SA, Company Guaranteed Notes: | | | |||||
| | | 500,000 | | | | 3.700% due 1/15/24 | | | | | 551,038 | | |
| | | 200,000 | | | | 3.750% due 4/10/24 | | | | | 222,280 | | |
| | | 50,000 | | | | 3.461% due 7/12/49 | | | | | 55,437 | | |
| | | 150,000 | | | | 3.127% due 5/29/50 | | | | | 157,061 | | |
| | | 715,000 | | | | 3.386% due 6/29/60 | | | | | 775,100 | | |
| | | | | | | TransCanada PipeLines Ltd., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 4.875% due 1/15/26 | | | | | 297,141 | | |
| | | 75,000 | | | | 7.625% due 1/15/39 | | | | | 116,966 | | |
| | | 100,000 | | | | 4.875% due 5/15/48 | | | | | 128,280 | | |
| | | 100,000 | | | | 5.100% due 3/15/49 | | | | | 132,836 | | |
| | | 250,000 | | | | Transcontinental Gas Pipe Line Co. LLC, Senior Unsecured Notes, 7.850% due 2/1/26 | | | | | 326,777 | | |
| | | 110,000 | | | | Transocean Inc., Company Guaranteed Notes, 8.000% due 2/1/27(c) | | | | | 33,688 | | |
| | | 300,000 | | | | Transocean Poseidon Ltd., Senior Secured Notes, 6.875% due 2/1/27(c) | | | | | 249,000 | | |
| | | 110,500 | | | | Transocean Proteus Ltd., Senior Secured Notes, 6.250% due 12/1/24(c) | | | | | 97,240 | | |
| | | 325,000 | | | | USA Compression Partners LP/USA Compression Finance Corp., Company Guaranteed Notes, 6.875% due 9/1/27 | | | | | 336,375 | | |
| | | | | | | Valero Energy Corp., Senior Unsecured Notes: | | | |||||
| | | 545,000 | | | | 2.850% due 4/15/25 | | | | | 582,855 | | |
| | | 250,000 | | | | 4.000% due 4/1/29 | | | | | 281,192 | | |
| | | 75,000 | | | | 4.900% due 3/15/45 | | | | | 88,716 | | |
| | | 60,000 | | | | Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., Company Guaranteed Notes, 8.750% due 4/15/23(c) | | | | | 38,400 | | |
| | | 125,000 | | | | Viper Energy Partners LP, Company Guaranteed Notes, 5.375% due 11/1/27(c) | | | | | 128,750 | | |
| | | 4,000 | | | | Weatherford International Ltd., Company Guaranteed Notes, 11.000% due 12/1/24(c) | | | | | 2,680 | | |
| | | | | | | Western Midstream Operating LP, Senior Unsecured Notes: | | | |||||
| | | 150,000 | | | | 4.100% due 2/1/25 | | | | | 149,643 | | |
| | | 155,000 | | | | 5.050% due 2/1/30 | | | | | 158,906 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | $ | 240,000 | | | | Whiting Petroleum Corp., Company Guaranteed Notes, 6.625% due 1/15/26(f) | | | | $ | 56,400 | | |
| | | | | | | Williams Cos., Inc., Senior Unsecured Notes: | | | |||||
| | | 415,000 | | | | 3.750% due 6/15/27 | | | | | 458,075 | | |
| | | 100,000 | | | | 6.300% due 4/15/40 | | | | | 125,714 | | |
| | | 150,000 | | | | 5.100% due 9/15/45 | | | | | 174,670 | | |
| | | | | | | WPX Energy Inc., Senior Unsecured Notes: | | | |||||
| | | 155,000 | | | | 5.250% due 10/15/27 | | | | | 154,179 | | |
| | | 120,000 | | | | 5.875% due 6/15/28 | | | | | 121,800 | | |
| | | 90,000 | | | | 4.500% due 1/15/30 | | | | | 85,950 | | |
| | | | | | | Total Energy | | | | | 42,575,540 | | |
| Financial – 5.6% | | ||||||||||||
| | | | | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Company Guaranteed Notes: | | ||||||
| | | 350,000 | | | | 3.500% due 5/26/22 | | | | | 351,907 | | |
| | | 200,000 | | | | 6.500% due 7/15/25 | | | | | 217,522 | | |
| | | 30,000 | | | | Aflac Inc., Senior Unsecured Notes, 4.750% due 1/15/49 | | | | | 38,977 | | |
| | | | | | | Air Lease Corp., Senior Unsecured Notes: | | | |||||
| | | 830,000 | | | | 3.250% due 3/1/25 | | | | | 843,401 | | |
| | | 250,000 | | | | 3.625% due 4/1/27 | | | | | 252,236 | | |
| | | | | | | Alexandria Real Estate Equities Inc., Company Guaranteed Notes: | | ||||||
| | | 250,000 | | | | 3.950% due 1/15/28 | | | | | 287,899 | | |
| | | 1,065,000 | | | | 1.875% due 2/1/33 | | | | | 1,052,774 | | |
| | | 130,000 | | | | Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer, Senior Unsecured Notes, 6.750% due 10/15/27(c) | | | | | 137,800 | | |
| | | 100,000 | | | | Allstate Corp., Senior Unsecured Notes, 4.500% due 6/15/43 | | | | | 128,807 | | |
| | | 100,000 | | | | Ally Financial Inc., Company Guaranteed Notes, 8.000% due 11/1/31 | | | | | 135,848 | | |
| | | 50,000 | | | | American Campus Communities Operating Partnership LP, Company Guaranteed Notes, 2.850% due 2/1/30 | | | | | 49,907 | | |
| | | 500,000 | | | | American Express Co., Subordinated Notes, 3.625% due 12/5/24 | | | | | 555,609 | | |
| | | | | | | American International Group Inc., Senior Unsecured Notes: | | | |||||
| | | 200,000 | | | | 2.500% due 6/30/25 | | | | | 213,862 | | |
| | | 75,000 | | | | 3.750% due 7/10/25 | | | | | 84,117 | | |
| | | 250,000 | | | | 4.200% due 4/1/28 | | | | | 291,629 | | |
| | | 200,000 | | | | 3.400% due 6/30/30 | | | | | 221,450 | | |
| | | 150,000 | | | | 4.500% due 7/16/44 | | | | | 175,954 | | |
| | | | | | | American Tower Corp., Senior Unsecured Notes: | | | |||||
| | | 100,000 | | | | 3.500% due 1/31/23 | | | | | 106,840 | | |
| | | 100,000 | | | | 4.000% due 6/1/25 | | | | | 113,576 | | |
| | | 250,000 | | | | 3.800% due 8/15/29 | | | | | 288,836 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 100,000 | | | | Aon PLC, Company Guaranteed Notes, 4.750% due 5/15/45 | | | | $ | 131,104 | | |
| | | 310,000 | | | | AssuredPartners Inc., Senior Unsecured Notes, 7.000% due 8/15/25(c) | | | | | 318,525 | | |
| | | 100,000 | | | | Athene Holding Ltd., Senior Unsecured Notes, 6.150% due 4/3/30 | | | | | 120,866 | | |
| | | 250,000 | | | | Australia & New Zealand Banking Group Ltd., Senior Unsecured Notes, 2.050% due 11/21/22 | | | | | 259,163 | | |
| | | 250,000 | | | | AvalonBay Communities Inc., Senior Unsecured Notes, 3.300% due 6/1/29 | | | | | 284,011 | | |
| | | 510,000 | | | | Avolon Holdings Funding Ltd., Company Guaranteed Notes, 3.250% due 2/15/27(c) | | | | | 438,150 | | |
| | | 300,000 | | | | Banco BBVA Peru SA, Senior Unsecured Notes, 5.000% due 8/26/22 | | | | | 319,500 | | |
| | | 300,000 | | | | Banco Bilbao Vizcaya Argentaria Colombia SA, Subordinated Notes, 4.875% due 4/21/25 | | | | | 313,503 | | |
| | | 400,000 | | | | Banco BTG Pactual SA, Subordinated Notes, 7.750% (5-Year CMT Index + 5.257)% due 2/15/29(b)(c) | | | | | 416,004 | | |
| | | | | | | Banco de Credito del Peru, Subordinated Notes: | | | |||||
| | | 200,000 | | | | 6.125% (3-Month USD-LIBOR + 7.043)% due 4/24/27(b) | | | | | 210,540 | | |
| | | 200,000 | | | | 3.125% (5-Year CMT Index + 3.000)% due 7/1/30(b)(c) | | | | | 201,250 | | |
| | | 800,000 | | | | Banco de Reservas de la Republica Dominicana, Subordinated Notes, 7.000% due 2/1/23 | | | | | 809,000 | | |
| | | | | | | Banco Macro SA, Subordinated Notes: | | | |||||
| | | 650,000 | | | | 6.750% (5-Year USD Swap Rate + 5.463)% due 11/4/26(b) | | | | | 559,007 | | |
| | | 200,000 | | | | 6.750% (5-Year USD Swap Rate + 5.463)% due 11/4/26(b)(c) | | | | | 172,002 | | |
| | | | | | | Banco Mercantil del Norte SA, Junior Subordinated Notes: | | | |||||
| | | 500,000 | | | | 6.875% (5-Year CMT Index + 5.035)% (b)(d) | | | | | 504,375 | | |
| | | 800,000 | | | | 7.625% (5-Year CMT Index + 5.353)% (b)(d) | | | | | 814,000 | | |
| | | 200,000 | | | | Banco Nacional de Panama, Senior Unsecured Notes, 2.500% due 8/11/30(c) | | | | | 202,000 | | |
| | | 200,000 | | | | Banco Santander SA, Senior Unsecured Notes, 4.379% due 4/12/28 | | | | | 228,932 | | |
| | | | | | | Bank of America Corp.: | | | |||||
| | | | | | | Senior Unsecured Notes: | | | |||||
| | | 430,000 | | | | 3.004% (3-Month USD-LIBOR + 0.790)% due 12/20/23(b) | | | | | 453,170 | | |
| | | 750,000 | | | | 3.875% due 8/1/25 | | | | | 856,188 | | |
| | | 500,000 | | | | 3.366% (3-Month USD-LIBOR + 0.810)% due 1/23/26(b) | | | | | 549,698 | | |
| | | 100,000 | | | | 2.015% (3-Month USD-LIBOR + 0.640)% due 2/13/26(b) | | | | | 104,198 | | |
| | | 250,000 | | | | 3.419% (3-Month USD-LIBOR + 1.040)% due 12/20/28(b) | | | | | 279,375 | | |
| | | 250,000 | | | | 3.974% (3-Month USD-LIBOR + 1.210)% due 2/7/30(b) | | | | | 291,779 | | |
| | | 200,000 | | | | 2.496% (3-Month USD-LIBOR + 0.990)% due 2/13/31(b) | | | | | 210,747 | | |
| | | 200,000 | | | | 2.592% (SOFR rate + 2.150)% due 4/29/31(b) | | | | | 212,819 | | |
| | | 1,340,000 | | | | 1.898% (SOFR rate + 1.530)% due 7/23/31(b) | | | | | 1,351,924 | | |
| | | 100,000 | | | | 4.443% (3-Month USD-LIBOR + 1.990)% due 1/20/48(b) | | | | | 128,581 | | |
| | | 150,000 | | | | 4.330% (3-Month USD-LIBOR + 1.520)% due 3/15/50(b) | | | | | 194,025 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 300,000 | | | | 4.083% (3-Month USD-LIBOR + 3.150)% due 3/20/51(b) | | | | $ | 373,462 | | |
| | | 250,000 | | | | Subordinated Notes, 7.750% due 5/14/38 | | | | | 414,246 | | |
| | | 200,000 | | | | Bank of Montreal, Senior Unsecured Notes, 1.850% due 5/1/25 | | | | | 209,991 | | |
| | | | | | | Bank of New York Mellon Corp., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 3.450% due 8/11/23 | | | | | 271,954 | | |
| | | 250,000 | | | | 3.400% due 1/29/28 | | | | | 290,418 | | |
| | | | | | | Bank of Nova Scotia, Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 2.700% due 3/7/22 | | | | | 519,393 | | |
| | | 520,000 | | | | 1.625% due 5/1/23 | | | | | 535,336 | | |
| | | 520,000 | | | | 3.400% due 2/11/24 | | | | | 568,262 | | |
| | | | | | | Barclays PLC, Senior Unsecured Notes: | | | |||||
| | | 200,000 | | | | 4.610% (3-Month USD-LIBOR + 1.400)% due 2/15/23(b) | | | | | 210,274 | | |
| | | 200,000 | | | | 2.852% (3-Month USD-LIBOR + 2.452)% due 5/7/26(b) | | | | | 211,179 | | |
| | | 250,000 | | | | 4.950% due 1/10/47 | | | | | 335,455 | | |
| | | | | | | BBVA Bancomer SA, Subordinated Notes: | | | |||||
| | | 200,000 | | | | 5.350% (5-Year CMT Index + 3.000)% due 11/12/29(b) | | | | | 198,000 | | |
| | | 200,000 | | | | 5.125% (5-Year CMT Index + 2.650)% due 1/18/33(b) | | | | | 192,000 | | |
| | | 1,000,000 | | | | BDO Unibank Inc., Senior Unsecured Notes, 2.950% due 3/6/23 | | | | | 1,030,198 | | |
| | | | | | | Berkshire Hathaway Finance Corp., Company Guaranteed Notes: | | | |||||
| | | 150,000 | | | | 4.200% due 8/15/48 | | | | | 191,860 | | |
| | | 50,000 | | | | 4.250% due 1/15/49 | | | | | 64,637 | | |
| | | | | | | Berkshire Hathaway Inc., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 2.750% due 3/15/23 | | | | | 264,368 | | |
| | | 250,000 | | | | 3.125% due 3/15/26 | | | | | 280,030 | | |
| | | | | | | Boston Properties LP, Senior Unsecured Notes: | | | |||||
| | | 100,000 | | | | 3.200% due 1/15/25 | | | | | 108,686 | | |
| | | 1,610,000 | | | | 3.650% due 2/1/26 | | | | | 1,797,039 | | |
| | | 250,000 | | | | 3.400% due 6/21/29 | | | | | 273,668 | | |
| | | 100,000 | | | | Brighthouse Financial Inc., Senior Unsecured Notes, 3.700% due 6/22/27 | | | | | 105,111 | | |
| | | 100,000 | | | | Brixmor Operating Partnership LP, Senior Unsecured Notes, 3.900% due 3/15/27 | | | | | 104,569 | | |
| | | | | | | Brookfield Finance Inc., Company Guaranteed Notes: | | | |||||
| | | 350,000 | | | | 4.000% due 4/1/24 | | | | | 386,188 | | |
| | | 50,000 | | | | 4.850% due 3/29/29 | | | | | 59,550 | | |
| | | 250,000 | | | | Canadian Imperial Bank of Commerce, Senior Unsecured Notes, 3.100% due 4/2/24 | | | | | 270,780 | | |
| | | | | | | Capital One Financial Corp., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 3.050% due 3/9/22 | | | | | 259,188 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 200,000 | | | | 3.900% due 1/29/24 | | | | $ | 218,656 | | |
| | | 250,000 | | | | 3.750% due 3/9/27 | | | | | 277,308 | | |
| | | 125,000 | | | | CBRE Services Inc., Company Guaranteed Notes, 5.250% due 3/15/25 | | | | | 144,302 | | |
| | | 250,000 | | | | Charles Schwab Corp., Senior Unsecured Notes, 3.200% due 3/2/27 | | | | | 280,322 | | |
| | | 250,000 | | | | Chubb INA Holdings Inc., Company Guaranteed Notes, 3.350% due 5/3/26 | | | | | 285,886 | | |
| | | 200,000 | | | | CIMB Bank Bhd, Senior Unsecured Notes, 1.048% (3-Month USD-LIBOR + 0.780)% due 10/9/24(b) | | | | | 195,992 | | |
| | | | | | | Citigroup Inc.: | | | |||||
| | | | | | | Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 2.750% due 4/25/22 | | | | | 518,028 | | |
| | | 500,000 | | | | 4.044% (3-Month USD-LIBOR + 1.023)% due 6/1/24(b) | | | | | 544,244 | | |
| | | 300,000 | | | | 3.106% (SOFR rate + 2.750)% due 4/8/26(b) | | | | | 325,486 | | |
| | | 1,790,000 | | | | 3.668% (3-Month USD-LIBOR + 1.390)% due 7/24/28(b) | | | | | 2,020,929 | | |
| | | 200,000 | | | | 3.980% (3-Month USD-LIBOR + 1.338)% due 3/20/30(b) | | | | | 232,283 | | |
| | | 300,000 | | | | 4.412% (SOFR rate + 3.914)% due 3/31/31(b) | | | | | 364,346 | | |
| | | 100,000 | | | | 5.316% (SOFR rate + 4.548)% due 3/26/41(b) | | | | | 139,487 | | |
| | | 100,000 | | | | 4.650% due 7/23/48 | | | | | 133,911 | | |
| | | | | | | Subordinated Notes: | | | |||||
| | | 250,000 | | | | 4.450% due 9/29/27 | | | | | 290,192 | | |
| | | 100,000 | | | | 5.300% due 5/6/44 | | | | | 134,130 | | |
| | | 150,000 | | | | 4.750% due 5/18/46 | | | | | 191,622 | | |
| | | 250,000 | | | | Citizens Financial Group Inc., Senior Unsecured Notes, 2.850% due 7/27/26 | | | | | 275,859 | | |
| | | 100,000 | | | | CME Group Inc., Senior Unsecured Notes, 5.300% due 9/15/43 | | | | | 145,736 | | |
| | | 50,000 | | | | Comerica Inc., Senior Unsecured Notes, 4.000% due 2/1/29 | | | | | 57,660 | | |
| | | 875,000 | | | | Commonwealth Bank of Australia, Senior Unsecured Notes, 3.900% due 7/12/47(c) | | | | | 1,074,485 | | |
| | | | | | | Cooperatieve Rabobank UA: | | | |||||
| | | | | | | Company Guaranteed Notes: | | | |||||
| | | 250,000 | | | | 4.375% due 8/4/25 | | | | | 285,067 | | |
| | | 250,000 | | | | 3.750% due 7/21/26 | | | | | 281,828 | | |
| | | 250,000 | | | | Senior Unsecured Notes, 2.750% due 1/10/23 | | | | | 263,671 | | |
| | | 225,000 | | | | Credit Acceptance Corp., Company Guaranteed Notes, 6.625% due 3/15/26 | | | | | 240,750 | | |
| | | | | | | Credit Suisse Group Funding Guernsey Ltd., Company Guaranteed Notes: | | | |||||
| | | 300,000 | | | | 3.800% due 6/9/23 | | | | | 324,016 | | |
| | | 250,000 | | | | 3.750% due 3/26/25 | | | | | 276,830 | | |
| | | 250,000 | | | | 4.550% due 4/17/26 | | | | | 293,183 | | |
| | | | | | | Credito Real SAB de CV SOFOM ER: | | | |||||
| | | 300,000 | | | | Company Guaranteed Notes, 9.500% due 2/7/26(c) | | | | | 281,250 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 803,000 | | | | Junior Subordinated Notes, 9.125% (5-Year CMT Index + 7.026)% (b)(d) | | | | $ | 632,122 | | |
| | | | | | | Crown Castle International Corp., Senior Unsecured Notes: | | | |||||
| | | 300,000 | | | | 3.150% due 7/15/23 | | | | | 320,633 | | |
| | | 100,000 | | | | 3.650% due 9/1/27 | | | | | 113,247 | | |
| | | 795,000 | | | | 4.300% due 2/15/29 | | | | | 938,627 | | |
| | | 100,000 | | | | 4.000% due 11/15/49 | | | | | 116,445 | | |
| | | 50,000 | | | | CubeSmart LP, Company Guaranteed Notes, 3.000% due 2/15/30 | | | | | 53,440 | | |
| | | | | | | DBS Group Holdings Ltd.: | | | |||||
| | | 1,350,000 | | | | Junior Subordinated Notes, 3.600% (5-Year USD Swap Rate + 2.390)% (b)(d) | | | | | 1,368,562 | | |
| | | 200,000 | | | | Senior Unsecured Notes, 0.865% (3-Month USD-LIBOR + 0.620)% due 7/25/22(b) | | | | | 201,128 | | |
| | | 300,000 | | | | Subordinated Notes, 4.520% (5-Year USD 1100 Run ICE Swap Rate + 1.590)% due 12/11/28(b) | | | | | 326,466 | | |
| | | 500,000 | | | | Deutsche Bank AG, Senior Unsecured Notes, 3.950% due 2/27/23 | | | | | 528,271 | | |
| | | 250,000 | | | | Digital Realty Trust LP, Company Guaranteed Notes, 3.600% due 7/1/29 | | | | | 288,752 | | |
| | | 1,100,000 | | | | Discover Financial Services, Senior Unsecured Notes, 4.100% due 2/9/27 | | | | | 1,224,561 | | |
| | | 40,000 | | | | Duke Realty LP, Senior Unsecured Notes, 2.875% due 11/15/29 | | | | | 43,912 | | |
| | | 200,000 | | | | Enstar Group Ltd., Senior Unsecured Notes, 4.500% due 3/10/22 | | | | | 209,166 | | |
| | | | | | | Equinix Inc., Senior Unsecured Notes: | | | |||||
| | | 30,000 | | | | 2.625% due 11/18/24 | | | | | 32,104 | | |
| | | 35,000 | | | | 3.200% due 11/18/29 | | | | | 38,609 | | |
| | | 200,000 | | | | 2.150% due 7/15/30 | | | | | 205,094 | | |
| | | | | | | Equitable Holdings Inc., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 3.900% due 4/20/23 | | | | | 269,363 | | |
| | | 50,000 | | | | 5.000% due 4/20/48 | | | | | 59,019 | | |
| | | 250,000 | | | | ERP Operating LP, Senior Unsecured Notes, 3.000% due 7/1/29 | | | | | 277,815 | | |
| | | 190,000 | | | | ESH Hospitality Inc., Company Guaranteed Notes, 5.250% due 5/1/25(c) | | | | | 192,850 | | |
| | | 100,000 | | | | Essex Portfolio LP, Company Guaranteed Notes, 2.650% due 3/15/32 | | | | | 105,816 | | |
| | | 150,000 | | | | Federal Realty Investment Trust, Senior Unsecured Notes, 3.200% due 6/15/29 | | | | | 158,010 | | |
| | | 250,000 | | | | Fifth Third Bancorp, Senior Unsecured Notes, 3.950% due 3/14/28 | | | | | 294,154 | | |
| | | 250,000 | | | | First Republic Bank, Senior Unsecured Notes, 1.912% (SOFR rate + 0.620)% due 2/12/24(b) | | | | | 257,362 | | |
| | | 200,000 | | | | GE Capital Funding LLC, Company Guaranteed Notes, 4.400% due 5/15/30(c) | | | | | 210,807 | | |
| | | | | | | GE Capital International Funding Co. Unlimited Co., Company Guaranteed Notes: | | ||||||
| | | 250,000 | | | | 3.373% due 11/15/25 | | | | | 264,941 | | |
| | | 200,000 | | | | 4.418% due 11/15/35 | | | | | 206,496 | | |
| | | | | | | Gilex Holding SARL, Senior Secured Notes: | | | |||||
| | | 200,000 | | | | 8.500% due 5/2/23(c) | | | | | 205,002 | | |
| | | 450,000 | | | | 8.500% due 5/2/23 | | | | | 461,254 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES ��� (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 195,000 | | | | Global Aircraft Leasing Co., Ltd., Senior Unsecured Notes, 6.500% due 9/15/24(c)(e) | | | | $ | 114,962 | | |
| | | 1,200,000 | | | | Global Bank Corp., Senior Unsecured Notes, 4.500% due 10/20/21 | | | | | 1,231,380 | | |
| | | 100,000 | | | | Globe Life Inc., Senior Unsecured Notes, 2.150% due 8/15/30 | | | | | 100,490 | | |
| | | 150,000 | | | | GLP Capital LP/GLP Financing II Inc., Company Guaranteed Notes, 5.300% due 1/15/29 | | | | | 165,897 | | |
| | | | | | | Goldman Sachs Group Inc.: | | | |||||
| | | | | | | Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 2.350% due 11/15/21 | | | | | 502,016 | | |
| | | 200,000 | | | | 5.750% due 1/24/22 | | | | | 214,677 | | |
| | | 500,000 | | | | 3.000% due 4/26/22 | | | | | 508,177 | | |
| | | 1,645,000 | | | | 1.450% (3-Month USD-LIBOR + 1.170)% due 5/15/26(b) | | | | | 1,663,095 | | |
| | | 300,000 | | | | 4.223% (3-Month USD-LIBOR + 1.301)% due 5/1/29(b) | | | | | 352,407 | | |
| | | 300,000 | | | | 4.750% due 10/21/45 | | | | | 398,466 | | |
| | | | | | | Subordinated Notes: | | | |||||
| | | 250,000 | | | | 4.250% due 10/21/25 | | | | | 284,597 | | |
| | | 175,000 | | | | 6.750% due 10/1/37 | | | | | 255,668 | | |
| | | 250,000 | | | | 5.150% due 5/22/45 | | | | | 331,282 | | |
| | | 400,000 | | | | Grupo Aval Ltd., Company Guaranteed Notes, 4.750% due 9/26/22 | | | | | 410,000 | | |
| | | 100,000 | | | | Hartford Financial Services Group Inc., Senior Unsecured Notes, 3.600% due 8/19/49 | | | | | 111,664 | | |
| | | 100,000 | | | | Healthcare Trust of America Holdings LP, Company Guaranteed Notes, 3.100% due 2/15/30 | | | | | 105,570 | | |
| | | 150,000 | | | | Healthpeak Properties Inc., Senior Unsecured Notes, 3.500% due 7/15/29 | | | | | 168,223 | | |
| | | 100,000 | | | | Highwoods Realty LP, Senior Unsecured Notes, 3.050% due 2/15/30 | | | | | 103,405 | | |
| | | | | | | Host Hotels & Resorts LP, Senior Unsecured Notes: | | | |||||
| | | 100,000 | | | | 3.875% due 4/1/24 | | | | | 103,929 | | |
| | | 50,000 | | | | 3.375% due 12/15/29 | | | | | 48,570 | | |
| | | | | | | HSBC Holdings PLC: | | | |||||
| | | | | | | Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 3.262% (3-Month USD-LIBOR + 1.055)% due 3/13/23(b) | | | | | 519,975 | | |
| | | 200,000 | | | | 3.600% due 5/25/23 | | | | | 215,043 | | |
| | | 250,000 | | | | 4.041% (3-Month USD-LIBOR + 1.546)% due 3/13/28(b) | | | | | 280,971 | | |
| | | 200,000 | | | | 4.583% (3-Month USD-LIBOR + 1.535)% due 6/19/29(b) | | | | | 233,487 | | |
| | | 200,000 | | | | 4.950% due 3/31/30 | | | | | 246,039 | | |
| | | 200,000 | | | | 3.973% (3-Month USD-LIBOR + 1.610)% due 5/22/30(b) | | | | | 227,386 | | |
| | | 250,000 | | | | Subordinated Notes, 5.250% due 3/14/44 | | | | | 324,644 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 200,000 | | | | Huntington Bancshares Inc., Senior Unsecured Notes, 2.625% due 8/6/24 | | | | $ | 214,101 | | |
| | | | | | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., Company Guaranteed Notes: | | | |||||
| | | 255,000 | | | | 6.250% due 5/15/26 | | | | | 272,212 | | |
| | | 135,000 | | | | 5.250% due 5/15/27 | | | | | 143,437 | | |
| | | 300,000 | | | | Industrial Senior Trust, Company Guaranteed Notes, 5.500% due 11/1/22 | | | | | 311,253 | | |
| | | | | | | ING Groep NV, Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 3.150% due 3/29/22 | | | | | 520,114 | | |
| | | 300,000 | | | | 4.100% due 10/2/23 | | | | | 331,124 | | |
| | | | | | | Intercontinental Exchange Inc.: | | | |||||
| | | | | | | Senior Unsecured Notes: | | | |||||
| | | 200,000 | | | | 2.100% due 6/15/30 | | | | | 207,052 | | |
| | | 25,000 | | | | 4.250% due 9/21/48 | | | | | 31,275 | | |
| | | 200,000 | | | | 3.000% due 9/15/60 | | | | | 206,588 | | |
| | | 250,000 | | | | Company Guaranteed Notes, 3.750% due 12/1/25 | | | | | 284,501 | | |
| | | | | | | Iron Mountain Inc., Company Guaranteed Notes: | | | |||||
| | | 70,000 | | | | 4.875% due 9/15/29(c) | | | | | 72,730 | | |
| | | 100,000 | | | | 4.500% due 2/15/31(c) | | | | | 102,687 | | |
| | | 105,000 | | | | iStar Inc., Senior Unsecured Notes, 4.750% due 10/1/24 | | | | | 104,212 | | |
| | | 100,000 | | | | Jefferies Group LLC/Jefferies Group Capital Finance Inc., Senior Unsecured Notes, 4.850% due 1/15/27 | | | | | 113,491 | | |
| | | | | | | JPMorgan Chase & Co.: | | | |||||
| | | | | | | Senior Unsecured Notes: | | | |||||
| | | 750,000 | | | | 4.500% due 1/24/22 | | | | | 793,259 | | |
| | | 250,000 | | | | 2.972% due 1/15/23 | | | | | 258,817 | | |
| | | 300,000 | | | | 3.207% (3-Month USD-LIBOR + 0.695)% due 4/1/23(b) | | | | | 312,865 | | |
| | | 100,000 | | | | 2.005% (SOFR rate + 1.585)% due 3/13/26(b) | | | | | 104,299 | | |
| | | 100,000 | | | | 2.083% (SOFR rate + 1.850)% due 4/22/26(b) | | | | | 104,936 | | |
| | | 250,000 | | | | 3.782% (3-Month USD-LIBOR + 1.337)% due 2/1/28(b) | | | | | 286,434 | | |
| | | 250,000 | | | | 3.509% (3-Month USD-LIBOR + 0.945)% due 1/23/29(b) | | | | | 282,474 | | |
| | | 250,000 | | | | 4.005% (3-Month USD-LIBOR + 1.120)% due 4/23/29(b) | | | | | 291,008 | | |
| | | 100,000 | | | | 2.522% (SOFR rate + 2.040)% due 4/22/31(b) | | | | | 107,070 | | |
| | | 250,000 | | | | 3.882% (3-Month USD-LIBOR + 1.360)% due 7/24/38(b) | | | | | 299,946 | | |
| | | 100,000 | | | | 3.109% (SOFR rate + 2.460)% due 4/22/41(b) | | | | | 110,027 | | |
| | | 150,000 | | | | 5.400% due 1/6/42 | | | | | 218,742 | | |
| | | 200,000 | | | | 4.260% (3-Month USD-LIBOR + 1.580)% due 2/22/48(b) | | | | | 253,143 | | |
| | | 100,000 | | | | 3.964% (3-Month USD-LIBOR + 1.380)% due 11/15/48(b) | | | | | 122,730 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 200,000 | | | | 3.109% (SOFR rate + 2.440)% due 4/22/51(b) | | | | $ | 215,080 | | |
| | | | | | | Subordinated Notes: | | | |||||
| | | 200,000 | | | | 3.875% due 9/10/24 | | | | | 222,789 | | |
| | | 200,000 | | | | 3.625% due 12/1/27 | | | | | 224,977 | | |
| | | 250,000 | | | | KeyBank NA, Senior Unsecured Notes, 3.375% due 3/7/23 | | | | | 267,453 | | |
| | | 100,000 | | | | KeyCorp, Senior Unsecured Notes, 2.550% due 10/1/29 | | | | | 106,511 | | |
| | | 100,000 | | | | Kilroy Realty LP, Company Guaranteed Notes, 3.050% due 2/15/30 | | | | | 103,902 | | |
| | | 200,000 | | | | Kimco Realty Corp., Senior Unsecured Notes, 3.800% due 4/1/27 | | | | | 218,153 | | |
| | | | | | | Kreditanstalt fuer Wiederaufbau, Government Guaranteed Notes: | | | |||||
| | | 500,000 | | | | 2.500% due 2/15/22 | | | | | 516,510 | | |
| | | 500,000 | | | | 2.125% due 3/7/22 | | | | | 514,498 | | |
| | | 500,000 | | | | 1.750% due 8/22/22 | | | | | 515,155 | | |
| | | 500,000 | | | | 2.375% due 12/29/22 | | | | | 524,956 | | |
| | | 200,000 | | | | 1.625% due 2/15/23 | | | | | 206,835 | | |
| | | 100,000 | | | | 2.500% due 11/20/24 | | | | | 109,087 | | |
| | | 250,000 | | | | 2.875% due 4/3/28 | | | | | 291,645 | | |
| | | | | | | Landwirtschaftliche Rentenbank, Government Guaranteed Notes: | | | |||||
| | | 250,000 | | | | 2.375% due 6/10/25 | | | | | 272,882 | | |
| | | 75,000 | | | | 1.750% due 7/27/26 | | | | | 80,220 | | |
| | | 250,000 | | | | Lincoln National Corp., Senior Unsecured Notes, 3.800% due 3/1/28 | | | | | 283,327 | | |
| | | 200,000 | | | | Lloyds Banking Group PLC, Subordinated Notes, 4.344% due 1/9/48 | | | | | 249,111 | | |
| | | 50,000 | | | | Loews Corp., Senior Unsecured Notes, 4.125% due 5/15/43 | | | | | 56,475 | | |
| | | | | | | Macquarie Group Ltd., Senior Unsecured Notes: | | | |||||
| | | 520,000 | | | | 3.189% (3-Month USD-LIBOR + 1.023)% due 11/28/23(b)(c) | | | | | 544,175 | | |
| | | 1,275,000 | | | | 4.150% (3-Month USD-LIBOR + 1.330)% due 3/27/24(b)(c) | | | | | 1,371,545 | | |
| | | 1,300,000 | | | | Malayan Banking Bhd, Subordinated Notes, 3.905% (5-Year USD Swap Rate + 2.542)% due 10/29/26(b) | | | | | 1,326,975 | | |
| | | 250,000 | | | | Manulife Financial Corp., Subordinated Notes, 4.061% (5-Year USD 1100 Run ICE Swap Rate + 1.647)% due 2/24/32(b) | | | | | 266,855 | | |
| | | | | | | Markel Corp., Senior Unsecured Notes: | | | |||||
| | | 95,000 | | | | 3.350% due 9/17/29 | | | | | 103,829 | | |
| | | 50,000 | | | | 5.000% due 5/20/49 | | | | | 65,438 | | |
| | | | | | | Marsh & McLennan Cos., Inc., Senior Unsecured Notes: | | | |||||
| | | 100,000 | | | | 3.875% due 3/15/24 | | | | | 110,775 | | |
| | | 100,000 | | | | 4.900% due 3/15/49 | | | | | 140,395 | | |
| | | 815,000 | | | | Massachusetts Mutual Life Insurance Co., Subordinated Notes, 3.375% due 4/15/50(c) | | | | | 842,323 | | |
| | | | | | | Mastercard Inc., Senior Unsecured Notes: | | | |||||
| | | 200,000 | | | | 3.350% due 3/26/30 | | | | | 234,551 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 100,000 | | | | 3.950% due 2/26/48 | | | | $ | 125,049 | | |
| | | | | | | MetLife Inc., Senior Unsecured Notes: | | | |||||
| | | 100,000 | | | | 3.600% due 4/10/24 | | | | | 111,257 | | |
| | | 250,000 | | | | 4.600% due 5/13/46 | | | | | 327,678 | | |
| | | 500,000 | | | | Mexarrend SAPI de CV, Senior Unsecured Notes, 10.250% due 7/24/24(c) | | | | | 376,250 | | |
| | | 235,000 | | | | MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer Inc., Company Guaranteed Notes, 5.750% due 2/1/27 | | | | | 259,969 | | |
| | | 250,000 | | | | Mid-America Apartments LP, Senior Unsecured Notes, 3.750% due 6/15/24 | | | | | 271,821 | | |
| | | | | | | Mitsubishi UFJ Financial Group Inc., Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 2.998% due 2/22/22 | | | | | 518,786 | | |
| | | 900,000 | | | | 0.981% (3-Month USD-LIBOR + 0.740)% due 3/2/23(b) | | | | | 902,954 | | |
| | | 200,000 | | | | 3.407% due 3/7/24 | | | | | 217,903 | | |
| | | 250,000 | | | | 3.741% due 3/7/29 | | | | | 288,223 | | |
| | | 200,000 | | | | 3.195% due 7/18/29 | | | | | 222,078 | | |
| | | | | | | Mizuho Financial Group Inc., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 2.953% due 2/28/22 | | | | | 259,090 | | |
| | | 250,000 | | | | 3.663% due 2/28/27 | | | | | 281,673 | | |
| | | | | | | Morgan Stanley: | | | |||||
| | | | | | | Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 2.625% due 11/17/21 | | | | | 513,476 | | |
| | | 500,000 | | | | 3.125% due 1/23/23 | | | | | 530,126 | | |
| | | 1,600,000 | | | | 3.737% (3-Month USD-LIBOR + 0.847)% due 4/24/24(b) | | | | | 1,728,733 | | |
| | | 100,000 | | | | 2.188% (SOFR rate + 1.990)% due 4/28/26(b) | | | | | 105,195 | | |
| | | 250,000 | | | | 3.591% (3-Month USD-LIBOR + 1.340)% due 7/22/28(b) | | | | | 282,311 | | |
| | | 150,000 | | | | 3.772% (3-Month USD-LIBOR + 1.140)% due 1/24/29(b) | | | | | 172,284 | | |
| | | 100,000 | | | | 3.622% (SOFR rate + 3.120)% due 4/1/31(b) | | | | | 116,132 | | |
| | | 250,000 | | | | 6.375% due 7/24/42 | | | | | 395,717 | | |
| | | 100,000 | | | | 5.597% (SOFR rate + 4.840)% due 3/24/51(b) | | | | | 153,677 | | |
| | | 250,000 | | | | Subordinated Notes, 4.350% due 9/8/26 | | | | | 291,847 | | |
| | | 260,000 | | | | MPT Operating Partnership LP/MPT Finance Corp., Company Guaranteed Notes, 5.000% due 10/15/27 | | | | | 274,950 | | |
| | | 300,000 | | | | Multibank Inc., Senior Unsecured Notes, 4.375% due 11/9/22 | | | | | 305,253 | | |
| | | 250,000 | | | | National Australia Bank Ltd., Senior Unsecured Notes, 3.375% due 1/14/26 | | | | | 283,036 | | |
| | | 100,000 | | | | National Retail Properties Inc., Senior Unsecured Notes, 2.500% due 4/15/30 | | | | | 98,219 | | |
| | | | | | | Nationstar Mortgage Holdings Inc., Company Guaranteed Notes: | | | |||||
| | | 30,000 | | | | 6.000% due 1/15/27(c) | | | | | 31,809 | | |
| | | 150,000 | | | | 5.500% due 8/15/28(c) | | | | | 157,762 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | | | | | | Natwest Group PLC, Senior Unsecured Notes: | | | |||||
| | $ | 200,000 | | | | 3.875% due 9/12/23 | | | | $ | 217,018 | | |
| | | 250,000 | | | | 4.892% (3-Month USD-LIBOR + 1.754)% due 5/18/29(b) | | | | | 297,471 | | |
| | | 200,000 | | | | 4.445% (3-Month USD-LIBOR + 1.871)% due 5/8/30(b) | | | | | 234,962 | | |
| | | | | | | Navient Corp., Senior Unsecured Notes: | | | |||||
| | | 300,000 | | | | 6.500% due 6/15/22 | | | | | 312,750 | | |
| | | 100,000 | | | | 5.000% due 3/15/27 | | | | | 96,586 | | |
| | | | | | | NFP Corp.: | | | |||||
| | | 20,000 | | | | Senior Secured Notes, 7.000% due 5/15/25(c) | | | | | 21,500 | | |
| | | 135,000 | | | | Senior Unsecured Notes, 6.875% due 8/15/28(c) | | | | | 141,156 | | |
| | | 200,000 | | | | Nomura Holdings Inc., Senior Unsecured Notes, 2.679% due 7/16/30 | | | | | 207,591 | | |
| | | 400,000 | | | | NongHyup Bank, Senior Unsecured Notes, 1.250% due 7/20/25(c) | | | | | 401,854 | | |
| | | 200,000 | | | | Northern Trust Corp., Subordinated Notes, 3.950% due 10/30/25 | | | | | 231,894 | | |
| | | 1,250,000 | | | | Nuveen Finance LLC, Senior Unsecured Notes, 4.125% due 11/1/24(c) | | | | | 1,418,047 | | |
| | | 500,000 | | | | Oesterreichische Kontrollbank AG, Government Guaranteed Notes, 1.500% due 2/12/25 | | | | | 523,534 | | |
| | | 100,000 | | | | Omega Healthcare Investors Inc., Company Guaranteed Notes, 4.500% due 4/1/27 | | | | | 106,010 | | |
| | | | | | | OneMain Finance Corp., Company Guaranteed Notes: | | | |||||
| | | 115,000 | | | | 7.125% due 3/15/26 | | | | | 131,962 | | |
| | | 40,000 | | | | 6.625% due 1/15/28 | | | | | 45,660 | | |
| | | 90,000 | | | | 5.375% due 11/15/29 | | | | | 95,737 | | |
| | | 450,000 | | | | Operadora de Servicios Mega SA de CV Sofom ER, Senior Unsecured Notes, 8.250% due 2/11/25(c) | | | | | 396,000 | | |
| | | 800,000 | | | | Oversea-Chinese Banking Corp., Ltd., Subordinated Notes, 4.250% due 6/19/24 | | | | | 879,406 | | |
| | | 500,000 | | | | PNC Bank NA, Senior Unsecured Notes, 2.625% due 2/17/22 | | | | | 515,742 | | |
| | | | | | | PNC Financial Services Group Inc.: | | | |||||
| | | 200,000 | | | | Senior Unsecured Notes, 2.550% due 1/22/30 | | | | | 217,221 | | |
| | | 150,000 | | | | Subordinated Notes, 3.900% due 4/29/24 | | | | | 166,221 | | |
| | | 250,000 | | | | Principal Financial Group Inc., Company Guaranteed Notes, 3.700% due 5/15/29 | | | | | 291,116 | | |
| | | 125,000 | | | | Progressive Corp., Senior Unsecured Notes, 4.125% due 4/15/47 | | | | | 161,375 | | |
| | | 100,000 | | | | Prologis LP, Senior Unsecured Notes, 2.250% due 4/15/30 | | | | | 106,473 | | |
| | | | | | | Prudential Financial Inc.: | | | |||||
| | | | | | | Senior Unsecured Notes: | | | |||||
| | | 143,000 | | | | 3.935% due 12/7/49 | | | | | 162,516 | | |
| | | 100,000 | | | | 3.700% due 3/13/51 | | | | | 111,303 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 250,000 | | | | Junior Subordinated Notes, 5.625% (3-Month USD-LIBOR + 3.920)% due 6/15/43(b) | | | | $ | 268,384 | | |
| | | 1,500,000 | | | | Radiant Access Ltd., Company Guaranteed Notes, 4.600%(d) | | | | | 1,496,250 | | |
| | | 75,000 | | | | Realogy Group LLC/Realogy Co.-Issuer Corp., Secured Notes, 7.625% due 6/15/25(c) | | | | | 78,890 | | |
| | | 75,000 | | | | Regency Centers LP, Company Guaranteed Notes, 4.400% due 2/1/47 | | | | | 84,464 | | |
| | | 200,000 | | | | Regions Financial Corp., Senior Unsecured Notes, 3.800% due 8/14/23 | | | | | 218,112 | | |
| | | | | | | Royal Bank of Canada: | | | |||||
| | | 1,995,000 | | | | Senior Unsecured Notes, 2.550% due 7/16/24 | | | | | 2,144,686 | | |
| | | 250,000 | | | | Subordinated Notes, 4.650% due 1/27/26 | | | | | 296,036 | | |
| | | 200,000 | | | | Sabra Health Care LP, Company Guaranteed Notes, 5.125% due 8/15/26 | | | | | 217,792 | | |
| | | | | | | Santander Holdings USA Inc., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 3.700% due 3/28/22 | | | | | 259,711 | | |
| | | 835,000 | | | | 3.400% due 1/18/23 | | | | | 876,037 | | |
| | | 200,000 | | | | 3.500% due 6/7/24 | | | | | 215,146 | | |
| | | 250,000 | | | | Santander UK Group Holdings PLC, Senior Unsecured Notes, 3.373% (3-Month USD-LIBOR + 1.080)% due 1/5/24(b) | | | | | 263,035 | | |
| | | 1,500,000 | | | | SBA Tower Trust, Asset Backed, 3.168% due 4/11/22(c) | | | | | 1,518,926 | | |
| | | | | | | Simon Property Group LP, Senior Unsecured Notes: | | | |||||
| | | 100,000 | | | | 3.375% due 10/1/24 | | | | | 108,483 | | |
| | | 100,000 | | | | 2.450% due 9/13/29 | | | | | 99,981 | | |
| | | 50,000 | | | | 4.250% due 11/30/46 | | | | | 55,266 | | |
| | | 65,000 | | | | 3.250% due 9/13/49 | | | | | 60,791 | | |
| | | | | | | SPARC EM SPC Panama Metro Line 2 SP, Senior Secured Notes: | | | | | | | |
| | | 697,533 | | | | zero coupon, due 12/5/22(c) | | | | | 676,614 | | |
| | | 507,297 | | | | zero coupon, due 12/5/22 | | | | | 492,083 | | |
| | | 200,000 | | | | State Street Corp., Senior Unsecured Notes, 2.400% due 1/24/30 | | | | | 217,032 | | |
| | | | | | | Sumitomo Mitsui Financial Group Inc.: | | | |||||
| | | | | | | Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 2.778% due 10/18/22 | | | | | 261,821 | | |
| | | 630,000 | | | | 1.013% (3-Month USD-LIBOR + 0.740)% due 1/17/23(b) | | | | | 632,416 | | |
| | | 250,000 | | | | 3.102% due 1/17/23 | | | | | 265,102 | | |
| | | 200,000 | | | | 2.448% due 9/27/24 | | | | | 212,795 | | |
| | | 100,000 | | | | 2.632% due 7/14/26 | | | | | 108,637 | | |
| | | 250,000 | | | | Subordinated Notes, 3.202% due 9/17/29 | | | | | 271,262 | | |
| | | 200,000 | | | | SURA Asset Management SA, Company Guaranteed Notes, 4.875% due 4/17/24 | | | | | 218,244 | | |
| | | 350,000 | | | | Synchrony Bank, Senior Unsecured Notes, 3.000% due 6/15/22 | | | | | 361,743 | | |
| | | 250,000 | | | | Toronto-Dominion Bank, Senior Unsecured Notes, 3.250% due 3/11/24 | | | | | 272,675 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | | | | | | Travelers Cos., Inc., Senior Unsecured Notes: | | | |||||
| | $ | 125,000 | | | | 5.350% due 11/1/40 | | | | $ | 174,645 | | |
| | | 100,000 | | | | 4.100% due 3/4/49 | | | | | 124,882 | | |
| | | | | | | Truist Bank: | | | |||||
| | | 250,000 | | | | Senior Unsecured Notes, 3.200% due 4/1/24 | | | | | 272,968 | | |
| | | 250,000 | | | | Subordinated Notes, 2.636% (5-Year CMT Index + 1.150)% due 9/17/29(b) | | | | | 258,695 | | |
| | | 500,000 | | | | Truist Financial Corp., Senior Unsecured Notes, 2.750% due 4/1/22 | | | | | 518,169 | | |
| | | 100,000 | | | | UDR Inc., Company Guaranteed Notes, 3.200% due 1/15/30 | | | | | 111,092 | | |
| | | 1,700,000 | | | | Unifin Financiera SAB de CV, Junior Subordinated Notes, 8.875% (5-Year CMT Index + 6.308)%(b)(d) | | | | | 1,130,500 | | |
| | | | | | | United Overseas Bank Ltd.: | | | |||||
| | | 300,000 | | | | Junior Subordinated Notes, 3.875% (5-Year USD Swap Rate + 1.794)%(b)(d) | | | | | 306,000 | | |
| | | 1,000,000 | | | | Subordinated Notes, 3.500% (5-Year USD Swap Rate + 2.236)% due 9/16/26(b) | | | | | 1,020,740 | | |
| | | 100,000 | | | | Unum Group, Senior Unsecured Notes, 4.000% due 6/15/29 | | | | | 109,290 | | |
| | | | | | | US Bancorp, Senior Unsecured Notes: | | | |||||
| | | 750,000 | | | | 2.625% due 1/24/22 | | | | | 773,385 | | |
| | | 400,000 | | | | 1.375% due 7/22/30 | | | | | 396,035 | | |
| | | 100,000 | | | | Ventas Realty LP, Company Guaranteed Notes, 4.375% due 2/1/45 | | | | | 103,118 | | |
| | | 200,000 | | | | VEREIT Operating Partnership LP, Company Guaranteed Notes, 3.400% due 1/15/28 | | | | | 206,984 | | |
| | | | | | | VICI Properties LP/VICI Note Co., Inc., Company Guaranteed Notes: | | | |||||
| | | 25,000 | | | | 3.750% due 2/15/27(c) | | | | | 24,937 | | |
| | | 125,000 | | | | 4.125% due 8/15/30(c) | | | | | 125,275 | | |
| | | | | | | Visa Inc., Senior Unsecured Notes: | | | |||||
| | | 650,000 | | | | 2.800% due 12/14/22 | | | | | 685,850 | | |
| | | 200,000 | | | | 2.050% due 4/15/30 | | | | | 212,533 | | |
| | | 100,000 | | | | 4.150% due 12/14/35 | | | | | 129,727 | | |
| | | 100,000 | | | | 4.300% due 12/14/45 | | | | | 132,455 | | |
| | | 200,000 | | | | Voya Financial Inc., Company Guaranteed Notes, 3.650% due 6/15/26 | | | | | 226,312 | | |
| | | | | | | Wells Fargo & Co.: | | | |||||
| | | | | | | Senior Unsecured Notes: | | | |||||
| | | 550,000 | | | | 2.625% due 7/22/22 | | | | | 572,145 | | |
| | | 1,060,000 | | | | 3.069% due 1/24/23 | | | | | 1,096,601 | | |
| | | 250,000 | | | | 3.000% due 4/22/26 | | | | | 274,155 | | |
| | | 200,000 | | | | 3.000% due 10/23/26 | | | | | 220,664 | | |
| | | 1,125,000 | | | | 3.584% (3-Month USD-LIBOR + 1.310)% due 5/22/28(b) | | | | | 1,260,209 | | |
| | | 250,000 | | | | 4.150% due 1/24/29 | | | | | 294,710 | | |
| | | 200,000 | | | | 5.013% (3-Month USD-LIBOR + 4.240)% due 4/4/51(b) | | | | | 272,270 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | | | | | | Subordinated Notes: | | | |||||
| | $ | 500,000 | | | | 3.450% due 2/13/23 | | | | $ | 531,570 | | |
| | | 200,000 | | | | 4.900% due 11/17/45 | | | | | 254,220 | | |
| | | 250,000 | | | | 4.400% due 6/14/46 | | | | | 298,526 | | |
| | | 250,000 | | | | 4.750% due 12/7/46 | | | | | 315,248 | | |
| | | 1,670,000 | | | | Welltower Inc., Senior Unsecured Notes, 4.125% due 3/15/29 | | | | | 1,875,683 | | |
| | | 250,000 | | | | Western Union Co., Senior Unsecured Notes, 3.600% due 3/15/22 | | | | | 260,277 | | |
| | | | | | | Westpac Banking Corp., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 3.650% due 5/15/23 | | | | | 271,272 | | |
| | | 200,000 | | | | 2.350% due 2/19/25 | | | | | 213,771 | | |
| | | 250,000 | | | | 3.350% due 3/8/27 | | | | | 286,980 | | |
| | | 100,000 | | | | 2.650% due 1/16/30 | | | | | 110,820 | | |
| | | 75,000 | | | | WeWork Cos., Inc., Company Guaranteed Notes, 7.875% due 5/1/25(c) | | | | | 49,875 | | |
| | | 250,000 | | | | Weyerhaeuser Co., Senior Unsecured Notes, 4.625% due 9/15/23 | | | | | 278,374 | | |
| | | | | | | Willis North America Inc., Company Guaranteed Notes: | | | |||||
| | | 50,000 | | | | 4.500% due 9/15/28 | | | | | 59,551 | | |
| | | 100,000 | | | | 2.950% due 9/15/29 | | | | | 108,251 | | |
| | | 745,000 | | | | 3.875% due 9/15/49 | | | | | 856,167 | | |
| | | 55,000 | | | | XHR LP, Senior Secured Notes, 6.375% due 8/15/25(c) | | | | | 56,444 | | |
| | | 250,000 | | | | Zions Bancorp NA, Subordinated Notes, 3.250% due 10/29/29 | | | | | 249,899 | | |
| | | | | | | Total Financial | | | | | 117,837,741 | | |
| Government – 0.4% | | ||||||||||||
| | | 250,000 | | | | African Development Bank, Senior Unsecured Notes, 1.625% due 9/16/22 | | | | | 257,153 | | |
| | | | | | | Asian Development Bank, Senior Unsecured Notes: | | | |||||
| | | 1,500,000 | | | | 2.000% due 2/16/22 | | | | | 1,537,816 | | |
| | | 500,000 | | | | 1.875% due 1/24/30 | | | | | 546,208 | | |
| | | | | | | European Investment Bank, Senior Unsecured Notes: | | | |||||
| | | 1,400,000 | | | | 2.625% due 5/20/22 | | | | | 1,457,561 | | |
| | | 500,000 | | | | 3.250% due 1/29/24 | | | | | 550,292 | | |
| | | 250,000 | | | | 2.625% due 3/15/24 | | | | | 270,573 | | |
| | | 500,000 | | | | 2.250% due 6/24/24 | | | | | 537,121 | | |
| | | | | | | Inter-American Development Bank, Senior Unsecured Notes: | | | |||||
| | | 200,000 | | | | 0.500% due 5/24/23 | | | | | 201,345 | | |
| | | 500,000 | | | | 0.875% due 4/3/25 | | | | | 510,410 | | |
| | | 500,000 | | | | 2.375% due 7/7/27 | | | | | 556,450 | | |
| | | 200,000 | | | | 4.375% due 1/24/44 | | | | | 305,140 | | |
| | | 500,000 | | | | International Finance Corp., Senior Unsecured Notes, 2.875% due 7/31/23 | | | | | 537,845 | | |
| | | 300,000 | | | | Malaysia Sovereign Sukuk Bhd, Unsecured Notes, 3.043% due 4/22/25 | | | | | 324,138 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Government – (continued) | | ||||||||||||
| | $ | 500,000 | | | | Svensk Exportkredit AB, Senior Unsecured Notes, 2.375% due 3/9/22 | | | | $ | 515,555 | | |
| | | | | | | Total Government | | | | | 8,107,607 | | |
| Industrial – 1.5% | | ||||||||||||
| | | | | | | 3M Co., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 2.750% due 3/1/22 | | | | | 259,225 | | |
| | | 250,000 | | | | 3.375% due 3/1/29 | | | | | 287,554 | | |
| | | 100,000 | | | | 3.250% due 8/26/49 | | | | | 113,245 | | |
| | | 130,000 | | | | Advanced Drainage Systems Inc., Company Guaranteed Notes, 5.000% due 9/30/27(c) | | | | | 135,574 | | |
| | | 255,000 | | | | AECOM, Company Guaranteed Notes, 5.125% due 3/15/27 | | | | | 279,620 | | |
| | | 65,000 | | | | Agilent Technologies Inc., Senior Unsecured Notes, 2.750% due 9/15/29 | | | | | 70,301 | | |
| | | 100,000 | | | | Allegion PLC, Company Guaranteed Notes, 3.500% due 10/1/29 | | | | | 108,883 | | |
| | | 100,000 | | | | Amphenol Corp., Senior Unsecured Notes, 2.800% due 2/15/30 | | | | | 109,565 | | |
| | | 615,000 | | | | Arrow Electronics Inc., Senior Unsecured Notes, 3.875% due 1/12/28 | | | | | 672,417 | | |
| | | 230,000 | | | | Berry Global Inc., Secured Notes, 5.625% due 7/15/27(c) | | | | | 243,225 | | |
| | | | | | | Boeing Co., Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 2.125% due 3/1/22 | | | | | 503,869 | | |
| | | 200,000 | | | | 4.875% due 5/1/25 | | | | | 217,556 | | |
| | | 100,000 | | | | 3.200% due 3/1/29 | | | | | 99,095 | | |
| | | 200,000 | | | | 5.150% due 5/1/30 | | | | | 223,933 | | |
| | | 100,000 | | | | 5.705% due 5/1/40 | | | | | 115,943 | | |
| | | 250,000 | | | | 3.650% due 3/1/47 | | | | | 215,602 | | |
| | | 250,000 | | | | 5.805% due 5/1/50 | | | | | 298,652 | | |
| | | | | | | Bombardier Inc., Senior Unsecured Notes: | | | |||||
| | | 105,000 | | | | 6.000% due 10/15/22(c) | | | | | 89,250 | | |
| | | 110,000 | | | | 7.875% due 4/15/27(c) | | | | | 79,717 | | |
| | | | | | | Builders FirstSource Inc.: | | | |||||
| | | 140,000 | | | | Company Guaranteed Notes, 5.000% due 3/1/30(c) | | | | | 149,450 | | |
| | | 64,000 | | | | Senior Secured Notes, 6.750% due 6/1/27(c) | | | | | 69,760 | | |
| | | | | | | Burlington Northern Santa Fe LLC, Senior Unsecured Notes: | | | |||||
| | | 150,000 | | | | 3.250% due 6/15/27 | | | | | 170,722 | | |
| | | 100,000 | | | | 4.150% due 4/1/45 | | | | | 126,025 | | |
| | | 250,000 | | | | 4.125% due 6/15/47 | | | | | 313,750 | | |
| | | 100,000 | | | | 3.550% due 2/15/50 | | | | | 118,662 | | |
| | | 95,000 | | | | BWX Technologies Inc., Company Guaranteed Notes, 4.125% due 6/30/28(c) | | | | | 99,037 | | |
| | | 100,000 | | | | Canadian National Railway Co., Senior Unsecured Notes, 4.450% due 1/20/49 | | | | | 137,026 | | |
| | | | | | | Canadian Pacific Railway Co.: | | | |||||
| | | 250,000 | | | | Company Guaranteed Notes, 4.000% due 6/1/28 | | | | | 294,627 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Industrial – (continued) | | ||||||||||||
| | $ | 100,000 | | | | Senior Unsecured Notes, 2.900% due 2/1/25 | | | | $ | 109,153 | | |
| | | 660,000 | | | | Carrier Global Corp., Senior Unsecured Notes, 3.577% due 4/5/50(c) | | | | | 699,291 | | |
| | | | | | | Caterpillar Inc., Senior Unsecured Notes: | | | |||||
| | | 1,510,000 | | | | 3.400% due 5/15/24 | | | | | 1,658,102 | | |
| | | 250,000 | | | | 2.600% due 9/19/29 | | | | | 274,440 | | |
| | | 100,000 | | | | 3.803% due 8/15/42 | | | | | 122,465 | | |
| | | 100,000 | | | | 3.250% due 4/9/50 | | | | | 112,168 | | |
| | | | | | | Clean Harbors Inc., Company Guaranteed Notes: | | | |||||
| | | 250,000 | | | | 4.875% due 7/15/27(c) | | | | | 262,280 | | |
| | | 45,000 | | | | 5.125% due 7/15/29(c) | | | | | 49,424 | | |
| | | 270,000 | | | | Colfax Corp., Company Guaranteed Notes, 6.375% due 2/15/26(c) | | | | | 290,250 | | |
| | | 135,000 | | | | Crown Americas LLC/Crown Americas Capital Corp. IV, Company Guaranteed Notes, 4.500% due 1/15/23 | | | | | 141,753 | | |
| | | | | | | CSX Corp., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 2.600% due 11/1/26 | | | | | 274,337 | | |
| | | 100,000 | | | | 4.300% due 3/1/48 | | | | | 126,045 | | |
| | | 745,000 | | | | 3.350% due 9/15/49 | | | | | 833,647 | | |
| | | 200,000 | | | | 4.500% due 8/1/54 | | | | | 262,123 | | |
| | | 100,000 | | | | Deere & Co., Senior Unsecured Notes, 3.750% due 4/15/50 | | | | | 122,694 | | |
| | | 100,000 | | | | Eaton Corp., Company Guaranteed Notes, 4.150% due 11/2/42 | | | | | 124,562 | | |
| | | 165,000 | | | | Energizer Holdings Inc., Company Guaranteed Notes, 7.750% due 1/15/27(c) | | | | | 180,722 | | |
| | | | | | | FedEx Corp., Company Guaranteed Notes: | | | |||||
| | | 300,000 | | | | 3.400% due 1/14/22 | | | | | 312,023 | | |
| | | 100,000 | | | | 3.300% due 3/15/27 | | | | | 110,338 | | |
| | | 310,000 | | | | 4.750% due 11/15/45 | | | | | 376,921 | | |
| | | 200,000 | | | | 4.400% due 1/15/47 | | | | | 229,945 | | |
| | | 100,000 | | | | 5.250% due 5/15/50 | | | | | 131,561 | | |
| | | 200,000 | | | | Fideicomiso PA Pacifico Tres, Senior Secured Notes, 8.250% due 1/15/35 | | | | | 230,600 | | |
| | | 225,000 | | | | Flex Acquisition Co., Inc., Senior Unsecured Notes, 6.875% due 1/15/25(c) | | | | | 229,342 | | |
| | | 100,000 | | | | Fortune Brands Home & Security Inc., Senior Unsecured Notes, 3.250% due 9/15/29 | | | | | 111,566 | | |
| | | 265,000 | | | | frontdoor Inc., Company Guaranteed Notes, 6.750% due 8/15/26(c) | | | | | 284,875 | | |
| | | 160,000 | | | | Gates Global LLC/Gates Corp., Company Guaranteed Notes, 6.250% due 1/15/26(c) | | | | | 164,800 | | |
| | | 100,000 | | | | GATX Corp., Senior Unsecured Notes, 3.850% due 3/30/27 | | | | | 108,336 | | |
| | | | | | | General Dynamics Corp., Company Guaranteed Notes: | | | |||||
| | | 100,000 | | | | 3.625% due 4/1/30 | | | | | 118,595 | | |
| | | 100,000 | | | | 4.250% due 4/1/40 | | | | | 125,418 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Industrial – (continued) | | ||||||||||||
| | | | | | | General Electric Co., Senior Unsecured Notes: | | | |||||
| | $ | 200,000 | | | | 3.450% due 5/1/27 | | | | $ | 212,335 | | |
| | | 100,000 | | | | 3.625% due 5/1/30 | | | | | 102,948 | | |
| | | 200,000 | | | | 6.750% due 3/15/32 | | | | | 250,496 | | |
| | | 430,000 | | | | 5.875% due 1/14/38 | | | | | 496,568 | | |
| | | 12,000 | | | | 4.125% due 10/9/42 | | | | | 12,035 | | |
| | | 100,000 | | | | 4.350% due 5/1/50 | | | | | 101,606 | | |
| | | | | | | GFL Environmental Inc.: | | | |||||
| | | | | | | Senior Secured Notes: | | | |||||
| | | 65,000 | | | | 4.250% due 6/1/25(c) | | | | | 66,219 | | |
| | | 105,000 | | | | 3.750% due 8/1/25(c) | | | | | 105,651 | | |
| | | 160,000 | | | | 5.125% due 12/15/26(c) | | | | | 168,934 | | |
| | | 54,000 | | | | Senior Unsecured Notes, 8.500% due 5/1/27(c) | | | | | 58,745 | | |
| | | 310,000 | | | | Griffon Corp., Company Guaranteed Notes, 5.750% due 3/1/28 | | | | | 328,987 | | |
| | | 85,000 | | | | Hillman Group Inc., Company Guaranteed Notes, 6.375% due 7/15/22(c) | | | | | 83,300 | | |
| | | | | | | Honeywell International Inc., Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 1.850% due 11/1/21 | | | | | 508,304 | | |
| | | 75,000 | | | | 2.500% due 11/1/26 | | | | | 82,578 | | |
| | | 100,000 | | | | 2.800% due 6/1/50 | | | | | 108,056 | | |
| | | 100,000 | | | | Howmet Aerospace Inc., Senior Unsecured Notes, 6.875% due 5/1/25 | | | | | 114,264 | | |
| | | 100,000 | | | | Illinois Tool Works Inc., Senior Unsecured Notes, 2.650% due 11/15/26 | | | | | 111,403 | | |
| | | 20,000 | | | | Intelligent Packaging Ltd. Finco Inc./Intelligent Packaging Ltd. Co.-Issuer LLC, Senior Secured Notes, 6.000% due 9/15/28(c) | | | | | 20,400 | | |
| | | 240,000 | | | | Jeld-Wen Inc., Company Guaranteed Notes, 4.625% due 12/15/25(c) | | | | | 241,200 | | |
| | | | | | | John Deere Capital Corp., Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 2.950% due 4/1/22 | | | | | 520,761 | | |
| | | 100,000 | | | | 2.250% due 9/14/26 | | | | | 108,540 | | |
| | | 250,000 | | | | 2.800% due 9/8/27 | | | | | 278,868 | | |
| | | 100,000 | | | | Johnson Controls International PLC, Senior Unsecured Notes, 4.500% due 2/15/47 | | | | | 120,075 | | |
| | | | | | | Kansas City Southern, Company Guaranteed Notes: | | | |||||
| | | 60,000 | | | | 2.875% due 11/15/29 | | | | | 62,270 | | |
| | | 75,000 | | | | 3.500% due 5/1/50 | | | | | 77,125 | | |
| | | 30,000 | | | | Kenan Advantage Group Inc., Senior Unsecured Notes, 7.875% due 7/31/23(c) | | | | | 28,569 | | |
| | | 160,000 | | | | Kratos Defense & Security Solutions Inc., Senior Secured Notes, 6.500% due 11/30/25(c) | | | | | 168,000 | | |
| | | 250,000 | | | | L3Harris Technologies Inc., Senior Unsecured Notes, 4.400% due 6/15/28 | | | | | 298,133 | | |
| | | | | | | Lockheed Martin Corp., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 3.550% due 1/15/26 | | | | | 285,360 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Industrial – (continued) | | ||||||||||||
| | $ | 150,000 | | | | 4.700% due 5/15/46 | | | | $ | 204,463 | | |
| | | 155,000 | | | | Masonite International Corp., Company Guaranteed Notes, 5.750% due 9/15/26(c) | | | | | 162,728 | | |
| | | | | | | Norfolk Southern Corp., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 2.900% due 6/15/26 | | | | | 277,666 | | |
| | | 250,000 | | | | 3.800% due 8/1/28 | | | | | 295,882 | | |
| | | 100,000 | | | | 3.400% due 11/1/49 | | | | | 110,936 | | |
| | | | | | | Northrop Grumman Corp., Senior Unsecured Notes: | | | |||||
| | | 200,000 | | | | 2.550% due 10/15/22 | | | | | 209,215 | | |
| | | 200,000 | | | | 4.030% due 10/15/47 | | | | | 243,566 | | |
| | | 100,000 | | | | Otis Worldwide Corp., Senior Unsecured Notes, 2.565% due 2/15/30(c) | | | | | 106,691 | | |
| | | 100,000 | | | | Owens Corning, Senior Unsecured Notes, 3.400% due 8/15/26 | | | | | 107,676 | | |
| | | | | | | Parker-Hannifin Corp., Senior Unsecured Notes: | | | |||||
| | | 100,000 | | | | 3.250% due 3/1/27 | | | | | 110,344 | | |
| | | 150,000 | | | | 4.100% due 3/1/47 | | | | | 181,149 | | |
| | | | | | | Penske Truck Leasing Co. LP/PTL Finance Corp., Senior Unsecured Notes: | | | |||||
| | | 40,000 | | | | 3.400% due 11/15/26(c) | | | | | 43,902 | | |
| | | 300,000 | | | | 4.200% due 4/1/27(c) | | | | | 337,829 | | |
| | | 50,000 | | | | PerkinElmer Inc., Senior Unsecured Notes, 3.300% due 9/15/29 | | | | | 55,450 | | |
| | | | | | | Raytheon Technologies Corp., Senior Unsecured Notes: | | | |||||
| | | 100,000 | | | | 3.200% due 3/15/24(c) | | | | | 108,080 | | |
| | | 75,000 | | | | 3.950% due 8/16/25 | | | | | 85,793 | | |
| | | 200,000 | | | | 4.450% due 11/16/38 | | | | | 246,640 | | |
| | | 100,000 | | | | 4.500% due 6/1/42 | | | | | 126,580 | | |
| | | 125,000 | | | | 3.750% due 11/1/46 | | | | | 143,964 | | |
| | | 200,000 | | | | 4.625% due 11/16/48 | | | | | 262,217 | | |
| | | | | | | Republic Services Inc., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 2.500% due 8/15/24 | | | | | 267,020 | | |
| | | 100,000 | | | | 3.050% due 3/1/50 | | | | | 106,325 | | |
| | | 25,000 | | | | Rockwell Automation Inc., Senior Unsecured Notes, 4.200% due 3/1/49 | | | | | 32,974 | | |
| | | | | | | Roper Technologies Inc., Senior Unsecured Notes: | | | |||||
| | | 25,000 | | | | 1.000% due 9/15/25 | | | | | 25,159 | | |
| | | 570,000 | | | | 4.200% due 9/15/28 | | | | | 683,367 | | |
| | | 250,000 | | | | 2.950% due 9/15/29 | | | | | 274,183 | | |
| | | | | | | Ryder System Inc., Senior Unsecured Notes: | | | |||||
| | | 300,000 | | | | 2.800% due 3/1/22 | | | | | 309,441 | | |
| | | 30,000 | | | | 2.500% due 9/1/24 | | | | | 31,727 | | |
| | | 90,000 | | | | 2.900% due 12/1/26 | | | | | 96,679 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Industrial – (continued) | | ||||||||||||
| | $ | 225,000 | | | | Silgan Holdings Inc., Senior Unsecured Notes, 4.125% due 2/1/28 | | | | $ | 233,156 | | |
| | | 100,000 | | | | Snap-on Inc., Senior Unsecured Notes, 3.100% due 5/1/50 | | | | | 104,860 | | |
| | | 250,000 | | | | Stanley Black & Decker Inc., Senior Unsecured Notes, 3.400% due 3/1/26 | | | | | 282,974 | | |
| | | 200,000 | | | | Stevens Holding Co., Inc., Company Guaranteed Notes, 6.125% due 10/1/26(c) | | | | | 215,500 | | |
| | | 797,025 | | | | Stoneway Capital Corp., Senior Secured Notes, 10.000% due 3/1/27(f) | | | | | 382,580 | | |
| | | 200,000 | | | | Tecnoglass Inc., Company Guaranteed Notes, 8.200% due 1/31/22 | | | | | 209,000 | | |
| | | 215,000 | | | | Tervita Corp., Secured Notes, 7.625% due 12/1/21(c) | | | | | 180,600 | | |
| | | | | | | Textron Inc., Senior Unsecured Notes: | | | |||||
| | | 100,000 | | | | 3.000% due 6/1/30 | | | | | 104,916 | | |
| | | 1,330,000 | | | | 2.450% due 3/15/31 | | | | | 1,315,699 | | |
| | | 55,000 | | | | Titan Acquisition Ltd./Titan Co.-Borrower LLC, Senior Unsecured Notes, 7.750% due 4/15/26(c) | | | | | 55,413 | | |
| | | 250,000 | | | | Trane Technologies Luxembourg Finance SA, Company Guaranteed Notes, 3.800% due 3/21/29 | | | | | 292,611 | | |
| | | | | | | TransDigm Inc.: | | | |||||
| | | | | | | Company Guaranteed Notes: | | | |||||
| | | 140,000 | | | | 6.375% due 6/15/26 | | | | | 143,126 | | |
| | | 125,000 | | | | 5.500% due 11/15/27 | | | | | 122,025 | | |
| | | | | | | Senior Secured Notes: | | | |||||
| | | 35,000 | | | | 8.000% due 12/15/25(c) | | | | | 38,063 | | |
| | | 220,000 | | | | 6.250% due 3/15/26(c) | | | | | 232,146 | | |
| | | 140,000 | | | | Trident TPI Holdings Inc., Company Guaranteed Notes, 6.625% due 11/1/25(c) | | | | | 138,250 | | |
| | | | | | | Triumph Group Inc.: | | | |||||
| | | 109,000 | | | | Company Guaranteed Notes, 7.750% due 8/15/25 | | | | | 64,583 | | |
| | | 55,000 | | | | Secured Notes, 6.250% due 9/15/24(c) | | | | | 44,991 | | |
| | | 200,000 | | | | Trivium Packaging Finance BV, Senior Secured Notes, 5.500% due 8/15/26(c) | | | | | 210,924 | | |
| | | | | | | Union Pacific Corp., Senior Unsecured Notes: | | | |||||
| | | 200,000 | | | | 3.950% due 9/10/28 | | | | | 237,641 | | |
| | | 250,000 | | | | 3.350% due 8/15/46 | | | | | 270,883 | | |
| | | 590,000 | | | | 4.300% due 3/1/49 | | | | | 758,719 | | |
| | | 150,000 | | | | 3.250% due 2/5/50 | | | | | 164,338 | | |
| | | 125,000 | | | | 3.875% due 2/1/55 | | | | | 150,345 | | |
| | | | | | | United Parcel Service Inc., Senior Unsecured Notes: | | | |||||
| | | 200,000 | | | | 4.450% due 4/1/30 | | | | | 251,442 | | |
| | | 150,000 | | | | 3.750% due 11/15/47 | | | | | 180,545 | | |
| | | 50,000 | | | | 5.300% due 4/1/50 | | | | | 73,529 | | |
| | | 200,000 | | | | Vertical US Newco Inc., Senior Secured Notes, 5.250% due 7/15/27(c) | | | | | 208,250 | | |
| | | 100,000 | | | | Vulcan Materials Co., Senior Unsecured Notes, 4.500% due 6/15/47 | | | | | 115,989 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Industrial – (continued) | | ||||||||||||
| | $ | 100,000 | | | | Waste Management Inc., Company Guaranteed Notes, 4.150% due 7/15/49 | | | | $ | 125,551 | | |
| | | 130,000 | | | | Waste Pro USA Inc., Senior Unsecured Notes, 5.500% due 2/15/26(c) | | | | | 133,539 | | |
| | | | | | | WRKCo Inc., Company Guaranteed Notes: | | | |||||
| | | 740,000 | | | | 3.750% due 3/15/25 | | | | | 831,576 | | |
| | | 250,000 | | | | 4.900% due 3/15/29 | | | | | 307,648 | | |
| | | | | | | Total Industrial | | | | | 32,330,849 | | |
| Technology – 1.1% | | ||||||||||||
| | | 625,000 | | | | Activision Blizzard Inc., Senior Unsecured Notes, 2.500% due 9/15/50 | | | | | 586,328 | | |
| | | | | | | Apple Inc., Senior Unsecured Notes: | | | |||||
| | | 130,000 | | | | 1.700% due 9/11/22 | | | | | 133,866 | | |
| | | 500,000 | | | | 2.850% due 2/23/23 | | | | | 529,247 | | |
| | | 300,000 | | | | 2.400% due 5/3/23 | | | | | 316,660 | | |
| | | 250,000 | | | | 3.000% due 2/9/24 | | | | | 270,467 | | |
| | | 200,000 | | | | 2.050% due 9/11/26 | | | | | 215,013 | | |
| | | 250,000 | | | | 3.350% due 2/9/27 | | | | | 286,108 | | |
| | | 150,000 | | | | 3.000% due 6/20/27 | | | | | 169,137 | | |
| | | 95,000 | | | | 2.200% due 9/11/29 | | | | | 102,673 | | |
| | | 1,675,000 | | | | 1.250% due 8/20/30 | | | | | 1,673,432 | | |
| | | 100,000 | | | | 4.375% due 5/13/45 | | | | | 131,249 | | |
| | | 100,000 | | | | 4.650% due 2/23/46 | | | | | 136,873 | | |
| | | 150,000 | | | | 4.250% due 2/9/47 | | | | | 197,085 | | |
| | | 250,000 | | | | 3.750% due 11/13/47 | | | | | 301,868 | | |
| | | 100,000 | | | | 2.650% due 5/11/50 | | | | | 102,729 | | |
| | | 100,000 | | | | Applied Materials Inc., Senior Unsecured Notes, 4.350% due 4/1/47 | | | | | 135,083 | | |
| | | | | | | Ascend Learning LLC, Senior Unsecured Notes: | | | |||||
| | | 205,000 | | | | 6.875% due 8/1/25(c) | | | | | 211,150 | | |
| | | 125,000 | | | | 6.875% due 8/1/25(c) | | | | | 128,750 | | |
| | | 60,000 | | | | Banff Merger Sub Inc., Senior Unsecured Notes, 9.750% due 9/1/26(c) | | | | | 63,981 | | |
| | | 115,000 | | | | Black Knight InfoServ LLC, Company Guaranteed Notes, 3.625% due 9/1/28(c) | | | | | 116,474 | | |
| | | 15,000 | | | | Boxer Parent Co., Inc., Senior Secured Notes, 7.125% due 10/2/25(c) | | | | | 16,295 | | |
| | | 100,000 | | | | Broadcom Corp./Broadcom Cayman Finance Ltd., Company Guaranteed Notes, 3.625% due 1/15/24 | | | | | 107,978 | | |
| | | | | | | Broadcom Inc., Company Guaranteed Notes: | | | |||||
| | | 200,000 | | | | 4.700% due 4/15/25 | | | | | 228,558 | | |
| | | 795,000 | | | | 3.150% due 11/15/25 | | | | | 860,619 | | |
| | | 200,000 | | | | 4.250% due 4/15/26 | | | | | 226,766 | | |
| | | 250,000 | | | | 4.750% due 4/15/29 | | | | | 292,441 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Technology – (continued) | | ||||||||||||
| | $ | 100,000 | | | | 5.000% due 4/15/30 | | | | $ | 118,852 | | |
| | | 100,000 | | | | 4.300% due 11/15/32 | | | | | 115,268 | | |
| | | 75,000 | | | | BY Crown Parent LLC/BY Bond Finance Inc., Senior Secured Notes, 4.250% due 1/31/26(c) | | | | | 76,586 | | |
| | | 45,000 | | | | Camelot Finance SA, Senior Secured Notes, 4.500% due 11/1/26(c) | | | | | 46,562 | | |
| | | 60,000 | | | | Castle US Holding Corp., Senior Unsecured Notes, 9.500% due 2/15/28(c) | | | | | 57,000 | | |
| | | | | | | Dell International LLC/EMC Corp., Senior Secured Notes: | | | |||||
| | | 100,000 | | | | 5.450% due 6/15/23(c) | | | | | 110,433 | | |
| | | 250,000 | | | | 6.020% due 6/15/26(c) | | | | | 294,327 | | |
| | | 100,000 | | | | 5.300% due 10/1/29(c) | | | | | 114,051 | | |
| | | 100,000 | | | | 8.100% due 7/15/36(c) | | | | | 132,874 | | |
| | | | | | | Dun & Bradstreet Corp.: | | | |||||
| | | 92,000 | | | | Company Guaranteed Notes, 10.250% due 2/15/27(c) | | | | | 104,880 | | |
| | | 100,000 | | | | Senior Secured Notes, 6.875% due 8/15/26(c) | | | | | 108,500 | | |
| | | 150,000 | | | | DXC Technology Co., Senior Unsecured Notes, 4.750% due 4/15/27 | | | | | 167,024 | | |
| | | | | | | Fiserv Inc., Senior Unsecured Notes: | | | |||||
| | | 200,000 | | | | 3.200% due 7/1/26 | | | | | 224,187 | | |
| | | 250,000 | | | | 3.500% due 7/1/29 | | | | | 284,338 | | |
| | | 360,000 | | | | Genesys Telecommunications Laboratories Inc./Greeneden Lux 3 SARL/Greeneden US Ho, Company Guaranteed Notes, 10.000% due 11/30/24(c) | | | | | 382,500 | | |
| | | | | | | Hewlett Packard Enterprise Co., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 2.250% due 4/1/23 | | | | | 259,194 | | |
| | | 150,000 | | | | 6.200% due 10/15/35 | | | | | 187,219 | | |
| | | 100,000 | | | | HP Inc., Senior Unsecured Notes, 6.000% due 9/15/41 | | | | | 122,482 | | |
| | | | | | | Intel Corp., Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 2.700% due 12/15/22 | | | | | 528,039 | | |
| | | 50,000 | | | | 3.400% due 3/25/25 | | | | | 56,101 | | |
| | | 250,000 | | | | 4.100% due 5/19/46 | | | | | 309,478 | | |
| | | 250,000 | | | | 4.750% due 3/25/50 | | | | | 342,730 | | |
| | | 350,000 | | | | 3.100% due 2/15/60 | | | | | 371,567 | | |
| | | | | | | International Business Machines Corp., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 2.500% due 1/27/22 | | | | | 257,746 | | |
| | | 100,000 | | | | 3.300% due 5/15/26 | | | | | 113,517 | | |
| | | 250,000 | | | | 3.300% due 1/27/27 | | | | | 282,946 | | |
| | | 100,000 | | | | 1.700% due 5/15/27 | | | | | 103,490 | | |
| | | 250,000 | | | | 3.500% due 5/15/29 | | | | | 289,806 | | |
| | | 200,000 | | | | 1.950% due 5/15/30 | | | | | 206,598 | | |
| | | 100,000 | | | | 4.000% due 6/20/42 | | | | | 119,644 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Technology – (continued) | | ||||||||||||
| | $ | 100,000 | | | | 4.250% due 5/15/49 | | | | $ | 126,382 | | |
| | | 125,000 | | | | KLA Corp., Senior Unsecured Notes, 4.650% due 11/1/24 | | | | | 143,553 | | |
| | | | | | | Lam Research Corp., Senior Unsecured Notes: | | | |||||
| | | 100,000 | | | | 4.000% due 3/15/29 | | | | | 119,620 | | |
| | | 100,000 | | | | 1.900% due 6/15/30 | | | | | 103,429 | | |
| | | 65,000 | | | | Logan Merger Sub Inc., Company Guaranteed Notes, 5.500% due 9/1/27(c) | | | | | 66,869 | | |
| | | | | | | Micron Technology Inc., Senior Unsecured Notes: | | | |||||
| | | 800,000 | | | | 2.497% due 4/24/23 | | | | | 835,382 | | |
| | | 100,000 | | | | 5.327% due 2/6/29 | | | | | 119,397 | | |
| | | | | | | Microsoft Corp., Senior Unsecured Notes: | | | |||||
| | | 100,000 | | | | 2.400% due 2/6/22 | | | | | 102,850 | | |
| | | 250,000 | | | | 2.875% due 2/6/24 | | | | | 269,793 | | |
| | | 400,000 | | | | 3.125% due 11/3/25 | | | | | 448,600 | | |
| | | 250,000 | | | | 3.300% due 2/6/27 | | | | | 286,003 | | |
| | | 250,000 | | | | 3.450% due 8/8/36 | | | | | 300,051 | | |
| | | 550,000 | | | | 2.525% due 6/1/50 | | | | | 575,403 | | |
| | | 150,000 | | | | 3.950% due 8/8/56 | | | | | 197,072 | | |
| | | 40,000 | | | | MSCI Inc., Company Guaranteed Notes, 3.625% due 9/1/30(c) | | | | | 41,962 | | |
| | | 410,000 | | | | NetApp Inc., Senior Unsecured Notes, 1.875% due 6/22/25 | | | | | 426,464 | | |
| | | | | | | NVIDIA Corp., Senior Unsecured Notes: | | | |||||
| | | 100,000 | | | | 2.850% due 4/1/30 | | | | | 111,464 | | |
| | | 100,000 | | | | 3.500% due 4/1/50 | | | | | 113,040 | | |
| | | 200,000 | | | | NXP BV/NXP Funding LLC/NXP USA Inc., Company Guaranteed Notes, 3.400% due 5/1/30(c) | | | | | 221,423 | | |
| | | | | | | Oracle Corp., Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 1.900% due 9/15/21 | | | | | 507,855 | | |
| | | 100,000 | | | | 2.950% due 11/15/24 | | | | | 109,162 | | |
| | | 100,000 | | | | 2.650% due 7/15/26 | | | | | 109,683 | | |
| | | 400,000 | | | | 2.950% due 4/1/30 | | | | | 447,629 | | |
| | | 250,000 | | | | 3.850% due 7/15/36 | | | | | 293,575 | | |
| | | 100,000 | | | | 3.600% due 4/1/40 | | | | | 112,706 | | |
| | | 250,000 | | | | 4.000% due 7/15/46 | | | | | 293,069 | | |
| | | 200,000 | | | | 4.000% due 11/15/47 | | | | | 235,148 | | |
| | | 840,000 | | | | 3.600% due 4/1/50 | | | | | 937,432 | | |
| | | 100,000 | | | | 3.850% due 4/1/60 | | | | | 115,373 | | |
| | | | | | | QUALCOMM Inc., Senior Unsecured Notes: | | | |||||
| | | 209,000 | | | | 1.300% due 5/20/28(c) | | | | | 209,458 | | |
| | | 100,000 | | | | 4.650% due 5/20/35 | | | | | 134,964 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Technology – (continued) | | ||||||||||||
| | $ | 100,000 | | | | 4.300% due 5/20/47 | | | | $ | 128,024 | | |
| | | 80,000 | | | | Riverbed Technology Inc., Company Guaranteed Notes, 8.875% due 3/1/23(c) | | | | | 56,000 | | |
| | | 60,000 | | | | Science Applications International Corp., Company Guaranteed Notes, 4.875% due 4/1/28(c) | | | | | 62,175 | | |
| | | 200,000 | | | | Seagate HDD Cayman, Company Guaranteed Notes, 4.125% due 1/15/31(c) | | | | | 216,384 | | |
| | | 40,000 | | | | ServiceNow Inc., Senior Unsecured Notes, 1.400% due 9/1/30 | | | | | 39,283 | | |
| | | 230,000 | | | | Sophia LP/Sophia Finance Inc., Senior Unsecured Notes, 9.000% due 9/30/23(c) | | | | | 231,150 | | |
| | | 350,000 | | | | Tempo Acquisition LLC/Tempo Acquisition Finance Corp., Senior Unsecured Notes, 6.750% due 6/1/25(c) | | | | | 357,445 | | |
| | | 100,000 | | | | Texas Instruments Inc., Senior Unsecured Notes, 3.875% due 3/15/39 | | | | | 124,777 | | |
| | | 200,000 | | | | VMware Inc., Senior Unsecured Notes, 3.900% due 8/21/27 | | | | | 222,357 | | |
| | | | | | | Total Technology | | | | | 22,981,175 | | |
| Utilities – 1.5% | | ||||||||||||
| | | 510,000 | | | | AEP Texas Inc., Senior Unsecured Notes, 3.450% due 1/15/50 | | | | | 555,606 | | |
| | | 1,300,000 | | | | AES Andres BV/Dominican Power Partners/Empresa Generadora de Electricidad It, Company Guaranteed Notes, 7.950% due 5/11/26 | | | | | 1,330,888 | | |
| | | | | | | AES Gener SA, Junior Subordinated Notes: | | | |||||
| | | 900,000 | | | | 7.125% (5-Year USD Swap Rate + 4.644)% due 3/26/79(b)(c) | | | | | 960,920 | | |
| | | 300,000 | | | | 7.125% (5-Year USD Swap Rate + 4.644)% due 3/26/79(b) | | | | | 320,307 | | |
| | | 200,000 | | | | 6.350% (5-Year CMT Index + 4.917)% due 10/7/79(b)(c) | | | | | 209,100 | | |
| | | 200,000 | | | | 6.350% (5-Year CMT Index + 4.917)% due 10/7/79(b) | | | | | 209,100 | | |
| | | 400,000 | | | | AES Panama Generation Holdings SRL, Senior Secured Notes, 4.375% due 5/31/30(c) | | | | | 420,000 | | |
| | | 65,000 | | | | Ameren Corp., Senior Unsecured Notes, 2.500% due 9/15/24 | | | | | 69,379 | | |
| | | 50,000 | | | | Ameren Illinois Co., 1st Mortgage Notes, 3.700% due 12/1/47 | | | | | 59,516 | | |
| | | | | | | American Water Capital Corp., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 3.750% due 9/1/28 | | | | | 292,531 | | |
| | | 50,000 | | | | 4.150% due 6/1/49 | | | | | 62,537 | | |
| | | 100,000 | | | | Arizona Public Service Co., Senior Unsecured Notes, 4.250% due 3/1/49 | | | | | 125,510 | | |
| | | | | | | Atmos Energy Corp., Senior Unsecured Notes: | | | |||||
| | | 100,000 | | | | 4.125% due 3/15/49 | | | | | 124,082 | | |
| | | 65,000 | | | | 3.375% due 9/15/49 | | | | | 74,135 | | |
| | | | | | | Berkshire Hathaway Energy Co., Senior Unsecured Notes: | | | |||||
| | | 200,000 | | | | 6.125% due 4/1/36 | | | | | 288,651 | | |
| | | 150,000 | | | | 5.150% due 11/15/43 | | | | | 206,494 | | |
| | | 100,000 | | | | 4.450% due 1/15/49 | | | | | 128,508 | | |
| | | 50,000 | | | | 4.250% due 10/15/50(c) | | | | | 63,509 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Utilities – (continued) | | ||||||||||||
| | $ | 85,000 | | | | Black Hills Corp., Senior Unsecured Notes, 3.050% due 10/15/29 | | | | $ | 92,568 | | |
| | | | | | | Calpine Corp.: | | | |||||
| | | | | | | Senior Unsecured Notes: | | | |||||
| | | 60,000 | | | | 5.125% due 3/15/28(c) | | | | | 63,000 | | |
| | | 75,000 | | | | 4.625% due 2/1/29(c) | | | | | 76,681 | | |
| | | 95,000 | | | | Senior Secured Notes, 4.500% due 2/15/28(c) | | | | | 98,481 | | |
| | | | | | | CenterPoint Energy Inc., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 3.850% due 2/1/24 | | | | | 274,490 | | |
| | | 100,000 | | | | 3.700% due 9/1/49 | | | | | 112,121 | | |
| | | 135,000 | | | | Clearway Energy Operating LLC, Company Guaranteed Notes, 4.750% due 3/15/28(c) | | | | | 141,412 | | |
| | | 760,000 | | | | Cometa Energia SA de CV, Senior Secured Notes, 6.375% due 4/24/35 | | | | | 815,222 | | |
| | | | | | | Commonwealth Edison Co., 1st Mortgage Notes: | | | |||||
| | | 75,000 | | | | 3.750% due 8/15/47 | | | | | 89,763 | | |
| | | 75,000 | | | | 4.000% due 3/1/48 | | | | | 94,108 | | |
| | | 50,000 | | | | 3.200% due 11/15/49 | | | | | 54,897 | | |
| | | | | | | Consolidated Edison Co. of New York Inc., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 3.950% due 3/1/43 | | | | | 292,235 | | |
| | | 100,000 | | | | 4.125% due 5/15/49 | | | | | 123,125 | | |
| | | 100,000 | | | | 3.950% due 4/1/50 | | | | | 119,266 | | |
| | | 100,000 | | | | Consumers Energy Co., 1st Mortgage Notes, 3.100% due 8/15/50 | | | | | 109,429 | | |
| | | 75,000 | | | | Dominion Energy Gas Holdings LLC, Senior Unsecured Notes, 3.900% due 11/15/49 | | | | | 86,133 | | |
| | | 50,000 | | | | Dominion Energy Inc., Senior Unsecured Notes, 4.600% due 3/15/49 | | | | | 66,934 | | |
| | | 100,000 | | | | Dominion Energy South Carolina Inc., 1st Mortgage Notes, 5.100% due 6/1/65 | | | | | 152,245 | | |
| | | 100,000 | | | | DTE Electric Co., General and Refunding Mortgage Bonds, 3.750% due 8/15/47 | | | | | 118,956 | | |
| | | 100,000 | | | | DTE Energy Co., Senior Unsecured Notes, 2.950% due 3/1/30 | | | | | 108,102 | | |
| | | | | | | Duke Energy Corp., Senior Unsecured Notes: | | | |||||
| | | 2,100,000 | | | | 2.650% due 9/1/26 | | | | | 2,292,290 | | |
| | | 350,000 | | | | 3.750% due 9/1/46 | | | | | 402,144 | | |
| | | | | | | Duke Energy Progress LLC, 1st Mortgage Notes: | | | |||||
| | | 250,000 | | | | 6.300% due 4/1/38 | | | | | 379,611 | | |
| | | 100,000 | | | | 4.200% due 8/15/45 | | | | | 124,994 | | |
| | | 234,750 | | | | Empresa Electrica Angamos SA, Senior Secured Notes, 4.875% due 5/25/29 | | | | | 247,786 | | |
| | | 900,000 | | | | Empresa Electrica Guacolda SA, Senior Unsecured Notes, 4.560% due 4/30/25 | | | | | 736,884 | | |
| | | 200,000 | | | | Energuate Trust, Company Guaranteed Notes, 5.875% due 5/3/27 | | | | | 208,040 | | |
| | | 250,000 | | | | Entergy Corp., Senior Unsecured Notes, 2.800% due 6/15/30 | | | | | 272,049 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Utilities – (continued) | | ||||||||||||
| | $ | 200,000 | | | | Entergy Louisiana LLC, Collateral Trust, 4.000% due 3/15/33 | | | | $ | 251,026 | | |
| | | | | | | Essential Utilities Inc., Senior Unsecured Notes: | | | |||||
| | | 100,000 | | | | 2.704% due 4/15/30 | | | | | 107,992 | | |
| | | 815,000 | | | | 3.351% due 4/15/50 | | | | | 880,893 | | |
| | | 250,000 | | | | Evergy Inc., Senior Unsecured Notes, 2.900% due 9/15/29 | | | | | 270,365 | | |
| | | 100,000 | | | | Eversource Energy, Senior Unsecured Notes, 2.900% due 10/1/24 | | | | | 108,273 | | |
| | | 100,000 | | | | Exelon Corp., Senior Unsecured Notes, 4.700% due 4/15/50 | | | | | 128,396 | | |
| | | 500,000 | | | | Exelon Generation Co. LLC, Senior Unsecured Notes, 3.400% due 3/15/22 | | | | | 520,504 | | |
| | | | | | | FirstEnergy Corp., Senior Unsecured Notes: | | | |||||
| | | 100,000 | | | | 3.900% due 7/15/27 | | | | | 109,641 | | |
| | | 600,000 | | | | 4.850% due 7/15/47 | | | | | 736,436 | | |
| | | 100,000 | | | | 3.400% due 3/1/50 | | | | | 100,486 | | |
| | | | | | | Florida Power & Light Co., 1st Mortgage Notes: | | | |||||
| | | 250,000 | | | | 3.125% due 12/1/25 | | | | | 278,789 | | |
| | | 100,000 | | | | 3.700% due 12/1/47 | | | | | 123,023 | | |
| | | 150,000 | | | | 3.950% due 3/1/48 | | | | | 191,418 | | |
| | | 50,000 | | | | 3.150% due 10/1/49 | | | | | 56,698 | | |
| | | | | | | Georgia Power Co., Senior Unsecured Notes: | | | |||||
| | | 100,000 | | | | 2.200% due 9/15/24 | | | | | 105,822 | | |
| | | 200,000 | | | | 3.250% due 3/30/27 | | | | | 220,018 | | |
| | | 100,000 | | | | 4.300% due 3/15/42 | | | | | 118,160 | | |
| | | 200,000 | | | | Korea East-West Power Co., Ltd., Senior Unsecured Notes, 1.750% due 5/6/25(c) | | | | | 206,895 | | |
| | | 751,200 | | | | LLPL Capital Pte Ltd., Senior Secured Notes, 6.875% due 2/4/39(c) | | | | | 863,880 | | |
| | | 100,000 | | | | MidAmerican Energy Co., 1st Mortgage Notes, 3.100% due 5/1/27 | | | | | 112,374 | | |
| | | | | | | Minejesa Capital BV, Senior Secured Notes: | | | |||||
| | | 400,000 | | | | 4.625% due 8/10/30 | | | | | 415,044 | | |
| | | 500,000 | | | | 5.625% due 8/10/37 | | | | | 527,500 | | |
| | | 255,000 | | | | Monongahela Power Co., 1st Mortgage Notes, 5.400% due 12/15/43(c) | | | | | 353,832 | | |
| | | | | | | National Rural Utilities Cooperative Finance Corp., Collateral Trust: | | | |||||
| | | 250,000 | | | | 3.050% due 2/15/22 | | | | | 258,030 | | |
| | | 50,000 | | | | 4.300% due 3/15/49 | | | | | 65,067 | | |
| | | | | | | NextEra Energy Capital Holdings Inc., Company Guaranteed Notes: | | | |||||
| | | 845,000 | | | | 2.750% due 5/1/25 | | | | | 918,944 | | |
| | | 125,000 | | | | 3.550% due 5/1/27 | | | | | 144,125 | | |
| | | | | | | NiSource Inc., Senior Unsecured Notes: | | | |||||
| | | 150,000 | | | | 3.490% due 5/15/27 | | | | | 169,372 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Utilities – (continued) | | ||||||||||||
| | $ | 100,000 | | | | 4.375% due 5/15/47 | | | | $ | 124,088 | | |
| | | | | | | Northern States Power Co., 1st Mortgage Notes: | | | |||||
| | | 150,000 | | | | 3.600% due 5/15/46 | | | | | 179,304 | | |
| | | 100,000 | | | | 3.600% due 9/15/47 | | | | | 118,643 | | |
| | | | | | | NSTAR Electric Co., Senior Unsecured Notes: | | | |||||
| | | 150,000 | | | | 3.250% due 5/15/29 | | | | | 171,740 | | |
| | | 100,000 | | | | 3.950% due 4/1/30 | | | | | 121,063 | | |
| | | 50,000 | | | | Oglethorpe Power Corp., 1st Mortgage Notes, 5.050% due 10/1/48 | | | | | 59,274 | | |
| | | | | | | Oncor Electric Delivery Co. LLC, Senior Secured Notes: | | | |||||
| | | 100,000 | | | | 5.300% due 6/1/42 | | | | | 141,294 | | |
| | | 100,000 | | | | 3.100% due 9/15/49 | | | | | 109,853 | | |
| | | | | | | Pacific Gas & Electric Co., 1st Mortgage Notes: | | | |||||
| | | 200,000 | | | | 3.150% due 1/1/26 | | | | | 207,080 | | |
| | | 200,000 | | | | 2.500% due 2/1/31 | | | | | 194,335 | | |
| | | 100,000 | | | | 4.500% due 7/1/40 | | | | | 104,893 | | |
| | | 200,000 | | | | 4.950% due 7/1/50 | | | | | 219,371 | | |
