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, 2021
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking 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, 2021
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 | | | | | 17.17% | | | | | $ | 1,000.00 | | | | | $ | 1,171.72 | | | | | | 0.79% | | | | | $ | 4.32 | | |
Destinations Large Cap Equity Fund – Class Z | | | | | 17.17% | | | | | | 1,000.00 | | | | | | 1,171.74 | | | | | | 0.64% | | | | | | 3.50 | | |
Destinations Small-Mid Cap Equity Fund – Class I | | | | | 8.70% | | | | | | 1,000.00 | | | | | | 1,087.04 | | | | | | 1.09% | | | | | | 5.73 | | |
Destinations Small-Mid Cap Equity Fund – Class Z | | | | | 8.81% | | | | | | 1,000.00 | | | | | | 1,088.08 | | | | | | 0.94% | | | | | | 4.95 | | |
Destinations International Equity Fund – Class I | | | | | 5.82% | | | | | | 1,000.00 | | | | | | 1,058.24 | | | | | | 1.19% | | | | | | 6.17 | | |
Destinations International Equity Fund – Class Z | | | | | 5.92% | | | | | | 1,000.00 | | | | | | 1,059.18 | | | | | | 1.04% | | | | | | 5.40 | | |
Destinations Equity Income Fund – Class I | | | | | 14.06% | | | | | | 1,000.00 | | | | | | 1,140.61 | | | | | | 0.90% | | | | | | 4.86 | | |
Destinations Equity Income Fund – Class Z | | | | | 14.07% | | | | | | 1,000.00 | | | | | | 1,140.69 | | | | | | 0.75% | | | | | | 4.05 | | |
Destinations Core Fixed Income Fund – Class I | | | | | 1.28% | | | | | | 1,000.00 | | | | | | 1,012.81 | | | | | | 0.78% | | | | | | 3.96 | | |
Destinations Core Fixed Income Fund – Class Z | | | | | 1.42% | | | | | | 1,000.00 | | | | | | 1,014.18 | | | | | | 0.63% | | | | | | 3.20 | | |
Destinations Low Duration Fixed Income Fund – Class I | | | | | 2.90% | | | | | | 1,000.00 | | | | | | 1,029.04 | | | | | | 0.93% | | | | | | 4.76 | | |
Destinations Low Duration Fixed Income Fund – Class Z | | | | | 3.02% | | | | | | 1,000.00 | | | | | | 1,030.21 | | | | | | 0.78% | | | | | | 3.99 | | |
Destinations Global Fixed Income Opportunities Fund – Class I | | | | | 1.73% | | | | | | 1,000.00 | | | | | | 1,017.32 | | | | | | 1.03% | | | | | | 5.24 | | |
Destinations Global Fixed Income Opportunities Fund – Class Z | | | | | 1.78% | | | | | | 1,000.00 | | | | | | 1,017.77 | | | | | | 0.88% | | | | | | 4.48 | | |
Destinations Municipal Fixed Income Fund – Class I | | | | | 1.48% | | | | | | 1,000.00 | | | | | | 1,014.80 | | | | | | 0.76% | | | | | | 3.86 | | |
Destinations Municipal Fixed Income Fund – Class Z | | | | | 1.65% | | | | | | 1,000.00 | | | | | | 1,016.48 | | | | | | 0.61% | | | | | | 3.10 | | |
Destinations Multi Strategy Alternatives Fund – Class I | | | | | 1.84% | | | | | | 1,000.00 | | | | | | 1,018.43 | | | | | | 1.31% | | | | | | 6.66 | | |
Destinations Multi Strategy Alternatives Fund – Class Z | | | | | 1.84% | | | | | | 1,000.00 | | | | | | 1,018.43 | | | | | | 1.16% | | | | | | 5.90 | | |
Fund | | | Hypothetical 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 | | | | | $ | 1,021.22 | | | | | | 0.79% | | | | | $ | 4.02 | | |
Destinations Large Cap Equity Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,021.98 | | | | | | 0.64% | | | | | | 3.26 | | |
Destinations Small-Mid Cap Equity Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,019.71 | | | | | | 1.09% | | | | | | 5.55 | | |
Destinations Small-Mid Cap Equity Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.47 | | | | | | 0.94% | | | | | | 4.79 | | |
Destinations International Equity Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,019.21 | | | | | | 1.19% | | | | | | 6.06 | | |
Destinations International Equity Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,019.96 | | | | | | 1.04% | | | | | | 5.30 | | |
Destinations Equity Income Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.67 | | | | | | 0.90% | | | | | | 4.58 | | |
Destinations Equity Income Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,021.42 | | | | | | 0.75% | | | | | | 3.82 | | |
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 | | | | | | 1,020.52 | | | | | | 0.93% | | | | | | 4.74 | | |
Destinations Low Duration Fixed Income Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,021.27 | | | | | | 0.78% | | | | | | 3.97 | | |
Destinations Global Fixed Income Opportunities Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.01 | | | | | | 1.03% | | | | | | 5.24 | | |
Destinations Global Fixed Income Opportunities Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.77 | | | | | | 0.88% | | | | | | 4.48 | | |
Destinations Municipal Fixed Income Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,021.37 | | | | | | 0.76% | | | | | | 3.87 | | |
Destinations Municipal Fixed Income Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,022.13 | | | | | | 0.61% | | | | | | 3.11 | | |
Destinations Multi Strategy Alternatives Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,018.60 | | | | | | 1.31% | | | | | | 6.67 | | |
Destinations Multi Strategy Alternatives Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,019.36 | | | | | | 1.16% | | | | | | 5.90 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 97.8% | | ||||||||||||
| BASIC MATERIALS – 1.8% | | ||||||||||||
| Chemicals – 1.0% | | | | ||||||||||
| | | 2,281 | | | | Air Products & Chemicals Inc. | | | | $ | 614,752 | | |
| | | 1,203 | | | | Albemarle Corp. | | | | | 284,798 | | |
| | | 69,494 | | | | Celanese Corp., Class A Shares | | | | | 11,021,748 | | |
| | | 321,334 | | | | CF Industries Holdings Inc. | | | | | 14,594,990 | | |
| | | 179,757 | | | | Dow Inc. | | | | | 11,306,715 | | |
| | | 5,486 | | | | DuPont de Nemours Inc. | | | | | 406,074 | | |
| | | 96,691 | | | | Eastman Chemical Co. | | | | | 10,941,554 | | |
| | | 2,564 | | | | Ecolab Inc. | | | | | 577,823 | | |
| | | 1,325 | | | | FMC Corp. | | | | | 124,060 | | |
| | | 2,566 | | | | International Flavors & Fragrances Inc. | | | | | 388,749 | | |
| | | 9,825 | | | | Linde PLC | | | | | 3,090,847 | | |
| | | 2,654 | | | | LyondellBasell Industries NV, Class A Shares | | | | | 266,329 | | |
| | | 3,534 | | | | Mosaic Co. | | | | | 113,724 | | |
| | | 2,444 | | | | PPG Industries Inc. | | | | | 389,940 | | |
| | | 2,467 | | | | Sherwin-Williams Co. | | | | | 749,154 | | |
| | | | | | | Total Chemicals | | | | | 54,871,257 | | |
| Forest Products & Paper – 0.2% | | ||||||||||||
| | | 187,864 | | | | International Paper Co. | | | | | 11,288,748 | | |
| Iron/Steel – 0.2% | | ||||||||||||
| | | 92,198 | | | | Nucor Corp. | | | | | 10,838,797 | | |
| Mining – 0.4% | | ||||||||||||
| | | 214,648 | | | | Alcoa Corp.* | | | | | 9,523,932 | | |
| | | 311,243 | | | | Freeport-McMoRan Inc. | | | | | 11,326,133 | | |
| | | 8,259 | | | | Newmont Corp. | | | | | 478,939 | | |
| | | | | | | Total Mining | | | | | 21,329,004 | | |
| | | | | | | TOTAL BASIC MATERIALS | | | | | 98,327,806 | | |
| COMMUNICATIONS – 22.2% | | ||||||||||||
| Advertising – 0.1% | | ||||||||||||
| | | 4,055 | | | | Interpublic Group of Cos., Inc. | | | | | 150,968 | | |
| | | 2,217 | | | | Omnicom Group Inc. | | | | | 162,329 | | |
| | | 52,900 | | | | Trade Desk Inc., Class A Shares* | | | | | 4,234,645 | | |
| | | | | | | Total Advertising | | | | | 4,547,942 | | |
| Internet – 16.5% | | ||||||||||||
| | | 746 | | | | Airbnb Inc., Class A Shares* | | | | | 115,622 | | |
| | | 34,143 | | | | Alibaba Group Holding Ltd., ADR* | | | | | 5,701,540 | | |
| | | 35,255 | | | | Alphabet Inc., Class A Shares* | | | | | 102,026,207 | | |
| | | 32,637 | | | | Alphabet Inc., Class C Shares* | | | | | 94,948,866 | | |
| | | 54,294 | | | | Amazon.com Inc.* | | | | | 188,443,072 | | |
| | | 25,192 | | | | Booking Holdings Inc.* | | | | | 57,933,287 | | |
| | | 61,314 | | | | Bright Health Group Inc.*(a) | | | | | 567,768 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| COMMUNICATIONS – (continued) | | ||||||||||||
| Internet – (continued) | | ||||||||||||
| | | 1,445 | | | | CDW Corp. | | | | $ | 289,881 | | |
| �� | | 215,335 | | | | Chewy Inc., Class A Shares* | | | | | 18,975,320 | | |
| | | 110,257 | | | | Coupang Inc., Class A Shares*(a) | | | | | 3,303,300 | | |
| | | 40,665 | | | | DoorDash Inc., Class A Shares* | | | | | 7,783,281 | | |
| | | 6,672 | | | | eBay Inc. | | | | | 512,009 | | |
| | | 58,323 | | | | Etsy Inc.* | | | | | 12,612,932 | | |
| | | 64,704 | | | | Expedia Group Inc.* | | | | | 9,349,728 | | |
| | | 52,478 | | | | F5 Networks Inc.* | | | | | 10,682,946 | | |
| | | 400,347 | | | | Facebook Inc., Class A Shares* | | | | | 151,883,645 | | |
| | | 129,106 | | | | Farfetch Ltd., Class A Shares* | | | | | 5,404,377 | | |
| | | 5,559 | | | | IAC/InterActiveCorp* | | | | | 734,066 | | |
| | | 11,600 | | | | Kuaishou Technology, Class B Shares*(b) | | | | | 126,030 | | |
| | | 328,395 | | | | Match Group Inc.* | | | | | 45,134,609 | | |
| | | 42,700 | | | | Meituan, Class B Shares*(b) | | | | | 1,367,059 | | |
| | | 44,159 | | | | Netflix Inc.* | | | | | 25,134,861 | | |
| | | 5,978 | | | | NortonLifeLock Inc. | | | | | 158,776 | | |
| | | 21,581 | | | | Pinduoduo Inc., ADR* | | | | | 2,158,532 | | |
| | | 83,136 | | | | Pinterest Inc., Class A Shares* | | | | | 4,619,867 | | |
| | | 85,221 | | | | Sea Ltd., ADR* | | | | | 28,831,969 | | |
| | | 3,969 | | | | Shopify Inc., Class A Shares* | | | | | 6,051,852 | | |
| | | 352,458 | | | | Snap Inc., Class A Shares* | | | | | 26,825,578 | | |
| | | 42,421 | | | | Spotify Technology SA* | | | | | 9,940,937 | | |
| | | 118,000 | | | | Tencent Holdings Ltd. | | | | | 7,300,752 | | |
| | | 180,014 | | | | Twitter Inc.* | | | | | 11,610,903 | | |
| | | 723,325 | | | | Uber Technologies Inc.* | | | | | 28,310,940 | | |
| | | 53,219 | | | | VeriSign Inc.* | | | | | 11,509,141 | | |
| | | 26,604 | | | | Vimeo Inc., Class A, Private Placement* | | | | | 1,014,144 | | |
| | | | | | | Total Internet | | | | | 881,363,797 | | |
| Media – 3.3% | | ||||||||||||
| | | 1,420 | | | | Charter Communications Inc., Class A Shares* | | | | | 1,159,657 | | |
| | | 1,092,123 | | | | Comcast Corp., Class A Shares | | | | | 66,270,024 | | |
| | | 1,909 | | | | Discovery Inc., Class A Shares*(a) | | | | | 55,056 | | |
| | | 2,998 | | | | Discovery Inc., Class C Shares* | | | | | 82,715 | | |
| | | 2,526 | | | | DISH Network Corp., Class A Shares* | | | | | 110,108 | | |
| | | 296,560 | | | | Fox Corp., Class A Shares | | | | | 11,103,206 | | |
| | | 1,566 | | | | Fox Corp., Class B Shares | | | | | 54,231 | | |
| | | 261,475 | | | | Liberty Broadband Corp., Class C Shares* | | | | | 50,025,397 | | |
| | | 996,451 | | | | Liberty Media Corp.-Liberty SiriusXM* | | | | | 49,174,857 | | |
| | | 3,947 | | | | News Corp., Class A Shares | | | | | 88,689 | | |
| | | 1,262 | | | | News Corp., Class B Shares | | | | | 27,802 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| COMMUNICATIONS – (continued) | | ||||||||||||
| Media – (continued) | | ||||||||||||
| | | 6,243 | | | | ViacomCBS Inc., Class B Shares | | | | $ | 258,772 | | |
| | | 18,730 | | | | Walt Disney Co.* | | | | | 3,395,749 | | |
| | | | | | | Total Media | | | | | 181,806,263 | | |
| Telecommunications – 2.3% | | ||||||||||||
| | | 566 | | | | Arista Networks Inc.* | | | | | 209,154 | | |
| | | 73,604 | | | | AT&T Inc. | | | | | 2,018,222 | | |
| | | 184,812 | | | | Ciena Corp.* | | | | | 10,558,310 | | |
| | | 503,483 | | | | Cisco Systems Inc. | | | | | 29,715,567 | | |
| | | 275,770 | | | | Corning Inc. | | | | | 11,028,042 | | |
| | | 3,564 | | | | Juniper Networks Inc. | | | | | 103,285 | | |
| | | 10,201 | | | | Lumen Technologies Inc. | | | | | 125,472 | | |
| | | 48,224 | | | | Motorola Solutions Inc. | | | | | 11,777,265 | | |
| | | 1,747,205 | | | | Nokia OYJ, ADR* | | | | | 10,413,342 | | |
| | | 241,736 | | | | T-Mobile US Inc.* | | | | | 33,122,667 | | |
| | | 42,678 | | | | Verizon Communications Inc. | | | | | 2,347,290 | | |
| | | 525,528 | | | | Vodafone Group PLC, ADR(a) | | | | | 8,970,763 | | |
| | | | | | | Total Telecommunications | | | | | 120,389,379 | | |
| | | | | | | TOTAL COMMUNICATIONS | | | | | 1,188,107,381 | | |
| CONSUMER CYCLICAL – 7.2% | | ||||||||||||
| Airlines – 0.1% | | ||||||||||||
| | | 1,316 | | | | Alaska Air Group Inc.* | | | | | 75,459 | | |
| | | 6,612 | | | | American Airlines Group Inc.* | | | | | 131,843 | | |
| | | 6,594 | | | | Delta Air Lines Inc.* | | | | | 266,661 | | |
| | | 67,429 | | | | Southwest Airlines Co.* | | | | | 3,356,616 | | |
| | | 3,336 | | | | United Airlines Holdings Inc.* | | | | | 155,157 | | |
| | | | | | | Total Airlines | | | | | 3,985,736 | | |
| Apparel – 1.1% | | ||||||||||||
| | | 3,677 | | | | Hanesbrands Inc. | | | | | 68,686 | | |
| | | 366,668 | | | | NIKE Inc., Class B Shares | | | | | 60,404,886 | | |
| | | 759 | | | | PVH Corp.* | | | | | 79,536 | | |
| | | 501 | | | | Ralph Lauren Corp., Class A Shares | | | | | 58,181 | | |
| | | 2,863 | | | | Tapestry Inc.* | | | | | 115,436 | | |
| | | 1,896 | | | | Under Armour Inc., Class A Shares* | | | | | 43,873 | | |
| | | 1,925 | | | | Under Armour Inc., Class C Shares* | | | | | 38,616 | | |
| | | 3,315 | | | | VF Corp. | | | | | 253,498 | | |
| | | | | | | Total Apparel | | | | | 61,062,712 | | |
| Auto Manufacturers – 0.6% | | ||||||||||||
| | | 47,214 | | | | Cummins Inc. | | | | | 11,141,560 | | |
| | | 40,335 | | | | Ferrari NV | | | | | 8,768,829 | | |
| | | 40,418 | | | | Ford Motor Co.* | | | | | 526,647 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – (continued) | | ||||||||||||
| Auto Manufacturers – (continued) | | ||||||||||||
| | | 115,585 | | | | General Motors Co.* | | | | $ | 5,664,821 | | |
| | | 3,579 | | | | PACCAR Inc. | | | | | 293,013 | | |
| | | 7,944 | | | | Tesla Inc.* | | | | | 5,844,560 | | |
| | | | | | | Total Auto Manufacturers | | | | | 32,239,430 | | |
| Auto Parts & Equipment – 0.1% | | ||||||||||||
| | | 17,273 | | | | Aptiv PLC* | | | | | 2,628,778 | | |
| | | 2,447 | | | | BorgWarner Inc. | | | | | 104,438 | | |
| | | | | | | Total Auto Parts & Equipment | | | | | 2,733,216 | | |
| Distribution/Wholesale – 0.8% | | ||||||||||||
| | | 2,146 | | | | Copart Inc.* | | | | | 309,711 | | |
| | | 5,921 | | | | Fastenal Co. | | | | | 330,688 | | |
| | | 769,407 | | | | LKQ Corp.* | | | | | 40,540,055 | | |
| | | 414 | | | | Pool Corp. | | | | | 204,640 | | |
| | | 451 | | | | WW Grainger Inc. | | | | | 195,599 | | |
| | | | | | | Total Distribution/Wholesale | | | | | 41,580,693 | | |
| Entertainment – 0.5% | | ||||||||||||
| | | 2,151 | | | | Caesars Entertainment Inc.* | | | | | 218,606 | | |
| | | 64,190 | | | | DraftKings Inc., Class A Shares* | | | | | 3,805,825 | | |
| | | 1,484 | | | | Live Nation Entertainment Inc.* | | | | | 128,663 | | |
| | | 118,641 | | | | Madison Square Garden Sports Corp.* | | | | | 21,447,920 | | |
| | | 1,512 | | | | Penn National Gaming Inc.* | | | | | 122,623 | | |
| | | | | | | Total Entertainment | | | | | 25,723,637 | | |
| Home Builders – 0.5% | | ||||||||||||
| | | 3,382 | | | | DR Horton Inc. | | | | | 323,387 | | |
| | | 2,843 | | | | Lennar Corp., Class A Shares | | | | | 305,082 | | |
| | | 5,338 | | | | NVR Inc.* | | | | | 27,650,520 | | |
| | | 2,726 | | | | PulteGroup Inc. | | | | | 146,822 | | |
| | | | | | | Total Home Builders | | | | | 28,425,811 | | |
| Home Furnishings – 0.2% | | ||||||||||||
| | | 111,256 | | | | Dolby Laboratories Inc., Class A Shares | | | | | 11,026,582 | | |
| | | 1,373 | | | | Leggett & Platt Inc. | | | | | 66,440 | | |
| | | 646 | | | | Whirlpool Corp. | | | | | 143,108 | | |
| | | | | | | Total Home Furnishings | | | | | 11,236,130 | | |
| Housewares – 0.0% | | ||||||||||||
| | | 3,807 | | | | Newell Brands Inc. | | | | | 96,736 | | |
| Leisure Time – 0.0% | | ||||||||||||
| | | 8,229 | | | | Carnival Corp.* | | | | | 198,648 | | |
| | | 3,723 | | | | Norwegian Cruise Line Holdings Ltd.* | | | | | 96,202 | | |
| | | 2,257 | | | | Royal Caribbean Cruises Ltd.* | | | | | 186,722 | | |
| | | | | | | Total Leisure Time | | | | | 481,572 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – (continued) | | ||||||||||||
| Lodging – 0.2% | | ||||||||||||
| | | 2,871 | | | | Hilton Worldwide Holdings Inc.* | | | | $ | 358,473 | | |
| | | 99,144 | | | | Las Vegas Sands Corp.* | | | | | 4,422,814 | | |
| | | 2,753 | | | | Marriott International Inc., Class A Shares* | | | | | 372,040 | | |
| | | 4,197 | | | | MGM Resorts International | | | | | 178,876 | | |
| | | 71,120 | | | | Wynn Resorts Ltd.* | | | | | 7,232,193 | | |
| | | | | | | Total Lodging | | | | | 12,564,396 | | |
| Retail – 3.1% | | ||||||||||||
| | | 675 | | | | Advance Auto Parts Inc. | | | | | 136,924 | | |
| | | 223 | | | | AutoZone Inc.* | | | | | 345,461 | | |
| | | 2,729 | | | | Bath & Body Works Inc. | | | | | 184,153 | | |
| | | 97,450 | | | | Best Buy Co., Inc. | | | | | 11,353,900 | | |
| | | 1,682 | | | | CarMax Inc.* | | | | | 210,603 | | |
| | | 15,275 | | | | Carvana Co., Class A Shares* | | | | | 5,011,117 | | |
| | | 4,812 | | | | Chipotle Mexican Grill Inc., Class A Shares* | | | | | 9,158,824 | | |
| | | 87,172 | | | | Costco Wholesale Corp. | | | | | 39,705,974 | | |
| | | 1,349 | | | | Darden Restaurants Inc. | | | | | 203,227 | | |
| | | 2,435 | | | | Dollar General Corp. | | | | | 542,786 | | |
| | | 396,061 | | | | Dollar Tree Inc.* | | | | | 35,859,363 | | |
| | | 21,603 | | | | Domino’s Pizza Inc. | | | | | 11,166,375 | | |
| | | 2,141 | | | | Gap Inc. | | | | | 57,229 | | |
| | | 1,489 | | | | Genuine Parts Co. | | | | | 181,941 | | |
| | | 10,961 | | | | Home Depot Inc. | | | | | 3,575,259 | | |
| | | 7,287 | | | | Lowe’s Cos., Inc. | | | | | 1,485,746 | | |
| | | 24,045 | | | | Lululemon Athletica Inc.* | | | | | 9,622,088 | | |
| | | 7,692 | | | | McDonald’s Corp. | | | | | 1,826,542 | | |
| | | 719 | | | | O’Reilly Automotive Inc.* | | | | | 427,144 | | |
| | | 134,166 | | | | Ross Stores Inc. | | | | | 15,885,254 | | |
| | | 12,147 | | | | Starbucks Corp. | | | | | 1,427,151 | | |
| | | 5,100 | | | | Target Corp. | | | | | 1,259,598 | | |
| | | 12,432 | | | | TJX Cos., Inc. | | | | | 904,055 | | |
| | | 1,188 | | | | Tractor Supply Co. | | | | | 230,769 | | |
| | | 564 | | | | Ulta Beauty Inc.* | | | | | 218,443 | | |
| | | 7,396 | | | | Walgreens Boots Alliance Inc. | | | | | 375,347 | | |
| | | 14,154 | | | | Walmart Inc. | | | | | 2,096,207 | | |
| | | 84,006 | | | | Yum! Brands Inc. | | | | | 11,007,306 | | |
| | | | | | | Total Retail | | | | | 164,458,786 | | |
| Textiles – 0.0% | | ||||||||||||
| | | 599 | | | | Mohawk Industries Inc.* | | | | | 118,458 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – (continued) | | ||||||||||||
| Toys/Games/Hobbies – 0.0% | | ||||||||||||
| | | 1,317 | | | | Hasbro Inc. | | | | $ | 129,474 | | |
| | | | | | | TOTAL CONSUMER CYCLICAL | | | | | 384,836,787 | | |
| CONSUMER NON-CYCLICAL – 23.4% | | ||||||||||||
| Agriculture – 0.8% | | ||||||||||||
| | | 244,867 | | | | Altria Group Inc. | | | | | 12,299,669 | | |
| | | 5,759 | | | | Archer-Daniels-Midland Co. | | | | | 345,540 | | |
| | | 311,178 | | | | Philip Morris International Inc. | | | | | 32,051,334 | | |
| | | | | | | Total Agriculture | | | | | 44,696,543 | | |
| Beverages – 1.0% | | ||||||||||||
| | | 158,389 | | | | Brown-Forman Corp., Class B Shares | | | | | 11,122,076 | | |
| | | 40,003 | | | | Coca-Cola Co. | | | | | 2,252,569 | | |
| | | 1,742 | | | | Constellation Brands Inc., Class A Shares | | | | | 367,806 | | |
| | | 1,248,412 | | | | Keurig Dr Pepper Inc. | | | | | 44,530,856 | | |
| | | 2,041 | | | | Molson Coors Beverage Co., Class B Shares | | | | | 97,009 | | |
| | | 3,814 | | | | Monster Beverage Corp.* | | | | | 372,132 | | |
| | | 14,243 | | | | PepsiCo Inc. | | | | | 2,227,463 | | |
| | | | | | | Total Beverages | | | | | 60,969,911 | | |
| Biotechnology – 3.2% | | ||||||||||||
| | | 53,472 | | | | Amgen Inc. | | | | | 12,059,540 | | |
| | | 7,864 | | | | Argenx SE, ADR* | | | | | 2,603,141 | | |
| | | 46,876 | | | | Biogen Inc.* | | | | | 15,886,745 | | |
| | | 276,904 | | | | BioMarin Pharmaceutical Inc.* | | | | | 23,318,086 | | |
| | | 222 | | | | Bio-Rad Laboratories Inc., Class A Shares* | | | | | 178,670 | | |
| | | 7,598 | | | | Corteva Inc. | | | | | 334,084 | | |
| | | 259,896 | | | | Exact Sciences Corp.* | | | | | 27,127,944 | | |
| | | 165,518 | | | | Gilead Sciences Inc. | | | | | 12,046,400 | | |
| | | 56,641 | | | | Horizon Therapeutics PLC* | | | | | 6,122,326 | | |
| | | 89,529 | | | | Illumina Inc.* | | | | | 40,929,078 | | |
| | | 188,748 | | | | Incyte Corp.* | | | | | 14,437,335 | | |
| | | 3,146 | | | | Moderna Inc.* | | | | | 1,185,067 | | |
| | | 1,079 | | | | Regeneron Pharmaceuticals Inc.* | | | | | 726,599 | | |
| | | 27,478 | | | | United Therapeutics Corp.* | | | | | 5,904,473 | | |
| | | 60,027 | | | | Vertex Pharmaceuticals Inc.* | | | | | 12,022,808 | | |
| | | | | | | Total Biotechnology | | | | | 174,882,296 | | |
| Commercial Services – 3.9% | | ||||||||||||
| | | 3,351 | | | | Affirm Holdings Inc., Class A Shares* | | | | | 322,835 | | |
| | | 100,336 | | | | Afterpay Ltd.* | | | | | 9,879,013 | | |
| | | 4,387 | | | | Automatic Data Processing Inc. | | | | | 917,059 | | |
| | | 21,067 | | | | Cintas Corp. | | | | | 8,337,687 | | |
| | | 294,231 | | | | CoStar Group Inc.* | | | | | 24,933,135 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Commercial Services – (continued) | | ||||||||||||
| | | 47,578 | | | | Equifax Inc. | | | | $ | 12,953,586 | | |
| | | 859 | | | | FleetCor Technologies Inc.* | | | | | 226,158 | | |
| | | 887 | | | | Gartner Inc.* | | | | | 273,852 | | |
| | | 53,079 | | | | Global Payments Inc. | | | | | 8,632,769 | | |
| | | 3,862 | | | | IHS Markit Ltd. | | | | | 465,757 | | |
| | | 4,854 | | | | MarketAxess Holdings Inc. | | | | | 2,310,116 | | |
| | | 1,660 | | | | Moody’s Corp. | | | | | 632,078 | | |
| | | 3,848 | | | | Nielsen Holdings PLC | | | | | 82,578 | | |
| | | 216,569 | | | | PayPal Holdings Inc.* | | | | | 62,514,808 | | |
| | | 110,137 | | | | Quanta Services Inc. | | | | | 11,244,988 | | |
| | | 1,153 | | | | Robert Half International Inc. | | | | | 119,220 | | |
| | | 2,387 | | | | Rollins Inc. | | | | | 92,902 | | |
| | | 20,224 | | | | S&P Global Inc. | | | | | 8,975,816 | | |
| | | 129,364 | | | | Square Inc., Class A Shares* | | | | | 34,678,607 | | |
| | | 42,215 | | | | StoneCo Ltd., Class A Shares* | | | | | 1,964,686 | | |
| | | 58,784 | | | | TransUnion | | | | | 7,144,020 | | |
| | | 746 | | | | United Rentals Inc.* | | | | | 263,077 | | |
| | | 1,671 | | | | Verisk Analytics Inc., Class A Shares | | | | | 337,141 | | |
| | | | | | | Total Commercial Services | | | | | 197,301,888 | | |
| Cosmetics/Personal Care – 0.7% | | ||||||||||||
| | | 8,721 | | | | Colgate-Palmolive Co. | | | | | 679,802 | | |
| | | 86,923 | | | | Estee Lauder Cos., Inc., Class A Shares | | | | | 29,596,412 | | |
| | | 25,238 | | | | Procter & Gamble Co. | | | | | 3,593,639 | | |
| | | | | | | Total Cosmetics/Personal Care | | | | | 33,869,853 | | |
| Food – 0.8% | | ||||||||||||
| | | 2,190 | | | | Campbell Soup Co. | | | | | 91,389 | | |
| | | 4,948 | | | | Conagra Brands Inc. | | | | | 163,878 | | |
| | | 6,288 | | | | General Mills Inc. | | | | | 363,509 | | |
| | | 1,509 | | | | Hershey Co. | | | | | 268,149 | | |
| | | 2,906 | | | | Hormel Foods Corp. | | | | | 132,339 | | |
| | | 1,130 | | | | JM Smucker Co. | | | | | 139,747 | | |
| | | 2,597 | | | | Kellogg Co. | | | | | 163,975 | | |
| | | 6,683 | | | | Kraft Heinz Co. | | | | | 240,521 | | |
| | | 7,805 | | | | Kroger Co. | | | | | 359,264 | | |
| | | 1,470 | | | | Lamb Weston Holdings Inc. | | | | | 95,771 | | |
| | | 2,567 | | | | McCormick & Co., Inc. | | | | | 221,506 | | |
| | | 14,481 | | | | Mondelez International Inc., Class A Shares | | | | | 898,836 | | |
| | | 314,643 | | | | Nestle SA, ADR | | | | | 39,736,264 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Food – (continued) | | ||||||||||||
| | | 5,274 | | | | Sysco Corp. | | | | $ | 420,074 | | |
| | | 3,039 | | | | Tyson Foods Inc., Class A Shares | | | | | 238,622 | | |
| | | | | | | Total Food | | | | | 43,533,844 | | |
| Healthcare-Products – 5.3% | | | | | | | | | | | |||
| | | 18,317 | | | | Abbott Laboratories | | | | | 2,314,719 | | |
| | | 114,798 | | | | ABIOMED Inc.* | | | | | 41,781,880 | | |
| | | 138,776 | | | | Alcon Inc. | | | | | 11,444,857 | | |
| | | 50,068 | | | | Align Technology Inc.* | | | | | 35,498,212 | | |
| | | 122,420 | | | | Avantor Inc.* | | | | | 4,828,245 | | |
| | | 5,184 | | | | Baxter International Inc. | | | | | 395,124 | | |
| | | 401 | | | | Bio-Techne Corp. | | | | | 200,155 | | |
| | | 14,648 | | | | Boston Scientific Corp.* | | | | | 661,357 | | |
| | | 508 | | | | Cooper Cos., Inc. | | | | | 228,961 | | |
| | | 70,140 | | | | Danaher Corp. | | | | | 22,736,582 | | |
| | | 178,634 | | | | DENTSPLY SIRONA Inc. | | | | | 11,021,718 | | |
| | | 374,074 | | | | Edwards Lifesciences Corp.* | | | | | 43,833,991 | | |
| | | 1,433 | | | | Henry Schein Inc.* | | | | | 108,320 | | |
| | | 2,641 | | | | Hologic Inc.* | | | | | 209,035 | | |
| | | 39,092 | | | | IDEXX Laboratories Inc.* | | | | | 26,338,626 | | |
| | | 18,649 | | | | Intuitive Surgical Inc.* | | | | | 19,647,840 | | |
| | | 248,146 | | | | Medtronic PLC | | | | | 33,122,528 | | |
| | | 1,156 | | | | PerkinElmer Inc. | | | | | 213,629 | | |
| | | 1,500 | | | | ResMed Inc. | | | | | 435,795 | | |
| | | 1,007 | | | | STERIS PLC | | | | | 216,515 | | |
| | | 55,156 | | | | Stryker Corp. | | | | | 15,283,728 | | |
| | | 482 | | | | Teleflex Inc. | | | | | 190,612 | | |
| | | 4,052 | | | | Thermo Fisher Scientific Inc. | | | | | 2,248,657 | | |
| | | 761 | | | | West Pharmaceutical Services Inc. | | | | | 343,683 | | |
| | | 71,105 | | | | Zimmer Biomet Holdings Inc. | | | | | 10,697,747 | | |
| | | | | | | Total Healthcare-Products | | | | | 284,002,516 | | |
| Healthcare-Services – 2.9% | | ||||||||||||
| | | 15,924 | | | | Anthem Inc. | | | | | 5,973,570 | | |
| | | 1,756 | | | | Catalent Inc.* | | | | | 229,053 | | |
| | | 207,706 | | | | Centene Corp.* | | | | | 13,081,324 | | |
| | | 518 | | | | Charles River Laboratories International Inc.* | | | | | 229,919 | | |
| | | 83,768 | | | | DaVita Inc.* | | | | | 10,954,341 | | |
| | | 80,380 | | | | HCA Healthcare Inc. | | | | | 20,334,532 | | |
| | | 10,301 | | | | Humana Inc. | | | | | 4,176,231 | | |
| | | 1,976 | | | | IQVIA Holdings Inc.* | | | | | 513,226 | | |
| | | 39,874 | | | | Laboratory Corp. of America Holdings* | | | | | 12,096,974 | | |
| Shares/Units | | | Security | | | Value | | | | ||||||||||
| COMMON STOCKS – (continued) | | | | ||||||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | | | ||||||||||||||||
| Healthcare-Services – (continued) | | | | ||||||||||||||||
| | | 1,347 | | | | Quest Diagnostics Inc. | | | | $ | 205,862 | | | | | ||||
| | | 198,200 | | | | UnitedHealth Group Inc. | | | | | 82,504,714 | | | | | ||||
| | | 799 | | | | Universal Health Services Inc., Class B Shares | | | | | 124,452 | | | | | ||||
| | | | | | | Total Healthcare-Services | | | | | 150,424,198 | | | | | ||||
| Household Products/Wares – 0.0% | | | | ||||||||||||||||
| | | 856 | | | | Avery Dennison Corp. | | | | | 192,934 | | | | | ||||
| | | 2,528 | | | | Church & Dwight Co., Inc. | | | | | 211,492 | | | | | ||||
| | | 1,282 | | | | Clorox Co. | | | | | 215,440 | | | | | ||||
| | | 3,478 | | | | Kimberly-Clark Corp. | | | | | 479,303 | | | | | ||||
| | | | | | | Total Household Products/Wares | | | | | 1,099,169 | | | | | ||||
| Pharmaceuticals – 4.8% | | | | ||||||||||||||||
| | | 178,237 | | | | AbbVie Inc. | | | | | 21,527,465 | | | | | ||||
| | | 1,525 | | | | AmerisourceBergen Corp., Class A Shares | | | | | 186,370 | | | | | ||||
| | | 108,719 | | | | AstraZeneca PLC, ADR | | | | | 6,336,143 | | | | | ||||
| | | 40,279 | | | | Becton Dickinson & Co. | | | | | 10,138,224 | | | | | ||||
| | | 23,029 | | | | Bristol-Myers Squibb Co. | | | | | 1,539,719 | | | | | ||||
| | | 2,991 | | | | Cardinal Health Inc. | | | | | 156,998 | | | | | ||||
| | | 23,781 | | | | Cigna Corp. | | | | | 5,033,249 | | | | | ||||
| | | 508,457 | | | | CVS Health Corp. | | | | | 43,925,600 | | | | | ||||
| | | 997 | | | | DexCom Inc.* | | | | | 527,832 | | | | | ||||
| | | 253,049 | | | | Elanco Animal Health Inc.* | | | | | 8,446,776 | | | | | ||||
| | | 266,432 | | | | Eli Lilly & Co. | | | | | 68,816,721 | | | | | ||||
| | | 27,147 | | | | Johnson & Johnson | | | | | 4,699,960 | | | | | ||||
| | | 214,697 | | | | McKesson Corp. | | | | | 43,828,246 | | | | | ||||
| | | 166,497 | | | | Merck & Co., Inc. | | | | | 12,702,056 | | | | | ||||
| | | 334,477 | | | | Organon & Co. | | | | | 11,335,426 | | | | | ||||
| | | 1,377 | | | | Perrigo Co. PLC | | | | | 56,388 | | | | | ||||
| | | 57,705 | | | | Pfizer Inc. | | | | | 2,658,469 | | | | | ||||
| | | 156,257 | | | | Sarepta Therapeutics Inc.* | | | | | 12,206,797 | | | | | ||||
| | | 399,212 | | | | Viatris Inc. | | | | | 5,840,472 | | | | | ||||
| | | 4,894 | | | | Zoetis Inc., Class A Shares | | | | | 1,001,117 | | | | | ||||
| | | | | | | Total Pharmaceuticals | | | | | 260,964,028 | | | | | ||||
| | | | | | | TOTAL CONSUMER NON-CYCLICAL | | | | | 1,251,744,246 | | | | | ||||
| ENERGY – 2.9% | | | | ||||||||||||||||
| Energy-Alternate Sources – 0.6% | | | | ||||||||||||||||
| | | 134,899 | | | | Enphase Energy Inc.* | | | | | 23,436,003 | | | | | ||||
| | | 153,526 | | | | NextEra Energy Partners LP | | | | | 12,271,333 | | | | | ||||
| | | | | | | Total Energy-Alternate Sources | | | | | 35,707,336 | | | | | ||||
| Oil & Gas – 2.3% | | | | | | | | ||||||||||||
| | | 3,984 | | | | APA Corp. | | | | | 77,608 | | | | |
| Shares/Units | | | Security | | | Value | | | | ||||||||||
| COMMON STOCKS – (continued) | | | | ||||||||||||||||
| ENERGY – (continued) | | | | ||||||||||||||||
| Oil & Gas – (continued) | | | | ||||||||||||||||
| | | 4,120 | | | | Cabot Oil & Gas Corp. | | | | $ | 65,467 | | | | | ||||
| | | 19,924 | | | | Chevron Corp. | | | | | 1,928,046 | | | | | ||||
| | | 13,911 | | | | ConocoPhillips | | | | | 772,478 | | | | | ||||
| | | 604,606 | | | | Devon Energy Corp. | | | | | 17,866,107 | | | | | ||||
| | | 1,866 | | | | Diamondback Energy Inc. | | | | | 143,943 | | | | | ||||
| | | 6,016 | | | | EOG Resources Inc. | | | | | 406,200 | | | | | ||||
| | | 499,791 | | | | EQT Corp.* | | | | | 9,161,169 | | | | | ||||
| | | 434,957 | | | | Exxon Mobil Corp. | | | | | 23,713,856 | | | | | ||||
| | | 193,415 | | | | Hess Corp. | | | | | 13,297,281 | | | | | ||||
| | | 7,922 | | | | Marathon Oil Corp. | | | | | 93,084 | | | | | ||||
| | | 320,368 | | | | Marathon Petroleum Corp. | | | | | 18,988,211 | | | | | ||||
| | | 8,660 | | | | Occidental Petroleum Corp. | | | | | 222,476 | | | | | ||||
| | | 4,514 | | | | Phillips 66 | | | | | 320,900 | | | | | ||||
| | | 206,397 | | | | Pioneer Natural Resources Co. | | | | | 30,891,439 | | | | | ||||
| | | 4,214 | | | | Valero Energy Corp. | | | | | 279,430 | | | | | ||||
| | | | | | | Total Oil & Gas | | | | | 118,227,695 | | | | | ||||
| Oil & Gas Services – 0.0% | | | | | | | | ||||||||||||
| | | 7,499 | | | | Baker Hughes Co., Class A Shares | | | | | 170,827 | | | | | ||||
| | | 9,172 | | | | Halliburton Co. | | | | | 183,257 | | | | | ||||
| | | 3,972 | | | | NOV Inc.* | | | | | 52,311 | | | | | ||||
| | | 14,415 | | | | Schlumberger NV | | | | | 404,197 | | | | | ||||
| | | | | | | Total Oil & Gas Services | | | | | 810,592 | | | | | ||||
| Pipelines – 0.0% | | | | ||||||||||||||||
| | | 20,076 | | | | Kinder Morgan Inc. | | | | | 326,637 | | | | | ||||
| | | 4,593 | | | | ONEOK Inc. | | | | | 241,224 | | | | | ||||
| | | 12,523 | | | | Williams Cos., Inc. | | | | | 309,193 | | | | | ||||
| | | | | | | Total Pipelines | | | | | 877,054 | | | | | ||||
| | | | | | | TOTAL ENERGY | | | | | 155,622,677 | | | | | ||||
| FINANCIAL – 11.8% | | | | ||||||||||||||||
| Banks – 1.7% | | | | | | | | ||||||||||||
| | | 77,737 | | | | Bank of America Corp. | | | | | 3,245,520 | | | | | ||||
| | | 8,317 | | | | Bank of New York Mellon Corp. | | | | | 459,265 | | | | | ||||
| | | 21,308 | | | | Citigroup Inc. | | | | | 1,532,258 | | | | | ||||
| | | 4,391 | | | | Citizens Financial Group Inc. | | | | | 192,282 | | | | | ||||
| | | 1,410 | | | | Comerica Inc. | | | | | 104,213 | | | | | ||||
| | | 7,257 | | | | Fifth Third Bancorp | | | | | 282,007 | | | | | ||||
| | | 1,814 | | | | First Republic Bank | | | | | 360,877 | | | | | ||||
| | | 20,929 | | | | Goldman Sachs Group Inc. | | | | | 8,654,351 | | | | | ||||
| | | 15,210 | | | | Huntington Bancshares Inc. | | | | | 236,211 | | | | | ||||
| | | 154,519 | | | | JPMorgan Chase & Co. | | | | | 24,715,314 | | | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Banks – (continued) | | ||||||||||||
| | | 10,005 | | | | KeyCorp | | | | $ | 203,302 | | |
| | | 1,326 | | | | M&T Bank Corp. | | | | | 185,653 | | |
| | | 208,203 | | | | Morgan Stanley | | | | | 21,742,639 | | |
| | | 2,146 | | | | Northern Trust Corp. | | | | | 254,344 | | |
| | | 4,380 | | | | PNC Financial Services Group Inc. | | | | | 837,018 | | |
| | | 9,910 | | | | Regions Financial Corp. | | | | | 202,461 | | |
| | | 3,585 | | | | State Street Corp. | | | | | 333,082 | | |
| | | 579 | | | | SVB Financial Group* | | | | | 323,951 | | |
| | | 13,864 | | | | Truist Financial Corp. | | | | | 791,080 | | |
| | | 110,201 | | | | US Bancorp | | | | | 6,324,435 | | |
| | | 447,798 | | | | Wells Fargo & Co. | | | | | 20,464,369 | | |
| | | 1,774 | | | | Zions Bancorp N.A. | | | | | 102,715 | | |
| | | | | | | Total Banks | | | | | 91,547,347 | | |
| Diversified Financial Services – 4.2% | | ||||||||||||
| | | 6,708 | | | | American Express Co. | | | | | 1,113,260 | | |
| | | 87,645 | | | | Ameriprise Financial Inc. | | | | | 23,919,197 | | |
| | | 282,464 | | | | Ant International Co., Ltd., Class C Shares, Private Placement*(c)(d)@ | | | | | 1,991,371 | | |
| | | 1,463 | | | | BlackRock Inc., Class A Shares | | | | | 1,380,033 | | |
| | | 156,976 | | | | Capital One Financial Corp. | | | | | 26,053,307 | | |
| | | 1,100 | | | | Cboe Global Markets Inc. | | | | | 138,765 | | |
| | | 383,275 | | | | Charles Schwab Corp. | | | | | 27,921,584 | | |
| | | 3,702 | | | | CME Group Inc., Class A Shares | | | | | 746,767 | | |
| | | 3,143 | | | | Discover Financial Services | | | | | 402,995 | | |
| | | 2,942 | | | | Franklin Resources Inc. | | | | | 95,438 | | |
| | | 5,801 | | | | Intercontinental Exchange Inc. | | | | | 693,394 | | |
| | | 444,274 | | | | Invesco Ltd. | | | | | 11,249,018 | | |
| | | 57,430 | | | | LPL Financial Holdings Inc. | | | | | 8,491,026 | | |
| | | 349 | | | | Maplebear Inc. d/b/a Instacart, Non-voting Shares*(c)(d)@ | | | | | 43,625 | | |
| | | 6,679 | | | | Maplebear Inc. d/b/a Instacart, Private Placement*(c)(d)@ | | | | | 834,875 | | |
| | | 73,372 | | | | Mastercard Inc., Class A Shares | | | | | 25,403,588 | | |
| | | 1,184 | | | | Nasdaq Inc. | | | | | 231,804 | | |
| | | 1,261 | | | | Raymond James Financial Inc. | | | | | 176,414 | | |
| | | 214,242 | | | | SoFi Technologies Inc.* | | | | | 3,037,952 | | |
| | | 5,576 | | | | Synchrony Financial | | | | | 277,406 | | |
| | | 2,339 | | | | T Rowe Price Group Inc. | | | | | 523,632 | | |
| | | 28,747 | | | | Tradeweb Markets Inc., Class A Shares | | | | | 2,501,276 | | |
| | | 329,310 | | | | Visa Inc., Class A Shares | | | | | 75,444,921 | | |
| | | 4,117 | | | | Western Union Co. | | | | | 89,092 | | |
| | | 74,794 | | | | XP Inc., Class A Shares* | | | | | 3,638,728 | | |
| | | | | | | Total Diversified Financial Services | | | | | 216,399,468 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Equity Real Estate Investment Trusts (REITs) – 0.2% | | ||||||||||||
| | | 1,414 | | | | Alexandria Real Estate Equities Inc. | | | | $ | 291,807 | | |
| | | 4,687 | | | | American Tower Corp. | | | | | 1,369,401 | | |
| | | 1,439 | | | | AvalonBay Communities Inc. | | | | | 330,366 | | |
| | | 1,464 | | | | Boston Properties Inc. | | | | | 165,417 | | |
| | | 4,455 | | | | Crown Castle International Corp. | | | | | 867,344 | | |
| | | 2,903 | | | | Digital Realty Trust Inc. | | | | | 475,831 | | |
| | | 3,866 | | | | Duke Realty Corp. | | | | | 203,004 | | |
| | | 923 | | | | Equinix Inc. | | | | | 778,504 | | |
| | | 3,547 | | | | Equity Residential | | | | | 298,196 | | |
| | | 670 | | | | Essex Property Trust Inc. | | | | | 221,596 | | |
| | | 1,379 | | | | Extra Space Storage Inc. | | | | | 257,749 | | |
| | | 772 | | | | Federal Realty Investment Trust | | | | | 94,006 | | |
| | | 5,556 | | | | Healthpeak Properties Inc. | | | | | 200,016 | | |
| | | 7,217 | | | | Host Hotels & Resorts Inc.* | | | | | 119,514 | | |
| | | 2,976 | | | | Iron Mountain Inc. | | | | | 142,104 | | |
| | | 6,194 | | | | Kimco Realty Corp. | | | | | 134,967 | | |
| | | 1,180 | | | | Mid-America Apartment Communities Inc. | | | | | 226,997 | | |
| | | 7,626 | | | | Prologis Inc. | | | | | 1,026,917 | | |
| | | 1,569 | | | | Public Storage | | | | | 507,744 | | |
| | | 3,851 | | | | Realty Income Corp. | | | | | 278,119 | | |
| | | 1,605 | | | | Regency Centers Corp. | | | | | 110,135 | | |
| | | 1,127 | | | | SBA Communications Corp., Class A Shares | | | | | 404,559 | | |
| | | 3,387 | | | | Simon Property Group Inc. | | | | | 455,382 | | |
| | | 3,060 | | | | UDR Inc. | | | | | 165,301 | | |
| | | 3,867 | | | | Ventas Inc. | | | | | 216,320 | | |
| | | 1,648 | | | | Vornado Realty Trust | | | | | 69,018 | | |
| | | 4,304 | | | | Welltower Inc. | | | | | 376,729 | | |
| | | 321,683 | | | | Weyerhaeuser Co. | | | | | 11,580,588 | | |
| | | | | | | Total Equity Real Estate Investment Trusts (REITs) | | | | | 21,367,631 | | |
| Insurance – 4.5% | | ||||||||||||
| | | 6,516 | | | | Aflac Inc. | | | | | 369,327 | | |
| | | 3,086 | | | | Allstate Corp. | | | | | 417,474 | | |
| | | 8,847 | | | | American International Group Inc. | | | | | 482,692 | | |
| | | 54,243 | | | | Aon PLC, Class A Shares | | | | | 15,560,147 | | |
| | | 2,112 | | | | Arthur J Gallagher & Co. | | | | | 303,325 | | |
| | | 167,037 | | | | Assurant Inc. | | | | | 28,414,664 | | |
| | | 387,570 | | | | Berkshire Hathaway Inc., Class B Shares* | | | | | 110,755,879 | | |
| | | 4,636 | | | | Chubb Ltd. | | | | | 852,653 | | |
| | | 1,544 | | | | Cincinnati Financial Corp. | | | | | 190,530 | | |
| | | 186,058 | | | | Equitable Holdings Inc. | | | | | 5,769,659 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Insurance – (continued) | | ||||||||||||
| | | 407 | | | | Everest Re Group Ltd. | | | | $ | 107,814 | | |
| | | 1,027 | | | | Globe Life Inc. | | | | | 98,664 | | |
| | | 3,682 | | | | Hartford Financial Services Group Inc. | | | | | 247,504 | | |
| | | 1,838 | | | | Lincoln National Corp. | | | | | 126,179 | | |
| | | 2,300 | | | | Loews Corp. | | | | | 128,501 | | |
| | | 5,242 | | | | Marsh & McLennan Cos., Inc. | | | | | 824,042 | | |
| | | 7,671 | | | | MetLife Inc. | | | | | 475,602 | | |
| | | 88,901 | | | | Principal Financial Group Inc. | | | | | 5,939,476 | | |
| | | 399,816 | | | | Progressive Corp. | | | | | 38,518,273 | | |
| | | 4,062 | | | | Prudential Financial Inc. | | | | | 430,085 | | |
| | | 2,593 | | | | Travelers Cos., Inc. | | | | | 414,128 | | |
| | | 2,101 | | | | Unum Group | | | | | 55,929 | | |
| | | 311,650 | | | | Voya Financial Inc. | | | | | 20,251,017 | | |
| | | 58,217 | | | | Willis Towers Watson PLC | | | | | 12,849,656 | | |
| | | 1,423 | | | | WR Berkley Corp. | | | | | 107,166 | | |
| | | | | | | Total Insurance | | | | | 243,690,386 | | |
| Private Equity – 1.2% | | ||||||||||||
| | | 991,411 | | | | KKR & Co., Inc., Class Miscella Shares | | | | | 63,737,813 | | |
| Real Estate – 0.0% | | ||||||||||||
| | | 3,460 | | | | CBRE Group Inc., Class A Shares* | | | | | 333,198 | | |
| Savings & Loans – 0.0% | | ||||||||||||
| | | 4,408 | | | | People’s United Financial Inc. | | | | | 72,423 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 637,148,266 | | |
| INDUSTRIAL – 6.6% | | ||||||||||||
| Aerospace/Defense – 2.3% | | ||||||||||||
| | | 60,618 | | | | Airbus SE* | | | | | 8,281,193 | | |
| | | 48,216 | | | | Boeing Co.* | | | | | 10,583,412 | | |
| | | 56,875 | | | | General Dynamics Corp. | | | | | 11,392,631 | | |
| | | 430,080 | | | | Howmet Aerospace Inc. | | | | | 13,655,040 | | |
| | | 106,817 | | | | L3Harris Technologies Inc. | | | | | 24,889,429 | | |
| | | 32,871 | | | | Lockheed Martin Corp. | | | | | 11,826,986 | | |
| | | 67,477 | | | | Northrop Grumman Corp. | | | | | 24,811,293 | | |
| | | 15,618 | | | | Raytheon Technologies Corp. | | | | | 1,323,782 | | |
| | | 22,091 | | | | Teledyne Technologies Inc.* | | | | | 10,236,528 | | |
| | | 566 | | | | TransDigm Group Inc.* | | | | | 343,828 | | |
| | | | | | | Total Aerospace/Defense | | | | | 117,344,122 | | |
| Building Materials – 0.5% | | ||||||||||||
| | | 252,950 | | | | Carrier Global Corp. | | | | | 14,569,920 | | |
| | | 1,427 | | | | Fortune Brands Home & Security Inc. | | | | | 138,947 | | |
| | | 7,388 | | | | Johnson Controls International PLC | | | | | 552,622 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Building Materials – (continued) | | ||||||||||||
| | | 24,971 | | | | Martin Marietta Materials Inc. | | | | $ | 9,520,194 | | |
| | | 2,616 | | | | Masco Corp. | | | | | 158,844 | | |
| | | 1,368 | | | | Vulcan Materials Co. | | | | | 254,352 | | |
| | | | | | | Total Building Materials | | | | | 25,194,879 | | |
| Electrical Components & Equipment – 0.2% | | ||||||||||||
| | | 2,380 | | | | AMETEK Inc. | | | | | 323,609 | | |
| | | 6,182 | | | | Emerson Electric Co. | | | | | 652,201 | | |
| | | 16,749 | | | | Generac Holdings Inc.* | | | | | 7,318,978 | | |
| | | | | | | Total Electrical Components & Equipment | | | | | 8,294,788 | | |
| Electronics – 0.3% | | ||||||||||||
| | | 3,128 | | | | Agilent Technologies Inc. | | | | | 548,870 | | |
| | | 925 | | | | Allegion PLC | | | | | 133,191 | | |
| | | 6,161 | | | | Amphenol Corp., Class A Shares | | | | | 472,117 | | |
| | | 3,490 | | | | Fortive Corp. | | | | | 257,806 | | |
| | | 1,545 | | | | Garmin Ltd. | | | | | 269,494 | | |
| | | 7,160 | | | | Honeywell International Inc. | | | | | 1,660,476 | | |
| | | 54,660 | | | | Hubbell Inc., Class B Shares | | | | | 11,265,973 | | |
| | | 1,899 | | | | Keysight Technologies Inc.* | | | | | 340,643 | | |
| | | 240 | | | | Mettler-Toledo International Inc.* | | | | | 372,679 | | |
| | | 3,404 | | | | TE Connectivity Ltd. | | | | | 511,349 | | |
| | | 2,587 | | | | Trimble Inc.* | | | | | 243,747 | | |
| | | 636 | | | | Waters Corp.* | | | | | 263,317 | | |
| | | | | | | Total Electronics | | | | | 16,339,662 | | |
| Engineering & Construction – 0.0% | | ||||||||||||
| | | 1,342 | | | | Jacobs Engineering Group Inc. | | | | | 181,116 | | |
| Environmental Control – 0.0% | | ||||||||||||
| | | 1,713 | | | | Pentair PLC | | | | | 132,175 | | |
| | | 2,171 | | | | Republic Services Inc., Class A Shares | | | | | 269,486 | | |
| | | 4,003 | | | | Waste Management Inc. | | | | | 620,905 | | |
| | | | | | | Total Environmental Control | | | | | 1,022,566 | | |
| Hand/Machine Tools – 0.0% | | ||||||||||||
| | | 555 | | | | Snap-on Inc. | | | | | 124,847 | | |
| | | 1,665 | | | | Stanley Black & Decker Inc. | | | | | 321,795 | | |
| | | | | | | Total Hand/Machine Tools | | | | | 446,642 | | |
| Machinery-Construction & Mining – 0.3% | | ||||||||||||
| | | 733,211 | | | | Bloom Energy Corp., Class A Shares* | | | | | 15,705,380 | | |
| | | 5,647 | | | | Caterpillar Inc. | | | | | 1,190,783 | | |
| | | | | | | Total Machinery-Construction & Mining | | | | | 16,896,163 | | |
| Machinery-Diversified – 0.3% | | ||||||||||||
| | | 3,216 | | | | Deere & Co. | | | | | 1,215,744 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Machinery-Diversified – (continued) | | ||||||||||||
| | | 1,484 | | | | Dover Corp. | | | | $ | 258,750 | | |
| | | 783 | | | | IDEX Corp. | | | | | 175,392 | | |
| | | 280,546 | | | | Ingersoll Rand Inc.* | | | | | 14,874,549 | | |
| | | 4,158 | | | | Otis Worldwide Corp. | | | | | 383,451 | | |
| | | 1,197 | | | | Rockwell Automation Inc. | | | | | 389,564 | | |
| | | 1,831 | | | | Westinghouse Air Brake Technologies Corp. | | | | | 164,405 | | |
| | | 1,856 | | | | Xylem Inc. | | | | | 252,991 | | |
| | | | | | | Total Machinery-Diversified | | | | | 17,714,846 | | |
| Miscellaneous Manufacturers – 1.4% | | ||||||||||||
| | | 5,976 | | | | 3M Co. | | | | | 1,163,766 | | |
| | | 151,967 | | | | AO Smith Corp. | | | | | 11,051,040 | | |
| | | 107,973 | | | | Eaton Corp. PLC | | | | | 18,178,334 | | |
| | | 11,312 | | | | General Electric Co. | | | | | 1,192,398 | | |
| | | 2,963 | | | | Illinois Tool Works Inc. | | | | | 689,964 | | |
| | | 1,330 | | | | Parker-Hannifin Corp. | | | | | 394,571 | | |
| | | 150,141 | | | | Textron Inc. | | | | | 10,910,746 | | |
| | | 148,046 | | | | Trane Technologies PLC | | | | | 29,387,131 | | |
| | | | | | | Total Miscellaneous Manufacturers | | | | | 72,967,950 | | |
| Packaging & Containers – 0.0% | | ||||||||||||
| | | 15,894 | | | | Amcor PLC | | | | | 204,238 | | |
| | | 3,384 | | | | Ball Corp. | | | | | 324,729 | | |
| | | 979 | | | | Packaging Corp. of America | | | | | 148,514 | | |
| | | 1,528 | | | | Sealed Air Corp. | | | | | 93,254 | | |
| | | 2,743 | | | | WestRock Co. | | | | | 142,746 | | |
| | | | | | | Total Packaging & Containers | | | | | 913,481 | | |
| Shipbuilding – 0.2% | | ||||||||||||
| | | 53,274 | | | | Huntington Ingalls Industries Inc. | | | | | 10,876,953 | | |
| Transportation – 1.1% | | ||||||||||||
| | | 1,364 | | | | CH Robinson Worldwide Inc. | | | | | 122,842 | | |
| | | 23,423 | | | | CSX Corp. | | | | | 761,950 | | |
| | | 1,741 | | | | Expeditors International of Washington Inc. | | | | | 216,998 | | |
| | | 109,982 | | | | FedEx Corp. | | | | | 29,221,118 | | |
| | | 861 | | | | JB Hunt Transport Services Inc. | | | | | 152,741 | | |
| | | 937 | | | | Kansas City Southern | | | | | 262,988 | | |
| | | 12,456 | | | | Norfolk Southern Corp. | | | | | 3,158,094 | | |
| | | 980 | | | | Old Dominion Freight Line Inc. | | | | | 282,946 | | |
| | | 55,205 | | | | Union Pacific Corp. | | | | | 11,970,652 | | |
| | | 63,049 | | | | United Parcel Service Inc., Class B Shares | | | | | 12,334,276 | | |
| | | | | | | Total Transportation | | | | | 58,484,605 | | |
| | | | | | | TOTAL INDUSTRIAL | | | | | 346,677,773 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| TECHNOLOGY – 19.8% | | ||||||||||||
| Computers – 2.3% | | ||||||||||||
| | | 6,553 | | | | Accenture PLC, Class A Shares | | | | $ | 2,205,478 | | |
| | | 573,002 | | | | Apple Inc. | | | | | 86,998,894 | | |
| | | 21,504 | | | | CACI International Inc., Class A Shares* | | | | | 5,538,140 | | |
| | | 147,403 | | | | Cognizant Technology Solutions Corp., Class A Shares | | | | | 11,248,323 | | |
| | | 2,586 | | | | DXC Technology Co.* | | | | | 94,958 | | |
| | | 37,526 | | | | Fortinet Inc.* | | | | | 11,825,944 | | |
| | | 13,462 | | | | Hewlett Packard Enterprise Co. | | | | | 208,122 | | |
| | | 12,383 | | | | HP Inc. | | | | | 368,270 | | |
| | | 9,211 | | | | International Business Machines Corp. | | | | | 1,292,672 | | |
| | | 113,232 | | | | Leidos Holdings Inc. | | | | | 11,109,192 | | |
| | | 2,295 | | | | NetApp Inc. | | | | | 204,094 | | |
| | | 2,053 | | | | Seagate Technology Holdings PLC | | | | | 179,822 | | |
| | | 3,159 | | | | Western Digital Corp.* | | | | | 199,649 | | |
| | | | | | | Total Computers | | | | | 131,473,558 | | |
| Office/Business Equipment – 0.1% | | ||||||||||||
| | | 5,351 | | | | Zebra Technologies Corp., Class A Shares* | | | | | 3,141,947 | | |
| Semiconductors – 3.3% | | ||||||||||||
| | | 200,576 | | | | Advanced Micro Devices Inc.* | | | | | 22,207,775 | | |
| | | 5,544 | | | | Analog Devices Inc. | | | | | 903,395 | | |
| | | 91,565 | | | | Applied Materials Inc. | | | | | 12,373,178 | | |
| | | 22,460 | | | | ASML Holding NV, Class NY Registered Shares, ADR | | | | | 18,710,078 | | |
| | | 4,209 | | | | Broadcom Inc. | | | | | 2,092,757 | | |
| | | 41,626 | | | | Intel Corp. | | | | | 2,250,302 | | |
| | | 376 | | | | IPG Photonics Corp.* | | | | | 64,176 | | |
| | | 1,580 | | | | KLA Corp. | | | | | 537,137 | | |
| | | 1,470 | | | | Lam Research Corp. | | | | | 889,085 | | |
| | | 2,820 | | | | Microchip Technology Inc. | | | | | 443,755 | | |
| | | 11,560 | | | | Micron Technology Inc.* | | | | | 851,972 | | |
| | | 443 | | | | Monolithic Power Systems Inc. | | | | | 219,254 | | |
| | | 310,855 | | | | NVIDIA Corp. | | | | | 69,584,892 | | |
| | | 2,843 | | | | NXP Semiconductors NV | | | | | 611,615 | | |
| | | 59,467 | | | | Qorvo Inc.* | | | | | 11,181,580 | | |
| | | 178,811 | | | | QUALCOMM Inc. | | | | | 26,229,786 | | |
| | | 1,702 | | | | Skyworks Solutions Inc. | | | | | 312,249 | | |
| | | 65,700 | | | | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | | | | | 7,818,957 | | |
| | | 1,714 | | | | Teradyne Inc. | | | | | 208,148 | | |
| | | 9,520 | | | | Texas Instruments Inc. | | | | | 1,817,463 | | |
| | | 2,534 | | | | Xilinx Inc. | | | | | 394,265 | | |
| | | | | | | Total Semiconductors | | | | | 179,701,819 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| TECHNOLOGY – (continued) | | ||||||||||||
| Software – 14.1% | | ||||||||||||
| | | 272,272 | | | | Activision Blizzard Inc. | | | | $ | 22,427,045 | | |
| | | 87,665 | | | | Adobe Inc.* | | | | | 58,183,260 | | |
| | | 1,680 | | | | Akamai Technologies Inc.* | | | | | 190,260 | | |
| | | 898 | | | | ANSYS Inc.* | | | | | 328,093 | | |
| | | 35,456 | | | | Autodesk Inc.* | | | | | 10,994,551 | | |
| | | 24,924 | | | | Avalara Inc.* | | | | | 4,478,843 | | |
| | | 70,410 | | | | Black Knight Inc.* | | | | | 5,327,925 | | |
| | | 1,197 | | | | Broadridge Financial Solutions Inc. | | | | | 206,147 | | |
| | | 2,869 | | | | Cadence Design Systems Inc.* | | | | | 469,024 | | |
| | | 1,271 | | | | Celonis SE*(c)(d)@ | | | | | 470,003 | | |
| | | 7,239 | | | | Ceridian HCM Holding Inc.* | | | | | 813,302 | | |
| | | 3,106 | | | | Cerner Corp. | | | | | 237,143 | | |
| | | 1,278 | | | | Citrix Systems Inc. | | | | | 131,468 | | |
| | | 4,276 | | | | Coupa Software Inc.* | | | | | 1,046,808 | | |
| | | 40,161 | | | | Datadog Inc., Class A Shares* | | | | | 5,534,186 | | |
| | | 105,938 | | | | DocuSign Inc., Class A Shares* | | | | | 31,383,073 | | |
| | | 2,950 | | | | Electronic Arts Inc. | | | | | 428,369 | | |
| | | 3,985 | | | | Epic Games Inc., Private Placement*(c)(d)@ | | | | | 3,526,725 | | |
| | | 31,035 | | | | Fidelity National Information Services Inc. | | | | | 3,965,342 | | |
| | | 745,973 | | | | Fiserv Inc.* | | | | | 87,868,160 | | |
| | | 147,807 | | | | Intuit Inc. | | | | | 83,675,021 | | |
| | | 766 | | | | Jack Henry & Associates Inc. | | | | | 135,107 | | |
| | | 458,926 | | | | Microsoft Corp. | | | | | 138,540,581 | | |
| | | 15,858 | | | | MongoDB Inc., Class A Shares* | | | | | 6,213,640 | | |
| | | 71,374 | | | | MSCI Inc., Class A Shares | | | | | 45,292,513 | | |
| | | 18,727 | | | | Oracle Corp. | | | | | 1,669,137 | | |
| | | 3,306 | | | | Paychex Inc. | | | | | 378,438 | | |
| | | 6,856 | | | | Paycom Software Inc.* | | | | | 3,351,898 | | |
| | | 1,084 | | | | PTC Inc.* | | | | | 142,719 | | |
| | | 131,142 | | | | RingCentral Inc., Class A Shares* | | | | | 33,081,881 | | |
| | | 12,366 | | | | ROBLOX Corp., Class A Shares* | | | | | 1,014,630 | | |
| | | 25,111 | | | | Roper Technologies Inc. | | | | | 12,135,644 | | |
| | | 192,108 | | | | salesforce.com Inc.* | | | | | 50,960,489 | | |
| | | 10,089 | | | | SentinelOne Inc., Class A Shares* | | | | | 644,990 | | |
| | | 112,347 | | | | ServiceNow Inc.* | | | | | 72,311,023 | | |
| | | 7,444 | | | | Snowflake Inc., Class A Shares* | | | | | 2,265,581 | | |
| | | 201,699 | | | | Splunk Inc.* | | | | | 30,833,726 | | |
| | | 20,012 | | | | Stripe Inc., Class B Shares, Private Placement*(c)(d)@ | | | | | 802,981 | | |
| | | 1,573 | | | | Synopsys Inc.* | | | | | 522,614 | | |
| Shares/Units | | | Security | | | Value | | | | ||||||||||
| COMMON STOCKS – (continued) | | | | ||||||||||||||||
| TECHNOLOGY – (continued) | | | | ||||||||||||||||
| Software – (continued) | | | | ||||||||||||||||
| | | 1,192 | | | | Take-Two Interactive Software Inc.* | | | | $ | 192,174 | | | | | ||||
| | | 420 | | | | Tyler Technologies Inc.* | | | | | 203,994 | | | | | ||||
| | | 2,358 | | | | UiPath Inc., Class A Shares*(a) | | | | | 149,026 | | | | | ||||
| | | 86,045 | | | | UiPath Inc., Class A Shares, Private Placement*(c)@ | | | | | 5,166,142 | | | | | ||||
| | | 13,033 | | | | Workday Inc., Class A Shares* | | | | | 3,560,094 | | | | | ||||
| | | 32,158 | | | | Zoom Video Communications Inc., Class A Shares* | | | | | 9,309,741 | | | | | ||||
| | | | | | | Total Software | | | | | 740,563,511 | | | | | ||||
| | | | | | | TOTAL TECHNOLOGY | | | | | 1,054,880,835 | | | | | ||||
| UTILITIES – 2.1% | | | | ||||||||||||||||
| Electric – 2.1% | | | | ||||||||||||||||
| | | 606,907 | | | | AES Corp. | | | | | 14,486,870 | | | | | ||||
| | | 2,579 | | | | Alliant Energy Corp. | | | | | 156,777 | | | | | ||||
| | | 2,634 | | | | Ameren Corp. | | | | | 231,054 | | | | | ||||
| | | 424,145 | | | | American Electric Power Co., Inc. | | | | | 37,990,668 | | | | | ||||
| | | 5,984 | | | | CenterPoint Energy Inc. | | | | | 150,139 | | | | | ||||
| | | 298,735 | | | | Clearway Energy Inc., Class C Shares | | | | | 9,377,292 | | | | | ||||
| | | 2,984 | | | | CMS Energy Corp. | | | | | 191,364 | | | | | ||||
| | | 3,534 | | | | Consolidated Edison Inc. | | | | | 266,640 | | | | | ||||
| | | 8,314 | | | | Dominion Energy Inc. | | | | | 647,162 | | | | | ||||
| | | 1,997 | | | | DTE Energy Co. | | | | | 240,319 | | | | | ||||
| | | 7,930 | | | | Duke Energy Corp. | | | | | 829,954 | | | | | ||||
| | | 3,911 | | | | Edison International | | | | | 226,212 | | | | | ||||
| | | 2,069 | | | | Entergy Corp. | | | | | 228,852 | | | | | ||||
| | | 2,363 | | | | Evergy Inc. | | | | | 161,747 | | | | | ||||
| | | 3,541 | | | | Eversource Energy | | | | | 321,275 | | | | | ||||
| | | 629,763 | | | | Exelon Corp. | | | | | 30,870,982 | | | | | ||||
| | | 5,607 | | | | FirstEnergy Corp. | | | | | 217,944 | | | | | ||||
| | | 20,220 | | | | NextEra Energy Inc. | | | | | 1,698,278 | | | | | ||||
| | | 2,494 | | | | NRG Energy Inc. | | | | | 113,901 | | | | | ||||
| | | 1,221 | | | | Pinnacle West Capital Corp. | | | | | 93,895 | | | | | ||||
| | | 356,854 | | | | PPL Corp. | | | | | 10,473,665 | | | | | ||||
| | | 5,207 | | | | Public Service Enterprise Group Inc. | | | | | 332,936 | | | | | ||||
| | | 3,248 | | | | Sempra Energy | | | | | 429,905 | | | | | ||||
| | | 10,913 | | | | Southern Co. | | | | | 717,311 | | | | | ||||
| | | 3,252 | | | | WEC Energy Group Inc. | | | | | 307,249 | | | | | ||||
| | | 5,548 | | | | Xcel Energy Inc. | | | | | 381,425 | | | | | ||||
| | | | | | | Total Electric | | | | | 111,143,816 | | | | | ||||
| Gas – 0.0% | | | | | | | | ||||||||||||
| | | 1,347 | | | | Atmos Energy Corp. | | | | | 131,346 | | | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| UTILITIES – (continued) | | ||||||||||||
| Gas – (continued) | | ||||||||||||
| | | 3,973 | | | | NiSource Inc. | | | | $ | 97,934 | | |
| | | | | | | Total Gas | | | | | 229,280 | | |
| Water – 0.0% | | ||||||||||||
| | | 1,871 | | | | American Water Works Co., Inc. | | | | | 340,990 | | |
| | | | | | | TOTAL UTILITIES | | | | | 111,714,086 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $3,476,322,976) | | | | | 5,229,059,857 | | |
| PREFERRED STOCKS – 1.0% | | ||||||||||||
| CONSUMER CYCLICAL – 0.9% | | ||||||||||||
| Auto Manufacturers – 0.9% | | ||||||||||||
| | | 48,210 | | | | Aurora Innovation Inc., Series B, Private Placement*(c)@ | | | | | 926,563 | | |
| | | 213,270 | | | | Rivian Automotive Inc., Series D, Private Placement*(c)(d)@ | | | | | 15,148,568 | | |
| | | 348,850 | | | | Rivian Automotive Inc., Series E, Private Placement*(c)(d)@ | | | | | 24,778,816 | | |
| | | 66,431 | | | | Rivian Automotive Inc., Series F, Private Placement*(c)(d)@ | | | | | 4,718,594 | | |
| | | 21,292 | | | | Sila Nanotechnologies Inc., Series F, Private Placement*(c)(d)@ | | | | | 878,780 | | |
| | | 9,549 | | | | Waymo LLC, Series A2, Private Placement*(c)(d)@ | | | | | 875,853 | | |
| | | | | | | Total Auto Manufacturers | | | | | 47,327,174 | | |
| | | | | | | TOTAL CONSUMER CYCLICAL | | | | | 47,327,174 | | |
| FINANCIAL – 0.1% | | ||||||||||||
| Diversified Financial Services – 0.1% | | ||||||||||||
| | | 1,020 | | | | Maplebear Inc. d/b/a Instacart, Series A*(c)(d)@ | | | | | 127,500 | | |
| | | 13,638 | | | | Maplebear Inc. d/b/a Instacart, Series G*(c)(d)@ | | | | | 1,704,750 | | |
| | | 2,066 | | | | Maplebear Inc. d/b/a Instacart, Series I*(c)(d)@ | | | | | 258,250 | | |
| | | | | | | Total Diversified Financial Services | | | | | 2,090,500 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 2,090,500 | | |
| INDUSTRIAL – 0.0% | | ||||||||||||
| Electrical Components & Equipment – 0.0% | | ||||||||||||
| | | 48,400 | | | | GM Cruise Holdings LLC, Class F Shares, Private Placement*(c)(d)@ | | | | | 1,275,340 | | |
| | | 39,865 | | | | GM Cruise Holdings LLC, Class G Shares, Private Placement*(c)(d)@ | | | | | 1,050,443 | | |
| | | | | | | Total Electrical Components & Equipment | | | | | 2,325,783 | | |
| Environmental Control – 0.0% | | ||||||||||||
| | | 23,420 | | | | Redwood Materials Inc., Series C, Private Placement*(c)(d)@ | | | | | 1,110,189 | | |
| Machinery – 0.0% | | ||||||||||||
| | | 108,389 | | | | Nuro Inc., Series C, Private Placement*(c)(d)@ | | | | | 1,414,975 | | |
| | | | | | | TOTAL INDUSTRIAL | | | | | 4,850,947 | | |
| TECHNOLOGY – 0.0% | | ||||||||||||
| Software – 0.0% | | ||||||||||||
| | | 3,314 | | | | Celonis SE, Series D*(c)(d)@ | | | | | 1,225,484 | | |
| | | 15,057 | | | | Magic Leap Inc., Series D, Private Placement*(c)(d)@ | | | | | 9,108 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| PREFERRED STOCKS – (continued) | | ||||||||||||
| TECHNOLOGY – (continued) | | ||||||||||||
| Software – (continued) | | ||||||||||||
| | | 20,620 | | | | Rappi Inc., Series E, Private Placement*(c)(d)@ | | | | $ | 1,328,405 | | |
| | | | | | | Total Software | | | | | 2,562,997 | | |
| | | | | | | TOTAL TECHNOLOGY | | | | | 2,562,997 | | |
| | | | | | | TOTAL PREFERRED STOCKS (Cost – $20,586,496) | | | | | 56,831,618 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $3,496,909,472) | | | | | 5,285,891,475 | | |
| Face Amount† | | | | ||||||||||
| SHORT-TERM INVESTMENTS – 1.0% | | ||||||||||||
| TIME DEPOSITS – 1.0% | | ||||||||||||
| | $ | 1,165,610 | | | | Banco Santander SA – Frankfurt, 0.005% due 9/1/21 | | | | $ | 1,165,610 | | |
| | | 2,113,283 | | | | BNP Paribas – Paris, 0.005% due 9/1/21 | | | | | 2,113,283 | | |
| | | 12,867,414 | | | | China Construction Bank – New York, 0.005% due 9/1/21 | | | | | 12,867,414 | | |
| | | 4GBP | | | | Citibank – London, 0.005% due 9/1/21 | | | | | 6 | | |
| | | 39,073,069 | | | | Skandinaviska Enskilda Banken AB – Stockholm, 0.005% due 9/1/21 | | | | | 39,073,069 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $55,219,382) | | | | | 55,219,382 | | |
| Shares/Units | | | | ||||||||||
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 0.1% | | ||||||||||||
| MONEY MARKET FUND – 0.1% | | ||||||||||||
| | | 3,548,291 | | | | Federated Government Obligations Fund, Premier Class, 0.025%(e) (Cost – $3,548,291) | | | | $ | 3,548,291 | | |
| | | | | | | TOTAL INVESTMENTS – 99.9% (Cost – $3,555,677,145) | | | | | 5,344,659,148 | | |
| | | | | | | Other Assets in Excess of Liabilities – 0.1% | | | | | 3,682,589 | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 5,348,341,737 | | |
Security | | | First Acquisition Date | | | First Acquisition Cost | | | Market Value | | | Percent of Net Assets | | ||||||||||||
Ant International Co., Ltd., Class C Shares, Private Placement | | | | | 6/7/2018 | | | | | $ | 1,584,623 | | | | | $ | 1,991,371 | | | | | | 0.04% | | |
Aurora Innovation Inc., Series B, Private Placement | | | | | 3/1/2019 | | | | | | 445,475 | | | | | | 926,563 | | | | | | 0.02% | | |
Celonis SE | | | | | 6/17/2021 | | | | | | 470,003 | | | | | | 470,003 | | | | | | 0.01% | | |
Celonis SE, Series D | | | | | 6/17/2021 | | | | | | 1,225,484 | | | | | | 1,225,484 | | | | | | 0.02% | | |
Epic Games Inc., Private Placement | | | | | 6/18/2020 | | | | | | 1,665,200 | | | | | | 3,526,725 | | | | | | 0.07% | | |
GM Cruise Holdings LLC, Class F Shares, Private Placement | | | | | 5/7/2019 | | | | | | 883,300 | | | | | | 1,275,340 | | | | | | 0.02% | | |
GM Cruise Holdings LLC, Class G Shares, Private Placement | | | | | 1/21/2021 | | | | | | 1,050,443 | | | | | | 1,050,443 | | | | | | 0.02% | | |
Magic Leap Inc., Series D, Private Placement | | | | | 10/12/2017 | | | | | | 406,539 | | | | | | 9,108 | | | | | | 0.00%* | | |
Maplebear Inc. d/b/a Instacart, Non-voting Shares | | | | | 8/7/2020 | | | | | | 16,171 | | | | | | 43,625 | | | | | | 0.00%* | | |
Maplebear Inc. d/b/a Instacart, Private Placement | | | | | 8/7/2020 | | | | | | 309,464 | | | | | | 834,875 | | | | | | 0.02% | | |
Maplebear Inc. d/b/a Instacart, Series A | | | | | 11/18/2020 | | | | | | 62,232 | | | | | | 127,500 | | | | | | 0.00%* | | |
Maplebear Inc. d/b/a Instacart, Series G | | | | | 7/2/2020 | | | | | | 655,877 | | | | | | 1,704,750 | | | | | | 0.03% | | |
Maplebear Inc. d/b/a Instacart, Series I | | | | | 2/26/2021 | | | | | | 258,250 | | | | | | 258,250 | | | | | | 0.00%* | | |
Nuro Inc., Series C, Private Placement | | | | | 10/30/2020 | | | | | | 940,662 | | | | | | 1,414,975 | | | | | | 0.03% | | |
Rappi Inc., Series E, Private Placement | | | | | 9/8/2020 | | | | | | 1,231,963 | | | | | | 1,328,405 | | | | | | 0.02% | | |
Redwood Materials Inc., Series C, Private Placement | | | | | 5/28/2021 | | | | | | 1,110,190 | | | | | | 1,110,189 | | | | | | 0.02% | | |
Rivian Automotive Inc., Series D, Private Placement | | | | | 12/23/2019 | | | | | | 2,291,373 | | | | | | 15,148,568 | | | | | | 0.28% | | |
Rivian Automotive Inc., Series E, Private Placement | | | | | 7/10/2020 | | | | | | 5,403,687 | | | | | | 24,778,816 | | | | | | 0.45% | | |
Rivian Automotive Inc., Series F, Private Placement | | | | | 1/19/2021 | | | | | | 2,447,982 | | | | | | 4,718,594 | | | | | | 0.09% | | |
Sila Nanotechnologies Inc., Series F, Private Placement | | | | | 1/7/2021 | | | | | | 878,780 | | | | | | 878,780 | | | | | | 0.02% | | |
Stripe Inc., Class B Shares, Private Placement | | | | | 12/17/2019 | | | | | | 313,988 | | | | | | 802,981 | | | | | | 0.02% | | |
UiPath Inc., Class A Shares, Private Placement | | | | | 4/26/2019 | | | | | | 795,101 | | | | | | 5,166,142 | | | | | | 0.10% | | |
Waymo LLC, Series A2, Private Placement | | | | | 5/8/2020 | | | | | | 819,946 | | | | | | 875,853 | | | | | | 0.02% | | |
Total | | | | | | | | | | | | | | | | $ | 69,667,340 | | | | | | 1.30% | | |
| Consumer Non-cyclical | | | | | 23.4% | | |
| Communications | | | | | 22.2 | | |
| Technology | | | | | 19.8 | | |
| Financial | | | | | 12.0 | | |
| Consumer Cyclical | | | | | 8.1 | | |
| Industrial | | | | | 6.6 | | |
| Energy | | | | | 2.9 | | |
| Utilities | | | | | 2.1 | | |
| Basic Materials | | | | | 1.8 | | |
| Short-Term Investments | | | | | 1.0 | | |
| Money Market Fund | | | | | 0.1 | | |
| | | | | | 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 | | | | | 12 | | | | | | 9/21 | | | | | $ | 2,586,754 | | | | | $ | 2,712,300 | | | | | $ | 125,546 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 93.4% | | ||||||||||||
| BASIC MATERIALS – 5.2% | | ||||||||||||
| Chemicals – 4.5% | | ||||||||||||
| | | 41,500 | | | | Air Products & Chemicals Inc. | | | | $ | 11,184,665 | | |
| | | 79,900 | | | | Ashland Global Holdings Inc. | | | | | 7,279,689 | | |
| | | 37,698 | | | | Cabot Corp. | | | | | 2,013,073 | | |
| | | 60,700 | | | | Celanese Corp., Class A Shares | | | | | 9,627,020 | | |
| | | 33,540 | | | | Ingevity Corp.* | | | | | 2,696,281 | | |
| | | 21,789 | | | | Innospec Inc. | | | | | 2,039,451 | | |
| | | 44,200 | | | | International Flavors & Fragrances Inc. | | | | | 6,696,300 | | |
| | | 73,300 | | | | PPG Industries Inc. | | | | | 11,695,015 | | |
| | | 23,235 | | | | Rogers Corp.* | | | | | 4,935,346 | | |
| | | 112,638 | | | | Valvoline Inc. | | | | | 3,397,162 | | |
| | | | | | | Total Chemicals | | | | | 61,564,002 | | |
| Iron/Steel – 0.0% | | ||||||||||||
| | | 26,713 | | | | Cleveland-Cliffs Inc.* | | | | | 626,954 | | |
| Mining – 0.7% | | ||||||||||||
| | | 9,566 | | | | Arconic Corp.* | | | | | 329,931 | | |
| | | 224,942 | | | | Energy Fuels Inc.*(a) | | | | | 1,216,936 | | |
| | | 249,014 | | | | Livent Corp.* | | | | | 6,192,978 | | |
| | | 22,087 | | | | MP Materials Corp.*(a) | | | | | 741,461 | | |
| | | | | | | Total Mining | | | | | 8,481,306 | | |
| | | | | | | TOTAL BASIC MATERIALS | | | | | 70,672,262 | | |
| COMMUNICATIONS – 6.0% | | ||||||||||||
| Internet – 2.5% | | ||||||||||||
| | | 166,427 | | | | CarParts.com Inc.* | | | | | 2,874,194 | | |
| | | 277,234 | | | | ChannelAdvisor Corp.* | | | | | 7,102,735 | | |
| | | 22,986 | | | | Cogent Communications Holdings Inc. | | | | | 1,668,324 | | |
| | | 121,082 | | | | Couchbase Inc.*(a) | | | | | 6,081,949 | | |
| | | 6,799 | | | | Figs Inc., Class A Shares*(a) | | | | | 278,827 | | |
| | | 98,702 | | | | fuboTV Inc.*(a) | | | | | 2,877,163 | | |
| | | 118,177 | | | | Liquidity Services Inc.* | | | | | 2,883,519 | | |
| | | 68,966 | | | | Open Lending Corp., Class A Shares* | | | | | 2,549,673 | | |
| | | 209,402 | | | | Perion Network Ltd.* | | | | | 4,416,288 | | |
| | | 6,965 | | | | Revolve Group Inc., Class A Shares* | | | | | 400,209 | | |
| | | 1,809 | | | | Roku Inc., Class A Shares* | | | | | 637,492 | | |
| | | 58,213 | | | | RumbleON Inc., Class B Shares*(a) | | | | | 2,005,438 | | |
| | | | | | | Total Internet | | | | | 33,775,811 | | |
| Media – 0.3% | | ||||||||||||
| | | 214,625 | | | | TEGNA Inc. | | | | | 3,803,155 | | |
| Telecommunications – 3.2% | | ||||||||||||
| | | 91,466 | | | | Aviat Networks Inc.* | | | | | 3,241,555 | | |
| | | 183,533 | | | | Calix Inc.* | | | | | 8,552,638 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| COMMUNICATIONS – (continued) | | ||||||||||||
| Telecommunications – (continued) | | ||||||||||||
| | | 119,036 | | | | Cambium Networks Corp.* | | | | $ | 4,460,279 | | |
| | | 75,035 | | | | Clearfield Inc.* | | | | | 3,399,836 | | |
| | | 316,502 | | | | Harmonic Inc.* | | | | | 2,924,478 | | |
| | | 56,200 | | | | Motorola Solutions Inc. | | | | | 13,725,164 | | |
| | | 180,409 | | | | Sierra Wireless Inc.* | | | | | 2,951,491 | | |
| | | 273,587 | | | | Viavi Solutions Inc.* | | | | | 4,456,732 | | |
| | | | | | | Total Telecommunications | | | | | 43,712,173 | | |
| | | | | | | TOTAL COMMUNICATIONS | | | | | 81,291,139 | | |
| CONSUMER CYCLICAL – 12.5% | | ||||||||||||
| Airlines – 0.2% | | ||||||||||||
| | | 1,809 | | | | Allegiant Travel Co.* | | | | | 348,124 | | |
| | | 86,958 | | | | Sun Country Airlines Holdings Inc.*(a) | | | | | 2,816,570 | | |
| | | | | | | Total Airlines | | | | | 3,164,694 | | |
| Apparel – 1.2% | | ||||||||||||
| | | 15,582 | | | | Carter’s Inc. | | | | | 1,595,285 | | |
| | | 75,900 | | | | Columbia Sportswear Co. | | | | | 7,742,559 | | |
| | | 12,338 | | | | Crocs Inc.* | | | | | 1,762,113 | | |
| | | 1,553 | | | | Deckers Outdoor Corp.* | | | | | 649,853 | | |
| | | 20,247 | | | | Oxford Industries Inc. | | | | | 1,828,304 | | |
| | | 54,814 | | | | Steven Madden Ltd. | | | | | 2,218,323 | | |
| | | 42,371 | | | | Urban Outfitters Inc.* | | | | | 1,399,090 | | |
| | | | | | | Total Apparel | | | | | 17,195,527 | | |
| | | | | | | | |||||||
| Auto Parts & Equipment – 2.3% | | ||||||||||||
| | | 24,046 | | | | Dorman Products Inc.* | | | | | 2,256,958 | | |
| | | 27,823 | | | | Fox Factory Holding Corp.* | | | | | 4,275,560 | | |
| | | 198,600 | | | | Gentex Corp. | | | | | 6,116,880 | | |
| | | 8,336 | | | | Gentherm Inc.* | | | | | 715,395 | | |
| | | 172,809 | | | | Goodyear Tire & Rubber Co.* | | | | | 2,737,295 | | |
| | | 135,489 | | | | Modine Manufacturing Co.* | | | | | 1,685,483 | | |
| | | 138,857 | | | | Shyft Group Inc. | | | | | 6,111,097 | | |
| | | 64,934 | | | | XPEL Inc.* | | | | | 4,933,685 | | |
| | | | | | | Total Auto Parts & Equipment | | | | | 28,832,353 | | |
| | | | | | | | |||||||
| Distribution/Wholesale – 0.1% | | ||||||||||||
| | | 20,572 | | | | Core & Main Inc., Class A Shares* | | | | | 564,290 | | |
| | | 60,528 | | | | Titan Machinery Inc.* | | | | | 1,738,364 | | |
| | | | | | | Total Distribution/Wholesale | | | | | 2,302,654 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – (continued) | | ||||||||||||
| Entertainment – 1.4% | | ||||||||||||
| | | 74,253 | | | | Bally’s Corp.* | | | | $ | 3,730,471 | | |
| | | 6,823 | | | | Caesars Entertainment Inc.* | | | | | 693,421 | | |
| | | 55,298 | | | | Chicken Soup For The Soul Entertainment Inc., Class A Shares*(a) | | | | | 1,341,529 | | |
| | | 329,129 | | | | Everi Holdings Inc.* | | | | | 7,487,685 | | |
| | | 34,050 | | | | Golden Entertainment Inc.* | | | | | 1,624,866 | | |
| | | 60,878 | | | | NEOGAMES SA* | | | | | 2,508,782 | | |
| | | 6,754 | | | | SeaWorld Entertainment Inc.* | | | | | 332,229 | | |
| | | 7,514 | | | | Six Flags Entertainment Corp.* | | | | | 317,391 | | |
| | | | | | | Total Entertainment | | | | | 18,036,374 | | |
| Home Builders – 0.5% | | ||||||||||||
| | | 114,375 | | | | Skyline Champion Corp.* | | | | | 7,173,600 | | |
| Home Furnishings – 0.9% | | ||||||||||||
| | | 75,100 | | | | Dolby Laboratories Inc., Class A Shares | | | | | 7,443,161 | | |
| | | 55,462 | | | | Lovesac Co.* | | | | | 3,136,931 | | |
| | | 96,470 | | | | VOXX International Corp., Class A Shares* | | | | | 1,010,041 | | |
| | | | | | | Total Home Furnishings | | | | | 11,590,133 | | |
| Leisure Time – 0.8% | | ||||||||||||
| | | 62,960 | | | | Callaway Golf Co.* | | | | | 1,766,658 | | |
| | | 86,805 | | | | Lindblad Expeditions Holdings Inc.* | | | | | 1,276,902 | | |
| | | 158,583 | | | | Vista Outdoor Inc.* | | | | | 6,478,116 | | |
| | | 142,227 | | | | Xponential Fitness Inc., Class A Shares* | | | | | 1,536,052 | | |
| | | | | | | Total Leisure Time | | | | | 11,057,728 | | |
| Lodging – 1.0% | | ||||||||||||
| | | 265,567 | | | | Full House Resorts Inc.* | | | | | 2,278,565 | | |
| | | 141,900 | | | | Wyndham Hotels & Resorts Inc. | | | | | 10,316,130 | | |
| | | | | | | Total Lodging | | | | | 12,594,695 | | |
| Retail – 3.9% | | ||||||||||||
| | | 69,180 | | | | Abercrombie & Fitch Co., Class A Shares* | | | | | 2,473,877 | | |
| | | 33,900 | | | | Advance Auto Parts Inc. | | | | | 6,876,615 | | |
| | | 81,557 | | | | American Eagle Outfitters Inc. | | | | | 2,489,120 | | |
| | | 169,547 | | | | Aspen Aerogels Inc.* | | | | | 7,417,681 | | |
| | | 103,536 | | | | Boot Barn Holdings Inc.* | | | | | 9,243,694 | | |
| | | 29,905 | | | | Children’s Place Inc.* | | | | | 2,596,950 | | |
| | | 154,900 | | | | Foot Locker Inc. | | | | | 8,781,281 | | |
| | | 2,166 | | | | Freshpet Inc.* | | | | | 277,551 | | |
| | | 10,733 | | | | GMS Inc.* | | | | | 530,318 | | |
| | | 126,909 | | | | GrowGeneration Corp.* | | | | | 4,059,819 | | |
| | | 39,359 | | | | Kura Sushi USA Inc., Class A Shares* | | | | | 1,999,831 | | |
| | | 1,621 | | | | Lithia Motors Inc., Class A Shares | | | | | 537,037 | | |
| | | 34,669 | | | | Murphy USA Inc. | | | | | 5,383,402 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – (continued) | | ||||||||||||
| Retail – (continued) | | ||||||||||||
| | | 45,986 | | | | OptimizeRx Corp.* | | | | $ | 3,043,353 | | |
| | | | | | | Total Retail | | | | | 55,710,529 | | |
| Toys/Games/Hobbies – 0.2% | | ||||||||||||
| | | 110,248 | | | | Funko Inc., Class A Shares* | | | | | 2,198,345 | | |
| | | | | | | TOTAL CONSUMER CYCLICAL | | | | | 169,856,632 | | |
| CONSUMER NON-CYCLICAL – 22.3% | | ||||||||||||
| Agriculture – 0.3% | | ||||||||||||
| | | 72,520 | | | | Turning Point Brands Inc. | | | | | 3,608,595 | | |
| Beverages – 1.3% | | ||||||||||||
| | | 138,819 | | | | Celsius Holdings Inc.* | | | | | 11,349,842 | | |
| | | 135,658 | | | | Duckhorn Portfolio Inc.*(a) | | | | | 2,915,291 | | |
| | | 32,817 | | | | MGP Ingredients Inc. | | | | | 2,142,950 | | |
| | | 125,516 | | | | Zevia PBC, Class A Shares* | | | | | 1,734,631 | | |
| | | | | | | Total Beverages | | | | | 18,142,714 | | |
| Biotechnology – 4.7% | | ||||||||||||
| | | 23,171 | | | | Apellis Pharmaceuticals Inc.* | | | | | 1,525,810 | | |
| | | 80,686 | | | | Applied Therapeutics Inc.* | | | | | 1,267,577 | | |
| | | 1,411 | | | | Argenx SE, ADR* | | | | | 467,069 | | |
| | | 219,754 | | | | Avid Bioservices Inc.* | | | | | 5,326,837 | | |
| | | 3,051 | | | | Beam Therapeutics Inc.* | | | | | 338,417 | | |
| | | 3,583 | | | | Biohaven Pharmaceutical Holding Co., Ltd.* | | | | | 470,233 | | |
| | | 73,252 | | | | Biomea Fusion Inc.*(a) | | | | | 1,021,865 | | |
| | | 3,625 | | | | Blueprint Medicines Corp.* | | | | | 338,104 | | |
| | | 48,794 | | | | C4 Therapeutics Inc.*(a) | | | | | 1,958,103 | | |
| | | 92,695 | | | | Celldex Therapeutics Inc.* | | | | | 4,880,392 | | |
| | | 231,852 | | | | Crinetics Pharmaceuticals Inc.* | | | | | 5,464,752 | | |
| | | 14,635 | | | | Cytek Biosciences Inc.* | | | | | 333,385 | | |
| | | 72,574 | | | | Day One Biopharmaceuticals Inc.*(a) | | | | | 2,019,735 | | |
| | | 100,934 | | | | Dynavax Technologies Corp.* | | | | | 1,964,176 | | |
| | | 126,385 | | | | Elevation Oncology Inc.* | | | | | 632,993 | | |
| | | 18,570 | | | | EyePoint Pharmaceuticals Inc.*(a) | | | | | 1,382,652 | | |
| | | 63,878 | | | | Halozyme Therapeutics Inc.* | | | | | 779,754 | | |
| | | 54,102 | | | | Imago Biosciences Inc.* | | | | | 1,678,075 | | |
| | | 131,948 | | | | IVERIC bio Inc.* | | | | | 1,394,690 | | |
| | | 44,858 | | | | Kymera Therapeutics Inc.* | | | | | 2,787,476 | | |
| | | 9,693 | | | | Maravai LifeSciences Holdings Inc., Class A Shares* | | | | | 573,632 | | |
| | | 135,681 | | | | MaxCyte Inc.* | | | | | 2,084,060 | | |
| | | 2,029 | | | | Mirati Therapeutics Inc.* | | | | | 344,382 | | |
| | | 59,257 | | | | NeoGenomics Inc.* | | | | | 2,881,075 | | |
| | | 122,038 | | | | Nuvalent Inc., Class A Shares* | | | | | 4,445,844 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Biotechnology – (continued) | | ||||||||||||
| | | 8,801 | | | | Olink Holding AB, ADR*(a) | | | | $ | 281,720 | | |
| | | 198,963 | | | | Relay Therapeutics Inc.* | | | | | 6,372,785 | | |
| | | 8,589 | | | | Sema4 Holdings Corp.*(a) | | | | | 81,596 | | |
| | | 108,929 | | | | SpringWorks Therapeutics Inc.* | | | | | 8,180,568 | | |
| | | 76,066 | | | | VectivBio Holding AG* | | | | | 645,800 | | |
| | | 162,716 | | | | Xenon Pharmaceuticals Inc.* | | | | | 2,871,937 | | |
| | | | | | | Total Biotechnology | | | | | 64,795,494 | | |
| Commercial Services – 4.0% | | ||||||||||||
| | | 8,670 | | | | AMN Healthcare Services Inc.* | | | | | 984,218 | | |
| | | 4,067 | | | | Avis Budget Group Inc.* | | | | | 369,080 | | |
| | | 91,800 | | | | Booz Allen Hamilton Holding Corp., Class A Shares | | | | | 7,519,338 | | |
| | | 200,188 | | | | Cross Country Healthcare Inc.* | | | | | 4,354,089 | | |
| | | 130,587 | | | | European Wax Center Inc., Class A Shares* | | | | | 3,179,794 | | |
| | | 13,507 | | | | First Advantage Corp.* | | | | | 306,474 | | |
| | | 114,200 | | | | Global Payments Inc. | | | | | 18,573,488 | | |
| | | 4,538 | | | | Herc Holdings Inc.* | | | | | 596,520 | | |
| | | 53,844 | | | | Huron Consulting Group Inc.* | | | | | 2,658,278 | | |
| | | 60,497 | | | | Kelly Services Inc., Class A Shares | | | | | 1,176,062 | | |
| | | 67,479 | | | | Korn Ferry | | | | | 4,770,091 | | |
| | | 14,171 | | | | Legalzoom.com Inc.*(a) | | | | | 485,073 | | |
| | | 163,741 | | | | Performant Financial Corp.* | | | | | 707,361 | | |
| | | 60,400 | | | | Quanta Services Inc. | | | | | 6,166,840 | | |
| | | 179,055 | | | | Team Inc.* | | | | | 802,166 | | |
| | | 20,929 | | | | ZipRecruiter Inc., Class A Shares* | | | | | 527,202 | | |
| | | | | | | Total Commercial Services | | | | | 53,176,074 | | |
| Cosmetics/Personal Care – 0.5% | | ||||||||||||
| | | 277,544 | | | | Beauty Health Co.* | | | | | 7,135,656 | | |
| Food – 1.8% | | ||||||||||||
| | | 99,834 | | | | BellRing Brands Inc., Class A Shares* | | | | | 3,371,394 | | |
| | | 35,936 | | | | Cal-Maine Foods Inc. | | | | | 1,299,446 | | |
| | | 32,431 | | | | Hain Celestial Group Inc.* | | | | | 1,213,244 | | |
| | | 184,075 | | | | Hostess Brands Inc., Class A Shares* | | | | | 2,937,837 | | |
| | | 51,805 | | | | Ingredion Inc. | | | | | 4,551,587 | | |
| | | 20,058 | | | | Krispy Kreme Inc.*(a) | | | | | 335,169 | | |
| | | 19,026 | | | | Sanderson Farms Inc. | | | | | 3,738,609 | | |
| | | 326,434 | | | | SunOpta Inc.* | | | | | 3,078,273 | | |
| | | 107,491 | | | | TreeHouse Foods Inc.* | | | | | 4,027,688 | | |
| | | | | | | Total Food | | | | | 24,553,247 | | |
| Healthcare-Products – 5.7% | | ||||||||||||
| | | 261,373 | | | | Alphatec Holdings Inc.* | | | | | 3,784,681 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Healthcare-Products – (continued) | | ||||||||||||
| | | 7,620 | | | | AtriCure Inc.* | | | | $ | 560,984 | | |
| | | 63,130 | | | | Axonics Inc.* | | | | | 4,733,487 | | |
| | | 4,533 | | | | CareDx Inc.* | | | | | 332,178 | | |
| | | 60,244 | | | | Castle Biosciences Inc.* | | | | | 4,622,522 | | |
| | | 25,755 | | | | Cutera Inc.* | | | | | 1,281,054 | | |
| | | 121,600 | | | | DENTSPLY SIRONA Inc. | | | | | 7,502,720 | | |
| | | 100,987 | | | | Envista Holdings Corp.* | | | | | 4,321,234 | | |
| | | 2,832 | | | | Inmode Ltd.* | | | | | 370,652 | | |
| | | 15,364 | | | | Inspire Medical Systems Inc.* | | | | | 3,434,776 | | |
| | | 46,410 | | | | Integra LifeSciences Holdings Corp.* | | | | | 3,491,424 | | |
| | | 69,553 | | | | Natera Inc.* | | | | | 8,237,162 | | |
| | | 35,570 | | | | NuVasive Inc.* | | | | | 2,210,320 | | |
| | | 51,800 | | | | PerkinElmer Inc. | | | | | 9,572,640 | | |
| | | 1,727 | | | | Repligen Corp.* | | | | | 488,707 | | |
| | | 157,816 | | | | SeaSpine Holdings Corp.* | | | | | 2,648,153 | | |
| | | 4,061 | | | | Shockwave Medical Inc.* | | | | | 869,907 | | |
| | | 79,483 | | | | SI-BONE Inc.* | | | | | 1,940,180 | | |
| | | 52,523 | | | | Treace Medical Concepts Inc.* | | | | | 1,326,206 | | |
| | | 102,200 | | | | Zimmer Biomet Holdings Inc.* | | | | | 15,375,990 | | |
| | | | | | | Total Healthcare-Products | | | | | 77,104,977 | | |
| Healthcare-Services – 1.6% | | ||||||||||||
| | | 46,000 | | | | Humana Inc. | | | | | 18,649,320 | | |
| | | 12,448 | | | | Invitae Corp.*(a) | | | | | 368,834 | | |
| | | 3,387 | | | | Medpace Holdings Inc.* | | | | | 617,620 | | |
| | | 60,155 | | | | RadNet Inc.* | | | | | 1,889,469 | | |
| | | | | | | Total Healthcare-Services | | | | | 21,525,243 | | |
| Household Products/Wares – 0.2% | | ||||||||||||
| | | 28,283 | | | | Spectrum Brands Holdings Inc. | | | | | 2,207,771 | | |
| Pharmaceuticals – 2.2% | | ||||||||||||
| | | 102,786 | | | | Centessa Pharmaceuticals PLC, ADR* | | | | | 2,266,431 | | |
| | | 245,078 | | | | Cytokinetics Inc.* | | | | | 8,080,222 | | |
| | | 34,180 | | | | Intellia Therapeutics Inc.* | | | | | 5,486,915 | | |
| | | 91,336 | | | | Merus NV* | | | | | 2,382,043 | | |
| | | 44,238 | | | | Morphic Holding Inc.* | | | | | 2,787,436 | | |
| | | 10,085 | | | | Owens & Minor Inc. | | | | | 375,969 | | |
| | | 78,970 | | | | Prestige Consumer Healthcare Inc.* | | | | | 4,532,088 | | |
| | | 300,452 | | | | ProQR Therapeutics NV*(a) | | | | | 2,007,019 | | |
| | | 64,145 | | | | Revance Therapeutics Inc.* | | | | | 1,717,803 | | |
| | | | | | | Total Pharmaceuticals | | | | | 29,635,926 | | |
| | | | | | | TOTAL CONSUMER NON-CYCLICAL | | | | | 301,885,697 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| DIVERSIFIED – 0.1% | | ||||||||||||
| SPACs – 0.1% | | ||||||||||||
| | | 196,483 | | | | CM Life Sciences III Inc.* | | | | $ | 1,996,267 | | |
| ENERGY – 3.3% | | ||||||||||||
| Energy-Alternate Sources – 0.5% | | ||||||||||||
| | | 168,090 | | | | Green Plains Inc.* | | | | | 5,899,959 | | |
| | | 64,154 | | | | Stem Inc.* | | | | | 1,603,209 | | |
| | | 12,341 | | | | Sunnova Energy International Inc.* | | | | | 446,744 | | |
| | | | | | | Total Energy-Alternate Sources | | | | | 7,949,912 | | |
| Oil & Gas – 2.0% | | ||||||||||||
| | | 65,819 | | | | Bonanza Creek Energy Inc. | | | | | 2,559,043 | | |
| | | 114,400 | | | | Diamondback Energy Inc. | | | | | 8,824,816 | | |
| | | 67,248 | | | | Helmerich & Payne Inc. | | | | | 1,810,316 | | |
| | | 24,836 | | | | Magnolia Oil & Gas Corp., Class A Shares | | | | | 389,429 | | |
| | | 135,600 | | | | Marathon Petroleum Corp. | | | | | 8,037,012 | | |
| | | 76,452 | | | | Matador Resources Co. | | | | | 2,197,995 | | |
| | | 69,436 | | | | PDC Energy Inc. | | | | | 2,898,953 | | |
| | | | | | | Total Oil & Gas | | | | | 26,717,564 | | |
| Oil & Gas Services – 0.8% | | ||||||||||||
| | | 418,800 | | | | Baker Hughes Co., Class A Shares | | | | | 9,540,264 | | |
| | | 90,087 | | | | Select Energy Services Inc., Class A Shares* | | | | | 481,965 | | |
| | | | | | | Total Oil & Gas Services | | | | | 10,022,229 | | |
| | | | | | | TOTAL ENERGY | | | | | 44,689,705 | | |
| FINANCIAL – 16.4% | | ||||||||||||
| Banks – 6.6% | | ||||||||||||
| | | 133,754 | | | | Bank of NT Butterfield & Son Ltd. | | | | | 4,455,346 | | |
| | | 149,911 | | | | BankUnited Inc. | | | | | 6,300,759 | | |
| | | 10,600 | | | | First Citizens BancShares Inc., Class A Shares | | | | | 9,515,620 | | |
| | | 441,981 | | | | FNB Corp. | | | | | 5,162,338 | | |
| | | 83,067 | | | | Live Oak Bancshares Inc. | | | | | 5,084,531 | | |
| | | 75,120 | | | | Meta Financial Group Inc. | | | | | 3,695,153 | | |
| | | 298,191 | | | | PacWest Bancorp | | | | | 12,688,027 | | |
| | | 81,979 | | | | Pinnacle Financial Partners Inc. | | | | | 7,945,405 | | |
| | | 43,500 | | | | Signature Bank | | | | | 11,280,855 | | |
| | | 28,196 | | | | Silvergate Capital Corp., Class A Shares* | | | | | 3,185,584 | | |
| | | 65,493 | | | | Triumph Bancorp Inc.* | | | | | 5,384,835 | | |
| | | 275,716 | | | | Umpqua Holdings Corp. | | | | | 5,368,191 | | |
| | | 101,759 | | | | Univest Financial Corp. | | | | | 2,755,634 | | |
| | | 68,199 | | | | Western Alliance Bancorp | | | | | 6,653,494 | | |
| | | | | | | Total Banks | | | | | 89,475,772 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Diversified Financial Services – 1.6% | | ||||||||||||
| | | 25,723 | | | | CI Financial Corp. | | | | $ | 499,541 | | |
| | | 89,307 | | | | Cowen Inc., Class A Shares | | | | | 3,218,624 | | |
| | | 6,523 | | | | Flywire Corp.* | | | | | 286,425 | | |
| | | 67,600 | | | | Raymond James Financial Inc. | | | | | 9,457,240 | | |
| | | 6,624 | | | | StepStone Group Inc., Class A Shares | | | | | 317,091 | | |
| | | 197,800 | | | | Synchrony Financial | | | | | 9,840,550 | | |
| | | | | | | Total Diversified Financial Services | | | | | 23,619,471 | | |
| Equity Real Estate Investment Trusts (REITs) – 2.9% | | ||||||||||||
| | | 60,873 | | | | American Campus Communities Inc. | | | | | 3,095,392 | | |
| | | 131,300 | | | | American Homes 4 Rent, Class A Shares | | | | | 5,506,722 | | |
| | | 210,600 | | | | Americold Realty Trust | | | | | 7,737,444 | | |
| | | 337,420 | | | | Chimera Investment Corp. | | | | | 5,169,274 | | |
| | | 156,623 | | | | Columbia Property Trust Inc. | | | | | 2,618,737 | | |
| | | 70,723 | | | | Corporate Office Properties Trust | | | | | 1,992,974 | | |
| | | 91,532 | | | | Dynex Capital Inc. | | | | | 1,625,608 | | |
| | | 152,594 | | | | Lexington Realty Trust | | | | | 2,064,597 | | |
| | | 22,200 | | | | SBA Communications Corp., Class A Shares | | | | | 7,969,134 | | |
| | | | | | | Total Equity Real Estate Investment Trusts (REITs) | | | | | 37,779,882 | | |
| Insurance – 4.1% | | ||||||||||||
| | | 110,251 | | | | BRP Group Inc., Class A Shares* | | | | | 4,150,950 | | |
| | | 20,431 | | | | Goosehead Insurance Inc., Class A Shares | | | | | 2,998,862 | | |
| | | 35,005 | | | | Hanover Insurance Group Inc. | | | | | 4,946,557 | | |
| | | 105,400 | | | | Hartford Financial Services Group Inc. | | | | | 7,084,988 | | |
| | | 17,511 | | | | Kemper Corp. | | | | | 1,201,255 | | |
| | | 377,801 | | | | MGIC Investment Corp. | | | | | 5,769,021 | | |
| | | 17,332 | | | | Midwest Holding Inc.* | | | | | 649,777 | | |
| | | 77,400 | | | | Progressive Corp. | | | | | 7,456,716 | | |
| | | 132,397 | | | | Trean Insurance Group Inc.* | | | | | 1,351,773 | | |
| | | 57,300 | | | | Willis Towers Watson PLC | | | | | 12,647,256 | | |
| | | 83,900 | | | | WR Berkley Corp. | | | | | 6,318,509 | | |
| | | | | | | Total Insurance | | | | | 54,575,664 | | |
| Private Equity – 0.3% | | ||||||||||||
| | | 261,836 | | | | Hercules Capital Inc.(a) | | | | | 4,425,028 | | |
| Real Estate – 0.4% | | ||||||||||||
| | | 6,177 | | | | eXp World Holdings Inc. | | | | | 283,215 | | |
| | | 443,262 | | | | Newmark Group Inc., Class A Shares | | | | | 6,037,228 | | |
| | | | | | | Total Real Estate | | | | | 6,320,443 | | |
| Savings & Loans – 0.5% | | ||||||||||||
| | | 273,280 | | | | Sterling Bancorp | | | | | 6,255,379 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 222,451,639 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – 14.6% | | ||||||||||||
| Aerospace/Defense – 0.6% | | ||||||||||||
| | | 319,361 | | | | Embraer SA, ADR* | | | | $ | 5,729,336 | | |
| | | 49,231 | | | | Hexcel Corp.* | | | | | 2,791,890 | | |
| | | | | | | Total Aerospace/Defense | | | | | 8,521,226 | | |
| Building Materials – 0.4% | | ||||||||||||
| | | 16,467 | | | | Hayward Holdings Inc.* | | | | | 344,984 | | |
| | | 36,777 | | | | Masonite International Corp.* | | | | | 4,401,471 | | |
| | | 24,779 | | | | Summit Materials Inc., Class A Shares* | | | | | 834,309 | | |
| | | 3,275 | | | | Trex Co., Inc.* | | | | | 359,464 | | |
| | | | | | | Total Building Materials | | | | | 5,940,228 | | |
| Electrical Components & Equipment – 0.3% | | ||||||||||||
| | | 56,121 | | | | Belden Inc. | | | | | 3,212,927 | | |
| | | 33,679 | | | | Energizer Holdings Inc. | | | | | 1,324,932 | | |
| | | 1,258 | | | | Generac Holdings Inc.* | | | | | 549,721 | | |
| | | | | | | Total Electrical Components & Equipment | | | | | 5,087,580 | | |
| Electronics – 2.6% | | ||||||||||||
| | | 4,990 | | | | Atkore Inc.* | | | | | 462,922 | | |
| | | 124,431 | | | | Camtek Ltd.* | | | | | 5,142,733 | | |
| | | 117,000 | | | | Fortive Corp. | | | | | 8,642,790 | | |
| | | 28,800 | | | | Hubbell Inc., Class B Shares | | | | | 5,935,968 | | |
| | | 35,051 | | | | Vicor Corp.* | | | | | 4,324,242 | | |
| | | 99,600 | | | | Woodward Inc. | | | | | 12,045,624 | | |
| | | | | | | Total Electronics | | | | | 36,554,279 | | |
| Engineering & Construction – 0.4% | | ||||||||||||
| | | 18,047 | | | | EMCOR Group Inc. | | | | | 2,192,711 | | |
| | | 4,698 | | | | Exponent Inc. | | | | | 549,196 | | |
| | | 27,679 | | | | NV5 Global Inc.* | | | | | 2,924,286 | | |
| | | | | | | Total Engineering & Construction | | | | | 5,666,193 | | |
| Environmental Control – 1.0% | | ||||||||||||
| | | 56,490 | | | | Clean Harbors Inc.* | | | | | 5,797,004 | | |
| | | 33,447 | | | | Energy Recovery Inc.* | | | | | 683,322 | | |
| | | 118,004 | | | | Harsco Corp.* | | | | | 2,152,393 | | |
| | | 86,699 | | | | Montrose Environmental Group Inc.* | | | | | 4,334,950 | | |
| | | | | | | Total Environmental Control | | | | | 12,967,669 | | |
| Hand/Machine Tools – 0.5% | | ||||||||||||
| | | 49,166 | | | | Regal Beloit Corp. | | | | | 7,346,384 | | |
| Machinery-Construction & Mining – 1.4% | | ||||||||||||
| | | 56,062 | | | | BWX Technologies Inc. | | | | | 3,219,641 | | |
| | | 88,330 | | | | Terex Corp. | | | | | 4,509,247 | | |
| | | 430,300 | | | | Vertiv Holdings Co., Class A Shares | | | | | 12,121,551 | | |
| | | | | | | Total Machinery-Construction & Mining | | | | | 19,850,439 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Machinery-Diversified – 2.8% | | ||||||||||||
| | | 104,728 | | | | Agrify Corp.*(a) | | | | $ | 2,974,275 | | |
| | | 69,050 | | | | Altra Industrial Motion Corp. | | | | | 4,043,568 | | |
| | | 98,531 | | | | Cactus Inc., Class A Shares | | | | | 3,695,898 | | |
| | | 30,518 | | | | Chart Industries Inc.* | | | | | 5,748,981 | | |
| | | 51,518 | | | | CIRCOR International Inc.* | | | | | 1,841,768 | | |
| | | 43,230 | | | | Gates Industrial Corp. PLC* | | | | | 708,107 | | |
| | | 44,240 | | | | Hydrofarm Holdings Group Inc.* | | | | | 2,236,774 | | |
| | | 7,020 | | | | Kornit Digital Ltd.* | | | | | 915,197 | | |
| | | 30,400 | | | | Nordson Corp. | | | | | 7,253,440 | | |
| | | 116,882 | | | | Ranpak Holdings Corp., Class A Shares* | | | | | 3,588,277 | | |
| | | 43,806 | | | | SPX FLOW Inc. | | | | | 3,527,697 | | |
| | | | | | | Total Machinery-Diversified | | | | | 36,533,982 | | |
| Metal Fabricate/Hardware – 1.2% | | ||||||||||||
| | | 229,332 | | | | Rexnord Corp.* | | | | | 13,934,212 | | |
| | | 33,174 | | | | Standex International Corp. | | | | | 3,292,188 | | |
| | | | | | | Total Metal Fabricate/Hardware | | | | | 17,226,400 | | |
| Miscellaneous Manufacturers – 2.3% | | ||||||||||||
| | | 4,054 | | | | Axon Enterprise Inc.* | | | | | 737,301 | | |
| | | 67,932 | | | | Byrna Technologies Inc.* | | | | | 1,989,049 | | |
| | | 75,455 | | | | Enerpac Tool Group Corp., Class A Shares | | | | | 1,898,448 | | |
| | | 42,907 | | | | EnPro Industries Inc. | | | | | 3,668,978 | | |
| | | 32,699 | | | | Hillenbrand Inc. | | | | | 1,517,888 | | |
| | | 55,834 | | | | ITT Inc. | | | | | 5,341,639 | | |
| | | 48,100 | | | | Parker-Hannifin Corp. | | | | | 14,269,827 | | |
| | | | | | | Total Miscellaneous Manufacturers | | | | | 29,423,130 | | |
| Packaging & Containers – 0.6% | | ||||||||||||
| | | 111,268 | | | | Karat Packaging Inc.*(a) | | | | | 2,611,460 | | |
| | | 185,559 | | | | O-I Glass Inc.* | | | | | 2,807,508 | | |
| | | 47,122 | | | | Silgan Holdings Inc. | | | | | 1,999,386 | | |
| | | | | | | Total Packaging & Containers | | | | | 7,418,354 | | |
| Transportation – 0.5% | | ||||||||||||
| | | 83,076 | | | | CryoPort Inc.* | | | | | 5,281,141 | | |
| | | 2,689 | | | | Saia Inc.* | | | | | 645,710 | | |
| | | | | | | Total Transportation | | | | | 5,926,851 | | |
| | | | | | | TOTAL INDUSTRIAL | | | | | 198,462,715 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| TECHNOLOGY – 9.4% | | ||||||||||||
| Computers – 1.7% | | ||||||||||||
| | | 12,731 | | | | CACI International Inc., Class A Shares* | | | | $ | 3,278,742 | | |
| | | 46,475 | | | | Endava PLC, ADR* | | | | | 6,223,002 | | |
| | | 25,920 | | | | ExlService Holdings Inc.* | | | | | 3,191,789 | | |
| | | 354,286 | | | | Grid Dynamics Holdings Inc.* | | | | | 9,484,236 | | |
| | | 7,570 | | | | Varonis Systems Inc., Class B Shares* | | | | | 522,406 | | |
| | | 2,663 | | | | Zscaler Inc.* | | | | | 741,219 | | |
| | | | | | | Total Computers | | | | | 23,441,394 | | |
| Semiconductors – 5.8% | | ||||||||||||
| | | 8,588 | | | | Ambarella Inc.* | | | | | 889,459 | | |
| | | 101,700 | | | | Axcelis Technologies Inc.* | | | | | 5,055,507 | | |
| | | 193,057 | | | | AXT Inc.* | | | | | 1,797,361 | | |
| | | 101,704 | | | | Impinj Inc.* | | | | | 5,928,326 | | |
| | | 17,397 | | | | Lattice Semiconductor Corp.* | | | | | 1,080,702 | | |
| | | 38,173 | | | | MACOM Technology Solutions Holdings Inc.* | | | | | 2,317,483 | | |
| | | 226,000 | | | | Marvell Technology Inc. | | | | | 13,828,940 | | |
| | | 6,548 | | | | MaxLinear Inc., Class A Shares* | | | | | 342,002 | | |
| | | 97,400 | | | | MKS Instruments Inc. | | | | | 14,335,332 | | |
| | | 91,000 | | | | NXP Semiconductors NV | | | | | 19,576,830 | | |
| | | 33,372 | | | | SiTime Corp.* | | | | | 7,102,896 | | |
| | | 47,094 | | | | SMART Global Holdings Inc.* | | | | | 2,282,175 | | |
| | | 4,381 | | | | Synaptics Inc.* | | | | | 831,426 | | |
| | | 58,735 | | | | Ultra Clean Holdings Inc.* | | | | | 2,715,906 | | |
| | | | | | | Total Semiconductors | | | | | 78,084,345 | | |
| Software – 1.9% | | ||||||||||||
| | | 5,105 | | | | BigCommerce Holdings Inc.* | | | | | 303,952 | | |
| | | 90,591 | | | | Docebo Inc.* | | | | | 7,612,362 | | |
| | | 27,100 | | | | Jack Henry & Associates Inc. | | | | | 4,779,898 | | |
| | | 153,046 | | | | Kaltura Inc.*(a) | | | | | 1,726,359 | | |
| | | 3,848 | | | | Monday.com Ltd.*(a) | | | | | 1,459,777 | | |
| | | 46,575 | | | | Motorsport Games Inc., Class A Shares* | | | | | 501,613 | | |
| | | 63,073 | | | | Phreesia Inc.* | | | | | 4,512,873 | | |
| | | 159,573 | | | | Rackspace Technology Inc.*(a) | | | | | 2,229,235 | | |
| | | 51,918 | | | | Sophia Genetics SA*(a) | | | | | 1,026,419 | | |
| | | 8,386 | | | | Sprout Social Inc., Class A Shares* | | | | | 1,019,738 | | |
| | | 9,985 | | | | Teradata Corp.* | | | | | 546,080 | | |
| | | | | | | Total Software | | | | | 25,718,306 | | |
| | | | | | | TOTAL TECHNOLOGY | | | | | 127,244,045 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| UTILITIES – 3.6% | | ||||||||||||
| Electric – 3.4% | | ||||||||||||
| | | 99,200 | | | | Ameren Corp. | | | | $ | 8,701,824 | | |
| | | 5,005 | | | | Ameresco Inc., Class A Shares* | | | | | 346,096 | | |
| | | 42,707 | | | | Black Hills Corp. | | | | | 3,003,583 | | |
| | | 263,200 | | | | CenterPoint Energy Inc. | | | | | 6,603,688 | | |
| | | 16,444 | | | | Evoqua Water Technologies Corp.* | | | | | 640,000 | | |
| | | 34,372 | | | | IDACORP Inc. | | | | | 3,621,090 | | |
| | | 133,650 | | | | Portland General Electric Co. | | | | | 6,862,928 | | |
| | | 65,600 | | | | Sempra Energy | | | | | 8,682,816 | | |
| | | 126,600 | | | | Xcel Energy Inc. | | | | | 8,703,750 | | |
| | | | | | | Total Electric | | | | | 47,165,775 | | |
| Gas – 0.2% | | ||||||||||||
| | | 31,055 | | | | Spire Inc. | | | | | 2,071,369 | | |
| | | | | | | TOTAL UTILITIES | | | | | 49,237,144 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $963,176,176) | | | | | 1,267,787,245 | | |
| EXCHANGE TRADED FUNDS (ETFs) – 3.8% | | ||||||||||||
| | | 160,784 | | | | iShares Russell 2000(a) | | | | | 36,324,321 | | |