| | | 100,000 | | | | 3.500% due 8/1/50 | | | | | 93,329 | | |
| | | 50,000 | | | | PacifiCorp, 1st Mortgage Notes, 4.150% due 2/15/50 | | | | | 63,084 | | |
| | | 850,000 | | | | Pampa Energia SA, Senior Unsecured Notes, 7.500% due 1/24/27 | | | | | 723,329 | | |
| | | 220,000 | | | | Pattern Energy Operations LP/Pattern Energy Operations Inc., Company Guaranteed Notes, 4.500% due 8/15/28(c) | | | | | 231,550 | | |
| | | 250,000 | | | | PECO Energy Co., 1st Ref Notes, 4.150% due 10/1/44 | | | | | 313,162 | | |
| | | 75,000 | | | | PG&E Corp., Senior Secured Notes, 5.000% due 7/1/28 | | | | | 74,812 | | |
| | | 140,000 | | | | Pike Corp., Senior Unsecured Notes, 5.500% due 9/1/28(c) | | | | | 140,700 | | |
| | | | | | | PPL Capital Funding Inc., Company Guaranteed Notes: | | | |||||
| | | 100,000 | | | | 3.400% due 6/1/23 | | | | | 106,591 | | |
| | | 250,000 | | | | 3.100% due 5/15/26 | | | | | 278,016 | | |
| | | 250,000 | | | | 4.125% due 4/15/30 | | | | | 295,346 | | |
| | | 50,000 | | | | PPL Electric Utilities Corp., 1st Mortgage Notes, 3.000% due 10/1/49 | | | | | 53,761 | | |
| | | | | | | Public Service Electric & Gas Co., 1st Mortgage Notes: | | | |||||
| | | 200,000 | | | | 3.200% due 5/15/29 | | | | | 227,556 | | |
| | | 100,000 | | | | 4.050% due 5/1/48 | | | | | 127,768 | | |
| | | 100,000 | | | | Public Service Enterprise Group Inc., Senior Unsecured Notes, 2.650% due 11/15/22 | | | | | 104,538 | | |
| | | 150,000 | | | | Puget Sound Energy Inc., 1st Mortgage Notes, 4.223% due 6/15/48 | | | | | 190,078 | | |
| | | 100,000 | | | | San Diego Gas & Electric Co., 1st Mortgage Notes, 6.000% due 6/1/39 | | | | | 145,360 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Utilities – (continued) | | ||||||||||||
| | $ | 125,000 | | | | Sempra Energy, Senior Unsecured Notes, 4.050% due 12/1/23 | | | | $ | 137,247 | | |
| | | | | | | Southern California Edison Co., 1st Ref Notes: | | | |||||
| | | 125,000 | | | | 4.050% due 3/15/42 | | | | | 137,039 | | |
| | | 250,000 | | | | 4.000% due 4/1/47 | | | | | 272,071 | | |
| | | | | | | Southern California Gas Co., 1st Mortgage Notes: | | | |||||
| | | 150,000 | | | | 3.150% due 9/15/24 | | | | | 162,847 | | |
| | | 100,000 | | | | 3.950% due 2/15/50 | | | | | 126,339 | | |
| | | | | | | Southern Co., Senior Unsecured Notes: | | | |||||
| | | 810,000 | | | | 3.700% due 4/30/30 | | | | | 928,201 | | |
| | | 150,000 | | | | 4.400% due 7/1/46 | | | | | 178,840 | | |
| | | 150,000 | | | | Southern Co. Gas Capital Corp, Company Guaranteed Notes, 4.400% due 5/30/47 | | | | | 181,015 | | |
| | | | | | | Southwestern Electric Power Co., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 3.900% due 4/1/45 | | | | | 275,553 | | |
| | | 100,000 | | | | 3.850% due 2/1/48 | | | | | 111,888 | | |
| | | 100,000 | | | | Southwestern Public Service Co., 1st Mortgage Notes, 4.500% due 8/15/41 | | | | | 126,537 | | |
| | | 362,800 | | | | Star Energy Geothermal Wayang Windu Ltd., Senior Secured Notes, 6.750% due 4/24/33 | | | | | 395,694 | | |
| | | 300,000 | | | | State Grid Overseas Investment 2013 Ltd., Company Guaranteed Notes, 3.125% due 5/22/23 | | | | | 316,960 | | |
| | | 110,000 | | | | Talen Energy Supply LLC, Senior Secured Notes, 6.625% due 1/15/28(c) | | | | | 110,266 | | |
| | | 50,000 | | | | Union Electric Co., 1st Mortgage Notes, 3.250% due 10/1/49 | | | | | 56,146 | | |
| | | | | | | Virginia Electric & Power Co., Senior Unsecured Notes: | | | |||||
| | | 100,000 | | | | 2.950% due 1/15/22 | | | | | 102,619 | | |
| | | 150,000 | | | | 3.500% due 3/15/27 | | | | | 170,537 | | |
| | | 250,000 | | | | 4.000% due 1/15/43 | | | | | 305,513 | | |
| | | 50,000 | | | | Washington Gas Light Co., Senior Unsecured Notes, 3.650% due 9/15/49 | | | | | 56,673 | | |
| | | 150,000 | | | | Wisconsin Power & Light Co., Senior Unsecured Notes, 3.000% due 7/1/29 | | | | | 169,836 | | |
| | | 50,000 | | | | Wisconsin Public Service Corp., Senior Unsecured Notes, 3.300% due 9/1/49 | | | | | 55,410 | | |
| | | | | | | Total Utilities | | | | | 30,893,891 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Cost – $384,333,293) | | | | | 406,005,865 | | |
| | | | | | | | |||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – 18.7% | | ||||||||||||
| | | | | | | 20 Times Square Trust: | | | |||||
| | | 370,000 | | | | Series 2018-20TS, Class F, 3.203% due 5/15/35(b)(c) | | | | | 337,801 | | |
| | | 353,000 | | | | Series 2018-20TS, Class G, 3.203% due 5/15/35(b)(c) | | | | | 311,725 | | |
| | | | | | | Alternative Loan Trust: | | | |||||
| | | 977,577 | | | | Series 2005-28CB, Class 1A7, 5.500% due 8/25/35 | | | | | 965,585 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 7,547,208 | | | | Series 2005-7CB, Class 2A2, 4.875% (1-Month USD-LIBOR + 5.050)% due 3/1/38(b)(g) | | | | $ | 910,933 | | |
| | | 7,547,208 | | | | Series 2005-7CB, Class 2A5, 0.625% (1-Month USD-LIBOR + 0.450)% due 3/1/38(b) | | | | | 6,175,628 | | |
| | | | | | | Angel Oak Mortgage Trust I LLC: | | | |||||
| | | 845,417 | | | | Series 2018-3, Class A1, 3.649% due 9/25/48(b)(c) | | | | | 861,188 | | |
| | | 921,570 | | | | Series 2018-3, Class A2, 3.751% due 9/25/48(b)(c) | | | | | 938,599 | | |
| | | 880,032 | | | | Series 2018-3, Class A3, 3.853% due 9/25/48(b)(c) | | | | | 894,981 | | |
| | | 744,246 | | | | Ashford Hospitality Trust, Series 2018-ASHF, Class A, 1.062% (1-Month USD-LIBOR + 0.900)% due 4/15/35(b)(c) | | | | | 697,770 | | |
| | | 8,650,159 | | | | Banc of America Funding Trust, Series 2007-1, Class TA2, 0.305% (1-Month USD-LIBOR + 0.130)% due 1/25/37(b) | | | | | 7,018,580 | | |
| | | | | | | BANK: | | | |||||
| | | 12,216,581 | | | | Series 2017-BNK4, Class XA, 1.570% due 5/15/50(b)(g) | | | | | 812,940 | | |
| | | 16,184,691 | | | | Series 2018-BN10, Class XA, 0.879% due 2/15/61(b)(g) | | | | | 721,889 | | |
| | | 16,096,692 | | | | Series 2019-BN16, Class XA, 1.124% due 2/15/52(b)(g) | | | | | 1,032,514 | | |
| | | | | | | BBCMS Mortgage Trust: | | | |||||
| | | 178,000 | | | | Series 2017-DELC, Class C, 1.362% (1-Month USD-LIBOR + 1.200)% due 8/15/36(b)(c) | | | | | 165,071 | | |
| | | 203,000 | | | | Series 2017-DELC, Class D, 1.862% (1-Month USD-LIBOR + 1.700)% due 8/15/36(b)(c) | | | | | 183,681 | | |
| | | 408,000 | | | | Series 2017-DELC, Class E, 2.662% (1-Month USD-LIBOR + 2.500)% due 8/15/36(b)(c) | | | | | 367,130 | | |
| | | 407,000 | | | | Series 2017-DELC, Class F, 3.662% (1-Month USD-LIBOR + 3.500)% due 8/15/36(b)(c) | | | | | 363,325 | | |
| | | 1,236,000 | | | | Series 2018-TALL, Class F, 3.397% (1-Month USD-LIBOR + 3.235)% due 3/15/37(b)(c) | | | | | 1,105,916 | | |
| | | | | | | BBCMS Trust: | | | |||||
| | | 103,488 | | | | Series 2018-BXH, Class A, 1.162% (1-Month USD-LIBOR + 1.000)% due 10/15/37(b)(c) | | | | | 97,884 | | |
| | | 1,083,000 | | | | Series 2018-CBM, Class A, 1.162% (1-Month USD-LIBOR + 1.000)% due 7/15/37(b)(c) | | | | | 1,028,509 | | |
| | | 3,829,691 | | | | Bear Stearns ALT-A Trust, Series 2006-1, Class 21A2, 3.298% due 2/25/36(b) | | | | | 3,178,479 | | |
| | | | | | | Benchmark Mortgage Trust: | | | |||||
| | | 200,000 | | | | Series 2018-B4, Class A2, 3.976% due 7/15/51 | | | | | 214,071 | | |
| | | 600,000 | | | | Series 2018-B5, Class A4, 4.208% due 7/15/51 | | | | | 713,523 | | |
| | | 35,544,402 | | | | Series 2018-B7, Class XA, 0.600% due 5/15/53(b)(g) | | | | | 995,887 | | |
| | | 750,000 | | | | Series 2019-B11, Class A4, 3.281% due 5/15/52 | | | | | 846,758 | | |
| | | 35,595,632 | | | | Series 2019-B9, Class XA, 1.212% due 3/15/52(b)(g) | | | | | 2,571,806 | | |
| | | 6,151,930 | | | | Series 2020-B18, Class XA, 1.919% due 7/15/53(b)(g) | | | | | 760,071 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 997,000 | | | | BHMS, Series 2018-ATLS, Class A, 1.412% (1-Month USD-LIBOR + 1.250)% due 7/15/35(b)(c) | | | | $ | 953,310 | | |
| | | | | | | BX Commercial Mortgage Trust: | | | |||||
| | | 984,000 | | | | Series 2018-BIOA, Class D, 1.483% (1-Month USD-LIBOR + 1.321)% due 3/15/37(b)(c) | | | | | 964,282 | | |
| | | 483,122 | | | | Series 2018-IND, Class A, 0.912% (1-Month USD-LIBOR + 0.750)% due 11/15/35(b)(c) | | | | | 481,307 | | |
| | | | | | | BX Trust: | | | |||||
| | | 193,395 | | | | Series 2017-SLCT, Class D, 2.212% (1-Month USD-LIBOR + 2.050)% due 7/15/34(b)(c) | | | | | 188,349 | | |
| | | 474,300 | | | | Series 2017-SLCT, Class E, 3.312% (1-Month USD-LIBOR + 3.150)% due 7/15/34(b)(c) | | | | | 460,814 | | |
| | | 112,516 | | | | Series 2018-EXCL, Class A, 1.250% (1-Month USD-LIBOR + 1.088)% due 9/15/37(b)(c) | | | | | 102,727 | | |
| | | 903,000 | | | | Series 2018-GW, Class A, 0.962% (1-Month USD-LIBOR + 0.800)% due 5/15/35(b)(c) | | | | | 867,445 | | |
| | | 100,000 | | | | Series 2018-GW, Class D, 1.932% (1-Month USD-LIBOR + 1.770)% due 5/15/35(b)(c) | | | | | 92,989 | | |
| | | 1,600,000 | | | | Series 2019-OC11, Class E, 4.075% due 12/9/41(b)(c) | | | | | 1,445,361 | | |
| | | 1,145,000 | | | | CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class A, 1.232% (1-Month USD-LIBOR + 1.070)% due 12/15/37(b)(c) | | | | | 1,144,305 | | |
| | | | | | | CD Mortgage Trust: | | | |||||
| | | 400,000 | | | | Series 2017-CD3, Class A4, 3.631% due 2/10/50 | | | | | 453,412 | | |
| | | 19,956,012 | | | | Series 2017-CD4, Class XA, 1.454% due 5/10/50(b)(g) | | | | | 1,235,137 | | |
| | | 16,051,344 | | | | CFCRE Commercial Mortgage Trust, Series 2017-C8, Class XA, 1.772% due 6/15/50(b)(g) | | | | | 1,191,981 | | |
| | | 7,335,888 | | | | CIM Trust, Series 2017-6, Class A1, 3.015% due 6/25/57(b)(c) | | | | | 7,375,262 | | |
| | | | | | | Citigroup Commercial Mortgage Trust: | | | |||||
| | | 36,655,506 | | | | Series 2015-GC35, Class XA, 0.978% due 11/10/48(b)(g) | | | | | 1,028,564 | | |
| | | 1,250,000 | | | | Series 2016-GC37, Class A4, 3.314% due 4/10/49 | | | | | 1,375,872 | | |
| | | 1,180,000 | | | | Series 2019-GC43, Class A4, 3.038% due 11/10/52 | | | | | 1,319,696 | | |
| | | | | | | Citigroup Mortgage Loan Trust: | | | |||||
| | | 6,337,566 | | | | Series 2018-A, Class A1, 4.000% due 1/25/68(b)(c) | | | | | 6,357,617 | | |
| | | 2,699,740 | | | | Series 2019-B, Class A1, 3.258% due 4/25/66(b)(c) | | | | | 2,718,598 | | |
| | | | | | | Commercial Mortgage Trust: | | | |||||
| | | 240,834,752 | | | | Series 2013-CR9, Class XA, 0.141% due 7/10/45(b)(g) | | | | | 524,273 | | |
| | | 1,127,000 | | | | Series 2016-GCT, Class F, 3.577% due 8/10/29(b)(c) | | | | | 1,106,710 | | |
| | | | | | | Credit Suisse Commercial Mortgage Capital Trust: | | | |||||
| | | 713,000 | | | | Series 2017-LSTK, Class C, 3.229% due 4/5/33(c) | | | | | 696,319 | | |
| | | 848,000 | | | | Series 2017-LSTK, Class D, 3.442% due 4/5/33(b)(c) | | | | | 816,007 | | |
| | | 1,246,000 | | | | Series 2017-LSTK, Class E, 3.442% due 4/5/33(b)(c) | | | | | 1,165,651 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 69,653,000 | | | | Series 2017-LSTK, Class XACP, 0.000% due 4/5/33(b)(c)(g) | | | | $ | 697 | | |
| | | 25,355,000 | | | | Series 2017-LSTK, Class XBCP, 0.000% due 4/5/33(b)(c)(g) | | | | | 254 | | |
| | | 4,549,141 | | | | Series 2019-RPL2, Class A1, 3.858% due 11/25/58(b)(c) | | | | | 4,682,563 | | |
| | | 1,205,000 | | | | CSAIL Commercial Mortgage Trust, Series 2018-C14, Class C, 5.054% due 11/15/51(b) | | | | | 1,288,773 | | |
| | | 2,432,661 | | | | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class 5A6, 5.500% due 10/25/35 | | | | | 1,999,708 | | |
| | | 1,155,000 | | | | CSMC, Series 2020-NET, Class A, 2.257% due 8/15/37(c) | | | | | 1,191,423 | | |
| | | 663,260 | | | | CSWF, Series 2018-TOP, Class A, 1.162% (1-Month USD-LIBOR + 1.000)% due 8/15/35(b)(c) | | | | | 643,515 | | |
| | | 920,714 | | | | DBGS Mortgage Trust, Series 2018-BIOD, Class A, 0.965% (1-Month USD-LIBOR + 0.803)% due 5/15/35(b)(c) | | | | | 917,246 | | |
| | | 907,266 | | | | Exantas Capital Corp., Ltd., Series 2019-RSO7, Class A, 1.162% (1-Month USD-LIBOR + 1.000)% due 4/15/36(b)(c) | | | | | 882,589 | | |
| | | | | | | Federal Home Loan Mortgage Corp. (FHLMC), REMICS: | | | | | | | |
| | | 2,348,788 | | | | Series 4116, Class AP, 1.350% due 8/15/42 | | | | | 2,359,737 | | |
| | | 9,171,251 | | | | Series 4223, Class SB, 5.243% (1-Month USD-LIBOR + 5.431)% due 7/15/43(b) | | | | | 10,228,272 | | |
| | | 4,435,878 | | | | Series 4610, Class LA, 2.500% due 1/15/41 | | | | | 4,541,079 | | |
| | | 12,263,464 | | | | Series 4640, Class VB, 3.000% due 3/15/37 | | | | | 12,836,718 | | |
| | | 8,076,473 | | | | Series 4653, Class Z, 3.000% due 2/15/47 | | | | | 8,482,485 | | |
| | | 8,565,788 | | | | Series 4655, Class CZ, 3.000% due 2/15/47 | | | | | 9,002,063 | | |
| | | 7,991,098 | | | | Series 4664, Class TC, 3.000% due 6/15/41 | | | | | 8,121,337 | | |
| | | 8,000,000 | | | | Series 4749, Class LV, 3.500% due 4/15/38 | | | | | 8,385,338 | | |
| | | 11,079,308 | | | | Series 4750, Class PA, 3.000% due 7/15/46 | | | | | 11,488,193 | | |
| | | 8,546,253 | | | | Federal Home Loan Mortgage Corp. (FHLMC), REMICS, Series 4745, Class EC, 3.000% due 12/15/44 | | | | | 8,882,465 | | |
| | | | | | | Federal National Mortgage Association (FNMA), REMICS: | | | |||||
| | | 3,175,874 | | | | Series 2014-11, Class KZ, 2.500% due 10/25/41 | | | | | 3,289,886 | | |
| | | 3,812,348 | | | | Series 2015-55, Class PD, 2.500% due 3/25/43 | | | | | 3,894,193 | | |
| | | 411,676 | | | | Series 2016-61, Class MZ, 3.000% due 9/25/46 | | | | | 411,220 | | |
| | | 10,569,439 | | | | Series 2017-107, Class GA, 3.000% due 8/25/45 | | | | | 10,870,178 | | |
| | | 18,522,324 | | | | Series 2017-12, Class TA, 3.000% due 4/25/42 | | | | | 18,848,680 | | |
| | | 7,731,019 | | | | Series 2017-24, Class LG, 3.000% due 4/25/37 | | | | | 8,688,600 | | |
| | | 11,382,787 | | | | Series 2017-32, Class CA, 3.000% due 10/25/42 | | | | | 11,586,602 | | |
| | | 11,604,325 | | | | Series 2018-33, Class C, 3.000% due 5/25/48 | | | | | 12,179,532 | | |
| | | 5,127,514 | | | | Series 2018-38, Class LA, 3.000% due 6/25/48 | | | | | 5,388,991 | | |
| | | 4,000,000 | | | | FMC GMSR Issuer Trust, Series 2019-GT2, Class A, 4.230% due 9/25/24(b)(c) | | | | | 3,897,150 | | |
| | | | | | | Freddie Mac Multifamily Structured Pass-Through Certificates: | | | | | | | |
| | | 1,750,000 | | | | Series K020, Class A2, 2.373% due 5/25/22 | | | | | 1,796,322 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 1,540,000 | | | | Series K062, Class A2, 3.413% due 12/25/26 | | | | $ | 1,770,946 | | |
| | | 300,000 | | | | Series K078, Class A2, 3.854% due 6/25/28 | | | | | 359,523 | | |
| | | 2,321,233 | | | | FWDSecuritization Trust, Series 2019-INV1, Class A3, 3.110% due 6/25/49(b)(c) | | | | | 2,327,755 | | |
| | | 3,431,189 | | | | Government National Mortgage Association (GNMA), Series 2012-32, Class Z, 3.500% due 3/20/42 | | | | | 3,701,767 | | |
| | | | | | | Great Wolf Trust: | | | |||||
| | | 500,000 | | | | Series 2019-WOLF, Class E, 2.894% (1-Month USD-LIBOR + 2.732)% due 12/15/36(b)(c) | | | | | 449,922 | | |
| | | 500,000 | | | | Series 2019-WOLF, Class F, 3.293% (1-Month USD-LIBOR + 3.131)% due 12/15/36(b)(c) | | | | | 434,949 | | |
| | | | | | | GS Mortgage Securities Corp. Trust: | | | |||||
| | | 400,000 | | | | Series 2018-TWR, Class A, 1.062% (1-Month USD-LIBOR + 0.900)% due 7/15/31(b)(c) | | | | | 385,701 | | |
| | | 400,000 | | | | Series 2018-TWR, Class D, 1.762% (1-Month USD-LIBOR + 1.600)% due 7/15/31(b)(c) | | | | | 364,226 | | |
| | | 400,000 | | | | Series 2018-TWR, Class E, 2.262% (1-Month USD-LIBOR + 2.100)% due 7/15/31(b)(c) | | | | | 362,966 | | |
| | | 400,000 | | | | Series 2018-TWR, Class F, 2.962% (1-Month USD-LIBOR + 2.800)% due 7/15/31(b)(c) | | | | | 357,849 | | |
| | | 400,000 | | | | Series 2018-TWR, Class G, 4.087% (1-Month USD-LIBOR + 3.925)% due 7/15/31(b)(c) | | | | | 347,734 | | |
| | | 1,250,000 | | | | Series 2019-SOHO, Class E, 2.037% (1-Month USD-LIBOR + 1.875)% due 6/15/36(b)(c) | | | | | 1,169,486 | | |
| | | | | | | GS Mortgage Securities Trust: | | | |||||
| | | 896,614 | �� | | | Series 2012-GC6, Class A3, 3.482% due 1/10/45 | | | | | 916,555 | | |
| | | 10,469,902 | | | | Series 2017-GS7, Class XA, 1.272% due 8/10/50(b)(g) | | | | | 614,788 | | |
| | | 14,787,859 | | | | Series 2020-GC45, Class XA, 0.675% due 2/13/53(b)(g) | | | | | 757,372 | | |
| | | 7,600,209 | | | | HarborView Mortgage Loan Trust, Series 2006-14, Class 2A1A, 0.311% (1-Month USD-LIBOR + 0.150)% due 1/25/47(b) | | | | | 6,725,953 | | |
| | | 1,018,754 | | | | HPLY Trust, Series 2019-HIT, Class F, 3.312% (1-Month USD-LIBOR + 3.150)% due 11/15/36(b)(c) | | | | | 870,812 | | |
| | | 33,247 | | | | JP Morgan Chase Commercial Mortgage Securities Corp., Series 2017-FL10, Class D, 2.062% (1-Month USD-LIBOR + 1.900)% due 6/15/32(b)(c) | | | | | 31,810 | | |
| | | | | | | JP Morgan Chase Commercial Mortgage Securities Trust: | | | |||||
| | | 725,982 | | | | Series 2012-C8, Class A3, 2.829% due 10/15/45 | | | | | 747,740 | | |
| | | 755,226 | | | | Series 2018-LAQ, Class A, 1.162% (1-Month USD-LIBOR + 1.000)% due 6/15/32(b)(c) | | | | | 718,349 | | |
| | | 805,000 | | | | Series 2018-WPT, Class FFX, 5.542% due 7/5/33(c) | | | | | 758,646 | | |
| | | 823,000 | | | | Series 2020-ACE, Class C, 3.694% due 1/10/37(b)(c) | | | | | 703,341 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 805,000 | | | | Series 2020-LOOP, Class E, 3.861% due 12/5/38(b)(c) | | | | $ | 720,240 | | |
| | | | | | | JP Morgan Mortgage Trust: | | | |||||
| | | 3,905,281 | | | | Series 2006-S1, Class 2A9, 6.500% due 4/25/36 | | | | | 4,312,745 | | |
| | | 8,099,749 | | | | Series 2006-S4, Class A7, 6.000% due 1/25/37 | | | | | 5,376,011 | | |
| | | 2,434,628 | | | | Series 2018-7FRB, Class A2, 0.925% (1-Month USD-LIBOR + 0.750)% due 4/25/46(b)(c) | | | | | 2,407,528 | | |
| | | | | | | JPMBB Commercial Mortgage Securities Trust: | | | |||||
| | | 1,667,000 | | | | Series 2015-C27, Class C, 4.445% due 2/15/48(b) | | | | | 1,657,329 | | |
| | | 1,205,000 | | | | Series 2015-C28, Class C, 4.291% due 10/15/48(b) | | | | | 1,115,353 | | |
| | | | | | | JPMDB Commercial Mortgage Securities Trust: | | | |||||
| | | 1,123,000 | | | | Series 2020-COR7, Class B, 3.294% due 5/13/53(b) | | | | | 1,204,972 | | |
| | | 9,666,888 | | | | Series 2020-COR7, Class XA, 1.786% due 5/13/53(b)(g) | | | | | 1,138,228 | | |
| | | 1,452,004 | | | | Legacy Mortgage Asset Trust, Series 2019-SL3, Class A, step bond to yield, 3.474% due 11/25/61(c) | | | | | 1,444,616 | | |
| | | 5,339,137 | | | | Lehman XS Trust, Series 2007-4N, Class 1A3, 0.415% (1-Month USD-LIBOR + 0.240)% due 3/25/47(b) | | | | | 4,661,215 | | |
| | | | | | | Manhattan West: | | | |||||
| | | 1,158,000 | | | | Series 2020-1MW, Class C, 2.412% due 9/10/39(b)(c) | | | | | 1,140,287 | | |
| | | 1,158,000 | | | | Series 2020-1MW, Class D, 2.412% due 9/10/39(b)(c) | | | | | 1,106,703 | | |
| | | 7,791,309 | | | | Merrill Lynch Mortgage Investors Trust, Series 2006-AF1, Class AF1, 5.750% due 8/25/36 | | | | | 4,779,675 | | |
| | | 1,107,000 | | | | MF1 Ltd., Series 2020-FL3, Class A, 2.212% (1-Month USD-LIBOR + 2.050)% due 7/15/35(b)(c) | | | | | 1,111,333 | | |
| | | | | | | Morgan Stanley Bank of America Merrill Lynch Trust: | | | |||||
| | | 421,194 | | | | Series 2014-C15, Class A3, 3.773% due 4/15/47 | | | | | 454,229 | | |
| | | 2,000,000 | | | | Series 2014-C17, Class C, 4.657% due 8/15/47(b) | | | | | 1,904,665 | | |
| | | 18,164,272 | | | | Series 2014-C19, Class XA, 1.150% due 12/15/47(b)(g) | | | | | 592,782 | | |
| | | 852,000 | | | | Series 2016-C31, Class C, 4.455% due 11/15/49(b) | | | | | 754,635 | | |
| | | | | | | Morgan Stanley Capital I Trust: | | | |||||
| | | 1,964,000 | | | | Series 2011-C1, Class D, 5.675% due 9/15/47(b)(c) | | | | | 1,973,415 | | |
| | | 17,436,487 | | | | Series 2016-UB11, Class XA, 1.741% due 8/15/49(b)(g) | | | | | 1,110,143 | | |
| | | 14,189,764 | | | | Series 2016-UB12, Class XA, 0.896% due 12/15/49(b)(g) | | | | | 466,575 | | |
| | | 1,083,000 | | | | Series 2018-SUN, Class A, 1.312% (1-Month USD-LIBOR + 1.150)% due 7/15/35(b)(c) | | | | | 1,043,596 | | |
| | | 1,356,000 | | | | Series 2019-H7, Class AS, 3.524% due 7/15/52 | | | | | 1,506,531 | | |
| | | 583,000 | | | | Series 2019-H7, Class B, 3.725% due 7/15/52 | | | | | 602,552 | | |
| | | 22,124,407 | | | | Series 2019-L3, Class XA, 0.766% due 11/15/52(b)(g) | | | | | 1,100,388 | | |
| | | 806,000 | | | | Series 2020-L4, Class B, 3.082% due 2/15/53 | | | | | 829,028 | | |
| | | 254,168 | | | | Motel 6 Trust, Series 2017-MTL6, Class A, 1.082% (1-Month USD-LIBOR + 0.920)% due 8/15/34(b)(c) | | | | | 248,768 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 2,192,000 | | | | MRCD Mortgage Trust, Series 2019-PARK, Class G, 2.718% due 12/15/36(c) | | | | $ | 1,978,022 | | |
| | | 1,122,000 | | | | MSCG Trust, Series 2018-SELF, Class A, 1.062% (1-Month USD-LIBOR + 0.900)% due 10/15/37(b)(c) | | | | | 1,112,159 | | |
| | | | | | | New Residential Mortgage Loan Trust: | | | |||||
| | | 2,446,166 | | | | Series 2020-NPL1, Class A1, step bond to yield, 4.335% due 7/25/60(c) | | | | | 2,445,884 | | |
| | | 1,400,000 | | | | Series 2020-RPL2, Class A1, 3.578% due 8/25/25(b)(c) | | | | | 1,400,080 | | |
| | | | | | | PMT Credit Risk Transfer Trust: | | | |||||
| | | 2,484,538 | | | | Series 2019-2R, Class A, 2.920% (1-Month USD-LIBOR + 2.750)% due 5/27/23(b)(c)(h) | | | | | 2,326,247 | | |
| | | 1,841,896 | | | | Series 2019-3R, Class A, 2.870% (1-Month USD-LIBOR + 2.700)% due 10/27/22(b)(c) | | | | | 1,765,783 | | |
| | | 9,437,201 | | | | PRPM, Series 2019-GS1, Class A1, 3.500% due 10/25/24(b)(c) | | | | | 9,395,602 | | |
| | | 6,746,878 | | | | PRPM LLC, Series 2019-1A, Class A1, step bond to yield, 4.500% due 1/25/24(c) | | | | | 6,795,257 | | |
| | | | | | | Rali Trust: | | | |||||
| | | 1,995,984 | | | | Series 2005-QS13, Class 1A3, 5.500% due 9/25/35 | | | | | 1,886,791 | | |
| | | 22,411,050 | | | | Series 2007-QH5, Class AII, 0.405% (1-Month USD-LIBOR + 0.230)% due 6/25/37(b) | | | | | 10,984,577 | | |
| | | 5,001,718 | | | | Residential Asset Securitization Trust, Series 2005-A8CB, Class A6, 5.000% due 7/25/35 | | | | | 4,157,118 | | |
| | | 3,100,000 | | | | Residential Mortgage Loan Trust, Series 2020-1, Class M1, 3.242% due 2/25/24(b)(c) | | | | | 2,931,457 | | |
| | | | | | | Rosslyn Portfolio Trust: | | | |||||
| | | 366,007 | | | | Series 2017-ROSS, Class A, 1.939% (1-Month USD-LIBOR + 0.950)% due 6/15/33(b)(c) | | | | | 359,749 | | |
| | | 366,007 | | | | Series 2017-ROSS, Class B, 2.239% (1-Month USD-LIBOR + 1.250)% due 6/15/33(b)(c) | | | | | 353,299 | | |
| | | | | | | Seasoned Credit Risk Transfer Trust: | | | |||||
| | | 6,043,245 | | | | Series 2019-4, Class MV, 3.000% due 2/25/59 | | | | | 6,756,059 | | |
| | | 9,799,878 | | | | Series 2020-2, Class MT, 2.000% due 11/25/59 | | | | | 10,028,278 | | |
| | | 5,670,955 | | | | UBS Commercial Mortgage Trust, Series 2017-C1, Class XA, 1.713% due 6/15/50(b)(g) | | | | | 443,855 | | |
| | | 4,251,936 | | | | UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class XA, 1.079% due 3/10/46(b)(c)(g) | | | | | 75,991 | | |
| | | 6,400,000 | | | | Verus Securitization Trust, Series 2019-INV2, Class M1, 3.499% due 7/25/59(b)(c) | | | | | 6,417,169 | | |
| | | | | | | Wells Fargo Commercial Mortgage Trust: | | | |||||
| | | 295,000 | | | | Series 2010-C1, Class C, 5.800% due 11/15/43(b)(c) | | | | | 294,349 | | |
| | | 275,000 | | | | Series 2015-C31, Class A4, 3.695% due 11/15/48 | | | | | 306,886 | | |
| | | 1,000,000 | | | | Series 2015-LC20, Class A3, 3.086% due 4/15/50 | | | | | 1,025,932 | | |
| | | 2,581,000 | | | | Series 2015-NXS4, Class E, 3.820% due 12/15/48(b)(c) | | | | | 1,783,993 | | |
| | | 10,258,234 | | | | Series 2017-C38, Class XA, 1.195% due 7/15/50(b)(g) | | | | | 549,715 | | |
| | | 1,200,000 | | | | Series 2017-C42, Class A4, 3.589% due 12/15/50 | | | | | 1,362,044 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 1,000,000 | | | | Series 2017-RC1, Class A4, 3.631% due 1/15/60 | | | | $ | 1,112,815 | | |
| | | 1,000,000 | | | | Series 2018-C44, Class A5, 4.212% due 5/15/51 | | | | | 1,181,492 | | |
| | | 806,000 | | | | Series 2020-C55, Class AS, 2.937% due 2/15/53 | | | | | 859,288 | | |
| | | 7,689,000 | | | | Series 2020-C57, Class XA, 2.238% due 8/15/53(b)(g) | | | | | 1,158,841 | | |
| | | 1,441,430 | | | | WFRBS Commercial Mortgage Trust, Series 2012-C6, Class A4, 3.440% due 4/15/45 | | | | | 1,462,343 | | |
| | | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost – $403,565,202) | | | | | 397,476,848 | | |
| | | | | | | | |||||||
| ASSET-BACKED SECURITIES – 8.0% | | ||||||||||||
| | | | | | | 522 Funding CLO I Ltd.: | | | |||||
| | | 500,000 | | | | Series 2018-3A, Class A, 1.502% (3-Month USD-LIBOR + 1.230)% due 10/20/31(b)(c) | | | | | 494,027 | | |
| | | 500,000 | | | | Series 2019-1A, Class A1, 1.665% (3-Month USD-LIBOR + 1.390)% due 1/15/33(b)(c) | | | | | 499,499 | | |
| | | 1,868,646 | | | | Aaset Trust, Series 2019-2, Class A, 3.376% due 10/16/39(c) | | | | | 1,688,813 | | |
| | | 1,798,122 | | | | AASET US Ltd., Series 2018-1A, Class A, 3.844% due 1/16/38(c) | | | | | 1,632,870 | | |
| | | 500,000 | | | | AGL Core CLO 5 Ltd., Series 2020-5A, Class B, 3.079% (3-Month USD-LIBOR + 2.780)% due 7/20/30(b)(c) | | | | | 500,174 | | |
| | | 500,000 | | | | ALM 2020 Ltd., Series 2020-1A, Class A2, 2.125% (3-Month USD-LIBOR + 1.850)% due 10/15/29(b)(c) | | | | | 497,666 | | |
| | | 500,000 | | | | Americredit Automobile Receivables Trust, Series 2018-1, Class D, 3.820% due 3/18/24 | | | | | 519,768 | | |
| | | 1,000,000 | | | | Anchorage Capital CLO 4-R Ltd., Series 2014-4RA, Class B, 1.747% (3-Month USD-LIBOR + 1.500)% due 1/28/31(b)(c) | | | | | 977,568 | | |
| | | 500,000 | | | | Apidos CLO XII, Series 2013-12A, Class CR, 2.075% (3-Month USD-LIBOR + 1.800)% due 4/15/31(b)(c) | | | | | 474,921 | | |
| | | 1,000,000 | | | | Bain Capital Credit CLO Ltd., Series 2019-3A, Class B2, 2.141% (3-Month USD-LIBOR + 1.870)% due 10/21/32(b)(c) | | | | | 973,794 | | |
| | | 991,833 | | | | Carlyle Global Market Strategies CLO Ltd., Series 2014-3RA, Class A1A, 1.295% (3-Month USD-LIBOR + 1.050)% due 7/27/31(b)(c) | | | | | 975,736 | | |
| | | | | | | Carrington Mortgage Loan Trust: | | | |||||
| | | 2,661,630 | | | | Series 2006-NC4, Class A3, 0.335% (1-Month USD-LIBOR + 0.160)% due 10/25/36(b) | | | | | 2,514,458 | | |
| | | 6,449,304 | | | | Series 2007-RFC1, Class A3, 0.315% (1-Month USD-LIBOR + 0.140)% due 12/25/36(b) | | | | | 6,038,372 | | |
| | | 1,615,995 | | | | Castlelake Aircraft Securitization Trust, Series 2018-1, Class A, 4.125% due 6/15/43(c) | | | | | 1,505,843 | | |
| | | 1,000,000 | | | | CFIP CLO Ltd., Series 2014-1A, Class AR, 1.586% (3-Month USD-LIBOR + 1.320)% due 7/13/29(b)(c) | | | | | 995,443 | | |
| | | 1,000,000 | | | | CIFC Funding Ltd., Series 2020-1A, Class B, 2.542% (3-Month USD-LIBOR + 2.300)% due 7/15/32(b)(c) | | | | | 1,003,747 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 600,000 | | | | Citibank Credit Card Issuance Trust, Series 2018-A6, Class A6, 3.210% due 12/7/24 | | | | $ | 638,393 | | |
| | | 1,394,000 | | | | CLNC Ltd., Series 2019-FL1, Class A, 1.411% (1-Month USD-LIBOR + 1.250)% due 8/20/35(b)(c) | | | | | 1,359,962 | | |
| | | 5,606,679 | | | | Credit-Based Asset Servicing & Securitization LLC, Series 2006-CB4, Class AV4, 0.415% (1-Month USD-LIBOR + 0.240)% due 5/25/36(b) | | | | | 4,512,471 | | |
| | | 7,512,587 | | | | CSMC Trust, Series 2018-RPL8, Class A1, 4.125% due 7/25/58(b)(c) | | | | | 7,541,914 | | |
| | | 1,000,000 | | | | CVP CLO Ltd., Series 2017-1A, Class A, 1.612% (3-Month USD-LIBOR + 1.340)% due 7/20/30(b)(c) | | | | | 993,683 | | |
| | | 1,000,000 | | | | Elevation CLO Ltd., Series 2014-2A, Class A1R, 1.505% (3-Month USD-LIBOR + 1.230)% due 10/15/29(b)(c) | | | | | 989,451 | | |
| | | 800,000 | | | | Flatiron CLO 17 Ltd., Series 2017-1A, Class B, 1.880% (3-Month USD-LIBOR + 1.600)% due 5/15/30(b)(c) | | | | | 784,662 | | |
| | | 500,000 | | | | Fort Washington CLO, Series 2019-1A, Class A, 1.692% (3-Month USD-LIBOR + 1.420)% due 10/20/32(b)(c) | | | | | 491,023 | | |
| | | 35,145 | | | | Freed ABS Trust, Series 2019-1, Class A, 3.420% due 6/18/26(c) | | | | | 35,177 | | |
| | | 320,000 | | | | GM Financial Automobile Leasing Trust, Series 2020-2, Class A3, 0.800% due 7/20/23 | | | | | 322,482 | | |
| | | 53,000 | | | | GM Financial Consumer Automobile Receivables Trust, Series 2020-2, Class A3, 1.490% due 12/16/24 | | | | | 54,212 | | |
| | | 1,000,000 | | | | Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class A1, 1.645% (3-Month USD-LIBOR + 1.370)% due 4/15/33(b)(c) | | | | | 998,268 | | |
| | | | | | | Halsey Point CLO I Ltd.: | | | |||||
| | | 1,000,000 | | | | Series 2019-1A, Class A1A1, 1.622% (3-Month USD-LIBOR + 1.350)% due 1/20/33(b)(c) | | | | | 990,024 | | |
| | | 1,000,000 | | | | Series 2019-1A, Class B1, 2.472% (3-Month USD-LIBOR + 2.200)% due 1/20/33(b)(c) | | | | | 1,000,031 | | |
| | | 4,302,411 | | | | Helios Issuer LLC, Series 2017-1A, Class A, 4.940% due 9/20/49(c) | | | | | 4,525,818 | | |
| | | 4,851,191 | | | | Horizon Aircraft Finance III Ltd., Series 2019-2, Class A, 3.425% due 11/15/39(c) | | | | | 4,409,446 | | |
| | | | | | | Invitation Homes Trust: | | | |||||
| | | 2,240,000 | | | | Series 2018-SFR1, Class C, 1.412% (1-Month USD-LIBOR + 1.250)% due 3/17/37(b)(c) | | | | | 2,235,789 | | |
| | | 1,425,000 | | | | Series 2018-SFR1, Class D, 1.612% (1-Month USD-LIBOR + 1.450)% due 3/17/37(b)(c) | | | | | 1,409,318 | | |
| | | 970,000 | | | | Jimmy Johns Funding LLC, Series 2017-1A, Class A2II, 4.846% due 7/30/47(c) | | | | | 990,360 | | |
| | | 1,000,000 | | | | LCM XV LP, Series 15A, Class DR, 3.972% (3-Month USD-LIBOR + 3.700)% due 7/20/30(b)(c) | | | | | 945,702 | | |
| | | 443,111 | | | | Legacy Mortgage Asset Trust, Series 2019-GS5, Class A1, step bond to yield, 3.200% due 5/25/59(c) | | | | | 440,651 | | |
| | | 1,237,000 | | | | LoanCore Issuer Ltd., Series 2019-CRE2, Class AS, 1.662% (1-Month USD-LIBOR + 1.500)% due 5/15/36(b)(c) | | | | | 1,203,121 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 21,228,156 | | | ��� | Long Beach Mortgage Loan Trust, Series 2006-2, Class 2A3, 0.365% (1-Month USD-LIBOR + 0.190)% due 3/25/46(b) | | | | $ | 10,215,021 | | |
| | | 500,000 | | | | Madison Park Funding XXV Ltd., Series 2017-25A, Class A2, 1.995% (3-Month USD-LIBOR + 1.750)% due 4/25/29(b)(c) | | | | | 495,124 | | |
| | | 593,708 | | | | Marathon CLO VII Ltd., Series 2014-7A, Class A1R, 1.567% (3-Month USD-LIBOR + 1.320)% due 10/28/25(b)(c) | | | | | 592,622 | | |
| | | 1,000,000 | | | | Marble Point CLO XIV Ltd., Series 2018-2A, Class A1, 1.602% (3-Month USD-LIBOR + 1.330)% due 1/20/32(b)(c) | | | | | 992,239 | | |
| | | 1,000,000 | | | | MP CLO III Ltd., Series 2013-1A, Class AR, 1.522% (3-Month USD-LIBOR + 1.250)% due 10/20/30(b)(c) | | | | | 991,115 | | |
| | | 1,000,000 | | | | MP CLO IV Ltd., Series 2013-2A, Class ARR, 1.525% (3-Month USD-LIBOR + 1.280)% due 7/25/29(b)(c) | | | | | 994,411 | | |
| | | 39,220 | | | | Nissan Auto Receivables Owner Trust, Series 2017-A, Class A3, 1.740% due 8/16/21 | | | | | 39,241 | | |
| | | 492,590 | | | | Northwoods Capital XI-B Ltd., Series 2018-11BA, Class A1, 1.372% (3-Month USD-LIBOR + 1.100)% due 4/19/31(b)(c) | | | | | 483,769 | | |
| | | 988,761 | | | | Northwoods Capital XVI Ltd., Series 2017-16A, Class A, 1.550% (3-Month USD-LIBOR + 1.270)% due 11/15/30(b)(c) | | | | | 980,461 | | |
| | | 1,000,000 | | | | OFSI Fund IX Ltd., Series 2018-1A, Class A, 1.425% (3-Month USD-LIBOR + 1.150)% due 7/15/31(b)(c) | | | | | 986,790 | | |
| | | 12,985,853 | | | | Option One Mortgage Loan Trust, Series 2007-6, Class 1A1, 0.365% (1-Month USD-LIBOR + 0.190)% due 7/25/37(b) | | | | | 11,563,849 | | |
| | | | | | | Pretium Mortgage Credit Partners I LLC: | | | |||||
| | | 943,017 | | | | Series 2019-CFL1, Class A1, step bond to yield, 3.721% due 1/25/59(c) | | | | | 938,122 | | |
| | | 4,900,277 | | | | Series 2020-NPL2, Class A1, step bond to yield, 3.721% due 2/27/60(c) | | | | | 4,905,921 | | |
| | | | | | | PRPM LLC: | | | |||||
| | | 3,986,095 | | | | Series 2019-2A, Class A1, step bond to yield, 3.967% due 4/25/24(c) | | | | | 4,017,117 | | |
| | | 2,170,452 | | | | Series 2019-3A, Class A1, step bond to yield, 3.351% due 7/25/24(c) | | | | | 2,157,026 | | |
| | | 1,000,000 | | | | Regatta XI Funding Ltd., Series 2018-1A, Class B, 1.923% (3-Month USD-LIBOR + 1.650)% due 7/17/31(b)(c) | | | | | 983,328 | | |
| | | 1,000,000 | | | | Rockford Tower CLO Ltd., Series 2017-3A, Class A, 1.462% (3-Month USD-LIBOR + 1.190)% due 10/20/30(b)(c) | | | | | 991,703 | | |
| | | 25,000 | | | | Santander Drive Auto Receivables Trust, Series 2020-1, Class C, 4.110% due 12/15/25 | | | | | 26,836 | | |
| | | 1,000,000 | | | | Sofi Professional Loan Program Trust, Series 2018-B, Class BFX, 3.830% due 8/25/47(c) | | | | | 1,052,187 | | |
| | | 500,000 | | | | Sound Point CLO VIII-R Ltd., Series 2015-1RA, Class A, 1.635% (3-Month USD-LIBOR + 1.360)% due 4/15/30(b)(c) | | | | | 494,956 | | |
| | | 500,000 | | | | Sound Point CLO XXI Ltd., Series 2018-3A, Class A1A, 1.425% (3-Month USD-LIBOR + 1.180)% due 10/26/31(b)(c) | | | | | 494,625 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | | | | | | Steele Creek CLO Ltd.: | | | |||||
| | $ | 1,000,000 | | | | Series 2015-1A, Class AR, 1.507% (3-Month USD-LIBOR + 1.260)% due 5/21/29(b)(c) | | | | $ | 989,685 | | |
| | | 1,000,000 | | | | Series 2016-1A, Class AR, 1.433% (3-Month USD-LIBOR + 1.120)% due 6/15/31(b)(c) | | | | | 981,316 | | |
| | | 5,872,118 | | | | Structured Asset Investment Loan Trust, Series 2005-5, Class M5, 1.150% (1-Month USD-LIBOR + 0.975)% due 6/25/35(b) | | | | | 5,446,200 | | |
| | | 1,965,762 | | | | Sunrun Atlas Issuer LLC, Series 2019-2, Class A, 3.610% due 2/1/55(c) | | | | | 2,042,532 | | |
| | | 1,000,000 | | | | Symphony CLO XV Ltd., Series 2014-15A, Class AR2, 1.533% (3-Month USD-LIBOR + 1.260)% due 1/17/32(b)(c) | | | | | 991,651 | | |
| | | 1,965,000 | | | | Taco Bell Funding LLC, Series 2018-1A, Class A2I, 4.318% due 11/25/48(c) | | | | | 2,009,448 | | |
| | | 1,000,000 | | | | THL Credit Wind River CLO Ltd., Series 2014-2A, Class AR, 1.415% (3-Month USD-LIBOR + 1.140)% due 1/15/31(b)(c) | | | | | 983,649 | | |
| | | 1,394,000 | | | | TRTX Issuer Ltd., Series 2019-FL3, Class AS, 1.612% (1-Month USD-LIBOR + 1.450)% due 10/15/34(b)(c) | | | | | 1,348,761 | | |
| | | 1,750,000 | | | | Venture 32 CLO Ltd., Series 2018-32A, Class A1, 1.372% (3-Month USD-LIBOR + 1.100)% due 7/18/31(b)(c) | | | | | 1,720,325 | | |
| | | 993,913 | | | | Venture XV CLO Ltd., Series 2013-15A, Class A1R2, 1.645% (3-Month USD-LIBOR + 1.370)% due 7/15/32(b)(c) | | | | | 982,345 | | |
| | | | | | | Vericrest Opportunity Loan Trust: | | | |||||
| | | 1,310,286 | | | | Series 2019-NPL2, Class A1, step bond to yield, 3.967% due 2/25/49(c) | | | | | 1,310,082 | | |
| | | 2,169,472 | | | | Series 2019-NPL4, Class A1A, step bond to yield, 3.352% due 8/25/49(c) | | | | | 2,160,731 | | |
| | | 4,443,388 | | | | Series 2020-NPL5, Class A1A, step bond to yield, 2.982% due 3/25/50(c) | | | | | 4,410,074 | | |
| | | 500,000 | | | | Vibrant CLO X Ltd., Series 2018-10A, Class A1, 1.472% (3-Month USD-LIBOR + 1.200)% due 10/20/31(b)(c) | | | | | 493,331 | | |
| | | 2,156,736 | | | | VOLT LXXX LLC, Series 2019-NPL6, Class A1A, step bond to yield, 3.228% due 10/25/49(c) | | | | | 2,137,746 | | |
| | | 9,455,099 | | | | VOLT LXXXV LLC, Series 2020-NPL1, Class A1A, step bond to yield, 3.228% due 1/25/50(c) | | | | | 9,408,875 | | |
| | | 4,361,417 | | | | VOLT LXXXVII LLC, Series 2020-NPL3, Class A1A, step bond to yield, 2.981% due 2/25/50(c) | | | | | 4,329,513 | | |
| | | 9,431,099 | | | | WaMu Asset-Backed Certificates WaMu Trust, Series 2007-HE4, Class 1A, 0.345% (1-Month USD-LIBOR + 0.170)% due 7/25/47(b) | | | | | 7,614,830 | | |
| | | 12,525,090 | | | | Washington Mutural Asset-Backed Certificates WMABS Trust, Series 2006-HE3, Class 1A, 0.330% (1-Month USD-LIBOR + 0.155)% due 8/25/36(b) | | | | | 11,647,314 | | |
| | | | | | | Wellfleet CLO Ltd.: | | | |||||
| | | 1,000,000 | | | | Series 2017-3A, Class A1, 1.423% (3-Month USD-LIBOR + 1.150)% due 1/17/31(b)(c) | | | | | 986,914 | | |
| | | 500,000 | | | | Series 2018-2A, Class A1, 1.472% (3-Month USD-LIBOR + 1.200)% due 10/20/31(b)(c) | | | | | 493,379 | | |
| | | 4,000,000 | | | | York CLO-6 Ltd., Series 2019-1A, Class A1, 1.608% (3-Month USD-LIBOR + 1.350)% due 7/22/32(b)(c) | | | | | 3,993,964 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 984,534 | | | | Zais CLO 5 Ltd., Series 2016-2A, Class A1, 1.805% (3-Month USD-LIBOR + 1.530)% due 10/15/28(b)(c) | | | | $ | 978,138 | | |
| | | | | | | TOTAL ASSET-BACKED SECURITIES (Cost – $169,187,894) | | | | | 170,021,923 | | |
| SENIOR LOANS(b) – 1.9% | | ||||||||||||
| | | 248,559 | | | | 1011778 B.C. Unlimited Liability Co., 1.906% (1-Month USD-LIBOR + 0.175)% due 11/19/26 | | | | | 238,928 | | |
| | | 212,939 | | | | Access CIG LLC, due 2/27/25(i) | | | | | 205,320 | | |
| | | 143,562 | | | | Achilles Acquisition LLC, 4.188% (1-Month USD-LIBOR + 0.400)% due 10/13/25 | | | | | 139,733 | | |
| | | 154,127 | | | | Acrisure LLC, 3.656% (1-Month USD-LIBOR + 0.350)% due 2/15/27 | | | | | 147,609 | | |
| | | 41,448 | | | | Advanced Drainage Systems Inc., 2.438% (1-Month USD-LIBOR + 0.225)% due 7/31/26 | | | | | 41,060 | | |
| | | 243,020 | | | | Agiliti Health Inc., 3.188% (1-Month USD-LIBOR + 0.300)% due 1/4/26 | | | | | 237,552 | | |
| | | 126,357 | | | | Air Methods Corp., 4.500% (3-Month USD-LIBOR + 0.350)% due 4/22/24 | | | | | 110,703 | | |
| | | 154,638 | | | | Aldevron LLC, 5.250% (1-Month USD-LIBOR + 0.425)% due 10/12/26 | | | | | 154,542 | | |
| | | 201,728 | | | | Alera Group Intermediate Holdings Inc., 5.072% (6-Month USD-LIBOR + 0.400)% due 8/1/25 | | | | | 198,198 | | |
| | | 238,870 | | | | AlixPartners LLP, 2.656% (1-Month USD-LIBOR + 0.250)% due 4/4/24 | | | | | 233,376 | | |
| | | 108,900 | | | | Alliant Holdings Intermediate LLC, 3.433% (1-Month USD-LIBOR + 0.325)% due 5/9/25 | | | | | 106,081 | | |
| | | 243,775 | | | | Allied Universal Holdco LLC, 4.406% (1-Month USD-LIBOR + 0.425)% due 7/10/26 | | | | | 241,825 | | |
| | | 206,868 | | | | Alterra Mountain Co., 2.906% (1-Month USD-LIBOR + 0.275)% due 7/31/24 | | | | | 198,399 | | |
| | | 251,860 | | | | Altice France SA, due 8/14/26(i) | | | | | 248,082 | | |
| | | 25,000 | | | | Amentum Government Services Holdings LLC, 4.156% (1-Month USD-LIBOR + 0.400)% due 1/29/27 | | | | | 24,906 | | |
| | | | | | | American Airlines Inc.: | | | | | | | |
| | | 74,235 | | | | 2.162% (1-Month USD-LIBOR + 0.200)% due 12/15/23 | | | | | 57,779 | | |
| | | 25,000 | | | | 1.906% (1-Month USD-LIBOR + 0.175)% due 1/29/27 | | | | | 17,156 | | |
| | | 72,426 | | | | American Tire Distributors Inc., 8.500% (3-Month USD-LIBOR + 0.750)% due 9/2/24 | | | | | 62,033 | | |
| | | 243,857 | | | | Applied Systems Inc., 4.250% (3-Month USD-LIBOR + 0.325)% due 9/19/24 | | | | | 242,581 | | |
| | | | | | | Aramark Intermediate HoldCo Corp.: | | | | | | | |
| | | 135,000 | | | | 1.911% (1-Month USD-LIBOR + 0.175)% due 3/11/25 | | | | | 128,655 | | |
| | | 59,850 | | | | 1.911% (1-Month USD-LIBOR + 0.175)% due 1/15/27 | | | | | 56,962 | | |
| | | 242,886 | | | | Ascend Learning LLC, 4.000% (1-Month USD-LIBOR + 0.300)% due 7/12/24 | | | | | 241,064 | | |
| | | 120,000 | | | | Asplundh Tree Expert LLC, due 8/18/27(i) | | | | | 120,037 | | |
| | | 248,291 | | | | AssuredPartners Inc., 3.656% (1-Month USD-LIBOR + 0.350)% due 2/12/27 | | | | | 241,907 | | |
| | | | | | | Asurion LLC: | | | | | | | |
| | | 282,545 | | | | 3.156% (1-Month USD-LIBOR + 0.300)% due 11/3/23 | | | | | 277,366 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(b) – (continued) | | ||||||||||||
| | $ | 131,993 | | | | 6.656% (1-Month USD-LIBOR + 0.650)% due 8/4/25 | | | | $ | 132,191 | | |
| | | 121,262 | | | | athenahealth Inc., 4.818% (3-Month USD-LIBOR + 0.450)% due 2/11/26 | | | | | 120,126 | | |
| | | 113,274 | | | | Auris Luxembourg III SARL, 3.906% (1-Month USD-LIBOR + 0.375)% due 2/27/26 | | | | | 103,504 | | |
| | | 59,502 | | | | Avantor Funding Inc., 3.250% (1-Month USD-LIBOR + 0.225)% due 11/21/24 | | | | | 58,833 | | |
| | | 170,187 | | | | Avaya Inc., 4.412% (1-Month USD-LIBOR + 0.425)% due 12/15/24 | | | | | 165,153 | | |
| | | 121,872 | | | | Aventiv Technologies LLC, 5.500% (3-Month USD-LIBOR + 0.450)% due 11/1/24 | | | | | 97,190 | | |
| | | 251,822 | | | | Axalta Coating Systems Dutch Holding B BV, 2.058% (3-Month USD-LIBOR + 0.175)% due 6/1/24 | | | | | 245,086 | | |
| | | 121,073 | | | | Azalea TopCo Inc., 3.760% (3-Month USD-LIBOR + 0.350)% due 7/24/26 | | | | | 117,592 | | |
| | | 168,834 | | | | Bass Pro Group LLC, 6.072% (3-Month USD-LIBOR + 0.500)% due 9/25/24 | | | | | 168,149 | | |
| | | | | | | Bausch Health Cos., Inc.: | | | | | | | |
| | | 78,481 | | | | 3.183% (1-Month USD-LIBOR + 0.300)% due 6/2/25 | | | | | 77,141 | | |
| | | 144,000 | | | | 2.933% (1-Month USD-LIBOR + 0.275)% due 11/27/25 | | | | | 140,940 | | |
| | | 78,000 | | | | BellRing Brands LLC, 6.000% (1-Month USD-LIBOR + 0.500)% due 10/21/24 | | | | | 77,878 | | |
| | | | | | | Berry Global Inc.: | | | | | | | |
| | | 26,700 | | | | 2.155% (1-Month USD-LIBOR + 0.200)% due 10/1/22 | | | | | 26,306 | | |
| | | 230,825 | | | | 2.155% (1-Month USD-LIBOR + 0.200)% due 7/1/26 | | | | | 223,584 | | |
| | | 215,399 | | | | BJ’s Wholesale Club Inc., 2.164% (1-Month USD-LIBOR + 0.200)% due 2/3/24 | | | | | 213,306 | | |
| | | 143,454 | | | | Blackhawk Network Holdings Inc., 3.156% (1-Month USD-LIBOR + 0.300)% due 6/15/25 | | | | | 135,078 | | |
| | | 133,401 | | | | Blackstone CQP Holdco LP, 3.806% (3-Month USD-LIBOR + 0.350)% due 9/30/24 | | | | | 130,844 | | |
| | | 166,464 | | | | Boxer Parent Co., Inc., 4.406% (1-Month USD-LIBOR + 0.425)% due 10/2/25 | | | | | 163,205 | | |
| | | 174,371 | | | | Brand Energy & Infrastructure Services Inc., 5.250% (3-Month USD-LIBOR + 0.425)% due 6/21/24 | | | | | 160,421 | | |
| | | 126,174 | | | | Brazos Delaware II LLC, 4.171% (1-Month USD-LIBOR + 0.400)% due 5/21/25 | | | | | 91,738 | | |
| | | 92,796 | | | | Bright Bidco BV, 4.572% (6-Month USD-LIBOR + 0.350)% due 6/30/24 | | | | | 41,108 | | |
| | | 115,580 | | | | Brookfield WEC Holdings Inc., 3.750% (1-Month USD-LIBOR + 0.300)% due 8/1/25 | | | | | 113,516 | | |
| | | 164,588 | | | | Buckeye Partners LP, 2.906% (1-Month USD-LIBOR + 0.275)% due 11/1/26 | | | | | 161,648 | | |
| | | 115,000 | | | | BY Crown Parent LLC, 4.000% (1-Month USD-LIBOR + 0.300)% due 2/2/26 | | | | | 114,066 | | |
| | | | | | | Caesars Resort Collection LLC: | | | | | | | |
| | | 213,359 | | | | 2.906% (1-Month USD-LIBOR + 0.275)% due 12/23/24 | | | | | 200,158 | | |
| | | 100,000 | | | | 4.726% (3-Month USD-LIBOR + 0.450)% due 7/21/25 | | | | | 96,813 | | |
| | | | | | | Calpine Corp.: | | | | | | | |
| | | 283,792 | | | | 2.410% (1-Month USD-LIBOR + 0.225)% due 4/5/26 | | | | | 277,211 | | |
| | | 14,888 | | | | 2.156% (1-Month USD-LIBOR + 0.200)% due 8/12/26 | | | | | 14,436 | | |
| | | 243,775 | | | | Camelot U.S. Acquisition 1 Co., 3.156% (1-Month USD-LIBOR + 0.300)% due 10/30/26 | | | | | 239,204 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(b) – (continued) | | ||||||||||||
| | $ | 206,066 | | | | Capri Acquisitions BidCo Ltd., 3.261% (3-Month USD-LIBOR + 0.300)% due 11/1/24 | | | | $ | 205,423 | | |
| | | 60,000 | | | | Carnival Corp., 8.500% (1-Month USD-LIBOR + 0.750)% due 6/30/25 | | | | | 58,787 | | |
| | | 259,479 | | | | Castle US Holding Corp., due 1/29/27(i) | | | | | 249,424 | | |
| | | 81,496 | | | | Catalent Pharma Solutions Inc., 3.250% (1-Month USD-LIBOR + 0.225)% due 5/18/26 | | | | | 80,952 | | |
| | | 174,584 | | | | Cengage Learning Inc., 5.250% (3-Month USD-LIBOR + 0.425)% due 6/7/23 | | | | | 143,377 | | |
| | | 243,862 | | | | CenturyLink Inc., 2.406% (1-Month USD-LIBOR + 0.225)% due 3/15/27 | | | | | 235,276 | | |
| | | 245,000 | | | | Change Healthcare Holdings LLC, 3.500% (3-Month USD-LIBOR + 0.250)% due 3/1/24 | | | | | 240,169 | | |
| | | 78,491 | | | | Charter NEX US Inc., 3.406% (1-Month USD-LIBOR + 0.325)% due 5/16/24 | | | | | 77,134 | | |
| | | 244,370 | | | | CHG Healthcare Services Inc., 4.072% (3-Month USD-LIBOR + 0.300)% due 6/7/23 | | | | | 240,399 | | |
| | | 204,289 | | | | CHG PPC Parent LLC, 2.906% (1-Month USD-LIBOR + 0.275)% due 3/31/25 | | | | | 197,138 | | |
| | | 65,204 | | | | Cincinnati Bell Inc., 4.250% (1-Month USD-LIBOR + 0.325)% due 10/2/24 | | | | | 65,137 | | |
| | | 211,899 | | | | Clarios Global LP, 3.658% (1-Month USD-LIBOR + 0.350)% due 4/30/26 | | | | | 207,461 | | |
| | | 24,813 | | | | Clear Channel Outdoor Holdings Inc., 3.761% (3-Month USD-LIBOR + 0.350)% due 8/21/26 | | | | | 22,495 | | |
| | | 77,029 | | | | ClubCorp Holdings Inc., 3.058% (3-Month USD-LIBOR + 0.275)% due 9/18/24 | | | | | 66,768 | | |
| | | 184,324 | | | | Compass Power Generation LLC, 4.500% (1-Month USD-LIBOR + 0.350)% due 12/20/24 | | | | | 180,715 | | |
| | | 64,838 | | | | Connect Finco SARL, 5.500% (1-Month USD-LIBOR + 0.450)% due 12/11/26 | | | | | 63,014 | | |
| | | 100,000 | | | | Conservice Midco LLC, due 5/13/27(i) | | | | | 98,440 | | |
| | | 165,000 | | | | CornerStone OnDemand Inc., 4.433% (1-Month USD-LIBOR + 0.425)% due 4/22/27 | | | | | 164,546 | | |
| | | 58,237 | | | | Covia Holdings Corp., 8.250% (3-Month USD-LIBOR + 0.500)% due 6/1/25(f) | | | | | 40,257 | | |
| | | | | | | CSC Holdings LLC: | | | | | | | |
| | | 15,544 | | | | 2.408% (1-Month USD-LIBOR + 0.225)% due 7/17/25 | | | | | 14,980 | | |
| | | 54,175 | | | | 2.408% (1-Month USD-LIBOR + 0.225)% due 1/15/26 | | | | | 52,211 | | |
| | | 168,727 | | | | 2.658% (1-Month USD-LIBOR + 0.250)% due 4/15/27 | | | | | 163,063 | | |
| | | 111,288 | | | | CSM Bakery Solutions Ltd., 7.250% (3-Month USD-LIBOR + 0.625)% due 1/4/22 | | | | | 103,331 | | |
| | | 241,546 | | | | Cvent Inc., 3.906% (1-Month USD-LIBOR + 0.375)% due 11/29/24 | | | | | 208,486 | | |
| | | 39,689 | | | | Cyanco Intermediate 2 Corp., 3.656% (1-Month USD-LIBOR + 0.350)% due 3/16/25 | | | | | 38,449 | | |
| | | 102,236 | | | | Cyxtera DC Holdings Inc., 4.000% (3-Month USD-LIBOR + 0.300)% due 5/1/24 | | | | | 88,945 | | |
| | | 124,688 | | | | DCert Buyer Inc., 4.156% (1-Month USD-LIBOR + 0.400)% due 10/16/26 | | | | | 123,052 | | |
| | | 14,925 | | | | Dealer Tire LLC, 4.406% (1-Month USD-LIBOR + 0.425)% due 12/12/25 | | | | | 14,564 | | |
| | | 260,000 | | | | Deerfield Dakota Holding LLC, 4.750% (1-Month USD-LIBOR + 0.375)% due 4/9/27 | | | | | 259,025 | | |
| | | 234,979 | | | | Dell International LLC, 2.750% (1-Month USD-LIBOR + 0.200)% due 9/19/25 | | | | | 233,217 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(b) – (continued) | | ||||||||||||
| | $ | 200,726 | | | | Dentalcorp Health Services ULC, 4.750% (1-Month USD-LIBOR + 0.375)% due 6/6/25 | | | | $ | 187,679 | | |
| | | 69,468 | | | | Dhanani Group Inc., 3.906% (1-Month USD-LIBOR + 0.375)% due 7/20/25 | | | | | 65,879 | | |
| | | 218,713 | | | | Diamond BC BV, 3.260% (3-Month USD-LIBOR + 0.300)% due 9/6/24 | | | | | 206,002 | | |
| | | 99,775 | | | | Diamond Sports Group LLC, due 8/24/26(i) | | | | | 84,185 | | |
| | | 53,598 | | | | Digicel International Finance Ltd., 0.000% (3-Month USD-LIBOR + 0.325)% due 5/27/24 | | | | | 46,764 | | |
| | | 245,316 | | | | Dun & Bradstreet Corp., 3.920% (1-Month USD-LIBOR + 0.375)% due 2/6/26 | | | | | 244,580 | | |
| | | | | | | Dynasty Acquisition Co., Inc.: | | | | | | | |
| | | 109,262 | | | | 3.808% (3-Month USD-LIBOR + 0.350)% due 4/6/26 | | | | | 96,514 | | |
| | | 117,353 | | | | Dynatrace LLC, 2.406% (1-Month USD-LIBOR + 0.225)% due 8/22/25 | | | | | 115,446 | | |
| | | 252,704 | | | | E.W. Scripps Co., 2.656% (1-Month USD-LIBOR + 0.250)% due 5/1/26 | | | | | 245,754 | | |
| | | 204,485 | | | | EAB Global Inc., 4.750% (3-Month USD-LIBOR + 0.375)% due 11/15/24 | | | | | 197,839 | | |
| | | 247,893 | | | | Edelman Financial Center LLC, 3.170% (1-Month USD-LIBOR + 0.300)% due 7/21/25 | | | | | 239,837 | | |
| | | 68,507 | | | | EG Group Ltd., 5.072% (6-Month USD-LIBOR + 0.400)% due 2/7/25 | | | | | 66,302 | | |
| | | 240,000 | | | | Elanco Animal Health Inc., due 8/1/27(i) | | | | | 235,099 | | |
| | | 126,871 | | | | Envision Healthcare Corp., 3.906% (1-Month USD-LIBOR + 0.375)% due 10/10/25 | | | | | 91,563 | | |
| | | 78,781 | | | | Equinox Holdings Inc., 4.072% (3-Month USD-LIBOR + 0.300)% due 3/8/24 | | | | | 58,495 | | |
| | | 77,833 | | | | ESH Hospitality Inc., 2.156% (1-Month USD-LIBOR + 0.200)% due 9/18/26 | | | | | 75,243 | | |
| | | 69,466 | | | | Excelitas Technologies Corp., 4.500% (3-Month USD-LIBOR + 0.350)% due 12/2/24 | | | | | 68,163 | | |
| | | 48,702 | | | | Exgen Renewables IV LLC, 4.000% (3-Month USD-LIBOR + 0.300)% due 11/28/24 | | | | | 48,275 | | |
| | | 154,870 | | | | Filtration Group Corp., 3.156% (1-Month USD-LIBOR + 0.300)% due 3/31/25 | | | | | 152,112 | | |
| | | | | | | Flex Acquisition Co., Inc.: | | | | | | | |
| | | 65,000 | | | | 4.000% (3-Month USD-LIBOR + 0.300)% due 12/29/23 | | | | | 62,702 | | |
| | | 125,000 | | | | 3.546% (3-Month USD-LIBOR + 0.325)% due 6/29/25 | | | | | 120,104 | | |
| | | 108,623 | | | | Flexera Software LLC, 4.250% (3-Month USD-LIBOR + 0.325)% due 2/26/25 | | | | | 107,621 | | |
| | | 183,437 | | | | Flutter Entertainment PLC, 3.808% (3-Month USD-LIBOR + 0.350)% due 7/10/25 | | | | | 183,557 | | |
| | | 250,000 | | | | Formula One Management Ltd., 3.500% (1-Month USD-LIBOR + 0.250)% due 2/1/24 | | | | | 242,033 | | |
| | | 59,583 | | | | Forterra Finance LLC, 4.000% (1-Month USD-LIBOR + 0.300)% due 10/25/23 | | | | | 58,540 | | |
| | | 250,000 | | | | Froneri International Ltd., 2.406% (1-Month USD-LIBOR + 0.225)% due 1/29/27 | | | | | 240,490 | | |
| | | 52,356 | | | | Frontdoor Inc., 2.688% (1-Month USD-LIBOR + 0.250)% due 8/16/25 | | | | | 51,244 | | |
| | | 65,351 | | | | Frontera Generation Holdings LLC, 5.250% (3-Month USD-LIBOR + 0.425)% due 5/2/25 | | | | | 27,447 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(b) – (continued) | | ||||||||||||
| | $ | 205,000 | | | | Garda World Security Corp., 4.930% (1-Month USD-LIBOR + 0.475)% due 10/30/26 | | | | $ | 204,129 | | |
| | | 39,795 | | | | Gates Global LLC, 3.750% (1-Month USD-LIBOR + 0.275)% due 4/1/24 | | | | | 39,279 | | |
| | | 239,400 | | | | Genesee & Wyoming Inc., 2.308% (3-Month USD-LIBOR + 0.200)% due 12/30/26 | | | | | 235,345 | | |
| | | 241,931 | | | | Gentiva Health Services Inc., 3.438% (1-Month USD-LIBOR + 0.325)% due 7/2/25 | | | | | 239,512 | | |
| | | 122,410 | | | | Getty Images Inc., 4.688% (1-Month USD-LIBOR + 0.450)% due 2/19/26 | | | | | 115,703 | | |
| | | 100,000 | | | | GFL Environmental Inc., 4.000% (3-Month USD-LIBOR + 0.300)% due 5/30/25 | | | | | 99,375 | | |
| | | 136,132 | | | | Global Medical Response Inc., 4.250% (3-Month USD-LIBOR + 0.325)% due 4/28/22 | | | | | 134,722 | | |
| | | | | | | Go Daddy Operating Co. LLC: | | | | | | | |
| | | 246,784 | | | | 1.906% (1-Month USD-LIBOR + 0.175)% due 2/15/24 | | | | | 242,403 | | |
| | | 145,000 | | | | 2.656% (1-Month USD-LIBOR + 0.250)% due 8/10/27 | | | | | 143,659 | | |
| | | 247,667 | | | | GOBP Holdings Inc., 3.744% (3-Month USD-LIBOR + 0.275)% due 10/22/25 | | | | | 242,218 | | |
| | | 255,223 | | | | Golden Nugget Inc., due 10/4/23(i) | | | | | 227,692 | | |
| | | 257,922 | | | | GoodRx Inc., due 10/10/25(i) | | | | | 254,861 | | |
| | | 118,444 | | | | Graftech International Ltd., 4.500% (1-Month USD-LIBOR + 0.350)% due 2/12/25 | | | | | 116,668 | | |
| | | 135,000 | | | | Graham Packaging Co., Inc., 4.500% (1-Month USD-LIBOR + 0.375)% due 8/4/27 | | | | | 134,730 | | |
| | | 89,774 | | | | Granite US Holdings Corp., 6.322% (3-Month USD-LIBOR + 0.525)% due 9/30/26 | | | | | 86,632 | | |
| | | 245,924 | | | | Gray Television Inc., 2.656% (1-Month USD-LIBOR + 0.250)% due 1/2/26 | | | | | 240,630 | | |
| | | 242,295 | | | | Greeneden U.S. Holdings I LLC, 3.406% (1-Month USD-LIBOR + 0.325)% due 12/1/23 | | | | | 238,106 | | |
| | | 4,975 | | | | Grifols Worldwide Operations Ltd., 2.113% (1-Week USD-LIBOR + 0.200)% due 11/15/27 | | | | | 4,870 | | |
| | | 81,564 | | | | GTT Communications Inc., 2.910% (1-Month USD-LIBOR + 0.275)% due 5/31/25 | | | | | 64,172 | | |
| | | 92,084 | | | | Gulf Finance LLC, 6.250% (1-Month USD-LIBOR + 0.525)% due 8/25/23 | | | | | 63,261 | | |
| | | 250,364 | | | | Harbor Freight Tools USA Inc., due 8/18/23(i) | | | | | 246,206 | | |
| | | 39,389 | | | | Hayward Industries Inc., 3.656% (1-Month USD-LIBOR + 0.350)% due 8/5/24 | | | | | 38,699 | | |
| | | 103,681 | | | | HD Supply Inc., 1.906% (1-Month USD-LIBOR + 0.175)% due 10/17/23 | | | | | 102,981 | | |
| | | 59,400 | | | | Hexion Inc., 3.800% (3-Month USD-LIBOR + 0.350)% due 7/1/26 | | | | | 58,435 | | |
| | | 209,061 | | | | H-Food Holdings LLC, 3.844% (1-Month USD-LIBOR + 0.369)% due 5/23/25 | | | | | 203,051 | | |
| | | 210,000 | | | | Hilton Worldwide Finance LLC, 1.925% (1-Month USD-LIBOR + 0.175)% due 6/22/26 | | | | | 202,037 | | |
| | | | | | | Hyland Software Inc.: | | | | | | | |
| | | 248,481 | | | | due 7/1/24(i) | | | | | 245,020 | | |
| | | 45,596 | | | | 7.750% (1-Month USD-LIBOR + 0.700)% due 7/7/25 | | | | | 45,539 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(b) – (continued) | | ||||||||||||
| | $ | 233,538 | | | | IAA Inc., 2.438% (1-Month USD-LIBOR + 0.225)% due 6/28/26 | | | | $ | 230,034 | | |
| | | 107,173 | | | | iHeartCommunications Inc., 3.156% (1-Month USD-LIBOR + 0.300)% due 5/1/26 | | | | | 101,508 | | |
| | | 150,000 | | | | Illuminate Buyer LLC, 4.308% (3-Month USD-LIBOR + 0.400)% due 6/30/27 | | | | | 149,100 | | |
| | | 159,600 | | | | Informatica LLC, 3.406% (1-Month USD-LIBOR + 0.325)% due 2/25/27 | | | | | 156,009 | | |
| | | 44,888 | | | | Ingersoll-Rand Services Co., 1.906% (1-Month USD-LIBOR + 0.175)% due 3/1/27 | | | | | 43,464 | | |
| | | | | | | Intelsat Jackson Holdings SA: | | | | | | | |
| | | 18,420 | | | | 5.050% (3-Month USD-LIBOR + 0.550)% due 7/13/22 | | | | | 18,727 | | |
| | | 245,000 | | | | 8.000% (1-Month USD-LIBOR + 0.475)% due 11/27/23(f) | | | | | 246,497 | | |
| | | 208,366 | | | | ION Trading Technologies SARL, 5.072% (3-Month USD-LIBOR + 0.400)% due 11/21/24 | | | | | 203,342 | | |
| | | | | | | Iqvia Inc.: | | | | | | | |
| | | 172,342 | | | | 1.906% (1-Month USD-LIBOR + 0.175)% due 1/17/25 | | | | | 168,357 | | |
| | | 84,670 | | | | 2.058% (3-Month USD-LIBOR + 0.175)% due 6/11/25 | | | | | 82,712 | | |
| | | 259,122 | | | | IRB Holding Corp., due 2/5/25(i) | | | | | 249,211 | | |
| | | 253,771 | | | | IRI Holdings Inc., 4.406% (1-Month USD-LIBOR + 0.425)% due 12/1/25 | | | | | 247,904 | | |
| | | 248,274 | | | | Iron Mountain Information Management LLC, 1.906% (1-Month USD-LIBOR + 0.175)% due 1/2/26 | | | | | 239,894 | | |
| | | 188,424 | | | | Jaguar Holding Co. I LLC, 3.500% (1-Month USD-LIBOR + 0.250)% due 8/18/22 | | | | | 187,953 | | |
| | | 255,944 | | | | JBS USA Lux SA, 3.072% (3-Month USD-LIBOR + 0.200)% due 5/1/26 | | | | | 248,345 | | |
| | | 251,163 | | | | KAR Auction Services Inc., 2.438% (1-Month USD-LIBOR + 0.225)% due 9/19/26 | | | | | 243,000 | | |
| | | 80,003 | | | | KBR Inc., 2.906% (1-Month USD-LIBOR + 0.275)% due 2/5/27 | | | | | 79,503 | | |
| | | 114,425 | | | | Kestrel Bidco Inc., 4.000% (3-Month USD-LIBOR + 0.300)% due 12/11/26 | | | | | 94,759 | | |
| | | 99,488 | | | | Kindred Healthcare LLC, 5.188% (1-Month USD-LIBOR + 0.500)% due 7/2/25 | | | | | 98,494 | | |
| | | 76,461 | | | | Klockner Pentaplast of America Inc., 5.250% (3-Month USD-LIBOR + 0.425)% due 6/30/22 | | | | | 74,071 | | |
| | | 144,437 | | | | Kronos Acquisition Intermediate Inc., 5.000% (3-Month USD-LIBOR + 0.400)% due 5/15/23 | | | | | 142,992 | | |
| | | 6,994 | | | | Lealand Finance Co. BV, 4.156% (1-Month USD-LIBOR + 0.400)% due 6/30/25 | | | | | 5,648 | | |
| | | 254,888 | | | | Level 3 Financing Inc., 1.906% (1-Month USD-LIBOR + 0.175)% due 3/1/27 | | | | | 246,658 | | |
| | | 178,570 | | | | Life Time Fitness Inc., 3.750% (3-Month USD-LIBOR + 0.275)% due 6/10/22 | | | | | 166,963 | | |
| | | 204,957 | | | | LifePoint Health Inc., 3.906% (1-Month USD-LIBOR + 0.375)% due 11/16/25 | | | | | 200,712 | | |
| | | 239,299 | | | | Lineage Logistics LLC, 4.000% (1-Month USD-LIBOR + 0.300)% due 2/27/25 | | | | | 237,057 | | |
| | | 35,093 | | | | Lions Gate Capital Holdings LLC, 2.406% (1-Month USD-LIBOR + 0.225)% due 3/24/25 | | | | | 33,975 | | |
| | | 85,000 | | | | LogMeIn Inc., due 8/14/27(i) | | | | | 82,839 | | |
| | | 128,166 | | | | Lower Cadence Holdings LLC, 4.156% (1-Month USD-LIBOR + 0.400)% due 5/22/26 | | | | | 117,593 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(b) – (continued) | | ||||||||||||
| | $ | 133,065 | | | | Lucid Energy Group II Borrower LLC, 4.000% (1-Month USD-LIBOR + 0.300)% due 2/17/25 | | | | $ | 112,374 | | |
| | | 163,943 | | | | Mavis Tire Express Services Corp., 3.558% (3-Month USD-LIBOR + 0.325)% due 3/20/25 | | | | | 157,139 | | |
| | | | | | | MED ParentCo LP: | | | | | | | |
| | | 16,738 | | | | 4.359% (3-Month USD-LIBOR + 0.425)% due 8/31/26 | | | | | 15,664 | | |
| | | 95,395 | | | | 4.406% (1-Month USD-LIBOR + 0.425)% due 8/31/26 | | | | | 89,273 | | |
| | | 144,716 | | | | Messer Industries GmbH, 2.808% (3-Month USD-LIBOR + 0.250)% due 3/2/26 | | | | | 141,580 | | |
| | | 205,000 | | | | Milano Acquisition Corp., due 8/17/27(i) | | | | | 203,206 | | |
| | | 110,000 | | | | Mileage Plus Holdings LLC, 6.250% (3-Month USD-LIBOR + 0.525)% due 6/21/27 | | | | | 111,169 | | |
| | | 201,396 | | | | Minotaur Acquisition Inc., 5.156% (1-Month USD-LIBOR + 0.500)% due 3/27/26 | | | | | 191,830 | | |
| | | 218,824 | | | | Mister Car Wash Holdings Inc., due 5/14/26(i) | | | | | 205,226 | | |
| | | | | | | Misys Ltd.: | | | | | | | |
| | | 131,499 | | | | 4.500% (3-Month USD-LIBOR + 0.350)% due 6/13/24 | | | | | 123,634 | | |
| | | 45,000 | | | | 8.250% (3-Month USD-LIBOR + 0.725)% due 6/13/25 | | | | | 41,562 | | |
| | | | | | | Mitchell International Inc.: | | | | | | | |
| | | 122,155 | | | | 3.406% (1-Month USD-LIBOR + 0.325)% due 11/29/24 | | | | | 115,972 | | |
| | | 30,000 | | | | 7.405% (1-Month USD-LIBOR + 0.725)% due 12/1/25 | | | | | 27,450 | | |
| | | 61,992 | | | | MLN US HoldCo LLC, 4.655% (1-Month USD-LIBOR + 0.450)% due 11/30/25 | | | | | 52,422 | | |
| | | | | | | Motion Acquisition Ltd.: | | | | | | | |
| | | 39,800 | | | | 4.322% (3-Month USD-LIBOR + 0.325)% due 11/12/26 | | | | | 36,783 | | |
| | | 110,117 | | | | MPH Acquisition Holdings LLC, 3.750% (3-Month USD-LIBOR + 0.275)% due 6/7/23 | | | | | 108,878 | | |
| | | 61,173 | | | | NASCAR Holdings LLC, 2.920% (1-Month USD-LIBOR + 0.275)% due 10/19/26 | | | | | 59,993 | | |
| | | 44,663 | | | | NCR Corp., 2.660% (1-Month USD-LIBOR + 0.250)% due 8/28/26 | | | | | 43,267 | | |
| | | 245,498 | | | | Nexstar Broadcasting Inc., 2.906% (1-Month USD-LIBOR + 0.275)% due 9/18/26 | | | | | 240,622 | | |
| | | 248,101 | | | | Nouryon Finance BV, 3.164% (1-Month USD-LIBOR + 0.300)% due 10/1/25 | | | | | 240,541 | | |
| | | 44,663 | | | | ON Semiconductor Corp., 2.156% (1-Month USD-LIBOR + 0.200)% due 9/19/26 | | | | | 43,965 | | |
| | | 249,125 | | | | Option Care Health Inc., 4.656% (1-Month USD-LIBOR + 0.450)% due 8/6/26 | | | | | 248,086 | | |
| | | 44,325 | | | | Outcomes Group Holdings Inc., 3.808% (3-Month USD-LIBOR + 0.350)% due 10/24/25 | | | | | 42,810 | | |
| | | 253,963 | | | | Parexel International Corp., due 9/27/24(i) | | | | | 245,138 | | |
| | | | | | | Pathway Vet Alliance LLC: | | | | | | | |
| | | 193,730 | | | | 4.156% (1-Month USD-LIBOR + 0.400)% due 3/31/27 | | | | | 189,916 | | |
| | | 48,305 | | | | PCI Gaming Authority, 2.656% (1-Month USD-LIBOR + 0.250)% due 5/29/26 | | | | | 46,721 | | |
| | | 196,264 | | | | Peak 10 Holding Corp., 3.808% (3-Month USD-LIBOR + 0.350)% due 8/1/24 | | | | | 164,944 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(b) – (continued) | | ||||||||||||
| | $ | 44,436 | | | | Penn National Gaming Inc., 3.000% (3-Month USD-LIBOR + 0.225)% due 10/15/25 | | | | $ | 42,814 | | |
| | | 201,117 | | | | PetSmart Inc., 5.000% (3-Month USD-LIBOR + 0.400)% due 3/11/22 | | | | | 200,552 | | |
| | | 130,000 | | | | PG&E Corp., 5.500% (3-Month USD-LIBOR + 0.450)% due 6/23/25 | | | | | 127,807 | | |
| | | 39,796 | | | | Phoenix Services International LLC, 4.750% (1-Month USD-LIBOR + 0.375)% due 3/1/25 | | | | | 37,434 | | |
| | | 65,751 | | | | Ply Gem Midco Inc., 3.918% (1-Month USD-LIBOR + 0.375)% due 4/12/25 | | | | | 64,436 | | |
| | | 160,498 | | | | PODS LLC, 3.750% (1-Month USD-LIBOR + 0.275)% due 12/6/24 | | | | | 157,488 | | |
| | | 77,794 | | | | PowerTeam Services LLC, 4.250% (3-Month USD-LIBOR + 0.325)% due 3/6/25 | | | | | 75,096 | | |
| | | 54,113 | | | | Prairie ECI Acquiror LP, 4.906% (1-Month USD-LIBOR + 0.475)% due 3/11/26 | | | | | 48,499 | | |
| | | 144,275 | | | | Pregis TopCo LLC, 3.906% (1-Month USD-LIBOR + 0.375)% due 7/31/26 | | | | | 141,931 | | |
| | | 25,000 | | | | Presidio Holdings Inc., 3.770% (3-Month USD-LIBOR + 0.350)% due 1/22/27 | | | | | 24,563 | | |
| | | 183,824 | | | | Prime Security Services Borrower LLC, 4.250% (3-Month USD-LIBOR + 0.325)% due 9/23/26 | | | | | 183,043 | | |
| | | 69,467 | | | | Pro Mach Group Inc., 2.920% (1-Month USD-LIBOR + 0.275)% due 3/7/25 | | | | | 66,276 | | |
| | | 251,763 | | | | Project Alpha Intermediate Holding Inc., due 4/26/24(i) | | | | | 249,875 | | |
| | | 39,800 | | | | Pug LLC, 3.656% (1-Month USD-LIBOR + 0.350)% due 2/12/27 | | | | | 33,697 | | |
| | | 201,831 | | | | Radiate HoldCo LLC, 3.750% (1-Month USD-LIBOR + 0.300)% due 2/1/24 | | | | | 198,439 | | |
| | | 202,696 | | | | Radiology Partners Inc., 5.667% (3-Month USD-LIBOR + 0.425)% due 7/9/25 | | | | | 193,153 | | |
| | | 410,788 | | | | Refinitiv US Holdings Inc., 3.406% (1-Month USD-LIBOR + 0.325)% due 10/1/25 | | | | | 406,971 | | |
| | | 186,986 | | | | Renaissance Holding Corp., 3.406% (1-Month USD-LIBOR + 0.325)% due 5/30/25 | | | | | 183,379 | | |
| | | 136,125 | | | | RentPath LLC, 0.000% (3-Month USD-LIBOR + 0.380)% due 12/17/21(f) | | | | | 105,497 | | |
| | | 47,855 | | | | Reynolds Consumer Products LLC, 1.906% (1-Month USD-LIBOR + 0.175)% due 2/4/27 | | | | | 47,027 | | |
| | | 188,798 | | | | Reynolds Group Holdings Inc., 2.906% (1-Month USD-LIBOR + 0.275)% due 2/5/23 | | | | | 185,898 | | |
| | | 69,650 | | | | RPI 2019 Intermediate Finance Trust, 1.906% (1-Week USD-LIBOR + 0.175)% due 2/11/27 | | | | | 69,367 | | |
| | | 57,750 | | | | RPI Intermediate Finance Trust, 1.906% (1-Month USD-LIBOR + 0.175)% due 2/11/27 | | | | | 57,461 | | |
| | | 95,000 | | | | RSA Security LLC, due 6/29/27(i) | | | | | 94,763 | | |
| | | 45,000 | | | | Ryan Specialty Group LLC, due 7/23/27(i) | | | | | 44,803 | | |
| | | 89,877 | | | | Sabre GLBL Inc., due 2/22/24(i) | | | | | 83,377 | | |
| | | 56,025 | | | | Science Applications International Corp., 2.406% (1-Month USD-LIBOR + 0.225)% due 3/12/27 | | | | | 55,605 | | |
| | | 154,349 | | | | Scientific Games International Inc., 3.472% (3-Month USD-LIBOR + 0.275)% due 8/14/24 | | | | | 144,013 | | |
| | | 144,440 | | | | Sedgwick Claims Management Services Inc., 3.406% (1-Month USD-LIBOR + 0.325)% due 12/31/25 | | | | | 139,505 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(b) – (continued) | | ||||||||||||
| | $ | 240,000 | | | | Select Medical Corp., 2.680% (1-Month USD-LIBOR + 0.250)% due 3/6/25 | | | | $ | 232,999 | | |
| | | 39,800 | | | | Servicemaster Co. LLC, 1.906% (1-Month USD-LIBOR + 0.175)% due 11/5/26 | | | | | 39,120 | | |
| | | 249,609 | | | | Severin Acquisition LLC, 3.405% (1-Month USD-LIBOR + 0.325)% due 8/1/25 | | | | | 241,914 | | |
| | | 208,425 | | | | Sinclair Television Group Inc., 2.660% (1-Month USD-LIBOR + 0.250)% due 9/30/26 | | | | | 202,589 | | |
| | | 179,620 | | | | SIWF Holdings Inc., due 6/15/25(i) | | | | | 169,441 | | |
| | | 86,819 | | | | Six Flags Theme Parks Inc., 1.910% (1-Month USD-LIBOR + 0.175)% due 4/17/26 | | | | | 81,349 | | |
| | | 19,900 | | | | SMG US Midco 2 Inc., 2.730% (1-Month USD-LIBOR + 0.250)% due 1/23/25 | | | | | 16,890 | | |
| | | 243,750 | | | | SolarWinds Holdings Inc., 2.906% (1-Month USD-LIBOR + 0.275)% due 2/5/24 | | | | | 240,323 | | |
| | | | | | | Solenis Holdings LLC: | | | | | | | |
| | | 120,120 | | | | 4.256% (3-Month USD-LIBOR + 0.400)% due 6/26/25 | | | | | 117,849 | | |
| | | 5,000 | | | | 8.756% (3-Month USD-LIBOR + 0.850)% due 6/26/26 | | | | | 4,483 | | |
| | | 243,940 | | | | Solera LLC, 2.938% (1-Month USD-LIBOR + 0.275)% due 3/3/23 | | | | | 239,476 | | |
| | | 242,205 | | | | Sophia LP, 4.250% (3-Month USD-LIBOR + 0.325)% due 9/30/22 | | | | | 241,236 | | |
| | | 244,388 | | | | Sotera Health Holdings LLC, 5.500% (3-Month USD-LIBOR + 0.450)% due 12/11/26 | | | | | 243,715 | | |
| | | 246,338 | | | | Sound Inpatient Physicians Inc., 2.906% (1-Month USD-LIBOR + 0.275)% due 6/27/25 | | | | | 240,364 | | |
| | | 61,181 | | | | Southern Graphics Inc., 3.406% (1-Month USD-LIBOR + 0.325)% due 12/31/22 | | | | | 35,434 | | |
| | | 133,221 | | | | SS&C Technologies Holdings Inc., 1.906% (1-Month USD-LIBOR + 0.175)% due 4/16/25 | | | | | 129,300 | | |
| | | 74,119 | | | | Staples Inc., 5.251% (3-Month USD-LIBOR + 0.500)% due 4/16/26 | | | | | 62,754 | | |
| | | 30,000 | | | | STG-Fairway Holdings LLC, 4.322% (3-Month USD-LIBOR + 0.325)% due 1/31/27 | | | | | 28,875 | | |
| | | 34,825 | | | | Sunshine Luxembourg VII SARL, 5.322% (6-Month USD-LIBOR + 0.425)% due 10/1/26 | | | | | 34,702 | | |
| | | 245,000 | | | | Surf Holdings SARL, 3.827% (3-Month USD-LIBOR + 0.350)% due 3/5/27 | | | | | 238,944 | | |
| | | 31,747 | | | | Syncreon Group BV, 6.000% (3-Month USD-LIBOR + 0.500)% due 10/1/24 | | | | | 29,643 | | |
| | | 99,350 | | | | TAMKO Building Products LLC, 3.406% (1-Month USD-LIBOR + 0.325)% due 5/29/26 | | | | | 98,356 | | |
| | | 1,417 | | | | Tapstone Energy Holdings III LLC, 5.000% (1-Month USD-LIBOR + 0.400)% due 4/17/24(j) | | | | | 1,417 | | |
| | | 64,577 | | | | Team Health Holdings Inc., 3.750% (1-Month USD-LIBOR + 0.275)% due 2/6/24 | | | | | 53,626 | | |
| | | | | | | Tech Data Corp.: | | | | | | | |
| | | 180,000 | | | | 3.656% (1-Month USD-LIBOR + 0.350)% due 6/30/25 | | | | | 180,180 | | |
| Face Amount/Units | | | Security | ��� | | Value | | ||||||
| SENIOR LOANS(b) – (continued) | | ||||||||||||
| | $ | 80,000 | | | | 5.656% (1-Month USD-LIBOR + 0.550)% due 6/30/25 | | | | $ | 76,600 | | |
| | | 159,200 | | | | Telesat Canada, 2.910% (1-Month USD-LIBOR + 0.275)% due 12/7/26 | | | | | 153,760 | | |
| | | 216,334 | | | | Tempo Acquisition LLC, 3.750% (1-Month USD-LIBOR + 0.325)% due 11/2/26 | | | | | 211,603 | | |
| | | 144,275 | | | | Terrier Media Buyer Inc., 4.406% (1-Month USD-LIBOR + 0.425)% due 12/17/26 | | | | | 141,254 | | |
| | | | | | | TIBCO Software Inc.: | | | | | | | |
| | | 239,350 | | | | 3.910% (1-Month USD-LIBOR + 0.375)% due 6/30/26 | | | | | 230,853 | | |
| | | 15,000 | | | | 7.410% (1-Month USD-LIBOR + 0.725)% due 3/3/28 | | | | | 14,550 | | |
| | | 197,515 | | | | Titan Acquisition Ltd., 3.361% (3-Month USD-LIBOR + 0.300)% due 3/28/25 | | | | | 186,158 | | |
| | | 156,934 | | | | TKC Holdings Inc., 4.750% (3-Month USD-LIBOR + 0.375)% due 2/1/23 | | | | | 146,930 | | |
| | | 155,000 | | | | T-Mobile USA Inc., 3.156% (1-Month USD-LIBOR + 0.300)% due 4/1/27 | | | | | 155,330 | | |
| | | 38,646 | | | | Trans Union LLC, 1.906% (1-Month USD-LIBOR + 0.175)% due 11/16/26 | | | | | 37,680 | | |
| | | 193,467 | | | | TransDigm Inc., 2.406% (1-Month USD-LIBOR + 0.225)% due 12/9/25 | | | | | 183,159 | | |
| | | 104,935 | | | | Travel Leaders Group LLC, 4.156% (1-Month USD-LIBOR + 0.400)% due 1/25/24 | | | | | 74,504 | | |
| | | 69,776 | | | | Travelport Finance (Luxembourg) SARL, 6.072% (3-Month USD-LIBOR + 0.500)% due 5/29/26 | | | | | 46,477 | | |
| | | 69,466 | | | | Trident TPI Holdings Inc., 4.072% (3-Month USD-LIBOR + 0.300)% due 10/17/24 | | | | | 68,285 | | |
| | | | | | | Uber Technologies Inc.: | | | | | | | |
| | | 9,897 | | | | 3.656% (1-Month USD-LIBOR + 0.350)% due 7/13/23 | | | | | 9,711 | | |
| | | 202,321 | | | | 5.000% (1-Month USD-LIBOR + 0.400)% due 4/4/25 | | | | | 199,902 | | |
| | | 246,204 | | | | UFC Holdings LLC, 4.250% (3-Month USD-LIBOR + 0.325)% due 4/29/26 | | | | | 242,703 | | |
| | | 64,313 | | | | UGI Energy Services LLC, 3.906% (1-Month USD-LIBOR + 0.375)% due 8/13/26 | | | | | 63,750 | | |
| | | | | | | Ultimate Software Group Inc.: | | | | | | | |
| | | 118,686 | | | | 3.906% (1-Month USD-LIBOR + 0.375)% due 5/4/26 | | | | | 117,715 | | |
| | | 185,000 | | | | 4.750% (3-Month USD-LIBOR + 0.400)% due 5/4/26 | | | | | 184,654 | | |
| | | 20,000 | | | | 7.500% (3-Month USD-LIBOR + 0.675)% due 5/3/27 | | | | | 20,375 | | |
| | | 64,509 | | | | United Natural Foods Inc., 4.406% (1-Month USD-LIBOR + 0.425)% due 10/22/25 | | | | | 62,815 | | |
| | | 29,850 | | | | Univar Solutions USA Inc., 2.156% (1-Month USD-LIBOR + 0.200)% due 7/1/26 | | | | | 28,955 | | |
| | | 36,844 | | | | Univision Communications Inc., 4.750% (1-Month USD-LIBOR + 0.375)% due 3/15/26 | | | | | 35,969 | | |
| | | 54,863 | | | | Upstream Newco Inc., 4.656% (1-Month USD-LIBOR + 0.450)% due 11/20/26 | | | | | 51,639 | | |
| | | 208,425 | | | | US Foods Inc., 3.072% (3-Month USD-LIBOR + 0.200)% due 9/13/26 | | | | | 199,083 | | |
| | | 108,590 | | | | USIC Holdings Inc., 4.250% (1-Month USD-LIBOR + 0.325)% due 12/8/23 | | | | | 105,423 | | |
| | | 240,573 | | | | Verscend Holding Corp., 4.656% (1-Month USD-LIBOR + 0.450)% due 8/27/25 | | | | | 238,569 | | |
| | | 247,148 | | | | Vertafore Inc., 3.406% (1-Month USD-LIBOR + 0.325)% due 7/2/25 | | | | | 246,930 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(b) – (continued) | | ||||||||||||
| | $ | 300,000 | | | | Vertical Midco GmbH, 4.570% (6-Month USD-LIBOR + 0.425)% due 7/30/27 | | | �� | $ | 297,189 | | |
| | | 259,917 | | | | VICI Properties 1 LLC, 1.933% (1-Month USD-LIBOR + 0.175)% due 12/20/24 | | | | | 249,845 | | |
| | | 53,732 | | | | Victory Capital Holdings Inc., 2.799% (3-Month USD-LIBOR + 0.250)% due 7/1/26 | | | | | 52,859 | | |
| | | 243,520 | | | | Virgin Media Bristol LLC, 2.662% (1-Month USD-LIBOR + 0.250)% due 1/31/28 | | | | | 236,755 | | |
| | | 238,856 | | | | Vistra Operations Co. LLC, 1.907% (1-Month USD-LIBOR + 0.175)% due 12/31/25 | | | | | 234,700 | | |
| | | 249,488 | | | | VS Buyer LLC, due 2/28/27(i) | | | | | 245,433 | | |
| | | 168,454 | | | | Wand Newco 3 Inc., 4.072% (3-Month USD-LIBOR + 0.300)% due 2/5/26 | | | | | 161,822 | | |
| | | 65,000 | | | | Web.com Group Inc., 3.933% (1-Month USD-LIBOR + 0.375)% due 10/10/25 | | | | | 62,709 | | |
| | | 203,963 | | | | Whatabrands LLC, 2.905% (1-Month USD-LIBOR + 0.275)% due 7/31/26 | | | | | 198,609 | | |
| | | 244,985 | | | | Wink Holdco Inc., 4.000% (1-Month USD-LIBOR + 0.300)% due 12/2/24 | | | | | 239,243 | | |
| | | 244,388 | | | | Zayo Group Holdings Inc., 3.156% (1-Month USD-LIBOR + 0.300)% due 3/9/27 | | | | | 237,009 | | |
| | | 39,800 | | | | Zelis Cost Management Buyer Inc., 4.906% (1-Month USD-LIBOR + 0.475)% due 9/30/26 | | | | | 39,759 | | |
| | | 20,000 | | | | Ziggo Financing Partnership, 2.662% (1-Month USD-LIBOR + 0.250)% due 4/30/28 | | | | | 19,313 | | |
| | | | | | | TOTAL SENIOR LOANS (Cost – $40,492,119) | | | | | 39,879,733 | | |
| SOVEREIGN BONDS – 1.1% | | ||||||||||||
| Canada – 0.2% | | ||||||||||||
| | | 500,000 | | | | Canada Government International Bond, 1.625% due 1/22/25 | | | | | 527,524 | | |
| | | 250,000 | | | | Export Development Canada, 1.750% due 7/18/22 | | | | | 256,912 | | |
| | | 500,000 | | | | Province of Alberta Canada, 3.350% due 11/1/23 | | | | | 544,235 | | |
| | | 1,000,000 | | | | Province of Ontario Canada, 2.400% due 2/8/22 | | | | | 1,029,660 | | |
| | | | | | | Province of Quebec Canada: | | | |||||
| | | 750,000 | | | | 2.375% due 1/31/22 | | | | | 771,626 | | |
| | | 400,000 | | | | 1.350% due 5/28/30 | | | | | 412,001 | | |
| | | | | | | Total Canada | | | | | 3,541,958 | | |
| Chile – 0.0% | | ||||||||||||
| | | 200,000 | | | | Chile Government International Bond, 3.860% due 6/21/47 | | | | | 246,200 | | |
| Colombia – 0.1% | | ||||||||||||
| | | | | | | Colombia Government International Bond: | | | |||||
| | | 400,000 | | | | 3.875% due 4/25/27 | | | | | 434,400 | | |
| | | 200,000 | | | | 3.000% due 1/30/30 | | | | | 205,000 | | |
| | | 100,000 | | | | 6.125% due 1/18/41 | | | | | 130,250 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SOVEREIGN BONDS – (continued) | | ||||||||||||
| Colombia – (continued) | | ||||||||||||
| | $ | 250,000 | | | | 5.625% due 2/26/44 | | | | $ | 316,250 | | |
| | | | | | | Total Colombia | | | | | 1,085,900 | | |
| Indonesia – 0.1% | | ||||||||||||
| | | | | | | Indonesia Government International Bond: | | | |||||
| | | 500,000 | | | | 3.375% due 4/15/23 | | | | | 527,010 | | |
| | | 200,000 | | | | 3.850% due 10/15/30 | | | | | 229,178 | | |
| | | 200,000 | | | | 5.350% due 2/11/49 | | | | | 269,300 | | |
| | | 1,300,000 | | | | Perusahaan Penerbit SBSN Indonesia III, 3.750% due 3/1/23 | | | | | 1,376,843 | | |
| | | | | | | Total Indonesia | | | | | 2,402,331 | | |
| Israel – 0.0% | | ||||||||||||
| | | 200,000 | | | | Israel Government International Bond, 3.875% due 7/3/50 | | | | | 238,452 | | |
| | | 200,000 | | | | State of Israel, 2.500% due 1/15/30 | | | | | 215,569 | | |
| | | | | | | Total Israel | | | | | 454,021 | | |
| Italy – 0.0% | | ||||||||||||
| | | | | | | Republic of Italy Government International Bond: | | | |||||
| | | 200,000 | | | | 2.875% due 10/17/29 | | | | | 204,933 | | |
| | | 100,000 | | | | 5.375% due 6/15/33 | | | | | 125,340 | | |
| | | | | | | Total Italy | | | | | 330,273 | | |
| Japan – 0.0% | | ||||||||||||
| | | | | | | Japan Bank for International Cooperation: | | | |||||
| | | 200,000 | | | | 2.500% due 5/23/24 | | | | | 214,744 | | |
| | | 250,000 | | | | 2.875% due 6/1/27 | | | | | 283,386 | | |
| | | 250,000 | | | | 2.750% due 11/16/27 | | | | | 282,810 | | |
| | | 200,000 | | | | 2.000% due 10/17/29 | | | | | 216,890 | | |
| | | | | | | Total Japan | | | | | 997,830 | | |
| Mexico – 0.1% | | ||||||||||||
| | | | | | | Mexico Government International Bond: | | | |||||
| | | 350,000 | | | | 3.750% due 1/11/28 | | | | | 377,881 | | |
| | | 200,000 | | | | 4.500% due 4/22/29 | | | | | 225,100 | | |
| | | 200,000 | | | | 3.250% due 4/16/30 | | | | | 206,500 | | |
| | | 200,000 | | | | 4.750% due 4/27/32 | | | | | 228,900 | | |
| | | 750,000 | | | | 4.600% due 1/23/46 | | | | | 821,257 | | |
| | | | | | | Total Mexico | | | | | 1,859,638 | | |
| Panama – 0.1% | | ||||||||||||
| | | | | | | Panama Government International Bond: | | | |||||
| | | 500,000 | | | | 4.000% due 9/22/24 | | | | | 548,755 | | |
| | | 200,000 | | | | 3.750% due 3/16/25 | | | | | 219,202 | | |
| | | 200,000 | | | | 3.875% due 3/17/28 | | | | | 227,502 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SOVEREIGN BONDS – (continued) | | ||||||||||||
| Panama – (continued) | | ||||||||||||
| | $ | 200,000 | | | | 3.160% due 1/23/30 | | | | $ | 217,750 | | |
| | | 250,000 | | | | 4.500% due 5/15/47 | | | | | 321,000 | | |
| | | | | | | Total Panama | | | | | 1,534,209 | | |
| Peru – 0.1% | | ||||||||||||
| | | | | | | Peruvian Government International Bond: | | | |||||
| | | 350,000 | | | | 2.392% due 1/23/26 | | | | | 367,850 | | |
| | | 250,000 | | | | 2.844% due 6/20/30 | | | | | 274,000 | | |
| | | 1,000,000 | | | | 2.783% due 1/23/31 | | | | | 1,087,500 | | |
| | | 100,000 | | | | 5.625% due 11/18/50 | | | | | 164,450 | | |
| | | | | | | Total Peru | | | | | 1,893,800 | | |
| Philippines – 0.1% | | ||||||||||||
| | | | | | | Philippine Government International Bond: | | | |||||
| | | 200,000 | | | | 4.200% due 1/21/24 | | | | | 221,454 | | |
| | | 400,000 | | | | 2.457% due 5/5/30 | | | | | 427,008 | | |
| | | 500,000 | | | | 3.950% due 1/20/40 | | | | | 589,130 | | |
| | | 200,000 | | | | 2.950% due 5/5/45 | | | | | 211,604 | | |
| | | | | | | Total Philippines | | | | | 1,449,196 | | |
| Poland – 0.0% | | ||||||||||||
| | | 500,000 | | | | Republic of Poland Government International Bond, 4.000% due 1/22/24 | | | | | 557,461 | | |
| Qatar – 0.1% | | ||||||||||||
| | | | | | | Qatar Government International Bond: | | | |||||
| | | 400,000 | | | | 3.875% due 4/23/23 | | | | | 429,854 | | |
| | | 800,000 | | | | 3.375% due 3/14/24 | | | | | 862,320 | | |
| | | | | | | Total Qatar | | | | | 1,292,174 | | |
| Saudi Arabia – 0.1% | | ||||||||||||
| | | | | | | Saudi Government International Bond: | | | |||||
| | | 900,000 | | | | 2.375% due 10/26/21 | | | | | 914,076 | | |
| | | 400,000 | | | | 2.875% due 3/4/23 | | | | | 416,560 | | |
| | | 800,000 | | | | 2.900% due 10/22/25(c) | | | | | 848,032 | | |
| | | | | | | Total Saudi Arabia | | | | | 2,178,668 | | |
| South Korea – 0.0% | | ||||||||||||
| | | 250,000 | | | | Export-Import Bank of Korea, 2.625% due 5/26/26 | | | | | 273,110 | | |
| | | 400,000 | | | | Korea Electric Power Corp., 1.125% due 6/15/25(c) | | | | | 402,004 | | |
| | | 200,000 | | | | Korea International Bond, 2.500% due 6/19/29 | | | | | 220,887 | | |
| | | | | | | Total South Korea | | | | | 896,001 | | |
| Supranational – 0.1% | | ||||||||||||
| | | | | | | International Bank for Reconstruction & Development: | | | |||||
| | | 1,000,000 | | | | 1.375% due 9/20/21 | | | | | 1,011,640 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SOVEREIGN BONDS – (continued) | | ||||||||||||
| Supranational – (continued) | | ||||||||||||
| | $ | 500,000 | | | | 2.500% due 3/19/24 | | | | $ | 538,055 | | |
| | | 500,000 | | | | 0.625% due 4/22/25 | | | | | 505,202 | | |
| | | 250,000 | | | | 1.875% due 10/27/26 | | | | | 270,762 | | |
| | | 250,000 | | | | 2.500% due 11/22/27 | | | | | 282,229 | | |
| | | | | | | Total Supranational | | | | | 2,607,888 | | |
| Thailand – 0.0% | | ||||||||||||
| | | 500,000 | | | | Export Import Bank of Thailand, 1.106% due 5/23/24(b) | | | | | 494,895 | | |
| United Arab Emirates – 0.0% | | ||||||||||||
| | | | | | | Abu Dhabi Government International Bond: | | ||||||
| | | 200,000 | | | | 0.750% due 9/2/23(c)(h) | | | | | 200,110 | | |
| | | 300,000 | | | | 2.500% due 4/16/25(c) | | | | | 317,985 | | |
| | | 300,000 | | | | 3.125% due 4/16/30(c) | | | | | 335,689 | | |
| | | | | | | Total United Arab Emirates | | | | | 853,784 | | |
| Uruguay – 0.0% | | ||||||||||||
| | | | | | | Uruguay Government International Bond: | | ||||||
| | | 250,000 | | | | 4.375% due 1/23/31 | | | | | 299,377 | | |
| | | 250,000 | | | | 4.125% due 11/20/45 | | | | | 302,500 | | |
�� | | | | | | | Total Uruguay | | | | | 601,877 | | |
| | | | | | | TOTAL SOVEREIGN BONDS (Cost – $23,848,618) | | | | | 25,278,104 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – 0.2% | | |||||||||||||||
| California – 0.1% | | | ||||||||||||||
| | $ | 125,000 | | | | AA | | | Bay Area Toll Authority, Revenue Bonds, Series F2, 6.263% due 4/1/49 | | | | $ | 226,975 | | |
| | | 100,000 | | | | AA+ | | | Los Angeles Community College District, GO, Series E, 6.750% due 8/1/49 | | | | | 183,669 | | |
| | | 150,000 | | | | AA+ | | | Los Angeles Department of Water & Power Power System Revenue, Revenue Bonds, Series B, 6.603% due 7/1/50 | | | | | 271,851 | | |
| | | 150,000 | | | | A+ | | | Los Angeles Unified School District, GO, Series RY, 6.758% due 7/1/34 | | | | | 224,517 | | |
| | | | | | | | | | State of California, GO: | | | | | | | |
| | | 25,000 | | | | AA- | | | 3.500% due 4/1/28 | | | | | 29,038 | | |
| | | 40,000 | | | | AA- | | | 4.600% due 4/1/38 | | | | | 48,324 | | |
| | | 100,000 | | | | AA- | | | 7.500% due 4/1/34 | | | | | 167,160 | | |
| | | 200,000 | | | | AA- | | | 7.550% due 4/1/39 | | | | | 353,480 | | |
| | | 125,000 | | | | AA- | | | 7.600% due 11/1/40 | | | | | 228,354 | | |
| | | | | | | | | | University of California, Revenue Bonds: | | | | | | | |
| | | 100,000 | | | | AA | | | Series AJ, 4.601% due 5/15/31 | | | | | 122,525 | | |
| | | 25,000 | | | | AA | | | Series AX, 3.063% due 7/1/25 | | | | | 27,747 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| California – (continued) | | | ||||||||||||||
| | $ | 75,000 | | | | AA | | | Series R, 5.770% due 5/15/43 | | | | $ | 110,529 | | |
| | | | | | | | | | Total California | | | | | 1,994,169 | | |
| Florida – 0.0% | | |||||||||||||||
| | | 20,000 | | | | A | | | County of Miami-Dade FL Aviation Revenue, Revenue Bonds, Series C, 4.280% due 10/1/41 | | | | | 21,696 | | |
| Georgia – 0.0% | | |||||||||||||||
| | | 100,000 | | | | A | | | Municipal Electric Authority of Georgia, Revenue Bonds, 6.637% due 4/1/57 | | | | | 147,575 | | |
| Illinois – 0.0% | | |||||||||||||||
| | | 20,000 | | | | A | | | Chicago O’Hare International Airport, Revenue Bonds, Series C, 4.472% due 1/1/49 | | | | | 26,578 | | |
| | | | | | | | | | State of Illinois, GO: | | | | | | | |
| | | 250,000 | | | | BBB- | | | 5.100% due 6/1/33 | | | | | 255,895 | | |
| | | 100,000 | | | | BBB- | | | Series 3, 6.725% due 4/1/35 | | | | | 112,108 | | |
| | | | | | | | | | Total Illinois | | | | | 394,581 | | |
| Massachusetts – 0.0% | | |||||||||||||||
| | | 100,000 | | | | AA | | | Commonwealth of Massachusetts, GO, Series E, 5.456% due 12/1/39 | | | | | 142,970 | | |
| | | 100,000 | | | | AA+ | | | Commonwealth of Massachusetts Transportation Fund Revenue, Revenue Bonds, 5.731% due 6/1/40 | | | | | 144,248 | | |
| | | | | | | | | | Total Massachusetts | | | | | 287,218 | | |
| Missouri – 0.0% | | |||||||||||||||
| | | 100,000 | | | | AA+ | | | Health & Educational Facilities Authority of the State of Missouri, Revenue Bonds, 3.652% due 8/15/57 | | | | | 123,125 | | |
| Nevada – 0.0% | | |||||||||||||||
| | | 100,000 | | | | AA- | | | County of Clark Department of Aviation, Revenue Bonds, Series C, 6.820% due 7/1/45 | | | | | 163,873 | | |
| New Jersey – 0.0% | | |||||||||||||||
| | | | | | | | | | New Jersey Turnpike Authority, Revenue Bonds: | | | |||||
| | | 100,000 | | | | A+ | | | 7.102% due 1/1/41 | | | | | 168,654 | | |
| | | 100,000 | | | | A+ | | | Series F, 7.414% due 1/1/40 | | | | | 173,130 | | |
| | | | | | | | | | Total New Jersey | | | | | 341,784 | | |
| New York – 0.1% | | |||||||||||||||
| | | 100,000 | | | | AA | | | City of New York NY, GO, 5.517% due 10/1/37 | | | | | 142,833 | | |
| | | 150,000 | | | | AA | | | Metropolitan Transportation Authority, Revenue Bonds, Series C, 7.336% due 11/15/39 | | | | | 242,646 | | |
| | | 125,000 | | | | AA+ | | | New York City Water & Sewer System, Revenue Bonds, Series AA, 5.440% due 6/15/43 | | | | | 195,506 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| New York – (continued) | | |||||||||||||||
| | $ | 100,000 | | | | Aa1(k) | | | New York State Dormitory Authority, Revenue Bonds, 3.110% due 2/15/39 | | | | $ | 110,805 | | |
| | | 200,000 | | | | A+ | | | Port Authority of New York & New Jersey, Revenue Bonds, 4.458% due 10/1/62 | | | | | 261,236 | | |
| | | | | | | | | | Total New York | | | | | 953,026 | | |
| Ohio – 0.0% | | |||||||||||||||
| | | 100,000 | | | | A | | | American Municipal Power Inc., Revenue Bonds, Series B, 8.084% due 2/15/50 | | | | | 188,804 | | |
| | | 100,000 | | | | AA | | | Ohio State University, Revenue Bonds, 3.798% due 12/1/46 | | | | | 126,679 | | |
| | | | | | | | | | Total Ohio | | | | | 315,483 | | |
| Texas – 0.0% | | |||||||||||||||
| | | 50,000 | | | | Aa1(k) | | | Grand Parkway Transportation Corp., Revenue Bonds, 3.236% due 10/1/52 | | | | | 52,561 | | |
| | | 75,000 | | | | AAA | | | State of Texas, GO, Series A, 5.517% due 4/1/39 | | | | | 113,262 | | |
| | | 95,000 | | | | Aaa(k) | | | Texas Transportation Commission, GO, 2.472% due 10/1/44 | | | | | 95,925 | | |
| | | | | | | | | | Total Texas | | | | | 261,748 | | |
| Wisconsin – 0.0% | | |||||||||||||||
| | | 10,000 | | | | AA- | | | State of Wisconsin, Revenue Bonds, Series C, 3.154% due 5/1/27 | | | | | 11,271 | | |
| | | | | | | | | | TOTAL MUNICIPAL BONDS (Cost – $4,212,018) | | | | | 5,015,549 | | |
| Shares/Units | | | | | | Security | | | Value | | ||||||
| OPEN-END FUND – 1.1% | | |||||||||||||||
| | | 138,280 | | | | | | | iShares 20+ Year Treasury Bond (Cost – $22,056,877) | | | | | 22,427,633 | | |
| COMMON STOCKS – 0.0% | | |||||||||||||||
| DIVERSIFIED – 0.0% | | |||||||||||||||
| SPACs – 0.0% | | |||||||||||||||
| | | 1,640 | | | | | | | Foresight Energy LLC/Foresight Energy Finance Corp.(h)(j) | | | | | 27,078 | | |
| ENERGY – 0.0% | | |||||||||||||||
| Oil & Gas – 0.0% | | |||||||||||||||
| | | 1,842 | | | | | | | Tapstone Energy LLC/Tapstone Energy Finance Corp.(h)(j) | | | | | 4,163 | | |
| Shares/Units | | | | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | |||||||||||||||
| ENERGY – (continued) | | |||||||||||||||
| Oil & Gas Services – 0.0% | | |||||||||||||||
| | | 659 | | | | | | | Weatherford International PLC* | | | | $ | 1,997 | | |
| | | | | | | | | | TOTAL ENERGY | | | | | 6,160 | | |
| INDUSTRIAL – 0.0% | | |||||||||||||||
| Engineering & Construction – 0.0% | | |||||||||||||||
| | | 3,092 | | | | | | | Mcdermott International Ltd.* | | | | | 9,121 | | |
| | | | | | | | | | TOTAL COMMON STOCKS (Cost – $58,726) | | | | | 42,359 | | |
| | | | | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $1,917,199,537) | | | | | 1,991,202,281 | | |
| Face Amount/Units | | | | | ||||||||||||
| SHORT-TERM INVESTMENTS – 8.7% | | |||||||||||||||
| TIME DEPOSITS – 4.9% | | |||||||||||||||
| | $ | 17,572,359 | | | | | | | Citibank – New York, 0.010% due 9/1/20 | | | | | 17,572,359 | | |
| | | 86,216,027 | | | | | | | JPMorgan Chase & Co. – New York, 0.010% due 9/1/20 | | | | | 86,216,027 | | |
| | | | | | | | | | TOTAL TIME DEPOSITS (Cost – $103,788,386) | | | | | 103,788,386 | | |
| U.S. GOVERNMENT OBLIGATIONS – 3.8% | | |||||||||||||||
| | | | | | | | | | U.S. Treasury Bills: | | | |||||
| | | 20,700,000 | | | | | | | 0.145% due 10/29/20(l) | | | | | 20,695,164 | | |
| | | 29,000,000 | | | | | | | 0.160% due 11/27/20(l) | | | | | 28,992,816 | | |
| | | 31,000,000 | | | | | | | 0.151% due 12/3/20(l) | | | | | 30,991,191 | | |
| | | | | | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost – $80,671,877) | | | | | 80,679,171 | | |
| | | | | | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost – $184,460,263) | | | | | 184,467,557 | | |
| | | | | | | | | | TOTAL INVESTMENTS – 102.5% (Cost – $2,101,659,800) | | | | | 2,175,669,838 | | |
| | | | | | | | | | Liabilities in Excess of Other Assets – (2.5)% | | | | | (53,158,889) | | |
| | | | | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 2,122,510,949 | | |
| U.S. Government Agencies & Obligations | | | | | 23.0% | | |
| Mortgage-Backed Securities | | | | | 19.5 | | |
| Corporate Bonds & Notes | | | | | 18.7 | | |
| Collateralized Mortgage Obligations | | | | | 18.3 | | |
| Asset-Backed Securities | | | | | 7.8 | | |
| Senior Loans | | | | | 1.8 | | |
| Sovereign Bonds | | | | | 1.2 | | |
| Open-End Fund | | | | | 1.0 | | |
| Municipal Bonds | | | | | 0.2 | | |
| Common Stocks | | | | | 0.0* | | |
| Short-Term Investments | | | | | 8.5 | | |
| | | | | | 100.0% | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – 50.2% | | ||||||||||||
| Basic Materials – 1.5% | | ||||||||||||
| | $ | 4,613,000 | | | | Alcoa Nederland Holding BV, Company Guaranteed Notes, 6.750% due 9/30/24(a) | | | | $ | 4,771,595 | | |
| | | 200,000 | | | | CNAC HK Finbridge Co., Ltd., Company Guaranteed Notes, 3.500% due 7/19/22 | | | | | 207,078 | | |
| | | 40,000 | | | | DuPont de Nemours Inc., Senior Unsecured Notes, 3.766% due 11/15/20 | | | | | 40,280 | | |
| | | 200,000 | | | | LG Chem Ltd., Senior Unsecured Notes, 3.250% due 10/15/24 | | | | | 215,338 | | |
| | | 200,000 | | | | MEGlobal Canada ULC, Company Guaranteed Notes, 5.000% due 5/18/25(a) | | | | | 218,500 | | |
| | | 20,000 | | | | Nutrien Ltd., Senior Unsecured Notes, 1.900% due 5/13/23 | | | | | 20,711 | | |
| | | 200,000 | | | | POSCO, Senior Unsecured Notes, 2.375% due 11/12/22 | | | | | 204,998 | | |
| | | | | | | Total Basic Materials | | | | | 5,678,500 | | |
| Communications – 11.3% | | ||||||||||||
| | | 105,000 | | | | AT&T Inc., Senior Unsecured Notes, 4.450% due 4/1/24 | | | | | 117,909 | | |
| | | 200,000 | | | | Axiata SPV2 Bhd, Senior Unsecured Notes, 3.466% due 11/19/20 | | | | | 200,818 | | |
| | | 200,000 | | | | Baidu Inc., Senior Unsecured Notes, 3.075% due 4/7/25 | | | | | 213,924 | | |
| | | 2,613,000EUR | | | | Catena Media PLC, Company Guaranteed Notes, 5.500% (3-Month EURIBOR + 5.500)% due 3/2/22(b) | | | | | 3,098,864 | | |
| | | 1,022,000EUR | | | | CentralNic Group PLC, Senior Secured Notes, 7.000% (3-Month EURIBOR + 7.000)% due 7/3/23(b) | | | | | 1,250,146 | | |
| | | 4,297,000 | | | | CenturyLink Inc., Senior Unsecured Notes, 6.450% due 6/15/21 | | | | | 4,443,657 | | |
| | | 967,000 | | | | Cogent Communications Group Inc., Senior Secured Notes, 5.375% due 3/1/22(a) | | | | | 996,010 | | |
| | | 4,246,000 | | | | DISH DBS Corp., Company Guaranteed Notes, 6.750% due 6/1/21 | | | | | 4,352,150 | | |
| | | 115,000 | | | | eBay Inc., Senior Unsecured Notes, 2.750% due 1/30/23 | | | | | 120,748 | | |
| | | 3,990,000 | | | | HC2 Holdings Inc., Senior Secured Notes, 11.500% due 12/1/21(a) | | | | | 3,720,675 | | |
| | | 200,000 | | | | JD.com Inc., Senior Unsecured Notes, 3.125% due 4/29/21 | | | | | 202,261 | | |
| | | 2,813,000 | | | | Level 3 Financing Inc., Company Guaranteed Notes, 5.125% due 5/1/23 | | | | | 2,813,000 | | |
| | | 6,468,000EUR | | | | Linkem SpA, Senior Secured Notes, 7.000% (3-Month EURIBOR + 7.000)% due 8/9/22(a)(b) | | | | | 7,603,359 | | |
| | | 1,395,000 | | | | Netflix Inc., Senior Unsecured Notes, 5.375% due 2/1/21 | | | | | 1,421,156 | | |
| | | 1,238,000 | | | | NortonLifeLock Inc., Senior Unsecured Notes, 4.200% due 9/15/20 | | | | | 1,238,371 | | |
| | | 115,000 | | | | Omnicom Group Inc./Omnicom Capital Inc., Senior Unsecured Notes, 3.625% due 5/1/22 | | | | | 120,797 | | |
| | | 200,000 | | | | SingTel Group Treasury Pte Ltd., Company Guaranteed Notes, 3.250% due 6/30/25 | | | | | 219,904 | | |
| | | 2,102,000 | | | | Sirius XM Radio Inc., Company Guaranteed Notes, 3.875% due 8/1/22(a) | | | | | 2,120,392 | | |
| | | 4,249,000 | | | | TEGNA Inc., Company Guaranteed Notes, 4.875% due 9/15/21(a) | | | | | 4,249,000 | | |
| | | 200,000 | | | | Telefonica Chile SA, Senior Unsecured Notes, 3.875% due 10/12/22 | | | | | 208,880 | | |
| | | 200,000 | | | | Tencent Holdings Ltd., Senior Unsecured Notes, 1.810% due 1/26/26(a) | | | | | 204,418 | | |
| | | 1,810,000 | | | | T-Mobile USA Inc., Company Guaranteed Notes, 6.000% due 3/1/23 | | | | | 1,812,263 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Communications – (continued) | | ||||||||||||
| | $ | 1,581,000 | | | | VeriSign Inc., Senior Unsecured Notes, 4.625% due 5/1/23 | | | | $ | 1,598,786 | | |
| | | 110,000 | | | | Verizon Communications Inc., Senior Unsecured Notes, 1.380% (3-Month USD-LIBOR + 1.100)% due 5/15/25(b) | | | | | 112,409 | | |
| | | | | | | Total Communications | | | | | 42,439,897 | | |
| Consumer Cyclical – 5.4% | | ||||||||||||
| | | 175,000 | | | | Daimler Finance North America LLC, Company Guaranteed Notes, 2.300% due 2/12/21(a) | | | | | 176,289 | | |
| | | 2,002,000 | | | | Delta Air Lines Inc., Senior Unsecured Notes, 3.400% due 4/19/21 | | | | | 2,006,662 | | |
| | | | | | | Dollar Tree Inc., Senior Unsecured Notes: | | | | | | | |
| | | 75,000 | | | | 3.700% due 5/15/23 | | | | | 80,829 | | |
| | | 35,000 | | | | 4.000% due 5/15/25 | | | | | 39,668 | | |
| | | 1,700,000EUR | | | | European Lingerie Group AB, Senior Secured Notes, 7.750% (3-Month EURIBOR + 7.750)% due 2/22/21(b)(c) | | | | | 1,379,570 | | |
| | | 2,554,000 | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes, 1.227% (3-Month USD-LIBOR + 0.930)% due 9/24/20(b) | | | | | 2,552,627 | | |
| | | 7,000,000SEK | | | | Gaming Innovation Group PLC, Senior Secured Notes, 9.098% (3-Month STIBOR + 9.000)% due 6/28/22(b) | | | | | 742,511 | | |
| | | 7,212,720 | | | | Hawaiian Airlines 2013-1 Class B Pass-Through Certificates, 4.950% due 1/15/22 | | | | | 6,545,775 | | |
| | | 663,000 | | | | Hawaiian Airlines 2020-1 Class B Pass-Through Certificates, 11.250% due 9/15/25(a) | | | | | 667,155 | | |
| | | 4,576,000 | | | | Hercules Achievement, Inc./Varsity Brands Holding Co., Inc., Senior Secured Notes, 9.000% (3-Month USD-LIBOR + 8.000)% due 12/22/24(a)(b) | | | | | 4,072,640 | | |
| | | 115,000 | | | | Hyundai Capital America, Senior Unsecured Notes, 2.850% due 11/1/22(a) | | | | | 119,063 | | |
| | | 1,698,000 | | | | Macy’s Retail Holdings LLC, Company Guaranteed Notes, 2.875% due 2/15/23 | | | | | 1,405,095 | | |
| | | 90,000 | | | | McDonald’s Corp., Senior Unsecured Notes, 2.625% due 1/15/22 | | | | | 92,869 | | |
| | | 400,000EUR | | | | SB Holdco PLC, Secured Notes, 8.000% (3-Month EURIBOR + 8.000)% due 7/13/22(b) | | | | | 464,233 | | |
| | | 55,000 | | | | Target Corp., Senior Unsecured Notes, 2.900% due 1/15/22 | | | | | 56,978 | | |
| | | | | | | Total Consumer Cyclical | | | | | 20,401,964 | | |
| Consumer Non-cyclical – 3.8% | | ||||||||||||
| | | 105,000 | | | | AbbVie Inc., Senior Unsecured Notes, 2.300% due 11/21/22(a) | | | | | 109,114 | | |
| | | | | | | Anthem Inc., Senior Unsecured Notes: | | | | | | | |
| | | 100,000 | | | | 2.500% due 11/21/20 | | | | | 100,490 | | |
| | | 10,000 | | | | 3.300% due 1/15/23 | | | | | 10,650 | | |
| | | 5,297,000 | | | | APX Group Inc., Senior Secured Notes, 7.875% due 12/1/22 | | | | | 5,355,002 | | |
| | | 115,000 | | | | AstraZeneca PLC, Senior Unsecured Notes, 2.375% due 11/16/20 | | | | | 115,501 | | |
| | | 70,000 | | | | BAT Capital Corp., Company Guaranteed Notes, 2.764% due 8/15/22 | | | | | 72,796 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 115,000 | | | | Bristol-Myers Squibb Co., Senior Unsecured Notes, 2.600% due 5/16/22 | | | | $ | 119,533 | | |
| | | 110,000 | | | | Cardinal Health Inc., Senior Unsecured Notes, 2.616% due 6/15/22 | | | | | 113,717 | | |
| | | 110,000 | | | | Cigna Corp., Company Guaranteed Notes, 3.400% due 9/17/21 | | | | | 113,435 | | |
| | | 115,000 | | | | Cintas Corp. No 2, Company Guaranteed Notes, 2.900% due 4/1/22 | | | | | 119,252 | | |
| | | 2,649,000 | | | | Cott Holdings Inc., Company Guaranteed Notes, 5.500% due 4/1/25(a) | | | | | 2,738,404 | | |
| | | 46,000 | | | | CVS Health Corp., Senior Unsecured Notes, 3.700% due 3/9/23 | | | | | 49,515 | | |
| | | 280,574 | | | | ENA Norte Trust, Pass-Thru Certificates, 4.950% due 4/25/23 | | | | | 281,278 | | |
| | | 200,000 | | | | HPHT Finance 19 Ltd., Company Guaranteed Notes, 2.875% due 11/5/24 | | | | | 207,296 | | |
| | | 2,122,000 | | | | Ingles Markets Inc., Senior Unsecured Notes, 5.750% due 6/15/23 | | | | | 2,153,830 | | |
| | | | | | | Mondelez International Inc., Senior Unsecured Notes: | | | | | | | |
| | | 45,000 | | | | 0.625% due 7/1/22 | | | | | 45,205 | | |
| | | 70,000 | | | | 3.625% due 5/7/23 | | | | | 75,377 | | |
| | | 1,896,000 | | | | Nielsen Co. Luxembourg SARL, Company Guaranteed Notes, 5.500% due 10/1/21(a) | | | | | 1,898,370 | | |
| | | | | | | PayPal Holdings Inc., Senior Unsecured Notes: | | | | | | | |
| | | 95,000 | | | | 2.200% due 9/26/22 | | | | | 98,507 | | |
| | | 15,000 | | | | 1.350% due 6/1/23 | | | | | 15,348 | | |
| | | 85,000 | | | | PepsiCo Inc., Senior Unsecured Notes, 0.750% due 5/1/23 | | | | | 86,059 | | |
| | | 200,000 | | | | PSA Treasury Pte Ltd., Company Guaranteed Notes, 2.500% due 4/12/26 | | | | | 213,678 | | |
| | | 35,000 | | | | Reynolds American Inc., Company Guaranteed Notes, 4.000% due 6/12/22 | | | | | 37,086 | | |
| | | 110,000 | | | | Royalty Pharma PLC, Senior Unsecured Notes, 0.750% due 9/2/23(a) | | | | | 109,923 | | |
| | | 35,000 | | | | Upjohn Inc., Company Guaranteed Notes, 1.125% due 6/22/22(a) | | | | | 35,315 | | |
| | | | | | | Total Consumer Non-cyclical | | | | | 14,274,681 | | |
| Energy – 4.1% | | ||||||||||||
| | | 6,236,000 | | | | CITGO Petroleum Corp., Senior Secured Notes, 6.250% due 8/15/22(a) | | | | | 6,220,410 | | |
| | | 200,000 | | | | CNOOC Finance 2012 Ltd., Company Guaranteed Notes, 3.875% due 5/2/22 | | | | | 209,359 | | |
| | | 200,000 | | | | CNPC HK Overseas Capital Ltd., Company Guaranteed Notes, 4.500% due 4/28/21 | | | | | 204,398 | | |
| | | 1,173,000 | | | | CNX Resources Corp., Company Guaranteed Notes, 5.875% due 4/15/22 | | | | | 1,177,927 | | |
| | | 39,699 | | | | Delek & Avner Tamar Bond Ltd., Senior Secured Notes, 4.435% due 12/30/20(a) | | | | | 39,656 | | |
| | | 85,000 | | | | Exxon Mobil Corp., Senior Unsecured Notes, 1.571% due 4/15/23 | | | | | 87,644 | | |
| | | | | | | Martin Midstream Partners LP/Martin Midstream Finance Corp.: | | | | | | | |
| | | 789,000 | | | | Company Guaranteed Notes, 7.250% due 2/15/21 | | | | | 741,660 | | |
| | | 906,875 | | | | Senior Secured Notes, 10.000% due 2/29/24(a) | | | | | 941,790 | | |
| | | 200,000 | | | | ONGC Videsh Vankorneft Pte Ltd., Company Guaranteed Notes, 2.875% due 1/27/22 | | | | | 202,044 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | $ | 3,156,000 | | | | PBF Logistics LP/PBF Logistics Finance Corp., Company Guaranteed Notes, 6.875% due 5/15/23 | | | | $ | 3,130,405 | | |
| | | 200,000 | | | | Petronas Capital Ltd., Company Guaranteed Notes, 3.125% due 3/18/22 | | | | | 206,052 | | |
| | | 250,000 | | | | Reliance Industries Ltd., Senior Unsecured Notes, 5.400% due 2/14/22 | | | | | 264,388 | | |
| | | 200,000 | | | | Saudi Arabian Oil Co., Senior Unsecured Notes, 2.750% due 4/16/22 | | | | | 205,311 | | |
| | | 80,000 | | | | Schlumberger Holdings Corp., Senior Unsecured Notes, 3.750% due 5/1/24(a) | | | | | 87,081 | | |
| | | | | | | SESI LLC, Company Guaranteed Notes: | | | | | | | |
| | | 3,961,000 | | | | 7.125% due 12/15/21(a) | | | | | 1,465,570 | | |
| | | 640,000 | | | | 7.125% due 12/15/21 | | | | | 179,200 | | |
| | | | | | | Total Energy | | | | | 15,362,895 | | |
| Financial – 6.2% | | ||||||||||||
| | | 115,000 | | | | American Express Co., Senior Unsecured Notes, 3.700% due 11/5/21 | | | | | 119,250 | | |
| | | 60,000 | | | | Avolon Holdings Funding Ltd., Company Guaranteed Notes, 3.625% due 5/1/22(a) | | | | | 58,071 | | |
| | | 150,000 | | | | Banco de Reservas de la Republica Dominicana, Subordinated Notes, 7.000% due 2/1/23 | | | | | 151,688 | | |
| | | 200,000 | | | | Banco do Brasil SA, Junior Subordinated Notes, 8.500% (5-Year CMT Index + 7.782)% (b)(d) | | | | | 201,000 | | |
| | | 200,000 | | | | Bangkok Bank PCL, Senior Unsecured Notes, 4.800% due 10/18/20 | | | | | 200,880 | | |
| | | 120,000 | | | | Bank of America Corp., Senior Unsecured Notes, 1.117% (3-Month USD-LIBOR + 0.790)% due 3/5/24(b) | | | | | 120,818 | | |
| | | | | | | Capital One Financial Corp., Senior Unsecured Notes: | | | | | | | |
| | | 95,000 | | | | 2.400% due 10/30/20 | | | | | 95,154 | | |
| | | 20,000 | | | | 3.200% due 1/30/23 | | | | | 21,142 | | |
| | | 180,000 | | | | Citigroup Inc., Senior Unsecured Notes, 1.269% (3-Month USD-LIBOR + 1.023)% due 6/1/24(b) | | | | | 181,649 | | |
| | | 120,000 | | | | Crown Castle International Corp., Senior Unsecured Notes, 1.350% due 7/15/25 | | | | | 121,938 | | |
| | | 3,476,000 | | | | CTO Realty Growth Inc., Senior Unsecured Notes, 3.875% due 4/15/25(a) | | | | | 3,110,744 | | |
| | | 200,000 | | | | Global Bank Corp., Senior Unsecured Notes, 4.500% due 10/20/21 | | | | | 205,230 | | |
| | | 200,000 | | | | Grupo de Inversiones Suramericana SA, Senior Unsecured Notes, 5.700% due 5/18/21 | | | | | 206,500 | | |
| | | 2,875,000 | | | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., Company Guaranteed Notes, 6.250% due 2/1/22 | | | | | 2,907,344 | | |
| | | 100,000 | | | | Industrial Senior Trust, Company Guaranteed Notes, 5.500% due 11/1/22 | | | | | 103,751 | | |
| | | 47,494 | | | | Interoceanica IV Finance Ltd., Senior Secured Notes, zero coupon, due 11/30/25 | | | | | 43,770 | | |
| | | 120,000 | | | | JPMorgan Chase & Co., Senior Unsecured Notes, 3.207% (3-Month USD-LIBOR + 0.695)% due 4/1/23(b) | | | | | 125,146 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 90,000 | | | | Macquarie Bank Ltd., Senior Unsecured Notes, 2.100% due 10/17/22(a) | | | | $ | 93,137 | | |
| | | 200,000 | | | | Malayan Banking Bhd, Subordinated Notes, 3.905% (5-Year USD Swap Rate + 2.542)% due 10/29/26(b) | | | | | 204,150 | | |
| | | 115,000 | | | | Marsh & McLennan Cos., Inc., Senior Unsecured Notes, 1.506% (3-Month USD-LIBOR + 1.200)% due 12/29/21(b) | | | | | 115,089 | | |
| | | 115,000 | | | | Morgan Stanley, Senior Unsecured Notes, 1.188% (3-Month USD-LIBOR + 0.930)% due 7/22/22(b) | | | | | 115,745 | | |
| | | 200,000 | | | | NongHyup Bank, Senior Unsecured Notes, 1.250% due 7/20/25(a) | | | | | 200,927 | | |
| | | 162,358 | | | | Peru Enhanced Pass-Through Finance Ltd., Pass-Thru Certificates, zero coupon, due 6/2/25 | | | | | 151,804 | | |
| | | 85,000 | | | | Prudential Financial Inc., Senior Unsecured Notes, 3.500% due 5/15/24 | | | | | 94,479 | | |
| | | 3,306,000 | | | | SBA Communications Corp., Senior Unsecured Notes, 4.000% due 10/1/22 | | | | | 3,328,216 | | |
| | | 85,000 | | | | Simon Property Group LP, Senior Unsecured Notes, 2.000% due 9/13/24 | | | | | 87,945 | | |
| | | 16,250,000SEK | | | | Stockwik Förvaltning AB, Senior Secured Notes, 0.000% (3-Month STIBOR + 7.000)% due 9/3/23(b)(e)(f) | | | | | 1,906,858 | | |
| | | 4,770,000 | | | | StoneX Group Inc., Senior Secured Notes, 8.625% due 6/15/25(a) | | | | | 5,163,525 | | |
| | | 120,000 | | | | Sumitomo Mitsui Financial Group Inc., Senior Unsecured Notes, 2.058% due 7/14/21 | | | | | 121,729 | | |
| | | 250,000 | | | | Temasek Financial I Ltd., Company Guaranteed Notes, 2.375% due 1/23/23 | | | | | 261,266 | | |
| | | 110,000 | | | | Toronto-Dominion Bank, Senior Unsecured Notes, 0.558% (SOFR rate + 0.480)% due 1/27/23(b) | | | | | 110,242 | | |
| | | 55,000 | | | | Truist Financial Corp., Senior Unsecured Notes, 2.200% due 3/16/23 | | | | | 57,347 | | |
| | | 200,000 | | | | Unifin Financiera SAB de CV, Company Guaranteed Notes, 7.000% due 1/15/25 | | | | | 163,500 | | |
| | | 200,000 | | | | United Overseas Bank Ltd., Subordinated Notes, 3.500% (5-Year USD Swap Rate + 2.236)% due 9/16/26(b) | | | | | 204,148 | | |
| | | 2,069,000 | | | | VEREIT Inc., Senior Unsecured Notes, 3.750% due 12/15/20 | | | | | 2,069,163 | | |
| | | 5,040,000SEK | | | | VNV Global AB, Senior Secured Notes, 5.750% due 10/4/22 | | | | | 594,331 | | |
| | | 115,000 | | | | Wells Fargo & Co., Senior Unsecured Notes, 1.654% (SOFR rate + 1.600)% due 6/2/24(b) | | | | | 117,571 | | |
| | | 115,000 | | | | Welltower Inc., Senior Unsecured Notes, 3.625% due 3/15/24 | | | | | 124,331 | | |
| | | | | | | Total Financial | | | | | 23,259,578 | | |
| Industrial – 9.7% | | ||||||||||||
| | | 2,800,000 | | | | Altera Shuttle Tankers LLC, Senior Unsecured Notes, 7.125% due 8/15/22 | | | | | 2,856,000 | | |
| | | 3,888,000 | | | | ATS Automation Tooling Systems Inc., Company Guaranteed Notes, 6.500% due 6/15/23(a) | | | | | 3,932,557 | | |
| | | 1,677,000 | | | | Borealis Finance LLC, Senior Secured Notes, 7.500% due 11/16/23(a) | | | | | 1,341,600 | | |
| | | 195,000 | | | | Briggs & Stratton Corp., Senior Unsecured Notes, 6.875% due 12/15/20(c) | | | | | 12,675 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Industrial – (continued) | | ||||||||||||
| | $ | 13,300,000NOK | | | | Bulk Industrier AS, Senior Secured Notes, 6.570% (3-Month NOK-LIBOR + 6.250)% due 7/14/23(a)(b) | | | | $ | 1,536,904 | | |
| | | 120,000 | | | | Carrier Global Corp., Senior Unsecured Notes, 1.923% due 2/15/23(a) | | | | | 123,518 | | |
| | | 935,000 | | | | Dycom Industries Inc., Senior Unsecured Notes, 0.750% due 9/15/21 | | | | | 902,275 | | |
| | | 2,774,000 | | | | FXI Holdings Inc., Senior Secured Notes, 7.875% due 11/1/24(a) | | | | | 2,690,780 | | |
| | | 600,000 | | | | Golar LNG Partners LP, Senior Unsecured Notes, 6.506% (3-Month USD-LIBOR + 6.250)% due 11/22/21(b) | | | | | 522,000 | | |
| | | 5,443,000 | | | | Great Lakes Dredge & Dock Corp., Company Guaranteed Notes, 8.000% due 5/15/22 | | | | | 5,636,063 | | |
| | | 55,000 | | | | Honeywell International Inc., Senior Unsecured Notes, 0.483% due 8/19/22 | | | | | 55,124 | | |
| | | 1,030,000 | | | | Louisiana-Pacific Corp., Senior Unsecured Notes, 4.875% due 9/15/24 | | | | | 1,055,750 | | |
| | | 1,800,000 | | | | MPC Container Ships Invest BV, Senior Secured Notes, 5.056% (3-Month USD-LIBOR + 4.750)% due 9/22/22(b) | | | | | 1,444,500 | | |
| | | 25,000 | | | | Northrop Grumman Corp., Senior Unsecured Notes, 3.250% due 8/1/23 | | | | | 27,070 | | |
| | | 115,000 | | | | Penske Truck Leasing Co. LP/PTL Finance Corp., Senior Unsecured Notes, 2.700% due 11/1/24(a) | | | | | 121,665 | | |
| | | 115,000 | | | | Republic Services Inc., Senior Unsecured Notes, 2.500% due 8/15/24 | | | | | 122,829 | | |
| | | 2,199,000 | | | | SFL Corp., Ltd., Senior Unsecured Notes, 5.750% due 10/15/21 | | | | | 2,102,459 | | |
| | | 37,500,000NOK | | | | Stolt-Nielsen Ltd., Senior Unsecured Notes, 4.880% (3-Month NOK-LIBOR + 4.500)% due 6/29/23(a)(b) | | | | | 4,313,708 | | |
| | | | | | | Tecnoglass Inc., Company Guaranteed Notes: | | | | | | | |
| | | 200,000 | | | | 8.200% due 1/31/22 | | | | | 209,000 | | |
| | | 2,287,000 | | | | 8.200% due 1/31/22(a) | | | | | 2,389,915 | | |
| | | 115,000 | | | | Union Pacific Corp., Senior Unsecured Notes, 3.200% due 6/8/21 | | | | | 117,505 | | |
| | | 1,144,000 | | | | Welbilt Inc., Company Guaranteed Notes, 9.500% due 2/15/24 | | | | | 1,161,160 | | |
| | | 1,099,000 | | | | WESCO Distribution Inc., Company Guaranteed Notes, 5.375% due 12/15/21 | | | | | 1,106,385 | | |
| | | 2,855,000 | | | | XPO Logistics Inc., Company Guaranteed Notes, 6.500% due 6/15/22(a) | | | | | 2,863,779 | | |
| | | | | | | Total Industrial | | | | | 36,645,221 | | |
| Technology – 7.8% | | ||||||||||||
| | | 60,000 | | | | Analog Devices Inc., Senior Unsecured Notes, 2.950% due 1/12/21 | | | | | 60,577 | | |
| | | 1,087,000EUR | | | | Azerion Holding BV, Senior Secured Notes, 8.500% (3-Month EURIBOR + 8.500)% due 3/17/23(b) | | | | | 1,297,226 | | |
| | | | | | | Dell International LLC/EMC Corp.: | | | | | | | |
| | | 8,428,000 | | | | Company Guaranteed Notes, 5.875% due 6/15/21(a) | | | | | 8,441,148 | | |
| | | 1,244,000 | | | | Senior Secured Notes, 5.850% due 7/15/25(a) | | | | | 1,459,351 | | |
| | | 5,898,000 | | | | MagnaChip Semiconductor Corp., Senior Unsecured Notes, 6.625% due 7/15/21 | | | | | 5,898,000 | | |
| | | 110,000 | | | | Microchip Technology Inc., Senior Secured Notes, 3.922% due 6/1/21 | | | | | 112,495 | | |
| | | 35,000 | | | | Micron Technology Inc., Senior Unsecured Notes, 2.497% due 4/24/23 | | | | | 36,548 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Technology – (continued) | | ||||||||||||
| | $ | 5,032,000 | | | | NCR Corp., Company Guaranteed Notes, 5.000% due 7/15/22 | | | | $ | 5,023,295 | | |
| | | 35,000 | | | | Oracle Corp., Senior Unsecured Notes, 2.500% due 4/1/25 | | | | | 37,729 | | |
| | | | | | | Xerox Corp., Senior Unsecured Notes: | | | | | | | |
| | | 372,000 | | | | 2.750% due 9/1/20 | | | | | 372,000 | | |
| | | 6,504,000 | | | | 4.500% due 5/15/21 | | | | | 6,632,389 | | |
| | | | | | | Total Technology | | | | | 29,370,758 | | |
| Utilities – 0.4% | | ||||||||||||
| | | 200,000 | | | | AES Gener SA, Junior Subordinated Notes, 7.125% (5-Year USD Swap Rate + 4.644)% due 3/26/79(a)(b) | | | | | 213,538 | | |
| | | | | | | DTE Energy Co., Senior Unsecured Notes: | | | | | | | |
| | | 10,000 | | | | 2.250% due 11/1/22 | | | | | 10,355 | | |
| | | 50,000 | | | | 2.529% due 10/1/24 | | | | | 53,256 | | |
| | | 45,000 | | | | 1.050% due 6/1/25 | | | | | 45,225 | | |
| | | 156,500 | | | | Empresa Electrica Angamos SA, Senior Secured Notes, 4.875% due 5/25/29 | | | | | 165,190 | | |
| | | 200,000 | | | | Empresa Electrica Guacolda SA, Senior Unsecured Notes, 4.560% due 4/30/25 | | | | | 163,752 | | |
| | | 115,000 | | | | Entergy Corp., Senior Unsecured Notes, 0.900% due 9/15/25 | | | | | 114,939 | | |
| | | 200,000 | | | | Israel Electric Corp., Ltd., Senior Secured Notes, 6.875% due 6/21/23 | | | | | 228,629 | | |
| | | 200,000 | | | | Korea East-West Power Co., Ltd., Senior Unsecured Notes, 1.750% due 5/6/25(a) | | | | | 206,895 | | |
| | | 200,000 | | | | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, Senior Unsecured Notes, 5.500% due 11/22/21 | | | | | 209,600 | | |
| | | 105,000 | | | | PSEG Power LLC, Company Guaranteed Notes, 3.850% due 6/1/23 | | | | | 113,288 | | |
| | | | | | | Total Utilities | | | | | 1,524,667 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Cost – $190,485,936) | | | | | 188,958,161 | | |
| SENIOR LOANS(b) – 15.3% | | ||||||||||||
| | | 6,111,202 | | | | Advanced Disposal Services Inc., 3.000% (1-Week USD-LIBOR + 2.250)% due 11/10/23 | | | | | 6,079,546 | | |
| | | 2,663,171 | | | | Capri Acquisitions BidCo Ltd., 3.261% (3-Month USD-LIBOR + 3.000)% due 11/1/24 | | | | | 2,654,862 | | |
| | | 1,335,000 | | | | Chefs’ Warehouse Inc., due 6/22/22(g) | | | | | 1,176,389 | | |
| | | 6,752,130 | | | | Cincinnati Bell Inc., due 10/2/24(g) | | | | | 6,745,108 | | |
| | | 1,909,577 | | | | Crestwood Holdings LLC, 7.660% (1-Month USD-LIBOR + 7.500)% due 3/6/23 | | | | | 1,243,612 | | |
| | | 4,769,000 | | | | Ellie Mae Inc., 4.058% (3-Month USD-LIBOR + 3.750)% due 4/17/26 | | | | | 4,763,516 | | |
| | | 4,764,000 | | | | EP Energy LLC, due 11/23/21(e)(g) | | | | | 4,761,022 | | |
| | | | | | | Fieldwood Energy LLC: | | | | | | | |
| | | 478,730 | | | | due 8/4/21(f)(g) | | | | | 478,730 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| SENIOR LOANS(b) – (continued) | | ||||||||||||
| | $ | 5,080,000 | | | | 9.750% (1-Month USD-LIBOR + 8.750)% due 4/11/22(c) | | | | $ | 1,219,200 | | |
| | | 6,201,840 | | | | First Brands Group LLC, 8.500% (2-Month USD-LIBOR + 7.500)% due 2/2/24 | | | | | 6,077,803 | | |
| | | 4,916,195 | | | | Golden Nugget Online Gaming Inc., 13.000% (3-Month USD-LIBOR + 12.000)% due 10/4/23 | | | | | 5,555,300 | | |
| | | 664,000 | | | | Intelsat Jackson Holdings SA, 6.500% (3-Month USD-LIBOR + 5.500)% due 7/13/22 | | | | | 675,069 | | |
| | | 796,614 | | | | Internap Holding LLC, 7.500% (3-Month USD-LIBOR + 6.500)% due 5/8/25 | | | | | 438,138 | | |
| | | 2,483,753 | | | | Lealand Finance Co. BV, 3.156% (1-Month USD-LIBOR + 3.000)% due 6/28/24(g) | | | | | 2,210,540 | | |
| | | 523,687 | | | | Monitronics International Inc., 7.750% (1-Month USD-LIBOR + 6.500)% due 3/29/24 | | | | | 392,504 | | |
| | | 1,912,854 | | | | Party City Holdings Inc., 3.250% (1-Month USD-LIBOR + 2.500)% due 8/19/22 | | | | | 1,339,342 | | |
| | | 4,329,000 | | | | WCA Waste Systems Inc., 2.656% (1-Month USD-LIBOR + 2.500)% due 8/11/23(g) | | | | | 4,312,766 | | |
| | | 7,590,550 | | | | Windstream Services LLC, 2.660% (1-Month USD-LIBOR + 2.500)% due 2/26/21 | | | | | 7,495,668 | | |
| | | | | | | TOTAL SENIOR LOANS (Cost – $62,160,622) | | | | | 57,619,115 | | |
| ASSET-BACKED SECURITIES – 6.6% | | ||||||||||||
| | | 1,000,000 | | | | 522 Funding CLO I Ltd., Series 2019-4A, Class A, 1.622% (3-Month USD-LIBOR + 1.350)% due 4/20/30(a)(b) | | | | | 993,700 | | |
| | | 467,162 | | | | Aaset Trust, Series 2019-2, Class A, 3.376% due 10/16/39(a) | | | | | 422,203 | | |
| | | | | | | AccessLex Institute: | | | | | | | |
| | | 255,016 | | | | Series 2004-2, Class A3, 0.435% (3-Month USD-LIBOR + 0.190)% due 10/25/24(b) | | | | | 245,380 | | |
| | | 258,228 | | | | Series 2007-A, Class A3, 0.550% (3-Month USD-LIBOR + 0.300)% due 5/25/36(b) | | | | | 248,356 | | |
| | | 200,000 | | | | Affirm Asset Securitization Trust, Series 2020-A, Class A, 2.100% due 2/18/25(a) | | | | | 200,288 | | |
| | | 1,194,264 | | | | Ajax Mortgage Loan Trust, Series 2019-C, Class A, 3.950% due 10/25/58(a)(b) | | | | | 1,197,344 | | |
| | | 150,000 | | | | Aqua Finance Trust, Series 2020-AA, Class A, 1.900% due 7/17/46(a) | | | | | 149,924 | | |
| | | 291,141 | | | | Arivo Acceptance Auto Loan Receivables Trust, Series 2019-1, Class A, 2.990% due 7/15/24(a) | | | | | 295,431 | | |
| | | 574,817 | | | | Bayview Opportunity Master Fund IVa Trust, Series 2019-SBR1, Class A1, step bond to yield, 3.475% due 6/28/34(a) | | | | | 569,206 | | |
| | | 352,000 | | | | BSPRT Issuer Ltd., Series 2019-FL5, Class A, 1.312% (1-Month USD-LIBOR + 1.150)% due 5/15/29(a)(b) | | | | | 346,466 | | |
| | | 991,833 | | | | Carlyle Global Market Strategies CLO Ltd., Series 2014-3RA, Class A1A, 1.295% (3-Month USD-LIBOR + 1.050)% due 7/27/31(a)(b) | | | | | 975,736 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 500,000 | | | | Catamaran CLO Ltd., Series 2018-1A, Class A1, 1.495% (3-Month USD-LIBOR + 1.250)% due 10/25/31(a)(b) | | | | $ | 493,461 | | |
| | | 478,254 | | | | Commonbond Student Loan Trust, Series 2020-AGS, Class A, 1.980% due 8/25/50(a) | | | | | 487,021 | | |
| | | 156,505 | | | | DRB Prime Student Loan Trust, Series 2016-R, Class A1, 2.075% (1-Month USD-LIBOR + 1.900)% due 10/25/44(a)(b) | | | | | 156,822 | | |
| | | 172,194 | | | | DT Auto Owner Trust, Series 2020-2A, Class A, 1.140% due 1/16/24(a) | | | | | 172,740 | | |
| | | 117,526 | | | | Earnest Student Loan Program LLC, Series 2017-A, Class A2, 2.650% due 1/25/41(a) | | | | | 118,990 | | |
| | | 333,187 | | | | Freed ABS Trust, Series 2020-FP1, Class A, 2.520% due 3/18/27(a) | | | | | 333,253 | | |
| | | 35,145 | | | | Freed ABS Trust, Series 2019-1, Class A, 3.420% due 6/18/26(a) | | | | | 35,177 | | |
| | | 399,541 | | | | Genesis Private Label Amortizing Trust, Series 2020-1, Class A, 2.080% due 7/20/30(a)(f) | | | | | 400,033 | | |
| | | | | | | GLS Auto Receivables Issuer Trust: | | | | | | | |
| | | 103,019 | | | | Series 2019-1A, Class A, 3.370% due 1/17/23(a) | | | | | 103,805 | | |
| | | 158,514 | | | | Series 2019-2A, Class A, 3.060% due 4/17/23(a) | | | | | 160,103 | | |
| | | 63,533 | | | | GLS Auto Receivables Trust, Series 2018-3A, Class A, 3.350% due 8/15/22(a) | | | | | 63,743 | | |
| | | 500,000 | | | | Greywolf CLO V Ltd., Series 2015-1A, Class A1R, 1.405% (3-Month USD-LIBOR + 1.160)% due 1/27/31(a)(b) | | | | | 494,761 | | |
| | | 1,000,000 | | | | Greywolf CLO VII Ltd., Series 2018-2A, Class A1, 1.452% (3-Month USD-LIBOR + 1.180)% due 10/20/31(a)(b) | | | | | 989,515 | | |
| | | 500,000 | | | | Hayfin Kingsland VIII Ltd., Series 2018-8A, Class A, 1.392% (3-Month USD-LIBOR + 1.120)% due 4/20/31(a)(b) | | | | | 492,767 | | |
| | | 463,343 | | | | Hilton Grand Vacations Trust, Series 2020-AA, Class A, 2.740% due 2/25/39(a) | | | | | 479,023 | | |
| | | | | | | Invitation Homes Trust: | | | | | | | |
| | | 181,255 | | | | Series 2017-SFR2, Class A, 1.012% (1-Month USD-LIBOR + 0.850)% due 12/17/36(a)(b) | | | | | 179,915 | | |
| | | 177,658 | | | | Series 2018-SFR1, Class A, 0.862% (1-Month USD-LIBOR + 0.700)% due 3/17/37(a)(b) | | | | | 174,958 | | |
| | | 95,776 | | | | Laurel Road Prime Student Loan Trust, Series 2019-A, Class A1FX, 2.340% due 10/25/48(a) | | | | | 95,972 | | |
| | | 173,000 | | | | LMREC Inc., Series 2019-CRE3, Class A, 1.583% (1-Month USD-LIBOR + 1.400)% due 12/22/35(a)(b) | | | | | 169,887 | | |
| | | 173,000 | | | | LoanCore Issuer Ltd., Series 2019-CRE2, Class A, 1.292% (1-Month USD-LIBOR + 1.130)% due 5/15/36(a)(b) | | | | | 169,996 | | |
| | | 194,166 | | | | Marlette Funding Trust, Series 2019-2A, Class A, 3.130% due 7/16/29(a) | | | | | 196,194 | | |
| | | 896,373 | | | | MFA LLC, Series 2017-NPL1, Class A1, step bond to yield, 3.352% due 11/25/47(a) | | | | | 900,010 | | |
| | | 341,000 | | | | NLY Commercial Mortgage Trust, Series 2019-FL2, Class AS, 1.762% (1-Month USD-LIBOR + 1.600)% due 2/15/36(a)(b) | | | | | 330,194 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 207,197 | | | | NRZ Excess Spread-Collateralized Notes, Series 2018-PLS1, Class A, 3.193% due 1/25/23(a) | | | | $ | 208,068 | | |
| | | 989,121 | | | | Ocean Trails CLO V, Series 2014-5A, Class ARR, 1.546% (3-Month USD-LIBOR + 1.280)% due 10/13/31(a)(b) | | | | | 980,787 | | |
| | | 250,000 | | | | OCP CLO Ltd., Series 2014-5A, Class A1R, 1.325% (3-Month USD-LIBOR + 1.080)% due 4/26/31(a)(b) | | | | | 247,232 | | |
| | | 47,681 | | | | Prosper Marketplace Issuance Trust, Series 2019-2A, Class A, 3.200% due 9/15/25(a) | | | | | 47,765 | | |
| | | 994,727 | | | | Race Point IX CLO Ltd., Series 2015-9A, Class A1AR, 1.485% (3-Month USD-LIBOR + 1.210)% due 10/15/30(a)(b) | | | | | 986,883 | | |
| | | 1,000,000 | | | | Regatta Funding LP, Series 2013-2A, Class A1R2, 1.525% (3-Month USD-LIBOR + 1.250)% due 1/15/29(a)(b) | | | | | 998,500 | | |
| | | | | | | Sofi Professional Loan Program LLC: | | | | | | | |
| | | 280,729 | | | | Series 2015-C, Class A2, 2.510% due 8/25/33(a) | | | | | 282,676 | | |
| | | 107,934 | | | | Series 2019-A, Class A1FX, 3.180% due 6/15/48(a) | | | | | 108,545 | | |
| | | 1,000,000 | | | | Sound Point CLO VI-R Ltd., Series 2014-2RA, Class A, 1.522% (3-Month USD-LIBOR + 1.250)% due 10/20/31(a)(b) | | | | | 985,713 | | |
| | | 500,000 | | | | Sound Point CLO XVIII Ltd., Series 2017-4A, Class A1, 1.392% (3-Month USD-LIBOR + 1.120)% due 1/21/31(a)(b) | | | | | 492,500 | | |
| | | | | | | Steele Creek CLO Ltd.: | | | | | | | |
| | | 1,000,000 | | | | Series 2015-1A, Class AR, 1.507% (3-Month USD-LIBOR + 1.260)% due 5/21/29(a)(b) | | | | | 989,685 | | |
| | | 1,000,000 | | | | Series 2018-2A, Class A, 1.470% (3-Month USD-LIBOR + 1.200)% due 8/18/31(a)(b) | | | | | 985,107 | | |
| | | 320,833 | | | | TAL Advantage V LLC, Series 2014-2A, Class A2, 3.330% due 5/20/39(a) | | | | | 320,704 | | |
| | | 273,606 | | | | Tesla Auto Lease Trust, Series 2018-B, Class A, 3.710% due 8/20/21(a) | | | | | 276,625 | | |
| | | 1,000,000 | | | | Trimaran Cavu Ltd., Series 2019-1A, Class A1, 1.732% (3-Month USD-LIBOR + 1.460)% due 7/20/32(a)(b) | | | | | 998,000 | | |
| | | 360,004 | | | | Triton Container Finance IV LLC, Series 2017-2A, Class A, 3.620% due 8/20/42(a) | | | | | 361,040 | | |
| | | | | | | Vericrest Opportunity Loan Trust: | | | | | | | |
| | | 1,230,629 | | | | Series 2019-NPL7, Class A1A, step bond to yield, 3.179% due 10/25/49(a) | | | | | 1,221,109 | | |
| | | 290,535 | | | | Series 2019-NPL8, Class A1A, step bond to yield, 3.278% due 11/25/49(a) | | | | | 290,543 | | |
| | | 1,022,145 | | | | Series 2020-NPL2, Class A1A, step bond to yield, 2.981% due 2/25/50(a) | | | | | 1,011,540 | | |
| | | 365,277 | | | | VOLT LXXXIV LLC, Series 2019-NP10, Class A1A, step bond to yield, 3.426% due 12/27/49(a) | | | | | 364,614 | | |
| | | | | | | TOTAL ASSET-BACKED SECURITIES (Cost – $25,116,612) | | | | | 25,000,010 | | |
| COLLATERALIZED MORTGAGE OBLIGATIONS – 5.3% | | ||||||||||||
| | | | | | | BANK: | | | | | | | |
| | | 1,531,420 | | | | Series 2017-BNK4, Class XA, 1.570% due 5/15/50(b)(h) | | | | | 101,907 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 1,843,067 | | | | Series 2017-BNK6, Class XA, 0.968% due 7/15/60(b)(h) | | | | $ | 77,212 | | |
| | | 192,000 | | | | BBCMS 2017-DELC Mortgage Trust, Series 2017-DELC, Class B, 1.192% (1-Month USD-LIBOR + 1.030)% due 8/15/36(a)(b) | | | | | 180,940 | | |
| | | 240,000 | | | | BBCMS 2018-TALL Mortgage Trust, Series 2018-TALL, Class B, 1.133% (1-Month USD-LIBOR + 0.971)% due 3/15/37(a)(b) | | | | | 227,520 | | |
| | | 200,000 | | | | BBCMS 2019-BWAY Mortgage Trust, Series 2019-BWAY, Class A, 1.118% (1-Month USD-LIBOR + 0.956)% due 11/25/34(a)(b) | | | | | 194,544 | | |
| | | 75,000 | | | | BHMS, Series 2018-ATLS, Class A, 1.412% (1-Month USD-LIBOR + 1.250)% due 7/15/35(a)(b) | | | | | 71,713 | | |
| | | 118,000 | | | | BX Commercial Mortgage Trust, Series 2018-BIOA, Class E, 2.113% (1-Month USD-LIBOR + 1.951)% due 3/15/37(a)(b) | | | | | 113,863 | | |
| | | 323,000 | | | | BX Trust, Series 2019-MMP, Class B, 1.462% (1-Month USD-LIBOR + 1.300)% due 8/15/36(a)(b) | | | | | 319,274 | | |
| | | | | | | BXMT Ltd.: | | | | | | | |
| | | 117,000 | | | | Series 2017-FL1, Class C, 2.112% (1-Month USD-LIBOR + 1.950)% due 6/15/35(a)(b) | | | | | 115,555 | | |
| | | 192,000 | | | | Series 2020-FL2, Class C, 1.812% (1-Month USD-LIBOR + 1.650)% due 2/16/37(a)(b) | | | | | 185,280 | | |
| | | 1,669,194 | | | | CD Mortgage Trust, Series 2017-CD4, Class XA, 1.454% due 5/10/50(b)(h) | | | | | 103,311 | | |
| | | | | | | CFCRE Commercial Mortgage Trust: | | | | | | | |
| | | 1,333,000 | | | | Series 2017-C8, Class XA, 1.772% due 6/15/50(b)(h) | | | | | 98,989 | | |
| | | 287,000 | | | | Series 2017-C8, Class XB, 1.113% due 6/15/50(b)(h) | | | | | 15,806 | | |
| | | 296,902 | | | | CGDBB Commercial Mortgage Trust, Series 2017-BIOC, Class A, 0.952% (1-Month USD-LIBOR + 0.790)% due 7/15/32(a)(b) | | | | | 296,158 | | |
| | | | | | | Citigroup Commercial Mortgage Trust: | | | | | | | |
| | | 178,000 | | | | Series 2018-TBR, Class B, 1.312% (1-Month USD-LIBOR + 1.150)% due 12/15/36(a)(b) | | | | | 160,731 | | |
| | | 386,000 | | | | Series 2019-PRM, Class D, 4.350% due 5/10/36(a) | | | | | 399,773 | | |
| | | 892,460 | | | | Citigroup Mortgage Loan Trust, Series 2018-C, Class A1, step bond to yield, 4.125% due 3/25/59(a) | | | | | 899,734 | | |
| | | 678,669 | | | | COLT Mortgage Loan Trust, Series 2020-2, Class A1, 1.853% due 3/25/65(a)(b) | | | | | 681,242 | | |
| �� | | | | | | Commercial Mortgage Trust: | | | | | | | |
| | | 20,677,098 | | | | Series 2013-CR9, Class XA, 0.141% due 7/10/45(b)(h) | | | | | 45,012 | | |
| | | 1,538,717 | | | | Series 2013-LC6, Class XA, 1.484% due 1/10/46(b)(h) | | | | | 37,094 | | |
| | | 303,859 | | | | Series 2014-CR15, Class A2, 2.928% due 2/10/47 | | | | | 307,425 | | |
| | | 325,000 | | | | Series 2014-FL5, Class C, 1.561% (1-Month USD-LIBOR + 2.150)% due 10/15/31(a)(b) | | | | | 285,369 | | |
| | | 344,000 | | | | Series 2014-FL5, Class D, 1.561% (1-Month USD-LIBOR + 4.000)% due 10/15/31(a)(b) | | | | | 288,022 | | |
| | | 227,000 | | | | Series 2018-HCLV, Class A, 1.162% (1-Month USD-LIBOR + 1.000)% due 9/15/33(a)(b) | | | | | 219,048 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | | | | | | Credit Suisse Commercial Mortgage Capital Trust: | | | |||||
| | $ | 70,000 | | | | Series 2017-CHOP, Class D, 2.062% (1-Month USD-LIBOR + 1.900)% due 7/15/32(a)(b) | | | | $ | 58,510 | | |
| | | 573,000 | | | | Series 2017-CHOP, Class E, 3.462% (1-Month USD-LIBOR + 3.300)% due 7/15/32(a)(b) | | | | | 451,979 | | |
| | | 107,000 | | | | Series 2017-LSTK, Class C, 3.229% due 4/5/33(a) | | | | | 104,497 | | |
| | | 128,000 | | | | Series 2017-LSTK, Class D, 3.442% due 4/5/33(a)(b) | | | | | 123,171 | | |
| | | 47,000 | | | | Series 2017-LSTK, Class E, 3.442% due 4/5/33(a)(b) | | | | | 43,969 | | |
| | | 8,157,000 | | | | Series 2017-LSTK, Class XACP, −% due 4/5/33(a)(b)(h) | | | | | 82 | | |
| | | 2,969,000 | | | | Series 2017-LSTK, Class XBCP, −% due 4/5/33(a)(b)(h) | | | | | 30 | | |
| | | 344,000 | | | | Credit Suisse Commercial Mortgage Securities Corp., Series 2019-SKLZ, Class A, 1.412% (1-Month USD-LIBOR + 1.250)% due 1/15/34(a)(b) | | | | | 331,850 | | |
| | | | | | | CSAIL Commercial Mortgage Trust: | | | | | | | |
| | | 813,383 | | | | Series 2017-C8, Class XA, 1.381% due 6/15/50(b)(h) | | | | | 41,943 | | |
| | | 4,786,861 | | | | Series 2017-CX10, Class XA, 0.856% due 11/15/50(b)(h) | | | | | 190,633 | | |
| | | 3,506,471 | | | | Series 2018-CX12, Class XA, 0.770% due 8/15/51(b)(h) | | | | | 133,666 | | |
| | | | | | | Deephaven Residential Mortgage Trust: | | | | | | | |
| | | 66,858 | | | | Series 2017-1A, Class A1, 2.725% due 12/26/46(a)(b) | | | | | 66,782 | | |
| | | 66,858 | | | | Series 2017-1A, Class A2, 2.928% due 12/26/46(a)(b) | | | | | 66,826 | | |
| | | 137,747 | | | | Series 2018-3A, Class A2, 3.891% due 8/25/58(a)(b) | | | | | 137,971 | | |
| | | | | | | Federal Home Loan Mortgage Corp., REMICS: | | | | | | | |
| | | 446,132 | | | | Series 4703, Class FA, 0.512% (1-Month USD-LIBOR + 0.350)% due 7/15/47(b) | | | | | 445,348 | | |
| | | 1,347,250 | | | | Series 4710, Class KA, 3.500% due 10/15/42 | | | | | 1,363,147 | | |
| | | 666,321 | | | | Series 4911, Class MB, 3.000% due 9/25/49 | | | | | 694,001 | | |
| | | | | | | Federal National Mortgage Association, REMICS: | | | | | | | |
| | | 346,539 | | | | Series 2012-110, Class MF, 0.635% (1-Month USD-LIBOR + 0.460)% due 10/25/42(b) | | | | | 348,271 | | |
| | | 48,853 | | | | Series 2013-81, Class EF, 0.525% (1-Month USD-LIBOR + 0.350)% due 12/25/42(b) | | | | | 48,898 | | |
| | | 440,321 | | | | Series 2014-84, Class BF, 0.521% (1-Month USD-LIBOR + 0.350)% due 12/25/44(b) | | | | | 441,407 | | |
| | | 135,434 | | | | Series 2018-55, Class FA, 0.475% (1-Month USD-LIBOR + 0.300)% due 8/25/48(b) | | | | | 135,632 | | |
| | | 239,000 | | | | GB Trust, Series 2020-FLIX, Class D, 2.517% (1-Month USD-LIBOR + 2.350)% due 8/15/37(a)(b) | | | | | 239,592 | | |
| | | | | | | GS Mortgage Securities Corp. Trust: | | | | | | | |
| | | 161,000 | | | | Series 2012-ALOH, Class A, 3.551% due 4/10/34(a) | | | | | 162,352 | | |
| | | 77,000 | | | | Series 2017-500K, Class E, 1.750% (1-Month USD-LIBOR + 1.500)% due 7/15/32(a)(b) | | | | | 76,033 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 53,000 | | | | Series 2017-500K, Class F, 2.150% (1-Month USD-LIBOR + 1.800)% due 7/15/32(a)(b) | | | | $ | 52,202 | | |
| | | | | | | GS Mortgage Securities Trust: | | | | | | | |
| | | 5,205,492 | | | | Series 2016-GS4, Class XA, 0.680% due 11/10/49(b)(h) | | | | | 120,767 | | |
| | | 1,758,383 | | | | Series 2017-GS6, Class XA, 1.183% due 5/10/50(b)(h) | | | | | 102,736 | | |
| | | 3,601,955 | | | | Series 2017-GS8, Class XA, 1.119% due 11/10/50(b)(h) | | | | | 186,287 | | |
| | | 78,000 | | | | Hilton Orlando Trust, Series 2018-ORL, Class B, 1.212% (1-Month USD-LIBOR + 1.050)% due 12/15/34(a)(b) | | | | | 72,921 | | |
| | | | | | | JP Morgan Chase Commercial Mortgage Securities Trust: | | | | | | | |
| | | 2,512,665 | | | | Series 2014-C20, Class XA, 1.092% due 7/15/47(b)(h) | | | | | 47,741 | | |
| | | 4,075,000 | | | | Series 2020-MKST, Class XCP, 2.628% due 12/15/36(a)(b)(h) | | | | | 136,770 | | |
| | | 1,170,796 | | | | JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class XA, 1.436% due 11/15/48(b)(h) | | | | | 36,909 | | |
| | | | | | | MF1 Ltd.: | | | | | | | |
| | | 244,000 | | | | Series 2019-FL2, Class A, 1.305% (1-Month USD-LIBOR + 1.130)% due 12/25/34(a)(b) | | | | | 239,274 | | |
| | | 225,000 | | | | Series 2020-FL3, Class A, 2.212% (1-Month USD-LIBOR + 2.050)% due 7/15/35(a)(b) | | | | | 225,881 | | |
| | | | | | | Morgan Stanley Capital I Trust: | | | | | | | |
| | | 164,000 | | | | Series 2011-C1, Class D, 5.675% due 9/15/47(a)(b) | | | | | 164,786 | | |
| | | 1,459,372 | | | | Series 2016-UB11, Class XA, 1.741% due 8/15/49(b)(h) | | | | | 92,915 | | |
| | | 4,101,060 | | | | Series 2016-UB12, Class XA, 0.896% due 12/15/49(b)(h) | | | | | 134,847 | | |
| | | 76,000 | | | | Series 2017-ASHF, Class D, 2.362% (1-Month USD-LIBOR + 2.200)% due 11/15/34(a)(b) | | | | | 63,880 | | |
| | | 186,000 | | | | Series 2017-CLS, Class E, 2.112% (1-Month USD-LIBOR + 1.950)% due 11/15/34(a)(b) | | | | | 181,786 | | |
| | | 206,000 | | | | Series 2017-CLS, Class F, 2.762% (1-Month USD-LIBOR + 2.600)% due 11/15/34(a)(b) | | | | | 200,281 | | |
| | | 974,004 | | | | Series 2017-H1, Class XA, 1.583% due 6/15/50(b)(h) | | | | | 62,543 | | |
| | | | | | | Natixis Commercial Mortgage Securities Trust: | | | | | | | |
| | | 350,000 | | | | Series 2018-850T, Class C, 1.315% (1-Month USD-LIBOR + 1.154)% due 7/15/33(a)(b) | | | | | 337,007 | | |
| | | 350,000 | | | | Series 2018-850T, Class D, 1.615% (1-Month USD-LIBOR + 1.454)% due 7/15/33(a)(b) | | | | | 336,683 | | |
| | | | | | | New Residential Mortgage Loan Trust: | | | | | | | |
| | | 587,080 | | | | Series 2020-NPL1, Class A1, step bond to yield, 4.335% due 7/25/60(a) | | | | | 587,012 | | |
| | | 644,304 | | | | Series 2020-NQM1, Class A2, 2.718% due 1/26/60(a)(b) | | | | | 649,264 | | |
| | | 244,000 | | | | PFP Ltd., Series 2019-6, Class A, 1.208% (1-Month USD-LIBOR + 1.050)% due 4/14/37(a)(b) | | | | | 236,680 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 674,688 | | | | PRPM LLC, Series 2019-1A, Class A1, step bond to yield, 4.500% due 1/25/24(a) | | | | $ | 679,526 | | |
| | | 454,074 | | | | RCO Trust, Series 2017-INV1, Class A, 3.197% due 11/25/52(a)(b) | | | | | 458,553 | | |
| | | 29,861 | | | | Rosslyn Portfolio Trust, Series 2017-ROSS, Class B, 2.239% (1-Month USD-LIBOR + 1.250)% due 6/15/33(a)(b) | | | | | 28,824 | | |
| | | 348,865 | | | | Shelter Growth CRE Issuer Ltd., Series 2019-FL2, Class B, 2.462% (1-Month USD-LIBOR + 2.300)% due 5/15/36(a)(b) | | | | | 332,168 | | |
| | | 162,201 | | | | SLIDE, Series 2018-FUN, Class A, 1.062% (1-Month USD-LIBOR + 0.900)% due 6/15/31(a)(b) | | | | | 156,100 | | |
| | | | | | | UBS Commercial Mortgage Trust: | | | | | | | |
| | | 1,680,139 | | | | Series 2012-C1, Class XA, 2.250% due 5/10/45(a)(b)(h) | | | | | 37,690 | | |
| | | 1,098,777 | | | | Series 2017-C1, Class XA, 1.713% due 6/15/50(b)(h) | | | | | 85,999 | | |
| | | 386,000 | | | | Series 2018-NYCH, Class D, 2.262% (1-Month USD-LIBOR + 2.100)% due 2/15/32(a)(b) | | | | | 351,297 | | |
| | | | | | | Verus Securitization Trust: | | | | | | | |
| | | 1,162,094 | | | | Series 2019-INV2, Class A3, 3.219% due 7/25/59(a)(b) | | | | | 1,184,003 | | |
| | | 378,242 | | | | Series 2020-2, Class A1, 2.226% due 5/25/60(a)(b) | | | | | 380,416 | | |
| | | 400,000 | | | | Vista Point Securitization Trust, Series 2020-2, Class A1, 1.475% due 4/25/65(a)(b) | | | | | 399,677 | | |
| | | 262,040 | | | | VMC Finance LLC, Series 2018-FL2, Class A, 1.082% (1-Month USD-LIBOR + 0.920)% due 10/15/35(a)(b) | | | | | 257,297 | | |
| | | | | | | Wells Fargo Commercial Mortgage Trust: | | | | | | | |
| | | 2,611,465 | | | | Series 2015-LC22, Class XA, 0.924% due 9/15/58(b)(h) | | | | | 83,359 | | |
| | | 4,988,671 | | | | Series 2015-NXS2, Class XA, 0.809% due 7/15/58(b)(h) | | | | | 136,458 | | |
| | | 3,460,448 | | | | Series 2018-C46, Class XA, 1.107% due 8/15/51(b)(h) | | | | | 174,618 | | |
| | | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost – $22,112,501) | | | | | 20,147,269 | | |
| Face Amount/Units† | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – 1.7% | | |||||||||||||||
| New York – 0.6% | | |||||||||||||||
| | $ | 2,369,000 | | | | BBB+ | | | Metropolitan Transportation Authority New York Refunding, Series D, 5.000% due 11/15/20 | | | | | 2,382,930 | | |
| Texas – 1.1% | | |||||||||||||||
| | | 4,105,000 | | | | A- | | | Mission Texas Economic Development Corp. Solid Waste Disposal Revenue Various Waste Management Incorporate Project, Series A, 0.400% due 5/1/46(b)(i) | | | | | 4,105,000 | | |
| | | | | | | | | | TOTAL MUNICIPAL BONDS (Cost – $6,489,204) | | | | | 6,487,930 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| U.S. GOVERNMENT OBLIGATIONS – 1.4% | | ||||||||||||
| | | | | | | U.S. Treasury Notes: | | | |||||
| | $ | 1,320,000 | | | | 2.625% due 5/15/21 | | | | $ | 1,342,894 | | |
| | | 1,320,000 | | | | 1.500% due 9/30/21 | | | | | 1,339,078 | | |
| | | 530,000 | | | | 1.375% due 1/31/22 | | | | | 539,151 | | |
| | | 760,000 | | | | 0.125% due 5/15/23 | | | | | 759,525 | | |
| | | 1,255,000 | | | | 2.250% due 12/31/23 | | | | | 1,341,330 | | |
| | | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost – $5,254,535) | | | | | 5,321,978 | | |
| MORTGAGE-BACKED SECURITIES – 0.6% | | ||||||||||||
| FHLMC – 0.3% | | ||||||||||||
| | | 995,109 | | | | Federal Home Loan Mortgage Corp. (FHLMC)., Gold UMBS, 2.000% due 7/1/35 | | | | | 1,035,306 | | |
| FNMA – 0.3% | | ||||||||||||
| | | 600,000 | | | | Federal National Mortgage Association (FNMA), 2.670% due 9/1/21 | | | | | 608,357 | | |
| | | 695,582 | | | | Federal National Mortgage Association (FNMA), UMBS, 2.000% due 8/1/35 | | | | | 724,043 | | |
| | | | | | | TOTAL FNMA | | | | | 1,332,400 | | |
| | | | | | | TOTAL MORTGAGE-BACKED SECURITIES (Cost – $2,353,159) | | | | | 2,367,706 | | |
| SOVEREIGN BONDS – 0.5% | | ||||||||||||
| Colombia – 0.1% | | ||||||||||||
| | | 200,000 | | | | Colombia Government International Bond, 2.625% due 3/15/23 | | | | | 205,202 | | |
| Dominican Republic – 0.0% | | ||||||||||||
| | | 100,000 | | | | Dominican Republic International Bond, 7.500% due 5/6/21 | | | | | 103,501 | | |
| Indonesia – 0.1% | | ||||||||||||
| | | 200,000 | | | | Indonesia Government International Bond, 3.375% due 4/15/23 | | | | | 210,804 | | |
| | | 300,000 | | | | Perusahaan Penerbit SBSN Indonesia III, 3.300% due 11/21/22 | | | | | 313,128 | | |
| | | | | | | Total Indonesia | | | | | 523,932 | | |
| Peru – 0.0% | | ||||||||||||
| | | 100,000 | | | | Peruvian Government International Bond, 2.392% due 1/23/26 | | | | | 105,100 | | |
| Qatar – 0.1% | | ||||||||||||
| | | 200,000 | | | | Qatar Government International Bond, 2.375% due 6/2/21 | | | | | 201,848 | | |
| Saudi Arabia – 0.1% | | ||||||||||||
| | | 250,000 | | | | Saudi Government International Bond, 2.875% due 3/4/23 | | | | | 260,350 | | |
| United Arab Emirates – 0.1% | | ||||||||||||
| | | 200,000 | | | | Abu Dhabi Government International Bond, 2.500% due 4/16/25(a) | | | | | 211,990 | | |
| | | | | | | TOTAL SOVEREIGN BONDS (Cost – $1,584,106) | | | | | 1,611,923 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| EXCHANGE TRADED FUND (ETF) – 5.4% | | ||||||||||||
| | | 393,240 | | | | iShares Core 1-5 Year USD Bond(j) (Cost – $19,980,226) | | | | $ | 20,326,576 | | |
| COMMON STOCKS – 0.9% | | ||||||||||||
| BASIC MATERIALS – 0.1% | | ||||||||||||
| Forest Products & Paper – 0.1% | | ||||||||||||
| | | 20,309 | | | | Appvion Inc.*(e)(f) | | | | | 201,059 | | |
| COMMUNICATIONS – 0.0% | | ||||||||||||
| Internet – 0.0% | | ||||||||||||
| | | 175,417 | | | | Internap Loan Equity*(e)(f) | | | | | 1,754 | | |
| DIVERSIFIED – 0.8% | | ||||||||||||
| SPACs – 0.8% | | ||||||||||||
| | | 196,351 | | | | Foley Trasimene Acquisition Corp. II* | | | | | 1,967,437 | | |
| | | 56,100 | | | | Forum Merger III Corp.* | | | | | 559,878 | | |
| | | 56,100 | | | | Horizon Acquisition Corp.* | | | | | 566,049 | | |
| | | | | | | Total SPACs | | | | | 3,093,364 | | |
| | | | | | | TOTAL DIVERSIFIED | | | | | 3,093,364 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $4,301,061) | | | | | 3,296,177 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $339,837,962) | | | | | 331,136,845 | | |
| Face Amount† | | | | | | | | | | | |||
| SHORT-TERM INVESTMENTS – 15.7% | | ||||||||||||
| COMMERCIAL PAPER – 1.4% | | ||||||||||||
| | $ | 5,374,000 | | | | Bemis Co., Inc., 0.250% due 9/3/20(k) (Cost – $5,373,925) | | | | | 5,373,935 | | |
| TIME DEPOSITS – 14.3% | | ||||||||||||
| | | 43,445,479 | | | | Banco Santander SA – Frankfurt, 0.010% due 9/1/20 | | | | | 43,445,479 | | |
| | | 5,207,087 | | | | Barclays Bank PLC – London, 0.010% due 9/1/20 | | | | | 5,207,087 | | |
| | | 5,272,597 | | | | Citibank – New York, 0.010% due 9/1/20 | | | | | 5,272,597 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $53,925,163) | | | | | 53,925,163 | | |
| | | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost – $59,299,088) | | | | | 59,299,098 | | |
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 1.7% | | ||||||||||||
| MONEY MARKET FUND – 1.7% | | ||||||||||||
| | | 6,567,375 | | | | Federated Government Obligations Fund, Premier Class, 0.054%(l) (Cost – $6,567,375) | | | | | 6,567,375 | | |
Face Amount† | | | | | | | | | | |
| | | TOTAL INVESTMENTS – 105.3% (Cost – $405,704,425) | | | | $ | 397,003,318 | | |
| | | Liabilities in Excess of Other Assets – (5.3)% | | | | | (20,107,294) | | |
| | | TOTAL NET ASSETS – 100.0% | | | | $ | 376,896,024 | | |
|
| Corporate Bonds & Notes | | | | | 47.6% | | |
| Senior Loans | | | | | 14.5 | | |
| Asset-Backed Securities | | | | | 6.3 | | |
| Exchange Traded Fund (ETF) | | | | | 5.1 | | |
| Collateralized Mortgage Obligations | | | | | 5.1 | | |
| Municipal Bonds | | | | | 1.6 | | |
| U.S. Government Obligations | | | | | 1.3 | | |
| Common Stocks | | | | | 0.8 | | |
| Mortgage-Backed Securities | | | | | 0.6 | | |
| Sovereign Bonds | | | | | 0.4 | | |
| Short-Term Investments | | | | | 15.0 | | |
| Money Market Fund | | | | | 1.7 | | |
| | | | | | 100.0% | | |
Foreign Currency | | | Local Currency | | | Counterparty | | | Market Value | | | Settlement Date | | | Unrealized Appreciation | | | Unrealized (Depreciation) | | | Unrealized Appreciation/ (Depreciation) | | |||||||||||||||||||||
Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Euro | | | | | 10,320,000 | | | | | | BBH | | | | | $ | 12,319,328 | | | | | | 9/15/20 | | | | | $ | — | | | | | $ | (189,717) | | | | | $ | (189,717) | | |
Euro | | | | | 1,351,000 | | | | | | BBH | | | | | | 1,612,734 | | | | | | 9/15/20 | | | | | | 3,778 | | | | | | — | | | | | | 3,778 | | |
Euro | | | | | 1,007,000 | | | | | | BBH | | | | | | 1,202,090 | | | | | | 9/15/20 | | | | | | — | | | | | | (12,067) | | | | | | (12,067) | | |
Norwegian Krone | | | | | 4,570,000 | | | | | | BBH | | | | | | 523,184 | | | | | | 9/15/20 | | | | | | — | | | | | | (11,422) | | | | | | (11,422) | | |
Norwegian Krone | | | | | 37,325,000 | | | | | | BBH | | | | | | 4,273,053 | | | | | | 9/15/20 | | | | | | — | | | | | | (146,532) | | | | | | (146,532) | | |
Norwegian Krone | | | | | 6,900,000 | | | | | | BBH | | | | | | 789,928 | | | | | | 9/15/20 | | | | | | — | | | | | | (5,148) | | | | | | (5,148) | | |
Swedish Krona | | | | | 11,375,000 | | | | | | BBH | | | | | | 1,315,272 | | | | | | 9/15/20 | | | | | | — | | | | | | (14,854) | | | | | | (14,854) | | |
Net Unrealized Depreciation on Open Forward Foreign Currency Contracts | | | | $ | 3,778 | | | | | $ | (379,740) | | | | | $ | (375,962) | | | ||||||||||||||||||||||||
|
| Currency Abbreviations used in this schedule: | | | Counterparty Abbreviations used in this schedule: | |
| EUR — Euro | | | BBH — Brown Brothers Harriman & Co. | |
| NOK — Norwegian Krone | | | ||
| SEK — Swedish Krona | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – 66.8% | | ||||||||||||
| Australia – 0.3% | | ||||||||||||
| | $ | 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) | | | | $ | 657,167 | | |
| | | | | | | QBE Insurance Group Ltd.: | | | | | | | |
| | | 200,000 | | | | Junior Subordinated Notes, 5.875% (5-Year CMT Index + 5.513%)(a)(b)(c) | | | | | 212,750 | | |
| | | 1,300,000 | | | | Subordinated Notes, 6.750% (USD Swap Rate + 4.300%) due 12/2/44(a)@ | | | | | 1,465,750 | | |
| | | | | | | Total Australia | | | | | 2,335,667 | | |
| Bahamas – 0.5% | | ||||||||||||
| | | 3,616,000 | | | | Silversea Cruise Finance Ltd., Senior Secured Notes, 7.250% due 2/1/25(b) | | | | | 3,631,061 | | |
| Bermuda – 1.3% | | ||||||||||||
| | | 600,000 | | | | Credicorp Ltd., Senior Unsecured Notes, 2.750% due 6/17/25(b) | | | | | 612,750 | | |
| | | | | | | Digicel Group 0.5 Ltd.: | | | | | | | |
| | | 352,000 | | | | Senior Unsecured Notes, 8.000% due 4/1/25(b)(d) | | | | | 125,840 | | |
| | | 58,300 | | | | Subordinated Notes, 7.000%(b)(c)(d) | | | | | 6,996 | | |
| | | 1,000,000 | | | | Geopark Ltd., Company Guaranteed Notes, 6.500% due 9/21/24 | | | | | 967,500 | | |
| | | 3,326,000 | | | | SFL Corp., Ltd., Senior Unsecured Notes, 5.750% due 10/15/21 | | | | | 3,179,981 | | |
| | | 4,800,000 | | | | Stolt-Nielsen Ltd., Senior Unsecured Notes, 6.375% due 9/21/22 | | | | | 4,944,316 | | |
| | | | | | | Total Bermuda | | | | | 9,837,383 | | |
| Brazil – 1.4% | | ||||||||||||
| | | | | | | Banco Bradesco SA: | | | | | | | |
| | | 2,500,000 | | | | Senior Unsecured Notes, 2.850% due 1/27/23(b) | | | | | 2,542,225 | | |
| | | 2,900,000 | | | | Subordinated Notes, 5.900% due 1/16/21 | | | | | 2,939,904 | | |
| | | 500,000 | | | | Banco BTG Pactual SA, Subordinated Notes, 7.750% (5-Year CMT Index + 5.257%) due 2/15/29(a)(b) | | | | | 520,005 | | |
| | | 1,900,000 | | | | Banco do Brasil SA, Junior Subordinated Notes, 8.500% (5-Year CMT Index + 7.782%)(a)(c) | | | | | 1,909,500 | | |
| | | | | | | Itau Unibanco Holding SA, Subordinated Notes: | | | | | | | |
| | | 1,900,000 | | | | 5.750% due 1/22/21 | | | | | 1,925,127 | | |
| | | 400,000 | | | | 6.200% due 12/21/21 | | | | | 420,000 | | |
| | | | | | | Total Brazil | | | | | 10,256,761 | | |
| British Virgin Islands – 3.2% | | ||||||||||||
| | | 3,700,000 | | | | CNOOC Finance 2012 Ltd., Company Guaranteed Notes, 3.875% due 5/2/22 | | | | | 3,873,145 | | |
| | | 2,500,000 | | | | CNOOC Finance 2013 Ltd., Company Guaranteed Notes, 3.000% due 5/9/23 | | | | | 2,629,950 | | |
| | | | | | | CNPC General Capital Ltd., Company Guaranteed Notes: | | | | | | | |
| | | 4,965,000 | | | | 3.950% due 4/19/22 | | | | | 5,190,622 | | |
| | | 500,000 | | | | 3.400% due 4/16/23 | | | | | 530,311 | | |
| | | 1,200,000 | | | | CNPC HK Overseas Capital Ltd., Company Guaranteed Notes, 4.500% due 4/28/21 | | | | | 1,226,388 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| British Virgin Islands – (continued) | | ||||||||||||
| | $ | 4,800,000 | | | | Sinochem Overseas Capital Co., Ltd., Company Guaranteed Notes, 4.500% due 11/12/20 | | | | $ | 4,831,200 | | |
| | | | | | | Sinopec Group Overseas Development 2016 Ltd., Company Guaranteed Notes: | | | | | | | |
| | | 1,500,000 | | | | 2.000% due 9/29/21 | | | | | 1,518,180 | | |
| | | 800,000 | | | | 2.000% due 9/29/21(b) | | | | | 809,696 | | |
| | | 3,000,000 | | | | Sinopec Group Overseas Development 2018 Ltd., Company Guaranteed Notes, 2.150% due 5/13/25(b) | | | | | 3,119,970 | | |
| | | 400,000 | | | | State Grid Overseas Investment 2013 Ltd., Company Guaranteed Notes, 3.125% due 5/22/23 | | | | | 422,613 | | |
| | | | | | | Total British Virgin Islands | | | | | 24,152,075 | | |
| Canada – 0.8% | | ||||||||||||
| | | 950,000 | | | | Emera Inc., Junior Subordinated Notes, 6.750% (3-Month USD-LIBOR + 5.440%) due 6/15/76(a) | | | | | 1,064,000 | | |
| | | 280,000 | | | | Enbridge Inc., Subordinated Notes, 5.750% (5-Year CMT Index + 5.314%) due 7/15/80(a) | | | | | 294,683 | | |
| | | 3,600,000 | | | | MEGlobal Canada ULC, Company Guaranteed Notes, 5.000% due 5/18/25(b) | | | | | 3,933,000 | | |
| | | 1,153,000CAD | | | | WildBrain Ltd., Subordinated Notes, 5.875% due 9/30/24(b) | | | | | 574,643 | | |
| | | | | | | Total Canada | | | | | 5,866,326 | | |
| Cayman Islands – 3.7% | | ||||||||||||
| | | 3,400,000 | | | | Alibaba Group Holding Ltd., Senior Unsecured Notes, 2.800% due 6/6/23 | | | | | 3,596,981 | | |
| | | | | | | Baidu Inc., Senior Unsecured Notes: | | | | | | | |
| | | 1,100,000 | | | | 3.500% due 11/28/22 | | | | | 1,156,848 | | |
| | | 2,400,000 | | | | 3.875% due 9/29/23 | | | | | 2,588,172 | | |
| | | 650,000 | | | | 3.075% due 4/7/25 | | | | | 695,253 | | |
| | | 1,400,000 | | | | Grupo Aval Ltd., Company Guaranteed Notes, 4.750% due 9/26/22 | | | | | 1,435,000 | | |
| | | 4,300,000 | | | | HPHT Finance 19 Ltd., Company Guaranteed Notes, 2.875% due 11/5/24 | | | | | 4,456,864 | | |
| | | 474,941 | | | | Interoceanica IV Finance Ltd., Senior Secured Notes, zero coupon, due 11/30/25 | | | | | 437,696 | | |
| | | 1,200,000 | | | | JD.com Inc., Senior Unsecured Notes, 3.125% due 4/29/21 | | | | | 1,213,568 | | |
| | | 2,600,000 | | | | Latam Finance Ltd., Company Guaranteed Notes, 6.875% due 4/11/24(e) | | | | | 906,750 | | |
| | | 344,198 | | | | Peru Enhanced Pass-Through Finance Ltd., Pass Thru Certificates, zero coupon, due 6/2/25 | | | | | 321,825 | | |
| | | | | | | SPARC EM SPC Panama Metro Line 2 SP, Senior Secured Notes: | | | | | | | |
| | | 3,211,823 | | | | zero coupon, due 12/5/22 | | | | | 3,115,500 | | |
| | | 1,943,581 | | | | zero coupon, due 12/5/22(b) | | | | | 1,885,293 | | |
| | | 1,900,000 | | | | Tecnoglass Inc., Company Guaranteed Notes, 8.200% due 1/31/22 | | | | | 1,985,500 | | |
| | | | | | | Tencent Holdings Ltd., Senior Unsecured Notes: | | | | | | | |
| | | 374,000 | | | | 3.280% due 4/11/24 | | | | | 399,838 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Cayman Islands – (continued) | | ||||||||||||
| | $ | 3,500,000 | | | | 1.810% due 1/26/26(b) | | | | $ | 3,577,317 | | |
| | | | | | | Total Cayman Islands | | | | | 27,772,405 | | |
| Chile – 2.6% | | ||||||||||||
| | | | | | | AES Gener SA: | | | | | | | |
| | | | | | | Junior Subordinated Notes: | | | | | | | |
| | | 1,000,000 | | | | 7.125% (5-Year USD Swap Rate + 4.644%) due 3/26/79(a)(b) | | | | | 1,067,689 | | |
| | | 1,000,000 | | | | 7.125% (5-Year USD Swap Rate + 4.644%) due 3/26/79(a) | | | | | 1,067,688 | | |
| | | 200,000 | | | | Senior Unsecured Notes, 5.000% due 7/14/25 | | | | | 193,906 | | |
| | | 800,000 | | | | Banco Santander Chile, Senior Unsecured Notes, 2.500% due 12/15/20 | | | | | 797,480 | | |
| | | 400,000 | | | | Colbun SA, Senior Unsecured Notes, 4.500% due 7/10/24 | | | | | 438,172 | | |
| | | | | | | Corp. Nacional del Cobre de Chile, Senior Unsecured Notes: | | | | | | | |
| | | 500,000 | | | | 3.875% due 11/3/21 | | | | | 515,000 | | |
| | | 1,100,000 | | | | 3.000% due 7/17/22 | | | | | 1,133,000 | | |
| | | 500,000 | | | | 4.500% due 8/13/23 | | | | | 545,040 | | |
| | | 941,348 | | | | Empresa Electrica Angamos SA, Senior Secured Notes, 4.875% due 5/25/29 | | | | | 993,621 | | |
| | | 1,524,000 | | | | Empresa Electrica Guacolda SA, Senior Unsecured Notes, 4.560% due 4/30/25 | | | | | 1,247,790 | | |
| | | 5,135,000 | | | | Inversiones CMPC SA, Company Guaranteed Notes, 4.500% due 4/25/22 | | | | | 5,340,400 | | |
| | | 6,000,000 | | | | Telefonica Chile SA, Senior Unsecured Notes, 3.875% due 10/12/22 | | | | | 6,266,400 | | |
| | | | | | | Total Chile | | | | | 19,606,186 | | |
| Colombia – 1.3% | | ||||||||||||
| | | 902,000 | | | | Colombia Telecomunicaciones SA ESP, Senior Unsecured Notes, 5.375% due 9/27/22 | | | | | 904,399 | | |
| | | 3,945,000 | | | | Grupo de Inversiones Suramericana SA, Senior Unsecured Notes, 5.700% due 5/18/21 | | | | | 4,073,212 | | |
| | | 4,500,000 | | | | Oleoducto Central SA, Senior Unsecured Notes, 4.000% due 5/7/21 | | | | | 4,566,938 | | |
| | | | | | | Total Colombia | | | | | 9,544,549 | | |
| Denmark – 0.1% | | ||||||||||||
| | | 600,000EUR | | | | Georg Jensen AS, Secured Notes, 6.000% (3-Month EURIBOR + 6.000%) due 5/15/23(a) | | | | | 589,793 | | |
| Dominican Republic – 0.1% | | ||||||||||||
| | | 1,100,000 | | | | Banco de Reservas de la Republica Dominicana, Subordinated Notes, 7.000% due 2/1/23 | | | | | 1,112,375 | | |
| France – 0.4% | | ||||||||||||
| | | 1,000,000 | | | | BNP Paribas SA, Junior Subordinated Notes, 6.625% (5-Year USD Swap Rate + 4.149%)(a)(b)(c) | | | | | 1,066,250 | | |
| | | 1,075,000 | | | | Credit Agricole SA, Junior Subordinated Notes, 8.125% (5-Year USD Swap Rate + 6.185%)(a)(b)(c) | | | | | 1,273,875 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| France – (continued) | | ||||||||||||
| | $ | 790,000 | | | | Societe Generale SA, Junior Subordinated Notes, 7.875% (5-Year USD Swap Rate + 4.979%)(a)(b)(c) | | | | $ | 854,187 | | |
| | | | | | | Total France | | | | | 3,194,312 | | |
| Germany – 0.4% | | ||||||||||||
| | | 2,640,000EUR | | | | LifeFit Group, Secured Notes, 7.500% (3-Month EURIBOR + 7.500%) due 7/26/23(a) | | | | | 3,084,414 | | |
| Hong Kong – 0.8% | | ||||||||||||
| | | 6,000,000 | | | | CNAC HK Finbridge Co., Ltd., Company Guaranteed Notes, 3.500% due 7/19/22 | | | | | 6,212,351 | | |
| India – 2.4% | | ||||||||||||
| | | | | | | Adani Ports & Special Economic Zone Ltd., Senior Unsecured Notes: | | | | | | | |
| | | 3,350,000 | | | | 3.950% due 1/19/22 | | | | | 3,425,290 | | |
| | | 900,000 | | | | 3.375% due 7/24/24 | | | | | 920,621 | | |
| | | | | | | Indian Oil Corp., Ltd., Senior Unsecured Notes: | | | | | | | |
| | | 2,995,000 | | | | 5.625% due 8/2/21 | | | | | 3,092,338 | | |
| | | 2,000,000 | | | | 5.750% due 8/1/23 | | | | | 2,195,630 | | |
| | | 900,000 | | | | ONGC Videsh Ltd., Company Guaranteed Notes, 3.750% due 5/7/23 | | | | | 935,442 | | |
| | | | | | | Reliance Industries Ltd., Senior Unsecured Notes: | | | | | | | |
| | | 3,700,000 | | | | 4.500% due 10/19/20 | | | | | 3,715,452 | | |
| | | 3,150,000 | | | | 5.400% due 2/14/22 | | | | | 3,331,294 | | |
| | | | | | | Total India | | | | | 17,616,067 | | |
| Indonesia – 0.1% | | ||||||||||||
| | | 1,000,000 | | | | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, Senior Unsecured Notes, 5.500% due 11/22/21 | | | | | 1,048,000 | | |
| Ireland – 0.2% | | ||||||||||||
| | | 1,700,000 | | | | C&W Senior Financing DAC, Senior Unsecured Notes, 7.500% due 10/15/26 | | | | | 1,814,750 | | |
| Israel – 0.2% | | ||||||||||||
| | | 615,090 | | | | Delek & Avner Tamar Bond Ltd., Senior Secured Notes, 4.435% due 12/30/20(b) | | | | | 614,431 | | |
| | | 500,000 | | | | Israel Electric Corp., Ltd., Senior Secured Notes, 6.875% due 6/21/23 | | | | | 571,573 | | |