| | | 178,289 | | | | iShares Russell Mid-Capital | | | | | 14,596,521 | | |
| | | | | | | TOTAL EXCHANGE TRADED FUNDS (ETFs) (Cost – $40,988,803) | | | | | 50,920,842 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $1,004,164,979) | | | | | 1,318,708,087 | | |
| Face Amount | | | | | | | | | | | |||
| SHORT-TERM INVESTMENTS – 2.6% | | ||||||||||||
| TIME DEPOSITS – 2.6% | | ||||||||||||
| | $ | 19,913,962 | | | | ANZ National Bank – London, 0.005% due 9/1/21 | | | | | 19,913,962 | | |
| | | 7,393,446 | | | | BNP Paribas – Paris, 0.005% due 9/1/21 | | | | | 7,393,446 | | |
| | | 7,484,691 | | | | Royal Bank of Canada Toronto, 0.005% due 9/1/21 | | | | | 7,484,691 | | |
| | | 822,644 | | | | Skandinaviska Enskilda Banken AB – Stockholm, 0.005% due 9/1/21 | | | | | 822,644 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $35,614,743) | | | | | 35,614,743 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 4.9% | | ||||||||||||
| MONEY MARKET FUND – 4.9% | | ||||||||||||
| | | 65,638,512 | | | | Federated Government Obligations Fund, Premier Class, 0.025%(b) (Cost – $65,638,512) | | | | $ | 65,638,512 | | |
| | | | | | | TOTAL INVESTMENTS – 104.7% (Cost – $1,105,418,234) | | | | | 1,419,961,342 | | |
| | | | | | | Liabilities in Excess of Other Assets – (4.7)% | | | | | (63,222,219) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 1,356,739,123 | | |
| Consumer Non-cyclical | | | | | 21.3% | | |
| Financial | | | | | 15.7 | | |
| Industrial | | | | | 14.0 | | |
| Consumer Cyclical | | | | | 11.9 | | |
| Technology | | | | | 9.0 | | |
| Communications | | | | | 5.7 | | |
| Basic Materials | | | | | 5.0 | | |
| Utilities | | | | | 3.5 | | |
| Energy | | | | | 3.1 | | |
| Diversified | | | | | 0.1 | | |
| Exchange Traded Funds (ETFs) | | | | | 3.6 | | |
| Short-Term Investments | | | | | 2.5 | | |
| Money Market Fund | | | | | 4.6 | | |
| | | | | | 100.0% | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 92.9% | | ||||||||||||
| Australia – 0.6% | | ||||||||||||
| | | 773,452 | | | | Elmo Software Ltd.*(a) | | | | $ | 2,725,602 | | |
| | | 306,805 | | | | Pro Medicus Ltd. | | | | | 14,118,940 | | |
| | | | | | | Total Australia | | | | | 16,844,542 | | |
| Austria – 0.2% | | ||||||||||||
| | | 151,370 | | | | Erste Group Bank AG | | | | | 6,048,413 | | |
| Bermuda – 0.2% | | ||||||||||||
| | | 238,624 | | | | Golar LNG Ltd.* | | | | | 2,684,520 | | |
| | | 190,585 | | | | Hiscox Ltd. | | | | | 2,408,201 | | |
| | | | | | | Total Bermuda | | | | | 5,092,721 | | |
| Brazil – 2.2% | | ||||||||||||
| | | 1,323,908 | | | | Aeris Industria E Comercio de Equipamentos Para Geracao de Energia SA* | | | | | 2,048,779 | | |
| | | 118,810 | | | | Afya Ltd., Class A Shares* | | | | | 2,563,920 | | |
| | | 244,833 | | | | Americanas SA* | | | | | 1,958,834 | | |
| | | 151,884 | | | | Banco Inter SA | | | | | 1,991,705 | | |
| | | 307,011 | | | | Itau Unibanco Holding SA, ADR | | | | | 1,820,575 | | |
| | | 416,351 | | | | Localiza Rent a Car SA | | | | | 4,466,699 | | |
| | | 1,317,331 | | | | Lojas Americanas SA | | | | | 1,518,757 | | |
| | | 1,239,700 | | | | Lojas Quero Quero SA | | | | | 4,760,191 | | |
| | | 1,186,443 | | | | Magazine Luiza SA | | | | | 4,186,190 | | |
| | | 360,348 | | | | Notre Dame Intermedica Participacoes SA | | | | | 5,572,288 | | |
| | | 236,608 | | | | Rede D’Or Sao Luiz SA(b) | | | | | 3,149,861 | | |
| | | 143,964 | | | | StoneCo Ltd., Class A Shares* | | | | | 6,700,085 | | |
| | | 852,017 | | | | Suzano SA* | | | | | 10,053,687 | | |
| | | 191,705 | | | | XP Inc., Class A Shares* | | | | | 9,326,448 | | |
| | | | | | | Total Brazil | | | | | 60,118,019 | | |
| Canada – 2.3% | | ||||||||||||
| | | 78,372 | | | | Agnico Eagle Mines Ltd. | | | | | 4,510,529 | | |
| | | 199,419 | | | | ARC Resources Ltd. | | | | | 1,424,365 | | |
| | | 10,800 | | | | Canadian Pacific Railway Ltd. | | | | | 742,932 | | |
| | | 32,670 | | | | Descartes Systems Group Inc.* | | | | | 2,561,647 | | |
| | | 83,928 | | | | Equitable Group Inc.(a) | | | | | 10,192,184 | | |
| | | 104,761 | | | | Franco-Nevada Corp. | | | | | 15,284,999 | | |
| | | 222,973 | | | | Lundin Mining Corp. | | | | | 1,802,945 | | |
| | | 36,735 | | | | Magna International Inc. | | | | | 2,898,759 | | |
| | | 4,400 | | | | Shopify Inc., Class A Shares* | | | | | 6,709,032 | | |
| | | 116,926 | | | | Sun Life Financial Inc. | | | | | 6,021,256 | | |
| | | 86,038 | | | | TMX Group Ltd. | | | | | 9,466,942 | | |
| | | 74,426 | | | | Wheaton Precious Metals Corp. | | | | | 3,354,760 | | |
| | | | | | | Total Canada | | | | | 64,970,350 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| China – 7.5% | | ||||||||||||
| | | 2,212,000 | | | | AK Medical Holdings Ltd.(a)(b) | | | | $ | 2,265,586 | | |
| | | 193,708 | | | | Alibaba Group Holding Ltd., ADR* | | | | | 32,347,299 | | |
| | | 23,376 | | | | Baidu Inc., ADR* | | | | | 3,670,500 | | |
| | | 813,933 | | | | Beijing Oriental Yuhong Waterproof Technology Co., Ltd., Class A Shares(c) | | | | | 6,116,555 | | |
| | | 721,300 | | | | BTG Hotels Group Co., Ltd., Class A Shares*(c) | | | | | 2,572,502 | | |
| | | 1,635,292 | | | | China Conch Venture Holdings Ltd. | | | | | 6,680,049 | | |
| | | 1,729,311 | | | | China Mengniu Dairy Co., Ltd.* | | | | | 10,398,144 | | |
| | | 3,076,660 | | | | China Molybdenum Co., Ltd., Class A Shares(c) | | | | | 3,703,962 | | |
| | | 2,088,689 | | | | China Molybdenum Co., Ltd., Class H Shares(d) | | | | | 1,628,584 | | |
| | | 111,874 | | | | China Tourism Group Duty Free Corp., Ltd, Class A Shares(c) | | | | | 3,952,220 | | |
| | | 42,635 | | | | GDS Holdings Ltd., ADR* | | | | | 2,493,295 | | |
| | | 180,183 | | | | GDS Holdings Ltd., Class A Shares* | | | | | 1,309,339 | | |
| | | 223,550 | | | | Glodon Co., Ltd., Class A Shares(c) | | | | | 2,000,214 | | |
| | | 690,300 | | | | Gree Electric Appliances Inc. of Zhuhai, Class A Shares(c) | | | | | 4,400,597 | | |
| | | 209,416 | | | | Hangzhou Tigermed Consulting Co., Ltd., Class A Shares(c) | | | | | 4,344,209 | | |
| | | 808,647 | | | | Han’s Laser Technology Industry Group Co., Ltd., Class A Shares(c) | | | | | 5,612,292 | | |
| | | 809,288 | | | | Hua Hong Semiconductor Ltd.*(b) | | | | | 4,756,422 | | |
| | | 24,660 | | | | Kanzhun Ltd., ADR* | | | | | 908,968 | | |
| | | 1,401,407 | | | | Kingdee International Software Group Co., Ltd.* | | | | | 5,103,753 | | |
| | | 1,072,842 | | | | Kingsoft Corp., Ltd | | | | | 4,288,812 | | |
| | | 14,665 | | | | Kweichow Moutai Co., Ltd., Class A Shares(c) | | | | | 3,537,510 | | |
| | | 167,820 | | | | Lufax Holding Ltd., ADR* | | | | | 1,454,999 | | |
| | | 103,407 | | | | Meituan, Class B Shares*(b) | | | | | 3,302,419 | | |
| | | 596,179 | | | | Midea Group Co., Ltd., Class A Shares(c) | | | | | 6,091,923 | | |
| | | 1,246,695 | | | | NARI Technology Co., Ltd., Class A Shares(c) | | | | | 6,755,005 | | |
| | | 186,819 | | | | SF Holding Co., Ltd., Class A Shares(c) | | | | | 1,666,794 | | |
| | | 397,800 | | | | Shandong Pharmaceutical Glass Co., Ltd., Class A Shares(c) | | | | | 2,093,191 | | |
| | | 280,458 | | | | Shanghai Henlius Biotech Inc., Class H Shares*(a)(b)(d) | | | | | 970,608 | | |
| | | 644,376 | | | | Shanghai Kindly Medical Instruments Co., Ltd., Class H Shares(a)(d) | | | | | 2,233,563 | | |
| | | 86,320 | | | | Shenzhen Mindray Bio-Medical Electronics Co., Ltd., Class A Shares(c) | | | | | 4,401,761 | | |
| | | 277,035 | | | | Shenzhou International Group Holdings Ltd. | | | | | 6,017,033 | | |
| | | 2,558,019 | | | | Sino Biopharmaceutical Ltd. | | | | | 2,138,520 | | |
| | | 362,899 | | | | Tencent Holdings Ltd. | | | | | 22,330,207 | | |
| | | 13,642 | | | | Tencent Holdings Ltd., ADR(a) | | | | | 841,166 | | |
| | | 832,544 | | | | Venustech Group Inc., Class A Shares(c) | | | | | 3,860,959 | | |
| | | 141,400 | | | | Will Semiconductor Co., Ltd. Shanghai, Class A Shares(c) | | | | | 5,293,872 | | |
| | | 1,182,548 | | | | Winning Health Technology Group Co., Ltd., Class A Shares(c) | | | | | 2,599,946 | | |
| | | 136,000 | | | | Wuxi Biologics Cayman Inc.*(b) | | | | | 2,102,806 | | |
| | | 92,497 | | | | Yum China Holdings Inc. | | | | | 5,694,431 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| China – (continued) | | ||||||||||||
| | | 271,867 | | | | Yunnan Baiyao Group Co., Ltd., Class A Shares(c) | | | | $ | 3,734,659 | | |
| | | 58,444 | | | | Zai Lab Ltd., ADR* | | | | | 8,445,158 | | |
| | | 558,435 | | | | Zhejiang Dingli Machinery Co., Ltd., Class A Shares(c) | | | | | 6,073,233 | | |
| | | | | | | Total China | | | | | 210,193,065 | | |
| Cyprus – 0.2% | | ||||||||||||
| | | 55,190 | | | | TCS Group Holding PLC, GDR | | | | | 4,870,314 | | |
| Denmark – 0.9% | | ||||||||||||
| | | 34,500 | | | | Chr Hansen Holding AS | | | | | 3,182,342 | | |
| | | 6,180 | | | | Genmab AS* | | | | | 2,928,869 | | |
| | | 31,764 | | | | Jyske Bank AS, Class Registered Shares* | | | | | 1,385,754 | | |
| | | 153,618 | | | | Novozymes AS, Class B Shares | | | | | 12,406,072 | | |
| | | 32,866 | | | | Royal Unibrew AS | | | | | 4,249,792 | | |
| | | 42,117 | | | | Sydbank AS | | | | | 1,237,295 | | |
| | | | | | | Total Denmark | | | | | 25,390,124 | | |
| Egypt – 0.3% | | ||||||||||||
| | | 9,040,631 | | | | Fawry for Banking & Payment Technology Services SAE*(c) | | | | | 9,614,900 | | |
| Finland – 0.4% | | ||||||||||||
| | | 130,820 | | | | Musti Group OYJ* | | | | | 5,278,686 | | |
| | | 279,266 | | | | Talenom OYJ(a)(c) | | | | | 5,618,961 | | |
| | | 96,719 | | | | Wartsila OYJ Abp | | | | | 1,371,894 | | |
| | | | | | | Total Finland | | | | | 12,269,541 | | |
| France – 7.2% | | ||||||||||||
| | | 36,394 | | | | Air Liquide SA | | | | | 6,531,120 | | |
| | | 84,938 | | | | Alstom SA | | | | | 3,654,865 | | |
| | | 75,919 | | | | Aubay | | | | | 4,426,623 | | |
| | | 23,155 | | | | Cie Generale des Etablissements Michelin SCA | | | | | 3,745,976 | | |
| | | 96,467 | | | | Danone SA | | | | | 7,046,358 | | |
| | | 7,245 | | | | Dassault Aviation SA | | | | | 8,186,858 | | |
| | | 151,732 | | | | Dassault Systemes SE | | | | | 8,648,615 | | |
| | | 61,839 | | | | Esker SA | | | | | 20,882,084 | | |
| | | 94,247 | | | | EssilorLuxottica SA | | | | | 18,489,503 | | |
| | | 154,763 | | | | Legrand SA | | | | | 17,706,863 | | |
| | | 45,234 | | | | L’Oreal SA | | | | | 21,205,072 | | |
| | | 9,362 | | | | LVMH Moet Hennessy Louis Vuitton SE | | | | | 6,951,245 | | |
| | | 89,037 | | | | Pernod Ricard SA | | | | | 18,696,886 | | |
| | | 115,673 | | | | Sanofi | | | | | 11,969,432 | | |
| | | 151,051 | | | | Schneider Electric SE | | | | | 27,043,787 | | |
| | | 162,244 | | | | Thales SA | | | | | 16,452,856 | | |
| | | | | | | Total France | | | | | 201,638,143 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Germany – 5.5% | | ||||||||||||
| | | 10,590 | | | | adidas AG | | | | $ | 3,755,265 | | |
| | | 47,419 | | | | Atoss Software AG | | | | | 10,175,762 | | |
| | | 32,641 | | | | Auto1 Group SE*(b) | | | | | 1,420,141 | | |
| | | 50,049 | | | | Bayer AG, Class Registered Shares | | | | | 2,785,131 | | |
| | | 47,250 | | | | Beiersdorf AG | | | | | 5,731,906 | | |
| | | 47,161 | | | | Deutsche Boerse AG | | | | | 8,132,774 | | |
| | | 57,463 | | | | Deutsche Wohnen SE | | | | | 3,565,539 | | |
| | | 218,249 | | | | Elmos Semiconductor SE | | | | | 9,792,975 | | |
| | | 116,290 | | | | Evotec SE* | | | | | 5,779,842 | | |
| | | 251,733 | | | | Exasol AG* | | | | | 5,156,190 | | |
| | | 125,984 | | | | GEA Group AG | | | | | 5,817,198 | | |
| | | 151,235 | | | | Henkel AG & Co. KGaA | | | | | 14,770,022 | | |
| | | 11,377 | | | | Hypoport SE* | | | | | 7,856,986 | | |
| | | 31,209 | | | | Infineon Technologies AG | | | | | 1,328,381 | | |
| | | 74,490 | | | | Knorr-Bremse AG | | | | | 8,939,369 | | |
| | | 28,290 | | | | LEG Immobilien SE | | | | | 4,508,857 | | |
| | | 62,768 | | | | Mensch und Maschine Software SE | | | | | 4,899,174 | | |
| | | 37,430 | | | | MorphoSys AG* | | | | | 2,169,985 | | |
| | | 123,268 | | | | Nexus AG | | | | | 10,188,663 | | |
| | | 47,416 | | | | SAP SE | | | | | 7,134,283 | | |
| | | 2,444 | | | | Sartorius AG | | | | | 1,609,869 | | |
| | | 62,607 | | | | Symrise AG, Class A Shares | | | | | 8,913,588 | | |
| | | 120,095 | | | | TAG Immobilien AG | | | | | 4,064,436 | | |
| | | 65,543 | | | | TeamViewer AG*(b) | | | | | 2,182,887 | | |
| | | 80,959 | | | | Vonovia SE | | | | | 5,462,495 | | |
| | | 61,580 | | | | Zalando SE*(b) | | | | | 6,819,830 | | |
| | | | | | | Total Germany | | | | | 152,961,548 | | |
| Greece – 0.2% | | ||||||||||||
| | | 477,609 | | | | Sarantis SA | | | | | 5,074,234 | | |
| Hong Kong – 1.2% | | ||||||||||||
| | | 1,141,800 | | | | AIA Group Ltd. | | | | | 13,628,974 | | |
| | | 1,403,601 | | | | Budweiser Brewing Co. APAC Ltd.(b) | | | | | 3,513,902 | | |
| | | 687,177 | | | | Galaxy Entertainment Group Ltd.* | | | | | 4,398,150 | | |
| | | 146,682 | | | | New Frontier Health Corp.*(a) | | | | | 1,648,706 | | |
| | | 401,711 | | | | Techtronic Industries Co., Ltd. | | | | | 8,885,870 | | |
| | | | | | | Total Hong Kong | | | | | 32,075,602 | | |
| Hungary – 0.2% | | ||||||||||||
| | | 108,454 | | | | OTP Bank Nyrt* | | | | | 6,548,478 | | |
| India – 8.6% | | ||||||||||||
| | | 267,050 | | | | Aarti Industries Ltd. | | | | | 3,425,796 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| India – (continued) | | ||||||||||||
| | | 412,279 | | | �� | Aavas Financiers Ltd.* | | | | $ | 13,642,006 | | |
| | | 127,162 | | | | Asian Paints Ltd. | | | | | 5,580,070 | | |
| | | 732,265 | | | | Axis Bank Ltd.* | | | | | 7,873,347 | | |
| | | 165,259 | | | | Bajaj Finance Ltd. | | | | | 17,013,096 | | |
| | | 670,962 | | | | Berger Paints India Ltd. | | | | | 7,540,063 | | |
| | | 793,393 | | | | Bharti Airtel Ltd.* | | | | | 7,184,690 | | |
| | | 3,125,379 | | | | City Union Bank Ltd. | | | | | 6,483,871 | | |
| | | 102,046 | | | | Divi’s Laboratories Ltd. | | | | | 7,219,834 | | |
| | | 197,329 | | | | Dr Lal PathLabs Ltd.(b) | | | | | 10,966,930 | | |
| | | 55,113 | | | | Dr Reddy’s Laboratories Ltd. | | | | | 3,556,530 | | |
| | | 18,252 | | | | Dr Reddy’s Laboratories Ltd., ADR | | | | | 1,171,961 | | |
| | | 2,068,542 | | | | Edelweiss Financial Services Ltd. | | | | | 2,298,419 | | |
| | | 96,269 | | | | Godrej Consumer Products Ltd.* | | | | | 1,451,131 | | |
| | | 181,897 | | | | Godrej Properties Ltd.* | | | | | 3,708,868 | | |
| | | 584,438 | | | | Gulf Oil Lubricants India Ltd. | | | | | 4,882,910 | | |
| | | 233,625 | | | | HDFC Bank Ltd. | | | | | 5,053,861 | | |
| | | 282,091 | | | | Hemisphere Properties India Ltd.* | | | | | 521,208 | | |
| | | 113,322 | | | | Hindustan Unilever Ltd. | | | | | 4,225,849 | | |
| | | 569,764 | | | | Housing Development Finance Corp., Ltd | | | | | 21,777,437 | | |
| | | 182,072 | | | | ICICI Lombard General Insurance Co., Ltd.(b) | | | | | 3,991,139 | | |
| | | 2,724,766 | | | | JM Financial Ltd. | | | | | 3,455,694 | | |
| | | 75,836 | | | | Jubilant Foodworks Ltd. | | | | | 4,146,843 | | |
| | | 160,753 | | | | Kotak Mahindra Bank Ltd. | | | | | 3,847,769 | | |
| | | 38,041 | | | | Maruti Suzuki India Ltd. | | | | | 3,561,350 | | |
| | | 614,745 | | | | Max Financial Services Ltd.* | | | | | 9,176,081 | | |
| | | 486,691 | | | | Metropolis Healthcare Ltd.(b) | | | | | 18,791,646 | | |
| | | 239,298 | | | | Muthoot Finance Ltd. | | | | | 4,963,838 | | |
| | | 812,069 | | | | Nippon Life India Asset Management Ltd.(b) | | | | | 4,704,944 | | |
| | | 4,480,641 | | | | NTPC Ltd. | | | | | 7,108,118 | | |
| | | 441,030 | | | | Reliance Industries Ltd. | | | | | 13,373,148 | | |
| | | 347,671 | | | | SBI Life Insurance Co., Ltd.(b) | | | | | 5,673,560 | | |
| | | 197,205 | | | | Supreme Industries Ltd. | | | | | 5,936,980 | | |
| | | 347,465 | | | | Tata Communications Ltd. | | | | | 6,712,337 | | |
| | | 485,032 | | | | Tata Consumer Products Ltd. | | | | | 5,757,773 | | |
| | | 184,514 | | | | Titan Co., Ltd. | | | | | 4,848,776 | | |
| | | | | | | Total India | | | | | 241,627,873 | | |
| Indonesia – 0.5% | | ||||||||||||
| | | 3,246,800 | | | | Bank Central Asia Tbk PT | | | | | 7,453,306 | | |
| | | 63,099,800 | | | | Sarana Menara Nusantara Tbk PT@ | | | | | 5,918,109 | | |
| | | | | | | Total Indonesia | | | | | 13,371,415 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Ireland – 0.8% | | ||||||||||||
| | | 228,166 | | | | Experian PLC | | | | $ | 10,039,620 | | |
| | | 39,910 | | | | Kerry Group PLC, Class A Shares | | | | | 5,851,860 | | |
| | | 50,095 | | | | Ryanair Holdings PLC, ADR* | | | | | 5,395,232 | | |
| | | | | | | Total Ireland | | | | | 21,286,712 | | |
| Israel – 0.5% | | ||||||||||||
| | | 1,910,304 | | | | Nayax Ltd.* | | | | | 6,298,600 | | |
| | | 54,516 | | | | Rami Levy Chain Stores Hashikma Marketing 2006 Ltd. | | | | | 3,825,819 | | |
| | | 16,268 | | | | Wix.com Ltd.* | | | | | 3,612,797 | | |
| | | | | | | Total Israel | | | | | 13,737,216 | | |
| Italy – 1.0% | | ||||||||||||
| | | 581,625 | | | | Banca Mediolanum SpA | | | | | 6,043,326 | | |
| | | 23,420 | | | | DiaSorin SpA | | | | | 5,340,928 | | |
| | | 45,647 | | | | Digital Value SpA* | | | | | 5,142,071 | | |
| | | 182,618 | | | | Gruppo MutuiOnline SpA | | | | | 11,018,885 | | |
| | | | | | | Total Italy | | | | | 27,545,210 | | |
| Japan – 15.3% | | ||||||||||||
| | | 556,316 | | | | Avant Corp. | | | | | 7,694,736 | | |
| | | 255,100 | | | | Chiba Bank Ltd. | | | | | 1,591,079 | | |
| | | 108,472 | | | | Commerce One Holdings Inc.* | | | | | 2,098,992 | | |
| | | 99,700 | | | | Cybozu Inc. | | | | | 2,282,454 | | |
| | | 94,100 | | | | Daiichi Sankyo Co., Ltd. | | | | | 2,234,065 | | |
| | | 103,700 | | | | Direct Marketing MiX Inc. | | | | | 3,833,929 | | |
| | | 17,200 | | | | Disco Corp. | | | | | 5,005,164 | | |
| | | 206,000 | | | | eGuarantee Inc. | | | | | 4,573,260 | | |
| | | 9,800 | | | | Eisai Co., Ltd. | | | | | 809,120 | | |
| | | 74,300 | | | | Ezaki Glico Co., Ltd. | | | | | 2,808,317 | | |
| | | 102,300 | | | | Freee KK* | | | | | 8,282,077 | | |
| | | 218,500 | | | | Fujitsu General Ltd. | | | | | 5,459,835 | | |
| | | 250,200 | | | | Hachijuni Bank Ltd. | | | | | 861,085 | | |
| | | 233,589 | | | | Hennge KK*(a) | | | | | 10,223,027 | | |
| | | 12,000 | | | | Hikari Tsushin Inc. | | | | | 2,100,575 | | |
| | | 62,310 | | | | Hirose Electric Co., Ltd. | | | | | 10,371,263 | | |
| | | 46,600 | | | | Hoshizaki Corp. | | | | | 4,372,005 | | |
| | | 73,500 | | | | IR Japan Holdings Ltd. | | | | | 8,768,256 | | |
| | | 141,600 | | | | Ito En Ltd. | | | | | 8,951,424 | | |
| | | 524,100 | | | | Japan Elevator Service Holdings Co., Ltd. | | | | | 13,805,730 | | |
| | | 202,800 | | | | Kansai Paint Co., Ltd. | | | | | 5,251,570 | | |
| | | 226,200 | | | | Kao Corp. | | | | | 13,656,899 | | |
| | | 9,250 | | | | Keyence Corp. | | | | | 5,555,080 | | |
| | | 93,200 | | | | Kobayashi Pharmaceutical Co., Ltd. | | | | | 7,290,486 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Japan – (continued) | | ||||||||||||
| | | 11,000 | | | | Kose Corp. | | | | $ | 1,329,067 | | |
| | | 95,600 | | | | Lion Corp. | | | | | 1,626,990 | | |
| | | 60,900 | | | | Makuake Inc.*(a) | | | | | 3,088,415 | | |
| | | 421,500 | | | | Mebuki Financial Group Inc. | | | | | 941,597 | | |
| | | 242,300 | | | | Medley Inc.*(a) | | | | | 9,644,384 | | |
| | | 58,900 | | | | MedPeer Inc.* | | | | | 2,278,666 | | |
| | | 82,800 | | | | Murata Manufacturing Co., Ltd. | | | | | 6,856,252 | | |
| | | 223,500 | | | | Nihon Jyoho Create Co., Ltd.(a) | | | | | 3,077,528 | | |
| | | 177,400 | | | | Nihon Kohden Corp. | | | | | 5,951,816 | | |
| | | 443,800 | | | | Nippon Telegraph & Telephone Corp. | | | | | 11,838,895 | | |
| | | 25,100 | | | | Nissin Foods Holdings Co., Ltd. | | | | | 1,952,431 | | |
| | | 183,300 | | | | Nomura Research Institute Ltd. | | | | | 6,869,949 | | |
| | | 375,100 | | | | North Pacific Bank Ltd. | | | | | 865,037 | | |
| | | 207,700 | | | | NTT Data Corp. | | | | | 3,736,964 | | |
| | | 34,000 | | | | Obic Co., Ltd. | | | | | 6,454,928 | | |
| | | 67,000 | | | | Omron Corp. | | | | | 6,314,042 | | |
| | | 54,900 | | | | ORIX Corp. | | | | | 1,026,373 | | |
| | | 269,700 | | | | Otsuka Holdings Co., Ltd. | | | | | 11,465,803 | | |
| | | 224,100 | | | | Outsourcing Inc. | | | | | 3,825,277 | | |
| | | 169,200 | | | | Pan Pacific International Holdings Corp. | | | | | 3,213,672 | | |
| | | 253,800 | | | | Persol Holdings Co., Ltd. | | | | | 5,925,184 | | |
| | | 503,806 | | | | Prestige International Inc. | | | | | 3,453,988 | | |
| | | 260,000 | | | | Raccoon Holdings Inc.(a) | | | | | 5,348,571 | | |
| | | 564,904 | | | | Rakus Co., Ltd. | | | | | 19,898,573 | | |
| | | 203,100 | | | | Rohto Pharmaceutical Co., Ltd. | | | | | 6,383,510 | | |
| | | 411,100 | | | | Santen Pharmaceutical Co., Ltd. | | | | | 6,124,339 | | |
| | | 101,000 | | | | Secom Co., Ltd. | | | | | 7,655,988 | | |
| | | 259,100 | | | | SERAKU Co., Ltd.(a) | | | | | 5,043,842 | | |
| | | 143,000 | | | | Seven & i Holdings Co., Ltd. | | | | | 6,255,467 | | |
| | | 326,100 | | | | Shimadzu Corp. | | | | | 14,614,316 | | |
| | | 19,000 | | | | Shiseido Co., Ltd. | | | | | 1,258,692 | | |
| | | 675,148 | | | | SIGMAXYZ Inc. | | | | | 15,439,241 | | |
| | | 13,500 | | | | SMC Corp. | | | | | 8,623,646 | | |
| | | 132,238 | | | | SMS Co., Ltd. | | | | | 4,678,764 | | |
| | | 54,500 | | | | Sohgo Security Services Co., Ltd. | | | | | 2,467,361 | | |
| | | 74,200 | | | | Sony Group Corp. | | | | | 7,666,450 | | |
| | | 144,800 | | | | Stanley Electric Co., Ltd. | | | | | 3,612,172 | | |
| | | 126,200 | | | | Strike Co., Ltd.* | | | | | 4,671,199 | | |
| | | 81,200 | | | | Suzuki Motor Corp. | | | | | 3,506,091 | | |
| | | 516,100 | | | | Systena Corp. | | | | | 10,418,451 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Japan – (continued) | | ||||||||||||
| | | 118,940 | | | | Takeda Pharmaceutical Co., Ltd. | | | | $ | 3,967,274 | | |
| | | 66,200 | | | | Temairazu Inc.(a) | | | | | 3,363,074 | | |
| | | 112,200 | | | | Terumo Corp. | | | | | 4,684,695 | | |
| | | 172,600 | | | | Toyo Suisan Kaisha Ltd. | | | | | 7,143,455 | | |
| | | 275,900 | | | | ValueCommerce Co., Ltd. | | | | | 11,285,769 | | |
| | | 334,200 | | | | WealthNavi Inc.*(a) | | | | | 11,545,286 | | |
| | | 147,800 | | | | Yokogawa Electric Corp. | | | | | 2,312,078 | | |
| | | 1,539,600 | | | | Z Holdings Corp. | | | | | 10,026,439 | | |
| | | | | | | Total Japan | | | | | 427,612,429 | | |
| Jersey, Channel Islands – 0.3% | | ||||||||||||
| | | 756,238 | | | | JTC PLC(b) | | | | | 7,927,860 | | |
| Mexico – 0.8% | | ||||||||||||
| | | 946,605 | | | | Grupo Mexico SAB de CV, Class B Shares | | | | | 4,388,752 | | |
| | | 2,294,108 | | | | Qualitas Controladora SAB de CV | | | | | 10,853,208 | | |
| | | 1,895,199 | | | | Wal-Mart de Mexico SAB de CV | | | | | 6,724,977 | | |
| | | | | | | Total Mexico | | | | | 21,966,937 | | |
| Netherlands – 3.2% | | ||||||||||||
| | | 729 | | | | Adyen NV*(b) | | | | | 2,363,052 | | |
| | | 88,199 | | | | Akzo Nobel NV | | | | | 10,874,622 | | |
| | | 23,430 | | | | ASML Holding NV | | | | | 19,582,141 | | |
| | | 19,088 | | | | Core Laboratories NV | | | | | 526,065 | | |
| | | 42,486 | | | | Euronext NV(b) | | | | | 4,927,986 | | |
| | | 85,843 | | | | Heineken NV | | | | | 9,408,506 | | |
| | | 165,996 | | | | Koninklijke Philips NV | | | | | 7,650,683 | | |
| | | 31,329 | | | | NXP Semiconductors NV | | | | | 6,739,808 | | |
| | | 230,301 | | | | Prosus NV* | | | | | 20,445,652 | | |
| | | 10,505 | | | | Shop Apotheke Europe NV*(b) | | | | | 1,870,358 | | |
| | | 53,789 | | | | Wolters Kluwer NV | | | | | 6,195,308 | | |
| | | | | | | Total Netherlands | | | | | 90,584,181 | | |
| Norway – 0.6% | | ||||||||||||
| | | 139,439 | | | | Medistim ASA | | | | | 6,303,629 | | |
| | | 725,642 | | | | Pexip Holding ASA* | | | | | 5,634,993 | | |
| | | 864,534 | | | | Zaptec AS* | | | | | 6,031,821 | | |
| | | | | | | Total Norway | | | | | 17,970,443 | | |
| Peru – 0.1% | | ||||||||||||
| | | 18,422 | | | | Credicorp Ltd.* | | | | | 1,964,338 | | |
| Philippines – 0.5% | | ||||||||||||
| | | 4,532,382 | | | | Ayala Land Inc. | | | | | 3,082,654 | | |
| | | 1,516,644 | | | | BDO Unibank Inc. | | | | | 3,356,860 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Philippines – (continued) | | ||||||||||||
| | | 2,141,022 | | | | Philippine Seven Corp.*(c) | | | | $ | 3,690,256 | | |
| | | 115,040 | | | | SM Investments Corp.@ | | | | | 2,336,741 | | |
| | | | | | | Total Philippines | | | | | 12,466,511 | | |
| Poland – 0.3% | | ||||||||||||
| | | 294,656 | | | | InPost SA* | | | | | 5,754,927 | | |
| | | 360,294 | | | | Powszechny Zaklad Ubezpieczen SA* | | | | | 3,816,115 | | |
| | | | | | | Total Poland | | | | | 9,571,042 | | |
| Portugal – 0.6% | | ||||||||||||
| | | 841,567 | | | | Galp Energia SGPS SA | | | | | 8,625,413 | | |
| | | 412,689 | | | | Jeronimo Martins SGPS SA | | | | | 8,745,576 | | |
| | | | | | | Total Portugal | | | | | 17,370,989 | | |
| Russia – 1.8% | | ||||||||||||
| | | 322,796 | | | | Fix Price Group Ltd., GDR*(b)(c) | | | | | 3,013,300 | | |
| | | 54,325 | | | | Fix Price Group Ltd., GDR* | | | | | 507,124 | | |
| | | 274,542 | | | | HeadHunter Group PLC, ADR | | | | | 14,553,471 | | |
| | | 47,845 | | | | Novatek PJSC, GDR | | | | | 11,332,461 | | |
| | | 73,400 | | | | Ozon Holdings PLC, ADR*(a) | | | | | 3,863,776 | | |
| | | 8,463 | | | | Polyus PJSC | | | | | 1,528,119 | | |
| | | 845 | | | | Polyus PJSC, GDR | | | | | 75,127 | | |
| | | 11,567 | | | | Polyus PJSC, GDR(c) | | | | | 1,025,415 | | |
| | | 114,930 | | | | Sberbank of Russia PJSC, ADR (listed in UK) | | | | | 2,049,439 | | |
| | | 475,047 | | | | Sberbank of Russia PJSC, ADR (listed in US) | | | | | 8,489,090 | | |
| | | 53,552 | | | | Yandex NV, Class A Shares* | | | | | 4,118,149 | | |
| | | | | | | Total Russia | | | | | 50,555,471 | | |
| Singapore – 0.1% | | ||||||||||||
| | | 3,481,500 | | | | Sheng Siong Group Ltd. | | | | | 3,908,916 | | |
| South Africa – 0.3% | | ||||||||||||
| | | 35,443 | | | | Capitec Bank Holdings Ltd. | | | | | 4,631,487 | | |
| | | 26,548 | | | | Naspers Ltd., Class N Shares | | | | | 4,554,349 | | |
| | | | | | | Total South Africa | | | | | 9,185,836 | | |
| South Korea – 3.4% | | ||||||||||||
| | | 102,995 | | | | Korea Shipbuilding & Offshore Engineering Co., Ltd.* | | | | | 10,487,321 | | |
| | | 101,084 | | | | LEENO Industrial Inc. | | | | | 15,527,246 | | |
| | | 3,943 | | | | LG Household & Health Care Ltd. | | | | | 4,968,369 | | |
| | | 37,770 | | | | NAVER Corp. | | | | | 14,274,337 | | |
| | | 573,596 | | | | NICE Information Service Co., Ltd. | | | | | 10,471,915 | | |
| | | 606,286 | | | | Samsung Electronics Co., Ltd. | | | | | 40,037,741 | | |
| | | | | | | Total South Korea | | | | | 95,766,929 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Spain – 0.4% | | ||||||||||||
| | | 162,093 | | | | Amadeus IT Group SA* | | | | $ | 9,895,749 | | |
| Sweden – 1.5% | | ||||||||||||
| | | 122,108 | | | | Assa Abloy AB, Class B Shares | | | | | 3,907,741 | | |
| | | 129,008 | | | | Cellavision AB | | | | | 6,845,971 | | |
| | | 205,261 | | | | Epiroc AB, Class A Shares | | | | | 4,510,576 | | |
| | | 99,250 | | | | Essity AB, Class B Shares | | | | | 3,184,763 | | |
| | | 133,936 | | | | Fortnox AB | | | | | 7,692,552 | | |
| | | 333,715 | | | | Swedbank AB, Class A Shares | | | | | 6,427,773 | | |
| | | 183,234 | | | | Vitec Software Group AB, Class B Shares | | | | | 10,593,915 | | |
| | | | | | | Total Sweden | | | | | 43,163,291 | | |
| Switzerland – 6.3% | | ||||||||||||
| | | 80,885 | | | | Alcon Inc. | | | | | 6,660,703 | | |
| | | 1,289 | | | | Barry Callebaut AG, Class Registered Shares | | | | | 3,286,665 | | |
| | | 154 | | | | Chocoladefabriken Lindt & Spruengli AG | | | | | 1,811,686 | | |
| | | 52,885 | | | | Cie Financiere Richemont SA, Class Registered Shares | | | | | 5,840,255 | | |
| | | 7,568 | | | | Geberit AG, Class Registered Shares | | | | | 6,319,258 | | |
| | | 5,330 | | | | Givaudan SA, Class Registered Shares | | | | | 26,759,889 | | |
| | | 1,909,106 | | | | Glencore PLC* | | | | | 8,598,648 | | |
| | | 190,340 | | | | Julius Baer Group Ltd. | | | | | 13,001,789 | | |
| | | 18,494 | | | | Lonza Group AG, Class Registered Shares | | | | | 15,640,304 | | |
| | | 392,060 | | | | Nestle SA, Class Registered Shares | | | | | 49,571,104 | | |
| | | 12,450 | | | | PolyPeptide Group AG*(b) | | | | | 1,803,757 | | |
| | | 10,989 | | | | Roche Holding AG | | | | | 4,411,047 | | |
| | | 27,283 | | | | Schindler Holding AG | | | | | 8,817,040 | | |
| | | 3,657 | | | | SGS SA, Class Registered Shares | | | | | 11,482,207 | | |
| | | 19,367 | | | | Sika AG, Class Registered Shares | | | | | 6,986,445 | | |
| | | 239,102 | | | | UBS Group AG, Class Registered Shares | | | | | 3,975,553 | | |
| | | | | | | Total Switzerland | | | | | 174,966,350 | | |
| Taiwan – 3.9% | | ||||||||||||
| | | 1,188,000 | | | | Bioteque Corp. | | | | | 4,462,914 | | |
| | | 603,073 | | | | Chief Telecom Inc.*(c) | | | | | 6,245,653 | | |
| | | 639,000 | | | | Delta Electronics Inc. | | | | | 6,242,169 | | |
| | | 306,820 | | | | Poya International Co., Ltd. | | | | | 5,602,869 | | |
| | | 1,257,000 | | | | Taiwan Semiconductor Manufacturing Co., Ltd. | | | | | 27,690,430 | | |
| | | 393,247 | | | | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | | | | | 46,800,326 | | |
| | | 264,981 | | | | Voltronic Power Technology Corp.* | | | | | 11,856,149 | | |
| | | | | | | Total Taiwan | | | | | 108,900,510 | | |
| Thailand – 0.6% | | ||||||||||||
| | | 2,277,500 | | | | CP ALL PCL, Class F Shares(c) | | | | | 4,588,176 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Thailand – (continued) | | ||||||||||||
| | | 3,034,400 | | | | TQM Corp. PCL, Class F Shares(c) | | | | $ | 11,003,403 | | |
| | | | | | | Total Thailand | | | | | 15,591,579 | | |
| United Arab Emirates – 0.2% | | ||||||||||||
| | | 1,264,234 | | | | Network International Holdings PLC*(b) | | | | | 6,801,646 | | |
| United Kingdom – 9.1% | | ||||||||||||
| | | 408,458 | | | | Amcor PLC | | | | | 5,216,118 | | |
| | | 187,110 | | | | AstraZeneca PLC, ADR | | | | | 10,904,771 | | |
| | | 175,185 | | | | Avon Protection PLC | | | | | 4,523,281 | | |
| | | 988,314 | | | | boohoo Group PLC* | | | | | 3,839,050 | | |
| | | 256,350 | | | | Bridgepoint Group PLC*(b) | | | | | 1,783,361 | | |
| | | 122,019 | | | | Burberry Group PLC | | | | | 3,121,550 | | |
| | | 1,052,484 | | | | Bytes Technology Group PLC* | | | | | 7,439,374 | | |
| | | 101,491 | | | | Compass Group PLC* | | | | | 2,094,812 | | |
| | | 28,720 | | | | Croda International PLC | | | | | 3,609,670 | | |
| | | 379,800 | | | | Deliveroo PLC*(c)@ | | | | | 1,728,272 | | |
| | | 236,831 | | | | Deliveroo PLC, Class A Shares*(a)(b) | | | | | 1,134,200 | | |
| | | 353,465 | | | | Diageo PLC | | | | | 16,969,098 | | |
| | | 715,334 | | | | DiscoverIE Group PLC | | | | | 9,889,593 | | |
| | | 2,500,352 | | | | dotdigital group PLC | | | | | 9,740,846 | | |
| | | 308,180 | | | | FDM Group Holdings PLC | | | | | 5,383,411 | | |
| | | 357,972 | | | | Future PLC | | | | | 18,952,737 | | |
| | | 488,260 | | | | GB Group PLC | | | | | 6,027,694 | | |
| | | 202,290 | | | | Halma PLC | | | | | 8,353,792 | | |
| | | 70,101 | | | | Hargreaves Lansdown PLC | | | | | 1,454,270 | | |
| | | 410,449 | | | | IMI PLC | | | | | 10,278,623 | | |
| | | 90,359 | | | | Intertek Group PLC | | | | | 6,548,404 | | |
| | | 4,735,688 | | | | Johnson Service Group PLC* | | | | | 9,614,230 | | |
| | | 27,441 | | | | Linde PLC | | | | | 8,654,377 | | |
| | | 96,025 | | | | London Stock Exchange Group PLC | | | | | 10,505,347 | | |
| | | 293,552 | | | | Mortgage Advice Bureau Holdings Ltd.(c) | | | | | 5,808,226 | | |
| | | 309,651 | | | | Patisserie Holdings PLC*(c)(e) | | | | | 4,257 | | |
| | | 166,417 | | | | Reckitt Benckiser Group PLC | | | | | 12,675,603 | | |
| | | 411,802 | | | | Smith & Nephew PLC | | | | | 7,887,788 | | |
| | | 113,511 | | | | Spectris PLC | | | | | 6,150,429 | | |
| | | 62,999 | | | | Spirax-Sarco Engineering PLC | | | | | 13,957,018 | | |
| | | 1,404,281 | | | | Strix Group PLC | | | | | 7,243,017 | | |
| | | 267,085 | | | | THG PLC* | | | | | 2,260,710 | | |
| | | 209,363 | | | | Unilever PLC | | | | | 11,649,252 | | |
| | | 963,233 | | | | YouGov PLC(c) | | | | | 19,070,237 | | |
| | | | | | | Total United Kingdom | | | | | 254,473,418 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| United States – 3.1% | | ||||||||||||
| | | 17,685 | | | | ACM Research Inc., Class A Shares* | | | | $ | 1,576,618 | | |
| | | 12,068 | | | | Agilent Technologies Inc. | | | | | 2,117,572 | | |
| | | 54,059 | | | | Analog Devices Inc. | | | | | 8,808,914 | | |
| | | 31,541 | | | | ANSYS Inc.* | | | | | 11,523,820 | | |
| | | 24,232 | | | | Bruker Corp. | | | | | 2,139,928 | | |
| | | 155,046 | | | | Cadence Design Systems Inc.* | | | | | 25,346,920 | | |
| | | 233 | | | | Canva Inc.*(c)(e)@ | | | | | 397,070 | | |
| | | 93,031 | | | | Colgate-Palmolive Co. | | | | | 7,251,766 | | |
| | | 123,673 | | | | DD3 Acquisition Corp. II Forward Shares*(c)(e)@ | | | | | 1,370,816 | | |
| | | 1,830 | | | | DD3 Acquisition Corp. II Private Units*(c)(e)@ | | | | | 18,117 | | |
| | | 163,862 | | | | Ermenegildo Zegna Holditalia SpA*(c)@ | | | | | 1,455,586 | | |
| | | 12,226 | | | | Nordson Corp. | | | | | 2,917,124 | | |
| | | 29,402 | | | | Philip Morris International Inc. | | | | | 3,028,406 | | |
| | | 15,170 | | | | Texas Instruments Inc. | | | | | 2,896,105 | | |
| | | 36,700 | | | | Visa Inc., Class A Shares | | | | | 8,407,970 | | |
| | | 55,759 | | | | Waste Connections Inc. | | | | | 7,204,620 | | |
| | | | | | | Total United States | | | | | 86,461,352 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $1,756,292,868) | | | | | 2,598,384,197 | | |
| EXCHANGE TRADED FUNDS (ETFs) – 3.8% | | ||||||||||||
| United States – 3.8% | | ||||||||||||
| | | 507,417 | | | | iShares Core MSCI Emerging Markets | | | | | 32,520,355 | | |
| | | 1,425,905 | | | | iShares MSCI EAFE Value(a) | | | | | 74,090,024 | | |
| | | | | | | Total United States | | | | | 106,610,379 | | |
| | | | | | | TOTAL EXCHANGE TRADED FUNDS (ETFs) (Cost – $99,173,743) | | | | | 106,610,379 | | |
| WARRANT – 0.0% | | ||||||||||||
| Switzerland – 0.0% | | ||||||||||||
| | | 96,408 | | | | Cie Financiere Richemont SA*(c) (Cost��– $0) | | | | | 49,478 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $1,855,466,611) | | | | | 2,705,044,054 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – 4.1% | | ||||||||||||
| TIME DEPOSITS – 4.1% | | ||||||||||||
| | | 75,208,078 | | | | ANZ National Bank – London, 0.005% due 9/1/21 | | | | $ | 75,208,078 | | |
| | | | | | | BNP Paribas SA – Paris: | | | |||||
| | | 506,955CHF | | | | (1.430)% due 9/1/21 | | | | | 553,565 | | |
| | | 1,624,341EUR | | | | (0.780)% due 9/1/21 | | | | | 1,917,940 | | |
| | | 10,200,275 | | | | 0.005% due 9/1/21 | | | | | 10,200,275 | | |
| | | | | | | Brown Brothers Harriman – Grand Cayman: | | | |||||
| | | 62,919AUD | | | | (0.120)% due 9/1/21 | | | | | 46,028 | | |
| | | 187,179CAD | | | | 0.010% due 9/1/21 | | | | | 148,384 | | |
| | | 456DKK | | | | (0.470)% due 9/1/21 | | | | | 72 | | |
| | | 4HKD | | | | 0.000% due 9/1/21 | | | | | 1 | | |
| | | 5JPY | | | | (0.310)% due 9/1/21 | | | | | — | | |
| | | 20NOK | | | | (0.080)% due 9/1/21 | | | | | 2 | | |
| | | 4NZD | | | | 0.005% due 9/1/21 | | | | | 3 | | |
| | | 10,557,088ZAR | | | | 3.800% due 9/1/21 | | | | | 726,742 | | |
| | | 123,309GBP | | | | Citibank – London, 0.005% due 9/1/21 | | | | | 169,532 | | |
| | | 2,347,364HKD | | | | Hong Kong & Shanghai Bank – Hong Kong, 0.000% due 9/1/21 | | | | | 301,815 | | |
| | | 108,699SGD | | | | Hong Kong & Shanghai Bank – Singapor, 0.005% due 9/1/21 | | | | | 80,850 | | |
| | | | | | | Skandinaviska Enskilda Banken AB – Stockholm: | | | |||||
| | | 3,218,725SEK | | | | (0.250)% due 9/1/21 | | | | | 372,943 | | |
| | | 24,199,343 | | | | 0.005% due 9/1/21 | | | | | 24,199,344 | | |
| | | 96,488,576JPY | | | | Sumitomo Mitsui Banking Corp. – Tokyo, (0.310)% due 9/1/21 | | | | | 877,049 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $114,802,623) | | | | | 114,802,623 | | |
| Shares/Units | | | | ||||||||||
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 3.3% | | ||||||||||||
| MONEY MARKET FUND – 3.3% | | ||||||||||||
| | | 92,363,031 | | | | Federated Government Obligations Fund, Premier Class, 0.025%(f) (Cost – $92,363,031) | | | | $ | 92,363,031 | | |
| | | | | | | TOTAL INVESTMENTS – 104.1% (Cost – $2,062,632,265) | | | | | 2,912,209,708 | | |
| | | | | | | Liabilities in Excess of Other Assets – (4.1)% | | | | | (115,980,984) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 2,796,228,724 | | |
Security | | | First Acquisition Date | | | First Acquisition Cost | | | Market Value | | | Percent of Net Assets | | ||||||||||||
Canva Inc. | | | | | 8/16/21 | | | | | $ | 397,070 | | | | | $ | 397,070 | | | | | | 0.01% | | |
DD3 Acquisition Corp. II Forward Shares | | | | | 6/11/21 | | | | | | 1,236,942 | | | | | | 1,370,816 | | | | | | 0.05% | | |
DD3 Acquisition Corp. II Private Units | | | | | 12/10/20 | | | | | | 18,304 | | | | | | 18,117 | | | | | | 0.00% | | |
Deliveroo PLC | | | | | 3/31/21 | | | | | | 1,081,309 | | | | | | 1,728,272 | | | | | | 0.06% | | |
Ermenegildo Zegna Holditalia SpA | | | | | 7/19/21 | | | | | | 1,638,620 | | | | | | 1,455,586 | | | | | | 0.05% | | |
Sarana Menara Nusantara Tbk PT | | | | | 4/3/17 | | | | | | 1,400 | | | | | | 5,918,109 | | | | | | 0.22% | | |
SM Investments Corp. | | | | | 5/23/18 | | | | | | 348,872 | | | | | | 2,336,741 | | | | | | 0.08% | | |
Total | | | | | | | | | | | | | | | | $ | 13,224,711 | | | | | | 0.47% | | |
| ADR — American Depositary Receipts | |
| GDR — Global Depositary Receipts | |
| PCL — Public Company Limited | |
| PLC — Public Limited Company | |
| Consumer Non-cyclical | | | | | 25.0% | | |
| Technology | | | | | 15.7 | | |
| Financial | | | | | 13.4 | | |
| Industrial | | | | | 13.0 | | |
| Communications | | | | | 8.9 | | |
| Consumer Cyclical | | | | | 5.9 | | |
| Basic Materials | | | | | 5.7 | | |
| Energy | | | | | 1.4 | | |
| Utilities | | | | | 0.2 | | |
| Consumer Discretionary | | | | | 0.0* | | |
| Exchange Traded Funds (ETFs) | | | | | 3.7 | | |
| Short-Term Investments | | | | | 3.9 | | |
| Money Market Fund | | | | | 3.2 | | |
| | | | | | 100.0% | | |
| Number of Contracts | | | Notional Amount | | | Security Name | | | Counterparty | | | Expiration Date | | | Exercise Rate | | | Value | | |||||||||
| 106 | | | $663,560 | | | Julius Baer Gruppe AG | | | | | MSC | | | | | | 9/17/21 | | | | $68.00 | | | | $ | 535 | | |
| | | | | | | TOTAL OPTION CONTRACTS WRITTEN (Premiums received – $11,935) | | | | | | | | | | | | | | | | | | | $ | 535 | | |
Foreign Currency | | | Local Currency | | | Counterparty | | | Market Value | | | Settlement Date | | | Unrealized Appreciation | | | Unrealized (Depreciation) | | | Unrealized Appreciation | | |||||||||||||||||||||
Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Japanese Yen | | | | | 795,000,000 | | | | | | CITI | | | | | $ | 7,227,499 | | | | | | 9/21/21 | | | | | $ | 32,533 | | | | | $ | — | | | | | $ | 32,533 | | |
Japanese Yen | | | | | 1,563,100,000 | | | | | | HSBC | | | | | | 14,210,444 | | | | | | 9/21/21 | | | | | | 70,376 | | | | | | — | | | | | | 70,376 | | |
Net Unrealized Appreciation on Open Forward Foreign Currency Contracts | | | | $ | 102,909 | | | | | $ | — | | | | | $ | 102,909 | | |
| 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 | |
| CITI — Citigroup Global Markets Inc. | |
| HSBC — HSBC Bank USA | |
| MSC — Morgan Stanley | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 87.0% | | ||||||||||||
| BASIC MATERIALS – 2.1% | | ||||||||||||
| Chemicals – 1.6% | | ||||||||||||
| | | 12,268 | | | | Air Liquide SA | | | | $ | 2,201,566 | | |
| | | 33,569 | | | | DuPont de Nemours Inc. | | | | | 2,484,777 | | |
| | | 39,730 | | | | Nutrien Ltd. | | | | | 2,415,705 | | |
| | | | | | | Total Chemicals | | | | | 7,102,048 | | |
| Mining – 0.5% | | ||||||||||||
| | | 67,085 | | | | BHP Group PLC | | | | | 2,079,095 | | |
| | | | | | | TOTAL BASIC MATERIALS | | | | | 9,181,143 | | |
| COMMUNICATIONS – 10.0% | | ||||||||||||
| Advertising – 0.5% | | ||||||||||||
| | | 130,300 | | | | Hakuhodo DY Holdings Inc. | | | | | 2,047,628 | | |
| Media – 0.8% | | ||||||||||||
| | | 55,932 | | | | Comcast Corp., Class A Shares | | | | | 3,393,954 | | |
| Telecommunications – 8.7% | | ||||||||||||
| | | 131,194 | | | | AT&T Inc. | | | | | 3,597,339 | | |
| | | 158,350 | | | | BCE Inc. | | | | | 8,259,883 | | |
| | | 101,433 | | | | Cisco Systems Inc. | | | | | 5,986,576 | | |
| | | 12,858 | | | | SK Telecom Co., Ltd. | | | | | 3,300,403 | | |
| | | 147,226 | | | | Verizon Communications Inc. | | | | | 8,097,430 | | |
| | | 5,455,268 | | | | Vodafone Group PLC | | | | | 9,145,159 | | |
| | | | | | | Total Telecommunications | | | | | 38,386,790 | | |
| | | | | | | TOTAL COMMUNICATIONS | | | | | 43,828,372 | | |
| CONSUMER CYCLICAL – 5.2% | | ||||||||||||
| Auto Manufacturers – 0.5% | | ||||||||||||
| | | 44,433 | | | | General Motors Co.* | | | | | 2,177,661 | | |
| Distribution/Wholesale – 0.5% | | ||||||||||||
| | | 90,800 | | | | Mitsui & Co., Ltd. | | | | | 1,998,138 | | |
| Home Builders – 1.0% | | ||||||||||||
| | | 37,998 | | | | PulteGroup Inc. | | | | | 2,046,572 | | |
| | | 804,995 | | | | Taylor Wimpey PLC | | | | | 2,021,684 | | |
| | | | | | | Total Home Builders | | | | | 4,068,256 | | |
| Retail – 2.5% | | ||||||||||||
| | | 15,830 | | | | Darden Restaurants Inc. | | | | | 2,384,789 | | |
| | | 60,835 | | | | Industria de Diseno Textil SA | | | | | 2,078,659 | | |
| | | 9,749 | | | | Lowe’s Cos., Inc. | | | | | 1,987,724 | | |
| | | 1,428,010 | | | | Topsports International Holdings Ltd. | | | | | 1,882,515 | | |
| | | 21,797 | | | | Walmart Inc. | | | | | 3,228,136 | | |
| | | | | | | Total Retail | | | | | 11,561,823 | | |
| Toys/Games/Hobbies – 0.7% | | ||||||||||||
| | | 6,045 | | | | Nintendo Co., Ltd. | | | | | 2,905,217 | | |
| | | | | | | TOTAL CONSUMER CYCLICAL | | | | | 22,711,095 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – 24.7% | | ||||||||||||
| Agriculture – 5.1% | | ||||||||||||
| | | 254,170 | | | | British American Tobacco PLC | | | | $ | 9,535,160 | | |
| | | 125,268 | | | | Philip Morris International Inc. | | | | | 12,902,604 | | |
| | | | | | | Total Agriculture | | | | | 22,437,764 | | |
| Beverages – 1.9% | | ||||||||||||
| | | 57,481 | | | | Coca-Cola Co. | | | | | 3,236,755 | | |
| | | 33,510 | | | | PepsiCo Inc. | | | | | 5,240,629 | | |
| | | | | | | Total Beverages | | | | | 8,477,384 | | |
| Biotechnology – 2.7% | | ||||||||||||
| | | 11,890 | | | | Amgen Inc. | | | | | 2,681,552 | | |
| | | 125,500 | | | | Gilead Sciences Inc. | | | | | 9,133,890 | | |
| | | | | | | Total Biotechnology | | | | | 11,815,442 | | |
| Cosmetics/Personal Care – 2.3% | | ||||||||||||
| | | 35,300 | | | | Kao Corp. | | | | | 2,131,249 | | |
| | | 140,843 | | | | Unilever PLC | | | | | 7,834,742 | | |
| | | | | | | Total Cosmetics/Personal Care | | | | | 9,965,991 | | |
| Food – 1.3% | | ||||||||||||
| | | 69,190 | | | | General Mills Inc. | | | | | 3,999,874 | | |
| | | 1,030,000 | | | | Tingyi Cayman Islands Holding Corp. | | | | | 1,833,401 | | |
| | | | | | | Total Food | | | | | 5,833,275 | | |
| Healthcare-Products – 0.8% | | ||||||||||||
| | | 25,007 | | | | Medtronic PLC | | | | | 3,337,934 | | |
| Healthcare-Services – 1.4% | | ||||||||||||
| | | 9,634 | | | | Anthem Inc. | | | | | 3,614,002 | | |
| | | 31,769 | | | | Fresenius Medical Care AG & Co. KGaA | | | | | 2,439,114 | | |
| | | | | | | Total Healthcare-Services | | | | | 6,053,116 | | |
| Household Products/Wares – 0.7% | | ||||||||||||
| | | 23,750 | | | | Kimberly-Clark Corp. | | | | | 3,272,988 | | |
| Pharmaceuticals – 8.5% | | ||||||||||||
| | | 109,972 | | | | AbbVie Inc. | | | | | 13,282,418 | | |
| | | 24,440 | | | | AstraZeneca PLC | | | | | 2,854,647 | | |
| | | 158,583 | | | | GlaxoSmithKline PLC | | | | | 3,188,109 | | |
| | | 137,335 | | | | Merck & Co., Inc. | | | | | 10,477,287 | | |
| | | 129,940 | | | | Pfizer Inc. | | | | | 5,986,336 | | |
| | | 12,580 | | | | Sanofi | | | | | 1,301,734 | | |
| | | | | | | Total Pharmaceuticals | | | | | 37,090,531 | | |
| | | | | | | TOTAL CONSUMER NON-CYCLICAL | | | | | 108,284,425 | | |
| ENERGY – 10.2% | | ||||||||||||
| Oil & Gas – 6.0% | | ||||||||||||
| | | 136,424 | | | | Chevron Corp. | | | | | 13,201,751 | | |
| | | 198,420 | | | | Exxon Mobil Corp. | | | | | 10,817,858 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| ENERGY – (continued) | | ||||||||||||
| Oil & Gas – (continued) | | ||||||||||||
| | | 56,475 | | | | TotalEnergies SE | | | | $ | 2,499,699 | | |
| | | | | | | Total Oil & Gas | | | | | 26,519,308 | | |
| Pipelines – 4.2% | | ||||||||||||
| | | 242,100 | | | | Enbridge Inc. | | | | | 9,528,927 | | |
| | | 152,737 | | | | Enterprise Products Partners LP | | | | | 3,399,926 | | |
| | | 109,126 | | | | TC Energy Corp. | | | | | 5,181,852 | | |
| | | | | | | Total Pipelines | | | | | 18,110,705 | | |
| | | | | | | TOTAL ENERGY | | | | | 44,630,013 | | |
| FINANCIAL – 14.1% | | ||||||||||||
| Banks – 9.9% | | ||||||||||||
| | | 257,717 | | | | Bank Leumi Le-Israel BM | | | | | 2,130,374 | | |
| | | 64,125 | | | | Canadian Imperial Bank of Commerce | | | | | 7,378,099 | | |
| | | 46,922 | | | | Citigroup Inc. | | | | | 3,374,161 | | |
| | | 143,915 | | | | Huntington Bancshares Inc. | | | | | 2,235,000 | | |
| | | 201,075 | | | | ING Groep NV | | | | | 2,771,211 | | |
| | | 20,664 | | | | JPMorgan Chase & Co. | | | | | 3,305,207 | | |
| | | 288,675 | | | | KeyCorp | | | | | 5,865,876 | | |
| | | 18,470 | | | | Morgan Stanley | | | | | 1,928,822 | | |
| | | 154,648 | | | | Nordea Bank Abp | | | | | 1,815,880 | | |
| | | 246,652 | | | | Oversea-Chinese Banking Corp., Ltd. | | | | | 2,091,470 | | |
| | | 86,015 | | | | Regions Financial Corp. | | | | | 1,757,286 | | |
| | | 62,935 | | | | Truist Financial Corp. | | | | | 3,591,071 | | |
| | | 41,398 | | | | US Bancorp | | | | | 2,375,831 | | |
| | | 70,892 | | | | Wells Fargo & Co. | | | | | 3,239,764 | | |
| | | | | | | Total Banks | | | | | 43,860,052 | | |
| Diversified Financial Services – 1.3% | | ||||||||||||
| | | 12,181 | | | | Deutsche Boerse AG | | | | | 2,100,577 | | |
| | | 152,973 | | | | Western Union Co. | �� | | | | 3,310,336 | | |
| | | | | | | Total Diversified Financial Services | | | | | 5,410,913 | | |
| Equity Real Estate Investment Trusts (REITs) – 0.5% | | ||||||||||||
| | | 47,897 | | | | National Retail Properties Inc. | | | | | 2,280,376 | | |
| Insurance – 2.4% | | ||||||||||||
| | | 48,839 | | | | Ageas SA/NV | | | | | 2,441,667 | | |
| | | 9,270 | | | | Allianz SE, Class Registered Shares | | | | | 2,177,432 | | |
| | | 9,353 | | | | Everest Re Group Ltd. | | | | | 2,477,610 | | |
| | | 6,768 | | | | Zurich Insurance Group AG | | | | | 2,972,887 | | |
| | | | | | | Total Insurance | | | | | 10,069,596 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 61,620,937 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – 4.5% | | ||||||||||||
| Aerospace/Defense – 1.4% | | ||||||||||||
| | | 320,101 | | | | BAE Systems PLC | | | | $ | 2,502,122 | | |
| | | 16,635 | | | | General Dynamics Corp. | | | | | 3,332,157 | | |
| | | | | | | Total Aerospace/Defense | | | | | 5,834,279 | | |
| Miscellaneous Manufacturers – 1.9% | | ||||||||||||
| | | 14,175 | | | | 3M Co. | | | | | 2,760,440 | | |
| | | 14,168 | | | | Eaton Corp. PLC | | | | | 2,385,324 | | |
| | | 21,717 | | | | Siemens AG, Class Registered Shares | | | | | 3,610,081 | | |
| | | | | | | Total Miscellaneous Manufacturers | | | | | 8,755,845 | | |
| Transportation – 1.2% | | ||||||||||||
| | | 73,597 | | | | Deutsche Post AG, Class Registered Shares | | | | | 5,175,027 | | |
| | | | | | | TOTAL INDUSTRIAL | | | | | 19,765,151 | | |
| TECHNOLOGY – 5.0% | | ||||||||||||
| Computers – 1.2% | | ||||||||||||
| | | 10,732 | | | | Capgemini SE | | | | | 2,407,848 | | |
| | | 22,323 | | | | International Business Machines Corp. | | | | | 3,132,810 | | |
| | | | | | | Total Computers | | | | | 5,540,658 | | |
| Semiconductors – 2.2% | | ||||||||||||
| | | 9,463 | | | | Broadcom Inc. | | | | | 4,705,098 | | |
| | | 30,857 | | | | Intel Corp. | | | | | 1,668,129 | | |
| | | 50,955 | | | | Samsung Electronics Co., Ltd. | | | | | 3,107,725 | | |
| | | | | | | Total Semiconductors | | | | | 9,480,952 | | |
| Software – 1.6% | | ||||||||||||
| | | 11,187 | | | | Microsoft Corp. | | | | | 3,377,132 | | |
| | | 40,877 | | | | Oracle Corp. | | | | | 3,643,367 | | |
| | | | | | | Total Software | | | | | 7,020,499 | | |
| | | | | | | TOTAL TECHNOLOGY | | | | | 22,042,109 | | |
| UTILITIES – 11.2% | | ||||||||||||
| Electric – 11.2% | | ||||||||||||
| | | 39,780 | | | | American Electric Power Co., Inc. | | | | | 3,563,095 | | |
| | | 97,962 | | | | Dominion Energy Inc. | | | | | 7,625,362 | | |
| | | 82,380 | | | | Duke Energy Corp. | | | | | 8,621,891 | | |
| | | 35,810 | | | | Evergy Inc. | | | | | 2,451,194 | | |
| | | 686,685 | | | | National Grid PLC | | | | | 8,877,520 | | |
| | | 197,550 | | | | PPL Corp. | | | | | 5,798,092 | | |
| | | 43,225 | | | | Public Service Enterprise Group Inc. | | | | | 2,763,807 | | |
| | | 140,160 | | | | Southern Co. | | | | | 9,212,717 | | |
| | | | | | | Total Electric | | | | | 48,913,678 | | |
| | | | | | | TOTAL UTILITIES | | | | | 48,913,678 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $322,710,427) | | | | | 380,976,923 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| EXCHANGE TRADED FUNDS (ETFs) – 10.3% | | ||||||||||||
| | | 408,489 | | | | iShares Core Dividend Growth(b) | | | | $ | 21,584,559 | | |
| | | 51,729 | | | | iShares Core High Dividend | | | | | 5,033,749 | | |
| | | 297,130 | | | | JPMorgan Equity Premium Income | | | | | 18,579,539 | | |
| | | | | | | TOTAL EXCHANGE TRADED FUNDS (ETFs) (Cost – $36,056,147) | | | | | 45,197,847 | | |
| CONVERTIBLE PREFERRED STOCKS – 1.5% | | ||||||||||||
| CONSUMER NON-CYCLICAL – 0.4% | | ||||||||||||
| Healthcare-Products – 0.4% | | ||||||||||||
| | | 14,930 | | | | Avantor Inc., 6.250% | | | | | 1,812,203 | | |
| TECHNOLOGY – 1.1% | | ||||||||||||
| Semiconductors – 0.8% | | ||||||||||||
| | | 2,170 | | | | Broadcom Inc., 8.000% | | | | | 3,424,803 | | |
| Software – 0.3% | | ||||||||||||
| | | 19,500 | | | | Change Healthcare Inc., 6.000% | | | | | 1,428,180 | | |
| | | | | | | TOTAL TECHNOLOGY | | | | | 4,852,983 | | |
| | | | | | | TOTAL CONVERTIBLE PREFERRED STOCKS (Cost – $5,024,681) | | | | | 6,665,186 | | |
| EQUITY LINKED NOTE – 0.2% | | ||||||||||||
| FINANCIAL – 0.2% | | ||||||||||||
| Diversified Financial Services – 0.2% | | ||||||||||||
| | | 18,400 | | | | Merrill Lynch International & Co. CV*(a)(c) (Cost – $727,238) | | | | | 910,258 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $364,518,493) | | | | | 433,750,214 | | |
| Face Amount | | | | | | | | | | | |||
| SHORT-TERM INVESTMENTS – 0.9% | | ||||||||||||
| TIME DEPOSITS – 0.9% | | ||||||||||||
| | $ | 3,136,406 | | | | Royal Bank of Canada – Toronto, 0.005% due 9/1/21 | | | | | 3,136,406 | | |
| | | 563,182 | | | | Skandinaviska Enskilda Banken AB – Stockholm, 0.005% due 9/1/21 | | | | | 563,182 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $3,699,588) | | | | | 3,699,588 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 0.3% | | ||||||||||||
| MONEY MARKET FUND – 0.3% | | ||||||||||||
| | $ | 1,441,800 | | | | Federated Government Obligations Fund, Premier Class, 0.025%(d) (Cost – $1,441,800) | | | | $ | 1,441,800 | | |
| | | | | | | TOTAL INVESTMENTS – 100.2% (Cost – $369,659,881) | | | | | 438,891,602 | | |
| | | | | | | Liabilities in Excess of Other Assets – (0.2)% | | | | | (696,847) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 438,194,755 | | |
| LP — Limited Partnership | |
| PLC — Public Limited Company | |
| Consumer Non-cyclical | | | | | 25.1% | | |
| Financial | | | | | 14.3 | | |
| Utilities | | | | | 11.1 | | |
| Energy | | | | | 10.2 | | |
| Communications | | | | | 10.0 | | |
| Technology | | | | | 6.1 | | |
| Consumer Cyclical | | | | | 5.2 | | |
| Industrial | | | | | 4.5 | | |
| Basic Materials | | | | | 2.1 | | |
| Exchange Traded Funds (ETFs) | | | | | 10.3 | | |
| Short-Term Investments | | | | | 0.8 | | |
| Money Market Fund | | | | | 0.3 | | |
| | | | | | 100.0% | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – 25.7% | | ||||||||||||
| Basic Materials – 0.4% | | ||||||||||||
| | $ | 255,000 | | | | Air Products & Chemicals Inc., Senior Unsecured Notes, 1.850% due 5/15/27 | | | | $ | 264,215 | | |
| | | 200,000 | | | | Antofagasta PLC, Senior Unsecured Notes, 2.375% due 10/14/30 | | | | | 194,252 | | |
| | | 210,000 | | | | Arconic Corp., Secured Notes, 6.125% due 2/15/28(a) | | | | | 224,477 | | |
| | | 200,000 | | | | CSN Islands XII Corp., Company Guaranteed Notes, 7.000%(b) | | | | | 200,052 | | |
| | | 55,000 | | | | CVR Partners LP/CVR Nitrogen Finance Corp., Senior Secured Notes, 6.125% due 6/15/28(a) | | | | | 56,237 | | |
| | | | | | | DuPont de Nemours Inc., Senior Unsecured Notes: | | | | | | | |
| | | 1,270,000 | | | | 4.205% due 11/15/23 | | | | | 1,368,027 | | |
| | | 1,280,000 | | | | 4.725% due 11/15/28 | | | | | 1,524,984 | | |
| | | 175,000 | | | | 5.419% due 11/15/48 | | | | | 247,587 | | |
| | | 410,000 | | | | Georgia-Pacific LLC, Senior Unsecured Notes, 3.600% due 3/1/25(a) | | | | | 445,912 | | |
| | | 460,000 | | | | Glencore Funding LLC, Company Guaranteed Notes, 1.625% due 4/27/26(a) | | | | | 461,596 | | |
| | | 95,000 | | | | Hexion Inc., Company Guaranteed Notes, 7.875% due 7/15/27(a) | | | | | 100,938 | | |
| | | 130,000 | | | | Illuminate Buyer LLC/Illuminate Holdings IV Inc., Senior Unsecured Notes, 9.000% due 7/1/28(a) | | | | | 143,650 | | |
| | | 215,000 | | | | Kraton Polymers LLC/Kraton Polymers Capital Corp., Company Guaranteed Notes, 4.250% due 12/15/25(a) | | | | | 220,824 | | |
| | | 200,000 | | | | LG Chem Ltd., Senior Unsecured Notes, 2.375% due 7/7/31(a) | | | | | 200,692 | | |
| | | 335,000 | | | | LYB International Finance III LLC, Company Guaranteed Notes, 3.800% due 10/1/60 | | | | | 366,452 | | |
| | | 400,000 | | | | MEGlobal Canada ULC, Company Guaranteed Notes, 5.000% due 5/18/25(a) | | | | | 446,010 | | |
| | | | | | | POSCO, Senior Unsecured Notes: | | | | | | | |
| | | 600,000 | | | | 2.375% due 1/17/23 | | | | | 612,798 | | |
| | | 300,000 | | | | 2.750% due 7/15/24 | | | | | 315,012 | | |
| | | 30,000 | | | | SCIH Salt Holdings Inc., Senior Unsecured Notes, 6.625% due 5/1/29(a) | | | | | 29,504 | | |
| | | 45,000 | | | | TMS International Corp., Senior Unsecured Notes, 6.250% due 4/15/29(a) | | | | | 47,169 | | |
| | | 20,000 | | | | Tronox Inc., Company Guaranteed Notes, 4.625% due 3/15/29(a) | | | | | 20,279 | | |
| | | 485,000 | | | | Vale Overseas Ltd., Company Guaranteed Notes, 3.750% due 7/8/30 | | | | | 516,986 | | |
| | | 400,000 | | | | Vedanta Resources Finance II PLC, Company Guaranteed Notes, 9.250% due 4/23/26(a) | | | | | 386,000 | | |
| | | 400,000 | | | | Vedanta Resources Ltd., Senior Unsecured Notes, 6.125% due 8/9/24 | | | | | 374,000 | | |
| | | 85,000 | | | | WR Grace Holdings LLC, Senior Unsecured Notes, 5.625% due 8/15/29(a) | | | | | 88,506 | | |
| | | | | | | Total Basic Materials | | | | | 8,856,159 | | |
| Communications – 2.9% | | ||||||||||||
| | | 200,000 | | | | Acuris Finance U.S. Inc./Acuris Finance SARL, Senior Secured Notes, 5.000% due 5/1/28(a) | | | | | 198,500 | | |
| | | 50,000 | | | | Arches Buyer Inc., Senior Secured Notes, 4.250% due 6/1/28(a) | | | | | 50,812 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Communications – (continued) | | ||||||||||||
| | | | | | | AT&T Inc., Senior Unsecured Notes: | | | |||||
| | $ | 725,000 | | | | 1.700% due 3/25/26 | | | | $ | 734,535 | | |
| | | 6,261,000 | | | | 4.350% due 3/1/29 | | | | | 7,259,686 | | |
| | | 115,000 | | | | 2.750% due 6/1/31 | | | | | 120,508 | | |
| | | 470,000 | | | | 2.250% due 2/1/32 | | | | | 467,055 | | |
| | | 1,070,000 | | | | 2.550% due 12/1/33(a) | | | | | 1,075,441 | | |
| | | 585,000 | | | | 3.650% due 6/1/51 | | | | | 616,998 | | |
| | | 225,000 | | | | 3.300% due 2/1/52 | | | | | 224,051 | | |
| | | 1,450,000 | | | | 3.500% due 2/1/61 | | | | | 1,439,923 | | |
| | | 135,000 | | | | Avaya Inc., Senior Secured Notes, 6.125% due 9/15/28(a) | | | | | 142,425 | | |
| | | 200,000 | | | | Baidu Inc., Senior Unsecured Notes, 3.425% due 4/7/30 | | | | | 216,207 | | |
| | | | | | | CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes: | | | | | | | |
| | | 265,000 | | | | 4.750% due 3/1/30(a) | | | | | 280,391 | | |
| | | 125,000 | | | | 4.500% due 8/15/30(a) | | | | | 130,607 | | |
| | | 85,000 | | | | 4.250% due 1/15/34(a) | | | | | 85,765 | | |
| | | 125,000 | | | | Cengage Learning Inc., Senior Unsecured Notes, 9.500% due 6/15/24(a) | | | | | 128,437 | | |
| | | | | | | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes: | | | | | | | |
| | | 410,000 | | | | 4.908% due 7/23/25 | | | | | 463,913 | | |
| | | 360,000 | | | | 4.200% due 3/15/28 | | | | | 407,453 | | |
| | | 570,000 | | | | 2.300% due 2/1/32 | | | | | 555,311 | | |
| | | 3,965,000 | | | | 6.384% due 10/23/35 | | | | | 5,299,935 | | |
| | | 2,245,000 | | | | 4.800% due 3/1/50 | | | | | 2,621,982 | | |
| | | 165,000 | | | | 3.900% due 6/1/52 | | | | | 170,336 | | |
| | | 100,000 | | | | 4.400% due 12/1/61 | | | | | 109,571 | | |
| | | | | | | Clear Channel Outdoor Holdings Inc., Company Guaranteed Notes: | | | | | | | |
| | | 15,000 | | | | 7.750% due 4/15/28(a) | | | | | 15,637 | | |
| | | 50,000 | | | | 7.500% due 6/1/29(a) | | | | | 51,750 | | |
| | | | | | | Comcast Corp., Company Guaranteed Notes: | | | | | | | |
| | | 3,015,000 | | | | 3.750% due 4/1/40 | | | | | 3,461,906 | | |
| | | 509,000 | | | | 2.937% due 11/1/56(a) | | | | | 504,187 | | |
| | | 105,000 | | | | CommScope Inc., Senior Secured Notes, 4.750% due 9/1/29(a) | | | | | 106,329 | | |
| | | 85,000 | | | | CommScope Technologies LLC, Company Guaranteed Notes, 5.000% due 3/15/27(a) | | | | | 83,686 | | |
| | | 85,000 | | | | Consolidated Communications Inc., Senior Secured Notes, 5.000% due 10/1/28(a) | | | | | 87,286 | | |
| | | 430,000 | | | | Cox Communications Inc., Senior Unsecured Notes, 2.600% due 6/15/31(a) | | | | | 440,207 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Communications – (continued) | | ||||||||||||
| | $ | 2,506,000 | | | | Crown Castle Towers LLC, Asset Backed, 4.241% due 7/15/28(a) | | | | $ | 2,837,479 | | |
| | | | | | | CSC Holdings LLC, Senior Unsecured Notes: | | | |||||
| | | 295,000 | | | | 5.750% due 1/15/30(a) | | | | | 311,726 | | |
| | | 200,000 | | | | 4.625% due 12/1/30(a) | | | | | 196,748 | | |
| | | | | | | Digicel Group Holdings Ltd.: | | | | | | | |
| | | 54,430 | | | | Senior Unsecured Notes, 8.000% due 4/1/25(a)(c) | | | | | 47,082 | | |
| | | 80,771 | | | | Subordinated Notes, 7.000% (a)(b)(c) | | | | | 63,500 | | |
| | | 70,000 | | | | DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Senior Secured Notes, 5.875% due 8/15/27(a) | | | | | 73,150 | | |
| | | | | | | Discovery Communications LLC, Company Guaranteed Notes: | | | | | | | |
| | | 60,000 | | | | 5.300% due 5/15/49 | | | | | 76,582 | | |
| | | 880,000 | | | | 4.650% due 5/15/50 | | | | | 1,044,107 | | |
| | | 85,000 | | | | DISH DBS Corp., Company Guaranteed Notes, 5.125% due 6/1/29(a) | | | | | 84,573 | | |
| | | 80,000 | | | | Embarq Corp., Senior Unsecured Notes, 7.995% due 6/1/36 | | | | | 84,200 | | |
| | | 105,000 | | | | Endure Digital Inc., Senior Unsecured Notes, 6.000% due 2/15/29(a) | | | | | 101,063 | | |
| | | 550,000 | | | | Expedia Group Inc., Company Guaranteed Notes, 3.800% due 2/15/28 | | | | | 595,087 | | |
| | | | | | | Frontier Communications Holdings LLC: | | | | | | | |
| | | | | | | Secured Notes: | | | | | | | |
| | | 60,000 | | | | 6.750% due 5/1/29(a) | | | | | 64,212 | | |
| | | 9,900 | | | | 5.875% due 11/1/29 | | | | | 10,066 | | |
| | | | | | | Senior Secured Notes: | | | | | | | |
| | | 45,000 | | | | 5.875% due 10/15/27(a) | | | | | 48,104 | | |
| | | 90,000 | | | | 5.000% due 5/1/28(a) | | | | | 94,050 | | |
| | | 135,000 | | | | GCI LLC, Senior Unsecured Notes, 4.750% due 10/15/28(a) | | | | | 141,581 | | |
| | | 190,000 | | | | Gray Television Inc., Company Guaranteed Notes, 7.000% due 5/15/27(a) | | | | | 203,775 | | |
| | | 120,000 | | | | GTT Communications Inc., Company Guaranteed Notes, 7.875% due 12/31/24(a) | | | | | 12,000 | | |
| | | 25,000 | | | | iHeartCommunications Inc., Company Guaranteed Notes, 8.375% due 5/1/27 | | | | | 26,558 | | |
| | | 110,000 | | | | Intelsat Jackson Holdings SA, Company Guaranteed Notes, 5.500% due 8/1/23(d) | | | | | 57,200 | | |
| | | | | | | KT Corp., Senior Unsecured Notes: | | | | | | | |
| | | 200,000 | | | | 1.000% due 9/1/25 | | | | | 198,740 | | |
| | | 400,000 | | | | 2.500% due 7/18/26 | | | | | 421,580 | | |
| | | 40,000 | | | | Level 3 Financing Inc., Company Guaranteed Notes, 3.750% due 7/15/29(a) | | | | | 39,000 | | |
| | | 70,000 | | | | Ligado Networks LLC, Senior Secured Notes, 15.500% due 11/1/23(a)(c) | | | | | 67,200 | | |
| | | 65,000 | | | | LogMeIn Inc., Senior Secured Notes, 5.500% due 9/1/27(a) | | | | | 67,438 | | |
| | | | | | | Lumen Technologies Inc.: | | | | | | | |
| | | 125,000 | | | | Senior Secured Notes, 4.000% due 2/15/27(a) | | | | | 128,281 | | |
| | | 135,000 | | | | Senior Unsecured Notes, 5.125% due 12/15/26(a) | | | | | 139,590 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Communications – (continued) | | ||||||||||||
| | $ | 65,000 | | | | Match Group Holdings II LLC, Senior Unsecured Notes, 4.625% due 6/1/28(a) | | | | $ | 67,873 | | |
| | | 1,010,000 | | | | NTT Finance Corp., Company Guaranteed Notes, 1.162% due 4/3/26(a) | | | | | 1,009,456 | | |
| | | 440,000 | | | | Omnicom Group Inc., Senior Unsecured Notes, 2.450% due 4/30/30 | | | | | 450,598 | | |
| | | | | | | Radiate Holdco LLC/Radiate Finance Inc.: | | | | | | | |
| | | 110,000 | | | | Senior Secured Notes, 4.500% due 9/15/26(a) | | | | | 114,535 | | |
| | | 40,000 | | | | Senior Unsecured Notes, 6.500% due 9/15/28(a) | | | | | 40,800 | | |
| | | 50,000 | | | | Scripps Escrow II Inc., Senior Secured Notes, 3.875% due 1/15/29(a) | | | | | 50,263 | | |
| | | 165,000 | | | | Scripps Escrow Inc., Company Guaranteed Notes, 5.875% due 7/15/27(a) | | | | | 169,379 | | |
| | | 600,000 | | | | SingTel Group Treasury Pte Ltd., Company Guaranteed Notes, 4.500% due 9/8/21 | | | | | 600,385 | | |
| | | 2,726,000 | | | | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, Senior Secured Notes, 5.152% due 3/20/28(a) | | | | | 3,139,398 | | |
| | | 2,301,000 | | | | TD Ameritrade Holding Corp., Senior Unsecured Notes, 2.750% due 10/1/29 | | | | | 2,453,956 | | |
| | | 300,000 | | | | Telefonica Emisiones SA, Company Guaranteed Notes, 4.895% due 3/6/48 | | | | | 366,248 | | |
| | | 55,000 | | | | Telesat Canada/Telesat LLC, Company Guaranteed Notes, 6.500% due 10/15/27(a) | | | | | 46,459 | | |
| | | | | | | Tencent Holdings Ltd., Senior Unsecured Notes: | | | | | | | |
| | | 705,000 | | | | 3.975% due 4/11/29(a) | | | | | 781,760 | | |
| | | 500,000 | | | | 2.390% due 6/3/30(a) | | | | | 499,051 | | |
| | | 55,000 | | | | Terrier Media Buyer Inc., Company Guaranteed Notes, 8.875% due 12/15/27(a) | | | | | 58,575 | | |
| | | | | | | T-Mobile USA Inc.: | | | | | | | |
| | | | | | | Company Guaranteed Notes: | | | | | | | |
| | | 680,000 | | | | 2.250% due 2/15/26 | | | | | 694,450 | | |
| | | 45,000 | | | | 3.375% due 4/15/29 | | | | | 47,545 | | |
| | | 35,000 | | | | 3.375% due 4/15/29(a) | | | | | 36,980 | | |
| | | 40,000 | | | | 2.875% due 2/15/31 | | | | | 41,100 | | |
| | | | | | | Senior Secured Notes: | | | | | | | |
| | | 650,000 | | | | 3.500% due 4/15/25 | | | | | 701,578 | | |
| | | 1,975,000 | | | | 3.875% due 4/15/30 | | | | | 2,212,830 | | |
| | | 1,545,000 | | | | 3.000% due 2/15/41 | | | | | 1,534,641 | | |
| | | 35,000 | | | | Townsquare Media Inc., Senior Secured Notes, 6.875% due 2/1/26(a) | | | | | 37,100 | | |
| | | | | | | Uber Technologies Inc., Company Guaranteed Notes: | | | | | | | |
| | | 70,000 | | | | 7.500% due 9/15/27(a) | | | | | 76,300 | | |
| | | 85,000 | | | | 4.500% due 8/15/29(a) | | | | | 83,647 | | |
| | | 75,000 | | | | Univision Communications Inc., Senior Secured Notes, 4.500% due 5/1/29(a) | | | | | 76,080 | | |
| | | | | | | Verizon Communications Inc., Senior Unsecured Notes: | | | | | | | |
| | | 9,346,000 | | | | 1.750% due 1/20/31 | | | | | 9,052,252 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Communications – (continued) | | ||||||||||||
| | $ | 3,035,000 | | | | 4.500% due 8/10/33 | | | | $ | 3,672,956 | | |
| | | 120,000 | | | | 2.650% due 11/20/40 | | | | | 116,428 | | |
| | | 2,075,000 | | | | 3.400% due 3/22/41 | | | | | 2,223,133 | | |
| | | 550,000 | | | | ViacomCBS Inc., Senior Unsecured Notes, 4.950% due 1/15/31 | | | | | 664,781 | | |
| | | 165,000 | | | | Viasat Inc., Senior Unsecured Notes, 6.500% due 7/15/28(a) | | | | | 174,040 | | |
| | | 65,000 | | | | Zayo Group Holdings Inc., Senior Unsecured Notes, 6.125% due 3/1/28(a) | | | | | 66,138 | | |
| | | | | | | Total Communications | | | | | 66,146,217 | | |
| Consumer Cyclical – 1.9% | | ||||||||||||
| | | 140,000 | | | | Academy Ltd., Senior Secured Notes, 6.000% due 11/15/27(a) | | | | | 149,975 | | |
| | | 5,000,000 | | | | Advance Auto Parts Inc., Company Guaranteed Notes, 3.900% due 4/15/30 | | | | | 5,565,464 | | |
| | | 70,000 | | | | Air Canada, Senior Secured Notes, 3.875% due 8/15/26(a) | | | | | 70,350 | | |
| | | | | | | Ambience Merger Sub Inc.: | | | | | | | |
| | | 50,000 | | | | Company Guaranteed Notes, 7.125% due 7/15/29(a) | | | | | 50,062 | | |
| | | 25,000 | | | | Senior Secured Notes, 4.875% due 7/15/28(a) | | | | | 25,146 | | |
| | | 135,000 | | | | American Airlines Inc./AAdvantage Loyalty IP Ltd., Senior Secured Notes, 5.750% due 4/20/29(a) | | | | | 145,782 | | |
| | | 170,000 | | | | American Axle & Manufacturing Inc., Company Guaranteed Notes, 5.000% due 10/1/29 | | | | | 169,949 | | |
| | | | | | | Asbury Automotive Group Inc., Company Guaranteed Notes: | | | | | | | |
| | | 38,000 | | | | 4.500% due 3/1/28 | | | | | 39,511 | | |
| | | 38,000 | | | | 4.750% due 3/1/30 | | | | | 40,090 | | |
| | | | | | | AutoZone Inc., Senior Unsecured Notes: | | | | | | | |
| | | 365,000 | | | | 3.625% due 4/15/25 | | | | | 397,422 | | |
| | | 1,702,000 | | | | 1.650% due 1/15/31 | | | | | 1,636,670 | | |
| | | 265,000 | | | | Bally’s Corp., Company Guaranteed Notes, 6.750% due 6/1/27(a) | | | | | 286,531 | | |
| | | 35,000 | | | | Beacon Roofing Supply Inc., Company Guaranteed Notes, 4.125% due 5/15/29(a) | | | | | 35,044 | | |
| | | 125,000 | | | | Boyd Gaming Corp., Company Guaranteed Notes, 4.750% due 6/15/31(a) | | | | | 129,091 | | |
| | | 150,000 | | | | Boyne USA Inc., Senior Unsecured Notes, 4.750% due 5/15/29(a) | | | | | 154,875 | | |
| | | 165,000 | | | | Caesars Entertainment Inc., Senior Secured Notes, 6.250% due 7/1/25(a) | | | | | 174,397 | | |
| | | 200,000 | | | | Caesars Resort Collection LLC/CRC Finco Inc., Company Guaranteed Notes, 5.250% due 10/15/25(a) | | | | | 202,840 | | |
| | | 45,000 | | | | Carlson Travel Inc., Senior Secured Notes, 6.750% due 12/15/25(a)(e) | | | | | 40,050 | | |
| | | | | | | Carnival Corp.: | | | | | | | |
| | | 11,000 | | | | Senior Secured Notes, 11.500% due 4/1/23(a) | | | | | 12,351 | | |
| | | 130,000 | | | | Senior Unsecured Notes, 5.750% due 3/1/27(a) | | | | | 132,903 | | |
| | | 65,000 | | | | Carvana Co., Company Guaranteed Notes, 5.625% due 10/1/25(a) | | | | | 67,600 | | |
| | | 280,000 | | | | Cedar Fair LP, Company Guaranteed Notes, 5.250% due 7/15/29 | | | | | 286,826 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Cyclical – (continued) | | ||||||||||||
| | $ | 115,000 | | | | Century Communities Inc., Company Guaranteed Notes, 6.750% due 6/1/27 | | | | $ | 122,874 | | |
| | | | | | | Dana Inc., Senior Unsecured Notes: | | | |||||
| | | 45,000 | | | | 5.375% due 11/15/27 | | | | | 47,475 | | |
| | | 20,000 | | | | 4.250% due 9/1/30 | | | | | 20,796 | | |
| | | 110,000 | | | | Dealer Tire LLC/DT Issuer LLC, Senior Unsecured Notes, 8.000% due 2/1/28(a) | | | | | 117,150 | | |
| | | 425,000 | | | | Dollar General Corp., Senior Unsecured Notes, 3.500% due 4/3/30 | | | | | 473,274 | | |
| | | 420,000 | | | | Dollar Tree Inc., Senior Unsecured Notes, 4.000% due 5/15/25 | | | | | 461,191 | | |
| | | 100,000 | | | | Everi Holdings Inc., Company Guaranteed Notes, 5.000% due 7/15/29(a) | | | | | 102,350 | | |
| | | 70,000 | | | | Ferrellgas LP/Ferrellgas Finance Corp., Senior Unsecured Notes, 5.375% due 4/1/26(a) | | | | | 68,775 | | |
| | | | | | | Ford Motor Co., Senior Unsecured Notes: | | | | | | | |
| | | 70,000 | | | | 9.000% due 4/22/25 | | | | | 85,519 | | |
| | | 170,000 | | | | 7.450% due 7/16/31 | | | | | 223,705 | | |
| | | 200,000 | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes, 1.360% (3-Month USD-LIBOR + 1.235%) due 2/15/23(f) | | | | | 200,003 | | |
| | | 35,000 | | | | Full House Resorts Inc., Senior Secured Notes, 8.250% due 2/15/28(a) | | | | | 37,625 | | |
| | | 800,000 | | | | General Motors Co., Senior Unsecured Notes, 6.125% due 10/1/25 | | | | | 943,503 | | |
| | | 800,000 | | | | General Motors Financial Co., Inc., Company Guaranteed Notes, 1.135% (3-Month USD-LIBOR + 0.990%) due 1/5/23(f) | | | | | 807,735 | | |
| | | 105,000 | | | | Golden Entertainment Inc., Senior Unsecured Notes, 7.625% due 4/15/26(a) | | | | | 111,300 | | |
| | | 280,000 | | | | Golden Nugget Inc., Senior Unsecured Notes, 6.750% due 10/15/24(a) | | | | | 280,644 | | |
| | | 85,000 | | | | Goodyear Tire & Rubber Co., Company Guaranteed Notes, 5.250% due 7/15/31(a) | | | | | 90,929 | | |
| | | 50,000 | | | | Group 1 Automotive Inc., Company Guaranteed Notes, 4.000% due 8/15/28(a) | | | | | 50,875 | | |
| | | | | | | Hilton Domestic Operating Co., Inc., Company Guaranteed Notes: | | | | | | | |
| | | 10,000 | | | | 5.375% due 5/1/25(a) | | | | | 10,491 | | |
| | | 10,000 | | | | 5.750% due 5/1/28(a) | | | | | 10,802 | | |
| | | | | | | Home Depot Inc., Senior Unsecured Notes: | | | | | | | |
| | | 1,055,000 | | | | 3.300% due 4/15/40 | | | | | 1,169,392 | | |
| | | 315,000 | | | | 3.900% due 6/15/47 | | | | | 378,842 | | |
| | | 430,000 | | | | Hyundai Capital America, Senior Unsecured Notes, 3.000% due 2/10/27(a) | | | | | 455,713 | | |
| | | 155,000 | | | | Installed Building Products Inc., Company Guaranteed Notes, 5.750% due 2/1/28(a) | | | | | 163,137 | | |
| | | 100,000 | | | | IRB Holding Corp., Senior Secured Notes, 7.000% due 6/15/25(a) | | | | | 106,930 | | |
| | | 100,000 | | | | KAR Auction Services Inc., Company Guaranteed Notes, 5.125% due 6/1/25(a) | | | | | 102,250 | | |
| | | 340,000 | | | | Las Vegas Sands Corp., Senior Unsecured Notes, 3.500% due 8/18/26 | | | | | 357,257 | | |
| | | 70,000 | | | | LBM Acquisition LLC, Company Guaranteed Notes, 6.250% due 1/15/29(a) | | | | | 70,402 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Cyclical – (continued) | | ||||||||||||
| | $ | 95,000 | | | | Lions Gate Capital Holdings LLC, Company Guaranteed Notes, 5.500% due 4/15/29(a) | | | | $ | 97,000 | | |
| | | 310,000 | | | | Live Nation Entertainment Inc., Company Guaranteed Notes, 5.625% due 3/15/26(a) | | | | | 323,051 | | |
| | | 80,000 | | | | LSF9 Atlantis Holdings LLC/Victra Finance Corp., Senior Secured Notes, 7.750% due 2/15/26(a) | | | | | 83,416 | | |
| | | 130,000 | | | | M/I Homes Inc., Company Guaranteed Notes, 4.950% due 2/1/28 | | | | | 136,175 | | |
| | | 455,000 | | | | Marriott International Inc., Senior Unsecured Notes, 2.850% due 4/15/31 | | | | | 464,178 | | |
| | | 140,000 | | | | Mattamy Group Corp., Senior Unsecured Notes, 4.625% due 3/1/30(a) | | | | | 143,500 | | |
| | | | | | | McDonald’s Corp., Senior Unsecured Notes: | | | | | | | |
| | | 170,000 | | | | 3.350% due 4/1/23 | | | | | 177,482 | | |
| | | 815,000 | | | | 4.200% due 4/1/50 | | | | | 999,936 | | |
| | | 40,000 | | | | Michaels Cos. Inc., Senior Unsecured Notes, 7.875% due 5/1/29(a) | | | | | 41,218 | | |
| | | 70,000 | | | | Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., Senior Secured Notes, 4.875% due 5/1/29(a) | | | | | 70,525 | | |
| | | 120,000 | | | | Murphy Oil USA Inc., Company Guaranteed Notes, 4.750% due 9/15/29 | | | | | 126,900 | | |
| | | 85,000 | | | | NCL Corp., Ltd, Company Guaranteed Notes, 5.875% due 3/15/26(a) | | | | | 85,212 | | |
| | | 220,000 | | | | NCL Corp., Ltd., Senior Unsecured Notes, 3.625% due 12/15/24(a) | | | | | 207,900 | | |
| | | 65,000 | | | | Penn National Gaming Inc., Senior Unsecured Notes, 4.125% due 7/1/29(a) | | | | | 64,919 | | |
| | | 250,000 | | | | PetSmart Inc./PetSmart Finance Corp., Senior Secured Notes, 4.750% due 2/15/28(a) | | | | | 260,312 | | |
| | | | | | | Premier Entertainment Sub LLC/Premier Entertainment Finance Corp., Company Guaranteed Notes: | | | | | | | |
| | | 110,000 | | | | 5.625% due 9/1/29(a) | | | | | 112,784 | | |
| | | 105,000 | | | | 5.875% due 9/1/31(a) | | | | | 107,625 | | |
| | | 35,000 | | | | Real Hero Merger Sub 2 Inc., Senior Unsecured Notes, 6.250% due 2/1/29(a) | | | | | 36,248 | | |
| | | 80,000 | | | | Scientific Games International Inc., Company Guaranteed Notes, 8.250% due 3/15/26(a) | | | | | 85,090 | | |
| | | 155,000 | | | | Scotts Miracle-Gro Co., Company Guaranteed Notes, 4.500% due 10/15/29 | | | | | 161,975 | | |
| | | 280,000 | | | | Six Flags Entertainment Corp., Company Guaranteed Notes, 4.875% due 7/31/24(a) | | | | | 283,030 | | |
| | | 6,250,000 | | | | Southwest Airlines Co., Senior Unsecured Notes, 5.125% due 6/15/27 | | | | | 7,307,127 | | |
| | | | | | | SRS Distribution Inc.: | | | | | | | |
| | | 110,000 | | | | Company Guaranteed Notes, 6.125% due 7/1/29(a) | | | | | 114,125 | | |
| | | 70,000 | | | | Senior Secured Notes, 4.625% due 7/1/28(a) | | | | | 72,135 | | |
| | | | | | | Staples Inc.: | | | | | | | |
| | | 55,000 | | | | Senior Secured Notes, 7.500% due 4/15/26(a) | | | | | 55,687 | | |
| | | 35,000 | | | | Senior Unsecured Notes, 10.750% due 4/15/27(a) | | | | | 34,125 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Cyclical – (continued) | | ||||||||||||
| | $ | 305,000 | | | | Starbucks Corp., Senior Unsecured Notes, 3.800% due 8/15/25 | | | | $ | 336,730 | | |
| | | 4,750,000 | | | | Steelcase Inc., Senior Unsecured Notes, 5.125% due 1/18/29 | | | | | 5,543,532 | | |
| | | 70,000 | | | | Suburban Propane Partners LP/Suburban Energy Finance Corp., Senior Unsecured Notes, 5.000% due 6/1/31(a) | | | | | 72,100 | | |
| | | 130,000 | | | | Superior Plus LP/Superior General Partner Inc., Company Guaranteed Notes, 4.500% due 3/15/29(a) | | | | | 134,654 | | |
| | | 50,000 | | | | Tempur Sealy International Inc., Company Guaranteed Notes, 4.000% due 4/15/29(a) | | | | | 51,250 | | |
| | | 85,000 | | | | Tenneco Inc., Senior Secured Notes, 5.125% due 4/15/29(a) | | | | | 88,179 | | |
| | | 666,875 | | | | United Airlines 2012-1 Class A Pass-Through Trust, Pass-Thru Certificates, 4.150% due 4/11/24 | | | | | 706,736 | | |
| | | 2,100,694 | | | | United Airlines 2016-2 Class B Pass-Through Trust, Pass-Thru Certificates, 3.650% due 10/7/25 | | | | | 2,094,504 | | |
| | | | | | | United Airlines Inc., Senior Secured Notes: | | | | | | | |
| | | 30,000 | | | | 4.375% due 4/15/26(a) | | | | | 31,122 | | |
| | | 105,000 | | | | 4.625% due 4/15/29(a) | | | | | 108,937 | | |
| | | 140,000 | | | | Victoria’s Secret & Co., Company Guaranteed Notes, 4.625% due 7/15/29(a) | | | | | 140,208 | | |
| | | | | | | Viking Cruises Ltd.: | | | | | | | |
| | | 360,000 | | | | Company Guaranteed Notes, 5.875% due 9/15/27(a) | | | | | 348,300 | | |
| | | 50,000 | | | | Senior Secured Notes, 13.000% due 5/15/25(a) | | | | | 57,875 | | |
| | | 5,000,000 | | | | Volkswagen Group of America Finance LLC, Company Guaranteed Notes, 1.250% due 11/24/25(a) | | | | | 5,003,024 | | |
| | | 50,000 | | | | Wheel Pros Inc., Senior Unsecured Notes, 6.500% due 5/15/29(a) | | | | | 49,937 | | |
| | | 114,000 | | | | Wolverine Escrow LLC, Senior Secured Notes, 9.000% due 11/15/26(a) | | | | | 109,440 | | |
| | | 140,000 | | | | Wyndham Hotels & Resorts Inc., Company Guaranteed Notes, 4.375% due 8/15/28(a) | | | | | 144,857 | | |
| | | 130,000 | | | | Yum! Brands Inc., Senior Unsecured Notes, 4.750% due 1/15/30(a) | | | | | 143,488 | | |
| | | | | | | Total Consumer Cyclical | | | | | 43,700,416 | | |
| Consumer Non-cyclical – 3.1% | | ||||||||||||
| | | | | | | AbbVie Inc., Senior Unsecured Notes: | | | | | | | |
| | | 695,000 | | | | 3.450% due 3/15/22 | | | | | 703,108 | | |
| | | 450,000 | | | | 3.850% due 6/15/24 | | | | | 485,931 | | |
| | | 380,000 | | | | 2.950% due 11/21/26 | | | | | 409,539 | | |
| | | 105,000 | | | | 3.200% due 11/21/29 | | | | | 114,767 | | |
| | | 5,120,000 | | | | 4.550% due 3/15/35 | | | | | 6,230,120 | | |
| | | 1,330,000 | | | | 4.250% due 11/21/49 | | | | | 1,613,406 | | |
| | | 300,000 | | | | Adani International Container Terminal Pvt Ltd., Senior Secured Notes, 3.000% due 2/16/31(a) | | | | | 294,363 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 200,000 | | | | Adani Ports & Special Economic Zone Ltd., Senior Unsecured Notes, 4.375% due 7/3/29 | | | | $ | 213,273 | | |
| | | 135,000 | | | | AdaptHealth LLC, Company Guaranteed Notes, 5.125% due 3/1/30(a) | | | | | 136,739 | | |
| | | 120,000 | | | | Air Methods Corp., Senior Unsecured Notes, 8.000% due 5/15/25(a) | | | | | 115,808 | | |
| | | 1,465,000 | | | | Alcon Finance Corp., Company Guaranteed Notes, 2.750% due 9/23/26(a) | | | | | 1,552,922 | | |
| | | | | | | Allied Universal Holdco LLC/Allied Universal Finance Corp.: | | | | | | | |
| | | 130,000 | | | | Senior Secured Notes, 6.625% due 7/15/26(a) | | | | | 138,937 | | |
| | | 255,000 | | | | Senior Unsecured Notes, 9.750% due 7/15/27(a) | | | | | 278,906 | | |
| | | 195,000 | | | | Altria Group Inc., Company Guaranteed Notes, 3.875% due 9/16/46 | | | | | 196,901 | | |
| | | | | | | Amgen Inc., Senior Unsecured Notes: | | | | | | | |
| | | 340,000 | | | | 2.200% due 2/21/27 | | | | | 354,359 | | |
| | | 450,000 | | | | 2.450% due 2/21/30 | | | | | 465,216 | | |
| | | 1,645,000 | | | | 2.000% due 1/15/32 | | | | | 1,617,068 | | |
| | | 3,500,000 | | | | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes, 4.900% due 2/1/46 | | | | | 4,465,788 | | |
| | | | | | | Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes: | | | | | | | |
| | | 225,000 | | | | 4.439% due 10/6/48 | | | | | 271,745 | | |
| | | 345,000 | | | | 5.550% due 1/23/49 | | | | | 479,586 | | |
| | | 1,010,000 | | | | 4.750% due 4/15/58 | | | | | 1,284,074 | | |
| | | | | | | Anthem Inc., Senior Unsecured Notes: | | | | | | | |
| | | 435,000 | | | | 3.300% due 1/15/23 | | | | | 452,177 | | |
| | | 780,000 | | | | 3.500% due 8/15/24 | | | | | 837,444 | | |
| | | 175,000 | | | | 5.100% due 1/15/44 | | | | | 230,410 | | |
| | | 355,000 | | | | Archer-Daniels-Midland Co., Senior Unsecured Notes, 3.250% due 3/27/30 | | | | | 395,293 | | |
| | | | | | | Astrazeneca Finance LLC, Company Guaranteed Notes: | | | | | | | |
| | | 1,010,000 | | | | 1.200% due 5/28/26 | | | | | 1,015,340 | | |
| | | 690,000 | | | | 1.750% due 5/28/28 | | | | | 700,823 | | |
| | | 85,000 | | | | B&G Foods Inc., Company Guaranteed Notes, 5.250% due 9/15/27 | | | | | 88,272 | | |
| | | | | | | BAT Capital Corp., Company Guaranteed Notes: | | | | | | | |
| | | 475,000 | | | | 2.259% due 3/25/28 | | | | | 477,291 | | |
| | | 650,000 | | | | 3.462% due 9/6/29 | | | | | 692,624 | | |
| | | 475,000 | | | | 2.726% due 3/25/31 | | | | | 473,415 | | |
| | | 705,000 | | | | BAT International Finance PLC, Company Guaranteed Notes, 1.668% due 3/25/26 | | | | | 709,081 | | |
| | | | | | | Bausch Health Cos. Inc., Company Guaranteed Notes: | | | | | | | |
| | | 60,000 | | | | 6.250% due 2/15/29(a) | | | | | 59,550 | | |
| | | 135,000 | | | | 5.250% due 1/30/30(a) | | | | | 126,900 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 90,000 | | | | Bausch Health Cos., Inc., Senior Secured Notes, 4.875% due 6/1/28(a) | | | | $ | 92,475 | | |
| | | 210,000 | | | | Bayer US Finance II LLC, Company Guaranteed Notes, 4.250% due 12/15/25(a) | | | | | 233,797 | | |
| | | 1,615,000 | | | | Boston Scientific Corp., Senior Unsecured Notes, 3.750% due 3/1/26 | | | | | 1,788,737 | | |
| | | | | | | Bristol-Myers Squibb Co., Senior Unsecured Notes: | | | |||||
| | | 71,000 | | | | 2.900% due 7/26/24 | | | | | 75,670 | | |
| | | 780,000 | | | | 0.750% due 11/13/25 | | | | | 775,049 | | |
| | | 460,000 | | | | 2.550% due 11/13/50 | | | | | 447,146 | | |
| | | 460,000 | | | | Bunge Ltd. Finance Corp., Company Guaranteed Notes, 2.750% due 5/14/31 | | | | | 472,391 | | |
| | | 100,000 | | | | Catalent Pharma Solutions Inc., Company Guaranteed Notes, 5.000% due 7/15/27(a) | | | | | 104,750 | | |
| | | | | | | Centene Corp., Senior Unsecured Notes: | | | | | | | |
| | | 80,000 | | | | 3.000% due 10/15/30 | | | | | 82,918 | | |
| | | 545,000 | | | | 2.500% due 3/1/31 | | | | | 543,594 | | |
| | | 70,000 | | | | 2.625% due 8/1/31 | | | | | 70,962 | | |
| | | | | | | CHS/Community Health Systems Inc.: | | | |||||
| | | | | | | Senior Secured Notes: | | | | | | | |
| | | 95,000 | | | | 6.000% due 1/15/29(a) | | | | | 101,294 | | |
| | | 85,000 | | | | 4.750% due 2/15/31(a) | | | | | 86,709 | | |
| | | 70,000 | | | | Secured Notes, 6.875% due 4/15/29(a) | | | | | 72,712 | | |
| | | | | | | Cigna Corp.: | | | | | | | |
| | | | | | | Company Guaranteed Notes: | | | | | | | |
| | | 460,000 | | | | 1.016% (3-Month USD-LIBOR + 0.890%) due 7/15/23(f) | | | | | 466,239 | | |
| | | 280,000 | | | | 3.050% due 10/15/27 | | | | | 302,176 | | |
| | | 380,000 | | | | 4.900% due 12/15/48 | | | | | 497,116 | | |
| | | 1,235,000 | | | | Senior Unsecured Notes, 1.250% due 3/15/26 | | | | | 1,242,125 | | |
| | | 1,555,000 | | | | Coca-Cola Co., Senior Unsecured Notes, 2.250% due 1/5/32 | | | | | 1,609,027 | | |
| | | 325,000 | | | | CommonSpirit Health, Senior Secured Notes, 2.760% due 10/1/24 | | | | | 342,218 | | |
| | | | | | | Constellation Brands Inc.: | | | | | | | |
| | | | | | | Company Guaranteed Notes: | | | | | | | |
| | | 165,000 | | | | 3.600% due 2/15/28 | | | | | 182,843 | | |
| | | 280,000 | | | | 3.150% due 8/1/29 | | | | | 302,543 | | |
| | | 160,000 | | | | Senior Unsecured Notes, 2.875% due 5/1/30 | | | | | 168,444 | | |
| | | | | | | Coty Inc.: | | | | | | | |
| | | 55,000 | | | | Company Guaranteed Notes, 6.500% due 4/15/26(a) | | | | | 56,719 | | |
| | | 95,000 | | | | Senior Secured Notes, 5.000% due 4/15/26(a) | | | | | 98,040 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | | | | | | CVS Health Corp., Senior Unsecured Notes: | | | |||||
| | $ | 947,000 | | | | 4.780% due 3/25/38 | | | | $ | 1,178,522 | | |
| | | 885,000 | | | | 5.050% due 3/25/48 | | | | | 1,171,445 | | |
| | | 1,242,013 | | | | CVS Pass-Through Trust, Pass-Thru Certificates, 6.943% due 1/10/30 | | | | | 1,508,586 | | |
| | | 85,000 | | | | DaVita Inc., Company Guaranteed Notes, 4.625% due 6/1/30(a) | | | | | 88,839 | | |
| | | 1,040,000 | | | | Diageo Capital PLC, Company Guaranteed Notes, 2.000% due 4/29/30 | | | | | 1,047,853 | | |
| | | 90,000 | | | | Emergent BioSolutions Inc., Company Guaranteed Notes, 3.875% due 8/15/28(a) | | | | | 87,750 | | |
| | | | | | | Encompass Health Corp., Company Guaranteed Notes: | | | | | | | |
| | | 65,000 | | | | 4.500% due 2/1/28 | | | | | 68,088 | | |
| | | 20,000 | | | | 4.750% due 2/1/30 | | | | | 21,325 | | |
| | | 165,000 | | | | 4.625% due 4/1/31 | | | | | 176,933 | | |
| | | 75,000 | | | | Endo Luxembourg Finance Co. I SARL/Endo US Inc., Senior Secured Notes, 6.125% due 4/1/29(a) | | | | | 74,250 | | |
| | | 235,000 | | | | Estee Lauder Cos. Inc., Senior Unsecured Notes, 2.600% due 4/15/30 | | | | | 250,077 | | |
| | | | | | | Garda World Security Corp.: | | | | | | | |
| | | 220,000 | | | | Senior Secured Notes, 4.625% due 2/15/27(a) | | | | | 220,550 | | |
| | | 100,000 | | | | Senior Unsecured Notes, 6.000% due 6/1/29(a) | | | | | 96,609 | | |
| | | 670,000 | | | | General Mills Inc., Senior Unsecured Notes, 2.875% due 4/15/30 | | | | | 716,365 | | |
| | | | | | | Gilead Sciences Inc., Senior Unsecured Notes: | | | | | | | |
| | | 170,000 | | | | 2.500% due 9/1/23 | | | | | 176,553 | | |
| | | 1,285,000 | | | | 1.650% due 10/1/30 | | | | | 1,253,515 | | |
| | | 925,000 | | | | GlaxoSmithKline Capital Inc., Company Guaranteed Notes, 3.625% due 5/15/25 | | | | | 1,016,201 | | |
| | | 795,000 | | | | Global Payments Inc., Senior Unsecured Notes, 2.900% due 5/15/30 | | | | | 835,502 | | |
| | | | | | | HCA Inc., Senior Secured Notes: | | | | | | | |
| | | 200,000 | | | | 4.125% due 6/15/29 | | | | | 226,274 | | |
| | | 350,000 | | | | 2.375% due 7/15/31 | | | | | 349,727 | | |
| | | 70,000 | | | | HCRX Investments Holdco LP, Senior Unsecured Notes, 4.500% due 8/1/29(a) | | | | | 70,902 | | |
| | | 160,000 | | | | H-Food Holdings LLC/Hearthside Finance Co., Inc., Senior Unsecured Notes, 8.500% due 6/1/26(a) | | | | | 164,800 | | |
| | | | | | | Hormel Foods Corp., Senior Unsecured Notes: | | | | | | | |
| | | 165,000 | | | | 0.650% due 6/3/24 | | | | | 165,288 | | |
| | | 75,000 | | | | 1.700% due 6/3/28 | | | | | 76,133 | | |
| | | 350,000 | | | | Humana Inc., Senior Unsecured Notes, 2.150% due 2/3/32 | | | | | 349,243 | | |
| | | 45,000 | | | | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., Company Guaranteed Notes, 3.750% due 12/1/31(a) | | | | | 47,463 | | |
| | | 435,000 | | | | Johnson & Johnson, Senior Unsecured Notes, 3.550% due 3/1/36 | | | | | 511,735 | | |
| Face Amount/Units | | | Security | | | Value | | | ||||||||
| CORPORATE BONDS & NOTES – (continued) | | | ||||||||||||||
| Consumer Non-cyclical – (continued) | | | ||||||||||||||
| | | | | | | Kaiser Foundation Hospitals, Unsecured Notes: | | | | |||||||
| | $ | 255,000 | | | | 2.810% due 6/1/41 | | | | $ | 263,360 | | | | ||
| | | 420,000 | | | | 3.002% due 6/1/51 | | | 440,531 | | ||||||
| | | | | | | Kraft Heinz Foods Co., Company Guaranteed Notes: | | | | | | | | | ||
| | | 150,000 | | | | 5.000% due 7/15/35 | | | | | 185,993 | | | | ||
| | | 4,167,000 | | | | 4.625% due 10/1/39 | | | | | 4,971,355 | | | | ||
| | | 420,000 | | | | 5.200% due 7/15/45 | | | | | 538,958 | | | | ||
| | | | | | | Kronos Acquisition Holdings Inc./KIK Custom Products Inc.: | | | | | | | | | ||
| | | 115,000 | | | | Company Guaranteed Notes, 7.000% due 12/31/27(a) | | | | | 111,838 | | | | ||
| | | 215,000 | | | | Senior Secured Notes, 5.000% due 12/31/26(a) | | | | | 213,925 | | | | ||
| | | 145,000 | | | | Legacy LifePoint Health LLC, Senior Secured Notes, 4.375% due 2/15/27(a) | | | | | 144,638 | | | | ||
| | | 75,000 | | | | Legends Hospitality Holding Co. LLC/Legends Hospitality Co.-Issuer Inc., Senior Secured Notes, 5.000% due 2/1/26(a) | | | | | 77,250 | | | | ||
| | | 105,000 | | | | LifePoint Health Inc., Company Guaranteed Notes, 5.375% due 1/15/29(a) | | | | | 103,146 | | | | ||
| | | 80,000 | | | | Metis Merger Sub LLC, Senior Unsecured Notes, 6.500% due 5/15/29(a) | | | | | 80,000 | | | | ||
| | | 725,000 | | | | Mondelez International Inc., Senior Unsecured Notes, 1.500% due 2/4/31 | | | | | 693,910 | | | | ||
| | | 60,000 | | | | MPH Acquisition Holdings LLC, Company Guaranteed Notes, 5.750% due 11/1/28(a) | | | | | 57,300 | | | | ||
| | | 25,000 | | | | NESCO Holdings II Inc., Secured Notes, 5.500% due 4/15/29(a) | | | | | 25,933 | | | | ||
| | | 264,000 | | | | New York & Presbyterian Hospital, Unsecured Notes, 4.763% due 8/1/16 | | | | | 370,812 | | | | ||
| | | 540,000 | | | | Novartis Capital Corp., Company Guaranteed Notes, 2.000% due 2/14/27 | | | | | 562,469 | | | | ||
| | | | | | | Ortho-Clinical Diagnostics Inc./Ortho-Clinical Diagnostics SA, Senior Unsecured Notes: | | | | | | | | | ||
| | | 17,000 | | | | 7.375% due 6/1/25(a) | | | | | 18,020 | | | | ||
| | | 129,000 | | | | 7.250% due 2/1/28(a) | | | | | 138,353 | | | | ||
| | | 540,000 | | | | PepsiCo Inc., Senior Unsecured Notes, 3.625% due 3/19/50 | | | | | 641,742 | | | | ||
| | | | | | | Performance Food Group Inc., Company Guaranteed Notes: | | | | | | | | | ||
| | | 100,000 | | | | 5.500% due 10/15/27(a) | | | | | 104,125 | | | | ||
| | | 80,000 | | | | 4.250% due 8/1/29(a) | | | | | 80,271 | | | | ||
| | | | | | | Pfizer Inc., Senior Unsecured Notes: | | | | | | | | | ||
| | | 720,000 | | | | 1.700% due 5/28/30 | | | | | 721,204 | | | | ||
| | | 1,050,000 | | | | 1.750% due 8/18/31 | | | | | 1,044,913 | | | | ||
| | | 45,000 | | | | Post Holdings Inc., Company Guaranteed Notes, 5.500% due 12/15/29(a) | | | | | 48,206 | | | | ||
| | | 70,000 | | | | Primo Water Holdings Inc., Company Guaranteed Notes, 4.375% due 4/30/29(a) | | | | | 70,666 | | | | ||
| | | 400,000 | | | | PSA Treasury Pte Ltd., Company Guaranteed Notes, 2.125% due 9/5/29 | | | | | 410,004 | | | | ||
| | | 320,000 | | | | Quest Diagnostics Inc., Senior Unsecured Notes, 2.800% due 6/30/31 | | | | | 339,668 | | | | ||
| | | 160,000 | | | | Radiology Partners Inc., Company Guaranteed Notes, 9.250% due 2/1/28(a) | | | | | 171,600 | | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 70,000 | | | | Rent-A-Center Inc., Company Guaranteed Notes, 6.375% due 2/15/29(a) | | | | $ | 75,425 | | |
| | | | | | | Royalty Pharma PLC, Company Guaranteed Notes: | | | | | | | |
| | | 1,255,000 | | | | 2.200% due 9/2/30 | | | | | 1,244,101 | | |
| | | 445,000 | | | | 3.300% due 9/2/40 | | | | | 451,841 | | |
| | | 180,000 | | | | RP Escrow Issuer LLC, Senior Secured Notes, 5.250% due 12/15/25(a) | | | | | 184,219 | | |
| | | 75,000 | | | | Sabre GLBL Inc., Senior Secured Notes, 9.250% due 4/15/25(a) | | | | | 86,438 | | |
| | | 220,000 | | | | SEG Holding LLC/SEG Finance Corp., Senior Secured Notes, 5.625% due 10/15/28(a) | | | | | 231,000 | | |
| | | 305,000 | | | | Select Medical Corp., Company Guaranteed Notes, 6.250% due 8/15/26(a) | | | | | 322,538 | | |
| | | 425,000 | | | | Smithfield Foods Inc., Company Guaranteed Notes, 4.250% due 2/1/27(a) | | | | | 465,704 | | |
| | | | | | | Spectrum Brands Inc., Company Guaranteed Notes: | | | | | | | |
| | | 130,000 | | | | 5.000% due 10/1/29(a) | | | | | 136,500 | | |
| | | 80,000 | | | | 3.875% due 3/15/31(a) | | | | | 78,980 | | |
| | | 310,000 | | | | Sutter Health, Unsecured Notes, 3.361% due 8/15/50 | | | | | 336,737 | | |
| | | | | | | Sysco Corp., Company Guaranteed Notes: | | | | | | | |
| | | 200,000 | | | | 3.250% due 7/15/27 | | | | | 217,665 | | |
| | | 225,000 | | | | 3.300% due 2/15/50 | | | | | 235,953 | | |
| | | 200,000 | | | | Takeda Pharmaceutical Co., Ltd., Senior Unsecured Notes, 2.050% due 3/31/30 | | | | | 199,445 | | |
| | | | | | | Tenet Healthcare Corp.: | | | | | | | |
| | | | | | | Senior Secured Notes: | | | | | | | |
| | | 80,000 | | | | 5.125% due 11/1/27(a) | | | | | 84,200 | | |
| | | 125,000 | | | | 4.250% due 6/1/29(a) | | | | | 127,724 | | |
| | | 255,000 | | | | Company Guaranteed Notes, 6.125% due 10/1/28(a) | | | | | 269,192 | | |
| | | 200,000 | | | | Secured Notes, 6.250% due 2/1/27(a) | | | | | 208,500 | | |
| | | 85,000 | | | | Triton Water Holdings Inc., Senior Unsecured Notes, 6.250% due 4/1/29(a) | | | | | 84,127 | | |
| | | 135,000 | | | | United Natural Foods Inc., Company Guaranteed Notes, 6.750% due 10/15/28(a) | | | | | 145,800 | | |
| | | | | | | United Rentals North America Inc., Company Guaranteed Notes: | | | | | | | |
| | | 15,000 | | | | 5.250% due 1/15/30 | | | | | 16,444 | | |
| | | 25,000 | | | | 3.875% due 2/15/31 | | | | | 25,877 | | |
| | | | | | | UnitedHealth Group Inc., Senior Unsecured Notes: | | | | | | | |
| | | 1,270,000 | | | | 2.375% due 8/15/24 | | | | | 1,338,168 | | |
| | | 70,000 | | | | 3.500% due 8/15/39 | | | | | 79,002 | | |
| | | | | | | US Foods Inc.: | | | | | | | |
| | | 75,000 | | | | Company Guaranteed Notes, 4.750% due 2/15/29(a) | | | | | 76,781 | | |
| | | 15,000 | | | | Senior Secured Notes, 6.250% due 4/15/25(a) | | | | | 15,806 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 130,000 | | | | Viatris Inc., Company Guaranteed Notes, 1.650% due 6/22/25(a) | | | | $ | 132,085 | | |
| | | 145,000 | | | | Vizient Inc., Senior Unsecured Notes, 6.250% due 5/15/27(a) | | | | | 151,888 | | |
| | | 120,000 | | | | WASH Multifamily Acquisition Inc., Senior Secured Notes, 5.750% due 4/15/26(a) | | | | | 125,554 | | |
| | | | | | | Total Consumer Non-cyclical | | | | | 69,625,282 | | |
| Energy – 2.3% | | ||||||||||||
| | | 65,000 | | | | Aethon United BR LP/Aethon United Finance Corp., Senior Unsecured Notes, 8.250% due 2/15/26(a) | | | | | 70,525 | | |
| | | 250,000 | | | | AI Candelaria Spain SLU, Senior Secured Notes, 5.750% due 6/15/33(a) | | | | | 253,637 | | |
| | | 105,000 | | | | Antero Midstream Partners LP/Antero Midstream Finance Corp., Company Guaranteed Notes, 5.750% due 3/1/27(a) | | | | | 108,150 | | |
| | | 70,000 | | | | Antero Resources Corp., Company Guaranteed Notes, 5.375% due 3/1/30(a) | | | | | 71,220 | | |
| | | | | | | Apache Corp., Senior Unsecured Notes: | | | | | | | |
| | | 70,000 | | | | 4.625% due 11/15/25 | | | | | 75,755 | | |
| | | 135,000 | | | | 4.375% due 10/15/28 | | | | | 145,664 | | |
| | | 500,000 | | | | BG Energy Capital PLC, Company Guaranteed Notes, 5.125% due 10/15/41(a) | | | | | 663,495 | | |
| | | 55,000 | | | | Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Unsecured Notes, 7.625% due 12/15/25(a) | | | | | 59,469 | | |
| | | | | | | BP Capital Markets America Inc., Company Guaranteed Notes: | | | | | | | |
| | | 565,000 | | | | 3.633% due 4/6/30 | | | | | 638,039 | | |
| | | 45,000 | | | | 3.060% due 6/17/41 | | | | | 46,279 | | |
| | | 695,000 | | | | 2.939% due 6/4/51 | | | | | 681,383 | | |
| | | 455,000 | | | | 3.379% due 2/8/61 | | | | | 473,525 | | |
| | | 445,000 | | | | Canadian Natural Resources Ltd., Senior Unsecured Notes, 2.950% due 1/15/23 | | | | | 459,096 | | |