| | | | | | | Total Israel | | | | | 1,186,004 | | |
| Italy – 1.8% | | ||||||||||||
| | | 365,000 | | | | Intesa Sanpaolo SpA, Company Guaranteed Notes, 7.700% (5-Year USD Swap Rate + 5.462%)(a)(b)(c) | | | | | 392,375 | | |
| | | 10,374,000EUR | | | | Linkem SpA, Senior Secured Notes, 7.000% (3-Month EURIBOR + 7.000%) due 8/9/22(a)(b) | | | | | 12,194,998 | | |
| | | 445,000 | | | | UniCredit SpA, Junior Subordinated Notes, 8.000% (5-Year USD Swap Rate + 5.180%)(a)(c)@ | | | | | 480,889 | | |
| | | | | | | Total Italy | | | | | 13,068,262 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Luxembourg – 0.1% | | ||||||||||||
| | $ | 400,000 | | | | Swiss Re Finance Luxembourg SA, Company Guaranteed Notes, 5.000% (5-Year CMT Index + 3.582%) due 4/2/49(a)(b) | | | | $ | 456,974 | | |
| Malaysia – 1.6% | | ||||||||||||
| | | 6,300,000 | | | | Axiata SPV2 Bhd, Senior Unsecured Notes, 3.466% due 11/19/20 | | | | | 6,325,767 | | |
| | | 1,715,000 | | | | Malayan Banking Bhd, Subordinated Notes, 3.905% (5-Year USD Swap Rate + 2.542%) due 10/29/26(a) | | | | | 1,750,586 | | |
| | | 1,000,000 | | | | Malaysia Sovereign Sukuk Bhd, Unsecured Notes, 3.043% due 4/22/25 | | | | | 1,080,460 | | |
| | | 1,500,000 | | | | Petronas Capital Ltd., Company Guaranteed Notes, 3.125% due 3/18/22 | | | | | 1,545,390 | | |
| | | 1,000,000 | | | | Wakala Global Sukuk Bhd, Senior Unsecured Notes, 4.646% due 7/6/21 | | | | | 1,032,020 | | |
| | | | | | | Total Malaysia | | | | | 11,734,223 | | |
| Marshall Islands – 0.7% | | ||||||||||||
| | | 4,043,000 | | | | Borealis Finance LLC, Senior Secured Notes, 7.500% due 11/16/23(b) | | | | | 3,234,400 | | |
| | | 1,200,000 | | | | Golar LNG Partners LP, Senior Unsecured Notes, 6.506% (3-Month USD-LIBOR + 6.250%) due 11/22/21(a) | | | | | 1,044,000 | | |
| | | 5,000,000NOK | | | | Teekay LNG Partners LP, Senior Unsecured Notes, 5.380% (3-Month NOK-LIBOR + 5.150%) due 9/2/25(a)(g) | | | | | 572,351 | | |
| | | | | | | Total Marshall Islands | | | | | 4,850,751 | | |
| Mauritius – 0.4% | | ||||||||||||
| | | 3,000,000 | | | | UPL Corp., Ltd., Senior Unsecured Notes, 3.250% due 10/13/21 | | | | | 3,026,315 | | |
| Mexico – 3.4% | | ||||||||||||
| | | 5,400,000 | | | | Banco Mercantil del Norte SA, Junior Subordinated Notes, 6.875% (5-Year CMT Index + 5.035%)(a)(c) | | | | | 5,447,250 | | |
| | | 5,000,000 | | | | Banco Nacional de Comercio Exterior SNC, Subordinated Notes, 3.800% (5-Year CMT Index + 3.000%) due 8/11/26(a) | | | | | 5,000,050 | | |
| | | | | | | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand: | | | | | | | |
| | | 2,500,000 | | | | Senior Unsecured Notes, 5.375% due 4/17/25(b) | | | | | 2,818,750 | | |
| | | 200,000 | | | | Subordinated Notes, 5.950% (5-Year CMT Index + 2.995%) due 10/1/28(a)(b) | | | | | 210,700 | | |
| | | | | | | BBVA Bancomer SA, Subordinated Notes: | | | | | | | |
| | | 1,500,000 | | | | 6.500% due 3/10/21 | | | | | 1,534,125 | | |
| | | 457,000 | | | | 6.750% due 9/30/22 | | | | | 495,274 | | |
| | | 1,943,000 | | | | 5.350% (5-Year CMT Index + 3.000%) due 11/12/29(a) | | | | | 1,923,570 | | |
| | | | | | | Cemex SAB de CV, Senior Secured Notes: | | | | | | | |
| | | 500,000 | | | | 6.125% due 5/5/25 | | | | | 513,125 | | |
| | | 1,000,000 | | | | 7.750% due 4/16/26 | | | | | 1,051,925 | | |
| | | 350,000 | | | | Fomento Economico Mexicano SAB de CV, Senior Unsecured Notes, 2.875% due 5/10/23 | | | | | 364,000 | | |
| | | | | | | Grupo Bimbo SAB de CV: | | | | | | | |
| | | 1,400,000 | | | | Company Guaranteed Notes, 4.500% due 1/25/22 | | | | | 1,460,102 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Mexico – (continued) | | ||||||||||||
| | $ | 800,000 | | | | Junior Subordinated Notes, 5.950% (5-Year CMT Index + 3.280%) (a)(c) | | | | $ | 845,000 | | |
| | | | | | | Unifin Financiera SAB de CV, Company Guaranteed Notes: | | | | | | | |
| | | 2,450,000 | | | | 7.250% due 9/27/23 | | | | | 2,070,250 | | |
| | | 1,700,000 | | | | 7.000% due 1/15/25 | | | | | 1,389,750 | | |
| | | | | | | Total Mexico | | | | | 25,123,871 | | |
| Multinational – 1.5% | | ||||||||||||
| | | 10,883,000 | | | | Connect Finco SARL/Connect US Finco LLC, Senior Secured Notes, 6.750% due 10/1/26(b) | | | | | 11,236,697 | | |
| Netherlands – 1.1% | | ||||||||||||
| | | 1,090,000 | | | | AerCap Holdings NV, Company Guaranteed Notes, 5.875% (5-Year CMT Index + 4.535%) due 10/10/79(a)(b) | | | | | 880,404 | | |
| | | 400,000 | | | | AES Andres BV/Dominican Power Partners/Empresa Generadora de Electricidad It, Company Guaranteed Notes, 7.950% due 5/11/26 | | | | | 409,504 | | |
| | | 1,498,000 | | | | Alcoa Nederland Holding BV, Company Guaranteed Notes, 6.750% due 9/30/24(b) | | | | | 1,549,501 | | |
| | | 800,000 | | | | Equate Petrochemical BV, Company Guaranteed Notes, 4.250% due 11/3/26 | | | | | 855,693 | | |
| | | 600,000 | | | | ING Groep NV, Junior Subordinated Notes, 5.750% (5-Year CMT Index + 4.342%)(a)(c) | | | | | 634,248 | | |
| | | 3,000,000 | | | | MPC Container Ships Invest BV, Senior Secured Notes, 5.056% (3-Month USD-LIBOR + 4.750%) due 9/22/22(a) | | | | | 2,407,500 | | |
| | | 1,644,000 | | | | Petrobras Global Finance BV, Company Guaranteed Notes, 5.375% due 1/27/21 | | | | | 1,666,687 | | |
| | | | | | | Total Netherlands | | | | | 8,403,537 | | |
| Norway – 0.3% | | ||||||||||||
| | | 2,200,000 | | | | Jacktel AS, Senior Secured Notes, 10.000% due 12/4/23(b) | | | | | 539,000 | | |
| | | 13,500,000NOK | | | | Wallenius Wilhelmsen ASA, Senior Unsecured Notes, 6.010% (3-Month NOK-LIBOR + 5.750%) due 9/9/24(a)(g) | | | | | 1,545,347 | | |
| | | | | | | Total Norway | | | | | 2,084,347 | | |
| Panama – 1.6% | | ||||||||||||
| | | | | | | Banistmo SA, Senior Unsecured Notes: | | | | | | | |
| | | 1,000,000 | | | | 3.650% due 9/19/22 | | | | | 1,017,000 | | |
| | | 300,000 | | | | 3.650% due 9/19/22(b) | | | | | 305,100 | | |
| | | 4,274,266 | | | | ENA Norte Trust, Pass Thru Certificates, 4.950% due 4/25/23 | | | | | 4,284,995 | | |
| | | 2,900,000 | | | | Global Bank Corp., Senior Unsecured Notes, 4.500% due 10/20/21 | | | | | 2,975,835 | | |
| | | 3,000,000 | | | | Multibank Inc., Senior Unsecured Notes, 4.375% due 11/9/22 | | | | | 3,052,530 | | |
| | | | | | | Total Panama | | | | | 11,635,460 | | |
| Peru – 0.7% | | ||||||||||||
| | | 4,100,000 | | | | Banco de Credito del Peru, Subordinated Notes, 6.125% (3-Month USD-LIBOR + 7.043%) due 4/24/27(a) | | | | | 4,316,070 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Peru – (continued) | | ||||||||||||
| | $ | 500,000 | | | | Scotiabank Peru SAA, Subordinated Notes, 4.500% (3-Month USD-LIBOR + 3.856%) due 12/13/27(a) | | | | $ | 531,190 | | |
| | | | | | | Total Peru | | | | | 4,847,260 | | |
| Philippines – 0.6% | | ||||||||||||
| | | 700,000 | | | | Bank of the Philippine Islands, Senior Unsecured Notes, 2.500% due 9/10/24 | | | | | 714,523 | | |
| | | 3,000,000 | | | | BDO Unibank Inc., Senior Unsecured Notes, 2.950% due 3/6/23 | | | | | 3,090,595 | | |
| | | 800,000 | | | | Union Bank of the Philippines, Senior Unsecured Notes, 3.369% due 11/29/22 | | | | | 836,142 | | |
| | | | | | | Total Philippines | | | | | 4,641,260 | | |
| Portugal – 0.0% | | ||||||||||||
| | | 70,068 | | | | Invepar, zero coupon due 12/30/28(f)(g) | | | | | 2,996 | | |
| Saudi Arabia – 0.3% | | ||||||||||||
| | | 2,100,000 | | | | Saudi Arabian Oil Co., Senior Unsecured Notes, 2.750% due 4/16/22 | | | | | 2,155,768 | | |
| Singapore – 3.8% | | ||||||||||||
| | | | | | | DBS Group Holdings Ltd.: | | | | | | | |
| | | 4,000,000 | | | | Junior Subordinated Notes, 3.600% (5-Year USD Swap Rate + 2.390%)(a)(c) | | | | | 4,055,000 | | |
| | | 500,000 | | | | Senior Unsecured Notes, 2.850% due 4/16/22 | | | | | 516,182 | | |
| | | 500,000 | | | | Subordinated Notes, 4.520% (5-Year USD 1100 Run ICE Swap Rate + 1.590%) due 12/11/28(a) | | | | | 544,110 | | |
| | | 5,190,000 | | | | ONGC Videsh Vankorneft Pte Ltd., Company Guaranteed Notes, 2.875% due 1/27/22 | | | | | 5,243,042 | | |
| | | 200,000 | | | | Oversea-Chinese Banking Corp., Ltd., Subordinated Notes, 4.250% due 6/19/24 | | | | | 219,852 | | |
| | | 450,000 | | | | PSA Treasury Pte Ltd., Company Guaranteed Notes, 2.500% due 4/12/26 | | | | | 480,776 | | |
| | | | | | | SingTel Group Treasury Pte Ltd., Company Guaranteed Notes: | | | | | | | |
| | | 1,200,000 | | | | 3.250% due 6/30/25 | | | | | 1,319,422 | | |
| | | 2,100,000 | | | | 2.375% due 10/3/26 | | | | | 2,247,399 | | |
| | | 3,000,000 | | | | SP PowerAssets Ltd., Senior Unsecured Notes, 2.700% due 9/14/22 | | | | | 3,112,860 | | |
| | | 4,000,000 | | | | Temasek Financial I Ltd., Company Guaranteed Notes, 2.375% due 1/23/23 | | | | | 4,180,259 | | |
| | | | | | | United Overseas Bank Ltd., Subordinated Notes: | | | | | | | |
| | | 4,500,000 | | | | 3.500% (5-Year USD Swap Rate + 2.236%) due 9/16/26(a) | | | | | 4,593,330 | | |
| | | 1,900,000 | | | | 3.750% (5-Year CMT Index + 1.500%) due 4/15/29(a) | | | | | 2,032,036 | | |
| | | | | | | Total Singapore | | | | | 28,544,268 | | |
| South Korea – 1.7% | | ||||||||||||
| | | 2,200,000 | | | | Korea East-West Power Co., Ltd., Senior Unsecured Notes, 1.750% due 5/6/25(b) | | | | | 2,275,850 | | |
| | | 3,100,000 | | | | LG Chem Ltd., Senior Unsecured Notes, 3.250% due 10/15/24 | | | | | 3,337,733 | | |
| | | 2,000,000 | | | | NongHyup Bank, Senior Unsecured Notes, 1.250% due 7/20/25(b) | | | | | 2,009,270 | | |
| | | | | | | POSCO, Senior Unsecured Notes: | | | | | | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| South Korea – (continued) | | ||||||||||||
| | $ | 2,000,000 | | | | 2.375% due 11/12/22 | | | | $ | 2,049,986 | | |
| | | 1,844,000 | | | | 2.375% due 1/17/23 | | | | | 1,889,021 | | |
| | | 700,000 | | | | 2.750% due 7/15/24 | | | | | 733,664 | | |
| | | | | | | Total South Korea | | | | | 12,295,524 | | |
| Sweden – 0.1% | | ||||||||||||
| | | 3,750,000SEK | | | | VNV Global AB, Senior Secured Notes, 5.750% due 10/4/22 | | | | | 442,210 | | |
| Switzerland – 0.4% | | ||||||||||||
| | | 1,455,000 | | | | Credit Suisse Group AG, Junior Subordinated Notes, 6.375% (5-Year CMT Index + 4.822%)(a)(b)(c) | | | | | 1,582,313 | | |
| | | 1,400,000 | | | | UBS Group AG, Junior Subordinated Notes, 7.000% (5-Year USD Swap Rate + 4.866%)(a)(c)@ | | | | | 1,582,000 | | |
| | | | | | | Total Switzerland | | | | | 3,164,313 | | |
| Thailand – 0.4% | | ||||||||||||
| | | | | | | Bangkok Bank PCL, Senior Unsecured Notes: | | | | | | | |
| | | 1,300,000 | | | | 4.800% due 10/18/20 | | | | | 1,305,720 | | |
| | | 1,800,000 | | | | 3.875% due 9/27/22 | | | | | 1,893,296 | | |
| | | | | | | Total Thailand | | | | | 3,199,016 | | |
| United Kingdom – 1.8% | | ||||||||||||
| | | | | | | AstraZeneca PLC, Senior Unsecured Notes: | | | | | | | |
| | | 1,326,000 | | | | 0.700% due 4/8/26 | | | | | 1,317,154 | | |
| | | 1,989,000 | | | | 1.375% due 8/6/30 | | | | | 1,947,878 | | |
| | | 1,300,000 | | | | Barclays PLC, Junior Subordinated Notes, 7.750% (5-Year USD Swap Rate + 4.842%)(a)(c) | | | | | 1,376,881 | | |
| | | 1,421,000EUR | | | | CentralNic Group PLC, Senior Secured Notes, 7.000% (3-Month EURIBOR + 7.000%) due 7/3/23(a) | | | | | 1,738,217 | | |
| | | 1,225,000 | | | | Lloyds Banking Group PLC, Junior Subordinated Notes, 7.500% (5-Year USD Swap Rate + 4.760%)(a)(c) | | | | | 1,326,062 | | |
| | | 1,145,000 | | | | Natwest Group PLC, Junior Subordinated Notes, 8.625% (5-Year USD Swap Rate + 7.598%)(a)(c) | | | | | 1,203,590 | | |
| | | 2,400,000EUR | | | | SB Holdco PLC, Secured Notes, 8.000% (3-Month EURIBOR + 8.000%) due 7/13/22(a) | | | | | 2,785,395 | | |
| | | 400,000 | | | | Standard Chartered PLC, Junior Subordinated Notes, 7.750% (5-Year USD Swap Rate + 5.723%)(a)(b)(c) | | | | | 433,728 | | |
| | | | | | | Vedanta Resources Ltd., Senior Unsecured Notes: | | | | | | | |
| | | 800,000 | | | | 7.125% due 5/31/23 | | | | | 648,400 | | |
| | | 200,000 | | | | 6.125% due 8/9/24 | | | | | 154,306 | | |
| | | 370,000 | | | | Vodafone Group PLC, Junior Subordinated Notes, 7.000% (5-Year USD Swap Rate + 4.873%) due 4/4/79(a) | | | | | 445,164 | | |
| | | | | | | Total United Kingdom | | | | | 13,376,775 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| United States – 24.7% | | ||||||||||||
| | $ | 1,632,000 | | | | Allegheny Technologies Inc., Senior Unsecured Notes, 7.875% due 8/15/23 | | | | $ | 1,714,742 | | |
| | | 1,989,000 | | | | Alphabet Inc., Senior Unsecured Notes, 1.100% due 8/15/30 | | | | | 1,978,001 | | |
| | | 395,000 | | | | American International Group Inc., Junior Subordinated Notes, 5.750% (3-Month USD-LIBOR + 2.868%) due 4/1/48(a) | | | | | 435,887 | | |
| | | 3,007,000 | | | | Anagram International Inc./Anagram Holdings LLC, Senior Secured Notes, 15.000% due 8/15/25(b)(d) | | | | | 3,157,350 | | |
| | | 11,016,000 | | | | APX Group Inc., Senior Secured Notes, 7.875% due 12/1/22 | | | | | 11,136,625 | | |
| | | 760,000 | | | | Assurant Inc., Subordinated Notes, 7.000% (3-Month USD-LIBOR + 4.135%) due 3/27/48(a) | | | | | 813,808 | | |
| | | 1,269,000 | | | | Assured Guaranty Municipal Holdings Inc., Company Guaranteed Notes, 6.400% (1-Month USD-LIBOR + 2.215%) due 12/15/66(a)(b) | | | | | 1,266,734 | | |
| | | 6,697,000 | | | | At Home Holding III Inc., Senior Secured Notes, 8.750% due 9/1/25(b) | | | | | 6,840,985 | | |
| | | | | | | Bank of America Corp., Junior Subordinated Notes: | | | | | | | |
| | | 400,000 | | | | 6.100% (3-Month USD-LIBOR + 3.898%)(a)(c) | | | | | 448,820 | | |
| | | 850,000 | | | | 6.300% (3-Month USD-LIBOR + 4.553%)(a)(c) | | | | | 982,907 | | |
| | | 360,000 | | | | Bank of New York Mellon Corp., Junior Subordinated Notes, 4.700% (5-Year CMT Index + 4.358%)(a)(c) | | | | | 390,960 | | |
| | | 264,000 | | | | Briggs & Stratton Corp., Senior Unsecured Notes, 6.875% due 12/15/20(e) | | | | | 17,160 | | |
| | | 205,000 | | | | Capital One Financial Corp., Junior Subordinated Notes, 4.046% (3-Month USD-LIBOR + 3.800%)(a)(c) | | | | | 185,012 | | |
| | | 1,005,000 | | | | CenterPoint Energy Inc., Junior Subordinated Notes, 6.125% (3-Month USD-LIBOR + 3.270%)(a)(c) | | | | | 1,022,587 | | |
| | | 850,000 | | | | Charles Schwab Corp., Junior Subordinated Notes, 5.375% (5-Year CMT Index + 4.971%)(a)(c) | | | | | 932,875 | | |
| | | 1,401,000 | | | | Chefs’ Warehouse Inc., Senior Unsecured Notes, 1.875% due 12/1/24(b) | | | | | 1,035,882 | | |
| | | 290,000 | | | | CIT Group Inc., Junior Subordinated Notes, 5.800% (3-Month USD-LIBOR + 3.972%)(a)(c) | | | | | 235,173 | | |
| | | 9,591,000 | | | | CITGO Petroleum Corp., Senior Secured Notes, 6.250% due 8/15/22(b) | | | | | 9,567,022 | | |
| | | 1,889,000 | | | | Citigroup Inc., Junior Subordinated Notes, 5.950% (3-Month USD-LIBOR + 3.905%)(a)(c) | | | | | 2,039,742 | | |
| | | 835,000 | | | | Citizens Financial Group Inc., Junior Subordinated Notes, 6.375% (3-Month USD-LIBOR + 3.157%)(a)(c) | | | | | 839,175 | | |
| | | 1,324,000 | | | | Clearway Energy Operating LLC, Company Guaranteed Notes, 4.750% due 3/15/28(b) | | | | | 1,386,890 | | |
| | | 1,075,000 | | | | CoBank ACB, Junior Subordinated Notes, 6.250% (3-Month USD-LIBOR + 4.660%)(a)(b)(c) | | | | | 1,128,750 | | |
| | | 440,175 | | | | Continental Airlines Class A Pass-Through Trust, Pass Thru Certificates, 5.983% due 4/19/22 | | | | | 418,676 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | $ | 151,947 | | | | Continental Airlines Class A-1 Pass-Through Trust, Pass Thru Certificates, 7.707% due 4/2/21 | | | | $ | 150,146 | | |
| | | | | | | CTO Realty Growth Inc., Senior Unsecured Notes: | | | | | | | |
| | | 2,683,000 | | | | 3.875% due 4/15/25 | | | | | 2,420,707 | | |
| | | 2,412,000 | | | | 3.875% due 4/15/25(b) | | | | | 2,158,549 | | |
| | | | | | | CVS Health Corp., Senior Unsecured Notes: | | | | | | | |
| | | 335,000 | | | | 1.300% due 8/21/27 | | | | | 332,892 | | |
| | | 670,000 | | | | 1.750% due 8/21/30 | | | | | 661,729 | | |
| | | 535,000 | | | | Dairy Farmers of America Inc., Junior Subordinated Notes, 7.125%(b)(c) | | | | | 492,200 | | |
| | | 5,164,000 | | | | Dell International LLC/EMC Corp., Company Guaranteed Notes, 7.125% due 6/15/24(b) | | | | | 5,361,730 | | |
| | | 2,127,000 | | | | Diamond Sports Group LLC/Diamond Sports Finance Co., Senior Secured Notes, 12.750% due 12/1/26(b) | | | | | 1,807,950 | | |
| | | 310,000 | | | | Discover Financial Services, Junior Subordinated Notes, 6.125% (5-Year CMT Index + 5.783%)(a)(c) | | | | | 334,304 | | |
| | | 5,786,000 | | | | DISH DBS Corp., Company Guaranteed Notes, 6.750% due 6/1/21 | | | | | 5,930,650 | | |
| | | 1,321,000 | | | | Donnelley Financial Solutions Inc., Company Guaranteed Notes, 8.250% due 10/15/24 | | | | | 1,373,840 | | |
| | | | | | | EP Energy LLC/Everest Acquisition Finance Inc.: | | | | | | | |
| | | 11,986,000 | | | | Secured Notes, 9.375% due 5/1/24(b)(e) | | | | | 1,199 | | |
| | | 12,619,000 | | | | Senior Secured Notes, 8.000% due 11/29/24(b)(e) | | | | | 12,619 | | |
| | | 615,000 | | | | Equitable Holdings Inc., Junior Subordinated Notes, 4.950% (5-Year CMT Index + 4.736%)(a)(c) | | | | | 632,189 | | |
| | | 2,933,000 | | | | Ferrellgas LP/Ferrellgas Finance Corp., Senior Secured Notes, 10.000% due 4/15/25(b) | | | | | 3,189,637 | | |
| | | 310,000 | | | | Fifth Third Bancorp, Junior Subordinated Notes, 4.500% (5-Year CMT Index + 4.215%)(a)(c) | | | | | 317,440 | | |
| | | 5,913,000 | | | | FXI Holdings Inc., Senior Secured Notes, 12.250% due 11/15/26(b) | | | | | 6,454,453 | | |
| | | 1,195,000 | | | | General Electric Co., Junior Subordinated Notes, 5.000% (3-Month USD-LIBOR + 3.330%)(a)(c) | | | | | 931,550 | | |
| | | 1,025,000 | | | | General Motors Financial Co., Inc., Junior Subordinated Notes, 5.750% (3-Month USD-LIBOR + 3.598%)(a)(c) | | | | | 998,278 | | |
| | | 1,399,000 | | | | Goldman Sachs Group Inc., Junior Subordinated Notes, 5.500% (5-Year CMT Index + 3.623%)(a)(c) | | | | | 1,514,138 | | |
| | | 7,207,324 | | | | Hawaiian Airlines Class A Pass-Through Certificates, Pass Thru Certificates, 3.900% due 1/15/26 | | | | | 6,215,033 | | |
| | | 994,925 | | | | Hawaiian Airlines Class B Pass-Through Certificates, 4.950% due 1/15/22 | | | | | 902,927 | | |
| | | | | | | HC2 Holdings Inc.: | | | | | | | |
| | | 5,195,000 | | | | Senior Secured Notes, 11.500% due 12/1/21(b) | | | | | 4,844,338 | | |
| | | 1,112,000 | | | | Senior Unsecured Notes, 7.500% due 6/1/22(b) | | | | | 873,922 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | $ | 5,959,000 | | | | Hercules Achievement Inc./Varsity Brands Holding Co., Inc., Senior Secured Notes, 9.000% (3-Month USD-LIBOR + 8.000%) due 12/22/24(a)(b) | | | | $ | 5,303,510 | | |
| | | 1,745,000 | | | | Huntington Bancshares Inc., Junior Subordinated Notes, 5.625% (5-Year CMT Index + 4.945%)(a)(c) | | | | | 1,950,037 | | |
| | | 3,319,000 | | | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., Company Guaranteed Notes, 4.750% due 9/15/24 | | | | | 3,426,867 | | |
| | | | | | | JPMorgan Chase & Co., Junior Subordinated Notes: | | | | | | | |
| | | 790,000 | | | | 5.000% (SOFR + 3.380%)(a)(c) | | | | | 811,176 | | |
| | | 1,345,000 | | | | 6.750% (3-Month USD-LIBOR + 3.780%)(a)(c) | | | | | 1,503,037 | | |
| | | 475,000 | | | | KeyCorp, Junior Subordinated Notes, 5.000% (3-Month USD-LIBOR + 3.606%)(a)(c) | | | | | 485,545 | | |
| | | | | | | Land O’ Lakes Inc., Junior Subordinated Notes: | | | | | | | |
| | | 415,000 | | | | 7.000%(b)(c) | | | | | 371,944 | | |
| | | 1,655,000 | | | | 7.250%(b)(c) | | | | | 1,567,119 | | |
| | | 3,833,000 | | | | Level 3 Financing Inc., Company Guaranteed Notes, 5.125% due 5/1/23 | | | | | 3,833,000 | | |
| | | 500,000 | | | | M&T Bank Corp., Junior Subordinated Notes, 5.125% (3-Month USD-LIBOR + 3.520%)(a)(c) | | | | | 526,725 | | |
| | | 370,000 | | | | Markel Corp., Junior Subordinated Notes, 6.000% (5-Year CMT Index + 5.662%)(a)(c) | | | | | 396,825 | | |
| | | | | | | Martin Midstream Partners LP/Martin Midstream Finance Corp.: | | | | | | | |
| | | 3,587,055 | | | | Secured Notes, 11.500% due 2/28/25(b) | | | | | 3,201,447 | | |
| | | 570,576 | | | | Senior Secured Notes, 10.000% due 2/29/24(b) | | | | | 592,543 | | |
| | | 790,000 | | | | MetLife Inc., Junior Subordinated Notes, 5.875% (3-Month USD-LIBOR + 2.959%)(a)(c) | | | | | 872,950 | | |
| | | 954,000 | | | | Michael Kors USA Inc., Company Guaranteed Notes, 4.250% due 11/1/24(b) | | | | | 905,184 | | |
| | | 335,000 | | | | Motorola Solutions Inc., Senior Unsecured Notes, 2.300% due 11/15/30 | | | | | 333,951 | | |
| | | 9,926,000 | | | | Mueller Industries Inc., Subordinated Notes, 6.000% due 3/1/27 | | | | | 10,064,368 | | |
| | | 510,000 | | | | NiSource Inc., Junior Subordinated Notes, 5.650% (5-Year CMT Index + 2.843%)(a)(c) | | | | | 507,450 | | |
| | | 1,855,000 | | | | Oceaneering International Inc., Senior Unsecured Notes, 4.650% due 11/15/24 | | | | | 1,268,356 | | |
| | | 1,989,000 | | | | ORBCOMM Inc., Senior Secured Notes, 8.000% due 4/1/24(b) | | | | | 1,934,303 | | |
| | | 4,364,000 | | | | PBF Logistics LP/PBF Logistics Finance Corp., Company Guaranteed Notes, 6.875% due 5/15/23 | | | | | 4,328,608 | | |
| | | 647,000 | | | | PNC Financial Services Group Inc., Junior Subordinated Notes, 5.000% (3-Month USD-LIBOR + 3.300%)(a)(c) | | | | | 689,055 | | |
| | | 480,000 | | | | Provident Financing Trust I, Limited Guaranteed Notes, 7.405% due 3/15/38 | | | | | 552,064 | | |
| | | 1,175,000 | | | | Regions Financial Corp., Junior Subordinated Notes, 5.750% (5-Year CMT Index + 5.430%)(a)(c) | | | | | 1,274,875 | | |
| | | 875,000 | | | | SBL Holdings Inc., Junior Subordinated Notes, 7.000% (5-Year CMT Index + 5.580%)(a)(b)(c) | | | | | 752,500 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | $ | 300,000 | | | | Sempra Energy, Junior Subordinated Notes, 4.875% (5-Year CMT Index + 4.550%)(a)(c) | | | | $ | 313,530 | | |
| | | | | | | SESI LLC, Company Guaranteed Notes: | | | | | | | |
| | | 3,758,000 | | | | 7.125% due 12/15/21 | | | | | 1,052,240 | | |
| | | 5,992,000 | | | | 7.125% due 12/15/21(b) | | | | | 2,217,040 | | |
| | | 3,475,000 | | | | 7.750% due 9/15/24 | | | | | 831,846 | | |
| | | 6,211,000 | | | | StoneX Group Inc., Senior Secured Notes, 8.625% due 6/15/25(b) | | | | | 6,723,408 | | |
| | | 1,156,000 | | | | StorCentric Inc., Senior Secured Notes, 5.875% due 2/19/23(b)(f) | | | | | 1,165,089 | | |
| | | 7,225,000 | | | | Tapestry Inc., Senior Unsecured Notes, 4.250% due 4/1/25 | | | | | 7,391,365 | | |
| | | 1,326,000 | | | | Textron Inc., Senior Unsecured Notes, 2.450% due 3/15/31 | | | | | 1,311,742 | | |
| | | 4,378,000 | | | | T-Mobile USA Inc., Company Guaranteed Notes, 6.000% due 3/1/23 | | | | | 4,383,473 | | |
| | | 193,026 | | | | Toll Road Investors Partnership II LP, Senior Secured Notes, zero coupon, due 2/15/45(b) | | | | | 61,544 | | |
| | | | | | | Triumph Group Inc.: | | | | | | | |
| | | 3,533,000 | | | | Secured Notes, 6.250% due 9/15/24(b) | | | | | 2,890,029 | | |
| | | 2,652,000 | | | | Senior Secured Notes, 8.875% due 6/1/24(b) | | | | | 2,797,860 | | |
| | | | | | | Truist Financial Corp., Junior Subordinated Notes: | | | | | | | |
| | | 385,000 | | | | 4.800% (5-Year CMT Index + 3.003%)(a)(c) | | | | | 399,444 | | |
| | | 1,160,000 | | | | 4.950% (5-Year CMT Index + 4.605%)(a)(c) | | | | | 1,255,549 | | |
| | | 1,100,000 | | | | Voya Financial Inc., Junior Subordinated Notes, 6.125% (5-Year CMT Index + 3.358%)(a)(c) | | | | | 1,144,000 | | |
| | | 1,873,000 | | | | W&T Offshore Inc., Secured Notes, 9.750% due 11/1/23(b) | | | | | 1,358,300 | | |
| | | 1,490,000 | | | | Welbilt Inc., Company Guaranteed Notes, 9.500% due 2/15/24 | | | | | 1,512,350 | | |
| | | 1,560,000 | | | | Wells Fargo & Co., Junior Subordinated Notes, 5.875% (3-Month USD-LIBOR + 3.990%)(a)(c) | | | | | 1,721,866 | | |
| | | 1,326,000 | | | | XPO Logistics Inc., Company Guaranteed Notes, 6.250% due 5/1/25(b) | | | | | 1,415,505 | | |
| | | | | | | Total United States | | | | | 183,287,802 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Cost – 494,659,336) | | | | | 496,438,108 | | |
| SENIOR LOANS – 7.3%(a) | | ||||||||||||
| | | 988,764 | | | | Appvion Operations Inc., 7.000% (3-Month USD-LIBOR + 6.000%) due 6/12/26 | | | | | 964,045 | | |
| | | 6,417,244 | | | | Crestwood Holdings LLC, 7.660% (1-Month USD-LIBOR + 7.500%) due 3/6/23 | | | | | 4,179,230 | | |
| | | 8,261,000 | | | | Fieldwood Energy LLC, 6.250% (3-Month USD-LIBOR + 5.250%) due 4/11/22(e) | | | | | 1,982,640 | | |
| | | 13,526,374 | | | | First Brands Group LLC, 8.500% (2-Month USD-LIBOR + 7.500%) due 2/2/24 | | | | | 13,255,846 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| SENIOR LOANS – (continued) | | ||||||||||||
| | $ | 2,168,000 | | | | General Nutrition Centers Inc., 10.000% (1-Month USD-LIBOR + 9.000%) due 12/31/22 | | | | $ | 2,098,906 | | |
| | | 6,699,086 | | | | Golden Nugget Online Gaming Inc., 13.000% (2-Month USD-LIBOR + 12.000%) due 10/4/23 | | | | | 7,569,967 | | |
| | | 1,726,193 | | | | GTT Communications Inc., 2.910% (1-Month USD-LIBOR + 2.750%) due 5/31/25 | | | | | 1,358,117 | | |
| | | 3,778,853 | | | | IEA Energy Services LLC, 7.058% (3-Month USD-LIBOR + 6.750%) due 9/25/24 | | | | | 3,690,692 | | |
| | | 2,668,507 | | | | Internap Holding LLC, 7.500% (3-Month USD-LIBOR + 6.500%) due 5/8/25 | | | | | 1,467,679 | | |
| | | 4,430,542 | | | | Lealand Finance Co., BV due 6/30/25(h) | | | | | 3,577,663 | | |
| | | 713,606 | | | | Monitronics International Inc., 7.750% (1-Month USD-LIBOR + 6.500%) due 3/29/24 | | | | | 534,848 | | |
| | | 2,645,055 | | | | Party City Holdings Inc., 3.250% (3-Month USD-LIBOR + 2.500%) due 8/19/22 | | | | | 1,852,015 | | |
| | | 4,567,591 | | | | Pixelle Specialty Solutions LLC, 7.500% (1-Month USD-LIBOR + 6.500%) due 10/31/24 | | | | | 4,430,563 | | |
| | | 2,450,000 | | | | Production Resource Group LLC, 9.250% (3-Month USD-LIBOR + 6.000%) due 8/21/24(e) | | | | | 1,347,500 | | |
| | | 1,144,361 | | | | RA Acquisition Purchaser LLC, 11.000% (3-Month USD-LIBOR + 10.000%) due 5/31/23(g) | | | | | 1,144,361 | | |
| | | 5,128,903 | | | | Windstream Services LLC, 2.660% (1-Month USD-LIBOR + 2.500%) due 2/26/21 | | | | | 5,064,792 | | |
| | | | | | | TOTAL SENIOR LOANS | | | |||||
| | | | | | | (Cost – $64,131,048) | | | | | 54,518,864 | | |
| SOVEREIGN BONDS – 6.4% | | ||||||||||||
| Brazil – 0.8% | | ||||||||||||
| | | 6,000,000 | | | | Brazilian Government International Bond, 2.875% due 6/6/25 | | | | | 6,072,000 | | |
| Colombia – 0.6% | | ||||||||||||
| | | | | | | Colombia Government International Bond: | | | | | | | |
| | | 2,500,000 | | | | 4.375% due 7/12/21 | | | | | 2,571,200 | | |
| | | 2,100,000 | | | | 2.625% due 3/15/23 | | | | | 2,154,621 | | |
| | | | | | | Total Colombia | | | | | 4,725,821 | | |
| Dominican Republic – 0.4% | | ||||||||||||
| | | 3,160,000 | | | | Dominican Republic International Bond, 7.500% due 5/6/21 | | | | | 3,270,632 | | |
| India – 0.3% | | ||||||||||||
| | | 2,000,000 | | | | Export-Import Bank of India, 3.125% due 7/20/21 | | | | | 2,013,663 | | |
| Indonesia – 1.3% | | ||||||||||||
| | | | | | | Indonesia Government International Bond: | | | | | | | |
| | | 1,500,000 | | | | 3.750% due 4/25/22 | | | | | 1,561,350 | | |
| | | 2,200,000 | | | | 2.950% due 1/11/23 | | | | | 2,289,496 | | |
| | | 300,000 | | | | 3.375% due 4/15/23 | | | | | 316,206 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| SOVEREIGN BONDS – (continued) | | ||||||||||||
| Indonesia – (continued) | | ||||||||||||
| | | | | | | Perusahaan Penerbit SBSN Indonesia III: | | | | | | | |
| | $ | 1,000,000 | | | | 3.400% due 3/29/22 | | | | $ | 1,035,900 | | |
| | | 3,018,000 | | | | 3.300% due 11/21/22 | | | | | 3,150,068 | | |
| | | 1,321,000 | | | | 3.750% due 3/1/23 | | | | | 1,399,084 | | |
| | | | | | | Total Indonesia | | | | | 9,752,104 | | |
| Mexico – 0.6% | | ||||||||||||
| | | 2,600,000 | | | | Mexico Government International Bond, 3.900% due 4/27/25 | | | | | 2,860,000 | | |
| | | 1,500,000 | | | | Nacional Financiera SNC, 3.375% due 11/5/20 | | | | | 1,500,870 | | |
| | | | | | | Total Mexico | | | | | 4,360,870 | | |
| Peru – 0.3% | | ||||||||||||
| | | 1,900,000 | | | | Peruvian Government International Bond, 2.392% due 1/23/26 | | | | | 1,996,900 | | |
| Qatar – 0.4% | | ||||||||||||
| | | | | | | Qatar Government International Bond: | | | | | | | |
| | | 2,300,000 | | | | 2.375% due 6/2/21 | | | | | 2,321,252 | | |
| | | 900,000 | | | | 4.500% due 1/20/22 | | | | | 943,686 | | |
| | | | | | | Total Qatar | | | | | 3,264,938 | | |
| Saudi Arabia – 0.9% | | ||||||||||||
| | | | | | | Saudi Government International Bond: | | | | | | | |
| | | 3,500,000 | | | | 2.375% due 10/26/21 | | | | | 3,554,740 | | |
| | | 3,000,000 | | | | 2.875% due 3/4/23 | | | | | 3,124,200 | | |
| | | | | | | Total Saudi Arabia | | | | | 6,678,940 | | |
| South Korea – 0.3% | | ||||||||||||
| | | 1,900,000 | | | | Korea Electric Power Corp., 1.125% due 6/15/25(b) | | | | | 1,909,518 | | |
| United Arab Emirates – 0.5% | | ||||||||||||
| | | | | | | Abu Dhabi Government International Bond: | | | | | | | |
| | | 2,000,000 | | | | 0.750% due 9/2/23(b)(f) | | | | | 2,001,094 | | |
| | | 1,600,000 | | | | 2.500% due 4/16/25(b) | | | | | 1,695,920 | | |
| | | | | | | Total United Arab Emirates | | | | | 3,697,014 | | |
| | | | | | | TOTAL SOVEREIGN BONDS (Cost – $46,793,409) | | | | | 47,742,400 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – 1.0% | | |||||||||||||||
| California – 0.2% | | | ||||||||||||||
| | | 1,250,000 | | | | BBB+ | | | California Pollution Control Financing Authority, Revenue Bonds, Series A, 0.500% due 8/1/23(a)(b)(i) | | | | | 1,249,900 | | |
| Texas – 0.8% | | | ||||||||||||||
| | | 1,000,000 | | | | BBB+ | | | Mission Economic Development Corp., Revenue Bonds, 0.500% due 1/1/26(a)(i) | | | | | 999,920 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | | ||||||||||||||
| | $ | 4,840,000 | | | | A- | | | Mission Economic Development Corp., Solid Waste Disposal Revenue Various Waste Management Incorporate Project Series A, 0.400% due 5/1/46(a)(i) | | | | $ | 4,840,000 | | |
| | | | | | | | | | Total Texas | | | | | 5,839,920 | | |
| | | | | | | | | | TOTAL MUNICIPAL BONDS (Cost – $7,090,000) | | | | | 7,089,820 | | |
| Shares/Units | | | | | | | | ||||||
| COMMON STOCKS – 4.5% | | ||||||||||||
| Canada – 0.0% | | ||||||||||||
| | | 21,182 | | | | Frontera Energy Corp. | | | | | 44,423 | | |
| United States – 4.5% | | ||||||||||||
| | | 103,773 | | | | Alpine Income Property Trust Inc. | | | | | 1,505,746 | | |
| | | 267,281 | | | | Appvion Inc.*(f)(g) | | | | | 2,646,082 | | |
| | | 97,508 | | | | Ceres Acquisition Corp., Class A Shares*(f) | | | | | 924,376 | | |
| | | 39,130 | | | | CTO Realty Growth Inc. | | | | | 1,650,112 | | |
| | | 352 | | | | Energy Harbor Corp.*(g) | | | | | 6,776 | | |
| | | 271,559 | | | | Foley Trasimene Acquisition Corp. II*(f) | | | | | 2,721,021 | | |
| | | 468,811 | | | | Fortress Value Acquisition Corp. II* | | | | | 4,758,432 | | |
| | | 77,588 | | | | Forum Merger III Corp.* | | | | | 774,328 | | |
| | | 77,588 | | | | Horizon Acquisition Corp.* | | | | | 782,863 | | |
| | | 587,615 | | | | Internap Loan Equity*(f)(g) | | | | | 5,876 | | |
| | | 39,787 | | | | Ladder Capital Corp., Class A Shares | | | | | 296,413 | | |
| | | 251,150 | | | | Mcdermott International Ltd.* | | | | | 740,893 | | |
| | | 27,417 | | | | Pershing Square Tontine Holdings Ltd.* | | | | | 586,998 | | |
| | | 52 | | | | Real Alloy Holding Inc.*(f)(g) | | | | | 1,119,901 | | |
| | | 500,000 | | | | Stable Road Acquisition Corp., Class A Shares* | | | | | 4,965,000 | | |
| | | 914,461 | | | | Subversive Capital Acquisition Corp., Class A Shares*(f) | | | | | 9,007,441 | | |
| | | 45,000 | | | | Tuscan Holdings Corp. II* | | | | | 448,650 | | |
| | | | | | | Total United States | | | | | 32,940,908 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $36,994,882) | | | | | 32,985,331 | | |
| PREFERRED STOCKS – 2.0% | | ||||||||||||
| Bermuda – 0.3% | | ||||||||||||
| | | 30,926 | | | | Aspen Insurance Holdings Ltd., 5.625%(c) | | | | | 765,419 | | |
| | | 20,430 | | | | Athene Holding Ltd., 6.375% (5-Year CMT Index + 5.970%) *(a)(c) | | | | | 553,040 | | |
| | | 6,150 | | | | Axis Capital Holdings Ltd., 5.500%(c) | | | | | 156,517 | | |
| | | 19,388 | | | | Enstar Group Ltd., 7.000% (3-Month USD-LIBOR + 4.015%)(a)(c) | | | | | 517,466 | | |
| | | | | | | Total Bermuda | | | | | 1,992,442 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| PREFERRED STOCKS – (continued) | | ||||||||||||
| United States – 1.7% | | ||||||||||||
| | | 12,415 | | | | Air Lease Corp., 6.150% (3-Month USD-LIBOR + 3.650%)(a)(c) | | | | $ | 291,008 | | |
| | | 30,635 | | | | American Equity Investment Life Holding Co., 6.625% (5-Year CMT Index + 6.297%)*(a)(c) | | | | | 780,886 | | |
| | | 3,000 | | | | CoBank ACB, 6.250% (3-Month USD-LIBOR + 4.557%)(a)(b)(c) | | | | | 312,000 | | |
| | | 1,000 | | | | Dairy Farmers of America Inc., 7.875%(b)(c)(f) | | | | | 90,500 | | |
| | | 50,000 | | | | Delphi Financial Group Inc., 3.470% (3-Month USD-LIBOR + 3.190%)(a)(c) | | | | | 1,000,000 | | |
| | | 18,970 | | | | Farm Credit Bank of Texas, 6.750% (3-Month USD-LIBOR + 4.010%)(a)(b)(c) | | | | | 2,029,790 | | |
| | | 25,550 | | | | GMAC Capital Trust I, 6.065% (3-Month USD-LIBOR + 5.785%)(a)(c) | | | | | 626,741 | | |
| | | 6,650 | | | | Great Elm Capital Corp., 6.500%(c) | | | | | 155,543 | | |
| | | 77,421 | | | | Monmouth Real Estate Investment Corp., 6.125%(c) | | | | | 1,933,977 | | |
| | | 73,505 | | | | Morgan Stanley, 5.850% (3-Month USD-LIBOR + 3.491%)(a)(c)(j) | | | | | 2,075,781 | | |
| | | 18,115 | | | | New York Community Bancorp Inc., 6.375% (3-Month USD-LIBOR + 3.821%)(a)(c) | | | | | 490,554 | | |
| | | 49,161 | | | | NuStar Energy LP, 7.625% (3-Month USD-LIBOR + 5.643%)(a)(c) | | | | | 838,687 | | |
| | | 14,500 | | | | Synchrony Financial, 5.625%(c) | | | | | 352,640 | | |
| | | 60,924 | | | | WESCO International Inc. (5-Year CMT Index + 10.325%)*(a)(c) | | | | | 1,691,859 | | |
| | | 6,915 | | | | Wintrust Financial Corp., 6.875% (5-Year CMT Index + 6.507%)*(a)(c) | | | | | 183,870 | | |
| | | | | | | Total United States | | | | | 12,853,836 | | |
| | | | | | | TOTAL PREFERRED STOCKS (Cost – $15,016,156) | | | | | 14,846,278 | | |
| CONVERTIBLE PREFERRED STOCK – 0.2% | | ||||||||||||
| Canada – 0.2% | | ||||||||||||
| | | 27,331 | | | | GFL Environmental Inc., 6.000% (Cost – $1,406,092) | | | | | 1,295,216 | | |
| EXCHANGE TRADED FUND (ETF) – 0.1% | | ||||||||||||
| United States – 0.2% | | ||||||||||||
| | | 13,099 | | | | iShares iBoxx High Yield Corporate Bond (Cost – $1,079,756) | | | | | 1,113,808 | | |
| WARRANTS – 0.0% | | ||||||||||||
| Bermuda – 0.0% | | ||||||||||||
| | | 558,670 | | | | McDermott International Inc.*(f)(g) | | | | | 83,800 | | |
| | | 502,803 | | | | WT PUR COM*(f)(g) | | | | | 120,673 | | |
| | | | | | | Total Bermuda | | | | | 204,473 | | |
| Brazil – 0.0% | | ||||||||||||
| | | 58,463 | | | | OAS finance Ltd. Warrants*(g) | | | | | — | | |
| United States��– 0.0% | | ||||||||||||
| | | 40,375 | | | | Tuscan Holdings Corp. II*(f) | | | | | 19,380 | | |
Shares/Units | | | Security | | | Value | | |||
WARRANTS – (continued) | | |||||||||
| | | TOTAL WARRANTS (Cost – $386,497) | | | | $ | 223,853 | | |
| Number of Contracts | | | Notional Amounts | | | | | | | | | | | |||
| PURCHASED OPTIONS – 0.0% | | |||||||||||||||
| United States – 0.0% | | |||||||||||||||
| | | 222 | | | | $658,230 | | | Barrick Gold Corp., Call $22.00, expires 01/15/2021 | | | | | 188,700 | | |
| | | 238 | | | | $323,204 | | | Crestwood Equity Partners LP, Put $10.00, expires 12/18/2020 | | | | | 17,850 | | |
| | | 595 | | | | $808,010 | | | Crestwood Equity Partners LP, Put $10.00, expires 01/15/2021 | | | | | 61,880 | | |
| | | 127 | | | | $170,688 | | | Hawaiian Holdings Inc., Put $8.00, expires 12/18/2020 | | | | | 5,080 | | |
| | | | | | | | | | Total United States | | | | | 273,510 | | |
| | | | | | | | | | TOTAL PURCHASED OPTIONS (Cost – $316,099) | | | | | 273,510 | | |
| | | | | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $667,873,275) | | | | | 656,527,188 | | |
| Face Amount | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – 12.6% | | ||||||||||||
| COMMERCIAL PAPERS – 2.6% | | ||||||||||||
| | | | | | | Dow Chemical Co.: | | | | | | | |
| | $ | 4,000,000 | | | | 0.180% due 9/28/20(k) | | | | | 3,999,412 | | |
| | | 6,000,000 | | | | 0.180% due 9/30/20(k) | | | | | 5,999,050 | | |
| | | 4,000,000 | | | | Glencore Funding LLC, 0.450% due 10/15/20(k) | | | | | 3,997,875 | | |
| | | 5,000,000 | | | | Walt Disney Co., 1.155% due 10/1/20(k) | | | | | 4,999,501 | | |
| | | | | | | TOTAL COMMERCIAL PAPERS (Cost – $18,991,599) | | | | | 18,995,838 | | |
| TIME DEPOSITS – 10.0% | | ||||||||||||
| | | 65,809,508 | | | | Banco Santander SA – Frankfurt, 0.010% due 9/1/20 | | | | | 65,809,508 | | |
| | | 3,522,875 | | | | China Construction Bank – New York, 0.010% due 9/1/20 | | | | | 3,522,875 | | |
| | | 5,272,951 | | | | JPMorgan Chase & Co. – New York, 0.010% due 9/1/20 | | | | | 5,272,951 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $74,605,334) | | | | | 74,605,334 | | |
| | | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost – $93,596,933) | | | | | 93,601,172 | | |
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 0.0% | | ||||||||||||
| MONEY MARKET FUND – 0.0% | | ||||||||||||
| | | 11,580 | | | | Federated Government Obligations Fund, Premier Class, 0.054%(l) (Cost – $11,580) | | | | | 11,580 | | |
| | | | | | | TOTAL INVESTMENTS – 100.9% (Cost – $761,481,788) | | | | | 750,139,940 | | |
Face Amount | | | Security | | | Value | | |||
| | | Liabilities in Excess of Other Assets – (0.9%) | | | | $ | (6,354,693) | | |
| | | TOTAL NET ASSETS – 100.0% | | | | $ | 743,785,247 | | |
|
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 | | | | | $ | 1,465,750 | | | | | | 0.20% | | |
UniCredit SpA, Junior Subordinated Notes, 8.000% (5-Year USD Swap Rate + 5.180%) | | | 5/4/17 | | | | | 328,006 | | | | | | 480,889 | | | | | | 0.06% | | |
UBS Group AG, Junior Subordinated Notes, 7.000% (5-Year USD Swap Rate + 4.866%) | | | 4/18/17 | | | | | 1,300,500 | | | | | | 1,582,000 | | | | | | 0.21% | | |
Total | | | | | | | | | | | | | $ | 3,528,639 | | | | | | 0.47% | | |
| | | | |||||
| Corporate Bonds & Notes | | | | | 66.2% | | |
| Senior Loans | | | | | 7.3 | | |
| Sovereign Bonds | | | | | 6.4 | | |
| Common Stocks | | | | | 4.4 | | |
| Preferred Stocks | | | | | 2.0 | | |
| Municipal Bonds | | | | | 0.9 | | |
| Convertible Preferred Stock | | | | | 0.2 | | |
| Exchange Traded Fund (ETF) | | | | | 0.1 | | |
| Purchased Options | | | | | 0.0* | | |
| Warrants | | | | | 0.0* | | |
| Short-Term Investments | | | | | 12.5 | | |
| Money Market Fund | | | | | 0.0* | | |
| | | | | | 100.0% | | |
Equity Options
| Number of Contracts | | | Notional Amount | | | Security Name | | | Counterparty | | | Expiration Date | | | Exercise Rate | | | Value | | |||||||||||||||
| 222 | | | | $ | 68,455,920 | | | | Barrick Gold Corp. | | | | | CIBC | | | | | | 1/15/21 | | | | | $ | 24.00 | | | | | $ | 23,088 | | |
| 265 | | | | $ | 77,228 | | | | Briggs & Stratton Corp. | | | | | CIBC | | | | | | 1/15/21 | | | | | $ | 1.00 | | | | | | 1,325 | | |
| 199 | | | | $ | 212,567 | | | | Briggs & Stratton Corp. | | | | | CIBC | | | | | | 1/15/21 | | | | | $ | 5.00 | | | | | | 995 | | |
| 11 | | | | $ | 955,434 | | | | Crestwood Equity Partners LP | | | | | CIBC | | | | | | 10/16/20 | | | | | $ | 7.50 | | | | | | 6,930 | | |
| 238 | | | | $ | 70,767,566 | | | | Crestwood Equity Partners LP | | | | | CIBC | | | | | | 12/18/20 | | | | | $ | 15.00 | | | | | | 42,840 | | |
| 595 | | | | $ | 63,832,790 | | | | Crestwood Equity Partners LP | | | | | CIBC | | | | | | 1/15/21 | | | | | $ | 20.00 | | | | | | 44,625 | | |
| 134 | | | | $ | 63,275,907 | | | | GFL Environmental Inc. | | | | | CIBC | | | | | | 1/15/21 | | | | | $ | 20.00 | | | | | | 36,850 | | |
| 608 | | | | $ | 32,977,920 | | | | iShares iBoxx High Yield Corp. | | | | | CIBC | | | | | | 9/18/20 | | | | | $ | 110.00 | | | | | | 2,432 | | |
| 332 | | | | $ | 6,430,840 | | | | Ladder Capital Corp. | | | | | CIBC | | | | | | 9/18/20 | | | | | $ | 7.50 | | | | | | 8,632 | | |
| 186 | | | | $ | 100,392,012 | | | | Magellan Midstream Partners LP | | | | | CIBC | | | | | | 10/16/20 | | | | | $ | 37.50 | | | | | | 26,412 | | |
| 159 | | | | $ | 379,104,813 | | | | SPDR Gold Trust | | | | | CIBC | | | | | | 1/15/21 | | | | | $ | 157.00 | | | | | | 20,511 | | |
| TOTAL OPTIONS CONTRACTS WRITTEN (Premiums received – $818,848) | | | | | | | | | | | | | | | | | | | | | | $ | 214,640 | | |
Foreign Currency | | | Local Currency | | | Counterparty | | | Market Value | | | Settlement Date | | | Unrealized Appreciation | | | Unrealized (Depreciation) | | | Unrealized (Depreciation) | | |||||||||||||||||||||
Contracts to Sell: | | | | | | | | | |||||||||||||||||||||||||||||||||||
Canadian Dollar | | | | | 821,000 | | | | | | BBH | | | | | $ | 629,529 | | | | | | 9/15/20 | | | | | $ | — | | | | | $ | (14,529) | | | | | $ | (14,529) | | |
Euro | | | | | 17,230,000 | | | | | | BBH | | | | | | 20,568,026 | | | | | | 9/15/20 | | | | | | — | | | | | | (316,746) | | | | | | (316,746) | | |
Norwegian Krone | | | | | 5,000,000 | | | | | | BBH | | | | | | 572,412 | | | | | | 9/15/20 | | | | | | — | | | | | | (11,949) | | | | | | (11,949) | | |
Norwegian Krone | | | | | 10,125,000 | | | | | | BBH | | | | | | 1,159,134 | | | | | | 9/15/20 | | | | | | — | | | | | | (7,554) | | | | | | (7,554) | | |
Swedish Krona | | | | | 3,845,000 | | | | | | BBH | | | | | | 444,591 | | | | | | 9/15/20 | | | | | | — | | | | | | (5,021) | | | | | | (5,021) | | |
Net Unrealized Depreciation on Open Forward Foreign Currency Contracts | | | | $ | — | | | | | $ | (355,799) | | | | | $ | (355,799) | | | ||||||||||||||||||||||||
|
| Currency Abbreviations used in this schedule: | | | Counterparty Abbreviations used in this schedule: | |
| CAD — Canadian Dollar | | | BBH — Brown Brothers Harriman & Co. | |
| EUR — Euro | | | CIBC — CIBC World Markets Corp. | |
| NOK — Norwegian Krone | | | ||
| SEK — Swedish Krona | | |
| Face Amount† | | | Security | | | Value | | ||||||
| SECURITIES SOLD SHORT – 0.7% | | ||||||||||||
| CORPORATE BONDS & NOTES – 0.6% | | ||||||||||||
| Consumer Non-cyclical – 0.1% | | ||||||||||||
| | $ | 840,000 | | | | McKesson Corp., Senior Unsecured Notes, 3.950% due 2/16/28 | | | | $ | 983,488 | | |
| Financial – 0.2% | | ||||||||||||
| | | 1,014,000 | | | | Capital One Financial Corp., Senior Unsecured Notes, 3.450% due 4/30/21 | | | | | 1,032,012 | | |
| Industrial – 0.3% | | ||||||||||||
| | | 2,009,000 | | | | GFL Environmental Inc., Senior Unsecured Notes, 7.000% due 6/1/26(a) | | | | | 2,109,450 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Proceeds – $3,927,605) | | | | | 4,124,950 | | |
| Shares/Units | | | | | | | | | | | |||
| COMMON STOCK – 0.1% | | ||||||||||||
| INDUSTRIAL – 0.0% | | ||||||||||||
| Machinery-Diversified – 0.0% | | ||||||||||||
| | | 116,500 | | | | Briggs & Stratton Corp.* | | | | | 17,009 | | |
| Energy – 0.1% | | ||||||||||||
| Pipelines- 0.1% | | ||||||||||||
| | | 58,500 | | | | Crestwood Equity Partners LP | | | | | 794,430 | | |
| | | | | | | TOTAL COMMON STOCKS (Proceeds – $703,697) | | | | | 811,439 | | |
| | | | | | | TOTAL SECURITIES SOLD SHORT – 0.7% (Proceeds – $4,631,302) | | | | $ | 4,936,389 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – 87.5% | | |||||||||||||||
| Alabama – 1.5% | | |||||||||||||||
| | $ | 2,000,000 | | | | AA- | | | Auburn University, Revenue Bonds, Series A, 5.000% due 6/1/35 | | | | $ | 2,523,080 | | |
| | | 1,835,000 | | | | Aa2(a) | | | Black Belt Energy Gas District, Revenue Bonds, Series A, 4.000% due 7/1/46(b) | | | | | 1,877,462 | | |
| | | 355,000 | | | | AA- | | | County of Jefferson AL, GO, Series B, 5.000% due 4/1/21 | | | | | 364,418 | | |
| | | 2,540,000 | | | | A3(a) | | | Lower Alabama Gas District, Revenue Bonds, 4.000% due 12/1/50(b) | | | | | 2,917,393 | | |
| | | | | | | | | | Mobile County Board of School Commissioners, Special Tax: | | | | | | | |
| | | 260,000 | | | | A- | | | 5.000% due 3/1/28 | | | | | 314,982 | | |
| | | 175,000 | | | | A- | | | 5.000% due 3/1/29 | | | | | 211,040 | | |
| | | 180,000 | | | | A- | | | 5.000% due 3/1/30 | | | | | 216,162 | | |
| | | 185,000 | | | | A- | | | 5.000% due 3/1/31 | | | | | 221,255 | | |
| | | 145,000 | | | | A- | | | 5.000% due 3/1/32 | | | | | 172,667 | | |
| | | 215,000 | | | | A- | | | 5.000% due 3/1/33 | | | | | 254,977 | | |
| | | 3,500,000 | | | | A3(a) | | | Southeast Alabama Gas Supply District, Revenue Bonds, Series A, 4.000% due 6/1/49(b) | | | | | 3,874,010 | | |
| | | | | | | | | | Total Alabama | | | | | 12,947,446 | | |
| Alaska – 0.2% | | |||||||||||||||
| | | 1,000,000 | | | | AA+ | | | Alaska Housing Finance Corp., Revenue Bonds, Series A, 5.000% due 6/1/30 | | | | | 1,221,370 | | |
| | | 215,000 | | | | AA- | | | State of Alaska, GO, Series A, 5.000% due 8/1/33 | | | | | 256,405 | | |
| | | | | | | | | | Total Alaska | | | | | 1,477,775 | | |
| Arizona – 3.7% | | |||||||||||||||
| | | | | | | | | | Arizona Department of Transportation State Highway Fund Revenue, Revenue Bonds: | | | | | | | |
| | | 5,000,000 | | | | AA+ | | | 5.000% due 7/1/27 | | | | | 6,257,850 | | |
| | | 3,810,000 | | | | AA+ | | | 5.000% due 7/1/34 | | | | | 4,668,012 | | |
| | | 2,000,000 | | | | AA | | | Arizona State University, Revenue Bonds, Series A, 5.000% due 7/1/39 | | | | | 2,557,720 | | |
| | | 1,800,000 | | | | A+ | | | Chandler Industrial Development Authority, Revenue Bonds, 5.000% due 6/1/49(b)(c) | | | | | 2,079,144 | | |
| | | | | | | | | | City of Glendale AZ, Revenue Bonds: | | | | | | | |
| | | 105,000 | | | | AA | | | Series A, 5.000% due 7/1/23 | | | | | 116,851 | | |
| | | 230,000 | | | | AA | | | Series A, 5.000% due 7/1/27 | | | | | 272,561 | | |
| | | 215,000 | | | | AA | | | Series A, 5.000% due 7/1/28 | | | | | 253,562 | | |
| | | 235,000 | | | | AA | | | Series A, 5.000% due 7/1/29 | | | | | 276,184 | | |
| | | 85,000 | | | | AA | | | Series A, 5.000% due 7/1/32 | | | | | 101,409 | | |
| | | 65,000 | | | | AA | | | City of Glendale AZ, GO, AGM-Insured, 4.000% due 7/1/21 | | | | | 67,049 | | |
| | | | | | | | | | City of Glendale AZ Transportation Excise Tax Revenue, Revenue Bonds, AGM: | | | | | | | |
| | | 55,000 | | | | AA | | | 5.000% due 7/1/24 | | | | | 64,863 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Arizona – (continued) | | |||||||||||||||
| | $ | 60,000 | | | | AA | | | 5.000% due 7/1/25 | | | | $ | 73,192 | | |
| | | 105,000 | | | | AA | | | 5.000% due 7/1/26 | | | | | 127,355 | | |
| | | | | | | | | | City of Phoenix Civic Improvement Corp., Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | A+ | | | Series A, 5.000% due 7/1/27(c) | | | | | 80,782 | | |
| | | 90,000 | | | | A+ | | | Series A, 5.000% due 7/1/28(c) | | | | | 110,918 | | |
| | | 6,365,000 | | | | AAA | | | Series B, 4.000% due 7/1/29 | | | | | 7,118,107 | | |
| | | 30,000 | | | | AAA | | | Series C, 5.000% due 7/1/21 | | | | | 31,199 | | |
| | | 1,000,000 | | | | AAA | | | City of Scottsdale AZ, GO, 5.000% due 7/1/23 | | | | | 1,135,460 | | |
| | | 160,000 | | | | A+ | | | Coconino County Pollution Control Corp., Revenue Bonds, 1.875% due 9/1/32(b)(c) | | | | | 161,466 | | |
| | | | | | | | | | County of Pima AZ Sewer System Revenue, Revenue Bonds: | | | | | | | |
| | | 15,000 | | | | AA | | | Series A, 5.000% due 7/1/22 | | | | | 16,321 | | |
| | | 30,000 | | | | AA | | | Series A, 5.000% due 7/1/23 | | | | | 32,601 | | |
| | | 60,000 | | | | AA | | | Series B, Prerefunded 7/1/21 @ 100, 5.000% due 7/1/25(d) | | | | | 62,270 | | |
| | | 820,000 | | | | AAA | | | Maricopa County Community College District, GO, Series D, 4.250% due 7/1/25 | | | | | 847,683 | | |
| | | | | | | | | | Maricopa County Industrial Development Authority, Revenue Bonds: | | | | | | | |
| | | 800,000 | | | | AA- | | | 5.000% due 1/1/46(b) | | | | | 982,128 | | |
| | | 200,000 | | | | A2(a) | | | 5.000% due 7/1/47 | | | | | 237,750 | | |
| | | 70,000 | | | | AA- | | | Series A, 5.000% due 1/1/22 | | | | | 73,930 | | |
| | | 145,000 | | | | AA- | | | Series A, 5.000% due 1/1/23 | | | | | 159,590 | | |
| | | 190,000 | | | | AA- | | | Series A, 4.000% due 1/1/24 | | | | | 210,776 | | |
| | | 60,000 | | | | AA- | | | Series A, 5.000% due 1/1/24 | | | | | 68,534 | | |
| | | 225,000 | | | | AA- | | | Series A, 5.000% due 1/1/25 | | | | | 265,979 | | |
| | | 735,000 | | | | A2(a) | | | Series B, 5.000% due 9/1/45(b) | | | | | 871,365 | | |
| | | 430,000 | | | | AA- | | | Series B, 5.000% due 1/1/48(b) | | | | | 470,360 | | |
| | | 290,000 | | | | AA- | | | Series C, 5.000% due 1/1/48(b) | | | | | 340,843 | | |
| | | 50,000 | | | | AA- | | | McAllister Academic Village LLC, Revenue Bonds, 5.000% due 7/1/21 | | | | | 51,999 | | |
| | | 145,000 | | | | AA+ | | | Salt River Project Agricultural Improvement & Power District, Revenue Bonds, Series A, 5.000% due 1/1/33 | | | | | 185,364 | | |
| | | | | | | | | | State of Arizona, COP: | | | | | | | |
| | | 245,000 | | | | AA- | | | Series A, 5.000% due 10/1/20 | | | | | 245,946 | | |
| | | 215,000 | | | | AA- | | | Series A, 5.000% due 10/1/21 | | | | | 226,109 | | |
| | | 225,000 | | | | AA- | | | Series A, 5.000% due 10/1/22 | | | | | 247,288 | | |
| | | 300,000 | | | | AA- | | | Series A, 5.000% due 10/1/23 | | | | | 343,638 | | |
| | | 310,000 | | | | AA- | | | Series A, 5.000% due 10/1/24 | | | | | 369,173 | | |
| | | | | | | | | | Western Maricopa Education Center District No 402, GO: | | | | | | | |
| | | 560,000 | | | | AA- | | | Series B, 4.000% due 7/1/21 | | | | | 577,651 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Arizona – (continued) | | |||||||||||||||
| | $ | 330,000 | | | | AA- | | | Series B, 5.000% due 7/1/25 | | | | $ | 402,376 | | |
| | | | | | | | | | Total Arizona | | | | | 32,843,358 | | |
| Arkansas – 0.0% | | |||||||||||||||
| | | 90,000 | | | | Aa2(a) | | | Little Rock School District, GO, 3.000% due 2/1/22 | | | | | 93,504 | | |
| California – 5.7% | | |||||||||||||||
| | | 60,000 | | | | A- | | | Alameda Corridor Transportation Authority, Revenue Bonds, Series A, 5.000% due 10/1/23 | | | | | 67,738 | | |
| | | | | | | | | | Bay Area Toll Authority, Revenue Bonds: | | | | | | | |
| | | 210,000 | | | | AA | | | Series B, 2.850% due 4/1/47(b) | | | | | 228,211 | | |
| | | 195,000 | | | | AA | | | Series C, 2.100% due 4/1/45(b) | | | | | 198,933 | | |
| | | | | | | | | | California Health Facilities Financing Authority, Revenue Bonds: | | | | | | | |
| | | 115,000 | | | | AA- | | | Series A, 5.000% due 7/1/25 | | | | | 129,561 | | |
| | | 85,000 | | | | A+ | | | Series D, 5.000% due 8/15/35 | | | | | 88,055 | | |
| | | | | | | | | | California State Public Works Board, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | A+ | | | Series A, 5.000% due 4/1/22 | | | | | 64,543 | | |
| | | 145,000 | | | | A+ | | | Series A, 5.000% due 4/1/23 | | | | | 156,081 | | |
| | | 115,000 | | | | A+ | | | Series A, 5.250% due 10/1/24 | | | | | 121,212 | | |
| | | 115,000 | | | | A+ | | | Series A, 5.250% due 10/1/25 | | | | | 121,122 | | |
| | | 70,000 | | | | A+ | | | Series D, 5.000% due 12/1/21 | | | | | 74,201 | | |
| | | 30,000 | | | | A+ | | | Series G, 5.000% due 11/1/23 | | | | | 33,096 | | |
| | | 30,000 | | | | A+ | | | Series G, 5.000% due 11/1/24 | | | | | 33,068 | | |
| | | 3,000,000 | | | | AA- | | | City of Riverside CA Sewer Revenue, Revenue Bonds, Series A, 5.000% due 8/1/36 | | | | | 3,811,710 | | |
| | | | | | | | | | Golden State Tobacco Securitization Corp., Revenue Bonds: | | | | | | | |
| | | 175,000 | | | | A+ | | | Series A, AMBAC, zero coupon, due 6/1/24 | | | | | 169,608 | | |
| | | 145,000 | | | | A+ | | | Series A, 5.000% due 6/1/29 | | | | | 161,611 | | |
| | | 115,000 | | | | BBB | | | Series A1, 5.000% due 6/1/25 | | | | | 136,862 | | |
| | | 30,000 | | | | BBB | | | Series A1, 5.000% due 6/1/26 | | | | | 36,592 | | |
| | | | | | | | | | Los Angeles County Metropolitan Transportation Authority, Revenue Bonds: | | | | | | | |
| | | 4,550,000 | | | | AA | | | Series A, 5.000% due 6/1/31 | | | | | 6,208,384 | | |
| | | 5,150,000 | | | | AA | | | Series A, 5.000% due 6/1/33 | | | | | 6,931,179 | | |
| | | 290,000 | | | | AA- | | | Los Angeles Department of Water & Power Power System Revenue, Revenue Bonds, Series A, 5.000% due 7/1/29 | | | | | 346,240 | | |
| | | 1,500,000 | | | | Aa3(a) | | | Los Angeles Unified School District, GO, Series A, 5.000% due 7/1/27 | | | | | 1,940,280 | | |
| | | | | | | | | | Modesto Irrigation District, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | A+ | | | Series A, 5.000% due 7/1/22 | | | | | 31,161 | | |
| | | 110,000 | | | | A+ | | | Series A, 5.000% due 7/1/23 | | | | | 114,426 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| California – (continued) | | |||||||||||||||
| | $ | 170,000 | | | | Aa3(a) | | | Oakland Alameda County Coliseum Authority, Revenue Bonds, Series A, 5.000% due 2/1/23 | | | | $ | 179,930 | | |
| | | | | | | | | | Oakland Unified School District, GO: | | | | | | | |
| | | 100,000 | | | | AA | | | 5.000% due 8/1/26 | | | | | 120,394 | | |
| | | 30,000 | | | | A- | | | Series A, 5.000% due 8/1/28 | | | | | 35,730 | | |
| | | 1,500,000 | | | | AA+ | | | Ohlone Community College District, GO, Series A, Prerefunded 8/1/21 @ 100, 5.000% due 8/1/38(d) | | | | | 1,566,420 | | |
| | | 145,000 | | | | A+ | | | Port of Oakland, Revenue Bonds, Series P, 5.000% due 5/1/22(c) | | | | | 155,923 | | |
| | | 90,000 | | | | A | | | Sacramento City Financing Authority, Series A, NPFG, zero coupon, due 12/1/26 | | | | | 81,543 | | |
| | | 255,000 | | | | AA- | | | San Diego Convention Center Expansion Financing Authority, Revenue Bonds, Series A, Prerefunded 4/15/22 @ 100, 5.000% due 4/15/23(d) | | | | | 274,737 | | |
| | | 185,000 | | | | A | | | San Francisco City & County Airport Comm-San Francisco International Airport, Revenue Bonds, Series A, 5.000% due 5/1/37(c) | | | | | 228,725 | | |
| | | | | | | | | | State of California, GO: | | | | | | | |
| | | 10,000,000 | | | | AA | | | AGM, 5.250% due 8/1/32 | | | | | 14,314,100 | | |
| | | 760,000 | | | | AA- | | | 4.000% due 3/1/26 | | | | | 907,303 | | |
| | | 80,000 | | | | AA- | | | 5.000% due 9/1/29 | | | | | 100,467 | | |
| | | 1,000,000 | | | | AA- | | | 5.000% due 4/1/30 | | | | | 1,372,370 | | |
| | | 760,000 | | | | AA- | | | 5.000% due 8/1/30 | | | | | 974,388 | | |
| | | 3,125,000 | | | | AA- | | | 4.000% due 12/1/30(b) | | | | | 3,208,375 | | |
| | | 3,000,000 | | | | AA- | | | 5.000% due 4/1/36 | | | | | 3,873,060 | | |
| | | 435,000 | | | | AA- | | | Series B, 5.000% due 8/1/26 | | | | | 549,409 | | |
| | | 205,000 | | | | AA- | | | Series C, 5.000% due 8/1/29 | | | | | 256,742 | | |
| | | 65,000 | | | | AAA | | | State of California Department of Water Resources, Revenue Bonds, Series AI, Prerefunded 12/1/21 @ 100, 5.000% due 12/1/25(d) | | | | | 68,918 | | |
| | | 40,000 | | | | AA+ | | | Union Elementary School District, GO, Series A, NPFG, zero coupon, due 9/1/20 | | | | | 40,000 | | |
| | | 100,000 | | | | A1(a) | | | Washington Township Health Care District, GO, Series A, 5.500% due 8/1/40 | | | | | 113,192 | | |
| | | 230,000 | | | | AA- | | | West Contra Costa Unified School District, GO, 5.000% due 8/1/26 | | | | | 248,890 | | |
| | | | | | | | | | Total California | | | | | 49,874,490 | | |
| Colorado – 1.8% | | |||||||||||||||
| | | | | | | | | | City & County of Denver CO Airport System Revenue, Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | A+ | | | Series A, 5.000% due 11/15/24(c) | | | | | 76,081 | | |
| | | 315,000 | | | | A | | | Series A, 5.000% due 12/1/26(c) | | | | | 387,986 | | |
| | | 30,000 | | | | A+ | | | Series A, 5.000% due 11/15/27(c) | | | | | 37,813 | | |
| | | 195,000 | | | | A+ | | | Series A, 5.000% due 11/15/28(c) | | | | | 243,662 | | |
| | | 145,000 | | | | A+ | | | Series A, 5.000% due 11/15/29(c) | | | | | 179,796 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Colorado – (continued) | | |||||||||||||||
| | $ | 115,000 | | | | A+ | | | Series A, 5.000% due 11/15/30(c) | | | | $ | 141,569 | | |
| | | 915,000 | | | | A+ | | | Series C, 5.000% due 11/15/30 | | | | | 1,197,369 | | |
| | | | | | | | | | Colorado Health Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 655,000 | | | | #Aaa(a) | | | zero coupon, due 7/15/22 | | | | | 650,487 | | |
| | | 2,115,000 | | | | AA | | | 5.000% due 11/15/36(b) | | | | | 2,419,898 | | |
| | | 220,000 | | | | A- | | | 2.800% due 5/15/42(b) | | | | | 229,937 | | |
| | | 190,000 | | | | Baa1(a) | | | 5.000% due 9/1/46 | | | | | 214,732 | | |
| | | 640,000 | | | | AA | | | 5.000% due 11/15/49(b) | | | | | 803,360 | | |
| | | 500,000 | | | | BBB+ | | | Series A, 5.000% due 8/1/44 | | | | | 602,070 | | |
| | | 325,000 | | | | BBB+ | | | Series B-2, 5.000% due 8/1/49(b) | | | | | 383,022 | | |
| | | 220,000 | | | | BBB+ | | | Series D3, 5.000% due 10/1/38(b) | | | | | 230,690 | | |
| | | 135,000 | | | | AA | | | Colorado Housing & Finance Authority, Revenue Bonds, Series H, 4.250% due 11/1/49 | | | | | 152,240 | | |
| | | | | | | | | | E-470 Public Highway Authority, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | A | | | zero coupon, due 9/1/35 | | | | | 43,235 | | |
| | | 85,000 | | | | A | | | zero coupon, due 9/1/37 | | | | | 57,355 | | |
| | | 110,000 | | | | A | | | zero coupon, due 9/1/38 | | | | | 71,743 | | |
| | | 165,000 | | | | A | | | Series A, 5.000% due 9/1/34 | | | | | 218,995 | | |
| | | 140,000 | | | | A | | | Series B, NPFG, zero coupon, due 9/1/20 | | | | | 140,000 | | |
| | | 1,500,000 | | | | AAA | | | Metro Wastewater Reclamation District, Revenue Bonds, Series A, Prerefunded 4/1/22 @ 100, 4.000% due 4/1/30(d) | | | | | 1,589,910 | | |
| | | 2,250,000 | | | | AA- | | | State of Colorado, COP, Series A, 4.000% due 12/15/36 | | | | | 2,654,708 | | |
| | | 1,435,000 | | | | Aa1(a) | | | University of Colorado, Revenue Bonds, Series C, 2.000% due 6/1/54(b) | | | | | 1,519,981 | | |
| | | 210,000 | | | | AA | | | University of Colorado Hospital Authority, Revenue Bonds, Series C, 5.000% due 11/15/38(b) | | | | | 218,656 | | |
| | | | | | | | | | Vauxmont Metropolitan District, GO, AGM: | | | | | | | |
| | | 150,000 | | | | AA | | | 5.000% due 12/1/21 | | | | | 157,704 | | |
| | | 125,000 | | | | AA | | | 5.000% due 12/15/27 | | | | | 148,513 | | |
| | | 120,000 | | | | AA | | | 5.000% due 12/15/29 | | | | | 141,552 | | |
| | | 135,000 | | | | AA | | | 5.000% due 12/15/31 | | | | | 158,182 | | |
| ��� | | 285,000 | | | | AA | | | 5.000% due 12/1/34 | | | | | 358,128 | | |
| | | | | | | | | | Total Colorado | | | | | 15,429,374 | | |
| Connecticut – 1.5% | | |||||||||||||||
| | | | | | | | | | Connecticut State Health & Educational Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 1,075,000 | | | | AAA | | | 5.000% due 7/1/29 | | | | | 1,464,279 | | |
| | | 410,000 | | | | A | | | Series A, 5.000% due 7/1/34 | | | | | 518,896 | | |
| | | 505,000 | | | | AA- | | | Series B, 1.800% due 7/1/49(b) | | | | | 525,054 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Connecticut – (continued) | | |||||||||||||||
| | $ | 65,000 | | | | A- | | | Series S, 5.000% due 7/1/26 | | | | $ | 79,804 | | |
| | | 30,000 | | | | A- | | | Series S, 5.000% due 7/1/29 | | | | | 37,923 | | |
| | | 4,465,000 | | | | AAA | | | Series V1, 0.010% due 7/1/36(b) | | | | | 4,465,000 | | |
| | | | | | | | | | State of Connecticut, GO: | | | | | | | |
| | | 90,000 | | | | A | | | Series A, 5.000% due 3/15/26 | | | | | 110,682 | | |
| | | 375,000 | | | | A | | | Series A, 5.000% due 4/15/26 | | | | | 462,184 | | |
| | | 150,000 | | | | A | | | Series A, 5.000% due 4/15/30 | | | | | 195,222 | | |
| | | 170,000 | | | | A | | | Series A, 5.000% due 4/15/34 | | | | | 215,659 | | |
| | | 60,000 | | | | A | | | Series A, 5.000% due 4/15/35 | | | | | 75,839 | | |
| | | 175,000 | | | | A | | | Series B, 5.000% due 1/15/26 | | | | | 214,254 | | |
| | | 85,000 | | | | A | | | Series E, 5.000% due 9/15/23 | | | | | 93,039 | | |
| | | 100,000 | | | | A | | | Series E, 5.000% due 10/15/26 | | | | | 124,864 | | |
| | | 150,000 | | | | A | | | Series E, 5.000% due 10/15/29 | | | | | 184,246 | | |
| | | 1,600,000 | | | | A | | | Series F, 5.000% due 9/15/26 | | | | | 1,993,312 | | |
| | | 1,500,000 | | | | AAA | | | Town of Greenwich CT, GO, 5.000% due 1/15/23 | | | | | 1,670,715 | | |
| | | 330,000 | | | | A+ | | | University of Connecticut, Revenue Bonds, Series A, 5.000% due 11/1/27 | | | | | 420,552 | | |
| | | | | | | | | | Total Connecticut | | | | | 12,851,524 | | |
| Delaware – 0.5% | | |||||||||||||||
| | | | | | | | | | Delaware River & Bay Authority, Revenue Bonds: | | | | | | | |
| | | 85,000 | | | | A | | | Series C, 5.000% due 1/1/22 | | | | | 90,347 | | |
| | | 35,000 | | | | A | | | Series C, 5.000% due 1/1/24 | | | | | 39,990 | | |
| | | 80,000 | | | | A | | | Series C, 5.000% due 1/1/25 | | | | | 91,123 | | |
| | | 220,000 | | | | A | | | Delaware State Economic Development Authority, Revenue Bonds, 1.050% due 1/1/31(b) | | | | | 221,848 | | |
| | | 3,160,000 | | | | NR | | | State of Delaware, GO, Series B, Prerefunded 7/1/24 @ 100, 5.000% due 7/1/27(d) | | | | | 3,717,298 | | |
| | | | | | | | | | Total Delaware | | | | | 4,160,606 | | |
| District of Columbia – 1.0% | | |||||||||||||||
| | | 2,000,000 | | | | AA+ | | | District of Columbia, GO, Series C, 5.000% due 6/1/34 | | | | | 2,319,380 | | |
| | | 120,000 | | | | AAA | | | District of Columbia, Revenue Bonds, Series A, 5.000% due 12/1/36(e) | | | | | 126,221 | | |
| | | | | | | | | | Metropolitan Washington Airports Authority, Revenue Bonds: | | | | | | | |
| | | 90,000 | | | | A+ | | | Series A, 5.000% due 10/1/21(c) | | | | | 94,439 | | |
| | | 50,000 | | | | A+ | | | Series A, 5.000% due 10/1/22(c) | | | | | 54,461 | | |
| | | 75,000 | | | | A+ | | | Series A, 5.000% due 10/1/23(c) | | | | | 84,746 | | |
| | | 2,625,000 | | | | A+ | | | Series A, 5.000% due 10/1/24(c) | | | | | 3,068,914 | | |
| | | 225,000 | | | | A+ | | | Series A, 5.000% due 10/1/25(c) | | | | | 270,911 | | |
| | | 115,000 | | | | A+ | | | Series A, 5.000% due 10/1/28(c) | | | | | 147,216 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| District of Columbia – (continued) | | |||||||||||||||
| | $ | 120,000 | | | | A+ | | | Series A, 5.000% due 10/1/29(c) | | | | $ | 152,638 | | |
| | | 95,000 | | | | A+ | | | Series A, 5.000% due 10/1/30(c) | | | | | 119,949 | | |
| | | 205,000 | | | | A+ | | | Series A, 5.000% due 10/1/31(c) | | | | | 255,173 | | |
| | | 60,000 | | | | A+ | | | Series A, 5.000% due 10/1/34(c) | | | | | 72,827 | | |
| | | 55,000 | | | | A+ | | | Series A, 5.000% due 10/1/36(c) | | | | | 66,295 | | |
| | | 195,000 | | | | A+ | | | Series C, 5.000% due 10/1/22(c) | | | | | 204,072 | | |
| | | 210,000 | | | | A+ | | | Series C, 5.000% due 10/1/23(c) | | | | | 219,746 | | |
| | | 190,000 | | | | A+ | | | Series C, 5.000% due 10/1/24(c) | | | | | 198,713 | | |
| | | 255,000 | | | | A+ | | | Series C, 5.000% due 10/1/25(c) | | | | | 266,467 | | |
| | | 400,000 | | | | A- | | | Metropolitan Washington Airports Authority Dulles Toll Road Revenue, Revenue Bonds, 4.000% due 10/1/35 | | | | | 452,920 | | |
| | | 240,000 | | | | AA- | | | Washington Metropolitan Area Transit Authority, Revenue Bonds, Series B, 5.000% due 7/1/34 | | | | | 297,281 | | |
| | | | | | | | | | Total District of Columbia | | | | | 8,472,369 | | |
| Florida – 4.9% | | |||||||||||||||
| | | | | | | | | | Brevard County School District, COP: | | | | | | | |
| | | 95,000 | | | | Aa3(a) | | | 5.000% due 7/1/27 | | | | | 110,611 | | |
| | | 215,000 | | | | Aa3(a) | | | 5.000% due 7/1/30 | | | | | 248,385 | | |
| | | 85,000 | | | | Aa3(a) | | | Series C, 5.000% due 7/1/24 | | | | | 99,390 | | |
| | | | | | �� | | | | Citizens Property Insurance Inc., Revenue Bonds: | | | | | | | |
| | | 80,000 | | | | A+ | | | Series A1, 5.000% due 6/1/21 | | | | | 82,724 | | |
| | | 60,000 | | | | A+ | | | Series A1, 5.000% due 6/1/22 | | | | | 64,756 | | |
| | | | | | | | | | City of Clearwater FL Water & Sewer Revenue, Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | AA+ | | | 5.000% due 12/1/21 | | | | | 42,416 | | |
| | | 65,000 | | | | AA+ | | | Series Prerefunded 12/1/21 @ 100, 5.000% due 12/1/23(d) | | | | | 68,842 | | |
| | | 70,000 | | | | AA+ | | | Series Prerefunded 12/1/21 @ 100, 5.000% due 12/1/24(d) | | | | | 74,138 | | |
| | | | | | | | | | City of Jacksonville FL, Revenue Bonds: | | | | | | | |
| | | 115,000 | | | | A+ | | | 5.000% due 10/1/22 | | | | | 125,510 | | |
| | | 155,000 | | | | A+ | | | 5.000% due 10/1/23 | | | | | 169,877 | | |
| | | 55,000 | | | | A+ | | | City of Tampa FL, Revenue Bonds, 5.000% due 9/1/28 | | | | | 59,017 | | |
| | | | | | | | | | County of Broward FL Airport System Revenue, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | A | | | 5.000% due 10/1/30(c) | | | | | 73,325 | | |
| | | 90,000 | | | | A | | | 5.000% due 10/1/31(c) | | | | | 109,245 | | |
| | | 120,000 | | | | A | | | Series A, 5.000% due 10/1/29(c) | | | | | 140,701 | | |
| | | 85,000 | | | | A | | | Series A, 5.000% due 10/1/31(c) | | | | | 98,894 | | |
| | | 115,000 | | | | A | | | Series A, 5.000% due 10/1/32(c) | | | | | 133,249 | | |
| | | 1,000,000 | | | | A | | | Series B, 5.000% due 10/1/29(c) | | | | | 1,287,780 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | $ | 90,000 | | | | A | | | Series Q1, 5.000% due 10/1/23 | | | | $ | 97,716 | | |
| | | 185,000 | | | | A+ | | | County of Clay FL Sales Surtax Revenue, Revenue Bonds, 5.000% due 10/1/25 | | | | | 226,878 | | |
| | | | | | | | | | County of Hillsborough FL Solid Waste & Resource Recovery Revenue, Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | AA+ | | | Series A, 5.000% due 9/1/20(c) | | | | | 40,000 | | |
| | | 40,000 | | | | AA+ | | | Series A, 5.000% due 9/1/21(c) | | | | | 41,850 | | |
| | | 50,000 | | | | AA+ | | | Series A, 5.000% due 9/1/22(c) | | | | | 54,455 | | |
| | | 60,000 | | | | AA+ | | | Series A, 5.000% due 9/1/23(c) | | | | | 67,861 | | |
| | | 65,000 | | | | AA+ | | | Series A, 5.000% due 9/1/24(c) | | | | | 76,070 | | |
| | | 65,000 | | | | AA+ | | | Series A, 5.000% due 9/1/25(c) | | | | | 78,301 | | |
| | | 65,000 | | | | AA+ | | | Series A, 5.000% due 9/1/26(c) | | | | | 80,122 | | |
| | | | | | | | | | County of Miami-Dade FL, Revenue Bonds: | | | | | | | |
| | | 160,000 | | | | A+ | | | 5.000% due 10/1/28 | | | | | 195,112 | | |
| | | 120,000 | | | | A+ | | | 5.000% due 10/1/29 | | | | | 145,684 | | |
| | | 215,000 | | | | A+ | | | 5.000% due 10/1/30 | | | | | 259,795 | | |
| | | 65,000 | | | | A+ | | | Series A, 5.000% due 10/1/25 | | | | | 70,828 | | |
| | | 120,000 | | | | AA | | | County of Miami-Dade FL, GO, Series A, 5.000% due 11/1/23 | | | | | 137,832 | | |
| | | | | | | | | | County of Miami-Dade FL Aviation Revenue, Revenue Bonds: | | | | | | | |
| | | 175,000 | | | | A | | | Series A, 5.000% due 10/1/21(c) | | | | | 183,475 | | |
| | | 85,000 | | | | A | | | Series A, 5.000% due 10/1/22(c) | | | | | 92,047 | | |
| | | 290,000 | | | | A | | | Series A, 5.000% due 10/1/24(c) | | | | | 312,794 | | |
| | | 55,000 | | | | A | | | Series A, 5.000% due 10/1/27(c) | | | | | 63,106 | | |
| | | 80,000 | | | | A | | | Series A, 5.000% due 10/1/29(c) | | | | | 91,448 | | |
| | | 70,000 | | | | A | | | Series A, 5.000% due 10/1/30 | | | | | 84,177 | | |
| | | 30,000 | | | | A | | | Series A, 5.000% due 10/1/31 | | | | | 35,862 | | |
| | | 160,000 | | | | A | | | Series A, 5.000% due 10/1/33(c) | | | | | 180,856 | | |
| | | 70,000 | | | | A | | | Series A, 5.000% due 10/1/35(c) | | | | | 78,859 | | |
| | | 90,000 | | | | A | | | Series A1, 5.000% due 10/1/22 | | | | | 90,296 | | |
| | | 1,800,000 | | | | A2(a) | | | Series A1, Prerefunded 10/1/20 @ 100, 5.375% due 10/1/41(d) | | | | | 1,807,578 | | |
| | | 105,000 | | | | A | | | Series B, 5.000% due 10/1/20(c) | | | | | 105,380 | | |
| | | 65,000 | | | | A | | | Series B, 5.000% due 10/1/24 | | | | | 70,446 | | |
| | | 295,000 | | | | AA | | | Series B, 5.000% due 10/1/35 | | | | | 295,994 | | |
| | | 215,000 | | | | A | | | Series B, 5.000% due 10/1/37 | | | | | 243,662 | | |
| | | 500,000 | | | | A | | | Series B, 5.000% due 10/1/40(c) | | | | | 587,855 | | |
| | | | | | | | | | County of Miami-Dade FL Transit System, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | AA | | | 5.000% due 7/1/21 | | | | | 36,360 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | $ | 50,000 | | | | AA | | | Series Prerefunded 7/1/22 @ 100, 5.000% due 7/1/42(d) | | | | $ | 54,335 | | |
| | | | | | | | | | Duval County Public Schools, COP: | | | | | | | |
| | | 125,000 | | | | A+ | | | Series B, 5.000% due 7/1/27 | | | | | 149,696 | | |
| | | 30,000 | | | | A+ | | | Series B, 5.000% due 7/1/28 | | | | | 35,848 | | |
| | | 190,000 | | | | A+ | | | Series B, 5.000% due 7/1/30 | | | | | 226,742 | | |
| | | 255,000 | | | | BBB+ | | | Escambia County Health Facilities Authority, Revenue Bonds, 4.000% due 8/15/45 | | | | | 279,834 | | |
| | | | | | | | | | Florida Municipal Power Agency, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | A2(a) | | | 5.000% due 10/1/24 | | | | | 35,152 | | |
| | | 45,000 | | | | A2(a) | | | 5.000% due 10/1/27 | | | | | 53,969 | | |
| | | 80,000 | | | | A1(a) | | | Series A, 5.000% due 10/1/22 | | | | | 87,925 | | |
| | | 355,000 | | | | A2(a) | | | Series A, 5.000% due 10/1/26 | | | | | 386,386 | | |
| | | 55,000 | | | | A2(a) | | | Series A, 5.000% due 10/1/30 | | | | | 67,321 | | |
| | | 60,000 | | | | A2(a) | | | Series A, 5.000% due 10/1/31 | | | | | 73,162 | | |
| | | 2,500,000 | | | | AA | | | Florida’s Turnpike Enterprise, Revenue Bonds, Series C, 4.375% due 7/1/37 | | | | | 2,729,700 | | |
| | | | | | | | | | Greater Orlando Aviation Authority, Revenue Bonds: | | | | | | | |
| | | 100,000 | | | | A+ | | | Series A, 5.000% due 10/1/28(c) | | | | | 124,325 | | |
| | | 60,000 | | | | A+ | | | Series A, 5.000% due 10/1/30(c) | | | | | 73,460 | | |
| | | | | | | | | | Halifax Hospital Medical Center, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | A- | | | 5.000% due 6/1/28 | | | | | 40,420 | | |
| | | 70,000 | | | | A- | | | 5.000% due 6/1/35 | | | | | 78,947 | | |
| | | | | | | | | | Hillsborough County Port District, Revenue Bonds: | | | | | | | |
| | | 850,000 | | | | A(f) | | | Series B, 5.000% due 6/1/33(c) | | | | | 1,014,993 | | |
| | | 185,000 | | | | A(f) | | | Series B, 5.000% due 6/1/38(c) | | | | | 217,403 | | |
| | | | | | | | | | Indian River County District School Board, COP: | | | | | | | |
| | | 75,000 | | | | AA- | | | Series A, 5.000% due 7/1/24 | | | | | 86,831 | | |
| | | 60,000 | | | | AA- | | | Series A, 5.000% due 7/1/25 | | | | | 71,666 | | |
| | | 200,000 | | | | A | | | JEA Electric System Revenue, Revenue Bonds, Series B, 5.000% due 10/1/26 | | | | | 247,460 | | |
| | | | | | | | | | Lake County School Board, COP: | | | | | | | |
| | | 30,000 | | | | AA | | | Series A, AGM, 5.000% due 6/1/25 | | | | | 34,827 | | |
| | | 50,000 | | | | AA | | | Series A, AGM, 5.000% due 6/1/26 | | | | | 57,884 | | |
| | | 15,000 | | | | AA | | | Series A, AGM, 5.000% due 6/1/28 | | | | | 17,341 | | |
| | | | | | | | | | Lee Memorial Health System, Revenue Bonds: | | | | | | | |
| | | 550,000 | | | | A+ | | | Series A, 5.000% due 4/1/33 | | | | | 695,195 | | |
| | | 755,000 | | | | A+ | | | Series A, 5.000% due 4/1/33(b) | | | | | 878,850 | | |
| | | 415,000 | | | | A+ | | | Series A, 5.000% due 4/1/35 | | | | | 520,792 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | $ | 60,000 | | | | AA | | | Manatee County School District, Revenue Bonds, AGM-Insured, 5.000% due 10/1/25 | | | | $ | 71,978 | | |
| | | | | | | | | | Miami-Dade County Expressway Authority, Revenue Bonds: | | | | | | | |
| | | 45,000 | | | | A | | | Series A, 5.000% due 7/1/31 | | | | | 53,671 | | |
| | | 115,000 | | | | A | | | Series A, 5.000% due 7/1/32 | | | | | 136,523 | | |
| | | 95,000 | | | | A | | | Series A, 5.000% due 7/1/33 | | | | | 112,316 | | |
| | | 30,000 | | | | A | | | Series A, 5.000% due 7/1/34 | | | | | 35,414 | | |
| | | 235,000 | | | | A | | | Series A, 5.000% due 7/1/40 | | | | | 235,663 | | |
| | | 85,000 | | | | A | | | Series A, 5.000% due 7/1/44 | | | | | 94,524 | | |
| | | | | | | | | | Orange County Health Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 200,000 | | | | A+ | | | Series A, 5.000% due 10/1/39 | | | | | 234,436 | | |
| | | 365,000 | | | | A+ | | | Series A, 5.000% due 10/1/42 | | | | | 382,462 | | |
| | | 150,000 | | | | A+ | | | Series B, 5.000% due 10/1/42 | | | | | 157,176 | | |
| | | | | | | | | | Orange County School Board, COP: | | | | | | | |
| | | 115,000 | | | | Aa2(a) | | | Series B, Prerefunded 8/1/22 @ 100, 5.000% due 8/1/26(d) | | | | | 125,516 | | |
| | | 200,000 | | | | Aa2(a) | | | Series C, 5.000% due 8/1/29 | | | | | 242,804 | | |
| | | | | | | | | | Orlando Utilities Commission, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | AA | | | Series A, 5.000% due 10/1/23 | | | | | 57,323 | | |
| | | 25,000 | | | | AA | | | Series A, 5.000% due 10/1/25 | | | | | 30,815 | | |
| | | 100,000 | | | | AA | | | Series B, 5.000% due 10/1/20 | | | | | 100,391 | | |
| | | | | | | | | | Palm Beach County Health Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 10,000 | | | | WD(f) | | | 5.000% due 12/1/23 | | | | | 11,504 | | |
| | | 20,000 | | | | WD(f) | | | 5.000% due 12/1/24 | | | | | 23,889 | | |
| | | | | | | | | | Palm Beach County School District, COP: | | | | | | | |
| | | 55,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/1/22 | | | | | 59,996 | | |
| | | 35,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/1/23 | | | | | 39,680 | | |
| | | 40,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/1/24 | | | | | 47,204 | | |
| | | 135,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/1/25 | | | | | 164,993 | | |
| | | 705,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/1/26 | | | | | 887,144 | | |
| | | 135,000 | | | | Aa3(a) | | | Series B, 5.000% due 8/1/25 | | | | | 164,993 | | |
| | | 300,000 | | | | Aa3(a) | | | Series B, 5.000% due 8/1/26 | | | | | 365,670 | | |
| | | 240,000 | | | | Aa3(a) | | | Series B, 5.000% due 8/1/27 | | | | | 291,494 | | |
| | | 160,000 | | | | Aa3(a) | | | Series B, 5.000% due 8/1/28 | | | | | 193,896 | | |
| | | 695,000 | | | | Aa3(a) | | | Series D, 5.000% due 8/1/26 | | | | | 847,136 | | |
| | | 315,000 | | | | Aa3(a) | | | Series D, 5.000% due 8/1/27 | | | | | 382,586 | | |
| | | 110,000 | | | | Aa3(a) | | | Series D, 5.000% due 8/1/28 | | | | | 133,304 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | $ | 250,000 | | | | AA+ | | | Palm Beach County Solid Waste Authority, Revenue Bonds, 5.000% due 10/1/24 | | | | $ | 262,720 | | |
| | | 300,000 | | | | AA | | | Pasco County School Board, COP, Series D, AGM-Insured, 5.000% due 8/1/30 | | | | | 402,993 | | |
| | | | | | | | | | School Board of Miami-Dade County, COP: | | | | | | | |
| | | 570,000 | | | | A+ | | | Series A, 5.000% due 5/1/31 | | | | | 689,273 | | |
| | | 120,000 | | | | AA | | | Series A, AGM, 5.000% due 5/1/27 | | | | | 144,697 | | |
| | | 220,000 | | | | A+ | | | Series B, 5.000% due 8/1/27 | | | | | 272,930 | | |
| | | 395,000 | | | | A+ | | | Series B, 5.000% due 5/1/28 | | | | | 470,461 | | |
| | | 340,000 | | | | A+ | | | Series D, 5.000% due 11/1/24 | | | | | 403,624 | | |
| | | 355,000 | | | | A+ | | | Series D, 5.000% due 11/1/25 | | | | | 419,819 | | |
| | | 230,000 | | | | A+ | | | Series D, 5.000% due 11/1/26 | | | | | 271,370 | | |
| | | 115,000 | | | | A+ | | | Series D, 5.000% due 2/1/29 | | | | | 139,875 | | |
| | | 190,000 | | | | A+ | | | Series D, 5.000% due 2/1/30 | | | | | 230,090 | | |
| | | | | | | | | | School District of Broward County, COP: | | | | | | | |
| | | 155,000 | | | | A+ | | | Series A, 5.000% due 7/1/21 | | | | | 161,130 | | |
| | | 145,000 | | | | A+ | | | Series A, 5.000% due 7/1/22 | | | | | 157,599 | | |
| | | 45,000 | | | | A+ | | | Series A, 5.000% due 7/1/25 | | | | | 48,556 | | |
| | | 460,000 | | | | A+ | | | Series A, 5.000% due 7/1/26 | | | | | 534,333 | | |
| | | 265,000 | | | | A+ | | | Series A, 5.000% due 7/1/27 | | | | | 315,554 | | |
| | | 115,000 | | | | A+ | | | Series A, 5.000% due 7/1/28 | | | | | 136,520 | | |
| | | 70,000 | | | | A+ | | | Series A, 5.000% due 7/1/32 | | | | | 84,007 | | |
| | | 120,000 | | | | NR | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 7/1/25(d) | | | | | 130,172 | | |
| | | 580,000 | | | | NR | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 7/1/26(d) | | | | | 629,167 | | |
| | | 60,000 | | | | A+ | | | Series B, 5.000% due 7/1/25 | | | | | 71,760 | | |
| | | 335,000 | | | | A+ | | | Series B, 5.000% due 7/1/26 | | | | | 400,308 | | |
| | | 230,000 | | | | A+ | | | Series B, 5.000% due 7/1/27 | | | | | 273,877 | | |
| | | 390,000 | | | | A+ | | | Series B, 5.000% due 7/1/28 | | | | | 462,981 | | |
| | | | | | | | | | Seminole County School Board, COP: | | | | | | | |
| | | 60,000 | | | | Aa3(a) | | | Series C, 5.000% due 7/1/23 | | | | | 67,781 | | |
| | | 50,000 | | | | Aa3(a) | | | Series C, 5.000% due 7/1/24 | | | | | 58,652 | | |
| | | 115,000 | | | | AA | | | South Florida Water Management District, COP, 5.000% due 10/1/30 | | | | | 138,867 | | |
| | | | | | | | | | South Miami Health Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 75,000 | | | | AA- | | | 5.000% due 8/15/24 | | | | | 87,446 | | |
| | | 120,000 | | | | AA- | | | 5.000% due 8/15/25 | | | | | 144,364 | | |
| | | | | | | | | | St Lucie County School Board, COP: | | | | | | | |
| | | 60,000 | | | | A | | | Series A, 5.000% due 7/1/25 | | | | | 67,238 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | $ | 125,000 | | | | A | | | Series A, 5.000% due 7/1/27 | | | | $ | 139,855 | | |
| | | | | | | | | | State of Florida, GO: | | | | | | | |
| | | 5,995,000 | | | | AAA | | | 5.000% due 7/1/32 | | | | | 7,894,156 | | |
| | | 289,000 | | | | AAA | | | Series C, 5.000% due 6/1/22 | | | | | 299,485 | | |
| | | 145,000 | | | | AAA | | | Series E, 5.000% due 6/1/24 | | | | | 150,216 | | |
| | | 2,000,000 | | | | AA+ | | | State of Florida Department of Transportation, Revenue Bonds, 5.000% due 7/1/27 | | | | | 2,579,300 | | |
| | | | | | | | | | Tampa Bay Water, Revenue Bonds: | | | | | | | |
| | | 70,000 | | | | AA+ | | | Series A, NPFG, 6.000% due 10/1/29 | | | | | 100,828 | | |
| | | 70,000 | | | | AA+ | | | Series NPFG, 5.500% due 10/1/22 | | | | | 77,661 | | |
| | | | | | | | | | Volusia County Educational Facility Authority, Revenue Bonds: | | | | | | | |
| | | 150,000 | | | | A3(a) | | | 4.000% due 10/15/36 | | | | | 173,145 | | |
| | | 80,000 | | | | A3(a) | | | 5.000% due 10/15/44 | | | | | 98,025 | | |
| | | 150,000 | | | | A3(a) | | | 5.000% due 10/15/49 | | | | | 182,703 | | |
| | | | | | | | | | Volusia County School Board, COP: | | | | | | | |
| | | 600,000 | | | | Aa3(a) | | | 5.000% due 8/1/24 | | | | | 698,628 | | |
| | | 145,000 | | | | AA | | | Series A, 5.000% due 8/1/32 | | | | | 174,745 | | |
| | | | | | | | | | Total Florida | | | | | 43,193,435 | | |
| Georgia – 3.9% | | |||||||||||||||
| | | | | | | | | | City of Atlanta GA Water & Wastewater Revenue, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA- | | | 5.000% due 11/1/27 | | | | | 36,110 | | |
| | | 70,000 | | | | AA- | | | 5.000% due 11/1/29 | | | | | 83,959 | | |
| | | 2,000,000 | | | | AA- | | | 5.000% due 11/1/40 | | | | | 2,351,600 | | |
| | | 205,000 | | | | #Aaa(a) | | | Colquitt County Development Authority, Revenue Bonds, zero coupon, due 12/1/21 | | | | | 204,209 | | |
| | | 45,000 | | | | A+ | | | County of DeKalb GA Water & Sewerage Revenue, Revenue Bonds, Series A, 5.250% due 10/1/25 | | | | | 47,376 | | |
| | | | | | | | | | DeKalb County Hospital Authority, Revenue Bonds: | | | | | | | |
| | | 170,000 | | | | WD(f) | | | Series Prerefunded 9/1/20 @ 100, 6.000% due 9/1/30(d) | | | | | 170,000 | | |
| | | 310,000 | | | | WD(f) | | | Series Prerefunded 9/1/20 @ 100, 6.125% due 9/1/40(d) | | | | | 310,000 | | |
| | | | | | | | | | Development Authority of Burke County, Revenue Bonds: | | | | | | | |
| | | 600,000 | | | | A- | | | 1.700% due 12/1/49(b) | | | | | 612,690 | | |
| | | 830,000 | | | | A- | | | 2.925% due 11/1/53(b) | | | | | 884,647 | | |
| | | 155,000 | | | | AA- | | | Fulton County Development Authority, Revenue Bonds, 5.000% due 6/15/44 | | | | | 190,971 | | |
| | | | | | | | | | Main Street Natural Gas Inc., Revenue Bonds: | | | | | | | |
| | | 5,000,000 | | | | Aa2(a) | | | Series A, 4.000% due 4/1/48(b) | | | | | 5,486,900 | | |
| | | 840,000 | | | | Aa2(a) | | | Series C, 4.000% due 8/1/48(b) | | | | | 927,881 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Georgia – (continued) | | |||||||||||||||
| | $ | 195,000 | | | | A3(a) | | | Monroe County Development Authority, Revenue Bonds, 2.350% due 10/1/48(b) | | | | $ | 195,989 | | |
| | | | | | | | | | Municipal Electric Authority of Georgia, Revenue Bonds: | | | | | | | |
| | | 265,000 | | | | A- | | | Series A, 5.000% due 1/1/21 | | | | | 268,967 | | |
| | | 160,000 | | | | A- | | | Series A, 5.000% due 1/1/27 | | | | | 199,461 | | |
| | | 145,000 | | | | A- | | | Series A, 5.000% due 1/1/30 | | | | | 187,933 | | |
| | | 105,000 | | | | A | | | Series GG, 5.000% due 1/1/24 | | | | | 115,588 | | |
| | | 35,000 | | | | A | | | Series GG, 5.000% due 1/1/25 | | | | | 38,489 | | |
| | | 145,000 | | | | A | | | Series GG, 5.000% due 1/1/26 | | | | | 159,114 | | |
| | | | | | | | | | Municipal Gas Authority of Georgia, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | AA- | | | Series Q, 5.000% due 10/1/22 | | | | | 65,680 | | |
| | | 35,000 | | | | AA- | | | Series S, 5.000% due 10/1/22 | | | | | 38,313 | | |
| | | 70,000 | | | | AA- | | | Series S, 5.000% due 10/1/24 | | | | | 76,602 | | |
| | | 40,000 | | | | AA- | | | Series U, 5.000% due 10/1/24 | | | | | 47,277 | | |
| | | | | | | | | | State of Georgia, GO: | | | | | | | |
| | | 5,000,000 | | | | AAA | | | Series A, 5.000% due 7/1/29 | | | | | 6,616,000 | | |
| | | 5,000,000 | | | | AAA | | | Series A, 5.000% due 8/1/30 | | | | | 6,952,650 | | |
| | | 2,500,000 | | | | AAA | | | Series A, 5.000% due 7/1/32 | | | | | 3,339,275 | | |
| | | 3,835,000 | | | | AAA | | | Series C, 5.000% due 7/1/29 | | | | | 4,955,625 | | |
| | | | | | | | | | Total Georgia | | | | | 34,563,306 | | |
| Hawaii – 0.1% | | |||||||||||||||
| | | | | | | | | | City & County of Honolulu HI, GO: | | | | | | | |
| | | 115,000 | | | | Aa1(a) | | | Series D, 5.000% due 9/1/22 | | | | | 125,998 | | |
| | | 90,000 | | | | Aa1(a) | | | Series D, 5.000% due 9/1/26 | | | | | 113,873 | | |
| | | 500,000 | | | | AA+ | | | State of Hawaii, GO, Series FH, 5.000% due 10/1/28 | | | | | 627,380 | | |
| | | | | | | | | | Total Hawaii | | | | | 867,251 | | |
| Idaho – 0.4% | | |||||||||||||||
| | | | | | | | | | Idaho Housing & Finance Association, Revenue Bonds: | | | | | | | |
| | | 90,000 | | | | A2(a) | | | 5.000% due 7/15/21 | | | | | 93,485 | | |
| | | 100,000 | | | | A2(a) | | | 5.000% due 7/15/22 | | | | | 108,089 | | |
| | | 45,000 | | | | A2(a) | | | 5.000% due 7/15/23 | | | | | 50,350 | | |
| | | 35,000 | | | | A2(a) | | | 5.000% due 7/15/24 | | | | | 40,545 | | |
| | | 35,000 | | | | A2(a) | | | 5.000% due 7/15/25 | | | | | 41,816 | | |
| | | 95,000 | | | | A2(a) | | | 5.000% due 7/15/27 | | | | | 119,304 | | |
| | | 75,000 | | | | Aa1(a) | | | Series A, 4.000% due 1/1/50 | | | | | 83,797 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Idaho – (continued) | | |||||||||||||||
| | $ | 2,380,000 | | | | Aa1(a) | | | Kootenai County School District No 271 Coeur d’Alene, GO, 4.000% due 9/15/28 | | | | $ | 2,849,265 | | |
| | | | | | | | | | Total Idaho | | | | | 3,386,651 | | |
| Illinois – 4.8% | | |||||||||||||||
| | | | | | | | | | Chicago Midway International Airport, Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | A | | | Series A, 5.000% due 1/1/29(c) | | | | | 75,518 | | |
| | | 100,000 | | | | A | | | Series A, 5.000% due 1/1/30(c) | | | | | 115,551 | | |
| | | 70,000 | | | | A | | | Series A, 5.000% due 1/1/31(c) | | | | | 80,444 | | |
| | | 190,000 | | | | A | | | Series A, 5.000% due 1/1/32(c) | | | | | 209,602 | | |
| | | 30,000 | | | | A | | | Series B, 5.000% due 1/1/22 | | | | | 31,639 | | |
| | | 95,000 | | | | A | | | Series B, 5.000% due 1/1/24 | | | | | 107,603 | | |
| | | | | | | | | | Chicago O’Hare International Airport, Revenue Bonds: | | | | | | | |
| | | 75,000 | | | | BBB+ | | | 5.000% due 7/1/38(c) | | | | | 86,231 | | |
| | | 50,000 | | | | A | | | Series A, 5.000% due 1/1/22 | | | | | 52,821 | | |
| | | 125,000 | | | | A | | | Series A, 5.000% due 1/1/24(c) | | | | | 141,451 | | |
| | | 1,000,000 | | | | A | | | Series A, 5.000% due 1/1/25(c) | | | | | 1,056,100 | | |
| | | 270,000 | | | | A | | | Series A, 5.000% due 1/1/29 | | | | | 327,729 | | |
| | | 200,000 | | | | A | | | Series A, 5.000% due 1/1/48(c) | | | | | 235,686 | | |
| | | 200,000 | | | | A | | | Series B, 5.000% due 1/1/22(c) | | | | | 210,408 | | |
| | | 285,000 | | | | A | | | Series B, 5.000% due 1/1/32 | | | | | 330,557 | | |
| | | 120,000 | | | | A | | | Series B, 5.000% due 1/1/53 | | | | | 142,992 | | |
| | | 65,000 | | | | A | | | Series C, 5.000% due 1/1/22 | | | | | 68,668 | | |
| | | 80,000 | | | | A | | | Series C, 5.000% due 1/1/23 | | | | | 87,893 | | |
| | | 45,000 | | | | A | | | Series C, 5.000% due 1/1/24 | | | | | 51,192 | | |
| | | 65,000 | | | | A | | | Series C, 5.000% due 1/1/25 | | | | | 76,322 | | |
| | | 60,000 | | | | A | | | Series C, 5.000% due 1/1/26 | | | | | 72,335 | | |
| | | 70,000 | | | | A | | | Series C, 5.000% due 1/1/33 | | | | | 81,509 | | |
| | | 80,000 | | | | A | | | Series C, 5.000% due 1/1/34 | | | | | 92,891 | | |
| | | 420,000 | | | | A | | | Series C, Prerefunded 1/1/21 @ 100, 6.500% due 1/1/41(d) | | | | | 428,753 | | |
| | | 60,000 | | | | A | | | Series D, 5.000% due 1/1/27(c) | | | | | 73,150 | | |
| | | 15,000 | | | | A | | | Series D, 5.000% due 1/1/28(c) | | | | | 18,153 | | |
| | | 85,000 | | | | A | | | Series D, 5.000% due 1/1/31(c) | | | | | 101,080 | | |
| | | 45,000 | | | | A | | | Series D, 5.000% due 1/1/33(c) | | | | | 53,003 | | |
| | | 500,000 | | | | A+ | | | Chicago Transit Authority, Revenue Bonds, Series A, 4.000% due 12/1/50 | | | | | 549,720 | | |
| | | 40,000 | | | | A | | | City of Chicago IL Wastewater Transmission Revenue, Revenue Bonds, 5.000% due 1/1/23 | | | | | 41,878 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | $ | 30,000 | | | | AA | | | City of Chicago IL Waterworks Revenue, Revenue Bonds, AGM-Insured, 5.250% due 11/1/33 | | | | $ | 30,105 | | |
| | | | | | | | | | Cook County Forest Preserve District, GO: | | | | | | | |
| | | 30,000 | | | | AA- | | | Series B, 5.000% due 12/15/23 | | | | | 32,245 | | |
| | | 40,000 | | | | AA- | | | Series B, 5.000% due 12/15/24 | | | | | 43,212 | | |
| | | 60,000 | | | | AA- | | | Series C, 5.000% due 12/15/25 | | | | | 64,717 | | |
| | | 155,000 | | | | Aaa(a) | | | Cook Kane Lake & McHenry Counties Community College District No 512, GO, Series B, 5.000% due 12/1/24 | | | | | 184,678 | | |
| | | | | | | | | | County of Cook IL, GO: | | | | | | | |
| | | 565,000 | | | | A+ | | | Series A, 5.250% due 11/15/24 | | | | | 571,571 | | |
| | | 60,000 | | | | A+ | | | Series C, 5.000% due 11/15/22 | | | | | 64,970 | | |
| | | 145,000 | | | | A+ | | | Series C, 5.000% due 11/15/23 | | | | | 156,906 | | |
| | | 540,000 | | | | A+ | | | Series C, 5.000% due 11/15/24 | | | | | 583,843 | | |
| | | 15,000 | | | | AA | | | Series C, AGM, 5.000% due 11/15/25 | | | | | 16,341 | | |
| | | 85,000 | | | | A+ | | | Series G, 5.000% due 11/15/25 | | | | | 85,652 | | |
| | | 35,000 | | | | Aa3(a) | | | Grundy & Will Counties Community Unit School District No 1 Coal City, GO, 5.000% due 2/1/29 | | | | | 42,825 | | |
| | | 835,000 | | | | AA+ | | | Illinois Development Finance Authority, Revenue Bonds, zero coupon, due 7/15/23 | | | | | 824,061 | | |
| | | | | | | | | | Illinois Finance Authority, Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | AA+ | | | 5.000% due 7/15/25 | | | | | 48,320 | | |
| | | 60,000 | | | | AA+ | | | 5.000% due 7/15/26 | | | | | 74,507 | | |
| | | 75,000 | | | | A+ | | | 5.000% due 11/15/26 | | | | | 81,498 | | |
| | | 25,000 | | | | A3(a) | | | 5.000% due 8/15/27 | | | | | 29,387 | | |
| | | 70,000 | | | | A | | | 5.000% due 5/15/28 | | | | | 83,788 | | |
| | | 60,000 | | | | AA+ | | | 5.000% due 7/15/28 | | | | | 76,756 | | |
| | | 40,000 | | | | A | | | 5.000% due 5/15/29 | | | | | 47,664 | | |
| | | 150,000 | | | | AAA | | | 5.000% due 7/1/29 | | | | | 189,941 | | |
| | | 25,000 | | | | A+ | | | 5.000% due 11/15/29 | | | | | 26,953 | | |
| | | 110,000 | | | | A3(a) | | | 5.000% due 12/1/29 | | | | | 130,261 | | |
| | | 145,000 | | | | AAA | | | 5.000% due 1/1/30 | | | | | 183,165 | | |
| | | 330,000 | | | | AA- | | | 5.000% due 8/15/30 | | | | | 444,678 | | |
| | | 255,000 | | | | AAA | | | 5.000% due 7/1/31 | | | | | 318,985 | | |
| | | 235,000 | | | | AA+ | | | 5.000% due 9/1/32 | | | | | 251,309 | | |
| | | 175,000 | | | | A3(a) | | | 5.000% due 8/15/35 | | | | | 198,712 | | |
| | | 170,000 | | | | A | | | 5.000% due 1/1/36 | | | | | 199,451 | | |
| | | 870,000 | | | | A | | | 5.000% due 1/1/38 | | | | | 1,030,724 | | |
| | | 315,000 | | | | AA+ | | | 5.000% due 9/1/38 | | | | | 338,105 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | $ | 100,000 | | | | AA+ | | | 2.250% due 11/15/42(b) | | | | $ | 102,735 | | |
| | | 95,000 | | | | A+ | | | 5.000% due 11/15/43 | | | | | 100,736 | | |
| | | 1,300,000 | | | | A | | | 5.000% due 1/1/44 | | | | | 1,523,041 | | |
| | | 100,000 | | | | A3(a) | | | 5.000% due 12/1/46 | | | | | 113,638 | | |
| | | 25,000 | | | | BBB+ | | | 5.000% due 8/1/49 | | | | | 26,810 | | |
| | | 4,360,000 | | | | AA+ | | | 5.000% due 7/15/57(b) | | | | | 4,811,565 | | |
| | | 10,000 | | | | A+ | | | Series A, 5.000% due 11/15/21 | | | | | 10,533 | | |
| | | 45,000 | | | | A | | | Series A, 5.000% due 5/15/23 | | | | | 48,075 | | |
| | | 495,000 | | | | AA- | | | Series A, 5.000% due 2/15/24 | | | | | 564,424 | | |
| | | 95,000 | | | | AA- | | | Series A, 5.000% due 2/15/25 | | | | | 111,869 | | |
| | | 45,000 | | | | AA- | | | Series A, 5.000% due 2/15/26 | | | | | 54,466 | | |
| | | 30,000 | | | | A | | | Series A, 5.000% due 11/15/27 | | | | | 35,628 | | |
| | | 35,000 | | | | A | | | Series A, 5.000% due 11/15/28 | | | | | 41,374 | | |
| | | 55,000 | | | | A | | | Series A, 5.000% due 11/15/29 | | | | | 64,762 | | |
| | | 75,000 | | | | A | | | Series A, 5.000% due 7/1/30 | | | | | 89,182 | | |
| | | 100,000 | | | | A | | | Series A, 5.000% due 11/15/32 | | | | | 116,329 | | |
| | | 50,000 | | | | A | | | Series A, 5.000% due 7/1/34 | | | | | 58,568 | | |
| | | 15,000 | | | | AA+ | | | Series A, 5.000% due 9/1/34 | | | | | 17,018 | | |
| | | 60,000 | | | | A+ | | | Series A, 5.000% due 11/15/34 | | | | | 68,617 | | |
| | | 255,000 | | | | A | | | Series A, 5.000% due 7/1/36 | | | | | 296,983 | | |
| | | 20,000 | | | | BBB+ | | | Series A, 5.000% due 8/1/47 | | | | | 21,473 | | |
| | | 95,000 | | | | AA- | | | Series A, Prerefunded 8/15/26 @ 100, 5.000% due 8/15/33(d) | | | | | 120,298 | | |
| | | 85,000 | | | | A+ | | | Series B, 5.000% due 11/15/26 | | | | | 100,527 | | |
| | | 35,000 | | | | AA+ | | | Series C, 5.000% due 2/15/22 | | | | | 37,219 | | |
| | | 15,000 | | | | AA+ | | | Series C, 5.000% due 2/15/24 | | | | | 17,170 | | |
| | | 75,000 | | | | AA+ | | | Series C, 5.000% due 2/15/26 | | | | | 91,310 | | |
| | | 200,000 | | | | AA+ | | | Series C, 5.000% due 2/15/28 | | | | | 247,912 | | |
| | | 135,000 | | | | AA+ | | | Series C, 5.000% due 2/15/29 | | | | | 166,451 | | |
| | | 50,000 | | | | AA+ | | | Series C, 5.000% due 2/15/31 | | | | | 61,096 | | |
| | | 365,000 | | | | AA+ | | | Series C, 5.000% due 2/15/32 | | | | | 443,555 | | |
| | | 145,000 | | | | AA+ | | | Series C, 5.000% due 2/15/33 | | | | | 175,364 | | |
| | | 35,000 | | | | AA+ | | | Series C, 3.750% due 2/15/34 | | | | | 38,827 | | |
| | | 160,000 | | | | AA+ | | | Series C, 4.000% due 2/15/36 | | | | | 179,661 | | |
| | | 65,000 | | | | AA+ | | | Series C, 5.000% due 2/15/36 | | | | | 77,910 | | |
| | | 205,000 | | | | AA+ | | | Series C, 5.000% due 2/15/41 | | | | | 242,966 | | |
| | | 1,055,000 | | | | AA+ | | | Series E, 1.750% due 11/15/42(b) | | | | | 1,062,448 | | |
| | | 60,000 | | | | AA- | | | Series L, Prerefunded 12/1/21 @ 100, 5.000% due 12/1/22(d) | | | | | 63,547 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | $ | 20,000 | | | | NR | | | Series Prerefunded 2/15/27 @ 100, 4.000% due 2/15/41(d) | | | | $ | 24,397 | | |
| | | | | | | | | | Illinois Municipal Electric Agency, Revenue Bonds: | | | | | | | |
| | | 1,000,000 | | | | A | | | Series A, 5.000% due 2/1/22 | | | | | 1,064,350 | | |
| | | 290,000 | | | | A | | | Series A, 5.000% due 2/1/28 | | | | | 345,390 | | |
| | | 105,000 | | | | A | | | Series A, 5.000% due 2/1/31 | | | | | 124,279 | | |
| | | | | | | | | | Illinois State Toll Highway Authority, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | AA- | | | Series A, 5.000% due 12/1/31 | | | | | 60,020 | | |
| | | 175,000 | | | | AA- | | | Series D, 5.000% due 1/1/24 | | | | | 200,702 | | |
| | | 255,000 | | | | Aa3(a) | | | Kane Cook & DuPage Counties School District No U-46 Elgin, GO, Series B, AMBAC-Insured, zero coupon, due 1/1/22 | | | | | 253,748 | | |
| | | | | | | | | | Kane McHenry Cook & De Kalb Counties Unit School District No 300, GO: | | | | | | | |
| | | 260,000 | | | | AA | | | 5.000% due 1/1/26 | | | | | 309,681 | | |
| | | 55,000 | | | | AA | | | 5.000% due 1/1/29 | | | | | 70,231 | | |
| | | 155,000 | | | | Baa2(a) | | | Lake County Community High School District No 117 Antioch, GO, Series B, NPFG, zero coupon, due 12/1/20 | | | | | 154,659 | | |
| | | 230,000 | | | | AA | | | McHenry & Kane Counties Community Consolidated School District No 158 Huntley, GO, AGM-Insured, zero coupon, due 1/1/24 | | | | | 222,086 | | |
| | | | | | | | | | McHenry County Community Unit School District No 200 Woodstock, GO: | | | | | | | |
| | | 215,000 | | | | Aa2(a) | | | Series B, NPFG, zero coupon, due 1/15/24 | | | | | 208,554 | | |
| | | 225,000 | | | | Aa2(a) | | | Series B, NPFG, zero coupon, due 1/15/25 | | | | | 215,368 | | |
| | | 170,000 | | | | Aa2(a) | | | Series B, NPFG, zero coupon, due 1/15/26 | | | | | 159,746 | | |
| | | | | | | | | | McHenry County Conservation District, GO: | | | | | | | |
| | | 65,000 | | | | AA+ | | | 5.000% due 2/1/24 | | | | | 75,112 | | |
| | | 175,000 | | | | AA+ | | | 5.000% due 2/1/27 | | | | | 209,276 | | |
| | | 70,000 | | | | AA | | | Regional Transportation Authority, Revenue Bonds, Series A, 5.000% due 7/1/21 | | | | | 72,434 | | |
| | | | | | | | | | State of Illinois, GO: | | | | | | | |
| | | 345,000 | | | | AA | | | AGM, 5.000% due 1/1/21 | | | | | 346,021 | | |
| | | 120,000 | | | | BBB- | | | 5.000% due 11/1/20 | | | | | 120,703 | | |
| | | 80,000 | | | | BBB- | | | 5.000% due 3/1/21 | | | | | 81,370 | | |
| | | 45,000 | | | | BBB- | | | 5.000% due 8/1/21 | | | | | 46,395 | | |
| | | 225,000 | | | | BBB- | | | 5.000% due 1/1/22 | | | | | 235,118 | | |
| | | 145,000 | | | | BBB- | | | 5.000% due 3/1/22 | | | | | 152,309 | | |
| | | 190,000 | | | | BBB- | | | 5.000% due 8/1/22 | | | | | 201,791 | | |
| | | 45,000 | | | | BBB- | | | 5.000% due 2/1/23 | | | | | 48,077 | | |
| | | 220,000 | | | | BBB- | | | 5.000% due 4/1/23 | | | | | 235,941 | | |
| | | 100,000 | | | | BBB- | | | 5.000% due 8/1/23 | | | | | 107,859 | | |
| | | 225,000 | | | | BBB- | | | 5.000% due 6/1/25 | | | | | 250,389 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | $ | 65,000 | | | | BBB- | | | 5.000% due 2/1/26 | | | | $ | 70,176 | | |
| | | 3,005,000 | | | | BBB- | | | 5.000% due 6/1/26 | | | | | 3,388,979 | | |
| | | 270,000 | | | | BBB- | | | 5.000% due 2/1/27 | | | | | 302,280 | | |
| | | 180,000 | | | | BBB- | | | 5.000% due 2/1/28 | | | | | 203,386 | | |
| | | 60,000 | | | | BBB- | | | 5.000% due 4/1/28 | | | | | 64,483 | | |
| | | 25,000 | | | | BBB- | | | 5.000% due 5/1/28 | | | | | 26,901 | | |
| | | 165,000 | | | | BBB- | | | 5.000% due 2/1/29 | | | | | 185,397 | | |
| | | 305,000 | | | | BBB- | | | 5.250% due 2/1/31 | | | | | 327,723 | | |
| | | 70,000 | | | | BBB- | | | 5.000% due 5/1/32 | | | | | 74,444 | | |
| | | 190,000 | | | | BBB- | | | 5.000% due 5/1/33 | | | | | 201,522 | | |
| | | 115,000 | | | | BBB- | | | 5.500% due 7/1/38 | | | | | 121,514 | | |
| | | 65,000 | | | | BBB- | | | Series A, 4.000% due 1/1/23 | | | | | 66,645 | | |
| | | 105,000 | | | | BBB- | | | Series A, 5.000% due 1/1/33 | | | | | 107,706 | | |
| | | 365,000 | | | | BBB- | | | Series B, 5.000% due 9/1/21 | | | | | 377,341 | | |
| | | 360,000 | | | | BBB- | | | Series B, 5.000% due 9/1/22 | | | | | 382,939 | | |
| | | 365,000 | | | | BBB- | | | Series B, 5.000% due 9/1/23 | | | | | 394,156 | | |
| | | 365,000 | | | | BBB- | | | Series B, 5.000% due 9/1/24 | | | | | 400,982 | | |
| | | 1,500,000 | | | | BBB- | | | Series B, 5.000% due 10/1/26 | | | | | 1,698,450 | | |
| | | 620,000 | | | | BBB- | | | Series D, 5.000% due 11/1/23 | | | | | 665,086 | | |
| | | 405,000 | | | | BBB- | | | Series D, 5.000% due 11/1/25 | | | | | 448,367 | | |
| | | 390,000 | | | | BBB- | | | Series D, 5.000% due 11/1/26 | | | | | 436,141 | | |
| | | | | | | | | | University of Illinois, Revenue Bonds: | | | | | | | |
| | | 115,000 | | | | A- | | | 6.250% due 10/1/38 | | | | | 128,134 | | |
| | | 115,000 | | | | A- | | | 6.000% due 10/1/42 | | | | | 126,746 | | |
| | | | | | | | | | Will County Community Unit School District No 365 Valley View, GO: | | | | | | | |
| | | 2,420,000 | | | | Aa2(a) | | | Series A, 5.000% due 11/1/25 | | | | | 2,940,663 | | |
| | | 165,000 | | | | AA | | | Series B, AGM, zero coupon, due 11/1/26 | | | | | 155,364 | | |
| | | 200,000 | | | | AA | | | Will County School District No 86 Joliet, GO, AGM-Insured, zero coupon, due 11/1/21 | | | | | 198,836 | | |
| | | | | | | | | | Total Illinois | | | | | 41,950,663 | | |
| Indiana – 2.6% | | |||||||||||||||
| | | | | | | | | | City of Indianapolis IN Thermal Energy System Revenue, Revenue Bonds: | | | | | | | |
| | | 315,000 | | | | A+ | | | Series A, 5.000% due 10/1/24 | | | | | 370,494 | | |
| | | 340,000 | | | | A+ | | | Series A, 5.000% due 10/1/25 | | | | | 412,770 | | |
| | | 240,000 | | | | AA | | | Series B, AGM, 5.000% due 10/1/20 | | | | | 240,900 | | |
| | | 160,000 | | | | AA | | | Series B, AGM, 5.000% due 10/1/21 | | | | | 168,016 | | |
| | | | | | | | | | City of Whiting IN, Revenue Bonds: | | | | | | | |
| | | 415,000 | | | | A- | | | 5.250% due 1/1/21 | | | | | 421,835 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Indiana – (continued) | | |||||||||||||||
| | $ | 370,000 | | | | A- | | | 5.000% due 12/1/44(b)(c) | | | | $ | 452,843 | | |
| | | 1,020,000 | | | | A- | | | 5.000% due 11/1/45(b)(c) | | | | | 1,115,176 | | |
| | | 300,000 | | | | A- | | | County of St Joseph IN, Revenue Bonds, 4.000% due 4/1/38 | | | | | 326,880 | | |
| | | | | | | | | | Indiana Finance Authority, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA- | | | 5.000% due 3/1/22 | | | | | 32,128 | | |
| | | 90,000 | | | | AA- | | | 5.000% due 8/15/25 | | | | | 100,841 | | |
| | | 30,000 | | | | AA- | | | 5.000% due 9/1/25 | | | | | 35,993 | | |
| | | 30,000 | | | | AA- | | | 5.000% due 9/1/26 | | | | | 36,901 | | |
| | | 15,000 | | | | AA- | | | 5.000% due 9/1/29 | | | | | 18,166 | | |
| | | 5,000,000 | | | | AAA | | | 5.000% due 2/1/35 | | | | | 6,533,500 | | |
| | | 240,000 | | | | AA- | | | 5.000% due 3/1/36 | | | | | 273,756 | | |
| | | 60,000 | | | | AA- | | | 5.000% due 9/1/36 | | | | | 70,817 | | |
| | | 535,000 | | | | AA | | | 1.650% due 12/1/42(b) | | | | | 541,720 | | |
| | | 320,000 | | | | AA | | | 2.250% due 12/1/58(b) | | | | | 336,490 | | |
| | | 115,000 | | | | AA | | | Series A, 5.250% due 10/1/24 | | | | | 121,109 | | |
| | | 65,000 | | | | AA | | | Series A, 5.000% due 10/1/25 | | | | | 71,225 | | |
| | | 70,000 | | | | AA | | | Series A, 5.000% due 10/1/26 | | | | | 82,827 | | |
| | | 35,000 | | | | AA | | | Series A, 5.000% due 10/1/28 | | | | | 41,211 | | |
| | | 45,000 | | | | AA- | | | Series Prerefunded 3/1/22 @ 100, 5.000% due 3/1/23(d) | | | | | 48,192 | | |
| | | 30,000 | | | | AA- | | | Series Prerefunded 3/1/22 @ 100, 5.000% due 3/1/30(d) | | | | | 32,128 | | |
| | | 155,000 | | | | AA- | | | Series Prerefunded 3/1/22 @ 100, 5.000% due 3/1/41(d) | | | | | 165,996 | | |
| | | | | | | | | | Indiana Health Facility Financing Authority, Revenue Bonds: | | | | | | | |
| | | 1,000,000 | | | | AA+ | | | Series A2, 2.000% due 11/15/36(b) | | | | | 1,034,840 | | |
| | | 7,500,000 | | | | AA+ | | | Series E, 0.080% due 11/15/39(b) | | | | | 7,500,000 | | |
| | | 295,000 | | | | Aaa(a) | | | Indiana Housing & Community Development Authority, Revenue Bonds, Series B, 3.500% due 1/1/49 | | | | | 324,609 | | |
| | | | | | | | | | Indiana Municipal Power Agency, Revenue Bonds: | | | | | | | |
| | | 20,000 | | | | A+ | | | Series A, 5.000% due 1/1/24 | | | | | 21,722 | | |
| | | 20,000 | | | | A+ | | | Series A, 5.000% due 1/1/25 | | | | | 21,718 | | |
| | | 55,000 | | | | A+ | | | Series A, 5.000% due 1/1/26 | | | | | 59,705 | | |
| | | 10,000 | | | | NR | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 1/1/24(d) | | | | | 10,877 | | |
| | | 10,000 | | | | NR | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 1/1/25(d) | | | | | 10,877 | | |
| | | 25,000 | | | | NR | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 1/1/26(d) | | | | | 27,191 | | |
| | | 515,000 | | | | AAA | | | Indiana University, Revenue Bonds, Series W-1, 5.000% due 8/1/26 | | | | | 610,620 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Indiana – (continued) | | |||||||||||||||
| | $ | 255,000 | | | | A1(a) | | | Indianapolis Local Public Improvement Bond Bank, Revenue Bonds, 5.000% due 1/1/25(c) | | | | $ | 295,996 | | |
| | | | | | | | | | Lake Central Multi-District School Building Corp., Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | AA+ | | | Series B, 4.000% due 1/15/22 | | | | | 42,010 | | |
| | | 30,000 | | | | AA+ | | | Series B, 5.000% due 7/15/22 | | | | | 32,609 | | |
| | | 80,000 | | | | AA+ | | | Series B, 5.000% due 7/15/23 | | | | | 88,742 | | |
| | | 120,000 | | | | AA+ | | | Series B, 5.000% due 7/15/24 | | | | | 133,022 | | |
| | | 125,000 | | | | AA+ | | | Series B, 5.000% due 7/15/25 | | | | | 138,503 | | |
| | | | | | | | | | Total Indiana | | | | | 22,404,955 | | |
| Iowa – 1.4% | | |||||||||||||||
| | | 1,155,000 | | | | Aa1(a) | | | City of Cedar Rapids IA, GO, Series A, 5.000% due 6/1/25 | | | | | 1,354,134 | | |
| | | | | | | | | | Iowa Finance Authority, Revenue Bonds: | | | | | | | |
| | | 3,840,000 | | | | AAA | | | 5.000% due 8/1/31 | | | | | 4,884,672 | | |
| | | 90,000 | | | | BBB(f) | | | Series A, 5.000% due 5/15/43 | | | | | 95,512 | | |
| | | 105,000 | | | | BBB(f) | | | Series A, 5.000% due 5/15/48 | | | | | 110,924 | | |
| | | 5,000,000 | | | | A3(a) | | | PEFA Inc., Revenue Bonds, 5.000% due 9/1/49(b) | | | | | 6,099,300 | | |
| | | | | | | | | | Total Iowa | | | | | 12,544,542 | | |
| Kansas – 0.1% | | |||||||||||||||
| | | 1,000,000 | | | | Aa2(a) | | | Geary County Unified School District No 475, GO, Series B, 5.000% due 9/1/20 | | | | | 1,000,000 | | |
| | | | | | | | | | Wyandotte County-Kansas City Unified Government Utility System Revenue, Revenue Bonds: | | | | | | | |
| | | 130,000 | | | | A | | | Series A, 5.000% due 9/1/24 | | | | | 142,267 | | |
| | | 30,000 | | | | A | | | Series A, 5.000% due 9/1/30 | | | | | 35,875 | | |
| | | 35,000 | | | | A | | | Series A, 5.000% due 9/1/32 | | | | | 41,541 | | |
| | | 30,000 | | | | A | | | Series B, 5.000% due 9/1/23 | | | | | 32,831 | | |
| | | 45,000 | | | | A | | | Series B, 5.000% due 9/1/24 | | | | | 49,246 | | |
| | | | | | | | | | Total Kansas | | | | | 1,301,760 | | |
| Kentucky – 1.3% | | |||||||||||||||
| | | | | | | | | | Kenton County Airport Board, Revenue Bonds: | | | | | | | |
| | | 25,000 | | | | A1(a) | | | 5.000% due 1/1/25 | | | | | 29,471 | | |
| | | 15,000 | | | | A1(a) | | | 5.000% due 1/1/26 | | | | | 18,179 | | |
| | | 45,000 | | | | A1(a) | | | 5.000% due 1/1/29 | | | | | 53,541 | | |
| | | 50,000 | | | | A1(a) | | | 5.000% due 1/1/30 | | | | | 59,223 | | |
| | | 5,000,000 | | | | A1(a) | | | Kentucky Public Energy Authority, Revenue Bonds, Series B, 4.000% due 1/1/49(b) | | | | | 5,617,000 | | |
| | | | | | | | | | Kentucky State Property & Building Commission, Revenue Bonds: | | | | | | | |
| | | 160,000 | | | | A- | | | 5.000% due 4/1/27 | | | | | 197,846 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Kentucky – (continued) | | |||||||||||||||
| | $ | 145,000 | | | | A- | | | 5.000% due 5/1/28 | | | | $ | 183,044 | | |
| | | 15,000 | | | | A- | | | 5.000% due 5/1/29 | | | | | 18,800 | | |
| | | 40,000 | | | | AA | | | 5.000% due 5/1/31 | | | | | 50,534 | | |
| | | 110,000 | | | | A- | | | Series A, 5.000% due 10/1/27 | | | | | 122,216 | | |
| | | 165,000 | | | | A- | | | Series A, 5.000% due 2/1/29 | | | | | 195,306 | | |
| | | 170,000 | | | | A- | | | Series A, 5.000% due 2/1/30 | | | | | 200,206 | | |
| | | 65,000 | | | | A- | | | Series A, 5.000% due 2/1/32 | | | | | 75,847 | | |
| | | 80,000 | | | | A- | | | Series A, 5.000% due 2/1/33 | | | | | 92,964 | | |
| | | 325,000 | | | | A- | | | Series B, 5.000% due 11/1/26 | | | | | 398,190 | | |
| | | 1,445,000 | | | | A- | | | Series B, 5.000% due 11/1/27 | | | | | 1,758,926 | | |
| | | 55,000 | | | | A1(a) | | | Series D, 5.000% due 5/1/21 | | | | | 56,724 | | |
| | | 35,000 | | | | A1(a) | | | Series D, 5.000% due 5/1/26 | | | | | 42,388 | | |
| | | 30,000 | | | | A1(a) | | | Series D, 5.000% due 5/1/27 | | | | | 37,167 | | |
| | | 30,000 | | | | A1(a) | | | Series D, 5.000% due 5/1/28 | | | | | 36,890 | | |
| | | | | | | | | | Louisville/Jefferson County Metropolitan Government, Revenue Bonds: | | | | | | | |
| | | 200,000 | | | | A | | | 5.000% due 10/1/47(b) | | | | | 242,296 | | |
| | | 525,000 | | | | A | | | Series A, 5.000% due 10/1/29 | | | | | 632,258 | | |
| | | 95,000 | | | | A | | | Series A, 5.000% due 10/1/32 | | | | | 112,811 | | |
| | | 70,000 | | | | A | | | Series A, 5.500% due 10/1/33 | | | | | 78,273 | | |
| | | 185,000 | | | | A | | | Series A, 5.750% due 10/1/38 | | | | | 206,728 | | |
| | | 100,000 | | | | BBB+ | | | Series Prerefunded 6/1/22 @ 100, 5.000% due 12/1/28(d) | | | | | 108,184 | | |
| | | 335,000 | | | | BBB+ | | | Series Prerefunded 6/1/22 @ 100, 5.000% due 12/1/29(d) | | | | | 362,416 | | |
| | | 355,000 | | | | A+ | | | University of Louisville, Revenue Bonds, Series C, 3.000% due 9/1/21 | | | | | 364,141 | | |
| | | | | | | | | | Total Kentucky | | | | | 11,351,569 | | |
| Louisiana – 0.3% | | |||||||||||||||
| | | 90,000 | | | | AA- | | | City of New Orleans LA, GO, 5.000% due 12/1/20 | | | | | 91,053 | | |
| | | 1,500,000 | | | | AA | | | Louisiana Local Government Environmental Facilities & Community Development Authority, Revenue Bonds, 5.000% due 10/1/26 | | | | | 1,859,955 | | |
| | | | | | | | | | Louisiana Public Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | A | | | Series A, 5.000% due 12/15/22 | | | | | 44,162 | | |
| | | 85,000 | | | | A | | | Series A, 5.000% due 12/15/23 | | | | | 97,593 | | |
| | | | | | | | | | New Orleans Aviation Board, Revenue Bonds: | | | | | | | |
| | | 70,000 | | | | A | | | Series B, 5.000% due 1/1/24(c) | | | | | 78,942 | | |
| | | 85,000 | | | | A | | | Series B, 5.000% due 1/1/25(c) | | | | | 98,782 | | |
| | | 65,000 | | | | A | | | Series B, 5.000% due 1/1/27(c) | | | | | 75,122 | | |
| | | 10,000 | | | | A | | | Series B, 5.000% due 1/1/29(c) | | | | | 11,984 | | |
| | | 20,000 | | | | A | | | Series B, 5.000% due 1/1/31(c) | | | | | 23,705 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Louisiana – (continued) | | |||||||||||||||
| | $ | 20,000 | | | | A | | | Series B, 5.000% due 1/1/36(c) | | | | $ | 23,271 | | |
| | | 15,000 | | | | A | | | Series B, 5.000% due 1/1/37(c) | | | | | 17,403 | | |
| | | 20,000 | | | | A | | | Series D2, 5.000% due 1/1/26(c) | | | | | 23,837 | | |
| | | 15,000 | | | | A | | | Series D2, 5.000% due 1/1/29(c) | | | | | 17,976 | | |
| | | 20,000 | | | | A | | | Series D2, 5.000% due 1/1/30(c) | | | | | 23,830 | | |
| | | 45,000 | | | | A | | | Series D2, 5.000% due 1/1/32(c) | | | | | 53,085 | | |
| | | 35,000 | | | | A | | | Series D2, 5.000% due 1/1/35(c) | | | | | 40,855 | | |
| | | 15,000 | | | | A | | | Series D2, 5.000% due 1/1/38(c) | | | | | 17,362 | | |
| | | | | | | | | | Total Louisiana | | | | | 2,598,917 | | |
| Maine – 0.3% | | |||||||||||||||
| | | 2,500,000 | | | | AA+ | | | Maine State Housing Authority, Revenue Bonds, Series B, 3.150% due 11/15/39 | | | | | 2,688,575 | | |
| | | | | | | | | | Maine Turnpike Authority, Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | AA- | | | 5.000% due 7/1/25 | | | | | 78,770 | | |
| | | 60,000 | | | | AA- | | | 5.000% due 7/1/27 | | | | | 72,234 | | |
| | | | | | | | | | Total Maine | | | | | 2,839,579 | | |
| Maryland – 4.1% | | |||||||||||||||
| | | | | | | | | | City of Baltimore MD, Revenue Bonds: | | | | | | | |
| | | 105,000 | | | | AA | | | Series C, 5.000% due 7/1/28 | | | | | 132,113 | | |
| | | 195,000 | | | | AA | | | Series C, 5.000% due 7/1/31 | | | | | 242,436 | | |
| | | 200,000 | | | | AA | | | Series C, 5.000% due 7/1/33 | | | | | 246,324 | | |
| | | 170,000 | | | | AA- | | | Series D, 5.000% due 7/1/33 | | | | | 207,058 | | |
| | | 4,325,000 | | | | AAA | | | County of Harford MD, GO, Series B, 5.000% due 7/1/26 | | | | | 5,472,552 | | |
| | | 2,500,000 | | | | AAA | | | County of Howard MD, GO, Series D, 5.000% due 2/15/30 | | | | | 3,267,050 | | |
| | | | | | | | | | County of Prince George’s MD, GO: | | | | | | | |
| | | 3,595,000 | | | | AAA | | | Series A, 5.000% due 7/15/22 | | | | | 3,920,383 | | |
| | | 5,805,000 | | | | AAA | | | Series A, 5.000% due 7/15/29 | | | | | 7,704,106 | | |
| | | 2,065,000 | | | | AAA | | | Series C, Prerefunded 8/1/23 @ 100, 4.000% due 8/1/26(d) | | | | | 2,290,952 | | |
| | | | | | | | | | Maryland Community Development Administration, Revenue Bonds: | | | | | | | |
| | | 385,000 | | | | Aa1(a) | | | Series B, 4.000% due 9/1/49 | | | | | 429,406 | | |
| | | 320,000 | | | | Aa1(a) | | | Series C, 5.000% due 9/1/28 | | | | | 411,482 | | |
| | | 310,000 | | | | Aa1(a) | | | Series C, 3.500% due 3/1/50 | | | | | 341,840 | | |
| | | | | | | | | | Maryland Health & Higher Educational Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | BBB+ | | | Series A, 5.000% due 7/1/33 | | | | | 74,330 | | |
| | | 50,000 | | | | BBB+ | | | Series A, 5.000% due 7/1/34 | | | | | 57,054 | | |
| | | 20,000 | | | | BBB+ | | | Series A, 5.000% due 7/1/35 | | | | | 22,758 | | |
| | | 50,000 | | | | BBB+ | | | Series A, 5.000% due 7/1/36 | | | | | 56,729 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Maryland – (continued) | | |||||||||||||||
| | $ | 155,000 | | | | BBB+ | | | Series A, 4.000% due 7/1/42 | | | | $ | 164,219 | | |
| | | 35,000 | | | | A | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 7/1/24(d) | | | | | 38,035 | | |
| | | 30,000 | | | | A | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 7/1/25(d) | | | | | 32,601 | | |
| | | 300,000 | | | | AA- | | | Maryland State Transportation Authority, Revenue Bonds, 5.000% due 7/1/34 | | | | | 403,020 | | |
| | | | | | | | | | State of Maryland, GO: | | | | | | | |
| | | 3,000,000 | | | | AAA | | | 5.000% due 8/1/33 | | | | | 4,087,140 | | |
| | | 2,000,000 | | | | AAA | | | Series A, 5.000% due 8/1/31 | | | | | 2,689,040 | | |
| | | 3,000,000 | | | | AAA | | | State of Maryland Department of Transportation, Revenue Bonds, 3.500% due 10/1/33 | | | | | 3,363,120 | | |
| | | | | | | | | | Total Maryland | | | | | 35,653,748 | | |
| Massachusetts – 1.4% | | |||||||||||||||
| | | | | | | | | | Commonwealth of Massachusetts, GO: | | | | | | | |
| | | 90,000 | | | | AA | | | Series B, 5.000% due 7/1/22 | | | | | 97,976 | | |
| | | 520,000 | | | | AA | | | Series C, 5.000% due 4/1/23 | | | | | 583,913 | | |
| | | 45,000 | | | | AA | | | Massachusetts Bay Transportation Authority, Revenue Bonds, Series A, 5.000% due 7/1/45 | | | | | 52,502 | | |
| | | | | | | | | | Massachusetts Development Finance Agency, Revenue Bonds: | | | | | | | |
| | | 45,000 | | | | AA- | | | 5.000% due 7/1/23 | | | | | 50,483 | | |
| | | 115,000 | | | | AA- | | | 5.000% due 7/1/24 | | | | | 133,755 | | |
| | | 50,000 | | | | A | | | 5.000% due 7/1/30 | | | | | 63,991 | | |
| | | 235,000 | | | | A | | | 5.000% due 7/1/31 | | | | | 298,960 | | |
| | | 500,000 | | | | Baa2(a) | | | 5.000% due 7/1/34 | | | | | 594,445 | | |
| | | 65,000 | | | | AAA | | | Series A, 5.000% due 7/15/22 | | | | | 70,922 | | |
| | | 145,000 | | | | NR | | | Series A, Prerefunded 11/15/23 @ 100, 6.250% due 11/15/28(d)(g) | | | | | 165,744 | | |
| | | 500,000 | | | | AA+ | | | Series N, 1.450% due 7/1/41(b) | | | | | 501,935 | | |
| | | 5,000,000 | | | | WR(a) | | | Series Prerefunded 9/1/20 @ 100, 5.000% due 9/1/45(d) | | | | | 5,000,000 | | |
| | | 105,000 | | | | AA- | | | Series S, 5.000% due 7/1/30 | | | | | 132,155 | | |
| | | 585,000 | | | | A+ | | | Series S-1, 5.000% due 10/1/24 | | | | | 683,672 | | |
| | | 335,000 | | | | AA- | | | Series S4, 5.000% due 7/1/38(b) | | | | | 386,747 | | |
| | | 1,170,000 | | | | AA | | | Massachusetts Transportation Trust Fund Metropolitan Highway System Revenue, Revenue Bonds, Series A, 5.000% due 1/1/39(b) | | | | | 1,290,311 | | |
| | | 2,500,000 | | | | AA- | | | University of Massachusetts Building Authority, Revenue Bonds, Series 1, 4.000% due 11/1/43 | | | | | 2,641,050 | | |
| | | | | | | | | | Total Massachusetts | | | | | 12,748,561 | | |
| Michigan – 1.6% | | |||||||||||||||
| | | 160,000 | | | | AA | | | City of Detroit MI Sewage Disposal System Revenue, Revenue Bonds, Series G, AGM-Insured, 0.798% (3-Month USD-LIBOR) due 7/1/32(b) | | | | | 156,419 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Michigan – (continued) | | |||||||||||||||
| | $ | 85,000 | | | | Aa1(a) | | | Clarkston Community Schools, GO, 5.000% due 5/1/22 | | | | $ | 91,610 | | |
| | | 1,000,000 | | | | AA | | | Detroit City School District, GO, Series A, AGM-Insured, 5.250% due 5/1/30 | | | | | 1,359,120 | | |
| | | 155,000 | | | | AA | | | Detroit Downtown Development Authority, Series A, AGM-Insured, 5.000% due 7/1/37 | | | | | 174,876 | | |
| | | | | | | | | | Grand Rapids Public Schools, GO, AGM: | | | | | | | |
| | | 40,000 | | | | AA | | | 5.000% due 5/1/27 | | | | | 51,083 | | |
| | | 55,000 | | | | AA | | | 5.000% due 5/1/29 | | | | | 69,270 | | |
| | | 100,000 | | | | AA | | | 5.000% due 5/1/30 | | | | | 122,029 | | |
| | | 145,000 | | | | AA | | | 5.000% due 5/1/31 | | | | | 176,407 | | |
| | | 20,000 | | | | AA | | | 5.000% due 5/1/32 | | | | | 24,295 | | |
| | | 90,000 | | | | AA | | | 5.000% due 5/1/33 | | | | | 109,108 | | |
| | | | | | | | | | Kalamazoo Hospital Finance Authority, Revenue Bonds: | | | | | | | |
| | | 100,000 | | | | A2(a) | | | 5.000% due 5/15/27 | | | | | 120,972 | | |
| | | 75,000 | | | | A2(a) | | | 5.000% due 5/15/28 | | | | | 90,321 | | |
| | | 100,000 | | | | AAA | | | Kent County Building Authority, Revenue Bonds, 5.500% due 6/1/22 | | | | | 109,276 | | |
| | | | | | | | | | Kent Hospital Finance Authority, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA | | | Series A, 5.000% due 11/15/20 | | | | | 30,267 | | |
| | | 20,000 | | | | AA | | | Series A, 5.000% due 11/15/21 | | | | | 21,050 | | |
| | | | | | | | | | Michigan Finance Authority, Revenue Bonds: | | | | | | | |
| | | 310,000 | | | | AA | | | AGM, 5.000% due 7/1/22 | | | | | 336,877 | | |
| | | 1,250,000 | | | | Aa3(a) | | | 5.000% due 11/1/23 | | | | | 1,428,513 | | |
| | | 45,000 | | | | AA- | | | 5.000% due 12/1/23 | | | | | 51,261 | | |
| | | 750,000 | | | | Aa3(a) | | | 5.000% due 11/1/24 | | | | | 889,665 | | |
| | | 50,000 | | | | AA- | | | 5.000% due 12/1/24 | | | | | 58,925 | | |
| | | 85,000 | | | | AA- | | | 5.000% due 12/1/25 | | | | | 103,133 | | |
| | | 40,000 | | | | AA- | | | 5.000% due 12/1/26 | | | | | 49,732 | | |
| | | 10,000 | | | | AA- | | | 5.000% due 7/1/27 | | | | | 11,929 | | |
| | | 35,000 | | | | AA- | | | 5.000% due 12/1/27 | | | | | 44,519 | | |
| | | 160,000 | | | | A+ | | | 5.000% due 8/15/28 | | | | | 177,338 | | |
| | | 60,000 | | | | AA- | | | 5.000% due 12/1/28 | | | | | 75,991 | | |
| | | 30,000 | | | | AA- | | | 5.000% due 7/1/29 | | | | | 35,676 | | |
| | | 60,000 | | | | A+ | | | 5.000% due 8/15/29 | | | | | 66,348 | | |
| | | 35,000 | | | | AA- | | | 5.000% due 7/1/31 | | | | | 41,242 | | |
| | | 30,000 | | | | AA- | | | 5.000% due 7/1/32 | | | | | 35,196 | | |
| | | 315,000 | | | | A | | | 5.000% due 11/15/32 | | | | | 375,609 | | |
| | | 25,000 | | | | AA- | | | 5.000% due 7/1/33 | | | | | 29,215 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Michigan – (continued) | | |||||||||||||||
| | $ | 205,000 | | | | A | | | 5.000% due 11/15/36 | | | | $ | 218,719 | | |
| | | 45,000 | | | | A | | | 5.000% due 11/15/42 | | | | | 47,778 | | |
| | | 735,000 | | | | AA- | | | 5.000% due 12/1/44(b) | | | | | 870,821 | | |
| | | 45,000 | | | | WR(a) | | | Series A, 5.000% due 6/1/21 | | | | | 46,605 | | |
| | | 65,000 | | | | WR(a) | | | Series A, Prerefunded 6/1/22 @ 100, 5.000% due 6/1/27(d) | | | | | 70,379 | | |
| | | 140,000 | | | | WR(a) | | | Series A, Prerefunded 6/1/22 @ 100, 5.000% due 6/1/39(d) | | | | | 151,586 | | |
| | | | | | | | | | Michigan State Building Authority, Revenue Bonds: | | | | | | | |
| | | 495,000 | | | | AA- | | | Series I, 5.000% due 10/15/34 | | | | | 603,860 | | |
| | | 80,000 | | | | AA- | | | Series I, 5.000% due 4/15/35 | | | | | 97,436 | | |
| | | | | | | | | | Michigan State Hospital Finance Authority, Revenue Bonds: | | | | | | | |
| | | 700,000 | | | | AA- | | | Series C, 5.000% due 12/1/20 | | | | | 707,805 | | |
| | | 45,000 | | | | AA- | | | Series C, 5.000% due 12/1/24 | | | | | 53,033 | | |
| | | 40,000 | | | | AA- | | | Series C, 5.000% due 12/1/25 | | | | | 48,533 | | |
| | | 60,000 | | | | AA- | | | Series C, 5.000% due 12/1/26 | | | | | 74,597 | | |
| | | 40,000 | | | | AA- | | | Series C, 5.000% due 12/1/27 | | | | | 50,879 | | |
| | | 60,000 | | | | AA- | | | Series C, 5.000% due 12/1/28 | | | | | 75,991 | | |
| | | 180,000 | | | | AA+ | | | Series C, 2.400% due 11/15/47(b) | | | | | 188,379 | | |
| | | 710,000 | | | | AA+ | | | Series F5, 4.000% due 11/15/47(b) | | | | | 800,717 | | |
| | | | | | | | | | Michigan Strategic Fund, Revenue Bonds: | | | | | | | |
| | | 290,000 | | | | A | | | 1.450% due 8/1/29(b) | | | | | 291,406 | | |
| | | 35,000 | | | | A | | | 1.450% due 9/1/30(b) | | | | | 35,170 | | |
| | | 500,000 | | | | A | | | 1.800% due 10/1/49(b)(c) | | | | | 518,775 | | |
| | | | | | | | | | Portage Public Schools, GO: | | | | | | | |
| | | 35,000 | | | | AA- | | | 5.000% due 11/1/27 | | | | | 42,905 | | |
| | | 90,000 | | | | AA- | | | 5.000% due 11/1/29 | | | | | 109,993 | | |
| | | | | | | | | | Royal Oak Hospital Finance Authority, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | A+ | | | 5.000% due 9/1/22 | | | | | 32,642 | | |
| | | 60,000 | | | | A+ | | | 5.000% due 9/1/24 | | | | | 68,821 | | |
| | | 95,000 | | | | AA | | | State of Michigan, Revenue Bonds, 5.000% due 3/15/27 | | | | | 120,352 | | |
| | | 280,000 | | | | AA+ | | | State of Michigan Trunk Line Revenue, Revenue Bonds, AGM-Insured, 5.500% due 11/1/20 | | | | | 282,464 | | |
| | | | | | | | | | Warren Consolidated Schools, GO: | | | | | | | |
| | | 130,000 | | | | AA | | | 5.000% due 5/1/30 | | | | | 158,799 | | |
| | | 140,000 | | | | AA | | | 5.000% due 5/1/31 | | | | | 170,324 | | |
| | | 145,000 | | | | AA | | | 5.000% due 5/1/32 | | | | | 175,608 | | |
| | | | | | | | | | Wayne County Airport Authority, Revenue Bonds: | | | | | | | |
| | | 5,000 | | | | A- | | | Series A, 5.000% due 12/1/29 | | | | | 6,233 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Michigan – (continued) | | |||||||||||||||
| | $ | 10,000 | | | | A- | | | Series A, 5.000% due 12/1/30 | | | | $ | 12,391 | | |
| | | 10,000 | | | | A- | | | Series A, 5.000% due 12/1/31 | | | | | 12,326 | | |
| | | 15,000 | | | | A- | | | Series A, 5.000% due 12/1/36 | | | | | 18,140 | | |
| | | 620,000 | | | | A- | | | Series B, 5.000% due 12/1/29(c) | | | | | 759,444 | | |
| | | 15,000 | | | | A- | | | Series B, 5.000% due 12/1/30(c) | | | | | 18,253 | | |
| | | 15,000 | | | | A- | | | Series B, 5.000% due 12/1/31(c) | | | | | 18,158 | | |
| | | 10,000 | | | | A- | | | Series B, 5.000% due 12/1/33(c) | | | | | 11,984 | | |
| | | 25,000 | | | | A- | | | Series B, 5.000% due 12/1/36(c) | | | | | 29,674 | | |
| | | 60,000 | | | | A- | | | Series C, 5.000% due 12/1/22 | | | | | 65,699 | | |
| | | 65,000 | | | | A- | | | Series C, 5.000% due 12/1/23 | | | | | 73,796 | | |
| | | 70,000 | | | | A- | | | Series C, 5.000% due 12/1/24 | | | | | 82,175 | | |
| | | 70,000 | | | | A- | | | Series C, 5.000% due 12/1/25 | | | | | 84,573 | | |
| | | 45,000 | | | | A- | | | Series C, 5.000% due 12/1/26 | | | | | 55,671 | | |
| | | 45,000 | | | | A- | | | Series C, 5.000% due 12/1/27 | | | | | 56,881 | | |
| | | | | | | | | | Total Michigan | | | | | 13,937,047 | | |
| Minnesota – 1.9% | | |||||||||||||||
| | | 40,000 | | | | WD(f) | | | Housing & Redevelopment Authority of The City of St Paul Minnesota, Revenue Bonds, Series Prerefunded 11/15/25 @ 100, 5.000% due 11/15/40(d) | | | | | 49,464 | | |
| | | 2,500,000 | | | | AAA | | | Metropolitan Council, GO, Series I, 3.000% due 3/1/27 | | | | | 2,587,875 | | |
| | | | | | | | | | State of Minnesota, GO: | | | | | | | |
| | | 1,000,000 | | | | AAA | | | Series A, 5.000% due 8/1/32 | | | | | 1,339,950 | | |
| | | 5,000,000 | | | | AAA | | | Series A, 5.000% due 8/1/37 | | | | | 6,398,100 | | |
| | | 4,835,000 | | | | AAA | | | Series B, 5.000% due 8/1/27 | | | | | 6,295,025 | | |
| | | | | | | | | | Total Minnesota | | | | | 16,670,414 | | |
| Mississippi – 0.3% | | |||||||||||||||
| | | | | | | | | | Mississippi Hospital Equipment & Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 225,000 | | | | A2(a) | | | 5.000% due 1/1/30 | | | | | 292,264 | | |
| | | 435,000 | | | | A2(a) | | | 5.000% due 1/1/34 | | | | | 551,310 | | |
| | | 170,000 | | | | A+ | | | 5.000% due 10/1/40(b) | | | | | 205,738 | | |
| | | | | | | | | | State of Mississippi, GO: | | | | | | | |
| | | 160,000 | | | | AA | | | Series A, 5.000% due 10/1/30 | | | | | 204,747 | | |
| | | 1,250,000 | | | | AA | | | Series A, 5.000% due 10/1/34 | | | | | 1,572,125 | | |
| | | | | | | | | | Total Mississippi | | | | | 2,826,184 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Missouri – 0.4% | | |||||||||||||||
| | | | | | | | | | Health & Educational Facilities Authority of the State of Missouri, Revenue Bonds: | | | |||||
| | $ | 30,000 | | | | A+ | | | 5.000% due 5/15/29 | | | | $ | 36,003 | | |
| | | 30,000 | | | | A+ | | | 5.000% due 5/15/30 | | | | | 35,755 | | |
| | | 30,000 | | | | A+ | | | 5.000% due 5/15/31 | | | | | 35,606 | | |
| | | 85,000 | | | | A+ | | | 5.000% due 5/15/36 | | | | | 99,239 | | |
| | | 70,000 | | | | AA- | | | Series B, 5.000% due 2/1/30 | | | | | 83,638 | | |
| | | 80,000 | | | | AA- | | | Series B, 5.000% due 2/1/32 | | | | | 94,778 | | |
| | | 65,000 | | | | AA- | | | Series B, 5.000% due 2/1/36 | | | | | 75,903 | | |
| | | 20,000 | | | | AA- | | | Series B, 4.000% due 2/1/40 | | | | | 21,724 | | |
| | | 105,000 | | | | AA- | | | Series B, 5.000% due 2/1/45 | | | | | 120,581 | | |
| | | 2,500,000 | | | | AAA | | | Metropolitan St Louis Sewer District, Revenue Bonds, Series A, 5.000% due 5/1/37 | | | | | 3,107,850 | | |
| | | 85,000 | | | | AA+ | | | Missouri Housing Development Commission, Revenue Bonds, 4.000% due 5/1/50 | | | | | 95,130 | | |
| | | | | | | | | | Total Missouri | | | | | 3,806,207 | | |
| Montana – 0.1% | | |||||||||||||||
| | | | | | | | | | Montana Board of Housing, Revenue Bonds: | | | | | | | |
| | | 95,000 | | | | AA+ | | | Series A-1, 4.000% due 12/1/47(c) | | | | | 100,625 | | |
| | | 40,000 | | | | AA+ | | | Series B, 4.000% due 6/1/50 | | | | | 45,655 | | |
| | | | | | | | | | Montana Facility Finance Authority, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | A+(f) | | | 5.000% due 2/15/21 | | | | | 35,687 | | |
| | | 40,000 | | | | A+(f) | | | 5.000% due 2/15/22 | | | | | 42,506 | | |
| | | 60,000 | | | | A+(f) | | | 5.000% due 2/15/23 | | | | | 66,284 | | |
| | | 60,000 | | | | A+(f) | | | 5.000% due 2/15/24 | | | | | 68,526 | | |
| | | 60,000 | | | | A+(f) | | | 5.000% due 2/15/25 | | | | | 70,654 | | |
| | | 90,000 | | | | A+(f) | | | 5.000% due 2/15/26 | | | | | 108,932 | | |
| | | | | | | | | | Total Montana | | | | | 538,869 | | |
| Nebraska – 0.1% | | |||||||||||||||
| | | | | | | | | | Nebraska Investment Finance Authority, Revenue Bonds: | | | | | | | |
| | | 230,000 | | | | AA+ | | | Series B, 4.000% due 9/1/49(c) | | | | | 253,968 | | |
| | | 265,000 | | | | AA+ | | | Series E, 3.750% due 9/1/49(c) | | | | | 287,445 | | |
| | | | | | | | | | Nebraska Public Power District, Revenue Bonds: | | | | | | | |
| | | 115,000 | | | | A+ | | | Series B, 5.000% due 1/1/31 | | | | | 138,873 | | |
| | | 125,000 | | | | A+ | | | Series B, 5.000% due 1/1/34 | | | | | 149,280 | | |
| | | 155,000 | | | | A+ | | | Series B, 5.000% due 1/1/36 | | | | | 184,213 | | |
| | | | | | | | | | Total Nebraska | | | | | 1,013,779 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Nevada – 0.8% | | |||||||||||||||
| | | | | | | | | | City of Carson City NV, Revenue Bonds: | | | |||||
| | $ | 20,000 | | | | A- | | | 5.000% due 9/1/24 | | | | $ | 22,895 | | |
| | | 15,000 | | | | A- | | | 5.000% due 9/1/28 | | | | | 18,170 | | |
| | | 20,000 | | | | A- | | | 5.000% due 9/1/30 | | | | | 23,935 | | |
| | | 20,000 | | | | A- | | | 5.000% due 9/1/32 | | | | | 23,625 | | |
| | | 20,000 | | | | A- | | | 5.000% due 9/1/34 | | | | | 23,417 | | |
| | | | | | | | | | Clark County School District, GO: | | | | | | | |
| | | 75,000 | | | | A+ | | | Series A, 5.000% due 6/15/21 | | | | | 77,614 | | |
| | | 65,000 | | | | A+ | | | Series A, 5.000% due 6/15/23 | | | | | 72,607 | | |
| | | 170,000 | | | | A+ | | | Series A, 5.000% due 6/15/25 | | | | | 202,167 | | |
| | | 1,000,000 | | | | A+ | | | Series C, 5.000% due 6/15/23 | | | | | 1,117,030 | | |
| | | 280,000 | | | | A+ | | | County of Clark Department of Aviation, Revenue Bonds, Series C, 5.000% due 7/1/21(c) | | | | | 289,951 | | |
| | | 2,250,000 | | | | AA+ | | | County of Clark NV, GO, Series A, 5.000% due 6/1/35 | | | | | 2,808,540 | | |
| | | 1,300,000 | | | | A+ | | | County of Washoe NV, Revenue Bonds, 2.050% due 3/1/36(b)(c) | | | | | 1,318,499 | | |
| | | | | | | | | | Las Vegas Valley Water District, GO: | | | | | | | |
| | | 85,000 | | | | AA | | | Series A, 5.000% due 6/1/32 | | | | | 104,415 | | |
| | | 145,000 | | | | AA | | | Series A, 5.000% due 6/1/33 | | | | | 177,481 | | |
| | | 155,000 | | | | AA | | | Series A, 5.000% due 6/1/34 | | | | | 189,334 | | |
| | | 30,000 | | | | AA | | | Series B, 5.000% due 6/1/22 | | | | | 32,516 | | |
| | | 60,000 | | | | AA | | | Series B, 5.000% due 6/1/23 | | | | | 65,000 | | |
| | | 60,000 | | | | AA | | | Series B, 5.000% due 6/1/24 | | | | | 64,955 | | |
| | | 30,000 | | | | AA | | | Series B, 5.000% due 6/1/25 | | | | | 32,434 | | |
| | | 130,000 | | | | AA+ | | | Nevada Housing Division, Revenue Bonds, Series B, 4.000% due 10/1/49 | | | | | 145,309 | | |
| | | | | | | | | | State of Nevada, GO: | | | | | | | |
| | | 40,000 | | | | AA+ | | | 5.000% due 8/1/21 | | | | | 41,771 | | |
| | | 80,000 | | | | AA+ | | | 5.000% due 3/1/25 | | | | | 89,310 | | |
| | | | | | | | | | Total Nevada | | | | | 6,940,975 | | |
| 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 | | | | | 1,558,240 | | |
| | | 740,000 | | | | A- | | | New Hampshire Business Finance Authority, Revenue Bonds, 2.150% due 7/1/27(b)(c) | | | | | 759,588 | | |
| | | | | | | | | | New Hampshire Health & Education Facilities Authority Act, Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | BBB+ | | | 4.000% due 7/1/22 | | | | | 42,051 | | |
| | | 40,000 | | | | AA- | | | 5.000% due 7/1/24 | | | | | 46,524 | | |
| | | 35,000 | | | | BBB+ | | | 5.000% due 7/1/26 | | | | | 37,123 | | |
| | | 135,000 | | | | A- | | | 5.000% due 10/1/26 | | | | | 164,539 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| New Hampshire – (continued) | | |||||||||||||||
| | $ | 145,000 | | | | A- | | | 5.000% due 10/1/27 | | | | $ | 175,892 | | |
| | | 60,000 | | | | A- | | | 5.000% due 10/1/28 | | | | | 72,192 | | |
| | | 70,000 | | | | AA- | | | 5.000% due 7/1/30 | | | | | 88,103 | | |
| | | 65,000 | | | | A | | | 5.000% due 8/1/30 | | | | | 80,657 | | |
| | | 210,000 | | | | A- | | | 5.000% due 10/1/30 | | | | | 249,041 | | |
| | | 25,000 | | | | A- | | | 4.000% due 10/1/38 | | | | | 27,114 | | |
| | | 70,000 | | | | A2(a) | | | Series A, Prerefunded 10/1/22 @ 100, 5.000% due 10/1/43(d) | | | | | 76,788 | | |
| | | | | | | | | | New Hampshire State Turnpike System, Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | AA- | | | Series B, 5.000% due 2/1/22 | | | | | 69,384 | | |
| | | 65,000 | | | | AA- | | | Series B, 5.000% due 2/1/23 | | | | | 69,293 | | |
| | | 50,000 | | | | AA- | | | Series B, 5.000% due 2/1/24 | | | | | 53,221 | | |
| | | | | | | | | | Total New Hampshire | | | | | 3,569,750 | | |
| New Jersey – 2.3% | | |||||||||||||||
| | | | | | | | | | Camden County Improvement Authority, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | BBB+ | | | 5.000% due 2/15/24 | | | | | 67,759 | | |
| | | 30,000 | | | | BBB+ | | | 5.000% due 2/15/25 | | | | | 33,822 | | |
| | | | | | | | | | City of Bayonne NJ, GO: | | | | | | | |
| | | 45,000 | | | | AA | | | 5.000% due 7/1/31 | | | | | 55,249 | | |
| | | 30,000 | | | | AA | | | 5.000% due 7/1/32 | | | | | 36,661 | | |
| | | 30,000 | | | | AA | | | 5.000% due 7/1/33 | | | | | 36,509 | | |
| | | | | | | | | | New Jersey Economic Development Authority, Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | BBB+ | | | 5.000% due 3/1/25 | | | | | 43,379 | | |
| | | 850,000 | | | | BBB+ | | | 5.000% due 11/1/34 | | | | | 1,010,063 | | |
| | | 1,000,000 | | | | BBB+ | | | Series EEE, 5.000% due 6/15/30 | | | | | 1,194,730 | | |
| | | 220,000 | | | | BBB+ | | | Series II, 5.000% due 3/1/21 | | | | | 225,291 | | |
| | | 270,000 | | | | BBB+ | | | Series NN, 5.000% due 3/1/23 | | | | | 294,616 | | |
| | | 370,000 | | | | BBB+ | | | Series NN, 5.000% due 3/1/24 | | | | | 402,749 | | |
| | | 580,000 | | | | BBB+ | | | Series XX, 5.000% due 6/15/26 | | | | | 663,311 | | |
| | | 55,000 | | | | Baa1(a) | | | New Jersey Educational Facilities Authority, Revenue Bonds, Series A, 5.000% due 7/1/29 | | | | | 64,721 | | |
| | | | | | | | | | New Jersey Health Care Facilities Financing Authority, Revenue Bonds: | | | | | | | |
| | | 620,000 | | | | AA- | | | 5.000% due 7/1/42(b) | | | | | 743,194 | | |
| | | 625,000 | | | | AA- | | | 5.000% due 7/1/45(b) | | | | | 769,856 | | |
| | | 15,000 | | | | AA | | | Series A, 5.000% due 7/1/28 | | | | | 18,449 | | |
| | | 45,000 | | | | AA | | | Series A, 5.000% due 7/1/33 | | | | | 53,926 | | |
| | | | | | | | | | New Jersey Higher Education Student Assistance Authority, Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | AA | | | Series 1A, 5.000% due 12/1/22(c) | | | | | 43,285 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| New Jersey – (continued) | | |||||||||||||||
| | $ | 100,000 | | | | AA | | | Series 1A, 5.000% due 12/1/24(c) | | | | $ | 114,240 | | |
| | | 40,000 | | | | AA | | | Series 1B, 5.000% due 12/1/21(c) | | | | | 41,920 | | |
| | | 165,000 | | | | Aa1(a) | | | Series A, 5.000% due 12/1/22 | | | | | 179,012 | | |
| | | 115,000 | | | | Aa1(a) | | | Series A, 5.000% due 12/1/23 | | | | | 128,908 | | |
| | | 65,000 | | | | Aa1(a) | | | Series A, 5.000% due 12/1/24 | | | | | 75,097 | | |
| | | 125,000 | | | | Aa1(a) | | | Series A, 5.000% due 12/1/25 | | | | | 148,204 | | |
| | | | | | | | | | New Jersey Transportation Trust Fund Authority, Revenue Bonds: | | | | | | | |
| | | 5,000,000 | | | | A+ | | | 5.000% due 6/15/24 | | | | | 5,659,800 | | |
| | | 435,000 | | | | A+ | | | 5.000% due 6/15/27 | | | | | 512,125 | | |
| | | 1,320,000 | | | | BBB+ | | | 5.000% due 12/15/28 | | | | | 1,606,242 | | |
| | | 100,000 | | | | BBB+ | | | 4.000% due 12/15/39 | | | | | 107,563 | | |
| | | 200,000 | | | | BBB+ | | | 5.000% due 12/15/39 | | | | | 235,278 | | |
| | | 870,000 | | | | BBB+ | | | Series A, zero coupon, due 12/15/27 | | | | | 721,717 | | |
| | | 195,000 | | | | BBB+ | | | Series A, zero coupon, due 12/15/28 | | | | | 156,160 | | |
| | | 220,000 | | | | BBB+ | | | Series A, 5.000% due 12/15/33 | | | | | 258,623 | | |
| | | 2,000,000 | | | | BBB+ | | | Series A, 5.000% due 12/15/34 | | | | | 2,343,320 | | |
| | | 215,000 | | | | BBB+ | | | Series AA, 5.000% due 6/15/23 | | | | | 229,046 | | |
| | | 345,000 | | | | BBB+ | | | Series AA, 5.000% due 6/15/24 | | | | | 366,870 | | |
| | | 360,000 | | | | BBB+ | | | Series AA, 5.000% due 6/15/25 | | | | | 403,708 | | |
| | | 215,000 | | | | BBB+ | | | Series AA, 5.000% due 6/15/26 | | | | | 240,084 | | |
| | | 145,000 | | | | BBB+ | | | Series AA, 5.000% due 6/15/29 | | | | | 152,720 | | |
| | | | | | | | | | New Jersey Turnpike Authority, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | A+ | | | Series C1, 0.449% (1-Month USD-LIBOR) due 1/1/21(b) | | | | | 59,962 | | |
| | | 555,000 | | | | A+ | | | Series C5, 0.569% (1-Month USD-LIBOR) due 1/1/28(b) | | | | | 554,822 | | |
| | | | | | | | | | Total New Jersey | | | | | 20,052,991 | | |
| New Mexico – 0.1% | | |||||||||||||||
| | | 490,000 | | | | AA | | | New Mexico Hospital Equipment Loan Council, Revenue Bonds, Series B, 5.000% due 8/1/49(b) | | | | | 574,662 | | |
| | | 180,000 | | | | Aaa(a) | | | New Mexico Mortgage Finance Authority, Revenue Bonds, Series D, 3.750% due 1/1/50 | | | | | 199,903 | | |
| | | | | | | | | | Total New Mexico | | | | | 774,565 | | |
| New York – 9.5% | | |||||||||||||||
| | | | | | | | | | City of New York NY, GO: | | | | | | | |
| | | 190,000 | | | | AA | | | Series A, 5.000% due 8/1/22 | | | | | 207,182 | | |
| | | 5,880,000 | | | | AA | | | Series B1, 5.000% due 11/1/30 | | | | | 7,823,693 | | |
| | | 2,035,000 | | | | AA | | | Series B1, 5.000% due 12/1/38 | | | | | 2,445,297 | | |
| | | 90,000 | | | | AA | | | Series C, 5.000% due 8/1/27 | | | | | 106,201 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| New York – (continued) | | |||||||||||||||
| | $ | 5,000,000 | | | | AA | | | Series D1, 5.000% due 12/1/34 | | | | $ | 6,280,700 | | |
| | | 1,000,000 | | | | AA | | | Series F1, 5.000% due 4/1/43 | | | | | 1,206,340 | | |
| | | 2,825,000 | | | | AA+ | | | Series F4, 0.080% due 6/1/44(b) | | | | | 2,825,000 | | |
| | | 2,000,000 | | | | AA | | | Series H, 5.000% due 1/1/36 | | | | | 2,490,220 | | |
| | | 90,000 | | | | AA | | | Series J, 5.000% due 8/1/22 | | | | | 98,139 | | |
| | | 1,925,000 | | | | AA | | | County of Nassau NY, GO, Series A, AGM-Insured, 5.000% due 4/1/32 | | | | | 2,421,534 | | |
| | | | | | | | | | Hudson Yards Infrastructure Corp., Revenue Bonds: | | | | | | | |
| | | 115,000 | | | | A+ | | | Series A, 5.000% due 2/15/32 | | | | | 140,701 | | |
| | | 215,000 | | | | A+ | | | Series A, 5.000% due 2/15/35 | | | | | 259,858 | | |
| | | | | | | | | | Long Island Power Authority, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | A | | | Series B, 5.000% due 9/1/22 | | | | | 65,713 | | |
| | | 45,000 | | | | A | | | Series B, 5.000% due 9/1/23 | | | | | 51,358 | | |
| | | 40,000 | | | | A | | | Series B, 5.000% due 9/1/24 | | | | | 47,474 | | |
| | | 1,020,000 | | | | A | | | Series B, 1.650% due 9/1/49(b) | | | | | 1,051,630 | | |
| | | | | | | | | | Metropolitan Transportation Authority, Revenue Bonds: | | | | | | | |
| | | 245,000 | | | | BBB+ | | | 5.000% due 11/15/29 | | | | | 269,573 | | |
| | | 300,000 | | | | BBB+ | | | 5.000% due 11/15/31 | | | | | 333,777 | | |
| | | 125,000 | | | | BBB+ | | | Series A1, 5.000% due 11/15/35 | | | | | 133,784 | | |
| | | 145,000 | | | | BBB+ | | | Series A1, 5.000% due 11/15/36 | | | | | 155,179 | | |
| | | 270,000 | | | | BBB+ | | | Series B, 5.000% due 11/15/30 | | | | | 295,099 | | |
| | | 290,000 | | | | BBB+ | | | Series C1, 5.000% due 11/15/27 | | | | | 320,691 | | |
| | | 685,000 | | | | BBB+ | | | Series C1, 5.000% due 11/15/28 | | | | | 743,019 | | |
| | | 290,000 | | | | BBB+ | | | Series C2, zero coupon, due 11/15/33 | | | | | 178,498 | | |
| | | 415,000 | | | | BBB+ | | | Series D1, 5.000% due 11/15/30 | | | | | 442,822 | | |
| | | | | | | | | | MTA Hudson Rail Yards Trust Obligations, Revenue Bonds: | | | | | | | |
| | | 370,000 | | | | A2(a) | | | Series A, 5.000% due 11/15/51 | | | | | 388,596 | | |
| | | 860,000 | | | | A2(a) | | | Series A, 5.000% due 11/15/56 | | | | | 955,469 | | |
| | | 3,000,000 | | | | AA | | | New York City Transitional Finance Authority Building Aid Revenue, Revenue Bonds, Series S1, 5.000% due 7/15/29 | | | | | 3,786,330 | | |
| | | | | | | | | | New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds: | | | | | | | |
| | | 2,500,000 | | | | AAA | | | 5.000% due 11/1/30 | | | | | 3,386,850 | | |
| | | 2,500,000 | | | | AAA | | | 4.000% due 11/1/40 | | | | | 2,880,775 | | |
| | | 2,500,000 | | | | AAA | | | 0.020% due 8/1/45(b) | | | | | 2,500,000 | | |
| | | 160,000 | | | | AAA | | | Series A, 5.000% due 11/1/21 | | | | | 168,787 | | |
| | | 145,000 | | | | AAA | | | Series B, 4.000% due 2/1/21 | | | | | 147,236 | | |
| | | 100,000 | | | | AAA | | | Series B, 5.000% due 2/1/21 | | | | | 101,955 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| New York – (continued) | | |||||||||||||||
| | $ | 275,000 | | | | AAA | | | Series C2, 5.000% due 5/1/32 | | | | $ | 347,399 | | |
| | | | | | | | | | New York City Water & Sewer System, Revenue Bonds: | | | | | | | |
| | | 1,725,000 | | | | AA+ | | | 5.000% due 6/15/23 | | | | | 1,954,028 | | |
| | | 4,285,000 | | | | AA+ | | | 0.020% due 6/15/50(b) | | | | | 4,285,000 | | |
| | | 5,000,000 | | | | AA+ | | | Series AA, 5.000% due 6/15/32 | | | | | 5,184,750 | | |
| | | | | | | | | | New York State Dormitory Authority, Revenue Bonds: | | | | | | | |
| | | 385,000 | | | | AA | | | 5.000% due 5/15/23 | | | | | 412,300 | | |
| | | 2,000,000 | | | | AA- | | | 2.000% due 7/1/33 | | | | | 2,045,580 | | |
| | | 750,000 | | | | A- | | | 5.000% due 5/1/48(b) | | | | | 839,184 | | |
| | | 4,000,000 | | | | Aa1(a) | | | Series A, 5.250% due 3/15/38 | | | | | 5,052,080 | | |
| | | 2,150,000 | | | | AAA | | | New York State Environmental Facilities Corp., Revenue Bonds, Series A, 5.000% due 6/15/33 | | | | | 2,780,036 | | |
| | | 60,000 | | | | AA+ | | | New York State Thruway Authority Highway & Bridge Trust Fund, Revenue Bonds, Series A1, 5.000% due 4/1/21 | | | | | 61,681 | | |
| | | | | | | | | | New York State Urban Development Corp., Revenue Bonds: | | | | | | | |
| | | 285,000 | | | | AA+ | | | Series A, 5.000% due 3/15/22 | | | | | 295,415 | | |
| | | 80,000 | | | | AA+ | | | Series A, 5.000% due 3/15/32 | | | | | 98,281 | | |
| | | 175,000 | | | | AA- | | | Onondaga Civic Development Corp., Revenue Bonds, Series A, 5.000% due 12/1/33 | | | | | 233,314 | | |
| | | 5,000,000 | | | | A+ | | | Port Authority of New York & New Jersey, Revenue Bonds, Series 207, 5.000% due 9/15/24(c) | | | | | 5,859,000 | | |
| | | 400,000 | | | | AA+ | | | Sales Tax Asset Receivable Corp., Revenue Bonds, Series A, 4.000% due 10/15/32 | | | | | 440,128 | | |
| | | 3,775,000 | | | | AA+ | | | State of New York, GO, Series A, Prerefunded 2/15/21 @ 100, 5.000% due 2/15/41(d) | | | | | 3,858,012 | | |
| | | 90,000 | | | | Aa1(a) | | | State of New York Mortgage Agency, Revenue Bonds, Series 211, 3.500% due 10/1/32(c) | | | | | 98,078 | | |
| | | | | | | | | | Triborough Bridge & Tunnel Authority, Revenue Bonds: | | | | | | | |
| | | 4,000,000 | | | | AA- | | | Series A, Prerefunded 1/1/22 @ 100, 5.000% due 1/1/26(d) | | | | | 4,256,080 | | |
| | | 85,000 | | | | AA- | | | Series B, 5.000% due 11/15/23 | | | | | 96,816 | | |
| | | 115,000 | | | | AA- | | | Series B, 5.000% due 11/15/24 | | | | | 131,301 | | |
| | | | | | | | | | Total New York | | | | | 83,037,943 | | |
| North Carolina – 1.3% | | |||||||||||||||
| | | | | | | | | | County of New Hanover NC, Revenue Bonds: | | | | | | | |
| | | 25,000 | | | | A+ | | | 5.000% due 10/1/27 | | | | | 31,547 | | |
| | | 205,000 | | | | A+ | | | 5.000% due 10/1/47 | | | | | 241,699 | | |
| | | 655,000 | | | | A | | | North Carolina Medical Care Commission, Revenue Bonds, 2.200% due 12/1/48(b) | | | | | 664,248 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| North Carolina – (continued) | | |||||||||||||||
| | $ | 105,000 | | | | Aa3(a) | | | Raleigh Durham Airport Authority, Revenue Bonds, Series A, 5.000% due 5/1/29(c) | | | | $ | 134,950 | | |
| | | | | | | | | | State of North Carolina, Revenue Bonds: | | | | | | | |
| | | 330,000 | | | | AA | | | 5.000% due 3/1/22 | | | | | 353,206 | | |
| | | 290,000 | | | | AA | | | 5.000% due 3/1/23 | | | | | 323,591 | | |
| | | 10,000,000 | | | | AAA | | | University of North Carolina at Chapel Hill, Revenue Bonds, Series B, 0.454% (1-Month USD-LIBOR) due 12/1/34(b) | | | | | 9,998,800 | | |
| | | | | | | | | | Total North Carolina | | | | | 11,748,041 | | |
| Ohio – 0.8% | | |||||||||||||||
| | | | | | | | | | American Municipal Power Inc., Revenue Bonds: | | | | | | | |
| | | 45,000 | | | | A | | | 5.000% due 2/15/21 | | | | | 45,969 | | |
| | | 60,000 | | | | A | | | 5.000% due 2/15/22 | | | | | 64,076 | | |
| | | 40,000 | | | | A | | | 5.000% due 2/15/42 | | | | | 42,239 | | |
| | | 800,000 | | | | A | | | Series A, 2.300% due 2/15/38(b) | | | | | 810,864 | | |
| | | 65,000 | | | | A | | | Series Prerefunded 2/15/22 @ 100, 5.000% due 2/15/23(d) | | | | | 69,425 | | |
| | | 60,000 | | | | A | | | Series Prerefunded 2/15/22 @ 100, 5.000% due 2/15/24(d) | | | | | 64,085 | | |
| | | | | | | | | | City of Cleveland OH Airport System Revenue, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA | | | Series A, AGM, 5.000% due 1/1/26 | | | | | 34,823 | | |
| | | 45,000 | | | | AA | | | Series A, AGM, 5.000% due 1/1/28 | | | | | 51,966 | | |
| | | 65,000 | | | | AA | | | Series A, AGM, 5.000% due 1/1/29 | | | | | 74,855 | | |
| | | 60,000 | | | | AA | | | Series A, AGM, 5.000% due 1/1/30 | | | | | 68,879 | | |
| | | | | | | | | | 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(d) | | | | | 37,231 | | |
| | | 45,000 | | | | AA | | | Series A, Prerefunded 1/1/22 @ 100, 5.000% due 1/1/27(d) | | | | | 47,869 | | |
| | | 55,000 | | | | AA | | | Columbus City School District, GO, 5.000% due 12/1/32 | | | | | 67,424 | | |
| | | | | | | | | | County of Allen OH Hospital Facilities Revenue, Revenue Bonds: | | | | | | | |
| | | 125,000 | | | | A+ | | | 5.000% due 12/1/29 | | | | | 166,206 | | |
| | | 125,000 | | | | A+ | | | 5.000% due 12/1/30 | | | | | 165,794 | | |
| | | 80,000 | | | | A+ | | | Series B, 5.000% due 8/1/47(b) | | | | | 85,482 | | |
| | | | | | | | | | County of Franklin OH, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | Aa2(a) | | | 5.000% due 11/1/25 | | | | | 72,943 | | |
| | | 60,000 | | | | Aa2(a) | | | 5.000% due 11/1/26 | | | | | 74,682 | | |
| | | 140,000 | | | | A- | | | County of Hamilton OH, Revenue Bonds, 5.250% due 6/1/26 | | | | | 149,818 | | |
| | | 135,000 | | | | BBB | | | County of Lucas OH, Revenue Bonds, Series A, Prerefunded 11/15/21 @ 100, 6.500% due 11/15/37(d) | | | | | 145,057 | | |
| | | 465,000 | | | | A3(a) | | | County of Scioto OH, Revenue Bonds, 5.000% due 2/15/29 | | | | | 532,210 | | |
| | | 285,000 | | | | Aa3(a) | | | Miami University, Revenue Bonds, Series A, 5.000% due 9/1/30 | | | | | 385,927 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Ohio – (continued) | | |||||||||||||||
| | $ | 60,000 | | | | Aaa(a) | | | Ohio Housing Finance Agency, Revenue Bonds, Series B, 4.500% due 3/1/50 | | | | $ | 68,318 | | |
| | | 1,000,000 | | | | AA | | | Ohio State University, Revenue Bonds, 5.000% due 12/1/30 | | | | | 1,396,280 | | |
| | | 2,000,000 | | | | AAA | | | Ohio Water Development Authority Water Pollution Control Loan Fund, Revenue Bonds, Series A, 0.070% due 12/1/36(b) | | | | | 2,000,000 | | |
| | | | | | | | | | State of Ohio, Revenue Bonds: | | | | | | | |
| | | 75,000 | | | | AA | | | 5.000% due 1/1/27 | | | | | 94,495 | | |
| | | 145,000 | | | | AA | | | 5.000% due 1/1/29 | | | | | 185,633 | | |
| | | 90,000 | | | | A | | | 4.000% due 1/15/50 | | | | | 100,938 | | |
| | | | | | | | | | Total Ohio | | | | | 7,103,488 | | |
| Oklahoma – 0.1% | | |||||||||||||||
| | | 560,000 | | | | AA- | | | Canadian County Educational Facilities Authority, Revenue Bonds, 5.000% due 9/1/26 | | | | | 699,160 | | |
| | | | | | | | | | Grand River Dam Authority, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | AA- | | | Series A, 5.000% due 6/1/27 | | | | | 40,727 | | |
| | | 45,000 | | | | AA- | | | Series A, 5.000% due 6/1/28 | | | | | 52,200 | | |
| | | 90,000 | | | | WR(a) | | | Oklahoma Development Finance Authority, Revenue Bonds, Series Prerefunded 2/15/22 @ 100, 5.000% due 2/15/23(d) | | | | | 96,196 | | |
| | | | | | | | | | Oklahoma Municipal Power Authority, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | A | | | Series A, 5.000% due 1/1/26 | | | | | 59,468 | | |
| | | 175,000 | | | | A | | | Series A, 5.000% due 1/1/27 | | | | | 207,181 | | |
| | | 60,000 | | | | A | | | Series A, 5.000% due 1/1/28 | | | | | 70,801 | | |
| | | 45,000 | | | | A | | | Series A, 5.000% due 1/1/29 | | | | | 52,939 | | |
| | | 60,000 | | | | A | | | Series B, 5.000% due 1/1/27 | | | | | 71,033 | | |
| | | | | | | | | | Total Oklahoma | | | | | 1,349,705 | | |
| Oregon – 1.0% | | |||||||||||||||
| | | 85,000 | | | | Aa1(a) | | | Hillsboro School District No 1J, GO, 5.000% due 6/15/30 | | | | | 108,294 | | |
| | | 3,800,000 | | | | A+ | | | Oregon State Business Development Commission, Revenue Bonds, Series 232, 2.400% due 12/1/40(b) | | | | | 3,997,144 | | |
| | | | | | | | | | Port of Portland OR Airport Revenue, Revenue Bonds: | | | | | | | |
| | | 300,000 | | | | AA- | | | 5.000% due 7/1/28(c) | | | | | 376,854 | | |
| | | 165,000 | | | | AA- | | | 5.000% due 7/1/29 | | | | | 208,265 | | |
| | | 205,000 | | | | AA- | | | 5.000% due 7/1/32(c) | | | | | 241,988 | | |
| | | 2,675,000 | | | | AA+ | | | Salem-Keizer School District No 24J, GO, 5.000% due 6/15/32 | | | | | 3,469,555 | | |
| | | | | | | | | | Total Oregon | | | | | 8,402,100 | | |
| Pennsylvania – 1.5% | | |||||||||||||||
| | | | | | | | | | City of Philadelphia PA, GO: | | | | | | | |
| | | 550,000 | | | | A | | | Series A, 5.000% due 8/1/22 | | | | | 595,760 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Pennsylvania – (continued) | | |||||||||||||||
| | $ | 1,000,000 | | | | A | | | Series B, 5.000% due 2/1/24 | | | | $ | 1,145,290 | | |
| | | 85,000 | | | | A | | | Series B, 5.000% due 8/1/27 | | | | | 102,321 | | |
| | | 300,000 | | | | A | | | Series B, 5.000% due 8/1/29 | | | | | 359,529 | | |
| | | 320,000 | | | | A | | | Series B, 5.000% due 8/1/30 | | | | | 382,477 | | |
| | | 335,000 | | | | A | | | Series B, 5.000% due 8/1/31 | | | | | 399,337 | | |
| | | | | | | | | | City of Philadelphia PA Airport Revenue, Revenue Bonds: | | | | | | | |
| | | 155,000 | | | | A | | | Series B, 5.000% due 7/1/22(c) | | | | | 167,307 | | |
| | | 50,000 | | | | A | | | Series B, 5.000% due 7/1/30(c) | | | | | 60,130 | | |
| | | 70,000 | | | | A | | | Series B, 5.000% due 7/1/31(c) | | | | | 83,780 | | |
| | | | | | | | | | Commonwealth Financing Authority, Revenue Bonds: | | | | | | | |
| | | 1,010,000 | | | | A | | | Series A, 5.000% due 6/1/28 | | | | | 1,304,435 | | |
| | | 500,000 | | | | A | | | Series B, 5.000% due 6/1/25 | | | | | 600,385 | | |
| | | | | | | | | | Commonwealth of Pennsylvania, GO: | | | | | | | |
| | | 60,000 | | | | A+ | | | 5.000% due 7/1/21 | | | | | 62,363 | | |
| | | 1,200,000 | | | | A+ | | | 5.000% due 1/1/24 | | | | | 1,384,164 | | |
| | | 290,000 | | | | A+ | | | 5.000% due 10/15/27 | | | | | 331,139 | | |
| | | 810,000 | | | | A+ | | | 5.000% due 9/15/29 | | | | | 1,008,029 | | |
| | | | | | | | | | General Authority of Southcentral Pennsylvania, Revenue Bonds: | | | | | | | |
| | | 190,000 | | | | Aa3(a) | | | 5.000% due 6/1/38 | | | | | 237,975 | | |