| | | 5,250,000 | | | | Cenovus Energy Inc., Senior Unsecured Notes, 4.250% due 4/15/27 | | | | | 5,824,870 | | |
| | | 85,000 | | | | Chesapeake Energy Corp., Company Guaranteed Notes, 5.875% due 2/1/29(a) | | | | | 90,737 | | |
| | | 180,000 | | | | CNX Midstream Partners LP/CNX Midstream Finance Corp., Company Guaranteed Notes, 6.500% due 3/15/26(a) | | | | | 184,950 | | |
| | | 40,000 | | | | CNX Resources Corp., Company Guaranteed Notes, 6.000% due 1/15/29(a) | | | | | 41,653 | | |
| | | 340,720 | | | | Empresa Electrica Cochrane SpA, Senior Secured Notes, 5.500% due 5/14/27 | | | | | 343,817 | | |
| | | 215,000 | | | | Enable Midstream Partners LP, Company Guaranteed Notes, 5.000% due 5/15/44 | | | | | 235,061 | | |
| | | 90,000 | | | | Endeavor Energy Resources LP/EER Finance Inc., Senior Unsecured Notes, 6.625% due 7/15/25(a) | | | | | 95,440 | | |
| | | | | | | Energy Transfer LP, Senior Unsecured Notes: | | | | | | | |
| | | 220,000 | | | | 4.750% due 1/15/26 | | | | | 246,647 | | |
| | | 330,000 | | | | 3.900% due 7/15/26 | | | | | 362,277 | | |
| | | 1,260,000 | | | | 4.900% due 3/15/35 | | | | | 1,453,133 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | $ | 1,683,000 | | | | 5.950% due 10/1/43 | | | | $ | 2,096,144 | | |
| | | 630,000 | | | | 6.250% due 4/15/49 | | | | | 834,033 | | |
| | | | | | | Enterprise Products Operating LLC, Company Guaranteed Notes: | | | | | | | |
| | | 420,000 | | | | 3.750% due 2/15/25 | | | | | 456,404 | | |
| | | 6,000,000 | | | | 4.150% due 10/16/28 | | | | | 6,892,273 | | |
| | | 1,010,000 | | | | 4.800% due 2/1/49 | | | | | 1,258,181 | | |
| | | | | | | EQM Midstream Partners LP, Senior Unsecured Notes: | | | | | | | |
| | | 50,000 | | | | 6.500% due 7/1/27(a) | | | | | 55,750 | | |
| | | 85,000 | | | | 4.750% due 1/15/31(a) | | | | | 86,487 | | |
| | | 80,000 | | | | EQT Corp., Senior Unsecured Notes, 7.500% due 2/1/30 | | | | | 103,942 | | |
| | | 630,000 | | | | Equinor ASA, Company Guaranteed Notes, 3.700% due 4/6/50 | | | | | 736,369 | | |
| | | 95,000 | | | | Exterran Energy Solutions LP/EES Finance Corp., Company Guaranteed Notes, 8.125% due 5/1/25 | | | | | 85,500 | | |
| | | | | | | Exxon Mobil Corp., Senior Unsecured Notes: | | | | | | | |
| | | 295,000 | | | | 2.992% due 3/19/25 | | | | | 315,642 | | |
| | | 570,000 | | | | 4.227% due 3/19/40 | | | | | 689,309 | | |
| | | | | | | Galaxy Pipeline Assets Bidco Ltd., Senior Secured Notes: | | | | | | | |
| | | 400,000 | | | | 2.160% due 3/31/34(a) | | | | | 398,112 | | |
| | | 500,000 | | | | 2.625% due 3/31/36 | | | | | 499,479 | | |
| | | 700,000 | | | | 2.940% due 9/30/40(a) | | | | | 710,978 | | |
| | | 200,000 | | | | Gran Tierra Energy Inc., Company Guaranteed Notes, 7.750% due 5/23/27(a) | | | | | 174,000 | | |
| | | 600,000 | | | | Gran Tierra Energy International Holdings Ltd., Company Guaranteed Notes, 6.250% due 2/15/25 | | | | | 522,006 | | |
| | | 175,000 | | | | Gulfport Energy Corp., Company Guaranteed Notes, 6.375% due 5/15/25(d)(e) | | | | | 7,000 | | |
| | | 81,000 | | | | Gulfport Energy Operating Corp., Company Guaranteed Notes, 8.000% due 5/17/26(a) | | | | | 86,133 | | |
| | | | | | | Halliburton Co., Senior Unsecured Notes: | | | | | | | |
| | | 220,000 | | | | 2.920% due 3/1/30 | | | | | 228,583 | | |
| | | 155,000 | | | | 5.000% due 11/15/45 | | | | | 186,254 | | |
| | | 295,000 | | | | Hess Corp., Senior Unsecured Notes, 7.300% due 8/15/31 | | | | | 401,180 | | |
| | | | | | | Hess Midstream Operations LP, Company Guaranteed Notes: | | | | | | | |
| | | 160,000 | | | | 5.625% due 2/15/26(a) | | | | | 166,139 | | |
| | | 145,000 | | | | 5.125% due 6/15/28(a) | | | | | 151,887 | | |
| | | 165,000 | | | | 4.250% due 2/15/30(a) | | | | | 167,062 | | |
| | | 190,000 | | | | Hilcorp Energy I LP/Hilcorp Finance Co., Senior Unsecured Notes, 6.250% due 11/1/28(a) | | | | | 196,344 | | |
| | | 300,000 | | | | Hunt Oil Co. of Peru LLC Sucursal Del Peru, Senior Unsecured Notes, 6.375% due 6/1/28 | | | | | 304,503 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | $ | 85,000 | | | | Indigo Natural Resources LLC, Senior Unsecured Notes, 5.375% due 2/1/29(a) | | | | $ | 87,762 | | |
| | | 560,000 | | | | Marathon Petroleum Corp., Senior Unsecured Notes, 4.700% due 5/1/25 | | | | | 627,112 | | |
| | | | | | | MEG Energy Corp., Company Guaranteed Notes: | | | | | | | |
| | | 175,000 | | | | 7.125% due 2/1/27(a) | | | | | 184,145 | | |
| | | 20,000 | | | | 5.875% due 2/1/29(a) | | | | | 20,598 | | |
| | | 120,000 | | | | Moss Creek Resources Holdings Inc., Company Guaranteed Notes, 7.500% due 1/15/26(a) | | | | | 102,524 | | |
| | | | | | | MPLX LP, Senior Unsecured Notes: | | | | | | | |
| | | 6,838,000 | | | | 1.223% (3-Month USD-LIBOR + 1.100%) due 9/9/22(f) | | | | | 6,837,829 | | |
| | | 225,000 | | | | 1.750% due 3/1/26 | | | | | 227,848 | | |
| | | 315,000 | | | | 4.125% due 3/1/27 | | | | | 353,467 | | |
| | | 210,000 | | | | 4.000% due 3/15/28 | | | | | 234,660 | | |
| | | 360,000 | | | | 4.700% due 4/15/48 | | | | | 420,745 | | |
| | | 140,000 | | | | NGL Energy Operating LLC/NGL Energy Finance Corp., Senior Secured Notes, 7.500% due 2/1/26(a) | | | | | 142,100 | | |
| | | 90,000 | | | | NGL Energy Partners LP/NGL Energy Finance Corp., Company Guaranteed Notes, 7.500% due 4/15/26 | | | | | 75,402 | | |
| | | 265,000 | | | | NuStar Logistics LP, Company Guaranteed Notes, 6.000% due 6/1/26 | | | | | 286,804 | | |
| | | 125,000 | | | | Oasis Petroleum Inc., Company Guaranteed Notes, 6.375% due 6/1/26(a) | | | | | 130,469 | | |
| | | | | | | Occidental Petroleum Corp., Senior Unsecured Notes: | | | | | | | |
| | | 95,000 | | | | 8.000% due 7/15/25 | | | | | 114,475 | | |
| | | 225,000 | | | | 6.625% due 9/1/30 | | | | | 280,688 | | |
| | | 205,000 | | | | 6.125% due 1/1/31 | | | | | 247,886 | | |
| | | 45,000 | | | | 6.450% due 9/15/36 | | | | | 56,250 | | |
| | | 45,000 | | | | 6.600% due 3/15/46 | | | | | 56,930 | | |
| | | 80,000 | | | | Ovintiv Inc., Company Guaranteed Notes, 7.375% due 11/1/31 | | | | | 107,130 | | |
| | | 140,000 | | | | Par Petroleum LLC/Par Petroleum Finance Corp., Senior Secured Notes, 7.750% due 12/15/25(a) | | | | | 139,125 | | |
| | | 95,000 | | | | Parkland Corp., Company Guaranteed Notes, 4.500% due 10/1/29(a) | | | | | 97,375 | | |
| | | 40,000 | | | | PBF Holding Co. LLC/PBF Finance Corp., Company Guaranteed Notes, 6.000% due 2/15/28 | | | | | 26,200 | | |
| | | 59,618 | | | | Peabody Energy Corp., Senior Secured Notes, 8.500% due 12/31/24(a)(c) | | | | | 47,694 | | |
| | | | | | | Petrobras Global Finance BV, Company Guaranteed Notes: | | | | | | | |
| | | 500,000 | | | | 6.750% due 6/3/50 | | | | | 578,180 | | |
| | | 50,000 | | | | 5.500% due 6/10/51 | | | | | 49,938 | | |
| | | 65,000 | | | | PIC AU Holdings LLC/PIC AU Holdings Corp., Senior Secured Notes, 10.000% due 12/31/24(a) | | | | | 64,675 | | |
| | | 280,000 | | | | Pioneer Natural Resources Co., Senior Unsecured Notes, 1.125% due 1/15/26 | | | | | 277,383 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | $ | 200,000 | | | | PTTEP Treasury Center Co., Ltd., Company Guaranteed Notes, 2.587% due 6/10/27(a) | | | | $ | 209,344 | | |
| | | 955,000 | | | | Qatar Petroleum, Senior Unsecured Notes, 2.250% due 7/12/31(a) | | | | | 962,988 | | |
| | | 110,000 | | | | Rattler Midstream LP, Company Guaranteed Notes, 5.625% due 7/15/25(a) | | | | | 115,500 | | |
| | | 200,000 | | | | SA Global Sukuk Ltd., Senior Unsecured Notes, 2.694% due 6/17/31(a) | | | | | 204,650 | | |
| | | | | | | Sabine Pass Liquefaction LLC, Senior Secured Notes: | | | | | | | |
| | | 320,000 | | | | 5.000% due 3/15/27 | | | | | 370,186 | | |
| | | 200,000 | | | | 4.500% due 5/15/30 | | | | | 231,673 | | |
| | | 3,530,000 | | | | Schlumberger Investment SA, Company Guaranteed Notes, 2.650% due 6/26/30 | | | | | 3,708,126 | | |
| | | 645,000 | | | | Shell International Finance BV, Company Guaranteed Notes, 3.250% due 4/6/50 | | | | | 697,772 | | |
| | | 105,000 | | | | SunCoke Energy Inc., Senior Secured Notes, 4.875% due 6/30/29(a) | | | | | 106,349 | | |
| | | | | | | Sunoco LP/Sunoco Finance Corp., Company Guaranteed Notes: | | | | | | | |
| | | 105,000 | | | | 6.000% due 4/15/27 | | | | | 109,716 | | |
| | | 55,000 | | | | 4.500% due 5/15/29 | | | | | 55,688 | | |
| | | 240,000 | | | | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Company Guaranteed Notes, 4.875% due 2/1/31 | | | | | 261,072 | | |
| | | 480,000 | | | | TotalEnergies Capital International SA, Company Guaranteed Notes, 3.386% due 6/29/60 | | | | | 514,311 | | |
| | | 50,000 | | | | Transocean Inc., Company Guaranteed Notes, 11.500% due 1/30/27(a) | | | | | 50,369 | | |
| | | 300,000 | | | | Transocean Poseidon Ltd., Senior Secured Notes, 6.875% due 2/1/27(a) | | | | | 290,250 | | |
| | | 542,283 | | | | UEP Penonome II SA, Senior Secured Notes, 6.500% due 10/1/38(a) | | | | | 561,946 | | |
| | | 325,000 | | | | USA Compression Partners LP/USA Compression Finance Corp., Company Guaranteed Notes, 6.875% due 9/1/27 | | | | | 340,392 | | |
| | | 295,000 | | | | Valero Energy Corp., Senior Unsecured Notes, 2.850% due 4/15/25 | | | | | 311,339 | | |
| | | 130,000 | | | | Venture Global Calcasieu Pass LLC, Senior Secured Notes, 4.125% due 8/15/31(a) | | | | | 136,338 | | |
| | | 125,000 | | | | Viper Energy Partners LP, Company Guaranteed Notes, 5.375% due 11/1/27(a) | | | | | 131,113 | | |
| | | 44,000 | | | | Weatherford International Ltd., Company Guaranteed Notes, 11.000% due 12/1/24(a) | | | | | 45,980 | | |
| | | | | | | Western Midstream Operating LP, Senior Unsecured Notes: | | | | | | | |
| | | 150,000 | | | | 4.350% due 2/1/25 | | | | | 157,623 | | |
| | | 155,000 | | | | 5.300% due 2/1/30 | | | | | 173,695 | | |
| | | 215,000 | | | | Williams Cos. Inc., Senior Unsecured Notes, 3.750% due 6/15/27 | | | | | 238,830 | | |
| | | | | | | Total Energy | | | | | 52,295,160 | | |
| Financial – 9.2% | | ||||||||||||
| | | | | | | Acrisure LLC/Acrisure Finance Inc.: | | | | | | | |
| | | 95,000 | | | | Senior Secured Notes, 4.250% due 2/15/29(a) | | | | | 94,050 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 80,000 | | | | Senior Unsecured Notes, 6.000% due 8/1/29(a) | | | | $ | 78,800 | | |
| | | 430,000 | | | | Air Lease Corp., Senior Unsecured Notes, 3.250% due 3/1/25 | | | | | 456,988 | | |
| | | 590,000 | | | | Alexandria Real Estate Equities Inc., Company Guaranteed Notes, 1.875% due 2/1/33 | | | | | 566,390 | | |
| | | 135,000 | | | | Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer, Senior Unsecured Notes, 6.750% due 10/15/27(a) | | | | | 140,400 | | |
| | | 515,000 | | | | American Express Co., Senior Unsecured Notes, 4.200% due 11/6/25 | | | | | 584,232 | | |
| | | 1,575,000 | | | | American International Group Inc., Senior Unsecured Notes, 2.500% due 6/30/25 | | | | | 1,656,171 | | |
| | | 3,700,000 | | | | American Tower Trust #1, Asset Backed, 3.070% due 3/15/23(a) | | | | | 3,714,246 | | |
| | | 85,000 | | | | AmWINS Group Inc., Senior Unsecured Notes, 4.875% due 6/30/29(a) | | | | | 86,381 | | |
| | | | | | | AssuredPartners Inc., Senior Unsecured Notes: | | | |||||
| | | 160,000 | | | | 7.000% due 8/15/25(a) | | | | | 162,600 | | |
| | | 25,000 | | | | 5.625% due 1/15/29(a) | | | | | 25,162 | | |
| | | 425,000 | | | | Athene Holding Ltd., Senior Unsecured Notes, 3.950% due 5/25/51 | | | | | 479,879 | | |
| | | | | | | Avolon Holdings Funding Ltd.: | | | | | | | |
| | | 155,000 | | | | Company Guaranteed Notes, 3.250% due 2/15/27(a) | | | | | 160,745 | | |
| | | 295,000 | | | | Senior Unsecured Notes, 2.125% due 2/21/26(a) | | | | | 294,359 | | |
| | | 200,000 | | | | Banco Davivienda SA, Junior Subordinated Notes, 6.650% (5-Year CMT Index + 5.097%) (a)(b)(f) | | | | | 213,468 | | |
| | | 250,000 | | | | Banco de Credito del Peru, Subordinated Notes, 3.125% (5-Year CMT Index + 3.000%) due 7/1/30(f) | | | | | 250,000 | | |
| | | 350,000 | | | | Banco de Reservas de la Republica Dominicana, Subordinated Notes, 7.000% due 2/1/23 | | | | | 368,379 | | |
| | | 200,000 | | | | Banco do Estado do Rio Grande do Sul SA, Subordinated Notes, 5.375% (5-Year CMT Index + 4.928%) due 1/28/31(a)(f) | | | | | 202,552 | | |
| | | 200,000 | | | | Banco General SA, Junior Subordinated Notes, 5.250% (5-Year CMT Index + 3.665%) (a)(b)(f) | | | | | 206,502 | | |
| | | 600,000 | | | | Banco Internacional del Peru SAA Interbank, Subordinated Notes, 4.000% (1-Year CMT Index + 3.711%) due 7/8/30(f) | | | | | 605,100 | | |
| | | | | | | Banco Macro SA, Subordinated Notes: | | | | | | | |
| | | 200,000 | | | | 6.750% (5-Year USD Swap Rate + 5.463%) due 11/4/26(a)(f) | | | | | 181,300 | | |
| | | 650,000 | | | | 6.750% (5-Year USD Swap Rate + 5.463%) due 11/4/26(f) | | | | | 589,225 | | |
| | | 600,000 | | | | Banco Mercantil del Norte SA, Junior Subordinated Notes, 7.625% (5-Year CMT Index + 5.353%) (b)(f) | | | | | 681,096 | | |
| | | 500,000 | | | | Bangkok Bank PCL, Junior Subordinated Notes, 5.000% (5-Year CMT Index + 4.729%) (b)(f) | | | | | 523,750 | | |
| | | | | | | Bank of America Corp., Senior Unsecured Notes: | | | | | | | |
| | | 2,375,000 | | | | 2.456% (3-Month USD-LIBOR + 0.870%) due 10/22/25(f) | | | | | 2,486,295 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 1,535,000 | | | | 3.559% (3-Month USD-LIBOR + 1.060%) due 4/23/27(f) | | | | $ | 1,683,827 | | |
| | | 80,000 | | | | 1.734% (SOFRRATE + 0.960%) due 7/22/27(f) | | | | | 81,068 | | |
| | | 885,000 | | | | 3.824% (3-Month USD-LIBOR + 1.575%) due 1/20/28(f) | | | | | 986,003 | | |
| | | 1,000,000 | | | | 3.974% (3-Month USD-LIBOR + 1.210%) due 2/7/30(f) | | | | | 1,135,835 | | |
| | | 690,000 | | | | 1.898% (SOFRRATE + 1.530%) due 7/23/31(f) | | | | | 675,837 | | |
| | | 6,075,000 | | | | 1.922% (SOFRRATE + 1.370%) due 10/24/31(f) | | | | | 5,951,146 | | |
| | | 685,000 | | | | 3.311% (SOFRRATE + 1.580%) due 4/22/42(f) | | | | | 738,575 | | |
| | | 2,345,000 | | | | 4.083% (3-Month USD-LIBOR + 3.150%) due 3/20/51(f) | | | | | 2,830,707 | | |
| | | | | | | Bank of New York Mellon Corp., Senior Unsecured Notes: | | | | | | | |
| | | 455,000 | | | | 2.100% due 10/24/24 | | | | | 476,338 | | |
| | | 115,000 | | | | 2.450% due 8/17/26 | | | | | 122,427 | | |
| | | 420,000 | | | | Bank of Nova Scotia, Senior Unsecured Notes, 3.400% due 2/11/24 | | | | | 448,139 | | |
| | | 5,000,000 | | | | Barclays PLC, Senior Unsecured Notes, 4.375% due 1/12/26 | | | | | 5,622,871 | | |
| | | 1,045,000 | | | | BBVA USA, Senior Unsecured Notes, 2.500% due 8/27/24 | | | | | 1,100,103 | | |
| | | 500,000 | | | | BDO Unibank Inc., Senior Unsecured Notes, 2.950% due 3/6/23 | | | | | 516,750 | | |
| | | 525,000 | | | | Berkshire Hathaway Finance Corp., Company Guaranteed Notes, 4.200% due 8/15/48 | | | | | 652,919 | | |
| | | 1,170,000 | | | | BlackRock Inc., Senior Unsecured Notes, 1.900% due 1/28/31 | | | | | 1,178,978 | | |
| | | 1,055,000 | | | | Blackstone Holdings Finance Co. LLC, Company Guaranteed Notes, 2.000% due 1/30/32(a) | | | | | 1,035,136 | | |
| | | | | | | BNP Paribas SA, Senior Unsecured Notes: | | | | | | | |
| | | 935,000 | | | | 2.219% (SOFRRATE + 2.074%) due 6/9/26(a)(f) | | | | | 962,446 | | |
| | | 495,000 | | | | 1.323% (SOFRRATE + 1.004%) due 1/13/27(a)(f) | | | | | 490,925 | | |
| | | 845,000 | | | | BOC Aviation USA Corp., Company Guaranteed Notes, 1.625% due 4/29/24(a) | | | | | 853,945 | | |
| | | | | | | Boston Properties LP, Senior Unsecured Notes: | | | | | | | |
| | | 665,000 | | | | 3.650% due 2/1/26 | | | | | 732,086 | | |
| | | 3,000,000 | | | | 2.750% due 10/1/26 | | | | | 3,199,563 | | |
| | | 2,983,000 | | | | 3.400% due 6/21/29 | | | | | 3,273,296 | | |
| | | 185,000 | | | | Brighthouse Financial Global Funding, Senior Secured Notes, 1.000% due 4/12/24(a) | | | | | 186,474 | | |
| | | 310,000 | | | | Brown & Brown Inc., Senior Unsecured Notes, 2.375% due 3/15/31 | | | | | 313,857 | | |
| | | 200,000 | | | | CIMB Bank Bhd, Senior Unsecured Notes, 0.904% (3-Month USD-LIBOR + 0.780%) due 10/9/24(f) | | | | | 201,442 | | |
| | | | | | | Citigroup Inc., Senior Unsecured Notes: | | | | | | | |
| | | 805,000 | | | | 2.876% (3-Month USD-LIBOR + 0.950%) due 7/24/23(f) | | | | | 822,519 | | |
| | | 165,000 | | | | 3.352% (3-Month USD-LIBOR + 0.897%) due 4/24/25(f) | | | | | 175,857 | | |
| | | 990,000 | | | | 0.981% (SOFRRATE + 0.669%) due 5/1/25(f) | | | | | 994,466 | | |
| | | 550,000 | | | | 3.700% due 1/12/26 | | | | | 608,043 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 5,000,000 | | | | 3.106% (SOFRRATE + 2.842%) due 4/8/26(f) | | | | $ | 5,347,192 | | |
| | | 1,180,000 | | | | 1.462% (SOFRRATE + 0.770%) due 6/9/27(f) | | | | | 1,183,458 | | |
| | | 815,000 | | | | 3.668% (3-Month USD-LIBOR + 1.390%) due 7/24/28(f) | | | | | 903,232 | | |
| | | 1,560,000 | | | | 4.412% (SOFRRATE + 3.914%) due 3/31/31(f) | | | | | 1,827,710 | | |
| | | 5,000,000 | | | | Credit Suisse Group AG, Senior Unsecured Notes, 4.194% (SOFRRATE + 3.730%) due 4/1/31(a)(f) | | | | | 5,664,319 | | |
| | | | | | | Crown Castle International Corp., Senior Unsecured Notes: | | | | | | | |
| | | 3,000,000 | | | | 3.800% due 2/15/28 | | | | | 3,337,492 | | |
| | | 395,000 | | | | 4.300% due 2/15/29 | | | | | 455,588 | | |
| | | | | | | DBS Group Holdings Ltd.: | | | |||||
| | | | | | | Subordinated Notes: | | | |||||
| | | 300,000 | | | | 4.520% (5-Year USD 1100 Run ICE Swap Rate + 1.590%) due 12/11/28(f) | | | | | 321,120 | | |
| | | 400,000 | | | | 1.822% (5-Year CMT Index + 1.100%) due 3/10/31(f) | | | | | 400,356 | | |
| | | 200,000 | | | | Senior Unsecured Notes, 0.745% (3-Month USD-LIBOR + 0.620%) due 7/25/22(f) | | | | | 200,863 | | |
| | | 400,000 | | | | Discover Financial Services, Senior Unsecured Notes, 4.100% due 2/9/27 | | | | | 449,964 | | |
| | | | | | | Equinix Inc., Senior Unsecured Notes: | | | | | | | |
| | | 115,000 | | | | 1.800% due 7/15/27 | | | | | 116,740 | | |
| | | 210,000 | | | | 2.000% due 5/15/28 | | | | | 212,982 | | |
| | | 495,000 | | | | 2.500% due 5/15/31 | | | | | 507,573 | | |
| | | 1,225,000 | | | | Equitable Financial Life Global Funding, Secured Notes, 1.800% due 3/8/28(a) | | | | | 1,230,552 | | |
| | | 6,017,000 | | | | ERP Operating LP, Senior Unsecured Notes, 3.375% due 6/1/25 | | | | | 6,517,154 | | |
| | | 555,000 | | | | Fifth Third Bancorp, Senior Unsecured Notes, 2.375% due 1/28/25 | | | | | 580,636 | | |
| | | 6,134,000 | | | | Five Corners Funding Trust II, Senior Unsecured Notes, 2.850% due 5/15/30(a) | | | | | 6,521,635 | | |
| | | 900,000 | | | | GE Capital Funding LLC, Company Guaranteed Notes, 4.400% due 5/15/30 | | | | | 1,054,302 | | |
| | | | | | | Gilex Holding SARL, Senior Secured Notes: | | | | | | | |
| | | 200,000 | | | | 8.500% due 5/2/23(a) | | | | | 207,202 | | |
| | | 150,000 | | | | 8.500% due 5/2/23 | | | | | 155,402 | | |
| | | 209,392 | | | | Global Aircraft Leasing Co., Ltd., Senior Unsecured Notes, 6.500% due 9/15/24(a)(c) | | | | | 207,560 | | |
| | | 260,000 | | | | GLP Capital LP/GLP Financing II Inc., Company Guaranteed Notes, 5.300% due 1/15/29 | | | | | 305,297 | | |
| | | | | | | Goldman Sachs Group Inc., Senior Unsecured Notes: | | | | | | | |
| | | 1,150,000 | | | | 2.905% (3-Month USD-LIBOR + 0.990%) due 7/24/23(f) | | | | | 1,175,312 | | |
| | | 920,000 | | | | 1.295% (3-Month USD-LIBOR + 1.170%) due 5/15/26(f) | | | | | 942,108 | | |
| | | 540,000 | | | | 3.500% due 11/16/26 | | | | | 587,849 | | |
| | | 6,865,000 | | | | 1.431% (SOFRRATE + 0.798%) due 3/9/27(f) | | | | | 6,890,949 | | |
| | | 300,000 | | | | 1.992% (SOFRRATE + 1.090%) due 1/27/32(f) | | | | | 294,087 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 1,740,000 | | | | 2.615% (SOFRRATE + 1.281%) due 4/22/32(f) | | | | $ | 1,795,896 | | |
| | | 830,000 | | | | 2.383% (SOFRRATE + 1.248%) due 7/21/32(f) | | | | | 839,106 | | |
| | | 590,000 | | | | 6.250% due 2/1/41 | | | | | 875,677 | | |
| | | 470,000 | | | | Guardian Life Global Funding, Secured Notes, 1.250% due 5/13/26(a) | | | | | 472,356 | | |
| | | 65,000 | | | | Hightower Holding LLC, Company Guaranteed Notes, 6.750% due 4/15/29(a) | | | | | 66,788 | | |
| | | | | | | HSBC Holdings PLC, Senior Unsecured Notes: | | | | | | | |
| | | 1,950,000 | | | | 3.033% (3-Month USD-LIBOR + 0.923%) due 11/22/23(f) | | | | | 2,013,240 | | |
| | | 315,000 | | | | 0.976% (SOFRRATE + 0.708%) due 5/24/25(f) | | | | | 315,159 | | |
| | | 1,685,000 | | | | 4.583% (3-Month USD-LIBOR + 1.535%) due 6/19/29(f) | | | | | 1,946,605 | | |
| | | 1,400,000 | | | | 3.973% (3-Month USD-LIBOR + 1.610%) due 5/22/30(f) | | | | | 1,569,350 | | |
| | | | | | | Iron Mountain Inc., Company Guaranteed Notes: | | | | | | | |
| | | 70,000 | | | | 4.875% due 9/15/29(a) | | | | | 73,836 | | |
| | | 100,000 | | | | 4.500% due 2/15/31(a) | | | | | 102,844 | | |
| | | 105,000 | | | | iStar Inc., Senior Unsecured Notes, 4.750% due 10/1/24 | | | | | 111,437 | | |
| | | | | | | Itau Unibanco Holding SA, Junior Subordinated Notes: | | | | | | | |
| | | 200,000 | | | | 4.625% (5-Year CMT Index + 3.222%) (b)(f) | | | | | 193,752 | | |
| | | 200,000 | | | | 6.125% (5-Year CMT Index + 3.981%) (b)(f) | | | | | 204,202 | | |
| | | | | | | JPMorgan Chase & Co., Senior Unsecured Notes: | | | | | | | |
| | | 2,760,000 | | | | 3.300% due 4/1/26 | | | | | 3,016,905 | | |
| | | 4,170,000 | | | | 3.960% (3-Month USD-LIBOR + 1.245%) due 1/29/27(f) | | | | | 4,642,792 | | |
| | | 730,000 | | | | 3.509% (3-Month USD-LIBOR + 0.945%) due 1/23/29(f) | | | | | 806,702 | | |
| | | 5,817,000 | | | | 2.522% (SOFRRATE + 2.040%) due 4/22/31(f) | | | | | 6,018,991 | | |
| | | 1,150,000 | | | | 2.580% (SOFRRATE + 1.250%) due 4/22/32(f) | | | | | 1,186,645 | | |
| | | 560,000 | | | | 3.157% (SOFRRATE + 1.460%) due 4/22/42(f) | | | | | 593,713 | | |
| | | 500,000 | | | | Kasikornbank PCL, Junior Subordinated Notes, 5.275% (5-Year CMT Index + 4.940%) (b)(f) | | | | | 526,875 | | |
| | | 575,000 | | | | KeyCorp, Senior Unsecured Notes, 2.550% due 10/1/29 | | | | | 605,650 | | |
| | | 15,000 | | | | LD Holdings Group LLC, Company Guaranteed Notes, 6.125% due 4/1/28(a) | | | | | 14,743 | | |
| | | | | | | Macquarie Group Ltd., Senior Unsecured Notes: | | | | | | | |
| | | 440,000 | | | | 4.150% (3-Month USD-LIBOR + 1.330%) due 3/27/24(a)(f) | | | | | 463,652 | | |
| | | 465,000 | | | | 1.629% (SOFRRATE + 0.910%) due 9/23/27(a)(f) | | | | | 467,003 | | |
| | | 500,000 | | | | Malayan Banking Bhd, Subordinated Notes, 3.905% (5-Year USD Swap Rate + 2.542%) due 10/29/26(f) | | | | | 497,100 | | |
| | | 555,000 | | | | Marsh & McLennan Cos., Inc., Senior Unsecured Notes, 4.750% due 3/15/39 | | | | | 718,229 | | |
| | | | | | | Massachusetts Mutual Life Insurance Co., Subordinated Notes: | | | | | | | |
| | | 440,000 | | | | 3.375% due 4/15/50(a) | | | | | 473,377 | | |
| | | 150,000 | | | | 3.729% due 10/15/70(a) | | | | | 163,743 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 405,000 | | | | Mastercard Inc., Senior Unsecured Notes, 2.950% due 3/15/51 | | | | $ | 428,349 | | |
| | | 470,000 | | | | Mitsubishi UFJ Financial Group Inc., Senior Unsecured Notes, 0.860% (3-Month USD-LIBOR + 0.740%) due 3/2/23(f) | | | | | 474,185 | | |
| | | | | | | Morgan Stanley, Senior Unsecured Notes: | | | | | | | |
| | | 875,000 | | | | 3.737% (3-Month USD-LIBOR + 0.847%) due 4/24/24(f) | | | | | 921,051 | | |
| | | 2,145,000 | | | | 3.700% due 10/23/24 | | | | | 2,336,396 | | |
| | | 1,120,000 | | | | 1.593% (SOFRRATE + 0.879%) due 5/4/27(f) | | | | | 1,130,531 | | |
| | | 5,031,000 | | | | 3.591% (3-Month USD-LIBOR + 1.340%) due 7/22/28(f) | | | | | 5,589,516 | | |
| | | 3,600,000 | | | | 2.699% (SOFRRATE + 1.143%) due 1/22/31(f) | | | | | 3,769,485 | | |
| | | 675,000 | | | | 1.928% (SOFRRATE + 1.020%) due 4/28/32(f) | | | | | 659,929 | | |
| | | | | | | Nationstar Mortgage Holdings Inc., Company Guaranteed Notes: | | | | | | | |
| | | 30,000 | | | | 6.000% due 1/15/27(a) | | | | | 31,613 | | |
| | | 150,000 | | | | 5.500% due 8/15/28(a) | | | | | 155,813 | | |
| | | 100,000 | | | | Navient Corp., Senior Unsecured Notes, 5.000% due 3/15/27 | | | | | 105,000 | | |
| | | 140,000 | | | | New York Life Insurance Co., Subordinated Notes, 3.750% due 5/15/50(a) | | | | | 161,613 | | |
| | | | | | | NFP Corp.: | | | |||||
| | | 60,000 | | | | Senior Secured Notes, 4.875% due 8/15/28(a) | | | | | 61,050 | | |
| | | 135,000 | | | | Senior Unsecured Notes, 6.875% due 8/15/28(a) | | | | | 138,544 | | |
| | | 400,000 | | | | NongHyup Bank, Senior Unsecured Notes, 1.250% due 7/20/25(a) | | | | | 401,507 | | |
| | | | | | | Office Properties Income Trust, Senior Unsecured Notes: | | | | | | | |
| | | 1,230,000 | | | | 4.250% due 5/15/24 | | | | | 1,313,750 | | |
| | | 3,995,000 | | | | 4.500% due 2/1/25 | | | | | 4,319,487 | | |
| | | | | | | OneMain Finance Corp., Company Guaranteed Notes: | | | | | | | |
| | | 115,000 | | | | 7.125% due 3/15/26 | | | | | 134,406 | | |
| | | 40,000 | | | | 6.625% due 1/15/28 | | | | | 46,169 | | |
| | | 90,000 | | | | 5.375% due 11/15/29 | | | | | 98,325 | | |
| | | 800,000 | | | | Oversea-Chinese Banking Corp., Ltd., Subordinated Notes, 4.250% due 6/19/24 | | | | | 869,862 | | |
| | | 60,000 | | | | Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co.-Issuer, Senior Secured Notes, 4.875% due 5/15/29(a) | | | | | 61,800 | | |
| | | | | | | PennyMac Financial Services Inc., Company Guaranteed Notes: | | | | | | | |
| | | 95,000 | | | | 5.375% due 10/15/25(a) | | | | | 98,304 | | |
| | | 50,000 | | | | 4.250% due 2/15/29(a) | | | | | 48,125 | | |
| | | 500,000 | | | | PNC Bank N.A., Subordinated Notes, 2.700% due 10/22/29 | | | | | 532,934 | | |
| | | 435,000 | | | | Progressive Corp., Senior Unsecured Notes, 3.200% due 3/26/30 | | | | | 480,822 | | |
| | | | | | | Realogy Group LLC/Realogy Co.-Issuer Corp.: | | | | | | | |
| | | 65,000 | | | | Company Guaranteed Notes, 5.750% due 1/15/29(a) | | | | | 68,026 | | |
| | | 105,000 | | | | Secured Notes, 7.625% due 6/15/25(a) | | | | | 113,054 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 1,380,000 | | | | Royal Bank of Canada, Senior Unsecured Notes, 1.150% due 7/14/26 | | | | $ | 1,384,047 | | |
| | | | | | | Santander Holdings USA Inc., Senior Unsecured Notes: | | | | | | | |
| | | 605,000 | | | | 3.700% due 3/28/22 | | | | | 614,678 | | |
| | | 435,000 | | | | 3.400% due 1/18/23 | | | | | 450,973 | | |
| | | 2,992,000 | | | | SBA Tower Trust, Asset Backed, 3.722% due 4/11/23(a) | | | | | 3,023,686 | | |
| | | 250,000 | | | | Shinhan Financial Group Co., Ltd., Junior Subordinated Notes, 2.875% (5-Year CMT Index + 2.064%) (a)(b)(f) | | | | | 247,645 | | |
| | | | | | | Simon Property Group LP, Senior Unsecured Notes: | | | | | | | |
| | | 3,000,000 | | | | 3.500% due 9/1/25 | | | | | 3,272,751 | | |
| | | 1,905,000 | | | | 2.200% due 2/1/31 | | | | | 1,899,313 | | |
| | | 7,000,000 | | | | Standard Chartered PLC, Senior Unsecured Notes, 1.456% (1-Year CMT Index + 1.000%) due 1/14/27(a)(f) | | | | | 6,936,380 | | |
| | | 1,470,000 | | | | State Street Corp., Senior Unsecured Notes, 3.776% (3-Month USD-LIBOR + 0.770%) due 12/3/24(f) | | | | | 1,580,875 | | |
| | | 4,000,000 | | | | Sumitomo Mitsui Trust Bank Ltd., Senior Unsecured Notes, 0.850% due 3/25/24(a) | | | | | 4,019,171 | | |
| | | | | | | Temasek Financial I Ltd., Company Guaranteed Notes: | | | | | | | |
| | | 800,000 | | | | 1.000% due 10/6/30(a) | | | | | 758,454 | | |
| | | 250,000 | | | | 1.000% due 10/6/30 | | | | | 237,017 | | |
| | | 1,360,000 | | | | Truist Financial Corp., Senior Unsecured Notes, 1.887% (SOFRRATE + 0.862%) due 6/7/29(f) | | | | | 1,378,346 | | |
| | | 1,254,000 | | | | UBS Group AG, Senior Unsecured Notes, 1.364% (1-Year CMT Index + 1.080%) due 1/30/27(a)(f) | | | | | 1,251,156 | | |
| | | 5,160,000 | | | | UDR Inc., Company Guaranteed Notes, 3.200% due 1/15/30 | | | | | 5,598,481 | | |
| | | 823,000 | | | | Unifin Financiera SAB de CV, Junior Subordinated Notes, 8.875% (5-Year CMT Index + 6.308%)(b)(f) | | | | | 625,488 | | |
| | | | | | | United Overseas Bank Ltd.: | | | | | | | |
| | | 300,000 | | | | Junior Subordinated Notes, 3.875% (5-Year USD Swap Rate + 1.794%) (b)(f) | | | | | 311,811 | | |
| | | 400,000 | | | | Subordinated Notes, 3.500% (5-Year USD Swap Rate + 2.236%) due 9/16/26(f) | | | | | 400,364 | | |
| | | 70,000 | | | | Uniti Group LP/Uniti Group Finance Inc./CSL Capital LLC, Company Guaranteed Notes, 6.500% due 2/15/29(a) | | | | | 72,953 | | |
| | | 5,480,000 | | | | Ventas Realty LP, Company Guaranteed Notes, 3.500% due 2/1/25 | | | | | 5,899,608 | | |
| | | 175,000 | | | | VEREIT Operating Partnership LP, Company Guaranteed Notes, 2.850% due 12/15/32 | | | | | 185,152 | | |
| | | 25,000 | | | | VICI Properties LP/VICI Note Co., Inc., Company Guaranteed Notes, 3.750% due 2/15/27(a) | | | | | 26,000 | | |
| | | 220,000 | | | | Visa Inc., Senior Unsecured Notes, 4.300% due 12/14/45 | | | | | 282,049 | | |
| | | 170,000 | | | | Vornado Realty LP, Senior Unsecured Notes, 2.150% due 6/1/26 | | | | | 174,024 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | | | | | | Weingarten Realty Investors, Senior Unsecured Notes: | | | |||||
| | $ | 1,012,000 | | | | 3.500% due 4/15/23 | | | | $ | 1,050,032 | | |
| | | 300,000 | | | | 4.450% due 1/15/24 | | | | | 322,241 | | |
| | | | | | | Wells Fargo & Co.: | | | | | | | |
| | | | | | | Senior Unsecured Notes: | | | | | | | |
| | | 620,000 | | | | 3.000% due 4/22/26 | | | | | 670,933 | | |
| | | 3,969,000 | | | | 2.188% (SOFRRATE + 2.000%) due 4/30/26(f) | | | | | 4,122,457 | | |
| | | 425,000 | | | | 3.584% (3-Month USD-LIBOR + 1.310%) due 5/22/28(f) | | | | | 471,479 | | |
| | | 495,000 | | | | 5.013% (SOFRRATE + 4.502%) due 4/4/51(f) | | | | | 689,263 | | |
| | | 360,000 | | | | Subordinated Notes, 4.900% due 11/17/45 | | | | | 466,969 | | |
| | | | | | | Welltower Inc., Senior Unsecured Notes: | | | |||||
| | | 390,000 | | | | 2.700% due 2/15/27 | | | | | 413,864 | | |
| | | 460,000 | | | | 2.050% due 1/15/29 | | | | | 463,166 | | |
| | | 40,000 | | | | WeWork Cos. Inc., Company Guaranteed Notes, 7.875% due 5/1/25(a) | | | | | 39,400 | | |
| | | 775,000 | | | | Willis North America Inc., Company Guaranteed Notes, 2.950% due 9/15/29 | | | | | 822,676 | | |
| | | 400,000 | | | | Woori Bank, Junior Subordinated Notes, 4.250% (5-Year CMT Index + 2.664%) (b)(f) | | | | | 416,000 | | |
| | | | | | | XHR LP, Senior Secured Notes: | | | | | | | |
| | | 100,000 | | | | 6.375% due 8/15/25(a) | | | | | 106,000 | | |
| | | 90,000 | | | | 4.875% due 6/1/29(a) | | | | | 92,700 | | |
| | | | | | | Total Financial | | | | | 206,561,898 | | |
| Government – 0.0% | | ||||||||||||
| | | 300,000 | | | | Malaysia Sovereign Sukuk Bhd, Unsecured Notes, 3.043% due 4/22/25 | | | | | 321,897 | | |
| | | 500,000 | | | | Malaysia Wakala Sukuk Bhd, Senior Unsecured Notes, 3.075% due 4/28/51(a) | | | | | 523,045 | | |
| | | | | | | Total Government | | | | | 844,942 | | |
| Industrial – 1.5% | | ||||||||||||
| | | 130,000 | | | | Advanced Drainage Systems Inc., Company Guaranteed Notes, 5.000% due 9/30/27(a) | | | | | 135,200 | | |
| | | 90,000 | | | | APi Group DE Inc., Company Guaranteed Notes, 4.125% due 7/15/29(a) | | | | | 88,200 | | |
| | | 200,000 | | | | Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, Senior Unsecured Notes, 4.000% due 9/1/29(a) | | | | | 203,850 | | |
| | | 415,000 | | | | Arrow Electronics Inc., Senior Unsecured Notes, 3.875% due 1/12/28 | | | | | 456,840 | | |
| | | 65,000 | | | | Atkore Inc., Senior Unsecured Notes, 4.250% due 6/1/31(a) | | | | | 67,194 | | |
| | | 455,000 | | | | Berry Global Inc., Senior Secured Notes, 0.950% due 2/15/24(a) | | | | | 456,434 | | |
| | | | | | | Boeing Co., Senior Unsecured Notes: | | | | | | | |
| | | 1,025,000 | | | | 5.040% due 5/1/27 | | | | | 1,181,661 | | |
| | | 460,000 | | | | 2.950% due 2/1/30 | | | | | 472,870 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Industrial – (continued) | | ||||||||||||
| | $ | 55,000 | | | | Bombardier Inc., Senior Unsecured Notes, 6.000% due 10/15/22(a) | | | | $ | 55,066 | | |
| | | | | | | Builders FirstSource Inc., Company Guaranteed Notes: | | | | | | | |
| | | 140,000 | | | | 5.000% due 3/1/30(a) | | | | | 149,800 | | |
| | | 90,000 | | | | 4.250% due 2/1/32(a) | | | | | 92,451 | | |
| | | | | | | Carrier Global Corp., Senior Unsecured Notes: | | | | | | | |
| | | 270,000 | | | | 2.242% due 2/15/25 | | | | | 281,329 | | |
| | | 210,000 | | | | 3.577% due 4/5/50 | | | | | 228,502 | | |
| | | 415,000 | | | | Caterpillar Inc., Senior Unsecured Notes, 2.600% due 4/9/30 | | | | | 442,830 | | |
| | | 45,000 | | | | Clean Harbors Inc., Company Guaranteed Notes, 5.125% due 7/15/29(a) | | | | | 49,387 | | |
| | | 160,000 | | | | Cornerstone Building Brands Inc., Company Guaranteed Notes, 6.125% due 1/15/29(a) | | | | | 171,048 | | |
| | | 470,000 | | | | CSX Corp., Senior Unsecured Notes, 3.350% due 9/15/49 | | | | | 506,186 | | |
| | | 1,115,000 | | | | DAE Funding LLC, Company Guaranteed Notes, 1.550% due 8/1/24(a) | | | | | 1,112,770 | | |
| | | 185,000 | | | | FedEx Corp., Company Guaranteed Notes, 4.750% due 11/15/45 | | | | | 233,243 | | |
| | | 75,000 | | | | First Student Bidco Inc./First Transit Parent Inc., Senior Secured Notes, 4.000% due 7/31/29(a) | | | | | 74,427 | | |
| | | 50,000 | | | | Fortress Transportation & Infrastructure Investors LLC, Senior Unsecured Notes, 5.500% due 5/1/28(a) | | | | | 50,775 | | |
| | | | | | | General Electric Co., Senior Unsecured Notes: | | | | | | | |
| | | 300,000 | | | | 3.625% due 5/1/30 | | | | | 337,258 | | |
| | | 345,000 | | | | 5.875% due 1/14/38 | | | | | 474,795 | | |
| | | 180,000 | | | | 6.875% due 1/10/39 | | | | | 272,408 | | |
| | | 210,000 | | | | GFL Environmental Inc., Company Guaranteed Notes, 4.000% due 8/1/28(a) | | | | | 208,425 | | |
| | | 70,000 | | | | GrafTech Finance Inc., Senior Secured Notes, 4.625% due 12/15/28(a) | | | | | 71,400 | | |
| | | 85,000 | | | | Intelligent Packaging Ltd. Finco Inc./Intelligent Packaging Ltd. Co.-Issuer LLC, Senior Secured Notes, 6.000% due 9/15/28(a) | | | | | 88,825 | | |
| | | 240,000 | | | | Jeld-Wen Inc., Company Guaranteed Notes, 4.625% due 12/15/25(a) | | | | | 244,570 | | |
| | | 730,000 | | | | John Deere Capital Corp., Senior Unsecured Notes, 1.750% due 3/9/27 | | | | | 751,773 | | |
| | | 30,000 | | | | Kenan Advantage Group Inc., Senior Unsecured Notes, 7.875% due 7/31/23(a) | | | | | 30,027 | | |
| | | 505,000 | | | | L3Harris Technologies Inc., Senior Unsecured Notes, 3.850% due 6/15/23 | | | | | 533,913 | | |
| | | 300,000 | | | | Lockheed Martin Corp., Senior Unsecured Notes, 4.090% due 9/15/52 | | | | | 379,925 | | |
| | | | | | | Madison IAQ LLC: | | | | | | | |
| | | 70,000 | | | | Senior Secured Notes, 4.125% due 6/30/28(a) | | | | | 70,384 | | |
| | | 75,000 | | | | Senior Unsecured Notes, 5.875% due 6/30/29(a) | | | | | 76,781 | | |
| | | 145,000 | | | | Norfolk Southern Corp., Senior Unsecured Notes, 3.400% due 11/1/49 | | | | | 155,534 | | |
| | | | | | | Northrop Grumman Corp., Senior Unsecured Notes: | | | | | | | |
| | | 4,875,000 | | | | 2.930% due 1/15/25 | | | | | 5,183,772 | | |
| | | 665,000 | | | | 5.150% due 5/1/40 | | | | | 879,201 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Industrial – (continued) | | ||||||||||||
| | $ | 1,365,000 | | | | Otis Worldwide Corp., Senior Unsecured Notes, 2.565% due 2/15/30 | | | | $ | 1,426,123 | | |
| | | 200,000 | | | | Penske Truck Leasing Co. LP/PTL Finance Corp., Senior Unsecured Notes, 4.200% due 4/1/27(a) | | | | | 226,057 | | |
| | | | | | | Raytheon Technologies Corp., Senior Unsecured Notes: | | | | | | | |
| | | 1,765,000 | | | | 3.125% due 5/4/27 | | | | | 1,925,127 | | |
| | | 1,457,000 | | | | 6.700% due 8/1/28 | | | | | 1,916,722 | | |
| | | 70,000 | | | | Seaspan Corp., Senior Unsecured Notes, 5.500% due 8/1/29(a) | | | | | 71,575 | | |
| | | 1,305,000 | | | | Siemens Financieringsmaatschappij NV, Company Guaranteed Notes, 1.200% due 3/11/26(a) | | | | | 1,309,878 | | |
| | | 797,025 | | | | Stoneway Capital Corp., Senior Secured Notes, 10.000% due 3/1/27(d)(e) | | | | | 211,212 | | |
| | | 117,000 | | | | Tervita Corp., Secured Notes, 11.000% due 12/1/25(a) | | | | | 134,941 | | |
| | | 690,000 | | | | Textron Inc., Senior Unsecured Notes, 2.450% due 3/15/31 | | | | | 700,420 | | |
| | | 55,000 | | | | Titan Acquisition Ltd./Titan Co.-Borrower LLC, Senior Unsecured Notes, 7.750% due 4/15/26(a) | | | | | 56,524 | | |
| | | 200,000 | | | | TK Elevator US Newco Inc., Senior Secured Notes, 5.250% due 7/15/27(a) | | | | | 211,314 | | |
| | | 95,000 | | | | Trane Technologies Luxembourg Finance SA, Company Guaranteed Notes, 4.500% due 3/21/49 | | | | | 120,749 | | |
| | | | | | | TransDigm Inc.: | | | | | | | |
| | | | | | | Senior Secured Notes: | | | | | | | |
| | | 35,000 | | | | 8.000% due 12/15/25(a) | | | | | 37,450 | | |
| | | 220,000 | | | | 6.250% due 3/15/26(a) | | | | | 231,000 | | |
| | | 125,000 | | | | Company Guaranteed Notes, 5.500% due 11/15/27 | �� | | | | 127,840 | | |
| | | 140,000 | | | | Trident TPI Holdings Inc., Company Guaranteed Notes, 6.625% due 11/1/25(a) | | | | | 142,100 | | |
| | | | | | | Triumph Group Inc.: | | | | | | | |
| | | 109,000 | | | | Company Guaranteed Notes, 7.750% due 8/15/25 | | | | | 109,040 | | |
| | | 55,000 | | | | Secured Notes, 6.250% due 9/15/24(a) | | | | | 55,613 | | |
| | | | | | | Union Pacific Corp., Senior Unsecured Notes: | | | | | | | |
| | | 740,000 | | | | 2.375% due 5/20/31 | | | | | 764,597 | | |
| | | 705,000 | | | | 2.973% due 9/16/62 | | | | | 695,577 | | |
| | | 510,000 | | | | Vontier Corp., Company Guaranteed Notes, 1.800% due 4/1/26(a) | | | | | 510,566 | | |
| | | 210,000 | | | | Waste Management Inc., Company Guaranteed Notes, 2.000% due 6/1/29 | | | | | 213,832 | | |
| | | 85,000 | | | | Waste Pro USA Inc., Senior Unsecured Notes, 5.500% due 2/15/26(a) | | | | | 86,629 | | |
| | | | | | | WRKCo Inc., Company Guaranteed Notes: | | | | | | | |
| | | 415,000 | | | | 3.750% due 3/15/25 | | | | | 451,424 | | |
| | | 5,245,000 | | | | 3.900% due 6/1/28 | | | | | 5,912,465 | | |
| | | | | | | Total Industrial | | | | | 33,917,829 | | |
| Technology – 2.1% | | ||||||||||||
| | | 545,000 | | | | Activision Blizzard Inc., Senior Unsecured Notes, 2.500% due 9/15/50 | | | | | 486,613 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Technology – (continued) | | ||||||||||||
| | | | | | | Apple Inc., Senior Unsecured Notes: | | | |||||
| | $ | 5,130,000 | | | | 1.125% due 5/11/25 | | | | $ | 5,190,244 | | |
| | | 240,000 | | | | 1.200% due 2/8/28 | | | | | 237,516 | | |
| | | 975,000 | | | | 1.250% due 8/20/30 | | | | | 939,719 | | |
| | | 1,090,000 | | | | 3.850% due 5/4/43 | | | | | 1,300,083 | | |
| | | 45,000 | | | | Austin BidCo Inc., Senior Unsecured Notes, 7.125% due 12/15/28(a) | | | | | 45,619 | | |
| | | 60,000 | | | | Banff Merger Sub Inc., Senior Unsecured Notes, 9.750% due 9/1/26(a) | | | | | 62,925 | | |
| | | 15,000 | | | | Boxer Parent Co., Inc., Senior Secured Notes, 7.125% due 10/2/25(a) | | | | | 16,057 | | |
| | | | | | | Broadcom Inc.: | | | |||||
| | | | | | | Company Guaranteed Notes: | | | |||||
| | | 3,240,000 | | | | 4.110% due 9/15/28 | | | | | 3,631,835 | | |
| | | 345,000 | | | | 4.300% due 11/15/32 | | | | | 394,820 | | |
| | | 1,162,000 | | | | Senior Unsecured Notes, 3.419% due 4/15/33(a) | | | | | 1,233,007 | | |
| | | 45,000 | | | | Camelot Finance SA, Senior Secured Notes, 4.500% due 11/1/26(a) | | | | | 46,960 | | |
| | | 125,000 | | | | Castle US Holding Corp., Senior Unsecured Notes, 9.500% due 2/15/28(a) | | | | | 130,625 | | |
| | | 90,000 | | | | Clarivate Science Holdings Corp., Senior Unsecured Notes, 4.875% due 7/1/29(a) | | | | | 92,832 | | |
| | | 385,000 | | | | Dell International LLC/EMC Corp., Senior Secured Notes, 6.020% due 6/15/26 | | | | | 459,807 | | |
| | | 1,195,000 | | | | Fidelity National Information Services Inc., Senior Unsecured Notes, 2.250% due 3/1/31 | | | | | 1,205,835 | | |
| | | 2,325,000 | | | | Fiserv Inc., Senior Unsecured Notes, 2.250% due 6/1/27 | | | | | 2,416,542 | | |
| | | 5,794,000 | | | | Hewlett Packard Enterprise Co., Senior Unsecured Notes, 0.858% (3-Month USD-LIBOR + 0.720%) due 10/5/21(f) | | | | | 5,794,232 | | |
| | | | | | | Intel Corp., Senior Unsecured Notes: | | | | | | | |
| | | 335,000 | | | | 2.450% due 11/15/29 | | | | | 353,403 | | |
| | | 550,000 | | | | 2.800% due 8/12/41 | | | | | 557,828 | | |
| | | 385,000 | | | | 3.250% due 11/15/49 | | | | | 411,205 | | |
| | | 290,000 | | | | 3.050% due 8/12/51 | | | | | 298,970 | | |
| | | | | | | International Business Machines Corp., Senior Unsecured Notes: | | | | | | | |
| | | 215,000 | | | | 3.300% due 5/15/26 | | | | | 236,696 | | |
| | | 1,430,000 | | | | 1.950% due 5/15/30 | | | | | 1,434,749 | | |
| | | | | | | Marvell Technology Inc., Company Guaranteed Notes: | | | | | | | |
| | | 795,000 | | | | 2.450% due 4/15/28(a) | | | | | 817,762 | | |
| | | 610,000 | | | | 2.950% due 4/15/31(a) | | | | | 635,277 | | |
| | | 770,000 | | | | Microchip Technology Inc., Senior Secured Notes, 2.670% due 9/1/23 | | | | | 799,347 | | |
| | | 580,000 | | | | Microsoft Corp., Senior Unsecured Notes, 2.921% due 3/17/52 | | | | | 623,708 | | |
| | | 235,000 | | | | NetApp Inc., Senior Unsecured Notes, 1.875% due 6/22/25 | | | | | 242,145 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Technology – (continued) | | ||||||||||||
| | | | | | | NVIDIA Corp., Senior Unsecured Notes: | | | |||||
| | $ | 225,000 | | | | 1.550% due 6/15/28 | | | | $ | 226,058 | | |
| | | 1,065,000 | | | | 2.850% due 4/1/30 | | | | | 1,153,258 | | |
| | | 50,000 | | | | 3.500% due 4/1/40 | | | | | 56,889 | | |
| | | 2,200,000 | | | | NXP BV/NXP Funding LLC, Company Guaranteed Notes, 4.875% due 3/1/24(a) | | | | | 2,408,491 | | |
| | | | | | | Oracle Corp., Senior Unsecured Notes: | | | | | | | |
| | | 520,000 | | | | 1.900% due 9/15/21 | | | | | 520,314 | | |
| | | 1,140,000 | | | | 2.300% due 3/25/28 | | | | | 1,177,969 | | |
| | | 650,000 | | | | 2.875% due 3/25/31 | | | | | 684,619 | | |
| | | 1,960,000 | | | | 3.600% due 4/1/50 | | | | | 2,044,321 | | |
| | | 355,000 | | | | 3.950% due 3/25/51 | | | | | 392,060 | | |
| | | 230,000 | | | | 4.100% due 3/25/61 | | | | | 260,687 | | |
| | | 10,000 | | | | Rackspace Technology Global Inc., Company Guaranteed Notes, 5.375% due 12/1/28(a) | | | | | 9,897 | | |
| | | 395,000 | | | | Roper Technologies Inc., Senior Unsecured Notes, 4.200% due 9/15/28 | | | | | 455,403 | | |
| | | | | | | salesforce.com Inc., Senior Unsecured Notes: | | | | | | | |
| | | 220,000 | | | | 3.250% due 4/11/23 | | | | | 229,907 | | |
| | | 1,185,000 | | | | 1.950% due 7/15/31 | | | | | 1,201,959 | | |
| | | 60,000 | | | | Science Applications International Corp., Company Guaranteed Notes, 4.875% due 4/1/28(a) | | | | | 62,663 | | |
| | | 75,000 | | | | Seagate HDD Cayman, Company Guaranteed Notes, 3.375% due 7/15/31(a) | | | | | 74,250 | | |
| | | 6,680,000 | | | | Xilinx Inc., Senior Unsecured Notes, 2.375% due 6/1/30 | | | | | 6,862,957 | | |
| | | | | | | Total Technology | | | | | 47,918,063 | | |
| Utilities – 2.3% | | ||||||||||||
| | | 310,000 | | | | AEP Texas Inc., Senior Unsecured Notes, 3.450% due 1/15/50 | | | | | 329,675 | | |
| | | 200,000 | | | | AES Andes SA, Junior Subordinated Notes, 6.350% (5-Year CMT Index + 4.917%) due 10/7/79(a)(f) | | | | | 211,300 | | |
| | | 300,000 | | | | AES Andres BV, Company Guaranteed Notes, 5.700% due 5/4/28(a) | | | | | 309,000 | | |
| | | 425,000 | | | | Alabama Power Co., Senior Unsecured Notes, 3.450% due 10/1/49 | | | | | 471,838 | | |
| | | 1,065,000 | | | | American Water Capital Corp., Senior Unsecured Notes, 3.750% due 9/1/28 | | | | | 1,209,518 | | |
| | | | | | | Berkshire Hathaway Energy Co., Senior Unsecured Notes: | | | | | | | |
| | | 775,000 | | | | 6.125% due 4/1/36 | | | | | 1,090,432 | | |
| | | 1,100,000 | | | | 5.950% due 5/15/37 | | | | | 1,517,055 | | |
| | | | | | | Calpine Corp.: | | | | | | | |
| | | | | | | Senior Unsecured Notes: | | | | | | | |
| | | 60,000 | | | | 5.125% due 3/15/28(a) | | | | | 61,050 | | |
| | | 75,000 | | | | 4.625% due 2/1/29(a) | | | | | 75,242 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Utilities – (continued) | | ||||||||||||
| | $ | 95,000 | | | | Senior Secured Notes, 4.500% due 2/15/28(a) | | | | $ | 97,850 | | |
| | | 200,000 | | | | Chile Electricity PEC SpA, Senior Secured Notes, zero coupon, due 1/25/28(a) | | | | | 162,140 | | |
| | | 70,000 | | | | Cleco Corporate Holdings LLC, Senior Unsecured Notes, 4.973% due 5/1/46 | | | | | 87,713 | | |
| | | 360,000 | | | | Commonwealth Edison Co., 1st Mortgage Notes, 4.000% due 3/1/48 | | | | | 432,221 | | |
| | | 470,000 | | | | Dominion Energy Inc., Senior Unsecured Notes, 3.900% due 10/1/25 | | | | | 517,348 | | |
| | | 500,000 | | | | Dominion Energy South Carolina Inc., 1st Mortgage Notes, 5.100% due 6/1/65 | | | | | 739,752 | | |
| | | 1,590,000 | | | | Duke Energy Carolinas LLC, 1st Mortgage Notes, 5.300% due 2/15/40 | | | | | 2,176,265 | | |
| | | | | | | Duke Energy Corp., Senior Unsecured Notes: | | | | | | | |
| | | 5,000,000 | | | | 0.900% due 9/15/25 | | | | | 4,970,459 | | |
| | | 645,000 | | | | 2.650% due 9/1/26 | | | | | 685,752 | | |
| | | 1,035,000 | | | | 2.550% due 6/15/31 | | | | | 1,064,312 | | |
| | | 210,000 | | | | Duke Energy Progress LLC, 1st Mortgage Notes, 2.000% due 8/15/31 | | | | | 210,142 | | |
| | | 208,650 | | | | Empresa Electrica Angamos SA, Senior Secured Notes, 4.875% due 5/25/29 | | | | | 205,001 | | |
| | | 600,000 | | | | Empresas Publicas de Medellin ESP, Senior Unsecured Notes, 4.375% due 2/15/31 | | | | | 592,488 | | |
| | | 705,000 | | | | Enel Finance International NV, Company Guaranteed Notes, 1.375% due 7/12/26(a) | | | | | 706,964 | | |
| | | 495,000 | | | | Essential Utilities Inc., Senior Unsecured Notes, 3.351% due 4/15/50 | | | | | 519,816 | | |
| | | 880,000 | | | | Evergy Inc., Senior Unsecured Notes, 2.900% due 9/15/29 | | | | | 940,241 | | |
| | | 172,353 | | | | Fenix Power Peru SA, Senior Unsecured Notes, 4.317% due 9/20/27 | | | | | 175,800 | | |
| | | 510,000 | | | | Georgia Power Co., Senior Unsecured Notes, 2.100% due 7/30/23 | | | | | 526,500 | | |
| | | 900,000 | | | | Guacolda Energia SA, Senior Unsecured Notes, 4.560% due 4/30/25 | | | | | 607,500 | | |
| | | 200,000 | | | | Inkia Energy Ltd., Senior Unsecured Notes, 5.875% due 11/9/27 | | | | | 204,752 | | |
| | | 750,000 | | | | ITC Holdings Corp., Senior Unsecured Notes, 2.950% due 5/14/30(a) | | | | | 797,424 | | |
| | | 200,000 | | | | JSW Hydro Energy Ltd., Senior Secured Notes, 4.125% due 5/18/31(a) | | | | | 201,750 | | |
| | | 400,000 | | | | Korea East-West Power Co., Ltd., Senior Unsecured Notes, 1.750% due 5/6/25 | | | | | 409,263 | | |
| | | 90,000 | | | | Leeward Renewable Energy Operations LLC, Company Guaranteed Notes, 4.250% due 7/1/29(a) | | | | | 91,841 | | |
| | | 717,360 | | | | LLPL Capital Pte Ltd., Senior Secured Notes, 6.875% due 2/4/39(a) | | | | | 843,795 | | |
| | | | | | | Minejesa Capital BV, Senior Secured Notes: | | | | | | | |
| | | 600,000 | | | | 4.625% due 8/10/30 | | | | | 626,250 | | |
| | | 300,000 | | | | 5.625% due 8/10/37 | | | | | 325,125 | | |
| | | 155,000 | | | | Monongahela Power Co., 1st Mortgage Notes, 5.400% due 12/15/43(a) | | | | | 207,759 | | |
| | | | | | | NextEra Energy Capital Holdings Inc., Company Guaranteed Notes: | | | | | | | |
| | | 445,000 | | | | 2.750% due 5/1/25 | | | | | 472,256 | | |
| | | 1,175,000 | | | | 2.250% due 6/1/30 | | | | | 1,197,153 | | |
| | | 1,375,000 | | | | NiSource Inc., Senior Unsecured Notes, 3.600% due 5/1/30 | | | | | 1,531,421 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Utilities – (continued) | | ||||||||||||
| | $ | 200,000 | | | | NRG Energy Inc., Company Guaranteed Notes, 3.625% due 2/15/31(a) | | | | $ | 203,500 | | |
| | | 920,000 | | | | Oglethorpe Power Corp., 1st Mortgage Notes, 5.050% due 10/1/48 | | | | | 1,166,253 | | |
| | | | | | | Pacific Gas & Electric Co.: | | | | | | | |
| | | 1,730,000 | | | | 1st Mortgage Notes, 2.500% due 2/1/31 | | | | | 1,629,879 | | |
| | | 265,000 | | | | Senior Secured Notes, 1.367% due 3/10/23 | | | | | 264,212 | | |
| | | 140,000 | | | | PacifiCorp, 1st Mortgage Notes, 3.300% due 3/15/51 | | | | | 149,452 | | |
| | | 75,000 | | | | PG&E Corp., Senior Secured Notes, 5.000% due 7/1/28 | | | | | 74,437 | | |
| | | 140,000 | | | | Pike Corp., Company Guaranteed Notes, 5.500% due 9/1/28(a) | | | | | 142,275 | | |
| | | | | | | Puget Energy Inc., Senior Secured Notes: | | | | | | | |
| | | 735,000 | | | | 3.650% due 5/15/25 | | | | | 791,224 | | |
| | | 395,000 | | | | 4.100% due 6/15/30 | | | | | 442,968 | | |
| | | | | | | Sempra Energy, Senior Unsecured Notes: | | | | | | | |
| | | 1,395,000 | | | | 3.400% due 2/1/28 | | | | | 1,521,620 | | |
| | | 6,932,000 | | | | 4.000% due 2/1/48 | | | | | 7,840,698 | | |
| | | 176,049 | | | | Southaven Combined Cycle Generation LLC, Secured Notes, 3.846% due 8/15/33 | | | | | 196,696 | | |
| | | | | | | Southern California Edison Co.: | | | | | | | |
| | | | | | | 1st Mortgage Notes: | | | | | | | |
| | | 330,000 | | | | 2.850% due 8/1/29 | | | | | 346,408 | | |
| | | 5,000,000 | | | | 4.875% due 3/1/49 | | | | | 5,994,132 | | |
| | | 970,000 | | | | 1st Ref Notes, 4.125% due 3/1/48 | | | | | 1,048,883 | | |
| | | 2,075,000 | | | | Southern Co., Senior Unsecured Notes, 3.700% due 4/30/30 | | | | | 2,313,760 | | |
| | | | | | | Total Utilities | | | | | 51,728,560 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Cost – $582,080,643) | | | | | 581,594,526 | | |
| COLLATERALIZED MORTGAGE OBLIGATIONS – 23.9% | | ||||||||||||
| | | 1,570,097 | | | | 510 Asset Backed Trust, Series 2021-NPL1, Class A1, step bond to yield, 2.240% due 6/25/61(a)(e) | | | | | 1,570,862 | | |
| | | 485,925 | | | | Ajax Mortgage Loan Trust, Series 2021-C, Class A, step bond to yield, 2.115% due 1/25/61(a)(e) | | | | | 492,362 | | |
| | | 750,000 | | | | Alen Mortgage Trust, Series 2021-ACEN, Class D, 3.196% (1-Month USD-LIBOR + 3.100%) due 4/15/34(a)(f) | | | | | 755,607 | | |
| | | | | | | Alternative Loan Trust: | | | | | | | |
| | | 796,761 | | | | Series 2005-28CB, Class 1A7, 5.500% due 8/25/35 | | | | | 799,936 | | |
| | | 6,371,213 | | | | Series 2005-7CB, Class 2A2, 4.966% (1-Month USD-LIBOR + 5.050%) due 3/1/38(f)(g) | | | | | 805,646 | | |
| | | 6,371,213 | | | | Series 2005-7CB, Class 2A5, 0.534% (1-Month USD-LIBOR + 0.450%) due 3/1/38(f) | | | | | 5,214,617 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 3,000,698 | | | | Series 2007-4CB, Class 1A1, 0.684% (1-Month USD-LIBOR + 0.600%) due 4/25/37(f) | | | | $ | 2,399,162 | | |
| | | | | | | Angel Oak Mortgage Trust: | | | | | | | |
| | | 952,371 | | | | Series 2020-R1, Class A1, 0.990% due 4/25/53(a)(f) | | | | | 951,922 | | |
| | | 936,319 | | | | Series 2021-1, Class A1, 0.909% due 1/25/66(a)(f) | | | | | 930,577 | | |
| | | 720,056 | | | | Series 2021-2, Class A1, 0.985% due 4/25/66(a)(f) | | | | | 722,853 | | |
| | | 1,264,249 | | | | Series 2021-3, Class A1, 1.068% due 5/25/66(a)(f) | | | | | 1,266,418 | | |
| | | 1,015,000 | | | | Series 2021-4, Class A1, 1.035% due 1/20/65(a)(f) | | | | | 1,016,191 | | |
| | | 1,500,000 | | | | Series 2021-5, Class A1, 0.951% due 7/25/66(a)(e)(f)(h) | | | | | 1,499,979 | | |
| | | | | | | Angel Oak Mortgage Trust I LLC: | | | |||||
| | | 328,376 | | | | Series 2018-3, Class A1, 3.649% due 9/25/48(a)(f) | | | | | 330,198 | | |
| | | 467,126 | | | | Series 2018-3, Class A2, 3.751% due 9/25/48(a)(f) | | | | | 469,294 | | |
| | | 446,071 | | | | Series 2018-3, Class A3, 3.853% due 9/25/48(a)(f) | | | | | 447,737 | | |
| | | | | | | Arbor Multifamily Mortgage Securities Trust: | | | | | | | |
| | | 4,000,000 | | | | Series 2020-MF1, Class A5, 2.756% due 5/15/53(a) | | | | | 4,267,650 | | |
| | | 5,485,000 | | | | Series 2021-MF2, Class A5, 2.513% due 6/15/54(a) | | | | | 5,730,131 | | |
| | | 1,120,000 | | | | Series 2021-MF2, Class C, 2.809% due 6/15/54(a)(f) | | | | | 1,134,613 | | |
| | | 744,246 | | | | Ashford Hospitality Trust, Series 2018-ASHF, Class A, 0.996% (1-Month USD-LIBOR + 0.900%) due 4/15/35(a)(f) | | | | | 743,395 | | |
| | | | | | | BANK: | | | | | | | |
| | | 12,052,624 | | | | Series 2017-BNK4, Class XA, 1.547% due 5/15/50(f)(g) | | | | | 668,933 | | |
| | | 16,054,695 | | | | Series 2018-BN10, Class XA, 0.873% due 2/15/61(f)(g) | | | | | 638,254 | | |
| | | 7,540,000 | | | | Series 2020-BN30, Class A4, 1.925% due 12/15/53 | | | | | 7,559,955 | | |
| | | 12,700,866 | | | | Series 2021-BN32, Class XA, 0.893% due 4/15/54(f)(g) | | | | | 750,988 | | |
| | | | | | | BBCMS Mortgage Trust: | | | | | | | |
| | | 178,000 | | | | Series 2017-DELC, Class C, 1.296% (1-Month USD-LIBOR + 1.200%) due 8/15/36(a)(f) | | | | | 177,720 | | |
| | | 203,000 | | | | Series 2017-DELC, Class D, 1.796% (1-Month USD-LIBOR + 1.700%) due 8/15/36(a)(f) | | | | | 202,681 | | |
| | | 408,000 | | | | Series 2017-DELC, Class E, 2.596% (1-Month USD-LIBOR + 2.500%) due 8/15/36(a)(f) | | | | | 407,238 | | |
| | | 407,000 | | | | Series 2017-DELC, Class F, 3.596% (1-Month USD-LIBOR + 3.500%) due 8/15/36(a)(f) | | | | | 407,068 | | |
| | | 1,236,000 | | | | Series 2018-TALL, Class F, 3.331% (1-Month USD-LIBOR + 3.235%) due 3/15/37(a)(f) | | | | | 1,133,522 | | |
| | | 1,800,000 | | | | Series 2020-C6, Class A4, 2.639% due 2/15/53 | | | | | 1,908,394 | | |
| | | 1,483,762 | | | | Series 2020-C7, Class XA, 1.742% due 4/15/53(f)(g) | | | | | 154,138 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | | | | | | BBCMS Trust: | | | |||||
| | $ | 103,488 | | | | Series 2018-BXH, Class A, 1.096% (1-Month USD-LIBOR + 1.000%) due 10/15/37(a)(f) | | | | $ | 103,590 | | |
| | | 1,083,000 | | | | Series 2018-CBM, Class A, 1.096% (1-Month USD-LIBOR + 1.000%) due 7/15/37(a)(f) | | | | | 1,085,777 | | |
| | | 7,794,533 | | | | Series 2021-C10, Class XA, 1.434% due 7/15/54(f)(g) | | | | | 777,396 | | |
| | | 3,228,288 | | | | Bear Stearns ALT-A Trust, Series 2006-1, Class 21A2, 3.059% due 2/25/36(f) | | | | | 2,703,101 | | |
| | | | | | | Benchmark Mortgage Trust: | | | | | | | |
| | | 35,391,381 | | | | Series 2018-B7, Class XA, 0.595% due 5/15/53(f)(g) | | | | | 884,448 | | |
| | | 500,000 | | | | Series 2019-B15, Class A5, 2.928% due 12/15/72 | | | | | 540,553 | | |
| | | 2,372,978 | | | | Series 2020-B22, Class XA, 1.635% due 1/15/54(f)(g) | | | | | 280,232 | | |
| | | 997,000 | | | | BHMS, Series 2018-ATLS, Class A, 1.346% (1-Month USD-LIBOR + 1.250%) due 7/15/35(a)(f) | | | | | 998,395 | | |
| | | | | | | BRAVO Residential Funding Trust: | | | | | | | |
| | | 3,545,362 | | | | Series 2021-A, Class A1, step bond to yield, 1.991% due 12/31/49(a) | | | | | 3,547,256 | | |
| | | 477,286 | | | | Series 2021-NQM1, Class A1, 0.941% due 2/25/49(a)(f) | | | | | 477,516 | | |
| | | 737,000 | | | | Series 2021-NQM2, Class A1, 0.970% due 3/25/60(a)(f) | | | | | 738,410 | | |
| | | 1,400,000 | | | | BX, Series 2021-MFM1, Class D, 1.596% (1-Month USD-LIBOR + 1.500%) due 1/15/34(a)(f) | | | | | 1,400,874 | | |
| | | | | | | BX Commercial Mortgage Trust: | | | | | | | |
| | | 7,734,000 | | | | Series 2018-BIOA, Class D, 1.417% (1-Month USD-LIBOR + 1.321%) due 3/15/37(a)(f) | | | | | 7,743,418 | | |
| | | 4,445,000 | | | | Series 2018-IND, Class D, 1.396% (1-Month USD-LIBOR + 1.300%) due 11/15/35(a)(f) | | | | | 4,449,119 | | |
| | | 280,000 | | | | Series 2018-IND, Class E, 1.796% (1-Month USD-LIBOR + 1.700%) due 11/15/35(a)(f) | | | | | 280,258 | | |
| | | 571,949 | | | | Series 2019-XL, Class D, 1.546% (1-Month USD-LIBOR + 1.450%) due 10/15/36(a)(f) | | | | | 572,844 | | |
| | | 3,789,160 | | | | Series 2019-XL, Class E, 1.896% (1-Month USD-LIBOR + 1.800%) due 10/15/36(a)(f) | | | | | 3,795,095 | | |
| | | 3,306,578 | | | | Series 2019-XL, Class F, 2.096% (1-Month USD-LIBOR + 2.000%) due 10/15/36(a)(f) | | | | | 3,316,944 | | |
| | | | | | | BX Trust: | | | | | | | |
| | | 148,466 | | | | Series 2017-SLCT, Class D, 2.146% (1-Month USD-LIBOR + 2.050%) due 7/15/34(a)(f) | | | | | 148,751 | | |
| | | 474,300 | | | | Series 2017-SLCT, Class E, 3.246% (1-Month USD-LIBOR + 3.150%) due 7/15/34(a)(f) | | | | | 475,495 | | |
| | | 102,719 | | | | Series 2018-EXCL, Class A, 1.184% (1-Month USD-LIBOR + 1.088%) due 9/15/37(a)(f) | | | | | 102,724 | | |
| | | 903,000 | | | | Series 2018-GW, Class A, 0.896% (1-Month USD-LIBOR + 0.800%) due 5/15/35(a)(f) | | | | | 902,743 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 1,529,000 | | | | Series 2019-OC11, Class E, 4.075% due 12/9/41(a)(f) | | | | $ | 1,595,508 | | |
| | | 366,000 | | | | CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class A, 1.166% (1-Month USD-LIBOR + 1.070%) due 12/15/37(a)(f) | | | | | 366,695 | | |
| | | 345,298 | | | | Cascade MH Asset Trust, Series 2021-MH1, Class A1, 1.753% due 2/25/46(a)(e) | | | | | 347,369 | | |
| | | | | | | CD Mortgage Trust: | | | | | | | |
| | | 19,706,693 | | | | Series 2017-CD4, Class XA, 1.435% due 5/10/50(f)(g) | | | | | 987,420 | | |
| | | 795,000 | | | | Series 2017-CD6, Class C, 4.408% due 11/13/50(f) | | | | | 866,834 | | |
| | | 15,242,960 | | | | CFCRE Commercial Mortgage Trust, Series 2017-C8, Class XA, 1.714% due 6/15/50(f)(g) | | | | | 989,410 | | |
| | | 2,724,000 | | | | CGDB Commercial Mortgage Trust, Series 2019-MOB, Class E, 2.096% (1-Month USD-LIBOR + 2.000%) due 11/15/36(a)(f) | | | | | 2,718,038 | | |
| | | | | | | Citigroup Commercial Mortgage Trust: | | | |||||
| | | 1,415,000 | | | | Series 2015-GC31, Class A4, 3.762% due 6/10/48 | | | | | 1,550,385 | | |
| | | 32,393,851 | | | | Series 2015-GC35, Class XA, 0.873% due 11/10/48(f)(g) | | | | | 840,711 | | |
| | | 7,640,000 | | | | Series 2019-GC43, Class A4, 3.038% due 11/10/52 | | | | | 8,308,227 | | |
| | | 2,333,268 | | | | Citigroup Mortgage Loan Trust, Series 2019-B, Class A1, 3.258% due 4/25/66(a)(f) | | | | | 2,351,681 | | |
| | | 3,250,750 | | | | Cold Storage Trust, Series 2020-ICE5, Class B, 1.396% (1-Month USD-LIBOR + 1.300%) due 11/15/37(a)(f) | | | | | 3,257,871 | | |
| | | | | | | COLT Mortgage Loan Trust: | | | | | | | |
| | | 880,107 | | | | Series 2021-1, Class A1, 0.910% due 6/25/66(a)(f) | | | | | 877,015 | | |
| | | 714,972 | | | | Series 2021-2, Class A1, 0.924% due 8/25/66(a)(f) | | | | | 714,021 | | |
| | | 457,832 | | | | Series 2021-2R, Class A1, 0.798% due 7/27/54(a)(e) | | | | | 457,289 | | |
| | | | | | | Commercial Mortgage Trust: | | | | | | | |
| | | 198,789,373 | | | | Series 2013-CR9, Class XA, 0.083% due 7/10/45(f)(g) | | | | | 150,941 | | |
| | | 1,050,000 | | | | Series 2015-CR23, Class A4, 3.497% due 5/10/48 | | | | | 1,141,142 | | |
| | | 800,000 | | | | Series 2016-DC2, Class C, 4.828% due 2/10/49(f) | | | | | 856,120 | | |
| | | 5,650,000 | | | | Series 2020-CX, Class A, 2.173% due 11/10/46(a) | | | | | 5,769,788 | | |
| | | 1,150,000 | | | | Series 2020-CX, Class C, 2.773% due 11/10/46(a)(f) | | | | | 1,193,129 | | |
| | | 3,750,000 | | | | Series 2020-SBX, Class C, 2.056% due 1/10/38(a)(f) | | | | | 3,802,464 | | |
| | | | | | | Credit Suisse Commercial Mortgage Capital Trust: | | | | | | | |
| | | 656,312 | | | | Series 2021-AFC1, Class A1, 0.830% due 3/25/56(a)(f) | | | | | 654,606 | | |
| | | 464,291 | | | | Series 2021-RPL4, Class A1, 1.796% due 12/27/60(a)(e)(f) | | | | | 466,533 | | |
| | | | | | | Credit Suisse Mortgage Capital Certificates: | | | | | | | |
| | | 110,000 | | | | Series 2019-ICE4, Class C, 1.526% (1-Month USD-LIBOR + 1.430%) due 5/15/36(a)(f) | | | | | 110,400 | | |
| | | 6,885,000 | | | | Series 2019-ICE4, Class E, 2.246% (1-Month USD-LIBOR + 2.150%) due 5/15/36(a)(f) | | | | | 6,902,259 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 1,517,319 | | | | Series 2021-NQM4, Class A1, 1.101% due 5/25/66(a)(f) | | | | $ | 1,516,558 | | |
| | | | | | | CSAIL Commercial Mortgage Trust: | | | | | | | |
| | | 1,985,982 | | | | Series 2015-C4, Class A3, 3.544% due 11/15/48 | | | | | 2,136,521 | | |
| | | 1,205,000 | | | | Series 2018-C14, Class C, 5.053% due 11/15/51(f) | | | | | 1,336,715 | | |
| | | 2,003,995 | | | | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class 5A6, 5.500% due 10/25/35 | | | | | 1,576,543 | | |
| | | | | | | CSMC: | | | | | | | |
| | | 555,000 | | | | Series 2020-NET, Class A, 2.257% due 8/15/37(a) | | | | | 575,848 | | |
| | | 372,846 | | | | Series 2021-NQM1, Class A1, 0.809% due 5/25/65(a)(f) | | | | | 372,693 | | |
| | | 1,409,173 | | | | Series 2021-NQM2, Class A1, 1.179% due 2/25/66(a)(f) | | | | | 1,411,152 | | |
| | | 754,511 | | | | Series 2021-NQM5, Class A1, 0.938% due 5/25/66(a)(f) | | | | | 751,267 | | |
| | | | | | | DBGS Mortgage Trust: | | | | | | | |
| | | 1,856,278 | | | | Series 2018-BIOD, Class B, 0.983% (1-Month USD-LIBOR + 0.888%) due 5/15/35(a)(f) | | | | | 1,859,275 | | |
| | | 4,529,318 | | | | Series 2018-BIOD, Class E, 1.796% (1-Month USD-LIBOR + 1.700%) due 5/15/35(a)(f) | | | | | 4,530,787 | | |
| | | | | | | DBJPM Mortgage Trust: | | | | | | | |
| | | 21,195,000 | | | | Series 2017-C6, Class XB, 0.374% due 6/10/50(f)(g) | | | | | 358,791 | | |
| | | 2,231,882 | | | | Series 2020-C9, Class XA, 1.830% due 9/15/53(f)(g) | | | | | 223,726 | | |
| | | 610,000 | | | | DC Office Trust, Series 2019-MTC, Class A, 2.965% due 9/15/45(a) | | | | | 655,795 | | |
| | | | | | | Deephaven Residential Mortgage Trust: | | | | | | | |
| | | 343,128 | | | | Series 2021-1, Class A1, 0.715% due 5/25/65(a)(f) | | | | | 342,585 | | |
| | | 427,086 | | | | Series 2021-2, Class A1, 0.899% due 4/25/66(a)(f) | | | | | 426,845 | | |
| | | | | | | Ellington Financial Mortgage Trust: | | | | | | | |
| | | 220,309 | | | | Series 2021-1, Class A1, 0.797% due 2/25/66(a)(f) | | | | | 219,903 | | |
| | | 369,003 | | | | Series 2021-2, Class A1, 0.931% due 6/25/66(a)(f) | | | | | 368,958 | | |
| | | | | | | Federal Home Loan Mortgage Corp. (FHLMC). REMICS: | | | | | | | |
| | | 1,743,187 | | | | Series 4116, Class AP, 1.350% due 8/15/42 | | | | | 1,754,535 | | |
| | | 4,875,388 | | | | Series 4223, Class SB, 5.315% (1-Month USD-LIBOR + 5.431%) due 7/15/43(f) | | | | | 5,191,434 | | |
| | | 12,263,464 | | | | Series 4640, Class VB, 3.000% due 3/15/37 | | | | | 12,429,559 | | |
| | | 8,826,325 | | | | Series 4655, Class CZ, 3.000% due 2/15/47 | | | | | 9,395,049 | | |
| | | 20,580,482 | | | | Series 4726, Class Z, 3.500% due 10/15/47 | | | | | 22,382,105 | | |
| | | 4,898,469 | | | | Series 4750, Class PA, 3.000% due 7/15/46 | | | | | 5,035,099 | | |
| | | 6,297,038 | | | | Series 4892, Class ES, 6.066% (1-Month USD-LIBOR + 6.150%) due 7/25/45(f)(g) | | | | | 1,503,627 | | |
| | | | | | | Federal National Mortgage Association (FNMA), Aces: | | | | | | | |
| | | 7,867,383 | | | | Series 2017-M2, Class A2, 2.891% due 2/25/27(f) | | | | | 8,555,515 | | |
| | | 4,695,000 | | | | Series 2018-M14, Class A2, 3.700% due 8/25/28(f) | | | | | 5,378,496 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 1,395,000 | | | | Series 2018-M7, Class A2, 3.150% due 3/25/28(f) | | | | $ | 1,552,938 | | |
| | | 14,393,530 | | | | Series 2020-M15, Class X1, 1.687% due 9/25/31(f)(g) | | | | | 1,820,841 | | |
| | | 20,970,627 | | | | Series 2020-M7, Class X2, 1.333% due 3/25/31(f)(g) | | | | | 1,890,022 | | |
| | | | | | | Federal National Mortgage Association (FNMA), REMICS: | | | | | | | |
| | | 191,055 | | | | Series 2011-51, Class TO, – % due 6/25/41(i) | | | | | 179,103 | | |
| | | 1,072,000 | | | | Series 2013-62, Class PY, 2.500% due 6/25/43 | | | | | 1,125,692 | | |
| | | 3,256,187 | | | | Series 2014-11, Class KZ, 2.500% due 10/25/41 | | | | | 3,390,783 | | |
| | | 1,584,800 | | | | Series 2015-55, Class PD, 2.500% due 3/25/43 | | | | | 1,617,686 | | |
| | | 740,741 | | | | Series 2017-105, Class ZE, 3.000% due 1/25/48 | | | | | 820,761 | | |
| | | 2,024,048 | | | | Series 2017-107, Class GA, 3.000% due 8/25/45 | | | | | 2,045,472 | | |
| | | 7,731,019 | | | | Series 2017-24, Class LG, 3.000% due 4/25/37 | | | | | 8,415,543 | | |
| | | 5,449,057 | | | | Series 2018-33, Class C, 3.000% due 5/25/48 | | | | | 5,668,214 | | |
| | | 2,412,655 | | | | Series 2018-38, Class LA, 3.000% due 6/25/48 | | | | | 2,515,533 | | |
| | | | | | | FMC GMSR Issuer Trust: | | | | | | | |
| | | 4,000,000 | | | | Series 2019-GT2, Class A, 4.230% due 9/25/24(a)(f) | | | | | 4,003,300 | | |
| | | 4,000,000 | | | | Series 2021-GT1, Class A, 3.620% due 7/25/26(a)(e)(f) | | | | | 4,001,844 | | |
| | | | | | | Freddie Mac Multifamily Structured Pass-Through Certificates: | | | | | | | |
| | | 109,834,765 | | | | Series K064, Class X1, 0.741% due 3/25/27(f)(g) | | | | | 3,348,456 | | |
| | | 6,770,000 | | | | Series K084, Class A2, 3.780% due 10/25/28(f) | | | | | 7,842,107 | | |
| | | 8,000,000 | | | | Series K085, Class A2, 4.060% due 10/25/28(f) | | | | | 9,413,734 | | |
| | | 2,975,000 | | | | Series K088, Class A2, 3.690% due 1/25/29 | | | | | 3,446,929 | | |
| | | 14,986,363 | | | | Series K112, Class X1, 1.536% due 5/25/30(f)(g) | | | | | 1,659,912 | | |
| | | 25,065,208 | | | | Series K116, Class X1, 1.531% due 7/25/30(f)(g) | | | | | 2,718,019 | | |
| | | 58,738,293 | | | | Series K119, Class X1, 1.027% due 9/25/30(f)(g) | | | | | 4,323,091 | | |
| | | 22,767,421 | | | | Series K120, Class X1, 1.134% due 10/25/30(f)(g) | | | | | 1,846,702 | | |
| | | 41,762,933 | | | | Series K121, Class X1, 1.124% due 10/25/30(f)(g) | | | | | 3,361,306 | | |
| | | 12,787,441 | | | | Series K122, Class X1, 0.974% due 11/25/30(f)(g) | | | | | 906,603 | | |
| | | 23,965,616 | | | | Series K124, Class X1, 0.812% due 12/25/30(f)(g) | | | | | 1,435,718 | | |
| | | 53,950,274 | | | | Series K125, Class X1, 0.677% due 1/25/31(f)(g) | | | | | 2,628,603 | | |
| | | 30,200,000 | | | | Series K130, Class X1, 1.144% due 6/25/31(f)(g) | | | | | 2,688,404 | | |
| | | 30,937,541 | | | | Series K-1519, Class X1, 0.707% due 12/25/35(f)(g) | | | | | 2,091,502 | | |
| | | 5,500,000 | | | | Series KIR3, Class A2, 3.281% due 8/25/27 | | | | | 6,155,554 | | |
| | | 1,500,000 | | | | Series Q001, Class A3, 3.815% due 2/25/32 | | | | | 1,700,789 | | |
| | | 1,337,014 | | | | Freddie Mac Strips, Series 303, Class C10, 3.500% due 1/15/33(g) | | | | | 145,171 | | |
| | | | | | | FREMF Mortgage Trust: | | | | | | | |
| | | 2,000,000 | | | | Series 2019-K102, Class B, 3.651% due 12/25/51(a)(f) | | | | | 2,179,226 | | |
| | | 860,000 | | | | Series 2019-K97, Class B, 3.893% due 9/25/51(a)(f) | | | | | 957,357 | | |
| | | 1,885,000 | | | | Series 2020-K105, Class B, 3.530% due 3/25/53(a)(f) | | | | | 2,042,070 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 1,406,807 | | | | FWDSecuritization Trust, Series 2019-INV1, Class A3, 3.110% due 6/25/49(a)(f) | | | | $ | 1,431,276 | | |
| | | | | | | GCAT Trust: | | | | | | | |
| | | 1,113,138 | | | | Series 2021-NQM1, Class A1, 0.874% due 1/25/66(a)(f) | | | | | 1,111,750 | | |
| | | 830,605 | | | | Series 2021-NQM2, Class A1, 1.036% due 5/25/66(a)(f) | | | | | 830,099 | | |
| | | 1,129,533 | | | | Series 2021-NQM3, Class A1, 1.091% due 5/25/66(a)(f) | | | | | 1,131,646 | | |
| | | 1,310,000 | | | | Series 2021-NQM4, Class A1, 1.093% due 8/25/66(a)(f) | | | | | 1,310,000 | | |
| | | | | | | Government National Mortgage Association (GNMA): | | | | | | | |
| | | 1,735,863 | | | | Series 2012-32, Class Z, 3.500% due 3/20/42 | | | | | 1,865,122 | | |
| | | 16,086,714 | | | | Series 2021-129, Class IO, 0.987% due 6/16/63(f)(g) | | | | | 1,423,307 | | |
| | | 16,947,094 | | | | Series 2021-30, Class IB, 2.500% due 2/20/51(g) | | | | | 2,484,225 | | |
| | | 20,570,561 | | | | Series 2021-35, Class IO, 1.015% due 12/16/62(f)(g) | | | | | 1,859,723 | | |
| | | 23,408,482 | | | | Series 2021-52, Class IO, 0.847% due 4/16/63(f)(g) | | | | | 1,831,643 | | |
| | | 21,608,494 | | | | Series 2021-58, Class SL, 3.662% (1-Month USD-LIBOR + 3.750%) due 4/20/51(f)(g) | | | | | 2,506,428 | | |
| | | 22,357,196 | | | | Government National Mortgage Association (GNMA) (GNMA), Series 2021-79, Class IO, 0.922% due 8/16/63(f) | | | | | 1,900,060 | | |
| | | | | | | Great Wolf Trust: | | | | | | | |
| | | 500,000 | | | | Series 2019-WOLF, Class E, 2.828% (1-Month USD-LIBOR + 2.732%) due 12/15/36(a)(f) | | | | | 490,983 | | |
| | | 500,000 | | | | Series 2019-WOLF, Class F, 3.227% (1-Month USD-LIBOR + 3.131%) due 12/15/36(a)(f) | | | | | 490,630 | | |
| | | | | | | GS Mortgage Securities Corp. Trust: | | | | | | | |
| | | 400,000 | | | | Series 2018-TWR, Class D, 1.696% (1-Month USD-LIBOR + 1.600%) due 7/15/31(a)(f) | | | | | 393,305 | | |
| | | 400,000 | | | | Series 2018-TWR, Class E, 2.196% (1-Month USD-LIBOR + 2.100%) due 7/15/31(a)(f) | | | | | 386,540 | | |
| | | 400,000 | | | | Series 2018-TWR, Class F, 2.896% (1-Month USD-LIBOR + 2.800%) due 7/15/31(a)(f) | | | | | 379,244 | | |
| | | 400,000 | | | | Series 2018-TWR, Class G, 4.021% (1-Month USD-LIBOR + 3.925%) due 7/15/31(a)(f) | | | | | 363,477 | | |
| | | | | | | GS Mortgage Securities Trust: | | | | | | | |
| | | 705,000 | | | | Series 2015-GC30, Class A4, 3.382% due 5/10/50 | | | | | 762,924 | | |
| | | 10,400,876 | | | | Series 2017-GS7, Class XA, 1.261% due 8/10/50(f)(g) | | | | | 518,525 | | |
| | | 1,400,000 | | | | Series 2018-GS9, Class A4, 3.992% due 3/10/51(f) | | | | | 1,599,791 | | |
| | | 1,200,000 | | | | Series 2018-GS9, Class C, 4.505% due 3/10/51(f) | | | | | 1,318,444 | | |
| | | 1,500,000 | | | | Series 2020-GC45, Class A5, 2.911% due 2/13/53 | | | | | 1,619,166 | | |
| | | 6,444,105 | | | | HarborView Mortgage Loan Trust, Series 2006-14, Class 2A1A, 0.237% (1-Month USD-LIBOR + 0.150%) due 1/25/47(f) | | | | | 6,073,472 | | |
| | | 1,011,224 | | | | HPLY Trust, Series 2019-HIT, Class F, 3.246% (1-Month USD-LIBOR + 3.150%) due 11/15/36(a)(f) | | | | | 999,478 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 695,000 | | | | Imperial Fund Mortgage Trust, Series 2021-NQM2, Class A1, 1.073% due 9/25/56(a)(f) | | | | $ | 695,226 | | |
| | | | | | | IMT Trust: | | | | | | | |
| | | 4,689,388 | | | | Series 2017-APTS, Class BFL, 1.046% (1-Month USD-LIBOR + 0.950%) due 6/15/34(a)(f) | | | | | 4,683,455 | | |
| | | 774,524 | | | | Series 2017-APTS, Class CFL, 1.196% (1-Month USD-LIBOR + 1.100%) due 6/15/34(a)(f) | | | | | 774,655 | | |
| | | 33,247 | | | | JP Morgan Chase Commercial Mortgage Securities Corp., Series 2017-FL10, Class D, 1.996% (1-Month USD-LIBOR + 1.900%) due 6/15/32(a)(f) | | | | | 33,195 | | |
| | | | | | | JP Morgan Chase Commercial Mortgage Securities Trust: | | | | | | | |
| | | 174,989 | | | | Series 2018-LAQ, Class A, 1.096% (1-Month USD-LIBOR + 1.000%) due 6/15/32(a)(f) | | | | | 175,044 | | |
| | | 805,000 | | | | Series 2018-WPT, Class FFX, 5.542% due 7/5/33(a)(f) | | | | | 825,080 | | |
| | | 1,950,000 | | | | Series 2019-OSB, Class A, 3.397% due 6/5/39(a) | | | | | 2,167,176 | | |
| | | 823,000 | | | | Series 2020-ACE, Class C, 3.817% due 1/10/37(a)(f) | | | | | 794,828 | | |
| | | 805,000 | | | | Series 2020-LOOP, Class E, 3.990% due 12/5/38(a)(f) | | | | | 793,422 | | |
| | | | | | | JP Morgan Mortgage Trust: | | | | | | | |
| | | 3,212,233 | | | | Series 2006-S1, Class 2A9, 6.500% due 4/25/36 | | | | | 3,309,690 | | |
| | | 7,076,194 | | | | Series 2006-S4, Class A7, 6.000% due 1/25/37 | | | | | 4,478,704 | | |
| | | 1,603,128 | | | | Series 2021-3, Class B1, 2.959% due 7/1/51(a)(f) | | | | | 1,658,430 | | |
| | | | | | | JPMBB Commercial Mortgage Securities Trust: | | | | | | | |
| | | 380,000 | | | | Series 2014-C26, Class C, 4.520% due 1/15/48(f) | | | | | 395,735 | | |
| | | 1,667,000 | | | | Series 2015-C27, Class C, 4.444% due 2/15/48(f) | | | | | 1,716,900 | | |
| | | 2,200,000 | | | | Series 2015-C28, Class A4, 3.227% due 10/15/48 | | | | | 2,348,043 | | |
| | | 1,205,000 | | | | Series 2015-C28, Class C, 4.288% due 10/15/48(f) | | | | | 1,242,393 | | |
| | | 529,000 | | | | Series 2016-C1, Class A5, 3.576% due 3/15/49 | | | | | 579,053 | | |
| | | 1,100,000 | | | | JPMCC Commercial Mortgage Securities Trust, Series 2017-JP6, Class A5, 3.490% due 7/15/50 | | | | | 1,215,679 | | |
| | | 1,123,000 | | | | JPMDB Commercial Mortgage Securities Trust, Series 2020-COR7, Class B, 3.294% due 5/13/53(f) | | | | | 1,215,696 | | |
| | | | | | | Legacy Mortgage Asset Trust: | | | | | | | |
| | | 463,680 | | | | Series 2021-GS2, Class A1, step bond to yield, 1.750% due 4/25/61(a) | | | | | 464,872 | | |
| | | 585,281 | | | | Series 2021-GS3, Class A1, step bond to yield, 1.750% due 7/25/61(a) | | | | | 586,767 | | |
| | | 315,000 | | | | Series 2021-GS4, Class A1, step bond to yield, 1.650% due 6/25/61(a) | | | | | 315,052 | | |
| | | 4,227,751 | | | | Lehman XS Trust, Series 2007-4N, Class 1A3, 0.324% (1-Month USD-LIBOR + 0.240%) due 3/25/47(f) | | | | | 4,177,518 | | |
| | | 3,235,000 | | | | Life Mortgage Trust, Series 2021-BMR, Class D, 1.496% (1-Month USD-LIBOR + 1.400%) due 3/15/38(a)(f) | | | | | 3,237,024 | | |
| | | 6,518,938 | | | | Merrill Lynch Mortgage Investors Trust, Series 2006-AF1, Class AF1, 5.750% due 8/25/36 | | | | | 3,722,700 | | |
| | | 753,548 | | | | MFA Trust, Series 2021-NQM1, Class A1, 1.153% due 4/25/65(a)(f) | | | | | 754,828 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 730,000 | | | | MFRA Trust, Series 2021-NQM2, Class A1, 1.029% due 11/25/64(a)(f) | | | | $ | 729,213 | | |
| | | | | | | Morgan Stanley Bank of America Merrill Lynch Trust: | | | | | | | |
| | | 2,000,000 | | | | Series 2014-C17, Class C, 4.632% due 8/15/47(f) | | | | | 2,111,975 | | |
| | | 17,073,532 | | | | Series 2014-C19, Class XA, 1.116% due 12/15/47(f)(g) | | | | | 452,858 | | |
| | | 2,583,782 | | | | Series 2015-C20, Class A4, 3.249% due 2/15/48 | | | | | 2,759,195 | | |
| | | 1,405,000 | | | | Series 2015-C26, Class A5, 3.531% due 10/15/48 | | | | | 1,535,891 | | |
| | | 1,652,000 | | | | Series 2016-C31, Class C, 4.432% due 11/15/49(f) | | | | | 1,708,486 | | |
| | | | | | | Morgan Stanley Capital I Trust: | | | | | | | |
| | | 16,290,201 | | | | Series 2016-UB11, Class XA, 1.634% due 8/15/49(f)(g) | | | | | 878,306 | | |
| | | 13,851,271 | | | | Series 2016-UB12, Class XA, 0.849% due 12/15/49(f)(g) | | | | | 369,555 | | |
| | | 1,083,000 | | | | Series 2018-SUN, Class A, 0.996% (1-Month USD-LIBOR + 0.900%) due 7/15/35(a)(f) | | | | | 1,082,706 | | |
| | | 1,356,000 | | | | Series 2019-H7, Class AS, 3.524% due 7/15/52 | | | | | 1,489,183 | | |
| | | 583,000 | | | | Series 2019-H7, Class B, 3.725% due 7/15/52 | | | | | 635,972 | | |
| | | 22,081,601 | | | | Series 2019-L3, Class XA, 0.763% due 11/15/52(f)(g) | | | | | 1,034,788 | | |
| | | 7,787,255 | | | | Series 2020-HR8, Class XA, 1.970% due 7/15/53(f)(g) | | | | | 1,057,099 | | |
| | | 806,000 | | | | Series 2020-L4, Class B, 3.082% due 2/15/53 | | | | | 847,712 | | |
| | | 2,476,147 | | | | Morgan Stanley Residential Mortgage Loan Trust, Series 2020-RPL1, Class A1, 2.693% due 10/25/60(a)(f) | | | | | 2,481,289 | | |
| | | 700,000 | | | | Mortgage Insurance-Linked Notes, Series 2021-3, Class M1A, 1.950% (SOFR30A + 1.900%) due 2/25/34(a)(f) | | | | | 700,000 | | |
| | | 1,321,000 | | | | MRCD Mortgage Trust, Series 2019-PARK, Class G, 2.718% due 12/15/36(a) | | | | | 1,275,089 | | |
| | | | | | | New Residential Mortgage Loan Trust: | | | | | | | |
| | | 1,238,121 | | | | Series 2020-RPL2, Class A1, 3.578% due 8/25/25(a)(f) | | | | | 1,260,474 | | |
| | | 708,074 | | | | Series 2021-NQ1R, Class A1, 0.943% due 7/25/55(a)(f) | | | | | 708,140 | | |
| | | 548,364 | | | | Series 2021-NQ2R, Class A1, 0.941% due 9/25/58(a)(f) | | | | | 549,333 | | |
| | | 1,398,249 | | | | NMLT Trust, Series 2021-INV1, Class A1, 1.185% due 5/25/56(a)(f) | | | | | 1,399,932 | | |
| | | | | | | OBX Trust: | | | | | | | |
| | | 1,390,194 | | | | Series 2021-NQM1, Class A1, 1.072% due 2/25/66(a)(f) | | | | | 1,389,983 | | |
| | | 880,000 | | | | Series 2021-NQM3, Class A1, 1.054% due 7/25/61(a)(e)(f) | | | | | 880,489 | | |
| | | | | | | PMT Credit Risk Transfer Trust: | | | | | | | |
| | | 1,392,452 | | | | Series 2019-2R, Class A, 2.838% (1-Month USD-LIBOR + 2.750%) due 5/27/23(a)(f) | | | | | 1,379,830 | | |
| | | 844,301 | | | | Series 2019-3R, Class A, 2.788% (1-Month USD-LIBOR + 2.700%) due 10/27/22(a)(f) | | | | | 846,756 | | |
| | | 1,659,717 | | | | Pretium Mortgage Credit Partners LLC, Series 2021-RN1, Class A1, step bond to yield, 1.992% due 2/25/61(a) | | | | | 1,656,895 | | |
| | | | | | | PRPM LLC: | | | | | | | |
| | | 8,501,612 | | | | Series 2020-3, Class A1, step bond to yield, 2.857% due 9/25/25(a) | | | | | 8,521,068 | | |
| | | 2,698,251 | | | | Series 2021-2, Class A1, 2.115% due 3/25/26(a)(f) | | | | | 2,704,651 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 700,295 | | | | Series 2021-3, Class A1, step bond to yield, 1.867% due 4/25/26(a)(e) | | | | $ | 703,816 | | |
| | | 910,982 | | | | Series 2021-4, Class A1, step bond to yield, 1.867% due 4/25/26(a) | | | | | 910,980 | | |
| | | 832,978 | | | | Series 2021-5, Class A1, step bond to yield, 1.793% due 6/25/26(a) | | | | | 834,333 | | |
| | | 897,958 | | | | Series 2021-6, Class A1, step bond to yield, 1.793% due 7/25/26(a) | | | | | 897,288 | | |
| | | 5,215,000 | | | | Series 2021-7, Class A1, step bond to yield, 1.867% due 8/25/26(a) | | | | | 5,217,540 | | |
| | | 364,143 | | | | Series 2021-RPL1, Class A1, 1.319% due 7/25/51(a)(f) | | | | | 365,088 | | |
| | | 1,517,971 | | | | Rali Trust, Series 2005-QS13, Class 1A3, 5.500% due 9/25/35 | | | | | 1,466,386 | | |
| | | 693,230 | | | | RCO VII Mortgage LLC, Series 2021-1, Class A1, step bond to yield, 1.868% due 5/25/26(a) | | | | | 692,912 | | |
| | | 4,372,122 | | | | Residential Asset Securitization Trust, Series 2005-A8CB, Class A6, 5.000% due 7/25/35 | | | | | 3,574,889 | | |
| | | | | | | Residential Mortgage Loan Trust: | | | | | | | |
| | | 3,100,000 | | | | Series 2020-1, Class M1, 3.242% due 2/25/24(a)(f) | | | | | 3,190,125 | | |
| | | 602,329 | | | | Series 2021-1R, Class A1, 0.859% due 1/25/65(a)(f) | | | | | 601,919 | | |
| | | | | | | Seasoned Credit Risk Transfer Trust: | | | |||||
| | | 514,508 | | | | Series 2019-1, Class MA, 3.500% due 7/25/58 | | | | | 546,357 | | |
| | | 668,778 | | | | Series 2019-1, Class MT, 3.500% due 7/25/58 | | | | | 735,512 | | |
| | | 5,849,898 | | | | Series 2019-4, Class MV, 3.000% due 2/25/59 | | | | | 6,309,921 | | |
| | | 831,113 | | | | Series 2020-1, Class MT, 2.500% due 8/25/59 | | | | | 873,890 | | |
| | | 8,221,209 | | | | Series 2020-2, Class MT, 2.000% due 11/25/59 | | | | | 8,410,621 | | |
| | | 8,432,061 | | | | Series 2020-3, Class M5TW, 3.000% due 5/25/60 | | | | | 8,992,545 | | |
| | | 6,723,775 | | | | Seasoned Loans Structured Transaction Trust, Series 2020-2, Class A1D, 1.750% due 9/25/30 | | | | | 6,855,369 | | |
| | | 3,640,000 | | | | SFAVE Commercial Mortgage Securities Trust, Series 2015-5AVE, Class B, 4.534% due 1/5/43(a)(f) | | | | | 3,739,728 | | |
| | | 165,000 | | | | SG Commercial Mortgage Securities Trust, Series 2016-C5, Class B, 3.933% due 10/10/48 | | | | | 173,978 | | |
| | | 1,336,039 | | | | SG Residential Mortgage Trust, Series 2021-1, Class A1, 1.160% due 7/25/61(a)(f) | | | | | 1,335,170 | | |
| | | 795,000 | | | | Soho Trust, Series 2021-SOHO, Class B, 2.786% due 8/10/38(a)(f) | | | | | 770,350 | | |
| | | 1,224,590 | | | | STAR Trust, Series 2021-1, Class A1, 1.219% due 5/25/65(a)(f) | | | | | 1,227,995 | | |
| | | | | | | Starwood Mortgage Residential Trust: | | | |||||
| | | 456,378 | | | | Series 2021-2, Class A1, 0.943% due 5/25/65(a)(f) | | | | | 456,376 | | |
| | | 1,373,082 | | | | Series 2021-3, Class A1, 1.127% due 6/25/56(a)(f) | | | | | 1,374,290 | | |
| | | 4,730,000 | | | | STWD Trust, Series 2021-FLWR, Class D, 1.471% (1-Month USD-LIBOR + 1.375%) due 7/15/36(a)(f) | | | | | 4,724,321 | | |
| | | | | | | Toorak Mortgage Corp. Ltd.: | | | | | | | |
| | | 840,000 | | | | Series 2021-1, Class A1, step bond to yield, 2.240% due 6/25/24(a) | | | | | 840,673 | | |
| | | 646,168 | | | | Series 2021-INV1, Class A1, 1.153% due 7/25/56(a)(f) | | | | | 647,449 | | |
| | | 1,647,940 | | | | Towd Point Mortgage Trust, Series 2021-R1, Class A1, 2.918% due 11/30/60(a)(f) | | | | | 1,683,090 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | | | | | | UBS Commercial Mortgage Trust: | | | |||||
| | $ | 4,839,762 | | | | Series 2017-C1, Class XA, 1.683% due 6/15/50(f)(g) | | | | $ | 347,214 | | |
| | | 1,815,000 | | | | Series 2017-C7, Class A3, 3.418% due 12/15/50 | | | | | 1,992,205 | | |
| | | 4,021,021 | | | | UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class XA, 1.042% due 3/10/46(a)(f)(g) | | | | | 33,898 | | |
| | | | | | | VCAT LLC: | | | |||||
| | | 300,577 | | | | Series 2021-NPL2, Class A1, step bond to yield, 2.115% due 3/27/51(a)(e) | | | | | 301,504 | | |
| | | 908,430 | | | | Series 2021-NPL3, Class A1, step bond to yield, 1.743% due 5/25/51(a) | | | | | 907,613 | | |
| | | 1,335,000 | | | | Series 2021-NPL4, Class A1, step bond to yield, 1.868% due 8/25/51(a) | | | | | 1,335,602 | | |
| | | | | | | Verus Securitization Trust: | | | |||||
| | | 6,400,000 | | | | Series 2019-INV2, Class M1, 3.499% due 7/25/59(a)(f) | | | | | 6,497,457 | | |
| | | 3,814,000 | | | | Series 2021-1, Class B1, 2.977% due 1/25/66(a)(f) | | | | | 3,817,891 | | |
| | | 560,731 | | | | Series 2021-2, Class A1, 1.031% due 2/25/66(a)(f) | | | | | 560,101 | | |
| | | 630,971 | | | | Series 2021-4, Class A1, 0.938% due 7/25/66(a)(f) | | | | | 630,234 | | |
| | | 698,198 | | | | Series 2021-R1, Class A1, 0.820% due 10/25/63(a)(f) | | | | | 698,036 | | |
| | | 722,597 | | | | Series 2021-R2, Class A1, 0.918% due 2/25/64(a)(f) | | | | | 721,103 | | |
| | | 516,435 | | | | VOLT C LLC, Series 2021-NPL9, Class A1, step bond to yield, 1.992% due 5/25/51(a) | | | | | 517,007 | | |
| | | 1,092,055 | | | | VOLT XCIII LLC, Series 2021-NPL2, Class A1, step bond to yield, 1.893% due 2/27/51(a)(e) | | | | | 1,096,112 | | |
| | | 2,376,505 | | | | VOLT XCVII LLC, Series 2021-NPL6, Class A1, step bond to yield, 2.240% due 4/25/51(a)(e) | | | | | 2,378,485 | | |
| | | 291,146 | | | | VOLT XCVIII LLC, Series 2021-NPL7, Class A1, step bond to yield, 2.116% due 4/25/51(a) | | | | | 291,981 | | |
| | | | | | | Wells Fargo Commercial Mortgage Trust: | | | |||||
| | | 1,400,000 | | | | Series 2016-BNK1, Class A3, 2.652% due 8/15/49 | | | | | 1,482,265 | | |
| | | 9,945,806 | | | | Series 2017-C38, Class XA, 1.162% due 7/15/50(f)(g) | | | | | 452,781 | | |
| | | 800,000 | | | | Series 2018-C45, Class ASB, 4.147% due 6/15/51 | | | | | 893,192 | | |
| | | 806,000 | | | | Series 2020-C55, Class AS, 2.937% due 2/15/53 | | | | | 851,377 | | |
| | | 9,306,974 | | | | Series 2020-C58, Class XA, 2.009% due 7/15/53(f)(g) | | | | | 1,263,430 | | |
| | | 4,454,207 | | | | Series 2021-SAVE, Class D, 2.596% (1-Month USD-LIBOR + 2.500%) due 2/15/40(a)(f) | | | | | 4,487,589 | | |
| | | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost – $545,354,858) | | | | | 537,986,481 | | |
| U.S. GOVERNMENT OBLIGATIONS – 22.8% | | ||||||||||||
| | | | | | | U.S. Treasury Bonds: | | ||||||
| | | 6,865,000 | | | | 2.250% due 5/15/41 | | | | | 7,345,550 | | |
| | | 7,785,000 | | | | 3.625% due 2/15/44 | | | | | 10,315,125 | | |
| | | 12,905,000 | | | | 3.375% due 5/15/44 | | | | | 16,508,822 | | |
| | | 1,390,000 | | | | 2.250% due 8/15/46 | | | | | 1,482,956 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| U.S. GOVERNMENT OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 8,500,000 | | | | 3.000% due 2/15/48 | | | | $ | 10,437,402 | | |
| | | 7,800,000 | | | | 3.125% due 5/15/48 | | | | | 9,800,883 | | |
| | | 17,000,000 | | | | 1.875% due 2/15/51 | | | | | 16,782,188 | | |
| | | 41,190,000 | | | | 2.375% due 5/15/51 | | | | | 45,489,206 | | |
| | | | | | | U.S. Treasury Inflation Indexed Bonds: | | | |||||
| | | 1,733,332 | | | | 0.875% due 2/15/47 | | | | | 2,285,989 | | |
| | | 318,517 | | | | 1.000% due 2/15/49 | | | | | 439,152 | | |
| | | 2,421,392 | | | | U.S. Treasury Inflation Indexed Notes, 0.125% due 7/15/30 | | | | | 2,713,724 | | |
| | | | | | | U.S. Treasury Notes: | | | |||||
| | | 50,200,000 | | | | 0.125% due 11/30/22 | | | | | 50,211,766 | | |
| | | 6,760,000 | | | | 0.125% due 4/30/23 | | | | | 6,755,511 | | |
| | | 7,020,000 | | | | 0.130% due 5/31/23 | | | | | 7,013,967 | | |
| | | 55,095,000 | | | | 0.125% due 12/15/23(j) | | | | | 54,914,220 | | |
| | | 14,700,000 | | | | 0.125% due 1/15/24 | | | | | 14,643,727 | | |
| | | 18,525,000 | | | | 0.250% due 5/15/24 | | | | | 18,475,069 | | |
| | | 5,500,000 | | | | 2.125% due 7/31/24 | | | | | 5,778,438 | | |
| | | 15,400,000 | | | | 0.375% due 8/15/24 | | | | | 15,387,969 | | |
| | | 38,120,000 | | | | 0.250% due 8/31/25 | | | | | 37,555,645 | | |
| | | 11,000,000 | | | | 2.250% due 11/15/25 | | | | | 11,730,039 | | |
| | | 17,940,000 | | | | 0.375% due 11/30/25 | | | | | 17,719,955 | | |
| | | 28,750,000 | | | | 0.750% due 4/30/26 | | | | | 28,772,461 | | |
| | | 2,850,000 | | | | 1.625% due 5/15/26 | | | | | 2,966,115 | | |
| | | 16,000,000 | | | | 0.625% due 7/31/26 | | | | | 15,890,000 | | |
| | | 8,540,000 | | | | 0.750% due 8/31/26 | | | | | 8,529,992 | | |
| | | 8,300,000 | | | | 0.500% due 6/30/27 | | | | | 8,107,738 | | |
| | | 3,326,000 | | | | 2.750% due 2/15/28 | | | | | 3,690,561 | | |
| | | 23,890,000 | | | | 1.250% due 4/30/28 | | | | | 24,213,822 | | |
| | | 8,635,000 | | | | 2.875% due 5/15/28 | | | | | 9,667,152 | | |
| | | 16,000,000 | | | | 1.000% due 7/31/28 | | | | | 15,920,000 | | |
| | | 4,800,000 | | | | 0.625% due 5/15/30 | | | | | 4,558,687 | | |
| | | 25,135,000 | | | | 1.625% due 5/15/31 | | | | | 25,916,541 | | |
| | | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost – $507,202,109) | | | | | 512,020,372 | | |
| MORTGAGE-BACKED SECURITIES – 20.2% | | ||||||||||||
| FHLMC – 3.0% | | ||||||||||||
| | | | | | | Federal Home Loan Mortgage Corp. (FHLMC)., Gold: | | | |||||
| | | 12,958,772 | | | | 3.000% due 3/1/35 – 4/1/50 | | | | | 13,752,676 | | |
| | | 3,888,384 | | | | 3.030% due 1/1/50 | | | | | 4,302,392 | | |
| | | 16,449,712 | | | | 3.500% due 12/1/46 – 1/1/48 | | | | | 17,931,118 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
| FHLMC – (continued) | | ||||||||||||
| | $ | 82,577 | | | | 4.000% due 12/1/47 | | | | $ | 88,925 | | |
| | | | | | | Federal Home Loan Mortgage Corp. (FHLMC)., Gold UMBS: | | | |||||
| | | 6,769,393 | | | | 2.000% due 3/1/51 | | | | | 6,866,181 | | |
| | | 6,443,344 | | | | 2.500% due 5/1/51 | | | | | 6,698,011 | | |
| | | 9,988,959 | | | | 3.000% due 2/1/33 – 8/1/51 | | | | | 10,509,571 | | |
| | | 2,951,319 | | | | 3.500% due 8/1/43 – 8/1/51 | | | | | 3,153,428 | | |
| | | 2,427,229 | | | | 4.000% due 10/1/44 – 12/1/47 | | | | | 2,632,555 | | |
| | | 618,119 | | | | 4.500% due 5/1/48 | | | | | 668,817 | | |
| | | | | | | TOTAL FHLMC | | | | | 66,603,674 | | |
| FNMA – 15.1% | | ||||||||||||
| | | | | | | Federal National Mortgage Association (FNMA), UMBS: | | | |||||
| | | 9,705,000 | | | | 1.500% due 9/1/36 – 9/1/51(k) | | | | | 9,829,704 | | |
| | | 15,387,807 | | | | 2.000% due 8/1/50 – 5/1/51 | | | | | 15,647,372 | | |
| | | 133,544,000 | | | | 2.000% due 9/1/51 – 9/1/06(k) | | | | | 135,294,055 | | |
| | | 51,185,953 | | | | 2.500% due 6/1/30 – 8/1/51 | | | | | 53,408,532 | | |
| | | 16,943,000 | | | | 2.500% due 9/1/36 – 10/1/51(k) | | | | | 17,613,388 | | |
| | | 30,711,206 | | | | 3.000% due 2/1/30 – 9/1/51 | | | | | 32,532,928 | | |
| | | 17,495,000 | | | | 3.000% due 9/1/51 – 10/1/51(k) | | | | | 18,297,094 | | |
| | | 6,315,668 | | | | 3.500% due 7/1/32 – 7/1/50 | | | | | 6,754,901 | | |
| | | 5,681,000 | | | | 3.500% due 9/1/51(k) | | | | | 6,009,877 | | |
| | | 1,943,664 | | | | 4.000% due 11/1/38 – 2/1/48 | | | | | 2,115,177 | | |
| | | 435,000 | | | | 4.000% due 9/1/51(k) | | | | | 466,076 | | |
| | | 850,928 | | | | 4.500% due 5/1/48 – 6/1/48 | | | | | 922,929 | | |
| | | 8,519,000 | | | | 4.500% due 9/1/51(k) | | | | | 9,213,133 | | |
| | | | | | | Federal National Mortgage Association (FNMA): | | | |||||
| | | 6,910,227 | | | | 2.000% due 10/1/50 | | | | | 6,948,769 | | |
| | | 1,700,000 | | | | 2.490% due 9/1/28 | | | | | 1,831,262 | | |
| | | 2,991,570 | | | | 2.611% due 5/1/44(f) | | | | | 3,118,702 | | |
| | | 4,443,000 | | | | 2.760% due 9/1/31 | | | | | 4,930,178 | | |
| | | 5,343,477 | | | | 3.000% due 4/1/53 | | | | | 5,760,003 | | |
| | | 8,500,000 | | | | 3.710% due 8/1/30 | | | | | 9,896,627 | | |
| | | | | | | TOTAL FNMA | | | | | 340,590,707 | | |
| GNMA – 2.1% | | ||||||||||||
| | | | | | | Government National Mortgage Association (GNMA): | | | | | | | |
| | | 1,910,000 | | | | 2.000% due 9/1/51 – 10/1/51(k) | | | | | 1,947,948 | | |
| | | 2,040,000 | | | | 2.500% due 9/1/51 – 10/1/51(k) | | | | | 2,113,630 | | |
| | | 13,095,000 | | | | 3.000% due 9/1/51 – 10/1/51(k) | | | | | 13,682,511 | | |
| | | 6,010,000 | | | | 3.500% due 9/1/51(k) | | | | | 6,325,055 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
| GNMA – (continued) | | ||||||||||||
| | $ | 2,385,000 | | | | 4.500% due 9/1/51(k) | | | | $ | 2,541,516 | | |
| | | | | | | Government National Mortgage Association (GNMA) II: | | | | | | | |
| | | 10,927,071 | | | | 2.500% due 6/20/51 – 8/20/51 | | | | | 11,341,865 | | |
| | | 1,462,677 | | | | 3.000% due 4/20/31 – 12/20/50 | | | | | 1,549,058 | | |
| | | 2,837,715 | | | | 3.500% due 8/20/42 – 9/20/50 | | | | | 3,022,776 | | |
| | | 4,153,928 | | | | 4.000% due 10/20/44 – 3/20/49 | | | | | 4,458,242 | | |
| | | 925,585 | | | | 4.500% due 7/20/49 – 8/20/49 | | | | | 985,512 | | |
| | | | | | | TOTAL GNMA | | | | | 47,968,113 | | |
| | | | | | | TOTAL MORTGAGE-BACKED SECURITIES (Cost – $450,834,625) | | | | | 455,162,494 | | |
| ASSET-BACKED SECURITIES – 9.4% | | ||||||||||||
| | | 1,703,862 | | | | Aaset Trust, Series 2019-2, Class A, 3.376% due 10/16/39(a) | | | | | 1,663,993 | | |
| | | 1,706,542 | | | | AASET US Ltd., Series 2018-1A, Class A, 3.844% due 1/16/38(a) | | | | | 1,676,811 | | |
| | | 1,600,000 | | | | AIG CLO, Series 2021-1A, Class A, 1.284% (3-Month USD-LIBOR + 1.100%) due 4/22/34(a)(f) | | | | | 1,601,834 | | |
| | | 3,000,000 | | | | AIMCO, Series 2021-15A, Class A, 1.212% due 10/17/34(a)(e)(f) | | | | | 3,000,294 | | |
| | | 500,000 | | | | Allegro CLO X Ltd., Series 2019-1A, Class AR, 1.338% (3-Month USD-LIBOR + 1.150%) due 7/20/32(a)(f) | | | | | 500,304 | | |
| | | 500,000 | | | | ALM 2020 Ltd., Series 2020-1A, Class A2, 1.976% (3-Month USD-LIBOR + 1.850%) due 10/15/29(a)(f) | | | | | 499,373 | | |
| | | 4,000,000 | | | | AMSR Trust, Series 2020-SFR4, Class E2, 2.456% due 11/17/37(a) | | | | | 4,010,537 | | |
| | | 1,000,000 | | | | Anchorage Capital CLO 4-R Ltd., Series 2014-4RA, Class B, 1.632% (3-Month USD-LIBOR + 1.500%) due 1/28/31(a)(f) | | | | | 997,247 | | |
| | | 500,000 | | | | Apidos CLO XII, Series 2013-12A, Class CR, 1.926% (3-Month USD-LIBOR + 1.800%) due 4/15/31(a)(f) | | | | | 495,000 | | |
| | | 260,000 | | | | Arbor Realty Collateralized Loan Obligation Ltd., Series 2021-FL2, Class A, 1.196% (1-Month USD-LIBOR + 1.100%) due 5/15/36(a)(f) | | | | | 260,080 | | |
| | | 1,611,328 | | | | Asset Backed Securities Corp. Home Equity Loan Trust, Series 2007-HE2, Class A4, 0.314% (1-Month USD-LIBOR + 0.230%) due 5/25/37(f) | | | | | 1,307,079 | | |
| | | 500,000 | | | | Assurant CLO Ltd., Series 2019-5A, Class A1, 1.516% (3-Month USD-LIBOR + 1.390%) due 1/15/33(a)(f) | | | | | 500,812 | | |
| | | 570,000 | | | | Avant Loans Funding Trust, Series 2021-REV1, Class A, 1.210% due 7/15/30(a) | | | | | 571,048 | | |
| | | | | | | Avis Budget Rental Car Funding AESOP LLC: | | | |||||
| | | 5,915,000 | | | | Series 2017-1A, Class A, 3.070% due 9/20/23(a) | | | | | 6,051,887 | | |
| | | 410,000 | | | | Series 2017-2A, Class A, 2.970% due 3/20/24(a) | | | | | 424,225 | | |
| | | 1,440,000 | | | | Bain Capital Credit CLO, Series 2019-1A, Class AR, 1.264% (3-Month USD-LIBOR + 1.130%) due 4/19/34(a)(f) | | | | | 1,439,636 | | |
| Face Amount/Units | | | Security | | | Value | | | | | | | ||||||||||||||||
| ASSET-BACKED SECURITIES – (continued) | | | | | | | ||||||||||||||||||||||
| | | | | | | Bain Capital Credit CLO Ltd.: | | | | | | | | |||||||||||||||
| | $ | 1,660,000 | | | | Series 2017-2A, Class AR2, 1.315% (3-Month USD-LIBOR + 1.180%) due 7/25/34(a)(f) | | | | $ | 1,660,435 | | | | | | | | ||||||||||
| | | 1,000,000 | | | | Series 2019-3A, Class B2, 2.004% (3-Month USD-LIBOR + 1.870%) due 10/21/32(a)(f) | | | | | 1,000,000 | | | | | | | | ||||||||||
| | | 2,000,000 | | | | Series 2020-2A, Class AR, 1.304% (3-Month USD-LIBOR + 1.170%) due 7/19/34(a)(f) | | | | | 2,000,746 | | | | | | | | ||||||||||
| | | 1,000,000 | | | | Battalion CLO XI Ltd., Series 2017-11A, Class AR, 1.275% (3-Month USD-LIBOR + 1.150%) due 4/24/34(a)(f) | | | 999,747 | | ||||||||||||||||||
| | | 1,085,000 | | | | BlueMountain CLO XXIV Ltd., Series 2019-24A, Class AR, 1.234% (3-Month USD-LIBOR + 1.100%) due 4/20/34(a)(f) | | | | | 1,085,708 | | | | | | | | ||||||||||
| | | 2,055,000 | | | | BlueMountain CLO XXXI Ltd., Series 2021-31A, Class A1, 0.000% (3-Month USD-LIBOR + 1.150%) due 4/19/34(a)(f) | | | | | 2,055,660 | | | | | | | | ||||||||||
| | | 775,000 | | | | BSPRT Issuer Ltd., Series 2021-FL6, Class A, 1.196% (1-Month USD-LIBOR + 1.100%) due 3/15/36(a)(f) | | | | | 775,000 | | | | | | | | ||||||||||
| | | 7,600,000 | | | | Capital One Multi-Asset Execution Trust, Series 2019-A3, Class A3, 2.060% due 8/15/28 | | | | | 7,995,056 | | | | | | | | ||||||||||
| | | | | | | Carlyle Global Market Strategies CLO Ltd.: | | | | | | | | |||||||||||||||
| | | 1,973,747 | | | | Series 2014-3RA, Class A1A, 1.179% (3-Month USD-LIBOR + 1.050%) due 7/27/31(a)(f) | | | | | 1,974,306 | | | | | | | | ||||||||||
| | | 1,000,000 | | | | Series 2016-1A, Class A1R2, 1.274% (3-Month USD-LIBOR + 1.140%) due 4/20/34(a)(f) | | | | | 1,000,980 | | | | | | | | ||||||||||
| | | | | | | Carlyle US CLO Ltd.: | | | | | | | | | | | | | ||||||||||
| | | 765,000 | | | | Series 2021-2A, Class A1, 1.252% (3-Month USD-LIBOR + 1.080%) due 4/20/34(a)(f) | | | | | 765,798 | | | | | | | | ||||||||||
| | | 1,537,000 | | | | Series 2021-3SA, Class A1, 1.227% (3-Month USD-LIBOR + 1.060%) due 4/15/34(a)(f) | | | | | 1,538,580 | | | | | | | | ||||||||||