| | | 310,000 | | | | Aa3(a) | | | 5.000% due 6/1/39 | | | | | 387,168 | | |
| | | 1,000,000 | | | | A | | | Lehigh County Industrial Development Authority, Revenue Bonds, Series A, 1.800% due 9/1/29(b) | | | | | 1,012,280 | | |
| | | | | | | | | | Montgomery County Higher Education & Health Authority, Revenue Bonds: | | | | | | | |
| | | 325,000 | | | | A | | | 5.000% due 9/1/33 | | | | | 406,672 | | |
| | | 115,000 | | | | A | | | Series A, AMBAC, 6.000% due 6/1/22 | | | | | 124,416 | | |
| | | 1,000,000 | | | | A+ | | | Northampton County General Purpose Authority, Revenue Bonds, 5.000% due 11/1/27 | | | | | 1,269,650 | | |
| | | | | | | | | | Pennsylvania Economic Development Financing Authority, Revenue Bonds: | | | | | | | |
| | | 90,000 | | | | A | | | 5.000% due 3/1/21 | | | | | 91,986 | | |
| | | 60,000 | | | | A | | | 5.000% due 3/1/22 | | | | | 63,985 | | |
| | | | | | | | | | Pennsylvania Higher Educational Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | AA | | | Series A, 5.000% due 8/15/27 | | | | | 44,712 | | |
| | | 35,000 | | | | AA | | | Series A, 5.000% due 8/15/28 | | | | | 44,299 | | |
| | | 60,000 | | | | AA | | | Series A, 5.000% due 8/15/30 | | | | | 75,157 | | |
| | | | | | | | | | Pennsylvania Turnpike Commission, Revenue Bonds: | | | | | | | |
| | | 15,000 | | | | A1(a) | | | Series A1, 5.000% due 12/1/22 | | | | | 16,489 | | |
| | | 15,000 | | | | A1(a) | | | Series A1, 5.000% due 12/1/23 | | | | | 17,129 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Pennsylvania – (continued) | | |||||||||||||||
| | $ | 45,000 | | | | A1(a) | | | Series A1, 5.000% due 12/1/29 | | | | $ | 56,872 | | |
| | | 30,000 | | | | A1(a) | | | Series A1, 5.000% due 12/1/34 | | | | | 36,830 | | |
| | | 35,000 | | | | A | | | Series A2, 5.000% due 12/1/28 | | | | | 42,415 | | |
| | | 35,000 | | | | A | | | Series A2, 5.000% due 12/1/33 | | | | | 43,181 | | |
| | | 250,000 | | | | A- | | | Philadelphia Authority for Industrial Development, Revenue Bonds, 4.000% due 11/1/21 | | | | | 259,337 | | |
| | | | | | | | | | Philadelphia Gas Works Co., Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | A | | | 5.000% due 8/1/23 | | | | | 33,254 | | |
| | | 20,000 | | | | A | | | 5.000% due 8/1/24 | | | | | 22,871 | | |
| | | 25,000 | | | | A | | | 5.000% due 8/1/25 | | | | | 29,381 | | |
| | | 30,000 | | | | AA | | | Pittsburgh School District, GO, Series A, 5.000% due 9/1/20 | | | | | 30,000 | | |
| | | 250,000 | | | | AA | | | Pittsburgh Water & Sewer Authority, Revenue Bonds, Series A, AGM-Insured, 5.000% due 9/1/44 | | | | | 312,870 | | |
| | | | | | | | | | School District of Philadelphia, GO: | | | | | | | |
| | | 405,000 | | | | A2(a) | | | Series C, 5.000% due 9/1/20 | | | | | 405,000 | | |
| | | 175,000 | | | | A2(a) | | | Series C, 5.000% due 9/1/21 | | | | | 175,000 | | |
| | | 40,000 | | | | A2(a) | | | State Public School Building Authority, Revenue Bonds, 5.000% due 6/1/26 | | | | | 47,332 | | |
| | | | | | | | | | Total Pennsylvania | | | | | 13,272,707 | | |
| Rhode Island – 0.5% | | |||||||||||||||
| | | | | | | | | | Rhode Island Health & Educational Building Corp., Revenue Bonds: | | | | | | | |
| | | 240,000 | | | | AA | | | AGM, 5.000% due 5/15/25 | | | | | 287,045 | | |
| | | 2,000,000 | | | | AA+ | | | Series A, 5.000% due 9/1/29 | | | | | 2,555,300 | | |
| | | 155,000 | | | | AA+ | | | Rhode Island Housing & Mortgage Finance Corp./RI, Revenue Bonds, Series 70, 4.000% due 10/1/49 | | | | | 172,559 | | |
| | | | | | | | | | Rhode Island Student Loan Authority, Revenue Bonds: | | | | | | | |
| | | 1,125,000 | | | | AA | | | Series A, 5.000% due 12/1/26(c) | | | | | 1,312,470 | | |
| | | 90,000 | | | | AA | | | Series A, 3.500% due 12/1/34(c) | | | | | 92,065 | | |
| | | | | | | | | | Tobacco Settlement Financing Corp., Revenue Bonds: | | | | | | | |
��� | | | 55,000 | | | | BBB | | | Series A, 5.000% due 6/1/27 | | | | | 63,276 | | |
| | | 70,000 | | | | BBB | | | Series A, 5.000% due 6/1/28 | | | | | 80,354 | | |
| | | | | | | | | | Total Rhode Island | | | | | 4,563,069 | | |
| South Carolina – 2.0% | | |||||||||||||||
| | | | | | | | | | Beaufort-Jasper Water & Sewer Authority, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA+ | | | Series B, 5.000% due 3/1/22 | | | | | 32,170 | | |
| | | 30,000 | | | | AA+ | | | Series B, 5.000% due 3/1/24 | | | | | 34,937 | | |
| | | 30,000 | | | | AA+ | | | Series B, 5.000% due 3/1/25 | | | | | 36,229 | | |
| | | 2,500,000 | | | | AAA | | | County of Charleston SC, GO, Series C, 5.000% due 11/1/27 | | | | | 3,280,750 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| South Carolina – (continued) | | |||||||||||||||
| | $ | 8,000,000 | | | | Aa2(a) | | | Patriots Energy Group Financing Agency, Revenue Bonds, Series A, 4.000% due 10/1/48(b) | | | | $ | 8,868,720 | | |
| | | | | | | | | | Scago Educational Facilities Corp. for Colleton School District, Revenue Bonds: | | | | | | | |
| | | 115,000 | | | | A- | | | 5.000% due 12/1/27 | | | | | 132,991 | | |
| | | 95,000 | | | | A- | | | 5.000% due 12/1/29 | | | | | 109,053 | | |
| | | | | | | | | | South Carolina Jobs-Economic Development Authority, Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | A+ | | | 5.000% due 2/1/22 | | | | | 69,059 | | |
| | | 30,000 | | | | A+ | | | 5.000% due 2/1/24 | | | | | 34,326 | | |
| | | 50,000 | | | | A+ | | | 5.000% due 2/1/25 | | | | | 59,167 | | |
| | | 50,000 | | | | A+ | | | 5.000% due 2/1/26 | | | | | 60,756 | | |
| | | | | | | | | | South Carolina Ports Authority, Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | A+ | | | 5.000% due 7/1/28(c) | | | | | 82,696 | | |
| | | 140,000 | | | | A+ | | | 5.000% due 7/1/30(c) | | | | | 175,475 | | |
| | | | | | | | | | South Carolina Public Service Authority, Revenue Bonds: | | | | | | | |
| | | 2,080,000 | | | | A | | | Series A, 5.000% due 12/1/49 | | | | | 2,307,074 | | |
| | | 515,000 | | | | A | | | Series A, 5.500% due 12/1/54 | | | | | 579,493 | | |
| | | 185,000 | | | | A | | | Series B, 5.000% due 12/1/35 | | | | | 221,504 | | |
| | | 275,000 | | | | A | | | Series B, 5.000% due 12/1/36 | | | | | 330,102 | | |
| | | 115,000 | | | | A | | | Series C, 5.000% due 12/1/25 | | | | | 135,150 | | |
| | | 115,000 | | | | A | | | Series C, 5.000% due 12/1/26 | | | | | 134,258 | | |
| | | 90,000 | | | | A | | | Series C, 5.000% due 12/1/27 | | | | | 104,903 | | |
| | | 105,000 | | | | A | | | Series C, 5.000% due 12/1/46 | | | | | 118,120 | | |
| | | 190,000 | | | | A | | | Series E, 5.500% due 12/1/53 | | | | | 210,974 | | |
| | | | | | | | | | South Carolina State Housing Finance & Development Authority, Revenue Bonds: | | | | | | | |
| | | 220,000 | | | | Aaa(a) | | | Series A, 4.000% due 1/1/50 | | | | | 249,053 | | |
| | | 170,000 | | | | Aaa(a) | | | Series A, 4.000% due 7/1/50 | | | | | 193,911 | | |
| | | 50,000 | | | | Aa3(a) | | | South Carolina Transportation Infrastructure Bank, Revenue Bonds, Series A, 5.000% due 10/1/25 | | | | | 60,646 | | |
| | | | | | | | | | Total South Carolina | | | | | 17,621,517 | | |
| South Dakota – 0.0% | | |||||||||||||||
| | | | | | | | | | South Dakota Health & Educational Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA- | | | 5.000% due 7/1/23 | | | | | 33,700 | | |
| | | 15,000 | | | | AA- | | | 5.000% due 7/1/24 | | | | | 17,415 | | |
| | | 10,000 | | | | AA- | | | 5.000% due 7/1/27 | | | | | 12,547 | | |
| | | 50,000 | | | | AA- | | | 5.000% due 7/1/33 | | | | | 60,452 | | |
| | | 40,000 | | | | AA- | | | 5.000% due 7/1/35 | | | | | 48,085 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| South Dakota – (continued) | | |||||||||||||||
| | $ | 35,000 | | | | A+ | | | Series B, 5.000% due 11/1/24 | | | | $ | 41,090 | | |
| | | 35,000 | | | | A+ | | | Series B, 5.000% due 11/1/25 | | | | | 40,969 | | |
| | | 5,000 | | | | A+ | | | Series B, 5.000% due 11/1/26 | | | | | 5,841 | | |
| | | | | | | | | | Total South Dakota | | | | | 260,099 | | |
| Tennessee – 1.2% | | |||||||||||||||
| | | 1,585,000 | | | | AAA | | | City of Chattanooga TN, GO, Series A, 4.000% due 2/1/33 | | | | | 1,951,832 | | |
| | | | | | | | | | Greeneville Health & Educational Facilities Board, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | A- | | | Series A, 5.000% due 7/1/29 | | | | | 37,345 | | |
| | | 35,000 | | | | A- | | | Series A, 5.000% due 7/1/30 | | | | | 43,316 | | |
| | | | | | | | | | Knox County Health Educational & Housing Facility Board, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | BBB | | | 5.000% due 9/1/22 | | | | | 37,529 | | |
| | | 30,000 | | | | BBB | | | 5.000% due 4/1/24 | | | | | 33,790 | | |
| | | 30,000 | | | | BBB | | | 5.000% due 9/1/24 | | | | | 34,204 | | |
| | | 40,000 | | | | BBB | | | 5.000% due 4/1/25 | | | | | 46,309 | | |
| | | 6,240,000 | | | | Aa2(a) | | | Tennergy Corp., Revenue Bonds, Series A, 5.000% due 2/1/50(b) | | | | | 7,301,736 | | |
| | | | | | | | | | Tennessee Energy Acquisition Corp., Revenue Bonds: | | | | | | | |
| | | 675,000 | | | | A3(a) | | | 4.000% due 11/1/49(b) | | | | | 771,464 | | |
| | | 350,000 | | | | A3(a) | | | Series A, 4.000% due 5/1/48(b) | | | | | 378,066 | | |
| | | | | | | | | | Total Tennessee | | | | | 10,635,591 | | |
| Texas – 11.4% | | |||||||||||||||
| | | 1,895,000 | | | | AAA | | | Alamo Community College District, GO, 5.000% due 8/15/34 | | | | | 2,364,373 | | |
| | | 40,000 | | | | AA- | | | Austin Community College District, Revenue Bonds, AMBAC-Insured, zero coupon, due 2/1/22 | | | | | 39,744 | | |
| | | | | | | | | | Central Texas Regional Mobility Authority, Revenue Bonds: | | | | | | | |
| | | 70,000 | | | | A- | | | 5.000% due 1/1/31 | | | | | 82,144 | | |
| | | 145,000 | | | | A- | | | 5.000% due 1/1/32 | | | | | 169,548 | | |
| | | 95,000 | | | | A- | | | 5.000% due 1/1/35 | | | | | 110,342 | | |
| | | 45,000 | | | | A- | | | 5.000% due 1/1/36 | | | | | 52,173 | | |
| | | 35,000 | | | | A- | | | Series A, 5.000% due 1/1/31 | | | | | 40,577 | | |
| | | 30,000 | | | | A- | | | Series A, 5.000% due 1/1/32 | | | | | 34,666 | | |
| | | 60,000 | | | | A- | | | Series A, 5.000% due 1/1/34 | | | | | 69,131 | | |
| | | 160,000 | | | | A- | | | Series A, 5.000% due 1/1/40 | | | | | 182,555 | | |
| | | 90,000 | | | | AA | | | City of Arlington TX, Special Tax, Series C, 5.000% due 2/15/45 | | | | | 91,605 | | |
| | | | | | | | | | City of Austin TX Airport System Revenue, Revenue Bonds: | | | | | | | |
| | | 165,000 | | | | A | | | 5.000% due 11/15/26(c) | | | | | 190,174 | | |
| | | 80,000 | | | | A | | | 5.000% due 11/15/29(c) | | | | | 91,710 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | $ | 45,000 | | | | AA | | | City of Austin TX Electric Utility Revenue, Revenue Bonds, Series A, 5.000% due 11/15/23 | | | | $ | 49,662 | | |
| | | | | | | | | | City of Dallas TX, GO: | | | | | | | |
| | | 130,000 | | | | AA- | | | 5.000% due 2/15/23 | | | | | 138,388 | | |
| | | 170,000 | | | | AA- | | | 5.000% due 2/15/24 | | | | | 196,928 | | |
| | | 2,060,000 | | | | AA- | | | 5.000% due 2/15/25 | | | | | 2,468,642 | | |
| | | 3,000,000 | | | | AAA | | | City of Dallas TX Waterworks & Sewer System Revenue, Revenue Bonds, Series A, 5.000% due 10/1/27 | | | | | 3,662,940 | | |
| | | | | | | | | | City of Houston TX, GO: | | | | | | | |
| | | 2,000,000 | | | | AA | | | Series A, 5.000% due 3/1/22 | | | | | 2,143,760 | | |
| | | 60,000 | | | | Aa3(a) | | | Series A, 5.000% due 3/1/23 | | | | | 67,014 | | |
| | | 290,000 | | | | Aa3(a) | | | Series A, 5.000% due 3/1/24 | | | | | 336,620 | | |
| | | 120,000 | | | | Aa3(a) | | | Series A, 5.000% due 3/1/25 | | | | | 144,140 | | |
| | | | | | | | | | City of Houston TX Airport System Revenue, Revenue Bonds: | | | | | | | |
| | | 350,000 | | | | A+ | | | Series A, 5.000% due 7/1/23(c) | | | | | 375,858 | | |
| | | 50,000 | | | | A1(a) | | | Series A, 5.000% due 7/1/26(c) | | | | | 60,472 | | |
| | | 60,000 | | | | A1(a) | | | Series A, 5.000% due 7/1/27(c) | | | | | 74,126 | | |
| | | 30,000 | | | | A1(a) | | | Series A, 5.000% due 7/1/28(c) | | | | | 37,736 | | |
| | | 90,000 | | | | A1(a) | | | Series B, 5.000% due 7/1/28 | | | | | 114,964 | | |
| | | 360,000 | | | | A1(a) | | | Series B, 5.000% due 7/1/29 | | | | | 456,606 | | |
| | | 190,000 | | | | A1(a) | | | Series B, 5.000% due 7/1/30 | | | | | 239,421 | | |
| | | 1,500,000 | | | | A1(a) | | | Series D, 5.000% due 7/1/25 | | | | | 1,794,000 | | |
| | | 2,005,000 | | | | A1(a) | | | Series D, 5.000% due 7/1/26 | | | | | 2,457,809 | | |
| | | | | | | | | | City of Houston TX Combined Utility System Revenue, Revenue Bonds: | | | | | | | |
| | | 250,000 | | | | Aa2(a) | | | Series B, 4.000% due 11/15/21 | | | | | 261,468 | | |
| | | 70,000 | | | | Aa2(a) | | | Series B, 5.000% due 11/15/33 | | | | | 86,456 | | |
| | | 75,000 | | | | AA | | | Series C, 5.000% due 5/15/28 | | | | | 87,349 | | |
| | | 355,000 | | | | Aa2(a) | | | Series C, 5.000% due 11/15/30 | | | | | 493,567 | | |
| | | 1,040,000 | | | | AAA | | | City of Irving TX, GO, 5.500% due 8/15/23 | | | | | 1,199,775 | | |
| | | | | | | | | | City of San Antonio TX Airport System, Revenue Bonds: | | | | | | | |
| | | 500,000 | | | | A | | | Series A, 5.000% due 7/1/27(c) | | | | | 612,600 | | |
| | | 480,000 | | | | A+ | | | Series A, 5.000% due 7/1/28(c) | | | | | 601,757 | | |
| | | | | | | | | | City of San Antonio TX Electric & Gas Systems Revenue, Revenue Bonds: | | | | | | | |
| | | 90,000 | | | | AA | | | 5.250% due 2/1/25 | | | | | 109,223 | | |
| | | 45,000 | | | | AA | | | 5.000% due 2/1/29 | | | | | 58,040 | | |
| | | 30,000 | | | | AA | | | 5.000% due 2/1/30 | | | | | 38,495 | | |
| | | 45,000 | | | | AA | | | 5.000% due 2/1/31 | | | | | 57,449 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | $ | 35,000 | | | | AA | | | 5.000% due 2/1/33 | | | | $ | 44,220 | | |
| | | 1,000,000 | | | | AA- | | | 1.750% due 2/1/49(b) | | | | | 1,043,680 | | |
| | | 1,500,000 | | | | AA- | | | Series 2019, 2.750% due 2/1/48(b) | | | | | 1,574,970 | | |
| | | 205,000 | | | | AA- | | | Series B, 2.000% due 2/1/33(b) | | | | | 207,399 | | |
| | | | | | | | | | County of Harris TX, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA- | | | Series C, 5.000% due 8/15/24 | | | | | 32,674 | | |
| | | 110,000 | | | | AA- | | | Series C, 5.000% due 8/15/25 | | | | | 119,739 | | |
| | | | | | | | | | County of Travis TX, GO: | | | | | | | |
| | | 85,000 | | | | AAA | | | Series A, 5.000% due 3/1/24 | | | | | 98,988 | | |
| | | 1,490,000 | | | | AAA | | | Series A, 5.000% due 3/1/38 | | | | | 1,924,052 | | |
| | | 2,215,000 | | | | AAA | | | County of Williamson TX, GO, 5.000% due 2/15/30 | | | | | 2,792,894 | | |
| | | | | | | | | | Cypress-Fairbanks Independent School District, GO, PSF-GTD, : | | | | | | | |
| | | 145,000 | | | | AAA | | | 5.000% due 2/15/22 | | | | | 155,114 | | |
| | | 145,000 | | | | AAA | | | 5.000% due 2/15/23 | | | | | 161,881 | | |
| | | 725,000 | | | | AAA | | | 5.000% due 2/15/24 | | | | | 842,015 | | |
| | | 620,000 | | | | AAA | | | 5.000% due 2/15/25 | | | | | 746,945 | | |
| | | 105,000 | | | | AAA | | | 5.000% due 2/15/27 | | | | | 129,154 | | |
| | | 1,975,000 | | | | AAA | | | 4.000% due 2/15/32 | | | | | 2,298,505 | | |
| | | 210,000 | | | | AA+ | | | Dallas Area Rapid Transit, Revenue Bonds, AMBAC-Insured, 5.250% due 12/1/29 | | | | | 288,655 | | |
| | | 185,000 | | | | A2(a) | | | Dallas County Utility & Reclamation District, GO, 5.000% due 2/15/24 | | | | | 212,994 | | |
| | | | | | | | | | Dallas Independent School District, GO, PSF-GTD, : | | | | | | | |
| | | 45,000 | | | | AAA | | | 5.000% due 2/15/36(b) | | | | | 48,070 | | |
| | | 40,000 | | | | NR | | | Series Prerefunded 2/15/22 @ 100, 5.000% due 2/15/36(b)(d) | | | | | 42,754 | | |
| | | 20,000 | | | | Aaa(a) | | | Series Prerefunded 2/15/22 @ 100, 5.000% due 2/15/36(d) | | | | | 21,377 | | |
| | | | | | | | | | Dallas/Fort Worth International Airport, Revenue Bonds: | | | | | | | |
| | | 85,000 | | | | A | | | Series B, 5.000% due 11/1/26(c) | | | | | 92,245 | | |
| | | 35,000 | | | | A | | | Series B, 5.000% due 11/1/27(c) | | | | | 37,944 | | |
| | | 80,000 | | | | A | | | Series B, 5.000% due 11/1/28(c) | | | | | 86,657 | | |
| | | 155,000 | | | | A | | | Series B, 5.000% due 11/1/30(c) | | | | | 167,516 | | |
| | | 330,000 | | | | A | | | Series B, 5.000% due 11/1/31(c) | | | | | 356,129 | | |
| | | 420,000 | | | | A | | | Series B, 5.000% due 11/1/32(c) | | | | | 452,508 | | |
| | | 290,000 | | | | A | | | Series B, 5.000% due 11/1/33(c) | | | | | 312,057 | | |
| | | 70,000 | | | | A | | | Series B, 5.000% due 11/1/34(c) | | | | | 75,278 | | |
| | | 1,500,000 | | | | A | | | Series E, 5.000% due 11/1/22(c) | | | | | 1,636,320 | | |
| | | 85,000 | | | | AAA | | | Denton Independent School District, GO, PSF-GTD-Insured, zero coupon, due 8/15/25 | | | | | 82,966 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | $ | 155,000 | | | | AAA | | | Fort Bend Independent School District, GO, Series D, PSF-GTD-Insured, 1.500% due 8/1/42(b) | | | | $ | 156,497 | | |
| | | | | | | | | | Fort Worth Independent School District, GO, PSF-GTD, : | | | | | | | |
| | | 80,000 | | | | AAA | | | 5.000% due 2/15/22 | | | | | 85,580 | | |
| | | 105,000 | | | | AAA | | | 5.000% due 2/15/26 | | | | | 130,810 | | |
| | | | | | | | | | Grand Parkway Transportation Corp., Revenue Bonds: | | | | | | | |
| | | 150,000 | | | | AA+ | | | Series A, 5.000% due 10/1/31 | | | | | 192,019 | | |
| | | 125,000 | | | | AA+ | | | Series A, 5.000% due 10/1/32 | | | | | 158,931 | | |
| | | 190,000 | | | | AA+ | | | Series A, 5.000% due 10/1/33 | | | | | 240,508 | | |
| | | 145,000 | | | | AA+ | | | Series A, 5.000% due 10/1/34 | | | | | 182,971 | | |
| | | 70,000 | | | | BBB | | | Series A, 5.125% due 10/1/43 | | | | | 72,809 | | |
| | | 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(d) | | | | | 1,018,781 | | |
| | | | | | | | | | Harris County Cultural Education Facilities Finance Corp., Revenue Bonds: | | | | | | | |
| | | 1,025,000 | | | | A+ | | | 5.000% due 6/1/24 | | | | | 1,186,612 | | |
| | | 590,000 | | | | A+ | | | 5.000% due 7/1/49(b) | | | | | 675,208 | | |
| | | 5,000,000 | | | | AAA | | | Harris County Flood Control District, Revenue Bonds, Series A, Prerefunded 10/1/20 @ 100, 5.000% due 10/1/39(d) | | | | | 5,019,350 | | |
| | | | | | | | | | Irving Hospital Authority, Revenue Bonds: | | | |||||
| | | 15,000 | | | | A+ | | | 5.000% due 10/15/24 | | | | | 17,585 | | |
| | | 20,000 | | | | A+ | | | 5.000% due 10/15/26 | | | | | 24,511 | | |
| | | 15,000 | | | | A+ | | | 5.000% due 10/15/27 | | | | | 18,252 | | |
| | | 20,000 | | | | A+ | | | 5.000% due 10/15/29 | | | | | 24,043 | | |
| | | 30,000 | | | | A+ | | | 5.000% due 10/15/31 | | | | | 35,659 | | |
| | | 40,000 | | | | A+ | | | 5.000% due 10/15/35 | | | | | 46,920 | | |
| | | 30,000 | | | | A+ | | | 5.000% due 10/15/36 | | | | | 35,090 | | |
| | | 35,000 | | | | A+ | | | 5.000% due 10/15/39 | | | | | 40,682 | | |
| | | 45,000 | | | | A+ | | | 5.000% due 10/15/44 | | | | | 51,848 | | |
| | | | | | | | | | Lamar Consolidated Independent School District, GO: | | | | | | | |
| | | 7,280,000 | | | | AAA | | | PSF-GTD, 5.000% due 2/15/31 | | | | | 9,135,599 | | |
| | | 7,050,000 | | | | AAA | | | PSF-GTD, 5.000% due 2/15/34 | | | | | 8,694,342 | | |
| | | 1,225,000 | | | | AA+ | | | Lewisville Independent School District, GO, Series B, 5.000% due 8/15/28 | | | | | 1,491,009 | | |
| | | | | | | | | | Love Field Airport Modernization Corp., Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | A | | | 5.000% due 11/1/30(c) | | | | | 46,188 | | |
| | | 90,000 | | | | A | | | 5.000% due 11/1/31(c) | | | | | 103,541 | | |
| | | | | | | | | | Lower Colorado River Authority, Revenue Bonds: | | | | | | | |
| | | 1,135,000 | | | | A | | | 5.000% due 5/15/22 | | | | | 1,172,580 | | |
| | | 200,000 | | | | A | | | 5.000% due 5/15/26 | | | | | 247,542 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | $ | 135,000 | | | | A | | | 5.000% due 5/15/32 | | | | $ | 171,913 | | |
| | | 70,000 | | | | A | | | 5.000% due 5/15/34 | | | | | 88,409 | | |
| | | 70,000 | | | | A | | | 5.000% due 5/15/36 | | | | | 87,774 | | |
| | | 195,000 | | | | A | | | Series B, 5.000% due 5/15/25 | | | | | 234,425 | | |
| | | 85,000 | | | | A | | | Series B, 5.000% due 5/15/27 | | | | | 102,054 | | |
| | | 85,000 | | | | A | | | Series B, 5.000% due 5/15/28 | | | | | 101,967 | | |
| | | 245,000 | | | | A | | | Series B, 5.000% due 5/15/29 | | | | | 292,900 | | |
| | | 25,000 | | | | A | | | Series D, 5.000% due 5/15/22 | | | | | 27,030 | | |
| | | 20,000 | | | | A | | | Series D, 5.000% due 5/15/23 | | | | | 22,422 | | |
| | | 35,000 | | | | A | | | Series D, 5.000% due 5/15/24 | | | | | 40,721 | | |
| | | 40,000 | | | | A | | | Series D, 5.000% due 5/15/26 | | | | | 48,149 | | |
| | | | | | | | | | New Hope Cultural Education Facilities Finance Corp., Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/15/24 | | | | | 70,212 | | |
| | | 70,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/15/25 | | | | | 84,591 | | |
| | | 45,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/15/26 | | | | | 55,704 | | |
| | | 45,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/15/27 | | | | | 57,174 | | |
| | | 70,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/15/30 | | | | | 87,261 | | |
| | | | | | | | | | Newark Higher Education Finance Corp., Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | A3(a) | | | 5.000% due 4/1/27 | | | | | 75,379 | | |
| | | 40,000 | | | | A3(a) | | | 5.000% due 4/1/28 | | | | | 46,165 | | |
| | | 125,000 | | | | AAA | | | North East Independent School District, GO, Series B, PSF-GTD-Insured, 1.420% due 8/1/40(b) | | | | | 125,485 | | |
| | | | | | | | | | North Harris County Regional Water Authority, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA- | | | 4.000% due 12/15/23 | | | | | 32,426 | | |
| | | 55,000 | | | | AA- | | | 4.000% due 12/15/24 | | | | | 59,447 | | |
| | | | | | | | | | North Texas Tollway Authority, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | A+ | | | Series A, 5.000% due 1/1/23 | | | | | 55,339 | | |
| | | 145,000 | | | | A+ | | | Series A, 5.000% due 1/1/24 | | | | | 166,140 | | |
| | | 35,000 | | | | A+ | | | Series A, 5.000% due 1/1/30 | | | | | 42,276 | | |
| | | 40,000 | | | | A+ | | | Series A, 5.000% due 1/1/33 | | | | | 48,626 | | |
| | | 200,000 | | | | A+ | | | Series A, 5.000% due 1/1/39 | | | | | 234,590 | | |
| | | 1,615,000 | | | | WD(f) | | | Series A, Prerefunded 9/1/21 @ 100, 5.500% due 9/1/41(d) | | | | | 1,700,401 | | |
| | | 30,000 | | | | WD(f) | | | Series A, Prerefunded 9/1/21 @ 100, 6.000% due 9/1/41(d) | | | | | 31,730 | | |
| | | 185,000 | | | | A | | | Series B, 5.000% due 1/1/25 | | | | | 218,781 | | |
| | | 290,000 | | | | A+ | | | Series B, 5.000% due 1/1/29 | | | | | 341,867 | | |
| | | 160,000 | | | | A+ | | | Series B, 5.000% due 1/1/30 | | | | | 188,600 | | |
| | | 20,000 | | | | A | | | Series B, 5.000% due 1/1/31 | | | | | 23,899 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | $ | 85,000 | | | | A | | | Series B, 5.000% due 1/1/32 | | | | $ | 103,089 | | |
| | | 685,000 | | | | Aaa(a) | | | Northside Independent School District, GO, PSF-GTD-Insured, 2.750% due 8/1/48(b) | | | | | 727,449 | | |
| | | | | | | | | | Permanent University Fund – University of Texas System, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | Aaa(a) | | | Series B, 5.000% due 7/1/22 | | | | | 54,403 | | |
| | | 50,000 | | | | Aaa(a) | | | Series B, 5.000% due 7/1/29 | | | | | 61,675 | | |
| | | 50,000 | | | | AAA | | | Rockwall Independent School District, GO, PSF-GTD-Insured, zero coupon, due 2/15/25 | | | | | 48,340 | | |
| | | 1,195,000 | | | | Aaa(a) | | | San Antonio Independent School District, GO, Series A, PSF-GTD-Insured, 5.000% due 8/1/28 | | | | | 1,487,978 | | |
| | | | | | | | | | San Antonio Public Facilities Corp., Revenue Bonds: | | | | | | | |
| | | 140,000 | | | | AA+ | | | 5.000% due 9/15/23 | | | | | 152,496 | | |
| | | 215,000 | | | | AA+ | | | 5.000% due 9/15/24 | | | | | 234,053 | | |
| | | 270,000 | | | | AA+ | | | 5.000% due 9/15/25 | | | | | 293,698 | | |
| | | | | | | | | | San Antonio Water System, Revenue Bonds: | | | | | | | |
| | | 175,000 | | | | NR | | | 5.000% due 5/15/22 | | | | | 189,209 | | |
| | | 2,000,000 | | | | AA | | | Series A, 5.000% due 5/15/36 | | | | | 2,546,200 | | |
| | | 390,000 | | | | AA | | | Series B, 2.000% due 5/1/44(b) | | | | | 402,168 | | |
| | ��� | 5,000,000 | | | | AAA | | | Spring Branch Independent School District, GO, Series Prerefunded 2/1/21 @ 100, PSF-GTD-Insured, 5.000% due 2/1/41(d) | | | | | 5,100,100 | | |
| | | | | | | | | | State of Texas, GO: | | | | | | | |
| | | 360,000 | | | | AAA | | | 4.000% due 8/1/21(c) | | | | | 372,247 | | |
| | | 3,500,000 | | | | AAA | | | 5.000% due 8/1/21 | | | | | 3,655,892 | | |
| | | 2,500,000 | | | | AAA | | | 5.000% due 10/1/24 | | | | | 2,920,900 | | |
| | | 150,000 | | | | AAA | | | 5.000% due 8/1/26(c) | | | | | 177,722 | | |
| | | 200,000 | | | | AAA | | | 5.500% due 8/1/26(c) | | | | | 255,472 | | |
| | | 240,000 | | | | AAA | | | 1.850% due 8/1/29(b) | | | | | 240,218 | | |
| | | 615,000 | | | | AAA | | | 2.250% due 8/1/29(b) | | | | | 615,978 | | |
| | | 45,000 | | | | AAA | | | Series A, 5.000% due 8/1/21(c) | | | | | 46,941 | | |
| | | 350,000 | | | | AAA | | | Series B, 5.000% due 8/1/25(c) | | | | | 396,907 | | |
| | | 40,000 | | | | AAA | | | Series C, 5.000% due 8/1/21(c) | | | | | 41,726 | | |
| | | | | | | | | | Tarrant County Cultural Education Facilities Finance Corp., Revenue Bonds: | | | | | | | |
| | | 165,000 | | | | AA | | | 5.000% due 2/15/25 | | | | | 196,286 | | |
| | | 30,000 | | | | AA- | | | 5.000% due 8/15/25 | | | | | 33,623 | | |
| | | 45,000 | | | | AA- | | | 5.000% due 8/15/26 | | | | | 50,212 | | |
| | | 45,000 | | | | AA- | | | 5.000% due 8/15/28 | | | | | 49,959 | | |
| | | 110,000 | | | | AA- | | | 5.000% due 8/15/33 | | | | | 121,484 | | |
| | | 60,000 | | | | AA | | | 5.000% due 2/15/34 | | | | | 71,731 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | $ | 155,000 | | | | A | | | 5.500% due 9/1/43 | | | | $ | 170,041 | | |
| | | 400,000 | | | | A(f) | | | Series B, 5.000% due 11/15/40 | | | | | 449,288 | | |
| | | 165,000 | | | | AAA | | | Texas A&M University, Revenue Bonds, Series C, 5.000% due 5/15/23 | | | | | 186,123 | | |
| | | | | | | | | | Texas Department of Housing & Community Affairs, Revenue Bonds: | | | | | | | |
| | | 413,670 | | | | Aaa(a) | | | 2.950% due 7/1/36 | | | | | 447,909 | | |
| | | 430,000 | | | | AA+ | | | Series A, 4.000% due 3/1/50 | | | | | 490,505 | | |
| | | 600,000 | | | | AA+ | | | Texas Public Finance Authority, Revenue Bonds, 5.000% due 2/1/28 | | | | | 783,336 | | |
| | | 135,000 | | | | Aa2(a) | | | Texas State University System, Revenue Bonds, Series A, 5.000% due 3/15/29 | | | | | 169,965 | | |
| | | | | | | | | | Texas Water Development Board, Revenue Bonds: | | | | | | | |
| | | 1,000,000 | | | | AAA | | | 3.000% due 8/1/21 | | | | | 1,026,020 | | |
| | | 125,000 | | | | AAA | | | Series A, 5.000% due 4/15/22 | | | | | 134,781 | | |
| | | 180,000 | | | | AAA | | | Series A, 5.000% due 4/15/25 | | | | | 218,380 | | |
| | | 75,000 | | | | AAA | | | Series A, 5.000% due 10/15/25 | | | | | 92,511 | | |
| | | 125,000 | | | | AAA | | | Series A, 5.000% due 4/15/26 | | | | | 156,326 | | |
| | | 190,000 | | | | AAA | | | Series A, 5.000% due 4/15/29 | | | | | 246,698 | | |
| | | 505,000 | | | | AAA | | | Series A, 5.000% due 4/15/30 | | | | | 652,208 | | |
| | | 190,000 | | | | AA | | | University of Houston, Revenue Bonds, Series A, 5.000% due 2/15/30 | | | | | 230,031 | | |
| | | | | | | | | | University of Texas System, Revenue Bonds: | | | | | | | |
| | | 90,000 | | | | AAA | | | Series B, 5.000% due 8/15/22 | | | | | 98,453 | | |
| | | 65,000 | | | | AAA | | | Series D, 5.000% due 8/15/21 | | | | | 68,007 | | |
| | | 70,000 | | | | AAA | | | Series D, 5.000% due 8/15/22 | | | | | 76,574 | | |
| | | 80,000 | | | | AAA | | | Series E, 5.000% due 8/15/22 | | | | | 87,514 | | |
| | | 90,000 | | | | AAA | | | Series J, 5.000% due 8/15/22 | | | | | 98,453 | | |
| | | | | | | | | | Total Texas | | | | | 99,830,310 | | |
| Utah – 0.5% | | |||||||||||||||
| | | | | | | | | | Salt Lake City Corp. Airport Revenue, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | A+ | | | Series A, 5.000% due 7/1/26(c) | | | | | 42,594 | | |
| | | 115,000 | | | | A+ | | | Series A, 5.000% due 7/1/28(c) | | | | | 141,897 | | |
| | | 155,000 | | | | A+ | | | Series A, 5.000% due 7/1/30(c) | | | | | 193,240 | | |
| | | 375,000 | | | | AAA | | | State of Utah, GO, Series B, 5.000% due 7/1/22 | | | | | 408,090 | | |
| | | 85,000 | | | | A- | | | Utah Associated Municipal Power Systems, Revenue Bonds, Series A, Prerefunded 9/1/22 @ 100, 5.000% due 9/1/24(d) | | | | | 93,111 | | |
| | | 2,500,000 | | | | A+ | | | Utah Transit Authority, Revenue Bonds, Series A, NPFG, 5.000% due 6/15/31 | | | | | 3,264,625 | | |
| | | | | | | | | | Total Utah | | | | | 4,143,557 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Vermont – 0.2% | | |||||||||||||||
| | | | | | | | | | Vermont Student Assistance Corp., Revenue Bonds: | | | |||||
| | $ | 750,000 | | | | A | | | Series A, 5.000% due 6/15/29(c) | | | | $ | 906,255 | | |
| | | 675,000 | | | | A | | | Series A, 5.000% due 6/15/30(c) | | | | | 821,509 | | |
| | | | | | | | | | Total Vermont | | | | | 1,727,764 | | |
| Virginia – 2.4% | | |||||||||||||||
| | | 195,000 | | | | A+ | | | Arlington County Industrial Development Authority, Revenue Bonds, 5.000% due 7/1/32 | | | | | 257,256 | | |
| | | 315,000 | | | | AAA | | | City of Chesapeake VA, GO, Series A, 5.000% due 8/1/34 | | | | | 430,596 | | |
| | | 30,000 | | | | BBB+ | | | City of Chesapeake VA Chesapeake Expressway Toll Road Revenue, Revenue Bonds, Series A, 5.000% due 7/15/22 | | | | | 31,411 | | |
| | | 2,635,000 | | | | AAA | | | City of Suffolk VA, GO, Series A, 5.000% due 2/1/27 | | | | | 3,390,138 | | |
| | | 5,000,000 | | | | AAA | | | Commonwealth of Virginia, GO, Series B, 4.000% due 6/1/24 | | | | | 5,517,850 | | |
| | | | | | | | | | Fredericksburg Economic Development Authority, Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | A3(a) | | | 5.000% due 6/15/27 | | | | | 45,144 | | |
| | | 40,000 | | | | A3(a) | | | 5.000% due 6/15/29 | | | | | 44,835 | | |
| | | 45,000 | | | | A3(a) | | | 5.000% due 6/15/33 | | | | | 49,798 | | |
| | | 3,180,000 | | | | AA | | | Hampton Roads Transportation Accountability Commission, Revenue Bonds, Series A, 5.000% due 7/1/35 | | | | | 4,023,654 | | |
| | | 1,065,000 | | | | A- | | | King George County Economic Development Authority, Revenue Bonds, 2.500% due 6/1/23(b)(c) | | | | | 1,101,125 | | |
| | | 320,000 | | | | AA | | | Norfolk Economic Development Authority, Revenue Bonds, Series B, 5.000% due 11/1/48(b) | | | | | 412,896 | | |
| | | | | | | | | | Stafford County Economic Development Authority, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | A3(a) | | | 5.000% due 6/15/32 | | | | | 58,211 | | |
| | | 65,000 | | | | A3(a) | | | 5.000% due 6/15/34 | | | | | 75,214 | | |
| | | 20,000 | | | | A3(a) | | | 4.000% due 6/15/37 | | | | | 21,822 | | |
| | | | | | | | | | Virginia College Building Authority, Revenue Bonds: | | | | | | | |
| | | 2,805,000 | | | | AA+ | | | Series A, 5.000% due 9/1/32 | | | | | 3,652,390 | | |
| | | 165,000 | | | | AA+ | | | Series D, 5.000% due 2/1/26 | | | | | 205,432 | | |
| | | 265,000 | | | | AA+ | | | Series E, 5.000% due 2/1/30 | | | | | 343,766 | | |
| | | 305,000 | | | | AA+ | | | Series E, 5.000% due 2/1/31 | | | | | 393,261 | | |
| | | 360,000 | | | | AA+ | | | Virginia Commonwealth Transportation Board, Revenue Bonds, Series A, 5.000% due 5/15/30 | | | | | 463,302 | | |
| | | 220,000 | | | | BBB- | | | Virginia Small Business Financing Authority, Revenue Bonds, 5.000% due 1/1/40(c) | | | | | 228,089 | | |
| | | | | | | | | | Winchester Economic Development Authority, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | A+ | | | 5.000% due 1/1/32 | | | | | 70,325 | | |
| | | 75,000 | | | | A+ | | | 5.000% due 1/1/33 | | | | | 87,539 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Virginia – (continued) | | |||||||||||||||
| | $ | 100,000 | | | | BBB+ | | | York County Economic Development Authority, Revenue Bonds, Series A, 1.900% due 5/1/33(b) | | | | $ | 103,263 | | |
| | | | | | | | | | Total Virginia | | | | | 21,007,317 | | |
| Washington – 3.3% | | |||||||||||||||
| | | 60,000 | | | | AA | | | Chelan County Public Utility District No 1, Revenue Bonds, Series A, NPFG, zero coupon, due 6/1/24 | | | | | 58,348 | | |
| | | | | | | | | | City of Tacoma WA Electric System Revenue, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA | | | 5.000% due 1/1/29 | | | | | 37,673 | | |
| | | 35,000 | | | | AA | | | 5.000% due 1/1/36 | | | | | 42,688 | | |
| | | 3,330,000 | | | | AA+ | | | County of King WA Sewer Revenue, Revenue Bonds, Series A, 5.000% due 7/1/22 | | | | | 3,624,472 | | |
| | | | | | | | | | Grant County Public Utility District No 2 Priest Rapids Hydroelectric Project, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA | | | Series A, 5.000% due 1/1/22 | | | | | 31,912 | | |
| | | 30,000 | | | | AA | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 1/1/23(d) | | | | | 32,630 | | |
| | | 65,000 | | | | AA | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 1/1/24(d) | | | | | 70,698 | | |
| | | | | | | | | | Port of Seattle WA, Revenue Bonds: | | | | | | | |
| | | 25,000 | | | | A | | | 5.000% due 6/1/23(c) | | | | | 27,778 | | |
| | | 35,000 | | | | A+ | | | 5.000% due 2/1/27 | | | | | 41,915 | | |
| | | 70,000 | | | | A+ | | | 5.000% due 2/1/29 | | | | | 82,823 | | |
| | | 85,000 | | | | A+ | | | Series A, 5.000% due 5/1/29(c) | | | | | 102,959 | | |
| | | 1,000,000 | | | | AA- | | | Series B, 5.000% due 10/1/26(c) | | | | | 1,181,420 | | |
| | | 980,000 | | | | AA- | | | Series B, 5.000% due 10/1/27(c) | | | | | 1,153,783 | | |
| | | 135,000 | | | | AA- | | | Series B, 5.000% due 10/1/29(c) | | | | | 157,841 | | |
| | | | | | | | | | State of Washington, GO: | | | | | | | |
| | | 50,000 | | | | AA+ | | | Series 2017A, 5.000% due 8/1/27 | | | | | 63,017 | | |
| | | 3,430,000 | | | | AA+ | | | Series A, 5.000% due 8/1/32 | | | | | 4,423,051 | | |
| | | 5,000,000 | | | | AA+ | | | Series C, 5.000% due 2/1/33 | | | | | 6,525,050 | | |
| | | 50,000 | | | | AA+ | | | Series R2017A, 5.000% due 8/1/28 | | | | | 62,818 | | |
| | | 50,000 | | | | AA+ | | | Series R2017A, 5.000% due 8/1/30 | | | | | 62,620 | | |
| | | 355,000 | | | | AA+ | | | Series R2018C, 5.000% due 8/1/30 | | | | | 452,401 | | |
| | | 725,000 | | | | AA+ | | | Series R2018D, 5.000% due 8/1/32 | | | | | 918,611 | | |
| | | 640,000 | | | | AA+ | | | Series R2018D, 5.000% due 8/1/33 | | | | | 808,333 | | |
| | | 5,000,000 | | | | AA+ | | | Series R2018D, 5.000% due 8/1/35 | | | | | 6,297,750 | | |
| | | | | | | | | | Tobacco Settlement Authority, Revenue Bonds: | | | | | | | |
| | | 70,000 | | | | A | | | 5.000% due 6/1/23 | | | | | 77,750 | | |
| | | 100,000 | | | | A | | | 5.000% due 6/1/24 | | | | | 110,811 | | |
| | | | | | | | | | Washington Health Care Facilities Authority, Revenue Bonds: | | | | | | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Washington – (continued) | | |||||||||||||||
| | $ | 5,000 | | | | A | | | 5.000% due 7/1/25 | | | | $ | 5,954 | | |
| | | 60,000 | | | | A | | | 5.000% due 7/1/26 | | | | | 73,284 | | |
| | | 70,000 | | | | AA- | | | 5.000% due 10/1/27 | | | | | 88,657 | | |
| | | 60,000 | | | | AA- | | | 5.000% due 10/1/28 | | | | | 77,660 | | |
| | | 40,000 | | | | A+ | | | 5.000% due 1/1/29 | | | | | 46,882 | | |
| | | 90,000 | | | | A | | | 5.000% due 7/1/29 | | | | | 112,117 | | |
| | | 20,000 | | | | A | | | 5.000% due 7/1/34 | | | | | 24,250 | | |
| | | 780,000 | | | | A | | | 5.000% due 7/1/42 | | | | | 925,127 | | |
| | | 115,000 | | | | AA- | | | Series A, 5.000% due 10/1/24 | | | | | 125,092 | | |
| | | 440,000 | | | | BBB+ | | | Series A2, 5.000% due 8/1/39 | | | | | 535,088 | | |
| | | | | | | | | | Washington Higher Education Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 15,000 | | | | Baa1(a) | | | Series A, 5.000% due 10/1/29 | | | | | 16,847 | | |
| | | 35,000 | | | | Baa1(a) | | | Series A, 5.000% due 10/1/30 | | | | | 39,045 | | |
| | | 40,000 | | | | Baa1(a) | | | Series A, 5.000% due 10/1/31 | | | | | 44,408 | | |
| | | 210,000 | | | | Baa1(a) | | | Series A, 5.000% due 10/1/33 | | | | | 230,544 | | |
| | | | | | | | | | Total Washington | | | | | 28,794,107 | | |
| West Virginia – 1.8% | | |||||||||||||||
| | | | | | | | | | State of West Virginia, GO: | | | | | | | |
| | | 9,860,000 | | | | AA- | | | Series B, 5.000% due 12/1/34 | | | | | 12,637,956 | | |
| | | 2,000,000 | | | | AA- | | | Series B, 5.000% due 6/1/35 | | | | | 2,558,500 | | |
| | | 190,000 | | | | BBB+ | | | West Virginia Hospital Finance Authority, Revenue Bonds, 5.000% due 1/1/33 | | | | | 232,798 | | |
| | | | | | | | | | Total West Virginia | | | | | 15,429,254 | | |
| Wisconsin – 0.5% | | |||||||||||||||
| | | 160,000 | | | | A | | | Public Finance Authority, Revenue Bonds, 5.000% due 1/1/31 | | | | | 204,867 | | |
| | | | | | | | | | Wisconsin Health & Educational Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 400,000 | | | | A2(a) | | | 5.000% due 10/1/23 | | | | | 447,036 | | |
| | | 255,000 | | | | A+ | | | 5.000% due 11/15/24 | | | | | 299,742 | | |
| | | 325,000 | | | | A2(a) | | | 5.000% due 10/1/25 | | | | | 384,391 | | |
| | | 25,000 | | | | BBB+ | | | 5.000% due 5/1/26 | | | | | 28,346 | | |
| | | 50,000 | | | | A3(a) | | | 5.000% due 6/1/27 | | | | | 53,015 | | |
| | | 195,000 | | | | A+ | | | 5.000% due 11/15/27 | | | | | 225,689 | | |
| | | 50,000 | | | | BBB+ | | | 5.000% due 5/1/28 | | | | | 56,139 | | |
| | | 25,000 | | | | BBB+ | | | 5.000% due 5/1/29 | | | | | 27,984 | | |
| | | 30,000 | | | | A3(a) | | | 5.000% due 6/1/32 | | | | | 31,549 | | |
| | | 70,000 | | | | A3(a) | | | 5.000% due 6/1/39 | | | | | 73,170 | | |
| | | 1,505,000 | | | | AA | | | 5.000% due 8/15/54(b) | | | | | 1,700,847 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Wisconsin – (continued) | | |||||||||||||||
| | $ | 30,000 | | | | WR(a) | | | Series B, Prerefunded 7/1/23 @ 100, 5.000% due 7/1/25(d) | | | | $ | 33,898 | | |
| | | 200,000 | | | | WR(a) | | | Series B, Prerefunded 7/1/23 @ 100, 5.000% due 7/1/36(d) | | | | | 225,988 | | |
| | | 50,000 | | | | NR | | | Series C, Prerefunded 8/15/22 @ 100, 5.000% due 8/15/32(d) | | | | | 54,614 | | |
| | | 35,000 | | | | WD(f) | | | Series Prerefunded 8/15/25 @ 100, 4.000% due 2/15/38(d) | | | | | 41,098 | | |
| | | 550,000 | | | | AA | | | Wisconsin Housing & Economic Development Authority, Revenue Bonds, Series A, 3.500% due 9/1/50 | | | | | 611,457 | | |
| | | | | | | | | | Total Wisconsin | | | | | 4,499,830 | | |
| | | | | | | | | | TOTAL MUNICIPAL BONDS (Cost – $724,999,279) | | | | | 767,112,563 | | |
| | | | | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $724,999,279) | | | | | 767,112,563 | | |
| SHORT-TERM INVESTMENTS – 14.7% | | |||||||||||||||
| MUNICIPAL BONDS – 5.0% | | |||||||||||||||
| | | 5,000,000 | | | | SP-1+ | | | City of Los Angeles CA, Revenue Notes, 4.000% due 6/24/21 | | | | | 5,154,850 | | |
| | | 10,000,000 | | | | MIG1(a) | | | School District of Broward County, Revenue Notes, 2.000% due 6/30/21 | | | | | 10,149,300 | | |
| | | 15,000,000 | | | | SP-1+ | | | State of Colorado, Revenue Notes, 4.000% due 6/25/21 | | | | | 15,464,850 | | |
| | | 12,500,000 | | | | SP-1+ | | | State of Texas, Revenue Notes, 4.000% due 8/26/21 | | | | | 12,966,375 | | |
| | | | | | | | | | TOTAL MUNICIPAL BONDS (Cost – $43,725,448) | | | | | 43,735,375 | | |
| TIME DEPOSITS – 9.7% | | |||||||||||||||
| | | 28,268,926 | | | | | | | ANZ National Bank – London, 0.010% due 9/1/20 | | | | | 28,268,926 | | |
| | | 982,486 | | | | | | | Citibank – New York, 0.010% due 9/1/20 | | | | | 982,486 | | |
| | | 3,897,577 | | | | | | | Skandinaviska Enskilda Banken AB – Stockholm, 0.010% due 9/1/20 | | | | | 3,897,577 | | |
| | | 51,606,344 | | | | | | | Sumitomo Mitsui Banking Corp. – Tokyo, 0.010% due 9/1/20 | | | | | 51,606,344 | | |
| | | | | | | | | | TOTAL TIME DEPOSITS (Cost – $84,755,333) | | | | | 84,755,333 | | |
| | | | | | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost – $128,480,781) | | | | | 128,490,708 | | |
| | | | | | | | | | TOTAL INVESTMENTS – 102.2% (Cost – $853,480,060) | | | | | 895,603,271 | | |
| | | | | | | | | | Liabilities in Excess of Other Assets – (2.2)% | | | | | (19,285,822) | | |
| | | | | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 876,317,449 | | |
|
| General Obligation | | | | | 43.2% | | |
| Education | | | | | 13.2 | | |
| Health Care Providers & Services | | | | | 7.9 | | |
| Water and Sewer | | | | | 6.3 | | |
| Transportation | | | | | 5.6 | | |
| Airport | | | | | 3.6 | | |
| Power | | | | | 1.8 | | |
| Development | | | | | 1.3 | | |
| Single Family Housing | | | | | 1.0 | | |
| Utilities | | | | | 0.8 | | |
| Student Loan | | | | | 0.5 | | |
| Pollution | | | | | 0.2 | | |
| Multifamily Housing | | | | | 0.1 | | |
| Nursing Homes | | | | | 0.1 | | |
| Tobacco Settlement | | | | | 0.1 | | |
| Bond Bank | | | | | 0.0* | | |
| Facilities | | | | | 0.0* | | |
| Short-Term Investments | | | | | 14.3 | | |
| | | | | | 100.0% | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – 17.8% | | ||||||||||||
| | | | | | | Alternative Loan Trust: | | | |||||
| | $ | 2,763,457 | | | | Series 2005-61, Class 2A2, 0.555% (1-Month USD-LIBOR + 0.380)% due 12/25/35(a) | | | | $ | 2,321,797 | | |
| | | 491,871 | | | | Series 2005-81, Class A1, 0.455% (1-Month USD-LIBOR + 0.280)% due 2/25/37(a) | | | | | 430,645 | | |
| | | 941,856 | | | | Series 2006-OA8, Class 1A1, 0.365% (1-Month USD-LIBOR + 0.190)% due 7/25/46(a) | | | | | 815,792 | | |
| | | 1,052,916 | | | | Bear Stearns ALT-A Trust, Series 2006-8, Class 3A1, 0.335% (1-Month USD-LIBOR + 0.160)% due 2/25/34(a) | | | | | 972,813 | | |
| | | | | | | Federal National Mortgage Association (FNMA), Connecticut Avenue Securities@: | | | | | | | |
| | | 2,395,386 | | | | Series 2015-C04, Class 1M2, 5.875% (1-Month USD-LIBOR + 5.700)% due 4/25/28(a) | | | | | 2,503,443 | | |
| | | 9,134,427 | | | | Series 2016-C01, Class 1M2, 6.925% (1-Month USD-LIBOR + 6.750)% due 8/25/28(a) | | | | | 9,670,467 | | |
| | | 1,402,245 | | | | Series 2016-C01, Class 2M2, 7.125% (1-Month USD-LIBOR + 6.950)% due 8/25/28(a) | | | | | 1,479,560 | | |
| | | 3,854,325 | | | | Series 2016-C03, Class 1M2, 5.475% (1-Month USD-LIBOR + 5.300)% due 10/25/28(a) | | | | | 4,009,011 | | |
| | | 3,825,679 | | | | Series 2016-C03, Class 2M2, 6.075% (1-Month USD-LIBOR + 5.900)% due 10/25/28(a) | | | | | 4,012,778 | | |
| | | 7,346,339 | | | | Series 2016-C05, Class 2M2, 4.625% (1-Month USD-LIBOR + 4.450)% due 1/25/29(a) | | | | | 7,605,489 | | |
| | | 10,493,017 | | | | Series 2016-C07, Class 2M2, 4.525% (1-Month USD-LIBOR + 4.350)% due 5/25/29(a) | | | | | 10,808,127 | | |
| | | 1,800,000 | | | | Series 2017-C01, Class 1M2C, 3.725% (1-Month USD-LIBOR + 3.550)% due 7/25/29(a) | | | | | 1,818,850 | | |
| | | 14,710,579 | | | | Series 2017-C02, Class 2M2, 3.825% (1-Month USD-LIBOR + 3.650)% due 9/25/29(a) | | | | | 14,931,807 | | |
| | | 1,000,000 | | | | Series 2017-C02, Class 2M2C, 3.825% (1-Month USD-LIBOR + 3.650)% due 9/25/29(a) | | | | | 985,608 | | |
| | | 14,735,083 | | | | Series 2017-C03, Class 1M2, 3.175% (1-Month USD-LIBOR + 3.000)% due 10/25/29(a) | | | | | 14,820,819 | | |
| | | 11,433,157 | | | | Series 2017-C05, Class 1M2, 2.375% (1-Month USD-LIBOR + 2.200)% due 1/25/30(a) | | | | | 11,204,300 | | |
| | | 2,841,101 | | | | Series 2017-C07, Class 1M2, 2.575% (1-Month USD-LIBOR + 2.400)% due 5/25/30(a) | | | | | 2,798,376 | | |
| | | 13,817,261 | | | | Series 2018-C01, Class 1M2, 2.425% (1-Month USD-LIBOR + 2.250)% due 7/25/30(a) | | | | | 13,558,111 | | |
| | | 8,188,441 | | | | Series 2018-C03, Class 1M2, 2.325% (1-Month USD-LIBOR + 2.150)% due 10/25/30(a) | | | | | 8,014,297 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 4,600,000 | | | | Freddie Mac STACR REMIC Trust, Series 2020-DNA4, Class M2, 3.908% (1-Month USD-LIBOR + 3.750)% due 8/25/50(a)(b) | | | | $ | 4,643,858 | | |
| | | 5,009,883 | | | | Freddie Mac STACR Trust, Series 2019-DNA3, Class M2, 2.225% (1-Month USD-LIBOR + 2.050)% due 7/25/49(a)(b) | | | | | 4,896,873 | | |
| | | | | | | Freddie Mac Structured Agency Credit Risk Debt Notes@: | | | | | | | |
| | | 1,891,485 | | | | Series 2015-DNA3, Class M3, 4.875% (1-Month USD-LIBOR + 4.700)% due 4/25/28(a) | | | | | 1,967,287 | | |
| | | 1,305,938 | | | | Series 2015-HQA1, Class M3, 4.875% (1-Month USD-LIBOR + 4.700)% due 3/25/28(a) | | | | | 1,341,962 | | |
| | | 7,085,932 | | | | Series 2016-DNA1, Class M3, 5.725% (1-Month USD-LIBOR + 5.550)% due 7/25/28(a) | | | | | 7,494,114 | | |
| | | 566,403 | | | | Series 2016-DNA2, Class M3, 4.825% (1-Month USD-LIBOR + 4.650)% due 10/25/28(a) | | | | | 586,933 | | |
| | | 3,321,525 | | | | Series 2016-DNA3, Class M3, 5.175% (1-Month USD-LIBOR + 5.000)% due 12/25/28(a) | | | | | 3,454,738 | | |
| | | 5,280,832 | | | | Series 2016-HQA1, Class M3, 6.525% (1-Month USD-LIBOR + 6.350)% due 9/25/28(a) | | | | | 5,585,878 | | |
| | | 1,383,848 | | | | Series 2017-DNA1, Class M2, 3.425% (1-Month USD-LIBOR + 3.250)% due 7/25/29(a) | | | | | 1,417,020 | | |
| | | 4,745,241 | | | | Series 2017-DNA2, Class M2, 3.625% (1-Month USD-LIBOR + 3.450)% due 10/25/29(a) | | | | | 4,857,329 | | |
| | | 9,407,293 | | | | Series 2017-HQA1, Class M2, 3.725% (1-Month USD-LIBOR + 3.550)% due 8/25/29(a) | | | | | 9,595,869 | | |
| | | 3,041,000 | | | | Series 2017-HQA1, Class M2B, 3.725% (1-Month USD-LIBOR + 3.550)% due 8/25/29(a) | | | | | 2,910,510 | | |
| | | 9,456,170 | | | | Series 2017-HQA2, Class M2, 2.825% (1-Month USD-LIBOR + 2.650)% due 12/25/29(a) | | | | | 9,325,858 | | |
| | | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | | | | | | | |
| | | | | | | (Cost – $170,707,658) | | | | | 170,840,319 | | |
| CORPORATE BONDS & NOTES – 8.3% | | ||||||||||||
| Communications – 2.2% | | ||||||||||||
| | | 6,446,000 | | | | Cincinnati Bell Inc., Company Guaranteed Notes, 7.000% due 7/15/24(b)(c) | | | | | 6,663,552 | | |
| | | 11,271,000 | | | | Consolidated Communications Inc., Company Guaranteed Notes, 6.500% due 10/1/22(c) | | | | | 11,017,403 | | |
| | | 3,931,500 | | | | HC2 Holdings Inc., Senior Secured Notes, 11.500% due 12/1/21(b)(c) | | | | | 3,666,124 | | |
| | | | | | | Total Communications | | | | | 21,347,079 | | |
| Consumer Cyclical – 0.7% | | ||||||||||||
| | | 7,515,000 | | | | Arrow Bidco LLC, Senior Secured Notes, 9.500% due 3/15/24(b)(c) | | | | | 6,162,300 | | |
| Consumer Non-cyclical – 0.7% | | ||||||||||||
| | | 2,800,000 | | | | Cytokinetics Inc., Senior Unsecured Notes, 4.000% due 11/15/26 | | | | | 6,777,871 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – 0.4% | | ||||||||||||
| | $ | 4,652,700 | | | | Transocean Pontus Ltd., Senior Secured Notes, 6.125% due 8/1/25(b) | | | | $ | 4,166,586 | | |
| Financial – 3.9% | | ||||||||||||
| | | 1,834,723 | | | | BlackRock Capital Investment Corp., Senior Unsecured Notes, 5.000% due 6/15/22 | | | | | 1,811,855 | | |
| | | 983,385 | | | | BlackRock TCP Capital Corp., Senior Unsecured Notes, 4.625% due 3/1/22 | | | | | 983,361 | | |
| | | 19,003 | | | | Capital Southwest Corp., Corporate Unsecured Notes, 5.950% due 12/15/22 | | | | | 476,975 | | |
| | | 7,013,000 | | | | Fidelity & Guaranty Life Holdings Inc., Company Guaranteed Notes, 5.500% due 5/1/25(b)(c) | | | | | 7,731,832 | | |
| | | 8,756,000 | | | | ILFC E-Capital Trust I, Limited Guaranteed Notes, 3.020% due 12/21/65(a)(b)(c) | | | | | 4,465,560 | | |
| | | 13,243,000 | | | | JPMorgan Chase & Co., Junior Subordinated Notes, 3.738% (3-Month USD-LIBOR + 3.470)% (a)(d) | | | | | 12,817,238 | | |
| | | 45,195 | | | | Portman Ridge Finance Corp., Corporate Unsecured Notes, 6.125% due 9/30/22 | | | | | 1,114,961 | | |
| | | 28,346 | | | | TriplePoint Venture Growth BDC Corp., Corporate Unsecured Notes, 5.750% due 7/15/22 | | | | | 717,154 | | |
| | | 9,662,000 | | | | USB Realty Corp., Junior Subordinated Notes, 1.422% (3-Month USD-LIBOR + 1.147)% (a)(b)(c)(d) | | | | | 7,705,445 | | |
| | | | | | | Total Financial | | | | | 37,824,381 | | |
| Industrial – 0.4% | | ||||||||||||
| | | 3,200,000 | | | | Fortress Transportation & Infrastructure Investors LLC, Senior Unsecured Notes, 9.750% due 8/1/27(b) | | | | | 3,412,064 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES | | | | | | | |
| | | | | | | (Cost – $76,789,927) | | | | | 79,690,281 | | |
| ASSET-BACKED SECURITIES – 8.1% | | ||||||||||||
| | | 3,500,000 | | | | Aames Mortgage Investment Trust, Series 2005-4, Class M3, 0.955% (1-Month USD-LIBOR + 0.780)% due 10/25/35(a) | | | | | 3,423,723 | | |
| | | 2,172,264 | | | | ABFC Trust, Series 2005-WF1, Class M2, 0.775% (1-Month USD-LIBOR + 0.600)% due 10/25/34(a) | | | | | 2,112,779 | | |
| | | 1,952,643 | | | | Accredited Mortgage Loan Trust, Series 2006-2, Class A4, 0.435% (1-Month USD-LIBOR + 0.260)% due 9/25/36(a) | | | | | 1,894,508 | | |
| | | 460,000 | | | | Aegis Asset Backed Securities Trust, Series 2005-5, Class M1, 0.605% (1-Month USD-LIBOR + 0.430)% due 12/25/35(a) | | | | | 429,584 | | |
| | | 880,000 | | | | Allegro CLO IV Ltd., Series 2016-1A, Class ER, 7.555% (3-Month USD-LIBOR + 7.280)% due 1/15/30(a)(b) | | | | | 662,155 | | |
| | | 1,300,000 | | | | Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class DR, 6.825% (3-Month USD-LIBOR + 6.550)% due 7/15/29(a)(b) | | | | | 927,836 | | |
| | | 1,028,488 | | | | BNC Mortgage Loan Trust, Series 2006-2, Class A4, 0.335% (1-Month USD-LIBOR + 0.160)% due 11/25/36(a) | | | | | 978,831 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 410,000 | | | | Brookside Mill CLO Ltd., Series 2013-1A, Class ER, 5.773% (3-Month USD-LIBOR + 5.500)% due 1/17/28(a)(b) | | | | $ | 294,824 | | |
| | | 1,350,000 | | | | Carlyle Global Market Strategies CLO 2015-3 Ltd., Series 2015-3A, Class ER, 8.497% (3-Month USD-LIBOR + 8.250)% due 7/28/28(a)(b) | | | | | 793,388 | | |
| | | 690,000 | | | | Countrywide Asset-Backed Certificates, Series 2007-BC1, Class 2A4, 0.405% (1-Month USD-LIBOR + 0.230)% due 5/25/37(a) | | | | | 595,272 | | |
| | | 740,000 | | | | Crown Point CLO 5 Ltd., Series 2018-5A, Class E, 5.923% (3-Month USD-LIBOR + 5.650)% due 7/17/28(a)(b) | | | | | 494,520 | | |
| | | 1,774,218 | | | | CWABS Asset-Backed Certificates Trust, Series 2007-12, Class 2A3, 0.975% (1-Month USD-LIBOR + 0.800)% due 8/25/47(a) | | | | | 1,745,804 | | |
| | | 470,962 | | | | Ellington Loan Acquisition Trust, Series 2007-1, Class M1, 2.275% (1-Month USD-LIBOR + 2.100)% due 5/25/37(a)(b) | | | | | 364,071 | | |
| | | | | | | Home Equity Asset Trust: | | | | | | | |
| | | 3,569,486 | | | | Series 2004-2, Class M1, 0.970% (1-Month USD-LIBOR + 0.795)% due 7/25/34(a) | | | | | 3,509,152 | | |
| | | 1,415,000 | | | | Series 2005-5, Class M4, 1.120% (1-Month USD-LIBOR + 0.945)% due 11/25/35(a) | | | | | 1,330,140 | | |
| | | 2,834,390 | | | | Series 2005-7, Class M1, 0.625% (1-Month USD-LIBOR + 0.450)% due 1/25/36(a) | | | | | 2,810,178 | | |
| | | 2,000,000 | | | | HSI Asset Securitization Corp. Trust, Series 2006-OPT2, Class M2, 0.565% (1-Month USD-LIBOR + 0.390)% due 1/25/36(a) | | | | | 1,964,464 | | |
| | | 1,200,000 | | | | JMP Credit Advisors CLO IIIR Ltd., Series 2014-1RA, Class E, 5.973% (3-Month USD-LIBOR + 5.700)% due 1/17/28(a)(b) | | | | | 743,464 | | |
| | | | | | | JP Morgan Mortgage Acquisition Trust: | | | | | | | |
| | | 4,300,000 | | | | Series 2007-CH4, Class A5, 0.415% (1-Month USD-LIBOR + 0.240)% due 5/25/37(a) | | | | | 4,153,096 | | |
| | | 1,277,241 | | | | Series 2007-CH5, Class A5, 0.435% (1-Month USD-LIBOR + 0.260)% due 6/25/37(a) | | | | | 1,253,808 | | |
| | | 2,700,000 | | | | KVK CLO 2018-1 Ltd., Series 2018-1A, Class E, 6.103% (3-Month USD-LIBOR + 5.850)% due 5/20/29(a)(b) | | | | | 1,749,025 | | |
| | | 1,355,169 | | | | Longfellow Place CLO Ltd., Series 2013-1A, Class ERR, 7.975% (3-Month USD-LIBOR + 7.700)% due 4/15/29(a)(b) | | | | | 829,965 | | |
| | | 1,480,741 | | | | Merrill Lynch Mortgage Investors Trust, Series 2005-FM1, Class M1, 0.895% (1-Month USD-LIBOR + 7.200)% due 5/25/36(a) | | | | | 1,445,506 | | |
| | | 1,320,703 | | | | Option One Mortgage Loan Trust, Series 2005-3, Class M2, 0.910% (1-Month USD-LIBOR + 0.735)% due 8/25/35(a) | | | | | 1,303,833 | | |
| | | 1,820,000 | | | | OZLM IX Ltd., Series 2014-9A, Class DRR, 6.392% (3-Month USD-LIBOR + 6.120)% due 10/20/31(a)(b) | | | | | 1,460,805 | | |
| | | 2,000,000 | | | | OZLM XI Ltd., Series 2015-11A, Class DR, 7.268% (3-Month USD-LIBOR + 7.000)% due 10/30/30(a)(b) | | | | | 1,644,238 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 3,574,081 | | | | Park Place Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-WCW2, Class M2, 0.970% (1-Month USD-LIBOR + 0.795)% due 7/25/35(a) | | | | $ | 3,508,244 | | |
| | | 3,500,000 | | | | People’s Choice Home Loan Securities Trust, Series 2005-1, Class M5, 1.675% (1-Month USD-LIBOR + 1.500)% due 1/25/35(a) | | | | | 2,287,774 | | |
| | | 1,620,971 | | | | SG Mortgage Securities Trust, Series 2006-OPT2, Class A3B, 0.285% (1-Month USD-LIBOR + 0.110)% due 10/25/36(a) | | | | | 1,606,396 | | |
| | | | | | | Soundview Home Loan Trust: | | | | | | | |
| | | 733,985 | | | | Series 2007-1, Class 2A3, 0.345% (1-Month USD-LIBOR + 0.170)% due 3/25/37(a) | | | | | 731,203 | | |
| | | 2,360,000 | | | | Series 2007-OPT3, Class 2A4, 0.425% (1-Month USD-LIBOR + 0.250)% due 8/25/37(a) | | | | | 1,938,190 | | |
| | | 380,000 | | | | Steele Creek CLO 2016-1 Ltd., Series 2016-1A, Class ER, 6.063% (3-Month USD-LIBOR + 5.750)% due 6/15/31(a)(b) | | | | | 256,179 | | |
| | | 3,860,926 | | | | Structured Asset Investment Loan Trust, Series 2004-7, Class A7, 1.015% (1-Month USD-LIBOR + 0.840)% due 8/25/34(a) | | | | | 3,841,885 | | |
| | | | | | | Structured Asset Securities Corp. Mortgage Loan Trust: | | | | | | | |
| | | 1,000,000 | | | | Series 2005-WF4, Class M6, 1.180% (1-Month USD-LIBOR + 1.005)% due 11/25/35(a) | | | | | 960,281 | | |
| | | 14,913,322 | | | | Series 2006-BC6, Class A1, 0.335% (1-Month USD-LIBOR + 0.160)% due 1/25/37(a) | | | | | 14,066,615 | | |
| | | 3,496,659 | | | | Series 2006-BC6, Class A4, 0.345% (1-Month USD-LIBOR + 0.170)% due 1/25/37(a) | | | | | 3,427,669 | | |
| | | 3,683,884 | | | | Series 2006-GEL1, Class M2, 0.975% (1-Month USD-LIBOR + 0.800)% due 11/25/35(a)(b) | | | | | 3,644,766 | | |
| | | 3,151,787 | | | | Series 2006-GEL1, Class M3, 2.425% (1-Month USD-LIBOR + 2.250)% due 11/25/35(a)(b) | | | | | 2,686,709 | | |
| | | 641,418 | | | | Trinitas CLO III Ltd., Series 2015-3A, Class E, 5.525% (3-Month USD-LIBOR + 5.250)% due 7/15/27(a)(b) | | | | | 385,984 | | |
| | | | | | | TOTAL ASSET-BACKED SECURITIES | | | | | | | |
| | | | | | | (Cost – $74,100,661) | | | | | 78,256,864 | | |
| Shares/Units | | | | | | | | ||||||
| COMMON STOCKS – 22.5% | | ||||||||||||
| COMMUNICATIONS – 1.2% | | ||||||||||||
| Internet – 0.7% | | ||||||||||||
| | $ | 49,933 | | | | IAC/InterActiveCorp* | | | | $ | 6,640,590 | | |
| Telecommunications – 0.5% | | ||||||||||||
| | | 539,226 | | | | Consolidated Communications Holdings Inc.* | | | | | 4,195,178 | | |
| | | 320,512 | | | | HC2 Holdings Inc.*(e) | | | | | 801,280 | | |
| | | | | | | Total Telecommunications | | | | | 4,996,458 | | |
| | | | | | | TOTAL COMMUNICATIONS | | | | $ | 11,637,048 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – 0.4% | | ||||||||||||
| Retail – 0.4% | | ||||||||||||
| | | 34,234 | | | | Tiffany & Co. | | | | $ | 4,193,665 | | |
| CONSUMER NON-CYCLICAL – 10.9% | | ||||||||||||
| Biotechnology – 3.7% | | ||||||||||||
| | | 15,665 | | | | Argenx SE, ADR*(c) | | | | | 3,622,844 | | |
| | | 34,290 | | | | Ascendis Pharma AS, ADR*(c) | | | | | 5,081,092 | | |
| | | 102,435 | | | | Black Diamond Therapeutics Inc.* | | | | | 2,947,055 | | |
| | | 214,369 | | | | Crinetics Pharmaceuticals Inc.* | | | | | 3,436,335 | | |
| | | 719,372 | | | | Gamida Cell Ltd.*(e) | | | | | 3,136,462 | | |
| | | 338,029 | | | | Orchard Therapeutics PLC, ADR*(c) | | | | | 2,004,512 | | |
| | | 298,893 | | | | Relay Therapeutics Inc.* | | | | | 12,012,510 | | |
| | | 58,332 | | | | SpringWorks Therapeutics Inc.* | | | | | 2,590,524 | | |
| | | 32,488 | | | | Sutro Biopharma Inc.* | | | | | 325,205 | | |
| | | | | | | Total Biotechnology | | | | | 35,156,539 | | |
| Healthcare-Products – 1.2% | | ||||||||||||
| | | 202,255 | | | | Alphatec Holdings Inc.* | | | | | 1,211,507 | | |
| | | 323,280 | | | | SeaSpine Holdings Corp.* | | | | | 4,302,857 | | |
| | | 207,498 | | | | Wright Medical Group NV*(e) | | | | | 6,272,664 | | |
| | | | | | | Total Healthcare-Products | | | | | 11,787,028 | | |
| Healthcare-Services – 1.2% | | ||||||||||||
| | | 200,000 | | | | Invitae Corp.* | | | | | 6,992,000 | | |
| | | 220,711 | | | | SI-BONE Inc.*(c) | | | | | 4,815,914 | | |
| | | | | | | Total Healthcare-Services | | | | | 11,807,914 | | |
| Pharmaceuticals – 4.8% | | ||||||||||||
| | | 575,346 | | | | AdaptHealth Corp., Class A Shares* | | | | | 12,214,596 | | |
| | | 566,155 | | | | Cytokinetics Inc.*(c) | | | | | 13,565,074 | | |
| | | 88,215 | | | | Merus NV* | | | | | 1,064,755 | | |
| | | 110,000 | | | | MyoKardia Inc.*(c) | | | | | 12,038,400 | | |
| | | 360,406 | | | | Odonate Therapeutics Inc.* | | | | | 5,820,557 | | |
| | | 210,060 | | | | scPharmaceuticals Inc.* | | | | | 1,798,114 | | |
| | | | | | | Total Pharmaceuticals | | | | | 46,501,496 | | |
| | | | | | | TOTAL CONSUMER NON-CYCLICAL | | | | | 105,252,977 | | |
| DIVERSIFIED – 5.4% | | ||||||||||||
| SPACs – 5.4% | | ||||||||||||
| | | 100,702 | | | | Agba Acquisition Ltd.*(f) | | | | | 1,044,280 | | |
| | | 1 | | | | Alussa Energy Acquisition Corp.* | | | | | 10 | | |
| | | 87,674 | | | | Alussa Energy Acquisition Corp., Class A Shares* | | | | | 863,589 | | |
| | | 1 | | | | Amplitude Healthcare Acquisition Corp.*(f) | | | | | 10 | | |
| | | 62,006 | | | | Amplitude Healthcare Acquisition Corp., Class A Shares* | | | | | 616,960 | | |
| | | 5,142 | | | | Artius Acquisition Inc.* | | | | | 51,677 | | |
| | | 3,611 | | | | ARYA Sciences Acquisition Corp. II* | | | | | 40,010 | | |
| | | 16,309 | | | | Brilliant Acquisition Corp.* | | | | | 163,905 | | |
| | | 5,463 | | | | Capstar Special Purpose Acquisition Corp.* | | | | | 55,668 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| DIVERSIFIED – (continued) | | ||||||||||||
| SPACs – (continued) | | ||||||||||||
| | | 1 | | | | CC Neuberger Principal Holdings I* | | | | $ | 11 | | |
| | | 61,662 | | | | CC Neuberger Principal Holdings I, Class A Shares* | | | | | 633,885 | | |
| | | 24,648 | | | | CF Finance Acquisition Corp., Class A Shares* | | | | | 255,353 | | |
| | | 42,614 | | | | Chardan Healthcare Acquisition 2 Corp.* | | | | | 417,617 | | |
| | | 1 | | | | Churchill Capital Corp. II* | | | | | 11 | | |
| | | 18,906 | | | | Churchill Capital Corp. II, Class A Shares* | | | | | 198,324 | | |
| | | 310,200 | | | | Churchill Capital Corp. IV* | | | | | 3,083,388 | | |
| | | 25,600 | | | | CIIG Merger Corp., Class A Shares* | | | | | 259,328 | | |
| | | 46,368 | | | | Collective Growth Corp., Class A Shares* | | | | | 456,725 | | |
| | | 1 | | | | dMY Technology Group Inc.* | | | | | 12 | | |
| | | 77,632 | | | | dMY Technology Group Inc., Class A Shares* | | | | | 881,900 | | |
| | | 51,907 | | | | East Stone Acquisition Corp.* | | | | | 513,879 | | |
| | | 25,081 | | | | FinTech Acquisition Corp. III*(f) | | | | | 280,656 | | |
| | | 688,303 | | | | Flying Eagle Acquisition Corp., Class A Shares* | | | | | 7,399,257 | | |
| | | 13,476 | | | | Fortress Value Acquisition Corp., Class A Shares* | | | | | 181,926 | | |
| | | 7,477 | | | | Fusion Acquisition Corp.* | | | | | 74,994 | | |
| | | 38,120 | | | | GigCapital2 Inc.*(f) | | | | | 409,409 | | |
| | | 44,282 | | | | GigCapital3 Inc.* | | | | | 437,064 | | |
| | | 200,000 | | | | Gores Holdings IV Inc., Class A Shares* | | | | | 2,124,000 | | |
| | | 92,012 | | | | Greenrose Acquisition Corp.*(e) | | | | | 907,238 | | |
| | | 85,388 | | | | Greenvision Acquisition Corp.* | | | | | 859,857 | | |
| | | 1,356 | | | | GS Acquisition Holdings Corp. II* | | | | | 14,224 | | |
| | | 35,473 | | | | GX Acquisition Corp.* | | | | | 395,524 | | |
| | | 26,238 | | | | Haymaker Acquisition Corp. II, Class A Shares* | | | | | 264,479 | | |
| | | 1 | | | | Healthcare Merger Corp.* | | | | | 11 | | |
| | | 12,800 | | | | Healthcare Merger Corp., Class A Shares* | | | | | 130,560 | | |
| | | 32,628 | | | | Hennessy Capital Acquisition Corp. IV, Class A Shares* | | | | | 352,056 | | |
| | | 40,972 | | | | Insurance Acquisition Corp., Class A Shares*(e) | | | | | 549,025 | | |
| | | 89,382 | | | | InterPrivate Acquisition Corp.*(f) | | | | | 883,988 | | |
| | | 1,676 | | | | Juniper Industrial Holdings Inc., Class A Shares* | | | | | 16,659 | | |
| | | 21,751 | | | | Kensington Capital Acquisition Corp.* | | | | | 226,210 | | |
| | | 2 | | | | Landcadia Holdings II Inc.* | | | | | 34 | | |
| | | 309,644 | | | | Landcadia Holdings II Inc., Class A Shares* | | | | | 4,706,589 | | |
| | | 2,813 | | | | LF Capital Acquisition Corp., Class A Shares* | | | | | 29,649 | | |
| | | 30,687 | | | | LifeSci Acquisition Corp.* | | | | | 308,404 | | |
| | | 102,252 | | | | LIV Capital Acquisition Corp., Class A Shares* | | | | | 1,007,182 | | |
| | | 1 | | | | Live Oak Acquisition Corp.* | | | | | 10 | | |
| | | 46,308 | | | | Live Oak Acquisition Corp., Class A Shares* | | | | | 455,208 | | |
| | | 311,200 | | | | Longview Acquisition Corp.* | | | | | 3,146,232 | | |
| | | 14,195 | | | | Malacca Straits Acquisition Co., Ltd., Class C Shares* | | | | | 139,821 | | |
| | | 101,645 | | | | Merida Merger Corp. I* | | | | | 1,006,286 | | |
| | | 10,785 | | | | Monocle Acquisition Corp.* | | | | | 110,978 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| DIVERSIFIED – (continued) | | ||||||||||||
| SPACs – (continued) | | ||||||||||||
| | | 30,698 | | | | Mountain Crest Acquisition Corp.* | | | | $ | 314,655 | | |
| | | 33,225 | | | | Newborn Acquisition Corp.* | | | | | 329,592 | | |
| | | 1 | | | | Osprey Technology Acquisition Corp.* | | | | | 10 | | |
| | | 49,580 | | | | Osprey Technology Acquisition Corp., Class A Shares* | | | | | 496,792 | | |
| | | 193,500 | | | | Panacea Acquisition Corp.*(f) | | | | | 2,169,135 | | |
| | | 39,682 | | | | Pershing Square Tontine Holdings Ltd.* | | | | | 849,592 | | |
| | | 70,600 | | | | Pivotal Investment Corp. II, Class A Shares* | | | | | 712,354 | | |
| | | 79,152 | | | | Property Solutions Acquisition Corp.* | | | | | 779,647 | | |
| | | 32,032 | | | | PropTech Acquisition Corp., Class A Shares* | | | | | 334,414 | | |
| | | 41,579 | | | | PTK Acquisition Corp.* | | | | | 412,464 | | |
| | | 154,400 | | | | RedBall Acquisition Corp.* | | | | | 1,582,600 | | |
| | | 28,426 | | | | Roth CH Acquisition I Co*(f) | | | | | 281,418 | | |
| | | 43,473 | | | | Schultze Special Purpose Acquisition Corp.* | | | | | 440,381 | | |
| | | 1 | | | | South Mountain Merger Corp.* | | | | | 11 | | |
| | | 51,278 | | | | South Mountain Merger Corp., Class A Shares* | | | | | 518,933 | | |
| | | 16,858 | | | | Stable Road Acquisition Corp., Class A Shares* | | | | | 167,400 | | |
| | | 372,628 | | | | Sustainable Opportunities Acquisition Corp., Class A Shares* | | | | | 3,666,660 | | |
| | | 32,225 | | | | Tuscan Holdings Corp.*(f) | | | | | 338,363 | | |
| | | 61,012 | | | | Yunhong International, Class A Shares* | | | | | 597,918 | | |
| | | | | | | Total SPACs | | | | | 49,946,411 | | |
| | | | | | | TOTAL DIVERSIFIED | | | | | 49,946,411 | | |
| FINANCIAL – 3.9% | | ||||||||||||
| Banks – 0.6% | | ||||||||||||
| | | 652,220 | | | | HarborOne Bancorp Inc. | | | | | 5,641,703 | | |
| Equity Real Estate Investment Trusts (REITs) – 1.1% | | ||||||||||||
| | | 234,531 | | | | MGM Growth Properties LLC, Class A Shares | | | | | 6,583,285 | | |
| | | 100,194 | | | | Taubman Centers Inc. | | | | | 3,837,430 | | |
| | | | | | | Total Equity Real Estate Investment Trusts (REITs) | | | | | 10,420,715 | | |
| Investment Companies – 1.5% | | ||||||||||||
| | | 240,396 | | | | Bain Capital Specialty Finance Inc.(e) | | | | | 2,586,661 | | |
| | | 1,142,462 | | | | Barings BDC Inc. | | | | | 9,299,641 | | |
| | | 569,155 | | | | Oaktree Specialty Lending Corp. | | | | | 2,845,775 | | |
| | | | | | | Total Investment Companies | | | | | 14,732,077 | | |
| Savings & Loans – 0.7% | | ||||||||||||
| | | 462,369 | | | | Waterstone Financial Inc. | | | | | 7,162,096 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 37,956,591 | | |
| UTILITIES – 0.7% | | ||||||||||||
| Electric – 0.7% | | ||||||||||||
| | | 364,182 | | | | Vistra Corp. | | | | | 7,003,220 | | |
| | | | | | | TOTAL COMMON STOCKS | | | | | | | |
| | | | | | | (Cost – $181,971,887) | | | | | 215,989,912 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| CLOSED-END FUNDS – 11.1% | | ||||||||||||
| | | 403,607 | | | | Aberdeen Emerging Markets Equity Income Fund Inc., Class Common Shares | | | | $ | 2,716,275 | | |
| | | 298,522 | | | | Aberdeen Total Dynamic Dividend Fund, Class Common Shares(c) | | | | | 2,450,866 | | |
| | | 105,783 | | | | BlackRock California Municipal Income Trust, Class Common Shares | | | | | 1,423,839 | | |
| | | 545,021 | | | | BlackRock Debt Strategies Fund Inc., Class Common Shares(c) | | | | | 5,450,210 | | |
| | | 34,698 | | | | BlackRock New York Municipal Bond Trust, Class Common Shares | | | | | 553,780 | | |
| | | 191,247 | | | | BlackRock New York Municipal Income Quality Trust, Class Common Shares | | | | | 2,549,323 | | |
| | | 535,835 | | | | BlackRock Resources & Commodities Strategy Trust, Class Common Shares | | | | | 3,488,286 | | |
| | | 346,252 | | | | BrandywineGLOBAL Global Income Opportunities Fund Inc., Class Common Shares(c)(e) | | | | | 4,283,137 | | |
| | | 35,051 | | | | Calamos Long/Short Equity & Dynamic Income Trust, Class Common Shares | | | | | 547,146 | | |
| | | 196,370 | | | | Clough Global Equity Fund, Class Common Shares | | | | | 2,342,694 | | |
| | | 353,939 | | | | Clough Global Opportunities Fund, Class Common Shares(e) | | | | | 3,426,130 | | |
| | | 49,144 | | | | DTF Tax-Free Income Inc. | | | | | 705,708 | | |
| | | 227,221 | | | | Eaton Vance Floating-Rate Income Plus Fund, Class Common Shares | | | | | 3,294,705 | | |
| | | 377,872 | | | | Eaton Vance Ltd. Duration Income Fund, Class Common Shares(c) | | | | | 4,436,217 | | |
| | | 42,199 | | | | Eaton Vance Municipal Bond Fund, Class Common Shares(e) | | | | | 550,064 | | |
| | | 95,415 | | | | Eaton Vance Senior Income Trust | | | | | 555,315 | | |
| | | 43,635 | | | | First Eagle Alternative Capital BDC Inc. | | | | | 1,095,238 | | |
| | | 14,146 | | | | First Eagle Senior Loan Fund, Class Common Shares | | | | | 174,562 | | |
| | | 290,661 | | | | First Trust MLP & Energy Income Fund, Class Common Shares | | | | | 1,531,783 | | |
| | | 106,384 | | | | First Trust New Opportunities MLP & Energy Fund, Class Common Shares | | | | | 425,536 | | |
| | | 125,394 | | | | Fortress Transportation & Infrastructure Investors LLC, Class Common Shares | | | | | 1,987,495 | | |
| | | 24,494 | | | | General American Investors Co., Inc., Class Preferred Shares(d) | | | | | 678,239 | | |
| | | 298,496 | | | | Highland Global Allocation Fund, Class Common Shares | | | | | 1,999,923 | | |
| | | 205,225 | | | | Highland Income Fund, Class Z Shares | | | | | 1,822,398 | | |
| | | 151,506 | | | | Invesco Dynamic Credit Opportunities Fund, Class Common Shares | | | | | 1,372,644 | | |
| | | 150,280 | | | | Invesco High Income Trust II, Class Common Shares | | | | | 1,908,556 | | |
| | | 279,777 | | | | Kayne Anderson Midstream/Energy Fund Inc., Class Common Shares | | | | | 1,281,379 | | |
| | | 277,350 | | | | NexPoint Strategic Opportunities Fund, Class Common Shares | | | | | 2,607,090 | | |
| | | 59,606 | | | | Nuveen AMT-Free Municipal Credit Income Fund, Class Common Shares | | | | | 931,642 | | |
| | | 178,908 | | | | Nuveen Credit Strategies Income Fund, Class Common Shares | | | | | 1,091,339 | | |
| | | 142,444 | | | | Nuveen Georgia Quality Municipal Income Fund, Class Common Shares | | | | | 1,764,881 | | |
| | | 78,040 | | | | Nuveen Michigan Quality Municipal Income Fund, Class Common Shares | | | | | 1,098,023 | | |
| | | 31,030 | | | | Nuveen New York Municipal Value Fund 2, Class Common Shares | | | | | 465,140 | | |
| | | 146,267 | | | | Nuveen Quality Municipal Income Fund, Class Common Shares | | | | | 2,109,170 | | |
| | | 125,982 | | | | Nuveen S&P 500 Buy-Write Income Fund, Class Common Shares(e) | | | | | 1,497,926 | | |
| | | 561,646 | | | | PGIM Global High Yield Fund Inc., Class Common Shares(c)(e) | | | | | 7,554,139 | | |
| | | 111,895 | | | | PGIM High Yield Bond Fund Inc., Class Common Shares(e) | | | | | 1,573,244 | | |
| | | 234,848 | | | | PIMCO Energy & Tactical Credit Opportunities Fund, Class Common Shares | | | | | 1,726,133 | | |
| | | 280,212 | | | | Pioneer Floating Rate Trust, Class Common Shares | | | | | 2,737,671 | | |
| | | 53,104 | | | | Royce Global Value Trust Inc. | | | | | 690,352 | | |
| | | 308,302 | | | | Royce Micro-Capital Trust Inc., Class Common Shares(e) | | | | | 2,506,495 | | |
| | | 134,711 | | | | Source Capital Inc., Class Common Shares(e) | | | | | 4,996,431 | | |
| | | 86,503 | | | | Special Opportunities Fund Inc., Class Common Shares(e) | | | | | 1,107,238 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| CLOSED-END FUNDS – (continued) | | ||||||||||||
| | | 351,623 | | | | Voya Natural Resources Equity Income Fund, Class Common Shares(e) | | | | $ | 907,187 | | |
| | | 2,997,693 | | | | Voya Prime Rate Trust, Class Common Shares(c)(e) | | | | | 13,219,826 | | |
| | | 554,648 | | | | Western Asset Global High Income Fund Inc., Class Common Shares(e) | | | | | 5,452,190 | | |
| | | | | | | TOTAL CLOSED-END FUNDS | | | | | | | |
| | | | | | | (Cost – $105,079,566) | | | | | 107,087,565 | | |
| OPEN-END FUND – 11.7% | | ||||||||||||
| | | 9,794,790 | | | | JPMorgan Strategic Income Opportunities Fund, Class R6 Shares | | | | | 112,248,288 | | |
| | | | | | | (Cost – $113,589,180) | | | | | | | |
| PREFERRED STOCKS – 1.2% | | ||||||||||||
| FINANCIAL – 1.2% | | ||||||||||||
| Banks – 0.4% | | ||||||||||||
| | | 165,290 | | | | GMAC Capital Trust I, 6.065%(a) | | | | | 4,054,564 | | |
| Investment Companies – 0.8% | | ||||||||||||
| | | 37,280 | | | | First Eagle Alternative Capital BDC Inc., 6.125% | | | | | 920,816 | | |
| | | 44,789 | | | | Monroe Capital Corp., 5.750% | | | | | 1,073,144 | | |
| | | 64,864 | | | | MVC Capital Inc., 6.250% | | | | | 1,636,078 | | |
| | | | | | | Oxford Square Capital Corp.: | | | | | | | |
| | | 54,401 | | | | 6.250% | | | | | 1,294,744 | | |
| | | 39,915 | | | | 6.500% | | | | | 983,905 | | |
| | | 55,209 | | | | PennantPark Investment Corp., 5.500%(e) | | | | | 1,338,818 | | |
| | | 23,559 | | | | Stellus Capital Investment Corp., 5.750%(e) | | | | | 584,734 | | |
| | | 4,252 | | | | WhiteHorse Finance Inc., 6.500% | | | | | 109,574 | | |
| | | | | | | Total Investment Companies | | | | | 7,941,813 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 11,996,377 | | |
| | | | | | | TOTAL PREFERRED STOCKS | | | | | | | |
| | | | | | | (Cost – $10,311,695) | | | | | 11,996,377 | | |
| WARRANTS – 0.2% | | ||||||||||||
| CONSUMER CYCLICAL – 0.0% | | ||||||||||||
| Distribution/Wholesale – 0.0% | | ||||||||||||
| | | 15,116 | | | | Whole Earth Brands Inc.*(f) | | | | | 12,546 | | |
| Entertainment���– 0.0% | | ||||||||||||
| | | 16,736 | | | | Hall of Fame Resort & Entertainment Co.*(f) | | | | | 11,381 | | |
| | | | | | | TOTAL CONSUMER CYCLICAL | | | | | 23,927 | | |
| DIVERSIFIED – 0.2% | | ||||||||||||
| SPACs – 0.2% | | ||||||||||||
| | | 100,702 | | | | Agba Acquisition Ltd.*(f) | | | | | 20,745 | | |
| | | 41,641 | | | | Alberton Acquisition Corp.*(f) | | | | | 4,997 | | |
| | | 43,837 | | | | Alussa Energy Acquisition Corp.*(f) | | | | | 26,653 | | |
| | | 31,003 | | | | Amplitude Healthcare Acquisition Corp.*(f) | | | | | 29,763 | | |
| | | 42,105 | | | | Andina Acquisition Corp. III*(f) | | | | | 11,789 | | |
| | | 27,894 | | | | Atlas Technical Consultants Inc.*(f) | | | | | 14,923 | | |
| | | 25,362 | | | | Big Rock Partners Acquisition Corp.*(f) | | | | | 6,341 | | |
| | | 32,931 | | | | BiomX Inc.*(f) | | | | | 16,828 | | |
| | | 16,309 | | | | Brilliant Acquisition Corp.*(f) | | | | | 2,773 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| WARRANTS – (continued) | | ||||||||||||
| DIVERSIFIED – (continued) | | ||||||||||||
| SPACs – (continued) | | ||||||||||||
| | | 20,554 | | | | CC Neuberger Principal Holdings I*(f) | | | | $ | 26,720 | | |
| | | 18,486 | | | | CF Finance Acquisition Corp.*(f) | | | | | 18,255 | | |
| | | 42,614 | | | | Chardan Healthcare Acquisition 2 Corp.*(f) | | | | | 25,568 | | |
| | | 6,302 | | | | Churchill Capital Corp. II*(f) | | | | | 12,604 | | |
| | | 12,800 | | | | CIIG Merger Corp.*(f) | | | | | 10,496 | | |
| | | 23,184 | | | | Collective Growth Corp.*(f) | | | | | 16,461 | | |
| | | 38,816 | | | | dMY Technology Group Inc.*(f) | | | | | 87,724 | | |
| | | 51,907 | | | | East Stone Acquisition Corp.*(f) | | | | | 8,824 | | |
| | | 133,104 | | | | Flying Eagle Acquisition Corp.*(f) | | | | | 400,324 | | |
| | | 4,492 | | | | Fortress Value Acquisition Corp.*(f) | | | | | 13,746 | | |
| | | 33,210 | | | | GigCapital3 Inc.*(f) | | | | | 18,262 | | |
| | | 100,000 | | | | Gores Holdings IV Inc.*(f) | | | | | 208,000 | | |
| | | 43,099 | | | | Graf Industrial Corp.*(f) | | | | | 153,001 | | |
| | | 92,012 | | | | Greenrose Acquisition Corp.*(f) | | | | | 18,402 | | |
| | | 85,388 | | | | Greenvision Acquisition Corp.*(f) | | | | | 29,800 | | |
| | | 8,746 | | | | Haymaker Acquisition Corp. II*(f) | | | | | 10,933 | | |
| | | 6,400 | | | | Healthcare Merger Corp.*(f) | | | | | 12,480 | | |
| | | 24,471 | | | | Hennessy Capital Acquisition Corp. IV*(f) | | | | | 41,845 | | |
| | | 20,486 | | | | Insurance Acquisition Corp.*(f) | | | | | 67,604 | | |
| | | 44,691 | | | | InterPrivate Acquisition Corp.* | | | | | 22,346 | | |