| | | 1,700,000 | | | | Carmax Auto Owner Trust, Series 2021-1, Class C, 0.940% due 12/15/26 | | | | | 1,697,682 | | | | | | | | ||||||||||
| | | 2,017,747 | | | | Carrington Mortgage Loan Trust, Series 2006-NC4, Class A3, 0.244% (1-Month USD-LIBOR + 0.160%) due 10/25/36(f) | | | | | 1,969,201 | | | | | | | | ||||||||||
| | | 1,365,629 | | | | Castlelake Aircraft Securitization Trust, Series 2018-1, Class A, 4.125% due 6/15/43(a) | | | | | 1,364,936 | | | | | | | | ||||||||||
| | | 500,000 | | | | CBAM Ltd., Series 2019-10A, Class A1R, 1.254% (3-Month USD-LIBOR + 1.120%) due 4/20/32(a)(f) | | | | | 499,873 | | | | | | | | ||||||||||
| | | 2,660,000 | | | | Cedar Funding IV CLO Ltd., Series 2014-4A, Class ARR, 1.298% (3-Month USD-LIBOR + 1.160%) due 7/23/34(a)(f) | | | | | 2,661,503 | | | | | | | | ||||||||||
| | | 3,000,000 | | | | Cedar Funding VIII CLO Ltd., Series 2017-8A, Class A1R, 0.000% (3-Month USD-LIBOR + 1.150%) due 10/17/34(a)(e)(f) | | | | | 3,000,000 | | | | | | | | ||||||||||
| | | 114,326 | | | | CF Hippolyta LLC, Series 2021-1A, Class B1, 1.980% due 3/15/61(a) | | | | | 115,359 | | | | | | | | ||||||||||
| | | 6,238,157 | | | | CLI Funding VIII LLC, Series 2021-1A, Class A, 1.640% due 2/18/46(a) | | | | | 6,217,066 | | | | | | | | ||||||||||
| | | 465,000 | | | | Credit Acceptance Auto Loan Trust, Series 2021-3A, Class A, 1.000% due 5/15/30(a) | | | | | 466,958 | | | | | | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 4,994,272 | | | | Credit-Based Asset Servicing & Securitization LLC, Series 2006-CB4, Class AV4, 0.564% (1-Month USD-LIBOR + 0.480%) due 5/25/36(f) | | | | $ | 4,106,954 | | |
| | | 683,288 | | | | Domino’s Pizza Master Issuer LLC, Series 2021-1A, Class A2I, 2.662% due 4/25/51(a) | | | | | 710,154 | | |
| | | 2,000,000 | | | | Dryden 53 CLO Ltd., Series 2017-53A, Class A, 1.246% (3-Month USD-LIBOR + 1.120%) due 1/15/31(a)(f) | | | | | 2,001,459 | | |
| | | 500,000 | | | | Dryden 75 CLO Ltd., Series 2019-75A, Class AR2, 1.166% (3-Month USD-LIBOR + 1.040%) due 4/15/34(a)(f) | | | | | 500,488 | | |
| | | | | | | Exeter Automobile Receivables Trust: | | | |||||
| | | 600,000 | | | | Series 2021-1A, Class D, 1.080% due 11/16/26 | | | | | 600,591 | | |
| | | 900,000 | | | | Series 2021-1A, Class E, 2.210% due 2/15/28(a) | | | | | 900,696 | | |
| | | 6,319,813 | | | | First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A1, 0.224% (1-Month USD-LIBOR + 0.140%) due 3/25/37(f) | | | | | 4,264,760 | | |
| | | 2,685,000 | | | | Ford Credit Auto Lease Trust, Series 2021-A, Class C, 0.780% due 9/15/25 | | | | | 2,681,261 | | |
| | | | | | | Ford Credit Auto Owner Trust: | | | | | | | |
| | | 6,750,000 | | | | Series 2020-1, Class C, 2.540% due 8/15/31(a) | | | | | 7,063,987 | | |
| | | 3,650,000 | | | | Series 2020-2, Class C, 1.740% due 4/15/33(a) | | | | | 3,675,422 | | |
| | | 500,000 | | | | Fort Washington CLO, Series 2019-1A, Class A, 1.554% (3-Month USD-LIBOR + 1.420%) due 10/20/32(a)(f) | | | | | 500,348 | | |
| | | 560,000 | | | | FS RIALTO, Series 2021-FL2, Class A, 1.316% (1-Month USD-LIBOR + 1.220%) due 4/16/28(a)(f) | | | | | 560,693 | | |
| | | | | | | GM Financial Automobile Leasing Trust: | | | | | | | |
| | | 500,000 | | | | Series 2020-1, Class D, 2.280% due 6/20/24 | | | | | 508,263 | | |
| | | 1,000,000 | | | | Series 2020-2, Class D, 3.210% due 12/20/24 | | | | | 1,037,784 | | |
| | | 2,750,000 | | | | GM Financial Consumer Automobile Receivables Trust, Series 2021-1, Class C, 1.040% due 5/17/27 | | | | | 2,750,161 | | |
| | | 785,000 | | | | Greystone CRE Notes Ltd., Series 2019-FL2, Class C, 2.096% (1-Month USD-LIBOR + 2.000%) due 9/15/37(a)(f) | | | | | 782,578 | | |
| | | 1,000,000 | | | | Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class A1, 1.496% (3-Month USD-LIBOR + 1.370%) due 4/15/33(a)(f) | | | | | 1,000,999 | | |
| | | | | | | Halsey Point CLO I Ltd.: | | | | | | | |
| | | 1,000,000 | | | | Series 2019-1A, Class A1A1, 1.484% (3-Month USD-LIBOR + 1.350%) due 1/20/33(a)(f) | | | | | 1,002,508 | | |
| | | 1,000,000 | | | | Series 2019-1A, Class B1, 2.334% (3-Month USD-LIBOR + 2.200%) due 1/20/33(a)(f) | | | | | 1,000,958 | | |
| | | | | | | Home Partners of America Trust: | | | |||||
| | | 1,944,000 | | | | Series 2021-1, Class D, 2.477% due 9/19/41(a) | | | | | 1,947,302 | | |
| | | 888,000 | | | | Series 2021-1, Class E, 2.577% due 9/19/41(a) | | | | | 889,503 | | |
| | | 1,023,000 | | | | Series 2021-1, Class F, 3.325% due 9/19/41(a) | | | | | 1,024,646 | | |
| | | 4,611,105 | | | | Horizon Aircraft Finance III Ltd., Series 2019-2, Class A, 3.425% due 11/15/39(a) | | | | | 4,604,471 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 2,239,679 | | | | Invitation Homes Trust, Series 2018-SFR1, Class C, 1.343% (1-Month USD-LIBOR + 1.250%) due 3/17/37(a)(f) | | | | $ | 2,242,656 | | |
| | | 965,000 | | | | Jimmy Johns Funding LLC, Series 2017-1A, Class A2II, 4.846% due 7/30/47(a) | | | | | 1,046,234 | | |
| | | 4,019,200 | | | | JP Morgan Mortgage Acquisition Corp., Series 2005-WMC1, Class M4, 0.984% (1-Month USD-LIBOR + 0.900%) due 9/25/35(f) | | | | | 3,858,267 | | |
| | | 1,000,000 | | | | LCM XV LP, Series 15A, Class DR, 3.834% (3-Month USD-LIBOR + 3.700%) due 7/20/30(a)(f) | | | | | 992,770 | | |
| | | 1,790,000 | | | | Lendingpoint Asset Securitization Trust, Series 2021-A, Class C, 2.750% due 12/15/28(a)(e) | | | | | 1,795,030 | | |
| | | 500,000 | | | | Madison Park Funding XXXIV Ltd., Series 2019-34A, Class AR, 1.245% (3-Month USD-LIBOR + 1.120%) due 4/25/32(a)(f) | | | | | 500,424 | | |
| | | 1,675,000 | | | | Madison Park Funding XXXVIII Ltd., Series 2021-38A, Class A, 1.254% (3-Month USD-LIBOR + 1.120%) due 7/17/34(a)(f) | | | | | 1,676,236 | | |
| | | 1,000,000 | | | | Marble Point CLO XIV Ltd., Series 2018-2A, Class A1R, 1.414% (3-Month USD-LIBOR + 1.280%) due 1/20/32(a)(f) | | | | | 1,000,760 | | |
| | | 1,000,000 | | | | Marble Point CLO XXI Ltd., Series 2021-3A, Class A1, 0.000% (3-Month USD-LIBOR + 1.240%) due 10/17/34(a)(e)(f) | | | | | 1,000,000 | | |
| | | 1,000,000 | | | | Marble Point CLO XXII Ltd., Series 2021-2A, Class A, 1.325% (3-Month USD-LIBOR + 1.200%) due 7/25/34(a)(f) | | | | | 1,000,566 | | |
| | | 2,000,000 | | | | Marlette Funding Trust, Series 2019-4A, Class C, 3.760% due 12/17/29(a) | | | | | 2,066,130 | | |
| | | 1,965,000 | | | | ME Funding LLC, Series 2019-1, Class A2, 6.448% due 7/30/49(a) | | | | | 2,081,583 | | |
| | | 490,000 | | | | Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A, 1.540% due 3/20/26(a) | | | | | 491,761 | | |
| | | 9,742,654 | | | | Merrill Lynch Mortgage Investors Trust, Series 2006-HE6, Class A1, 0.364% (1-Month USD-LIBOR + 0.280%) due 11/25/37(f) | | | | | 6,531,610 | | |
| | | 1,000,000 | | | | MKS CLO Ltd., Series 2017-1A, Class AR, 1.134% (3-Month USD-LIBOR + 1.000%) due 7/20/30(a)(f) | | | | | 999,022 | | |
| | | 1,000,000 | | | | MP CLO III Ltd., Series 2013-1A, Class AR, 1.384% (3-Month USD-LIBOR + 1.250%) due 10/20/30(a)(f) | | | | | 1,000,800 | | |
| | | 615,000 | | | | Navient Private Education Refi Loan Trust, Series 2021-EA, Class A, 0.970% due 12/16/69(a) | | | | | 615,371 | | |
| | | 4,000,000 | | | | New Century Home Equity Loan Trust, Series 2005-B, Class M2, 0.819% (1-Month USD-LIBOR + 0.735%) due 10/25/35(f) | | | | | 3,864,524 | | |
| | | 988,761 | | | | Northwoods Capital XVI Ltd., Series 2017-16A, Class A, 1.395% (3-Month USD-LIBOR + 1.270%) due 11/15/30(a)(f) | | | | | 989,043 | | |
| | | 1,100,000 | | | | Pagaya AI Debt Selection Trust, Series 2021-1, Class B, 2.130% due 11/15/27(a) | | | | | 1,109,057 | | |
| | | 1,800,000 | | | | PMT Issuer Trust – FMSR, Series 2021-FT1, Class A, 3.084% (1-Month USD-LIBOR + 3.000%) due 3/25/26(a)(f) | | | | | 1,812,709 | | |
| | | 634,812 | | | | PRET LLC, Series 2021-NPL3, Class A1, step bond to yield, 1.868% due 7/25/51(a) | | | | | 634,968 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | | | | | | Pretium Mortgage Credit Partners I LLC: | | | |||||
| | $ | 1,674,661 | | | | Series 2020-NPL3, Class A1, step bond to yield, 3.105% due 6/27/60(a) | | | | $ | 1,690,955 | | |
| | | 833,105 | | | | Series 2021-NPL2, Class A1, 1.992% due 6/27/60(a)(f) | | | | | 833,186 | | |
| | | 2,000,000 | | | | Race Point IX CLO Ltd., Series 2015-9A, Class A1A2, 1.066% (3-Month USD-LIBOR + 0.940%) due 10/15/30(a)(f) | | | | | 2,000,146 | | |
| | | 1,510,000 | | | | Regatta VI Funding Ltd., Series 2016-1A, Class AR2, 1.294% (3-Month USD-LIBOR + 1.160%) due 4/20/34(a)(f) | | | | | 1,510,985 | | |
| | | 1,000,000 | | | | Regatta XI Funding Ltd., Series 2018-1A, Class B, 1.784% (3-Month USD-LIBOR + 1.650%) due 7/17/31(a)(f) | | | | | 996,586 | | |
| | | 1,720,000 | | | | RR 1 LLC, Series 2017-1A, Class A1AB, 1.230% (3-Month USD-LIBOR + 1.150%) due 7/15/35(a)(f) | | | | | 1,722,267 | | |
| | | 1,475,000 | | | | RR 16 Ltd., Series 2021-16A, Class A1, 1.191% (3-Month USD-LIBOR + 1.110%) due 7/15/36(a)(f) | | | | | 1,476,097 | | |
| | | 438,066 | | | | SoFi Consumer Loan Program Trust, Series 2019-1, Class B, 3.450% due 2/25/28(a) | | | | | 439,423 | | |
| | | 1,000,000 | | | | Sofi Professional Loan Program Trust, Series 2018-B, Class BFX, 3.830% due 8/25/47(a) | | | | | 1,042,908 | | |
| | | 1,710,000 | | | | Sound Point CLO XXIX Ltd., Series 2021-1A, Class A, 1.210% (3-Month USD-LIBOR + 1.070%) due 4/25/34(a)(f) | | | | | 1,709,561 | | |
| | | 3,500,000 | | | | STAR Trust, Series 2021-SFR1, Class G, 3.293% (1-Month USD-LIBOR + 3.200%) due 4/17/38(a)(f) | | | | | 3,528,154 | | |
| | | 5,921,953 | | | | Structured Asset Investment Loan Trust, Series 2005-5, Class M5, 1.059% (1-Month USD-LIBOR + 0.975%) due 6/25/35(f) | | | | | 6,038,932 | | |
| | | 944,368 | | | | Sunnova Helios II Issuer LLC, Series 2021-A, Class A, 1.800% due 2/20/48(a) | | | | | 942,328 | | |
| | | 1,955,000 | | | | Symphony CLO XXV Ltd., Series 2021-25A, Class A, 1.165% (3-Month USD-LIBOR + 0.980%) due 4/19/34(a)(f) | | | | | 1,956,451 | | |
| | | 1,720,000 | | | | Thompson Park CLO Ltd., Series 2021-1A, Class A1, 1.199% (3-Month USD-LIBOR + 1.000%) due 4/15/34(a)(f) | | | | | 1,720,831 | | |
| | | 7,318,478 | | | | TIF Funding II LLC, Series 2021-1A, Class A, 1.650% due 2/20/46(a) | | | | | 7,254,373 | | |
| | | 610,000 | | | | Tricolor Auto Securitization Trust, Series 2021-1A, Class A, 0.740% due 4/15/24(a) | | | | | 609,984 | | |
| | | 550,000 | | | | TRTX Issuer Ltd., Series 2021-FL4, Class A, 1.293% (1-Month USD-LIBOR + 1.200%) due 3/15/38(a)(f) | | | | | 550,174 | | |
| | | | | | | Upstart Pass-Through Trust: | | | |||||
| | | 1,356,670 | | | | Series 2021-ST3, Class A, 2.000% due 5/20/27(a)(e) | | | | | 1,362,403 | | |
| | | 1,408,802 | | | | Series 2021-ST4, Class A, 2.000% due 7/20/27(a)(e) | | | | | 1,408,761 | | |
| | | | | | | Upstart Securitization Trust: | | | |||||
| | | 800,000 | | | | Series 2019-3, Class C, 5.381% due 1/21/30(a) | | | | | 832,265 | | |
| | | 1,500,000 | | | | Series 2020-1, Class C, 4.899% due 4/22/30(a) | | | | | 1,556,169 | | |
| | | 475,000 | | | | Series 2021-3, Class A, 0.830% due 7/20/31(a) | | | | | 475,326 | | |
| | | 1,300,000 | | | | US Auto Funding LLC, Series 2019-1A, Class D, 8.060% due 11/15/25(a) | | | | | 1,351,251 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 1,710,000 | | | | Venture 42 CLO Ltd., Series 2021-42A, Class A1A, 1.311% (3-Month USD-LIBOR + 1.130%) due 4/15/34(a)(f) | | | | $ | 1,710,822 | | |
| | | 660,000 | | | | Venture 43 CLO Ltd., Series 2021-43A, Class A1, 1.381% (3-Month USD-LIBOR + 1.240%) due 4/15/34(a)(f) | | | | | 660,856 | | |
| | | 993,913 | | | | Venture XV CLO Ltd., Series 2013-15A, Class A1R2, 1.496% (3-Month USD-LIBOR + 1.370%) due 7/15/32(a)(f) | | | | | 994,149 | | |
| | | 1,439,224 | | | | Vericrest Opportunity Loan Transferee, Series 2021-NP11, Class A1, step bond to yield, 1.868% due 8/25/51(a) | | | | | 1,439,296 | | |
| | | 1,100,000 | | | | VOLT CIII LLC, Series 2021-CF1, Class A1, step bond to yield, 1.992% due 8/25/51(a)(e) | | | | | 1,100,687 | | |
| | | 1,711,218 | | | | VOLT XCIV LLC, Series 2021-NPL3, Class A1, step bond to yield, 2.240% due 2/27/51(a)(e) | | | | | 1,713,691 | | |
| | | 3,393,842 | | | | VOLT XCIX LLC, Series 2021-NPL8, Class A1, step bond to yield, 2.116% due 4/25/51(a) | | | | | 3,403,113 | | |
| | | 741,108 | | | | VOLT XCV LLC, Series 2021-NPL4, Class A1, step bond to yield, 2.240% due 3/27/51(a) | | | | | 742,661 | | |
| | | 1,335,000 | | | | Wellfleet CLO X Ltd., Series 2019-XA, Class A1R, 1.344% (3-Month USD-LIBOR + 1.170%) due 7/20/32(a)(f) | | | | | 1,335,501 | | |
| | | 895,000 | | | | Wendy’s Funding LLC, Series 2021-1A, Class A2I, 2.370% due 6/15/51(a) | | | | | 906,930 | | |
| | | 995,902 | | | | Wind River CLO Ltd., Series 2014-1A, Class ARR, 1.184% (3-Month USD-LIBOR + 1.050%) due 7/18/31(a)(f) | | | | | 993,458 | | |
| | | 997,500 | | | | Wingstop Funding LLC, Series 2020-1A, Class A2, 2.841% due 12/5/50(a) | | | | | 1,031,215 | | |
| | | 4,000,000 | | | | York CLO-6 Ltd., Series 2019-1A, Class A1, 1.488% (3-Month USD-LIBOR + 1.350%) due 7/22/32(a)(f) | | | | | 4,002,108 | | |
| | | | | | | TOTAL ASSET-BACKED SECURITIES (Cost – $210,161,570) | | | | | 210,314,264 | | |
| SOVEREIGN BONDS – 1.8% | | ||||||||||||
| Bermuda – 0.0% | | ||||||||||||
| | | 405,000 | | | | Bermuda Government International Bond, 2.375% due 8/20/30 | | | | | 406,519 | | |
| Brazil – 0.0% | | ||||||||||||
| | | | | | | Brazilian Government International Bond: | | | |||||
| | | 200,000 | | | | 3.750% due 9/12/31 | | | | | 197,000 | | |
| | | 200,000 | | | | 5.000% due 1/27/45 | | | | | 197,336 | | |
| | | 400,000 | | | | 5.625% due 2/21/47 | | | | | 425,964 | | |
| | | | | | | Total Brazil | | | | | 820,300 | | |
| Chile – 0.2% | | ||||||||||||
| | | | | | | Chile Government International Bond: | | | |||||
| | | 200,000 | | | | 2.550% due 1/27/32 | | | | | 205,408 | | |
| | | 470,000 | | | | 2.550% due 7/27/33 | | | | | 478,324 | | |
| | | 1,570,000 | | | | 3.100% due 5/7/41 | | | | | 1,594,068 | | |
| | | 200,000 | | | | 3.500% due 1/25/50 | | | | | 213,606 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SOVEREIGN BONDS – (continued) | | ||||||||||||
| Chile – (continued) | | ||||||||||||
| | $ | 205,000 | | | | 3.500% due 4/15/53 | | | | $ | 219,506 | | |
| | | 800,000 | | | | 3.100% due 1/22/61 | | | | | 778,008 | | |
| | | | | | | Total Chile | | | | | 3,488,920 | | |
| Colombia – 0.1% | | ||||||||||||
| | | | | | | Colombia Government International Bond: | | | |||||
| | | 350,000 | | | | 3.250% due 4/22/32 | | | | | 341,551 | | |
| | | 300,000 | | | | 5.000% due 6/15/45 | | | | | 314,130 | | |
| | | 600,000 | | | | 4.125% due 5/15/51 | | | | | 559,416 | | |
| | | | | | | Total Colombia | | | | | 1,215,097 | | |
| Indonesia – 0.1% | | ||||||||||||
| | | | | | | Indonesia Government International Bond: | | | |||||
| | | 200,000 | | | | 3.375% due 4/15/23 | | | | | 208,922 | | |
| | | 200,000 | | | | 4.350% due 1/11/48 | | | | | 231,856 | | |
| | | 700,000 | | | | 3.700% due 10/30/49 | | | | | 745,673 | | |
| | | | | | | Perusahaan Penerbit SBSN Indonesia III: | | | | | | | |
| | | 300,000 | | | | 2.550% due 6/9/31(a) | | | | | 305,253 | | |
| | | 200,000 | | | | 3.800% due 6/23/50 | | | | | 211,000 | | |
| | | | | | | Total Indonesia | | | | | 1,702,704 | | |
| Mexico – 0.4% | | ||||||||||||
| | | | | | | Mexico Government International Bond: | | | |||||
| | | 1,595,000 | | | | 2.659% due 5/24/31 | | | | | 1,585,255 | | |
| | | 1,155,000 | | | | 4.750% due 4/27/32 | | | | | 1,335,757 | | |
| | | 1,560,000 | | | | 4.280% due 8/14/41 | | | | | 1,669,106 | | |
| | | 1,366,000 | | | | 4.750% due 3/8/44 | | | | | 1,537,419 | | |
| | | 600,000 | | | | 4.600% due 2/10/48 | | | | | 657,114 | | |
| | | 1,190,000 | | | | 3.771% due 5/24/61 | | | | | 1,134,594 | | |
| | | | | | | Total Mexico | | | | | 7,919,245 | | |
| Panama – 0.2% | | ||||||||||||
| | | | | | | Panama Government International Bond: | | | |||||
| | | 620,000 | | | | 2.252% due 9/29/32 | | | | | 604,760 | | |
| | | 1,515,000 | | | | 4.500% due 4/16/50 | | | | | 1,738,205 | | |
| | | 400,000 | | | | 4.300% due 4/29/53 | | | | | 447,988 | | |
| | | 1,625,000 | | | | 3.870% due 7/23/60 | | | | | 1,680,494 | | |
| | | | | | | Total Panama | | | | | 4,471,447 | | |
| Peru – 0.1% | | ||||||||||||
| | | | | | | Peruvian Government International Bond: | | | |||||
| | | 195,000 | | | | 2.392% due 1/23/26 | | | | | 201,655 | | |
| | | 360,000 | | | | 2.783% due 1/23/31 | | | | | 367,773 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SOVEREIGN BONDS – (continued) | | ||||||||||||
| Peru – (continued) | | ||||||||||||
| | $ | 400,000 | | | | 3.300% due 3/11/41 | | | | $ | 405,020 | | |
| | | 300,000 | | | | 3.550% due 3/10/51 | | | | | 310,878 | | |
| | | | | | | Total Peru | | | | | 1,285,326 | | |
| Philippines – 0.2% | | ||||||||||||
| | | | | | | Philippine Government International Bond: | | | | | | | |
| | | 600,000 | | | | 1.648% due 6/10/31 | | | | | 589,895 | | |
| | | 750,000 | | | | 3.700% due 3/1/41 | | | | | 827,831 | | |
| | | 2,335,000 | | | | 3.700% due 2/2/42 | | | | | 2,583,028 | | |
| | | | | | | Total Philippines | | | | | 4,000,754 | | |
| Qatar – 0.0% | | ||||||||||||
| | | 400,000 | | | | Qatar Government International Bond, 3.400% due 4/16/25(a) | | | | | 433,610 | | |
| Romania – 0.1% | | ||||||||||||
| | | 1,228,000 | | | | Romanian Government International Bond, 3.000% due 2/14/31 | | | | | 1,280,595 | | |
| Saudi Arabia – 0.2% | | ||||||||||||
| | | | | | | Saudi Government International Bond: | | | | | | | |
| | | 800,000 | | | | 2.900% due 10/22/25(a) | | | | | 855,664 | | |
| | | 1,129,000 | | | | 2.250% due 2/2/33(a) | | | | | 1,112,277 | | |
| | | 1,955,000 | | | | 4.500% due 10/26/46 | | | | | 2,296,754 | | |
| | | 200,000 | | | | 3.750% due 1/21/55 | | | | | 212,865 | | |
| | | 750,000 | | | | 3.450% due 2/2/61 | | | | | 751,965 | | |
| | | | | | | Total Saudi Arabia | | | | | 5,229,525 | | |
| South Korea – 0.1% | | ||||||||||||
| | | | | | | Korea Development Bank: | | | |||||
| | | 300,000 | | | | 1.000% due 9/9/26 | | | | | 299,261 | | |
| | | 400,000 | | | | 1.625% due 1/19/31 | | | | | 398,014 | | |
| | | 400,000 | | | | Korea Electric Power Corp., 1.125% due 6/15/25(a) | | | | | 399,919 | | |
| | | | | | | Total South Korea | | | | | 1,097,194 | | |
| Thailand – 0.0% | | ||||||||||||
| | | 500,000 | | | | Export Import Bank of Thailand, 0.981% due 5/23/24(f) | | | | | 502,755 | | |
| United Arab Emirates – 0.1% | | ||||||||||||
| | | | | | | Abu Dhabi Government International Bond: | | | |||||
| | | 400,000 | | | | 1.700% due 3/2/31 | | | | | 393,000 | | |
| | | 300,000 | | | | 3.125% due 9/30/49 | | | | | 308,622 | | |
| | | 1,025,000 | | | | Finance Department Government of Sharjah, 3.625% due 3/10/33 | | | | | 1,026,775 | | |
| | | | | | | Total United Arab Emirates | | | | | 1,728,397 | | |
| | | | | | | TOTAL SOVEREIGN BONDS (Cost – $35,118,929) | | | | | 35,582,388 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(f) – 1.1% | | ||||||||||||
| | $ | 80,000 | | | | AAdvantage Loyality IP Ltd., 5.500% (3-Month USD-LIBOR + 0.475%) due 4/20/28 | | | | $ | 82,325 | | |
| | | 152,582 | | | | Acrisure LLC, 3.607% (2-Month USD-LIBOR + 0.350%) due 2/15/27 | | | | | 150,199 | | |
| | | 40,625 | | | | Acuris Finance US Inc., 4.500% (3-Month USD-LIBOR + 0.400%) due 2/16/28 | | | | | 40,600 | | |
| | | 140,000 | | | | ADMI Corp., 4.000% (1-Month USD-LIBOR + 0.350%) due 12/23/27 | | | | | 139,475 | | |
| | | 25,000 | | | | Aegion Corp., 5.500% (3-Month USD-LIBOR + 0.475%) due 5/17/28 | | | | | 25,188 | | |
| | | 165,000 | | | | Air Canada, 4.250% (6-Month USD-LIBOR + 0.350%) due 8/11/28 | | | | | 164,734 | | |
| | | 125,055 | | | | Air Methods Corp., 4.500% (3-Month USD-LIBOR + 0.350%) due 4/22/24 | | | | | 122,814 | | |
| | | 109,725 | | | | AlixPartners LLP, 3.250% (1-Month USD-LIBOR + 0.275%) due 2/4/28 | | | | | 109,024 | | |
| | | 49,214 | | | | Alliance Laundry Systems LLC, 4.250% (3-Month USD-LIBOR + 0.350%) due 10/8/27 | | | | | 49,194 | | |
| | | | | | | Alliant Holdings Intermediate LLC: | | | |||||
| | | 107,800 | | | | 3.335% (1-Month USD-LIBOR + 0.325%) due 5/9/25 | | | | | 106,527 | | |
| | | 24,948 | | | | 4.250% (1-Month USD-LIBOR + 0.375%) due 11/5/27 | | | | | 24,945 | | |
| | | 50,000 | | | | Allied Universal Holdco LLC, 4.250% (3-Month USD-LIBOR + 0.375%) due 5/12/28 | | | | | 49,979 | | |
| | | 15,000 | | | | Alpha 3 BV, 3.000% (3-Month USD-LIBOR + 0.250%) due 3/18/28 | | | | | 14,933 | | |
| | | 204,746 | | | | Alterra Mountain Co., 4.000% (1-Month USD-LIBOR + 0.350%) due 8/17/28 | | | | | 203,595 | | |
| | | 74,499 | | | | Amentum Government Services Holdings LLC, 3.585% (1-Month USD-LIBOR + 0.350%) due 1/29/27 | | | | | 73,816 | | |
| | | | | | | American Airlines Inc.: | | | |||||
| | | 43,779 | | | | 2.096% (1-Month USD-LIBOR + 0.200%) due 12/15/23 | | | | | 42,660 | | |
| | | 54,450 | | | | 1.835% (1-Month USD-LIBOR + 0.175%) due 1/29/27 | | | | | 51,077 | | |
| | | 44,775 | | | | American Residential Services LLC, 4.250% (3-Month USD-LIBOR + 0.350%) due 10/15/27 | | | | | 44,635 | | |
| | | 71,694 | | | | American Tire Distributors Inc., 8.500% (3-Month USD-LIBOR + 0.750%) due 9/2/24 | | | | | 71,605 | | |
| | | 55,000 | | | | American Trailer World Corp., 4.500% (1-Month USD-LIBOR + 0.375%) due 3/3/28 | | | | | 54,352 | | |
| | | 9,950 | | | | AmWINS Group Inc., 3.000% (1-Month USD-LIBOR + 0.225%) due 2/19/28 | | | | | 9,849 | | |
| | | | | | | Asurion LLC: | | | |||||
| | | 239,825 | | | | 3.335% (1-Month USD-LIBOR + 0.325%) due 7/31/27 | | | | | 234,978 | | |
| | | 20,000 | | | | 5.335% (1-Month USD-LIBOR + 0.525%) due 1/31/28 | | | | | 19,893 | | |
| | | 145,284 | | | | athenahealth Inc., 4.377% (3-Month USD-LIBOR + 0.425%) due 2/11/26 | | | | | 145,647 | | |
| | | 75,000 | | | | Atlas Purchaser Inc., 6.000% (3-Month USD-LIBOR + 0.525%) due 5/8/28 | | | | | 73,594 | | |
| | | 35,000 | | | | Autokiniton US Holdings Inc., 5.000% (3-Month USD-LIBOR + 0.450%) due 4/6/28 | | | | | 35,055 | | |
| | | | | | | Avaya Inc.: | | | | | | | |
| | | 85,000 | | | | 4.096% (1-Month USD-LIBOR + 0.400%) due 12/15/27 | | | | | 85,012 | | |
| | | 94,286 | | | | 4.346% (1-Month USD-LIBOR + 0.425%) due 12/15/27 | | | | | 94,337 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(f) – (continued) | | ||||||||||||
| | $ | 120,622 | | | | Aventiv Technologies LLC, 5.500% (3-Month USD-LIBOR + 0.450%) due 11/1/24 | | | | $ | 114,025 | | |
| | | 119,853 | | | | Azalea TopCo Inc., 3.628% (3-Month USD-LIBOR + 0.350%) due 7/24/26 | | | | | 118,535 | | |
| | | 520,000 | | | | Bally’s Corp., due 8/6/28(l) | | | | | 518,794 | | |
| | | 31,736 | | | | Bausch Health Cos. Inc., 3.085% (1-Month USD-LIBOR + 0.300%) due 6/2/25 | | | | | 31,612 | | |
| | | 70,709 | | | | BellRing Brands LLC, 4.750% (1-Month USD-LIBOR + 0.400%) due 10/21/24 | | | | | 70,897 | | |
| | | 141,990 | | | | Blackhawk Network Holdings Inc., 3.085% (1-Month USD-LIBOR + 0.300%) due 6/15/25 | | | | | 140,287 | | |
| | | 99,361 | | | | Brand Energy & Infrastructure Services Inc., 5.250% (3-Month USD-LIBOR + 0.425%) due 6/21/24 | | | | | 97,966 | | |
| | | 77,311 | | | | Brazos Delaware II LLC, 4.088% (1-Month USD-LIBOR + 0.400%) due 5/21/25 | | | | | 75,157 | | |
| | | 151,376 | | | | Bright Bidco BV, 4.500% (3-Month USD-LIBOR + 0.350%) due 6/30/24 | | | | | 121,479 | | |
| | | 114,419 | | | | Brookfield WEC Holdings Inc., 3.250% (1-Month USD-LIBOR + 0.275%) due 8/1/25 | | | | | 113,399 | | |
| | | 14,053 | | | | Brown Group Holdings LLC, 3.250% (3-Month USD-LIBOR + 0.275%) due 6/7/28 | | | | | 13,977 | | |
| | | 113,850 | | | | BY Crown Parent LLC, 4.000% (1-Month USD-LIBOR + 0.300%) due 2/2/26 | | | | | 113,565 | | |
| | | 84,363 | | | | Cablevision Lightpath LLC, 3.750% (1-Month USD-LIBOR + 0.325%) due 11/30/27 | | | | | 84,194 | | |
| | | 99,250 | | | | Caesars Resort Collection LLC, 4.585% (1-Month USD-LIBOR + 0.450%) due 7/21/25 | | | | | 99,384 | | |
| | | 14,738 | | | | Calpine Corp., 2.085% (1-Month USD-LIBOR + 0.200%) due 8/12/26 | | | | | 14,481 | | |
| | | 9,950 | | | | Camelot U.S. Acquisition 1 Co., 4.000% (1-Month USD-LIBOR + 0.300%) due 10/30/26 | | | | | 9,950 | | |
| | | 59,400 | | | | Carnival Corp., 3.750% (3-Month USD-LIBOR + 0.300%) due 6/30/25 | | | | | 58,999 | | |
| | | 370,000 | | | | Cengage Learning Inc., 5.750% (3-Month USD-LIBOR + 0.475%) due 7/14/26 | | | | | 370,821 | | |
| | | 124,375 | | | | Charter Next Generation Inc., 4.500% (1-Month USD-LIBOR + 0.375%) due 12/1/27 | | | | | 124,355 | | |
| | | 202,204 | | | | CHG PPC Parent LLC, 2.835% (1-Month USD-LIBOR + 0.275%) due 3/31/25 | | | | | 200,309 | | |
| | | 64,541 | | | | Cincinnati Bell Inc., 4.250% (1-Month USD-LIBOR + 0.325%) due 10/2/24 | | | | | 64,449 | | |
| | | 37,976 | | | | Clear Channel Outdoor Holdings Inc., 3.628% (3-Month USD-LIBOR + 0.350%) due 8/21/26 | | | | | 37,054 | | |
| | | 41,225 | | | | ClubCorp Holdings Inc., 2.897% (3-Month USD-LIBOR + 0.275%) due 9/18/24 | | | | | 38,614 | | |
| | | 89,775 | | | | CNT Holdings I Corp., 4.500% (3-Month USD-LIBOR + 0.375%) due 11/8/27 | | | | | 89,675 | | |
| | | 120,000 | | | | Cologix Holdings Inc., 4.500% (1-Month USD-LIBOR + 0.375%) due 5/1/28 | | | | | 119,850 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(f) – (continued) | | ||||||||||||
| | $ | 10,000 | | | | Columbus McKinnon Corp., 3.250% (3-Month USD-LIBOR + 0.275%) due 5/14/28 | | | | $ | 9,988 | | |
| | | 174,543 | | | | Compass Power Generation LLC, 4.500% (1-Month USD-LIBOR + 0.350%) due 12/20/24 | | | | | 171,862 | | |
| | | 45,000 | | | | Conair Holdings LLC, 4.250% (3-Month USD-LIBOR + 0.375%) due 5/17/28 | | | | | 44,934 | | |
| | | 64,188 | | | | Connect Finco SARL, 4.500% (1-Month USD-LIBOR + 0.350%) due 12/11/26 | | | | | 64,121 | | |
| | | 99,250 | | | | Conservice Midco LLC, 4.357% (2-Month USD-LIBOR + 0.425%) due 5/13/27 | | | | | 99,126 | | |
| | | | | | | Constant Contact Inc.: | | | |||||
| | | 98,529 | | | | 4.750% (3-Month USD-LIBOR + 0.400%) due 2/10/28 | | | | | 98,037 | | |
| | | 55,000 | | | | CoreLogic Inc., 4.000% (1-Month USD-LIBOR + 0.350%) due 6/2/28 | | | | | 54,742 | | |
| | | 84,541 | | | | Cornerstone Building Brands Inc., 3.750% (1-Month USD-LIBOR + 0.325%) due 4/12/28 | | | | | 84,172 | | |
| | | 139,192 | | | | Cornerstone OnDemand Inc., 0.000% (1-Month USD-LIBOR + 0.325%) due 4/22/27 | | | | | 139,004 | | |
| | | 209,475 | | | | CP Atlas Buyer Inc., 4.250% (2-Month USD-LIBOR + 0.375%) due 11/23/27 | | | | | 208,499 | | |
| | | 160,000 | | | | CQP Holdco LP, 4.250% (3-Month USD-LIBOR + 0.375%) due 6/5/28 | | | | | 158,725 | | |
| | | 15,383 | | | | CSC Holdings LLC, 2.345% (1-Month USD-LIBOR + 0.225%) due 7/17/25 | | | | | 15,147 | | |
| | | 239,075 | | | | Cvent Inc., 3.835% (1-Month USD-LIBOR + 0.375%) due 11/29/24 | | | | | 238,105 | | |
| | | 37,528 | | | | Cyanco Intermediate 2 Corp., 3.585% (1-Month USD-LIBOR + 0.350%) due 3/16/25 | | | | | 37,188 | | |
| | | 101,182 | | | | Cyxtera DC Holdings Inc., 4.000% (3-Month USD-LIBOR + 0.300%) due 5/1/24 | | | | | 99,332 | | |
| | | 148,312 | | | | DCert Buyer Inc., 4.085% (1-Month USD-LIBOR + 0.400%) due 10/16/26 | | | | | 147,982 | �� | |
| | | | | | | DG Investment Intermediate Holdings 2 Inc.: | | | |||||
| | | 22,386 | | | | 4.338% (1-Month USD-LIBOR + 0.375%) due 3/31/28 | | | | | 22,362 | | |
| | | 136,429 | | | | 4.500% (1-Month USD-LIBOR + 0.375%) due 3/31/28 | | | | | 136,283 | | |
| | | 15,000 | | | | 7.500% (1-Month USD-LIBOR + 0.675%) due 3/30/29 | | | | | 14,950 | | |
| | | 68,759 | | | | Dhanani Group Inc., 3.835% (1-Month USD-LIBOR + 0.375%) due 7/20/25 | | | | | 68,158 | | |
| | | 59,073 | | | | Diamond Sports Group LLC, 3.340% (1-Month USD-LIBOR + 0.325%) due 8/24/26 | | | | | 36,748 | | |
| | | 220,000 | | | | DIRECTV Financing LLC, 5.750% (1-Month USD-LIBOR + 0.500%) due 8/2/27 | | | | | 219,875 | | |
| | | 40,000 | | | | DT Midstream Inc., 2.500% (3-Month USD-LIBOR + 0.200%) due 6/26/28 | | | | | 39,950 | | |
| | | | | | | Dynasty Acquisition Co., Inc.: | | | |||||
| | | 108,161 | | | | 3.647% (3-Month USD-LIBOR + 0.350%) due 4/6/26 | | | | | 105,170 | | |
| | | 466 | | | | E.W. Scripps Co., 3.313% (1-Month USD-LIBOR + 0.256%) due 5/1/26 | | | | | 464 | | |
| | | 345,000 | | | | EAB Global Inc., 4.000% (1-Month USD-LIBOR + 0.350%) due 8/16/28 | | | | | 342,485 | | |
| | | 25,000 | | | | Ecovyst Catalyst Technologies LLC, 3.250% (3-Month USD-LIBOR + 0.275%) due 6/9/28 | | | | | 24,951 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(f) – (continued) | | ||||||||||||
| | $ | 75,000 | | | | Edelman Financial Center LLC, 6.835% (1-Month USD-LIBOR + 0.675%) due 7/20/26 | | | | $ | 75,187 | | |
| | | 40,000 | | | | Edelman Financial Engines Center LLC, 4.250% (1-Month USD-LIBOR + 0.350%) due 4/7/28 | | | | | 39,765 | | |
| | | | | | | EG Group Ltd.: | | | | | | | |
| | | 67,806 | | | | 4.147% (3-Month USD-LIBOR + 0.400%) due 2/7/25 | | | | | 67,308 | | |
| | | 39,934 | | | | 4.750% (3-Month USD-LIBOR) due 3/31/26 | | | | | 39,814 | | |
| | | 69,825 | | | | Endo Luxembourg Finance Co. I SARL, 5.750% (3-Month USD-LIBOR + 0.500%) due 3/27/28 | | | | | 67,691 | | |
| | | 150,000 | | | | Endurance International Group Holdings Inc., 4.250% (3-Month USD-LIBOR + 0.350%) due 2/10/28 | | | | | 148,829 | | |
| | | 100,498 | | | | Envision Healthcare Corp., 3.835% (1-Month USD-LIBOR + 0.375%) due 10/10/25 | | | | | 88,125 | | |
| | | 4,987 | | | | eResearchTechnology Inc., 5.500% (1-Month USD-LIBOR + 0.450%) due 2/4/27 | | | | | 5,001 | | |
| | | 68,753 | | | | Excelitas Technologies Corp., 4.500% (3-Month USD-LIBOR + 0.350%) due 12/2/24 | | | | | 68,495 | | |
| | | 87,975 | | | | Exgen Renewables IV LLC, 3.500% (3-Month USD-LIBOR + 0.250%) due 12/15/27 | | | | | 87,676 | | |
| | | 97,933 | | | | Filtration Group Corp., 3.085% (1-Month USD-LIBOR + 0.300%) due 3/31/25 | | | | | 96,966 | | |
| | | 106,514 | | | | First Advantage Holdings LLC, 2.835% (1-Month USD-LIBOR + 0.275%) due 1/31/27 | | | | | 106,034 | | |
| | | | | | | First Student Bidco Inc.: | | | |||||
| | | 345,000 | | | | 3.500% (3-Month USD-LIBOR + 0.300%) due 7/21/28 | | | | | 342,219 | | |
| | | 123,537 | | | | Flex Acquisition Co., Inc., 3.145% (3-Month USD-LIBOR + 0.300%) due 6/29/25 | | | | | 121,854 | | |
| | | 194,246 | | | | Flexential Intermediate Corp., 3.647% (3-Month USD-LIBOR + 0.350%) due 8/1/24 | | | | | 178,803 | | |
| | | 107,527 | | | | Flexera Software LLC, 4.500% (3-Month USD-LIBOR + 0.375%) due 3/3/28 | | | | | 107,443 | | |
| | | 149,766 | | | | Flutter Entertainment PLC, 2.368% (3-Month USD-LIBOR + 0.350%) due 7/21/26 | | | | | 148,884 | | |
| | | 46,042 | | | | Forterra Finance LLC, 4.000% (1-Month USD-LIBOR + 0.300%) due 10/25/23 | | | | | 45,995 | | |
| | | 65,184 | | | | Frontera Generation Holdings LLC, 0.000% (3-Month USD-LIBOR + 0.425%) due 5/2/25(e) | | | | | 30,420 | | |
| | | 119,699 | | | | Gainwell Acquisition Corp., 4.750% (3-Month USD-LIBOR + 0.400%) due 10/1/27 | | | | | 119,998 | | |
| | | 155,000 | | | | Garda World Security Corp., 4.340% (1-Month USD-LIBOR + 0.425%) due 10/30/26 | | | | | 154,502 | | |
| | | 141,678 | | | | Gemini HDPE LLC, 3.500% (3-Month USD-LIBOR + 0.300%) due 12/31/27 | | | | | 141,324 | | |
| | | 121,154 | | | | Getty Images Inc., 4.625% (1-Month USD-LIBOR + 0.450%) due 2/19/26 | | | | | 120,877 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(f) – (continued) | | ||||||||||||
| | $ | 144,275 | | | | Global Medical Response Inc., 5.750% (3-Month USD-LIBOR + 0.475%) due 10/2/25 | | | | $ | 144,786 | | |
| | | 75,000 | | | | Gogo Intermediate Holdings LLC, 4.500% (3-Month USD-LIBOR + 0.375%) due 4/30/28 | | | | | 74,906 | | |
| | | 74,813 | | | | Grab Holdings Inc., 5.500% (3-Month USD-LIBOR + 0.450%) due 1/29/26 | | | | | 75,312 | | |
| | | 131,924 | | | | Graham Packaging Co., Inc., 3.750% (1-Month USD-LIBOR + 0.300%) due 8/4/27 | | | | | 131,281 | | |
| | | 153,412 | | | | Granite US Holdings Corp., 4.147% (3-Month USD-LIBOR + 0.400%) due 9/30/26 | | | | | 153,604 | | |
| | | 109,450 | | | | Great Outdoors Group LLC, 5.000% (3-Month USD-LIBOR + 0.425%) due 3/6/28 | | | | | 109,814 | | |
| | | 24,923 | | | | Greystone Select Financial LLC, 5.750% (6-Month USD-LIBOR + 0.500%) due 6/16/28 | | | | | 24,798 | | |
| | | 31,031 | | | | GTT Communications Inc., 2.900% (3-Month USD-LIBOR + 0.275%) due 5/31/25(d) | | | | | 24,375 | | |
| | | 57,182 | | | | Gulf Finance LLC, 6.250% (1-Month USD-LIBOR + 0.525%) due 8/25/23 | | | | | 48,094 | | |
| | | 128,429 | | | | Helios Software Holdings Inc., 3.917% (3-Month USD-LIBOR + 0.375%) due 3/11/28 | | | | | 127,819 | | |
| | | 58,800 | | | | Hexion Inc., 3.650% (3-Month USD-LIBOR + 0.350%) due 7/1/26 | | | | | 58,702 | | |
| | | 206,928 | | | | H-Food Holdings LLC, 3.772% (1-Month USD-LIBOR + 0.369%) due 5/23/25 | | | | | 204,762 | | |
| | | | | | | HighTower Holding LLC: | | | |||||
| | | 68,000 | | | | 4.750% (3-Month USD-LIBOR + 0.400%) due 4/21/28 | | | | | 67,983 | | |
| | | | | | | Hillman Group Inc.: | | | |||||
| | | 33,249 | | | | due 7/14/28(l) | | | | | 33,048 | | |
| | | 540 | | | | 0.260% (3-Month USD-LIBOR) due 7/14/28 | | | | | 537 | | |
| | | 64,838 | | | | Horizon Therapeutics USA Inc., 2.500% (1-Month USD-LIBOR + 0.200%) due 3/15/28 | | | | | 64,513 | | |
| | | | | | | Hyland Software Inc.: | | | |||||
| | | 10,000 | | | | 7.000% (1-Month USD-LIBOR + 0.525%) due 7/7/25(e)(h) | | | | | 10,129 | | |
| | | 40,125 | | | | 7.000% (1-Month USD-LIBOR + 0.525%) due 7/7/25 | | | | | 40,425 | | |
| | | | | | | Icon Public Co., Ltd.: | | | |||||
| | | 205,000 | | | | 3.000% (3-Month USD-LIBOR + 0.250%) due 7/3/28 | | | | | 204,787 | | |
| | | 95,551 | | | | iHeartCommunications Inc., 3.084% (1-Month USD-LIBOR + 0.300%) due 5/1/26 | | | | | 94,656 | | |
| | | 158,000 | | | | Informatica LLC, 3.335% (1-Month USD-LIBOR + 0.325%) due 2/25/27 | | | | | 156,903 | | |
| | | 120,000 | | | | Ingram Micro Inc., 4.000% (2-Month USD-LIBOR + 0.350%) due 6/30/28 | | | | | 120,180 | | |
| | | 36,839 | | | | Intelsat Jackson Holdings SA, 6.500% (3-Month USD-LIBOR + 0.550%) due 7/13/22 | | | | | 36,989 | | |
| | | 145,000 | | | | ION Trading Finance Ltd., 4.917% (3-Month USD-LIBOR + 0.475%) due 4/1/28 | | | | | 144,964 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(f) – (continued) | | ||||||||||||
| | $ | 119,400 | | | | IRB Holding Corp., 4.250% (3-Month USD-LIBOR + 0.325%) due 12/15/27 | | | | $ | 119,251 | | |
| | | 109,725 | | | | Ivanti Software Inc., 5.750% (3-Month USD-LIBOR + 0.475%) due 12/1/27 | | | | | 109,794 | | |
| | | 145,000 | | | | Jazz Pharmaceuticals PLC, 4.000% (1-Month USD-LIBOR + 0.350%) due 5/5/28 | | | | | 145,000 | | |
| | | 79,201 | | | | KBR Inc., 2.835% (1-Month USD-LIBOR + 0.275%) due 2/5/27 | | | | | 78,745 | | |
| | | 69,800 | | | | Kenan Advantage Group Inc., 4.500% (1-Month USD-LIBOR + 0.375%) due 3/24/26 | | | | | 69,576 | | |
| | | 113,275 | | | | Kestrel Bidco Inc., 4.000% (3-Month USD-LIBOR + 0.300%) due 12/11/26 | | | | | 109,254 | | |
| | | 98,735 | | | | Kindred Healthcare LLC, 4.625% (1-Month USD-LIBOR + 0.450%) due 7/2/25 | | | | | 98,611 | | |
| | | 114,713 | | | | Kleopatra Finco SARL, 5.250% (6-Month USD-LIBOR + 0.475%) due 2/12/26 | | | | | 114,534 | | |
| | | 34,913 | | | | Kodiak BP LLC, 4.000% (3-Month USD-LIBOR + 0.325%) due 3/12/28 | | | | | 34,767 | | |
| | | 109,462 | | | | Kronos Acquisition Holdings Inc., 4.250% (3-Month USD-LIBOR + 0.375%) due 12/22/26 | | | | | 106,658 | | |
| | | | | | | LBM Acquisition LLC: | | | |||||
| | | 85,694 | | | | 4.500% (3-Month USD-LIBOR + 0.375%) due 12/17/27 | | | | | 84,387 | | |
| | | 7,135 | | | | Lealand Finance Co. BV, 1.085% (1-Month USD-LIBOR + 0.100%) due 6/30/25 | | | | | 3,134 | | |
| | | 177,368 | | | | LifePoint Health Inc., 3.835% (1-Month USD-LIBOR + 0.375%) due 11/16/25 | | | | | 176,018 | | |
| | | 34,631 | | | | Lions Gate Capital Holdings LLC, 2.335% (1-Month USD-LIBOR + 0.225%) due 3/24/25 | | | | | 34,224 | | |
| | | 154,225 | | | | LogMeIn Inc., 4.847% (1-Month USD-LIBOR + 0.475%) due 8/31/27 | | | | | 153,622 | | |
| | | 126,868 | | | | Lower Cadence Holdings LLC, 4.085% (1-Month USD-LIBOR + 0.400%) due 5/22/26 | | | | | 126,636 | | |
| | | 131,704 | | | | Lucid Energy Group II Borrower LLC, 4.000% (1-Month USD-LIBOR + 0.300%) due 2/17/25 | | | | | 129,564 | | |
| | | 149,251 | | | | Lummus Technology Holdings V LLC, 3.585% (1-Month USD-LIBOR + 0.350%) due 6/30/27 | | | | | 148,349 | | |
| | | 295,000 | | | | Madison IAQ LLC, 3.750% (3-Month USD-LIBOR + 0.325%) due 6/21/28 | | | | | 292,973 | | |
| | | 36,467 | | | | Maravai Intermediate Holdings LLC, 4.750% (1-Month USD-LIBOR + 0.375%) due 10/19/27 | | | | | 36,535 | | |
| | | 150,000 | | | | Mavis Tire Express Services Topco Corp., 4.750% (1-Month USD-LIBOR + 0.400%) due 5/4/28 | | | | | 149,916 | | |
| | | 163,001 | | | | MED ParentCo LP, 4.335% (1-Month USD-LIBOR + 0.425%) due 8/31/26 | | | | | 162,313 | | |
| | | 130,077 | | | | Messer Industries GmbH, 2.647% (3-Month USD-LIBOR + 0.250%) due 3/2/26 | | | | | 128,939 | | |
| | | 50,000 | | | | Michaels Cos. Inc., 5.000% (1-Month USD-LIBOR + 0.425%) due 4/15/28 | | | | | 50,000 | | |
| | | 110,000 | | | | Mileage Plus Holdings LLC, 6.250% (3-Month USD-LIBOR + 0.525%) due 6/21/27 | | | | | 116,600 | | |
| | | 199,357 | | | | Minotaur Acquisition Inc., 4.835% (1-Month USD-LIBOR + 0.475%) due 3/27/26 | | | | | 198,101 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(f) – (continued) | | ||||||||||||
| | $ | 29,772 | | | | Mirion Technologies Inc., 4.147% (3-Month USD-LIBOR + 0.400%) due 3/6/26 | | | | $ | 29,725 | | |
| | | | | | | Misys Ltd.: | | | |||||
| | | 130,071 | | | | 4.500% (3-Month USD-LIBOR + 0.350%) due 6/13/24 | | | | | 128,430 | | |
| | | 45,000 | | | | 8.250% (3-Month USD-LIBOR + 0.725%) due 6/13/25 | | | | | 45,206 | | |
| | | | | | | Mitchell International Inc.: | | | |||||
| | | 120,905 | | | | 3.335% (1-Month USD-LIBOR + 0.325%) due 11/29/24 | | | | | 119,531 | | |
| | | 30,000 | | | | 7.335% (1-Month USD-LIBOR + 0.725%) due 12/1/25 | | | | | 29,952 | | |
| | | 25,933 | | | | MLN US HoldCo LLC, 4.589% (1-Month USD-LIBOR + 0.450%) due 11/30/25 | | | | | 23,502 | | |
| | | | | | | Motion Acquisition Ltd.: | | | |||||
| | | 39,404 | | | | 3.397% (3-Month USD-LIBOR + 0.325%) due 11/12/26 | | | | | 37,647 | | |
| | | 50,104 | | | | NASCAR Holdings LLC, 2.835% (1-Month USD-LIBOR + 0.275%) due 10/19/26 | | | | | 49,848 | | |
| | | 43,988 | | | | NCR Corp., 2.630% (3-Month USD-LIBOR + 0.250%) due 8/28/26 | | | | | 43,401 | | |
| | | 24,874 | | | | Option Care Health Inc., 3.835% (1-Month USD-LIBOR + 0.375%) due 8/6/26 | | | | | 24,818 | | |
| | | 145,000 | | | | Organon & Co., 3.500% (3-Month USD-LIBOR + 0.300%) due 6/2/28 | | | | | 145,423 | | |
| | | 61,702 | | | | Ortho-Clinical Diagnostics Inc., 3.091% (1-Month USD-LIBOR + 0.300%) due 6/30/25 | | | | | 61,612 | | |
| | | 43,875 | | | | Outcomes Group Holdings Inc., 3.397% (3-Month USD-LIBOR + 0.325%) due 10/24/25 | | | | | 43,118 | | |
| | | 64,838 | | | | Packaging Coordinators Midco Inc., 4.250% (1-Month USD-LIBOR + 0.350%) due 11/30/27 | | | | | 64,740 | | |
| | | 69,825 | | | | Packers Holdings LLC, 4.000% (3-Month USD-LIBOR + 0.325%) due 3/9/28 | | | | | 69,141 | | |
| | | 36,994 | | | | Pactiv Evergreen Inc., 2.835% (1-Month USD-LIBOR + 0.275%) due 2/5/23 | | | | | 36,757 | | |
| | | 69,825 | | | | PAI Holdco Inc., 4.500% (3-Month USD-LIBOR + 0.375%) due 10/28/27 | | | | | 69,738 | | |
| | | 74,813 | | | | Park River Holdings Inc., 4.000% (3-Month USD-LIBOR + 0.325%) due 12/28/27 | | | | | 74,308 | | |
| | | 227,361 | | | | Pathway Vet Alliance LLC, 3.835% (1-Month USD-LIBOR + 0.375%) due 3/31/27 | | | | | 225,833 | | |
| | | 47,036 | | | | PCI Gaming Authority, 2.585% (1-Month USD-LIBOR + 0.250%) due 5/29/26 | | | | | 46,657 | | |
| | | 124,688 | | | | Peraton Corp., 4.500% (1-Month USD-LIBOR + 0.375%) due 2/1/28 | | | | | 124,661 | | |
| | | 144,638 | | | | Petco Health and Wellness Co., Inc., 4.000% (3-Month USD-LIBOR + 0.325%) due 3/3/28 | | | | | 144,276 | | |
| | | 75,000 | | | | PetSmart LLC, 4.500% (3-Month USD-LIBOR + 0.375%) due 2/11/28 | | | | | 75,062 | | |
| | | 4,975 | | | | PetVet Care Centers LLC, 4.250% (1-Month USD-LIBOR + 0.350%) due 2/14/25 | | | | | 4,966 | | |
| | | 128,700 | | | | PG&E Corp., 3.500% (3-Month USD-LIBOR + 0.300%) due 6/23/25 | | | | | 123,123 | | |
| | | 99,325 | | | | Phoenix Services International LLC, due 3/1/25(l) | | | | | 98,828 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(f) – (continued) | | ||||||||||||
| | $ | 39,790 | | | | Playa Resorts Holding BV, 3.750% (1-Month USD-LIBOR + 0.275%) due 4/29/24 | | | | $ | 38,204 | | |
| | | 94,763 | | | | Playtika Holding Corp., 2.835% (1-Month USD-LIBOR + 0.275%) due 3/13/28 | | | | | 94,365 | | |
| | | 144,638 | | | | PODS LLC, 3.750% (1-Month USD-LIBOR + 0.300%) due 3/31/28 | | | | | 144,050 | | |
| | | 675,000 | | | | Polaris Newco LLC, 4.500% (3-Month USD-LIBOR + 0.400%) due 6/2/28 | | | | | 674,190 | | |
| | | 77,411 | | | | PowerTeam Services LLC, 4.250% (3-Month USD-LIBOR + 0.325%) due 3/6/25 | | | | | 76,676 | | |
| | | 54,113 | | | | Prairie ECI Acquiror LP, 4.835% (1-Month USD-LIBOR + 0.475%) due 3/11/26 | | | | | 52,219 | | |
| | | 142,825 | | | | Pregis TopCo LLC, 4.085% (1-Month USD-LIBOR + 0.400%) due 7/31/26 | | | | | 142,586 | | |
| | | 24,750 | | | | Presidio Holdings Inc., 3.628% (3-Month USD-LIBOR + 0.350%) due 1/22/27 | | | | | 24,637 | | |
| | | 285,000 | | | | Proofpoint Inc., due 8/31/28(l) | | | | | 283,179 | | |
| | | 133,682 | | | | Pug LLC, 3.585% (1-Month USD-LIBOR + 0.350%) due 2/12/27 | | | | | 129,448 | | |
| | | 154,613 | | | | Rackspace Technology Global Inc., 3.500% (3-Month USD-LIBOR + 0.275%) due 2/15/28 | | | | | 152,889 | | |
| | | 85,000 | | | | Redstone Holdco 2 LP, due 4/27/28(l) | | | | | 84,681 | | |
| | | | | | | Renaissance Holding Corp.: | | | |||||
| | | 184,943 | | | | 3.335% (1-Month USD-LIBOR + 0.325%) due 5/30/25 | | | | | 182,285 | | |
| | | 35,000 | | | | 7.085% (1-Month USD-LIBOR + 0.700%) due 5/29/26 | | | | | 35,007 | | |
| | | 39,900 | | | | Rent-A-Center Inc., 4.750% (1-Month USD-LIBOR + 0.400%) due 2/17/28 | | | | | 40,037 | | |
| | | 43,314 | | | | Reynolds Consumer Products LLC, 1.835% (1-Month USD-LIBOR + 0.175%) due 2/4/27 | | | | | 42,997 | | |
| | | 59,700 | | | | Riverbed Technology Inc., 7.000% (2-Month USD-LIBOR + 0.600%) due 12/31/25 | | | | | 53,002 | | |
| | | 89,077 | | | | Sabre GLBL Inc., 2.085% (1-Month USD-LIBOR + 0.200%) due 2/22/24 | | | | | 87,611 | | |
| | | 69,429 | | | | Schenectady International Group Inc., 4.874% (3-Month USD-LIBOR + 0.475%) due 10/15/25 | | | | | 69,342 | | |
| | | 172,565 | | | | Scientific Games International Inc., 2.835% (1-Month USD-LIBOR + 0.275%) due 8/14/24 | | | | | 170,917 | | |
| | | 41,220 | | | | SCIH Salt Holdings Inc., 4.750% (3-Month USD-LIBOR + 0.400%) due 3/16/27 | | | | | 41,264 | | |
| | | 142,974 | | | | Sedgwick Claims Management Services Inc., 3.335% (1-Month USD-LIBOR + 0.325%) due 12/31/25 | | | | | 141,115 | | |
| | | 206,325 | | | | Sinclair Television Group Inc., 2.590% (1-Month USD-LIBOR + 0.250%) due 9/30/26 | | | | | 201,889 | | |
| | | 177,787 | | | | SIWF Holdings Inc., 4.335% (1-Month USD-LIBOR + 0.425%) due 6/15/25 | | | | | 177,750 | | |
| | | 86,819 | | | | Six Flags Theme Parks Inc., 1.840% (1-Month USD-LIBOR + 0.175%) due 4/17/26 | | | | | 84,371 | | |
| | | 90,000 | | | | SkyMiles IP Ltd., 4.750% (3-Month USD-LIBOR + 0.375%) due 10/20/27 | | | | | 95,383 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(f) – (continued) | | ||||||||||||
| | $ | 19,700 | | | | SMG US Midco 2 Inc., 2.616% (3-Month USD-LIBOR + 0.250%) due 1/23/25 | | | | $ | 18,493 | | |
| | | 73,947 | | | | SolarWinds Holdings Inc., 2.835% (1-Month USD-LIBOR + 0.275%) due 2/5/24 | | | | | 72,914 | | |
| | | | | | | Solenis Holdings LLC: | | | |||||
| | | 118,179 | | | | 4.085% (1-Month USD-LIBOR + 0.400%) due 6/26/25 | | | | | 118,010 | | |
| | | 5,000 | | | | 8.585% (1-Month USD-LIBOR + 0.850%) due 6/26/26 | | | | | 4,983 | | |
| | | | | | | Southern Veterinary Partners LLC: | | | |||||
| | | 139,903 | | | | 5.000% (3-Month USD-LIBOR + 0.400%) due 10/5/27 | | | | | 140,078 | | |
| | | 109,725 | | | | Spin Holdco Inc., 4.750% (3-Month USD-LIBOR + 0.400%) due 3/4/28 | | | | | 109,780 | | |
| | | 65,000 | | | | SRS Distribution Inc., 4.250% (3-Month USD-LIBOR + 0.375%) due 6/2/28 | | | | | 64,756 | | |
| | | 49,791 | | | | Staples Inc., 5.126% (3-Month USD-LIBOR + 0.500%) due 4/16/26 | | | | | 46,983 | | |
| | | 34,563 | | | | Sunshine Luxembourg VII SARL, 4.500% (3-Month USD-LIBOR + 0.375%) due 10/1/26 | | | | | 34,581 | | |
| | | 31,428 | | | | Syncreon Group BV, 6.000% (1-Month USD-LIBOR + 0.500%) due 10/1/24 | | | | | 31,663 | | |
| | | 143,121 | | | | TAMKO Building Products LLC, 3.108% (3-Month USD-LIBOR + 0.300%) due 5/29/26 | | | | | 142,047 | | |
| | | 63,909 | | | | Team Health Holdings Inc., 3.750% (1-Month USD-LIBOR + 0.275%) due 2/6/24 | | | | | 62,063 | | |
| | | 79,400 | | | | Tech Data Corp., 5.584% (1-Month USD-LIBOR + 0.550%) due 6/30/25 | | | | | 79,400 | | |
| | | 50,000 | | | | Tecta America Corp., 5.000% (1-Month USD-LIBOR + 0.425%) due 4/6/28 | | | | | 50,000 | | |
| | | 130,181 | | | | Telesat Canada, 2.860% (2-Month USD-LIBOR + 0.275%) due 12/7/26 | | | | | 120,082 | | |
| | | 142,832 | | | | Terrier Media Buyer Inc., 3.585% (1-Month USD-LIBOR + 0.350%) due 12/17/26 | | | | | 141,917 | | |
| | | 15,000 | | | | TIBCO Software Inc., 7.340% (1-Month USD-LIBOR + 0.725%) due 3/3/28 | | | | | 15,122 | | |
| | | 50,000 | | | | Tiger Acquisition LLC, 3.750% (3-Month USD-LIBOR + 0.325%) due 6/1/28 | | | | | 49,667 | | |
| | | 196,220 | | | | Titan Acquisition Ltd., 3.167% (3-Month USD-LIBOR + 0.300%) due 3/28/25 | | | | | 191,825 | | |
| | | 34,631 | | | | Trans Union LLC, 1.835% (1-Month USD-LIBOR + 0.175%) due 11/16/26 | | | | | 34,268 | | |
| | | 191,523 | | | | TransDigm Inc., 2.335% (1-Month USD-LIBOR + 0.225%) due 12/9/25 | | | | | 188,376 | | |
| | | 103,864 | | | | Travel Leaders Group LLC, 4.085% (1-Month USD-LIBOR + 0.400%) due 1/25/24 | | | | | 96,074 | | |
| | | | | | | Travelport Finance (Luxembourg) SARL: | | | |||||
| | | 81,409 | | | | due 2/28/25(l) | | | | | 82,936 | | |
| | | 29,713 | | | | 5.147% (3-Month USD-LIBOR + 0.500%) due 5/29/26 | | | | | 24,736 | | |
| | | 73,788 | | | | Traverse Midstream Partners LLC, 6.500% (1-Month USD-LIBOR + 0.550%) due 9/27/24 | | | | | 73,777 | | |
| | | | | | | Tricorbraun Holdings Inc.: | | | |||||
| | | 2,066 | | | | 3.325% (3-Month USD-LIBOR + 0.325%) due 3/3/28 | | | | | 2,045 | | |
| | | 61,228 | | | | 3.750% (3-Month USD-LIBOR + 0.325%) due 3/3/28 | | | | | 60,624 | | |
| | | 135,000 | | | | Triton Water Holdings Inc., 4.000% (3-Month USD-LIBOR + 0.350%) due 3/31/28 | | | | | 134,002 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(f) – (continued) | | ||||||||||||
| | $ | 39,900 | | | | Truck Hero Inc., 4.000% (1-Month USD-LIBOR + 0.325%) due 1/31/28 | | | | $ | 39,710 | | |
| | | 44,767 | | | | U.S. Silica Co., 5.000% (1-Month USD-LIBOR + 0.400%) due 5/1/25 | | | | | 43,102 | | |
| | | 9,794 | | | | Uber Technologies Inc., 3.585% (1-Month USD-LIBOR + 0.350%) due 2/25/27 | | | | | 9,760 | | |
| | | 63,663 | | | | UGI Energy Services LLC, 3.835% (1-Month USD-LIBOR + 0.375%) due 8/13/26 | | | | | 63,663 | | |
| | | | | | | UKG Inc.: | | | |||||
| | | 213,465 | | | | 4.000% (3-Month USD-LIBOR + 0.325%) due 5/4/26 | | | | | 213,465 | | |
| | | 20,000 | | | | 7.500% (3-Month USD-LIBOR + 0.675%) due 5/3/27 | | | | | 20,288 | | |
| | | 37,907 | | | | Ultra Clean Holdings Inc., 3.835% (1-Month USD-LIBOR + 0.375%) due 8/27/25 | | | | | 37,907 | | |
| | | 54,863 | | | | United AirLines Inc., 4.500% (3-Month USD-LIBOR + 0.375%) due 4/21/28 | | | | | 54,918 | | |
| | | 36,273 | | | | United Natural Foods Inc., 3.585% (1-Month USD-LIBOR + 0.350%) due 10/22/25 | | | | | 36,114 | | |
| | | 29,550 | | | | Univar Solutions USA Inc., 2.085% (1-Month USD-LIBOR + 0.200%) due 7/1/26 | | | | | 29,312 | | |
| | | 54,313 | | | | Upstream Newco Inc., 4.593% (1-Month USD-LIBOR + 0.450%) due 11/20/26(e) | | | | | 54,109 | | |
| | | 206,325 | | | | US Foods Inc., 2.085% (1-Month USD-LIBOR + 0.200%) due 9/13/26 | | | | | 202,027 | | |
| | | 89,329 | | | | Vantage Specialty Chemicals Inc., 4.500% (3-Month USD-LIBOR + 0.350%) due 10/28/24 | | | | | 86,761 | | |
| | | 5,000 | | | | Verscend Holding Corp., 4.085% (1-Month USD-LIBOR + 0.400%) due 8/27/25 | | | | | 4,989 | | |
| | | 29,925 | | | | Virtusa Corp., 4.750% (1-Month USD-LIBOR + 0.400%) due 2/11/28 | | | | | 30,028 | | |
| | | 325,000 | | | | W.R. Grace Holdings LLC, due 8/11/28(l) | | | | | 325,543 | | |
| | | 166,761 | | | | Wand Newco 3 Inc., 3.085% (1-Month USD-LIBOR + 0.300%) due 2/5/26 | | | | | 164,706 | | |
| | | 39,797 | | | | WaterBridge Midstream Operating LLC, 6.750% (3-Month USD-LIBOR + 0.575%) due 6/22/26 | | | | | 38,340 | | |
| | | 250,000 | | | | Whatabrands LLC, 3.750% (1-Month USD-LIBOR + 0.325%) due 8/3/28 | | | | | 249,140 | | |
| | | 35,000 | | | | Wheel Pros Inc., 5.250% (1-Month USD-LIBOR + 0.450%) due 5/11/28 | | | | | 35,000 | | |
| | | 105,000 | | | | WIN Waste Innovations Holdings Inc., 3.250% (3-Month USD-LIBOR + 0.275%) due 3/24/28 | | | | | 104,625 | | |
| | | 70,000 | | | | Zebra Buyer LLC, due 4/21/28(l) | | | | | 70,088 | | |
| | | 173,302 | | | | Zelis Cost Management Buyer Inc., 3.596% (1-Month USD-LIBOR + 0.350%) due 9/30/26 | | | | | 172,292 | | |
| | | 20,000 | | | | Ziggo Financing Partnership, 2.596% (1-Month USD-LIBOR + 0.250%) due 4/30/28 | | | | | 19,781 | | |
| | | | | | | TOTAL SENIOR LOANS (Cost – $24,863,640) | | | | | 24,935,575 | | |
| Face Amount/Units | | | | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – 0.1%†† | | | ||||||||||||||
| California – 0.0% | | | ||||||||||||||
| | $ | 140,000 | | | | AA- | | | Regents of the University of California Medical Center Pooled Revenue, Revenue Bonds, Series H, 6.548% due 5/15/48 | | | | $ | 218,430 | | |
| | | 360,000 | | | | AA- | | | State of California, GO, 7.300% due 10/1/39 | | | | | 582,747 | | |
| | | | | | | | | | Total California | | | | | 801,177 | | |
| New York – 0.1% | | | ||||||||||||||
| | | 680,000 | | | | BBB+ | | | Metropolitan Transportation Authority, Revenue Bonds, 6.814% due 11/15/40 | | | | | 1,000,866 | | |
| | | 200,000 | | | | A | | | New York State Thruway Authority, Revenue Bonds, Series M, 2.900% due 1/1/35 | | | | | 214,982 | | |
| | | | | | | | | | Total New York | | | | | 1,215,848 | | |
| | | | | | | | | | TOTAL MUNICIPAL BONDS (Cost – $1,962,251) | | | | | 2,017,025 | | |
| Shares/Units | | | | | | Security | | | Value | | | ||||||||
| EXCHANGE TRADED FUND (ETF) – 1.3% | | | |||||||||||||||||
| | | 256,191 | | | | | | | iShares Core U.S. Aggregate Bond (Cost – $29,999,966) | | | | | 29,733,528 | | | | ||
| COMMON STOCKS – 0.0% | | | |||||||||||||||||
| DIVERSIFIED – 0.0% | | | |||||||||||||||||
| SPACs – 0.0% | | ||||||||||||||||||
| | | 1,640 | | | | | | | Foresight Energy LLC/Foresight Energy Finance Corp.*(e)(h) | | | | | 35,696 | | | | ||
| ENERGY – 0.0% | | | |||||||||||||||||
| Oil & Gas – 0.0% | | | |||||||||||||||||
| | | 1,922 | | | | | | | Gulfport Energy Operating Corp.* | | | | | 128,505 | | | | ||
| | | 1,842 | | | | | | | Tapstone Energy LLC/Tapstone Energy Finance Corp.*(e)(h) | | | | | 7,884 | | | | ||
| | | | | | | | | | TOTAL ENERGY | | | | | 136,389 | | | | ||
| INDUSTRIAL – 0.0% | | | | ||||||||||||||||
| Engineering & Construction – 0.0% | | | | ||||||||||||||||
| | | 3,092 | | | | | | | Mcdermott International Ltd.* | | | | | 1,391 | | | | ||
| | | | | | | | | | TOTAL COMMON STOCKS (Cost – $24,301) | | | | | 173,476 | | | | ||
| | | | | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $2,387,602,892) | | | | | 2,389,520,129 | | | |
| Face Amount | | | Security | | | Value | | | ||||||||
| SHORT-TERM INVESTMENTS – 4.6% | | | ||||||||||||||
| TIME DEPOSITS – 4.5% | | | ||||||||||||||
| | $ | 12,916,505 | | | | BNP Paribas – Paris, 0.005% due 9/1/21 | | | | $ | 12,916,505 | | | | ||
| | | 11,401,141 | | | | Royal Bank of Canada Toronto, 0.005% due 9/1/21 | | | | | 11,401,141 | | | | ||
| | | 76,303,381 | | | | Skandinaviska Enskilda Banken AB – Stockholm, 0.005% due 9/1/21 | | | | | 76,303,381 | | | | ||
| | | | | | | TOTAL TIME DEPOSITS (Cost – $100,621,027) | | | | | 100,621,027 | | | | ||
| U.S. GOVERNMENT OBLIGATIONS – 0.1% | | |||||||||||||||
| | | | | | | U.S. Treasury Bills: | | | | |||||||
| | | 2,900,000 | | | | 0.044% due 9/23/21(m) | | | | | 2,899,922 | | | | ||
| | | 570,000 | | | | 0.050% due 5/19/22(m) | | | | | 569,773 | | | | ||
| | | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost – $3,469,716) | | | | | 3,469,695 | | | | ||
| | | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost – $104,090,743) | | | | | 104,090,722 | | | | ||
| | | | | | | TOTAL INVESTMENTS – 110.9% (Cost – $2,491,693,635) | | | | | 2,493,610,851 | | | | ||
| | | | | | | Liabilities in Excess of Other Assets – (10.9)% | | | | | (245,196,534) | | | | ||
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 2,248,414,317 | | | |
| Corporate Bonds & Notes | | | | | 23.3% | | |
| Collateralized Mortgage Obligations | | | | | 21.6 | | |
| U.S. Government Obligations | | | | | 20.5 | | |
| Mortgage-Backed Securities | | | | | 18.3 | | |
| Asset-Backed Securities | | | | | 8.4 | | |
| Sovereign Bonds | | | | | 1.4 | | |
| Exchange Traded Fund (ETF) | | | | | 1.2 | | |
| Senior Loans | | | | | 1.0 | | |
| Municipal Bonds | | | | | 0.1 | | |
| Common Stocks | | | | | 0.0* | | |
| Short-Term Investments | | | | | 4.2 | | |
| | | | | | 100.0% | | |
Open Futures Contracts | | | Number of Contracts | | | Expiration Date (Month/Year) | | | Notional Amounts | | | Market Value | | | Unrealized Appreciation/ (Depreciation) | | |||||||||||||||
Contracts to Buy: | | | | | | | | �� | | | | | | | | | | | | | | | | | | | | | | | |
U.S. 10 Year Ultra | | | | | 12 | | | | | | 12/21 | | | | | $ | 1,774,840 | | | | | $ | 1,776,188 | | | | | $ | 1,348 | | |
U.S. 2 Year Note (CBT) | | | | | 1 | | | | | | 12/21 | | | | | | 220,187 | | | | | | 220,328 | | | | | | 141 | | |
U.S. Ultra Bond (CBT) | | | | | 30 | | | | | | 12/21 | | | | | | 5,941,292 | | | | | | 5,918,437 | | | | | | (22,855) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | (21,366) | | |
Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
U.S. 10 Year Note (CBT) | | | | | 21 | | | | | | 12/21 | | | | | $ | 2,802,299 | | | | | $ | 2,802,516 | | | | | $ | (217) | | |
U.S. 10 Year Ultra | | | | | 151 | | | | | | 12/21 | | | | | | 22,332,937 | | | | | | 22,350,359 | | | | | | (17,422) | | |
U.S. 2 Year Note (CBT) | | | | | 143 | | | | | | 12/21 | | | | | | 31,483,469 | | | | | | 31,506,922 | | | | | | (23,453) | | |
U.S. 5 Year Note (CBT) | | | | | 551 | | | | | | 12/21 | | | | | | 68,033,375 | | | | | | 68,169,031 | | | | | | (135,656) | | |
U.S. Long Bond (CBT) | | | | | 124 | | | | | | 12/21 | | | | | | 20,268,813 | | | | | | 20,208,125 | | | | | | 60,688 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | (116,060) | | |
Net Unrealized Depreciation on Open Exchange Traded Futures Contracts | | | | $ | (137,426) | | |
| Face Amounts | | | Security | | | Value | | ||||||
| | | | | | | Federal National Mortgage Association: | | | | | | | |
| | $ | 326,000 | | | | 1.500% due 9/1/36(a) (Proceeds – $331,183) | | | | $ | 331,217 | | |
| | | 1,700,000 | | | | 3.500% due 9/1/43(a) (Proceeds – $1,814,551) | | | | | 1,814,557 | | |
| | | | | | | Government National Mortgage Association: | | | | | | | |
| | | 1,275,000 | | | | 4.000% due 9/1/51(a) (Proceeds – $1,349,508) | | | | | 1,349,906 | | |
| | | | | | | TOTAL OPEN FORWARD SALE COMMITMENTS (Proceeds – $3,495,241) | | | | $ | 3,495,680 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – 47.3% | | ||||||||||||
| Basic Materials – 1.5% | | ||||||||||||
| | $ | 8,000,000 | | | | Copper Mountain Mining Corp., Senior Secured Notes, 8.000% due 4/9/26(a) | | | | $ | 8,366,666 | | |
| | | | | | | Glencore Funding LLC, Company Guaranteed Notes: | | | | | | | |
| | | 80,000 | | | | 4.125% due 5/30/23(a) | | | | | 84,601 | | |
| | | 15,000 | | | | 4.125% due 3/12/24(a) | | | | | 16,128 | | |
| | | 15,000 | | | | 4.000% due 4/16/25(a) | | | | | 16,386 | | |
| | | 200,000 | | | | POSCO, Senior Unsecured Notes, 2.375% due 11/12/22 | | | | | 203,922 | | |
| | | | | | | Total Basic Materials | | | | | 8,687,703 | | |
| Communications – 16.2% | | ||||||||||||
| | | 125,000 | | | | AT&T Inc., Senior Unsecured Notes, 4.450% due 4/1/24 | | | | | 136,001 | | |
| | | 200,000 | | | | Baidu Inc., Senior Unsecured Notes, 3.075% due 4/7/25 | | | | | 211,794 | | |
| | | 7,116,000 | | | | CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes, 4.000% due 3/1/23(a) | | | | | 7,159,052 | | |
| | | 7,701,000 | | | | Cengage Learning Inc., Senior Unsecured Notes, 9.500% due 6/15/24(a) | | | | | 7,912,778 | | |
| | | 1,032,000EUR | | | | CentralNic Group PLC, Senior Secured Notes, 7.000% (3-Month EURIBOR + 7.000)% due 7/3/23(b) | | | | | 1,258,136 | | |
| | | 835,000 | | | | Cogent Communications Group Inc., Senior Secured Notes, 5.375% due 3/1/22(a) | | | | | 843,350 | | |
| | | 15,164,000 | | | | CSC Holdings LLC, Senior Unsecured Notes, 6.750% due 11/15/21 | | | | | 15,321,706 | | |
| | | 6,502,000 | | | | DISH Network Corp., Senior Unsecured Notes, 2.375% due 3/15/24 | | | | | 6,306,940 | | |
| | | 9,404,000 | | | | HC2 Holdings Inc., Senior Secured Notes, 8.500% due 2/1/26(a) | | | | | 9,356,980 | | |
| | | 10,578,000EUR | | | | Linkem SpA, Senior Secured Notes, 6.000% (3-Month EURIBOR + 6.000)% due 8/9/22(a)(b) | | | | | 12,488,724 | | |
| | | 6,652,000 | | | | Lumen Technologies Inc., Senior Unsecured Notes, 5.800% due 3/15/22 | | | | | 6,801,670 | | |
| | | 3,470,000 | | | | Meredith Corp., Senior Secured Notes, 6.500% due 7/1/25(a) | | | | | 3,738,925 | | |
| | | 180,000 | | | | Millicom International Cellular SA, Senior Unsecured Notes, 5.125% due 1/15/28 | | | | | 187,650 | | |
| | | 442,000 | | | | NortonLifeLock Inc., Senior Unsecured Notes, 5.000% due 4/15/25(a) | | | | | 446,827 | | |
| | | 125,000 | | | | Omnicom Group Inc./Omnicom Capital Inc., Senior Unsecured Notes, 3.650% due 11/1/24 | | | | | 135,558 | | |
| | | 200,000 | | | | Sable International Finance Ltd., Senior Secured Notes, 5.750% due 9/7/27 | | | | | 209,920 | | |
| | | 200,000 | | | | SingTel Group Treasury Pte Ltd., Company Guaranteed Notes, 3.250% due 6/30/25 | | | | | 215,830 | | |
| | | 1,201,000 | | | | Sprint Communications Inc., Company Guaranteed Notes, 11.500% due 11/15/21 | | | | | 1,225,741 | | |
| | | 11,770,000 | | | | Sprint Corp., Company Guaranteed Notes, 7.250% due 9/15/21 | | | | | 11,795,894 | | |
| | | 200,000 | | | | Tencent Holdings Ltd., Senior Unsecured Notes, 1.810% due 1/26/26(a) | | | | | 202,467 | | |
| | | 5,382,000 | | | | Twitter Inc., Senior Unsecured Notes, 1.000% due 9/15/21 | | | | | 5,377,852 | | |
| | | 130,000 | | | | Verizon Communications Inc., Senior Unsecured Notes, 1.225% (3-Month USD-LIBOR + 1.100)% due 5/15/25(b) | | | | | 133,637 | | |
| | | | | | | Total Communications | | | | | 91,467,432 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Cyclical – 2.4% | | ||||||||||||
| | $ | 200,000 | | | | CK Hutchison International 21 Ltd., Company Guaranteed Notes, 1.500% due 4/15/26 | | | | $ | 201,914 | | |
| | | 130,000 | | | | Dollar Tree Inc., Senior Unsecured Notes, 3.700% due 5/15/23 | | | | | 136,709 | | |
| | | 6,336,000 | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes, 3.813% due 10/12/21 | | | | | 6,338,978 | | |
| | | 3,750,000SEK | | | | Gaming Innovation Group PLC, 8.500% (3-Month SEK-STIBOR + 8.500)% due 6/11/24(a)(b) | | | | | 442,879 | | |
| | | 120,000 | | | | General Motors Financial Co., Inc., Company Guaranteed Notes, 5.250% due 3/1/26 | | | | | 138,149 | | |
| | | 4,303,891 | | | | Hawaiian Airlines Class B Pass-Through Certificates, Pass-Thru Certificates, 4.950% due 1/15/22 | | | | | 4,297,505 | | |
| | | 911,000 | | | | 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) | | | | | 908,722 | | |
| | | 135,000 | | | | Hyundai Capital America, Senior Unsecured Notes, 2.850% due 11/1/22(a) | | | | | 138,516 | | |
| | | 130,000 | | | | Marriott International Inc., Senior Unsecured Notes, 3.600% due 4/15/24 | | | | | 138,693 | | |
| | | 400,000EUR | | | | SB Holdco PLC, Secured Notes, 8.000% (3-Month EURIBOR + 8.000)% due 7/13/22(b) | | | | | 476,315 | | |
| | | 130,000 | | | | Southwest Airlines Co., Senior Unsecured Notes, 4.750% due 5/4/23 | | | | | 138,792 | | |
| | | | | | | Total Consumer Cyclical | | | | | 13,357,172 | | |
| Consumer Non-cyclical – 8.9% | | ||||||||||||
| | | 135,000 | | | | AbbVie Inc., Senior Unsecured Notes, 2.300% due 11/21/22 | | | | | 138,070 | | |
| | | | | | | Anthem Inc., Senior Unsecured Notes: | | | | | | | |
| | | 35,000 | | | | 3.300% due 1/15/23 | | | | | 36,382 | | |
| | | 90,000 | | | | 3.500% due 8/15/24 | | | | | 96,628 | | |
| | | 130,000 | | | | AstraZeneca PLC, Senior Unsecured Notes, 3.500% due 8/17/23 | | | | | 137,466 | | |
| | | 135,000 | | | | BAT International Finance PLC, Company Guaranteed Notes, 1.668% due 3/25/26 | | | | | 135,782 | | |
| | | 100,000 | | | | Central American Bottling Corp., Company Guaranteed Notes, 5.750% due 1/31/27 | | | | | 104,750 | | |
| | | 3,527,000 | | | | Chobani LLC/Chobani Finance Corp. Inc., Company Guaranteed Notes, 7.500% due 4/15/25(a) | | | | | 3,685,010 | | |
| | | 125,000 | | | | Conagra Brands Inc., Senior Unsecured Notes, 4.300% due 5/1/24 | | | | | 136,186 | | |
| | | 6,250,000SEK | | | | Desenio Holding AB, Secured Notes, 5.500% (3-Month SEK-STIBOR + 5.500)% due 12/16/24(b) | | | | | 735,527 | | |
| | | 13,344,000 | | | | Fresh Market Inc., Senior Secured Notes, 9.750% due 5/1/23(a) | | | | | 13,710,426 | | |
| | | 125,000 | | | | HCA Inc., Senior Secured Notes, 5.000% due 3/15/24 | | | | | 137,488 | | |
| | | 200,000 | | | | HPHT Finance 19 Ltd., Company Guaranteed Notes, 2.875% due 11/5/24 | | | | | 209,954 | | |
| | | 10,234,000 | | | | Jaguar Holding Co. II/PPD Development LP, Company Guaranteed Notes, 4.625% due 6/15/25(a) | | | | | 10,743,653 | | |
| | | 135,000 | | | | Keurig Dr Pepper Inc., Company Guaranteed Notes, 0.750% due 3/15/24 | | | | | 135,161 | | |
| | | 3,148,000 | | | | Nathan’s Famous Inc., Senior Secured Notes, 6.625% due 11/1/25(a) | | | | | 3,211,590 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 6,639,000 | | | | Nielsen Co. Luxembourg SARL, Company Guaranteed Notes, 5.000% due 2/1/25(a) | | | | $ | 6,804,975 | | |
| | | 200,000 | | | | PSA Treasury Pte Ltd., Company Guaranteed Notes, 2.500% due 4/12/26 | | | | | 210,573 | | |
| | | 135,000 | | | | Royalty Pharma PLC, Company Guaranteed Notes, 0.750% due 9/2/23 | | | | | 135,590 | | |
| | | 2,611,000 | | | | Surgery Center Holdings Inc., Company Guaranteed Notes, 6.750% due 7/1/25(a) | | | | | 2,657,528 | | |
| | | 120,000 | | | | Triton Container International Ltd., Senior Secured Notes, 0.800% due 8/1/23(a) | | | | | 119,921 | | |
| | | 65,000 | | | | UnitedHealth Group Inc., Senior Unsecured Notes, 0.550% due 5/15/24 | | | | | 65,022 | | |
| | | 8,251,000 | | | | UpHealth Inc., Senior Unsecured Notes, 6.250% due 6/15/26(a)(c) | | | | | 6,995,393 | | |
| | | | | | | Total Consumer Non-cyclical | | | | | 50,343,075 | | |
| Diversified – 0.9% | | ||||||||||||
| | | 4,201,000EUR | | | | LR Global Holding GmbH, Senior Secured Notes, 7.250% (3-Month EURIBOR + 7.250)% due 2/3/25(b) | | | | | 5,145,970 | | |
| Energy – 2.1% | | ||||||||||||
| | | 150,000 | | | | Ecopetrol SA, Senior Unsecured Notes, 5.875% due 9/18/23 | | | | | 161,632 | | |
| | | 200,000 | | | | Galaxy Pipeline Assets Bidco Ltd., Senior Secured Notes, 1.750% due 9/30/27 | | | | | 203,143 | | |
| | | 188,240 | | | | GNL Quintero SA, Senior Unsecured Notes, 4.634% due 7/31/29 | | | | | 203,772 | | |
| | | 5,520,260 | | | | Martin Midstream Partners LP/Martin Midstream Finance Corp., Secured Notes, 10.000% due 2/29/24(a) | | | | | 5,658,266 | | |
| | | 200,000 | | | | ONGC Videsh Vankorneft Pte Ltd., Company Guaranteed Notes, 2.875% due 1/27/22 | | | | | 201,516 | | |
| | | 4,289,000 | | | | PBF Logistics LP/PBF Logistics Finance Corp., Company Guaranteed Notes, 6.875% due 5/15/23 | | | | | 4,162,260 | | |
| | | 200,000 | | | | Petrobras Global Finance BV, Company Guaranteed Notes, 4.375% due 5/20/23 | | | | | 212,000 | | |
| | | 135,000 | | | | Pioneer Natural Resources Co., Senior Unsecured Notes, 0.550% due 5/15/23 | | | | | 134,879 | | |
| | | 250,000 | | | | Reliance Industries Ltd., Senior Unsecured Notes, 4.125% due 1/28/25 | | | | | 272,789 | | |
| | | 200,000 | | | | SA Global Sukuk Ltd., Senior Unsecured Notes, 1.602% due 6/17/26(a) | | | | | 200,392 | | |
| | | 125,000 | | | | Schlumberger Holdings Corp., Senior Unsecured Notes, 3.750% due 5/1/24(a) | | | | | 134,100 | | |
| | | 200,000 | | | | Transportadora de Gas del Peru SA, Senior Unsecured Notes, 4.250% due 4/30/28 | | | | | 214,502 | | |
| | | 135,000 | | | | Valero Energy Corp., Senior Unsecured Notes, 1.200% due 3/15/24 | | | | | 136,047 | | |
| | | | | | | Total Energy | | | | | 11,895,298 | | |
| Financial – 4.0% | | ||||||||||||
| | | 135,000 | | | | Athene Global Funding, Senior Secured Notes, 0.750% (SOFRRATE + 0.700)% due 5/24/24(a)(b) | | | | | 135,725 | | |
| | | | | | | Avolon Holdings Funding Ltd., Company Guaranteed Notes: | | | | | | | |
| | | 115,000 | | | | 3.625% due 5/1/22(a) | | | | | 117,023 | | |
| | | 15,000 | | | | 5.125% due 10/1/23(a) | | | | | 16,170 | | |
| | | 200,000 | | | | Banco Bilbao Vizcaya Argentaria Colombia SA, Subordinated Notes, 4.875% due 4/21/25 | | | | | 210,052 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 150,000 | | | | Banco Continental SAECA, Senior Unsecured Notes, 2.750% due 12/10/25(a) | | | | $ | 148,944 | | |
| | | 50,000 | | | | Banco de Credito del Peru, Subordinated Notes, 3.125% (5-Year CMT Index + 3.000)% due 7/1/30(b) | | | | | 50,000 | | |
| | | 150,000 | | | | Banco de Reservas de la Republica Dominicana, Subordinated Notes, 7.000% due 2/1/23 | | | | | 157,876 | | |
| | | | | | | Bank of America Corp., Senior Unsecured Notes: | | | | | | | |
| | | 90,000 | | | | 0.921% (3-Month USD-LIBOR + 0.790)% due 3/5/24(b) | | | | | 90,814 | | |
| | | 50,000 | | | | 0.740% (SOFRRATE + 0.690)% due 4/22/25(b) | | | | | 50,454 | | |
| | | | | | | Bank of Nova Scotia, Senior Unsecured Notes: | | | | | | | |
| | | 35,000 | | | | 0.550% due 9/15/23 | | | | | 35,103 | | |
| | | 100,000 | | | | 0.650% due 7/31/24 | | | | | 100,048 | | |
| | | 60,000 | | | | Brighthouse Financial Global Funding, Senior Secured Notes, 0.600% due 6/28/23(a) | | | | | 60,052 | | |
| | | 80,000 | | | | Canadian Imperial Bank of Commerce, Senior Unsecured Notes, 0.450% due 6/22/23 | | | | | 79,991 | | |
| | | | | | | Capital One Financial Corp., Senior Unsecured Notes: | | | | | | | |
| | | 35,000 | | | | 3.200% due 1/30/23 | | | | | 36,310 | | |
| | | 100,000 | | | | 3.900% due 1/29/24 | | | | | 107,343 | | |
| | | 140,000 | | | | Citigroup Inc., Senior Unsecured Notes, 1.143% (3-Month USD-LIBOR + 1.023)% due 6/1/24(b) | | | | | 141,783 | | |
| | | 200,000 | | | | Global Bank Corp., Senior Unsecured Notes, 4.500% due 10/20/21 | | | | | 200,966 | | |
| | | 125,000 | | | | Goldman Sachs Group Inc., Senior Unsecured Notes, 3.500% due 4/1/25 | | | | | 135,338 | | |
| | | 200,000 | | | | Grupo Aval Ltd., Company Guaranteed Notes, 4.750% due 9/26/22 | | | | | 205,590 | | |
| | | 200,000 | | | | Grupo de Inversiones Suramericana SA, Senior Unsecured Notes, 5.500% due 4/29/26 | | | | | 215,576 | | |
| | | 2,527,000 | | | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., Company Guaranteed Notes, 6.750% due 2/1/24 | | | | | 2,574,381 | | |
| | | 35,808 | | | | Interoceanica IV Finance Ltd., Senior Secured Notes, zero coupon, due 11/30/25 | | | | | 33,938 | | |
| | | 200,000 | | | | Itau Unibanco Holding SA, Subordinated Notes, 3.875% (5-Year CMT Index + 3.446)% due 4/15/31(b) | | | | | 198,752 | | |
| | | | | | | JPMorgan Chase & Co., Senior Unsecured Notes: | | ||||||
| | | 120,000 | | | | 3.207% (3-Month USD-LIBOR + 0.695)% due 4/1/23(b) | | | | | 121,985 | | |
| | | 15,000 | | | | 3.900% due 7/15/25 | | | | | 16,522 | | |
| | | 80,000 | | | | Macquarie Bank Ltd., Senior Unsecured Notes, 2.100% due 10/17/22(a) | | | | | 81,673 | | |
| | | 55,000 | | | | Macquarie Group Ltd., Senior Unsecured Notes, 4.150% (3-Month USD-LIBOR + 1.330)% due 3/27/24(a)(b) | | | | | 57,957 | | |
| | | 200,000 | | | | Malayan Banking Bhd, Subordinated Notes, 3.905% (5-Year USD Swap Rate + 2.542)% due 10/29/26(b) | | | | | 198,840 | | |
| | | 125,000 | | | | Marsh & McLennan Cos., Inc., Senior Unsecured Notes, 3.875% due 3/15/24 | | | | | 134,877 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 140,000 | | | | Morgan Stanley, Senior Unsecured Notes, 0.529% (SOFRRATE + 0.455)% due 1/25/24(b) | | | | $ | 140,067 | | |
| | | | | | | NongHyup Bank, Senior Unsecured Notes: | | | | | | | |
| | | 200,000 | | | | 1.250% due 7/20/25(a) | | | | | 200,753 | | |
| | | 200,000 | | | | 1.250% due 7/20/25 | | | | | 200,753 | | |
| | | 20,400,000NOK | | | | Nordic Capital Fund II, 6.450% (3-Month NIBOR + 6.250)% due 6/30/24(b) | | | | | 2,376,586 | | |
| | | 200,000 | | | | Oversea-Chinese Banking Corp., Ltd, Subordinated Notes, 1.832% (5-Year CMT Index + 1.580)% due 9/10/30(a)(b) | | | | | 200,272 | | |
| | | 118,536 | | | | Peru Enhanced Pass-Through Finance Ltd., Pass-Thru Certificates, zero coupon, due 6/2/25 | | | | | 112,906 | | |
| | | 140,000 | | | | Royal Bank of Canada, Senior Unsecured Notes, 0.575% (SOFRRATE + 0.525)% due 1/20/26(b) | | | | | 140,827 | | |
| | | 100,000 | | | | Scotiabank Peru SAA, Subordinated Notes, 4.500% (3-Month USD-LIBOR + 3.856)% due 12/13/27(b) | | | | | 102,001 | | |
| | | 12,500,000SEK | | | | Stockwik Förvaltning AB, Senior Secured Notes, 7.000% (3-Month SEK-STIBOR + 7.000)% due 9/3/23(b) | | | | | 1,477,302 | | |
| | | 9,424,000 | | | | StoneX Group Inc., Senior Secured Notes, 8.625% due 6/15/25(a) | | | | | 10,196,768 | | |
| | | 250,000 | | | | Temasek Financial I Ltd., Company Guaranteed Notes, 2.375% due 1/23/23 | | | | | 256,649 | | |
| | | 120,000 | | | | Truist Financial Corp., Senior Unsecured Notes, 0.446% (SOFRRATE + 0.400)% due 6/9/25(b) | | | | | 120,232 | | |
| | | 200,000 | | | | United Overseas Bank Ltd., Subordinated Notes, 3.500% (5-Year USD Swap Rate + 2.236)% due 9/16/26(b) | | | | | 200,182 | | |
| | | | | | | VNV Global AB: | | | | | | | |
| | | 5,040,000SEK | | | | Senior Secured Notes, 5.750% due 10/4/22 | | | | | 599,298 | | |
| | | 1,250,000SEK | | | | Senior Unsecured Notes, 5.500% due 6/24/24 | | | | | 148,816 | | |
| | | 135,000 | | | | Wells Fargo & Co., Senior Unsecured Notes, 1.654% (SOFRRATE + 1.600)% due 6/2/24(b) | | | | | 137,846 | | |
| | | 125,000 | | | | Welltower Inc., Senior Unsecured Notes, 3.625% due 3/15/24 | | | | | 133,484 | | |
| | | 120,000 | | | | WP Carey Inc., Senior Unsecured Notes, 4.250% due 10/1/26 | | | | | 135,678 | | |
| | | | | | | Total Financial | | | | | 22,594,503 | | |
| Government – 0.0% | | ||||||||||||
| | | 200,000 | | | | Banco Latinoamericano de Comercio Exterior SA, Senior Unsecured Notes, 2.375% due 9/14/25(a) | | | | | 205,340 | | |
| Industrial – 2.7% | | ||||||||||||
| | | 3,000,000 | | | | Altera Shuttle Tankers LLC, Senior Unsecured Notes, 7.125% due 8/15/22 | | | | | 3,022,500 | | |
| | | 130,000 | | | | Boeing Co., Senior Unsecured Notes, 4.508% due 5/1/23 | | | | | 137,729 | | |
| | | 1,370,000 | | | | C3 Nano Inc., Senior Secured Notes, 6.500% due 2/15/24(a)(c) | | | | | 1,392,366 | | |
| | | 130,000 | | | | Carrier Global Corp., Senior Unsecured Notes, 2.242% due 2/15/25 | | | | | 135,455 | | |
| | | 2,404,000 | | | | EnPro Industries Inc., Company Guaranteed Notes, 5.750% due 10/15/26 | | | | | 2,524,705 | | |
| | | 6,800,000NOK | | | | Lakers Group AB, 5.960% (3-Month NIBOR + 5.550)% due 6/9/25(a)(b) | | | | | 789,625 | | |
| | | 35,000 | | | | Martin Marietta Materials Inc., Senior Unsecured Notes, 0.650% due 7/15/23 | | | | | 35,081 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Industrial – (continued) | | ||||||||||||
| | $ | 130,000 | | | | Penske Truck Leasing Co. LP/PTL Finance Corp., Senior Unsecured Notes, 2.700% due 11/1/24(a) | | | | $ | 136,559 | | |
| | | 130,000 | | | | Republic Services Inc., Senior Unsecured Notes, 2.500% due 8/15/24 | | | | | 136,473 | | |
| | | 6,284,000 | | | | SFL Corp., Ltd., Senior Unsecured Notes, 5.750% due 10/15/21 | | | | | 6,339,299 | | |
| | | 552,000 | | | | Summit Materials LLC/Summit Materials Finance Corp., Company Guaranteed Notes, 5.125% due 6/1/25(a) | | | | | 559,728 | | |
| | | | | | | Total Industrial | | | | | 15,209,520 | | |
| Insurance – 0.2% | | ||||||||||||
| | | 9,530,000SEK | | | | ADDvise Group AB, 7.250% (3-Month SEK-STIBOR + 7.250)% due 5/21/24(b) | | | | | 1,115,679 | | |
| Media – 0.0% | | ||||||||||||
| | | 9,800,000 | | | | BuzzFeed Inc., 7.000% due 9/30/26(c)(d) | | | | | — | | |
| Technology – 5.9% | | ||||||||||||
| | | 5,129,000EUR | | | | Azerion Holding BV, Senior Secured Notes, 7.250% due 4/28/24 | | | | | 6,282,745 | | |
| | | 12,718,000 | | | | Dell International LLC/EMC Corp., Company Guaranteed Notes, 7.125% due 6/15/24(a) | | | | | 12,988,258 | | |
| | | 5,893,000 | | | | Diebold Nixdorf Inc., Company Guaranteed Notes, 8.500% due 4/15/24 | | | | | 6,018,226 | | |
| | | 6,305,000EUR | | | | Fiven ASA, Senior Secured Notes, 6.850% (3-Month EURIBOR + 6.850)% due 6/21/24(b) | | | | | 7,593,487 | | |
| | | 135,000 | | | | Microchip Technology Inc., Senior Secured Notes, 0.972% due 2/15/24(a) | | | | | 135,159 | | |
| | | | | | | Total Technology | | | | | 33,017,875 | | |
| Utilities – 2.5% | | ||||||||||||
| | | 200,000 | | | | AES Andes SA, Junior Subordinated Notes, 7.125% (5-Year USD Swap Rate + 4.644)% due 3/26/79(a)(b) | | | | | 214,000 | | |
| | | 60,000 | | | | Atmos Energy Corp., Senior Unsecured Notes, 0.625% due 3/9/23 | | | | | 60,006 | | |
| | | | | | | Brazos Electric Power Cooperative Inc., : | | | | | | | |
| | | 6,027,000 | | | | zero coupon, due 3/23/49(c) | | | | | 5,424,300 | | |
| | | 4,493,333 | | | | zero coupon, due 3/23/49(c) | | | | | 4,044,000 | | |
| | | | | | | DTE Energy Co., Senior Unsecured Notes: | | | | | | | |
| | | 60,000 | | | | 2.529% due 10/1/24 | | | | | 62,876 | | |
| | | 75,000 | | | | 1.050% due 6/1/25 | | | | | 74,839 | | |
| | | 139,100 | | | | Empresa Electrica Angamos SA, Senior Secured Notes, 4.875% due 5/25/29 | | | | | 136,667 | | |
| | | 200,000 | | | | Enel Generacion Chile SA, Senior Unsecured Notes, 4.250% due 4/15/24 | | | | | 214,263 | | |
| | | 200,000 | | | | Guacolda Energia SA, Senior Unsecured Notes, 4.560% due 4/30/25 | | | | | 135,000 | | |
| | | 200,000 | | | | Inkia Energy Ltd., Senior Unsecured Notes, 5.875% due 11/9/27 | | | | | 204,752 | | |
| | | 200,000 | | | | Korea East-West Power Co., Ltd., Senior Unsecured Notes, 1.750% due 5/6/25(a) | | | | | 204,632 | | |
| | | 200,000 | | | | Minejesa Capital BV, Senior Secured Notes, 4.625% due 8/10/30 | | | | | 208,750 | | |
| | | 100,000 | | | | NextEra Energy Capital Holdings Inc., Company Guaranteed Notes, 0.650% due 3/1/23 | | | | | 100,386 | | |
| | | 135,000 | | | | Pacific Gas & Electric Co., 1st Mortgage Notes, 1.750% due 6/16/22 | | | | | 134,941 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Utilities – (continued) | | ||||||||||||
| | $ | 130,000 | | | | PSEG Power LLC, Company Guaranteed Notes, 3.850% due 6/1/23 | | | | $ | 137,210 | | |
| | | 1,914,000 | | | | Rockpoint Gas Storage Canada Ltd., Senior Secured Notes, 7.000% due 3/31/23(a) | | | | | 1,942,021 | | |
| | | 135,000 | | | | Southern California Edison Co., 1st Mortgage Notes, 0.880% (SOFRRATE + 0.830)% due 4/1/24(b) | | | | | 135,615 | | |
| | | 200,000 | | | | State Grid Overseas Investment Ltd., Senior Unsecured Notes, 1.000% due 8/5/25 | | | | | 198,006 | | |
| | | 200,000 | | | | TNB Global Ventures Capital Bhd, Senior Unsecured Notes, 3.244% due 10/19/26 | | | | | 214,454 | | |
| | | | | | | Total Utilities | | | | | 13,846,718 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Cost – $266,179,618) | | | | | 266,886,285 | | |
| SENIOR LOANS(b) – 18.8% | | ||||||||||||
| | | | | | | Alliance HealthCare Services Inc.: | | | | | | | |
| | | 7,373,604 | | | | 6.750% (3-Month USD-LIBOR + 3.500)% due 10/24/23 | | | | | 7,299,868 | | |
| | | 3,181,079 | | | | Change Healthcare Holdings LLC, 3.500% (3-Month USD-LIBOR + 2.500)% due 3/1/24 | | | | | 3,173,127 | | |
| | | 6,676,245 | | | | Cincinnati Bell Inc., 4.250% (1-Month USD-LIBOR + 3.250)% due 10/2/24 | | | | | 6,666,698 | | |
| | | 4,764,000 | | | | EP Energy LLC, due 11/23/21(c)(d)(e) | | | | | 4,761,022 | | |
| | | 5,305,830 | | | | Forterra Finance LLC, 4.000% (1-Month USD-LIBOR + 3.000)% due 10/25/23 | | | | | 5,300,418 | | |
| | | 3,717,444 | | | | Golden Nugget Online Gaming Inc., 13.000% (3-Month USD-LIBOR + 12.000)% due 10/4/23 | | | | | 4,014,840 | | |
| | | 1,328,000 | | | | Intelsat Jackson Holdings SA, 6.500% (3-Month USD-LIBOR + 5.500)% due 7/13/22 | | | | | 1,333,392 | | |
| | | 8,446,016 | | | | JZ Capital Partners Ltd., 16.000% (3-Month USD-LIBOR + 11.000% cash + 4.000% PIK) due 10/8/25(c)(d)(f) | | | | | 8,446,016 | | |
| | | 7,888,459 | | | | K&N Parent Inc., 5.750% (3-Month USD-LIBOR + 4.750)% due 10/20/23 | | | | | 7,486,147 | | |
| | | 7,729,000 | | | | Labl Inc., due 7/2/26(c)(e) | | | | | 7,717,406 | | |
| | | 2,695,935 | | | | Lealand Finance Co. BV, 3.085% (1-Month USD-LIBOR + 3.000)% due 6/28/24 | | | | | 1,617,561 | | |
| | | 15,219,000 | | | | Mallinckrodt International Finance SA, due 2/28/22(e) | | | | | 14,961,190 | | |
| | | 5,337,000 | | | | Meredith Corp., 2.585% (1-Month USD-LIBOR + 2.500)% due 1/31/25 | | | | | 5,305,138 | | |
| | | 7,375,000 | | | | Parexel International Corp., due 9/27/24(e) | | | | | 7,364,085 | | |
| | | 4,277,402 | | | | Pixelle Specialty Solutions LLC, 7.500% (1-Month USD-LIBOR + 6.500)% due 10/31/24 | | | | | 4,268,035 | | |
| | | 8,190,230 | | | | QuarterNorth Energy Holding Inc., due 8/27/26(e) | | | | | 8,067,377 | | |
| | | 8,246,000 | | | | Syncreon Group B.V., 7.000% (1-Month USD-LIBOR + 6.000)% due 4/1/25 | | | | | 8,287,230 | | |
| | | | | | | TOTAL SENIOR LOANS (Cost – $106,499,233) | | | | | 106,069,550 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – 5.2% | | ||||||||||||
| | $ | 425,965 | | | | Aaset Trust, Series 2019-2, Class A, 3.376% due 10/16/39(a) | | | | $ | 415,998 | | |
| | | | | | | AccessLex Institute: | | | | | | | |
| | | 173,513 | | | | Series 2004-2, Class A3, 0.315% (3-Month USD-LIBOR + 0.190)% due 10/25/24(b) | | | | | 171,660 | | |
| | | 204,645 | | | | Series 2007-A, Class A3, 0.429% (3-Month USD-LIBOR + 0.300)% due 5/25/36(b) | | | | | 200,919 | | |
| | | | | | | Affirm Asset Securitization Trust: | | | | | | | |
| | | 200,000 | | | | Series 2020-A, Class A, 2.100% due 2/18/25(a) | | | | | 201,131 | | |
| | | 141,332 | | | | Series 2020-Z2, Class A, 1.900% due 1/15/25(a) | | | | | 142,400 | | |
| | | 257,218 | | | | Series 2021-Z1, Class A, 1.070% due 8/15/25(a) | | | | | 257,571 | | |
| | | 966,300 | | | | Ajax Mortgage Loan Trust, Series 2019-C, Class A, 3.950% due 10/25/58(a)(b) | | | | | 966,910 | | |
| | | 1,000,000 | | | | Allegro CLO X Ltd., Series 2019-1A, Class AR, 1.338% (3-Month USD-LIBOR + 1.150)% due 7/20/32(a)(b) | | | | | 1,000,608 | | |
| | | 101,991 | | | | Aqua Finance Trust, Series 2020-AA, Class A, 1.900% due 7/17/46(a) | | | | | 103,162 | | |
| | | | | | | Arbor Realty Collateralized Loan Obligation Ltd.: | | | | | | | |
| | | 177,000 | | | | Series 2020-FL1, Class AS, 1.564% (SOFR30A + 1.514)% due 2/15/35(a)(b) | | | | | 177,053 | | |
| | | 225,000 | | | | Series 2021-FL2, Class A, 1.196% (1-Month USD-LIBOR + 1.100)% due 5/15/36(a)(b) | | | | | 225,069 | | |
| | | 192,000 | | | | Arbor Realty Commercial Real Estate Notes Ltd., Series 2019-FL1, Class B, 1.796% (1-Month USD-LIBOR + 1.700)% due 5/15/37(a)(b) | | | | | 192,057 | | |
| | | 112,084 | | | | Arivo Acceptance Auto Loan Receivables Trust, Series 2019-1, Class A, 2.990% due 7/15/24(a) | | | | | 113,142 | | |
| | | 500,000 | | | | Bain Capital Credit CLO, Series 2019-1A, Class AR, 1.264% (3-Month USD-LIBOR + 1.130)% due 4/19/34(a)(b) | | | | | 499,873 | | |
| | | 300,621 | | | | Bayview Opportunity Master Fund IVa Trust, Series 2019-SBR1, Class A1, step bond to yield, 3.475% due 6/28/34(a) | | | | | 302,617 | | |
| | | 184,000 | | | | BRSP Ltd., Series 2021-FL1, Class A, 1.237% (1-Month USD-LIBOR + 1.150)% due 8/19/38(a)(b) | | | | | 184,000 | | |
| | | | | | | BSPRT Issuer Ltd.: | | | | | | | |
| | | 331,029 | | | | Series 2019-FL5, Class A, 1.246% (1-Month USD-LIBOR + 1.150)% due 5/15/29(a)(b) | | | | | 330,798 | | |
| | | 193,000 | | | | Series 2021-FL6, Class A, 1.196% (1-Month USD-LIBOR + 1.100)% due 3/15/36(a)(b) | | | | | 193,000 | | |
| | | 461,042 | | | | CAL Funding IV Ltd., Series 2020-1A, Class A, 2.220% due 9/25/45(a) | | | | | 466,794 | | |
| | | 1,000,000 | | | | Carlyle Global Market Strategies, Series 2021-7A, Class A1, 0.000% (3-Month USD-LIBOR + 1.160)% due 10/15/35(a)(b)(c) | | | | | 1,000,000 | | |
| | | 991,833 | | | | Carlyle Global Market Strategies CLO Ltd., Series 2014-3RA, Class A1A, 1.179% (3-Month USD-LIBOR + 1.050)% due 7/27/31(a)(b) | | | | | 992,113 | | |
| | | | | | | CHCP Ltd.: | | | | | | | |
| | | 250,000 | | | | Series 2021-FL1, Class A, 1.214% (SOFR30A + 1.164)% due 2/15/38(a)(b) | | | | | 250,155 | | |
| | | 100,000 | | | | Series 2021-FL1, Class AS, 1.464% (SOFR30A + 1.414)% due 2/15/38(a)(b) | | | | | 100,093 | | |
| | | 177,000 | | | | CLNC Ltd., Series 2019-FL1, Class AS, 1.714% (SOFR30A + 1.664)% due 8/20/35(a)(b) | | | | | 177,164 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 270,486 | | | | Commonbond Student Loan Trust, Series 2020-AGS, Class A, 1.980% due 8/25/50(a) | | | | $ | 274,899 | | |
| | | 54,985 | | | | DT Auto Owner Trust, Series 2020-2A, Class A, 1.140% due 1/16/24(a) | | | | | 55,115 | | |
| | | 700,000 | | | | Exeter Automobile Receivables Trust, Series 2021-1A, Class C, 0.740% due 1/15/26 | | | | | 701,629 | | |
| | | 58,724 | | | | Freed ABS Trust, Series 2020-FP1, Class A, 2.520% due 3/18/27(a) | | | | | 58,915 | | |
| | | 200,000 | | | | FS RIALTO, Series 2021-FL2, Class A, 1.316% (1-Month USD-LIBOR + 1.220)% due 4/16/28(a)(b) | | | | | 200,247 | | |
| | | 500,000 | | | | Galaxy XXVII CLO Ltd., Series 2018-27A, Class A, 1.145% (3-Month USD-LIBOR + 1.020)% due 5/16/31(a)(b) | | | | | 499,950 | | |
| | | 5,059 | | | | Genesis Private Label Amortizing Trust, Series 2020-1, Class A, 2.080% due 7/20/30(a) | | | | | 5,059 | | |
| | | 250,000 | | | | Genesis Sales Finance Master Trust, Series 2020-AA, Class A, 1.650% due 9/22/25(a) | | | | | 251,659 | | |
| | | 184,000 | | | | Greystone CRE Notes Ltd., Series 2021-FL3, Class A, 1.107% (1-Month USD-LIBOR + 1.020)% due 7/15/39(a)(b) | | | | | 184,058 | | |
| | | 500,000 | | | | Greywolf CLO V Ltd., Series 2015-1A, Class A1R, 1.285% (3-Month USD-LIBOR + 1.160)% due 1/27/31(a)(b) | | | | | 500,264 | | |
| | | 1,000,000 | | | | Greywolf CLO VII Ltd., Series 2018-2A, Class A1, 1.314% (3-Month USD-LIBOR + 1.180)% due 10/20/31(a)(b) | | | | | 1,000,150 | | |
| | | 1,000,000 | | | | Gulf Stream Meridian 3 Ltd., Series 2021-IIIA, Class A1, 1.446% (3-Month USD-LIBOR + 1.320)% due 4/15/34(a)(b) | | | | | 1,000,647 | | |
| | | 500,000 | | | | Hayfin US XII Ltd., Series 2018-8A, Class A, 1.254% (3-Month USD-LIBOR + 1.120)% due 4/20/31(a)(b) | | | | | 498,772 | | |
| | | 500,000 | | | | Hertz Vehicle Financing LLC, Series 2021-1A, Class B, 1.560% due 12/26/25(a) | | | | | 503,964 | | |
| | | 200,000 | | | | HGI CRE CLO Ltd., Series 2021-FL1, Class A, 1.146% (1-Month USD-LIBOR + 1.050)% due 6/16/36(a)(b) | | | | | 200,063 | | |
| | | 346,649 | | | | Hilton Grand Vacations Trust, Series 2020-AA, Class A, 2.740% due 2/25/39(a) | | | | | 361,889 | | |
| | | | | | | Invitation Homes Trust: | | | | | | | |
| | | 59,747 | | | | Series 2017-SFR2, Class A, 0.943% (1-Month USD-LIBOR + 0.850)% due 12/17/36(a)(b) | | | | | 59,803 | | |
| | | 171,205 | | | | Series 2018-SFR1, Class A, 0.793% (1-Month USD-LIBOR + 0.700)% due 3/17/37(a)(b) | | | | | 171,392 | | |
| | | 350,000 | | | | KREF Ltd., Series 2021-FL2, Class A, 1.163% (1-Month USD-LIBOR + 1.070)% due 2/15/39(a)(b) | | | | | 350,000 | | |
| | | 46,187 | | | | Laurel Road Prime Student Loan Trust, Series 2019-A, Class A1FX, 2.340% due 10/25/48(a) | | | | | 46,895 | | |
| | | 184,000 | | | | LCCM Trust, Series 2021-FL2, Class A, 1.297% (1-Month USD-LIBOR + 1.200)% due 12/13/38(a)(b) | | | | | 184,113 | | |
| | | 173,000 | | | | LMREC Inc., Series 2019-CRE3, Class A, 1.486% (1-Month USD-LIBOR + 1.400)% due 12/22/35(a)(b) | | | | | 172,992 | | |
| | | 123,024 | | | | LoanCore Issuer Ltd., Series 2019-CRE2, Class A, 1.226% (1-Month USD-LIBOR + 1.130)% due 5/15/36(a)(b) | | | | | 123,024 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 500,000 | | | | Madison Park Funding XXXIV Ltd., Series 2019-34A, Class AR, 1.245% (3-Month USD-LIBOR + 1.120)% due 4/25/32(a)(b) | | | | $ | 500,424 | | |
| | | 1,000,000 | | | | Marble Point CLO XXI Ltd., Series 2021-3A, Class A1, 0.000% (3-Month USD-LIBOR + 1.240)% due 10/17/34(a)(b)(c) | | | | | 1,000,000 | | |
| | | | | | | Marlette Funding Trust: | | | | | | | |
| | | 16,125 | | | | Series 2019-2A, Class A, 3.130% due 7/16/29(a) | | | | | 16,150 | | |
| | | 186,000 | | | | Series 2019-4A, Class C, 3.760% due 12/17/29(a) | | | | | 192,150 | | |
| | | 491,250 | | | | ME Funding LLC, Series 2019-1, Class A2, 6.448% due 7/30/49(a) | | | | | 520,396 | | |
| | | 200,000 | | | | MF1 Ltd., Series 2021-FL6, Class A, 1.196% (1-Month USD-LIBOR + 1.100)% due 7/16/36(a)(b) | | | | | 200,122 | | |
| | | 135,683 | | | | Navient Private Education Refi Loan Trust, Series 2020-GA, Class A, 1.170% due 9/16/69(a) | | | | | 136,623 | | |
| | | 341,000 | | | | NLY Commercial Mortgage Trust, Series 2019-FL2, Class AS, 1.696% (1-Month USD-LIBOR + 1.600)% due 2/15/36(a)(b) | | | | | 340,148 | | |
| | | 988,761 | | | | Northwoods Capital XVI Ltd., Series 2017-16A, Class A, 1.395% (3-Month USD-LIBOR + 1.270)% due 11/15/30(a)(b) | | | | | 989,043 | | |
| | | 982,916 | | | | Ocean Trails CLO V, Series 2014-5A, Class ARR, 1.409% (3-Month USD-LIBOR + 1.280)% due 10/13/31(a)(b) | | | | | 982,917 | | |
| | | 250,000 | | | | OCP CLO Ltd., Series 2014-5A, Class A1R, 1.205% (3-Month USD-LIBOR + 1.080)% due 4/26/31(a)(b) | | | | | 250,000 | | |
| | | | | | | Pagaya AI Debt Selection Trust: | | | | | | | |
| | | 153,289 | | | | Series 2020-3, Class A, 2.100% due 5/17/27(a) | | | | | 154,265 | | |
| | | 355,093 | | | | Series 2021-1, Class A, 1.180% due 11/15/27(a) | | | | | 356,012 | | |
| | | 495,947 | | | | PRET LLC, Series 2021-NPL3, Class A1, step bond to yield, 1.868% due 7/25/51(a) | | | | | 496,069 | | |
| | | 350,000 | | | | Sofi Consumer Loan Program Trust, Series 2018-2, Class C, 4.250% due 4/26/27(a) | | | | | 358,468 | | |
| | | 1,000,000 | | | | Sound Point CLO VI-R Ltd., Series 2014-2RA, Class A, 1.384% (3-Month USD-LIBOR + 1.250)% due 10/20/31(a)(b) | | | | | 1,000,500 | | |
| | | 500,000 | | | | Sound Point CLO XVIII Ltd., Series 2017-4A, Class A1, 1.254% (3-Month USD-LIBOR + 1.120)% due 1/21/31(a)(b) | | | | | 499,277 | | |
| | | 1,000,000 | | | | Steele Creek CLO Ltd., Series 2018-2A, Class A, 1.325% (3-Month USD-LIBOR + 1.200)% due 8/18/31(a)(b) | | | | | 999,823 | | |
| | | 200,000 | | | | STWD Ltd., Series 2021-FL2, Class A, 1.289% (1-Month USD-LIBOR + 1.200)% due 4/18/38(a)(b) | | | | | 200,121 | | |
| | | 150,000 | | | | Theorem Funding Trust, Series 2020-1A, Class B, 3.950% due 10/15/26(a) | | | | | 153,450 | | |
| | | 1,000,000 | | | | Trimaran Cavu Ltd., Series 2019-1A, Class A1, 1.594% (3-Month USD-LIBOR + 1.460)% due 7/20/32(a)(b) | | | | | 1,002,500 | | |
| | | 200,000 | | | | TRTX Issuer Ltd., Series 2021-FL4, Class A, 1.293% (1-Month USD-LIBOR + 1.200)% due 3/15/38(a)(b) | | | | | 200,063 | | |
| | | | | | | Upstart Securitization Trust: | | | | | | | |
| | | 412,155 | | | | Series 2020-3, Class A, 1.702% due 11/20/30(a) | | | | | 414,351 | | |
| | | 350,000 | | | | Series 2021-3, Class A, 0.830% due 7/20/31(a) | | | | | 350,240 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 500,000 | | | | Vibrant ClO VIII Ltd., Series 2018-8A, Class A1A, 1.274% (3-Month USD-LIBOR + 1.140)% due 1/20/31(a)(b) | | | | $ | 499,999 | | |
| | | 394,654 | | | | VOLT XCIV LLC, Series 2021-NPL3, Class A1, step bond to yield, 2.240% due 2/27/51(a)(c) | | | | | 395,224 | | |
| | | 819,675 | | | | VOLT XCIX LLC, Series 2021-NPL8, Class A1, step bond to yield, 2.116% due 4/25/51(a) | | | | | 821,914 | | |
| | | 500,000 | | | | Wellfleet CLO X Ltd., Series 2019-XA, Class A1R, 1.344% (3-Month USD-LIBOR + 1.170)% due 7/20/32(a)(b) | | | | | 500,188 | | |
| | | | | | | TOTAL ASSET-BACKED SECURITIES (Cost – $29,500,895) | | | | | 29,600,223 | | |
| COLLATERALIZED MORTGAGE OBLIGATIONS – 4.6% | | ||||||||||||
| | | 405,737 | | | | Angel Oak Mortgage Trust, Series 2020-6, Class A1, 1.261% due 5/25/65(a)(b) | | | | | 406,651 | | |
| | | 183,000 | | | | Arbor Multifamily Mortgage Securities Trust, Series 2021-MF2, Class A2, 2.023% due 6/15/54(a) | | | | | 188,327 | | |
| | | 200,000 | | | | Bancorp Commercial Mortgage Trust, Series 2019-CRE5, Class B, 1.596% (1-Month USD-LIBOR + 1.500)% due 3/15/36(a)(b) | | | | | 199,882 | | |
| | | | | | | BANK: | | | | | | | |
| | | 1,510,868 | | | | Series 2017-BNK4, Class XA, 1.547% due 5/15/50(b)(g) | | | | | 83,855 | | |
| | | 1,817,581 | | | | Series 2017-BNK6, Class XA, 0.947% due 7/15/60(b)(g) | | | | | 64,604 | | |
| | | | | | | BBCMS Mortgage Trust: | | | | | | | |
| | | 192,000 | | | | Series 2017-DELC, Class B, 1.126% (1-Month USD-LIBOR + 1.030)% due 8/15/36(a)(b) | | | | | 191,775 | | |
| | | 200,000 | | | | Series 2019-BWAY, Class A, 1.052% (1-Month USD-LIBOR + 0.956)% due 11/15/34(a)(b) | | | | | 199,461 | | |
| | | 1,486,823 | | | | Series 2021-C9, Class XA, 1.767% due 2/15/54(b)(g) | | | | | 183,877 | | |
| | | | | | | Benchmark Mortgage Trust: | | | | | | | |
| | | 10,827,788 | | | | Series 2018-B4, Class XA, 0.665% due 7/15/51(b)(g) | | | | | 277,182 | | |
| | | 3,679,626 | | | | Series 2020-B16, Class XA, 1.047% due 2/15/53(b)(g) | | | | | 247,468 | | |
| | | 75,000 | | | | BHMS, Series 2018-ATLS, Class A, 1.346% (1-Month USD-LIBOR + 1.250)% due 7/15/35(a)(b) | | | | | 75,105 | | |
| | | 746,392 | | | | BRAVO Residential Funding Trust, Series 2021-A, Class A1, step bond to yield, 1.991% due 12/31/49(a) | | | | | 746,791 | | |
| | | 184,000 | | | | BSREP Commercial Mortgage Trust, Series 2021-DC, Class A, 1.050% (1-Month USD-LIBOR + 0.950)% due 8/15/38(a)(b) | | | | | 184,055 | | |
| | | 183,000 | | | | BX Trust, Series 2021-VIEW, Class A, 1.376% (1-Month USD-LIBOR + 1.280)% due 6/15/23(a)(b) | | | | | 183,000 | | |
| | | | | | | BXHPP Trust: | | | | | | | |
| | | 209,000 | | | | Series 2021-FILM, Class B, 0.996% (1-Month USD-LIBOR + 0.900)% due 8/15/36(a)(b) | | | | | 209,304 | | |
| | | 209,000 | | | | Series 2021-FILM, Class C, 1.196% (1-Month USD-LIBOR + 1.100)% due 8/15/36(a)(b) | | | | | 209,335 | | |
| | | 193,000 | | | | BXMT Ltd., Series 2021-FL4, Class A, 1.146% (1-Month USD-LIBOR + 1.050)% due 5/15/38(a)(b) | | | | | 192,989 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 1,648,340 | | | | CD Mortgage Trust, Series 2017-CD4, Class XA, 1.435% due 5/10/50(b)(g) | | | | $ | 82,591 | | |
| | | | | | | CFCRE Commercial Mortgage Trust: | | | | | | | |
| | | 1,265,867 | | | | Series 2017-C8, Class XA, 1.714% due 6/15/50(b)(g) | | | | | 82,167 | | |
| | | 287,000 | | | | Series 2017-C8, Class XB, 1.086% due 6/15/50(b)(g) | | | | | 13,795 | | |
| | | | | | | Citigroup Commercial Mortgage Trust: | | | | | | | |
| | | 178,000 | | | | Series 2018-TBR, Class B, 1.246% (1-Month USD-LIBOR + 1.150)% due 12/15/36(a)(b) | | | | | 177,905 | | |
| | | 386,000 | | | | Series 2019-PRM, Class D, 4.350% due 5/10/36(a) | | | | | 400,371 | | |
| | | 292,354 | | | | COLT Mortgage Loan Trust, Series 2020-2, Class A1, 1.853% due 3/25/65(a)(b) | | | | | 293,649 | | |
| | | 282,591 | | | | COLT Mortgage Pass-Through Certificates, Series 2021-1R, Class A1, 0.857% due 5/25/65(a)(b) | | | | | 282,599 | | |
| | | | | | | Commercial Mortgage Trust: | | | | | | | |
| | | 17,067,252 | | | | Series 2013-CR9, Class XA, 0.083% due 7/10/45(b)(g) | | | | | 12,959 | | |
| | | 1,409,634 | | | | Series 2013-LC6, Class XA, 1.430% due 1/10/46(b)(g) | | | | | 15,999 | | |
| | | 24,997 | | | | Series 2014-CR15, Class A2, 2.928% due 2/10/47 | | | | | 24,787 | | |
| | | 343,599 | | | | Series 2014-FL5, Class D, 4.096% (1-Month USD-LIBOR + 4.000)% due 10/15/31(a)(b) | | | | | 326,634 | | |
| | | 227,000 | | | | Series 2018-HCLV, Class A, 1.096% (1-Month USD-LIBOR + 1.000)% due 9/15/33(a)(b) | | | | | 226,034 | | |
| | | | | | | Credit Suisse Commercial Mortgage Capital Trust: | | | | | | | |
| | | 573,000 | | | | Series 2017-CHOP, Class E, 3.646% (1-Month USD-LIBOR + 3.550)% due 7/15/32(a)(b) | | | | | 539,170 | | |
| | | 66,771 | | | | Series 2020-BPL1, Class A1, step bond to yield, 3.393% due 2/25/24(a) | | | | | 66,789 | | |
| | | 591,015 | | | | Series 2020-RPL3, Class A1, 2.691% due 3/25/60(a)(b) | | | | | 598,639 | | |
| | | 344,000 | | | | Credit Suisse Commercial Mortgage Securities Corp., Series 2019-SKLZ, Class A, 1.346% (1-Month USD-LIBOR + 1.250)% due 1/15/34(a)(b) | | | | | 345,457 | | |
| | | | | | | CSAIL Commercial Mortgage Trust: | | | | | | | |
| | | 717,595 | | | | Series 2017-C8, Class XA, 1.367% due 6/15/50(b)(g) | | | | | 32,837 | | |
| | | 4,761,069 | | | | Series 2017-CX10, Class XA, 0.848% due 11/15/50(b)(g) | | | | | 162,848 | | |
| | | 3,456,449 | | | | Series 2018-CX12, Class XA, 0.759% due 8/15/51(b)(g) | | | | | 116,323 | | |
| | | 200,000 | | | | DBJPM Mortgage Trust, Series 2016-C3, Class A5, 2.890% due 8/10/49 | | | | | 213,861 | | |
| | | | | | | Federal National Mortgage Association (FNMA), Aces: | | | | | | | |