| | | 838 | | | | Juniper Industrial Holdings Inc.*(f) | | | | | 796 | | |
| | | 14,462 | | | | KLDiscovery Inc.*(f) | | | | | 4,628 | | |
| | | 16,225 | | | | Landcadia Holdings II Inc.*(f) | | | | | 86,317 | | |
| | | 38,865 | | | | Legacy Acquisition Corp.*(f) | | | | | 13,797 | | |
| | | 30,854 | | | | Leisure Acquisition Corp.*(f) | | | | | 9,876 | | |
| | | 2,813 | | | | LF Capital Acquisition Corp.*(f) | | | | | 4,698 | | |
| | | 30,687 | | | | LifeSci Acquisition Corp.*(f) | | | | | 22,402 | | |
| | | 102,252 | | | | LIV Capital Acquisition Corp.*(f) | | | | | 51,126 | | |
| | | 23,154 | | | | Live Oak Acquisition Corp.*(f) | | | | | 19,912 | | |
| | | 50,822 | | | | Merida Merger Corp. I*(f) | | | | | 39,641 | | |
| | | 28,503 | | | | Meten EdtechX Education Group Ltd.*(f) | | | | | 9,406 | | |
| | | 10,785 | | | | Monocle Acquisition Corp.*(f) | | | | | 4,314 | | |
| | | 33,225 | | | | Newborn Acquisition Corp.*(f) | | | | | 4,449 | | |
| | | 18,239 | | | | Opes Acquisition Corp.*(f) | | | | | 37,572 | | |
| | | 24,790 | | | | Osprey Technology Acquisition Corp.*(f) | | | | | 27,269 | | |
| | | 23,533 | | | | Pivotal Investment Corp. II*(f) | | | | | 22,333 | | |
| | | 21,318 | | | | Roth CH Acquisition I Co*(f) | | | | | 18,120 | | |
| | | 43,473 | | | | Schultze Special Purpose Acquisition Corp.*(f) | | | | | 25,214 | | |
| | | 25,639 | | | | South Mountain Merger Corp.*(f) | | | | | 33,331 | | |
| | | 8,429 | | | | Stable Road Acquisition Corp.*(f) | | | | | 5,479 | | |
| | | 186,314 | | | | Sustainable Opportunities Acquisition Corp.*(f) | | | | | 172,434 | | |
| | | 4,232 | | | | Trident Acquisitions Corp.*(f) | | | | | 973 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| WARRANTS – (continued) | | ||||||||||||
| DIVERSIFIED – (continued) | | ||||||||||||
| SPACs – (continued) | | ||||||||||||
| | | 23,299 | | | | X4 Pharmaceuticals Inc.* | | | | $ | 58 | | |
| | | 30,506 | | | | Yunhong International*(f) | | | | | 4,728 | | |
| | | | | | | Total SPACs | | | | | 1,957,080 | | |
| | | | | | | TOTAL DIVERSIFIED | | | | | 1,957,080 | | |
| ENERGY – 0.0% | | ||||||||||||
| Oil & Gas – 0.0% | | ||||||||||||
| | | 18,561 | | | | Brooge Energy Ltd.*(f) | | | | | 9,652 | | |
| FINANCIAL – 0.0% | | ||||||||||||
| Investment Companies – 0.0% | | ||||||||||||
| | | 76,557 | | | | 8i Enterprises Acquisition Corp.*(f) | | | | | 96,462 | | |
| TECHNOLOGY – 0.0% | | ||||||||||||
| Software – 0.0% | | ||||||||||||
| | | 5,402 | | | | Global Blue Group Holding AG*(f) | | | | | 3,997 | | |
| | | | | | | TOTAL WARRANTS | | | | | | | |
| | | | | | | (Cost – $1,613,179) | | | | | 2,091,118 | | |
| RIGHTS – 0.0% | | ||||||||||||
| | | 76,557 | | | | 8i Enterprises Acquisition Corp.* | | | | | 76,557 | | |
| | | 100,702 | | | | Agba Acquisition Ltd.*(f) | | | | | 20,161 | | |
| | | 41,641 | | | | Alberton Acquisition Corp.*(f) | | | | | 7,953 | | |
| | | 42,105 | | | | Andina Acquisition Corp. III*(f) | | | | | 16,421 | | |
| | | 50,724 | | | | Big Rock Partners Acquisition Corp.*(f) | | | | | 10,601 | | |
| | | 16,309 | | | | Brilliant Acquisition Corp.*(f) | | | | | 3,019 | | |
| | | 51,907 | | | | East Stone Acquisition Corp.*(f) | | | | | 10,895 | | |
| | | 85,388 | | | | Greenvision Acquisition Corp.*(f) | | | | | 30,740 | | |
| | | 33,225 | | | | Newborn Acquisition Corp.*(f) | | | | | 6,479 | | |
| | | 61,012 | | | | Yunhong International*(f) | | | | | 11,592 | | |
| | | | | | | TOTAL RIGHTS | | | | | | | |
| | | | | | | (Cost – $137,868) | | | | | 194,418 | | |
| Number of Contracts | | | Notional Amounts | | | | | | | | | | | |||
| PURCHASED SWAPTION – 0.3% | | | ||||||||||||||
| Interest Rate Swaption – 0.3% | | | ||||||||||||||
| | $ | 22,500,000 | | | | 55,350 | | | 10-Year Constant Maturity Swap, 3-Month USD-LIBOR, Call, 1.91, expires 12/23/20, | | | | | 2,615,360 | | |
| | | | | | | | | | TOTAL PURCHASED SWAPTION (Cost – $148,500) | | | | | 2,615,360 | | |
| | | | | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $734,450,496) | | | | | 781,010,502 | | |
| Face Amount† | | | | | | | | ||||||
| SHORT-TERM INVESTMENTS – 17.4% | | ||||||||||||
| TIME DEPOSITS – 17.4% | | ||||||||||||
| | $ | 22,825,810 | | | | Banco Bilbao Vizcaya Argentaria SA – Madrid, 0.010% due 9/1/20 | | | | $ | 22,825,810 | | |
| | | 53,573,654 | | | | Barclays Bank PLC – London, 0.010% due 9/1/20 | | | | | 53,573,654 | | |
| | | 26 | | | | Brown Brothers Harriman – Grand Cayman, 0.010% due 9/1/20 | | | | | 26 | | |
| | | 65,174,325 | | | | China Construction Bank – New York, 0.010% due 9/1/20 | | | | | 65,174,325 | | |
| | | 22,166,255 | | | | Skandinaviska Enskilda Banken AB – Stockholm, 0.010% due 9/1/20 | | | | | 22,166,255 | | |
| | | 4,047,752 | | | | Sumitomo Mitsui Banking Corp. – Tokyo, 0.010% due 9/1/20 | | | | | 4,047,752 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $167,787,822) | | | | | 167,787,822 | | |
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 1.0% | | ||||||||||||
| MONEY MARKET FUND – 1.0% | | ||||||||||||
| | | 9,658,436 | | | | Federated Government Obligations Fund, Premier Class, 0.054%(g) (Cost – $9,658,436) | | | | | 9,658,436 | | |
| | | | | | | TOTAL INVESTMENTS – 99.6% (Cost – $911,896,380) | | | | | 958,456,760 | | |
| | | | | | | Other Assets in Excess of Liabilities – 0.4% | | | | | 3,492,032 | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 961,948,792 | | |
Security | | | Acquisition Date | | | Acquisition Cost | | | Market Value | | | Percent of Net Assets | | ||||||||||||
Federal National Mortgage Association (FNMA), Connecticut Avenue Securities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Series 2015-C04, Class 1M2, 5.875% (1-Month USD-LIBOR + 5.700%) due 4/25/28 | | | | | 7/27/2020 | | | | | $ | 2,003,142 | | | | | $ | 2,503,443 | | | | | | 0.26% | | |
Series 2016-C01, Class 1M2, 6.925% (1-Month USD-LIBOR + 6.750%) due 8/25/28 | | | | | 7/27/2020 | | | | | | 9,257,141 | | | | | | 9,670,467 | | | | | | 1.01% | | |
Series 2016-C01, Class 2M2, 7.125% (1-Month USD-LIBOR + 6.950%) due 8/25/28 | | | | | 6/22/2020 | | | | | | 1,481,500 | | | | | | 1,479,560 | | | | | | 0.15% | | |
Series 2016-C03, Class 1M2, 5.475% (1-Month USD-LIBOR + 5.300%) due 10/25/28 | | | | | 3/25/2020 | | | | | | 3,777,754 | | | | | | 4,009,011 | | | | | | 0.42% | | |
Series 2016-C03, Class 2M2, 6.075% (1-Month USD-LIBOR + 5.900%) due 10/25/28 | | | | | 4/27/2020 | | | | | | 3,678,367 | | | | | | 4,012,778 | | | | | | 0.42% | | |
Series 2016-C05, Class 2M2, 4.625% (1-Month USD-LIBOR + 4.450%) due 1/25/29 | | | | | 8/25/2020 | | | | | | 7,593,952 | | | | | | 7,605,489 | | | | | | 0.79% | | |
Series 2016-C07, Class 2M2, 4.525% (1-Month USD-LIBOR + 4.350%) due 5/25/29 | | | | | 6/10/2020 | | | | | | 11,046,704 | | | | | | 10,808,127 | | | | | | 1.12% | | |
Series 2017-C01, Class 1M2C, 3.725% (1-Month USD-LIBOR + 3.550%) due 7/25/29 | | | | | 4/16/2020 | | | | | | 1,494,000 | | | | | | 1,818,850 | | | | | | 0.19% | | |
Series 2017-C02, Class 2M2, 3.825% (1-Month USD-LIBOR + 3.650%) due 9/25/29 | | | | | 4/27/2020 | | | | | | 15,492,062 | | | | | | 14,931,807 | | | | | | 1.55% | | |
Series 2017-C02, Class 2M2C, 3.825% (1-Month USD-LIBOR + 3.650%) due 9/25/29 | | | | | 5/19/2020 | | | | | | 867,500 | | | | | | 985,608 | | | | | | 0.10% | | |
Series 2017-C03, Class 1M2, 3.175% (1-Month USD-LIBOR + 3.000%) due 10/25/29 | | | | | 8/25/2020 | | | | | | 15,215,806 | | | | | | 14,820,819 | | | | | | 1.54% | | |
Series 2017-C05, Class 1M2, 2.375% (1-Month USD-LIBOR + 2.200%) due 1/25/30 | | | | | 4/27/2020 | | | | | | 11,569,881 | | | | | | 11,204,300 | | | | | | 1.16% | | |
Series 2017-C07, Class 1M2, 2.575% (1-Month USD-LIBOR + 2.400%) due 5/25/30 | | | | | 8/25/2020 | | | | | | 2,749,701 | | | | | | 2,798,376 | | | | | | 0.29% | | |
Series 2018-C01, Class 1M2, 2.425% (1-Month USD-LIBOR + 2.250%) due 7/25/30 | | | | | 8/25/2020 | | | | | | 13,934,432 | | | | | | 13,558,111 | | | | | | 1.41% | | |
Series 2018-C03, Class 1M2, 2.325% (1-Month USD-LIBOR + 2.150%) due 10/25/30 | | | | | 7/27/2020 | | | | | | 8,253,053 | | | | | | 8,014,297 | | | | | | 0.83% | | |
Freddie Mac Structured Agency Credit Risk Debt Notes: | | | | | | | | | | | | | | | | | | | | | | | | | |
Series 2015-DNA3, Class M3, 4.875% (1-Month USD-LIBOR + 4.700%) due 4/25/28 | | | | | 8/25/2020 | | | | | | 1,961,233 | | | | | | 1,967,287 | | | | | | 0.20% | | |
Series 2015-HQA1, Class M3, 4.875% (1-Month USD-LIBOR + 4.700%) due 3/25/28 | | | | | 7/14/2020 | | | | | | 1,341,851 | | | | | | 1,341,962 | | | | | | 0.14% | | |
Series 2016-DNA1, Class M3, 5.725% (1-Month USD-LIBOR + 5.550%) due 7/25/28 | | | | | 6/9/2020 | | | | | | 7,483,737 | | | | | | 7,494,114 | | | | | | 0.78% | | |
Series 2016-DNA2, Class M3, 4.825% (1-Month USD-LIBOR + 4.650%) due 10/25/28 | | | | | 4/27/2020 | | | | | | 467,282 | | | | | | 586,933 | | | | | | 0.06% | | |
Series 2016-DNA3, Class M3, 5.175% (1-Month USD-LIBOR + 5.000%) due 12/25/28 | | | | | 8/25/2020 | | | | | | 3,424,804 | | | | | | 3,454,738 | | | | | | 0.36% | | |
Series 2016-HQA1, Class M3, 6.525% (1-Month USD-LIBOR + 6.350%) due 9/25/28 | | | | | 3/6/2020 | | | | | | 5,558,741 | | | | | | 5,585,878 | | | | | | 0.58% | | |
Security | | | Acquisition Date | | | Acquisition Cost | | | Market Value | | | Percent of Net Assets | | ||||||||||||
Series 2017-DNA1, Class M2, 3.425% (1-Month USD-LIBOR + 3.250%) due 7/25/29 | | | | | 7/27/2020 | | | | | $ | 1,396,605 | | | | | $ | 1,417,020 | | | | | | 0.15% | | |
Series 2017-DNA2, Class M2, 3.625% (1-Month USD-LIBOR + 3.450%) due 10/25/29 | | | | | 3/9/2020 | | | | | | 4,826,045 | | | | | | 4,857,329 | | | | | | 0.50% | | |
Series 2017-HQA1, Class M2, 3.725% (1-Month USD-LIBOR + 3.550%) due 8/25/29 | | | | | 8/25/2020 | | | | | | 9,715,141 | | | | | | 9,595,869 | | | | | | 1.00% | | |
Series 2017-HQA1, Class M2B, 3.725% (1-Month USD-LIBOR + 3.550%) due 8/25/29 | | | | | 8/4/2020 | | | | | | 2,913,183 | | | | | | 2,910,510 | | | | | | 0.30% | | |
Series 2017-HQA2, Class M2, 2.825% (1-Month USD-LIBOR + 2.650%) due 12/25/29 | | | | | 8/25/2020 | | | | | | 9,703,222 | | | | | | 9,325,858 | | | | | | 0.97% | | |
| | | | | | | | | | | | | | | | $ | 156,758,541 | | | | | | 16.28% | | |
|
| Common Stocks | | | | | 22.5% | | |
| Collateralized Mortgage Obligations | | | | | 17.8 | | |
| Open-End Fund | | | | | 11.7 | | |
| Closed-End Funds | | | | | 11.2 | | |
| Corporate Bonds & Notes | | | | | 8.3 | | |
| Asset-Backed Securities | | | | | 8.2 | | |
| Preferred Stocks | | | | | 1.3 | | |
| Purchased Option | | | | | 0.3 | | |
| Warrants | | | | | 0.2 | | |
| Rights | | | | | 0.0* | | |
| Short-Term Investments | | | | | 17.5 | | |
| Money Market Fund | | | | | 1.0 | | |
| | | | | | 100.0% | | |
Number of Contracts | | | Notional Amount | | | Security Name | | | Counterparty | | | Expiration Date | | | Exercise Rate | | | Value | |
45,000,000 | | | 110,700 | | | 10-Year Constant Maturity Swap, 3-Month USD-LIBOR, Put | | | GSC | | | 12/23/20 | | | $2.21 | | | $6,137 | |
45,000,000 | | | 110,700 | | | 10-Year Constant Maturity Swap, 3-Month USD-LIBOR, Call | | | GSC | | | 12/23/20 | | | 1.16 | | | 2,039,143 | |
| | | | | | TOTAL SWAPTIONS CONTRACTS WRITTEN | | | | | | | | | | | | $2,045,280 | |
Reference Obligation | | | Fixed Deal Receive Rate | | | Maturity Date | | | Payment Frequency(2) | | | Counter- party | | | Implied Credit Spread at 8/31/20(3) | | | Notional Amounts | | | Market Value | | | Upfront Premiums Paid/ (Received) | | | Unrealized Appreciation/ (Depreciation) | | |||||||||||||||||||||
CDX IG CDSI Series 31 5Y | | | | | 1.000% | | | | | | 12/20/23 | | | | 3-Month | | | GSC | | | | | 2.143% | | | | | | USD10,000,000 | | | | | $ | (352,484) | | | | | $ | (750,000) | | | | | $ | 397,516 | | |
CDX IG CDSI Series 31 5Y | | | | | 1.000% | | | | | | 12/20/23 | | | | 3-Month | | | GSC | | | | | 2.143% | | | | | | USD20,000,000 | | | | | | (704,969) | | | | | | (1,206,00) | | | | | | 501,031 | | |
CDX.NA.IG.33 | | | | | 1.000% | | | | | | 12/20/24 | | | | 3-Month | | | MSCS | | | | | 2.836% | | | | | | USD10,000,000 | | | | | | (743,308) | | | | | | (1,152,000) | | | | | | 408,692 | | |
CDX.NA.IG.33 | | | | | 1.000% | | | | | | 12/20/24 | | | | 3-Month | | | MSCS | | | | | 2.836% | | | | | | USD10,000,000 | | | | | | (743,308) | | | | | | (2,040,000) | | | | | | 1,296,691 | | |
CDX.NA.IG.33 | | | | | 1.000% | | | | | | 12/20/24 | | | | 3-Month | | | MSCS | | | | | 2.836% | | | | | | USD10,000,000 | | | | | | (743,308) | | | | | | (670,000) | | | | | | (73,308) | | |
CDX.NA.IG.33 | | | | | 1.000% | | | | | | 12/20/24 | | | | 3-Month | | | MSCS | | | | | 2.836% | | | | | | USD10,000,000 | | | | | | (743,308) | | | | | | (2,600,000) | | | | | | 1,856,692 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (4,030,685) | | | | | $ | (8,418,000) | | | | | $ | 4,387,314 | | |
| Face Amount | | | Security | | | Value | | ||||||
| SECURITIES SOLD SHORT – 7.2% | | ||||||||||||
| CORPORATE BONDS & NOTES – 0.5% | | ||||||||||||
| Communications – 0.4% | | ||||||||||||
| | $ | 3,744,000 | | | | Outfront Media Capital LLC/Outfront Media Capital Corp., Company Guaranteed Notes, 5.000% due 8/15/27(a) | | | | $ | 3,677,357 | | |
| Financial – 0.1% | | ||||||||||||
| | | 790,000 | | | | MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer Inc., Company Guaranteed Notes, 4.625% due 6/15/25(a) | | | | | 833,687 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Proceeds – $4,334,992) | | | | | 4,511,044 | | |
| Shares/Units | | | | | | | | | | | |||
| EXCHANGE TRADED FUNDS (ETFs) – 6.3% | | ||||||||||||
| | | 275,000 | | | | Invesco Senior Loan | | | | | 6,014,250 | | |
| | | 74,986 | | | | iShares iBoxx High Yield Corporate Bond | | | | | 6,376,060 | | |
| | | 70,293 | | | | iShares Nasdaq Biotechnology | | | | | 9,531,731 | | |
| | | 275,161 | | | | SPDR S&P Biotech | | | | | 30,765,751 | | |
| | | 211,541 | | | | SPDR S&P Regional Banking | | | | | 8,176,060 | | |
| | | | | | | Total Exchange Traded Funds (ETFs) | | | | | 60,863,852 | | |
| | | | | | | TOTAL EXCHANGE TRADED FUNDS (ETFs) (Proceeds – $56,152,428) | | | | | 60,863,852 | | |
| COMMON STOCKS – 0.4% | | ||||||||||||
| COMMUNICATIONS – 0.4% | | ||||||||||||
| Internet – 0.4% | | ||||||||||||
| | | 244,668 | | | | ANGI Homeservices Inc., Class A Shares* | | | | | 3,394,768 | | |
| Telecommunications – 0.0% | | ||||||||||||
| | | 12,450 | | | | Cincinnati Bell Inc.* | | | | | 187,497 | | |
| | | | | | | TOTAL COMMUNICATIONS | | | | | 3,582,265 | | |
| CONSUMER NON-CYCLICAL – 0.0% | | ||||||||||||
| Pharmaceuticals – 0.0% | | ||||||||||||
| | | 5,289 | | | | Herbalife Nutrition Ltd.* | | | | | 259,954 | | |
| FINANCIAL – 0.0% | | ||||||||||||
| Diversified Financial Services – 0.0% | | ||||||||||||
| | | 9,746 | | | | AerCap Holdings NV* | | | | | 288,189 | | |
Shares/Units | | | | | | | | | | |
COMMON STOCKS – (continued) | | |||||||||
Diversified Financial Services – (continued) | | |||||||||
| | | TOTAL COMMON STOCKS (Proceeds – $4,622,501) | | | | $ | 4,130,408 | | |
| | | TOTAL SECURITIES SOLD SHORT – 7.2% (Proceeds – $65,109,921) | | | | $ | 69,505,304 | | |
| | | 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) | | | | $ | 4,432,133,059 | | | | | $ | 963,886,834 | | | | | $ | 2,131,422,888 | | | | | $ | 382,375,561 | | | | | $ | 29,320 | | |
Foreign currency, at value(3) | | | | | — | | | | | | — | | | | | | 1,240,242 | | | | | | — | | | | | | — | | |
Cash | | | | | 461 | | | | | | 165 | | | | | | 499 | | | | | | 44 | | | | | | — | | |
Unrealized appreciation on unfunded loan commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Receivable for securities sold | | | | | 7,209,703 | | | | | | 5,843,107 | | | | | | 1,343,345 | | | | | | 693,627 | | | | | | — | | |
Dividends and interest receivable | | | | | 5,150,022 | | | | | | 693,427 | | | | | | 3,322,574 | | | | | | 1,763,306 | | | | | | — | | |
Receivable for Fund shares sold. | | | | | 2,126,050 | | | | | | 418,048 | | | | | | 934,710 | | | | | | 98,086 | | | | | | — | | |
Receivable for expense reimbursement | | | | | — | | | | | | 5,319 | | | | | | — | | | | | | — | | | | | | — | | |
Unrealized appreciation on open forward foreign currency contracts (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Variation margin on open future contracts (Note 4). | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Unrealized appreciation on swap contracts (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Deposits with counterparty(4) | | | | | 558,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Cash held at Broker | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Prepaid expenses | | | | | 47,687 | | | | | | 9,395 | | | | | | 24,269 | | | | | | 5,602 | | | | | | 845 | | |
Prepaid Chief Compliance Officer expense | | | | | 1,723 | | | | | | — | | | | | | 1,050 | | | | | | — | | | | | | — | | |
Prepaid offering fees | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total Assets | | | | | 4,447,226,705 | | | | | | 970,856,295 | | | | | | 2,138,289,577 | | | | | | 384,936,226 | | | | | | 30,165 | | |
LIABILITIES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payable for collateral received from securities on loan | | | | | 6,728,123 | | | | | | 15,585,626 | | | | | | 39,244,796 | | | | | | 959,784 | | | | | | — | | |
Payable for Fund shares repurchased | | | | | 2,717,115 | | | | | | 566,898 | | | | | | 1,227,698 | | | | | | 373,917 | | | | | | — | | |
Payable for securities purchased | | | | | 11,079,208 | | | | | | 4,053,428 | | | | | | 2,364,411 | | | | | | 968,881 | | | | | | — | | |
Investment management fee payable | | | | | 2,145,244 | | | | | | 683,218 | | | | | | 1,650,987 | | | | | | 208,123 | | | | | | 4 | | |
Transfer agent fees payable | | | | | 455,324 | | | | | | 97,863 | | | | | | 226,747 | | | | | | 32,923 | | | | | | 28 | | |
Custody fee payable | | | | | 229,789 | | | | | | 68,964 | | | | | | 295,221 | | | | | | 46,101 | | | | | | 9,948 | | |
Trustees’ fees payable. | | | | | 43,146 | | | | | | 9,619 | | | | | | 24,252 | | | | | | 5,365 | | | | | | 7 | | |
Registration fees payable. | | | | | 135,020 | | | | | | 43,423 | | | | | | 55,786 | | | | | | 16,920 | | | | | | — | | |
Shareholder services | | | | | 89,731 | | | | | | 7,560 | | | | | | 38,233 | | | | | | — | | | | | | 1 | | |
Variation margin on open future contracts (Note 4). | | | | | 12,420 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Upfront premiums received on swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Unrealized depreciation on unfunded loan commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Unrealized depreciation on swap contracts(6) (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Securities sold short(5) (Note 5). | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Due to custodian(3) | | | | | 26 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Options contracts written, at value(6) (Note 4). | | | | | — | | | | | | — | | | | | | 182,656 | | | | | | — | | | | | | — | | |
Unrealized depreciation on open forward foreign currency contracts (Note 4) | | | | | — | | | | | | — | | | | | | 8,389 | | | | | | — | | | | | | — | | |
Foreign capital gains tax payable | | | | | — | | | | | | — | | | | | | 1,294,251 | | | | | | — | | | | | | — | | |
Investment interest payable on securities sold short | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Accrued Chief Compliance Officer expense | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Accrued expenses. | | | | | 63,686 | | | | | | 22,757 | | | | | | 92,932 | | | | | | 9,463 | | | | | | 7,597 | | |
Other expenses | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 180 | | |
Total Liabilities | | | | | 23,698,832 | | | | | | 21,139,356 | | | | | | 46,706,359 | | | | | | 2,621,477 | | | | | | 17,765 | | |
Total Net Assets | | | | $ | 4,423,527,873 | | | | | $ | 949,716,939 | | | | | $ | 2,091,583,218 | | | | | $ | 382,314,749 | | | | | $ | 12,400 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Par value | | | | $ | 315,158 | | | | | $ | 80,781 | | | | | $ | 158,858 | | | | | $ | 40,115 | | | | | $ | 5 | | |
Paid-in capital in excess of par value | | | | | 3,171,738,007 | | | | | | 820,028,540 | | | | | | 1,638,707,674 | | | | | | 407,623,446 | | | | | | 199,140,449 | | |
Total distributable earnings (losses). | | | | | 1,251,474,708 | | | | | | 129,607,618 | | | | | | 452,716,686 | | | | | | (25,348,812) | | | | | | (199,128,054) | | |
Total Net Assets | | | | $ | 4,423,527,873 | | | | | $ | 949,716,939 | | | | | $ | 2,091,583,218 | | | | | $ | 382,314,749 | | | | | $ | 12,400 | | |
Total Net Assets Class I | | | | $ | 4,177,901,589 | | | | | $ | 898,266,888 | | | | | $ | 1,977,316,008 | | | | | $ | 361,677,979 | | | | | $ | 6,444 | | |
Total Net Assets Class Z | | | | $ | 245,626,284 | | | | | $ | 51,450,051 | | | | | $ | 114,267,210 | | | | | $ | 20,636,770 | | | | | $ | 5,956 | | |
Shares Outstanding Class I | | | | | 293,895,444 | | | | | | 75,422,527 | | | | | | 148,995,182 | | | | | | 37,884,813 | | | | | | 2,457 | | |
Shares Outstanding Class Z | | | | | 21,262,742 | | | | | | 5,358,207 | | | | | | 9,862,902 | | | | | | 2,230,168 | | | | | | 2,427 | | |
Net Asset Value Class I | | | | $ | 14.22 | | | | | $ | 11.91 | | | | | $ | 13.27 | | | | | $ | 9.55 | | | | | $ | 2.62 | | |
Net Asset Value Class Z | | | | $ | 11.55 | | | | | $ | 9.60 | | | | | $ | 11.59 | | | | | $ | 9.25 | | | | | $ | 2.45 | | |
(1) Investments, at cost. | | | | $ | 3,183,352,720 | | | | | $ | 798,324,151 | | | | | $ | 1,579,300,695 | | | | | $ | 368,552,708 | | | | | $ | 29,818 | | |
(2) Includes securities on loan | | | | $ | 6,541,671 | | | | | $ | 14,887,508 | | | | | $ | 35,257,864 | | | | | $ | 934,883 | | | | | $ | — | | |
(3) Foreign currency, at cost. | | | | $ | (26) | | | | | $ | — | | | | | $ | 1,232,669 | | | | | $ | — | | | | | $ | — | | |
(4) Related to futures contracts | | | | $ | 558,000 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
(5) Proceeds received . | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
(6) Premiums received | | | | $ | — | | | | | $ | — | | | | | $ | 179,936 | | | | | $ | — | | | | | $ | — | | |
| | | 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) | | | | $ | 2,175,669,838 | | | | | $ | 397,003,318 | | | | | $ | 750,139,940 | | | | | $ | 895,603,271 | | | | | $ | 958,456,760 | | |
Foreign currency, at value(3). | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Cash. | | | | | 798 | | | | | | 498 | | | | | | 652 | | | | | | 588 | | | | | | 1,473 | | |
Unrealized appreciation on unfunded loan commitments | | | | | 351 | | | | | | 38,840 | | | | | | — | | | | | | — | | | | | | — | | |
Receivable for securities sold | | | | | 9,597,297 | | | | | | 7,320,473 | | | | | | 12,593,831 | | | | | | — | | | | | | 3,672,217 | | |
Dividends and interest receivable | | | | | 8,331,926 | | | | | | 2,924,570 | | | | | | 8,882,761 | | | | | | 6,574,081 | | | | | | 1,651,678 | | |
Receivable for Fund shares sold. | | | | | 1,368,621 | | | | | | 195,688 | | | | | | 354,981 | | | | | | 365,950 | | | | | | 480,871 | | |
Receivable for expense reimbursement | | | | | — | | | | | | 647 | | | | | | — | | | | | | 8,468 | | | | | | — | | |
Unrealized appreciation on open forward foreign currency contracts (Note 4) | | | | | — | | | | | | 3,778 | | | | | | — | | | | | | — | | | | | | — | | |
Variation margin on open future contracts (Note 4). | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Unrealized appreciation on swap contracts (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 4,460,622 | | |
Deposits with counterparty(4) | | | | | — | | | | | | — | | | | | | 4,000,000 | | | | | | — | | | | | | 30,641,153 | | |
Cash held at Broker | | | | | — | | | | | | — | | | | | | 6,138,502 | | | | | | — | | | | | | 62,773,227 | | |
Prepaid expenses | | | | | 33,701 | | | | | | 14,283 | | | | | | 10,182 | | | | | | 20,593 | | | | | | 12,432 | | |
Prepaid Chief Compliance Officer expense | | | | | 1,941 | | | | | | 6 | | | | | | — | | | | | | — | | | | | | 751 | | |
Prepaid offering fees | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total Assets | | | | | 2,195,004,473 | | | | | | 407,502,101 | | | | | | 782,120,849 | | | | | | 902,572,951 | | | | | | 1,062,151,184 | | |
LIABILITIES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payable for collateral received from securities on loan | | | | | — | | | | | | 6,567,375 | | | | | | 11,580 | | | | | | — | | | | | | 9,658,436 | | |
Payable for Fund shares repurchased | | | | | 1,322,654 | | | | | | 160,265 | | | | | | 445,829 | | | | | | 271,778 | | | | | | 488,264 | | |
Payable for securities purchased | | | | | 69,568,650 | | | | | | 23,143,722 | | | | | | 31,650,682 | | | | | | 25,225,348 | | | | | | 8,942,567 | | |
Investment management fee payable | | | | | 937,963 | | | | | | 206,641 | | | | | | 437,488 | | | | | | 376,659 | | | | | | 744,880 | | |
Transfer agent fees payable | | | | | 237,616 | | | | | | 41,121 | | | | | | 77,195 | | | | | | 93,256 | | | | | | 101,930 | | |
Custody fee payable | | | | | 246,276 | | | | | | 58,313 | | | | | | 79,394 | | | | | | 128,932 | | | | | | 84,897 | | |
Trustees’ fees payable. | | | | | 25,438 | | | | | | 4,107 | | | | | | 8,654 | | | | | | 11,214 | | | | | | 10,401 | | |
Registration fees payable. | | | | | 75,409 | | | | | | 33,753 | | | | | | 40,089 | | | | | | 117,401 | | | | | | 60,350 | | |
Shareholder services | | | | | 39,501 | | | | | | — | | | | | | 6,235 | | | | | | 19,037 | | | | | | 13,281 | | |
Variation margin on open future contracts (Note 4). | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Upfront premiums received on swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 8,418,000 | | |
Unrealized depreciation on unfunded loan commitments | | | | | 343 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Unrealized depreciation on swap contracts(6) (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 73,308 | | |
Securities sold short(5) (Note 5). | | | | | — | | | | | | — | | | | | | 4,936,389 | | | | | | — | | | | | | 69,505,304 | | |
Due to custodian(3) | | | | | — | | | | | | 23 | | | | | | — | | | | | | — | | | | | | — | | |
Options contracts written, at value(6) (Note 4). | | | | | — | | | | | | — | | | | | | 214,640 | | | | | | — | | | | | | — | | |
Swaptions contracts written, at value (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 2,045,280 | | |
Unrealized depreciation on open forward foreign currency contracts (Note 4) | | | | | — | | | | | | 379,740 | | | | | | 355,799 | | | | | | — | | | | | | — | | |
Foreign capital gains tax payable | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Investment interest payable on securities sold short | | | | | — | | | | | | — | | | | | | 48,298 | | | | | | — | | | | | | 17,048 | | |
Accrued Chief Compliance Officer expense | | | | | — | | | | | | — | | | | | | 699 | | | | | | — | | | | | | — | | |
Accrued expenses. | | | | | 39,674 | | | | | | 11,017 | | | | | | 22,631 | | | | | | 11,877 | | | | | | 38,446 | | |
Other expenses | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total Liabilities | | | | | 72,493,524 | | | | | | 30,606,077 | | | | | | 38,335,602 | | | | | | 26,255,502 | | | | | | 100,202,392 | | |
Total Net Assets | | | | $ | 2,122,510,949 | | | | | $ | 376,896,024 | | | | | $ | 743,785,247 | | | | | $ | 876,317,449 | | | | | $ | 961,948,792 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Par value | | | | $ | 203,730 | | | | | $ | 39,706 | | | | | $ | 77,339 | | | | | $ | 83,254 | | | | | $ | 98,634 | | |
Paid-in capital in excess of par value | | | | | 2,041,641,793 | | | | | | 391,447,903 | | | | | | 778,642,377 | | | | | | 832,160,166 | | | | | | 977,775,132 | | |
Total distributable earnings (losses). | | | | | 80,665,426 | | | | | | (14,591,585) | | | | | | (34,934,469) | | | | | | 44,074,029 | | | | | | (15,924,974) | | |
Total Net Assets | | | | $ | 2,122,510,949 | | | | | $ | 376,896,024 | | | | | $ | 743,785,247 | | | | | $ | 876,317,449 | | | | | $ | 961,948,792 | | |
Total Net Assets Class I | | | | $ | 2,012,825,835 | | | | | $ | 359,540,832 | | | | | $ | 707,918,443 | | | | | $ | 854,684,599 | | | | | $ | 915,706,374 | | |
Total Net Assets Class Z | | | | $ | 109,685,114 | | | | | $ | 17,355,192 | | | | | $ | 35,866,804 | | | | | $ | 21,632,850 | | | | | $ | 46,242,418 | | |
Shares Outstanding Class I | | | | | 193,455,810 | | | | | | 37,911,983 | | | | | | 73,668,490 | | | | | | 81,204,357 | | | | | | 93,781,795 | | |
Shares Outstanding Class Z | | | | | 10,274,321 | | | | | | 1,793,843 | | | | | | 3,670,822 | | | | | | 2,049,696 | | | | | | 4,851,785 | | |
Net Asset Value Class I | | | | $ | 10.40 | | | | | $ | 9.48 | | | | | $ | 9.61 | | | | | $ | 10.53 | | | | | $ | 9.76 | | |
Net Asset Value Class Z | | | | $ | 10.68 | | | | | $ | 9.67 | | | | | $ | 9.77 | | | | | $ | 10.55 | | | | | $ | 9.53 | | |
(1) Investments, at cost. | | | | $ | 2,101,659,800 | | | | | $ | 405,704,426 | | | | | $ | 761,481,788 | | | | | $ | 853,480,060 | | | | | $ | 911,896,380 | | |
(2) Includes securities on loan | | | | $ | — | | | | | $ | 6,435,405 | | | | | $ | 11,296 | | | | | $ | — | | | | | $ | 8,088,158 | | |
(3) Foreign currency, at cost. | | | | $ | — | | | | | $ | (23) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
(4) Related to futures contracts | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
(5) Proceeds received . | | | | $ | — | | | | | $ | — | | | | | $ | 4,631,302 | | | | | $ | — | | | | | $ | 65,109,921 | | |
(6) Premiums received | | | | $ | — | | | | | $ | — | | | | | $ | 818,848 | | | | | $ | — | | | | | $ | — | | |
| | | 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. | | | | $ | 30,084,588 | | | | | $ | 5,858,993 | | | | | $ | 17,295,227 | | | | | $ | 9,732,152 | | | | | $ | 4,321 | | |
Interest | | | | | 33,550 | | | | | | 10,618 | | | | | | 22,397 | | | | | | 4,595 | | | | | | 11 | | |
Income from securities lending | | | | | 111,030 | | | | | | 131,173 | | | | | | 394,426 | | | | | | 26,092 | | | | | | — | | |
Less: Foreign taxes withheld (Note 5). | | | | | (19,062) | | | | | | — | | | | | | (1,797,590) | | | | | | (312,268) | | | | | | — | | |
Miscellaneous income | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total Investment Income | | | | | 30,210,106 | | | | | | 6,000,784 | | | | | | 15,914,460 | | | | | | 9,450,571 | | | | | | 4,332 | | |
EXPENSES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment management fee (Note 7). | | | | | 14,578,851 | | | | | | 3,880,546 | | | | | | 9,376,730 | | | | | | 1,577,711 | | | | | | 1,069 | | |
Transfer agent fees | | | | | 2,818,685 | | | | | | 621,313 | | | | | | 1,362,134 | | | | | | 287,191 | | | | | | 157 | | |
Custody fees | | | | | 470,412 | | | | | | 134,825 | | | | | | 625,610 | | | | | | 86,851 | | | | | | — | | |
Trustees’ fees | | | | | 128,842 | | | | | | 28,990 | | | | | | 64,212 | | | | | | 14,274 | | | | | | 13 | | |
Insurance | | | | | 36,062 | | | | | | 8,766 | | | | | | 18,568 | | | | | | 4,335 | | | | | | 187 | | |
Audit and tax | | | | | 24,363 | | | | | | 7,968 | | | | | | 31,970 | | | | | | 5,745 | | | | | | — | | |
Legal expense | | | | | 70,810 | | | | | | 16,457 | | | | | | 30,668 | | | | | | 7,555 | | | | | | 1 | | |
Chief Compliance Officer expense | | | | | 65,094 | | | | | | 15,838 | | | | | | 31,241 | | | | | | 8,039 | | | | | | 1 | | |
Shareholder services | | | | | 109,815 | | | | | | 26,346 | | | | | | 56,593 | | | | | | 13,935 | | | | | | 158 | | |
Registration fees | | | | | 90,926 | | | | | | 33,990 | | | | | | 50,658 | | | | | | 21,473 | | | | | | 13 | | |
Miscellaneous expense | | | | | 55,507 | | | | | | 14,725 | | | | | | 36,420 | | | | | | 8,891 | | | | | | 1 | | |
Interest and dividend expense. | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total Expenses | | | | | 18,449,367 | | | | | | 4,789,764 | | | | | | 11,684,804 | | | | | | 2,036,000 | | | | | | 1,600 | | |
Less: Fee waivers and/or expense reimbursement (Note 7) | | | | | (2,483,159) | | | | | | (28,808) | | | | | | (173,219) | | | | | | (231,717) | | | | | | (652) | | |
Net Expenses | | | | | 15,966,208 | | | | | | 4,760,956 | | | | | | 11,511,585 | | | | | | 1,804,283 | | | | | | 948 | | |
Net Investment Income (Loss) | | | | $ | 14,243,898 | | | | | $ | 1,239,828 | | | | | $ | 4,402,875 | | | | | $ | 7,646,288 | | | | | $ | 3,384 | | |
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 | | | | $ | (79,431,761) | | | | | $ | (58,524,890) | | | | | $ | (66,350,473) | | | | | $ | (46,481,588) | | | | | $ | (97,943) | | |
Futures contracts | | | | | (255,380) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Forward sale commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Option written | | | | | — | | | | | | — | | | | | | 214,958 | | | | | | 56,750 | | | | | | — | | |
Securities sold short | | | | | — | | | | | | — | | | | | | — | | | | | | 142,124 | | | | | | — | | |
Swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Forward foreign currency contracts. | | | | | — | | | | | | — | | | | | | (855,785) | | | | | | — | | | | | | — | | |
Foreign currency transactions | | | | | 1,676 | | | | | | — | | | | | | (151,989) | | | | | | (94,604) | | | | | | (2) | | |
Realized Gain (Loss) | | | | | (79,685,465) | | | | | | (58,524,890) | | | | | | (67,143,289) | | | | | | (46,377,318) | | | | | | (97,945) | | |
Change in Net Unrealized Appreciation (Depreciation) From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | 803,274,805 | | | | | | 131,365,047 | | | | | | 355,347,882* | | | | | | 29,254,649 | | | | | | 44,481 | | |
Futures contracts | | | | | 1,679,978 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Unfunded loan commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Options contracts written | | | | | — | | | | | | — | | | | | | (99,093) | | | | | | 27,230 | | | | | | — | | |
Forward sale commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Securities sold short | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Forward foreign currency contracts. | | | | | — | | | | | | — | | | | | | 583,111 | | | | | | — | | | | | | — | | |
Foreign currency transactions | | | | | 2,134 | | | | | | — | | | | | | 156,136 | | | | | | 27,101 | | | | | | 1 | | |
Change in Net Unrealized Appreciation (Depreciation):. | | | | | 804,956,917 | | | | | | 131,365,047 | | | | | | 355,988,036 | | | | | | 29,308,980 | | | | | | 44,482 | | |
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 | | | | | 725,271,452 | | | | | | 72,840,157 | | | | | | 288,844,747 | | | | | | (17,068,338) | | | | | | (53,463) | | |
Total Increase (Decrease) in Net Assets from Operations. | | | | $ | 739,515,350 | | | | | $ | 74,079,985 | | | | | $ | 293,247,622 | | | | | $ | (9,422,050) | | | | | $ | (50,079) | | |
| | | 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. | | | | $ | 147,714 | | | | | $ | 153,670 | | | | | $ | 631,855 | | | | | $ | — | | | | | $ | 7,328,301 | | |
Interest | | | | | 32,153,823 | | | | | | 8,484,336 | | | | | | 18,547,478 | | | | | | 9,317,014 | | | | | | 7,527,937 | | |
Income from securities lending | | | | | 1,471 | | | | | | 31,665 | | | | | | 1,096 | | | | | | — | | | | | | 122,431 | | |
Less: Foreign taxes withheld (Note 5). | | | | | — | | | | | | — | | | | | | (3,533) | | | | | | — | | | | | | — | | |
Miscellaneous income | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total Investment Income | | | | | 32,303,008 | | | | | | 8,669,671 | | | | | | 19,176,896 | | | | | | 9,317,014 | | | | | | 14,978,669 | | |
EXPENSES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment management fee (Note 7). | | | | | 6,713,926 | | | | | | 1,233,025 | | | | | | 3,017,217 | | | | | | 3,057,391 | | | | | | 6,096,420 | | |
Transfer agent fees | | | | | 1,503,246 | | | | | | 257,610 | | | | | | 518,338 | | | | | | 653,845 | | | | | | 659,486 | | |
Custody fees | | | | | 416,872 | | | | | | 84,858 | | | | | | 136,471 | | | | | | 246,766 | | | | | | 161,246 | | |
Trustees’ fees | | | | | 69,143 | | | | | | 11,538 | | | | | | 24,000 | | | | | | 29,748 | | | | | | 29,967 | | |
Insurance | | | | | 18,655 | | | | | | 2,071 | | | | | | 7,183 | | | | | | 8,392 | | | | | | 8,694 | | |
Audit and tax | | | | | 17,089 | | | | | | 6,792 | | | | | | 9,389 | | | | | | 6,876 | | | | | | 12,792 | | |
Legal expense | | | | | 30,747 | | | | | | 5,997 | | | | | | 3,987 | | | | | | 14,360 | | | | | | 20,712 | | |
Chief Compliance Officer expense | | | | | 30,545 | | | | | | 5,263 | | | | | | 11,837 | | | | | | 14,639 | | | | | | 13,680 | | |
Shareholder services | | | | | 57,923 | | | | | | 10,834 | | | | | | 21,980 | | | | | | 25,926 | | | | | | 26,560 | | |
Registration fees | | | | | 50,112 | | | | | | 32,123 | | | | | | 30,172 | | | | | | 68,122 | | | | | | 33,631 | | |
Broker fees on securities sold short | | | | | — | | | | | | — | | | | | | 16,943 | | | | | | — | | | | | | 225,278 | | |
Miscellaneous expense | | | | | 30,492 | | | | | | 7,168 | | | | | | 13,844 | | | | | | 14,542 | | | | | | 97,861 | | |
Interest and dividend expense. | | | | | — | | | | | | — | | | | | | 76,673 | | | | | | — | | | | | | 695,292 | | |
Total Expenses | | | | | 8,938,750 | | | | | | 1,657,279 | | | | | | 3,888,034 | | | | | | 4,140,607 | | | | | | 8,081,619 | | |
Less: Fee waivers and/or expense reimbursement (Note 7) | | | | | (955,767) | | | | | | (10,347) | | | | | | (391,148) | | | | | | (673,958) | | | | | | (1,710,493) | | |
Net Expenses | | | | | 7,982,983 | | | | | | 1,646,932 | | | | | | 3,496,886 | | | | | | 3,466,649 | | | | | | 6,371,126 | | |
Net Investment Income (Loss) | | | | $ | 24,320,025 | | | | | $ | 7,022,739 | | | | | $ | 15,680,010 | | | | | $ | 5,850,365 | | | | | $ | 8,607,543 | | |
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 | | | | $ | 6,990,748 | | | | | $ | (4,249,868) | | | | | $ | (12,371,296) | | | | | $ | 4,631,995 | | | | | $ | (40,703,436) | | |
Futures contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Forward sale commitments | | | | | (31,789) | | | | | | — | | | | | | 11,885 | | | | | | — | | | | | | — | | |
Option written | | | | | — | | | | | | — | | | | | | 539,248 | | | | | | — | | | | | | — | | |
Securities sold short | | | | | — | | | | | | — | | | | | | 126,413 | | | | | | — | | | | | | (258,167) | | |
Swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 353,333 | | |
Forward foreign currency contracts. | | | | | — | | | | | | (633,312) | | | | | | (987,291) | | | | | | — | | | | | | — | | |
Foreign currency transactions | | | | | — | | | | | | (243,394) | | | | | | (347,729) | | | | | | — | | | | | | — | | |
Realized Gain (Loss) | | | | | 6,958,959 | | | | | | (5,126,574) | | | | | | (13,028,770) | | | | | | 4,631,995 | | | | | | (40,608,270) | | |
Change in Net Unrealized Appreciation (Depreciation) From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | (10,176,122) | | | | | | (2,889,482) | | | | | | (4,582,550) | | | | | | (10,624,932) | | | | | | 51,657,085 | | |
Futures contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Unfunded loan commitments | | | | | 104 | | | | | | 38,840 | | | | | | 21,767 | | | | | | — | | | | | | — | | |
Options contracts written | | | | | — | | | | | | — | | | | | | 696,268 | | | | | | — | | | | | | — | | |
Swaptions contracts written | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (758,343) | | |
Forward sale commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Securities sold short | | | | | — | | | | | | — | | | | | | (25,128) | | | | | | — | | | | | | (3,809,577) | | |
Swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 3,588,219 | | |
Forward foreign currency contracts. | | | | | — | | | | | | (269,711) | | | | | | (190,500) | | | | | | — | | | | | | — | | |
Foreign currency transactions | | | | | — | | | | | | (1,186) | | | | | | (43,613) | | | | | | — | | | | | | — | | |
Change in Net Unrealized Appreciation (Depreciation):. | | | | | (10,176,018) | | | | | | (3,121,539) | | | | | | (4,123,756) | | | | | | (10,624,932) | | | | | | 50,677,384 | | |
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 | | | | | (3,217,059) | | | | | | (8,248,113) | | | | | | (17,152,526) | | | | | | (5,992,937) | | | | | | 10,069,114 | | |
Total Increase (Decrease) in Net Assets from Operations. | | | | $ | 21,102,966 | | | | | $ | (1,225,374) | | | | | $ | (1,472,516) | | | | | $ | (142,572) | | | | | $ | 18,676,657 | | |
| | | Destinations Large Cap Equity Fund | | | Destinations Small-Mid Cap Equity Fund | | | Destinations International Equity Fund | | |||||||||||||||||||||||||||
| | | August 31, 2020 | | | February 29, 2020 | | | August 31, 2020 | | | February 29, 2020 | | | August 31, 2020 | | | February 29, 2020 | | ||||||||||||||||||
OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 14,243,898 | | | | | $ | 32,504,725 | | | | | $ | 1,239,828 | | | | | $ | 5,482,939 | | | | | $ | 4,402,875 | | | | | $ | 14,166,306 | | |
Net realized gain (loss) | | | | | (79,685,465) | | | | | | 116,742,791 | | | | | | (58,524,890) | | | | | | 70,257,036 | | | | | | (67,143,289) | | | | | | (10,345,207) | | |
Change in unrealized appreciation (depreciation). | | | | | 804,956,917 | | | | | | (4,621,536) | | | | | | 131,365,047 | | | | | | (67,644,492) | | | | | | 355,988,036 | | | | | | 68,360,504 | | |
Increase (Decrease) in Net Assets From Operations | | | | | 739,515,350 | | | | | | 144,625,980 | | | | | | 74,079,985 | | | | | | 8,095,483 | | | | | | 293,247,622 | | | | | | 72,181,603 | | |
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 5) : | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | — | | | | | | (70,387,255) | | | | | | — | | | | | | (39,088,932) | | | | | | — | | | | | | (14,409,188) | | |
Class Z. | | | | | — | | | | | | (4,910,206) | | | | | | — | | | | | | (2,479,931) | | | | | | — | | | | | | (967,627) | | |
Decrease in Net Assets From Distributions to Shareholders | | | | | — | | | | | | (75,297,461) | | | | | | — | | | | | | (41,568,863) | | | | | | — | | | | | | (15,376,815) | | |
FUND SHARE TRANSACTIONS : | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net proceeds from sale of shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 307,864,235 | | | | | | 687,696,868 | | | | | | 52,725,208 | | | | | | 151,392,598 | | | | | | 144,910,295 | | | | | | 484,248,356 | | |
Class Z | | | | | 41,117,592 | | | | | | 157,982,878 | | | | | | 8,216,625 | | | | | | 37,418,996 | | | | | | 19,773,961 | | | | | | 78,919,083 | | |
Reinvestment of distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | — | | | | | | 70,064,855 | | | | | | — | | | | | | 38,932,538 | | | | | | — | | | | | | 14,344,776 | | |
Class Z | | | | | — | | | | | | 4,805,308 | | | | | | — | | | | | | 2,425,248 | | | | | | — | | | | | | 945,298 | | |
Cost of shares repurchased: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (480,363,425) | | | | | | (606,829,956) | | | | | | (114,302,846) | | | | | | (232,103,803) | | | | | | (329,344,599) | | | | | | (289,422,489) | | |
Class Z | | | | | (35,152,055) | | | | | | (28,981,976) | | | | | | (7,345,202) | | | | | | (9,090,425) | | | | | | (20,584,238) | | | | | | (13,517,569) | | |
Increase (Decrease) in Net Assets From Fund Share Transactions | | | | | (166,533,653) | | | | | | 284,737,977 | | | | | | (60,706,215) | | | | | | (11,024,848) | | | | | | (185,244,581) | | | | | | 275,517,455 | | |
Increase (Decrease) in Net Assets. | | | | | 572,981,697 | | | | | | 354,066,496 | | | | | | 13,373,770 | | | | | | (44,498,228) | | | | | | 108,003,041 | | | | | | 332,322,243 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | | 3,850,546,176 | | | | | | 3,496,479,680 | | | | | | 936,343,169 | | | | | | 980,841,397 | | | | | | 1,983,580,177 | | | | | | 1,651,257,934 | | |
End of period | | | | $ | 4,423,527,873 | | | | | $ | 3,850,546,176 | | | | | $ | 949,716,939 | | | | | $ | 936,343,169 | | | | | | 2,091,583,218 | | | | | $ | 1,983,580,177 | | |
|
| | | Destinations Equity Income Fund | | | Destinations Real Assets Fund | | ||||||||||||||||||
| | | August 31, 2020 | | | February 29, 2020 | | | August 31, 2020 | | | February 29, 2020 | | ||||||||||||
OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 7,646,288 | | | | | $ | 15,351,335 | | | | | $ | 3,384 | | | | | $ | 420,459 | | |
Net realized gain (loss) | | | | | (46,377,318) | | | | | | 7,689,707 | | | | | | (97,945) | | | | | | (184,051,995) | | |
Change in unrealized appreciation (depreciation). | | | | | 29,308,980 | | | | | | (28,733,491) | | | | | | 44,482 | | | | | | 104,177,946 | | |
Increase (Decrease) in Net Assets From Operations | | | | | (9,422,050) | | | | | | (5,692,449) | | | | | | (50,079) | | | | | | (79,453,590) | | |
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 5) : | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (5,237,159) | | | | | | (18,227,009) | | | | | | — | | | | | | (452,917) | | |
Class Z. | | | | | (295,563) | | | | | | (771,020) | | | | | | — | | | | | | (6,496) | | |
Decrease in Net Assets From Distributions to Shareholders | | | | | (5,532,722) | | | | | | (18,998,029) | | | | | | — | | | | | | (459,413) | | |
FUND SHARE TRANSACTIONS : | | | | | | | | | | | | | | | | | | | | | | | | | |
Net proceeds from sale of shares: | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 19,840,618 | | | | | | 158,290,331 | | | | | | 381 | | | | | | 15,254,257 | | |
Class Z | | | | | 4,836,809 | | | | | | 16,258,551 | | | | | | 155 | | | | | | 4,902,446 | | |
Reinvestment of distributions: | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 5,205,718 | | | | | | 18,155,522 | | | | | | — | | | | | | 449,817 | | |
Class Z | | | | | 273,688 | | | | | | 741,452 | | | | | | — | | | | | | 3,372 | | |
Cost of shares repurchased: | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (89,755,537) | | | | | | (103,715,628) | | | | | | (313,515) | | | | | | (151,381,248) | | |
Class Z | | | | | (5,156,322) | | | | | | (4,556,237) | | | | | | (6,129) | | | | | | (6,519,094) | | |
Increase (Decrease) in Net Assets From Fund Share Transactions | | | | | (64,755,026) | | | | | | 85,173,991 | | | | | | (319,108) | | | | | | (137,290,450) | | |
Increase (Decrease) in Net Assets. | | | | | (79,709,798) | | | | | | 60,483,513 | | | | | | (369,187) | | | | | | (217,203,453) | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | | 462,024,547 | | | | | | 401,541,034 | | | | | | 381,587 | | | | | | 217,585,040 | | |
End of period | | | | $ | 382,314,749 | | | | | $ | 462,024,547 | | | | | $ | 12,400 | | | | | $ | 381,587 | | |
| | | Destinations Core Fixed Income Fund | | | Destinations Low Duration Fixed Income Fund | | | Destinations Global Fixed Income Opportunities Fund | | |||||||||||||||||||||||||||
| | | August 31, 2020 | | | February 29, 2020 | | | August 31, 2020 | | | February 29, 2020 | | | August 31, 2020 | | | February 29, 2020 | | ||||||||||||||||||
OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 24,320,025 | | | | | $ | 53,209,166 | | | | | $ | 7,022,739 | | | | | $ | 12,784,338 | | | | | $ | 15,680,010 | | | | | $ | 31,298,365 | | |
Net realized gain (loss) | | | | | 6,958,959 | | | | | | 4,395,533 | | | | | | (5,126,574) | | | | | | 941,198 | | | | | | (13,028,770) | | | | | | (1,190,867) | | |
Change in unrealized appreciation (depreciation). | | | | | (10,176,018) | | | | | | 103,247,183 | | | | | | (3,121,539) | | | | | | (3,508,510) | | | | | | (4,123,756) | | | | | | 2,480,370 | | |
Increase (Decrease) in Net Assets From Operations | | | | | 21,102,966 | �� | | | | | 160,851,882 | | | | | | (1,225,374) | | | | | | 10,217,026 | | | | | | (1,472,516) | | | | | | 32,587,868 | | |
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 5) : | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (21,237,391) | | | | | | (50,516,772) | | | | | | (6,552,893) | | | | | | (12,933,632) | | | | | | (15,324,830) | | | | | | (30,641,902) | | |
Class Z. | | | | | (1,186,777) | | | | | | (2,007,044) | | | | | | (315,073) | | | | | | (443,298) | | | | | | (766,879) | | | | | | (1,110,273) | | |
Decrease in Net Assets From Distributions to Shareholders | | | | | (22,424,168) | | | | | | (52,523,816) | | | | | | (6,867,966) | | | | | | (13,376,930) | | | | | | (16,091,709) | | | | | | (31,752,175) | | |
FUND SHARE TRANSACTIONS : | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net proceeds from sale of shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 301,446,148 | | | | | | 348,432,072 | | | | | | 91,344,319 | | | | | | 65,581,427 | | | | | | 98,407,227 | | | | | | 120,893,391 | | |
Class Z | | | | | 28,100,871 | | | | | | 80,705,308 | | | | | | 5,705,491 | | | | | | 13,490,093 | | | | | | 8,864,171 | | | | | | 26,572,816 | | |
Reinvestment of distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 21,123,811 | | | | | | 50,302,690 | | | | | | 6,515,453 | | | | | | 12,874,976 | | | | | | 15,236,814 | | | | | | 30,502,657 | | |
Class Z | | | | | 1,140,406 | | | | | | 1,957,744 | | | | | | 302,062 | | | | | | 432,843 | | | | | | 728,882 | | | | | | 1,080,878 | | |
Cost of shares repurchased: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (204,482,792) | | | | | | (315,867,814) | | | | | | (51,002,230) | | | | | | (140,784,379) | | | | | | (122,408,069) | | | | | | (187,943,047) | | |
Class Z | | | | | (18,087,077) | | | | | | (16,349,302) | | | | | | (2,619,540) | | | | | | (5,578,498) | | | | | | (7,063,820) | | | | | | (7,700,048) | | |
Increase (Decrease) in Net Assets From Fund Share Transactions | | | | | 129,241,367 | | | | | | 149,180,698 | | | | | | 50,245,555 | | | | | | (53,983,538) | | | | | | (6,234,795) | | | | | | (16,593,353) | | |
Increase (Decrease) in Net Assets. | | | | | 127,920,165 | | | | | | 257,508,764 | | | | | | 42,152,215 | | | | | | (57,143,442) | | | | | | (23,799,020) | | | | | | (15,757,660) | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | | 1,994,590,784 | | | | | | 1,737,082,020 | | | | | | 334,743,809 | | | | | | 391,887,251 | | | | | | 767,584,267 | | | | | | 783,341,927 | | |
End of period | | | | $ | 2,122,510,949 | | | | | $ | 1,994,590,784 | | | | | $ | 376,896,024 | | | | | $ | 334,743,809 | | | | | $ | 743,785,247 | | | | | $ | 767,584,267 | | |
|
| | | Destinations Municipal Fixed Income Fund | | | Destinations Multi Strategy Alternatives Fund | | ||||||||||||||||||
| | | August 31, 2020 | | | February 29, 2020 | | | August 31, 2020 | | | February 29, 2020 | | ||||||||||||
OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 5,850,365 | | | | | $ | 13,932,748 | | | | | $ | 8,607,543 | | | | | $ | 35,814,829 | | |
Net realized gain (loss) | | | | | 4,631,995 | | | | | | 5,438,656 | | | | | | (40,608,270) | | | | | | (20,667,942) | | |
Change in unrealized appreciation (depreciation). | | | | | (10,624,932) | | | | | | 43,620,176 | | | | | | 50,677,384 | | | | | | 18,032,204 | | |
Increase (Decrease) in Net Assets From Operations | | | | | (142,572) | | | | | | 62,991,580 | | | | | | 18,676,657 | | | | | | 33,179,091 | | |
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 5) : | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (7,329,354) | | | | | | (19,976,187) | | | | | | (7,359,602) | | | | | | (41,009,701) | | |
Class Z. | | | | | (188,646) | | | | | | (388,838) | | | | | | (388,249) | | | | | | (1,515,766) | | |
Decrease in Net Assets From Distributions to Shareholders | | | | | (7,518,000) | | | | | | (20,365,025) | | | | | | (7,747,851) | | | | | | (42,525,467) | | |
FUND SHARE TRANSACTIONS : | | | | | | | | | | | | | | | | | | | | | | | | | |
Net proceeds from sale of shares: | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 87,317,722 | | | | | | 141,594,898 | | | | | | 100,662,879 | | | | | | 140,648,524 | | |
Class Z | | | | | 7,473,709 | | | | | | 9,524,563 | | | | | | 9,507,370 | | | | | | 32,455,097 | | |
Reinvestment of distributions: | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 7,277,128 | | | | | | 19,854,143 | | | | | | 7,324,290 | | | | | | 40,884,655 | | |
Class Z | | | | | 176,219 | | | | | | 376,396 | | | | | | 373,046 | | | | | | 1,477,184 | | |
Cost of shares repurchased: | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (110,832,816) | | | | | | (186,875,852) | | | | | | (90,521,134) | | | | | | (181,461,416) | | |
Class Z | | | | | (4,425,632) | | | | | | (4,237,551) | | | | | | (5,744,752) | | | | | | (7,529,152) | | |
Increase (Decrease) in Net Assets From Fund Share Transactions | | | | | (13,013,670) | | | | | | (19,763,403) | | | | | | 21,601,699 | | | | | | 26,474,892 | | |
Increase (Decrease) in Net Assets. | | | | | (20,674,242) | | | | | | 22,863,152 | | | | | | 32,530,505 | | | | | | 17,128,516 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | | 896,991,691 | | | | | | 874,128,539 | | | | | | 929,418,287 | | | | | | 912,289,771 | | |
End of period | | | | $ | 876,317,449 | | | | | $ | 896,991,691 | | | | | $ | 961,948,792 | | | | | $ | 929,418,287 | | |
| | | Class I | | |||||||||||||||||||||
| | | 2020(1) | | | 2020 | | | 2019 | | | 2018(1) | | ||||||||||||
Net asset value, Beginning of Period | | | | $ | 11.88 | | | | | $ | 11.61 | | | | | $ | 11.71 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.04 | | | | | | 0.10 | | | | | | 0.11 | | | | | | 0.10 | | |
Net realized and unrealized gain | | | | | 2.30 | | | | | | 0.40 | | | | | | 0.18 | | | | | | 1.69 | | |
Total Income from Operations | | | | | 2.34 | | | | | | 0.50 | | | | | | 0.29 | | | | | | 1.79 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | (0.10) | | | | | | (0.10) | | | | | | (0.08) | | |
Net realized gain. | | | | | — | | | | | | (0.13) | | | | | | (0.29) | | | | | | — | | |
Total Distributions. | | | | | — | | | | | | (0.23) | | | | | | (0.39) | | | | | | (0.08) | | |
Net Asset Value, End of Period | | | | $ | 14.22 | | | | | $ | 11.88 | | | | | $ | 11.61 | | | | | $ | 11.71 | | |
Total Return(3) | | | | | 19.70%(4) | | | | | | 4.18% | | | | | | 2.73% | | | | | | 17.89%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 4,178 | | | | | $ | 3,651 | | | | | $ | 3,427 | | | | | $ | 2,804 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.96%(5) | | | | | | 0.95% | | | | | | 0.97% | | | | | | 0.98%(5) | | |
Net expenses(6) | | | | | 0.83%(5) | | | | | | 0.82% | | | | | | 0.85% | | | | | | 0.85%(5) | | |
Net investment income(6) | | | | | 0.72%(5) | | | | | | 0.84% | | | | | | 0.91% | | | | | | 0.97%(5) | | |
Portfolio Turnover Rate(7) | | | | | 26%(4) | | | | | | 49% | | | | | | 28% | | | | | | 52%(4) | | |
| | | Class Z | | |||||||||||||||
| | | 2020(1) | | | 2020 | | | 2019(1) | | |||||||||
Net asset value, Beginning of Period | | | | $ | 9.65 | | | | | $ | 9.46 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.04 | | | | | | 0.10 | | | | | | 0.07 | | |
Net realized and unrealized gain | | | | | 1.86 | | | | | | 0.34 | | | | | | (0.21) | | |
Total Income from Operations | | | | | 1.90 | | | | | | 0.44 | | | | | | (0.14) | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | (0.12) | | | | | | (0.11) | | |
Net realized gain. | | | | | — | | | | | | (0.13) | | | | | | (0.29) | | |
Total Distributions. | | | | | — | | | | | | (0.25) | | | | | | (0.40) | | |
Net Asset Value, End of Period | | | | $ | 11.55 | | | | | $ | 9.65 | | | | | $ | 9.46 | | |
Total Return(3) | | | | | 19.69%(4) | | | | | | 4.45% | | | | | | (0.94)%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 246 | | | | | $ | 200 | | | | | $ | 70 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.81%(5) | | | | | | 0.80% | | | | | | 0.82%(5) | | |
Net expenses(6) | | | | | 0.68%(5) | | | | | | 0.67% | | | | | | 0.70%(5) | | |
Net investment income(6) | | | | | 0.87%(5) | | | | | | 0.96% | | | | | | 1.06%(5) | | |
Portfolio Turnover Rate(7) | | | | | 22%(4) | | | | | | 49% | | | | | | 28%(4) | | |
| | | Class I | | |||||||||||||||||||||
| | | 2020(1) | | | 2020 | | | 2019 | | | 2018(1) | | ||||||||||||
Net asset value, Beginning of Period | | | | $ | 10.92 | | | | | $ | 11.31 | | | | | $ | 10.98 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.01 | | | | | | 0.06 | | | | | | 0.06 | | | | | | 0.04 | | |
Net realized and unrealized gain | | | | | 0.98 | | | | | | 0.04 | | | | | | 0.84 | | | | | | 1.04 | | |
Total Income from Operations | | | | | 0.99 | | | | | | 0.10 | | | | | | 0.90 | | | | | | 1.08 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | (0.06) | | | | | | (0.05) | | | | | | (0.04) | | |
Net realized gain. | | | | | — | | | | | | (0.43) | | | | | | (0.52) | | | | | | (0.06) | | |
Total Distributions. | | | | | — | | | | | | (0.49) | | | | | | (0.57) | | | | | | (0.10) | | |
Net Asset Value, End of Period | | | | $ | 11.91 | | | | | $ | 10.92 | | | | | $ | 11.31 | | | | | $ | 10.98 | | |
Total Return(3) | | | | | 9.07%(4) | | | | | | 0.52% | | | | | | 9.02% | | | | | | 10.83%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 898 | | | | | $ | 890 | | | | | $ | 962 | | | | | $ | 701 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 1.13%(5) | | | | | | 1.11% | | | | | | 1.12% | | | | | | 1.14%(5) | | |
Net expenses(6) | | | | | 1.12%(5) | | | | | | 1.08% | | | | | | 1.03% | | | | | | 1.03%(5) | | |
Net investment income(6) | | | | | 0.28%(5) | | | | | | 0.54% | | | | | | 0.53% | | | | | | 0.41%(5) | | |
Portfolio Turnover Rate(7) | | | | | 75%(4) | | | | | | 110% | | | | | | 85% | | | | | | 112%(4) | | |
| | | Class Z | | |||||||||||||||
| | | 2020(1) | | | 2020 | | | 2019(1) | | |||||||||
Net asset value, Beginning of Period | | | | $ | 8.80 | | | | | $ | 9.20 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.02 | | | | | | 0.06 | | | | | | 0.04 | | |
Net realized and unrealized gain | | | | | 0.78 | | | | | | 0.05 | | | | | | (0.25) | | |
Total Income from Operations | | | | | 0.80 | | | | | | 0.11 | | | | | | (0.21) | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | (0.08) | | | | | | (0.07) | | |
Net realized gain. | | | | | — | | | | | | (0.43) | | | | | | (0.52) | | |
Total Distributions. | | | | | — | | | | | | (0.51) | | | | | | (0.59) | | |
Net Asset Value, End of Period | | | | $ | 9.60 | | | | | $ | 8.80 | | | | | $ | 9.20 | | |
Total Return(3) | | | | | 9.09%(4) | | | | | | 0.69% | | | | | | (1.24)%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 51 | | | | | $ | 46 | | | | | $ | 19 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.99%(5) | | | | | | 0.97% | | | | | | 0.97%(5) | | |
Net expenses(6) | | | | | 0.98%(5) | | | | | | 0.94% | | | | | | 0.88%(5) | | |
Net investment income(6) | | | | | 0.42%(5) | | | | | | 0.66% | | | | | | 0.68%(5) | | |
Portfolio Turnover Rate(7) | | | | | 75%(4) | | | | | | 110% | | | | | | 85%(4) | | |
| | | Class I | | |||||||||||||||||||||
| | | 2020(1) | | | 2020 | | | 2019 | | | 2018(1) | | ||||||||||||
Net asset value, Beginning of Period | | | | $ | 11.30 | | | | | $ | 10.86 | | | | | $ | 11.69 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.03 | | | | | | 0.09 | | | | | | 0.09 | | | | | | 0.07 | | |
Net realized and unrealized gain | | | | | 1.94 | | | | | | 0.44 | | | | | | (0.77) | | | | | | 1.70 | | |
Total Income from Operations | | | | | 1.97 | | | | | | 0.53 | | | | | | (0.68) | | | | | | 1.77 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | (0.09) | | | | | | (0.12) | | | | | | (0.07) | | |
Net realized gain. | | | | | — | | | | | | — | | | | | | (0.03) | | | | | | (0.01) | | |
Total Distributions. | | | | | — | | | | | | (0.09) | | | | | | (0.15) | | | | | | (0.08) | | |
Net Asset Value, End of Period | | | | $ | 13.27 | | | | | $ | 11.30 | | | | | $ | 10.86 | | | | | $ | 11.69 | | |
Total Return(3) | | | | | 17.43%(4) | | | | | | 4.83% | | | | | | (5.71)% | | | | | | 17.70%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 1,977 | | | | | $ | 1,884 | | | | | $ | 1,618 | | | | | $ | 1,413 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 1.25%(5) | | | | | | 1.25% | | | | | | 1.28% | | | | | | 1.30%(5) | | |
Net expenses(6) | | | | | 1.23%(5) | | | | | | 1.17% | | | | | | 1.18% | | | | | | 1.15%(5) | | |
Net investment income(6) | | | | | 0.46%(5) | | | | | | 0.77% | | | | | | 0.83% | | | | | | 0.69%(5) | | |
Portfolio Turnover Rate(7) | | | | | 21%(4) | | | | | | 27% | | | | | | 32% | | | | | | 50%(4) | | |
| | | Class Z | | |||||||||||||||
| | | 2020(1) | | | 2020 | | | 2019(1) | | |||||||||
Net asset value, Beginning of Period | | | | $ | 9.86 | | | | | $ | 9.48 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.03 | | | | | | 0.06 | | | | | | 0.02 | | |
Net realized and unrealized gain | | | | | 1.70 | | | | | | 0.43 | | | | | | (0.38) | | |
Total Income from Operations | | | | | 1.73 | | | | | | 0.49 | | | | | | (0.36) | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | (0.11) | | | | | | (0.13) | | |
Net realized gain. | | | | | — | | | | | | — | | | | | | (0.03) | | |
Total Distributions. | | | | | — | | | | | | (0.11) | | | | | | (0.16) | | |
Net Asset Value, End of Period | | | | $ | 11.59 | | | | | $ | 9.86 | | | | | $ | 9.48 | | |
Total Return(3) | | | | | 17.55%(4) | | | | | | 5.05% | | | | | | (3.43)%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 114 | | | | | $ | 99 | | | | | $ | 33 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 1.10%(5) | | | | | | 1.10% | | | | | | 1.13%(5) | | |
Net expenses(6) | | | | | 1.09%(5) | | | | | | 1.02% | | | | | | 1.03%(5) | | |
Net investment income(6) | | | | | 0.60%(5) | | | | | | 0.62% | | | | | | 0.98%(5) | | |
Portfolio Turnover Rate(7) | | | | | 21%(4) | | | | | | 27% | | | | | | 32%(4) | | |
| | | Class I | | |||||||||||||||||||||
| | | 2020(1) | | | 2020 | | | 2019 | | | 2018(1) | | ||||||||||||
Net asset value, Beginning of Period | | | | $ | 9.74 | | | | | $ | 10.20 | | | | | $ | 10.14 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.18 | | | | | | 0.35 | | | | | | 0.32 | | | | | | 0.31 | | |
Net realized and unrealized gain | | | | | (0.24) | | | | | | (0.40) | | | | | | 0.39 | | | | | | 0.12 | | |
Total Income from Operations | | | | | (0.06) | | | | | | (0.05) | | | | | | 0.71 | | | | | | 0.43 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.13) | | | | | | (0.32) | | | | | | (0.29) | | | | | | (0.26) | | |
Net realized gain. | | | | | — | | | | | | (0.09) | | | | | | (0.36) | | | | | | (0.03) | | |
Total Distributions. | | | | | (0.13) | | | | | | (0.41) | | | | | | (0.65) | | | | | | (0.29) | | |
Net Asset Value, End of Period | | | | $ | 9.55 | | | | | $ | 9.74 | | | | | $ | 10.20 | | | | | $ | 10.14 | | |
Total Return(3) | | | | | (0.53)%(4) | | | | | | (0.78)% | | | | | | 7.52% | | | | | | 4.34%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 362 | | | | | $ | 441 | | | | | $ | 391 | | | | | $ | 320 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 1.04%(5) | | | | | | 1.03% | | | | | | 1.04% | | | | | | 1.05%(5) | | |
Net expenses(6) | | | | | 0.92%(5) | | | | | | 0.88% | | | | | | 0.87% | | | | | | 0.93%(5) | | |
Net investment income(6) | | | | | 3.87%(5) | | | | | | 3.31% | | | | | | 3.13% | | | | | | 3.18%(5) | | |
Portfolio Turnover Rate(7) | | | | | 34%(4) | | | | | | 43% | | | | | | 74% | | | | | | 57%(4) | | |
| | | Class Z | | |||||||||||||||
| | | 2020(1) | | | 2020 | | | 2019(1) | | |||||||||
Net asset value, Beginning of Period | | | | $ | 9.44 | | | | | $ | 9.89 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.18 | | | | | | 0.36 | | | | | | 0.20 | | |
Net realized and unrealized gain | | | | | (0.24) | | | | | | (0.38) | | | | | | 0.21 | | |
Total Income from Operations | | | | | (0.06) | | | | | | (0.02) | | | | | | 0.41 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.13) | | | | | | (0.34) | | | | | | (0.16) | | |
Net realized gain. | | | | | — | | | | | | (0.09) | | | | | | (0.36) | | |
Total Distributions. | | | | | (0.13) | | | | | | (0.43) | | | | | | (0.52) | | |
Net Asset Value, End of Period | | | | $ | 9.25 | | | | | $ | 9.44 | | | | | $ | 9.89 | | |
Total Return(3) | | | | | (0.50)%(4) | | | | | | (0.58)% | | | | | | 4.51%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 21 | | | | | | 21 | | | | | $ | 10 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.89%(5) | | | | | | 0.88% | | | | | | 0.89%(5) | | |
Net expenses(6) | | | | | 0.77%(5) | | | | | | 0.74% | | | | | | 0.72%(5) | | |
Net investment income(6) | | | | | 4.01%(5) | | | | | | 3.46% | | | | | | 3.28%(5) | | |
Portfolio Turnover Rate(7) | | | | | 34%(4) | | | | | | 43% | | | | | | 74%(4) | | |
| | | Class I | | |||||||||||||||||||||
| | | 2020(1) | | | 2020 | | | 2019 | | | 2018(1) | | ||||||||||||
Net asset value, Beginning of Period | | | | $ | 2.81 | | | | | $ | 6.43 | | | | | $ | 8.94 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.04 | | | | | | 0.02 | | | | | | 0.02 | | | | | | 0.00(3) | | |
Net realized and unrealized gain | | | | | (0.23) | | | | | | (2.75) | | | | | | (2.52) | | | | | | (0.78) | | |
Total Income from Operations | | | | | (0.19) | | | | | | (2.73) | | | | | | (2.50) | | | | | | (0.78) | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | (0.89) | | | | | | (0.00)(3) | | | | | | (0.04) | | |
Net realized gain. | | | | | — | | | | | | — | | | | | | (0.01) | | | | | | (0.24) | | |
Total Distributions. | | | | | — | | | | | | (0.89) | | | | | | (0.01) | | | | | | (0.28) | | |
Net Asset Value, End of Period | | | | $ | 2.62 | | | | | $ | 2.81 | | | | | $ | 6.43 | | | | | $ | 8.94 | | |
Total Return(4) | | | | | (9.25)%(5) | | | | | | (44.29)% | | | | | | (27.95)% | | | | | | (7.95)%(5) | | |
Net Assets, End of Period (millions) | | | | $ | 0 | | | | | $ | 0 | | | | | $ | 214 | | | | | $ | 223 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 1.49%(6) | | | | | | 1.27% | | | | | | 1.24% | | | | | | 1.29%(6) | | |
Net expenses(7) | | | | | 0.89%(6) | | | | | | 1.14% | | | | | | 1.20% | | | | | | 1.19%(6) | | |
Net investment income(7) | | | | | 3.13%(6) | | | | | | 0.39% | | | | | | 0.21% | | | | | | 0.02%(6) | | |
Portfolio Turnover Rate(8) | | | | | 5%(5) | | | | | | 198% | | | | | | 66% | | | | | | 58%(5) | | |
| | | Class Z | | |||||||||||||||
| | | 2020(1) | | | 2020 | | | 2019(1) | | |||||||||
Net asset value, Beginning of Period | | | | $ | 2.63 | | | | | $ | 6.50 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.03 | | | | | | 0.03 | | | | | | 0.02 | | |
Net realized and unrealized gain | | | | | (0.21) | | | | | | (2.61) | | | | | | (3.50) | | |
Total Income from Operations | | | | | (0.18) | | | | | | (2.58) | | | | | | (3.48) | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | (1.29) | | | | | | (0.01) | | |
Net realized gain. | | | | | — | | | | | | — | | | | | | (0.01) | | |
Total Distributions. | | | | | — | | | | | | (1.29) | | | | | | (0.02) | | |
Net Asset Value, End of Period | | | | $ | 2.45 | | | | | $ | 2.63 | | | | | $ | 6.50 | | |
Total Return(3) | | | | | (9.51)%(4) | | | | | | (41.64)% | | | | | | (34.79)%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 0 | | | | | $ | 0 | | | | | $ | 4 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 1.34%(5) | | | | | | 1.04% | | | | | | 1.09%(5) | | |
Net expenses(6) | | | | | 0.73% (5) | | | | | | 0.91% | | | | | | 1.05%(5) | | |
Net investment income(6) | | | | | 3.27% (5) | | | | | | 0.50% | | | | | | 0.36%(5) | | |
Portfolio Turnover Rate(7) | | | | | 5%(4) | | | | | | 198% | | | | | | 66%(4) | | |
| | | Class I | | |||||||||||||||||||||
| | | 2020(1) | | | 2020 | | | 2019 | | | 2018(1) | | ||||||||||||
Net asset value, Beginning of Period | | | | $ | 10.42 | | | | | $ | 9.83 | | | | | $ | 9.83 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.12 | | | | | | 0.28 | | | | | | 0.28 | | | | | | 0.21 | | |
Net realized and unrealized gain | | | | | (0.03) | | | | | | 0.59 | | | | | | (0.01) | | | | | | (0.17) | | |
Total Income from Operations | | | | | 0.09 | | | | | | 0.87 | | | | | | 0.27 | | | | | | 0.04 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.11) | | | | | | (0.28) | | | | | | (0.27) | | | | | | (0.19) | | |
Net realized gain. | | | | | — | | | | | | — | | | | | | — | | | | | | (0.02) | | |
Total Distributions. | | | | | (0.11) | | | | | | (0.28) | | | | | | (0.27) | | | | | | (0.21) | | |
Net Asset Value, End of Period | | | | $ | 10.40 | | | | | $ | 10.42 | | | | | $ | 9.83 | | | | | $ | 9.83 | | |
Total Return(3) | | | | | 0.90%(4) | | | | | | 8.97% | | | | | | 2.77% | | | | | | 0.34%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 2,013 | | | | | $ | 1,896 | | | | | $ | 1,708 | | | | | $ | 1,500 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.87%(5) | | | | | | 0.88% | | | | | | 0.89% | | | | | | 0.90%(5) | | |
Net expenses(6) | | | | | 0.78%(5) | | | | | | 0.80% | | | | | | 0.81% | | | | | | 0.82%(5) | | |
Net investment income(6) | | | | | 2.35%(5) | | | | | | 2.80% | | | | | | 2.85% | | | | | | 2.22%(5) | | |
Portfolio Turnover Rate(7) | | | | | 37%(4) | | | | | | 43% | | | | | | 64% | | | | | | 170%(4) | | |
| | | Class Z | | |||||||||||||||
| | | 2020(1) | | | 2020 | | | 2019(1) | | |||||||||
Net asset value, Beginning of Period | | | | $ | 10.69 | | | | | $ | 10.08 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.13 | | | | | | 0.30 | | | | | | 0.20 | | |
Net realized and unrealized gain | | | | | (0.02) | | | | | | 0.61 | | | | | | 0.03 | | |
Total Income from Operations | | | | | 0.11 | | | | | | 0.91 | | | | | | 0.23 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.12) | | | | | | (0.30) | | | | | | (0.15) | | |
Total Distributions. | | | | | (0.12) | | | | | | (0.30) | | | | | | (0.15) | | |
Net Asset Value, End of Period | | | | $ | 10.68 | | | | | $ | 10.69 | | | | | $ | 10.08 | | |
Total Return(3) | | | | | 1.05%(4) | | | | | | 9.11% | | | | | | 2.29%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 110 | | | | | $ | 99 | | | | | $ | 29 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.72%(5) | | | | | | 0.73% | | | | | | 0.74%(5) | | |
Net expenses(6) | | | | | 0.63%(5) | | | | | | 0.65% | | | | | | 0.66%(5) | | |
Net investment income(6) | | | | | 2.50%(5) | | | | | | 2.90% | | | | | | 3.00%(5) | | |
Portfolio Turnover Rate(7) | | | | | 37%(4) | | | | | | 43% | | | | | | 64%(4) | | |
| | | Class I | | |||||||||||||||||||||
| | | 2020(1) | | | 2020 | | | 2019 | | | 2018(1) | | ||||||||||||
Net asset value, Beginning of Period | | | | $ | 9.75 | | | | | $ | 9.84 | | | | | $ | 9.90 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.19 | | | | | | 0.33 | | | | | | 0.35 | | | | | | 0.27 | | |
Net realized and unrealized gain | | | | | (0.28) | | | | | | (0.08) | | | | | | (0.08) | | | | | | (0.12) | | |
Total Income from Operations | | | | | (0.09) | | | | | | 0.25 | | | | | | 0.27 | | | | | | 0.15 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.18) | | | | | | (0.34) | | | | | | (0.33) | | | | | | (0.25) | | |
Total Distributions. | | | | | (0.18) | | | | | | (0.34) | | | | | | (0.33) | | | | | | (0.25) | | |
Net Asset Value, End of Period | | | | $ | 9.48 | | | | | $ | 9.75 | | | | | $ | 9.84 | | | | | $ | 9.90 | | |
Total Return(3) | | | | | (0.83)%(4) | | | | | | 2.59% | | | | | | 2.79% | | | | | | 1.52%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 360 | | | | | $ | 320 | | | | | $ | 386 | | | | | $ | 178 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.95%(5) | | | | | | 0.96% | | | | | | 0.97% | | | | | | 1.00%(5) | | |
Net expenses(6) | | | | | 0.94%(5) | | | | | | 0.94% | | | | | | 0.93% | | | | | | 0.94%(5) | | |
Net investment income(6) | | | | | 3.98%(5) | | | | | | 3.30% | | | | | | 3.51% | | | | | | 2.84%(5) | | |
Portfolio Turnover Rate(7) | | | | | 95%(4) | | | | | | 138% | | | | | | 120% | | | | | | 32%(4) | | |
| | | Class Z | | |||||||||||||||
| | | 2020(1) | | | 2020 | | | 2019(1) | | |||||||||
Net asset value, Beginning of Period | | | | $ | 9.94 | | | | | $ | 10.03 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.20 | | | | | | 0.34 | | | | | | 0.22 | | |
Net realized and unrealized gain | | | | | (0.28) | | | | | | (0.07) | | | | | | (0.03) | | |
Total Income from Operations | | | | | (0.08) | | | | | | 0.27 | | | | | | 0.19 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.19) | | | | | | (0.36) | | | | | | (0.16) | | |
Total Distributions. | | | | | (0.19) | | | | | | (0.36) | | | | | | (0.16) | | |
Net Asset Value, End of Period | | | | $ | 9.67 | | | | | $ | 9.94 | | | | | $ | 10.03 | | |
Total Return(3) | | | | | (0.74)%(4) | | | | | | 2.69% | | | | | | 1.82%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 17 | | | | | $ | 14 | | | | | $ | 6 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.80%(5) | | | | | | 0.82% | | | | | | 0.82%(5) | | |
Net expenses(6) | | | | | 0.79%(5) | | | | | | 0.81% | | | | | | 0.78%(5) | | |
Net investment income(6) | | | | | 4.13%(5) | | | | | | 3.40% | | | | | | 3.66%(5) | | |
Portfolio Turnover Rate(7) | | | | | 95%(4) | | | | | | 138% | | | | | | 120%(4) | | |
| | | Class I | | |||||||||||||||||||||
| | | 2020(1) | | | 2020 | | | 2019 | | | 2018(1) | | ||||||||||||
Net asset value, Beginning of Period | | | | $ | 9.83 | | | | | $ | 9.82 | | | | | $ | 9.99 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.21 | | | | | | 0.39 | | | | | | 0.38 | | | | | | 0.37 | | |
Net realized and unrealized gain | | | | | (0.22) | | | | | | 0.02 | | | | | | (0.18) | | | | | | (0.02) | | |
Total Income from Operations | | | | | (0.01) | | | | | | 0.41 | | | | | | 0.20 | | | | | | 0.35 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.21) | | | | | | (0.40) | | | | | | (0.37) | | | | | | (0.35) | | |
Net realized gain. | | | | | — | | | | | | — | | | | | | — | | | | | | (0.01) | | |
Total Distributions. | | | | | (0.21) | | | | | | (0.40) | | | | | | (0.37) | | | | | | (0.36) | | |
Net Asset Value, End of Period | | | | $ | 9.61 | | | | | $ | 9.83 | | | | | $ | 9.82 | | | | | $ | 9.99 | | |
Total Return(3) | | | | | 0.03%(4) | | | | | | 4.18% | | | | | | 2.20% | | | | | | 3.34%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 708 | | | | | $ | 733 | | | | | $ | 769 | | | | | $ | 601 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 1.10%(5) | | | | | | 1.11% | | | | | | 1.09% | | | | | | 1.10%(5) | | |
Net expenses(6)(7) | | | | | 0.99%(5) | | | | | | 1.00% | | | | | | 0.98% | | | | | | 0.99%(5) | | |
Net investment income(7) | | | | | 4.41%(5) | | | | | | 3.92% | | | | | | 3.90% | | | | | | 3.88%(5) | | |
Portfolio Turnover Rate(8) | | | | | 95%(4) | | | | | | 84% | | | | | | 79% | | | | | | 64%(4) | | |
(annualized) for the period ended August 31, 2020, for the year ended February 29, 2020 and the year ended February 28, 2019, respectively. Ratios include borrowing expense on short sales which represent less than 0.00% for the period ended August 31, 2020.