| | | 1,192,474 | | | | Series 2020-M49, Class 1A1, 1.298% due 11/25/30(b) | | | | | 1,203,945 | | |
| | | 695,434 | | | | Series 2021-M5, Class A1, 1.510% due 1/25/33(b) | | | | | 710,922 | | |
| | | 1,086,693 | | | | Series 2021-M6, Class A1, 1.532% due 3/25/33(b) | | | | | 1,111,032 | | |
| | | 298,135 | | | | Series 2021-M7, Class A1, 1.776% due 3/25/31(b) | | | | | 309,184 | | |
| | | 336,103 | | | | GCAT LLC, Series 2019-NQM1, Class A1, step bond to yield, 2.985% due 2/25/59(a) | | | | | 337,428 | | |
| | | 361,000 | | | | GS Mortgage Securities Corp. Trust, Series 2012-ALOH, Class A, 3.551% due 4/10/34(a) | | | | | 363,640 | | |
| | | | | | | GS Mortgage Securities Trust: | | | | | | | |
| | | 3,826,918 | | | | Series 2016-GS4, Class XA, 0.706% due 11/10/49(b)(g) | | | | | 99,459 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 1,748,199 | | | | Series 2017-GS6, Class XA, 1.174% due 5/10/50(b)(g) | | | | $ | 90,357 | | |
| | | 3,584,072 | | | | Series 2017-GS8, Class XA, 1.113% due 11/10/50(b)(g) | | | | | 160,012 | | |
| | | 3,220,741 | | | | Series 2020-GC47, Class XA, 1.246% due 5/12/53(b)(g) | | | | | 273,664 | | |
| | | | | | | JP Morgan Chase Commercial Mortgage Securities Trust: | | | | | | | |
| | | 1,961,285 | | | | Series 2014-C20, Class XA, 1.009% due 7/15/47(b)(g) | | | | | 30,818 | | |
| | | 4,075,000 | | | | Series 2020-MKST, Class XCP, 2.628% due 12/15/36(a)(b)(g) | | | | | 30,833 | | |
| | | | | | | JPMBB Commercial Mortgage Securities Trust: | | | | | | | |
| | | 1,006,996 | | | | Series 2015-C32, Class XA, 1.357% due 11/15/48(b)(g) | | | | | 28,794 | | |
| | | 200,000 | | | | Series 2016-C1, Class A5, 3.576% due 3/15/49 | | | | | 218,924 | | |
| | | | | | | Legacy Mortgage Asset Trust: | | | | | | | |
| | | 399,338 | | | | Series 2020-GS4, Class A1, step bond to yield, 3.250% due 2/25/60(a) | | | | | 402,013 | | |
| | | 500,000 | | | | Series 2021-GS4, Class A1, step bond to yield, 1.650% due 6/25/61(a) | | | | | 500,082 | | |
| | | 731,209 | | | | Series 2021-SL1, Class A, 1.991% due 9/25/60(a)(b)(c) | | | | | 732,501 | | |
| | | 159,300 | | | | LoanCore Issuer Ltd., Series 2019-CRE3, Class AS, 1.466% (1-Month USD-LIBOR + 1.370)% due 4/15/34(a)(b) | | | | | 159,008 | | |
| | | | | | | MF1 Ltd.: | | | | | | | |
| | | 31,111 | | | | Series 2019-FL2, Class A, 1.294% (SOFR30A + 1.244)% due 12/25/34(a)(b) | | | | | 31,120 | | |
| | | 188,942 | | | | Series 2020-FL3, Class A, 2.214% (SOFR30A + 2.164)% due 7/15/35(a)(b) | | | | | 191,067 | | |
| | | | | | | Morgan Stanley Capital I Trust: | | | | | | | |
| | | 1,363,432 | | | | Series 2016-UB11, Class XA, 1.634% due 8/15/49(b)(g) | | | | | 73,511 | | |
| | | 4,003,231 | | | | Series 2016-UB12, Class XA, 0.849% due 12/15/49(b)(g) | | | | | 106,807 | | |
| | | 899,179 | | | | Series 2017-H1, Class XA, 1.501% due 6/15/50(b)(g) | | | | | 49,915 | | |
| | | 184,000 | | | | Series 2021-L6, Class A2, 2.126% due 6/15/54 | | | | | 190,223 | | |
| | | 209,000 | | | | Motel Trust, Series 2021-MTL6, Class A, 1.000% (1-Month USD-LIBOR + 0.900)% due 9/15/38(a)(b) | | | | | 209,228 | | |
| | | | | | | Natixis Commercial Mortgage Securities Trust: | | | | | | | |
| | | 350,000 | | | | Series 2018-850T, Class C, 1.249% (1-Month USD-LIBOR + 1.154)% due 7/15/33(a)(b) | | | | | 346,326 | | |
| | | 350,000 | | | | Series 2018-850T, Class D, 1.549% (1-Month USD-LIBOR + 1.454)% due 7/15/33(a)(b) | | | | | 341,452 | | |
| | | | | | | New Residential Mortgage Loan Trust: | | | | | | | |
| | | 345,234 | | | | Series 2020-NQM1, Class A2, 2.718% due 1/26/60(a)(b) | | | | | 348,394 | | |
| | | 663,279 | | | | Series 2020-RPL2, Class A1, 3.578% due 8/25/25(a)(b) | | | | | 675,254 | | |
| | | 516,935 | | | | NYMT Loan Trust, Series 2020-SP2, Class A1, 2.944% due 10/25/60(a)(b) | | | | | 521,960 | | |
| | | 122,124 | | | | PFP Ltd., Series 2019-6, Class A, 1.146% (1-Month USD-LIBOR + 1.050)% due 4/14/37(a)(b) | | | | | 121,977 | | |
| | | 910,369 | | | | PRPM, Series 2019-GS1, Class A1, 3.500% due 10/25/24(a)(b) | | | | | 913,769 | | |
| | | | | | | PRPM LLC: | | | | | | | |
| | | 563,500 | | | | Series 2020-3, Class A1, step bond to yield, 2.857% due 9/25/25(a) | | | | | 564,790 | | |
| | | 657,410 | | | | Series 2021-4, Class A1, step bond to yield, 1.867% due 4/25/26(a) | | | | | 657,409 | | |
| | | 299,200 | | | | Shelter Growth CRE Issuer Ltd., Series 2019-FL2, Class B, 1.896% (1-Month USD-LIBOR + 1.800)% due 5/15/36(a)(b) | | | | | 296,777 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 159,224 | | | | SLIDE, Series 2018-FUN, Class A, 1.246% (1-Month USD-LIBOR + 1.150)% due 6/15/31(a)(b) | | | | $ | 159,224 | | |
| | | | | | | UBS Commercial Mortgage Trust: | | ||||||
| | | 1,445,541 | | | | Series 2012-C1, Class XA, 2.200% due 5/10/45(a)(b)(g) | | | | | 4,728 | | |
| | | 937,729 | | | | Series 2017-C1, Class XA, 1.683% due 6/15/50(b)(g) | | | | | 67,274 | | |
| | | 800,000 | | | | VCAT LLC, Series 2021-NPL4, Class A1, step bond to yield, 1.868% due 8/25/51(a) | | | | | 800,361 | | |
| | | | | | | Velocity Commercial Capital Loan Trust: | | | | | | | |
| | | 1,400,000 | | | | Series 2021-2, Class A, 1.520% due 8/25/51(a)(b) | | | | | 1,409,740 | | |
| | | 500,000 | | | | Series 2021-2, Class M1, 1.820% due 8/25/51(a)(b) | | | | | 500,164 | | |
| | | | | | | Verus Securitization Trust: | | | | | | | |
| | | 1,139,047 | | | | Series 2019-INV2, Class A3, 3.219% due 7/25/59(a)(b) | | | | | 1,151,390 | | |
| | | 164,844 | | | | Series 2020-2, Class A1, 2.226% due 5/25/60(a)(b) | | | | | 165,875 | | |
| | | 638,167 | | | | Series 2021-R1, Class A2, 1.057% due 10/25/63(a)(b) | | | | | 637,780 | | |
| | | 260,551 | | | | Vista Point Securitization Trust, Series 2020-2, Class A1, 1.475% due 4/25/65(a)(b) | | | | | 262,157 | | |
| | | | | | | Wells Fargo Commercial Mortgage Trust: | | | | | | | |
| | | 2,421,538 | | | | Series 2015-LC22, Class XA, 0.930% due 9/15/58(b)(g) | | | | | 63,307 | | |
| | | 4,892,042 | | | | Series 2015-NXS2, Class XA, 0.803% due 7/15/58(b)(g) | | | | | 105,624 | | |
| | | 185,000 | | | | Series 2021-C60, Class A2, 2.042% due 8/15/54 | | | | | 190,624 | | |
| | | 90,902 | | | | Series 2021-SAVE, Class A, 1.246% (1-Month USD-LIBOR + 1.150)% due 2/15/40(a)(b) | | | | | 91,361 | | |
| | | 90,902 | | | | Series 2021-SAVE, Class B, 1.546% (1-Month USD-LIBOR + 1.450)% due 2/15/40(a)(b) | | | | | 91,361 | | |
| | | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost – $27,824,295) | | | | | 25,962,640 | | |
| | | | | | | Rating†† | | | | | | | | | | |
| MUNICIPAL BONDS – 0.8% | | |||||||||||||||
| Puerto Rico – 0.8% | | |||||||||||||||
| | | | | | | | | | Puerto Rico Highway & Transportation Authority, : | | ||||||
| | | 1,900,000 | | | | WR(h) | | | Zero coupon, due 7/1/22 | | | | | 1,783,782 | | |
| | | 2,820,000 | | | | WR(h) | | | Zero coupon, due 7/1/23 | | | | | 2,488,815 | | |
| | | | | | | | | | Total Puerto Rico | | | | | 4,272,597 | | |
| | | | | | | | | | TOTAL MUNICIPAL BONDS (Cost – $4,271,788) | | | | | 4,272,597 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| MORTGAGE-BACKED SECURITIES – 0.5% | | ||||||||||||
| FHLMC – 0.2% | | ||||||||||||
| | $ | 923,325 | | | | Freddie Mac Pool, 1.500% due 2/1/36 | | | | $ | 938,505 | | |
| FNMA – 0.3% | | ||||||||||||
| | | | | | | Federal National Mortgage Association (FNMA): | | ||||||
| | | 928,207 | | | | 2.000% due 1/1/36 | | | | | 961,477 | | |
| | | 895,453 | | | | 2.500% due 8/1/41 | | | | | 947,975 | | |
| | | | | | | TOTAL FNMA | | | | | 1,909,452 | | |
| | | | | | | TOTAL MORTGAGE-BACKED SECURITIES (Cost – $2,862,524) | | | | | 2,847,957 | | |
| SOVEREIGN BONDS – 0.3% | | ||||||||||||
| Brazil – 0.0% | | ||||||||||||
| | | 200,000 | | | | Brazilian Government International Bond, 2.875% due 6/6/25 | | | | | 206,506 | | |
| Chile – 0.0% | | ||||||||||||
| | | 200,000 | | | | Chile Government International Bond, 3.125% due 1/21/26 | | | | | 216,076 | | |
| Colombia – 0.0% | | ||||||||||||
| | | 200,000 | | | | Colombia Government International Bond, 4.500% due 1/28/26 | | | | | 217,128 | | |
| Indonesia – 0.1% | | ||||||||||||
| | | 200,000 | | | | Indonesia Government International Bond, 3.375% due 4/15/23 | | | | | 208,922 | | |
| | | 200,000 | | | | Perusahaan Penerbit SBSN Indonesia III, 1.500% due 6/9/26 | | | | | 200,324 | | |
| | | | | | | Total Indonesia | | | | | 409,246 | | |
| Panama – 0.0% | | ||||||||||||
| | | 200,000 | | | | Panama Government International Bond, 3.750% due 3/16/25 | | | | | 216,588 | | |
| Peru – 0.0% | | ||||||||||||
| | | 50,000 | | | | Peruvian Government International Bond, 2.392% due 1/23/26 | | | | | 51,706 | | |
| Qatar – 0.0% | | ||||||||||||
| | | 200,000 | | | | Qatar Government International Bond, 3.250% due 6/2/26 | | | | | 217,738 | | |
| Saudi Arabia – 0.1% | | ||||||||||||
| | | 250,000 | | | | Saudi Government International Bond, 2.875% due 3/4/23 | | | | | 258,289 | | |
| South Korea – 0.1% | | ||||||||||||
| | | 250,000 | | | | Korea Development Bank, 1.000% due 9/9/26 | | | | | 249,384 | | |
| | | 200,000 | | | | Korea Electric Power Corp., 1.125% due 6/15/25 | | | | | 199,959 | | |
| | | | | | | Total South Korea | | | | | 449,343 | | |
| United Arab Emirates – 0.0% | | ||||||||||||
| | | 200,000 | | | | Abu Dhabi Government International Bond, 2.500% due 4/16/25(a) | | | | | 212,250 | | |
| | | | | | | TOTAL SOVEREIGN BONDS (Cost – $2,439,625) | | | | | 2,454,870 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 9.5% | | ||||||||||||
| DIVERSIFIED – 9.5% | | ||||||||||||
| SPACs – 9.5% | | ||||||||||||
| | | 21,948 | | | | 26 Capital Acquisition Corp., Class A Shares* | | | | $ | 212,676 | | |
| | | 1 | | | | 7GC & Co. Holdings Inc., Class A Shares* | | | | | 10 | | |
| | | 331,829 | | | | 890 5th Avenue Partners Inc., Class A Shares* | | | | | 3,288,425 | | |
| | | 23,979 | | | | Adit EdTech Acquisition Corp.* | | | | | 231,397 | | |
| | | 5 | | | | Aequi Acquisition Corp., Class A Shares* | | | | | 48 | | |
| | | 52,297 | | | | Agrico Acquisition Corp.* | | | | | 529,769 | | |
| | | 23,979 | | | | Alkuri Global Acquisition Corp., Class A Shares*(i) | | | | | 237,872 | | |
| | | 9,681 | | | | Alpha Capital Acquisition Co., Class A Shares* | | | | | 93,906 | | |
| | | 241,235 | | | | Alpha Partners Technology Merger Corp.* | | | | | 2,402,701 | | |
| | | 38,728 | | | | Anzu Special Acquisition Corp. I* | | | | | 379,534 | | |
| | | 27,530 | | | | Arrowroot Acquisition Corp., Class A Shares* | | | | | 265,664 | | |
| | | 55,431 | | | | Athena Technology Acquisition Corp., Class A Shares*(i) | | | | | 548,213 | | |
| | | 23,979 | | | | Athlon Acquisition Corp., Class A Shares* | | | | | 232,836 | | |
| | | 177,273 | | | | Atlantic Avenue Acquisition Corp., Class A Shares* | | | | | 1,733,730 | | |
| | | 3 | | | | Atlantic Coastal Acquisition Corp., Class A Shares* | | | | | 29 | | |
| | | 23,979 | | | | Authentic Equity Acquisition Corp., Class A Shares* | | | | | 236,193 | | |
| | | 168,000 | | | | AxonPrime Infrastructure Acquisition Corp.*(i) | | | | | 1,580,800 | | |
| | | 137,418 | | | | BGP Acquisition Corp., Class A Shares*(c) | | | | | 1,312,342 | | |
| | | 30,427 | | | | Bite Acquisition Corp.* | | | | | 295,142 | | |
| | | 1 | | | | BOA Acquisition Corp., Class A Shares* | | | | | 10 | | |
| | | 4,140 | | | | Bright Lights Acquisition Corp., Class A Shares* | | | | | 40,241 | | |
| | | 17,480 | | | | Capstar Special Purpose Acquisition Corp., Class A Shares*(i) | | | | | 172,877 | | |
| | | 78,591 | | | | Cartesian Growth Corp., Class A Shares* | | | | | 756,831 | | |
| | | 10,575 | | | | Cascade Acquisition Corp., Class A Shares* | | | | | 104,481 | | |
| | | 133,246 | | | | Cerberus Telecom Acquisition Corp., Class A Shares*(i) | | | | | 1,328,463 | | |
| | | 41,903 | | | | CF Acquisition Corp. IV, Class A Shares* | | | | | 406,040 | | |
| | | 46,444 | | | | CF Acquisition Corp. VI*(c) | | | | | 451,436 | | |
| | | 46,688 | | | | Clarim Acquisition Corp., Class A Shares* | | | | | 452,874 | | |
| | | 31,129 | | | | Cohn Robbins Holdings Corp., Class A Shares* | | | | | 303,819 | | |
| | | 23,979 | | | | COVA Acquisition Corp., Class A Shares* | | | | | 231,397 | | |
| | | 500 | | | | Crown PropTech Acquisitions, Class A Shares* | | | | | 4,845 | | |
| | | 7,704 | | | | DHB Capital Corp., Class A Shares*(c) | | | | | 74,344 | | |
| | | 3,300 | | | | DHC Acquisition Corp., Class A Shares* | | | | | 31,812 | | |
| | | 63,566 | | | | Disruptive Acquisition Corp. I, Class A Shares*(c) | | | | | 615,319 | | |
| | | 12,897 | | | | Duddell Street Acquisition Corp., Class A Shares* | | | | | 125,746 | | |
| | | 5 | | | | Edify Acquisition Corp., Class A Shares* | | | | | 48 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| DIVERSIFIED – (continued) | | ||||||||||||
| SPACs – (continued) | | ||||||||||||
| | | 51,531 | | | | EJF Acquisition Corp., Class A Shares*(c) | | | | $ | 497,274 | | |
| | | 42,568 | | | | Empowerment & Inclusion Capital I Corp., Class A Shares* | | | | | 423,552 | | |
| | | 41,900 | | | | Environmental Impact Acquisition Corp., Class A Shares*(i) | | | | | 411,877 | | |
| | | 1,460 | | | | Epiphany Technology Acquisition Corp., Class A Shares* | | | | | 14,118 | | |
| | | 23,979 | | | | EQ Health Acquisition Corp., Class A Shares* | | | | | 231,397 | | |
| | | 59,814 | | | | Equity Distribution Acquisition Corp., Class A Shares* | | | | | 583,785 | | |
| | | 1,790 | | | | Executive Network Partnering Corp., Class A Shares* | | | | | 17,435 | | |
| | | 23,979 | | | | Fintech Evolution Acquisition Group, Class A Shares* | | | | | 232,117 | | |
| | | 224 | | | | Foresight Acquisition Corp., Class A Shares* | | | | | 2,202 | | |
| | | 58,605 | | | | Forum Merger IV Corp., Class A Shares* | | | | | 571,399 | | |
| | | 58,381 | | | | G&P Acquisition Corp., Class A Shares* | | | | | 568,047 | | |
| | | 83,918 | | | | GigCapital4 Inc.*(i) | | | | | 829,110 | | |
| | | 165,031 | | | | Gladstone Acquisition Corp.* | | | | | 1,653,611 | | |
| | | 88,196 | | | | Global Consumer Acquisition Corp.* | | | | | 863,439 | | |
| | | 29,178 | | | | Global Partner Acquisition Corp. II, Class A Shares* | | | | | 284,485 | | |
| | | 13,500 | | | | Goal Acquisitions Corp.* | | | | | 130,410 | | |
| | | 90,017 | | | | Golden Falcon Acquisition Corp., Class A Shares* | | | | | 874,965 | | |
| | | 6,100 | | | | Graf Acquisition Corp. IV* | | | | | 59,780 | | |
| | | 70,544 | | | | Hamilton Lane Alliance Holdings I Inc., Class A Shares* | | | | | 682,160 | | |
| | | 504 | | | | Healthcare Capital Corp., Class A Shares* | | | | | 4,964 | | |
| | | 23,979 | | | | Healthcare Services Acquisition Corp., Class A Shares* | | | | | 232,596 | | |
| | | 364 | | | | HH&L Acquisition Co., Class A Shares* | | | | | 3,523 | | |
| | | 23,979 | | | | Ignyte Acquisition Corp.* | | | | | 230,918 | | |
| | | 51,527 | | | | Isleworth Healthcare Acquisition Corp.* | | | | | 503,934 | | |
| | | 23,979 | | | | Itiquira Acquisition Corp., Class A Shares* | | | | | 231,158 | | |
| | | 23,979 | | | | Jack Creek Investment Corp., Class A Shares* | | | | | 231,877 | | |
| | | 965 | | | | Kismet Acquisition Two Corp., Class A Shares* | | | | | 9,389 | | |
| | | 47,500 | | | | LightJump Acquisition Corp.* | | | | | 465,975 | | |
| | | 468,448 | | | | Mason Industrial Technology Inc., Class A Shares* | | | | | 4,520,523 | | |
| | | 14,797 | | | | Noble Rock Acquisition Corp.* | | | | | 145,602 | | |
| | | 23,979 | | | | North Atlantic Acquisition Corp., Class A Shares* | | | | | 233,076 | | |
| | | 52,110 | | | | Oaktree Acquisition Corp. II, Class A Shares* | | | | | 511,720 | | |
| | | 120,600 | | | | Omnichannel Acquisition Corp., Class A Shares*(i) | | | | | 1,183,086 | | |
| | | 43,737 | | | | One Equity Partners Open Water I Corp., Class A Shares* | | | | | 422,062 | | |
| | | 23,979 | | | | Oyster Enterprises Acquisition Corp., Class A Shares* | | | | | 231,158 | | |
| | | 39,200 | | | | Peridot Acquisition Corp. II, Class A Shares*(i) | | | | | 378,656 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| DIVERSIFIED – (continued) | | ||||||||||||
| SPACs – (continued) | | ||||||||||||
| | | 58,736 | | | | Pono Capital Corp.* | | | | $ | 589,709 | | |
| | | 4,417 | | | | Pontem Corp., Class A Shares* | | | | | 42,845 | | |
| | | 12,783 | | | | PWP Forward Acquisition Corp. I, Class A Shares* | | | | | 122,333 | | |
| | | 79,000 | | | | Quantum FinTech Acquisition Corp.* | | | | | 767,090 | | |
| | | 6,102 | | | | Quarternorth Energy Inc.* | | | | | 631,557 | | |
| | | 49,915 | | | | RMG Acquisition Corp. III, Class A Shares* | | | | | 481,680 | | |
| | | 40,773 | | | | Roth Ch Acquisition IV Co.* | | | | | 407,730 | | |
| | | 7,815 | | | | RXR Acquisition Corp.* | | | | | 77,368 | | |
| | | 2,220 | | | | SCP & CO Healthcare Acquisition Co., Class A Shares* | | | | | 21,490 | | |
| | | 50,471 | | | | Seaport Global Acquisition Corp., Class A Shares*(i) | | | | | 506,729 | | |
| | | 38,349 | | | | Seven Oaks Acquisition Corp., Class A Shares*(i) | | | | | 379,272 | | |
| | | 23,979 | | | | Silver Crest Acquisition Corp., Class A Shares* | | | | | 235,234 | | |
| | | 223,349 | | | | StoneBridge Acquisition Corp.*(c) | | | | | 2,217,856 | | |
| | | 65,340 | | | | Tailwind International Acquisition Corp., Class A Shares*(c) | | | | | 633,798 | | |
| | | 63,698 | | | | Tailwind Two Acquisition Corp., Class A Shares* | | | | | 633,795 | | |
| | | 25,622 | | | | Tech & Energy Transition Corp., Class A Shares* | | | | | 246,996 | | |
| | | 115,315 | | | | Tekkorp Digital Acquisition Corp., Class A Shares* | | | | | 1,126,628 | | |
| | | 32,999 | | | | Thimble Point Acquisition Corp., Class A Shares*(i) | | | | | 326,030 | | |
| | | 85,905 | | | | Tishman Speyer Innovation Corp. II, Class A Shares* | | | | | 839,292 | | |
| | | 2,500 | | | | TLG Acquisition One Corp., Class A Shares* | | | | | 24,675 | | |
| | | 133,499 | | | | Trebia Acquisition Corp., Class A Shares* | | | | | 1,320,305 | | |
| | | 1 | | | | Tuatara Capital Acquisition Corp., Class A Shares* | | | | | 10 | | |
| | | 319,748 | | | | Vector Acquisition Corp. II, Class A Shares* | | | | | 3,123,938 | | |
| | | 72 | | | | Virtuoso Acquisition Corp., Class A Shares* | | | | | 711 | | |
| | | 113,984 | | | | Williams Rowland Acquisition Corp.* | | | | | 1,139,840 | | |
| | | 22,732 | | | | Z-Work Acquisition Corp.* | | | | | 223,683 | | |
| | | | | | | Total SPACs | | | | | 53,273,844 | | |
| | | | | | | TOTAL DIVERSIFIED | | | | | 53,273,844 | | |
| ENERGY – 0.0% | | ||||||||||||
| Oil & Gas Services – 0.0% | | ||||||||||||
| | | 3,121 | | | | Superior Energy Services Inc.*(c) | | | | | 124,450 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $51,934,207) | | | | | 53,398,294 | | |
| EXCHANGE TRADED FUND (ETF) – 6.2% | | ||||||||||||
| | | 685,915 | | | | iShares Core 1-5 Year USD Bond(i) (Cost – $34,976,851) | | | | | 35,194,299 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| PREFERRED STOCK – 0.7% | | ||||||||||||
| FINANCIAL – 0.7% | | ||||||||||||
| Equity Real Estate Investment Trusts (REITs) – 0.7% | | ||||||||||||
| | | 142,531 | | | | Gladstone Land Corp., 5.000% (Cost – $3,563,275) | | | | $ | 3,697,254 | | |
| WARRANTS – 1.3% | | ||||||||||||
| DIVERSIFIED – 1.3% | | ||||||||||||
| SPACs – 1.3% | | ||||||||||||
| | | 26,197 | | | | Cartesian Growth Corp.*(c) | | | | | 17,033 | | |
| | | 14,457 | | | | Clarim Acquisition Corp.*(c) | | | | | 8,530 | | |
| | | 2,568 | | | | DHB Capital Corp.*(c) | | | | | 1,798 | | |
| | | 9,294 | | | | Empowerment & Inclusion Capital I Corp.*(c) | | | | | 5,568 | | |
| | | 1,506 | | | | PWP Forward Acquisition Corp. I*(c) | | | | | 1,310 | | |
| | | 71,605 | | | | Quarternorth Energy Inc.* | | | | | 7,411,117 | | |
| | | 21,780 | | | | Tailwind International Acquisition Corp.*(c) | | | | | 12,410 | | |
| | | | | | | Total SPACs | | | | | 7,457,766 | | |
| | | | | | | TOTAL DIVERSIFIED | | | | | 7,457,766 | | |
| | | | | | | TOTAL WARRANTS (Cost – $44,509) | | | | | 7,457,766 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $530,096,820) | | | | | 537,841,735 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – 11.7% | | ||||||||||||
| TIME DEPOSITS – 10.5% | | ||||||||||||
| | | 77,835EUR | | | | Brown Brothers Harriman – Grand Cayman, (0.780)% due 9/1/21 | | | | | 91,904 | | |
| | | 9,609,926 | | | | China Construction Bank – New York, 0.005% due 9/1/21 | | | | | 9,609,926 | | |
| | | 50,019,087 | | | | Skandinaviska Enskilda Banken AB – Stockholm, 0.005% due 9/1/21 | | | | | 50,019,087 | | |
| | | 2,599,635SEK | | | | Skandinaviska Enskilda Banken AB – Stockholm, (0.250)% due 9/1/21 | | | | | 301,211 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $60,022,128) | | | | | 60,022,128 | | |
| U.S. GOVERNMENT OBLIGATION – 1.2% | | ||||||||||||
| | | 6,600,000 | | | | U. S. Treasury Bills, 0.041% due 10/7/21(j) (Cost – $6,599,733) | | | | | 6,599,733 | | |
| | | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost – $66,621,861) | | | | | 66,621,861 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 3.7% | | ||||||||||||
| MONEY MARKET FUND – 3.7% | | ||||||||||||
| | | 20,957,270 | | | | Federated Government Obligations Fund, Premier Class, 0.025%(k) (Cost – $20,957,270) | | | | $ | 20,957,270 | | |
| | | | | | | TOTAL INVESTMENTS – 110.6% (Cost – $617,675,951) | | | | | 625,420,866 | | |
| | | | | | | Liabilities in Excess of Other Assets – (10.6)% | | | | | (60,296,289) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 565,124,577 | | |
| Corporate Bonds & Notes | | | | | 42.6% | | |
| Senior Loans | | | | | 16.9 | | |
| Common Stocks | | | | | 8.5 | | |
| Exchange Traded Fund (ETF) | | | | | 5.6 | | |
| Asset-Backed Securities | | | | | 4.7 | | |
| Collateralized Mortgage Obligations | | | | | 4.2 | | |
| Warrants | | | | | 1.2 | | |
| Municipal Bonds | | | | | 0.7 | | |
| Preferred Stock | | | | | 0.6 | | |
| Mortgage-Backed Securities | | | | | 0.5 | | |
| Sovereign Bonds | | | | | 0.4 | | |
| Short-Term Investments | | | | | 10.7 | | |
| Money Market Fund | | | | | 3.4 | | |
| | | | | | 100.0% | | |
Foreign Currency | | | Local Currency | | | Counterparty | | | Market Value | | | Settlement Date | | | Unrealized Appreciation | | | Unrealized (Depreciation) | | | Unrealized Appreciation/ (Depreciation) | | |||||||||||||||||||||
Contracts to Buy: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swedish Krona | | | | | 4,405,000 | | | | | | BBH | | | | | $ | 510,446 | | | | | | 9/15/21 | | | | | $ | 11,849 | | | | | $ | — | | | | | $ | 11,849 | | |
Swedish Krona | | | | | 9,075,000 | | | | | | BBH | | | | | | 1,051,601 | | | | | | 9/15/21 | | | | | | 454 | | | | | | — | | | | | | 454 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 12,303 | | | | | $ | — | | | | | | 12,303 | | |
Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Euro | | | | | 28,335,000 | | | | | | BBH | | | | | | 33,465,257 | | | | | | 9/15/21 | | | | | $ | — | | | | | $ | (211,301) | | | | | $ | (211,301) | | |
Norwegian Krone | | | | | 27,547,250 | | | | | | BBH | | | | | | 3,168,919 | | | | | | 9/15/21 | | | | | | — | | | | | | (60,794) | | | | | | (60,794) | | |
Swedish Krona | | | | | 57,804,000 | | | | | | BBH | | | | | | 6,698,262 | | | | | | 9/15/21 | | | | | | — | | | | | | (45,874) | | | | | | (45,874) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | — | | | | | $ | (317,969) | | | | | | (317,969) | | |
Net Unrealized Depreciation on Open Forward Foreign Currency Contracts | | | | $ | 12,303 | | | | | $ | (317,969) | | | | | $ | (305,666) | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – 67.0% | | ||||||||||||
| Australia – 0.2% | | ||||||||||||
| | $ | 1,300,000 | | | | QBE Insurance Group Ltd., Subordinated Notes, 6.750% (USD Swap Rate + 4.300%) due 12/2/44(a)@ | | | | $ | 1,481,155 | | |
| Bermuda – 0.3% | | ||||||||||||
| | | 600,000 | | | | Credicorp Ltd., Senior Unsecured Notes, 2.750% due 6/17/25(b) | | | | | 609,674 | | |
| | | | | | | Digicel Group Holdings Ltd.: | | | | | | | |
| | | 374,051 | | | | Senior Unsecured Notes, 8.000% due 4/1/25(b)(c) | | | | | 323,554 | | |
| | | 61,489 | | | | Subordinated Notes, 7.000%(b)(c)(d) | | | | | 48,341 | | |
| | | 484,000 | | | | Geopark Ltd., Company Guaranteed Notes, 6.500% due 9/21/24 | | | | | 498,520 | | |
| | | 800,000 | | | | Inkia Energy Ltd., Senior Unsecured Notes, 5.875% due 11/9/27 | | | | | 819,008 | | |
| | | | | | | Total Bermuda | | | | | 2,299,097 | | |
| Brazil – 0.9% | | ||||||||||||
| | | 2,500,000 | | | | Banco Bradesco SA, Senior Unsecured Notes, 2.850% due 1/27/23(b) | | | | | 2,552,525 | | |
| | | 500,000 | | | | Banco BTG Pactual SA, Subordinated Notes, 7.750% (5-Year CMT Index + 5.257%) due 2/15/29(a)(b) | | | | | 541,175 | | |
| | | 4,100,000 | | | | Itau Unibanco Holding SA, Subordinated Notes, 3.875% (5-Year CMT Index + 3.446%) due 4/15/31(a) | | | | | 4,074,416 | | |
| | | | | | | Total Brazil | | | | | 7,168,116 | | |
| British Virgin Islands – 0.4% | | ||||||||||||
| | | 1,400,000 | | | | Central American Bottling Corp., Company Guaranteed Notes, 5.750% due 1/31/27 | | | | | 1,466,500 | | |
| | | 1,783,000 | | | | State Grid Overseas Investment 2013 Ltd., Company Guaranteed Notes, 3.125% due 5/22/23 | | | | | 1,858,001 | | |
| | | | | | | Total British Virgin Islands | | | | | 3,324,501 | | |
| Canada – 2.9% | | ||||||||||||
| | | 1,250,000 | | | | Canacol Energy Ltd., Company Guaranteed Notes, 7.250% due 5/3/25 | | | | | 1,315,525 | | |
| | | 9,720,000 | | | | Copper Mountain Mining Corp., Senior Secured Notes, 8.000% due 4/9/26(b) | | | | | 10,165,500 | | |
| | | 750,000 | | | | Emera Inc., Junior Subordinated Notes, 6.750% (3-Month USD-LIBOR + 5.440%) due 6/15/76(a) | | | | | 889,939 | | |
| | | 735,000 | | | | Enbridge Inc., Subordinated Notes, 5.750% (5-Year CMT Index + 5.314%) due 7/15/80(a) | | | | | 829,815 | | |
| | | 1,000,000 | | | | MEGlobal Canada ULC, Company Guaranteed Notes, 5.000% due 5/18/25(b) | | | | | 1,115,024 | | |
| | | 1,738,000 | | | | Rockpoint Gas Storage Canada Ltd., Senior Secured Notes, 7.000% due 3/31/23(b) | | | | | 1,763,444 | | |
| | | 6,339,000 | | | | Tacora Resources Inc., Senior Secured Notes, 8.250% due 5/15/26(b) | | | | | 6,610,182 | | |
| | | | | | | Total Canada | | | | | 22,689,429 | | |
| Cayman Islands – 4.4% | | ||||||||||||
| | | 2,500,000 | | | | Alibaba Group Holding Ltd., Senior Unsecured Notes, 2.800% due 6/6/23 | | | | | 2,592,474 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Cayman Islands – (continued) | | ||||||||||||
| | | | | | | Baidu Inc., Senior Unsecured Notes: | | ||||||
| | $ | 1,100,000 | | | | 3.500% due 11/28/22 | | | | $ | 1,136,406 | | |
| | | 2,400,000 | | | | 3.875% due 9/29/23 | | | | | 2,544,007 | | |
| | | 650,000 | | | | 3.075% due 4/7/25 | | | | | 688,330 | | |
| | | 7,750,000 | | | | CK Hutchison International 21 Ltd., Company Guaranteed Notes, 1.500% due 4/15/26(b) | | | | | 7,822,458 | | |
| | | 200,000 | | | | ENN Energy Holdings Ltd., Senior Unsecured Notes, 3.250% due 7/24/22 | | | | | 203,728 | | |
| | | 2,898,000 | | | | Grupo Aval Ltd., Company Guaranteed Notes, 4.750% due 9/26/22 | | | | | 2,978,999 | | |
| | | 4,500,000 | | | | HPHT Finance 19 Ltd., Company Guaranteed Notes, 2.875% due 11/5/24 | | | | | 4,723,964 | | |
| | | 358,076 | | | | Interoceanica IV Finance Ltd., Senior Secured Notes, zero coupon, due 11/30/25 | | | | | 339,384 | | |
| | | 251,297 | | | | Peru Enhanced Pass-Through Finance Ltd., Pass Thru Certificates, zero coupon, due 6/2/25 | | | | | 239,361 | | |
| | | 5,000,000 | | | | SA Global Sukuk Ltd., Senior Unsecured Notes, 1.602% due 6/17/26(b) | | | | | 5,009,800 | | |
| | | 1,100,000 | | | | Sable International Finance Ltd., Senior Secured Notes, 5.750% due 9/7/27 | | | | | 1,154,560 | | |
| | | 2,732,201 | | | | SPARC EM SPC Panama Metro Line 2 SP, Senior Secured Notes, zero coupon, due 12/5/22(b) | | | | | 2,677,585 | | |
| | | | | | | Tencent Holdings Ltd., Senior Unsecured Notes: | | | | | | | |
| | | 374,000 | | | | 3.280% due 4/11/24 | | | | | 396,814 | | |
| | | 3,500,000 | | | | 1.810% due 1/26/26(b) | | | | | 3,543,180 | | |
| | | | | | | Total Cayman Islands | | | | | 36,051,050 | | |
| Chile – 4.2% | | ||||||||||||
| | | | | | | AES Andes SA, Junior Subordinated Notes: | | | | | | | |
| | | 1,000,000 | | | | 7.125% (5-Year USD Swap Rate + 4.644%) due 3/26/79(a) | | | | | 1,070,000 | | |
| | | 800,000 | | | | 7.125% (5-Year USD Swap Rate + 4.644%) due 3/26/79(a)(b) | | | | | 856,000 | | |
| | | 3,400,000 | | | | Chile Electricity PEC SpA, Senior Secured Notes, zero coupon, due 1/25/28(b) | | | | | 2,756,380 | | |
| | | 400,000 | | | | Colbun SA, Senior Unsecured Notes, 4.500% due 7/10/24 | | | | | 431,004 | | |
| | | 836,687 | | | | Empresa Electrica Angamos SA, Senior Secured Notes, 4.875% due 5/25/29 | | | | | 822,053 | | |
| | | 1,703,600 | | | | Empresa Electrica Cochrane SpA, Senior Secured Notes, 5.500% due 5/14/27 | | | | | 1,719,084 | | |
| | | 6,300,000 | | | | Enel Generacion Chile SA, Senior Unsecured Notes, 4.250% due 4/15/24 | | | | | 6,749,283 | | |
| | | 2,200,000 | | | | Falabella SA, Senior Unsecured Notes, 3.750% due 4/30/23 | | | | | 2,293,522 | | |
| | | 1,882,400 | | | | GNL Quintero SA, Senior Unsecured Notes, 4.634% due 7/31/29 | | | | | 2,037,717 | | |
| | | 1,524,000 | | | | Guacolda Energia SA, Senior Unsecured Notes, 4.560% due 4/30/25 | | | | | 1,028,700 | | |
| | | 5,135,000 | | | | Inversiones CMPC SA, Company Guaranteed Notes, 4.500% due 4/25/22 | | | | | 5,199,187 | | |
| | | 6,000,000 | | | | Telefonica Chile SA, Senior Unsecured Notes, 3.875% due 10/12/22 | | | | | 6,180,000 | | |
| | | 1,803,000 | | | | VTR Comunicaciones SpA, Senior Secured Notes, 5.125% due 1/15/28 | | | | | 1,884,135 | | |
| | | | | | | Total Chile | | | | | 33,027,065 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Colombia – 1.6% | | ||||||||||||
| | $ | 400,000 | | | | Banco Bilbao Vizcaya Argentaria Colombia SA, Subordinated Notes, 4.875% due 4/21/25 | | | | $ | 420,104 | | |
| | | | | | | Bancolombia SA, Subordinated Notes: | | | | | | | |
| | | 2,773,000 | | | | 4.875% (5-Year CMT Index + 2.929%) due 10/18/27(a) | | | | | 2,820,862 | | |
| | | 1,650,000 | | | | 4.625% (5-Year CMT Index + 2.944%) due 12/18/29(a) | | | | | 1,673,100 | | |
| | | 5,600,000 | | | | Ecopetrol SA, Senior Unsecured Notes, 5.875% due 9/18/23 | | | | | 6,034,280 | | |
| | | 1,450,000 | | | | Grupo de Inversiones Suramericana SA, Senior Unsecured Notes, 5.500% due 4/29/26 | | | | | 1,562,926 | | |
| | | | | | | Total Colombia | | | | | 12,511,272 | | |
| Denmark – 0.2% | | ||||||||||||
| | | 1,000,000EUR | | | | Georg Jensen AS, Secured Notes, 6.000% (3-Month EURIBOR + 6.000%) due 5/15/23(a) | | | | | 1,182,263 | | |
| | | 500,000EUR | | | | SGL TransGroup International AS, 11.500% due 9/6/25 | | | | | 581,520 | | |
| | | | | | | Total Denmark | | | | | 1,763,783 | | |
| Dominican Republic – 0.1% | | ||||||||||||
| | | 1,100,000 | | | | Banco de Reservas de la Republica Dominicana, Subordinated Notes, 7.000% due 2/1/23 | | | | | 1,157,761 | | |
| France – 0.3% | | ||||||||||||
| | | 1,200,000 | | | | BNP Paribas SA, Junior Subordinated Notes, 6.625% (5-Year USD Swap Rate + 4.149%)(a)(b)(d) | | | | | 1,309,716 | | |
| | | 575,000 | | | | Credit Agricole SA, Junior Subordinated Notes, 8.125% (5-Year USD Swap Rate + 6.185%)(a)(b)(d) | | | | | 699,344 | | |
| | | 290,000 | | | | Societe Generale SA, Junior Subordinated Notes, 7.875% (5-Year USD Swap Rate + 4.979%)(a)(b)(d) | | | | | 321,537 | | |
| | | | | | | Total France | | | | | 2,330,597 | | |
| Germany – 0.9% | | ||||||||||||
| | | 800,000 | | | | Deutsche Bank AG, Junior Subordinated Notes, 6.000% (5-Year CMT Index + 4.524%)(a)(d) | | | | | 834,000 | | |
| | | 2,640,000EUR | | | | LifeFit Group, Secured Notes, 7.500% (3-Month EURIBOR + 7.500%) due 7/26/23(a) | | | | | 2,992,493 | | |
| | | 2,441,000EUR | | | | LR Global Holding GmbH, Senior Secured Notes, 7.250% (3-Month EURIBOR + 7.250%) due 2/3/25(a) | | | | | 2,990,076 | | |
| | | | | | | Total Germany | | | | | 6,816,569 | | |
| Hong Kong – 0.1% | | ||||||||||||
| | | 500,000 | | | | State Grid Overseas Investment Ltd., Senior Unsecured Notes, 1.000% due 8/5/25 | | | | | 495,015 | | |
| India – 0.9% | | ||||||||||||
| | | 900,000 | | | | Adani Ports & Special Economic Zone Ltd., Senior Unsecured Notes, 3.375% due 7/24/24 | | | | | 940,908 | | |
| | | 1,500,000 | | | | Indian Oil Corp., Ltd., Senior Unsecured Notes, 5.750% due 8/1/23 | | | | | 1,629,465 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| India – (continued) | | ||||||||||||
| | $ | 1,100,000 | | | | ONGC Videsh Ltd., Company Guaranteed Notes, 3.750% due 5/7/23 | | | | $ | 1,145,822 | | |
| | | 3,150,000 | | | | Reliance Industries Ltd., Senior Unsecured Notes, 5.400% due 2/14/22 | | | | | 3,214,480 | | |
| | | | | | | Total India | | | | | 6,930,675 | | |
| Indonesia – 0.4% | | ||||||||||||
| | | 1,900,000 | | | | Pertamina Persero PT, Senior Unsecured Notes, 1.400% due 2/9/26 | | | | | 1,876,343 | | |
| | | 1,000,000 | | | | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, Senior Unsecured Notes, 5.500% due 11/22/21 | | | | | 1,010,000 | | |
| | | | | | | Total Indonesia | | | | | 2,886,343 | | |
| Ireland – 0.2% | | ||||||||||||
| | | 1,400,000 | | | | C&W Senior Financing DAC, Senior Unsecured Notes, 7.500% due 10/15/26 | | | | | 1,459,388 | | |
| Italy – 1.3% | | ||||||||||||
| | | 365,000 | | | | Intesa Sanpaolo SpA, Company Guaranteed Notes, 7.700% (5-Year USD Swap Rate + 5.462%)(a)(b)(d) | | | | | 416,662 | | |
| | | 8,003,000EUR | | | | Linkem SpA, Senior Secured Notes, 6.000% (3-Month EURIBOR + 7.000%) due 8/9/22(a)(b) | | | | | 9,448,597 | | |
| | | 245,000 | | | | UniCredit SpA, Junior Subordinated Notes, 8.000% (5-Year USD Swap Rate + 5.180%)(a)(d)@ | | | | | 270,725 | | |
| | | | | | | Total Italy | | | | | 10,135,984 | | |
| Jersey, Channel Islands – 0.9% | | ||||||||||||
| | | 7,000,000 | | | | Galaxy Pipeline Assets Bidco Ltd., Senior Secured Notes, 1.750% due 9/30/27 | | | | | 7,109,999 | | |
| Luxembourg – 0.2% | | ||||||||||||
| | | 1,575,000 | | | | Millicom International Cellular SA, Senior Unsecured Notes, 5.125% due 1/15/28 | | | | | 1,641,938 | | |
| Malaysia – 2.3% | | ||||||||||||
| | | 1,250,000 | | | | Axiata SPV2 Bhd, Senior Unsecured Notes, 4.357% due 3/24/26 | | | | | 1,404,275 | | |
| | | 200,000 | | | | CIMB Bank Bhd, Senior Unsecured Notes, 3.263% due 3/15/22 | | | | | 202,760 | | |
| | | 1,715,000 | | | | Malayan Banking Bhd, Subordinated Notes, 3.905% (5-Year USD Swap Rate + 2.542%) due 10/29/26(a) | | | | | 1,705,053 | | |
| | | 1,200,000 | | | | Malaysia Sovereign Sukuk Bhd, Unsecured Notes, 3.043% due 4/22/25 | | | | | 1,287,587 | | |
| | | | | | | Petronas Capital Ltd., Company Guaranteed Notes: | | | | | | | |
| | | 2,700,000 | | | | 3.125% due 3/18/22 | | | | | 2,737,692 | | |
| | | 3,400,000 | | | | 3.500% due 3/18/25 | | | | | 3,672,941 | | |
| | | 6,700,000 | | | | TNB Global Ventures Capital Bhd, Senior Unsecured Notes, 3.244% due 10/19/26 | | | | | 7,184,209 | | |
| | | | | | | Total Malaysia | | | | | 18,194,517 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Mexico – 0.8% | | ||||||||||||
| | $ | 3,000,000 | | | | Banco Mercantil del Norte SA, Junior Subordinated Notes, 6.875% (5-Year CMT Index + 5.035%)(a)(d) | | | | $ | 3,090,030 | | |
| | | | | | | BBVA Bancomer SA, Subordinated Notes: | | | | | | | |
| | | 457,000 | | | | 6.750% due 9/30/22 | | | | | 483,067 | | |
| | | 1,943,000 | | | | 5.350% (5-Year CMT Index + 3.000%) due 11/12/29(a) | | | | | 2,059,600 | | |
| | | 350,000 | | | | Fomento Economico Mexicano SAB de CV, Senior Unsecured Notes, 2.875% due 5/10/23 | | | | | 361,645 | | |
| | | 400,000 | | | | Grupo Bimbo SAB de CV, Company Guaranteed Notes, 4.500% due 1/25/22 | | | | | 405,872 | | |
| | | | | | | Total Mexico | | | | | 6,400,214 | | |
| Multinational – 1.0% | | ||||||||||||
| | | 7,897,000 | | | | Connect Finco SARL/Connect US Finco LLC, Senior Secured Notes, 6.750% due 10/1/26(b) | | | | | 8,193,138 | | |
| Netherlands – 1.6% | | ||||||||||||
| | | 1,410,000 | | | | AerCap Holdings NV, Company Guaranteed Notes, 5.875% (5-Year CMT Index + 4.535%) due 10/10/79(a) | | | | | 1,475,565 | | |
| | | 628,000 | | | | Elastic NV, Senior Unsecured Notes, 4.125% due 7/15/29(b) | | | | | 637,715 | | |
| | | 600,000 | | | | ING Groep NV, Junior Subordinated Notes, 5.750% (5-Year CMT Index + 4.342%)(a)(d) | | | | | 660,750 | | |
| | | 3,200,000 | | | | Minejesa Capital BV, Senior Secured Notes, 4.625% due 8/10/30 | | | | | 3,340,000 | | |
| | | 6,150,000 | | | | Petrobras Global Finance BV, Company Guaranteed Notes, 4.375% due 5/20/23 | | | | | 6,519,000 | | |
| | | | | | | Total Netherlands | | | | | 12,633,030 | | |
| Norway – 2.3% | | ||||||||||||
| | | 24,500,000NOK | | | | Aker Horizons Holding ASA, Senior Unsecured Notes, 3.590% (3-Month NIBOR + 3.250%) due 8/15/25(a) | | | | | 2,793,905 | | |
| | | 8,933,000NOK | | | | Duo BidCo AS, 5.350% (3-Month NIBOR + 5.350%) due 4/12/26(a) | | | | | 1,044,287 | | |
| | | 13,500,000NOK | | | | Grieg Seafood ASA, Senior Unsecured Notes, 3.590% (3-Month NIBOR + 3.400%) due 6/25/25(a)(b) | | | | | 1,541,419 | | |
| | | | | | | Jacktel AS: | | | | | | | |
| | | 2,311,375 | | | | Senior Secured Notes, 10.000% due 12/4/23(b)(c) | | | | | 378,488 | | |
| | | 664,931 | | | | Senior Unsecured Notes, 10.000% due 12/4/23 | | | | | 664,931 | | |
| | | 8,300,000EUR | | | | LINK Mobility Group AS, 3.375% due 12/15/25 | | | | | 9,800,225 | | |
| | | 16,700,000NOK | | | | Modex AS, Senior Secured Notes, 8.170% (3-Month NIBOR + 7.750%) due 3/2/26(a) | | | | | 2,018,780 | | |
| | | | | | | Total Norway | | | | | 18,242,035 | | |
| Panama – 0.8% | | ||||||||||||
| | | 2,000,000 | | | | Banistmo SA, Senior Unsecured Notes, 3.650% due 9/19/22(b) | | | | | 2,035,020 | | |
| | | 1,000,000 | | | | Global Bank Corp., Senior Unsecured Notes, 4.500% due 10/20/21 | | | | | 1,004,831 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Panama – (continued) | | ||||||||||||
| | $ | 3,400,000 | | | | Multibank Inc., Senior Unsecured Notes, 4.375% due 11/9/22 | | | | $ | 3,472,284 | | |
| | | | | | | Total Panama | | | | | 6,512,135 | | |
| Paraguay – 0.1% | | ||||||||||||
| | | 950,000 | | | | Banco Continental SAECA, Senior Unsecured Notes, 2.750% due 12/10/25(b) | | | | | 943,312 | | |
| Peru – 2.7% | | ||||||||||||
| | | | | | | Banco de Credito del Peru, Subordinated Notes: | | | | | | | |
| | | 2,050,000 | | | | 3.125% (5-Year CMT Index + 3.000%) due 7/1/30(a) | | | | | 2,050,000 | | |
| | | 1,450,000 | | | | 3.250% (5-Year CMT Index + 2.450%) due 9/30/31(a) | | | | | 1,451,450 | | |
| | | 2,800,000 | | | | 3.250% (5-Year CMT Index + 2.450%) due 9/30/31(a)(b) | | | | | 2,802,800 | | |
| | | 2,700,000 | | | | Banco Internacional del Peru SAA Interbank, Subordinated Notes, 4.000% (1-Year CMT Index + 3.711%) due 7/8/30(a) | | | | | 2,722,950 | | |
| | | 750,000 | | | | Camposol SA, Company Guaranteed Notes, 6.000% due 2/3/27 | | | | | 776,250 | | |
| | | 4,912,059 | | | | Fenix Power Peru SA, Senior Unsecured Notes, 4.317% due 9/20/27 | | | | | 5,010,300 | | |
| | | 2,449,000 | | | | Orazul Energy Egenor SCA, Company Guaranteed Notes, 5.625% due 4/28/27 | | | | | 2,480,837 | | |
| | | 750,000 | | | | Scotiabank Peru SAA, Subordinated Notes, 4.500% (3-Month USD-LIBOR + 3.856%) due 12/13/27(a) | | | | | 765,007 | | |
| | | 3,050,000 | | | | Transportadora de Gas del Peru SA, Senior Unsecured Notes, 4.250% due 4/30/28 | | | | | 3,271,156 | | |
| | | | | | | Total Peru | | | | | 21,330,750 | | |
| Portugal – 0.0% | | ||||||||||||
| | | 70,068 | | | | Invepar, zero coupon, due 12/30/28(e)(f) | | | | | — | | |
| Qatar – 0.1% | | ||||||||||||
| | | 1,100,000 | | | | Qatar Petroleum, Senior Unsecured Notes, 1.375% due 9/12/26(b) | | | | | 1,101,527 | | |
| Saudi Arabia – 0.1% | | ||||||||||||
| | | | | | | Saudi Arabian Oil Co., Senior Unsecured Notes: | | | | | | | |
| | | 500,000 | | | | 2.750% due 4/16/22 | | | | | 506,816 | | |
| | | 300,000 | | | | 1.250% due 11/24/23(b) | | | | | 302,637 | | |
| | | | | | | Total Saudi Arabia | | | | | 809,453 | | |
| Singapore – 5.0% | | ||||||||||||
| | | | | | | DBS Group Holdings Ltd.: | | | | | | | |
| | | 6,100,000 | | | | Junior Subordinated Notes, 3.600% (5-Year USD Swap Rate + 2.390%)(a)(d) | | | | | 6,101,220 | | |
| | | 500,000 | | | | Senior Unsecured Notes, 2.850% due 4/16/22 | | | | | 507,695 | | |
| | | | | | | Subordinated Notes: | | | | | | | |
| | | 500,000 | | | | 4.520% (5-Year USD 1100 Run ICE Swap Rate + 1.590%) due 12/11/28(a) | | | | | 535,200 | | |
| | | 700,000 | | | | 1.822% (5-Year CMT Index + 1.100%) due 3/10/31(a) | | | | | 700,623 | | |
| | | 5,190,000 | | | | ONGC Videsh Vankorneft Pte Ltd., Company Guaranteed Notes, 2.875% due 1/27/22 | | | | | 5,229,340 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Singapore – (continued) | | ||||||||||||
| | $ | 2,500,000 | | | | Oversea-Chinese Banking Corp., Ltd, Subordinated Notes, 1.832% (5-Year CMT Index + 1.580%) due 9/10/30(a)(b) | | | | $ | 2,503,400 | | |
| | | | | | | Oversea-Chinese Banking Corp., Ltd., Subordinated Notes: | | | | | | | |
| | | 4,400,000 | | | | 1.832% (5-Year CMT Index + 1.580%) due 9/10/30(a) | | | | | 4,405,984 | | |
| | | 200,000 | | | | 4.250% due 6/19/24 | | | | | 217,465 | | |
| | | 950,000 | | | | PSA Treasury Pte Ltd., Company Guaranteed Notes, 2.500% due 4/12/26 | | | | | 1,000,223 | | |
| | | | | | | SingTel Group Treasury Pte Ltd., Company Guaranteed Notes: | | | | | | | |
| | | 1,200,000 | | | | 3.250% due 6/30/25 | | | | | 1,294,983 | | |
| | | 2,300,000 | | | | 2.375% due 10/3/26 | | | | | 2,435,450 | | |
| | | 3,000,000 | | | | SP PowerAssets Ltd., Senior Unsecured Notes, 2.700% due 9/14/22 | | | | | 3,068,370 | | |
| | | 4,000,000 | | | | Temasek Financial I Ltd., Company Guaranteed Notes, 2.375% due 1/23/23 | | | | | 4,106,391 | | |
| | | | | | | United Overseas Bank Ltd., Subordinated Notes: | | ||||||
| | | 4,700,000 | | | | 3.500% (5-Year USD Swap Rate + 2.236%) due 9/16/26(a) | | | | | 4,704,277 | | |
| | | 1,900,000 | | | | 3.750% (5-Year CMT Index + 1.500%) due 4/15/29(a) | | | | | 2,021,522 | | |
| | | 1,100,000 | | | | 1.750% (5-Year CMT Index + 1.520%) due 3/16/31(a) | | | | | 1,099,527 | | |
| | | | | | | Total Singapore | | | | | 39,931,670 | | |
| South Korea – 4.0% | | ||||||||||||
| | | 4,900,000 | | | | Korea East-West Power Co., Ltd., Senior Unsecured Notes, 1.750% due 5/6/25(b) | | | | | 5,013,475 | | |
| | | 4,800,000 | | | | Korea Southern Power Co., Ltd., Senior Unsecured Notes, 0.750% due 1/27/26(b) | | | | | 4,706,521 | | |
| | | | | | | KT Corp., Senior Unsecured Notes: | | | | | | | |
| | | 7,300,000 | | | | 1.000% due 9/1/25 | | | | | 7,254,025 | | |
| | | 400,000 | | | | 2.500% due 7/18/26 | | | | | 421,580 | | |
| | | 3,900,000 | | | | LG Chem Ltd., Senior Unsecured Notes, 3.250% due 10/15/24 | | | | | 4,175,027 | | |
| | | 4,000,000 | | | | NongHyup Bank, Senior Unsecured Notes, 1.250% due 7/20/25(b) | | | | | 4,015,070 | | |
| | | | | | | POSCO, Senior Unsecured Notes: | | | | | | | |
| | | 2,000,000 | | | | 2.375% due 11/12/22 | | | | | 2,039,220 | | |
| | | 3,044,000 | | | | 2.375% due 1/17/23 | | | | | 3,108,928 | | |
| | | 700,000 | | | | 2.750% due 7/15/24 | | | | | 735,028 | | |
| | | | | | | Total South Korea | | | | | 31,468,874 | | |
| Sweden – 0.1% | | ||||||||||||
| | | 3,750,000SEK | | | | VNV Global AB, Senior Secured Notes, 5.750% due 10/4/22 | | | | | 445,906 | | |
| Switzerland – 0.4% | | ||||||||||||
| | | 1,365,000 | | | | Credit Suisse Group AG, Junior Subordinated Notes, 6.375% (5-Year CMT Index + 4.822%)(a)(b)(d) | | | | | 1,507,479 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Switzerland – (continued) | | ||||||||||||
| | $ | 1,400,000 | | | | UBS Group AG, Junior Subordinated Notes, 6.875% (5-Year USD Swap Rate + 4.590%)(a)(d)@ | | | | $ | 1,601,250 | | |
| | | | | | | Total Switzerland | | | | | 3,108,729 | | |
| Thailand – 0.2% | | ||||||||||||
| | | 1,800,000 | | | | Bangkok Bank PCL, Senior Unsecured Notes, 3.875% due 9/27/22 | | | | | 1,860,696 | | |
| United Kingdom – 0.9% | | ||||||||||||
| | | | | | | Barclays PLC, Junior Subordinated Notes: | | | | | | | |
| | | 200,000 | | | | 4.375% (5-Year CMT Index + 3.410%)(a)(d) | | | | | 202,560 | | |
| | | 1,325,000 | | | | 7.750% (5-Year USD Swap Rate + 4.842%)(a)(d) | | | | | 1,449,219 | | |
| | | 430,000 | | | | HSBC Holdings PLC, Junior Subordinated Notes, 6.000% (5-Year USD 1100 Run ICE Swap Rate + 3.746%)(a)(d) | | | | | 473,000 | | |
| | | 1,480,000 | | | | Lloyds Banking Group PLC, Junior Subordinated Notes, 7.500% (5-Year USD Swap Rate + 4.496%)(a)(d) | | | | | 1,712,293 | | |
| | | 800,000 | | | | Natwest Group PLC, Junior Subordinated Notes, 6.000% (5-Year CMT Index + 5.625%)(a)(d) | | | | | 895,720 | | |
| | | | | | | Standard Chartered PLC, Junior Subordinated Notes: | | | | | | | |
| | | 335,000 | | | | 4.300% (5-Year CMT Index + 3.135%)(a)(b)(d) | | | | | 333,727 | | |
| | | 440,000 | | | | 6.000% (5-Year CMT Index + 5.661%)(a)(b)(d) | | | | | 483,142 | | |
| | | | | | | Vedanta Resources Ltd., Senior Unsecured Notes: | | | | | | | |
| | | 800,000 | | | | 7.125% due 5/31/23 | | | | | 791,400 | | |
| | | 200,000 | | | | 6.125% due 8/9/24 | | | | | 187,000 | | |
| | | | | | | Vodafone Group PLC: | | | | | | | |
| | | 245,000 | | | | Junior Subordinated Notes, 7.000% (5-Year USD Swap Rate + 4.873%) due 4/4/79(a) | | | | | 302,585 | | |
| | | 180,000 | | | | Subordinated Notes, 4.125% (5-Year CMT Index + 2.767%) due 6/4/81(a) | | | | | 182,669 | | |
| | | | | | | Total United Kingdom | | | | | 7,013,315 | | |
| United States – 24.2% | | ||||||||||||
| | | 8,762,000 | | | | 99 Escrow Issuer Inc., Senior Secured Notes, 7.500% due 1/15/26(b) | | | | | 8,258,185 | | |
| | | 845,000 | | | | Ally Financial Inc., Junior Subordinated Notes, 4.700% (5-Year CMT Index + 3.868%)(a)(d) | | | | | 887,113 | | |
| | | 250,000 | | | | American AgCredit Corp., Junior Subordinated Notes, 5.250% (5-Year CMT Index + 4.500%)(a)(b)(d) | | | | | 254,375 | | |
| | | 245,000 | | | | American Express Co., Junior Subordinated Notes, 3.550% (5-Year CMT Index + 2.854%)(a)(d) | | | | | 249,288 | | |
| | | 395,000 | | | | American International Group Inc., Junior Subordinated Notes, 5.750% (3-Month USD-LIBOR + 2.868%) due 4/1/48(a) | | | | | 455,929 | | |
| | | 3,165,649 | | | | Anagram International Inc./Anagram Holdings LLC, Senior Secured Notes, 15.000% due 8/15/25(b)(c) | | | | | 3,545,527 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | $ | 1,100,000 | | | | Assurant Inc., Subordinated Notes, 7.000% (3-Month USD-LIBOR + 4.135%) due 3/27/48(a) | | | | $ | 1,288,292 | | |
| | | 969,000 | | | | Assured Guaranty Municipal Holdings Inc., Company Guaranteed Notes, 6.400% (1-Month USD-LIBOR + 2.215%) due 12/15/66(a)(b) | | | | | 1,055,715 | | |
| | | 1,350,000 | | | | Bank of America Corp., Junior Subordinated Notes, 6.300% (3-Month USD-LIBOR + 4.553%)(a)(d) | | | | | 1,568,902 | | |
| | | 9,959,000 | | | | Brazos Electric Power Cooperative Inc., zero coupon, due 3/23/49(e) | | | | | 8,963,100 | | |
| | | 133,000 | | | | Briggs & Stratton Corp., Senior Unsecured Notes, zero coupon, due 12/15/20(e)(g) | | | | | 9,975 | | |
| | | 9,400,000 | | | | BuzzFeed Inc., 7.000% due 9/30/26(e)(f) | | | | | — | | |
| | | 630,000 | | | | Capital Farm Credit ACA, Junior Subordinated Notes, 5.000% (5-Year CMT Index + 4.523%)(a)(b)(d) | | | | | 651,231 | | |
| | | | | | | Capital One Financial Corp., Junior Subordinated Notes: | | | | | | | |
| | | 655,000 | | | | 3.935% (3-Month USD-LIBOR + 3.800%)(a)(d) | | | | | 655,000 | | |
| | | 205,000 | | | | 3.950% (5-Year CMT Index + 3.157%)(a)(d) | | | | | 212,431 | | |
| | | 600,000 | | | | CenterPoint Energy Inc., Junior Subordinated Notes, 6.125% (3-Month USD-LIBOR + 3.270%)(a)(d) | | | | | 634,500 | | |
| | | 435,000 | | | | Charles Schwab Corp., Junior Subordinated Notes, 5.375% (5-Year CMT Index + 4.971%)(a)(d) | | | | | 483,416 | | |
| | | 3,365,000 | | | | Chobani LLC/Chobani Finance Corp. Inc., Company Guaranteed Notes, 7.500% due 4/15/25(b) | | | | | 3,515,752 | | |
| | | 260,000 | | | | CIT Group Inc., Junior Subordinated Notes, 5.800% (3-Month USD-LIBOR + 3.972%)(a)(d) | | | | | 265,850 | | |
| | | 2,039,000 | | | | Citigroup Inc., Junior Subordinated Notes, 5.950% (3-Month USD-LIBOR + 3.905%)(a)(d) | | | | | 2,237,802 | | |
| | | | | | | Citizens Financial Group Inc., Junior Subordinated Notes: | | | | | | | |
| | | 155,000 | | | | 4.000% (5-Year CMT Index + 3.215%)(a)(d) | | | | | 158,681 | | |
| | | 100,000 | | | | 6.375% (3-Month USD-LIBOR + 3.157%)(a)(d) | | | | | 106,374 | | |
| | | 1,075,000 | | | | CoBank ACB, Junior Subordinated Notes, 6.250% (3-Month USD-LIBOR + 4.660%)(a)(d) | | | | | 1,217,437 | | |
| | | 650,000 | | | | Compeer Financial ACA, Junior Subordinated Notes, 4.875% (5-Year CMT Index + 4.095%)(a)(b)(d)(e) | | | | | 659,750 | | |
| | | 510,000 | | | | Dairy Farmers of America Inc., Junior Subordinated Notes, 7.125%(b)(d) | | | | | 515,100 | | |
| | | 12,137,000 | | | | Dell International LLC/EMC Corp., Company Guaranteed Notes, 7.125% due 6/15/24(b) | | | | | 12,394,911 | | |
| | | 3,891,000 | | | | Diamond Sports Group LLC/Diamond Sports Finance Co., Senior Secured Notes, 12.750% due 12/1/26(b) | | | | | 2,723,700 | | |
| | | 5,224,000 | | | | Diebold Nixdorf Inc., Company Guaranteed Notes, 8.500% due 4/15/24 | | | | | 5,335,010 | | |
| | | 390,000 | | | | Discover Financial Services, Junior Subordinated Notes, 6.125% (5-Year CMT Index + 5.783%)(a)(d) | | | | | 438,263 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | $ | 1,899,000 | | | | DISH Network Corp., Senior Unsecured Notes, 3.375% due 8/15/26 | | | | $ | 1,980,854 | | |
| | | 1,321,000 | | | | Donnelley Financial Solutions Inc., Company Guaranteed Notes, 8.250% due 10/15/24 | | | | | 1,354,025 | | |
| | | 425,000 | | | | Edison International, Junior Subordinated Notes, 5.375% (5-Year CMT Index + 4.698%)(a)(d) | | | | | 431,906 | | |
| | | 120,000 | | | | Energy Transfer LP, Junior Subordinated Notes, 6.500% (5-Year CMT Index + 5.694%)(a)(d) | | | | | 123,034 | | |
| | | 615,000 | | | | Equitable Holdings Inc., Junior Subordinated Notes, 4.950% (5-Year CMT Index + 4.736%)(a)(d) | | | | | 668,813 | | |
| | | 610,000 | | | | Fifth Third Bancorp, Junior Subordinated Notes, 4.500% (5-Year CMT Index + 4.215%)(a)(d) | | | | | 660,386 | | |
| | | 6,042,000 | | | | Fresh Market Inc., Senior Secured Notes, 9.750% due 5/1/23(b) | | | | | 6,207,913 | | |
| | | 3,164,000 | | | | FXI Holdings Inc., Senior Secured Notes, 12.250% due 11/15/26(b) | | | | | 3,603,701 | | |
| | | 800,000 | | | | General Electric Co., Junior Subordinated Notes, 3.449% (3-Month USD-LIBOR + 3.330%)(a)(d) | | | | | 776,000 | | |
| | | | | | | General Motors Financial Co., Inc., Junior Subordinated Notes: | | | | | | | |
| | | 280,000 | | | | 5.700% (5-Year CMT Index + 4.997%)(a)(d) | | | | | 321,300 | | |
| | | 960,000 | | | | 5.750% (3-Month USD-LIBOR + 3.598%)(a)(d) | | | | | 1,052,323 | | |
| | | 1,489,000 | | | | Getty Images Inc., Senior Unsecured Notes, 9.750% due 3/1/27(b) | | | | | 1,593,230 | | |
| | | 959,000 | | | | Goldman Sachs Group Inc., Junior Subordinated Notes, 5.500% (5-Year CMT Index + 3.623%)(a)(d) | | | | | 1,049,146 | | |
| | | 7,712,715 | | | | Hawaiian Airlines Class A Pass-Through Certificates, Pass Thru Certificates, 3.900% due 1/15/26 | | | | | 7,592,621 | | |
| | | 593,680 | | | | Hawaiian Airlines Class B Pass-Through Certificates, Pass Thru Certificates, 4.950% due 1/15/22 | | | | | 592,799 | | |
| | | 10,447,000 | | | | HC2 Holdings Inc., Senior Secured Notes, 8.500% due 2/1/26(b) | | | | | 10,394,765 | | |
| | | 1,062,000 | | | | 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) | | | | | 1,059,345 | | |
| | | 9,910,000 | | | | Hunt Cos. Inc., Senior Secured Notes, 5.250% due 4/15/29(b) | | | | | 9,711,800 | | |
| | | 1,120,000 | | | | Huntington Bancshares Inc., Junior Subordinated Notes, 5.625% (5-Year CMT Index + 4.945%)(a)(d) | | | | | 1,324,411 | | |
| | | 5,251,000 | | | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., Company Guaranteed Notes, 5.250% due 5/15/27 | | | | | 5,454,214 | | |
| | | 8,988,000 | | | | IEA Energy Services LLC, Company Guaranteed Notes, 6.625% due 8/15/29(b) | | | | | 8,911,602 | | |
| | | | | | | JPMorgan Chase & Co., Junior Subordinated Notes: | | | | | | | |
| | | 435,000 | | | | 3.650% (5-Year CMT Index + 2.850%)(a)(d) | | | | | 441,799 | | |
| | | 1,015,000 | | | | 5.000% (SOFR rate + 3.380%)(a)(d) | | | | | 1,072,733 | | |
| | | 585,000 | | | | 6.750% (3-Month USD-LIBOR + 3.780%)(a)(d) | | | | | 645,694 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | $ | 963,000 | | | | Kaleyra Inc., Senior Unsecured Notes, 6.125% due 6/1/26(b) | | | | $ | 1,029,215 | | |
| | | 475,000 | | | | KeyCorp, Junior Subordinated Notes, 5.000% (3-Month USD-LIBOR + 3.606%)(a)(d) | | | | | 533,168 | | |
| | | 1,655,000 | | | | Land O’ Lakes Inc., Junior Subordinated Notes, 7.250%(b)(d) | | | | | 1,783,263 | | |
| | | | | | | M&T Bank Corp., Junior Subordinated Notes: | | | | | | | |
| | | 100,000 | | | | 3.500% (5-Year CMT Index + 2.679%)(a)(d) | | | | | 102,000 | | |
| | | 500,000 | | | | 5.125% (3-Month USD-LIBOR + 3.520%)(a)(d) | | | | | 554,514 | | |
| | | 855,000 | | | | Markel Corp., Junior Subordinated Notes, 6.000% (5-Year CMT Index + 5.662%)(a)(d) | | | | | 951,102 | | |
| | | | | | | Martin Midstream Partners LP/Martin Midstream Finance Corp., Secured Notes: | | | | | | | |
| | | 7,118,576 | | | | 10.000% due 2/29/24(b) | | | | | 7,296,540 | | |
| | | 3,594,055 | | | | 11.500% due 2/28/25(b) | | | | | 3,689,298 | | |
| | | 825,000 | | | | MetLife Inc., Junior Subordinated Notes, 5.875% (3-Month USD-LIBOR + 2.959%)(a)(d) | | | | | 964,755 | | |
| | | 9,467,000 | | | | MicroStrategy Inc., Senior Secured Notes, 6.125% due 6/15/28(b) | | | | | 9,738,608 | | |
| | | 85,000 | | | | NiSource Inc., Junior Subordinated Notes, 5.650% (5-Year CMT Index + 2.843%)(a)(d) | | | | | 88,825 | | |
| | | 422,000 | | | | NortonLifeLock Inc., Senior Unsecured Notes, 5.000% due 4/15/25(b) | | | | | 426,608 | | |
| | | 195,000 | | | | PartnerRe Finance B LLC, Company Guaranteed Notes, 4.500% (5-Year CMT Index + 3.815%) due 10/1/50(a) | | | | | 204,447 | | |
| | | 3,967,000 | | | | PBF Logistics LP/PBF Logistics Finance Corp., Company Guaranteed Notes, 6.875% due 5/15/23 | | | | | 3,849,775 | | |
| | | 717,000 | | | | PNC Financial Services Group Inc., Junior Subordinated Notes, 5.000% (3-Month USD-LIBOR + 3.300%)(a)(d) | | | | | 802,426 | | |
| | | 480,000 | | | | Provident Financing Trust I, Limited Guaranteed Notes, 7.405% due 3/15/38 | | | | | 581,606 | | |
| | | 1,150,000 | | | | Regions Financial Corp., Junior Subordinated Notes, 5.750% (5-Year CMT Index + 5.430%)(a)(d) | | | | | 1,291,220 | | |
| | | | | | | SBL Holdings Inc., Junior Subordinated Notes: | | | | | | | |
| | | 195,000 | | | | 6.500% (5-Year CMT Index + 5.620%)(a)(b)(d) | | | | | 193,050 | | |
| | | 845,000 | | | | 7.000% (5-Year CMT Index + 5.580%)(a)(b)(d) | | | | | 855,563 | | |
| | | 410,000 | | | | Sempra Energy, Junior Subordinated Notes, 4.875% (5-Year CMT Index + 4.550%)(a)(d) | | | | | 445,219 | | |
| | | 633,000 | | | | Sirius XM Radio Inc., Company Guaranteed Notes, 5.375% due 7/15/26(b) | | | | | 650,015 | | |
| ��� | | 595,000 | | | | Southern Co., Junior Subordinated Notes, 4.000% (5-Year CMT Index + 3.733%) due 1/15/51(a) | | | | | 630,641 | | |
| | | 6,685,000 | | | | StoneX Group Inc., Senior Secured Notes, 8.625% due 6/15/25(b) | | | | | 7,233,170 | | |
| | | 1,156,000 | | | | StorCentric Inc., Senior Secured Notes, 5.875% due 2/19/23(b)(e) | | | | | 1,156,000 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | $ | 3,057,000 | | | | Surgery Center Holdings Inc., Company Guaranteed Notes, 6.750% due 7/1/25(b) | | | | $ | 3,111,476 | | |
| | | | | | | SVB Financial Group, Junior Subordinated Notes: | | | | | | | |
| | | 180,000 | | | | 4.000% (5-Year CMT Index + 3.202%)(a)(d) | | | | | 186,750 | | |
| | | 415,000 | | | | 4.100% (5-Year CMT Index + 3.064%)(a)(d) | | | | | 429,525 | | |
| | | 1,933,000 | | | | Tilray Inc., Senior Unsecured Notes, 5.000% due 10/1/23 | | | | | 1,890,309 | | |
| | | | | | | Truist Financial Corp., Junior Subordinated Notes: | | | | | | | |
| | | 1,640,000 | | | | 4.800% (5-Year CMT Index + 3.003%)(a)(d) | | | | | 1,740,532 | | |
| | | 190,000 | | | | 5.100% (5-Year CMT Index + 4.349%)(a)(d) | | | | | 218,538 | | |
| | | 3,164,000 | | | | Uber Technologies Inc., Senior Unsecured Notes, zero coupon, due 12/15/25(b) | | | | | 2,951,104 | | |
| | | 8,201,000 | | | | UpHealth Inc., Senior Unsecured Notes, 6.250% due 6/15/26(b)(e) | | | | | 6,953,002 | | |
| | | 770,000 | | | | Voya Financial Inc., Junior Subordinated Notes, 6.125% (5-Year CMT Index + 3.358%)(a)(d) | | | | | 827,534 | | |
| | | | | | | Wells Fargo & Co., Junior Subordinated Notes: | | | | | | | |
| | | 950,000 | | | | 3.900% (5-Year CMT Index + 3.453%)(a)(d) | | | | | 987,649 | | |
| | | 1,505,000 | | | | 5.900% (3-Month USD-LIBOR + 3.110%)(a)(d) | | | | | 1,636,582 | | |
| | | | | | | Total United States | | | | | 191,750,052 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Cost – $524,170,241) | | | | | 531,219,090 | | |
| SOVEREIGN BONDS – 9.3% | | ||||||||||||
| Brazil – 0.9% | | ||||||||||||
| | | 6,850,000 | | | | Brazilian Government International Bond, 2.875% due 6/6/25 | | | | | 7,072,830 | | |
| Chile – 0.2% | | ||||||||||||
| | | 1,600,000 | | | | Chile Government International Bond, 3.125% due 1/21/26 | | | | | 1,728,608 | | |
| Colombia – 1.0% | | ||||||||||||
| | | | | | | Colombia Government International Bond: | | | | | | | |
| | | 3,200,000 | | | | 2.625% due 3/15/23 | | | | | 3,257,568 | | |
| | | 3,900,000 | | | | 4.500% due 1/28/26 | | | | | 4,233,996 | | |
| | | | | | | Total Colombia | | | | | 7,491,564 | | |
| Indonesia – 1.5% | | ||||||||||||
| | | | | | | Indonesia Government International Bond: | | | | | | | |
| | | 1,500,000 | | | | 3.750% due 4/25/22 | | | | | 1,531,275 | | |
| | | 2,200,000 | | | | 2.950% due 1/11/23 | | | | | 2,271,324 | | |
| | | 300,000 | | | | 3.375% due 4/15/23 | | | | | 313,383 | | |
| | | | | | | Perusahaan Penerbit SBSN Indonesia III: | | | | | | | |
| | | 1,000,000 | | | | 3.400% due 3/29/22 | | | | | 1,013,990 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| SOVEREIGN BONDS – (continued) | | ||||||||||||
| Indonesia – (continued) | | ||||||||||||
| | $ | 3,018,000 | | | | 3.300% due 11/21/22 | | | | $ | 3,110,622 | | |
| | | 1,321,000 | | | | 3.750% due 3/1/23 | | | | | 1,379,626 | | |
| | | 1,750,000 | | | | 2.300% due 6/23/25 | | | | | 1,824,375 | | |
| | | | | | | Total Indonesia | | | | | 11,444,595 | | |
| Panama – 0.5% | | ||||||||||||
| | | | | | | Panama Government International Bond: | | | | | | | |
| | | 1,760,000 | | | | 4.000% due 9/22/24 | | | | | 1,905,200 | | |
| | | 2,000,000 | | | ��� | 3.750% due 3/16/25 | | | | | 2,165,880 | | |
| | | | | | | Total Panama | | | | | 4,071,080 | | |
| Peru – 1.1% | | ||||||||||||
| | | 1,415,000 | | | | Corp. Financiera de Desarrollo SA, 5.250% (3-Month USD-LIBOR + 5.605%) due 7/15/29(a) | | | | | 1,476,567 | | |
| | | 6,900,000 | | | | Peruvian Government International Bond, 2.392% due 1/23/26 | | | | | 7,135,497 | | |
| | | | | | | Total Peru | | | | | 8,612,064 | | |
| Qatar – 0.8% | | ||||||||||||
| | | | | | | Qatar Government International Bond: | | | | | | | |
| | | 900,000 | | | | 4.500% due 1/20/22 | | | | | 913,950 | | |
| | | 5,200,000 | | | | 3.250% due 6/2/26 | | | | | 5,661,188 | | |
| | | | | | | Total Qatar | | | | | 6,575,138 | | |
| Saudi Arabia – 0.8% | | ||||||||||||
| | | | | | | Saudi Government International Bond: | | | | | | | |
| | | 3,500,000 | | | | 2.375% due 10/26/21 | | | | | 3,509,842 | | |
| | | 3,000,000 | | | | 2.875% due 3/4/23 | | | | | 3,099,474 | | |
| | | | | | | Total Saudi Arabia | | | | | 6,609,316 | | |
| South Korea – 2.0% | | ||||||||||||
| | | | | | | Korea Development Bank: | | | | | | | |
| | | 1,600,000 | | | | 1.250% due 6/3/25 | | | | | 1,620,065 | | |
| | | 2,000,000 | | | | 0.800% due 4/27/26 | | | | | 1,981,172 | | |
| | | 200,000 | | | | 1.000% due 9/9/26 | | | | | 199,507 | | |
| | | 7,200,000 | | | | Korea Electric Power Corp., 1.125% due 6/15/25(b) | | | | | 7,198,546 | | |
| | | 5,100,000 | | | | Korea Hydro & Nuclear Power Co., Ltd., 1.250% due 4/27/26(b) | | | | | 5,098,776 | | |
| | | | | | | Total South Korea | | | | | 16,098,066 | | |
| United Arab Emirates – 0.5% | | ||||||||||||
| | | | | | | Abu Dhabi Government International Bond: | | | | | | | |
| | | 2,000,000 | | | | 0.750% due 9/2/23(b) | | | | | 2,008,920 | | |
| Face Amount/Units† | | | Security | | | Value | | | ||||||||
| SOVEREIGN BONDS – (continued) | | | ||||||||||||||
| United Arab Emirates – (continued) | | | ||||||||||||||
| | $ | 1,600,000 | | | | 2.500% due 4/16/25(b) | | | | $ | 1,698,000 | | | | ||
| | | | | | | Total United Arab Emirates | | | | | 3,706,920 | | | | ||
| | | | | | | TOTAL SOVEREIGN BONDS (Cost – $73,044,962) | | | | | 73,410,181 | | | | ||
| SENIOR LOANS – 7.4%(a) | | | | | ||||||||||||
| | | 422,663 | | | | ABB/Con-Cise Optical Group LLC, 6.000% (3-Month USD-LIBOR + 5.000%) due 6/15/23 | | | | | 406,154 | | | | ||
| | | | | | | Alliance HealthCare Services Inc.: | | | | | | | | | ||
| | | 2,842,933 | | | | 6.750% (3-Month USD-LIBOR + 3.500%) due 10/24/23 | | | | | 2,814,504 | | | | ||
| | | 1,433,463 | | | | 13.250% (3-Month USD-LIBOR + 10.000%) due 4/24/24 | | | | | 1,419,128 | | | | ||
| | | 1,989,616 | | | | Elevate Textiles Inc., 5.145% (3-Month USD-LIBOR + 5.000%) due 5/1/24 | | | | | 1,917,492 | | | | ||
| | | 6,606,639 | | | | First Brands Group LLC, 9.500% (3-Month USD-LIBOR + 8.500%) due 3/30/28 | | | | | 6,656,189 | | | | ||
| | | 798,000 | | | | GemmaCert Ltd., due 5/19/24(e)(f)(h) | | | | | 798,000 | | | | ||
| | | 4,828,763 | | | | Golden Nugget Online Gaming Inc., 13.000% (3-Month USD-LIBOR + 12.000%) due 10/4/23 | | | | | 5,215,064 | | | | ||
| | | 11,217,349 | | | | JZ Capital Partners Ltd., 16.000% (3-Month USD-LIBOR + 11.000% cash + 4.000% PIK) due 10/8/25(c)(e)(f) | | | | | 11,217,349 | | | | ||
| | | 4,514,530 | | | | Lealand Finance Co., BV, 1.085% (1-Month USD-LIBOR + 1.000%) due 6/30/25 | | | | | 1,982,646 | | | | ||
| | | 13,867,000 | | | | Mallinckrodt International Finance SA, due 2/28/22(h) | | | | | 13,632,093 | | | | ||
| | | 4,985,386 | | | | Pixelle Specialty Solutions LLC, 7.500% (1-Month USD-LIBOR + 6.500%) due 10/31/24 | | | | | 4,974,468 | | | | ||
| | | 2,044,106 | | | | RA Acquisition Purchaser LLC, 11.000% (3-Month USD-LIBOR + 10.000%) due 5/31/23(f) | | | | | 2,044,106 | | | | ||
| | | 5,314,000 | | | | Rising Tide Holdings Inc., 9.000% (1-Month USD-LIBOR + 8.250%) due 6/1/29 | | | | | 5,314,000 | | | | ||
| | | | | | | TOTAL SENIOR LOANS (Cost – $59,214,155) | | | | | 58,391,193 | | | | ||
| ASSET-BACKED SECURITIES – 0.2% | | | ||||||||||||||
| | | | | | | Mission Lane Credit Card Master Trust: | | | | | | | | | ||
| | | 567,000 | | | | Series 2021-A, Class A, 1.590% due 9/15/26(b) | | | | | 567,423 | | | | ||
| | | 100,000 | | | | Series 2021-A, Class B, 2.240% due 9/15/26(b) | | | | | 100,318 | | | | ||
| | | 799,000 | | | | Lendingpoint 2021-A Asset Securitization Trust, Series 2021-A, Class A, 1.000% due 12/15/28(b)(e) | | | | | 799,267 | | | | ||
| | | | | | | TOTAL ASSET-BACKED SECURITIES (Cost – $1,465,893) | | | | | 1,467,008 | | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 9.9% | | ||||||||||||
| Canada – 0.3% | | ||||||||||||
| | | 44,400 | | | | Barrick Gold Corp. | | | | $ | 891,108 | | |
| | | 158,308 | | | | BGP Acquisition Corp., Class A Shares*(e) | | | | | 1,511,841 | | |
| | | 21,182 | | | | Frontera Energy Corp.* | | | | | 116,713 | | |
| | | | | | | Total Canada | | | | | 2,519,662 | | |
| Israel – 0.6% | | ||||||||||||
| | | 775,233 | | | | Intercure Ltd.*(i) | | | | | 4,728,921 | | |
| United States – 9.0% | | ||||||||||||
| | | 230,215 | | | | Alpha Partners Technology Merger Corp.* | | | | | 2,292,941 | | |
| | | 43,843 | | | | Alpine Income Property Trust Inc. | | | | | 826,002 | | |
| | | 42,449 | | | | Anzu Special Acquisition Corp. I* | | | | | 416,000 | | |
| | | 230,700 | | | | Appvion Inc.*(e)(f) | | | | | 3,771,945 | | |
| | | 241,887 | | | | Atlantic Avenue Acquisition Corp., Class A Shares* | | | | | 2,365,655 | | |
| | | 147,000 | | | | AxonPrime Infrastructure Acquisition Corp.* | | | | | 1,383,200 | | |
| | | 28,992 | | | | Bite Acquisition Corp.* | | | | | 281,222 | | |
| | | 341,248 | | | | Carney Technology Acquisition Corp. II, Class A Shares* | | | | | 3,316,931 | | |
| | | 91,599 | | | | Cartesian Growth Corp., Class A Shares* | | | | | 882,098 | | |
| | | 99,874 | | | | Cascade Acquisition Corp., Class A Shares*(i) | | | | | 986,755 | | |
| | | 220,946 | | | | Cerberus Telecom Acquisition Corp., Class A Shares*(i) | | | | | 1,597,334 | | |
| | | 54,430 | | | | CF Acquisition Corp. IV, Class A Shares*(i) | | | | | 527,427 | | |
| | | 48,740 | | | | CF Acquisition Corp. VI, Class A Shares*(e) | | | | | 473,753 | | |
| | | 15,782 | | | | Churchill Capital Corp. V, Class A Shares* | | | | | 153,717 | | |
| | | 49,965 | | | | Clarim Acquisition Corp., Class A Shares* | | | | | 484,661 | | |
| | | 30,718 | | | | Cohn Robbins Holdings Corp., Class A Shares* | | | | | 299,808 | | |
| | | 496 | | | | Crestwood Equity Partners LP | | | | | 13,070 | | |
| | | 17,653 | | | | CTO Realty Growth Inc. | | | | | 990,157 | | |
| | | 7,769 | | | | DHB Capital Corp., Class A Shares*(e) | | | | | 74,971 | | |
| | | 74,156 | | | | Disruptive Acquisition Corp. I, Class A Shares*(e) | | | | | 717,830 | | |
| | | 51,535 | | | | DPCM Capital Inc., Class A Shares*(i) | | | | | 503,497 | | |
| | | 60,059 | | | | EJF Acquisition Corp., Class A Shares*(e) | | | | | 579,569 | | |
| | | 24,408 | | | | Empowerment & Inclusion Capital I Corp., Class A Shares* | | | | | 242,860 | | |
| | | 352 | | | | Energy Harbor Corp.* | | | | | 13,317 | | |
| | | 69,779 | | | | Equity Distribution Acquisition Corp., Class A Shares* | | | | | 681,043 | | |
| | | 56,078 | | | | Forum Merger IV Corp., Class A Shares* | | | | | 546,761 | | |
| | | 63,129 | | | | G Squared Ascend II Inc.* | | | | | 631,290 | | |
| | | 128,839 | | | | Galata Acquisition Corp.* | | | | | 1,283,236 | | |
| | | 238,000 | | | | Genesis Park Acquisition Corp., Class A Shares*(e) | | | | | 2,380,000 | | |
| | | 167,452 | | | | Gladstone Acquisition Corp.* | | | | | 1,677,869 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | | 33,614 | | | | Global Partner Acquisition Corp. II, Class A Shares* | | | | $ | 327,737 | | |
| | | 86,133 | | | | Golden Falcon Acquisition Corp., Class A Shares* | | | | | 837,213 | | |
| | | 58,863 | | | | Hamilton Lane Alliance Holdings I Inc., Class A Shares* | | | | | 569,205 | | |
| | | 60,053 | | | | Isleworth Healthcare Acquisition Corp.* | | | | | 587,318 | | |
| | | 62,712 | | | | KINS Technology Group Inc., Class A Shares* | | | | | 622,103 | | |
| | | 18,015 | | | | Latch Inc.* | | | | | 223,566 | | |
| | | 414,933 | | | | Live Oak Acquisition Corp. II, Class A Shares* | | | | | — | | |
| | | 18,600 | | | | Magellan Midstream Partners LP | | | | | 915,306 | | |
| | | 3,221 | | | | MarketWise Inc.*(i) | | | | | 29,053 | | |
| | | 534,907 | | | | Mason Industrial Technology Inc., Class A Shares* | | | | | 5,161,853 | | |
| | | 251,150 | | | | Mcdermott International Ltd.* | | | | | 113,018 | | |
| | | 555,414 | | | | McDermott International Ltd.*(e) | | | | | 249,936 | | |
| | | 17,046 | | | | Noble Rock Acquisition Corp.* | | | | | 167,733 | | |
| | | 68,164 | | | | Oaktree Acquisition Corp. II, Class A Shares* | | | | | 669,370 | | |
| | | 464,815 | | | | Omnichannel Acquisition Corp., Class A Shares*(i) | | | | | 4,559,835 | | |
| | | 50,040 | | | | One Equity Partners Open Water I Corp., Class A Shares* | | | | | 482,886 | | |
| | | 45,730 | | | | Peridot Acquisition Corp. II, Class A Shares* | | | | | 441,734 | | |
| | | 15,000 | | | | Pershing Square Tontine Holdings Ltd., Class A Shares* | | | | | 295,950 | | |
| | | 4,986 | | | | Pontem Corp., Class A Shares* | | | | | 48,364 | | |
| | | 14,913 | | | | PWP Forward Acquisition Corp. I, Class A Shares* | | | | | 142,717 | | |
| | | 52 | | | | Real Alloy Holding Inc.*(e) | | | | | 2,040,228 | | |
| | | 621,485 | | | | Rescap Liquidating Trust*(e) | | | | | 466,114 | | |
| | | 47,352 | | | | RMG Acquisition Corp. III, Class A Shares* | | | | | 456,947 | | |
| | | 508,250 | | | | RMG Acquisition Corp. III, Class A Shares*(e) | | | | | 5,036,757 | | |
| | | 246,967 | | | | Rocket Lab USA Inc.* | | | | | 2,477,079 | | |
| | | 9,458 | | | | RXR Acquisition Corp.* | | | | | 93,634 | | |
| | | 44,738 | | | | Seven Oaks Acquisition Corp., Class A Shares*(i) | | | | | 442,459 | | |
| | | 93,538 | | | | Stratim Cloud Acquisition Corp.*(e) | | | | | 917,608 | | |
| | | 75,654 | | | | Superior Energy Services Inc.*(e) | | | | | 3,016,703 | | |
| | | 76,153 | | | | Tailwind International Acquisition Corp., Class A Shares*(e) | | | | | 738,684 | | |
| | | 73,971 | | | | Tailwind Two Acquisition Corp., Class A Shares* | | | | | 736,011 | | |
| | | 29,889 | | | | Tech & Energy Transition Corp., Class A Shares* | | | | | 288,130 | | |
| | | 138,239 | | | | Tekkorp Digital Acquisition Corp., Class A Shares* | | | | | 1,350,595 | | |
| | | 32,123 | | | | Thimble Point Acquisition Corp., Class A Shares*(i) | | | | | 317,375 | | |
| | | 81,494 | | | | Tishman Speyer Innovation Corp. II, Class A Shares* | | | | | 796,196 | | |
| | | 372,905 | | | | Vector Acquisition Corp. II, Class A Shares* | | | | | 3,643,282 | | |
| | | 33,300 | | | | View Inc., Class A Shares*(e) | | | | | 166,833 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | | 109,237 | | | | Williams Rowland Acquisition Corp.* | | | | $ | 1,092,370 | | |
| | | 27,534 | | | | Z-Work Acquisition Corp.* | | | | | 270,935 | | |
| | | | | | | Total United States | | | | | 71,187,756 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $77,107,843) | | | | | 78,436,339 | | |
| PREFERRED STOCKS – 2.5% | | ||||||||||||
| Bermuda – 0.2% | | ||||||||||||
| | | 25,926 | | | | Aspen Insurance Holdings Ltd., 5.625%(d) | | | | | 717,372 | | |
| | | 24,704 | | | | Athene Holding Ltd., 6.375% (5-Year CMT Index + 5.970%)(a)(d) | | | | | 701,841 | | |
| | | 19,388 | | | | Enstar Group Ltd., 7.000% (3-Month USD-LIBOR + 4.015%)(a)(d) | | | | | 575,630 | | |
| | | | | | | Total Bermuda | | | | | 1,994,843 | | |
| United States – 2.3% | | ||||||||||||
| | | 13,299 | | | | Air Lease Corp., 6.150% (3-Month USD-LIBOR + 3.650%)(a)(d) | | | | | 360,270 | | |
| | | 31,620 | | | | American Equity Investment Life Holding Co., 6.625% (5-Year CMT Index + 6.297%)(a)(d) | | | | | 877,771 | | |
| | | 3,290 | | | | CoBank ACB, 6.250% (3-Month USD-LIBOR + 4.557%)(a)(d) | | | | | 340,515 | | |
| | | 62,996 | | | | CTO Realty Growth Inc., 6.375%*(d) | | | | | 1,653,645 | | |
| | | 1,000 | | | | Dairy Farmers of America Inc., 7.875%(b)(d)(e) | | | | | 101,500 | | |
| | | 39,000 | | | | Delphi Financial Group Inc., 3.315% (3-Month USD-LIBOR + 3.190%)(a)(d) | | | | | 858,000 | | |
| | | 2,400 | | | | Energy Transfer LP, 7.600% (3-Month USD-LIBOR + 5.161%)(a)(d) | | | | | 60,336 | | |
| | | 11,970 | | | | Farm Credit Bank of Texas, 6.750% (3-Month USD-LIBOR + 4.010%)(a)(b)(d) | | | | | 1,280,790 | | |
| | | 62,996 | | | | Federal Home Loan Mortgage Corp., 5.100%*(e)(d) | | | | | 156,230 | | |
| | | 57,977 | | | | Federal National Mortgage Association, 8.250%*(a)(d) | | | | | 102,039 | | |
| | | 32,699 | | | | Gladstone Commercial Corp., 6.000%(d) | | | | | 896,934 | | |
| | | 144,897 | | | | Gladstone Land Corp., 5.000%(d) | | | | | 3,758,628 | | |
| | | 983 | | | | GMAC Capital Trust I, 5.910% (3-Month USD-LIBOR + 5.785%)(a)(d) | | | | | 25,873 | | |
| | | 62,769 | | | | Monmouth Real Estate Investment Corp., 6.125%(d) | | | | | 1,585,545 | | |
| | | 59,120 | | | | Morgan Stanley, 5.850% (3-Month USD-LIBOR + 3.491%)(a)(d) | | | | | 1,765,323 | | |
| | | 15,933 | | | | New York Community Bancorp Inc., 6.375% (3-Month USD-LIBOR + 3.821%)(a)(d) | | | | | 466,837 | | |
| | | 165,902 | | | | NGL Energy Partners LP, 9.000% (3-Month USD-LIBOR + 7.213%)(a)(d) | | | | | 1,834,876 | | |
| | | 49,161 | | | | NuStar Energy LP, 7.625% (3-Month USD-LIBOR + 5.643%)(a)(d) | | | | | 1,079,084 | | |
| | | 6,165 | | | | Synchrony Financial, 5.625%(d) | | | | | 164,112 | | |
| | | 16,234 | | | | WESCO International Inc., 10.625% (5-Year CMT Index + 10.325%)(a)(d) | | | | | 506,988 | | |
| | | 6,536 | | | | Wintrust Financial Corp., 6.875% (5-Year CMT Index + 6.507%)(a)(d) | | | | | 189,348 | | |
| | | | | | | Total United States | | | | | 18,064,644 | | |
| | | | | | | TOTAL PREFERRED STOCKS (Cost – $19,789,689) | | | | | 20,059,487 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| EXCHANGE TRADED FUND (ETF) – 0.1% | | ||||||||||||
| United States – 0.1% | | ||||||||||||
| | | 31,564 | | | | Invesco Senior Loan(i) (Cost – $702,615) | | | | $ | 698,827 | | |
| WARRANTS – 0.0% | | ||||||||||||
| Bermuda – 0.0% | | ||||||||||||
| | | 558,670 | | | | McDermott International Ltd.*(e) | | | | | 5,587 | | |
| | | 502,803 | | | | WT PUR COM*(e) | | | | | 5,028 | | |
| | | | | | | Total Bermuda | | | | | 10,615 | | |
| Brazil – 0.0% | | ||||||||||||
| | | 58,463 | | | | OAS SA*(e)(f) | | | | | — | | |
| Israel – 0.0% | | ||||||||||||
| | | 41,956 | | | | GemmaCert Ltd.*(e)(f) | | | | | — | | |
| United States – 0.0% | | ||||||||||||
| | | 30,533 | | | | Cartesian Growth Corp.*(e) | | | | | 19,853 | | |
| | | 16,655 | | | | Clarim Acquisition Corp.*(e) | | | | | 9,826 | | |
| | | 2,589 | | | | DHB Capital Corp.*(e) | | | | | 1,813 | | |
| | | 12,204 | | | | Empowerment & Inclusion Capital I Corp.*(e) | | | | | 7,311 | | |
| | | 2,982 | | | | PWP Forward Acquisition Corp. I*(e) | | | | | 2,594 | | |
| | | 25,384 | | | | Tailwind International Acquisition Corp.*(e) | | | | | 14,464 | | |
| | | | | | | Total United States | | | | | 55,861 | | |
| | | | | | | TOTAL WARRANTS (Cost – $713,152) | | | | | 66,476 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $756,208,550) | | | | | 763,748,601 | | |
| Face Amount† | | | | | | | | | | | | |||||
| SHORT-TERM INVESTMENTS – 3.6% | | | ||||||||||||||
| TIME DEPOSITS – 3.6% | | | | | ||||||||||||
| | $ | 6,635,739 | | | | ANZ National Bank – London, 0.005% due 9/1/21 | | | | | 6,635,739 | | | | ||
| | | 45,226EUR | | | | BNP Paribas – Paris, (0.780%) due 9/1/21 | | | | | 53,401 | | | | ||
| | | 372,163 | | | | China Construction Bank – New York, 0.005% due 9/1/21 | | | | | 372,163 | | | | ||
| | | 21,577,293 | | | | Skandinaviska Enskilda Banken AB – Stockholm, 0.005% due 9/1/21 | | | | | 21,577,293 | | | | ||
| | | | | | | TOTAL TIME DEPOSITS (Cost – $28,638,596) | | | | | 28,638,596 | | | |
| Shares/Units | | | Security | | | Value | | ||||||
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 0.6% | | ||||||||||||
| MONEY MARKET FUND – 0.6% | | ||||||||||||
| | | 5,002,134 | | | | Federated Government Obligations Fund, Premier Class, 0.025%(j) (Cost – $5,002,135) | | | | $ | 5,002,135 | | |
| | | | | | | TOTAL INVESTMENTS – 100.6% (Cost – $789,849,281) | | | | | 797,389,332 | | |
| | | | | | | Liabilities in Excess of Other Assets – (0.6)% | | | | | (5,058,370) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 792,330,962 | | |
Security | | | First Acquisition Date | | | First 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 | | | | | $ | 1,481,155 | | | | | | 0.19% | | |
UniCredit SpA, Junior Subordinated Notes, 8.000% (5-Year USD Swap Rate + 5.180%) | | | | | 5/4/17 | | | | | | 328,006 | | | | | | 270,725 | | | | | | 0.03% | | |
UBS Group AG, Junior Subordinated Notes, 6.875% (5-Year USD Swap Rate + 4.590%) | | | | | 10/14/20 | | | | | | 1,782,080 | | | | | | 1,601,250 | | | | | | 0.20% | | |
Total | | | | | | | | | | | | | | | | $ | 3,353,130 | | | | | | 0.42% | | |
CMT | — | Constant Maturity Treasury Index |
EURIBOR | — | Euro Interbank Offered Rate |
ICE | — | Intercontinental Exchange |
LIBOR | — | London Interbank Offered Rate |
LLC | — | Limited Liability Company |
LP | — | Limited Partnership |
NIBOR | — | Norwegian Interbank Offered Rate |
PCL | — | Public Company Limited |
PLC | — | Public Limited Company |
SOFR | — | Secured Overnight Financing Rate |
| Corporate Bonds & Notes | | | | | 66.6% | | |
| Common Stocks | | | | | 9.9 | | |
| Sovereign Bonds | | | | | 9.2 | | |
| Senior Loans | | | | | 7.3 | | |
| Preferred Stocks | | | | | 2.5 | | |
| Asset-Backed Securities | | | | | 0.2 | | |
| Exchange Traded Fund (ETF) | | | | | 0.1 | | |
| Warrants | | | | | 0.0* | | |
| Short-Term Investments | | | | | 3.6 | | |
| Money Market Fund | | | | | 0.6 | | |
| | | | | | 100.0% | | |
Equity Options
| Number of Contracts | | | Notional Amount | | | Security Name | | | Counterparty | | | Expiration Date | | | Exercise Rate | | | Value | | |||||||||||||||
| 323 | | | | $ | 740,316 | | | | Defiance Next Gen SPAC Derived | | | | | DB | | | | | | 9/17/21 | | | | | $ | 22.00 | | | | | $ | 51,680 | | |
| 646 | | | | $ | 5,690,614 | | | | iShares iBoxx High Yield | | | | | DB | | | | | | 10/15/21 | | | | | $ | 86.00 | | | | | | 25,840 | | |
| 7 | | | | $ | 61,663 | | | | iShares iBoxx High Yield | | | | | DB | | | | | | 10/15/21 | | | | | $ | 87.00 | | | | | | 756 | | |
| 617 | | | | $ | 618,851 | | | | Rocket Lab USA Inc. | | | | | DB | | | | | | 9/17/21 | | | | | $ | 10.00 | | | | | | 41,956 | | |
| 618 | | | | $ | 619,854 | | | | Rocket Lab USA Inc. | | | | | DB | | | | | | 10/15/21 | | | | | $ | 10.00 | | | | | | 72,924 | | |
| | | | | | | | | | TOTAL OPTIONS CONTRACTS WRITTEN | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | (Premiums received – $256,199) | | | | | | | | | | | | | | | | | | | | | | $ | 193,156 | | |
Foreign Currency | | | Local Currency | | | Counterparty | | | Market Value | | | Settlement Date | | | Unrealized Appreciation | | | Unrealized (Depreciation) | | | Unrealized Appreciation/ (Depreciation) | | | | |||||||||||||||||||||||||
Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||||||||||||
Euro | | | | | 22,539,500 | | | | | | BBH | | | | | $ | 26,620,440 | | | | | | 9/15/21 | | | | | $ | — | | | | | $ | (168,083) | | | | | $ | (168,083) | | | | | ||||
Norwegian Krone | | | | | 64,566,000 | | | | | | BBH | | | | | | 7,427,399 | | | | | | 9/15/21 | | | | | | — | | | | | | (142,490) | | | | | | (142,490) | | | | | ||||
Swedish Krona | | | | | 3,888,000 | | | | | | BBH | | | | | | 450,537 | | | | | | 9/15/21 | | | | | | — | | | | | | (3,086) | | | | | | (3,086) | | | | | ||||
Net Unrealized Depreciation on Open Forward Foreign Currency Contracts | | | | $ | — | | | | | $ | (313,659) | | | | | $ | (313,659) | | | | |
EUR | — | Euro |
NOK | — | Norwegian Krone |
SEK | — | Swedish Krona |
BBH | — | Brown Brothers Harriman & Co. |
DB | — | Deutsche Bank AG |
| Face Amount† | | | Security | | | Value | | ||||||
| SECURITIES SOLD SHORT – 1.5% | | ||||||||||||
| CORPORATE BONDS & NOTES – 0.3% | | ||||||||||||
| Consumer Non-cyclical – 0.1% | | ||||||||||||
| | $ | 840,000 | | | | McKesson Corp., Senior Unsecured Notes, 3.950% due 2/16/28 | | | | $ | 951,647 | | |
| Financial – 0.2% | | ||||||||||||
| | | 1,940,000 | | | | FS Energy & Power Fund, Senior Secured Notes, 7.500% due 8/15/23(a) | | | | | 2,015,175 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Proceeds – $2,831,140) | | | | | 2,966,822 | | |
| Shares/Units | | | | | | | | | | | |||
| EXCHANGE TRADED FUND (ETF) – 1.1% | | ||||||||||||
| | | 96,222 | | | | iShares iBoxx High Yield Corporate Bond (Proceeds – $8,431,791) | | | | | 8,476,196 | | |
| COMMON STOCKS – 0.1% | | ||||||||||||
| INDUSTRIAL – 0.1% | | ||||||||||||
| Environmental Control – 0.1% | | ||||||||||||
| | | 13,400 | | | | GFL Environmental Inc. | | | | | 471,546 | | |
| TECHNOLOGY – 0.0% | | ||||||||||||
| Software – 0.0% | | ||||||||||||
| | | 25,158 | | | | Latch Inc.* | | | | | 312,211 | | |
| | | | | | | TOTAL COMMON STOCKS (Proceeds – $582,052) | | | | | 783,757 | | |
| | | | | | | TOTAL SECURITIES SOLD SHORT – 1.5% (Proceeds – $11,844,983) | | | | $ | 12,226,775 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – 89.0% | | |||||||||||||||
| Alabama – 2.0% | | |||||||||||||||
| | $ | 6,000,000 | | | | AA | | | Alabama Public School & College Authority, Revenue Bonds, Series A, 5.000% due 11/1/31 | | | | $ | 8,060,690 | | |
| | | 2,000,000 | | | | AA- | | | Auburn University, Revenue Bonds, Series A, 5.000% due 6/1/35 | | | | | 2,495,014 | | |
| | | 2,540,000 | | | | A2(a) | | | Lower Alabama Gas District, Revenue Bonds, 4.000% due 12/1/50(b) | | | | | 2,893,559 | | |
| | | | | | | | | | Mobile County Board of School Commissioners, Special Tax: | | | | | | | |
| | | 260,000 | | | | A- | | | 5.000% due 3/1/28 | | | | | 308,793 | | |
| | | 175,000 | | | | A- | | | 5.000% due 3/1/29 | | | | | 207,280 | | |
| | | 180,000 | | | | A- | | | 5.000% due 3/1/30 | | | | | 213,115 | | |
| | | 185,000 | | | | A- | | | 5.000% due 3/1/31 | | | | | 218,812 | | |
| | | 145,000 | | | | A- | | | 5.000% due 3/1/32 | | | | | 171,411 | | |
| | | 215,000 | | | | A- | | | 5.000% due 3/1/33 | | | | | 254,216 | | |
| | | 3,500,000 | | | | A1(a) | | | Southeast Alabama Gas Supply District, Revenue Bonds, Series A, 4.000% due 6/1/49(b) | | | | | 3,825,266 | | |
| | | | | | | | | | Total Alabama | | | | | 18,648,156 | | |
| Alaska – 0.2% | | |||||||||||||||
| | | 1,000,000 | | | | AA+ | | | Alaska Housing Finance Corp., Revenue Bonds, Series A, 5.000% due 6/1/30 | | | | | 1,237,900 | | |
| | | 215,000 | | | | AA- | | | State of Alaska, GO, Series A, 5.000% due 8/1/33 | | | | | 251,868 | | |
| | | | | | | | | | Total Alaska | | | | | 1,489,768 | | |
| Arizona – 3.4% | | |||||||||||||||
| | | | | | | | | | Arizona Department of Transportation State Highway Fund Revenue, Revenue Bonds: | | | | | | | |
| | | 5,000,000 | | | | AA+ | | | 5.000% due 7/1/27 | | | | | 6,077,673 | | |
| | | 3,810,000 | | | | AA+ | | | 5.000% due 7/1/34 | | | | | 4,574,609 | | |
| | | 2,000,000 | | | | AA | | | Arizona State University, Revenue Bonds, Series A, 5.000% due 7/1/39 | | | | | 2,555,093 | | |
| | | 1,800,000 | | | | A+ | | | Chandler Industrial Development Authority, Revenue Bonds, 5.000% due 6/1/49(b)(c) | | | | | 2,022,315 | | |
| | | | | | | | | | City of Glendale AZ, Revenue Bonds: | | | | | | | |
| | | 105,000 | | | | AA | | | Series A, 5.000% due 7/1/23 | | | | | 114,170 | | |
| | | 230,000 | | | | AA | | | Series A, 5.000% due 7/1/27 | | | | | 269,079 | | |
| | | 215,000 | | | | AA | | | Series A, 5.000% due 7/1/28 | | | | | 250,995 | | |
| | | 235,000 | | | | AA | | | Series A, 5.000% due 7/1/29 | | | | | 274,246 | | |
| | | 85,000 | | | | AA | | | Series A, 5.000% due 7/1/32 | | | | | 104,336 | | |
| | | | | | | | | | City of Glendale AZ Transportation Excise Tax Revenue, Revenue Bonds, AGM: | | | | | | | |
| | | 55,000 | | | | AA | | | 5.000% due 7/1/24 | | | | | 62,410 | | |
| | | 105,000 | | | | AA | | | 5.000% due 7/1/26 | | | | | 123,059 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Arizona – (continued) | | |||||||||||||||
| | | | | | | | | | City of Phoenix Civic Improvement Corp., Revenue Bonds: | | ||||||
| | $ | 65,000 | | | | A+ | | | Series A, 5.000% due 7/1/27(c) | | | | $ | 80,573 | | |
| | | 90,000 | | | | A+ | | | Series A, 5.000% due 7/1/28(c) | | | | | 110,807 | | |
| | | 6,365,000 | | | | AAA | | | Series B, 4.000% due 7/1/29 | | | | | 6,999,414 | | |
| | | 1,000,000 | | | | AAA | | | City of Scottsdale AZ, GO, 5.000% due 7/1/23 | | | | | 1,089,454 | | |
| | | 160,000 | | | | A+ | | | Coconino County Pollution Control Corp., Revenue Bonds, 1.875% due 9/1/32(b)(c) | | | | | 163,539 | | |
| | | | | | | | | | County of Pima AZ Sewer System Revenue, Revenue Bonds: | | | | | | | |
| | | 15,000 | | | | AA | | | Series A, 5.000% due 7/1/22 | | | | | 15,602 | | |
| | | 30,000 | | | | AA | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 7/1/23(d) | | | | | 31,205 | | |
| | | | | | | | | | Maricopa County Industrial Development Authority, Revenue Bonds: | | | | | | | |
| | | 800,000 | | | | AA- | | | 5.000% due 1/1/46(b) | | | | | 965,215 | | |
| | | 200,000 | | | | A2(a) | | | 5.000% due 7/1/47 | | | | | 249,692 | | |
| | | 190,000 | | | | AA- | | | Series A, 4.000% due 1/1/24 | | | | | 206,626 | | |
| | | 70,000 | | | | AA- | | | Series A, 5.000% due 1/1/22 | | | | | 71,126 | | |
| | | 145,000 | | | | AA- | | | Series A, 5.000% due 1/1/23 | | | | | 154,344 | | |
| | | 60,000 | | | | AA- | | | Series A, 5.000% due 1/1/24 | | | | | 66,644 | | |
| | | 225,000 | | | | AA- | | | Series A, 5.000% due 1/1/25 | | | | | 259,860 | | |
| | | 735,000 | | | | A2(a) | | | Series B, 5.000% due 9/1/45(b) | | | | | 838,884 | | |
| | | 430,000 | | | | AA- | | | Series B, 5.000% due 1/1/48(b) | | | | | 453,274 | | |
| | | 290,000 | | | | AA- | | | Series C, 5.000% due 1/1/48(b) | | | | | 332,819 | | |
| | | | | | | | | | Salt River Project Agricultural Improvement & Power District, Revenue Bonds: | | | | | | | |
| | | 2,000,000 | | | | AA+ | | | Series A, 5.000% due 1/1/29(e) | | | | | 2,604,195 | | |
| | | 145,000 | | | | AA+ | | | Series A, 5.000% due 1/1/33 | | | | | 181,004 | | |
| | | | | | | | | | State of Arizona, COP: | | | | | | | |
| | | 215,000 | | | | AA- | | | Series A, 5.000% due 10/1/21 | | | | | 215,848 | | |
| | | 225,000 | | | | AA- | | | Series A, 5.000% due 10/1/22 | | | | | 236,853 | | |
| | | 300,000 | | | | AA- | | | Series A, 5.000% due 10/1/23 | | | | | 330,147 | | |
| | | 310,000 | | | | AA- | | | Series A, 5.000% due 10/1/24 | | | | | 355,158 | | |
| | | | | | | | | | Total Arizona | | | | | 32,440,268 | | |
| Arkansas – 0.0% | | |||||||||||||||
| | | 90,000 | | | | Aa2(a) | | | Little Rock School District, GO, 3.000% due 2/1/22 | | | | | 91,071 | | |
| California – 5.1% | | |||||||||||||||
| | | 60,000 | | | | A- | | | Alameda Corridor Transportation Authority, Revenue Bonds, Series A, 5.000% due 10/1/23 | | | | | 65,808 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| California – (continued) | | |||||||||||||||
| | | | | | | | | | Bay Area Toll Authority, Revenue Bonds: | | ||||||
| | $ | 210,000 | | | | AA | | | Series B, 2.850% due 4/1/47(b) | | | | $ | 226,463 | | |
| | | 195,000 | | | | AA | | | Series C, 2.100% due 4/1/45(b) | | | | | 195,306 | | |
| | | 115,000 | | | | AA- | | | California Health Facilities Financing Authority, Revenue Bonds, Series A, 5.000% due 7/1/25 | | | | | 125,332 | | |
| | | | | | | | | | California State Public Works Board, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | A+ | | | Series A, 5.000% due 4/1/22 | | | | | 61,695 | | |
| | | 145,000 | | | | A+ | | | Series A, 5.000% due 4/1/23 | | | | | 149,097 | | |
| | | 3,000,000 | | | | A+ | | | Series A, 5.000% due 2/1/28(e) | | | | | 3,785,147 | | |
| | | 3,000,000 | | | | A+ | | | Series A, 5.000% due 2/1/29(e) | | | | | 3,865,533 | | |
| | | 115,000 | | | | A+ | | | Series A, 5.250% due 10/1/24 | | | | | 115,467 | | |
| | | 115,000 | | | | A+ | | | Series A, 5.250% due 10/1/25 | | | | | 115,467 | | |
| | | 70,000 | | | | A+ | | | Series D, 5.000% due 12/1/21 | | | | | 70,830 | | |
| | | 30,000 | | | | A+ | | | Series G, 5.000% due 11/1/23 | | | | | 31,708 | | |
| | | 30,000 | | | | A+ | | | Series G, 5.000% due 11/1/24 | | | | | 31,686 | | |
| | | | | | | | | | California Statewide Communities Development Authority, Revenue Bonds: | | | | | | | |
| | | 1,545,000 | | | | A- | | | 4.000% due 4/1/35(e) | | | | | 1,871,056 | | |
| | | 1,590,000 | | | | A- | | | 4.000% due 4/1/36(e) | | | | | 1,919,573 | | |
| | | 1,000,000 | | | | A- | | | 4.000% due 4/1/39(e) | | | | | 1,197,715 | | |
| | | 1,750,000 | | | | A- | | | 4.000% due 4/1/40(e) | | | | | 2,085,954 | | |
| | | 1,000,000 | | | | A- | | | 4.000% due 4/1/46(e) | | | | | 1,174,656 | | |
| | | 3,000,000 | | | | AA- | | | City of Riverside CA Sewer Revenue, Revenue Bonds, Series A, 5.000% due 8/1/36 | | | | | 3,786,461 | | |
| | | | | | | | | | Golden State Tobacco Securitization Corp., Revenue Bonds: | | | | | | | |
| | | 175,000 | | | | A+ | | | Series A, AMBAC, zero coupon, due 6/1/24 | | | | | 173,101 | | |
| | | 145,000 | | | | A+ | | | Series A, 5.000% due 6/1/29 | | | | | 157,233 | | |
| | | 115,000 | | | | A | | | Series A1, 5.000% due 6/1/25 | | | | | 134,133 | | |
| | | 30,000 | | | | BBB | | | Series A1, 5.000% due 6/1/26 | | | | | 36,123 | | |
| | | 290,000 | | | | AA- | | | Los Angeles Department of Water & Power Power System Revenue, Revenue Bonds, Series A, 5.000% due 7/1/29 | | | | | 334,408 | | |
| | | 1,500,000 | | | | Aa3(a) | | | Los Angeles Unified School District, GO, Series A, 5.000% due 7/1/27 | | | | | 1,882,733 | | |
| | | 170,000 | | | | Aa3(a) | | | Oakland Alameda County Coliseum Authority, Revenue Bonds, Series A, 5.000% due 2/1/23 | | | | | 172,962 | | |
| | | | | | | | | | Oakland Unified School District, GO: | | | | | | | |
| | | 100,000 | | | | AA | | | AGM, 5.000% due 8/1/26 | | | | | 117,801 | | |
| | | 30,000 | | | | A- | | | Series A, 5.000% due 8/1/28 | | | | | 35,272 | | |
| | | 145,000 | | | | A+ | | | Port of Oakland, Revenue Bonds, Series P, 5.000% due 5/1/22(c) | | | | | 149,649 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| California – (continued) | | |||||||||||||||
| | $ | 90,000 | | | | A | | | Sacramento City Financing Authority, Special Tax, Series A, NPFG, zero coupon, due 12/1/26 | | | | $ | 85,445 | | |
| | | 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) | | | | | 262,687 | | |
| | | | | | | | | | San Diego County Regional Transportation Commission, Revenue Bonds: | | | | | | | |
| | | 600,000 | | | | AA | | | Series B, 5.000% due 4/1/34 | | | | | 813,733 | | |
| | | 250,000 | | | | AA | | | Series B, 5.000% due 4/1/35 | | | | | 338,165 | | |
| | | 300,000 | | | | AA | | | Series B, 5.000% due 4/1/36 | | | | | 404,239 | | |
| | | 400,000 | | | | AA | | | Series B, 5.000% due 4/1/37 | | | | | 537,253 | | |
| | | 500,000 | | | | AA | | | Series B, 5.000% due 4/1/38 | | | | | 669,800 | | |
| | | 500,000 | | | | AA | | | Series B, 5.000% due 4/1/39 | | | | | 667,962 | | |
| | | 515,000 | | | | AA | | | Series B, 5.000% due 4/1/40 | | | | | 684,221 | | |
| | | 185,000 | | | | A | | | San Francisco City & County Airport Comm-San Francisco International Airport, Revenue Bonds, Series A, 5.000% due 5/1/37(c) | | | | | 232,194 | | |
| | | 2,500,000 | | | | AA+ | | | Santa Clara County Financing Authority, Revenue Bonds, Series A, 3.000% due 5/1/39 | | | | | 2,761,323 | | |
| | | | | | | | | | State of California, GO: | | | | | | | |
| | | 760,000 | | | | AA- | | | 4.000% due 3/1/26 | | | | | 883,241 | | |
| | | 3,000,000 | | | | AA- | | | 5.000% due 12/1/27 | | | | | 3,810,517 | | |
| | | 80,000 | | | | AA- | | | 5.000% due 9/1/29 | | | | | 97,435 | | |
| | | 1,000,000 | | | | AA- | | | 5.000% due 4/1/30 | | | | | 1,339,443 | | |
| | | 760,000 | | | | AA- | | | 5.000% due 8/1/30 | | | | | 951,532 | | |
| | | 3,310,000 | | | | AA- | | | 5.000% due 9/1/30(e) | | | | | 4,470,826 | | |
| | | 3,000,000 | | | | AA- | | | 5.000% due 4/1/36 | | | | | 3,864,356 | | |
| | | 435,000 | | | | AA- | | | Series B, 5.000% due 8/1/26 | | | | | 532,023 | | |
| | | 205,000 | | | | AA- | | | Series C, 5.000% due 8/1/29 | | | | | 249,051 | | |
| | | 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) | | | | | 65,787 | | |
| | | 100,000 | | | | A1(a) | | | Washington Township Health Care District, GO, Series A, 5.500% due 8/1/40 | | | | | 113,579 | | |
| | | 230,000 | | | | AA- | | | West Contra Costa Unified School District, GO, Series Prerefunded 8/1/22 @ 100, 5.000% due 8/1/26(d) | | | | | 240,205 | | |
| | | | | | | | | | Total California | | | | | 48,143,386 | | |
| Colorado – 2.4% | | |||||||||||||||
| | | 3,000,000 | | | | AA+ | | | Arapahoe County School District No 5 Cherry Creek, GO, 5.000% due 12/15/38 | | | | | 3,964,523 | | |
| | | | | | | | | | City & County of Denver CO Airport System Revenue, Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | A+ | | | Series A, 5.000% due 11/15/24(c) | | | | | 74,605 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Colorado – (continued) | | |||||||||||||||
| | $ | 315,000 | | | | A | | | Series A, 5.000% due 12/1/26(c) | | | | $ | 384,800 | | |
| | | 30,000 | | | | A+ | | | Series A, 5.000% due 11/15/27(c) | | | | | 37,540 | | |
| | | 195,000 | | | | A+ | | | Series A, 5.000% due 11/15/28(c) | | | | | 242,037 | | |
| | | 145,000 | | | | A+ | | | Series A, 5.000% due 11/15/29(c) | | | | | 179,865 | | |
| | | 115,000 | | | | A+ | | | Series A, 5.000% due 11/15/30(c) | | | | | 142,277 | | |
| | | 915,000 | | | | A+ | | | Series C, 5.000% due 11/15/30 | | | | | 1,201,606 | | |
| | | 1,500,000 | | | | AA+ | | | City of Colorado Springs CO Utilities System Revenue, Revenue Bonds, 4.000% due 11/15/46 | | | | | 1,817,926 | | |
| | | | | | | | | | Colorado Health Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 655,000 | | | | Aaa(a) | | | zero coupon, due 7/15/22 | | | | | 653,635 | | |
| | | 215,000 | | | | A- | | | 2.800% due 5/15/42(b) | | | | | 221,170 | | |
| | | 2,115,000 | | | | AA | | | 5.000% due 11/15/36(b) | | | | | 2,340,230 | | |
| | | 190,000 | | | | Baa1(a) | | | 5.000% due 9/1/46 | | | | | 219,274 | | |
| | | 640,000 | | | | AA | | | 5.000% due 11/15/49(b) | | | | | 787,720 | | |
| | | 500,000 | | | | BBB+ | | | Series A, 5.000% due 8/1/44 | | | | | 620,206 | | |
| | | 325,000 | | | | BBB+ | | | Series B-2, 5.000% due 8/1/49(b) | | | | | 385,144 | | |
| | | 220,000 | | | | BBB+ | | | Series D3, 5.000% due 10/1/38(b) | | | | | 221,990 | | |
| | | 95,000 | | | | AA | | | Colorado Housing & Finance Authority, Revenue Bonds, Series H, 4.250% due 11/1/49 | | | | | 106,139 | | |
| | | 1,500,000 | | | | AAA | | | Metro Wastewater Reclamation District, Revenue Bonds, Series A, Prerefunded 4/1/22 @ 100, 4.000% due 4/1/30(d) | | | | | 1,533,943 | | |
| | | 2,000,000 | | | | AA+ | | | Regional Transportation District Sales Tax Revenue, Revenue Bonds, 0.900% due 11/1/26 | | | | | 1,973,564 | | |
| | | 2,250,000 | | | | AA- | | | State of Colorado, COP, Series A, 4.000% due 12/15/36 | | | | | 2,673,075 | | |
| | | 1,435,000 | | | | Aa1(a) | | | University of Colorado, Revenue Bonds, Series C, 2.000% due 6/1/54(b) | | | | | 1,506,731 | | |
| | | 210,000 | | | | AA | | | University of Colorado Hospital Authority, Revenue Bonds, Series C, 5.000% due 11/15/38(b) | | | | | 211,927 | | |
| | | | | | | | | | Vauxmont Metropolitan District, GO, AGM: | | | | | | | |
| | | 150,000 | | | | AA | | | 5.000% due 12/1/21 | | | | | 151,676 | | |
| | | 125,000 | | | | AA | | | 5.000% due 12/15/27 | | | | | 145,955 | | |
| | | 120,000 | | | | AA | | | 5.000% due 12/15/29 | | | | | 139,343 | | |
| | | 135,000 | | | | AA | | | 5.000% due 12/15/31 | | | | | 156,028 | | |
| | | 285,000 | | | | AA | | | 5.000% due 12/1/34 | | | | | 363,838 | | |
| | | | | | | | | | Total Colorado | | | | | 22,456,767 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Connecticut – 2.1% | | |||||||||||||||
| | | | | | | | | | Connecticut State Health & Educational Facilities Authority, Revenue Bonds: | | ||||||
| | $ | 1,075,000 | | | | AAA | | | Series 2017 B1, 5.000% due 7/1/29 | | | | $ | 1,414,932 | | |
| | | 410,000 | | | | A | | | Series A, 5.000% due 7/1/34 | | | | | 523,148 | | |
| | | 505,000 | | | | AA- | | | Series B, 1.800% due 7/1/49(b) | | | | | 522,546 | | |
| | | 65,000 | | | | A- | | | Series S, 5.000% due 7/1/26 | | | | | 77,976 | | |
| | | 30,000 | | | | A- | | | Series S, 5.000% due 7/1/29 | | | | | 37,651 | | |
| | | 4,465,000 | | | | AAA | | | Series V1, 0.010% due 7/1/36(b) | | | | | 4,465,000 | | |
| | | | | | | | | | State of Connecticut, GO: | | | | | | | |
| | | 2,100,000 | | | | A+ | | | 5.000% due 7/15/25 | | | | | 2,478,609 | | |
| | | 90,000 | | | | A+ | | | Series A, 5.000% due 3/15/26 | | | | | 108,518 | | |
| | | 375,000 | | | | A+ | | | Series A, 5.000% due 4/15/26 | | | | | 453,372 | | |
| | | 150,000 | | | | A+ | | | Series A, 5.000% due 4/15/30 | | | | | 194,448 | | |
| | | 170,000 | | | | A+ | | | Series A, 5.000% due 4/15/34 | | | | | 216,780 | | |
| | | 60,000 | | | | A+ | | | Series A, 5.000% due 4/15/35 | | | | | 76,350 | | |
| | | 175,000 | | | | A+ | | | Series B, 5.000% due 1/15/26 | | | | | 209,860 | | |
| | | 85,000 | | | | A+ | | | Series E, 5.000% due 9/15/23 | | | | | 89,289 | | |
| | | 100,000 | | | | A+ | | | Series E, 5.000% due 10/15/26 | | | | | 122,796 | | |
| | | 150,000 | | | | A+ | | | Series E, 5.000% due 10/15/29 | | | | | 182,514 | | |
| | | 1,600,000 | | | | A+ | | | Series F, 5.000% due 9/15/26 | | | | | 1,959,816 | | |
| | | | | | | | | | State of Connecticut Special Tax Revenue, Revenue Bonds: | | | | | | | |
| | | 2,250,000 | | | | AA- | | | Series C, 5.000% due 1/1/30(e) | | | | | 2,955,475 | | |
| | | 1,500,000 | | | | AA- | | | Series C, 5.000% due 1/1/32(e) | | | | | 2,044,837 | | |
| | | 1,500,000 | | | | AAA | | | Town of Greenwich CT, GO, 5.000% due 1/15/23 | | | | | 1,600,960 | | |
| | | 330,000 | | | | A+ | | | University of Connecticut, Revenue Bonds, Series A, 5.000% due 11/1/27 | | | | | 416,619 | | |
| | | | | | | | | | Total Connecticut | | | | | 20,151,496 | | |
| Delaware – 0.4% | | |||||||||||||||
| | | | | | | | | | Delaware River & Bay Authority, Revenue Bonds: | | | | | | | |
| | | 85,000 | | | | A | | | Series C, 5.000% due 1/1/22 | | | | | 86,355 | | |
| | | 35,000 | | | | A | | | Series C, 5.000% due 1/1/24 | | | | | 38,781 | | |
| | | 80,000 | | | | A | | | Series C, 5.000% due 1/1/25 | | | | | 88,601 | | |
| | | 220,000 | | | | A | | | Delaware State Economic Development Authority, Revenue Bonds, 1.050% due 1/1/31(b) | | | | | 225,017 | | |
| | | 3,160,000 | | | | NR | | | State of Delaware, GO, Series B, Prerefunded 7/1/24 @ 100, 5.000% due 7/1/27(d) | | | | | 3,580,209 | | |
| | | | | | | | | | Total Delaware | | | | | 4,018,963 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| District of Columbia – 0.8% | | |||||||||||||||
| | $ | 2,000,000 | | | | AA+ | | | District of Columbia, GO, Series C, 5.000% due 6/1/34 | | | | $ | 2,245,965 | | |
| | | | | | | | | | District of Columbia, Revenue Bonds: | | | | | | | |
| | | 80,000 | | | | AAA | | | Series A, 5.000% due 12/1/36 | | | | | 80,920 | | |
| | | 40,000 | | | | NR | | | Series A, Prerefunded 12/01/21 @ 100, 5.000% due 12/1/36(d) | | | | | 40,479 | | |
| | | | | | | | | | Metropolitan Washington Airports Authority Aviation Revenue, Revenue Bonds: | | | | | | | |
| | | 90,000 | | | | A+ | | | Series A, 5.000% due 10/1/21(c) | | | | | 90,354 | | |
| | | 50,000 | | | | A+ | | | Series A, 5.000% due 10/1/22(c) | | | | | 52,628 | | |
| | | 75,000 | | | | A+ | | | Series A, 5.000% due 10/1/23(c) | | | | | 82,474 | | |
| | | 2,625,000 | | | | A+ | | | Series A, 5.000% due 10/1/24(c) | | | | | 3,001,119 | | |
| | | 115,000 | | | | A+ | | | Series A, 5.000% due 10/1/28(c) | | | | | 146,659 | | |
| | | 120,000 | | | | A+ | | | Series A, 5.000% due 10/1/29(c) | | | | | 152,735 | | |
| | | 95,000 | | | | A+ | | | Series A, 5.000% due 10/1/30(c) | | | | | 120,517 | | |
| | | 205,000 | | | | A+ | | | Series A, 5.000% due 10/1/31(c) | | | | | 257,571 | | |
| | | 60,000 | | | | A+ | | | Series A, 5.000% due 10/1/34(c) | | | | | 74,133 | | |
| | | 55,000 | | | | A+ | | | Series A, 5.000% due 10/1/36(c) | | | | | 67,882 | | |
| | | 195,000 | | | | A+ | | | Series C, 5.000% due 10/1/22(c) | | | | | 195,745 | | |
| | | 210,000 | | | | A+ | | | Series C, 5.000% due 10/1/23(c) | | | | | 210,803 | | |
| | | 190,000 | | | | A+ | | | Series C, 5.000% due 10/1/24(c) | | | | | 190,726 | | |
| | | 255,000 | | | | A+ | | | Series C, 5.000% due 10/1/25(c) | | | | | 255,974 | | |
| | | 400,000 | | | | A- | | | Metropolitan Washington Airports Authority Dulles Toll Road Revenue, Revenue Bonds, 4.000% due 10/1/35 | | | | | 473,733 | | |
| | | 240,000 | | | | AA- | | | Washington Metropolitan Area Transit Authority, Revenue Bonds, Series B, 5.000% due 7/1/34 | | | | | 294,724 | | |
| | | | | | | | | | Total District of Columbia | | | | | 8,035,141 | | |
| Florida – 4.0% | | |||||||||||||||
| | | | | | | | | | Brevard County School District, COP: | | | | | | | |
| | | 95,000 | | | | Aa3(a) | | | 5.000% due 7/1/27 | | | | | 107,366 | | |
| | | 215,000 | | | | Aa3(a) | | | 5.000% due 7/1/30 | | | | | 242,596 | | |
| | | 85,000 | | | | Aa3(a) | | | Series C, 5.000% due 7/1/24 | | | | | 95,653 | | |
| | | 60,000 | | | | A+ | | | Citizens Property Insurance Inc., Revenue Bonds, Series A1, 5.000% due 6/1/22 | | | | | 62,174 | | |
| | | | | | | | | | City of Clearwater FL Water & Sewer Revenue, Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | AA+ | | | 5.000% due 12/1/21 | | | | | 40,487 | | |
| | | 65,000 | | | | AA+ | | | Series Prerefunded 12/1/21 @ 100, 5.000% due 12/1/23(d) | | | | | 65,787 | | |
| | | 70,000 | | | | AA+ | | | Series Prerefunded 12/1/21 @ 100, 5.000% due 12/1/24(d) | | | | | 70,848 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | | | | | | | | | City of Jacksonville FL, Revenue Bonds: | | ||||||
| | $ | 115,000 | | | | A+ | | | 5.000% due 10/1/22 | | | | $ | 121,095 | | |
| | | 155,000 | | | | A+ | | | 5.000% due 10/1/23 | | | | | 163,181 | | |
| | | 55,000 | | | | A+ | | | City of Tampa FL, Revenue Bonds, 5.000% due 9/1/28 | | | | | 57,494 | | |
| | | | | | | | | | County of Broward FL Airport System Revenue, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | A | | | 5.000% due 10/1/30(c) | | | | | 73,991 | | |
| | | 90,000 | | | | A | | | 5.000% due 10/1/31(c) | | | | | 110,625 | | |
| | | 120,000 | | | | A | | | Series A, 5.000% due 10/1/29(c) | | | | | 140,812 | | |
| | | 85,000 | | | | A | | | Series A, 5.000% due 10/1/31(c) | | | | | 99,480 | | |
| | | 115,000 | | | | A | | | Series A, 5.000% due 10/1/32(c) | | | | | 134,591 | | |
| | | 1,000,000 | | | | A | | | Series B, 5.000% due 10/1/29(c) | | | | | 1,302,571 | | |
| | | 90,000 | | | | A | | | Series Q1, 5.000% due 10/1/23 | | | | | 94,679 | | |
| | | | | | | | | | County of Hillsborough FL Solid Waste & Resource Recovery Revenue, Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | AA+ | | | Series A, 5.000% due 9/1/21(c) | | | | | 40,000 | | |
| | | 50,000 | | | | AA+ | | | Series A, 5.000% due 9/1/22(c) | | | | | 52,370 | | |
| | | 60,000 | | | | AA+ | | | Series A, 5.000% due 9/1/23(c) | | | | | 65,355 | | |
| | | 65,000 | | | | AA+ | | | Series A, 5.000% due 9/1/24(c) | | | | | 73,436 | | |
| | | 65,000 | | | | AA+ | | | Series A, 5.000% due 9/1/26(c) | | | | | 78,135 | | |
| | | | | | | | | | County of Miami-Dade FL, Revenue Bonds: | | | | | | | |
| | | 160,000 | | | | A+ | | | 5.000% due 10/1/28 | | | | | 195,375 | | |
| | | 120,000 | | | | A+ | | | 5.000% due 10/1/29 | | | | | 146,115 | | |
| | | 215,000 | | | | A+ | | | 5.000% due 10/1/30 | | | | | 261,385 | | |
| | | 65,000 | | | | A+ | | | Series A, Prerefunded 10/01/22 @ 100, 5.000% due 10/1/25(d) | | | | | 68,424 | | |
| | | 120,000 | | | | AA | | | County of Miami-Dade FL, GO, Series A, 5.000% due 11/1/23 | | | | | 132,450 | | |
| | | | | | | | | | County of Miami-Dade FL Aviation Revenue, Revenue Bonds: | | | | | | | |
| | | 175,000 | | | | A- | | | Series A, 5.000% due 10/1/21(c) | | | | | 175,676 | | |
| | | 85,000 | | | | A- | | | Series A, 5.000% due 10/1/22(c) | | | | | 89,391 | | |
| | | 290,000 | | | | A- | | | Series A, 5.000% due 10/1/24(c) | | | | | 304,721 | | |
| | | 55,000 | | | | A- | | | Series A, 5.000% due 10/1/27(c) | | | | | 62,372 | | |
| | | 80,000 | | | | A- | | | Series A, 5.000% due 10/1/29(c) | | | | | 90,670 | | |
| | | 70,000 | | | | A- | | | Series A, 5.000% due 10/1/30 | | | | | 84,479 | | |
| | | 30,000 | | | | A- | | | Series A, 5.000% due 10/1/31 | | | | | 36,188 | | |
| | | 160,000 | | | | A- | | | Series A, 5.000% due 10/1/33(c) | | | | | 180,973 | | |
| | | 70,000 | | | | A- | | | Series A, 5.000% due 10/1/35(c) | | | | | 79,176 | | |
| | | 65,000 | | | | A- | | | Series B, 5.000% due 10/1/24 | | | | | 68,380 | | |
| | | 215,000 | | | | A- | | | Series B, 5.000% due 10/1/37 | | | | | 244,242 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | $ | 500,000 | | | | A- | | | Series B, 5.000% due 10/1/40(c) | | | | $ | 605,383 | | |
| | | 50,000 | | | | AA | | | County of Miami-Dade FL Transit System, Revenue Bonds, Series Prerefunded 7/1/22 @ 100, 5.000% due 7/1/42(d) | | | | | 52,029 | | |
| | | | | | | | | | Duval County Public Schools, COP: | | | | | | | |
| | | 125,000 | | | | A+ | | | Series B, 5.000% due 7/1/27 | | | | | 145,772 | | |
| | | 30,000 | | | | A+ | | | Series B, 5.000% due 7/1/28 | | | | | 34,911 | | |
| | | 190,000 | | | | A+ | | | Series B, 5.000% due 7/1/30 | | | | | 220,710 | | |
| | | | | | | | | | Florida Municipal Power Agency, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | A2(a) | | | 5.000% due 10/1/24 | | | | | 34,308 | | |
| | | 45,000 | | | | A2(a) | | | 5.000% due 10/1/27 | | | | | 53,031 | | |
| | | 80,000 | | | | A1(a) | | | Series A, 5.000% due 10/1/22 | | | | | 84,177 | | ��� |
| | | 355,000 | | | | A2(a) | | | Series A, 5.000% due 10/1/26 | | | | | 373,502 | | |
| | | 55,000 | | | | A2(a) | | | Series A, 5.000% due 10/1/30 | | | | | 66,682 | | |
| | | 60,000 | | | | A2(a) | | | Series A, 5.000% due 10/1/31 | | | | | 72,608 | | |
| | | 2,500,000 | | | | AA | | | Florida’s Turnpike Enterprise, Revenue Bonds, Series C, 4.375% due 7/1/37 | | | | | 2,673,527 | | |
| | | | | | | | | | Greater Orlando Aviation Authority, Revenue Bonds: | | | | | | | |
| | | 100,000 | | | | A | | | Series A, 5.000% due 10/1/28(c) | | | | | 123,755 | | |
| | | 60,000 | | | | A | | | Series A, 5.000% due 10/1/30(c) | | | | | 73,991 | | |
| | | | | | | | | | Halifax Hospital Medical Center, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | A- | | | 5.000% due 6/1/28 | | | | | 40,535 | | |
| | | 70,000 | | | | A- | | | 5.000% due 6/1/35 | | | | | 79,923 | | |
| | | | | | | | | | Hillsborough County Port District, Revenue Bonds: | | | | | | | |
| | | 850,000 | | | | A(f) | | | Series B, 5.000% due 6/1/33(c) | | | | | 1,037,867 | | |
| | | 185,000 | | | | A(f) | | | Series B, 5.000% due 6/1/38(c) | | | | | 223,349 | | |
| | | 75,000 | | | | AA- | | | Indian River County District School Board, COP, Series A, 5.000% due 7/1/24 | | | | | 84,129 | | |
| | | 200,000 | | | | A | | | JEA Electric System Revenue, Revenue Bonds, Series B, 5.000% due 10/1/26 | | | | | 243,734 | | |
| | | | | | | | | | Lake County School Board, COP, AGM: | | | | | | | |
| | | 30,000 | | | | AA | | | Series A, Prerefunded 6/1/24 @ 100, 5.000% due 6/1/25(d) | | | | | 33,925 | | |
| | | 50,000 | | | | AA | | | Series A, Prerefunded 6/1/24 @ 100, 5.000% due 6/1/26(d) | | | | | 56,542 | | |
| | | 15,000 | | | | AA | | | Series A, Prerefunded 6/1/24 @ 100, 5.000% due 6/1/28(d) | | | | | 16,963 | | |
| | | | | | | | | | Lee Memorial Health System, Revenue Bonds: | | | | | | | |
| | | 550,000 | | | | A+ | | | Series A1, 5.000% due 4/1/33 | | | | | 696,870 | | |
| | | 415,000 | | | | A+ | | | Series A1, 5.000% due 4/1/35 | | | | | 523,126 | | |
| | | 755,000 | | | | A+ | | | Series A2, 5.000% due 4/1/33(b) | | | | | 885,279 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | | | | | | | | | Miami-Dade County Expressway Authority, Revenue Bonds: | | ||||||
| | $ | 45,000 | | | | A | | | Series A, 5.000% due 7/1/31 | | | | $ | 53,889 | | |
| | | 115,000 | | | | A | | | Series A, 5.000% due 7/1/32 | | | | | 137,595 | | |
| | | 95,000 | | | | A | | | Series A, 5.000% due 7/1/33 | | | | | 113,566 | | |
| | | 30,000 | | | | A | | | Series A, 5.000% due 7/1/34 | | | | | 35,800 | | |
| | | 235,000 | | | | A | | | Series A, 5.000% due 7/1/40 | | | | | 235,786 | | |
| | | 85,000 | | | | A | | | Series A, 5.000% due 7/1/44 | | | | | 94,610 | | |
| | | | | | | | | | Orange County Health Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 200,000 | | | | A+ | | | Series A, 5.000% due 10/1/39 | | | | | 240,181 | | |
| | | 365,000 | | | | A+ | | | Series A, Prerefunded 4/1/22 @ 100, 5.000% due 10/1/42(d) | | | | | 375,269 | | |
| | | 150,000 | | | | A+ | | | Series B, Prerefunded 4/1/22 @ 100, 5.000% due 10/1/42(d) | | | | | 154,220 | | |
| | | | | | | | | | Orange County School Board, COP: | | | | | | | |
| | | 115,000 | | | | Aa2(a) | | | Series B, Prerefunded 8/1/22 @ 100, 5.000% due 8/1/26(d) | | | | | 120,135 | | |
| | | 200,000 | | | | Aa2(a) | | | Series C, Prerefunded 8/1/25 @ 100, 5.000% due 8/1/29(d) | | | | | 236,205 | | |
| | | 50,000 | | | | AA | | | Orlando Utilities Commission, Revenue Bonds, Series A, 5.000% due 10/1/23 | | | | | 55,060 | | |
| | | | | | | | | | Palm Beach County Health Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 10,000 | | | | WD(f) | | | 5.000% due 12/1/23 | | | | | 11,073 | | |
| | | 20,000 | | | | WD(f) | | | 5.000% due 12/1/24 | | | | | 23,070 | | |
| | | | | | | | | | Palm Beach County School District, COP: | | | | | | | |
| | | 55,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/1/22 | | | | | 57,452 | | |
| | | 35,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/1/23 | | | | | 38,201 | | |
| | | 40,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/1/24 | | | | | 45,491 | | |
| | | 705,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/1/26 | | | | | 857,255 | | |
| | | 300,000 | | | | Aa3(a) | | | Series B, 5.000% due 8/1/26 | | | | | 355,030 | | |
| | | 240,000 | | | | Aa3(a) | | | Series B, 5.000% due 8/1/27 | | | | | 283,715 | | |
| | | 160,000 | | | | Aa3(a) | | | Series B, 5.000% due 8/1/28 | | | | | 188,254 | | |
| | | 695,000 | | | | Aa3(a) | | | Series D, 5.000% due 8/1/26 | | | | | 822,486 | | |
| | | 315,000 | | | | Aa3(a) | | | Series D, 5.000% due 8/1/27 | | | | | 372,376 | | |
| | | 110,000 | | | | Aa3(a) | | | Series D, 5.000% due 8/1/28 | | | | | 129,424 | | |
| | | 250,000 | | | | AA+ | | | Palm Beach County Solid Waste Authority, Revenue Bonds, 5.000% due 10/1/24 | | | | | 250,976 | | |
| | | 300,000 | | | | AA | | | Pasco County School Board, COP, Series D, AGM-Insured, 5.000% due 8/1/30 | | | | | 400,305 | | |
| | | | | | | | | | School Board of Miami-Dade County, COP: | | | | | | | |
| | | 120,000 | | | | AA | | | Series A, AGM, 5.000% due 5/1/27 | | | | | 139,503 | | |
| | | 570,000 | | | | A+ | | | Series A, 5.000% due 5/1/31 | | | | | 677,328 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | $ | 220,000 | | | | A+ | | | Series B, 5.000% due 8/1/27 | | | | $ | 266,203 | | |
| | | 395,000 | | | | A+ | | | Series B, 5.000% due 5/1/28 | | | | | 459,666 | | |
| | | 340,000 | | | | A+ | | | Series D, 5.000% due 11/1/24 | | | | | 388,993 | | |
| | | 355,000 | | | | A+ | | | Series D, 5.000% due 11/1/25 | | | | | 406,759 | | |
| | | 230,000 | | | | A+ | | | Series D, 5.000% due 11/1/26 | | | | | 262,751 | | |
| | | 115,000 | | | | A+ | | | Series D, 5.000% due 2/1/29 | | | | | 135,950 | | |
| | | 190,000 | | | | A+ | | | Series D, 5.000% due 2/1/30 | | | | | 224,070 | | |
| | | | | | | | | | School District of Broward County, COP: | | | | | | | |
| | | 145,000 | | | | A+ | | | Series A, 5.000% due 7/1/22 | | | | | 150,913 | | |
| | | 45,000 | | | | A+ | | | Series A, 5.000% due 7/1/25 | | | | | 46,746 | | |
| | | 460,000 | | | | A+ | | | Series A, 5.000% due 7/1/26 | | | | | 522,825 | | |
| | | 265,000 | | | | A+ | | | Series A, 5.000% due 7/1/27 | | | | | 311,240 | | |
| | | 115,000 | | | | A+ | | | Series A, 5.000% due 7/1/28 | | | | | 134,779 | | |
| | | 70,000 | | | | A+ | | | Series A, 5.000% due 7/1/32 | | | | | 83,570 | | |
| | | 120,000 | | | | NR | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 7/1/25(d) | | | | | 124,767 | | |
| | | 580,000 | | | | NR | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 7/1/26(d) | | | | | 603,041 | | |
| | | 335,000 | | | | A+ | | | Series B, 5.000% due 7/1/26 | | | | | 394,014 | | |
| | | 230,000 | | | | A+ | | | Series B, 5.000% due 7/1/27 | | | | | 269,941 | | |
| | | 390,000 | | | | A+ | | | Series B, 5.000% due 7/1/28 | | | | | 457,401 | | |
| | | | | | | | | | Seminole County School Board, COP: | | | | | | | |
| | | 60,000 | | | | Aa3(a) | | | Series C, 5.000% due 7/1/23 | | | | | 65,205 | | |
| | | 50,000 | | | | Aa3(a) | | | Series C, 5.000% due 7/1/24 | | | | | 56,493 | | |
| | | 115,000 | | | | AA | | | South Florida Water Management District, COP, 5.000% due 10/1/30 | | | | | 136,844 | | |
| | | 75,000 | | | | AA- | | | South Miami Health Facilities Authority, Revenue Bonds, 5.000% due 8/15/24 | | | | | 85,259 | | |
| | | | | | | | | | St Lucie County School Board, COP: | | | | | | | |
| | | 60,000 | | | | A | | | Series A, 5.000% due 7/1/25 | | | | | 65,020 | | |
| | | 125,000 | | | | A | | | Series A, 5.000% due 7/1/27 | | | | | 135,267 | | |
| | | 5,995,000 | | | | AAA | | | State of Florida, GO, 5.000% due 7/1/32 | | | | | 7,717,609 | | |
| | | 2,000,000 | | | | AA+ | | | State of Florida Department of Transportation, Revenue Bonds, 5.000% due 7/1/27 | | | | | 2,489,504 | | |
| | | | | | | | | | Tampa Bay Water, Revenue Bonds: | | | | | | | |
| | | 70,000 | | | | AA+ | | | Series A, NPFG, 6.000% due 10/1/29 | | | | | 97,163 | | |
| | | 70,000 | | | | AA+ | | | Series NPFG, 5.500% due 10/1/22 | | | | | 74,096 | | |
| | | | | | | | | | Volusia County Educational Facility Authority, Revenue Bonds: | | | | | | | |
| | | 150,000 | | | | A2(a) | | | 4.000% due 10/15/36 | | | | | 175,467 | | |
| | | 80,000 | | | | A2(a) | | | 5.000% due 10/15/44 | | | | | 98,811 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | $ | 150,000 | | | | A2(a) | | | 5.000% due 10/15/49 | | | | $ | 184,179 | | |
| | | | | | | | | | Volusia County School Board, COP: | | | | | | | |
| | | 600,000 | | | | Aa3(a) | | | 5.000% due 8/1/24 | | | | | 681,985 | | |
| | | 145,000 | | | | AA | | | Series A, 5.000% due 8/1/32 | | | | | 171,139 | | |
| | | | | | | | | | Total Florida | | | | | 38,031,296 | | |
| Georgia – 4.2% | | |||||||||||||||
| | | | | | | | | | City of Atlanta GA Water & Wastewater Revenue, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA- | | | 5.000% due 11/1/27 | | | | | 35,123 | | |
| | | 70,000 | | | | AA- | | | 5.000% due 11/1/29 | | | | | 81,314 | | |
| | | 2,000,000 | | | | AA- | | | 5.000% due 11/1/40 | | | | | 2,317,247 | | |
| | | 205,000 | | | | Aaa(a) | | | Colquitt County Development Authority, Revenue Bonds, zero coupon, due 12/1/21 | | | | | 204,924 | | |
| | | 45,000 | | | | A+ | | | County of DeKalb GA Water & Sewerage Revenue, Revenue Bonds, Series A, 5.250% due 10/1/25 | | | | | 45,183 | | |
| | | | | | | | | | Development Authority of Burke County, Revenue Bonds: | | | | | | | |
| | | 600,000 | | | | A- | | | 1.700% due 12/1/49(b) | | | | | 621,736 | | |
| | | 830,000 | | | | A- | | | 2.925% due 11/1/53(b) | | | | | 882,772 | | |
| | | 155,000 | | | | AA- | | | Fulton County Development Authority, Revenue Bonds, 5.000% due 6/15/44 | | | | | 194,264 | | |
| | | | | | | | | | Main Street Natural Gas Inc., Revenue Bonds: | | | | | | | |
| | | 5,000,000 | | | | Aa2(a) | | | Series A, 4.000% due 4/1/48(b) | | | | | 5,346,567 | | |
| | | 840,000 | | | | Aa2(a) | | | Series C, 4.000% due 8/1/48(b) | | | | | 905,134 | | |
| | | | | | | | | | Municipal Electric Authority of Georgia, Revenue Bonds: | | | | | | | |
| | | 160,000 | | | | A- | | | Series A, 5.000% due 1/1/27 | | | | | 195,437 | | |
| | | 145,000 | | | | A- | | | Series A, 5.000% due 1/1/30 | | | | | 184,644 | | |
| | | 105,000 | | | | A | | | Series GG, 5.000% due 1/1/24 | | | | | 111,486 | | |
| | | 35,000 | | | | A | | | Series GG, 5.000% due 1/1/25 | | | | | 37,110 | | |
| | | 145,000 | | | | A | | | Series GG, 5.000% due 1/1/26 | | | | | 153,577 | | |
| | | | | | | | | | Municipal Gas Authority of Georgia, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | AA- | | | Series Q, 5.000% due 10/1/22 | | | | | 63,113 | | |
| | | 35,000 | | | | AA- | | | Series S, 5.000% due 10/1/22 | | | | | 36,824 | | |
| | | 70,000 | | | | AA- | | | Series S, 5.000% due 10/1/24 | | | | | 73,592 | | |
| | | 40,000 | | | | AA- | | | Series U, 5.000% due 10/1/24 | | | | | 45,784 | | |
| | | | | | | | | | State of Georgia, GO: | | | | | | | |
| | | 5,000,000 | | | | AAA | | | Series A, 5.000% due 7/1/29 | | | | | 6,419,227 | | |
| | | 5,000,000 | | | | AAA | | | Series A, 5.000% due 8/1/30 | | | | | 6,772,914 | | |
| | | 2,500,000 | | | | AAA | | | Series A, 5.000% due 7/1/32 | | | | | 3,263,056 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Georgia – (continued) | | |||||||||||||||
| | $ | 5,000,000 | | | | AAA | | | Series A, 5.000% due 7/1/33 | | | | $ | 6,844,378 | | |
| | | 3,835,000 | | | | AAA | | | Series C, 5.000% due 7/1/29 | | | | | 4,797,394 | | |
| | | | | | | | | | Total Georgia | | | | | 39,632,800 | | |
| Hawaii – 0.1% | | |||||||||||||||
| | | | | | | | | | City & County of Honolulu HI, GO: | | | | | | | |
| | | 115,000 | | | | Aa1(a) | | | Series D, 5.000% due 9/1/22 | | | | | 120,581 | | |
| | | 90,000 | | | | Aa1(a) | | | Series D, 5.000% due 9/1/26 | | | | | 110,162 | | |
| | | 500,000 | | | | AA+ | | | State of Hawaii, GO, Series FH, 5.000% due 10/1/28 | | | | | 611,581 | | |
| | | | | | | | | | Total Hawaii | | | | | 842,324 | | |
| Idaho – 0.4% | | |||||||||||||||
| | | | | | | | | | Idaho Housing & Finance Association, Revenue Bonds: | | | | | | | |
| | | 100,000 | | | | A2(a) | | | 5.000% due 7/15/22 | | | | | 104,179 | | |
| | | 45,000 | | | | A2(a) | | | 5.000% due 7/15/23 | | | | | 49,012 | | |
| | | 35,000 | | | | A2(a) | | | 5.000% due 7/15/24 | | | | | 39,669 | | |
| | | 95,000 | | | | A2(a) | | | 5.000% due 7/15/27 | | | | | 118,309 | | |
| | | 70,000 | | | | Aa1(a) | | | Series A, 4.000% due 1/1/50 | | | | | 77,742 | | |
| | | 250,000 | | | | A2(a) | | | Series A, 5.000% due 7/15/30 | | | | | 332,308 | | |
| | | 250,000 | | | | A2(a) | | | Series A, 5.000% due 7/15/31 | | | | | 337,823 | | |
| | | 2,380,000 | | | | Aa1(a) | | | Kootenai County School District No 271 Coeur d’Alene, GO, 4.000% due 9/15/28 | | | | | 2,811,002 | | |
| | | | | | | | | | Total Idaho | | | | | 3,870,044 | | |
| Illinois – 3.3% | | |||||||||||||||
| | | | | | | | | | Chicago Midway International Airport, Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | A- | | | Series A, 5.000% due 1/1/29(c) | | | | | 76,306 | | |
| | | 100,000 | | | | A- | | | Series A, 5.000% due 1/1/30(c) | | | | | 117,437 | | |
| | | 70,000 | | | | A- | | | Series A, 5.000% due 1/1/31(c) | | | | | 82,198 | | |
| | | 190,000 | | | | A- | | | Series A, 5.000% due 1/1/32(c) | | | | | 209,025 | | |
| | | 30,000 | | | | A- | | | Series B, 5.000% due 1/1/22 | | | | | 30,481 | | |
| | | 95,000 | | | | A- | | | Series B, 5.000% due 1/1/24 | | | | | 105,496 | | |
| | | | | | | | | | Chicago O’Hare International Airport, Revenue Bonds: | | | | | | | |
| | | 75,000 | | | | BBB+ | | | 5.000% due 7/1/38(c) | | | | | 89,820 | | |
| | | 50,000 | | | | A | | | Series A, 5.000% due 1/1/22 | | | | | 50,802 | | |
| | | 125,000 | | | | A | | | Series A, 5.000% due 1/1/24(c) | | | | | 138,285 | | |
| | | 270,000 | | | | A | | | Series A, 5.000% due 1/1/29 | | | | | 328,968 | | |
| | | 200,000 | | | | A | | | Series A, 5.000% due 1/1/48(c) | | | | | 244,101 | | |
| | | 1,000,000 | | | | A | | | Series A, 5.000% due 1/1/25 Prerefunded 1/01/22 @ 100(c)(d) | | | | | 1,015,851 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | $ | 200,000 | | | | A | | | Series B, 5.000% due 1/1/22(c) | | | | $ | 203,148 | | |
| | | 285,000 | | | | A | | | Series B, 5.000% due 1/1/32 | | | | | 326,802 | | |
| | | 120,000 | | | | A | | | Series B, 5.000% due 1/1/53 | | | | | 147,085 | | |
| | | 65,000 | | | | A | | | Series C, 5.000% due 1/1/22 | | | | | 66,043 | | |
| | | 80,000 | | | | A | | | Series C, 5.000% due 1/1/23 | | | | | 85,144 | | |
| | | 45,000 | | | | A | | | Series C, 5.000% due 1/1/24 | | | | | 50,017 | | |
| | | 65,000 | | | | A | | | Series C, 5.000% due 1/1/25 | | | | | 75,071 | | |
| | | 60,000 | | | | A | | | Series C, 5.000% due 1/1/26 | | | | | 71,717 | | |
| | | 70,000 | | | | A | | | Series C, 5.000% due 1/1/33 | | | | | 82,524 | | |
| | | 80,000 | | | | A | | | Series C, 5.000% due 1/1/34 | | | | | 94,291 | | |
| | | 60,000 | | | | A | | | Series D, 5.000% due 1/1/27(c) | | | | | 73,254 | | |
| | | 15,000 | | | | A | | | Series D, 5.000% due 1/1/28(c) | | | | | 18,204 | | |
| | | 85,000 | | | | A | | | Series D, 5.000% due 1/1/31(c) | | | | | 101,878 | | |
| | | 45,000 | | | | A | | | Series D, 5.000% due 1/1/33(c) | | | | | 54,063 | | |
| | | 40,000 | | | | A | | | City of Chicago IL Wastewater Transmission Revenue, Revenue Bonds, 5.000% due 1/1/23 | | | | | 40,633 | | |
| | | 30,000 | | | | AA | | | City of Chicago IL Waterworks Revenue, Revenue Bonds, AGM-Insured, 5.250% due 11/1/33 | | | | | 30,112 | | |
| | | | | | | | | | Cook County Forest Preserve District, GO: | | | | | | | |
| | | 30,000 | | | | AA- | | | Series B, 5.000% due 12/15/23 | | | | | 31,126 | | |
| | | 40,000 | | | | AA- | | | Series B, 5.000% due 12/15/24 | | | | | 41,499 | | |
| | | 60,000 | | | | AA- | | | Series C, 5.000% due 12/15/25 | | | | | 62,243 | | |
| | | 155,000 | | | | Aaa(a) | | | Cook Kane Lake & McHenry Counties Community College District No 512, GO, Series B, 5.000% due 12/1/24 | | | | | 177,815 | | |
| | | | | | | | | | County of Cook IL, GO: | | | | | | | |
| | | 45,000 | | | | A+ | | | Series A, 5.250% due 11/15/24 | | | | | 45,460 | | |
| | | 60,000 | | | | A+ | | | Series C, 5.000% due 11/15/22 | | | | | 63,521 | | |
| | | 145,000 | | | | A+ | | | Series C, 5.000% due 11/15/23 | | | | | 153,311 | | |
| | | 540,000 | | | | A+ | | | Series C, 5.000% due 11/15/24 | | | | | 570,948 | | |
| | | 15,000 | | | | AA | | | Series C, AGM, 5.000% due 11/15/25 | | | | | 15,863 | | |
| | | 35,000 | | | | Aa3(a) | | | Grundy & Will Counties Community Unit School District No 1 Coal City, GO, 5.000% due 2/1/29 | | | | | 42,555 | | |
| | | 835,000 | | | | AA+ | | | Illinois Development Finance Authority, Revenue Bonds, zero coupon, due 7/15/23 | | | | | 829,404 | | |
| | | | | | | | | | Illinois Finance Authority, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | AA+ | | | 5.000% due 7/15/26 | | | | | 73,052 | | |
| | | 75,000 | | | | A+ | | | 5.000% due 11/15/26 | | | | | 79,139 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | $ | 25,000 | | | | A3(a) | | | 5.000% due 8/15/27 | | | | $ | 29,196 | | |
| | | 70,000 | | | | A | | | 5.000% due 5/15/28 | | | | | 83,530 | | |
| | | 60,000 | | | | AA+ | | | 5.000% due 7/15/28 | | | | | 75,902 | | |
| | | 40,000 | | | | A | | | 5.000% due 5/15/29 | | | | | 47,498 | | |
| | | 150,000 | | | | AAA | | | 5.000% due 7/1/29 | | | | | 184,644 | | |
| | | 25,000 | | | | A+ | | | 5.000% due 11/15/29 | | | | | 26,349 | | |
| | | 110,000 | | | | A3(a) | | | 5.000% due 12/1/29 | | | | | 132,460 | | |
| | | 145,000 | | | | AAA | | | 5.000% due 1/1/30 | | | | | 178,022 | | |
| | | 330,000 | | | | AA- | | | 5.000% due 8/15/30 | | | | | 440,653 | | |
| | | 255,000 | | | | AAA | | | 5.000% due 7/1/31 | | | | | 312,122 | | |
| | | 175,000 | | | | A3(a) | | | 5.000% due 8/15/35 | | | | | 203,183 | | |
| | | 170,000 | | | | A | | | 5.000% due 1/1/36 | | | | | 202,021 | | |
| | | 870,000 | | | | A | | | 5.000% due 1/1/38 | | | | | 1,056,085 | | |
| | | 1,300,000 | | | | A | | | 5.000% due 1/1/44 | | | | | 1,561,133 | | |
| | | 100,000 | | | | A3(a) | | | 5.000% due 12/1/46 | | | | | 117,557 | | |
| | | 25,000 | | | | BBB+ | | | 5.000% due 8/1/49 | | | | | 29,085 | | |
| | | 10,000 | | | | A+ | | | Series A, 5.000% due 11/15/21 | | | | | 10,098 | | |
| | | 495,000 | | | | AA- | | | Series A, 5.000% due 2/15/24 | | | | | 552,843 | | |
| | | 95,000 | | | | AA- | | | Series A, 5.000% due 2/15/25 | | | | | 110,206 | | |
| | | 45,000 | | | | AA- | | | Series A, 5.000% due 2/15/26 | | | | | 53,957 | | |
| | | 30,000 | | | | A | | | Series A, 5.000% due 11/15/27 | | | | | 35,282 | | |
| | | 35,000 | | | | A | | | Series A, 5.000% due 11/15/28 | | | | | 41,131 | | |
| | | 55,000 | | | | A | | | Series A, 5.000% due 11/15/29 | | | | | 64,584 | | |
| | | 75,000 | | | | AA- | | | Series A, 5.000% due 7/1/30 | | | | | 89,500 | | |
| | | 100,000 | | | | A | | | Series A, 5.000% due 11/15/32 | | | | | 117,244 | | |
| | | 50,000 | | | | AA- | | | Series A, 5.000% due 7/1/34 | | | | | 59,121 | | |
| | | 60,000 | | | | A+ | | | Series A, 5.000% due 11/15/34 | | | | | 69,221 | | |
| | | 255,000 | | | | AA- | | | Series A, 5.000% due 7/1/36 | | | | | 300,596 | | |
| | | 20,000 | | | | BBB+ | | | Series A, 5.000% due 8/1/47 | | | | | 23,285 | | |
| | | 45,000 | | | | A | | | Series A, Prerefunded 5/15/22 @ 100, 5.000% due 5/15/23(d) | | | | | 46,532 | | |
| | | 15,000 | | | | AA+ | | | Series A, Prerefunded 9/01/24 @ 100, 5.000% due 9/1/34(d) | | | | | 17,126 | | |
| | | 95,000 | | | | WD(f) | | | Series A, Prerefunded 8/15/26 @ 100, 5.000% due 8/15/33(d) | | | | | 115,731 | | |
| | | 85,000 | | | | A+ | | | Series B, 5.000% due 11/15/26 | | | | | 98,910 | | |
| | | 35,000 | | | | AA+ | | | Series C, 3.750% due 2/15/34 | | | | | 39,596 | | |
| | | 160,000 | | | | AA+ | | | Series C, 4.000% due 2/15/36 | | | | | 182,961 | | |
| | | 35,000 | | | | AA+ | | | Series C, 5.000% due 2/15/22 | | | | | 35,774 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | $ | 15,000 | | | | AA+ | | | Series C, 5.000% due 2/15/24 | | | | $ | 16,780 | | |
| | | 75,000 | | | | AA+ | | | Series C, 5.000% due 2/15/26 | | | | | 90,259 | | |
| | | 200,000 | | | | AA+ | | | Series C, 5.000% due 2/15/28 | | | | | 246,366 | | |
| | | 135,000 | | | | AA+ | | | Series C, 5.000% due 2/15/29 | | | | | 165,515 | | |
| | | 50,000 | | | | AA+ | | | Series C, 5.000% due 2/15/31 | | | | | 61,073 | | |
| | | 365,000 | | | | AA+ | | | Series C, 5.000% due 2/15/32 | | | | | 445,101 | | |
| | | 145,000 | | | | AA+ | | | Series C, 5.000% due 2/15/33 | | | | | 176,521 | | |
| | | 65,000 | | | | AA+ | | | Series C, 5.000% due 2/15/36 | | | | | 78,657 | | |
| | | 205,000 | | | | AA+ | | | Series C, 5.000% due 2/15/41 | | | | | 247,193 | | |
| | | 100,000 | | | | AA+ | | | Series E, 2.250% due 11/15/42(b) | | | | | 101,384 | | |
| | | 60,000 | | | | AA- | | | Series L, Prerefunded 12/1/21 @ 100, 5.000% due 12/1/22(d) | | | | | 60,726 | | |
| | | 95,000 | | | | A(f) | | | Series Prerefunded 11/15/22 @ 100, 5.000% due 11/15/43(d) | | | | | 100,392 | | |
| | | 20,000 | | | | NR | | | Series Prerefunded 2/15/27 @ 100, 4.000% due 2/15/41(d) | | | | | 23,478 | | |
| | | 235,000 | | | | AA+ | | | Series Prerefunded 9/01/22 @ 100, 5.000% due 9/1/32(d) | | | | | 246,305 | | |
| | | 315,000 | | | | AA+ | | | Series Prerefunded 9/01/22 @ 100, 5.000% due 9/1/38(d) | | | | | 330,153 | | |
| | | | | | | | | | Illinois Municipal Electric Agency, Revenue Bonds: | | | | | | | |
| | | 1,000,000 | | | | A | | | Series A, 5.000% due 2/1/22 | | | | | 1,019,876 | | |
| | | 290,000 | | | | A | | | Series A, 5.000% due 2/1/28 | | | | | 339,730 | | |
| | | 105,000 | | | | A | | | Series A, 5.000% due 2/1/31 | | | | | 122,961 | | |
| | | | | | | | | | Illinois State Toll Highway Authority, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | AA- | | | Series A, 5.000% due 12/1/31 | | | | | 59,173 | | |
| | | 2,000,000 | | | | AA- | | | Series A, 5.000% due 1/1/40 | | | | | 2,606,361 | | |
| | | 175,000 | | | | AA- | | | Series D, 5.000% due 1/1/24 | | | | | 194,248 | | |
| | | 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 | | | | | 254,848 | | |
| | | | | | | | | | Kane McHenry Cook & De Kalb Counties Unit School District No 300, GO: | | | | | | | |
| | | 260,000 | | | | AA | | | 5.000% due 1/1/26 | | | | | 300,096 | | |
| | | 55,000 | | | | AA | | | 5.000% due 1/1/29 | | | | | 68,539 | | |
| | | 230,000 | | | | AA | | | McHenry & Kane Counties Community Consolidated School District No 158 Huntley, GO, AGM-Insured, zero coupon, due 1/1/24 | | | | | 225,327 | | |
| | | | | | | | | | McHenry County Community Unit School District No 200 Woodstock, GO: | | | | | | | |
| | | 215,000 | | | | Aa2(a) | | | Series B, NPFG, zero coupon, due 1/15/24(g) | | | | | 211,045 | | |
| | | 225,000 | | | | Aa2(a) | | | Series B, NPFG, zero coupon, due 1/15/25 | | | | | 217,827 | | |
| | | 170,000 | | | | Aa2(a) | | | Series B, NPFG, zero coupon, due 1/15/26 | | | | | 161,855 | | |
| | | | | | | | | | McHenry County Conservation District, GO: | | | | | | | |
| | | 65,000 | | | | AA+ | | | 5.000% due 2/1/24 | | | | | 72,279 | | |
| | | 175,000 | | | | AA+ | | | 5.000% due 2/1/27 | | | | | 202,923 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | | | | | | | | | State of Illinois, GO: | | ||||||
| | $ | 225,000 | | | | BBB | | | 5.000% due 1/1/22 | | | | $ | 228,562 | | |
| | | 145,000 | | | | BBB | | | 5.000% due 3/1/22 | | | | | 148,451 | | |
| | | 190,000 | | | | BBB | | | 5.000% due 8/1/22 | | | | | 198,242 | | |
| | | 45,000 | | | | BBB | | | 5.000% due 2/1/23 | | | | | 47,968 | | |
| | | 220,000 | | | | BBB | | | 5.000% due 4/1/23 | | | | | 236,146 | | |
| | | 100,000 | | | | BBB | | | 5.000% due 8/1/23 | | | | | 108,814 | | |
| | | 225,000 | | | | BBB | | | 5.000% due 6/1/25 | | | | | 261,134 | | |
| | | 65,000 | | | | BBB | | | 5.000% due 2/1/26 | | | | | 71,726 | | |
| | | 270,000 | | | | BBB | | | 5.000% due 2/1/27 | | | | | 319,210 | | |
| | | 180,000 | | | | BBB | | | 5.000% due 2/1/28 | | | | | 216,610 | | |
| | | 60,000 | | | | BBB | | | 5.000% due 4/1/28 | | | | | 66,635 | | |
| | | 25,000 | | | | BBB | | | 5.000% due 5/1/28 | | | | | 27,783 | | |
| | | 165,000 | | | | BBB | | | 5.000% due 2/1/29 | | | | | 197,001 | | |
| | | 70,000 | | | | BBB | | | 5.000% due 5/1/32 | | | | | 77,224 | | |
| | | 190,000 | | | | BBB | | | 5.000% due 5/1/33 | | | | | 209,398 | | |
| | | 305,000 | | | | BBB | | | 5.250% due 2/1/31 | | | | | 337,847 | | |
| | | 115,000 | | | | BBB | | | 5.500% due 7/1/38 | | | | | 123,602 | | |
| | | 65,000 | | | | BBB | | | Series A, 4.000% due 1/1/23 | | | | | 65,811 | | |
| | | 105,000 | | | | BBB | | | Series A, 5.000% due 1/1/33 | | | | | 106,611 | | |
| | | 365,000 | | | | BBB | | | Series B, 5.000% due 9/1/21 | | | | | 365,000 | | |
| | | 360,000 | | | | BBB | | | Series B, 5.000% due 9/1/22 | | | | | 377,021 | | |
| | | 365,000 | | | | BBB | | | Series B, 5.000% due 9/1/23 | | | | | 398,540 | | |
| | | 365,000 | | | | BBB | | | Series B, 5.000% due 9/1/24 | | | | | 413,774 | | |
| | | 620,000 | | | | BBB | | | Series D, 5.000% due 11/1/23 | | | | | 681,525 | | |
| | | 405,000 | | | | BBB | | | Series D, 5.000% due 11/1/25 | | | | | 475,611 | | |
| | | 390,000 | | | | BBB | | | Series D, 5.000% due 11/1/26 | | | | | 470,227 | | |
| | | | | | | | | | University of Illinois, Revenue Bonds: | | | | | | | |
| | | 115,000 | | | | A- | | | 6.000% due 10/1/42 | | | | | 126,865 | | |
| | | 115,000 | | | | A- | | | 6.250% due 10/1/38 | | | | | 127,700 | | |
| | | | | | | | | | Will County Community Unit School District No 365 Valley View, GO: | | | | | | | |
| | | 2,420,000 | | | | Aa2(a) | | | Series A, 5.000% due 11/1/25 | | | | | 2,843,825 | | |
| | | 165,000 | | | | AA | | | Series B, AGM, zero coupon, due 11/1/26 | | | | | 158,160 | | |
| | | 200,000 | | | | AA | | | Will County School District No 86 Joliet, GO, AGM-Insured, zero coupon, due 11/1/21 | | | | | 199,892 | | |
| | | | | | | | | | Total Illinois | | | | | 31,071,736 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Indiana – 1.5% | | |||||||||||||||
| | | | | | | | | | City of Indianapolis IN Thermal Energy System Revenue, Revenue Bonds: | | ||||||
| | $ | 315,000 | | | | A+ | | | Series A, 5.000% due 10/1/24 | | | | $ | 357,532 | | |
| | | 160,000 | | | | AA | | | Series B, AGM, 5.000% due 10/1/21 | | | | | 160,616 | | |
| | | | | | | | | | City of Whiting IN, Revenue Bonds: | | | | | | | |
| | | 370,000 | | | | A- | | | 5.000% due 12/1/44(b)(c) | | | | | 447,803 | | |
| | | 1,020,000 | | | | A- | | | 5.000% due 11/1/45(b)(c) | | | | | 1,077,380 | | |
| | | 300,000 | | | | A- | | | County of St Joseph IN, Revenue Bonds, 4.000% due 4/1/38 | | | | | 340,458 | | |
| | | | | | | | | | Indiana Finance Authority, Revenue Bonds: | | | | | | | |
| | | 320,000 | | | | AA | | | 2.250% due 12/1/58(b) | | | | | 339,014 | | |
| | | 30,000 | | | | AA- | | | 5.000% due 3/1/22 | | | | | 30,730 | | |
| | | 90,000 | | | | AA- | | | 5.000% due 8/15/25 | | | | | 98,413 | | |
| | | 30,000 | | | | AA- | | | 5.000% due 9/1/26 | | | | | 36,324 | | |
| | | 15,000 | | | | AA- | | | 5.000% due 9/1/29 | | | | | 17,868 | | |
| | | 240,000 | | | | AA- | | | 5.000% due 3/1/36 | | | | | 268,970 | | |
| | | 60,000 | | | | AA- | | | 5.000% due 9/1/36 | | | | | 71,226 | | |
| | | 65,000 | | | | AA | | | Series A, 5.000% due 10/1/25 | | | | | 68,343 | | |
| | | 70,000 | | | | AA | | | Series A, 5.000% due 10/1/26 | | | | | 80,032 | | |
| | | 35,000 | | | | AA | | | Series A, 5.000% due 10/1/28 | | | | | 39,915 | | |
| | | 115,000 | | | | AA | | | Series A, 5.250% due 10/1/24 | | | | | 115,472 | | |
| | | 535,000 | | | | AA | | | Series Prerefunded 1/1/22 @ 100, 1.650% due 12/1/42(b)(d) | | | | | 537,633 | | |
| | | 45,000 | | | | AA- | | | Series Prerefunded 3/1/22 @ 100, 5.000% due 3/1/23(d) | | | | | 46,096 | | |
| | | 30,000 | | | | AA- | | | Series Prerefunded 3/1/22 @ 100, 5.000% due 3/1/30(d) | | | | | 30,731 | | |
| | | 155,000 | | | | AA- | | | Series Prerefunded 3/1/22 @ 100, 5.000% due 3/1/41(d) | | | | | 158,774 | | |
| | | | | | | | | | Indiana Health Facility Financing Authority, Revenue Bonds: | | | | | | | |
| | | 1,000,000 | | | | AA+ | | | Series A2, 2.000% due 11/15/36(b) | | | | | 1,023,640 | | |
�� | | | 7,500,000 | | | | AA+ | | | Series E, 0.010% due 11/15/39(b) | | | | | 7,500,000 | | |
| | | 275,000 | | | | Aaa(a) | | | Indiana Housing & Community Development Authority, Revenue Bonds, Series B, 3.500% due 1/1/49 | | | | | 300,533 | | |
| | | | | | | | | | Indiana Municipal Power Agency, Revenue Bonds: | | | | | | | |
| | | 20,000 | | | | A+ | | | Series A, 5.000% due 1/1/24 | | | | | 20,797 | | |
| | | 20,000 | | | | A+ | | | Series A, 5.000% due 1/1/25 | | | | | 20,795 | | |
| | | 55,000 | | | | A+ | | | Series A, 5.000% due 1/1/26 | | | | | 57,177 | | |
| | | 10,000 | | | | NR | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 1/1/24(d) | | | | | 10,406 | | |
| | | 10,000 | | | | NR | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 1/1/25(d) | | | | | 10,406 | | |
| | | 25,000 | | | | NR | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 1/1/26(d) | | | | | 26,015 | | |
| | | 515,000 | | | | AAA | | | Indiana University, Revenue Bonds, Series W-1, 5.000% due 8/1/26 | | | | | 586,340 | | |
| Face Amount/Units | | | 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) | | | | $ | 293,682 | | |
| | | | | | | | | | Lake Central Multi-District School Building Corp., Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | AA+ | | | Series B, 4.000% due 1/15/22 | | | | | 40,552 | | |
| | | 30,000 | | | | AA+ | | | Series B, 5.000% due 7/15/22 | | | | | 31,229 | | |
| | | 40,000 | | | | AA+ | | | Series B, 5.000% due 7/15/23 | | | | | 42,608 | | |
| | | 40,000 | | | | NR | | | Series B, Prerefunded 1/15/23 @ 100, 5.000% due 7/15/23(d) | | | | | 42,636 | | |
| | | 120,000 | | | | AA+ | | | Series B, Prerefunded 1/15/23 @ 100, 5.000% due 7/15/24(d) | | | | | 127,993 | | |
| | | 125,000 | | | | AA+ | | | Series B, Prerefunded 1/15/23 @ 100, 5.000% due 7/15/25(d) | | | | | 133,326 | | |
| | | | | | | | | | Total Indiana | | | | | 14,591,465 | | |
| Iowa – 1.3% | | |||||||||||||||
| | | 1,155,000 | | | | Aa1(a) | | | City of Cedar Rapids IA, GO, Series A, 5.000% due 6/1/25 | | | | | 1,305,261 | | |
| | | | | | | | | | Iowa Finance Authority, Revenue Bonds: | | | | | | | |
| | | 3,840,000 | | | | AAA | | | 5.000% due 8/1/31 | | | | | 4,791,078 | | |
| | | 90,000 | | | | BBB(f) | | | Series A, 5.000% due 5/15/43 | | | | | 104,850 | | |
| | | 105,000 | | | | BBB(f) | | | Series A, 5.000% due 5/15/48 | | | | | 121,710 | | |
| | | 5,000,000 | | | | A3(a) | | | PEFA Inc., Revenue Bonds, 5.000% due 9/1/49(b) | | | | | 6,010,749 | | |
| | | | | | | | | | Total Iowa | | | | | 12,333,648 | | |
| Kansas – 0.0% | | |||||||||||||||
| | | | | | | | | | Wyandotte County-Kansas City Unified Government Utility System Revenue, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | A | | | Series A, 5.000% due 9/1/30 | | | | | 35,169 | | |
| | | 35,000 | | | | A | | | Series A, 5.000% due 9/1/32 | | | | | 40,992 | | |
| | | 130,000 | | | | A | | | Series A, Prerefunded 9/1/22 @ 100, 5.000% due 9/1/24(d) | | | | | 136,254 | | |
| | | 30,000 | | | | A | | | Series B, Prerefunded 9/1/22 @ 100, 5.000% due 9/1/23(d) | | | | | 31,443 | | |
| | | 45,000 | | | | A | | | Series B, Prerefunded 9/1/22 @ 100, 5.000% due 9/1/24(d) | | | | | 47,165 | | |
| | | | | | | | | | Total Kansas | | | | | 291,023 | | |
| Kentucky – 1.7% | | |||||||||||||||
| | | | | | | | | | Kenton County Airport Board, Revenue Bonds: | | | | | | | |
| | | 25,000 | | | | A1(a) | | | 5.000% due 1/1/25 | | | | | 28,919 | | |
| | | 15,000 | | | | A1(a) | | | 5.000% due 1/1/26 | | | | | 17,936 | | |
| | | 45,000 | | | | A1(a) | | | 5.000% due 1/1/29 | | | | | 53,143 | | |
| | | 50,000 | | | | A1(a) | | | 5.000% due 1/1/30 | | | | | 58,975 | | |
| | | 5,000,000 | | | | A2(a) | | | Kentucky Public Energy Authority, Revenue Bonds, Series B, 4.000% due 1/1/49(b) | | | | | 5,533,021 | | |
| | | | | | | | | | Kentucky State Property & Building Commission, Revenue Bonds: | | | | | | | |
| | | 160,000 | | | | A- | | | 5.000% due 4/1/27 | | | | | 196,847 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Kentucky – (continued) | | |||||||||||||||
| | $ | 145,000 | | | | A- | | | 5.000% due 5/1/28 | | | | $ | 182,741 | | |
| | | 15,000 | | | | A- | | | 5.000% due 5/1/29 | | | | | 18,833 | | |
| | | 40,000 | | | | AA | | | 5.000% due 5/1/31 | | | | | 50,085 | | |
| | | 165,000 | | | | A- | | | Series A, 5.000% due 2/1/29 | | | | | 195,585 | | |
| | | 170,000 | | | | A- | | | Series A, 5.000% due 2/1/30 | | | | | 201,428 | | |
| | | 65,000 | | | | A- | | | Series A, 5.000% due 2/1/32 | | | | | 76,945 | | |
| | | 80,000 | | | | A- | | | Series A, 5.000% due 2/1/33 | | | | | 94,455 | | |
| | | 110,000 | | | | A- | | | Series A, Prerefunded 10/1/23 @ 100, 5.000% due 10/1/27(d) | | | | | 120,811 | | |
| | | 325,000 | | | | A- | | | Series B, 5.000% due 11/1/26 | | | | | 397,016 | | |
| | | 1,445,000 | | | | A- | | | Series B, 5.000% due 11/1/27 | | | | | 1,761,311 | | |
| | | 35,000 | | | | A1(a) | | | Series D, 5.000% due 5/1/26 | | | | | 42,052 | | |
| | | 30,000 | | | | A1(a) | | | Series D, 5.000% due 5/1/27 | | | | | 36,989 | | |
| | | 30,000 | | | | A1(a) | | | Series D, 5.000% due 5/1/28 | | | | | 36,779 | | |
| | | 5,000,000 | | | | SP-1+ | | | Louisville & Jefferson County Metropolitan Sewer District, Revenue Notes, 5.000% due 10/20/21 | | | | | 5,033,613 | | |
| | | | | | | | | | Louisville/Jefferson County Metropolitan Government, Revenue Bonds: | | | | | | | |
| | | 200,000 | | | | A | | | 5.000% due 10/1/47(b) | | | | | 260,152 | | |
| | | 525,000 | | | | A | | | Series A, 5.000% due 10/1/29 | | | | | 630,511 | | |
| | | 95,000 | | | | A | | | Series A, 5.000% due 10/1/32 | | | | | 113,477 | | |
| | | 70,000 | | | | A | | | Series A, 5.500% due 10/1/33 | | | | | 77,192 | | |
| | | 185,000 | | | | A | | | Series A, 5.750% due 10/1/38 | | | | | 204,759 | | |
| | | 100,000 | | | | BBB+ | | | Series Prerefunded 6/1/22 @ 100, 5.000% due 12/1/28(d) | | | | | 103,574 | | |
| | | 335,000 | | | | BBB+ | | | Series Prerefunded 6/1/22 @ 100, 5.000% due 12/1/29(d) | | | | | 346,974 | | |
| | | 355,000 | | | | A+ | | | University of Louisville, Revenue Bonds, Series C, 3.000% due 9/1/21 | | | | | 355,000 | | |
| | | | | | | | | | Total Kentucky | | | | | 16,229,123 | | |
| Louisiana – 0.8% | | |||||||||||||||
| | | 4,500,000 | | | | AA- | | | East Baton Rouge Sewerage Commission, Revenue Bonds, Series A, 4.000% due 2/1/45 | | | | | 5,242,256 | | |
| | | 1,500,000 | | | | AA | | | Louisiana Local Government Environmental Facilities & Community Development Authority, Revenue Bonds, 5.000% due 10/1/26 | | | | | 1,822,976 | | |
| | | | | | | | | | Louisiana Public Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | A | | | Series A, 5.000% due 12/15/22 | | | | | 42,433 | | |
| | | 85,000 | | | | A | | | Series A, 5.000% due 12/15/23 | | | | | 94,074 | | |
| | | | | | | | | | New Orleans Aviation Board, Revenue Bonds: | | | | | | | |
| | | 70,000 | | | | A- | | | Series B, 5.000% due 1/1/24(c) | | | | | 77,561 | | |
| | | 85,000 | | | | A- | | | Series B, 5.000% due 1/1/25(c) | | | | | 97,711 | | |
| | | 65,000 | | | | A- | | | Series B, 5.000% due 1/1/27(c) | | | | | 74,580 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Louisiana – (continued) | | |||||||||||||||
| | $ | 10,000 | | | | A- | | | Series B, 5.000% due 1/1/29(c) | | | | $ | 12,074 | | |
| | | 20,000 | | | | A- | | | Series B, 5.000% due 1/1/31(c) | | | | | 23,971 | | |
| | | 20,000 | | | | A- | | | Series B, 5.000% due 1/1/36(c) | | | | | 23,915 | | |
| | | 15,000 | | | | A- | | | Series B, 5.000% due 1/1/37(c) | | | | | 17,910 | | |
| | | 20,000 | | | | A- | | | Series D2, 5.000% due 1/1/26(c) | | | | | 23,773 | | |
| | | 15,000 | | | | A- | | | Series D2, 5.000% due 1/1/29(c) | | | | | 18,110 | | |
| | | 20,000 | | | | A- | | | Series D2, 5.000% due 1/1/30(c) | | | | | 24,020 | | |
| | | 45,000 | | | | A- | | | Series D2, 5.000% due 1/1/32(c) | | | | | 54,049 | | |
| | | 35,000 | | | | A- | | | Series D2, 5.000% due 1/1/35(c) | | ��� | | | 41,880 | | |
| | | 15,000 | | | | A- | | | Series D2, 5.000% due 1/1/38(c) | | | | | 17,908 | | |
| | | | | | | | | | Total Louisiana | | | | | 7,709,201 | | |
| Maine – 0.3% | | |||||||||||||||
| | | 2,500,000 | | | | AA+ | | | Maine State Housing Authority, Revenue Bonds, Series B, 3.150% due 11/15/39 | | | | | 2,737,719 | | |
| | | 60,000 | | | | AA- | | | Maine Turnpike Authority, Revenue Bonds, 5.000% due 7/1/27 | | | | | 70,394 | | |
| | | | | | | | | | Total Maine | | | | | 2,808,113 | | |
| Maryland – 4.8% | | |||||||||||||||
| | | | | | | | | | City of Baltimore MD, Revenue Bonds: | | | | | | | |
| | | 105,000 | | | | AA | | | Series C, 5.000% due 7/1/28 | | | | | 128,654 | | |
| | | 195,000 | | | | AA | | | Series C, 5.000% due 7/1/31 | | | | | 237,768 | | |
| | | 200,000 | | | | AA | | | Series C, 5.000% due 7/1/33 | | | | | 243,721 | | |
| | | 170,000 | | | | AA- | | | Series D, 5.000% due 7/1/33 | | | | | 207,163 | | |
| | | 4,325,000 | | | | AAA | | | County of Harford MD, GO, Series B, 5.000% due 7/1/26 | | | | | 5,273,389 | | |
| | | 2,500,000 | | | | AAA | | | County of Howard MD, GO, Series D, 5.000% due 2/15/30 | | | | | 3,159,006 | | |
| | | | | | | | | | County of Prince George’s MD, GO: | | | | | | | |
| | | 3,595,000 | | | | AAA | | | Series A, 5.000% due 7/15/22 | | | | | 3,748,453 | | |
| | | 5,805,000 | | | | AAA | | | Series A, 5.000% due 7/15/29 | | | | | 7,450,882 | | |
| | | 2,065,000 | | | | AAA | | | Series C, Prerefunded 8/1/23 @ 100, 4.000% due 8/1/26(d) | | | | | 2,216,882 | | |
| | | | | | | | | | Maryland Community Development Administration, Revenue Bonds: | | | | | | | |
| | | 345,000 | | | | Aa1(a) | | | Series B, 4.000% due 9/1/49 | | | | | 382,987 | | |
| | | 285,000 | | | | Aa1(a) | | | Series C, 3.500% due 3/1/50 | | | | | 312,644 | | |
| | | 320,000 | | | | Aa1(a) | | | Series C, 5.000% due 9/1/28 | | | | | 407,825 | | |
| | | | | | | | | | Maryland Health & Higher Educational Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 155,000 | | | | BBB+ | | | Series A, 4.000% due 7/1/42 | | | | | 169,894 | | |
| | | 65,000 | | | | BBB+ | | | Series A, 5.000% due 7/1/33 | | | | | 76,986 | | |
| | | 50,000 | | | | BBB+ | | | Series A, 5.000% due 7/1/34 | | | | | 59,076 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Maryland – (continued) | | |||||||||||||||
| | $ | 20,000 | | | | BBB+ | | | Series A, 5.000% due 7/1/35 | | | | $ | 23,581 | | |
| | | 50,000 | | | | BBB+ | | | Series A, 5.000% due 7/1/36 | | | | | 58,819 | | |
| | | 35,000 | | | | A | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 7/1/24(d) | | | | | 36,420 | | |
| | | 30,000 | | | | A | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 7/1/25(d) | | | | | 31,217 | | |
| | | 300,000 | | | | AA- | | | Maryland State Transportation Authority, Revenue Bonds, 5.000% due 7/1/34 | | | | | 396,771 | | |
| | | | | | | | | | State of Maryland, GO: | | | | | | | |
| | | 2,775,000 | | | | AAA | | | Series A, 5.000% due 3/1/27 | | | | | 3,452,212 | | |
| | | 5,000,000 | | | | AAA | | | Series A, 5.000% due 3/15/31 | | | | | 6,312,266 | | |
| | | 2,000,000 | | | | AAA | | | Series A, 5.000% due 8/1/31 | | | | | 2,618,732 | | |
| | | 5,000,000 | | | | AAA | | | Series B, 5.000% due 8/1/22 | | | | | 5,224,778 | | |
| | | 3,000,000 | | | | AAA | | | State of Maryland Department of Transportation, Revenue Bonds, 3.500% due 10/1/33 | | | | | 3,365,261 | | |
| | | | | | | | | | Total Maryland | | | | | 45,595,387 | | |
| Massachusetts – 1.3% | | |||||||||||||||
| | | | | | | | | | Commonwealth of Massachusetts, GO: | | | | | | | |
| | | 90,000 | | | | AA | | | Series B, 5.000% due 7/1/22 | | | | | 93,693 | | |
| | | 520,000 | | | | AA | | | Series C, 5.000% due 4/1/23 | | | | | 560,157 | | |
| | | 45,000 | | | | AA | | | Massachusetts Bay Transportation Authority Sales Tax Revenue, Revenue Bonds, Series A, 5.000% due 7/1/45 | | | | | 52,377 | | |
| | | | | | | | | | Massachusetts Development Finance Agency, Revenue Bonds: | | | | | | | |
| | | 45,000 | | | | AA- | | | 5.000% due 7/1/23 | | | | | 48,991 | | |
| | | 115,000 | | | | AA- | | | 5.000% due 7/1/24 | | | | | 130,458 | | |
| | | 50,000 | | | | A | | | 5.000% due 7/1/30 | | | | | 64,158 | | |
| | | 235,000 | | | | A | | | 5.000% due 7/1/31 | | | | | 300,136 | | |
| | | 65,000 | | | | AAA | | | Series A, 5.000% due 7/15/22 | | | | | 67,792 | | |
| | | 145,000 | | | | NR | | | Series A, Prerefunded 11/15/23 @ 100, 6.250% due 11/15/28(d)(h) | | | | | 160,549 | | |
| | | 105,000 | | | | AA- | | | Series S, 5.000% due 7/1/30 | | | | | 131,504 | | |
| | | 585,000 | | | | A+ | | | Series S-1, 5.000% due 10/1/24 | | | | | 668,433 | | |
| | | 335,000 | | | | AA- | | | Series S4, 5.000% due 7/1/38(b) | | | | | 373,292 | | |
| | | 500,000 | | | | AA- | | | Massachusetts Port Authority, Revenue Bonds, Series E, 5.000% due 7/1/31(c) | | | | | 668,019 | | |
| | | 1,170,000 | | | | AA | | | Massachusetts Transportation Trust Fund Metropolitan Highway System Revenue, Revenue Bonds, Series A, 5.000% due 1/1/39(b) | | | | | 1,244,261 | | |
| | | 5,000,000 | | | | SP-1+ | | | Town of Ashland MA, GO, 2.000% due 8/8/22 | | | | | 5,088,062 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Massachusetts – (continued) | | |||||||||||||||
| | $ | 2,500,000 | | | | AA- | | | University of Massachusetts Building Authority, Revenue Bonds, Series 1, Prerefunded 11/01/22 @ 100, 4.000% due 11/1/43(d) | | | | $ | 2,612,781 | | |
| | | | | | | | | | Total Massachusetts | | | | | 12,264,663 | | |
| Michigan – 2.1% | | |||||||||||||||
| | | 160,000 | | | | AA | | | City of Detroit MI Sewage Disposal System Revenue, Revenue Bonds, Series G, AGM-Insured, 0.697% due 7/1/32(b) | | | | | 160,279 | | |
| | | 85,000 | | | | Aa1(a) | | | Clarkston Community Schools, GO, 5.000% due 5/1/22 | | | | | 87,714 | | |
| | | 2,155,000 | | | | AA+ | | | County of Kalamazoo MI, GO, 3.000% due 5/1/32 | | | | | 2,454,373 | | |
| | | 1,000,000 | | | | AA | | | Detroit City School District, GO, Series A, AGM, 5.250% due 5/1/30 | | | | | 1,356,568 | | |
| | | 155,000 | | | | AA | | | Detroit Downtown Development Authority, Special Tax, Series A, AGM-Insured, 5.000% due 7/1/37 | | | | | 173,217 | | |
| | | | | | | | | | Grand Rapids Public Schools, GO, AGM: | | | | | | | |
| | | 40,000 | | | | AA | | | 5.000% due 5/1/27 | | | | | 49,419 | | |
| | | 55,000 | | | | AA | | | 5.000% due 5/1/29 | | | | | 66,972 | | |
| | | 100,000 | | | | AA | | | 5.000% due 5/1/30 | | | | | 119,133 | | |
| | | 145,000 | | | | AA | | | 5.000% due 5/1/31 | | | | | 172,669 | | |
| | | 20,000 | | | | AA | | | 5.000% due 5/1/32 | | | | | 23,796 | | |
| | | 90,000 | | | | AA | | | 5.000% due 5/1/33 | | | | | 106,992 | | |
| | | | | | | | | | Kalamazoo Hospital Finance Authority, Revenue Bonds: | | | | | | | |
| | | 100,000 | | | | A2(a) | | | 5.000% due 5/15/27 | | | | | 120,497 | | |
| | | 75,000 | | | | A2(a) | | | 5.000% due 5/15/28 | | | | | 90,295 | | |
| | | 100,000 | | | | AAA | | | Kent County Building Authority, Revenue Bonds, 5.500% due 6/1/22 | | | | | 104,035 | | |
| | | 20,000 | | | | AA | | | Kent Hospital Finance Authority, Revenue Bonds, Series A, 5.000% due 11/15/21 | | | | | 20,199 | | |
| | | | | | | | | | Michigan Finance Authority, Revenue Bonds: | | | | | | | |
| | | 310,000 | | | | AA | | | AGM, 5.000% due 7/1/22 | | | | | 322,429 | | |
| | | 1,250,000 | | | | Aa3(a) | | | 5.000% due 11/1/23 | | | | | 1,377,109 | | |
| | | 45,000 | | | | AA- | | | 5.000% due 12/1/23 | | | | | 49,854 | | |
| | | 750,000 | | | | Aa3(a) | | | 5.000% due 11/1/24 | | | | | 859,606 | | |
| | | 50,000 | | | | AA- | | | 5.000% due 12/1/24 | | | | | 57,676 | | |
| | | 85,000 | | | | AA- | | | 5.000% due 12/1/25 | | | | | 101,520 | | |
| | | 40,000 | | | | AA- | | | 5.000% due 12/1/26 | | | | | 49,258 | | |
| | | 10,000 | | | | AA- | | | 5.000% due 7/1/27 | | | | | 11,728 | | |
| | | 35,000 | | | | AA- | | | 5.000% due 12/1/27 | | | | | 44,211 | | |
| | | 160,000 | | | | A+ | | | 5.000% due 8/15/28 | | | | | 174,923 | | |
| | | 60,000 | | | | AA- | | | 5.000% due 12/1/28 | | | | | 75,465 | | |
| | | 30,000 | | | | AA- | | | 5.000% due 7/1/29 | | | | | 35,085 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Michigan – (continued) | | |||||||||||||||
| | $ | 60,000 | | | | A+ | | | 5.000% due 8/15/29 | | | | $ | 65,571 | | |
| | | 35,000 | | | | AA- | | | 5.000% due 7/1/31 | | | | | 40,831 | | |
| | | 30,000 | | | | AA- | | | 5.000% due 7/1/32 | | | | | 34,948 | | |
| | | 315,000 | | | | A | | | 5.000% due 11/15/32 | | | | | 381,264 | | |
| | | 25,000 | | | | AA- | | | 5.000% due 7/1/33 | | | | | 29,082 | | |
| | | 205,000 | | | | A | | | 5.000% due 11/15/36 | | | | | 215,803 | | |
| | | 45,000 | | | | A | | | 5.000% due 11/15/42 | | | | | 47,288 | | |
| | | 735,000 | | | | AA- | | | 5.000% due 12/1/44(b) | | | | | 849,288 | | |
| | | 65,000 | | | | WR(a) | | | Series A, Prerefunded 6/1/22 @ 100, 5.000% due 6/1/27(d) | | | | | 67,348 | | |
| | | 140,000 | | | | WR(a) | | | Series A, Prerefunded 6/1/22 @ 100, 5.000% due 6/1/39(d) | | | | | 145,058 | | |
| | | | | | | | | | Michigan State Building Authority, Revenue Bonds: | | | | | | | |
| | | 495,000 | | | | AA- | | | Series I, 5.000% due 10/15/34 | | | | | 597,249 | | |
| | | 80,000 | | | | AA- | | | Series I, 5.000% due 4/15/35 | | | | | 96,347 | | |
| | | | | | | | | | Michigan State Hospital Finance Authority, Revenue Bonds: | | | | | | | |
| | | 180,000 | | | | AA+ | | | Series C, 2.400% due 11/15/47(b) | | | | | 186,051 | | |
| | | 45,000 | | | | AA- | | | Series C, 5.000% due 12/1/24 | | | | | 51,892 | | |
| | | 60,000 | | | | AA- | | | Series C, 5.000% due 12/1/26 | | | | | 73,887 | | |
| | | 40,000 | | | | AA- | | | Series C, 5.000% due 12/1/27 | | | | | 50,527 | | |
| | | 60,000 | | | | AA- | | | Series C, 5.000% due 12/1/28 | | | | | 75,465 | | |
| | | 710,000 | | | | AA+ | | | Series F5, 4.000% due 11/15/47(b) | | | | | 785,207 | | |
| | | | | | | | | | Michigan Strategic Fund, Revenue Bonds: | | | | | | | |
| | | 290,000 | | | | A | | | 1.450% due 8/1/29(b) | | | | | 290,000 | | |
| | | 35,000 | | | | A | | | 1.450% due 9/1/30(b) | | | | | 35,000 | | |
| | | 500,000 | | | | A | | | 1.800% due 10/1/49(b)(c) | | | | | 515,624 | | |
| | | | | | | | | | Portage Public Schools, GO: | | | | | | | |
| | | 35,000 | | | | AA- | | | 5.000% due 11/1/27 | | | | | 42,357 | | |
| | | 90,000 | | | | AA- | | | 5.000% due 11/1/29 | | | | | 108,365 | | |
| | | | | | | | | | Royal Oak Hospital Finance Authority, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | A+ | | | 5.000% due 9/1/22 | | | | | 31,437 | | |
| | | 60,000 | | | | A+ | | | 5.000% due 9/1/24 | | | | | 67,118 | | |
| | | 1,500,000 | | | | Aa1(a) | | | State of Michigan, GO, Series A, 4.000% due 5/15/38 | | | | | 1,816,949 | | |
| | | 95,000 | | | | AA | | | State of Michigan, Revenue Bonds, 5.000% due 3/15/27 | | | | | 118,021 | | |
| | | | | | | | | | Warren Consolidated Schools, GO: | | | | | | | |
| | | 130,000 | | | | AA | | | 5.000% due 5/1/30 | | | | | 157,060 | | |
| | | 140,000 | | | | AA | | | 5.000% due 5/1/31 | | | | | 168,998 | | |
| | | 145,000 | | | | AA | | | 5.000% due 5/1/32 | | | | | 174,885 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Michigan – (continued) | | |||||||||||||||
| | | | | | | | | | Wayne County Airport Authority, Revenue Bonds: | | ||||||
| | $ | 5,000 | | | | A- | | | Series A, 5.000% due 12/1/29 | | | | $ | 6,261 | | |
| | | 10,000 | | | | A- | | | Series A, 5.000% due 12/1/30 | | | | | 12,489 | | |
| | | 10,000 | | | | A- | | | Series A, 5.000% due 12/1/31 | | | | | 12,450 | | |
| | | 15,000 | | | | A- | | | Series A, 5.000% due 12/1/36 | | | | | 18,514 | | |
| | | 620,000 | | | | A- | | | Series B, 5.000% due 12/1/29(c) | | | | | 769,922 | | |
| | | 15,000 | | | | A- | | | Series B, 5.000% due 12/1/30(c) | | | | | 18,580 | | |
| | | 15,000 | | | | A- | | | Series B, 5.000% due 12/1/31(c) | | | | | 18,521 | | |
| | | 10,000 | | | | A- | | | Series B, 5.000% due 12/1/33(c) | | | | | 12,320 | | |
| | | 25,000 | | | | A- | | | Series B, 5.000% due 12/1/36(c) | | | | | 30,637 | | |
| | | 60,000 | | | | A- | | | Series C, 5.000% due 12/1/22 | | | | | 63,635 | | |
| | | 65,000 | | | | A- | | | Series C, 5.000% due 12/1/23 | | | | | 72,011 | | |
| | | 70,000 | | | | A- | | | Series C, 5.000% due 12/1/24 | | | | | 80,672 | | |
| | | 70,000 | | | | A- | | | Series C, 5.000% due 12/1/25 | | | | | 83,637 | | |
| | | 45,000 | | | | A- | | | Series C, 5.000% due 12/1/26 | | | | | 55,363 | | |
| | | 45,000 | | | | A- | | | Series C, 5.000% due 12/1/27 | | | | | 56,842 | | |
| | | | | | | | | | Western Michigan University, Revenue Bonds, AGM: | | | | | | | |
| | | 700,000 | | | | AA | | | Series C, 5.000% due 11/15/36 | | | | | 922,829 | | |
| | | 800,000 | | | | AA | | | Series C, 5.000% due 11/15/38 | | | | | 1,048,469 | | |
| | | 950,000 | | | | AA | | | Series C, 5.000% due 11/15/40 | | | | | 1,236,733 | | |
| | | | | | | | | | Total Michigan | | | | | 20,103,827 | | |
| Minnesota – 2.6% | | |||||||||||||||
| | | 2,500,000 | | | | AAA | | | Metropolitan Council, GO, Series I, 3.000% due 3/1/27 | | | | | 2,531,318 | | |
| | | | | | | | | | State of Minnesota, GO: | | | | | | | |
| | | 6,870,000 | | | | AAA | | | Series A, 5.000% due 8/1/29 | | | | | 8,335,072 | | |
| | | 1,000,000 | | | | AAA | | | Series A, 5.000% due 8/1/32 | | | | | 1,307,146 | | |
| | | 5,000,000 | | | | AAA | | | Series A, 5.000% due 8/1/37 | | | | | 6,360,309 | | |
| | | 4,835,000 | | | | AAA | | | Series B, 5.000% due 8/1/27 | | | | | 6,089,012 | | |
| | | | | | | | | | Total Minnesota | | | | | 24,622,857 | | |
| Mississippi – 0.3% | | |||||||||||||||
| | | | | | | | | | Mississippi Hospital Equipment & Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 225,000 | | | | A2(a) | | | 5.000% due 1/1/30 | | | | | 287,532 | | |
| | | 435,000 | | | | A2(a) | | | 5.000% due 1/1/34 | | | | | 546,623 | | |
| | | 170,000 | | | | A+ | | | 5.000% due 10/1/40(b) | | | | | 201,969 | | |
| | | | | | | | | | State of Mississippi, GO: | | | | | | | |
| | | 160,000 | | | | AA | | | Series A, 5.000% due 10/1/30 | | | | | 200,309 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Mississippi – (continued) | | |||||||||||||||
| | $ | 1,250,000 | | | | AA | | | Series A, 5.000% due 10/1/34 | | | | $ | 1,554,450 | | |
| | | | | | | | | | Total Mississippi | | | | | 2,790,883 | | |
| Missouri – 0.4% | | |||||||||||||||
| | | | | | | | | | Health & Educational Facilities Authority of the State of Missouri, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | A+ | | | 5.000% due 5/15/29 | | | | | 35,487 | | |
| | | 30,000 | | | | A+ | | | 5.000% due 5/15/30 | | | | | 35,322 | | |
| | | 30,000 | | | | A+ | | | 5.000% due 5/15/31 | | | | | 35,209 | | |
| | | 85,000 | | | | A+ | | | 5.000% due 5/15/36 | | | | | 99,183 | | |
| | | 20,000 | | | | A+ | | | Series B, 4.000% due 2/1/40 | | | | | 22,082 | | |
| | | 70,000 | | | | A+ | | | Series B, 5.000% due 2/1/30 | | | | | 80,972 | | |
| | | 80,000 | | | | A+ | | | Series B, 5.000% due 2/1/32 | | | | | 92,039 | | |
| | | 65,000 | | | | A+ | | | Series B, 5.000% due 2/1/36 | | | | | 74,031 | | |
| | | 105,000 | | | | A+ | | | Series B, 5.000% due 2/1/45 | | | | | 118,432 | | |
| | | 2,500,000 | | | | AAA | | | Metropolitan St Louis Sewer District, Revenue Bonds, Series A, 5.000% due 5/1/37 | | | | | 3,046,485 | | |
| | | 70,000 | | | | AA+ | | | Missouri Housing Development Commission, Revenue Bonds, 4.000% due 5/1/50 | | | | | 77,694 | | |
| | | | | | | | | | Total Missouri | | | | | 3,716,936 | | |
| Montana – 0.0% | | |||||||||||||||
| | | | | | | | | | Montana Board of Housing, Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | AA+ | | | Series A-1, 4.000% due 12/1/47(c) | | | | | 68,529 | | |
| | | 40,000 | | | | AA+ | | | Series B, 4.000% due 6/1/50 | | | | | 45,252 | | |
| | | | | | | | | | Montana Facility Finance Authority, Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | A+(f) | | | 5.000% due 2/15/22 | | | | | 40,835 | | |
| | | 60,000 | | | | A+(f) | | | 5.000% due 2/15/23 | | | | | 63,990 | | |
| | | 60,000 | | | | A+(f) | | | 5.000% due 2/15/24 | | | | | 66,620 | | |
| | | 60,000 | | | | A+(f) | | | 5.000% due 2/15/25 | | | | | 69,089 | | |
| | | 90,000 | | | | A+(f) | | | 5.000% due 2/15/26 | | | | | 107,037 | | |
| | | | | | | | | | Total Montana | | | | | 461,352 | | |
| Nebraska – 0.1% | | |||||||||||||||
| | | | | | | | | | Nebraska Investment Finance Authority, Revenue Bonds: | | | | | | | |
| | | 210,000 | | | | AA+ | | | Series B, 4.000% due 9/1/49(c) | | | | | 230,914 | | |
| | | 220,000 | | | | AA+ | | | Series E, 3.750% due 9/1/49(c) | | | | | 237,673 | | |
| | | | | | | | | | Nebraska Public Power District, Revenue Bonds: | | | | | | | |
| | | 115,000 | | | | A+ | | | Series B, 5.000% due 1/1/31 | | | | | 136,116 | | |
| | | 125,000 | | | | A+ | | | Series B, 5.000% due 1/1/34 | | | | | 147,680 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Nebraska – (continued) | | |||||||||||||||
| | $ | 155,000 | | | | A+ | | | Series B, 5.000% due 1/1/36 | | | | $ | 182,452 | | |
| | | | | | | | | | Total Nebraska | | | | | 934,835 | | |
| Nevada – 1.0% | | |||||||||||||||
| | | | | | | | | | City of Carson City NV, Revenue Bonds: | | | | | | | |
| | | 20,000 | | | | A- | | | 5.000% due 9/1/24 | | | | | 22,621 | | |
| | | 15,000 | | | | A- | | | 5.000% due 9/1/28 | | | | | 18,446 | | |
| | | 20,000 | | | | A- | | | 5.000% due 9/1/30 | | | | | 24,310 | | |
| | | 20,000 | | | | A- | | | 5.000% due 9/1/32 | | | | | 24,174 | | |
| | | 20,000 | | | | A- | | | 5.000% due 9/1/34 | | | | | 24,057 | | |
| | | | | | | | | | Clark County School District, GO: | | | | | | | |
| | | 65,000 | | | | A+ | | | Series A, 5.000% due 6/15/23 | | | | | 70,651 | | |
| | | 1,000,000 | | | | A+ | | | Series C, 5.000% due 6/15/23 | | | | | 1,086,934 | | |
| | | 2,250,000 | | | | AA+ | | | County of Clark NV, GO, Series A, 5.000% due 6/1/35 | | | | | 2,795,341 | | |
| | | 1,300,000 | | | | A+ | | | County of Washoe NV, Revenue Bonds, 2.050% due 3/1/36(b)(c) | | | | | 1,313,864 | | |
| | | | | | | | | | Las Vegas Valley Water District, GO: | | | | | | | |
| | | 85,000 | | | | AA | | | Series A, 5.000% due 6/1/32 | | | | | 102,164 | | |
| | | 145,000 | | | | AA | | | Series A, 5.000% due 6/1/33 | | | | | 173,979 | | |
| | | 155,000 | | | | AA | | | Series A, 5.000% due 6/1/34 | | | | | 185,657 | | |
| | | 30,000 | | | | AA | | | Series B, 5.000% due 6/1/22 | | | | | 31,099 | | |
| | | 60,000 | | | | AA | | | Series B, 5.000% due 6/1/23 | | | | | 62,180 | | |
| | | 60,000 | | | | AA | | | Series B, 5.000% due 6/1/24 | | | | | 62,142 | | |
| | | 30,000 | | | | AA | | | Series B, 5.000% due 6/1/25 | | | | | 31,064 | | |
| | | 120,000 | | | | AA+ | | | Nevada Housing Division, Revenue Bonds, Series B, 4.000% due 10/1/49 | | | | | 132,787 | | |
| | | | | | | | | | State of Nevada, GO: | | | | | | | |
| | | 80,000 | | | | AA+ | | | 5.000% due 3/1/25 | | | | | 85,693 | | |
| | | 2,665,000 | | | | AA+ | | | Series A, 5.000% due 5/1/27 | | | | | 3,309,278 | | |
| | | | | | | | | | Total Nevada | | | | | 9,556,441 | | |
| New Hampshire – 0.2% | | |||||||||||||||
| | | 740,000 | | | | A- | | | New Hampshire Business Finance Authority, Revenue Bonds, 2.150% due 7/1/27(b)(c) | | | | | 773,833 | | |
| | | | | | | | | | New Hampshire Health & Education Facilities Authority Act, Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | BBB+ | | | 4.000% due 7/1/22 | | | | | 41,173 | | |
| | | 25,000 | | | | A- | | | 4.000% due 10/1/38 | | | | | 27,798 | | |
| | | 40,000 | | | | AA- | | | 5.000% due 7/1/24 | | | | | 45,389 | | |
| | | 35,000 | | | | BBB+ | | | 5.000% due 7/1/26 | | | | | 36,223 | | |
| | | 135,000 | | | | A- | | | 5.000% due 10/1/26 | | | | | 163,917 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| New Hampshire – (continued) | | |||||||||||||||
| | $ | 145,000 | | | | A- | | | 5.000% due 10/1/27 | | | | $ | 175,672 | | |
| | | 60,000 | | | | A- | | | 5.000% due 10/1/28 | | | | | 72,297 | | |
| | | 70,000 | | | | AA- | | | 5.000% due 7/1/30 | | | | | 87,669 | | |
| | | 65,000 | | | | A | | | 5.000% due 8/1/30 | | | | | 80,934 | | |
| | | 210,000 | | | | A- | | | 5.000% due 10/1/30 | | | | | 250,551 | | |
| | | 70,000 | | | | A2(a) | | | Series A, Prerefunded 10/1/22 @ 100, 5.000% due 10/1/43(d) | | | | | 73,609 | | |
| | | | | | | | | | New Hampshire State Turnpike System, Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | AA- | | | Series B, 5.000% due 2/1/22 | | | | | 66,314 | | |
| | | 65,000 | | | | AA- | | | Series B, 5.000% due 2/1/23 | | | | | 66,309 | | |
| | | 50,000 | | | | AA- | | | Series B, 5.000% due 2/1/24 | | | | | 50,987 | | |
| | | | | | | | | | Total New Hampshire | | | | | 2,012,675 | | |
| New Jersey – 2.2% | | |||||||||||||||
| | | | | | | | | | Camden County Improvement Authority, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | BBB+ | | | 5.000% due 2/15/24 | | | | | 66,527 | | |
| | | 30,000 | | | | BBB+ | | | 5.000% due 2/15/25 | | | | | 33,269 | | |
| | | | | | | | | | City of Bayonne NJ, GO: | | | | | | | |
| | | 45,000 | | | | AA | | | Series Prerefunded 7/1/26 @ 100, 5.000% due 7/1/31(d) | | | | | 54,701 | | |
| | | 30,000 | | | | AA | | | Series Prerefunded 7/1/26 @ 100, 5.000% due 7/1/32(d) | | | | | 36,467 | | |
| | | 30,000 | | | | AA | | | Series Prerefunded 7/1/26 @ 100, 5.000% due 7/1/33(d) | | | | | 36,467 | | |
| | | | | | | | | | New Jersey Economic Development Authority, Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | BBB | | | 5.000% due 3/1/25 | | | | | 42,877 | | |
| | | 850,000 | | | | BBB | | | 5.000% due 11/1/34 | | | | | 1,079,969 | | |
| | | 1,000,000 | | | | BBB | | | Series EEE, 5.000% due 6/15/30 | | | | | 1,264,651 | | |
| | | 270,000 | | | | BBB | | | Series NN, 5.000% due 3/1/23 | | | | | 289,130 | | |
| | | 370,000 | | | | BBB | | | Series NN, 5.000% due 3/1/24 | | | | | 396,669 | | |
| | | 580,000 | | | | BBB | | | Series XX, 5.000% due 6/15/26 | | | | | 676,722 | | |
| | | 55,000 | | | | Baa1(a) | | | New Jersey Educational Facilities Authority, Revenue Bonds, Series A, 5.000% due 7/1/29 | | | | | 64,972 | | |
| | | | | | | | | | New Jersey Health Care Facilities Financing Authority, Revenue Bonds: | | | | | | | |
| | | 620,000 | | | | AA- | | | 5.000% due 7/1/42(b) | | | | | 725,336 | | |
| | | 625,000 | | | | AA- | | | 5.000% due 7/1/45(b) | | | | | 753,729 | | |
| | | 15,000 | | | | AA | | | Series A, 5.000% due 7/1/28 | | | | | 18,241 | | |
| | | 45,000 | | | | AA | | | Series A, 5.000% due 7/1/33 | | | | | 54,364 | | |
| | | | | | | | | | New Jersey Higher Education Student Assistance Authority, Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | AA | | | Series 1A, 5.000% due 12/1/22(c) | | | | | 42,314 | | |
| | | 100,000 | | | | AA | | | Series 1A, 5.000% due 12/1/24(c) | | | | | 114,615 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| New Jersey – (continued) | | |||||||||||||||
| | $ | 40,000 | | | | AAA | | | Series 1B, 5.000% due 12/1/21(c) | | | | $ | 40,472 | | |
| | | 165,000 | | | | Aa1(a) | | | Series A, 5.000% due 12/1/22 | | | | | 174,759 | | |
| | | 115,000 | | | | Aa1(a) | | | Series A, 5.000% due 12/1/23 | | | | | 127,074 | | |
| | | 65,000 | | | | Aa1(a) | | | Series A, 5.000% due 12/1/24 | | | | | 74,500 | | |
| | | 125,000 | | | | Aa1(a) | | | Series A, 5.000% due 12/1/25 | | | | | 147,612 | | |
| | | | | | | | | | New Jersey Transportation Trust Fund Authority, Revenue Bonds: | | | | | | | |
| | | 100,000 | | | | BBB | | | 4.000% due 12/15/39 | | | | | 116,248 | | |
| | | 5,000,000 | | | | A+ | | | 5.000% due 6/15/24 | | | | | 5,639,550 | | |
| | | 435,000 | | | | A+ | | | 5.000% due 6/15/27 | | | | | 521,701 | | |
| | | 1,320,000 | | | | BBB | | | 5.000% due 12/15/28 | | | | | 1,684,223 | | |
| | | 200,000 | | | | BBB | | | 5.000% due 12/15/39 | | | | | 252,135 | | |
| | | 870,000 | | | | BBB | | | Series A, zero coupon, due 12/15/27 | | | | | 797,270 | | |
| | | 195,000 | | | | BBB | | | Series A, zero coupon, due 12/15/28 | | | | | 174,366 | | |
| | | 220,000 | | | | BBB | | | Series A, 5.000% due 12/15/33 | | | | | 275,829 | | |
| | | 2,000,000 | | | | BBB | | | Series A, 5.000% due 12/15/34 | | | | | 2,503,296 | | |
| | | 215,000 | | | | BBB | | | Series AA, 5.000% due 6/15/23 | | | | | 222,997 | | |
| | | 345,000 | | | | BBB | | | Series AA, 5.000% due 6/15/24 | | | | | 357,832 | | |
| | | 360,000 | | | | BBB | | | Series AA, 5.000% due 6/15/25 | | | | | 405,857 | | |
| | | 215,000 | | | | BBB | | | Series AA, 5.000% due 6/15/26 | | | | | 242,496 | | |
| | | 145,000 | | | | BBB | | | Series AA, 5.000% due 6/15/29 | | | | | 150,393 | | |
| | | 1,000,000 | | | | A+ | | | New Jersey Turnpike Authority, Revenue Bonds, Series A, 4.000% due 1/1/42 | | | | | 1,193,106 | | |
| | | | | | | | | | Total New Jersey | | | | | 20,852,736 | | |
| New Mexico – 0.4% | | |||||||||||||||
| | | 2,350,000 | | | | AAA | | | New Mexico Finance Authority, Revenue Bonds, 5.000% due 6/1/29 | | | | | 3,081,197 | | |
| | | 490,000 | | | | AA | | | New Mexico Hospital Equipment Loan Council, Revenue Bonds, Series B, 5.000% due 8/1/49(b) | | | | | 573,829 | | |
| | | 160,000 | | | | Aaa(a) | | | New Mexico Mortgage Finance Authority, Revenue Bonds, Series D, 3.750% due 1/1/50 | | | | | 176,516 | | |
| | | | | | | | | | Total New Mexico | | | | | 3,831,542 | | |
| New York – 9.5% | | |||||||||||||||
| | | | | | | | | | City of New York NY, GO: | | | | | | | |
| | | 190,000 | | | | AA | | | Series A, 5.000% due 8/1/22 | | | | | 198,524 | | |
| | | 5,880,000 | | | | AA | | | Series B1, 5.000% due 11/1/30 | | | | | 7,862,560 | | |
| | | 2,035,000 | | | | AA | | | Series B1, 5.000% due 12/1/38 | | | | | 2,474,208 | | |
| | | 90,000 | | | | AA | | | Series C, 5.000% due 8/1/27 | | | | | 103,994 | | |
| | | 5,000,000 | | | | AA | | | Series D1, 5.000% due 12/1/34 | | | | | 6,358,012 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| New York – (continued) | | |||||||||||||||
| | $ | 1,000,000 | | | | AA | | | Series F1, 5.000% due 4/1/43 | | | | $ | 1,228,693 | | |
| | | 2,000,000 | | | | AA | | | Series H, 5.000% due 1/1/36 | | | | | 2,516,133 | | |
| | | 90,000 | | | | AA | | | Series J, 5.000% due 8/1/22 | | | | | 94,037 | | |
| | | 1,925,000 | | | | AA | | | County of Nassau NY, GO, Series A, AGM-Insured, 5.000% due 4/1/32 | | | | | 2,402,286 | | |
| | | | | | | | | | Hudson Yards Infrastructure Corp., Revenue Bonds: | | | | | | | |
| | | 115,000 | | | | A+ | | | Series A, 5.000% due 2/15/32 | | | | | 139,963 | | |
| | | 215,000 | | | | A+ | | | Series A, 5.000% due 2/15/35 | | | | | 259,807 | | |
| | | | | | | | | | Long Island Power Authority, Revenue Bonds: | | | | | | | |
| | | 1,020,000 | | | | A | | | Series B, 1.650% due 9/1/49(b) | | | | | 1,052,354 | | |
| | | 60,000 | | | | A | | | Series B, 5.000% due 9/1/22 | | | | | 62,918 | | |
| | | 45,000 | | | | A | | | Series B, 5.000% due 9/1/23 | | | | | 49,339 | | |
| | | 40,000 | | | | A | | | Series B, 5.000% due 9/1/24 | | | | | 45,692 | | |
| | | | | | | | | | Metropolitan Transportation Authority, Revenue Bonds: | | | | | | | |
| | | 125,000 | | | | BBB+ | | | Series A1, 5.000% due 11/15/35 | | | | | 141,962 | | |
| | | 145,000 | | | | BBB+ | | | Series A1, 5.000% due 11/15/36 | | | | | 164,820 | | |
| | | 245,000 | | | | BBB+ | | | Series A2, 5.000% due 11/15/29 | | | | | 299,267 | | |
| | | 270,000 | | | | BBB+ | | | Series B, 5.000% due 11/15/30 | | | | | 323,617 | | |
| | | 290,000 | | | | BBB+ | | | Series C1, 5.000% due 11/15/27 | | | | | 351,898 | | |
| | | 685,000 | | | | BBB+ | | | Series C1, 5.000% due 11/15/28 | | | | | 806,597 | | |
| | | 300,000 | | | | BBB+ | | | Series C1, 5.000% due 11/15/31 | | | | | 369,693 | | |
| | | 415,000 | | | | BBB+ | | | Series D1, 5.000% due 11/15/30 | | | | | 467,956 | | |
| | | | | | | | | | MTA Hudson Rail Yards Trust Obligations, Revenue Bonds: | | | | | | | |
| | | 370,000 | | | | A3(a) | | | Series A, 5.000% due 11/15/51 | | | | | 373,475 | | |
| | | 860,000 | | | | A3(a) | | | Series A, 5.000% due 11/15/56 | | | | | 923,693 | | |
| | | 3,000,000 | | | | AA | | | New York City Transitional Finance Authority Building Aid Revenue, Revenue Bonds, Series S1, 5.000% due 7/15/29 | | | | | 3,747,079 | | |
| | | | | | | | | | New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds: | | | | | | | |
| | | 2,500,000 | | | | AAA | | | 0.010% due 8/1/45(b) | | | | | 2,500,000 | | |
| | | 160,000 | | | | AAA | | | Series A, 5.000% due 11/1/21 | | | | | 161,295 | | |
| | | 275,000 | | | | AAA | | | Series C2, 5.000% due 5/1/32 | | | | | 347,170 | | |
| | | 5,390,000 | | | | AAA | | | Series E1, 4.000% due 2/1/38 | | | | | 6,510,438 | | |
| | | | | | | | | | New York City Water & Sewer System, Revenue Bonds: | | | | | | | |
| | | 4,285,000 | | | | AA+ | | | 0.010% due 6/15/50(b) | | | | | 4,285,000 | | |
| | | 1,725,000 | | | | AA+ | | | 5.000% due 6/15/23 | | | | | 1,874,496 | | |
| | | 1,100,000 | | | | AA+ | | | 5.000% due 6/15/29 | | | | | 1,449,291 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| New York – (continued) | | |||||||||||||||
| | | | | | | | | | New York State Dormitory Authority, Revenue Bonds: | | ||||||
| | $ | 385,000 | | | | AA | | | 5.000% due 5/15/23 | | | | $ | 398,242 | | |
| | | 750,000 | | | | A- | | | 5.000% due 5/1/48(b) | | | | | 819,873 | | |
| | | 2,500,000 | | | | AA+ | | | Series A, 4.000% due 3/15/37 | | | | | 3,024,226 | | |
| | | 5,000,000 | | | | Aa2(a) | | | Series A, 5.000% due 9/15/22 | | | | | 5,254,730 | | |
| | | 4,500,000 | | | | AA | | | Series A, AGM, 5.000% due 10/1/33 | | | | | 5,827,653 | | |
| | | 4,000,000 | | | | Aa2(a) | | | Series A, 5.250% due 3/15/38 | | | | | 5,117,482 | | |
| | | 2,150,000 | | | | AAA | | | New York State Environmental Facilities Corp., Revenue Bonds, Series A, 5.000% due 6/15/33 | | | | | 2,741,952 | | |
| | | | | | | | | | New York State Urban Development Corp., Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | AA+ | | | Series A, 5.000% due 3/15/22 | | | | | 66,716 | | |
| | | 80,000 | | | | AA+ | | | Series A, 5.000% due 3/15/32 | | | | | 97,704 | | |
| | | 5,000,000 | | | | AA+ | | | Series E, 4.000% due 3/15/38 | | | | | 5,935,829 | | |
| | | 175,000 | | | | AA- | | | Onondaga Civic Development Corp., Revenue Bonds, Series A, 5.000% due 12/1/33 | | | | | 230,547 | | |
| | | 5,000,000 | | | | A+ | | | Port Authority of New York & New Jersey, Revenue Bonds, Series 207, 5.000% due 9/15/24(c) | | | | | 5,700,357 | | |
| | | 400,000 | | | | AA+ | | | Sales Tax Asset Receivable Corp., Revenue Bonds, Series A, Prerefunded 10/15/24 @ 100, 4.000% due 10/15/32(d) | | | | | 447,377 | | |
| | | 85,000 | | | | Aa1(a) | | | State of New York Mortgage Agency, Revenue Bonds, Series 211, 3.500% due 10/1/32(c) | | | | | 92,281 | | |
| | | | | | | | | | Triborough Bridge & Tunnel Authority, Revenue Bonds: | | | | | | | |
| | | 4,000,000 | | | | AA- | | | Series A, Prerefunded 1/1/22 @ 100, 5.000% due 1/1/26(d) | | | | | 4,064,892 | | |
| | | 85,000 | | | | AA- | | | Series B, 5.000% due 11/15/23 | | | | | 94,032 | | |
| | | 115,000 | | | | AA- | | | Series B, 5.000% due 11/15/24 | | | | | 127,004 | | |
| | | | | | | | | | Total New York | | | | | 89,987,164 | | |
| North Carolina – 0.2% | | |||||||||||||||
| | | | | | | | | | County of New Hanover NC, Revenue Bonds: | | | | | | | |
| | | 25,000 | | | | WR(a) | | | 5.000% due 10/1/27 | | | | | 31,253 | | |
| | | 205,000 | | | | WR(a) | | | Series Prerefunded 10/1/27 @ 100, 5.000% due 10/1/47(d) | | | | | 256,276 | | |
| | | 655,000 | | | | AA- | | | North Carolina Medical Care Commission, Revenue Bonds, 2.200% due 12/1/48(b) | | | | | 664,251 | | |
| | | 105,000 | | | | Aa3(a) | | | Raleigh Durham Airport Authority, Revenue Bonds, Series A, 5.000% due 5/1/29(c) | | | | | 135,612 | | |
| | | | | | | | | | State of North Carolina, Revenue Bonds: | | | | | | | |
| | | 330,000 | | | | AA | | | 5.000% due 3/1/22 | | | | | 338,046 | | |
| | | 290,000 | | | | AA | | | 5.000% due 3/1/23 | | | | | 311,183 | | |
| | | | | | | | | | Total North Carolina | | | | | 1,736,621 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Ohio – 0.7% | | |||||||||||||||
| | | | | | | | | | American Municipal Power Inc., Revenue Bonds: | | ||||||
| | $ | 60,000 | | | | A | | | 5.000% due 2/15/22 | | | | $ | 61,321 | | |
| | | 40,000 | | | | A | | | 5.000% due 2/15/42 | | | | | 40,859 | | |
| | | 800,000 | | | | A | | | Series A, 2.300% due 2/15/38(b) | | | | | 801,317 | | |
| | | 65,000 | | | | A | | | Series Prerefunded 2/15/22 @ 100, 5.000% due 2/15/23(d) | | | | | 66,426 | | |
| | | 60,000 | | | | A | | | Series Prerefunded 2/15/22 @ 100, 5.000% due 2/15/24(d) | | | | | 61,317 | | |
| | | | | | | | | | City of Cleveland OH Airport System Revenue, Revenue Bonds, AGM: | | | | | | | |
| | | 30,000 | | | | AA | | | Series A, 5.000% due 1/1/26 | | | | | 34,540 | | |
| | | 45,000 | | | | AA | | | Series A, 5.000% due 1/1/28 | | | | | 51,729 | | |
| | | 65,000 | | | | AA | | | Series A, 5.000% due 1/1/29 | | | | | 74,720 | | |
| | | 60,000 | | | | AA | | | Series A, 5.000% due 1/1/30 | | | | | 68,972 | | |
| | | | | | | | | | 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) | | | | | 35,567 | | |
| | | 45,000 | | | | AA | | | Series A, Prerefunded 1/1/22 @ 100, 5.000% due 1/1/27(d) | | | | | 45,729 | | |
| | | 55,000 | | | | AA | | | Columbus City School District, GO, 5.000% due 12/1/32 | | | | | 66,049 | | |
| | | | | | | | | | County of Allen OH Hospital Facilities Revenue, Revenue Bonds: | | | | | | | |
| | | 125,000 | | | | A+ | | | 5.000% due 12/1/29 | | | | | 164,166 | | |
| | | 125,000 | | | | A+ | | | 5.000% due 12/1/30 | | | | | 165,503 | | |
| | | 80,000 | | | | A+ | | | Series B, 5.000% due 8/1/47(b) | | | | | 82,508 | | |
| | | 60,000 | | | | Aa2(a) | | | County of Franklin OH, Revenue Bonds, 5.000% due 11/1/26 | | | | | 73,432 | | |
| | | 140,000 | | | | A- | | | County of Hamilton OH, Revenue Bonds, 5.250% due 6/1/26 | | | | | 144,795 | | |
| | | 135,000 | | | | BBB | | | County of Lucas OH, Revenue Bonds, Series A, Prerefunded 11/15/21 @ 100, 6.500% due 11/15/37(d) | | | | | 136,743 | | |
| | | 465,000 | | | | A3(a) | | | County of Scioto OH, Revenue Bonds, 5.000% due 2/15/29 | | | | | 544,866 | | |
| | | 285,000 | | | | Aa3(a) | | | Miami University/Oxford OH, Revenue Bonds, Series A, 5.000% due 9/1/30 | | | | | 381,175 | | |
| | | 50,000 | | | | Aaa(a) | | | Ohio Housing Finance Agency, Revenue Bonds, Series B, 4.500% due 3/1/50 | | | | | 56,304 | | |
| | | 1,000,000 | | | | AA | | | Ohio State University, Revenue Bonds, Series A, 5.000% due 12/1/30 | | | | | 1,352,064 | | |
| | | 2,000,000 | | | | AAA | | | Ohio Water Development Authority Water Pollution Control Loan Fund, Revenue Bonds, Series A, 0.010% due 12/1/36(b) | | | | | 2,000,000 | | |
| | | | | | | | | | State of Ohio, Revenue Bonds: | | | | | | | |
| | | 75,000 | | | | AA | | | 5.000% due 1/1/27 | | | | | 92,628 | | |
| | | 145,000 | | | | AA | | | 5.000% due 1/1/29 | | | | | 183,688 | | |
| | | 90,000 | | | | A | | | Series A, 4.000% due 1/15/50 | | | | | 103,564 | | |
| | | | | | | | | | Total Ohio | | | | | 6,889,982 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Oklahoma – 0.2% | | |||||||||||||||
| | $ | 560,000 | | | | AA- | | | Canadian County Educational Facilities Authority, Revenue Bonds, 5.000% due 9/1/26 | | | | $ | 681,737 | | |
| | | | | | | | | | Grand River Dam Authority, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | AA- | | | Series A, 5.000% due 6/1/27 | | | | | 39,326 | | |
| | | 45,000 | | | | AA- | | | Series A, 5.000% due 6/1/28 | | | | | 50,533 | | |
| | | 90,000 | | | | WR(a) | | | Oklahoma Development Finance Authority, Revenue Bonds, Series Prerefunded 2/15/22 @ 100, 5.000% due 2/15/23(d) | | | | | 91,975 | | |
| | | | | | | | | | Oklahoma Municipal Power Authority, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | A | | | Series A, Prerefunded 1/1/25 @ 100, 5.000% due 1/1/26(d) | | | | | 57,800 | | |
| | | 175,000 | | | | A | | | Series A, Prerefunded 1/1/25 @ 100, 5.000% due 1/1/27(d) | | | | | 202,299 | | |
| | | 60,000 | | | | A | | | Series A, Prerefunded 1/1/25 @ 100, 5.000% due 1/1/28(d) | | | | | 69,360 | | |
| | | 45,000 | | | | A | | | Series A, Prerefunded 1/1/25 @ 100, 5.000% due 1/1/29(d) | | | | | 52,020 | | |
| | | 60,000 | | | | A | | | Series B, 5.000% due 1/1/27 | | | | | 68,771 | | |
| | | 600,000 | | | | AAA | | | Oklahoma Water Resources Board, Revenue Bonds, Series A, 4.000% due 4/1/35 | | | | | 736,061 | | |
| | | | | | | | | | Total Oklahoma | | | | | 2,049,882 | | |
| Oregon – 0.9% | | |||||||||||||||
| | | 85,000 | | | | Aa1(a) | | | Hillsboro School District No 1J, GO, 5.000% due 6/15/30 | | | | | 105,876 | | |
| | | 3,800,000 | | | | A+ | | | Oregon State Business Development Commission, Revenue Bonds, Series 232, 2.400% due 12/1/40(b) | | | | | 3,948,132 | | |
| | | | | | | | | | Port of Portland OR Airport Revenue, Revenue Bonds: | | | | | | | |
| | | 300,000 | | | | A+ | | | 5.000% due 7/1/28(c) | | | | | 380,430 | | |
| | | 165,000 | | | | A+ | | | 5.000% due 7/1/29 | | | | | 208,251 | | |
| | | 205,000 | | | | A+ | | | Series 24B, 5.000% due 7/1/32(c) | | | | | 245,967 | | |
| | | 2,675,000 | | | | AA+ | | | Salem-Keizer School District No 24J, GO, 5.000% due 6/15/32 | | | | | 3,396,451 | | |
| | | | | | | | | | Total Oregon | | | | | 8,285,107 | | |
| Pennsylvania – 1.3% | | |||||||||||||||
| | | | | | | | | | City of Philadelphia PA, GO: | | | | | | | |
| | | 550,000 | | | | A | | | Series A, 5.000% due 8/1/22 | | | | | 574,622 | | |
| | | 1,000,000 | | | | A | | | Series B, 5.000% due 2/1/24 | | | | | 1,113,785 | | |
| | | 85,000 | | | | A | | | Series B, 5.000% due 8/1/27 | | | | | 99,937 | | |
| | | 300,000 | | | | A | | | Series B, 5.000% due 8/1/29 | | | | | 351,445 | | |
| | | 320,000 | | | | A | | | Series B, 5.000% due 8/1/30 | | | | | 374,874 | | |
| | | 335,000 | | | | A | | | Series B, 5.000% due 8/1/31 | | | | | 392,304 | | |
| | | | | | | | | | City of Philadelphia PA Airport Revenue, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | A- | | | Series B, 5.000% due 7/1/30(c) | | | | | 61,267 | | |
| | | 70,000 | | | | A- | | | Series B, 5.000% due 7/1/31(c) | | | | | 85,464 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Pennsylvania – (continued) | | |||||||||||||||
| | | | | | | | | | Commonwealth Financing Authority, Revenue Bonds: | | ||||||
| | $ | 1,010,000 | | | | A | | | Series A, 5.000% due 6/1/28 | | | | $ | 1,284,388 | | |
| | | 500,000 | | | | A | | | Series B, 5.000% due 6/1/25 | | | | | 587,183 | | |
| | | | | | | | | | Commonwealth of Pennsylvania, GO: | | | | | | | |
| | | 290,000 | | | | A+ | | | 5.000% due 10/15/27 | | | | | 319,098 | | |
| | | 810,000 | | | | A+ | | | 5.000% due 9/15/29 | | | | | 986,291 | | |
| | | | | | | | | | General Authority of Southcentral Pennsylvania, Revenue Bonds: | | | | | | | |
| | | 190,000 | | | | Aa3(a) | | | 5.000% due 6/1/38 | | | | | 240,828 | | |
| | | 310,000 | | | | Aa3(a) | | | 5.000% due 6/1/39 | | | | | 391,512 | | |
| | | 1,000,000 | | | | A | | | Lehigh County Industrial Development Authority, Revenue Bonds, Series A, 1.800% due 9/1/29(b) | | | | | 1,014,638 | | |
| | | | | | | | | | Montgomery County Higher Education & Health Authority, Revenue Bonds: | | | | | | | |
| | | 325,000 | | | | A | | | 5.000% due 9/1/33 | | | | | 410,984 | | |
| | | 110,000 | | | | A | | | Series A, AMBAC, 6.000% due 6/1/22 | | | | | 114,773 | | |
| | | 1,000,000 | | | | A+ | | | Northampton County General Purpose Authority, Revenue Bonds, 5.000% due 11/1/27 | | | | | 1,254,234 | | |
| | | 60,000 | | | | A | | | Pennsylvania Economic Development Financing Authority, Revenue Bonds, 5.000% due 3/1/22 | | | | | 61,356 | | |
| | | | | | | | | | Pennsylvania Higher Educational Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 775,000 | | | | AA | | | 4.000% due 8/15/38(e) | | | | | 913,860 | | |
| | | 900,000 | | | | AA | | | 5.000% due 8/15/32(e) | | | | | 1,188,789 | | |
| | | 35,000 | | | | AA | | | Series A, 5.000% due 8/15/27 | | | | | 43,868 | | |
| | | 35,000 | | | | AA | | | Series A, 5.000% due 8/15/28 | | | | | 43,775 | | |
| | | 60,000 | | | | AA | | | Series A, 5.000% due 8/15/30 | | | | | 74,607 | | |
| | | | | | | | | | Pennsylvania Turnpike Commission, Revenue Bonds: | | | | | | | |
| | | 15,000 | | | | A1(a) | | | Series A1, 5.000% due 12/1/22 | | | | | 15,909 | | |
| | | 15,000 | | | | A1(a) | | | Series A1, 5.000% due 12/1/23 | | | | | 16,625 | | |
| | | 45,000 | | | | A1(a) | | | Series A1, 5.000% due 12/1/29 | | | | | 56,752 | | |
| | | 30,000 | | | | A1(a) | | | Series A1, 5.000% due 12/1/34 | | | | | 37,102 | | |
| | | 35,000 | | | | A | | | Series A2, 5.000% due 12/1/28 | | | | | 42,620 | | |
| | | 35,000 | | | | A | | | Series A2, 5.000% due 12/1/33 | | | | | 44,312 | | |
| | | 250,000 | | | | A- | | | Philadelphia Authority for Industrial Development, Revenue Bonds, 4.000% due 11/1/21 | | | | | 251,443 | | |
| | | | | | | | | | Philadelphia Gas Works Co., Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | A | | | 5.000% due 8/1/23 | | | | | 32,737 | | |
| | | 20,000 | | | | A | | | 5.000% due 8/1/24 | | | | | 22,608 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Pennsylvania – (continued) | | |||||||||||||||
| | $ | 250,000 | | | | AA | | | Pittsburgh Water & Sewer Authority, Revenue Bonds, Series A, AGM-Insured, 5.000% due 9/1/44 | | | | $ | 314,521 | | |
| | | 40,000 | | | | A2(a) | | | State Public School Building Authority, Revenue Bonds, 5.000% due 6/1/26 | | | | | 46,600 | | |
| | | | | | | | | | Total Pennsylvania | | | | | 12,865,111 | | |
| Rhode Island – 0.5% | | |||||||||||||||
| | | | | | | | | | Rhode Island Health & Educational Building Corp., Revenue Bonds: | | | | | | | |
| | | 240,000 | | | | AA | | | AGM, 5.000% due 5/15/25 | | | | | 280,336 | | |
| | | 2,000,000 | | | | AA+ | | | Series A, 5.000% due 9/1/29 | | | | | 2,500,128 | | |
| | | 145,000 | | | | AA+ | | | Rhode Island Housing & Mortgage Finance Corp., Revenue Bonds, Series 70, 4.000% due 10/1/49 | | | | | 159,792 | | |
| | | | | | | | | | Rhode Island Student Loan Authority, Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | AA | | | Series A, 3.500% due 12/1/34(c) | | | | | 67,596 | | |
| | | 1,125,000 | | | | AA | | | Series A, 5.000% due 12/1/26(c) | | | | | 1,357,510 | | |
| | | | | | | | | | Tobacco Settlement Financing Corp., Revenue Bonds: | | | | | | | |
| | | 55,000 | | | | BBB | | | Series A, 5.000% due 6/1/27 | | | | | 63,749 | | |
| | | 70,000 | | | | BBB | | | Series A, 5.000% due 6/1/28 | | | | | 80,792 | | |
| | | | | | | | | | Total Rhode Island | | | | | 4,509,903 | | |
| South Carolina – 1.8% | | |||||||||||||||
| | | | | | | | | | Beaufort-Jasper Water & Sewer Authority, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA+ | | | Series B, 5.000% due 3/1/22 | | | | | 30,735 | | |
| | | 30,000 | | | | AA+ | | | Series B, 5.000% due 3/1/24 | | | | | 33,583 | | |
| | | 30,000 | | | | AA+ | | | Series B, 5.000% due 3/1/25 | | | | | 34,916 | | |
| | | 2,500,000 | | | | AAA | | | County of Charleston SC, GO, Series C, 5.000% due 11/1/27 | | | | | 3,168,310 | | |
| | | 8,000,000 | | | | Aa2(a) | | | Patriots Energy Group Financing Agency, Revenue Bonds, Series A, 4.000% due 10/1/48(b)(i) | | | | | 8,661,982 | | |
| | | | | | | | | | Scago Educational Facilities Corp. for Colleton School District, Revenue Bonds: | | | | | | | |
| | | 115,000 | | | | A- | | | 5.000% due 12/1/27 | | | | | 132,707 | | |
| | | 95,000 | | | | A- | | | 5.000% due 12/1/29 | | | | | 109,709 | | |
| | | | | | | | | | South Carolina Jobs-Economic Development Authority, Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | A+ | | | 5.000% due 2/1/22 | | | | | 66,297 | | |
| | | 30,000 | | | | A+ | | | 5.000% due 2/1/24 | | | | | 33,437 | | |
| | | 50,000 | | | | A+ | | | 5.000% due 2/1/25 | | | | | 57,904 | | |
| | | 50,000 | | | | A+ | | | 5.000% due 2/1/26 | | | | | 59,878 | | |
| | | | | | | | | | South Carolina Ports Authority, Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | A+ | | | 5.000% due 7/1/28(c) | | | | | 82,230 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| South Carolina – (continued) | | |||||||||||||||
| | $ | 140,000 | | | | A+ | | | 5.000% due 7/1/30(c) | | | | $ | 175,305 | | |
| | | | | | | | | | South Carolina Public Service Authority, Revenue Bonds: | | | | | | | |
| | | 515,000 | | | | A | | | Series A, 5.500% due 12/1/54 | | | | | 579,127 | | |
| | | 185,000 | | | | A | | | Series B, 5.000% due 12/1/35 | | | | | 223,374 | | |
| | | 275,000 | | | | A | | | Series B, 5.000% due 12/1/36 | | | | | 331,594 | | |
| | | 115,000 | | | | A | | | Series C, 5.000% due 12/1/25 | | | | | 132,040 | | |
| | | 115,000 | | | | A | | | Series C, 5.000% due 12/1/26 | | | | | 131,678 | | |
| | | 90,000 | | | | A | | | Series C, 5.000% due 12/1/27 | | | | | 102,781 | | |
| | | 105,000 | | | | A | | | Series C, 5.000% due 12/1/46 | | | | | 118,943 | | |
| | | 190,000 | | | | A | | | Series E, 5.500% due 12/1/53 | | | | | 210,250 | | |
| | | | | | | | | | South Carolina State Housing Finance & Development Authority, Revenue Bonds: | | | | | | | |
| | | 185,000 | | | | Aaa(a) | | | Series A, 4.000% due 1/1/50 | | | | | 208,045 | | |
| | | 170,000 | | | | Aaa(a) | | | Series A, 4.000% due 7/1/50 | | | | | 191,761 | | |
| | | 2,000,000 | | | | Aa2(a) | | | University of South Carolina, Revenue Bonds, Series A, 5.000% due 5/1/39 | | | | | 2,636,852 | | |
| | | | | | | | | | Total South Carolina | | | | | 17,513,438 | | |
| South Dakota – 0.0% | | |||||||||||||||
| | | | | | | | | | South Dakota Health & Educational Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA- | | | 5.000% due 7/1/23 | | | | | 32,620 | | |
| | | 15,000 | | | | AA- | | | 5.000% due 7/1/24 | | | | | 16,939 | | |
| | | 10,000 | | | | AA- | | | 5.000% due 7/1/27 | | | | | 12,422 | | |
| | | 50,000 | | | | AA- | | | 5.000% due 7/1/33 | | | | | 60,504 | | |
| | | 40,000 | | | | AA- | | | 5.000% due 7/1/35 | | | | | 48,220 | | |
| | | 35,000 | | | | A+ | | | Series B, 5.000% due 11/1/24 | | | | | 40,187 | | |
| | | 35,000 | | | | A+ | | | Series B, 5.000% due 11/1/25 | | | | | 40,103 | | |
| | | 5,000 | | | | A+ | | | Series B, 5.000% due 11/1/26 | | | | | 5,725 | | |
| | | | | | | | | | Total South Dakota | | | | | 256,720 | | |
| Tennessee – 1.8% | | |||||||||||||||
| | | 1,585,000 | | | | AAA | | | City of Chattanooga TN, GO, Series A, 4.000% due 2/1/33 | | | | | 1,917,276 | | |
| | | 1,670,000 | | | | Aa2(a) | | | City of Clarksville TN Water Sewer & Gas Revenue, Revenue Bonds, Series A, 5.000% due 2/1/39 | | | | | 2,199,258 | | |
| | | 3,970,000 | | | | AA | | | City of Pigeon Forge TN, GO, 5.000% due 6/1/27(e) | | | | | 4,957,474 | | |
| | | | | | | | | | Greeneville Health & Educational Facilities Board, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | A- | | | Series A, 5.000% due 7/1/29 | | | | | 37,876 | | |