| | | Class Z | | |||||||||||||||
| | | 2020(1) | | | 2020 | | | 2019(1) | | |||||||||
Net asset value, Beginning of Period | | | | $ | 9.99 | | | | | $ | 9.98 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.22 | | | | | | 0.41 | | | | | | 0.26 | | |
Net realized and unrealized gain | | | | | (0.22) | | | | | | 0.01 | | | | | | (0.08) | | |
Total Income from Operations | | | | | 0.00 | | | | | | 0.42 | | | | | | 0.18 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.22) | | | | | | (0.41) | | | | | | (0.20) | | |
Net realized gain. | | | | | — | | | | | | — | | | | | | — | | |
Total Distributions. | | | | | (0.22) | | | | | | (0.41) | | | | | | (0.20) | | |
Net Asset Value, End of Period | | | | $ | 9.77 | | | | | $ | 9.99 | | | | | $ | 9.98 | | |
Total Return(3) | | | | | 0.11%(4) | | | | | | 4.26% | | | | | | 1.72%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 36 | | | | | $ | 34 | | | | | $ | 14 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 0.95%(5) | | | | | | 0.96% | | | | | | 0.94%(5) | | |
Net expenses(6)(7) | | | | | 0.84%(5) | | | | | | 0.85% | | | | | | 0.83%(5) | | |
Net investment income(7) | | | | | 4.56%(5) | | | | | | 4.06% | | | | | | 4.05%(5) | | |
Portfolio Turnover Rate(8) | | | | | 95%(4) | | | | | | 84% | | | | | | 79%(4) | | |
(annualized) for the period ended August 31, 2020, for the year ended February 29, 2020 and the period ended February 28, 2019, respectively. Ratios include borrowing expense on short sales which represent less than 0.00% for the period ended August 31, 2020.
| | | Class I | | |||||||||||||||||||||
| | | 2020(1) | | | 2020 | | | 2019 | | | 2018(1) | | ||||||||||||
Net asset value, Beginning of Period | | | | $ | 10.61 | | | | | $ | 10.11 | | | | | $ | 9.93 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.07 | | | | | | 0.16 | | | | | | 0.17 | | | | | | 0.08 | | |
Net realized and unrealized gain | | | | | (0.06) | | | | | | 0.58 | | | | | | 0.15 | | | | | | (0.09) | | |
Total Income from Operations | | | | | 0.01 | | | | | | 0.74 | | | | | | 0.32 | | | | | | (0.01) | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.09) | | | | | | (0.20) | | | | | | (0.14) | | | | | | (0.05) | | |
Net realized gain. | | | | | — | | | | | | (0.04) | | | | | | — | | | | | | (0.01) | | |
Total Distributions. | | | | | (0.09) | | | | | | (0.24) | | | | | | (0.14) | | | | | | (0.06) | | |
Net Asset Value, End of Period | | | | $ | 10.53 | | | | | $ | 10.61 | | | | | $ | 10.11 | | | | | $ | 9.93 | | |
Total Return(3) | | | | | 0.11%(4) | | | | | | 7.38% | | | | | | 3.30% | | | | | | (0.14)%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 855 | | | | | $ | 878 | | | | | $ | 862 | | | | | $ | 230 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.95%(5) | | | | | | 0.95% | | | | | | 0.95% | | | | | | 0.97%(5) | | |
Net expenses(6) | | | | | 0.80%(5) | | | | | | 0.80% | | | | | | 0.80% | | | | | | 0.80%(5) | | |
Net investment income(6) | | | | | 1.34%(5) | | | | | | 1.56% | | | | | | 1.71% | | | | | | 0.79%(5) | | |
Portfolio Turnover Rate(7) | | | | | 19%(4) | | | | | | 38% | | | | | | 84% | | | | | | 69%(4) | | |
| | | Class Z | | |||||||||||||||
| | | 2020(1) | | | 2020 | | | 2019(1) | | |||||||||
Net asset value, Beginning of Period | | | | $ | 10.64 | | | | | $ | 10.14 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.08 | | | | | | 0.18 | | | | | | 0.13 | | |
Net realized and unrealized gain | | | | | (0.07) | | | | | | 0.57 | | | | | | 0.11 | | |
Total Income from Operations | | | | | 0.01 | | | | | | 0.75 | | | | | | 0.24 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.10) | | | | | | (0.21) | | | | | | (0.10) | | |
Net realized gain. | | | | | — | | | | | | (0.04) | | | | | | — | | |
Total Distributions. | | | | | (0.10) | | | | | | (0.25) | | | | | | (0.10) | | |
Net Asset Value, End of Period | | | | $ | 10.55 | | | | | $ | 10.64 | | | | | $ | 10.14 | | |
Total Return(3) | | | | | 0.09%(4) | | | | | | 7.51% | | | | | | 2.42%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 21 | | | | | $ | 19 | | | | | $ | 12 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.80%(5) | | | | | | 0.80% | | | | | | 0.80%(5) | | |
Net expenses(6) | | | | | 0.65%(5) | | | | | | 0.65% | | | | | | 0.65%(5) | | |
Net investment income(6) | | | | | 1.49%(5) | | | | | | 1.71% | | | | | | 1.86%(5) | | |
Portfolio Turnover Rate(7) | | | | | 19%(4) | | | | | | 38% | | | | | | 84%(4) | | |
| | | Class I | | |||||||||||||||||||||
| | | 2020(1) | | | 2020 | | | 2019 | | | 2018(1) | | ||||||||||||
Net asset value, Beginning of Period | | | | $ | 9.67 | | | | | $ | 9.76 | | | | | $ | 10.20 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.09 | | | | | | 0.37 | | | | | | 0.40 | | | | | | 0.27 | | |
Net realized and unrealized gain | | | | | 0.08 | | | | | | (0.02) | | | | | | (0.32) | | | | | | 0.13 | | |
Total Income from Operations | | | | | 0.17 | | | | | | 0.35 | | | | | | 0.08 | | | | | | 0.40 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.08) | | | | | | (0.41) | | | | | | (0.35) | | | | | | (0.20) | | |
Net realized gain. | | | | | — | | | | | | (0.03) | | | | | | (0.17) | | | | | | — | | |
Total Distributions. | | | | | (0.08) | | | | | | (0.44) | | | | | | (0.52) | | | | | | (0.20) | | |
Net Asset Value, End of Period | | | | $ | 9.76 | | | | | $ | 9.67 | | | | | $ | 9.76 | | | | | $ | 10.20 | | |
Total Return(3) | | | | | 1.82%(4) | | | | | | 3.76% | | | | | | 1.10% | | | | | | 3.94%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 916 | | | | | $ | 888 | | | | | $ | 897 | | | | | $ | 909 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 1.80%(5) | | | | | | 1.73% | | | | | | 1.71% | | | | | | 1.73%(5) | | |
Net expenses(6)(7) | | | | | 1.42%(5) | | | | | | 1.34% | | | | | | 1.23% | | | | | | 1.25%(5) | | |
Net investment income(7) | | | | | 1.90%(5) | | | | | | 3.86% | | | | | | 4.01% | | | | | | 2.82%(5) | | |
Portfolio Turnover Rate(8) | | | | | 65%(4) | | | | | | 119% | | | | | | 109% | | | | | | 111%(4) | | |
(annualized) for the period ended August 31, 2020, for the year ended February 29, 2020, the year ended February 28, 2019 and the period ended February 28, 2018, respectively. Ratios include borrowing expense on short sales which represent less than 0.05% for the period ended August 31, 2020.
| | | Class Z | | |||||||||||||||
| | | 2020(1) | | | 2020 | | | 2019(1) | | |||||||||
Net asset value, Beginning of Period | | | | $ | 9.44 | | | | | $ | 9.54 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.09 | | | | | | 0.35 | | | | | | 0.31 | | |
Net realized and unrealized gain | | | | | 0.08 | | | | | | — | | | | | | (0.35) | | |
Total Income from Operations | | | | | 0.17 | | | | | | 0.35 | | | | | | (0.04) | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.08) | | | | | | (0.42) | | | | | | (0.25) | | |
Net realized gain. | | | | | — | | | | | | (0.03) | | | | | | (0.17) | | |
Total Distributions. | | | | | (0.08) | | | | | | (0.45) | | | | | | (0.42) | | |
Net Asset Value, End of Period | | | | $ | 9.53 | | | | | $ | 9.44 | | | | | $ | 9.54 | | |
Total Return(3) | | | | | 1.91%(4) | | | | | | 3.87% | | | | | | (0.21)%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 46 | | | | | $ | 41 | | | | | $ | 15 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 1.65%(5) | | | | | | 1.59% | | | | | | 1.56%(5) | | |
Net expenses(6)(7) | | | | | 1.27%(5) | | | | | | 1.20% | | | | | | 1.08%(5) | | |
Net investment income(7) | | | | | 2.04%(5) | | | | | | 3.75% | | | | | | 4.16%(5) | | |
Portfolio Turnover Rate(8) | | | | | 65%(4) | | | | | | 119% | | | | | | 109%(4) | | |
(annualized) for the period ended August 31, 2020, for the year ended February 29, 2020 and the period ended February 28, 2019, respectively. Ratios include borrowing expense on short sales which represent less than 0.05% for the period ended August 31, 2020.
| | | Total Fair Value at August 31, 2020 | | | 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 | | | | $ | 114,957,067 | | | | | $ | 114,957,067 | | | | | $ | — | | | | | $ | — | | |
Communications | | | | | 817,869,361 | | | | | | 817,869,361 | | | | | | — | | | | | | — | | |
Consumer Cyclical | | | | | 315,342,982 | | | | | | 315,342,982 | | | | | | — | | | | | | — | | |
Consumer Non-cyclical | | | | | 1,123,505,187 | | | | | | 1,123,505,187 | | | | | | — | | | | | | — | | |
Energy | | | | | 75,542,438 | | | | | | 75,542,438 | | | | | | — | | | | | | — | | |
Financial | | | | | 518,888,650 | | | | | | 516,580,356 | | | | | | — | | | | | | 2,308,294 | | |
| | | Total Fair Value atAugust 31, 2020 | | | 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) | | ||||||||||||||||||||||||
Common Stocks: (continued) | | ||||||||||||||||||||||||
Industrial | | | | | 349,319,078 | | | | | | 349,319,078 | | | | | | — | | | | | | — | | |
Technology | | | | | 981,419,640 | | | | | | 979,366,866 | | | | | | — | | | | | | 2,052,774 | | |
Utilities | | | | | 65,935,070 | | | | | | 65,935,070 | | | | | | — | | | | | | — | | |
Preferred Stocks | | | | | 13,746,911 | | | | | | — | | | | | | — | | | | | | 13,746,911 | | |
Short-Term Investments: | | ||||||||||||||||||||||||
Time Deposits | | | | | 48,878,552 | | | | | | — | | | | | | 48,878,552 | | | | | | — | | |
Money Market Fund | | | | | 6,728,123 | | | | | | 6,728,123 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 4,432,133,059 | | | | | $ | 4,365,146,528 | | | | | $ | 48,878,552 | | | | | $ | 18,107,979 | | |
Other Financial Instruments – Asset | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures Contract | | | | $ | 875,946 | | | | | $ | 875,946 | | | | | $ | — | | | | | $ | — | | |
Total Other Financial Instruments – Assets | | | | $ | 875,946 | | | | | $ | 875,946 | | | | | $ | — | | | | | $ | — | | |
Destinations Small-Mid Cap Equity Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Common Stocks | | | | $ | 905,757,909 | | | | | $ | 905,757,909 | | | | | $ | — | | | | | $ | — | | |
Exchange Traded Funds (ETFs) | | | | | 28,731,438 | | | | | | 28,731,438 | | | | | | — | | | | | | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 13,811,861 | | | | | | — | | | | | | 13,811,861 | | | | | | — | | |
Money Market Fund | | | | | 15,585,626 | | | | | | 15,585,626 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 963,886,834 | | | | | $ | 950,074,973 | | | | | $ | 13,811,861 | | | | | $ | — | | |
Destinations International Equity Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Common Stocks: | | ||||||||||||||||||||||||
Australia | | | | $ | 21,311,838 | | | | | $ | — | | | | | $ | 21,311,838 | | | | | $ | — | | |
Austria | | | | | 4,129,648 | | | | | | — | | | | | | 4,129,648 | | | | | | — | | |
Belgium | | | | | 2,224,688 | | | | | | — | | | | | | 2,224,688 | | | | | | — | | |
Bermuda | | | | | 7,275,637 | | | | | | 2,008,086 | | | | | | 5,267,551 | | | | | | — | | |
Brazil | | | | | 38,789,270 | | | | | | 22,279,802 | | | | | | 16,509,468 | | | | | | — | | |
Canada | | | | | 31,102,269 | | | | | | 31,102,269 | | | | | | — | | | | | | — | | |
China | | | | | 237,554,112 | | | | | | 81,169,108 | | | | | | 156,367,216 | | | | | | 17,788 | | |
Denmark | | | | | 12,220,246 | | | | | | — | | | | | | 12,220,246 | | | | | | — | | |
Egypt | | | | | 10,599,674 | | | | | | — | | | | | | 10,599,674 | | | | | | — | | |
Finland | | | | | 760,278 | | | | | | — | | | | | | 760,278 | | | | | | — | | |
France | | | | | 132,403,735 | | | | | | — | | | | | | 132,403,735 | | | | | | — | | |
Germany | | | | | 120,777,120 | | | | | | — | | | | | | 120,777,120 | | | | | | — | | |
Greece | | | | | 4,954,388 | | | | | | — | | | | | | 4,954,388 | | | | | | — | | |
Hong Kong | | | | | 31,968,736 | | | | | | 1,260,628 | | | | | | 30,708,108 | | | | | | — | | |
Hungary | | | | | 432,326 | | | | | | — | | | | | | 432,326 | | | | | | — | | |
India | | | | | 151,373,508 | | | | | | 1,567,972 | | | | | | 149,277,958 | | | | | | 527,578 | | |
Indonesia | | | | | 20,777,631 | | | | | | — | | | | | | 20,777,631 | | | | | | — | | |
Ireland | | | | | 15,756,062 | | | | | | 3,729,490 | | | | | | 12,026,572 | | | | | | — | | |
Israel | | | | | 8,930,256 | | | | | | 5,458,315 | | | | | | 3,471,941 | | | | | | — | | |
Italy | | | | | 14,750,494 | | | | | | — | | | | | | 14,750,494 | | | | | | — | | |
Japan | | | | | 341,921,102 | | | | | | — | | | | | | 341,921,102 | | | | | | — | | |
Malaysia | | | | | 2,451,465 | | | | | | — | | | | | | 2,451,465 | | | | | | — | | |
Mexico | | | | | 20,589,520 | | | | | | 1,989,811 | | | | | | 18,599,709 | | | | | | — | | |
| | | Total Fair Value atAugust 31, 2020 | | | 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) | | ||||||||||||||||||||||||
Netherlands | | | | | 56,098,964 | | | | | | 10,124,893 | | | | | | 45,974,071 | | | | | | — | | |
Norway | | | | | 10,517,627 | | | | | | — | | | | | | 10,517,627 | | | | | | — | | |
Peru | | | | | 3,120,299 | | | | | | 3,120,299 | | | | | | — | | | | | | — | | |
Philippines | | | | | 12,953,919 | | | | | | — | | | | | | 12,953,919 | | | | | | — | | |
Poland | | | | | 3,066,919 | | | | | | — | | | | | | 3,066,919 | | | | | | — | | |
Portugal | | | | | 13,235,294 | | | | | | — | | | | | | 13,235,294 | | | | | | — | | |
Russia | | | | | 19,698,672 | | | | | | 14,928,383 | | | | | | 4,770,289 | | | | | | — | | |
Singapore | | | | | 4,557,403 | | | | | | — | | | | | | 4,557,403 | | | | | | — | | |
South Africa | | | | | 18,306,894 | | | | | | — | | | | | | 18,306,894 | | | | | | — | | |
South Korea | | | | | 68,575,647 | | | | | | — | | | | | | 68,575,647 | | | | | | — | | |
Spain | | | | | 11,651,842 | | | | | | — | | | | | | 11,651,842 | | | | | | — | | |
Sweden | | | | | 46,582,274 | | | | | | — | | | | | | 46,582,274 | | | | | | — | | |
Switzerland | | | | | 117,742,516 | | | | | | — | | | | | | 117,742,516 | | | | | | — | | |
Taiwan | | | | | 82,381,301 | | | | | | 33,515,142 | | | | | | 48,866,159 | | | | | | — | | |
Thailand | | | | | 13,002,824 | | | | | | — | | | | | | 13,002,824 | | | | | | — | | |
United Arab Emirates | | | | | 7,415,078 | | | | | | — | | | | | | 7,415,078 | | | | | | — | | |
United Kingdom | | | | | 170,536,501 | | | | | | 2,195,236 | | | | | | 168,337,126 | | | | | | 4,139 | | |
United States | | | | | 76,279,165 | | | | | | 76,279,165 | | | | | | — | | | | | | — | | |
Exchange Traded Funds (ETFs) | | | | | 60,045,002 | | | | | | 60,045,002 | | | | | | — | | | | | | — | | |
Preferred Stock | | | | | 793,594 | | | | | | — | | | | | | — | | | | | | 793,594 | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 62,562,354 | | | | | | — | | | | | | 62,562,354 | | | | | | — | | |
Money Market Fund | | | | | 39,244,796 | | | | | | 39,244,796 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 2,131,422,888 | | | | | $ | 390,018,397 | | | | | $ | 1,740,061,392 | | | | | $ | 1,343,099 | | |
Other Financial Instruments – Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Options Contracts Written | | | | $ | (182,656) | | | | | $ | (107,723) | | | | | $ | (74,933) | | | | | $ | — | | |
Forward Foreign Currency Contracts | | | | | (8,389) | | | | | | — | | | | | | (8,389) | | | | | | — | | |
Total Other Financial Instruments – Liabilities | | | | $ | (191,045) | | | | | $ | (107,723) | | | | | $ | (83,322) | | | | | $ | — | | |
Destinations Equity Income Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Common Stocks | | | | $ | 329,828,991 | | | | | $ | 329,828,991 | | | | | $ | — | | | | | $ | — | | |
Convertible Preferred Stocks | | | | | 5,720,439 | | | | | | 5,720,439 | | | | | | — | | | | | | — | | |
Equity Linked Note | | | | | 952,032 | | | | | | — | | | | | | 952,032 | | | | | | — | | |
Exchange Traded Funds (ETFs) | | | | | 38,221,519 | | | | | | 38,221,519 | | | | | | — | | | | | | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 6,692,796 | | | | | | — | | | | | | 6,692,796 | | | | | | — | | |
Money Market Fund | | | | | 959,784 | | | | | | 959,784 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 382,375,561 | | | | | $ | 374,730,733 | | | | | $ | 7,644,828 | | | | | $ | — | | |
Destinations Real Assets Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Exchange Traded Funds (ETFs) | | | | $ | 13,305 | | | | | $ | 13,305 | | | | | $ | — | | | | | $ | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposit | | | | | 16,015 | | | | | | — | | | | | | 16,015 | | | | | | — | | |
Total Investments, at value | | | | $ | 29,320 | | | | | $ | 13,305 | | | | | $ | 16,015 | | | | | $ | — | | |
|
| | | Total Fair Value atAugust 31, 2020 | | | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | | ||||||||||||
Destinations Core Fixed Income Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
U.S. Government Agencies & Obligations | | | | $ | 500,159,290 | | | | | $ | — | | | | | $ | 500,159,290 | | | | | $ | — | | |
Mortgage-Backed Securities | | | | | 424,894,977 | | | | | | — | | | | | | 424,894,977 | | | | | | — | | |
Corporate Bonds & Notes | | | | | 406,005,865 | | | | | | — | | | | | | 406,005,865 | | | | | | — | | |
Collateralized Mortgage Obligations | | | | | 397,476,848 | | | | | | — | | | | | | 397,476,848 | | | | | | — | | |
Asset-Backed Securities | | | | | 170,021,923 | | | | | | — | | | | | | 170,021,923 | | | | | | — | | |
Senior Loans | | | | | 39,879,733 | | | | | | — | | | | | | 39,879,733 | | | | | | — | | |
Sovereign Bonds | | | | | 25,278,104 | | | | | | — | | | | | | 25,278,104 | | | | | | — | | |
Municipal Bonds | | | | | 5,015,549 | | | | | | — | | | | | | 5,015,549 | | | | | | — | | |
Open-End Fund | | | | | 22,427,633 | | | | | | 22,427,633 | | | | | | — | | | | | | — | | |
Common Stocks: | | | | | | | | | | | | | | | | | | | | | | | | | |
Diversified | | | | | 27,078 | | | | | | — | | | | | | — | | | | | | 27,078 | | |
Energy | | | | | 6,160 | | | | | | 1,997 | | | | | | 4,163 | | | | | | — | | |
Industrial | | | | | 9,121 | | | | | | 9,121 | | | | | | — | | | | | | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 103,788,386 | | | | | | — | | | | | | 103,788,386 | | | | | | — | | |
U.S. Government Obligations | | | | | 80,679,171 | | | | | | — | | | | | | 80,679,171 | | | | | | — | | |
Total Investments, at value | | | | $ | 2,175,669,838 | | | | | $ | 22,438,751 | | | | | $ | 2,153,204,009 | | | | | $ | 27,078 | | |
Destinations Low Duration Fixed Income Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Corporate Bonds & Notes | | | | $ | 188,958,161 | | | | | $ | — | | | | | $ | 188,958,161 | | | | | $ | — | | |
Senior Loans | | | | | 57,619,115 | | | | | | — | | | | | | 52,858,093 | | | | | | 4,761,022 | | |
Asset-Backed Securities | | | | | 25,000,010 | | | | | | — | | | | | | 25,000,010 | | | | | | — | | |
Collateralized Mortgage Obligations | | | | | 20,147,269 | | | | | | — | | | | | | 20,147,269 | | | | | | — | | |
Municipal Bonds | | | | | 6,487,930 | | | | | | — | | | | | | 6,487,930 | | | | | | — | | |
U.S. Government Agencies & Obligations | | | | | 5,321,978 | | | | | | — | | | | | | 5,321,978 | | | | | | — | | |
Mortgage-Backed Securities | | | | | 2,367,706 | | | | | | — | | | | | | 2,367,706 | | | | | | — | | |
Sovereign Bonds | | | | | 1,611,923 | | | | | | — | | | | | | 1,611,923 | | | | | | — | | |
Exchange Traded Fund (ETF) | | | | | 20,326,576 | | | | | | 20,326,576 | | | | | | — | | | | | | — | | |
Common Stocks: | | | | | | | | | | | | | | | | | | | | | | | | | |
Basic Materials | | | | | 201,059 | | | | | | — | | | | | | — | | | | | | 201,059 | | |
Communications | | | | | 1,754 | | | | | | — | | | | | | — | | | | | | 1,754 | | |
Diversified | | | | | 3,093,364 | | | | | | 3,093,364 | | | | | | — | | | | | | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Commercial Paper | | | | | 5,373,935 | | | | | | — | | | | | | 5,373,935 | | | | | | — | | |
Time Deposits | | | | | 53,925,163 | | | | | | — | | | | | | 53,925,163 | | | | | | — | | |
Money Market Fund | | | | | 6,567,375 | | | | | | 6,567,375 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 397,003,318 | | | | | $ | 29,987,315 | | | | | $ | 362,052,168 | | | | | $ | 4,963,835 | | |
Other Financial Instruments – Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contract | | | | $ | 3,778 | | | | | $ | — | | | | | $ | 3,778 | | | | | $ | — | | |
Total Other Financial Instruments – Assets | | | | $ | 3,778 | | | | | $ | — | | | | | $ | 3,778 | | | | | $ | — | | |
Other Financial Instruments – Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $$ | (379,740)) | | | | | $ | — | | | | | $$ | (379,740) | | | | | $ | — | | |
Total Other Financial Instruments – Liabilities | | | | $$ | (379,740) | | | | | $ | — | | | | | $$ | (379,740) | | | | | $ | — | | |
Destinations Global Fixed Income Opportunities Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Corporate Bonds & Notes | | | | | | | | | | | | | | | | | | | | | | | | | |
Australia | | | | $ | 2,335,667 | | | | | $ | — | | | | | $ | 2,335,667 | | | | | $ | — | | |
| | | Total Fair Value atAugust 31, 2020 | | | 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) | | ||||||||||||||||||||||||
Bahamas | | | | | 3,631,061 | | | | | | — | | | | | | 3,631,061 | | | | | | — | | |
Bermuda | | | | | 9,837,383 | | | | | | — | | | | | | 9,837,383 | | | | | | — | | |
Brazil | | | | | 10,256,761 | | | | | | — | | | | | | 10,256,761 | | | | | | — | | |
British Virgin Islands | | | | | 24,152,075 | | | | | | — | | | | | | 24,152,075 | | | | | | — | | |
Canada | | | | | 5,866,326 | | | | | | — | | | | | | 5,866,326 | | | | | | — | | |
Cayman Islands | | | | | 27,772,405 | | | | | | — | | | | | | 27,772,405 | | | | | | — | | |
Chile | | | | | 19,606,186 | | | | | | — | | | | | | 19,606,186 | | | | | | — | | |
Colombia | | | | | 9,544,549 | | | | | | — | | | | | | 9,544,549 | | | | | | — | | |
Denmark | | | | | 589,793 | | | | | | — | | | | | | 589,793 | | | | | | — | | |
Dominican Republic | | | | | 1,112,375 | | | | | | — | | | | | | 1,112,375 | | | | | | — | | |
France | | | | | 3,194,312 | | | | | | — | | | | | | 3,194,312 | | | | | | — | | |
Germany | | | | | 3,084,414 | | | | | | — | | | | | | 3,084,414 | | | | | | — | | |
Hong Kong | | | | | 6,212,351 | | | | | | — | | | | | | 6,212,351 | | | | | | — | | |
India | | | | | 17,616,067 | | | | | | — | | | | | | 17,616,067 | | | | | | — | | |
Indonesia | | | | | 1,048,000 | | | | | | — | | | | | | 1,048,000 | | | | | | — | | |
Ireland | | | | | 1,814,750 | | | | | | — | | | | | | 1,814,750 | | | | | | — | | |
Israel | | | | | 1,186,004 | | | | | | — | | | | | | 1,186,004 | | | | | | — | | |
Italy | | | | | 13,068,262 | | | | | | — | | | | | | 13,068,262 | | | | | | — | | |
Luxembourg | | | | | 456,974 | | | | | | — | | | | | | 456,974 | | | | | | — | | |
Malaysia | | | | | 11,734,223 | | | | | | — | | | | | | 11,734,223 | | | | | | — | | |
Marshall Island | | | | | 4,850,751 | | | | | | — | | | | | | 4,278,400 | | | | | | 572,351 | | |
Mauritius | | | | | 3,026,315 | | | | | | — | | | | | | 3,026,315 | | | | | | — | | |
Mexico | | | | | 25,123,871 | | | | | | — | | | | | | 25,123,871 | | | | | | — | | |
Multinational | | | | | 11,236,697 | | | | | | — | | | | | | 11,236,697 | | | | | | — | | |
Netherlands | | | | | 8,403,537 | | | | | | — | | | | | | 8,403,537 | | | | | | — | | |
Norway | | | | | 2,084,347 | | | | | | — | | | | | | 2,084,347 | | | | | | — | | |
Panama | | | | | 11,635,460 | | | | | | — | | | | | | 11,635,460 | | | | | | — | | |
Peru | | | | | 4,847,260 | | | | | | — | | | | | | 4,847,260 | | | | | | — | | |
Philippines | | | | | 4,641,260 | | | | | | — | | | | | | 4,641,260 | | | | | | — | | |
Portugal | | | | | 2,996 | | | | | | — | | | | | | — | | | | | | 2,996 | | |
Saudi Arabia | | | | | 2,155,768 | | | | | | — | | | | | | 2,155,768 | | | | | | — | | |
Singapore | | | | | 28,544,268 | | | | | | — | | | | | | 28,544,268 | | | | | | — | | |
South Korea | | | | | 12,295,524 | | | | | | — | | | | | | 12,295,524 | | | | | | — | | |
Sweden | | | | | 442,210 | | | | | | — | | | | | | 442,210 | | | | | | — | | |
Switzerland | | | | | 3,164,313 | | | | | | — | | | | | | 3,164,313 | | | | | | — | | |
Thailand | | | | | 3,199,016 | | | | | | — | | | | | | 3,199,016 | | | | | | — | | |
United Kingdom | | | | | 13,376,775 | | | | | | — | | | | | | 13,376,775 | | | | | | — | | |
United States | | | | | 183,287,802 | | | | | | — | | | | | | 183,287,802 | | | | | | — | | |
Senior Loans | | | | | 54,518,864 | | | | | | — | | | | | | 53,374,503 | | | | | | 1,144,361 | | |
Sovereign Bonds | | | | | 47,742,400 | | | | | | — | | | | | | 47,742,400 | | | | | | — | | |
Municipal Bonds | | | | | 7,089,820 | | | | | | — | | | | | | 7,089,820 | | | | | | — | | |
Preferred Stocks: | | | | | | | | | | | | | | | | | | | | | | | | | |
Bermuda | | | | | 1,992,442 | | | | | | 1,992,442 | | | | | | — | | | | | | — | | |
United States | | | | | 12,853,836 | | | | | | 11,763,336 | | | | | | 1,090,500 | | | | | | — | | |
Common Stocks: | | | | | | | | | | | | | | | | | | | | | | | | | |
Canada | | | | | 44,423 | | | | | | 44,423 | | | | | | — | | | | | | — | | |
United States | | | | | 32,940,908 | | | | | | 29,162,273 | | | | | | — | | | | | | 3,778,635 | | |
Convertible Preferred Stock | | | | | 1,295,216 | | | | | | 1,295,216 | | | | | | — | | | | | | — | | |
Exchange Traded Fund (ETF) | | | | | 1,113,808 | | | | | | 1,113,808 | | | | | | — | | | | | | — | | |
| | | Total Fair Value atAugust 31, 2020 | | | 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) | | ||||||||||||||||||||||||
Warrants: | | | | | | | | | | | | | | | | | | | | | | | | | |
Bermuda | | | | | 204,473 | | | | | | — | | | | | | 204,473 | | | | | | — | | |
Brazil | | | | | —* | | | | | | — | | | | | | — | | | | | | —* | | |
United States | | | | | 19,380 | | | | | | 19,380 | | | | | | — | | | | | | — | | |
Purchased Options | | | | | | | | | | | | | | | | | | | | | | | | | |
United States | | | | | 273,510 | | | | | | 250,580 | | | | | | 22,930 | | | | | | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Commercial Papers | | | | | 18,995,838 | | | | | | — | | | | | | 18,995,838 | | | | | | — | | |
Time Deposits | | | | | 74,605,334 | | | | | | — | | | | | | 74,605,334 | | | | | | — | | |
Money Market Fund | | | | | 11,580 | | | | | | 11,580 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 750,139,940 | | | | | $ | 45,653,038 | | | | | $ | 698,988,559 | | | | | $ | 5,498,343 | | |
Other Financial Instruments – Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contract | | | | $ | (355,799) | | | | | $ | — | | | | | $ | (355,799) | | | | | $ | — | | |
Options Contracts Written | | | | | (214,640) | | | | | | (94,982) | | | | | | (119,658) | | | | | | — | | |
Securities Sold Short: | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | | | | (811,439) | | | | | | (811,439) | | | | | | — | | | | | | — | | |
Corporate Bonds & Notes | | | | | (4,124,950) | | | | | | — | | | | | | (4,124,950) | | | | | | — | | |
Total Other Financial Instruments – Liabilities | | | | $ | (5,506,828) | | | | | $ | (906,421) | | | | | $ | (4,600,407) | | | | | $ | — | | |
Destinations Municipal Fixed Income Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Municipal Bonds | | | | $ | 767,112,563 | | | | | $ | — | | | | | $ | 767,112,563 | | | | | $ | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 84,755,333 | | | | | | — | | | | | | 84,755,333 | | | | | | — | | |
Municipal Bonds | | | | | 43,735,375 | | | | | | — | | | | | | 43,735,375 | | | | | | — | | |
Total Investments, at value | | | | $ | 895,603,271 | | | | | $ | — | | | | | $ | 895,603,271 | | | | | $ | — | | |
Destinations Multi Strategy Alternatives Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Collateralized Mortgage Obligations | | | | $ | 170,840,319 | | | | | $ | — | | | | | $ | 170,840,319 | | | | | $ | — | | |
Corporate Bonds & Notes: | | | | | | | | | | | | | | | | | | | | | | | | | |
Communications | | | | | 21,347,079 | | | | | | — | | | | | | 21,347,079 | | | | | | — | | |
Consumer Cyclical | | | | | 6,162,300 | | | | | | — | | | | | | 6,162,300 | | | | | | — | | |
Consumer Non-cyclical | | | | | 6,777,871 | | | | | | — | | | | | | 6,777,871 | | | | | | — | | |
Energy | | | | | 4,166,586 | | | | | | — | | | | | | 4,166,586 | | | | | | — | | |
Financial | | | | | 37,824,381 | | | | | | 2,309,090 | | | | | | 35,515,291 | | | | | | — | | |
Industrial | | | | | 3,412,064 | | | | | | — | | | | | | 3,412,064 | | | | | | — | | |
Asset-Backed Securities | | | | | 78,256,864 | | | | | | — | | | | | | 78,256,864 | | | | | | — | | |
Common Stocks | | | | | | | | | | | | | | | | | | | | | | | | | |
Communications | | | | | 11,637,048 | | | | | | 11,637,048 | | | | | | — | | | | | | — | | |
Consumer cyclical | | | | | 4,193,665 | | | | | | 4,193,665 | | | | | | — | | | | | | — | | |
Consumer Non-cyclical | | | | | 105,252,977 | | | | | | 105,252,977 | | | | | | — | | | | | | — | | |
Diversified | | | | | 49,946,411 | | | | | | 49,946,411 | | | | | | — | | | | | | — | | |
Financial | | | | | 37,956,591 | | | | | | 37,956,591 | | | | | | — | | | | | | — | | |
Utilities | | | | | 7,003,220 | | | | | | 7,003,220 | | | | | | — | | | | | | — | | |
Open-End Fund | | | | | 112,248,288 | | | | | | 112,248,288 | | | | | | — | | | | | | — | | |
Closed-End Funds | | | | | 107,087,565 | | | | | | 107,087,565 | | | | | | — | | | | | | — | | |
Preferred Stocks: | | | | | | | | | | | | | | | | | | | | | | | | | |
Financial | | | | | 11,996,377 | | | | | | 10,923,233 | | | | | | 1,073,144 | | | | | | — | | |
| | | Total Fair Value atAugust 31, 2020 | | | 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) | | ||||||||||||||||||||||||
Investments, at value (continued) | | ||||||||||||||||||||||||
Warrants | | | | | | | | | | | | | | | | | | | | | | | | | |
Consumer Cyclical | | | | $ | 23,927 | | | | | $ | 23,927 | | | | | $ | — | | | | | $ | — | | |
Diversified | | | | | 1,957,080 | | | | | | 1,957,080 | | | | | | — | | | | | | — | | |
Energy | | | | | 9,652 | | | | | | 9,652 | | | | | | — | | | | | | — | | |
Financial | | | | | 96,462 | | | | | | 96,462 | | | | | | — | | | | | | — | | |
Technology | | | | | 3,997 | | | | | | 3,997 | | | | | | — | | | | | | — | | |
Rights | | | | | 194,418 | | | | | | 194,418 | | | | | | — | | | | | | — | | |
Purchased Swaption | | | | | 2,615,360 | | | | | | — | | | | | | 2,615,360 | | | | | | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 167,787,822 | | | | | | — | | | | | | 167,787,822 | | | | | | — | | |
Money Market Fund | | | | | 9,658,436 | | | | | | 9,658,436 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 958,456,760 | | | | | $ | 460,502,060 | | | | | $ | 497,954,700 | | | | | $ | — | | |
Other Financial Instruments – Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Credit Default Swaps | | | | $ | 4,460,622 | | | | | $ | — | | | | | $ | 4,460,622 | | | | | $ | — | | |
Total Other Financial Instruments – Assets | | | | $ | 4,460,622 | | | | | $ | — | | | | | $ | 4,460,622 | | | | | $ | — | | |
Other Financial Instruments – Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Credit Default Swaps | | | | $ | (73,308) | | | | | $ | — | | | | | $ | (73,308) | | | | | $ | — | | |
Swaption Contracts Written | | | | | (2,045,280) | | | | | | — | | | | | | (2,045,280) | | | | | | — | | |
Securities Sold Short: | | | | | | | | | | | | | | | | | | | | | | | | | |
Exchange Traded Funds (ETFs) | | | | | (60,863,852) | | | | | | (60,863,852) | | | | | | — | | | | | | — | | |
Common Stocks | | | | | (4,130,408) | | | | | | (4,130,408) | | | | | | — | | | | | | — | | |
Corporate Bonds & Notes | | | | | (4,511,044) | | | | | | — | | | | | | (4,511,044) | | | | | | — | | |
Total Other Financial Instruments – Liabilities | | | | $ | (71,623,892) | | | | | $ | (64,994,260) | | | | | $ | (6,629,632) | | | | | $ | — | | |
|
| | | Total | | | Common Stocks | | | Corporate Bonds & Notes | | | Preferred Stocks | | | Senior Loans | | | Warrants | | | Municipal Bonds | | |||||||||||||||||||||
Destinations Large Cap Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of February 29, 2020 | | | | $ | 7,412,866 | | | | | $ | 2,130,232 | | | | | $ | — | | | | | $ | 5,282,634 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Purchases | | | | | 9,314,684 | | | | | | 2,064,452 | | | | | | — | | | | | | 7,250,232 | | | | | | — | | | | | | — | | | | | | — | | |
(Sales/Paydowns) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total realized gain (loss) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Change in unrealized appreciation (depreciation) | | | | | 1,380,429 | | | | | | 166,384 | | | | | | — | | | | | | 1,214,045 | | | | | | — | | | | | | — | | | | | | — | | |
Transfers In | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Balance as of August 31, 2020 | | | | $ | 18,107,979 | | | | | $ | 4,361,068 | | | | | $ | — | | | | | $ | 13,746,911 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2020 | | | | $ | 1,380,429 | | | | | $ | 166,384 | | | | | $ | — | | | | | $ | 1,214,045 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
| | | Total | | | Common Stocks | | | Corporate Bonds & Notes | | | Preferred Stocks | | | Senior Loans | | | Warrants | | | MunicipalBonds | | |||||||||||||||||||||
Destinations International Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of February 29, 2020 | | | | $ | 1,330,359 | | | | | $ | 536,765 | | | | | $ | — | | | | | $ | 793,594 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Purchases | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
(Sales/Paydowns) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total realized gain (loss) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Change in unrealized appreciation (depreciation) | | | | | 12,740 | | | | | | 12,740 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers In | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Balance as of August 31, 2020 | | | | $ | 1,343,099 | | | | | $ | 549,505 | | | | | $ | — | | | | | $ | 793,594 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2020 | | | | $ | 12,740 | | | | | $ | 12,740 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Destinations Core Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of February 29, 2020 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Purchases | | | | | 14,975 | | | | | | 14,975 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
(Sales/Paydowns) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Accrued Discounts (premiums) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total realized gain (loss) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Change in unrealized appreciation (depreciation) | | | | | 12,103 | | | | | | 12,103 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers In | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Balance as of August 31, 2020 | | | | $ | 27,078 | | | | | $ | 27,078 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2020 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Destinations Low Duration Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of February 29, 2020 | | | | $ | 4,962,081 | | | | | $ | 201,059 | | | | | $ | — | | | | | $ | — | | | | | $ | 4,761,022 | | | | | $ | — | | | | | $ | — | | |
Purchases | | | | | 819,890 | | | | | | 819,890 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
(Sales/Paydowns) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Accrued Discounts (premiums) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total realized gain (loss) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Change in unrealized appreciation (depreciation) | | | | | (818,136) | | | | | | (818,136) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers In | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Balance as of August 31, 2020 | | | | $ | 4,963,835 | | | | | $ | 202,813 | | | | | $ | — | | | | | $ | — | | | | | $ | 4,761,022* | | | | | $ | — | | | | | $ | — | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2020 | | | | $ | (818,136) | | | | | $ | (818,136) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
| | | Fair Value at August 31, 2020 | | | Valuation technique | | | Unobservable Input | | | Range | | ||||||
Senior Loans | | | | $ | 4,761,022 | | | | Transaction Analysis | | | Transaction Price | | | | $ | 99.9375 | | |
| | | Total | | | Common Stocks | | | Corporate Bonds & Notes | | | Preferred Stocks | | | Senior Loans | | | Warrants | | | Municipal Bonds | | |||||||||||||||||||||
Destinations Global Fixed Income Opportunities Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of February 29, 2020 | | | | $ | 6,455,082 | | | | | $ | 4,229,139 | | | | | $ | 1,156,106 | | | | | $ | — | | | | | $ | 1,069,837 | | | | | $ | — | | | | | $ | — | | |
Purchases | | | | | 3,278,723 | | | | | | 2,646,219 | | | | | | 557,980 | | | | | | — | | | | | | 74,524 | | | | | | —* | | | | | | — | | |
(Sales/Paydowns) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Accrued Discounts (premiums) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total realized gain (loss) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Change in unrealized appreciation (depreciation) | | | | | (3,070,373) | | | | | | (3,096,723) | | | | | | 26,350 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers In | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | (1,165,089) | | | | | | — | | | | | | (1,165,089) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Balance as of August 31, 2020 | | | | $ | 5,498,343 | | | | | $ | 3,778,635 | | | | | $ | 575,347 | | | | | $ | — | | | | | $ | 1,144,361 | | | | | $ | —* | | | | | $ | — | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2020 | | | | $ | (3,070,373) | | | | | $ | (3,096,723) | | | | | $ | 26,350 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
| Destinations Multi Strategy Alternatives Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Balance as of February 29, 2020 | | | | $ | 942,645 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 942,475 | | | | | $ | 170 | | |
| Purchases | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
| (Sales/Paydowns) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
| Accrued Discounts (premiums) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
| Total realized gain (loss) | | | | | (5,584,466) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (5,584,454) | | | | | | (12) | | |
| Change in unrealized appreciation (depreciation) | | | | | 4,641,821 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 4,641,979 | | | | | | (158) | | |
| Transfers In | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
| Transfers Out | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
| Balance as of August 31, 2020 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
| Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2020 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Asset derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts(a) | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 875,946 | | | | | $ | 875,946 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 875,946 | | | | | $ | 875,946 | | |
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 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (255,380) | | | | | $ | (255,380) | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (255,380) | | | | | $ | (255,380) | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on futures contracts | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 1,679,978 | | | | | $ | 1,679,978 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 1,679,978 | | | | | $ | 1,679,978 | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Liability derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Options contracts written outstanding(d) | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 182,656 | | | | | $ | 182,656 | | |
Unrealized depreciation on forward foreign currency contracts(e) | | | | | — | | | | | | 8,389 | | | | | | — | | | | | | — | | | | | | 8,389 | | |
| | | | $ | — | | | | | $ | 8,389 | | | | | $ | — | | | | | $ | 182,656 | | | | | $ | 191,045 | | |
|
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 options contracts written | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 214,958 | | | | | $ | 214,958 | | |
Net realized gain (loss) on forward foreign currency contracts | | | | | — | | | | | | (855,785) | | | | | | — | | | | | | — | | | | | | (855,785) | | |
| | | | $ | — | | | | | $ | (855,785) | | | | | $ | — | | | | | $ | 214,958 | | | | | $ | (640,827) | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on options contracts written | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (99,093) | | | | | $ | (99,093) | | |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | | | | | — | | | | | | 583,111 | | | | | | — | | | | | | — | | | | | | 583,111 | | |
| | | | $ | — | | | | | $ | 583,111 | | | | | $ | — | | | | | $ | (99,093) | | | | | $ | 484,018 | | |
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 options contracts written | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 56,750 | | | | | $ | 56,750 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 56,750 | | | | | $ | 56,750 | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on options contracts written | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 27,230 | | | | | $ | 27,230 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 27,230 | | | | | $ | 27,230 | | |
|
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Asset derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on forward foreign currency contracts(f) | | | | $ | — | | | | | $ | 3,778 | | | | | $ | — | | | | | $ | — | | | | | $ | 3,778 | | |
| | | | $ | — | | | | | $ | 3,778 | | | | | $ | — | | | | | $ | — | | | | | $ | 3,778 | | |
Liability derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on forward foreign currency contracts(e) | | | | $ | — | | | | | $ | 379,740 | | | | | $ | — | | | | | $ | — | | | | | $ | 379,740 | | |
| | | | $ | — | | | | | $ | 379,740 | | | | | $ | — | | | | | $ | — | | | | | $ | 379,740 | | |
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 | | | | $ | — | | | | | $ | (633,312) | | | | | $ | — | | | | | $ | — | | | | | $ | (633,312) | | |
| | | | $ | — | | | | | $ | (633,312) | | | | | $ | — | | | | | $ | — | | | | | $ | (633,312) | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | | | | $ | — | | | | | $ | (269,711) | | | | | $ | — | | | | | $ | — | | | | | $ | (269,711) | | |
| | | | $ | — | | | | | $ | (269,711) | | | | | $ | — | | | | | $ | — | | | | | $ | (269,711) | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Liability derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Options contracts written outstanding(d) | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 214,640 | | | | | $ | 214,640 | | |
Unrealized depreciation on forward foreign currency contracts(e) | | | | | — | | | | | | 355,799 | | | | | | — | | | | | | — | | | | | | 355,799 | | |
| | | | $ | — | | | | | $ | 355,799 | | | | | $ | — | | | | | $ | 214,640 | | | | | $ | 570,439 | | |
|
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 options contracts written | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 539,248 | | | | | $ | 539,248 | | |
Net realized gain (loss) on forward foreign currency contracts | | | | | — | | | | | | (987,291) | | | | | | — | | | | | | — | | | | | | (987,291) | | |
| | | | $ | — | | | | | $ | (987,291) | | | | | $ | — | | | | | $ | 539,248 | | | | | $ | (448,043) | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on options contracts written | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 696,268 | | | | | $ | 696,268 | | |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | | | | | — | | | | | | (190,500) | | | | | | — | | | | | | — | | | | | | (190,500) | | |
| | | | $ | — | | | | | $ | (190,500) | | | | | $ | — | | | | | $ | 696,268 | | | | | $ | 505,768 | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Asset derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on swap contracts(g) | | | | $ | — | | | | | $ | — | | | | | $ | 4,460,622 | | | | | $ | — | | | | | $ | 4,460,622 | | |
Interest rate purchased swaption contracts(h) | | | | | 2,615,360 | | | | | | — | | | | | | — | | | | | | — | | | | | | 2,615,360 | | |
| | | | $ | 2,615,360 | | | | | $ | — | | | | | $ | 4,460,622 | | | | | $ | — | | | | | $ | 7,075,982 | | |
Liability derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on swap contracts(i) | | | | $ | — | | | | | $ | — | | | | | $ | 73,308 | | | | | $ | — | | | | | $ | 73,308 | | |
Interest rate swaptions contracts written outstanding(d) | | | | | 2,045,280 | | | | | | — | | | | | | — | | | | | | — | | | | | | 2,045,280 | | |
| | | | $ | 2,045,280 | | | | | $ | — | | | | | $ | 73,308 | | | | | $ | — | | | | | $ | 2,118,588 | | |
|
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 swap contracts | | | | $ | — | | | | | $ | — | | | | | $ | 353,333 | | | | | $ | — | | | | | $ | 353,333 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | 353,333 | | | | | $ | — | | | | | $ | 353,333 | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on interest rate swaptions contracts written | | | | $ | (758,343) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (758,343) | | |
Net change in unrealized appreciation (depreciation) on interest rate purchased swaption contracts | | | | | (793,694) | | | | | | — | | | | | | — | | | | | | — | | | | | | (793,694) | | |
Net change in unrealized appreciation (depreciation) on swap contracts | | | | | — | | | | | | — | | | | | | 3,588,219 | | | | | | — | | | | | | 3,588,219 | | |
| | | | $ | (1,552,037) | | | | | $ | — | | | | | $ | 3,588,219 | | | | | $ | — | | | | | $ | 2,036,182 | | |
| | | Average notional amounts | | |||
Futures contracts | | | | $ | 7,835,700 | | |
| | | Average notional amounts | | |||
Option contracts written | | | | $ | 112,311 | | |
Forward foreign currency contracts | | | | | 24,161,947 | | |
| | | Average notional amounts | | |||
Option contracts written | | | | $ | 83,980 | | |
| | | Average notional amounts | | |||
Forward foreign currency contracts | | | | $ | 15,127,166 | | |
| | | Average notional amounts | | |||
Option contracts purchases . . . . . . . . . . . . . . . . . . | | | | $ | 233,283 | | |
Option contracts written . . . . . . . . . . . . . . .. . . . . | | | | | 605,706 | | |
Forward foreign currency contracts | | | | | 20,704,141 | | |
| | | Average notional amounts | | |||
Interest Rate Swaption contracts purchased | | | | $ | 3,604,021 | | |
Interest Rate Swaption contracts written | | | | | 2,209,436 | | |
Swap contracts | | | | | 67,142,857 | | |
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 | | | | $ | 6,541,671 | | | | | $ | — | | | | | $ | (6,541,671) | | | | | $ | — | | |
Destinations Small-Mid Cap Equity Fund | | | | | 14,887,508 | | | | | | — | | | | | | (14,887,508) | | | | | | — | | |
Destinations International Equity Fund | | | | | 35,257,864 | | | | | | — | | | | | | (35,257,864) | | | | | | — | | |
Destinations Equity Income Fund | | | | | 934,883 | | | | | | — | | | | | | (934,883) | | | | | | — | | |
Destinations Low Duration Fixed Income Fund | | | | | 6,435,405 | | | | | | — | | | | | | (6,435,405) | | | | | | — | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 11,296 | | | | | | — | | | | | | (11,296) | | | | | | — | | |
Destinations Multi Strategy Alternatives Fund | | | | | 8,088,158 | | | | | | — | | | | | | (8,088,158) | | | | | | — | | |
| | | Remaining Contractual Maturity of the Agreements As of August 31, 2020 | | |||||||||||||||||||||||||||
| | | Overnight and Continuous | | | < 30 days | | | Between 30 & 90 days | | | > 90 days | | | Total | | |||||||||||||||
Destinations Large Cap Equity Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks . . . . . . . . . . . . . | | | | $ | 6,728,123 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 6,728,123 | | |
Total Borrowings | | | | $ | 6,728,123 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 6,728,123 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 6,728,123 | | |
Destinations Small-Mid Cap Equity Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions Common Stocks | | | | $ | 15,585,626 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 15,585,626 | | |
Total Borrowings | | | | $ | 15,585,626 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 15,585,626 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 15,585,626 | | |
Destinations International Equity Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions Common Stocks | | | | $ | 39,244,796 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 39,244,796 | | |
Total Borrowings | | | | $ | 39,244,796 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 39,244,796 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 39,244,796 | | |
Destinations Equity Income Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions Exchange Traded Funds (ETFs) | | | | $ | 959,784 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 959,784 | | |
Total Borrowings | | | | $ | 959,784 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 959,784 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 959,784 | | |
Destinations Low Duration Fixed Income Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions Exchange Traded Fund (ETF) | | | | $ | 6,567,375 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 6,567,375 | | |
Total Borrowings | | | | $ | 6,567,375 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 6,567,375 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 6,567,375 | | |
Destinations Global Fixed Income Opportunities Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions Preferred Stocks | | | | $ | 11,580 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 11,580 | | |
Total Borrowings | | | | $ | 11,580 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 11,580 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 11,580 | | |
|
| | | Remaining Contractual Maturity of the Agreements As of August 31, 2020 | | |||||||||||||||||||||||||||
| | | Overnight and Continuous | | | < 30 days | | | Between 30 & 90 days | | | > 90 days | | | Total | | |||||||||||||||
Destinations Multi Strategy Alternatives Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions Closed-End Funds | | | | $ | 240,363 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 240,363 | | |
Common Stocks | | | | | 9,369,903 | | | | | | — | | | | | | — | | | | | | — | | | | | | 9,369,903 | | |
Preferred Stocks | | | | | 48,170 | | | | | | — | | | | | | — | | | | | | — | | | | | | 48,170 | | |
Total Borrowings | | | | $ | 9,658,436 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 9,658,436 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 9,658,436 | | |
|
| | | Principal | | | Unfunded Bank Loan Interest (Cost) | | | Value of Underlying Bank Loan Interest (Value) | | | Unrealized Appreciation/ (Depreciation) | | ||||||||||||
Destinations Core Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Intelsat Jackson Holdings SA (partially unfunded) | | | | $ | 18,420 | | | | | $ | 18,420 | | | | | $ | 18,727 | | | | | $ | 307 | | |
MED ParentCo LP (partially unfunded) | | | | | 7,166 | | | | | | 7,049 | | | | | | 6,706 | | | | | | (343) | | |
Pathway Vet Alliance LLC (wholly unfunded) | | | | | 15,784 | | | | | | 15,430 | | | | | | 15,474 | | | | | | 44 | | |
| | | | $ | 41,370 | | | | | $ | 40,899 | | | | | $ | 40,907 | | | | | $ | 8 | | |
Destinations Low Duration Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Fieldwood Energy LLC (partially unfunded) | | | | $ | 4,308,570 | | | | | $ | 4,308,570 | | | | | $ | 4,308,570 | | | | | $ | — | | |
Intelsat Jackson Holdings SA (partially unfunded) | | | | | 664,000 | | | | | | 636,229 | | | | | | 675,069 | | | | | | 38,840 | | |
| | | | $ | 4,972,570 | | | | | $ | 4,944,799 | | | | | $ | 4,983,639 | | | | | $ | 38,840 | | |
| | | 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 | | | | $ | — | | | | | $ | 8,389 | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | | | $ | — | | | | | $ | 8,389 | | |
Destinations Low Duration Fixed Income Fund: | | | | | | | | | | | | | |
Forward foreign currency contracts | | | | $ | 3,778 | | | | | $ | 379,740 | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | | | $ | 3,778 | | | | | $ | 379,740 | | |
Destinations Global Fixed Income Opportunities Fund: | | | | | | | | | | | | | |
Forward foreign currency contracts | | | | $ | — | | | | | $ | 355,799 | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | | | $ | — | | | | | $ | 355,799 | | |
Destinations Multi Strategy Alternatives Fund: | | | | | | | | | | | | | |
Swaptions contracts | | | | $ | 2,615,360 | | | | | $ | 2,045,280 | | |
Swap contracts(b) | | | | | 4,460,622 | | | | | | 73,308 | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | | | $ | 7,075,982 | | | | | $ | 2,118,588 | | |
|
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 | | | | | | | | | | | | | | | | | | | | | | | | | |
Brown Brothers Harriman & Co. | | | | $ | 1 | | | | | $ | — | | | | | $ | — | | | | | $ | 1 | | |
HSBC Bank USA | | | | | 2,277 | | | | | | — | | | | | | — | | | | | | 2,277 | | |
JPMorgan Chase & Co. | | | | | 4,162 | | | | | | — | | | | | | — | | | | | | 4,162 | | |
Morgan Stanley | | | | | 1,949 | | | | | | — | | | | | | — | | | | | | 1,949 | | |
Total Over-the-counter derivative instruments | | | | $ | 8,389 | | | | | $ | — | | | | | $ | — | | | | | $ | 8,389 | | |
|
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. | | | | $ | 3,778 | | | | | $ | (3,778) | | | | | $ | — | | | | | $ | — | | |
Total Over-the-counter derivative instruments | | | | $ | 3,778 | | | | | $ | (3,778) | | | | | $ | — | | | | | $ | — | | |
|
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 Low Duration Fixed Income Fund | | ||||||||||||||||||||||||
Over-the-counter | | | | | | | | | | | | | | | | | | | | | | | | | |
Brown Brothers Harriman & Co. | | | | $ | 379,740 | | | | | $ | (3,778) | | | | | $ | — | | | | | $ | 375,962 | | |
Total Over-the-counter derivative instruments | | | | $ | 379,740 | | | | | $ | (3,778) | | | | | $ | — | | | | | $ | 375,962 | | |
|
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 Global Fixed Income Opportunities Fund | | ||||||||||||||||||||||||
Over-the-counter | | | | | | | | | | | | | | | | | | | | | | | | | |
Brown Brothers Harriman & Co. | | | | $ | 355,799 | | | | | $ | — | | | | | $ | — | | | | | $ | 355,799 | | |
Total Over-the-counter derivative instruments | | | | $ | 355,799 | | | | | $ | — | | | | | $ | — | | | | | $ | 355,799 | | |
|
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 | | | | $ | 3,513,907 | | | | | $ | (2,045,280) | | | | | $ | — | | | | | $ | 1,468,627 | | |
Morgan Stanley Capital Services LLC | | | | | 3,562,075 | | | | | | (73,308) | | | | | | — | | | | | | 3,488,767 | | |
Total Over-the-counter derivative instruments | | | | $ | 7,075,982 | | | | | $ | (2,118,588) | | | | | $ | — | | | | | $ | 4,957,394 | | |
|
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 Multi Strategy Alternatives Fund | | ||||||||||||||||||||||||
Over-the-counter | | | | | | | | | | | | | | | | | | | | | | | | | |
Goldman Sachs & Co | | | | $ | 2,045,280 | | | | | $ | (2,045,280) | | | | | $ | — | | | | | $ | — | | |
Morgan Stanley Capital Services LLC | | | | | 73,308 | | | | | | (73,308) | | | | | | — | | | | | | — | | |
Total Over-the-counter derivative instruments | | | | $ | 2,118,588 | | | | | $ | (2,118,588) | | | | | $ | — | | | | | $ | — | | |
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 | | | | | 0.52% | | | | | | 0.39% | | | | | | 0.90% | | |
Destinations International Equity Fund | | | | | 0.59% | | | | | | 0.39% | | | | | | 1.00% | | |
Destinations Equity Income Fund | | | | | 0.29% | | | | | | 0.39% | | | | | | 0.80% | | |
Fund | | | Subadvisory Fee | | | Brinker Capital Inc. Fee | | | Maximum Allowable Annual Management Fee | | |||||||||
Destinations Real Assets Fund | | | | | 0.00% | | | | | | 0.39% | | | | | | 1.00% | | |
Destinations Core Fixed Income Fund | | | | | 0.17% | | | | | | 0.39% | | | | | | 0.65% | | |
Destinations Low Duration Fixed Income Fund | | | | | 0.30% | | | | | | 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 | | | | | 0.58% | | | | | | 0.39% | | | | | | 1.35% | | |
Fund | | | | | | | |
Destinations Large Cap Equity Fund | | | | $ | 2,483,159 | | |
Destinations Small-Mid Cap Equity Fund | | | | | 28,808 | | |
Destinations International Equity Fund | | | | | 173,219 | | |
Destinations Equity Income Fund | | | | | 231,717 | | |
Destinations Real Assets Fund | | | | | 652 | | |
Destinations Core Fixed Income Fund | | | | | 955,767 | | |
Destinations Low Duration Fixed Income Fund | | | | | 10,347 | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 391,148 | | |
Destinations Municipal Fixed Income Fund | | | | | 673,958 | | |
Destinations Multi Strategy Alternatives Fund | | | | | 1,710,493 | | |
Fund | | | Sub-Transfer Agent Fees | | |||
| | | Class I | | |||
Destinations Large Cap Equity Fund | | | | $ | 2,760,005 | | |
Fund | | | Sub-Transfer Agent Fees | | |||
| | | Class I | | |||
Destinations Small-Mid Cap Equity Fund | | | | | 608,606 | | |
Destinations International Equity Fund | | | | | 1,332,930 | | |
Destinations Equity Income Fund | | | | | 280,941 | | |
Destinations Real Assets Fund | | | | | 153 | | |
Destinations Core Fixed Income Fund | | | | | 1,470,893 | | |
Destinations Low Duration Fixed Income Fund | | | | | 252,368 | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 507,640 | | |
Destinations Municipal Fixed Income Fund | | | | | 640,118 | | |
Destinations Multi Strategy Alternatives Fund | | | | | 645,899 | | |
Fund | | | Investments | | | U.S. Government & Agency Obligations | | ||||||||||||||||||
| Purchases | | | Sales | | | Purchases | | | Sales | | ||||||||||||||
Destinations Large Cap Equity Fund | | | | $ | 1,017,952,150 | | | | | $ | 1,159,894,549 | | | | | $ | — | | | | | $ | — | | |
Destinations Small-Mid Cap Equity Fund | | | | | 637,707,620 | | | | | | 692,162,338 | | | | | | — | | | | | | — | | |
Destinations International Equity Fund | | | | | 377,174,588 | | | | | | 571,581,435 | | | | | | — | | | | | | — | | |
Destinations Equity Income Fund | | | | | 131,711,417 | | | | | | 196,252,214 | | | | | | — | | | | | | — | | |
Destinations Real Assets Fund | | | | | 9,984 | | | | | | 284,034 | | | | | | — | | | | | | — | | |
Destinations Core Fixed Income Fund | | | | | 804,991,354 | | | | | | 708,585,869 | | | | | | 563,394,996 | | | | | | 509,737,278 | | |
Destinations Low Duration Fixed Income Fund | | | | | 300,379,911 | | | | | | 277,965,871 | | | | | | 6,446,189 | | | | | | 4,361,692 | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 596,019,534 | | | | | | 578,776,930 | | | | | | — | | | | | | 127,575 | | |
Destinations Municipal Fixed Income Fund | | | | | 144,663,177 | | | | | | 217,109,447 | | | | | | — | | | | | | — | | |
Destinations Multi Strategy Alternatives Fund | | | | | 499,582,797 | | | | | | 534,865,748 | | | | | | — | | | | | | — | | |
Fund | | | Aggregate Cost For Federal Income Tax Purposes | | | Gross Unrealized Appreciation | | | Gross Unrealized (Depreciation) | | | Net Unrealized Appreciation (Depreciation) | | ||||||||||||
Destinations Large Cap Equity Fund | | | | $ | 3,183,352,720 | | | | | $ | 1,370,787,624 | | | | | $ | (121,131,339) | | | | | $ | 1,249,656,285 | | |
Destinations Small-Mid Cap Equity Fund | | | | | 798,324,151 | | | | | | 208,431,252 | | | | | | (42,868,569) | | | | | | 165,562,683 | | |
Destinations International Equity Fund | | | | | 1,579,300,695 | | | | | | 630,109,772 | | | | | | (77,998,688) | | | | | | 552,111,084 | | |
Destinations Equity Income Fund | | | | | 368,552,708 | | | | | | 37,551,528 | | | | | | (23,728,675) | | | | | | 13,822,853 | | |
Destinations Real Assets Fund | | | | | 29,818 | | | | | | 176 | | | | | | (674) | | | | | | (498) | | |
Destinations Core Fixed Income Fund | | | | | 2,101,904,953 | | | | | | 103,966,464 | | | | | | (30,201,579) | | | | | | 73,764,885 | | |
Destinations Low Duration Fixed Income Fund | | | | | 405,957,173 | | | | | | 4,422,826 | | | | | | (13,752,643) | | | | | | (9,329,817) | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 762,295,198 | | | | | | 20,790,918 | | | | | | (32,697,767) | | | | | | (11,906,849) | | |
Destinations Municipal Fixed Income Fund | | | | | 858,593,963 | | | | | | 37,791,423 | | | | | | (782,115) | | | | | | 37,009,308 | | |
Destinations Multi Strategy Alternatives Fund | | | | | 911,896,755 | | | | | | 69,942,321 | | | | | | (21,040,282) | | | | | | 48,902,039 | | |
| | | Period ended August 31, 2020 | | | Period ended August 31, 2020 | | | Year ended February 29, 2020 | | | Year ended February 29, 2020 | | ||||||||||||||||||||||||||||||||||||
| | | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | | ||||||||||||||||||||||||
| | | Class I | | | Class Z | | | Class I | | | Class Z | | ||||||||||||||||||||||||||||||||||||
Destinations Large Cap Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 27,266,436 | | | | | | 307,864,235 | | | | | | 4,318,228 | | | | | | 41,117,592 | | | | | | 55,833,978 | | | | | | 687,696,868 | | | | | | 15,736,460 | | | | | | 157,982,878 | | |
Shares issued on reinvestment | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 5,452,518 | | | | | | 70,064,855 | | | | | | 460,720 | | | | | | 4,805,308 | | |
Shares repurchased | | | | | (40,715,288) | | | | | | (480,363,425) | | | | | | (3,758,853) | | | | | | (35,152,055) | | | | | | (49,220,911) | | | | | | (606,829,956) | | | | | | (2,851,258) | | | | | | (28,981,976) | | |
Net Increase (Decrease) | | | | | (13,448,852) | | | | | | (172,499,190) | | | | | | 559,375 | | | | | | 5,965,537 | | | | | | 12,065,585 | | | | | | 150,931,767 | | | | | | 13,345,922 | | | | | | 133,806,210 | | |
Destinations Small-Mid Cap Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 5,306,887 | | | | | | 52,725,208 | | | | | | 1,015,047 | | | | | | 8,216,625 | | | | | | 12,974,190 | | | | | | 151,392,598 | | | | | | 3,926,655 | | | | | | 37,418,996 | | |
Shares issued on reinvestment | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 3,236,287 | | | | | | 38,932,538 | | | | | | 250,284 | | | | | | 2,425,248 | | |
Shares repurchased | | | | | (11,376,361) | | | | | | (114,302,846) | | | | | | (915,906) | | | | | | (7,345,202) | | | | | | (19,809,318) | | | | | | (232,103,803) | | | | | | (950,305) | | | | | | (9,090,425) | | |
Net Increase (Decrease) | | | | | (6,069,474) | | | | | | (61,577,638) | | | | | | 99,141 | | | | | | 871,423 | | | | | | (3,598,841) | | | | | | (41,778,667) | | | | | | 3,226,634 | | | | | | 30,753,819 | | |
Destinations International Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 12,810,310 | | | | | | 144,910,295 | | | | | | 1,994,271 | | | | | | 19,773,961 | | | | | | 41,598,348 | | | | | | 484,248,356 | | | | | | 7,845,508 | | | | | | 78,919,083 | | |
Shares issued on reinvestment | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 1,187,481 | | | | | | 14,344,776 | | | | | | 89,687 | | | | | | 945,298 | | |
Shares repurchased | | | | | (30,512,020) | | | | | | (329,344,599) | | | | | | (2,202,487) | | | | | | (20,584,238) | | | | | | (25,123,957) | | | | | | (289,422,489) | | | | | | (1,334,948) | | | | | | (13,517,569) | | |
Net Increase (Decrease) | | | | | (17,701,710) | | | | | | (184,434,304) | | | | | | (208,216) | | | | | | (810,277) | | | | | | 17,661,872 | | | | | | 209,170,643 | | | | | | 6,600,247 | | | | | | 66,346,812 | | |
Destinations Equity Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 2,230,857 | | | | | | 19,840,618 | | | | | | 560,675 | | | | | | 4,836,809 | | | | | | 14,986,440 | | | | | | 158,290,331 | | | | | | 1,587,337 | | | | | | 16,258,551 | | |
Shares issued on reinvestment | | | | | 592,552 | | | | | | 5,205,718 | | | | | | 32,087 | | | | | | 273,688 | | | | | | 1,691,913 | | | | | | 18,155,522 | | | | | | 71,021 | | | | | | 741,452 | | |
Shares repurchased | | | | | (10,219,739) | | | | | | (89,755,537) | | | | | | (605,123) | | | | | | (5,156,322) | | | | | | (9,777,889) | | | | | | (103,715,628) | | | | | | (445,465) | | | | | | (4,556,237) | | |
Net Increase (Decrease) | | | | | (7,396,330) | | | | | | (64,709,201) | | | | | | (12,361) | | | | | | (45,825) | | | | | | 6,900,464 | | | | | | 72,730,225 | | | | | | 1,212,893 | | | | | | 12,443,766 | | |
Destinations Real Assets Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 131 | | | | | | 381 | | | | | | 58 | | | | | | 155 | | | | | | 2,779,890 | | | | | | 15,254,257 | | | | | | 937,465 | | | | | | 4,902,446 | | |
Shares issued on reinvestment | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 138,405 | | | | | | 449,817 | | | | | | 1,159 | | | | | | 3,372 | | |
Shares repurchased | | | | | (128,501) | | | | | | (313,515) | | | | | | (2,714) | | | | | | (6,129) | | | | | | (35,993,638) | | | | | | (151,381,248) | | | | | | (1,545,939) | | | | | | (6,519,094) | | |
Net Decrease | | | | | (128,370) | | | | | | (313,134) | | | | | | (2,656) | | | | | | (5,974) | | | | | | (33,075,343) | | | | | | (135,677,174) | | | | | | (607,315) | | | | | | (1,613,276) | | |
Destinations Core Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 29,397,984 | | | | | | 301,446,148 | | | | | | 2,671,810 | | | | | | 28,100,871 | | | | | | 34,380,206 | | | | | | 348,432,072 | | | | | | 7,760,079 | | | | | | 80,705,308 | | |
Shares issued on reinvestment | | | | | 2,057,455 | | | | | | 21,123,811 | | | | | | 108,263 | | | | | | 1,140,406 | | | | | | 4,959,666 | | | | | | 50,302,690 | | | | | | 187,545 | | | | | | 1,957,744 | | |
Shares repurchased | | | | | (19,993,345) | | | | | | (204,482,792) | | | | | | (1,727,957) | | | | | | (18,087,077) | | | | | | (31,128,067) | | | | | | (315,867,814) | | | | | | (1,562,545) | | | | | | (16,349,302) | | |
Net Increase (Decrease) | | | | | 11,462,094 | | | | | | 118,087,167 | | | | | | 1,052,116 | | | | | | 11,154,200 | | | | | | 8,211,805 | | | | | | 82,866,948 | | | | | | 6,385,079 | | | | | | 66,313,750 | | |
Destinations Low Duration Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 9,826,050 | | | | | | 91,344,319 | | | | | | 599,885 | | | | | | 5,705,491 | | | | | | 6,658,834 | | | | | | 65,581,427 | | | | | | 1,341,971 | | | | | | 13,490,093 | | |
Shares issued on reinvestment | | | | | 697,832 | | | | | | 6,515,453 | | | | | | 31,710 | | | | | | 302,062 | | | | | | 1,310,138 | | | | | | 12,874,976 | | | | | | 43,242 | | | | | | 432,843 | | |
Shares repurchased | | | | | (5,472,785) | | | | | | (51,002,230) | | | | | | (275,837) | | | | | | (2,619,540) | | | | | | (14,321,550) | | | | | | (140,784,379) | | | | | | (557,121) | | | | | | (5,578,498) | | |
Net Increase (Decrease) | | | | | 5,051,097 | | | | | | 46,857,542 | | | | | | 355,758 | | | | | | 3,388,013 | | | | | | (6,352,578) | | | | | | (62,327,976) | | | | | | 828,092 | | | | | | 8,344,438 | | |
Destinations Global Fixed Income Opportunities Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 10,647,727 | | | | | | 98,407,227 | | | | | | 938,657 | | | | | | 8,864,171 | | | | | | 12,198,838 | | | | | | 120,893,391 | | | | | | 2,633,293 | | | | | | 26,572,816 | | |
Shares issued on reinvestment | | | | | 1,634,048 | | | | | | 15,236,814 | | | | | | 76,844 | | | | | | 728,882 | | | | | | 3,083,228 | | | | | | 30,502,657 | | | | | | 107,530 | | | | | | 1,080,878 | | |
Shares repurchased | | | | | (13,265,348) | | | | | | (122,408,069) | | | | | | (759,649) | | | | | | (7,063,820) | | | | | | (18,945,526) | | | | | | (187,943,047) | | | | | | (763,975) | | | | | | (7,700,048) | | |
Net Increase (Decrease) | | | | | (983,573) | | | | | | (8,764,028) | | | | | | 255,852 | | | | | | 2,529,233 | | | | | | (3,663,460) | | | | | | (36,546,999) | | | | | | 1,976,848 | | | | | | 19,953,646 | | |
Destinations Municipal Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 8,461,370 | | | | | | 87,317,722 | | | | | | 721,157 | | | | | | 7,473,709 | | | | | | 13,652,537 | | | | | | 141,594,898 | | | | | | 915,589 | | | | | | 9,524,563 | | |
Shares issued on reinvestment | | | | | 700,682 | | | | | | 7,277,128 | | | | | | 16,917 | | | | | | 176,219 | | | | | | 1,910,895 | | | | | | 19,854,143 | | | | | | 36,105 | | | | | | 376,396 | | |
Shares repurchased | | | | | (10,750,900) | | | | | | (110,832,816) | | | | | | (429,477) | | | | | | (4,425,632) | | | | | | (18,012,053) | | | | | | (186,875,852) | | | | | | (406,771) | | | | | | (4,237,551) | | |
Net Increase (Decrease) | | | | | (1,588,848) | | | | | | (16,237,966) | | | | | | 308,597 | | | | | | 3,224,296 | | | | | | (2,448,621) | | | | | | (25,426,811) | | | | | | 544,923 | | | | | | 5,663,408 | | |
|
| | | Period ended August 31, 2020 | | | Period ended August 31, 2020 | | | Year ended February 29, 2020 | | | Year ended February 29, 2020 | | ||||||||||||||||||||||||||||||||||||
| | | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | | ||||||||||||||||||||||||
| | | Class I | | | Class Z | | | Class I | | | Class Z | | ||||||||||||||||||||||||||||||||||||
Destinations Multi Strategy Alternatives Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 11,200,919 | | | | | | 100,662,879 | | | | | | 1,069,761 | | | | | | 9,507,370 | | | | | | 14,551,118 | | | | | | 140,648,524 | | | | | | 3,440,337 | | | | | | 32,455,097 | | |
Shares issued on reinvestment | | | | | 809,270 | | | | | | 7,324,290 | | | | | | 42,197 | | | | | | 373,046 | | | | | | 4,267,551 | | | | | | 40,884,655 | | | | | | 158,287 | | | | | | 1,477,184 | | |
Shares repurchased | | | | | (10,074,175) | | | | | | (90,521,134) | | | | | | (653,252) | | | | | | (5,744,752) | | | | | | (18,854,124) | | | | | | (181,461,416) | | | | | | (801,300) | | | | | | (7,529,152) | | |
Net Increase (Decrease) | | | | | 1,936,014 | | | | | | 17,466,035 | | | | | | 458,706 | | | | | | 4,135,664 | | | | | | (35,455) | | | | | | 71,763 | | | | | | 2,797,324 | | | | | | 26,403,129 | | |
|
| Sub-adviser Name | | | Fund(s) | |
| BAMCO, Inc. | | | ♦ Destinations International Equity Fund | |
| BlackRock Investment Management, Inc. | | | ♦ Destinations Core Fixed Income Fund | |
| | | | ♦ Destinations Large Cap Equity Fund | |
| Ceredex Value Advisors LLC | | | ♦ Destinations Small-Mid Cap Equity Fund | |
| Columbia Management Investment Advisers, LLC | | | ♦ Destinations Large Cap Equity Fund | |
| CrossingBridge Advisors, LLC | | | ♦ Destinations Global Fixed Income Opportunities Fund | |
| | | | ♦ Destinations Low Duration Fixed Income Fund | |
| Delaware Investments Fund Advisers/ Macquarie Investment Management | | | ♦ Destinations Large Cap Equity Fund | |
| DoubleLine Capital LP | | | ♦ Destinations Core Fixed Income Fund | |
| | | | ♦ Destinations Global Fixed Income Opportunities Fund | |
| | | | ♦ Destinations Low Duration Fixed Income Fund | |
| Driehaus Capital Management LLC | | | ♦ Destinations Multi Strategy Alternatives Fund | |
| | | | ♦ Destinations Small-Mid Cap Equity Fund | |
| Federated Equity Management Company of Pennsylvania | | | ♦ Destinations Equity Income Fund | |
| LMCG Investments, LLC | | | ♦ Destinations Small-Mid Cap Equity Fund | |
| | | | ♦ Destinations Multi Strategy Alternatives Fund | |
| MFS Investment Management | | | ♦ Destinations International Equity Fund | |
| Mellon Investments Corporation | | | ♦ Destinations Large Cap Equity Fund | |
| Northern Trust Investments, Inc. | | | ♦ Destinations Municipal Fixed Income Fund | |
| Nuveen Asset Management, LLC | | | ♦ Destinations Global Fixed Income Opportunities Fund | |
| NWQ Investment Management Company, LLC | | | ♦ Destinations Equity Income Fund | |
| RiverNorth Capital Management, LLC | | | ♦ Destinations Multi Strategy Alternatives Fund | |
| Strategas Asset Management, LLC | | | ♦ Destinations Large Cap Equity Fund | |
| T. Rowe Price Associates, Inc. | | | ♦ Destinations International Equity Fund | |
| | | | ♦ Destinations Large Cap Equity Fund | |
| Wasatch Advisors Inc | | | ♦ Destinations International Equity Fund | |
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, 201 ; Trustee Since 2017 | | | Retired Attorney since 2006. Former Principal of Brown & Associates from 1996 to 2006. | | | 10 | | | CNO Financial Group, Inc. since 2012, Walter Investment Management Corp. from 2013 to 2017, NYSE-Euronext (and predecessor entities) from 2006 to 2013, NYSE Regulation, Inc. from 2010 to 2014. Financial Industry Regulatory Authority, Inc. (FINRA) from 2007 to 2012, Financial Accounting Foundation, Inc. from 2007 to 2012. | |
J. Scott Coleman, CFA 7 Forest Road Wayne, PA 19087 Birth Year: 1960 | | | Trustee | | | Since 2017 | | | President and Managing Partner of Woodland Park Consulting, LLC since 2017. 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 Delaware from 2011 to 2016. Executive Vice President and Chief Financial Officer of PNC Global Investment Servicing from 1997 to 2010. | | | 10 | | | FundVantage Trust, Third Avenue Trust, Third Avenue Variable Series 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. | |
| | |||||||||||||||
* Each Trustee remains in office until he or she resigns, retires or is removed. | | |||||||||||||||
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 Investments, LLC 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1964 | | | Trustee and Chief Executive Officer | | | Since 2018 | | | President of Brinker Capital Investments, LLC since 2020.** Chief Executive Officer of Brinker Capital, Inc. from 2012 to 2020. | | | 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 Investments, LLC 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1970 | | | Chief Financial Officer & Treasurer | | | Since January 2017 | | | Chief Financial Officer of Brinker Capital Investments, LLC since 2000. | |
Brian Ferko Brinker Capital Investments, LLC 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 Investments, LLC since 2015; Chief Compliance Officer of Brinker Capital Investments, LLC contracted through Cipperman Compliance Services from 2010 to 2015; Chief Operating Officer of CCS from 2012 to 2015. | |
Jason B. Moore Brinker Capital Investments, LLC 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1972 | | | President | | | Since January 2017 | | | Chief Solutions Officer of Brinker Capital Investments, LLC since 2019; Chief Administrative Officer of Brinker Capital Investments, LLC from 2016 to 2019; Managing Director of Morgan Stanley from 2012 to 2016. | |
Donna Marley Brinker Capital Investments, LLC 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1955 | | | Chief Operating Officer | | | Since April 2017 | | | Senior Vice President of Funds of Brinker Capital Investments, LLC since 2017; Executive Director of Morgan Stanley from 2009 to 2017. | |
Peter Townsend Brinker Capital Investments, LLC 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1977 | | | Secretary & Deputy Chief Compliance Officer | | | Since January 2017 | | | Deputy Funds Chief Compliance Officer of Brinker Capital Investments, LLC since 2017; Director of Compliance of Penn Capital Management Company, Inc. from 2015 to 2017; Director of Compliance of Cipperman Compliance Services from 2013 to 2015; Associate of J.P. Morgan Chase & Co. from 2008 to 2013. | |
Jeff Raupp, CFA Brinker Capital Investments, LLC 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1969 | | | Chief Investment Officer | | | Since January 2017 | | | Chief Investment Officer of Brinker Capital Investments, LLC since 2018; Director of Investments of Brinker Capital Investments, LLC since 2017; Senior Vice President of Brinker Capital Investments, LLC in 2016; Senior Investment Manager of Brinker Capital Investments, LLC from 2008 to 2016. | |
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 | |
Amy Magnotta, CFA Brinker Capital Investments, LLC 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 Investments, LLC since 2017; Senior Investment Manager of Brinker Capital Investments, LLC from 2008 to 2017. | |
Leigh Lowman, CFA Brinker Capital Investments, LLC 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1982 | | | Investment Officer | | | Since January 2017 | | | Investment Manager of Brinker Capital Investments, LLC since 2017; Senior Investment Analyst of Brinker Capital Investments, LLC from 2015 to 2017; Outreach Analyst of The Investment Fund for Foundations from 2014 to 2015; Senior Associate of Mondrian Investment Partners from 2011 to 2014. | |
Christopher Hart Brinker Capital Investments, LLC 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 of Brinker Capital Investments, LLC since 2017; Senior Vice President of Brinker Capital Investments, LLC in 2016; Core Investment Manager of Brinker Capital Investments, LLC from 2014 to 2016; Investment Director of RS Investments 2013; Vice President/Investment Officer of Morgan Stanley Smith Barney from 2006 to 2013. | |
Timothy Holland, CFA Brinker Capital Investments, LLC 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 Investments, LLC 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. | |
Kristen Pilipzeck Brinker Capital Investments, LLC 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1987 | | | Investment Officer | | | Since March 2019 | | | Investment Analyst of Brinker Capital Investments, LLC since 2017; Operations Associate of Brinker Capital Investments, LLC from 2010 to 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 on their 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)(3) Not Applicable.
(a)(4) Not Applicable.
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: | October 30, 2020 |
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: | October 30, 2020 |
By: | /s/ Philip Green, Jr. | |
Philip Green, Jr. | ||
Chief Financial Officer and Treasurer | ||
Date: | October 30, 2020 |