| | | 35,000 | | | | A- | | | Series A, 5.000% due 7/1/30 | | | | | 43,905 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Tennessee – (continued) | | |||||||||||||||
| | | | | | | | | | Knox County Health Educational & Housing Facility Board, Revenue Bonds: | | ||||||
| | $ | 35,000 | | | | BBB | | | 5.000% due 9/1/22 | | | | $ | 36,587 | | |
| | | 30,000 | | | | BBB | | | 5.000% due 4/1/24 | | | | | 33,418 | | |
| | | 30,000 | | | | BBB | | | 5.000% due 9/1/24 | | | | | 33,941 | | |
| | | 40,000 | | | | BBB | | | 5.000% due 4/1/25 | | | | | 46,168 | | |
| | | 6,240,000 | | | | Aa2(a) | | | Tennergy Corp., Revenue Bonds, Series A, 5.000% due 2/1/50(b) | | | | | 7,089,818 | | |
| | | 350,000 | | | | A2(a) | | | Tennessee Energy Acquisition Corp., Revenue Bonds, Series A, 4.000% due 5/1/48(b) | | | | | 369,677 | | |
| | | | | | | | | | Total Tennessee | | | | | 16,765,398 | | |
| Texas – 12.1% | | |||||||||||||||
| | | 1,895,000 | | | | AAA | | | Alamo Community College District, GO, 5.000% due 8/15/34 | | | | | 2,353,805 | | |
| | | 40,000 | | | | AA- | | | Austin Community College District, Revenue Bonds, AMBAC-Insured, zero coupon, due 2/1/22 | | | | | 39,947 | | |
| | | | | | | | | | Board of Regents of the University of Texas System, Revenue Bonds: | | | | | | | |
| | | 90,000 | | | | AAA | | | Series B, 5.000% due 8/15/22 | | | | | 94,218 | | |
| | | 5,000,000 | | | | AAA | | | Series B, 5.000% due 8/15/49 | | | | | 7,797,706 | | |
| | | 70,000 | | | | AAA | | | Series D, 5.000% due 8/15/22 | | | | | 73,281 | | |
| | | 80,000 | | | | AAA | | | Series E, 5.000% due 8/15/22 | | | | | 83,749 | | |
| | | 90,000 | | | | AAA | | | Series J, 5.000% due 8/15/22 | | | | | 94,218 | | |
| | | 6,990,000 | | | | Aaa(a) | | | Brazosport Independent School District, GO, PSF-GTD-Insured, 5.000% due 2/15/29 | | | | | 9,109,797 | | |
| | | | | | | | | | Central Texas Regional Mobility Authority, Revenue Bonds: | | | | | | | |
| | | 70,000 | | | | A- | | | 5.000% due 1/1/31 | | | | | 82,329 | | |
| | | 145,000 | | | | A- | | | 5.000% due 1/1/32 | | | | | 170,228 | | |
| | | 95,000 | | | | A- | | | 5.000% due 1/1/35 | | | | | 110,960 | | |
| | | 45,000 | | | | A- | | | 5.000% due 1/1/36 | | | | | 52,489 | | |
| | | 35,000 | | | | A- | | | Series A, 5.000% due 1/1/31 | | | | | 40,550 | | |
| | | 30,000 | | | | A- | | | Series A, 5.000% due 1/1/32 | | | | | 34,738 | | |
| | | 60,000 | | | | A- | | | Series A, 5.000% due 1/1/34 | | | | | 69,376 | | |
| | | 160,000 | | | | A- | | | Series A, 5.000% due 1/1/40 | | | | | 184,220 | | |
| | | 600,000 | | | | A- | | | Series B, 4.000% due 1/1/41 | | | | | 714,570 | | |
| | | 375,000 | | | | A- | | | Series B, 5.000% due 1/1/29 | | | | | 483,651 | | |
| | | 1,800,000 | | | | A- | | | Series E, 5.000% due 1/1/38 | | | | | 2,286,563 | | |
| | | 1,770,000 | | | | AAA | | | City of Austin TX, GO, 5.000% due 5/1/27 | | | | | 2,207,958 | | |
| | | | | | | | | | City of Austin TX Airport System Revenue, Revenue Bonds: | | | | | | | |
| | | 165,000 | | | | A | | | 5.000% due 11/15/26(c) | | | | | 188,189 | | |
| | | 80,000 | | | | A | | | 5.000% due 11/15/29(c) | | | | | 91,051 | | |
| Face Amount/Units | | | 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 | | | | $ | 47,647 | | |
| | | | | | | | | | City of Dallas TX, GO: | | | | | | | |
| | | 130,000 | | | | AA- | | | 5.000% due 2/15/23 | | | | | 132,874 | | |
| | | 170,000 | | | | AA- | | | 5.000% due 2/15/24 | | | | | 189,910 | | |
| | | 3,000,000 | | | | AAA | | | City of Dallas TX Waterworks & Sewer System Revenue, Revenue Bonds, Series A, 5.000% due 10/1/27 | | | | | 3,556,269 | | |
| | | | | | | | | | City of Houston TX, GO: | | | | | | | |
| | | 2,000,000 | | | | AA | | | Series A, 5.000% due 3/1/22 | | | | | 2,048,863 | | |
| | | 60,000 | | | | Aa3(a) | | | Series A, 5.000% due 3/1/23 | | | | | 64,392 | | |
| | | 290,000 | | | | Aa3(a) | | | Series A, 5.000% due 3/1/24 | | | | | 324,869 | | |
| | | 120,000 | | | | Aa3(a) | | | Series A, 5.000% due 3/1/25 | | | | | 139,571 | | |
| | | | | | | | | | City of Houston TX Airport System Revenue, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | A1(a) | | | Series A, 5.000% due 7/1/26(c) | | | | | 60,457 | | |
| | | 60,000 | | | | A1(a) | | | Series A, 5.000% due 7/1/27(c) | | | | | 74,375 | | |
| | | 30,000 | | | | A1(a) | | | Series A, 5.000% due 7/1/28(c) | | | | | 38,043 | | |
| | | 350,000 | | | | A | | | Series A, Prerefunded 7/01/22 @ 100, 5.000% due 7/1/23(c)(d) | | | | | 363,754 | | |
| | | 90,000 | | | | A1(a) | | | Series B, 5.000% due 7/1/28 | | | | | 115,294 | | |
| | | 360,000 | | | | A1(a) | | | Series B, 5.000% due 7/1/29 | | | | | 458,606 | | |
| | | 190,000 | | | | A1(a) | | | Series B, 5.000% due 7/1/30 | | | | | 240,769 | | |
| | | 1,500,000 | | | | A1(a) | | | Series D, 5.000% due 7/1/25 | | | | | 1,766,754 | | |
| | | 2,005,000 | | | | A1(a) | | | Series D, 5.000% due 7/1/26 | | | | | 2,436,076 | | |
| | | | | | | | | | City of Houston TX Combined Utility System Revenue, Revenue Bonds: | | | | | | | |
| | | 250,000 | | | | Aa2(a) | | | Series B, 4.000% due 11/15/21 | | | | | 251,992 | | |
| | | 70,000 | | | | Aa2(a) | | | Series B, 5.000% due 11/15/33 | | | | | 85,806 | | |
| | | 75,000 | | | | AA | | | Series C, 5.000% due 5/15/28 | | | | | 84,362 | | |
| | | 355,000 | | | | Aa2(a) | | | Series C, 5.000% due 11/15/30 | | | | | 479,506 | | |
| | | 1,040,000 | | | | AAA | | | City of Irving TX, GO, 5.500% due 8/15/23 | | | | | 1,147,990 | | |
| | | | | | | | | | City of San Antonio TX Airport System, Revenue Bonds: | | | | | | | |
| | | 500,000 | | | | A- | | | Series A, 5.000% due 7/1/27(c) | | | | | 619,794 | | |
| | | 480,000 | | | | A | | | Series A, 5.000% due 7/1/28(c) | | | | | 608,688 | | |
| | | | | | | | | | City of San Antonio TX Electric & Gas Systems Revenue, Revenue Bonds: | | | | | | | |
| | | 1,000,000 | | | | A+ | | | 1.750% due 2/1/49(b) | | | | | 1,055,393 | | |
| | | 45,000 | | | | AA- | | | 5.000% due 2/1/29 | | | | | 56,057 | | |
| | | 30,000 | | | | AA- | | | 5.000% due 2/1/30 | | | | | 37,351 | | |
| | | 45,000 | | | | AA- | | | 5.000% due 2/1/31 | | | | | 55,913 | | |
| | | 35,000 | | | | AA- | | | 5.000% due 2/1/33 | | | | | 43,262 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | $ | 90,000 | | | | AA- | | | 5.250% due 2/1/25 | | | | $ | 105,158 | | |
| | | 1,500,000 | | | | A+ | | | Series 2019, 2.750% due 2/1/48(b) | | | | | 1,546,722 | | |
| | | 205,000 | | | | A+ | | | Series B, 2.000% due 2/1/33(b) | | | | | 205,312 | | |
| | | | | | | | | | Comal Independent School District, GO, PSF-GTD: | | | | | | | |
| | | 3,000,000 | | | | Aaa(a) | | | 5.000% due 2/1/27 | | | | | 3,708,625 | | |
| | | 2,000,000 | | | | Aaa(a) | | | 5.000% due 2/1/28 | | | | | 2,540,088 | | |
| | | | | | | | | | County of Harris TX, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA- | | | Series C, 5.000% due 8/15/24 | | | | | 31,385 | | |
| | | 110,000 | | | | AA- | | | Series C, 5.000% due 8/15/25 | | | | | 115,079 | | |
| | | | | | | | | | County of Travis TX, GO: | | | | | | | |
| | | 85,000 | | | | AAA | | | Series A, 5.000% due 3/1/24 | | | | | 95,039 | | |
| | | 1,490,000 | | | | AAA | | | Series A, 5.000% due 3/1/38 | | | | | 1,887,330 | | |
| | | 2,215,000 | | | | AAA | | | County of Williamson TX, GO, 5.000% due 2/15/30 | | | | | 2,728,983 | | |
| | | | | | | | | | Cypress-Fairbanks Independent School District, GO, PSF-GTD: | | | | | | | |
| | | 1,975,000 | | | | AAA | | | 4.000% due 2/15/32 | | | | | 2,250,259 | | |
| | | 145,000 | | | | AAA | | | 5.000% due 2/15/22 | | | | | 148,193 | | |
| | | 145,000 | | | | AAA | | | 5.000% due 2/15/23 | | | | | 155,236 | | |
| | | 725,000 | | | | AAA | | | 5.000% due 2/15/24 | | | | | 810,479 | | |
| | | 620,000 | | | | AAA | | | 5.000% due 2/15/25 | | | | | 720,634 | | |
| | | 105,000 | | | | AAA | | | 5.000% due 2/15/27 | | | | | 125,899 | | |
| | | 210,000 | | | | AA+ | | | Dallas Area Rapid Transit, Revenue Bonds, AMBAC-Insured, 5.250% due 12/1/29 | | | | | 281,511 | | |
| | | 185,000 | | | | A2(a) | | | Dallas County Utility & Reclamation District, GO, 5.000% due 2/15/24 | | | | | 205,268 | | |
| | | | | | | | | | Dallas Fort Worth International Airport, Revenue Bonds: | | | | | | | |
| | | 2,590,000 | | | | A | | | Series A, 5.000% due 11/1/29(c) | | | | | 2,729,935 | | |
| | | 85,000 | | | | A | | | Series B, 5.000% due 11/1/26(c) | | | | | 89,695 | | |
| | | 35,000 | | | | A | | | Series B, 5.000% due 11/1/27(c) | | | | | 36,921 | | |
| | | 80,000 | | | | A | | | Series B, 5.000% due 11/1/28(c) | | | | | 84,332 | | |
| | | 155,000 | | | | A | | | Series B, 5.000% due 11/1/30(c) | | | | | 163,356 | | |
| | | 330,000 | | | | A | | | Series B, 5.000% due 11/1/31(c) | | | | | 347,750 | | |
| | | 420,000 | | | | A | | | Series B, 5.000% due 11/1/32(c) | | | | | 442,540 | | |
| | | 290,000 | | | | A | | | Series B, 5.000% due 11/1/33(c) | | | | | 305,528 | | |
| | | 70,000 | | | | A | | | Series B, 5.000% due 11/1/34(c) | | | | | 73,748 | | |
| | | 1,500,000 | | | | A | | | Series E, 5.000% due 11/1/22(c) | | | | | 1,583,762 | | |
| | | | | | | | | | Dallas Independent School District, GO, PSF-GTD: | | | | | | | |
| | | 20,000 | | | | Aaa(a) | | | Series Prerefunded 2/15/22 @, 5.000% due 2/15/36(d) | | | | | 20,439 | | |
| | | 85,000 | | | | Aaa(a) | | | Series Prerefunded 2/15/22 @, 5.000% due 2/15/36(b)(d) | | | | | 86,876 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | | | | | | | | | Eagle Mountain & Saginaw Independent School District, GO, PSF-GTD: | | ||||||
| | $ | 1,270,000 | | | | Aaa(a) | | | 5.000% due 8/15/29 | | | | $ | 1,672,650 | | |
| | | 1,000,000 | | | | Aaa(a) | | | 5.000% due 8/15/30 | | | | | 1,344,414 | | |
| | | | | | | | | | Fort Worth Independent School District, GO, PSF-GTD: | | | | | | | |
| | | 80,000 | | | | AAA | | | 5.000% due 2/15/22 | | | | | 81,784 | | |
| | | 105,000 | | | | AAA | | | 5.000% due 2/15/26 | | | | | 126,053 | | |
| | | | | | | | | | Grand Parkway Transportation Corp., Revenue Bonds: | | | | | | | |
| | | 150,000 | | | | AA+ | | | Series A, 5.000% due 10/1/31 | | | | | 189,494 | | |
| | | 125,000 | | | | AA+ | | | Series A, 5.000% due 10/1/32 | | | | | 157,604 | | |
| | | 190,000 | | | | AA+ | | | Series A, 5.000% due 10/1/33 | | | | | 239,059 | | |
| | | 145,000 | | | | AA+ | | | Series A, 5.000% due 10/1/34 | | | | | 181,977 | | |
| | | 70,000 | | | | BBB | | | Series A, 5.125% due 10/1/43 | | | | | 76,013 | | |
| | | 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) | | | | | 977,342 | | |
| | | | | | | | | | Harris County Cultural Education Facilities Finance Corp., Revenue Bonds: | | | | | | | |
| | | 1,025,000 | | | | A+ | | | 5.000% due 6/1/24 | | | | | 1,157,980 | | |
| | | 590,000 | | | | A+ | | | 5.000% due 7/1/49(b) | | | | | 651,832 | | |
| | | | | | | | | | Irving Hospital Authority, Revenue Bonds: | | | | | | | |
| | | 15,000 | | | | A+ | | | 5.000% due 10/15/24 | | | | | 17,073 | | |
| | | 20,000 | | | | A+ | | | 5.000% due 10/15/26 | | | | | 23,953 | | |
| | | 15,000 | | | | A+ | | | 5.000% due 10/15/27 | | | | | 17,826 | | |
| | | 20,000 | | | | A+ | | | 5.000% due 10/15/29 | | | | | 23,530 | | |
| | | 30,000 | | | | A+ | | | 5.000% due 10/15/31 | | | | | 35,245 | | |
| | | 40,000 | | | | A+ | | | 5.000% due 10/15/35 | | | | | 46,833 | | |
| | | 30,000 | | | | A+ | | | 5.000% due 10/15/36 | | | | | 35,135 | | |
| | | 35,000 | | | | A+ | | | 5.000% due 10/15/39 | | | | | 40,923 | | |
| | | 45,000 | | | | A+ | | | 5.000% due 10/15/44 | | | | | 52,570 | | |
| | | | | | | | | | Lamar Consolidated Independent School District, GO: | | | | | | | |
| | | 7,280,000 | | | | AAA | | | PSF-GTD, 5.000% due 2/15/31 | | | | | 8,887,822 | | |
| | | 7,050,000 | | | | AAA | | | PSF-GTD, 5.000% due 2/15/34 | | | | | 8,567,463 | | |
| | | 1,225,000 | | | | AA+ | | | Lewisville Independent School District, GO, Series B, 5.000% due 8/15/28 | | | | | 1,442,160 | | |
| | | | | | | | | | Love Field Airport Modernization Corp., Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | A- | | | 5.000% due 11/1/30(c) | | | | | 46,844 | | |
| | | 90,000 | | | | A- | | | 5.000% due 11/1/31(c) | | | | | 105,398 | | |
| | | | | | | | | | Lower Colorado River Authority, Revenue Bonds: | | | | | | | |
| | | 200,000 | | | | A | | | 5.000% due 5/15/26 | | | | | 240,787 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | $ | 135,000 | | | | A | | | 5.000% due 5/15/32 | | | | $ | 169,216 | | |
| | | 70,000 | | | | A | | | 5.000% due 5/15/34 | | | | | 87,273 | | |
| | | 70,000 | | | | A | | | 5.000% due 5/15/36 | | | | | 86,634 | | |
| | | 195,000 | | | | A | | | Series B, 5.000% due 5/15/25 | | | | | 227,616 | | |
| | | 85,000 | | | | A | | | Series B, 5.000% due 5/15/27 | | | | | 99,183 | | |
| | | 85,000 | | | | A | | | Series B, 5.000% due 5/15/28 | | | | | 99,013 | | |
| | | 245,000 | | | | A | | | Series B, 5.000% due 5/15/29 | | | | | 285,291 | | |
| | | 25,000 | | | | A | | | Series D, 5.000% due 5/15/22 | | | | | 25,858 | | |
| | | 20,000 | | | | A | | | Series D, 5.000% due 5/15/23 | | | | | 21,637 | | |
| | | 35,000 | | | | A | | | Series D, 5.000% due 5/15/24 | | | | | 39,420 | | |
| | | 40,000 | | | | A | | | Series D, 5.000% due 5/15/26 | | | | | 46,771 | | |
| | | | | | | | | | Malakoff Independent School District, GO, PSF-GTD: | | | | | | | |
| | | 1,000,000 | | | | Aaa(a) | | | 5.000% due 2/15/30 | | | | | 1,327,219 | | |
| | | 2,200,000 | | | | Aaa(a) | | | 5.000% due 2/15/31 | | | | | 2,980,791 | | |
| | | | | | | | | | New Hope Cultural Education Facilities Finance Corp., Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/15/24 | | | | | 68,322 | | |
| | | 45,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/15/26 | | | �� | | 54,807 | | |
| | | 45,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/15/27 | | | | | 56,193 | | |
| | | 70,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/15/30 | | | | | 86,765 | | |
| | | | | | | | | | Newark Higher Education Finance Corp., Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | A3(a) | | | 5.000% due 4/1/27 | | | | | 76,691 | | |
| | | 40,000 | | | | A3(a) | | | 5.000% due 4/1/28 | | | | | 46,992 | | |
| | | | | | | | | | North Harris County Regional Water Authority, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA- | | | 4.000% due 12/15/23 | | | | | 31,448 | | |
| | | 55,000 | | | | AA- | | | 4.000% due 12/15/24 | | | | | 57,626 | | |
| | | | | | | | | | North Texas Tollway Authority, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | NR | | | 5.000% due 1/1/23 | | | | | 53,223 | | |
| | | 145,000 | | | | NR | | | 5.000% due 1/1/24 | | | | | 161,137 | | |
| | | 35,000 | | | | A+ | | | Series A, 5.000% due 1/1/30 | | | | | 41,283 | | |
| | | 40,000 | | | | A+ | | | Series A, 5.000% due 1/1/33 | | | | | 48,588 | | |
| | | 200,000 | | | | A+ | | | Series A, 5.000% due 1/1/39 | | | | | 236,224 | | |
| | | 30,000 | | | | WD(f) | | | Series A, Prerefunded 9/1/21 @ 100, 6.000% due 9/1/41(d) | | | | | 30,000 | | |
| | | 185,000 | | | | A | | | Series B, 5.000% due 1/1/25 | | | | | 213,596 | | |
| | | 290,000 | | | | A+ | | | Series B, 5.000% due 1/1/29 | | | | | 333,262 | | |
| | | 160,000 | | | | A+ | | | Series B, 5.000% due 1/1/30 | | | | | 184,216 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | $ | 20,000 | | | | A | | | Series B, 5.000% due 1/1/31 | | | | $ | 23,429 | | |
| | | 85,000 | | | | A | | | Series B, 5.000% due 1/1/32 | | | | | 102,484 | | |
| | | 685,000 | | | | Aaa(a) | | | Northside Independent School District, GO, PSF-GTD-Insured, 2.750% due 8/1/48(b) | | | | | 715,928 | | |
| | | | | | | | | | Permanent University Fund – University of Texas System, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | Aaa(a) | | | Series B, 5.000% due 7/1/22 | | | | | 52,043 | | |
| | | 50,000 | | | | Aaa(a) | | | Series B, 5.000% due 7/1/29 | | | | | 60,298 | | |
| | | 50,000 | | | | AAA | | | Rockwall Independent School District, GO, PSF-GTD-Insured, zero coupon, due 2/15/25 | | | | | 49,309 | | |
| | | 1,195,000 | | | | Aaa(a) | | | San Antonio Independent School District, GO, Series A, PSF-GTD-Insured, 5.000% due 8/1/28 | | | | | 1,453,078 | | |
| | | | | | | | | | San Antonio Public Facilities Corp., Revenue Bonds: | | | | | | | |
| | | 140,000 | | | | AA+ | | | 5.000% due 9/15/23 | | | | | 146,659 | | |
| | | 215,000 | | | | AA+ | | | 5.000% due 9/15/24 | | | | | 225,101 | | |
| | | 270,000 | | | | AA+ | | | 5.000% due 9/15/25 | | | | | 282,598 | | |
| | | | | | | | | | San Antonio Water System, Revenue Bonds: | | | | | | | |
| | | 175,000 | | | | NR | | | 5.000% due 5/15/22 | | | | | 180,994 | | |
| | | 2,000,000 | | | | AA | | | Series A, 5.000% due 5/15/36 | | | | | 2,497,104 | | |
| | | 390,000 | | | | AA | | | Series B, 2.000% due 5/1/44(b) | | | | | 397,953 | | |
| | | | | | | | | | San Jacinto Community College District, GO: | | | | | | | |
| | | 450,000 | | | | AA | | | 5.000% due 2/15/29 | | | | | 583,825 | | |
| | | 435,000 | | | | AA | | | 5.000% due 2/15/30 | | | | | 575,683 | | |
| | | | | | | | | | State of Texas, GO: | | | | | | | |
| | | 60,000 | | | | AAA | | | 1.850% due 8/1/29(b) | | | | | 60,069 | | |
| | | 2,500,000 | | | | AAA | | | 5.000% due 10/1/24 | | | | | 2,813,713 | | |
| | | 150,000 | | | | AAA | | | 5.000% due 8/1/26(c) | | | | | 171,250 | | |
| | | 200,000 | | | | AAA | | | 5.500% due 8/1/26(c) | | | | | 247,159 | | |
| | | 350,000 | | | | AAA | | | Series B, 5.000% due 8/1/25(c) | | | | | 382,855 | | |
| | | | | | | | | | Tarrant County Cultural Education Facilities Finance Corp., Revenue Bonds: | | | | | | | |
| | | 165,000 | | | | AA | | | 5.000% due 2/15/25 | | | | | 191,225 | | |
| | | 60,000 | | | | AA | | | 5.000% due 2/15/34 | | | | | 71,938 | | |
| | | 30,000 | | | | AA- | | | Series Prerefunded 8/15/23 @ 100, 5.000% due 8/15/25(d) | | | | | 32,805 | | |
| | | 45,000 | | | | AA- | | | Series Prerefunded 8/15/23 @ 100, 5.000% due 8/15/26(d) | | | | | 49,208 | | |
| | | 45,000 | | | | AA- | | | Series Prerefunded 8/15/23 @ 100, 5.000% due 8/15/28(d) | | | | | 49,208 | | |
| | | 110,000 | | | | AA- | | | Series Prerefunded 8/15/23 @ 100, 5.000% due 8/15/33(d) | | | | | 120,285 | | |
| | | 155,000 | | | | A | | | Series Prerefunded 9/1/23 @ 100, 5.500% due 9/1/43(d) | | | | | 171,169 | | |
| | | 165,000 | | | | AAA | | | Texas A&M University, Revenue Bonds, Series C, 5.000% due 5/15/23 | | | | | 178,714 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | | | | | | | | | Texas Department of Housing & Community Affairs, Revenue Bonds: | | ||||||
| | $ | 408,376 | | | | Aaa(a) | | | 2.950% due 7/1/36 | | | | $ | 440,407 | | |
| | | 395,000 | | | | AA+ | | | Series A, 4.000% due 3/1/50 | | | | | 448,293 | | |
| | | 600,000 | | | | AA+ | | | Texas Public Finance Authority, Revenue Bonds, 5.000% due 2/1/28 | | | | | 759,873 | | |
| | | 135,000 | | | | Aa2(a) | | | Texas State University System, Revenue Bonds, Series A, 5.000% due 3/15/29 | | | | | 166,063 | | |
| | | | | | | | | | Texas Water Development Board, Revenue Bonds: | | | | | | | |
| | | 125,000 | | | | AAA | | | Series A, 5.000% due 4/15/22 | | | | | 128,804 | | |
| | | 180,000 | | | | AAA | | | Series A, 5.000% due 4/15/25 | | | | | 210,420 | | |
| | | 75,000 | | | | AAA | | | Series A, 5.000% due 10/15/25 | | | | | 89,225 | | |
| | | 125,000 | | | | AAA | | | Series A, 5.000% due 4/15/26 | | | | | 151,124 | | |
| | | 190,000 | | | | AAA | | | Series A, 5.000% due 4/15/29 | | | | | 240,174 | | |
| | | 505,000 | | | | AAA | | | Series A, 5.000% due 4/15/30 | | | | | 636,305 | | |
| | | 190,000 | | | | AA | | | University of Houston, Revenue Bonds, Series A, 5.000% due 2/15/30 | | | | | 225,386 | | |
| | | | | | | | | | Total Texas | | | | | 115,672,529 | | |
| Utah – 1.3% | | |||||||||||||||
| | | | | | | | | | City of Salt Lake City UT Airport Revenue, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | A | | | Series A, 5.000% due 7/1/26(c) | | | | | 42,246 | | |
| | | 115,000 | | | | A | | | Series A, 5.000% due 7/1/28(c) | | | | | 141,513 | | |
| | | 155,000 | | | | A | | | Series A, 5.000% due 7/1/30(c) | | | | | 193,857 | | |
| | | 8,000,000 | | | | AA+ | | | County of Utah UT, Revenue Bonds, 0.010% due 5/15/51(b) | | | | | 8,000,000 | | |
| | | 375,000 | | | | AAA | | | State of Utah, GO, Series B, 5.000% due 7/1/22 | | | | | 390,293 | | |
| | | 85,000 | | | | A- | | | Utah Associated Municipal Power Systems, Revenue Bonds, Series A, Prerefunded 9/1/22 @ 100, 5.000% due 9/1/24(d) | | | | | 89,133 | | |
| | | 2,500,000 | | | | A+ | | | Utah Transit Authority, Revenue Bonds, Series A, NPFG, 5.000% due 6/15/31 | | | | | 3,178,282 | | |
| | | | | | | | | | Total Utah | | | | | 12,035,324 | | |
| Vermont – 0.2% | | |||||||||||||||
| | | | | | | | | | Vermont Student Assistance Corp., Revenue Bonds: | | | | | | | |
| | | 750,000 | | | | A | | | Series A, 5.000% due 6/15/29(c) | | | | | 929,314 | | |
| | | 675,000 | | | | A | | | Series A, 5.000% due 6/15/30(c) | | | | | 846,313 | | |
| | | | | | | | | | Total Vermont | | | | | 1,775,627 | | |
| Virginia – 3.0% | | |||||||||||||||
| | | 195,000 | | | | A+ | | | Arlington County Industrial Development Authority, Revenue Bonds, 5.000% due 7/1/32 | | | | | 256,783 | | |
| | | 315,000 | | | | AAA | | | City of Chesapeake VA, GO, Series A, 5.000% due 8/1/34 | | | | | 420,550 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Virginia – (continued) | | |||||||||||||||
| | $ | 30,000 | | | | BBB+ | | | City of Chesapeake VA Chesapeake Expressway Toll Road Revenue, Revenue Bonds, Series A, 5.000% due 7/15/22 | | | | $ | 31,227 | | |
| | | 3,000,000 | | | | AAA | | | City of Norfolk VA, GO, Series A, 4.000% due 3/1/38 | | | | | 3,691,040 | | |
| | | 2,635,000 | | | | AAA | | | City of Suffolk VA, GO, Series A, 5.000% due 2/1/27 | | | | | 3,271,720 | | |
| | | 5,000,000 | | | | AAA | | | Commonwealth of Virginia, GO, Series B, 4.000% due 6/1/24 | | | | | 5,340,538 | | |
| | | 2,000,000 | | | | AAA | | | County of Fairfax VA Sewer Revenue, Revenue Bonds, Series A, 5.000% due 7/15/46 | | | | | 2,653,857 | | |
| | | | | | | | | | Fredericksburg Economic Development Authority, Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | A3(a) | | | 5.000% due 6/15/27 | | | | | 44,867 | | |
| | | 40,000 | | | | A3(a) | | | 5.000% due 6/15/29 | | | | | 44,654 | | |
| | | 45,000 | | | | A3(a) | | | 5.000% due 6/15/33 | | | | | 50,170 | | |
| | | 3,180,000 | | | | AA | | | Hampton Roads Transportation Accountability Commission, Revenue Bonds, Series A, 5.000% due 7/1/35 | | | | | 3,948,322 | | |
| | | 1,065,000 | | | | A- | | | King George County Economic Development Authority, Revenue Bonds, 2.500% due 6/1/23(b)(c) | | | | | 1,105,411 | | |
| | | 320,000 | | | | AA | | | Norfolk Economic Development Authority, Revenue Bonds, Series B, 5.000% due 11/1/48(b) | | | | | 409,876 | | |
| | | | | | | | | | Stafford County Economic Development Authority, Revenue Bonds: | | | | | | | |
| | | 20,000 | | | | A3(a) | | | 4.000% due 6/15/37 | | | | | 22,244 | | |
| | | 50,000 | | | | A3(a) | | | 5.000% due 6/15/32 | | | | | 58,799 | | |
| | | 65,000 | | | | A3(a) | | | 5.000% due 6/15/34 | | | | | 76,136 | | |
| | | | | | | | | | Virginia College Building Authority, Revenue Bonds: | | | | | | | |
| | | 1,670,000 | | | | AA+ | | | 5.000% due 2/1/25 | | | | | 1,938,948 | | |
| | | 2,805,000 | | | | AA+ | | | Series A, 5.000% due 9/1/32 | | | | | 3,573,649 | | |
| | | 165,000 | | | | AA+ | | | Series D, 5.000% due 2/1/26 | | | | | 198,159 | | |
| | | 265,000 | | | | AA+ | | | Series E, 5.000% due 2/1/30 | | | | | 333,967 | | |
| | | 305,000 | | | | AA+ | | | Series E, 5.000% due 2/1/31 | | | | | 382,459 | | |
| | | 360,000 | | | | AA+ | | | Virginia Commonwealth Transportation Board, Revenue Bonds, Series A, 5.000% due 5/15/30 | | | | | 452,638 | | |
| | | 220,000 | | | | BBB- | | | Virginia Small Business Financing Authority, Revenue Bonds, 5.000% due 1/1/40(c) | | | | | 223,388 | | |
| | | | | | | | | | Winchester Economic Development Authority, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | A+ | | | 5.000% due 1/1/32 | | | | | 70,077 | | |
| | | 75,000 | | | | A+ | | | 5.000% due 1/1/33 | | | | | 87,546 | | |
| | | 100,000 | | | | BBB+ | | | York County Economic Development Authority, Revenue Bonds, Series A, 1.900% due 5/1/33(b) | | | | | 102,284 | | |
| | | | | | | | | | Total Virginia | | | | | 28,789,309 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Washington – 3.8% | | |||||||||||||||
| | $ | 60,000 | | | | AA | | | Chelan County Public Utility District No 1, Revenue Bonds, Series A, NPFG, zero coupon, due 6/1/24 | | | | $ | 59,332 | | |
| | | 3,550,000 | | | | AA+ | | | City of Seattle WA Water System Revenue, Revenue Bonds, 5.000% due 8/1/27 | | | | | 4,461,316 | | |
| | | | | | | | | | City of Tacoma WA Electric System Revenue, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA | | | 5.000% due 1/1/29 | | | | | 36,745 | | |
| | | 35,000 | | | | AA | | | 5.000% due 1/1/36 | | | | | 42,173 | | |
| | | 3,330,000 | | | | AA+ | | | County of King WA Sewer Revenue, Revenue Bonds, Series A, 5.000% due 7/1/22 | | | | | 3,465,800 | | |
| | | | | | | | | | Grant County Public Utility District No 2 Priest Rapids Hydroelectric Project, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA | | | Series A, 5.000% due 1/1/22 | | | | | 30,486 | | |
| | | 30,000 | | | | AA | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 1/1/23(d) | | | | | 31,217 | | |
| | | 65,000 | | | | AA | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 1/1/24(d) | | | | | 67,638 | | |
| | | | | | | | | | Port of Seattle WA, Revenue Bonds: | | | | | | | |
| | | 25,000 | | | | A- | | | 5.000% due 6/1/23(c) | | | | | 26,980 | | |
| | | 35,000 | | | | A+ | | | 5.000% due 2/1/27 | | | | | 41,729 | | |
| | | 70,000 | | | | A+ | | | 5.000% due 2/1/29 | | | | | 83,121 | | |
| | | 85,000 | | | | A+ | | | Series A, 5.000% due 5/1/29(c) | | | | | 103,293 | | |
| | | 1,000,000 | | | | AA- | | | Series B, 5.000% due 10/1/26(c) | | | | | 1,194,932 | | |
| | | 980,000 | | | | AA- | | | Series B, 5.000% due 10/1/27(c) | | | | | 1,169,565 | | |
| | | 135,000 | | | | AA- | | | Series B, 5.000% due 10/1/29(c) | | | | | 160,576 | | |
| | | | | | | | | | State of Washington, GO: | | | | | | | |
| | | 2,500,000 | | | | AA+ | | | 5.000% due 6/1/43 | | | | | 3,265,443 | | |
| | | 50,000 | | | | AA+ | | | Series 2017A, 5.000% due 8/1/27 | | | | | 61,016 | | |
| | | 3,430,000 | | | | AA+ | | | Series A, 5.000% due 8/1/32 | | | | | 4,368,864 | | |
| | | 5,000,000 | | | | AA+ | | | Series C, 5.000% due 2/1/33 | | | | | 6,391,578 | | |
| | | 50,000 | | | | AA+ | | | Series R2017A, 5.000% due 8/1/28 | | | | | 61,016 | | |
| | | 50,000 | | | | AA+ | | | Series R2017A, 5.000% due 8/1/30 | | | | | 60,961 | | |
| | | 355,000 | | | | AA+ | | | Series R2018C, 5.000% due 8/1/30 | | | | | 442,830 | | |
| | | 725,000 | | | | AA+ | | | Series R2018D, 5.000% due 8/1/32 | | | | | 901,477 | | |
| | | 640,000 | | | | AA+ | | | Series R2018D, 5.000% due 8/1/33 | | | | | 795,120 | | |
| | | 5,000,000 | | | | AA+ | | | Series R2018D, 5.000% due 8/1/35 | | | | | 6,198,361 | | |
| | | | | | | | | | Tobacco Settlement Authority, Revenue Bonds: | | | | | | | |
| | | 70,000 | | | | A | | | 5.000% due 6/1/23 | | | | | 75,707 | | |
| | | 100,000 | | | | A | | | 5.000% due 6/1/24 | | | | | 108,106 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Washington – (continued) | | |||||||||||||||
| | | | | | | | | | Washington Health Care Facilities Authority, Revenue Bonds: | | ||||||
| | $ | 60,000 | | | | A | | | 5.000% due 7/1/26 | | | | $ | 72,549 | | |
| | | 70,000 | | | | AA- | | | 5.000% due 10/1/27 | | | | | 87,845 | | |
| | | 60,000 | | | | AA- | | | 5.000% due 10/1/28 | | | | | 77,181 | | |
| | | 40,000 | | | | A+ | | | 5.000% due 1/1/29 | | | | | 46,186 | | |
| | | 90,000 | | | | A | | | 5.000% due 7/1/29 | | | | | 112,770 | | |
| | | 20,000 | | | | A | | | 5.000% due 7/1/34 | | | | | 24,622 | | |
| | | 780,000 | | | | A | | | 5.000% due 7/1/42 | | | | | 945,434 | | |
| | | 115,000 | | | | AA- | | | Series A, 5.000% due 10/1/24 | | | | | 121,095 | | |
| | | 440,000 | | | | BBB+ | | | Series A2, 5.000% due 8/1/39 | | | | | 551,687 | | |
| | | | | | | | | | Washington Higher Education Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 15,000 | | | | Baa1(a) | | | Series A, 5.000% due 10/1/29 | | | | | 17,818 | | |
| | | 35,000 | | | | Baa1(a) | | | Series A, 5.000% due 10/1/30 | | | | | 41,340 | | |
| | | 40,000 | | | | Baa1(a) | | | Series A, 5.000% due 10/1/31 | | | | | 47,094 | | |
| | | 210,000 | | | | Baa1(a) | | | Series A, 5.000% due 10/1/33 | | | | | 246,118 | | |
| | | | | | | | | | Total Washington | | | | | 36,097,121 | | |
| West Virginia – 1.9% | | |||||||||||||||
| | | | | | | | | | State of West Virginia, GO: | | | | | | | |
| | | 9,860,000 | | | | AA- | | | Series B, 5.000% due 12/1/34 | | | | | 12,455,123 | | |
| | | 2,000,000 | | | | AA- | | | Series B, 5.000% due 6/1/35 | | | | | 2,520,155 | | |
| | | 190,000 | | | | BBB+ | | | West Virginia Hospital Finance Authority, Revenue Bonds, 5.000% due 1/1/33 | | | | | 236,606 | | |
| | | 2,000,000 | | | | AA- | | | West Virginia Parkways Authority, Revenue Bonds, 5.000% due 6/1/36 | | | | | 2,667,207 | | |
| | | | | | | | | | Total West Virginia | | | | | 17,879,091 | | |
| Wisconsin – 0.4% | | |||||||||||||||
| | | 160,000 | | | | A | | | Public Finance Authority, Revenue Bonds, 5.000% due 1/1/31 | | | | | 206,465 | | |
| | | | | | | | | | Wisconsin Health & Educational Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 400,000 | | | | A2(a) | | | 5.000% due 10/1/23 | | | | | 437,402 | | |
| | | 255,000 | | | | A+ | | | 5.000% due 11/15/24 | | | | | 293,122 | | |
| | | 25,000 | | | | BBB+ | | | 5.000% due 5/1/26 | | | | | 27,775 | | |
| | | 50,000 | | | | A3(a) | | | 5.000% due 6/1/27 | | | | | 51,662 | | |
| | | 195,000 | | | | A+ | | | 5.000% due 11/15/27 | | | | | 223,815 | | |
| | | 50,000 | | | | BBB+ | | | 5.000% due 5/1/28 | | | | | 55,204 | | |
| | | 25,000 | | | | BBB+ | | | 5.000% due 5/1/29 | | | | | 27,522 | | |
| | | 30,000 | | | | A3(a) | | | 5.000% due 6/1/32 | | | | | 30,981 | | |
| | | 70,000 | | | | A3(a) | | | 5.000% due 6/1/39 | | | | | 72,251 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Wisconsin – (continued) | | |||||||||||||||
| | $ | 1,505,000 | | | | AA | | | 5.000% due 8/15/54(b) | | | | $ | 1,644,402 | | |
| | | 30,000 | | | | WR(a) | | | Series B, Prerefunded 7/1/23 @ 100, 5.000% due 7/1/25(d) | | | | | 32,630 | | |
| | | 200,000 | | | | WR(a) | | | Series B, Prerefunded 7/1/23 @ 100, 5.000% due 7/1/36(d) | | | | | 217,532 | | |
| | | 50,000 | | | | NR | | | Series C, Prerefunded 8/15/22 @ 100, 5.000% due 8/15/32(d) | | | | | 52,303 | | |
| | | 520,000 | | | | AA | | | Wisconsin Housing & Economic Development Authority, Revenue Bonds, Series A, 3.500% due 9/1/50 | | | | | 577,120 | | |
| | | | | | | | | | Total Wisconsin | | | | | 3,950,186 | | |
| | | | | | | | | | TOTAL MUNICIPAL BONDS (Cost – $805,277,854) | | | | | 846,688,436 | | |
| | | | | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $805,277,854) | | | | | 846,688,436 | | |
| SHORT-TERM INVESTMENTS – 13.9% | | |||||||||||||||
| MUNICIPAL BONDS – 3.0% | | |||||||||||||||
| | | 4,000,000 | | | | | | | Charleston County School District, GO, 4.000% due 5/11/22 | | | | | 4,108,677 | | |
| | | 10,000,000 | | | | | | | City of Los Angeles CA, Revenue Notes, 4.000% due 6/23/22 | | | | | 10,318,886 | | |
| | | 5,200,000 | | | | | | | Colorado State Education Loan Program, Revenue Notes, Series A, 4.000% due 6/29/22 | | | | | 5,369,217 | | |
| | | 5,000,000 | | | | | | | County of Los Angeles CA, Revenue Notes, 4.000% due 6/30/22 | | | | | 5,162,402 | | |
| | | 3,500,000 | | | | | | | Town of Tonawanda NY, GO, 1.500% due 8/26/22 | | | | | 3,548,042 | | |
| | | | | | | | | | TOTAL MUNICIPAL BONDS (Cost – $28,498,755) | | | | | 28,507,224 | | |
| TIME DEPOSITS – 10.9% | | |||||||||||||||
| | | 71,409,314 | | | | | | | BNP Paribas – Paris, 0.005% due 9/1/21 | | | | | 71,409,314 | | |
| | | 32,415,106 | | | | | | | Skandinaviska Enskilda Banken AB – Stockholm, 0.005% due 9/1/21 | | | | | 32,415,106 | | |
| | | | | | | | | | TOTAL TIME DEPOSITS (Cost – $103,824,420) | | | | | 103,824,420 | | |
| | | | | | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost – $132,323,175) | | | | | 132,331,644 | | |
| | | | | | | | | | TOTAL INVESTMENTS – 102.9% (Cost – $937,601,029) | | | | | 979,020,080 | | |
| | | | | | | | | | Liabilities in Excess of Other Assets – (2.9)% | | | | | (27,269,523) | | |
| | | | | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 951,750,557 | | |
|
| General Obligation | | | | | 40.7% | | |
| Education | | | | | 15.3 | | |
| Health Care Providers & Services | | | | | 7.1 | | |
| Water and Sewer | | | | | 7.1 | | |
| Transportation | | | | | 6.3 | | |
| Airport | | | | | 3.4 | | |
| Power | | | | | 1.5 | | |
| Development | | | | | 1.2 | | |
| Utilities | | | | | 1.0 | | |
| Nursing Homes | | | | | 1.0 | | |
| Single Family Housing | | | | | 0.8 | | |
| Student Loan | | | | | 0.4 | | |
| Facilities | | | | | 0.3 | | |
| Pollution | | | | | 0.2 | | |
| Multifamily Housing | | | | | 0.1 | | |
| Tobacco Settlement | | | | | 0.1 | | |
| Bond Bank | | | | | 0.0* | | |
| Short-Term Investments | | | | | 13.5 | | |
| | | | | | 100.0% | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – 21.8% | | ||||||||||||
| | $ | 2,489,025 | | | | Alternative Loan Trust, Series 2005-61, Class 2A2, 0.844% (1-Month USD-LIBOR + 0.760)% due 12/25/35(a) | | | | $ | 2,285,186 | | |
| | | 892,053 | | | | Bear Stearns ALT-A Trust, Series 2006-8, Class 3A1, 0.404% (1-Month USD-LIBOR + 0.320)% due 2/25/34(a) | | | | | 866,360 | | |
| | | | | | | Connecticut Avenue Securities Trust: | | | |||||
| | | 6,216,000 | | | | Series 2018-R07, Class 1B1, 4.434% (1-Month USD-LIBOR + 4.350)% due 4/25/31(a)(b) | | | | | 6,439,585 | | |
| | | 4,012,401 | | | | Series 2018-R07, Class 1M2, 2.484% (1-Month USD-LIBOR + 2.400)% due 4/25/31(a)(b) | | | | | 4,030,295 | | |
| | | 5,893,000 | | | | Series 2019-HRP1, Class B1, 9.334% (1-Month USD-LIBOR + 9.250)% due 11/25/39(a)(b) | | | | | 6,228,557 | | |
| | | 6,759,000 | | | | Series 2019-R02, Class 1B1, 4.234% (1-Month USD-LIBOR + 4.150)% due 8/25/31(a)(b) | | | | | 6,956,062 | | |
| | | 6,060,000 | | | | Series 2019-R03, Class 1B1, 4.184% (1-Month USD-LIBOR + 4.100)% due 9/25/31(a)(b) | | | | | 6,214,685 | | |
| | | 4,154,657 | | | | Deutsche Alternative-A Securities Mortgage Loan Trust, Series 2007-OA5, Class A1A, 0.284% (1-Month USD-LIBOR + 0.200)% due 8/25/47(a) | | | | | 3,925,884 | | |
| | | | | | | Federal National Mortgage Association (FNMA), Connecticut Avenue Securities@: | | | | | | | |
| | | 2,187,054 | | | | Series 2015-C04, Class 1M2, 5.784% (1-Month USD-LIBOR + 5.700)% due 4/25/28(a) | | | | | 2,300,713 | | |
| | | 208,259 | | | | Series 2016-C01, Class 1B, 11.834% (1-Month USD-LIBOR + 11.750)% due 8/25/28(a) | | | | | 235,423 | | |
| | | 2,134,498 | | | | Series 2016-C01, Class 1M2, 6.834% (1-Month USD-LIBOR + 6.750)% due 8/25/28(a) | | | | | 2,257,042 | | |
| | | 1,537,511 | | | | Series 2016-C01, Class 2M2, 7.034% (1-Month USD-LIBOR + 6.950)% due 8/25/28(a) | | | | | 1,618,862 | | |
| | | 685,105 | | | | Series 2016-C02, Class 1B, 12.334% (1-Month USD-LIBOR + 12.250)% due 9/25/28(a) | | | | | 797,485 | | |
| | | 8,373,255 | | | | Series 2016-C03, Class 2M2, 5.984% (1-Month USD-LIBOR + 5.900)% due 10/25/28(a) | | | | | 8,786,960 | | |
| | | 7,136,141 | | | | Series 2016-C05, Class 2M2, 4.534% (1-Month USD-LIBOR + 4.450)% due 1/25/29(a) | | | | | 7,405,741 | | |
| | | 10,451,500 | | | | Series 2016-C07, Class 2M2, 4.434% (1-Month USD-LIBOR + 4.350)% due 5/25/29(a) | | | | | 10,853,728 | | |
| | | 7,060,000 | | | | Series 2017-C01, Class 1B1, 5.834% (1-Month USD-LIBOR + 5.750)% due 7/25/29(a) | | | | | 7,716,682 | | |
| | | 5,685,172 | | | | Series 2017-C01, Class 1M2, 3.634% (1-Month USD-LIBOR + 3.550)% due 7/25/29(a) | | | | | 5,851,316 | | |
| | | 1,800,000 | | | | Series 2017-C01, Class 1M2C, 3.634% (1-Month USD-LIBOR + 3.550)% due 7/25/29(a)) | | | | | 1,870,463 | | |
| | | 6,605,011 | | | | Series 2017-C02, Class 2M2, 3.734% (1-Month USD-LIBOR + 3.650)% due 9/25/29(a) | | | | | 6,832,213 | | |
| Face Amount/Units | | | Security | | | Value | | | ||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | | ||||||||||||||
| | $ | 5,003,249 | | | | Series 2017-C02, Class 2M2C, 3.734% (1-Month USD-LIBOR + 3.650)% due 9/25/29(a) | | | | $ | 5,216,146 | | | | ||
| | | 3,700,718 | | | | Series 2017-C02, Class 2X3, 2.300% due 9/25/29(c) | | | | | 68,944 | | | | ||
| | | 6,920,000 | | | | Series 2017-C03, Class 1B1, 4.934% (1-Month USD-LIBOR + 4.850)% due 10/25/29(a) | | | | | 7,508,476 | | | | ||
| | | 5,016,110 | | | | Series 2017-C03, Class 1M2C, 3.084% (1-Month USD-LIBOR + 3.000)% due 10/25/29(a) | | | | | 5,179,412 | | | | ||
| | | 8,222,346 | | | | Series 2017-C03, Class 1X1, 2.300% due 10/25/29(c) | | | | | 132,990 | | | | ||
| | | 5,860,000 | | | | Series 2017-C04, Class 2B1, 5.134% (1-Month USD-LIBOR + 5.050)% due 11/25/29(a) | | | | | 6,406,704 | | | | ||
| | | 3,629,541 | | | | Series 2017-C06, Class 1M2, 2.734% (1-Month USD-LIBOR + 2.650)% due 2/25/30(a) | | | | | 3,693,070 | | | | ||
| | | 3,600,000 | | | | Series 2017-C06, Class 2B1, 4.534% (1-Month USD-LIBOR + 4.450)% due 2/25/30(a) | | | | | 3,758,187 | | | | ||
| | | 4,166,086 | | | | Series 2017-C07, Class 1M2, 2.484% (1-Month USD-LIBOR + 2.400)% due 5/25/30(a) | | | | | 4,226,028 | | | | ||
| | | 2,173,583 | | | | Series 2017-C07, Class 2M2B, 2.584% (1-Month USD-LIBOR + 2.500)% due 5/25/30(a) | | | | | 2,193,833 | | | | ||
| | | 15,322,798 | | | | Series 2018-C01, Class 1ED5, 2.334% (1-Month USD-LIBOR + 2.250)% due 7/25/30(a) | | | | | 15,453,658 | | | | ||
| | | 5,589,529 | | | | Series 2018-C01, Class 1M2, 2.334% (1-Month USD-LIBOR + 2.250)% due 7/25/30(a) | | | | | 5,660,606 | | | | ||
| | | 3,528,000 | | | | Series 2018-C03, Class 1B1, 3.834% (1-Month USD-LIBOR + 3.750)% due 10/25/30(a) | | | | | 3,667,533 | | | | ||
| | | 6,546,000 | | | | Series 2018-C05, Class 1B1, 4.334% (1-Month USD-LIBOR + 4.250)% due 1/25/31(a) | | | | | 6,844,980 | | | | ||
| | | 4,120,000 | | | | Series 2018-C06, Class 1B1, 3.834% (1-Month USD-LIBOR + 3.750)% due 3/25/31(a) | | | | | 4,215,027 | | | | ||
| | | 2,665,570 | | | | FNBA Mortgage Loan Trust, Series 2004-AR1, Class M2, 1.737% (1-Month USD-LIBOR + 1.650)% due 8/19/34(a) | | | | | 2,734,995 | | | | ||
| | | | | | | Freddie Mac STACR REMIC Trust: | | | | | | | | | ||
| | | 8,000,000 | | | | Series 2020-DNA3, Class B1, 5.184% (1-Month USD-LIBOR + 5.100)% due 6/25/50(a)(b) | | | | | 8,358,002 | | | | ||
| | | 640,000 | | | | Series 2020-DNA3, Class B2, 9.434% (1-Month USD-LIBOR + 9.350)% due 6/25/50(a)(b) | | | | | 783,619 | | | | ||
| | | 9,000,000 | | | | Series 2020-DNA4, Class B1, 6.084% (1-Month USD-LIBOR + 6.000)% due 8/25/50(a)(b) | | | | | 9,572,805 | | | | | |
| | | 618,032 | | | | Series 2020-DNA4, Class M2AI, 2.250% due 8/25/50(b)(c) | | | | | 59,180 | | | | | |
| | | 4,936,500 | | | | Series 2020-DNA4, Class M2B, 3.834% (1-Month USD-LIBOR + 3.750)% due 8/25/50(a)(b) | | | | | 4,988,766 | | | | ||
| | | 11,236,303 | | | | Series 2020-HQA2, Class M2, 3.184% (1-Month USD-LIBOR + 3.100)% due 3/25/50(a)(b) | | | | | 11,387,415 | | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 7,500,000 | | | | Series 2020-HQA3, Class B1, 5.834% (1-Month USD-LIBOR + 5.750)% due 7/25/50(a)(b) | | | | $ | 7,989,126 | | |
| | | 3,030,000 | | | | Series 2020-HQA4, Class B1, 5.334% (1-Month USD-LIBOR + 5.250)% due 9/25/50(a)(b) | | | | | 3,185,225 | | |
| | | 3,749,232 | | | | Series 2020-HQA4, Class M2, 3.234% (1-Month USD-LIBOR + 3.150)% due 9/25/50(a)(b) | | | | | 3,775,842 | | |
| | | | | | | Freddie Mac STACR Trust: | | | | | | | |
| | | 2,384,000 | | | | Series 2018-DNA2, Class B1, 3.784% (1-Month USD-LIBOR + 3.700)% due 12/25/30(a)(b) | | | | | 2,475,458 | | |
| | | 3,580,000 | | | | Series 2019-DNA2, Class B1, 4.434% (1-Month USD-LIBOR + 4.350)% due 3/25/49(a)(b) | | | | | 3,716,237 | | |
| | | 1,122,076 | | | | Series 2019-HQA1, Class M2, 2.434% (1-Month USD-LIBOR + 2.350)% due 2/25/49(a)(b) | | | | | 1,133,232 | | |
| | | | | | | Freddie Mac Structured Agency Credit Risk Debt Notes@: | | | | | | | |
| | | 6,190,229 | | | | Series 2016-DNA1, Class M3, 5.634% (1-Month USD-LIBOR + 5.550)% due 7/25/28(a) | | | | | 6,470,627 | | |
| | | 6,972,000 | | | | Series 2017-DNA2, Class B1, 5.234% (1-Month USD-LIBOR + 5.150)% due 10/25/29(a) | | | | | 7,617,224 | | |
| | | 9,356,528 | | | | Series 2017-HQA1, Class M2, 3.634% (1-Month USD-LIBOR + 3.550)% due 8/25/29(a) | | | | | 9,632,206 | | |
| | | 3,041,000 | | | | Series 2017-HQA1, Class M2B, 3.634% (1-Month USD-LIBOR + 3.550)% due 8/25/29(a) | | | | | 3,106,512 | | |
| | | 9,118,895 | | | | Series 2017-HQA2, Class M2, 2.734% (1-Month USD-LIBOR + 2.650)% due 12/25/29(a) | | | | | 9,279,817 | | |
| | | 4,290,000 | | | | Series 2017-HQA3, Class B1, 4.534% (1-Month USD-LIBOR + 4.450)% due 4/25/30(a) | | | | | 4,504,596 | | |
| | | | | | | STACR Trust: | | | | | | | |
| | | 227,000 | | | | Series 2018-DNA3, Class B1, 3.984% (1-Month USD-LIBOR + 3.900)% due 9/25/48(a)(b) | | | | | 236,700 | | |
| | | 4,188,670 | | | | Series 2018-HRP1, Class B2, 11.834% (1-Month USD-LIBOR + 11.750)% due 5/25/43(a)(b) | | | | | 4,821,409 | | |
| | | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost – $270,096,558) | | | | | 273,527,829 | | |
| ASSET-BACKED SECURITIES – 12.2% | | ||||||||||||
| | | 3,420,484 | | | | Aames Mortgage Investment Trust, Series 2005-4, Class M3, 0.864% (1-Month USD-LIBOR + 0.780)% due 10/25/35(a) | | | | | 3,416,904 | | |
| | | | | | | ABFC Trust: | | | | | | | |
| | | 3,630,878 | | | | Series 2003-OPT1, Class A3, 0.764% (1-Month USD-LIBOR + 0.680)% due 4/25/33(a) | | | | | 3,532,344 | | |
| | | 2,172,264 | | | | Series 2005-WF1, Class M2, 0.684% (1-Month USD-LIBOR + 0.600)% due 10/25/34(a) | | | | | 2,160,542 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 1,726,738 | | | | Accredited Mortgage Loan Trust, Series 2006-2, Class A4, 0.344% (1-Month USD-LIBOR + 0.260)% due 9/25/36(a) | | | | $ | 1,705,424 | | |
| | | 2,232,610 | | | | Asset Backed Securities Corp. Home Equity Loan Trust, Series 2007-HE1, Class A4, 0.224% (1-Month USD-LIBOR + 0.140)% due 12/25/36(a) | | | | | 2,186,439 | | |
| | | | | | | Brookside Mill CLO Ltd.: | | | | | | | |
| | | 3,000,000 | | | | Series 2013-1A, Class BR, 1.484% (3-Month USD-LIBOR + 1.350)% due 1/17/28(a)(b) | | | | | 2,988,926 | | |
| | | 410,000 | | | | Series 2013-1A, Class ER, 5.634% (3-Month USD-LIBOR + 5.500)% due 1/17/28(a)(b) | | | | | 398,853 | | |
| | | 1,350,000 | | | | Carlyle Global Market Strategies CLO Ltd., Series 2015-3A, Class ER, 8.382% (3-Month USD-LIBOR + 8.250)% due 7/28/28(a)(b) | | | | | 1,230,725 | | |
| | | 3,510,215 | | | | Carrington Mortgage Loan Trust, Series 2006-NC3, Class A3, 0.234% (1-Month USD-LIBOR + 0.150)% due 8/25/36(a) | | | | | 3,416,511 | | |
| | | 1,880,485 | | | | Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH4, Class A2C, 1.384% (1-Month USD-LIBOR + 1.300)% due 7/25/37(a) | | | | | 1,882,268 | | |
| | | | | | | Countrywide Asset-Backed Certificates: | | | | | | | |
| | | 4,282,542 | | | | Series 2004-2, Class M1, 0.834% (1-Month USD-LIBOR + 0.750)% due 5/25/34(a) | | | | | 4,254,569 | | |
| | | 17,706,963 | | | | Series 2006-22, Class 1A, 0.224% (1-Month USD-LIBOR + 0.140)% due 6/25/35(a) | | | | | 16,651,035 | | |
| | | 2,262,910 | | | | Series 2007-2, Class 2A3, 0.224% (1-Month USD-LIBOR + 0.140)% due 8/25/37(a) | | | | | 2,240,540 | | |
| | | 1,028,301 | | | | CWABS Asset-Backed Certificates Trust, Series 2007-12, Class 2A3, 0.884% (1-Month USD-LIBOR + 0.800)% due 8/25/47(a) | | | | | 1,024,632 | | |
| | | 2,126,957 | | | | Ellington Loan Acquisition Trust, Series 2007-1, Class A1, 1.184% (1-Month USD-LIBOR + 1.100)% due 5/25/37(a)(b) | | | | | 2,131,556 | | |
| | | 3,260,057 | | | | EquiFirst Mortgage Loan Trust, Series 2003-2, Class 1A1, 1.221% (1-Month USD-LIBOR + 1.125)% due 9/25/33(a) | | | | | 3,262,890 | | |
| | | 5,618,885 | | | | Fremont Home Loan Trust, Series 2003-A, Class M1, 1.059% (1-Month USD-LIBOR + 0.975)% due 8/25/33(a) | | | | | 5,583,637 | | |
| | | 1,441,037 | | | | Gallatin CLO VIII Ltd., Series 2017-1A, Class A, 1.426% (3-Month USD-LIBOR + 1.300)% due 7/15/27(a)(b) | | | | | 1,444,904 | | |
| | | | | | | Home Equity Asset Trust: | | | | | | | |
| | | 2,988,863 | | | | Series 2004-2, Class M1, 0.879% (1-Month USD-LIBOR + 0.795)% due 7/25/34(a) | | | | | 2,966,888 | | |
| | | 958,976 | | | | Series 2005-7, Class M1, 0.759% (1-Month USD-LIBOR + 0.675)% due 1/25/36(a) | | | | | 958,467 | | |
| | | 1,434,452 | | | | HSI Asset Securitization Corp. Trust, Series 2006-OPT2, Class M2, 0.669% (1-Month USD-LIBOR + 0.585)% due 1/25/36(a) | | | | | 1,436,049 | | |
| | | | | | | JP Morgan Mortgage Acquisition Trust: | | | | | | | |
| | | 4,253,061 | | | | Series 2007-CH4, Class A5, 0.324% (1-Month USD-LIBOR + 0.240)% due 5/25/37(a) | | | | | 4,218,382 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 809,098 | | | | Series 2007-CH5, Class A5, 0.344% (1-Month USD-LIBOR + 0.260)% due 6/25/37(a) | | | | $ | 803,962 | | |
| | | 3,763,263 | | | | KKR CLO 16 Ltd., Series 16, Class A1R, 1.384% (3-Month USD-LIBOR + 1.250)% due 1/20/29(a)(b) | | | | | 3,763,272 | | |
| | | 2,700,000 | | | | KVK CLO Ltd., Series 2018-1A, Class E, 5.981% (3-Month USD-LIBOR + 5.850)% due 5/20/29(a)(b) | | | | | 2,516,532 | | |
| | | | | | | Long Beach Mortgage Loan Trust: | | | | | | | |
| | | 3,757,576 | | | | Series 2004-4, Class M1, 0.984% (1-Month USD-LIBOR + 0.900)% due 10/25/34(a) | | | | | 3,729,339 | | |
| | | 7,300,000 | | | | Series 2005-WL1, Class M4, 1.134% (1-Month USD-LIBOR + 1.050)% due 6/25/35(a) | | | | | 7,328,154 | | |
| | | 1,300,000 | | | | Longfellow Place CLO Ltd., Series 2013-1A, Class ERR, 7.826% (3-Month USD-LIBOR + 7.700)% due 4/15/29(a)(b) | | | | | 1,283,904 | | |
| | | | | | | Mastr Asset Backed Securities Trust: | | | | | | | |
| | | 800,000 | | | | Series 2004-FRE1, Class M7, 2.784% (1-Month USD-LIBOR + 2.700)% due 7/25/34(a) | | | | | 803,567 | | |
| | | 3,042,819 | | | | Series 2004-WMC1, Class M1, 0.864% (1-Month USD-LIBOR + 0.780)% due 2/25/34(a) | | | | | 3,046,859 | | |
| | | | | | | Merrill Lynch Mortgage Investors Trust: | | | | | | | |
| | | 1,069,705 | | | | Series 2005-FM1, Class M1, 0.804% (1-Month USD-LIBOR + 0.720)% due 5/25/36(a) | | | | | 1,063,159 | | |
| | | 3,175,433 | | | | Series 2006-OPT1, Class A2C, 0.234% (1-Month USD-LIBOR + 0.150)% due 8/25/37(a) | | | | | 3,090,281 | | |
| | | 1,389,274 | | | | Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-HE2, Class M1, 0.684% (1-Month USD-LIBOR + 0.600)% due 1/25/35(a) | | | | | 1,388,852 | | |
| | | | | | | Nationstar Home Equity Loan Trust: | | | | | | | |
| | | 2,895,912 | | | | Series 2006-B, Class AV4, 0.364% (1-Month USD-LIBOR + 0.280)% due 9/25/36(a) | | | | | 2,891,403 | | |
| | | 2,952,503 | | | | Series 2007-C, Class 1AV1, 0.259% (1-Month USD-LIBOR + 0.175)% due 6/25/37(a) | | | | | 2,893,308 | | |
| | | 3,978,115 | | | | NovaStar Mortgage Funding Trust, Series 2006-1, Class A2C, 0.404% (1-Month USD-LIBOR + 0.320)% due 5/25/36(a) | | | | | 3,923,632 | | |
| | | 862,170 | | | | Option One Mortgage Loan Trust, Series 2005-3, Class M2, 0.819% (1-Month USD-LIBOR + 0.735)% due 8/25/35(a) | | | | | 862,935 | | |
| | | 2,374,298 | | | | Park Place Securities Inc., Series 2005-WCW1, Class M2, 0.789% (1-Month USD-LIBOR + 0.705)% due 9/25/35(a) | | | | | 2,381,838 | | |
| | | | | | | Park Place Securities Inc. Asset-Backed Pass-Through Certificates: | | ||||||
| | | 3,600,000 | | | | Series 2005-WCH1, Class M5, 1.404% (1-Month USD-LIBOR + 1.320)% due 1/25/36(a) | | | | | 3,599,999 | | |
| | | 2,484,316 | | | | Series 2005-WCW2, Class M2, 0.879% (1-Month USD-LIBOR + 0.795)% due 7/25/35(a) | | | | | 2,483,580 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 3,500,000 | | | | People’s Choice Home Loan Securities Trust, Series 2005-1, Class M5, 1.584% (1-Month USD-LIBOR + 1.500)% due 1/25/35(a) | | | | $ | 2,950,338 | | |
| | | 2,703,933 | | | | Ramp Trust, Series 2004-RS8, Class MII2, 1.809% due 8/25/34(a) | | | | | 2,711,104 | | |
| | | 2,585,093 | | | | Soundview Home Loan Trust, Series 2006-EQ1, Class A3, 0.244% (1-Month USD-LIBOR + 0.160)% due 10/25/36(a) | | | | | 2,581,770 | | |
| | | 380,000 | | | | Steele Creek CLO Ltd., Series 2016-1A, Class ER, 5.869% (3-Month USD-LIBOR + 5.750)% due 6/15/31(a)(b) | | | | | 329,620 | | |
| | | 1,671,533 | | | | Structured Asset Investment Loan Trust, Series 2004-7, Class A7, 0.924% (1-Month USD-LIBOR + 0.840)% due 8/25/34(a) | | | | | 1,669,937 | | |
| | | | | | | Structured Asset Securities Corp. Mortgage Loan Trust: | | | | | | | |
| | | 1,000,000 | | | | Series 2005-WF4, Class M6, 1.089% (1-Month USD-LIBOR + 1.005)% due 11/25/35(a) | | | | | 993,064 | | |
| | | 2,600,000 | | | | Series 2005-WF4, Class M8, 2.709% (1-Month USD-LIBOR + 2.625)% due 11/25/35(a) | | | | | 2,657,132 | | |
| | | 10,310,572 | | | | Series 2006-BC6, Class A1, 0.244% (1-Month USD-LIBOR + 0.160)% due 1/25/37(a) | | | | | 10,128,258 | | |
| | | 1,913,562 | | | | Series 2006-BC6, Class A4, 0.254% (1-Month USD-LIBOR + 0.170)% due 1/25/37(a) | | | | | 1,902,278 | | |
| | | 2,398,414 | | | | Series 2006-GEL1, Class M2, 1.284% (1-Month USD-LIBOR + 1.200)% due 11/25/35(a)(b) | | | | | 2,400,025 | | |
| | | 1,618,084 | | | | Series 2007-BC3, Class 2A3, 0.264% (1-Month USD-LIBOR + 0.180)% due 5/25/47(a) | | | | | 1,586,237 | | |
| | | 4,175,554 | | | | Terwin Mortgage Trust, Series 2006-5, Class 1A2B, 0.504% (1-Month USD-LIBOR + 0.420)% due 7/25/37(a)(b) | | | | | 4,134,805 | | |
| | | 620,000 | | | | Trinitas CLO III Ltd., Series 2015-3A, Class E, 5.376% (3-Month USD-LIBOR + 5.250)% due 7/15/27(a)(b) | | | | | 575,024 | | |
| | | 1,030,000 | | | | Venture XVIII CLO Ltd., Series 2014-18A, Class ER, 6.716% (3-Month USD-LIBOR + 6.590)% due 10/15/29(a)(b) | | | | | 939,224 | | |
| | | | | | | TOTAL ASSET-BACKED SECURITIES (Cost – $147,763,941) | | | | | 152,505,877 | | |
| CORPORATE BONDS & NOTES – 7.7% | | ||||||||||||
| Consumer Cyclical – 4.2% | | ||||||||||||
| | | 10,790,000 | | | | Arrow Bidco LLC, Senior Secured Notes, 9.500% due 3/15/24(b)(d) | | | | | 11,059,750 | | |
| | | 15,540,000 | | | | Cinemark USA Inc., Company Guaranteed Notes, 5.250% due 7/15/28(b) | | | | | 14,763,000 | | |
| | | 10,400,000 | | | | Guitar Center Inc., Senior Secured Notes, 8.500% due 1/15/26(b)(d) | | | | | 11,076,000 | | |
| | | 16,261,000 | | | | Mclaren Finance PLC, Senior Secured Notes, 7.500% due 8/1/26(b) | | | | | 16,195,956 | | |
| | | | | | | Total Consumer Cyclical | | | | | 53,094,706 | | |
| Consumer Non-cyclical – 0.2% | | ||||||||||||
| | | 4,177,000 | | | | Progenity Inc., Senior Unsecured Notes, 7.250% due 12/1/25(b) | | | | | 1,921,219 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – 0.4% | | ||||||||||||
| | $ | 5,437,050 | | | | Transocean Pontus Ltd., Senior Secured Notes, 6.125% due 8/1/25(b) | | | | $ | 5,382,680 | | |
| Financial – 1.7% | | ||||||||||||
| | | 8,756,000 | | | | ILFC E-Capital Trust I, Limited Guaranteed Notes, 3.660% (3-Month USD-LIBOR + 1.550)% due 12/21/65(a)(b)(d) | | | | | 7,136,140 | | |
| | | 13,243,000 | | | | JPMorgan Chase & Co., Junior Subordinated Notes, 3.599% (3-Month USD-LIBOR + 3.470)%(a)(d)(e) | | | | | 13,272,973 | | |
| | | | | | | Total Financial | | | | | 20,409,113 | | |
| Industrial – 1.2% | | ||||||||||||
| | | 13,862,000 | | | | Fortress Transportation & Infrastructure Investors LLC, Senior Unsecured Notes, 9.750% due 8/1/27(b)(d) | | | | | 15,646,732 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Cost – $95,820,674) | | | | | 96,454,450 | | |
| Shares/Units | | | Security | | | Value | | | | ||||||||||
| COMMON STOCKS – 31.3% | | | | ||||||||||||||||
| COMMUNICATIONS – 2.5% | | | | | | | | ||||||||||||
| Media – 0.9% | | | | ||||||||||||||||
| | | 388,605 | | | | Altice USA Inc., Class A Shares* | | | | | 10,663,321 | | | | | ||||
| Telecommunications – 1.6% | | | | ||||||||||||||||
| | | 468,496 | | | | Telephone & Data Systems Inc. | | | | | 9,519,839 | | | | | ||||
| | | 80,106 | | | | T-Mobile US Inc.*(d) | | | | | 10,976,124 | | | | | ||||
| | | | | | | Total Telecommunications | | | | | 20,495,963 | | | | | ||||
| | | | | | | TOTAL COMMUNICATIONS | | | | | 31,159,284 | | | | | ||||
| CONSUMER CYCLICAL – 2.6% | | | | ||||||||||||||||
| Auto Parts & Equipment – 0.9% | | | | ||||||||||||||||
| | | 996,394 | | | | Holley Inc.*(f) | | | | | 11,657,810 | | | | | ||||
| Entertainment – 1.7% | | | | ||||||||||||||||
| | | 434,795 | | | | Golden Entertainment Inc.*(d) | | | | | 20,748,417 | | | | | ||||
| | | | | | | TOTAL CONSUMER CYCLICAL | | | | | 32,406,227 | | | | | ||||
| CONSUMER NON-CYCLICAL – 9.1% | | | | ||||||||||||||||
| Biotechnology – 4.9% | | | | ||||||||||||||||
| | | 41,014 | | | | Ascendis Pharma AS, ADR*(d) | | | | | 6,428,124 | | | | | ||||
| | | 632,232 | | | | Crinetics Pharmaceuticals Inc.* | | | | | 14,901,708 | | | | | ||||
| | | 492,724 | | | | Elevation Oncology Inc.*(g)@ | | | | | 5,764,871 | | | | | ||||
| | | 481,743 | | | | Relay Therapeutics Inc.*(d) | | | | | 15,430,228 | | | | | ||||
| | | 43,574 | | | | Sema4 Holdings Corp.*(f) | | | | | 413,953 | | | | | ||||
| | | 121,607 | | | | SpringWorks Therapeutics Inc.* | | | | | 9,132,686 | | | | | ||||
| | | 574,793 | | | | Trillium Therapeutics Inc.* | | | | | 9,903,683 | | | | | ||||
| | | | | | | Total Biotechnology | | | | | 61,975,253 | | | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Healthcare-Products – 0.9% | | ||||||||||||
| | | 210,298 | | | | Alphatec Holdings Inc.* | | | | $ | 3,045,115 | | |
| | | 54,523 | | | | Itamar Medical Ltd., ADR* | | | | | 1,163,521 | | |
| | | 393,649 | | | | SeaSpine Holdings Corp.* | | | | | 6,605,430 | | |
| | | | | | | Total Healthcare-Products | | | | | 10,814,066 | | |
| Healthcare-Services – 1.1% | | ||||||||||||
| | | 494,301 | | | | Invitae Corp.*(d)(f) | | | | | 14,646,139 | | |
| Pharmaceuticals – 2.2% | | ||||||||||||
| | | 399,219 | | | | Curaleaf Holdings Inc.* | | | | | 4,750,706 | | |
| | | 600,460 | | | | Cytokinetics Inc.*(d) | | | | | 19,797,166 | | |
| | | 106,834 | | | | Merus NV* | | | | | 2,786,231 | | |
| | | | | | | Total Pharmaceuticals | | | | | 27,334,103 | | |
| | | | | | | TOTAL CONSUMER NON-CYCLICAL | | | | | 114,769,561 | | |
| DIVERSIFIED – 8.5% | | ||||||||||||
| SPACs – 8.5% | | ||||||||||||
| | | 310,840 | | | | Class Acceleration Corp., Class A Shares* | | | | | 3,015,148 | | |
| | | 446,038 | | | | CM Life Sciences III Inc.*(g) | | | | | 4,406,855 | | |
| | | 887,638 | | | | CM Life Sciences III Inc., Class A Shares*(f) | | | | | 8,769,863 | | |
| | | 565,129 | | | | Corazon Capital V838 Monoceros Corp., Class A Shares*(g) | | | | | 5,470,449 | | |
| | | 743,800 | | | | DA32 Life Science Tech Acquisition Corp., Class A Shares* | | | | | 7,259,488 | | |
| | | 992,028 | | | | EJF Acquisition Corp., Class A Shares*(g) | | | | | 9,573,070 | | |
| | | 937,446 | | | | Jack Creek Investment Corp., Class A Shares* | | | | | 9,065,103 | | |
| | | 561,397 | | | | L&F Acquisition Corp., Class A Shares* | | | | | 5,597,128 | | |
| | | 305,504 | | | | Live Oak Mobility Acquisition Corp.* | | | | | 3,024,490 | | |
| | | 219,849 | | | | Live Oak Mobility Acquisition Corp., Class A Shares*(g) | | | | | 2,143,528 | | |
| | | 557,775 | | | | Logistics Innovation Technologies Corp.*(g) | | | | | 5,482,928 | | |
| | | 770,900 | | | | Longview Acquisition Corp. II, Class A Shares*(f) | | | | | 7,608,783 | | |
| | | 489,000 | | | | Sema4 Holdings Corp. (formerly CM Life Sciences Inc.)*(g)@ | | | | | 4,645,500 | | |
| | | 568,036 | | | | Senior Connect Acquisition Corp. I, Class A Shares* | | | | | 5,509,949 | | |
| | | 386,550 | | | | SomaLogic Inc. (formerly CM Life Sciences II Inc., Class A Shares)*(f) | | | | | 4,368,015 | | |
| | | 439,830 | | | | SomaLogic Inc. (formerly CM Life Sciences II Inc.)*(g)@ | | | | | 4,970,079 | | |
| | | 565,129 | | | | Tekkorp Digital Acquisition Corp., Class A Shares* | | | | | 5,521,310 | | |
| | | 263,615 | | | | Thayer Ventures Acquisition Corp., Class A Shares*(f) | | | | | 2,644,059 | | |
| | | 238,864 | | | | Tishman Speyer Innovation Corp. II* | | | | | 2,350,422 | | |
| | | 310,520 | | | | Tishman Speyer Innovation Corp. II, Class A Shares* | | | | | 3,033,780 | | |
| | | 232,340 | | | | Z-Work Acquisition Corp., Class A Shares* | | | | | 2,235,111 | | |
| | | | | | | Total SPACs | | | | | 106,695,058 | | |
| | | | | | | TOTAL DIVERSIFIED | | | | | 106,695,058 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – 6.0% | | ||||||||||||
| Banks – 3.8% | | ||||||||||||
| | | 669,866 | | | | Blue Foundry Bancorp* | | | | $ | 9,036,492 | | |
| | | 773,856 | | | | Eastern Bankshares Inc.(d) | | | | | 15,306,872 | | |
| | | 790,724 | | | | HarborOne Bancorp Inc.(d) | | | | | 11,172,930 | | |
| | | 916,071 | | | | Kearny Financial Corp. | | | | | 11,624,941 | | |
| | | | | | | Total Banks | | | | | 47,141,235 | | |
| Diversified Financial Services – 0.4% | | ||||||||||||
| | | 540,781 | | | | OppFi Inc.*(f) | | | | | 4,564,192 | | |
| Equity Real Estate Investment Trusts (REITs) – 1.0% | | ||||||||||||
| | | 485,254 | | | | Equity Commonwealth(d) | | | | | 12,781,590 | | |
| Savings & Loans – 0.8% | | ||||||||||||
| | | 399,817 | | | | Berkshire Hills Bancorp Inc.(d) | | | | | 10,247,310 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 74,734,327 | | |
| INDUSTRIAL – 2.5% | | ||||||||||||
| Metal Fabricate/Hardware – 1.2% | | ||||||||||||
| | | 1,192,003 | | | | Hillman Solutions Corp.*(f) | | | | | 14,637,797 | | |
| Transportation – 1.3% | | ||||||||||||
| | | 290,734 | | | | Air Transport Services Group Inc.* | | | | | 7,963,204 | | |
| | | 100,169 | | | | XPO Logistics Inc.*(d) | | | | | 8,705,688 | | |
| | | | | | | Total Transportation | | | | | 16,668,892 | | |
| | | | | | | TOTAL INDUSTRIAL | | | | | 31,306,689 | | |
| TECHNOLOGY – 0.1% | | ||||||||||||
| Computers – 0.1% | | ||||||||||||
| | | 92,556 | | | | iCAD Inc.* | | | | | 1,116,225 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $340,770,227) | | | | | 392,187,371 | | |
| OPEN-END FUND – 18.4% | | ||||||||||||
| | | 20,026,443 | | | | JPMorgan Strategic Income Opportunities Fund, Class R6 Shares (Cost – $231,453,848) | | | | | 231,105,148 | | |
| PREFERRED STOCKS – 1.6% | | ||||||||||||
| COMMUNICATIONS – 0.9% | | ||||||||||||
| Telecommunications – 0.9% | | ||||||||||||
| | | 340,475 | | | | Telephone & Data Systems Inc., 6.000%*(e) | | | | | 8,675,303 | | |
| | | 77,001 | | | | Telephone & Data Systems Inc., 6.625%(e) | | | | | 2,078,257 | | |
| | | | | | | Total Telecommunications | | | | | 10,753,560 | | |
| | | | | | | TOTAL COMMUNICATIONS | | | | | 10,753,560 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| PREFERRED STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – 0.7% | | ||||||||||||
| Retail – 0.7% | | ||||||||||||
| | | 85,000 | | | | Qurate Retail Inc., 8.000% | | | | $ | 9,180,000 | | |
| | | | | | | TOTAL PREFERRED STOCKS (Cost – $18,930,798) | | | | | 19,933,560 | | |
| CLOSED-END FUND – 0.5% | | ||||||||||||
| | | 238,533 | | | | Fortress Transportation & Infrastructure Investors LLC, Class Common Shares (Cost – $4,668,960) | | | | | 6,435,620 | | |
| WARRANTS – 0.2% | | ||||||||||||
| DIVERSIFIED – 0.2% | | ||||||||||||
| SPACs – 0.2% | | ||||||||||||
| | | 155,420 | | | | Class Acceleration Corp.*(g) | | | | | 90,159 | | |
| | | 88,320 | | | | CM Life Sciences III Inc.*(g) | | | | | 133,363 | | |
| | | 179,620 | | | | Corazon Capital V838 Monoceros Corp.*(g) | | | | | 167,047 | | |
| | | 39,205 | | | | Deep Lake Capital Acquisition Corp.*(g) | | | | | 25,871 | | |
| | | 330,676 | | | | EJF Acquisition Corp.*(g) | | | | | 209,318 | | |
| | | 468,723 | | | | Jack Creek Investment Corp.*(g) | | | | | 309,357 | | |
| | | 244,085 | | | | L&F Acquisition Corp.*(g) | | | | | 134,247 | | |
| | | 55,356 | | | | Latch Inc.*(g) | | | | | 202,049 | | |
| | | 43,969 | | | | Live Oak Mobility Acquisition Corp.*(g) | | | | | 46,168 | | |
| | | 154,180 | | | | Longview Acquisition Corp. II*(g) | | | | | 191,183 | | |
| | | 441,802 | | | | Montes Archimedes Acquisition Corp.*(g) | | | | | 503,654 | | |
| | | 232,452 | | | | Senior Connect Acquisition Corp. I*(g) | | | | | 148,304 | | |
| | | 154,560 | | | | Soaring Eagle Acquisition Corp.*(g) | | | | | 352,397 | | |
| | | 77,310 | | | | SomaLogic Inc.*(g) | | | | | 197,141 | | |
| | | 26,187 | | | | Taboola.com Ltd.*(g) | | | | | 60,754 | | |
| | | 219,657 | | | | Tekkorp Digital Acquisition Corp.*(g) | | | | | 206,456 | | |
| | | 131,807 | | | | Thayer Ventures Acquisition Corp.*(g) | | | | | 158,168 | | |
| | | 62,104 | | | | Tishman Speyer Innovation Corp. II*(g) | | | | | 55,894 | | |
| | | 23,299 | | | | X4 Pharmaceuticals Inc.*(g) | | | | | 4,660 | | |
| | | 77,446 | | | | Z-Work Acquisition Corp.*(g) | | | | | 49,031 | | |
| | | | | | | Total SPACs | | | | | 3,245,221 | | |
| | | | | | | TOTAL DIVERSIFIED | | | | | 3,245,221 | | |
| | | | | | | TOTAL WARRANTS (Cost – $3,777,528) | | | | | 3,245,221 | | |
| Number of Contracts | | | Notional Amounts | | | Security | | | Value | | ||||||
| PURCHASED SWAPTION – 0.1% | | |||||||||||||||
| Interest Rate Swaption – 0.1% | | |||||||||||||||
| | | 90,000,000 | | | | $108,000 | | | 10-Year Constant Maturity Swap, 3-Month USD-LIBOR, Call, 2.25, expires 5/22/23 | | | | $ | 1,361,625 | | |
| | | | | | | | | | TOTAL PURCHASED SWAPTION (Cost – $2,029,500) | | | | | 1,361,625 | | |
| | | | | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $1,115,312,034) | | | | | 1,176,756,701 | | |
| Face Amount | | | | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – 6.6% | | |||||||||||||||
| TIME DEPOSITS – 6.6% | | |||||||||||||||
| | $ | 28,818,213 | | | | | | | ANZ National Bank – London, 0.005% due 9/1/21 | | | | $ | 28,818,213 | | |
| | | 54,189,956 | | | | | | | Skandinaviska Enskilda Banken AB – Stockholm, 0.005% due 9/1/21 | | | | | 54,189,956 | | |
| | | | | | | | | | TOTAL TIME DEPOSITS (Cost – $83,008,169) | | | | | 83,008,169 | | |
| Shares/Units | | | | | | | | | | | | | | |||
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 2.9% | | |||||||||||||||
| MONEY MARKET FUND – 2.9% | | | ||||||||||||||
| | | 36,135,166 | | | | | | | Federated Government Obligations Fund, Premier Class, 0.025%(h) (Cost – $36,135,166) | | | | $ | 36,135,166 | | |
| | | | | | | | | | TOTAL INVESTMENTS – 103.3% (Cost – $1,234,455,369) | | | | | 1,295,900,036 | | |
| | | | | | | | | | Liabilities in Excess of Other Assets – (3.3)% | | | | | (40,938,339) | | |
| | | | | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 1,254,961,697 | | |
Security | | | First Acquisition Date | | | First Acquisition Cost | | | Market Value | | | Percent of Net Assets | | ||||||||||||
CM Life Sciences III Inc. | | | | | 8/6/2021 | | | | | $ | 4,460,380 | | | | | $ | 4,406,855 | | | | | | 0.35% | | |
Elevation Oncology Inc. | | | | | 11/10/2020 | | | | | | 2,311,250 | | | | | | 5,764,871 | | | | | | 0.46% | | |
Sema4 Holdings Corp. (formerly CM Life Sciences Inc.) | | | | | 2/9/2021 | | | | | | 4,890,000 | | | | | | 4,645,500 | | | | | | 0.37% | | |
SomaLogic Inc. (formerly CM Life Sciences II Inc.) | | | | | 3/29/2021 | | | | | | 4,398,300 | | | | | | 4,970,079 | | | | | | 0.40% | | |
Federal National Mortgage Association (FNMA), Connecticut Avenue Securities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Series 2015-C04, Class 1M2, 5.784% (1-Month USD-LIBOR + 5.700%) due 4/25/28 | | | | | 3/26/2020 | | | | | | 2,461,077 | | | | | | 2,300,713 | | | | | | 0.18% | | |
Series 2016-C01, Class 1B, 11.834% (1-Month USD-LIBOR + 11.750%) due 8/25/28 | | | | | 8/3/2021 | | | | | | 2,364,523 | | | | | | 235,423 | | | | | | 0.02% | | |
Series 2016-C01, Class 1M2, 6.834% (1-Month USD-LIBOR + 6.750%) due 8/25/28 | | | | | 3/6/2020 | | | | | | 1,335,384 | | | | | | 2,257,042 | | | | | | 0.18% | | |
Series 2016-C01, Class 2M2, 7.034% (1-Month USD-LIBOR + 6.950%) due 8/25/28 | | | | | 6/17/2020 | | | | | | 938,897 | | | | | | 1,618,862 | | | | | | 0.13% | | |
Series 2016-C02, Class 1B, 12.334% (1-Month USD-LIBOR + 12.250%) due 9/25/28 | | | | | 8/10/2021 | | | | | | 799,642 | | | | | | 797,485 | | | | | | 0.06% | | |
Series 2016-C03, Class 2M2, 5.984% (1-Month USD-LIBOR + 5.900%) due 10/25/28 | | | | | 3/19/2020 | | | | | | 1,066,978 | | | | | | 8,786,960 | | | | | | 0.70% | | |
Series 2016-C05, Class 2M2, 4.534% (1-Month USD-LIBOR + 4.450%) due 1/25/29 | | | | | 4/26/2019 | | | | | | 5,497,400 | | | | | | 7,405,741 | | | | | | 0.59% | | |
Series 2016-C07, Class 2M2, 4.434% (1-Month USD-LIBOR + 4.350%) due 5/25/29 | | | | | 5/9/2019 | | | | | | 4,217,292 | | | | | | 10,853,728 | | | | | | 0.85% | | |
Series 2017-C01, Class 1B1, 5.834% (1-Month USD-LIBOR + 5.750%) due 7/25/29 | | | | | 11/17/2020 | | | | | | 2,739,200 | | | | | | 7,716,682 | | | | | | 0.61% | | |
Series 2017-C01, Class 1M2, 3.634% (1-Month USD-LIBOR + 3.550%) due 7/25/29 | | | | | 11/24/2020 | | | | | | 895,148 | | | | | | 5,851,316 | | | | | | 0.47% | | |
Series 2017-C01, Class 1M2C, 3.634% (1-Month USD-LIBOR + 3.550%) due 7/25/29 | | | | | 4/16/2020 | | | | | | 1,494,000 | | | | | | 1,870,463 | | | | | | 0.15% | | |
Series 2017-C02, Class 2M2, 3.734% (1-Month USD-LIBOR + 3.650%) due 9/25/29 | | | | | 8/20/2019 | | | | | | 471,252 | | | | | | 6,832,213 | | | | | | 0.54% | | |
Series 2017-C02, Class 2M2C, 3.734% (1-Month USD-LIBOR + 3.650%) due 9/25/2029 | | | | | 5/19/2020 | | | | | | 867,500 | | | | | | 5,216,146 | | | | | | 0.42% | | |
Series 2017-C02, Class 2X3, 2.300% due 9/25/29 | | | | | 2/11/2021 | | | | | | 101,032 | | | | | | 68,944 | | | | | | 0.01% | | |
Series 2017-C03, Class 1B1, 4.934% (1-Month USD-LIBOR + 4.850%) due 10/25/29 | | | | | 1/12/2021 | | | | | | 6,145,425 | | | | | | 7,508,476 | | | | | | 0.60% | | |
Series 2017-C03, Class 1M2C, 3.084% (1-Month USD-LIBOR + 3.000%) due 10/25/29 | | | | | 2/16/2021 | | | | | | 5,091,552 | | | | | | 5,179,412 | | | | | | 0.41% | | |
Series 2017-C03, Class 1X1, 2.300% due 10/25/29 | | | | | 2/16/2021 | | | | | | 181,485 | | | | | | 132,990 | | | | | | 0.01% | | |
Series 2017-C04, Class 2B1, 5.134% (1-Month USD-LIBOR + 5.050%) due 11/25/29 | | | | | 6/3/2021 | | | | | | 6,414,869 | | | | | | 6,406,704 | | | | | | 0.51% | | |
Series 2017-C06, Class 1M2, 2.734% (1-Month USD-LIBOR + 2.650%) due 2/25/30 | | | | | 6/24/2021 | | | | | | 3,711,896 | | | | | | 3,693,070 | | | | | | 0.29% | | |
Security | | | First Acquisition Date | | | First Acquisition Cost | | | Market Value | | | Percent of Net Assets | | ||||||||||||
Series 2017-C06, Class 2B1, 4.534% (1-Month USD-LIBOR + 4.450%) due 2/25/30 | | | | | 4/20/2021 | | | | | $ | 3,755,250 | | | | | $ | 3,758,187 | | | | | | 0.30% | | |
Series 2017-C07, Class 1M2, 2.484% (1-Month USD-LIBOR + 2.400%) due 5/25/30 | | | | | 8/3/2020 | | | | | | 2,199,720 | | | | | | 4,226,028 | | | | | | 0.34% | | |
Series 2017-C07, Class 2M2B, 2.584% (1-Month USD-LIBOR + 2.500%) due 5/25/30 | | | | | 4/20/2021 | | | | | | 2,258,180 | | | | | | 2,193,833 | | | | | | 0.17% | | |
Series 2018-C01, Class 1ED5, 2.334% (1-Month USD-LIBOR + 2.250%) due 7/25/30 | | | | | 1/25/2021 | | | ��� | | | 16,072,145 | | | | | | 15,453,658 | | | | | | 1.23% | | |
Series 2018-C01, Class 1M2, 2.334% (1-Month USD-LIBOR + 2.250%) due 7/25/30 | | | | | 9/11/2019 | | | | | | 849,450 | | | | | | 5,660,606 | | | | | | 0.45% | | |
Series 2018-C03, Class 1B1, 3.834% (1-Month USD-LIBOR + 3.750%) due 10/25/30 | | | | | 4/7/2021 | | | | | | 3,599,409 | | | | | | 3,667,533 | | | | | | 0.29% | | |
Series 2018-C05, Class 1B1, 4.334% (1-Month USD-LIBOR + 4.250%) due 1/25/31 | | | | | 10/22/2020 | | | | | | 1,499,569 | | | | | | 6,844,980 | | | | | | 0.55% | | |
Series 2018-C06, Class 1B1, 3.834% (1-Month USD-LIBOR + 3.750%) due 3/25/31 | | | | | 6/29/2021 | | | | | | 3,490,313 | | | | | | 4,215,027 | | | | | | 0.34% | | |
Freddie Mac Structured Agency Credit Risk Debt Notes: | | | | | | | | | | | | | | | | | | | | | | | | | |
Series 2016-DNA1, Class M3, 5.634% (1-Month USD-LIBOR + 5.550%) due 7/25/28 | | | | | 6/9/2020 | | | | | | 7,088,847 | | | | | | 6,470,627 | | | | | | 0.52% | | |
Series 2017-DNA2, Class B1, 5.234% (1-Month USD-LIBOR + 5.150%) due 10/25/29 | | | | | 11/9/2020 | | | | | | 1,238,884 | | | | | | 7,617,224 | | | | | | 0.61% | | |
Series 2017-HQA1, Class M2, 3.634% (1-Month USD-LIBOR + 3.550%) due 8/25/29 | | | | | 9/9/2019 | | | | | | 4,467,906 | | | | | | 9,632,206 | | | | | | 0.77% | | |
Series 2017-HQA1, Class M2B, 3.634% (1-Month USD-LIBOR + 3.550%) due 8/25/29 | | | | | 8/4/2020 | | | | | | 2,913,183 | | | | | | 3,106,512 | | | | | | 0.25% | | |
Series 2017-HQA2, Class M2, 2.734% (1-Month USD-LIBOR + 2.650%) due 12/25/29 | | | | | 11/18/2019 | | | | | | 6,234,469 | | | | | | 9,279,817 | | | | | | 0.74% | | |
Series 2017-HQA3, Class B1, 4.534% (1-Month USD-LIBOR + 4.450%) due 4/25/30 | | | | | 4/29/2021 | | | | | | 4,504,500 | | | | | | 4,504,596 | | | | | | 0.36% | | |
| | | | | | | | | | | | | | | | $ | 191,150,509 | | | | | | 15.23% | | |
|
ABS | — | Asset-Based Security |
ADR | — | American Depositary Receipts |
CLO | — | Collateralized Loan Obligation |
LIBOR | — | London Interbank Offered Rate |
LLC | — | Limited Liability Company |
PLC | — | Public Limited Company |
SPDR | — | Standard & Poor’s Depository Receipts |
SPACs | — | Special Purpose Acquisition Companies |
| Common Stocks | | | | | 30.3% | | |
| Collateralized Mortgage Obligations | | | | | 21.1 | | |
| Open-End Fund | | | | | 17.8 | | |
| Asset-Backed Securities | | | | | 11.8 | | |
| Corporate Bonds & Notes | | | | | 7.4 | | |
| Preferred Stocks | | | | | 1.5 | | |
| Closed-End Fund | | | | | 0.5 | | |
| Warrants | | | | | 0.3 | | |
| Purchased Swaption | | | | | 0.1 | | |
| Short-Term Investments | | | | | 6.4 | | |
| Money Market Fund | | | | | 2.8 | | |
| | | | | | 100.0% | | |
Interest Rate Swaptions
| Number of Contracts | | | Notional Amount | | | Security Name | | | Counterparty | | | Expiration Date | | | Exercise Rate | | | Value | | |||||||||||||||
| 90,000,000 | | | | $ | 108,000 | | | | 10-Year Constant Maturity Swap, 3-Month USD LIBOR, Call | | | | | MSCS | | | | | | 5/22/23 | | | | | $ | 3.25 | | | | | $ | 383,398 | | |
| | | | | | | | | | TOTAL SWAPTION CONTRACTS WRITTEN | | | | | | | | | | | | | | | | | | | | | | $ | 383,398 | | |
Reference Obligation* | | | Fixed Deal Receive Rate | | | Maturity Date | | | Payment Frequency | | | Counter party | | | Implied Credit Spread at 8/31/21(2) | | | Notional Amounts in (000’s)(3) | | | Market Value | | | Upfront Premiums Paid/ (Received) | | | Unrealized Appreciation/ (Depreciation) | | |||||||||||||||||||||
CDX.NA.HY.35 | | | | | 5.000% | | | | 12/20/25 | | | 3-Month | | | MSCS | | | | | 3.002% | | | | USD | | | | | 10,000 | | | | | $ | 932,748 | | | | | $ | 405,000 | | | | | $ | 527,748 | | |
CDX.NA.IG.29 | | | | | 1.000% | | | | 12/20/22 | | | 3-Month | | | GSC | | | | | 0.117% | | | | USD | | | | | 100,000 | | | | | | 1,361,655 | | | | | | 1,440,000 | | | | | | (78,345) | | |
CDX.NA.IG.31 | | | | | 1.000% | | | | 12/20/23 | | | 3-Month | | | GSC | | | | | 0.826% | | | | USD | | | | | 30,000 | | | | | | 180,918 | | | | | | (1,956,000) | | | | | | 2,136,918 | | |
CDX.NA.IG.33 | | | | | 1.000% | | | | 12/20/24 | | | 3-Month | | | MSCS | | | | | 1.560% | | | | USD | | | | | 40,000 | | | | | | (653,618) | | | | | | (6,462,001) | | | | | | 5,808,383 | | |
CDX.NA.IG.35 | | | | | 1.000% | | | | 12/20/25 | | | 3-Month | | | GSC | | | | | 1.689% | | | | USD | | | | | 10,000 | | | | | | (271,083) | | | | | | (905,000) | | | | | | 633,917 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 1,550,620 | | | | | $ | (7,478,001) | | | | | $ | 9,028,621 | | |
GSC | — | Goldman Sachs & Co. |
MSCS | — | Morgan Stanley Capital Services LLC |
| Shares/Units | | | Security | | | Value | | ||||||
| SECURITIES SOLD SHORT – 11.2% | | ||||||||||||
| EXCHANGE TRADED FUNDS (ETFs) – 11.2% | | ||||||||||||
| | | 119,539 | | | | ARK Genomic Revolution | | | | $ | 10,242,102 | | |
| | | 82,618 | | | | iShares Biotechnology | | | | | 14,233,429 | | |
| | | 685,436 | | | | SPDR S&P Biotech | | | | | 91,053,318 | | |
| | | 377,945 | | | | SPDR S&P Regional Banking | | | | | 24,902,796 | | |
| | | | | | | Total Exchange Traded Funds (ETFs) | | | | | 140,431,645 | | |
| | | | | | | TOTAL EXCHANGE TRADED FUNDS (ETFs) (Proceeds – $133,055,625) | | | | | 140,431,645 | | |
| COMMON STOCK – 0.0% | | ||||||||||||
| CONSUMER NON-CYCLICAL – 0.0% | | ||||||||||||
| Pharmaceuticals – 0.0% | | ||||||||||||
| | | 5,938 | | | | Herbalife Nutrition Ltd.* (Proceeds – $225,574) | | | | | 304,857 | | |
| | | | | | | TOTAL SECURITIES SOLD SHORT – 11.2% (Proceeds – $133,281,199) | | | | | 140,736,502 | | |
| | | Destinations Large Cap Equity Fund | | | Destinations Small-Mid Cap Equity Fund | | | Destinations International Equity Fund | | | Destinations Equity Income Fund | | | Destinations Core Fixed Income Fund | | |||||||||||||||
ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments, at value(1),(2) . | | | | $ | 5,344,659,148 | | | | | $ | 1,419,961,342 | | | | | $ | 2,912,209,708 | | | | | $ | 438,891,602 | | | | | $ | 2,493,610,851 | | |
Foreign currency, at value(3) | | | | | — | | | | | | — | | | | | | 1,180,998 | | | | | | — | | | | | | — | | |
Cash | | | | | 241 | | | | | | 223 | | | | | | 402 | | | | | | 4 | | | | | | 667 | | |
Unrealized appreciation on unfunded loan commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 318 | | |
Receivable for securities sold | | | | | 8,871,116 | | | | | | 15,882,591 | | | | | | 1,190,052 | | | | | | 1,603,183 | | | | | | 118,926,543 | | |
Dividends and interest receivable | | | | | 4,023,879 | | | | | | 628,456 | | | | | | 4,210,544 | | | | | | 1,832,270 | | | | | | 9,100,382 | | |
Receivable for Fund shares sold | | | | | 2,282,512 | | | | | | 566,796 | | | | | | 1,167,544 | | | | | | 70,527 | | | | | | 812,990 | | |
Unrealized appreciation on open forward foreign currency contracts (Note 4) | | | | | — | | | | | | — | | | | | | 102,909 | | | | | | — | | | | | | — | | |
Variation margin on open future contracts (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 68,361 | | |
Deposits with counterparty(4) | | | | | 140,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Prepaid expenses | | | | | 185,876 | | | | | | 32,681 | | | | | | 50,569 | | | | | | 13,572 | | | | | | 40,601 | | |
Prepaid Chief Compliance Officer expense | | | | | 1,078 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total Assets | | | | | 5,360,163,850 | | | | | | 1,437,072,089 | | | | | | 2,920,112,726 | | | | | | 442,411,158 | | | | | | 2,622,560,713 | | |
LIABILITIES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payable for collateral received from securities on loan | | | | | 3,548,291 | | | | | | 65,638,512 | | | | | | 92,363,031 | | | | | | 1,441,800 | | | | | | — | | |
Payable for Fund shares repurchased | | | | | 3,120,612 | | | | | | 737,592 | | | | | | 1,495,829 | | | | | | 710,993 | | | | | | 1,519,069 | | |
Payable for securities purchased | | | | | 1,697,648 | | | | | | 12,767,067 | | | | | | 17,984,098 | | | | | | 1,727,497 | | | | | | 367,610,376 | | |
Investment management fee payable | | | | | 2,579,359 | | | | | | 964,495 | | | | | | 2,197,989 | | | | | | 245,678 | | | | | | 1,044,341 | | |
Transfer agent fees payable | | | | | 606,660 | | | | | | 150,201 | | | | | | 326,887 | | | | | | 42,304 | | | | | | 270,896 | | |
Custody fee payable | | | | | 197,242 | | | | | | 56,643 | | | | | | 223,618 | | | | | | 25,792 | | | | | | 152,195 | | |
Trustees’ fees payable | | | | | — | | | | | | — | | | | | | — | | | | | | 3,081 | | | | | | — | | |
Registration fees payable | | | | | 12,977 | | | | | | — | | | | | | 1,238 | | | | | | — | | | | | | — | | |
Shareholder services | | | | | — | | | | | | 1,134 | | | | | | 30,092 | | | | | | 2,266 | | | | | | 24,700 | | |
Variation margin on open future contracts (Note 4) | | | | | 2,820 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Unrealized depreciation on unfunded loan commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 168 | | |
Forward sale commitments(5) (Note 5) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 3,495,680 | | |
Due to custodian(3) | | | | | — | | | | | | — | | | | | | — | | | | | | 4 | | | | | | — | | |
Options contracts written, at value(6) (Note 4) | | | | | — | | | | | | — | | | | | | 535 | | | | | | — | | | | | | — | | |
Foreign capital gains tax payable | | | | | — | | | | | | — | | | | | | 9,180,154 | | | | | | — | | | | | | — | | |
Accrued Chief Compliance Officer expense | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 4,696 | | |
Accrued expenses | | | | | 56,504 | | | | | | 17,322 | | | | | | 80,531 | | | | | | 16,988 | | | | | | 24,275 | | |
Total Liabilities | | | | | 11,822,113 | | | | | | 80,332,966 | | | | | | 123,884,002 | | | | | | 4,216,403 | | | | | | 374,146,396 | | |
Total Net Assets | | | | $ | 5,348,341,737 | | | | | $ | 1,356,739,123 | | | | | $ | 2,796,228,724 | | | | | $ | 438,194,755 | | | | | $ | 2,248,414,317 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Par value | | | | $ | 293,986 | | | | | $ | 77,594 | | | | | $ | 177,051 | | | | | $ | 37,965 | | | | | $ | 218,620 | | |
Paid-in capital in excess of par value | | | | | 2,794,990,870 | | | | | | 764,272,211 | | | | | | 1,911,257,517 | | | | | | 384,614,219 | | | | | | 2,196,610,371 | | |
Total distributable earnings (losses) | | | | | 2,553,056,881 | | | | | | 592,389,318 | | | | | | 884,794,156 | | | | | | 53,542,571 | | | | | | 51,585,326 | | |
Total Net Assets | | | | $ | 5,348,341,737 | | | | | $ | 1,356,739,123 | | | | | $ | 2,796,228,724 | | | | | $ | 438,194,755 | | | | | $ | 2,248,414,317 | | |
Total Net Assets Class I | | | | $ | 4,896,662,033 | | | | | $ | 1,237,581,986 | | | | | $ | 2,561,319,244 | | | | | $ | 402,936,204 | | | | | $ | 2,068,829,672 | | |
Total Net Assets Class Z | | | | $ | 451,679,704 | | | | | $ | 119,157,137 | | | | | $ | 234,909,480 | | | | | $ | 35,258,551 | | | | | $ | 179,584,645 | | |
Shares Outstanding Class I | | | | | 263,896,668 | | | | | | 69,280,224 | | | | | | 160,220,995 | | | | | | 34,818,147 | | | | | | 201,578,009 | | |
Shares Outstanding Class Z | | | | | 30,088,989 | | | | | | 8,313,575 | | | | | | 16,829,875 | | | | | | 3,146,734 | | | | | | 17,042,281 | | |
Net Asset Value Class I | | | | $ | 18.56 | | | | | $ | 17.86 | | | | | $ | 15.99 | | | | | $ | 11.57 | | | | | $ | 10.26 | | |
Net Asset Value Class Z | | | | $ | 15.01 | | | | | $ | 14.33 | | | | | $ | 13.96 | | | | | $ | 11.20 | | | | | $ | 10.54 | | |
(1) Investments, at cost | | | | $ | 3,555,677,145 | | | | | $ | 1,105,418,234 | | | | | $ | 2,062,632,265 | | | | | $ | 369,659,881 | | | | | $ | 2,491,693,635 | | |
(2) Includes securities on loan | | | | $ | 3,402,516 | | | | | $ | 64,337,273 | | | | | $ | 88,780,529 | | | | | $ | 1,410,828 | | | | | $ | — | | |
(3) Foreign currency, at cost | | | | $ | — | | | | | $ | — | | | | | $ | 1,215,631 | | | | | $ | (4) | | | | | $ | — | | |
(4) Related to futures contracts | | | | $ | 140,000 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
(5) Proceeds received | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 3,495,241 | | |
(6) Premiums received | | | | $ | — | | | | | $ | — | | | | | $ | 11,935 | | | | | $ | — | | | | | $ | — | | |
(7) Related to swap contracts | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
| | | 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) . | | | | $ | 625,420,866 | | | | | $ | 797,389,332 | | | | | $ | 979,020,080 | | | | | $ | 1,295,900,036 | | |
Cash | | | | | 292 | | | | | | 152 | | | | | | 455 | | | | | | 380 | | |
Receivable for securities sold | | | | | 9,620,035 | | | | | | 11,092,179 | | | | | | 4,307,813 | | | | | | 255,637 | | |
Dividends and interest receivable | | | | | 172,559 | | | | | | 8,259,376 | | | | | | 7,655,498 | | | | | | 1,991,007 | | |
Receivable for Fund shares sold | | | | | 231,162 | | | | | | 265,074 | | | | | | 381,754 | | | | | | 458,891 | | |
Receivable for expense reimbursement | | | | | — | | | | | | — | | | | | | 8,468 | | | | | | — | | |
Unrealized appreciation on open forward foreign currency contracts (Note 4) | | | | | 12,303 | | | | | | — | | | | | | — | | | | | | — | | |
Unrealized appreciation on swap contracts (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | 9,106,966 | | |
Upfront premiums paid on swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | 1,845,000 | | |
Deposits with counterparty(4) | | | | | — | | | | | | 5,000,000 | | | | | | — | | | | | | 3,963,778(7) | | |
Cash held at Broker | | | | | — | | | | | | 3,890,901 | | | | | | — | | | | | | 142,634,927 | | |
Prepaid expenses | | | | | 32,533 | | | | | | 44,520 | | | | | | 14,121 | | | | | | 27,553 | | |
Total Assets | | | | | 635,489,750 | | | | | | 825,941,534 | | | | | | 991,388,189 | | | | | | 1,456,184,175 | | |
LIABILITIES: | | | | | | | | | | | | | | | | | | | | | | | | | |
Payable for collateral received from securities on loan | | | | | 20,957,270 | | | | | | 5,002,134 | | | | | | — | | | | | | 36,135,166 | | |
Payable for Fund shares repurchased | | | | | 383,150 | | | | | | 597,898 | | | | | | 406,630 | | | | | | 740,065 | | |
Payable for securities purchased | | | | | 48,276,810 | | | | | | 14,634,302 | | | | | | 38,591,065 | | | | | | 12,546,595 | | |
Investment management fee payable | | | | | 310,371 | | | | | | 479,815 | | | | | | 416,263 | | | | | | 934,978 | | |
Transfer agent fees payable | | | | | 66,291 | | | | | | 89,212 | | | | | | 107,423 | | | | | | 145,866 | | |
Custody fee payable | | | | | 39,572 | | | | | | 50,611 | | | | | | 78,351 | | | | | | 62,688 | | |
Registration fees payable | | | | | — | | | | | | — | | | | | | — | | | | | | 5,972 | | |
Shareholder services | | | | | — | | | | | | 294 | | | | | | 20,835 | | | | | | — | | |
Upfront premiums received on swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | 9,323,001 | | |
Unrealized depreciation on swap contracts (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | 78,345 | | |
Securities sold short(5) (Note 5) | | | | | — | | | | | | 12,226,775 | | | | | | — | | | | | | 140,736,502 | | |
Due to custodian(3) | | | | | 65 | | | | | | 12 | | | | | | — | | | | | | — | | |
Options contracts written, at value(6) (Note 4) | | | | | — | | | | | | 193,156 | | | | | | — | | | | | | 383,398 | | |
Unrealized depreciation on open forward foreign currency contracts (Note 4) | | | | | 317,969 | | | | | | 313,659 | | | | | | — | | | | | | — | | |
Investment interest payable on securities sold short | | | | | — | | | | | | 7,849 | | | | | | — | | | | | | — | | |
Accrued Chief Compliance Officer expense | | | | | 349 | | | | | | 1,964 | | | | | | — | | | | | | 752 | | |
Accrued expenses | | | | | 13,326 | | | | | | 12,891 | | | | | | 17,065 | | | | | | 129,150 | | |
Total Liabilities | | | | | 70,365,173 | | | | | | 33,610,572 | | | | | | 39,637,632 | | | | | | 201,222,478 | | |
Total Net Assets | | | | $ | 565,124,577 | | | | | $ | 792,330,962 | | | | | $ | 951,750,557 | | | | | $ | 1,254,961,697 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Par value | | | | $ | 57,150 | | | | | $ | 78,899 | | | | | $ | 90,902 | | | | | $ | 117,185 | | |
Paid-in capital in excess of par value | | | | | 560,800,612 | | | | | | 795,981,748 | | | | | | 912,537,697 | | | | | | 1,172,041,020 | | |
Total distributable earnings (losses) | | | | | 4,266,815 | | | | | | (3,729,685) | | | | | | 39,121,958 | | | | | | 82,803,492 | | |
Total Net Assets | | | | $ | 565,124,577 | | | | | $ | 792,330,962 | | | | | $ | 951,750,557 | | | | | $ | 1,254,961,697 | | |
Total Net Assets Class I | | | | $ | 524,258,419 | | | | | $ | 730,582,113 | | | | | $ | 908,935,185 | | | | | $ | 1,158,891,891 | | |
Total Net Assets Class Z | | | | $ | 40,866,158 | | | | | $ | 61,748,849 | | | | | $ | 42,815,372 | | | | | $ | 96,069,806 | | |
Shares Outstanding Class I | | | | | 53,095,866 | | | | | | 72,848,358 | | | | | | 86,824,429 | | | | | | 108,010,615 | | |
Shares Outstanding Class Z | | | | | 4,053,761 | | | | | | 6,050,731 | | | | | | 4,077,853 | | | | | | 9,174,064 | | |
Net Asset Value Class I | | | | $ | 9.87 | | | | | $ | 10.03 | | | | | $ | 10.47 | | | | | $ | 10.73 | | |
Net Asset Value Class Z | | | | $ | 10.08 | | | | | $ | 10.21 | | | | | $ | 10.50 | | | | | $ | 10.47 | | |
(1) Investments, at cost | | | | $ | 617,675,951 | | | | | $ | 789,849,281 | | | | | $ | 937,601,029 | | | | | $ | 1,234,455,369 | | |
(2) Includes securities on loan | | | | $ | 20,532,955 | | | | | $ | 3,316,514 | | | | | $ | — | | | | | $ | 36,042,139 | | |
(3) Foreign currency, at cost | | | | $ | (65) | | | | | $ | (13) | | | | | $ | — | | | | | $ | — | | |
(4) Related to futures contracts | | | | $ | — | | | | | $ | 5,000,000 | | | | | $ | — | | | | | $ | — | | |
(5) Proceeds received | | | | $ | — | | | | | $ | 11,844,983 | | | | | $ | — | | | | | $ | 133,281,199 | | |
(6) Premiums received | | | | $ | — | | | | | $ | 256,199 | | | | | $ | — | | | | | $ | — | | |
(7) Related to swap contracts | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 3,963,778 | | |
| | | Destinations Large Cap Equity Fund | | | Destinations Small-Mid Cap Equity Fund | | | Destinations International Equity Fund | | | Destinations Equity Income Fund | | | Destinations Core Fixed Income Fund | | |||||||||||||||
INVESTMENT INCOME: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Dividends | | | | $ | 26,827,151 | | | | | $ | 6,180,273 | | | | | $ | 23,136,450 | | | | | $ | 9,282,768 | | | | | $ | 284,110 | | |
Interest | | | | | 3,045 | | | | | | 892 | | | | | | 22,521 | | | | | | 47,772 | | | | | | 20,157,214 | | |
Income from securities lending | | | | | 57,173 | | | | | | 350,635 | | | | | | 468,829 | | | | | | 26,236 | | | | | | — | | |
Less: Foreign taxes withheld (Note 5) | | | | | (32,817) | | | | | | (15,763) | | | | | | (2,489,837) | | | | | | (356,940) | | | | | | — | | |
Total Investment Income | | | | | 26,854,552 | | | | | | 6,516,037 | | | | | | 21,137,963 | | | | | | 8,999,836 | | | | | | 20,441,324 | | |
EXPENSES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment management fee (Note 7) | | | | | 19,109,442 | | | | | | 5,915,184 | | | | | | 13,295,816 | | | | | | 1,749,702 | | | | | | 7,234,759 | | |
Transfer agent fees | | | | | 3,644,671 | | | | | | 935,566 | | | | | | 1,888,972 | | | | | | 311,114 | | | | | | 1,588,291 | | |
Custody fees | | | | | 605,227 | | | | | | 192,601 | | | | | | 751,493 | | | | | | 79,788 | | | | | | 412,181 | | |
Trustees’ fees | | | | | 105,488 | | | | | | 24,859 | | | | | | 56,886 | | | | | | 11,056 | | | | | | 45,583 | | |
Insurance | | | | | 51,582 | | | | | | 13,716 | | | | | | 26,125 | | | | | | 4,523 | | | | | | 27,388 | | |
Audit and tax | | | | | 55,576 | | | | | | 12,801 | | | | | | 60,348 | | | | | | 2,138 | | | | | | 17,410 | | |
Legal expense | | | | | 66,290 | | | | | | 20,332 | | | | | | 29,979 | | | | | | 5,839 | | | | | | 34,012 | | |
Chief Compliance Officer expense | | | | | 50,358 | | | | | | 10,395 | | | | | | 21,290 | | | | | | 3,179 | | | | | | 19,551 | | |
Shareholder services | | | | | 47,364 | | | | | | 26,697 | | | | | | 22,540 | | | | | | 19,378 | | | | | | 50,391 | | |
Registration fees | | | | | 723 | | | | | | 15,882 | | | | | | 34,226 | | | | | | 10,893 | | | | | | 29,350 | | |
Miscellaneous expense | | | | | 54,109 | | | | | | 13,738 | | | | | | 25,859 | | | | | | 6,231 | | | | | | 37,143 | | |
Total Expenses | | | | | 23,790,830 | | | | | | 7,181,771 | | | | | | 16,213,534 | | | | | | 2,203,841 | | | | | | 9,496,059 | | |
Less: Fee waivers and/or expense reimbursement (Note 7) | | | | | (4,038,175) | | | | | | (89,776) | | | | | | (612,850) | | | | | | (252,616) | | | | | | (915,174) | | |
Net Expenses | | | | | 19,752,655 | | | | | | 7,091,995 | | | | | | 15,600,684 | | | | | | 1,951,225 | | | | | | 8,580,885 | | |
Net Investment Income (Loss) | | | | $ | 7,101,897 | | | | | $ | (575,958) | | | | | $ | 5,537,279 | | | | | $ | 7,048,611 | | | | | $ | 11,860,439 | | |
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, UNFUNDED LOAN COMMITMENTS, 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 | | | | $ | 531,210,444 | | | | | $ | 119,980,863 | | | | | $ | 61,478,642* | | | | | $ | 18,921,531 | | | | | $ | (9,868,015) | | |
Futures contracts | | | | | 1,041,271 | | | | | | — | | | | | | — | | | | | | — | | | | | | (1,103,736) | | |
Forward sale commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (90,407) | | |
Options contracts written | | | | | — | | | | | | — | | | | | | 68,475 | | | | | | — | | | | | | — | | |
Securities sold short | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 57 | | |
Forward foreign currency contracts | | | | | — | | | | | | — | | | | | | 769,995 | | | | | | — | | | | | | — | | |
Foreign currency transactions | | | | | (3,920) | | | | | | — | | | | | | (337,592) | | | | | | (5,825) | | | | | | — | | |
Realized Gain (Loss) | | | | | 532,247,795 | | | | | | 119,980,863 | | | | | | 61,979,520 | | | | | | 18,915,706 | | | | | | (11,062,101) | | |
Change in Net Unrealized Appreciation (Depreciation) From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | 259,867,612 | | | | | | (10,518,985) | | | | | | 79,416,957** | | | | | | 29,656,966 | | | | | | 28,841,954 | | |
Futures contracts | | | | | (50,014) | | | | | | — | | | | | | — | | | | | | — | | | | | | (137,426) | | |
Unfunded loan commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 150 | | |
Options contracts written | | | | | — | | | | | | — | | | | | | 5,276 | | | | | | — | | | | | | — | | |
Forward sale commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (58,152) | | |
Forward foreign currency contracts | | | | | — | | | | | | — | | | | | | (40,084) | | | | | | — | | | | | | — | | |
Foreign currency transactions | | | | | 407 | | | | | | — | | | | | | 86,250 | | | | | | (5,480) | | | | | | — | | |
Change in Net Unrealized Appreciation (Depreciation): | | | | | 259,818,005 | | | | | | (10,518,985) | | | | | | 79,468,399 | | | | | | 29,651,486 | | | | | | 28,646,526 | | |
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 | | | | | 792,065,800 | | | | | | 109,461,878 | | | | | | 141,447,919 | | | | | | 48,567,192 | | | | | | 17,584,425 | | |
Total Increase (Decrease) in Net Assets from Operations | | | | $ | 799,167,697 | | | | | $ | 108,885,920 | | | | | $ | 146,985,198 | | | | | $ | 55,615,803 | | | | | $ | 29,444,864 | | |
| | | 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 | | | | $ | 277,340 | | | | | $ | 621,663 | | | | | $ | — | | | | | $ | 2,843,535 | | |
Interest | | | | | 8,736,090 | | | | | | 16,474,182 | | | | | | 7,936,180 | | | | | | 9,717,478 | | |
Income from securities lending | | | | | 33,795 | | | | | | 23,689 | | | | | | — | | | | | | 237,875 | | |
Less: Foreign taxes withheld (Note 5) | | | | | — | | | | | | (8,730) | | | | | | — | | | | | | — | | |
Total Investment Income | | | | | 9,047,225 | | | | | | 17,110,804 | | | | | | 7,936,180 | | | | | | 12,798,888 | | |
EXPENSES: | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment management fee (Note 7) | | | | | 1,725,417 | | | | | | 3,319,354 | | | | | | 3,286,358 | | | | | | 8,290,420 | | |
Transfer agent fees | | | | | 354,083 | | | | | | 559,477 | | | | | | 693,659 | | | | | | 881,436 | | |
Custody fees | | | | | 125,682 | | | | | | 156,023 | | | | | | 228,425 | | | | | | 188,690 | | |
Trustees’ fees | | | | | 8,654 | | | | | | 14,355 | | | | | | 17,098 | | | | | | 23,467 | | |
Insurance | | | | | 4,724 | | | | | | 8,129 | | | | | | 11,821 | | | | | | 12,588 | | |
Audit and tax | | | | | 1,552 | | | | | | 3,280 | | | | | | 9,331 | | | | | | 5,383 | | |
Legal expense | | | | | 6,287 | | | | | | 12,612 | | | | | | 14,597 | | | | | | 19,178 | | |
Chief Compliance Officer expense | | | | | 3,947 | | | | | | 6,444 | | | | | | 7,769 | | | | | | 9,897 | | |
Shareholder services | | | | | 18,920 | | | | | | 22,396 | | | | | | 17,079 | | | | | | 30,501 | | |
Registration fees | | | | | — | | | | | | — | | | | | | 13,414 | | | | | | 22,381 | | |
Broker fees on securities sold short | | | | | — | | | | | | 100,193 | | | | | | — | | | | | | 1,063,868 | | |
Miscellaneous expense | | | | | 11,259 | | | | | | 14,490 | | | | | | 12,221 | | | | | | — | | |
Interest and dividend expense. | | | | | — | | | | | | 194,029 | | | | | | — | | | | | | 116,958 | | |
Total Expenses | | | | | 2,260,525 | | | | | | 4,410,782 | | | | | | 4,311,772 | | | | | | 10,664,767 | | |
Less: Fee waivers and/or expense reimbursement (Note 7) | | | | | (2,781) | | | | | | (425,250) | | | | | | (778,724) | | | | | | (2,673,548) | | |
Net Expenses | | | | | 2,257,744 | | | | | | 3,985,532 | | | | | | 3,533,048 | | | | | | 7,991,219 | | |
Net Investment Income (Loss) | | | | $ | 6,789,481 | | | | | $ | 13,125,272 | | | | | $ | 4,403,132 | | | | | $ | 4,807,669 | | |
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, UNFUNDED LOAN COMMITMENTS, 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 | | | | $ | (2,961,548) | | | | | $ | 1,061,558 | | | | | $ | 1,486,197 | | | | | $ | 23,375,400 | | |
Options contracts written | | | | | — | | �� | | | | 434,377 | | | | | | — | | | | | | — | | |
Securities sold short | | | | | — | | | | | | (1,008,107) | | | | | | — | | | | | | — | | |
Investments sold short | | | | | — | | | | | | — | | | | | | — | | | | | | (1,794,462) | | |
Swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | 1,166,164 | | |
Forward foreign currency contracts | | | | | 1,631,677 | | | | | | 1,076,064 | | | | | | — | | | | | | — | | |
Foreign currency transactions | | | | | 66,496 | | | | | | 82,805 | | | | | | — | | | | | | — | | |
Realized Gain (Loss) | | | | | (1,263,375) | | | | | | 1,646,697 | | | | | | 1,486,197 | | | | | | 22,747,102 | | |
Change in Net Unrealized Appreciation (Depreciation) From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | 10,374,566 | | | | | | (1,104,457) | | | | | | 7,926,196 | | | | | | (16,745,717) | | |
Unfunded loan commitments | | | | | (116,255) | | | | | | — | | | | | | — | | | | | | — | | |
Options contracts written | | | | | — | | | | | | (11,761) | | | | | | — | | | | | | (383,398) | | |
Securities sold short | | | | | — | | | | | | 79,996 | | | | | | — | | | | | | 8,520,308 | | |
Swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | 2,523,153 | | |
Forward foreign currency contracts | | | | | (565,774) | | | | | | (618,592) | | | | | | — | | | | | | — | | |
Foreign currency transactions | | | | | 3,273 | | | | | | (43,107) | | | | | | — | | | | | | — | | |
Change in Net Unrealized Appreciation (Depreciation): | | | | | 9,695,810 | | | | | | (1,697,921) | | | | | | 7,926,196 | | | | | | (6,085,654) | | |
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 | | | | | 8,432,435 | | | | | | (51,224) | | | | | | 9,412,393 | | | | | | 16,661,448 | | |
Total Increase (Decrease) in Net Assets from Operations | | | | $ | 15,221,916 | | | | | $ | 13,074,048 | | | | | $ | 13,815,525 | | | | | $ | 21,469,117 | | |
| | | Destinations Large Cap Equity Fund | | | Destinations Small-Mid Cap Equity Fund | | | Destinations International Equity Fund | | |||||||||||||||||||||||||||
| | | August 31, 2021 | | | February 28, 2021 | | | August 31, 2021 | | | February 28, 2021 | | | August 31, 2021 | | | February 28, 2021 | | ||||||||||||||||||
OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 7,101,897 | | | | | $ | 23,831,149 | | | | | $ | (575,958) | | | | | $ | 896,716 | | | | | $ | 5,537,279 | | | | | $ | 546,320 | | |
Net realized gain (loss) | | | | | 532,247,795 | | | | | | 227,791,299 | | | | | | 119,980,863 | | | | | | 160,527,673 | | | | | | 61,979,520 | | | | | | 12,520,943 | | |
Change in unrealized appreciation (depreciation) | | | | | 259,818,005 | | | | | | 1,084,588,379 | | | | | | (10,518,985) | | | | | | 290,864,457 | | | | | | 79,468,399 | | | | | | 566,170,523 | | |
Increase (Decrease) in Net Assets From Operations | | | | | 799,167,697 | | | | | | 1,336,210,827 | | | | | | 108,885,920 | | | | | | 452,288,846 | | | | | | 146,985,198 | | | | | | 579,237,786 | | |
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 5) : | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | — | | | | | | (87,281,044) | | | | | | — | | | | | | (22,516,715) | | | | | | — | | | | | | (663,386) | | |
Class Z | | | | | — | | | | | | (6,999,957) | | | | | | — | | | | | | (1,796,366) | | | | | | — | | | | | | (234,506) | | |
Decrease in Net Assets From Distributions to Shareholders | | | | | — | | | | | | (94,281,001) | | | | | | — | | | | | | (24,313,081) | | | | | | — | | | | | | (897,892) | | |
FUND SHARE TRANSACTIONS : | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net proceeds from sale of shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 366,405,779 | | | | | | 684,494,010 | | | | | | 117,304,556 | | | | | | 124,974,104 | | | | | | 334,728,675 | | | | | | 366,061,881 | | |
Class Z | | | | | 159,691,961 | | | | | | 90,160,931 | | | | | | 47,492,967 | | | | | | 19,907,864 | | | | | | 95,529,206 | | | | | | 48,789,282 | | |
Reinvestment of distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | — | | | | | | 86,767,648 | | | | | | — | | | | | | 22,394,639 | | | | | | — | | | | | | 659,537 | | |
Class Z | | | | | — | | | | | | 6,794,463 | | | | | | — | | | | | | 1,740,399 | | | | | | — | | | | | | 226,851 | | |
Cost of shares repurchased: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (660,758,898) | | | | | | (1,146,597,874) | | | | | | (147,808,313) | | | | | | (274,215,231) | | | | | | (197,640,700) | | | | | | (509,687,356) | | |
Class Z | | | | | (48,746,345) | | | | | | (81,513,637) | | | | | | (10,403,525) | | | | | | (17,853,191) | | | | | | (16,040,657) | | | | | | (35,303,264) | | |
Increase (Decrease) in Net Assets From Fund Share Transactions | | | | | (183,407,503) | | | | | | (359,894,459) | | | | | | 6,585,685 | | | | | | (123,051,416) | | | | | | 216,576,524 | | | | | | (129,253,069) | | |
Increase (Decrease) in Net Assets | | | | | 615,760,194 | | | | | | 882,035,367 | | | | | | 115,471,605 | | | | | | 304,924,349 | | | | | | 363,561,722 | | | | | | 449,086,825 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | | 4,732,581,543 | | | | | | 3,850,546,176 | | | | | | 1,241,267,518 | | | | | | 936,343,169 | | | | | | 2,432,667,002 | | | | | | 1,983,580,177 | | |
End of period | | | | $ | 5,348,341,737 | | | | | $ | 4,732,581,543 | | | | | $ | 1,356,739,123 | | | | | $ | 1,241,267,518 | | | | | $ | 2,796,228,724 | | | | | $ | 2,432,667,002 | | |
| | | Destinations Equity Income Fund | | | Destinations Core Fixed Income Fund | | ||||||||||||||||||
| | | August 31, 2021 | | | February 28, 2021 | | | August 31, 2021 | | | February 28, 2021 | | ||||||||||||
OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 7,048,611 | | | | | $ | 14,068,354 | | | | | $ | 11,860,439 | | | | | $ | 40,363,272 | | |
Net realized gain (loss) | | | | | 18,915,706 | | | | | | (37,763,039) | | | | | | (11,062,101) | | | | | | 71,935,441 | | |
Change in unrealized appreciation (depreciation) | | | | | 29,651,486 | | | | | | 55,055,823 | | | | | | 28,646,526 | | | | | | (111,053,086) | | |
Increase (Decrease) in Net Assets From Operations | | | | | 55,615,803 | | | | | | 31,361,138 | | | | | | 29,444,864 | | | | | | 1,245,627 | | |
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 5) : | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (4,549,192) | | | | | | (17,047,791) | | | | | | (12,093,364) | | | | | | (45,411,862) | | |
Class Z | | | | | (398,351) | | | | | | (1,044,996) | | | | | | (1,020,784) | | | | | | (2,565,783) | | |
Decrease in Net Assets From Distributions to Shareholders | | | | | (4,947,543) | | | | | | (18,092,787) | | | | | | (13,114,148) | | | | | | (47,977,645) | | |
FUND SHARE TRANSACTIONS : | | | | ��� | | | | | | | | | | | | | | | | | | | | | |
Net proceeds from sale of shares: | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 27,131,800 | | | | | | 42,296,206 | | | | | | 148,437,659 | | | | | | 566,944,532 | | |
Class Z | | | | | 12,009,327 | | | | | | 9,176,726 | | | | | | 70,489,659 | | | | | | 55,197,432 | | |
Reinvestment of distributions: | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 4,519,885 | | | | | | 16,937,229 | | | | | | 12,014,571 | | | | | | 45,153,843 | | |
Class Z | | | | | 365,675 | | | | | | 953,306 | | | | | | 983,091 | | | | | | 2,458,341 | | |
Cost of shares repurchased: | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (50,820,560) | | | | | | (137,678,016) | | | | | | (185,670,272) | | | | | | (384,588,684) | | |
Class Z | | | | | (4,350,088) | | | | | | (8,307,893) | | | | | | (14,522,841) | | | | | | (32,672,496) | | |
Increase (Decrease) in Net Assets From Fund Share Transactions | | | | | (11,143,961) | | | | | | (76,622,442) | | | | | | 31,731,867 | | | | | | 252,492,968 | | |
Increase (Decrease) in Net Assets | | | | | 39,524,299 | | | | | | (63,354,091) | | | | | | 48,062,583 | | | | | | 205,760,950 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | | 398,670,456 | | | | | | 462,024,547 | | | | | | 2,200,351,734 | | | | | | 1,994,590,784 | | |
End of period | | | | $ | 438,194,755 | | | | | $ | 398,670,456 | | | | | $ | 2,248,414,317 | | | | | $ | 2,200,351,734 | | |
| | | Destinations Low Duration Fixed Income Fund | | | Destinations Global Fixed Income Opportunities Fund | | ||||||||||||||||||
| | | August 31, 2021 | | | February 28, 2021 | | | August 31, 2021 | | | February 28, 2021 | | ||||||||||||
OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 6,789,481 | | | | | $ | 13,517,328 | | | | | $ | 13,125,272 | | | | | $ | 30,033,909 | | |
Net realized gain (loss) | | | | | (1,263,375) | | | | | | (1,552,406) | | | | | | 1,646,697 | | | | | | (3,016,659) | | |
Change in unrealized appreciation (depreciation) | | | | | 9,695,810 | | | | | | 3,661,273 | | | | | | (1,697,921) | | | | | | 15,909,081 | | |
Increase (Decrease) in Net Assets From Operations | | | | | 15,221,916 | | | | | | 15,626,195 | | | | | | 13,074,048 | | | | | | 42,926,331 | | |
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 5) : | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (6,577,001) | | | | | | (12,423,555) | | | | | | (11,695,511) | | | | | | (28,302,527) | | |
Class Z | | | | | (465,085) | | | | | | (617,410) | | | | | | (882,783) | | | | | | (1,478,999) | | |
Decrease in Net Assets From Distributions to Shareholders | | | | | (7,042,086) | | | | | | (13,040,965) | | | | | | (12,578,294) | | | | | | (29,781,526) | | |
FUND SHARE TRANSACTIONS : | | | | | | | | | | | | | | | | | | | | | | | | | |
Net proceeds from sale of shares: | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 133,562,357 | | | | | | 171,086,753 | | | | | | 66,008,978 | | | | | | 167,996,725 | | |
Class Z | | | | | 20,835,489 | | | | | | 11,930,570 | | | | | | 26,086,954 | | | | | | 16,710,837 | | |
Reinvestment of distributions: | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 6,535,162 | | | | | | 12,349,552 | | | | | | 11,617,624 | | | | | | 28,132,491 | | |
Class Z | | | | | 445,192 | | | | | | 590,193 | | | | | | 841,559 | | | | | | 1,401,780 | | |
Cost of shares repurchased: | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (41,634,441) | | | | | | (88,084,770) | | | | | | (65,348,541) | | | | | | (224,106,513) | | |
Class Z | | | | | (2,995,971) | | | | | | (5,004,378) | | | | | | (5,250,673) | | | | | | (12,985,085) | | |
Increase (Decrease) in Net Assets From Fund Share Transactions | | | | | 116,747,788 | | | | | | 102,867,920 | | | | | | 33,955,901 | | | | | | (22,849,765) | | |
Increase (Decrease) in Net Assets | | | | | 124,927,618 | | | | | | 105,453,150 | | | | | | 34,451,655 | | | | | | (9,704,960) | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | | 440,196,959 | | | | | | 334,743,809 | | | | | | 757,879,307 | | | | | | 767,584,267 | | |
End of period | | | | $ | 565,124,577 | | | | | $ | 440,196,959 | | | | | $ | 792,330,962 | | | | | $ | 757,879,307 | | |
| | | Destinations Municipal Fixed Income Fund | | | Destinations Multi Strategy Alternatives Fund | | ||||||||||||||||||
| | | August 31, 2021 | | | February 28, 2021 | | | August 31, 2021 | | | February 28, 2021 | | ||||||||||||
OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 4,403,132 | | | | | $ | 11,067,571 | | | | | $ | 4,807,669 | | | | | $ | 13,571,592 | | |
Net realized gain (loss) | | | | | 1,486,197 | | | | | | 6,670,758 | | | | | | 22,747,102 | | | | | | 18,809,890 | | |
Change in unrealized appreciation (depreciation). | | | | | 7,926,196 | | | | | | (19,255,288) | | | | | | (6,085,654) | | | | | | 74,890,594 | | |
Increase (Decrease) in Net Assets From Operations | | | | | 13,815,525 | | | | | | (1,516,959) | | | | | | 21,469,117 | | | | | | 107,272,076 | | |
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 5) : | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (5,432,651) | | | | | | (18,714,445) | | | | | | (3,688,625) | | | | | | (14,280,507) | | |
Class Z. | | | | | (249,563) | | | | | | (514,550) | | | | | | (321,812) | | | | | | (792,977) | | |
Decrease in Net Assets From Distributions to Shareholders | | | | | (5,682,214) | | | | | | (19,228,995) | | | | | | (4,010,437) | | | | | | (15,073,484) | | |
FUND SHARE TRANSACTIONS : | | | | | | | | | | | | | | | | | | | | | | | | | |
Net proceeds from sale of shares: | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 80,534,879 | | | | | | 183,253,560 | | | | | | 131,108,360 | | | | | | 281,655,299 | | |
Class Z | | | | | 21,519,534 | | | | | | 14,800,618 | | | | | | 41,470,625 | | | | | | 25,454,430 | | |
Reinvestment of distributions: | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 5,391,626 | | | | | | 18,578,076 | | | | | | 3,664,824 | | | | | | 14,207,122 | | |
Class Z | | | | | 233,367 | | | | | | 479,548 | | | | | | 310,048 | | | | | | 760,344 | | |
Cost of shares repurchased: | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (68,839,744) | | | | | | (176,085,320) | | | | | | (94,430,726) | | | | | | (169,315,819) | | |
Class Z | | | | | (5,040,846) | | | | | | (7,453,789) | | | | | | (7,111,219) | | | | | | (11,887,150) | | |
Increase (Decrease) in Net Assets From Fund Share Transactions | | | | | 33,798,816 | | | | | | 33,572,693 | | | | | | 75,011,912 | | | | | | 140,874,226 | | |
Increase (Decrease) in Net Assets | | | | | 41,932,127 | | | | | | 12,826,739 | | | | | | 92,470,592 | | | | | | 233,072,818 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | | 909,818,430 | | | | | | 896,991,691 | | | | | | 1,162,491,105 | | | | | | 929,418,287 | | |
End of period | | | | $ | 951,750,557 | | | | | $ | 909,818,430 | | | | | $ | 1,254,961,697 | | | | | $ | 1,162,491,105 | | |
| | | Class I | | |||||||||||||||||||||||||||
| | | 2021(1) | | | 2021 | | | 2020 | | | 2019 | | | 2018(1) | | |||||||||||||||
Net asset value, Beginning of Period | | | | $ | 15.84 | | | | | $ | 11.88 | | | | | $ | 11.61 | | | | | $ | 11.71 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.02 | | | | | | 0.07 | | | | | | 0.10 | | | | | | 0.11 | | | | | | 0.10 | | |
Net realized and unrealized gain | | | | | 2.70 | | | | | | 4.19 | | | | | | 0.40 | | | | | | 0.18 | | | | | | 1.69 | | |
Total Income from Operations | | | | | 2.72 | | | | | | 4.26 | | | | | | 0.50 | | | | | | 0.29 | | | | | | 1.79 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | (0.01) | | | | | | (0.10) | | | | | | (0.10) | | | | | | (0.08) | | |
Net realized gain | | | | | — | | | | | | (0.29) | | | | | | (0.13) | | | | | | (0.29) | | | | | | — | | |
Total Distributions | | | | | — | | | | | | (0.30) | | | | | | (0.23) | | | | | | (0.39) | | | | | | (0.08) | | |
Net Asset Value, End of Period | | | | $ | 18.56 | | | | | $ | 15.84 | | | | | $ | 11.88 | | | | | $ | 11.61 | | | | | $ | 11.71 | | |
Total Return(3) | | | | | 17.17%(4) | | | | | | 35.94% | | | | | | 4.18% | | | | | | 2.73% | | | | | | 17.89%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 4,897 | | | | | $ | 4,450 | | | | | $ | 3,651 | | | | | $ | 3,427 | | | | | $ | 2,804 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.94%(5) | | | | | | 0.95% | | | | | | 0.95% | | | | | | 0.97% | | | | | | 0.98%(5) | | |
Net expenses(6) | | | | | 0.79%(5) | | | | | | 0.82% | | | | | | 0.82% | | | | | | 0.85% | | | | | | 0.85%(5) | | |
Net investment income(6) | | | | | 0.27%(5) | | | | | | 0.56% | | | | | | 0.84% | | | | | | 0.91% | | | | | | 0.97%(5) | | |
Portfolio Turnover Rate(7) | | | | | 45%(4) | | | | | | 48% | | | | | | 49% | | | | | | 28% | | | | | | 52%(4) | | |
| | | Class Z | | |||||||||||||||||||||
| | | 2021(1) | | | 2021 | | | 2020 | | | 2019(1) | | ||||||||||||
Net asset value, Beginning of Period | | | | $ | 12.81 | | | | | $ | 9.65 | | | | | $ | 9.46 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.03 | | | | | | 0.08 | | | | | | 0.10 | | | | | | 0.07 | | |
Net realized and unrealized gain (loss) | | | | | 2.17 | | | | | | 3.40 | | | | | | 0.34 | | | | | | (0.21) | | |
Total Income from Operations | | | | | 2.20 | | | | | | 3.48 | | | | | | 0.44 | | | | | | (0.14) | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | (0.03) | | | | | | (0.12) | | | | | | (0.11) | | |
Net realized gain | | | | | — | | | | | | (0.29) | | | | | | (0.13) | | | | | | (0.29) | | |
Total Distributions | | | | | — | | | | | | (0.32) | | | | | | (0.25) | | | | | | (0.40) | | |
Net Asset Value, End of Period | | | | $ | 15.01 | | | | | $ | 12.81 | | | | | $ | 9.65 | | | | | $ | 9.46 | | |
Total Return(3) | | | | | 17.17%(4) | | | | | | 36.16% | | | | | | 4.45% | | | | | | (0.94)%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 451 | | | | | $ | 283 | | | | | $ | 200 | | | | | $ | 70 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.79%(5) | | | | | | 0.80% | | | | | | 0.80% | | | | | | 0.82%(5) | | |
Net expenses(6) | | | | | 0.64%(5) | | | | | | 0.67% | | | | | | 0.67% | | | | | | 0.70%(5) | | |
Net investment income(6) | | | | | 0.42%(5) | | | | | | 0.70% | | | | | | 0.96% | | | | | | 1.06%(5) | | |
Portfolio Turnover Rate(7) | | | | | 45%(4) | | | | | | 48% | | | | | | 49% | | | | | | 28%(4) | | |
| | | Class I | | |||||||||||||||||||||||||||
| | | 2021(1) | | | 2021 | | | 2020 | | | 2019 | | | 2018(1) | | |||||||||||||||
Net asset value, Beginning of Period | | | | $ | 16.43 | | | | | $ | 10.92 | | | | | $ | 11.31 | | | | | $ | 10.98 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)(2) | | | | | (0.01) | | | | | | 0.01 | | | | | | 0.06 | | | | | | 0.06 | | | | | | 0.04 | | |
Net realized and unrealized gain | | | | | 1.44 | | | | | | 5.80 | | | | | | 0.04 | | | | | | 0.84 | | | | | | 1.04 | | |
Total Income from Operations | | | | | 1.43 | | | | | | 5.81 | | | | | | 0.10 | | | | | | 0.90 | | | | | | 1.08 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | (0.00)* | | | | | | (0.06) | | | | | | (0.05) | | | | | | (0.04) | | |
Net realized gain | | | | | — | | | | | | (0.30) | | | | | | (0.43) | | | | | | (0.52) | | | | | | (0.06) | | |
Total Distributions | | | | | — | | | | | | (0.30) | | | | | | (0.49) | | | | | | (0.57) | | | | | | (0.10) | | |
Net Asset Value, End of Period | | | | $ | 17.86 | | | | | $ | 16.43 | | | | | $ | 10.92 | | | | | $ | 11.31 | | | | | $ | 10.98 | | |
Total Return(3) | | | | | 8.70%(4) | | | | | | 56.65% | | | | | | 0.52% | | | | | | 9.02% | | | | | | 10.83%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 1,238 | | | | | $ | 1,167 | | | | | $ | 890 | | | | | $ | 962 | | | | | $ | 701 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 1.10%(5) | | | | | | 1.11% | | | | | | 1.11% | | | | | | 1.12% | | | | | | 1.14%(5) | | |
Net expenses(6) | | | | | 1.09%(5) | | | | | | 1.11% | | | | | | 1.08% | | | | | | 1.03% | | | | | | 1.03%(5) | | |
Net investment income(6) | | | | | (0.10)%(5) | | | | | | 0.09% | | | | | | 0.54% | | | | | | 0.53% | | | | | | 0.41%(5) | | |
Portfolio Turnover Rate(7) | | | | | 58%(4) | | | | | | 145% | | | | | | 110% | | | | | | 85% | | | | | | 112%(4) | | |
| | | Class Z | | |||||||||||||||||||||
| | | 2021(1) | | | 2021 | | | 2020 | | | 2019(1) | | ||||||||||||
Net asset value, Beginning of Period | | | | $ | 13.17 | | | | | $ | 8.80 | | | | | $ | 9.20 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.00* | | | | | | 0.02 | | | | | | 0.06 | | | | | | 0.04 | | |
Net realized and unrealized gain (loss) | | | | | 1.16 | | | | | | 4.67 | | | | | | 0.05 | | | | | | (0.25) | | |
Total Income from Operations | | | | | 1.16 | | | | | | 4.69 | | | | | | 0.11 | | | | | | (0.21) | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | (0.02) | | | | | | (0.08) | | | | | | (0.07) | | |
Net realized gain | | | | | — | | | | | | (0.30) | | | | | | (0.43) | | | | | | (0.52) | | |
Total Distributions | | | | | — | | | | | | (0.32) | | | | | | (0.51) | | | | | | (0.59) | | |
Net Asset Value, End of Period | | | | $ | 14.33 | | | | | $ | 13.17 | | | | | $ | 8.80 | | | | | $ | 9.20 | | |
Total Return(3) | | | | | 8.81%(4) | | | | | | 53.85% | | | | | | 0.69% | | | | | | (1.24)%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 119 | | | | | $ | 74 | | | | | $ | 46 | | | | | $ | 19 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.95%(5) | | | | | | 0.96% | | | | | | 0.97% | | | | | | 0.97%(5) | | |
Net expenses(6) | | | | | 0.94%(5) | | | | | | 0.96% | | | | | | 0.94% | | | | | | 0.88%(5) | | |
Net investment income(6) | | | | | 0.05%(5) | | | | | | 0.22% | | | | | | 0.66% | | | | | | 0.68%(5) | | |
Portfolio Turnover Rate(7) | | | | | 58%(4) | | | | | | 145% | | | | | | 110% | | | | | | 85%(4) | | |
| | | Class I | | |||||||||||||||||||||||||||
| | | 2021(1) | | | 2021 | | | 2020 | | | 2019 | | | 2018(1) | | |||||||||||||||
Net asset value, Beginning of Period | | | | $ | 15.11 | | | | | $ | 11.30 | | | | | $ | 10.86 | | | | | $ | 11.69 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.03 | | | | | | 0.00* | | | | | | 0.09 | | | | | | 0.09 | | | | | | 0.07 | | |
Net realized and unrealized gain (loss) | | | | | 0.85 | | | | | | 3.81 | | | | | | 0.44 | | | | | | (0.77) | | | | | | 1.70 | | |
Total Income from Operations | | | | | 0.88 | | | | | | 3.81 | | | | | | 0.53 | | | | | | (0.68) | | | | | | 1.77 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | (0.00)* | | | | | | (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 | | | | $ | 15.99 | | | | | $ | 15.11 | | | | | $ | 11.30 | | | | | $ | 10.86 | | | | | $ | 11.69 | | |
Total Return(3) | | | | | 5.82%(4) | | | | | | 33.76% | | | | | | 4.83% | | | | | | (5.71)% | | | | | | 17.70%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 2,561 | | | | | $ | 2,288 | | | | | $ | 1,884 | | | | | $ | 1,618 | | | | | $ | 1,413 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 1.23%(5) | | | | | | 1.24% | | | | | | 1.25% | | | | | | 1.28% | | | | | | 1.30%(5) | | |
Net expenses(6) | | | | | 1.19%(5) | | | | | | 1.23% | | | | | | 1.17% | | | | | | 1.18% | | | | | | 1.15%(5) | | |
Net investment income(6) | | | | | 0.41%(5) | | | | | | 0.02% | | | | | | 0.77% | | | | | | 0.83% | | | | | | 0.69%(5) | | |
Portfolio Turnover Rate(7) | | | | | 15%(4) | | | | | | 38% | | | | | | 27% | | | | | | 32% | | | | | | 50%(4) | | |
| | | Class Z | | |||||||||||||||||||||
| | | 2021(1) | | | 2021 | | | 2020 | | | 2019(1) | | ||||||||||||
Net asset value, Beginning of Period | | | | $ | 13.18 | | | | | $ | 9.86 | | | | | $ | 9.48 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.03 | | | | | | 0.02 | | | | | | 0.06 | | | | | | 0.02 | | |
Net realized and unrealized gain (loss) | | | | | 0.75 | | | | | | 3.32 | | | | | | 0.43 | | | | | | (0.38) | | |
Total Income from Operations | | | | | 0.78 | | | | | | 3.34 | | | | | | 0.49 | | | | | | (0.36) | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | (0.02) | | | | | | (0.11) | | | | | | (0.13) | | |
Net realized gain | | | | | — | | | | | | — | | | | | | — | | | | | | (0.03) | | |
Total Distributions | | | | | — | | | | | | (0.02) | | | | | | (0.11) | | | | | | (0.16) | | |
Net Asset Value, End of Period | | | | $ | 13.96 | | | | | $ | 13.18 | | | | | $ | 9.86 | | | | | $ | 9.48 | | |
Total Return(3) | | | | | 5.92%(4) | | | | | | 33.91% | | | | | | 5.05% | | | | | | (3.43)%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 235 | | | | | $ | 145 | | | | | $ | 99 | | | | | $ | 33 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 1.08%(5) | | | | | | 1.09% | | | | | | 1.10% | | | | | | 1.13%(5) | | |
Net expenses(6) | | | | | 1.04%(5) | | | | | | 1.08% | | | | | | 1.02% | | | | | | 1.03%(5) | | |
Net investment income(6) | | | | | 0.50%(5) | | | | | | 0.14% | | | | | | 0.62% | | | | | | 0.98%(5) | | |
Portfolio Turnover Rate(7) | | | | | 15%(4) | | | | | | 38% | | | | | | 27% | | | | | | 32%(4) | | |
| | | Class I | | |||||||||||||||||||||||||||
| | | 2021(1) | | | 2021 | | | 2020 | | | 2019 | | | 2018(1) | | |||||||||||||||
Net asset value, Beginning of Period | | | | $ | 10.26 | | | | | $ | 9.74 | | | | | $ | 10.20 | | | | | $ | 10.14 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.18 | | | | | | 0.34 | | | | | | 0.35 | | | | | | 0.32 | | | | | | 0.31 | | |
Net realized and unrealized gain (loss) | | | | | 1.26 | | | | | | 0.63 | | | | | | (0.40) | | | | | | 0.39 | | | | | | 0.12 | | |
Total Income from Operations | | | | | 1.44 | | | | | | 0.97 | | | | | | (0.05) | | | | | | 0.71 | | | | | | 0.43 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.13) | | | | | | (0.31) | | | | | | (0.32) | | | | | | (0.29) | | | | | | (0.26) | | |
Net realized gain | | | | | — | | | | | | (0.14) | | | | | | (0.09) | | | | | | (0.36) | | | | | | (0.03) | | |
Total Distributions | | | | | (0.13) | | | | | | (0.45) | | | | | | (0.41) | | | | | | (0.65) | | | | | | (0.29) | | |
Net Asset Value, End of Period | | | | $ | 11.57 | | | | | $ | 10.26 | | | | | $ | 9.74 | | | | | $ | 10.20 | | | | | $ | 10.14 | | |
Total Return(3) | | | | | 14.06%(4) | | | | | | 10.37% | | | | | | (0.78)% | | | | | | 7.52% | | | | | | 4.34%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 403 | | | | | $ | 375 | | | | | $ | 441 | | | | | $ | 391 | | | | | $ | 320 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 1.02%(5) | | | | | | 1.03% | | | | | | 1.03% | | | | | | 1.04% | | | | | | 1.05%(5) | | |
Net expenses(6) | | | | | 0.90%(5) | | | | | | 0.92% | | | | | | 0.88% | | | | | | 0.87% | | | | | | 0.93%(5) | | |
Net investment income(6) | | | | | 3.21%(5) | | | | | | 3.60% | | | | | | 3.31% | | | | | | 3.13% | | | | | | 3.18%(5) | | |
Portfolio Turnover Rate(7) | | | | | 19%(4) | | | | | | 54% | | | | | | 43% | | | | | | 74% | | | | | | 57%(4) | | |
| | | Class Z | | |||||||||||||||||||||
| | | 2021(1) | | | 2021 | | | 2020 | | | 2019(1) | | ||||||||||||
Net asset value, Beginning of Period | | | | $ | 9.94 | | | | | $ | 9.44 | | | | | $ | 9.89 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.19 | | | | | | 0.34 | | | | | | 0.36 | | | | | | 0.20 | | |
Net realized and unrealized gain (loss) | | | | | 1.20 | | | | | | 0.62 | | | | | | (0.38) | | | | | | 0.21 | | |
Total Income from Operations | | | | | 1.39 | | | | | | 0.96 | | | | | | (0.02) | | | | | | 0.41 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.13) | | | | | | (0.32) | | | | | | (0.34) | | | | | | (0.16) | | |
Net realized gain | | | | | — | | | | | | (0.14) | | | | | | (0.09) | | | | | | (0.36) | | |
Total Distributions | | | | | (0.13) | | | | | | (0.46) | | | | | | (0.43) | | | | | | (0.52) | | |
Net Asset Value, End of Period | | | | $ | 11.20 | | | | | $ | 9.94 | | | | | $ | 9.44 | | | | | $ | 9.89 | | |
Total Return(3) | | | | | 14.07%(4) | | | | | | 10.63% | | | | | | (0.58)% | | | | | | 4.51%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 35 | | | | | $ | 24 | | | | | | 21 | | | | | $ | 10 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.87%(5) | | | | | | 0.88% | | | | | | 0.88% | | | | | | 0.89%(5) | | |
Net expenses(6) | | | | | 0.75%(5) | | | | | | 0.77% | | | | | | 0.74% | | | | | | 0.72%(5) | | |
Net investment income(6) | | | | | 3.36%(5) | | | | | | 3.72% | | | | | | 3.46% | | | | | | 3.28%(5) | | |
Portfolio Turnover Rate(7) | | | | | 19%(4) | | | | | | 54% | | | | | | 43% | | | | | | 74%(4) | | |
| | | Class I | | |||||||||||||||||||||||||||
| | | 2021(1) | | | 2021 | | | 2020 | | | 2019 | | | 2018(1) | | |||||||||||||||
Net asset value, Beginning of Period | | | | $ | 10.19 | | | | | $ | 10.42 | | | | | $ | 9.83 | | | | | $ | 9.83 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.05 | | | | | | 0.20 | | | | | | 0.28 | | | | | | 0.28 | | | | | | 0.21 | | |
Net realized and unrealized gain (loss) | | | | | 0.08 | | | | | | (0.20) | | | | | | 0.59 | | | | | | (0.01) | | | | | | (0.17) | | |
Total Income from Operations | | | | | 0.13 | | | | | | — | | | | | | 0.87 | | | | | | 0.27 | | | | | | 0.04 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.06) | | | | | | (0.20) | | | | | | (0.28) | | | | | | (0.27) | | | | | | (0.19) | | |
Net realized gain | | | | | — | | | | | | (0.03) | | | | | | — | | | | | | — | | | | | | (0.02) | | |
Total Distributions | | | | | (0.06) | | | | | | (0.23) | | | | | | (0.28) | | | | | | (0.27) | | | | | | (0.21) | | |
Net Asset Value, End of Period | | | | $ | 10.26 | | | | | $ | 10.19 | | | | | $ | 10.42 | | | | | $ | 9.83 | | | | | $ | 9.83 | | |
Total Return(3) | | | | | 1.28%(4) | | | | | | 0.05% | | | | | | 8.97% | | | | | | 2.77% | | | | | | 0.34%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 2,068 | | | | | $ | 2,079 | | | | | $ | 1,896 | | | | | $ | 1,708 | | | | | $ | 1,500 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.86%(5) | | | | | | 0.87% | | | | | | 0.88% | | | | | | 0.89% | | | | | | 0.90%(5) | | |
Net expenses(6) | | | | | 0.78%(5) | | | | | | 0.78% | | | | | | 0.80% | | | | | | 0.81% | | | | | | 0.82%(5) | | |
Net investment income(6) | | | | | 1.05%(5) | | | | | | 1.91% | | | | | | 2.80% | | | | | | 2.85% | | | | | | 2.22%(5) | | |
Portfolio Turnover Rate(7) | | | | | 124%(4) | | | | | | 204% | | | | | | 43% | | | | | | 64% | | | | | | 170%(4) | | |
| | | Class Z | | |||||||||||||||||||||
| | | 2021(1) | | | 2021 | | | 2020 | | | 2019(1) | | ||||||||||||
Net asset value, Beginning of Period | | | | $ | 10.46 | | | | | $ | 10.69 | | | | | $ | 10.08 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.06 | | | | | | 0.22 | | | | | | 0.30 | | | | | | 0.20 | | |
Net realized and unrealized gain (loss) | | | | | 0.09 | | | | | | (0.21) | | | | | | 0.61 | | | | | | 0.03 | | |
Total Income from Operations | | | | | 0.15 | | | | | | 0.01 | | | | | | 0.91 | | | | | | 0.23 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.07) | | | | | | (0.21) | | | | | | (0.30) | | | | | | (0.15) | | |
Net realized gain | | | | | — | | | | | | (0.03) | | | | | | — | | | | | | — | | |
Total Distributions | | | | | (0.07) | | | | | | (0.24) | | | | | | (0.30) | | | | | | (0.15) | | |
Net Asset Value, End of Period | | | | $ | 10.54 | | | | | $ | 10.46 | | | | | $ | 10.69 | | | | | $ | 10.08 | | |
Total Return(3) | | | | | 1.42%(4) | | | | | | 0.17% | | | | | | 9.11% | | | | | | 2.29(4) | | |
Net Assets, End of Period (millions) | | | | $ | 180 | | | | | $ | 121 | | | | | $ | 99 | | | | | $ | 29 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.71%(5) | | | | | | 0.72% | | | | | | 0.73% | | | | | | 0.74%(5) | | |
Net expenses(6) | | | | | 0.63%(5) | | | | | | 0.63% | | | | | | 0.65% | | | | | | 0.66%(5) | | |
Net investment income(6) | | | | | 1.23%(5) | | | | | | 2.05% | | | | | | 2.90% | | | | | | 3.00%(5) | | |
Portfolio Turnover Rate(7) | | | | | 124%(4) | | | | | | 204% | | | | | | 43% | | | | | | 64%(4) | | |
| | | Class I | | |||||||||||||||||||||||||||
| | | 2021(1) | | | 2021 | | | 2020 | | | 2019 | | | 2018(1) | | |||||||||||||||
Net asset value, Beginning of Period | | | | $ | 9.73 | | | | | $ | 9.75 | | | | | $ | 9.84 | | | | | $ | 9.90 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.14 | | | | | | 0.34 | | | | | | 0.33 | | | | | | 0.35 | | | | | | 0.27 | | |
Net realized and unrealized gain (loss) | | | | | 0.14 | | | | | | (0.02) | | | | | | (0.08) | | | | | | (0.08) | | | | | | (0.12) | | |
Total Income from Operations | | | | | 0.28 | | | | | | 0.32 | | | | | | 0.25 | | | | | | 0.27 | | | | | | 0.15 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.14) | | | | | | (0.34) | | | | | | (0.34) | | | | | | (0.33) | | | | | | (0.25) | | |
Total Distributions | | | | | (0.14) | | | | | | (0.34) | | | | | | (0.34) | | | | | | (0.33) | | | | | | (0.25) | | |
Net Asset Value, End of Period | | | | $ | 9.87 | | | | | $ | 9.73 | | | | | $ | 9.75 | | | | | $ | 9.84 | | | | | $ | 9.90 | | |
Total Return(3) | | | | | 2.90%(4) | | | | | | 3.43% | | | | | | 2.59% | | | | | | 2.79% | | | | | | 1.52%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 524 | | | | | $ | 418 | | | | | $ | 320 | | | | | $ | 386 | | | | | $ | 178 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.93%(5) | | | | | | 0.95% | | | | | | 0.96% | | | | | | 0.97% | | | | | | 1.00%(5) | | |
Net expenses(6) | | | | | 0.93%(5) | | | | | | 0.95% | | | | | | 0.94% | | | | | | 0.93% | | | | | | 0.94%(5) | | |
Net investment income(6) | | | | | 2.75%(5) | | | | | | 3.63% | | | | | | 3.30% | | | | | | 3.51% | | | | | | 2.84%(5) | | |
Portfolio Turnover Rate(7) | | | | | 59%(4) | | | | | | 168% | | | | | | 138% | | | | | | 120% | | | | | | 32%(4) | | |
| | | Class Z | | |||||||||||||||||||||
| | | 2021(1) | | | 2021 | | | 2020 | | | 2019(1) | | ||||||||||||
Net asset value, Beginning of Period | | | | $ | 9.93 | | | | | $ | 9.94 | | | | | $ | 10.03 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.15 | | | | | | 0.36 | | | | | | 0.34 | | | | | | 0.22 | | |
Net realized and unrealized gain (loss) | | | | | 0.15 | | | | | | (0.02) | | | | | | (0.07) | | | | | | (0.03) | | |
Total Income from Operations | | | | | 0.30 | | | | | | 0.34 | | | | | | 0.27 | | | | | | 0.19 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.15) | | | | | | (0.35) | | | | | | (0.36) | | | | | | (0.16) | | |
Total Distributions | | | | | (0.15) | | | | | | (0.35) | | | | | | (0.36) | | | | | | (0.16) | | |
Net Asset Value, End of Period | | | | $ | 10.08 | | | | | $ | 9.93 | | | | | $ | 9.94 | | | | | $ | 10.03 | | |
Total Return(3) | | | | | 3.02%(4) | | | | | | 3.60% | | | | | | 2.69% | | | | | | 1.82%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 41 | | | | | $ | 22 | | | | | $ | 14 | | | | | $ | 6 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.78%(5) | | | | | | 0.80% | | | | | | 0.82% | | | | | | 0.82%(5) | | |
Net expenses(6) | | | | | 0.78%(5) | | | | | | 0.80% | | | | | | 0.80% | | | | | | 0.78%(5) | | |
Net investment income(6) | | | | | 2.89%(5) | | | | | | 3.78% | | | | | | 3.40% | | | | | | 3.66%(5) | | |
Portfolio Turnover Rate(7) | | | | | 59%(4) | | | | | | 168% | | | | | | 138% | | | | | | 120%(4) | | |
| | | Class I | | |||||||||||||||||||||||||||
| | | 2021(1) | | | 2021 | | | 2020 | | | 2019 | | | 2018(1) | | |||||||||||||||
Net asset value, Beginning of Period | | | | $ | 10.02 | | | | | $ | 9.83 | | | | | $ | 9.82 | | | | | $ | 9.99 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.17 | | | | | | 0.40 | | | | | | 0.39 | | | | | | 0.38 | | | | | | 0.37 | | |
Net realized and unrealized gain (loss) | | | | | 0.00* | | | | | | 0.19 | | | | | | 0.02 | | | | | | (0.18) | | | | | | (0.02) | | |
Total Income from Operations | | | | | 0.17 | | | | | | 0.59 | | | | | | 0.41 | | | | | | 0.20 | | | | | | 0.35 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.16) | | | | | | (0.40) | | | | | | (0.40) | | | | | | (0.37) | | | | | | (0.35) | | |
Net realized gain | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (0.01) | | |
Total Distributions | | | | | (0.16) | | | | | | (0.40) | | | | | | (0.40) | | | | | | (0.37) | | | | | | (0.36) | | |
Net Asset Value, End of Period | | | | $ | 10.03 | | | | | $ | 10.02 | | | | | $ | 9.83 | | | | | $ | 9.82 | | | | | $ | 9.99 | | |
Total Return(3) | | | | | 1.73%(4) | | | | | | 6.28% | | | | | | 4.18% | | | | | | 2.20% | | | | | | 3.34%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 730 | | | | | $ | 718 | | | | | $ | 733 | | | | | $ | 769 | | | | | $ | 601 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 1.14%(5) | | | | | | 1.13% | | | | | | 1.11% | | | | | | 1.09% | | | | | | 1.10%(5) | | |
Net expenses(6)(7) | | | | | 1.03%(5) | | | | | | 1.02% | | | | | | 1.00% | | | | | | 0.98% | | | | | | 0.99%(5) | | |
Net investment income(7) | | | | | 3.35%(5) | | | | | | 4.17% | | | | | | 3.92% | | | | | | 3.90% | | | | | | 3.88%(5) | | |
Portfolio Turnover Rate(8) | | | | | 50%(4) | | | | | | 164% | | | | | | 84% | | | | | | 79% | ��� | | | | | 64%(4) | | |
| | | Class Z | | |||||||||||||||||||||
| | | 2021(1) | | | 2021 | | | 2020 | | | 2019(1) | | ||||||||||||
Net asset value, Beginning of Period | | | | $ | 10.19 | | | | | $ | 9.99 | | | | | $ | 9.98 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.18 | | | | | | 0.42 | | | | | | 0.41 | | | | | | 0.26 | | |
Net realized and unrealized gain (loss) | | | | | 0.01 | | | | | | 0.19 | | | | | | 0.01 | | | | | | (0.08) | | |
Total Income from Operations | | | | | 0.19 | | | | | | 0.61 | | | | | | 0.42 | | | | | | 0.18 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.17) | | | | | | (0.41) | | | | | | (0.41) | | | | | | (0.20) | | |
Total Distributions | | | | | (0.17) | | | | | | (0.41) | | | | | | (0.41) | | | | | | (0.20) | | |
Net Asset Value, End of Period | | | | $ | 10.21 | | | | | $ | 10.19 | | | | | $ | 9.99 | | | | | $ | 9.98 | | |
Total Return(3) | | | | | 1.78%(4) | | | | | | 6.43% | | | | | | 4.26% | | | | | | 1.72%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 62 | | | | | $ | 40 | | | | | $ | 34 | | | | | $ | 14 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 0.99%(5) | | | | | | 0.98% | | | | | | 0.96% | | | | | | 0.94%(5) | | |
Net expenses(6)(7) | | | | | 0.88%(5) | | | | | | 0.87% | | | | | | 0.85% | | | | | | 0.83%(5) | | |
Net investment income(7) | | | | | 3.47%(5) | | | | | | 4.31% | | | | | | 4.06% | | | | | | 4.05%(5) | | |
Portfolio Turnover Rate(8) | | | | | 50%(4) | | | | | | 164% | | | | | | 84% | | | | | | 79%(4) | | |
(annualized) for the period ended August 31, 2021, for the year ended February 28, 2021, for the year ended February 29, 2020 and the period ended February 28, 2019, respectively.
| | | Class I | | |||||||||||||||||||||||||||
| | | 2021(1) | | | 2021 | | | 2020 | | | 2019 | | | 2018(1) | | |||||||||||||||
Net asset value, Beginning of Period | | | | $ | 10.38 | | | | | $ | 10.61 | | | | | $ | 10.11 | | | | | $ | 9.93 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.05 | | | | | | 0.13 | | | | | | 0.16 | | | | | | 0.17 | | | | | | 0.08 | | |
Net realized and unrealized gain (loss) | | | | | 0.10 | | | | | | (0.13) | | | | | | 0.58 | | | | | | 0.15 | | | | | | (0.09) | | |
Total Income from Operations | | | | | 0.15 | | | | | | — | | | | | | 0.74 | | | | | | 0.32 | | | | | | (0.01) | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.06) | | | | | | (0.16) | | | | | | (0.20) | | | | | | (0.14) | | | | | | (0.05) | | |
Net realized gain | | | | | — | | | | | | (0.07) | | | | | | (0.04) | | | | | | — | | | | | | (0.01) | | |
Total Distributions | | | | | (0.06) | | | | | | (0.23) | | | | | | (0.24) | | | | | | (0.14) | | | | | | (0.06) | | |
Net Asset Value, End of Period | | | | $ | 10.47 | | | | | $ | 10.38 | | | | | $ | 10.61 | | | | | $ | 10.11 | | | | | $ | 9.93 | | |
Total Return(3) | | | | | 1.48%(4) | | | | | | 0.00% | | | | | | 7.38% | | | | | | 3.30% | | | | | | (0.14)%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 909 | | | | | $ | 884 | | | | | $ | 878 | | | | | $ | 862 | | | | | $ | 230 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.92%(5) | | | | | | 0.93% | | | | | | 0.95% | | | | | | 0.95% | | | | | | 0.97%(5) | | |
Net expenses(6) | | | | | 0.76%(5) | | | | | | 0.77% | | | | | | 0.80% | | | | | | 0.80% | | | | | | 0.80%(5) | | |
Net investment income(6) | | | | | 0.93%(5) | | | | | | 1.26% | | | | | | 1.56% | | | | | | 1.71% | | | | | | 0.79%(5) | | |
Portfolio Turnover Rate(7) | | | | | 21%(4) | | | | | | 38% | | | | | | 38% | | | | | | 84% | | | | | | 69%(4) | | |
| | | Class Z | | |||||||||||||||||||||
| | | 2021(1) | | | 2021 | | | 2020 | | | 2019(1) | | ||||||||||||
Net asset value, Beginning of Period | | | | $ | 10.40 | | | | | $ | 10.64 | | | | | $ | 10.14 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.06 | | | | | | 0.15 | | | | | | 0.18 | | | | | | 0.13 | | |
Net realized and unrealized gain (loss) | | | | | 0.11 | | | | | | (0.14) | | | | | | 0.57 | | | | | | 0.11 | | |
Total Income from Operations | | | | | 0.17 | | | | | | 0.01 | | | | | | 0.75 | | | | | | 0.24 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.07) | | | | | | (0.18) | | | | | | (0.21) | | | | | | (0.10) | | |
Net realized gain | | | | | — | | | | | | (0.07) | | | | | | (0.04) | | | | | | — | | |
Total Distributions | | | | | (0.07) | | | | | | (0.25) | | | | | | (0.25) | | | | | | (0.10) | | |
Net Asset Value, End of Period | | | | $ | 10.50 | | | | | $ | 10.40 | | | | | $ | 10.64 | | | | | $ | 10.14 | | |
Total Return(3) | | | | | 1.65%(4) | | | | | | 0.05% | | | | | | 7.51% | | | | | | 2.42%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 43 | | | | | $ | 26 | | | | | $ | 19 | | | | | $ | 12 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.77%(5) | | | | | | 0.78% | | | | | | 0.80% | | | | | | 0.80%(5) | | |
Net expenses(6) | | | | | 0.61%(5) | | | | | | 0.62% | | | | | | 0.65% | | | | | | 0.65%(5) | | |
Net investment income(6) | | | | | 1.08%(5) | | | | | | 1.40% | | | | | | 1.71% | | | | | | 1.86%(5) | | |
Portfolio Turnover Rate(7) | | | | | 21%(4) | | | | | | 38% | | | | | | 38% | | | | | | 84%(4) | | |
| | | Class I | | |||||||||||||||||||||||||||
| | | 2021(1) | | | 2021 | | | 2020 | | | 2019 | | | 2018(1) | | |||||||||||||||
Net asset value, Beginning of Period | | | | $ | 10.57 | | | | | $ | 9.67 | | | | | $ | 9.76 | | | | | $ | 10.20 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.04 | | | | | | 0.14 | | | | | | 0.37 | | | | | | 0.40 | | | | | | 0.27 | | |
Net realized and unrealized gain (loss) | | | | | 0.15 | | | | | | 0.91 | | | | | | (0.02) | | | | | | (0.32) | | | | | | 0.13 | | |
Total Income from Operations | | | | | 0.19 | | | | | | 1.05 | | | | | | 0.35 | | | | | | 0.08 | | | | | | 0.40 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.03) | | | | | | (0.15) | | | | | | (0.41) | | | | | | (0.35) | | | | | | (0.20) | | |
Net realized gain | | | | | — | | | | | | — | | | | | | (0.03) | | | | | | (0.17) | | | | | | — | | |
Total Distributions | | | | | (0.03) | | | | | | (0.15) | | | | | | (0.44) | | | | | | (0.52) | | | | | | (0.20) | | |
Net Asset Value, End of Period | | | | $ | 10.73 | | | | | $ | 10.57 | | | | | $ | 9.67 | | | | | $ | 9.76 | | | | | $ | 10.20 | | |
Total Return(3) | | | | | 1.84%(4) | | | | | | 11.09% | | | | | | 3.76% | | | | | | 1.10% | | | | | | 3.94%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 1,159 | | | | | $ | 1,102 | | | | | $ | 888 | | | | | $ | 897 | | | | | $ | 909 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 1.75%(5) | | | | | | 1.79% | | | | | | 1.73% | | | | | | 1.71% | | | | | | 1.73%(5) | | |
Net expenses(6)(7) | | | | | 1.31%(5) | | | | | | 1.40% | | | | | | 1.34% | | | | | | 1.23% | | | | | | 1.25%(5) | | |
Net investment income(7) | | | | | 0.77%(5) | | | | | | 1.40% | | | | | | 3.86% | | | | | | 4.01% | | | | | | 2.82%(5) | | |
Portfolio Turnover Rate(8) | | | | | 48%(4) | | | | | | 150% | | | | | | 119% | | | | | | 109% | | | | | | 111%(4) | | |
| | | Class Z | | |||||||||||||||||||||
| | | 2021(1) | | | 2021 | | | 2020 | | | 2019(1) | | ||||||||||||
Net asset value, Beginning of Period | | | | $ | 10.32 | | | | | $ | 9.44 | | | | | $ | 9.54 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.05 | | | | | | 0.14 | | | | | | 0.35 | | | | | | 0.31 | | |
Net realized and unrealized gain (loss) | | | | | 0.14 | | | | | | 0.91 | | | | | | — | | | | | | (0.35) | | |
Total Income from Operations | | | | | 0.19 | | | | | | 1.05 | | | | | | 0.35 | | | | | | (0.04) | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.04) | | | | | | (0.17) | | | | | | (0.42) | | | | | | (0.25) | | |
Net realized gain | | | | | — | | | | | | — | | | | | | (0.03) | | | | | | (0.17) | | |
Total Distributions | | | | | (0.04) | | | | | | (0.17) | | | | | | (0.45) | | | | | | (0.42) | | |
Net Asset Value, End of Period | | | | $ | 10.47 | | | | | $ | 10.32 | | | | | $ | 9.44 | | | | | $ | 9.54 | | |
Total Return(3) | | | | | 1.84%(4) | | | | | | 11.29% | | | | | | 3.87% | | | | | | (0.21)(4) | | |
Net Assets, End of Period (millions) | | | | $ | 96 | | | | | $ | 60 | | | | | $ | 41 | | | | | $ | 15 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 1.60%(5) | | | | | | 1.64% | | | | | | 1.59% | | | | | | 1.56%(5) | | |
Net expenses(6)(7) | | | | | 1.16%(5) | | | | | | 1.25% | | | | | | 1.20% | | | | | | 1.08%(5) | | |
Net investment income(7) | | | | | 0.92%(5) | | | | | | 1.52% | | | | | | 3.75% | | | | | | 4.16%(5) | | |
Portfolio Turnover Rate(8) | | | | | 48%(4) | | | | | | 150% | | | | | | 119% | | | | | | 109%(4) | | |
| | | Total Fair Value at August 31, 2021 | | | 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 | | | | $ | 98,327,806 | | | | | $ | 98,327,806 | | | | | $ | — | | | | | $ | — | | | | | | | ||||||||
Communications | | | | | 1,188,107,381 | | | | | | 1,188,107,381 | | | | | | — | | | | | | — | | | | | | | ||||||||
Consumer Cyclical | | | | | 384,836,787 | | | | | | 384,836,787 | | | | | | — | | | | | | — | | | | | | | ||||||||
Consumer Non-cyclical | | | | | 1,251,744,246 | | | | | | 1,251,744,246 | | | | | | — | | | | | | — | | | | | | | ||||||||
Energy | | | | | 155,622,677 | | | | | | 155,622,677 | | | | | | — | | | | | | — | | | | | | | ||||||||
Financial | | | | | 637,148,266 | | | | | | 634,278,395 | | | | | | — | | | | | | 2,869,871 | | | | | | | ||||||||
Industrial | | | | | 346,677,773 | | | | | | 346,677,773 | | | | | | — | | | | | | — | | | | | | | ||||||||
Technology | | | | | 1,054,880,835 | | | | | | 1,044,914,984 | | | | | | 5,166,142 | | | | | | 4,799,709 | | | | | | | ||||||||
Utilities | | | | | 111,714,086 | | | | | | 111,714,086 | | | | | | — | | | | | | — | | | | | | |
| | | Total Fair Value at August 31, 2021 | | | 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) | | | | | | ||||||||||||||||||||||||||||||||
Preferred Stocks: | | | | | | | | | | | | | | ||||||||||||||||||||||||
Consumer Cyclical | | | | $ | 47,327,174 | | | | | $ | — | | | | | $ | 926,563 | | | | | $ | 46,400,611 | | | | | | | ||||||||
Financial | | | | | 2,090,500 | | | | | | — | | | | | | — | | | | | | 2,090,500 | | | | | | | ||||||||
Industrial | | | | | 4,850,947 | | | | | | — | | | | | | — | | | | | | 4,850,947 | | | | | | | ||||||||
Technology | | | | | 2,562,997 | | | | | | — | | | | | | — | | | | | | 2,562,997 | | | | | | | ||||||||
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||||||||
Time Deposits | | | | | 55,219,382 | | | | | | — | | | | | | 55,219,382 | | | | | | — | | | | | | | ||||||||
Money Market Fund | | | | | 3,548,291 | | | | | | 3,548,291 | | | | | | — | | | | | | — | | | | | | | ||||||||
Total Investments, at value | | | | $ | 5,344,659,148 | | | | | $ | 5,219,772,426 | | | | | $ | 61,312,087 | | | | | $ | 63,574,635** | | | | | | | ||||||||
Other Financial Instruments – Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||||||||
Futures Contracts | | | | $ | 125,546 | | | | | $ | 125,546 | | | | | $ | — | | | | | $ | — | | | | | | | ||||||||
Total Other Financial Instruments – Assets | | | | $ | 125,546 | | | | | $ | 125,546 | | | | | $ | — | | | | | $ | — | | | | | | | ||||||||
Destinations Small-Mid Cap Equity Fund | | | | | | ||||||||||||||||||||||||||||||||
Investments, at value | | | | | | ||||||||||||||||||||||||||||||||
Common Stocks | | | | $ | 1,267,787,245 | | | | | $ | 1,267,787,245 | | | | | $ | — | | | | | $ | — | | | | | | | ||||||||
Exchange Traded Funds (ETFs) | | | | | 50,920,842 | | | | | | 50,920,842 | | | | | | — | | | | | | — | | | | | | | ||||||||
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||||||||
Time Deposits | | | | | 35,614,743 | | | | | | — | | | | | | 35,614,743 | | | | | | — | | | | | | | ||||||||
Money Market Fund | | | | | 65,638,512 | | | | | | 65,638,512 | | | | | | — | | | | | | — | | | | | | | ||||||||
Total Investments, at value | | | | $ | 1,419,961,342 | | | | | $ | 1,384,346,599 | | | | | $ | 35,614,743 | | | | | $ | — | | | | | | | ||||||||
Destinations Equity Income Fund | | | | | | ||||||||||||||||||||||||||||||||
Investments, at value | | | | | | ||||||||||||||||||||||||||||||||
Common Stocks: | | | | | | ||||||||||||||||||||||||||||||||
Basic Materials | | | | $ | 9,181,143 | | | | | $ | 2,484,777 | | | | | $ | 6,696,366 | | | | | $ | — | | | | | | | ||||||||
Communications | | | | | 43,828,372 | | | | | | 21,075,299 | | | | | | 22,753,073 | | | | | | — | | | | | | | ||||||||
Consumer Cyclical | | | | | 22,711,095 | | | | | | 11,824,882 | | | | | | 10,886,213 | | | | | | — | | | | | | | ||||||||
Consumer Non-cyclical | | | | | 108,284,425 | | | | | | 77,166,269 | | | | | | 31,118,156 | | | | | | — | | | | | | | ||||||||
Energy | | | | | 44,630,013 | | | | | | 27,419,535 | | | | | | 17,210,478 | | | | | | — | | | | | | | ||||||||
Financial | | | | | 61,620,937 | | | | | | 35,741,340 | | | | | | 25,879,597 | | | | | | — | | | | | | | ||||||||
Industrial | | | | | 19,765,151 | | | | | | 8,477,921 | | | | | | 11,287,230 | | | | | | — | | | | | | | ||||||||
Technology | | | | | 22,042,109 | | | | | | 16,526,536 | | | | | | 5,515,573 | | | | | | — | | | | | | | ||||||||
Utilities | | | | | 48,913,678 | | | | | | 40,036,158 | | | | | | 8,877,520 | | | | | | — | | | | | | | ||||||||
Exchange Traded Funds (ETFs) | | | | | 45,197,847 | | | | | | 45,197,847 | | | | | | — | | | | | | — | | | | | | | ||||||||
Convertible Preferred Stocks | | | | | 6,665,186 | | | | | | 6,665,186 | | | | | | — | | | | | | — | | | | | | | ||||||||
Equity Linked Note | | | | | 910,258 | | | | | | — | | | | | | 910,258 | | | | | | — | | | | | | | ||||||||
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||||||||
Time Deposits | | | | | 3,699,588 | | | | | | — | | | | | | 3,699,588 | | | | | | — | | | | | | | ||||||||
Money Market Fund | | | | | 1,441,800 | | | | | | 1,441,800 | | | | | | — | | | | | | — | | | | | | | ||||||||
Total Investments, at value | | | | $ | 438,891,602 | | | | | $ | 294,057,550 | | | | | $ | 144,834,052 | | | | | $ | — | | | | | | | ||||||||
|
| | | Total Fair Value at August 31, 2021 | | | 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 | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Common Stocks: | | | | | | | | | | | | | | | | | | | | | | | | | |
Australia | | | | $ | 16,844,542 | | | | | $ | — | | | | | $ | 16,844,542 | | | | | $ | — | | |
Austria | | | | | 6,048,413 | | | | | | — | | | | | | 6,048,413 | | | | | | — | | |
Bermuda | | | | | 5,092,721 | | | | | | 2,684,520 | | | | | | 2,408,201 | | | | | | — | | |
Brazil | | | | | 60,118,019 | | | | | | 20,411,028 | | | | | | 39,706,991 | | | | | | — | | |
Canada | | | | | 64,970,350 | | | | | | 10,350,723 | | | | | | 54,619,627 | | | | | | — | | |
China | | | | | 210,193,065 | | | | | | 53,793,240 | | | | | | 156,399,825 | | | | | | — | | |
Cyprus | | | | | 4,870,314 | | | | | | — | | | | | | 4,870,314 | | | | | | — | | |
Denmark | | | | | 25,390,124 | | | | | | — | | | | | | 25,390,124 | | | | | | — | | |
Egypt | | | | | 9,614,900 | | | | | | — | | | | | | 9,614,900 | | | | | | — | | |
Finland | | | | | 12,269,541 | | | | | | — | | | | | | 12,269,541 | | | | | | — | | |
France | | | | | 201,638,143 | | | | | | — | | | | | | 201,638,143 | | | | | | — | | |
Germany | | | | | 152,961,548 | | | | | | — | | | | | | 152,961,548 | | | | | | — | | |
Greece | | | | | 5,074,234 | | | | | | — | | | | | | 5,074,234 | | | | | | — | | |
Hong Kong | | | | | 32,075,602 | | | | | | 1,648,706 | | | | | | 30,426,896 | | | | | | — | | |
Hungary | | | | | 6,548,478 | | | | | | — | | | | | | 6,548,478 | | | | | | — | | |
India | | | | | 241,627,873 | | | | | | 1,171,961 | | | | | | 240,455,912 | | | | | | — | | |
Indonesia | | | | | 13,371,415 | | | | | | — | | | | | | 13,371,415 | | | | | | — | | |
Ireland | | | | | 21,286,712 | | | | | | 5,395,232 | | | | | | 15,891,480 | | | | | | — | | |
Israel | | | | | 13,737,216 | | | | | | 3,612,797 | | | | | | 10,124,419 | | | | | | — | | |
Italy | | | | | 27,545,210 | | | | | | — | | | | | | 27,545,210 | | | | | | — | | |
Japan | | | | | 427,612,429 | | | | | | — | | | | | | 427,612,429 | | | | | | — | | |
Jersey, Channel Islands | | | | | 7,927,860 | | | | | | — | | | | | | 7,927,860 | | | | | | — | | |
Mexico | | | | | 21,966,937 | | | | | | — | | | | | | 21,966,937 | | | | | | — | | |
Netherlands | | | | | 90,584,181 | | | | | | 7,265,873 | | | | | | 83,318,308 | | | | | | — | | |
Norway | | | | | 17,970,443 | | | | | | — | | | | | | 17,970,443 | | | | | | — | | |
Peru | | | | | 1,964,338 | | | | | | 1,964,338 | | | | | | — | | | | | | — | | |
Philippines | | | | | 12,466,511 | | | | | | — | | | | | | 12,466,511 | | | | | | — | | |
Poland | | | | | 9,571,042 | | | | | | — | | | | | | 9,571,042 | | | | | | — | | |
Portugal | | | | | 17,370,989 | | | | | | — | | | | | | 17,370,989 | | | | | | — | | |
Russia | | | | | 50,555,471 | | | | | | 34,544,910 | | | | | | 16,010,561 | | | | | | — | | |
Singapore | | | | | 3,908,916 | | | | | | — | | | | | | 3,908,916 | | | | | | — | | |
South Africa | | | | | 9,185,836 | | | | | | — | | | | | | 9,185,836 | | | | | | — | | |
South Korea | | | | | 95,766,929 | | | | | | — | | | | | | 95,766,929 | | | | | | — | | |
Spain | | | | | 9,895,749 | | | | | | — | | | | | | 9,895,749 | | | | | | — | | |
Sweden | | | | $ | 43,163,291 | | | | | $ | — | | | | | $ | 43,163,291 | | | | | $ | — | | |
Switzerland | | | | | 174,966,350 | | | | | | — | | | | | | 174,966,350 | | | | | | — | | |
Taiwan | | | | | 108,900,510 | | | | | | 46,800,326 | | | | | | 62,100,184 | | | | | | — | | |
Thailand | | | | | 15,591,579 | | | | | | — | | | | | | 15,591,579 | | | | | | — | | |
United Arab Emirates | | | | | 6,801,646 | | | | | | — | | | | | | 6,801,646 | | | | | | — | | |
United Kingdom | | | | | 254,473,418 | | | | | | 10,904,771 | | | | | | 243,564,390 | | | | | | 4,257 | | |
United States | | | | | 86,461,352 | | | | | | 83,219,763 | | | | | | 1,455,586 | | | | | | 1,786,003 | | |
Exchange Traded Funds (ETFs) | | | | | 106,610,379 | | | | | | 106,610,379 | | | | | | — | | | | | | — | | |
Warrant | | | | | 49,478 | | | | | | 49,478 | | | | | | — | | | | | | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 114,802,623 | | | | | | — | | | | | | 114,802,623 | | | | | | — | | |
Money Market Fund | | | | | 92,363,031 | | | | | | 92,363,031 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 2,912,209,708 | | | | | $ | 482,791,076 | | | | | $ | 2,427,628,372 | | | | | $ | 1,790,260 | | |
|
| | | Total Fair Value at August 31, 2021 | | | 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) | | ||||||||||||||||||||||||
Other Financial Instruments – Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | 102,909 | | | | | $ | — | | | | | $ | 102,909 | | | | | $ | — | | |
Total Other Financial Instruments – Assets | | | | $ | 102,909 | | | | | $ | — | | | | | $ | 102,909 | | | | | $ | — | | |
Other Financial Instruments – Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Option Contracts Written | | | | $ | (535) | | | | | $ | — | | | | | $ | (535) | | | | | $ | — | | |
Total Other Financial Instruments – Liabilities | | | | $ | (535) | | | | | $ | — | | | | | $ | (535) | | | | | $ | — | | |
Destinations Core Fixed Income Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Corporate Bonds & Notes | | | | $ | 581,594,526 | | | | | $ | — | | | | | $ | 581,594,526 | | | | | $ | — | | |
Collateralized Mortgage Obligations | | | | | 537,986,481 | | | | | | — | | | | | | 537,986,481 | | | | | | — | | |
U.S. Government Agencies & Obligations | | | | | 512,020,372 | | | | | | — | | | | | | 512,020,372 | | | | | | — | | |
Mortgage-Backed Securities | | | | | 455,162,494 | | | | | | — | | | | | | 455,162,494 | | | | | | — | | |
Asset-Backed Securities | | | | | 210,314,264 | | | | | | — | | | | | | 210,314,264 | | | | | | — | | |
Sovereign Bonds | | | | | 35,582,388 | | | | | | — | | | | | | 35,582,388 | | | | | | — | | |
Senior Loans | | | | | 24,935,575 | | | | | | — | | | | | | 24,935,575 | | | | | | — | | |
Municipal Bonds | | | | | 2,017,025 | | | | | | — | | | | | | 2,017,025 | | | | | | — | | |
Exchange Traded Fund (ETF) | | | | | 29,733,528 | | | | | | 29,733,528 | | | | | | — | | | | | | — | | |
Common Stocks: | | | | | | | | | | | | | | | | | | | | | | | | | |
Diversified | | | | | 35,696 | | | | | | — | | | | | | 35,696 | | | | | | — | | |
Energy | | | | | 136,389 | | | | | | 128,505 | | | | | | 7,884 | | | | | | — | | |
Industrial | | | | | 1,391 | | | | | | 1,391 | | | | | | — | | | | | | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 100,621,027 | | | | | | — | | | | | | 100,621,027 | | | | | | — | | |
U.S. Government Obligations | | | | | 3,469,695 | | | | | | — | | | | | | 3,469,695 | | | | | | — | | |
Total Investments, at value | | | | $ | 2,493,610,851 | | | | | $ | 29,863,424 | | | | | $ | 2,463,747,427 | | | | | $ | — | | |
Other Financial Instruments – Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | | $ | 62,177 | | | | | $ | 62,177 | | | | | $ | — | | | | | $ | — | | |
Total Other Financial Instruments – Assets | | | | $ | 62,177 | | | | | $ | 62,177 | | | | | $ | — | | | | | $ | — | | |
Other Financial Instruments – Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Sale Commitments | | | | $ | (3,495,680) | | | | | $ | — | | | | | $ | (3,495,680) | | | | | $ | — | | |
Futures Contracts | | | | | (199,603) | | | | | | (199,603) | | | | | | — | | | | | | — | | |
Total Other Financial Instruments – Liabilities | | | | $ | (3,695,283) | | | | | $ | (199,603) | | | | | $ | (3,495,680) | | | | | $ | — | | |
Destinations Low Duration Fixed Income Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Corporate Bonds & Notes | | | | $ | 266,886,285* | | | | | $ | -- | | | | | $ | 266,886,285 | | | | | $ | —* | | |
Senior Loans | | | | | 106,069,550 | | | | | | — | | | | | | 92,862,512 | | | | | | 13,207,038 | | |
Asset-Backed Securities | | | | | 29,600,223 | | | | | | — | | | | | | 29,600,223 | | | | | | — | | |
Collateralized Mortgage Obligations | | | | | 25,962,640 | | | | | | — | | | | | | 25,962,640 | | | | | | — | | |
Municipal Bonds | | | | | 4,272,597 | | | | | | — | | | | | | 4,272,597 | | | | | | — | | |
Mortgage-Backed Securities | | | | | 2,847,957 | | | | | | — | | | | | | 2,847,957 | | | | | | — | | |
Sovereign Bonds | | | | | 2,454,870 | | | | | | — | | | | | | 2,454,870 | | | | | | — | | |
Common Stocks: | | | | | | | | | | | | | | | | | | | | | | | | | |
Diversified | | | | | 53,273,844 | | | | | | 51,329,945 | | | | | | 1,943,899 | | | | | | — | | |
Energy | | | | | 124,450 | | | | | | — | | | | | | 124,450 | | | | | | — | | |
Exchange Traded Fund (ETF) | | | | | 35,194,299 | | | | | | 35,194,299 | | | | | | — | | | | | | — | | |
Preferred Stock | | | | | 3,697,254 | | | | | | 3,697,254 | | | | | | — | | | | | | — | | |
| | | Total Fair Value at August 31, 2021 | | | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | | ||||||||||||
Destinations Low Duration Fixed Income Fund (continued) | | ||||||||||||||||||||||||
Investments, at value (continued) | | ||||||||||||||||||||||||
Warrants | | | | $ | 7,457,766 | | | | | $ | 46,649 | | | | | $ | 7,411,117 | | | | | $ | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 60,022,128 | | | | | | — | | | | | | 60,022,128 | | | | | | — | | |
U.S. Government Obligation | | | | | 6,599,733 | | | | | | — | | | | | | 6,599,733 | | | | | | — | | |
Money Market Fund | | | | | 20,957,270 | | | | | | 20,957,270 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 625,420,866 | | | | | $ | 111,225,417 | | | | | $ | 500,988,411 | | | | | $ | 13,207,038** | | |
Other Financial Instruments – Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | 12,303 | | | | | $ | — | | | | | $ | 12,303 | | | | | $ | — | | |
Total Other Financial Instruments – Assets | | | | $ | 12,303 | | | | | $ | — | | | | | $ | 12,303 | | | | | $ | — | | |
Other Financial Instruments – Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | (317,969) | | | | | $ | — | | | | | $ | (317,969) | | | | | $ | — | | |
Total Other Financial Instruments – Liabilities | | | | $ | (317,969) | | | | | $ | — | | | | | $ | (317,969) | | | | | $ | — | | |
Destinations Global Fixed Income Opportunities Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Corporate Bonds & Notes | | | | $ | 531,219,090* | | | | | $ | — | | | | | $ | 531,219,090 | | | | | $ | —* | | |
Sovereign Bonds | | | | | 73,410,181 | | | | | | — | | | | | | 73,410,181 | | | | | | — | | |
Senior Loans | | | | | 58,391,193 | | | | | | — | | | | | | 44,331,738 | | | | | | 14,059,455 | | |
Asset-Backed Securities | | | | | 1,467,008 | | | | | | — | | | | | | 1,467,008 | | | | | | — | | |
Common Stocks: | | | | | | | | | | | | | | | | | | | | | | | | | |
Canada | | | | | 2,519,662 | | | | | | 1,007,821 | | | | | | 1,511,841 | | | | | | — | | |
Israel | | | | | 4,728,921 | | | | | | — | | | | | | 4,728,921 | | | | | | — | | |
United States | | | | | 71,187,756 | | | | | | 61,755,855 | | | | | | 5,659,956 | | | | | | 3,771,945 | | |
Preferred Stocks: | | | | | | | | | | | | | | | | | | | | | | | | | |
Bermuda | | | | | 1,994,843 | | | | | | 1,994,843 | | | | | | — | | | | | | — | | |
United States | | | | | 18,064,644 | | | | | | 17,105,144 | | | | | | 959,500 | | | | | | — | | |
Exchange Traded Fund (ETF) | | | | | 698,827 | | | | | | 698,827 | | | | | | — | | | | | | — | | |
Warrants: | | | | | | | | | | | | | | | | | | | | | | | | | |
Bermuda | | | | | 10,615 | | | | | | — | | | | | | 10,615 | | | | | | — | | |
Brazil | | | | | —* | | | | | | — | | | | | | — | | | | | | —* | | |
Israel | | | | | —* | | | | | | — | | | | | | — | | | | | | —* | | |
United States | | | | | 55,861 | | | | | | 55,861 | | | | | | — | | | | | | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 28,638,596 | | | | | | — | | | | | | 28,638,596 | | | | | | — | | |
Money Market Fund | | | | | 5,002,135 | | | | | | 5,002,135 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 797,389,332 | | | | | $ | 87,620,486 | | | | | $ | 691,937,446 | | | | | $ | 17,831,400** | | |
Other Financial Instruments – Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Options Contracts Written | | | | $ | (193,156) | | | | | $ | (193,156) | | | | | $ | — | | | | | $ | — | | |
Forward Foreign Currency Contracts | | | | | (313,659) | | | | | | — | | | | | | (313,659) | | | | | | — | | |
Securities Sold Short: | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | | | | (2,966,822) | | | | | | — | | | | | | (2,966,822) | | | | | | — | | |
Exchange Traded Fund (ETF) | | | | | (8,476,196) | | | | | | (8,476,196) | | | | | | — | | | | | | — | | |
Common Stocks | | | | | (783,757) | | | | | | (783,757) | | | | | | — | | | | | | — | | |
Total Other Financial Instruments – Liabilities | | | | $ | (12,733,590) | | | | | $ | (9,453,109) | | | | | $ | (3,280,481) | | | | | $ | — | | |
|
| | | Total Fair Value at August 31, 2021 | | | 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 | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Collateralized Mortgage Obligations | | | | $ | 273,527,829 | | | | | $ | — | | | | | $ | 273,527,829 | | | | | $ | — | | |
Asset-Backed Securities | | | | | 152,505,877 | | | | | | — | | | | | | 152,505,877 | | | | | | — | | |
Corporate Bonds & Notes | | | | | 96,454,450 | | | | | | — | | | | | | 96,454,450 | | | | | | — | | |
Common Stocks | | | | | 392,187,371 | | | | | | 392,187,371 | | | | | | — | | | | | | — | | |
Open-End Fund | | | | | 231,105,148 | | | | | | — | | | | | | 231,105,148 | | | | | | — | | |
Preferred Stocks | | | | | 19,933,560 | | | | | | 19,933,560 | | | | | | — | | | | | | — | | |
Closed-End Fund | | | | | 6,435,620 | | | | | | 6,435,620 | | | | | | — | | | | | | — | | |
Warrants: | | | | | 3,245,221 | | | | | | 3,245,221 | | | | | | — | | | | | | — | | |
Purchased Swaptions | | | | | 1,361,625 | | | | | | — | | | | | | 1,361,625 | | | | | | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 83,008,169 | | | | | | — | | | | | | 83,008,169 | | | | | | — | | |
Money Market Fund | | | | | 36,135,166 | | | | | | 36,135,166 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 1,295,900,036 | | | | | $ | 457,936,938 | | | | | $ | 837,963,098 | | | | | $ | — | | |
Other Financial Instruments – Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Credit Default Swaps | | | | $ | 9,106,966 | | | | | $ | — | | | | | $ | 9,106,966 | | | | | $ | — | | |
Total Other Financial Instruments – Assets | | | | $ | 9,106,966 | | | | | $ | — | | | | | $ | 9,106,966 | | | | | $ | — | | |
Other Financial Instruments – Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Credit Default Swaps | | | | $ | (78,345) | | | | | $ | — | | | | | $ | (78,345) | | | | | $ | — | | |
Swaption Contracts Written | | | | | (383,398) | | | | | | — | | | | | | (383,398) | | | | | | — | | |
Securities Sold Short: | | | | | | | | | | | | | | | | | | | | | | | | | |
Exchange Traded Fund (ETF) | | | | | (140,431,645) | | | | | | (140,431,645) | | | | | | — | | | | | | — | | |
Common Stocks | | | | | (304,857) | | | | | | (304,857) | | | | | | — | | | | | | — | | |
Total Other Financial Instruments – Liabilities | | | | $ | (141,198,245) | | | | | $ | (140,736,502) | | | | | $ | (461,743) | | | | | $ | — | | |
Destinations Municipal Fixed Income Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Municipal Bonds | | | | $ | 846,688,436 | | | | | $ | — | | | | | $ | 846,688,436 | | | | | $ | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Municipal Bonds | | | | | 28,507,224 | | | | | | — | | | | | | 28,507,224 | | | | | | — | | |
Time Deposits | | | | | 103,824,420 | | | | | | — | | | | | | 103,824,420 | | | | | | — | | |
Total Investments, at value | | | | $ | 979,020,080 | | | | | $ | — | | | | | $ | 979,020,080 | | | | | $ | — | | |
|
| | | Total | | | Common Stocks | | | Corporate Bonds & Notes | | | Preferred Stocks | | | Senior Loans | | | Warrants | | | Municipal Bonds | | |||||||||||||||||||||
Destinations Large Cap Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of February 28, 2021 | | | | $ | 43,495,464 | | | | | $ | 6,277,755 | | | | | $ | — | | | | | $ | 37,217,709 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Purchases | | | | | 4,243,755 | | | | | | 1,433,768 | | | | | | — | | | | | | 2,809,987 | | | | | | — | | | | | | — | | | | | | — | | |
(Sales/Paydowns) | | | | | (2,550,029) | | | | | | (832,143) | | | | | | — | | | | | | (1,717,886) | | | | | | — | | | | | | — | | | | | | — | | |
Total realized gain (loss) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Change in unrealized appreciation (depreciation) | | | | | 19,312,008 | | | | | | 790,200 | | | | | | — | | | | | | 18,521,808 | | | | | | — | | | | | | — | | | | | | — | | |
Transfers In | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | (926,563) | | | | | | — | | | | | | — | | | | | | (926,563) | | | | | | — | | | | | | — | | | | | | — | | |
Balance as of August 31, 2021 | | | | $ | 63,574,635 | | | | | $ | 7,669,580 | | | | | $ | — | | | | | $ | 55,905,055 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2021 | | | | $ | 22,682,227 | | | | | $ | 1,098,640 | | | | | $ | — | | | | | $ | 21,583,587 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Destinations International Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of February 28, 2021 | | | | $ | 1,907,550 | | | | | $ | 240,700 | | | | | $ | — | | | | | $ | 1,666,850 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Purchases | | | | | 1,634,012 | | | | | | 1,634,012 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
(Sales/Paydowns) | | | | | (793,594) | | | | | | — | | | | | | — | | | | | | (793,594) | | | | | | — | | | | | | — | | | | | | — | | |
Total realized gain (loss) | | | | | (215) | | | | | | (215) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Change in unrealized appreciation (depreciation) | | | | | (957,493) | | | | | | (84,237) | | | | | | — | | | | | | (873,256) | | | | | | — | | | | | | — | | | | | | — | | |
Transfers In | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Balance as of August 31, 2021 | | | | $ | 1,790,260 | | | | | $ | 1,790,260 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2021 | | | | $ | (957,493) | | | | | $ | (84,237) | | | | | $ | — | | | | | $ | (873,256) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Destinations Low Duration Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of February 28, 2021 | | | | $ | 15,677,082* | | | | | $ | 201,059 | | | | | $ | —* | | | | | $ | — | | | | | $ | 15,476,023 | | | | | $ | — | | | | | $ | — | | |
Purchases | | | | | 7,308,462 | | | | | | — | | | | | | 7,119,000 | | | | | | — | | | | | | 189,462 | | | | | | — | | | | | | — | | |
(Sales/Paydowns) | | | | | (9,909,497) | | | | | | (332,050) | | | | | | (7,119,000) | | | | | | — | | | | | | (2,458,447) | | | | | | — | | | | | | — | | |
Accrued Discounts (premiums) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total realized gain (loss) | | | | | (63,610) | | | | | | (63,610) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Change in unrealized appreciation (depreciation) | | | | | 194,601 | | | | | | 194,601 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers In | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Balance as of August 31, 2021 | | | | $ | 13,207,038 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 13,207,038 | | | | | $ | — | | | | | $ | — | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2021 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | | | | | | | | | | |
Destinations Global Fixed Income Opportunities Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of February 28, 2021 | | | | $ | 20,689,967* | | | | | $ | 3,686,882* | | | | | $ | 2,996* | | | | | $ | — | | | | | $ | 17,000,089* | | | | | $ | —* | | | | | $ | — | | |
Purchases | | | | | 17,230,812 | | | | | | 16,115,450 | | | | | | — | | | | | | — | | | | | | 1,115,362 | | | | | | — | | | | | | — | | |
| | | Total | | | Common Stocks | | | Corporate Bonds & Notes | | | Preferred Stocks | | | Senior Loans | | | Warrants | | | Municipal Bonds | | |||||||||||||||||||||
(Sales/Paydowns) | | | | | (20,803,365) | | | | | | (16,713,546) | | | | | | — | | | | | | — | | | | | | (4,089,819) | | | | | | — | | | | | | — | | |
Accrued Discounts (premiums) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total realized gain (loss) | | | | | (114,567) | | | | | | (114,567) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Change in unrealized appreciation (depreciation) | | | | | 2,868,782 | | | | | | 2,837,955 | | | | | | (2,996) | | | | | | — | | | | | | 33,823 | | | | | | — | | | | | | — | | |
Transfers In | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | (2,040,229) | | | | | | (2,040,229) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Balance as of August 31, 2021 | | | | $ | 17,831,400 | | | | | $ | 3,771,945 | | | | | $ | — | | | | | $ | — | | | | | $ | 14,059,455 | | | | | $ | —* | | | | | $ | — | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2021 | | | | $ | 1,872,350 | | | | | $ | 1,838,527 | | | | | $ | — | | | | | $ | — | | | | | $ | 33,823 | | | | | $ | — | | | | | $ | — | | |
Destinations Multi Strategy Alternatives Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of February 28, 2021 | | | | $ | 2,311,250 | | | | | $ | — | | | | | $ | — | | | | | $ | 2,311,250 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Purchases | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | |||||
(Sales/Paydowns) | | | | | (2,311,250) | | | | | | — | | | | | | — | | | | | | (2,311,250) | | | | | | — | | | | | | — | | | | | | — | | |
Accrued Discounts (premiums) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total realized gain (loss) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Change in unrealized appreciation (depreciation) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers In | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Balance as of August 31, 2021 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2021 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
| | | Fair Value at August 31, 2021 | | | Valuation Technique | | | Unobservable Input | | | Range | | | Impact | | |||
Destinations Large Cap Equity Fund | | | | | | | | | | | | | | | | | | | |
Preferred Stock-Private Equity | | | | $ | 55,905,055 | | | | Prior Transaction Analysis | | | Transaction Price | | | 0.06 – 369.79 | | | Increase | |
Common Stock-Private Equity | | | | $ | 7,669,580 | | | | Prior Transaction Analysis | | | Transaction Price | | | 7.05 – 885 | | | Increase | |
Total | | | | $ | 63,574,635 | | | | | | | | | | | | | | |
Detinations Low Duration Fixed Income Fund | | | | | | | | | | | | | | | | | | | |
Senior Loans | | | | $ | 13,207,038 | | | | Prior Transaction Analysis | | | Transaction Price | | | 99.94 – 100 | | | Increase | |
Total | | | | $ | 13,207,038 | | | | | | | | | | | | | | |
Destinations Global Fixed Income Opportunities Fund | | | | | | | | | | | | | | | | | | | |
Senior Loans | | | | $ | 14,059,455 | | | | Prior Transaction Analysis | | | Transaction Price | | | 100 | | | Increase | |
Common Stock | | | | $ | 3,771,945 | | | | Market Comparables | | | Enterprise Value/ EBITDA*** multiple | | | 3.6x | | | Increase | |
Total | | | | $ | 17,831,400 | | | | | | | | | | | | | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Asset derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts(a) | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 125,546 | | | | | $ | 125,546 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 125,546 | | | | | $ | 125,546 | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Realized gain/(loss) on derivatives recognized in income(b) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized gain (loss) on futures contracts | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 1,041,271 | | | | | $ | 1,041,271 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 1,041,271 | | | | | $ | 1,041,271 | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on futures contracts | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (50,014) | | | | | $ | (50,014) | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (50,014) | | | | | $ | (50,014) | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Asset derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on forward foreign currency contracts(d) | | | | $ | — | | | | | $ | 102,909 | | | | | $ | — | | | | | $ | — | | | | | $ | 102,909 | | |
| | | | $ | — | | | | | $ | 102,909 | | | | | $ | — | | | | | $ | — | | | | | $ | 102,909 | | |
Liability derivatives | | | | | | | | | | | | | | | | | | �� | | | | | | | | | | | | | |
Options contracts written outstanding(e) | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 535 | | | | | $ | 535 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 535 | | | | | $ | 535 | | |
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 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 68,475 | | | | | $ | 68,475 | | |
Net realized gain (loss) on forward foreign currency contracts | | | | | — | | | | | | 769,995 | | | | | | — | | | | | | — | | | | | | 769,995 | | |
| | | | $ | — | | | | | $ | 769,995 | | | | | $ | — | | | | | $ | 68,475 | | | | | $ | 838,470 | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on options contracts written | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 5,276 | | | | | $ | 5,276 | | |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | | | | | — | | | | | | (40,084) | | | | | | — | | | | | | — | | | | | | (40,084) | | |
| | | | $ | — | | | | | $ | (40,084) | | | | | $ | — | | | | | $ | 5,276 | | | | | $ | (34,808) | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Asset derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts(a) | | | | $ | 62,177 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 62,177 | | |
| | | | $ | 62,177 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 62,177 | | |
Liability derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on open futures contracts(a) | | | | $ | 199,603 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 199,603 | | |
| | | | $ | 199,603 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 199,603 | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Realized gain/(loss) on derivatives recognized in income(b) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized gain (loss) on futures contracts | | | | $ | (1,103,736) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (1,103,736) | | |
| | | | $ | (1,103,736) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (1,103,736) | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on futures contracts | | | | $ | (137,426) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (137,426) | | |
| | | | $ | (137,426) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (137,426) | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Asset derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on forward foreign currency contracts(d) | | | | $ | — | | | | | $ | 12,303 | | | | | $ | — | | | | | $ | — | | | | | $ | 12,303 | | |
| | | | $ | — | | | | | $ | 12,303 | | | | | $ | — | | | | | $ | — | | | | | $ | 12,303 | | |
Liability derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on forward foreign currency contracts(f) | | | | $ | — | | | | | $ | 317,969 | | | | | $ | — | | | | | $ | — | | | | | $ | 317,969 | | |
| | | | $ | — | | | | | $ | 317,969 | | | | | $ | — | | | | | $ | — | | | | | $ | 317,969 | | |
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 | | | | $ | — | | | | | $ | 1,631,677 | | | | | $ | — | | | | | $ | — | | | | | $ | 1,631,677 | | |
| | | | $ | — | | | | | $ | 1,631,677 | | | | | $ | — | | | | | $ | — | | | | | $ | 1,631,677 | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | | | | $ | — | | | | | $ | (565,774) | | | | | $ | — | | | | | $ | — | | | | | $ | (565,774) | | |
| | | | $ | — | | | | | $ | (565,774) | | | | | $ | — | | | | | $ | — | | | | | $ | (565,774) | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Liability derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Options contracts written outstanding(e) | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 193,156 | | | | | $ | 193,156 | | |
Unrealized depreciation on forward foreign currency contracts(f) | | | | | — | | | | | | 313,659 | | | | | | — | | | | | | — | | | | | | 313,659 | | |
| | | | $ | — | | | | | $ | 313,659 | | | | | $ | — | | | | | $ | 193,156 | | | | | $ | 506,815 | | |
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 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 434,377 | | | | | $ | 434,377 | | |
Net realized gain (loss) on forward foreign currency contracts | | | | | — | | | | | | 1,076,064 | | | | | | — | | | | | | — | | | | | | 1,076,064 | | |
| | | | $ | — | | | | | $ | 1,076,064 | | | | | $ | — | | | | | $ | 434,377 | | | | | $ | 1,510,441 | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on options contracts written | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (11,761) | | | | | $ | (11,761) | | |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | | | | | — | | | | | | (618,592) | | | | | | — | | | | | | — | | | | | | (618,592) | | |
| | | | $ | — | | | | | $ | (618,592) | | | | | $ | — | | | | | $ | (11,761) | | | | | $ | (630,353) | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Asset derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on swap contracts(g) | | | | $ | — | | | | | $ | — | | | | | $ | 9,106,966 | | | | | $ | — | | | | | $ | 9,106,966 | | |
Interest rate purchased swaption contracts(h) | | | | | 1,361,625 | | | | | | — | | | | | | — | | | | | | — | | | | | | 1,361,625 | | |
| | | | $ | 1,361,625 | | | | | $ | — | | | | | $ | 9,106,966 | | | | | $ | — | | | | | $ | 10,468,591 | | |
Liability derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on swap contracts(i) | | | | $ | — | | | | | $ | — | | | | | $ | 78,345 | | | | | $ | — | | | | | $ | 78,345 | | |
Interest rate swaptions contracts written outstanding(e) | | | | | 383,398 | | | | | | — | | | | | | — | | | | | | — | | | | | | 383,398 | | |
| | | | $ | 383,398 | | | | | $ | — | | | | | $ | 78,345 | | | | | $ | — | | | | | $ | 461,743 | | |
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 | | | | $ | — | | | | | $ | — | | | | | $ | 1,166,164 | | | | | $ | — | | | | | $ | 1,166,164 | | |
Net realized gain (loss) on options contracts purchased. | | | | | — | | | | | | — | | | | | | — | | | | | | 170,051 | | | | | | 170,051 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | 1,166,164 | | | | | $ | 170,051 | | | | | $ | 1,336,215 | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on options contracts written | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (383,398) | | | | | $ | (383,398) | | |
Net change in unrealized appreciation (depreciation) on options contract purchased | | | | | — | | | | | | — | | | | | | — | | | | | | 159,124 | | | | | | 159,124 | | |
Net change in unrealized appreciation (depreciation) on swap contracts | | | | | — | | | | | | — | | | | | | 2,523,153 | | | | | | — | | | | | | 2,523,153 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | 2,523,153 | | | | | $ | (224,274) | | | | | $ | 2,298,879 | | |
| | | Average notional amounts | | |||
Futures contracts | | | | $ | 5,202,579 | | |
| | | Average notional amounts | | |||
Option contracts written | | | | $ | 20,186 | | |
Forward foreign currency contracts | | | | | 22,438,915 | | |
| | | Average notional amounts | | |||
Futures contracts | | | | $ | 103,207,381 | | |
| | | Average notional amounts | | |||
Forward foreign currency contracts | | | | $ | 39,384,866 | | |
| | | Average notional amounts | | |||
Option contracts purchases | | | | $ | 26,440* | | |
Option contracts written | | | | | 142,542 | | |
Forward foreign currency contracts | | | | | 36,827,460 | | |
| | | Average notional amounts | | |||
Interest Rate Swaption contracts purchased | | | | $ | 1,424,445 | | |
Interest Rate Swaption contracts written | | | | | 522,644 | | |
Swap contracts | | | | | 190,000,000 | | |
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 | | | | $ | 3,402,516 | | | | | $ | — | | | | | $ | (3,402,516) | | | | | $ | — | | |
Destinations Small-Mid Cap Equity Fund | | | | | 64,337,273 | | | | | | — | | | | | | (64,337,273) | | | | | | — | | |
Destinations International Equity Fund | | | | | 88,780,529 | | | | | | — | | | | | | (88,780,529) | | | | | | — | | |
Destinations Equity Income Fund | | | | | 1,410,828 | | | | | | — | | | | | | (1,410,828) | | | | | | — | | |
Destinations Low Duration Fixed Income Fund | | | | | 20,532,955 | | | | | | — | | | | | | (20,532,955) | | | | | | — | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 3,316,514 | | | | | | — | | | | | | (3,316,514) | | | | | | — | | |
Destinations Multi Strategy Alternatives Fund | | | | | 36,042,139 | | | | | | — | | | | | | (36,042,139) | | | | | | — | | |
| | | Remaining Contractual Maturity of the Agreements As of August 31, 2021 | | |||||||||||||||||||||||||||
| | | Overnight and Continuous | | | < 30 days | | | Between 30 & 90 days | | | > 90 days | | | Total | | |||||||||||||||
Destinations Large Cap Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | | | $ | 3,548,291 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 3,548,291 | | |
Total Borrowings | | | | $ | 3,548,291 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 3,548,291 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 3,548,291 | | |
| | | Remaining Contractual Maturity of the Agreements As of August 31, 2021 | | |||||||||||||||||||||||||||
| | | Overnight and Continuous | | | < 30 days | | | Between 30 & 90 days | | | > 90 days | | | Total | | |||||||||||||||
Destinations Small-Mid Cap Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | | | $ | 65,638,512 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 65,638,512 | | |
Total Borrowings | | | | $ | 65,638,512 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 65,638,512 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 65,638,512 | | |
Destinations International Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | | | $ | 92,363,031 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 92,363,031 | | |
Total Borrowings | | | | $ | 92,363,031 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 92,363,031 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 92,363,031 | | |
Destinations Equity Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | | | $ | 1,441,800 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 1,441,800 | | |
Total Borrowings | | | | $ | 1,441,800 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 1,441,800 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 1,441,800 | | |
Destinations Low Duration Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | | | $ | 20,957,270 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 20,957,270 | | |
Total Borrowings | | | | $ | 20,957,270 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 20,957,270 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 20,957,270 | | |
Destinations Global Fixed Income Opportunities Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | | | $ | 5,002,134 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 5,002,134 | | |
Total Borrowings | | | | $ | 5,002,134 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 5,002,134 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 5,002,134 | | |
Destinations Multi Strategy Alternatives Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | | | $ | 36,135,166 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 36,135,166 | | |
Total Borrowings | | | | $ | 36,135,166 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 36,135,166 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 36,135,166 | | |
|
| | | Principal | | | Unfunded Bank Loan Interest (Cost) | | | Value of Underlying Bank Loan Interest (Value) | | | Unrealized Appreciation/ (Depreciation) | | ||||||||||||
Destinations Core Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Constant Contact, Inc. (wholly unfunded) | | | | $ | 26,470 | | | | | $ | 26,346 | | | | | $ | 26,338 | | | | | $ | (8) | | |
DG Investment Intermediate Holdings 2, Inc. (partially unfunded) | | | | | 6,186 | | | | | | 6,186 | | | | | | 6,179 | | | | | | (7) | | |
HighTower Holding, LLC (wholly unfunded) | | | | | 17,000 | | | | | | 16,871 | | | | | | 16,996 | | | | | | 125 | | |
Hillman Group, Inc., The (partially unfunded) | | | | | 6,211 | | | | | | 6,211 | | | | | | 6,173 | | | | | | (38) | | |
Southern Veterinary Partners, LLC (wholly unfunded) | | | | | 19,394 | | | | | | 19,225 | | | | | | 19,418 | | | | | | 193 | | |
Tricorbraun Holdings, Inc. (partially unfunded) | | | | | 11,706 | | | | | | 11,706 | | | | | | 11,591 | | | | | | (115) | | |
| | | | $ | 86,967 | | | | | $ | 86,545 | | | | | $ | 86,695 | | | | | $ | 150 | | |
| | | 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 | | | | $ | 102,909 | | | | | $ | — | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | | | $ | 102,909 | | | | | $ | — | | |
Destinations Low Duration Fixed Income Fund | | | | | | | | | | | | | |
Forward foreign currency contracts | | | | $ | 12,303 | | | | | $ | 317,969 | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | | | $ | 12,303 | | | | | $ | 317,969 | | |
Destinations Global Fixed Income Opportunities Fund: | | | | | | | | | | | | | |
Forward foreign currency contracts | | | | $ | — | | | | | $ | 313,659 | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | | | $ | — | | | | | $ | 313,659 | | |
Destinations Multi Strategy Alternatives Fund: | | | | | | | | | | | | | |
Swap contracts(b) | | | | $ | 9,106,966 | | | | | $ | 78,345 | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | | | $ | 9,106,966 | | | | | $ | 78,345 | | |
Counterparty | | | Gross amounts of Recognized Assets 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 | | | | | | | | | | | | | | | | | | | | | | | | | |
Citibank N.A. | | | | $ | 32,533 | | | | | $ | — | | | | | $ | — | | | | | $ | 32,533 | | |
HSBC Bank USA | | | | | 70,376 | | | | | | — | | | | | | — | | | | | | 70,376 | | |
Total Over-the-counter derivative instruments | | | | $ | 102,909 | | | | | $ | — | | | | | $ | — | | | | | $ | 102,909 | | |
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. | | | | $ | 12,303 | | | | | $ | (12,303) | | | | | $ | — | | | | | $ | — | | |
Total Over-the-counter derivative instruments | | | | $ | 12,303 | | | | | $ | (12,303) | | | | | $ | — | | | | | $ | — | | |
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. | | | | $ | 317,969 | | | | | $ | (12,303) | | | | | $ | — | | | | | $ | 305,666 | | |
Total Over-the-counter derivative instruments | | | | $ | 317,969 | | | | | $ | (12,303) | | | | | $ | — | | | | | $ | 305,666 | | |
Counterparty | | | Gross amounts of Recognized Assets 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. | | | | $ | 313,659 | | | | | $ | — | | | | | $ | — | | | | | $ | 313,659 | | |
Total Over-the-counter derivative instruments | | | | $ | 313,659 | | | | | $ | — | | | | | $ | — | | | | | $ | 313,659 | | |
Counterparty | | | Gross amounts of Recognized Liabilities 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 | | | | $ | 2,770,835 | | | | | $ | (78,345) | | | | | $ | — | | | | | $ | 2,692,490 | | |
Morgan Stanley Capital Services LLC | | | | | 6,336,131 | | | | | | — | | | | | | — | | | | | | 6,336,131 | | |
Total Over-the-counter derivative instruments | | | | $ | 9,106,966 | | | | | $ | (78,345) | | | | | $ | — | | | | | $ | 9,028,621 | | |
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 | | | | $ | 78,345 | | | | | $ | (78,345) | | | | | $ | — | | | | | $ | — | | |
Total Over-the-counter derivative instruments | | | | $ | 78,345 | | | | | $ | (78,345) | | | | | $ | — | | | | | $ | — | | |
Fund | | | Sub-advisory Fee | | | Brinker Capital Investments, LLC Fee | | | Maximum Allowable Annual Management Fee | | |||||||||
Destinations Large Cap Equity Fund | | | | | 0.20% | | | | | | 0.39% | | | | | | 0.75% | | |
Destinations Small-Mid Cap Equity Fund | | | | | 0.50% | | | | | | 0.39% | | | | | | 0.90% | | |
Destinations International Equity Fund | | | | | 0.56% | | | | | | 0.39% | | | | | | 1.00% | | |
Destinations Equity Income Fund | | | | | 0.29% | | | | | | 0.39% | | | | | | 0.80% | | |
Destinations Core Fixed Income Fund | | | | | 0.18% | | | | | | 0.39% | | | | | | 0.65% | | |
Destinations Low Duration Fixed Income Fund | | | | | 0.31% | | | | | | 0.39% | | | | | | 0.70% | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 0.35% | | | | | | 0.39% | | | | | | 0.85% | | |
Destinations Municipal Fixed Income Fund | | | | | 0.14% | | | | | | 0.39% | | | | | | 0.70% | | |
Destinations Multi Strategy Alternatives Fund | | | | | 0.52% | | | | | | 0.39% | | | | | | 1.35% | | |
Fund | | | | | | | |
Destinations Large Cap Equity Fund | | | | $ | 4,038,175 | | |
Destinations Small-Mid Cap Equity Fund | | | | | 89,776 | | |
Destinations International Equity Fund | | | | | 612,850 | | |
Destinations Equity Income Fund | | | | | 252,616 | | |
Destinations Core Fixed Income Fund | | | | | 915,174 | | |
Destinations Low Duration Fixed Income Fund | | | | | 2,781 | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 425,250 | | |
Destinations Municipal Fixed Income Fund | | | | | 778,724 | | |
Destinations Multi Strategy Alternatives Fund | | | | | 2,673,548 | | |
Fund | | | Purchases | | | Sales | | | Realized Gain/(Loss) | | |||||||||
Destinations Large Cap Equity Fund | | | | $ | 1,004,352 | | | | | $ | 93,036,565 | | | | | $ | 38,183,192 | | |
| | | Sub-Transfer Agent Fees | | |||
Fund | | | Class I | | |||
Destinations Large Cap Equity Fund | | | | $ | 3,543,074 | | |
Destinations Small-Mid Cap Equity Fund | | | | | 913,309 | | |
Destinations International Equity Fund | | | | | 1,848,925 | | |
Destinations Equity Income Fund | | | | | 304,494 | | |
Destinations Core Fixed Income Fund | | | | | 1,556,062 | | |
Destinations Low Duration Fixed Income Fund | | | | | 346,737 | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 546,808 | | |
Destinations Municipal Fixed Income Fund | | | | | 677,995 | | |
Destinations Multi Strategy Alternatives Fund | | | | | 861,215 | | |
| | | Investments | | | U.S. Government & Agency Obligations | | ||||||||||||||||||
Fund | | | Purchases | | | Sales | | | Purchases | | | Sales | | ||||||||||||
Destinations Large Cap Equity Fund | | | | $ | 2,274,121,781 | | | | | $ | 2,422,487,750 | | | | | $ | — | | | | | $ | — | | |
Destinations Small-Mid Cap Equity Fund | | | | | 735,982,100 | | | | | | 743,538,222 | | | | | | — | | | | | | — | | |
Destinations International Equity Fund | | | | | 577,628,161 | | | | | | 384,095,942 | | | | | | — | | | | | | — | | |
Destinations Equity Income Fund | | | | | 81,111,902 | | | | | | 88,090,924 | | | | | | — | | | | | | — | | |
Destinations Core Fixed Income Fund | | | | | 2,881,460,380 | | | | | | 2,673,566,435 | | | | | | 2,479,040,785 | | | | | | 2,398,519,728 | | |
Destinations Low Duration Fixed Income Fund | | | | | 367,709,490 | | | | | | 263,485,298 | | | | | | 5,942,124 | | | | | | 11,677,038 | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 413,602,479 | | | | | | 360,849,842 | | | | | | — | | | | | | — | | |
Destinations Municipal Fixed Income Fund | | | | | 231,198,523 | | | | | | 178,580,025 | | | | | | — | | | | | | — | | |
Destinations Multi Strategy Alternatives Fund | | | | | 524,845,472 | | | | | | 377,162,114 | | | | | | — | | | | | | — | | |
| | | Investments | | | U.S. Government & Agency Obligations | | ||||||||||||||||||
Fund | | | Securities Sold Short | | | Covers on Securities Sold Short | | | Securities Sold Short | | | Covers on Securities Sold Short | | ||||||||||||
Destinations Large Cap Equity Fund | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Destinations Small-Mid Cap Equity Fund | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Destinations International Equity Fund | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Destinations Equity Income Fund | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Destinations Core Fixed Income Fund | | | | | 116,256,304 | | | | | | 130,537,079 | | | | | | 116,256,304 | | | | | | 130,537,079 | | |
Destinations Low Duration Fixed Income Fund | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
| | | Investments | | | U.S. Government & Agency Obligations | | ||||||||||||||||||
Fund | | | Securities Sold Short | | | Covers on Securities Sold Short | | | Securities Sold Short | | | Covers on Securities Sold Short | | ||||||||||||
Destinations Global Fixed Income Opportunities Fund | | | | | 4,320,957 | | | | | | 18,530,896 | | | | | | — | | | | | | — | | |
Destinations Municipal Fixed Income Fund | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Destinations Multi Strategy Alternatives Fund | | | | | 94,623,580 | | | | | | 69,643,207 | | | | | | — | | | | | | — | | |
Fund | | | Aggregate Cost For Federal Income Tax Purposes | | | Gross Unrealized Appreciation | | | Gross Unrealized (Depreciation) | | | Net Unrealized Appreciation (Depreciation) | | ||||||||||||
Destinations Large Cap Equity Fund | | | | $ | 3,555,677,145 | | | | | $ | 1,832,160,667 | | | | | $ | (43,053,118) | | | | | $ | 1,789,107,549 | | |
Destinations Small-Mid Cap Equity Fund | | | | | 1,105,418,234 | | | | | | 342,018,291 | | | | | | (27,475,183) | | | | | | 314,543,108 | | |
Destinations International Equity Fund | | | | | 2,062,620,330 | | | | | | 912,639,542 | | | | | | (62,947,790) | | | | | | 849,691,752 | | |
Destinations Equity Income Fund | | | | | 369,659,881 | | | | | | 79,277,927 | | | | | | (10,046,206) | | | | | | 69,231,721 | | |
Destinations Core Fixed Income Fund | | | | | 2,488,595,794 | | | | | | 31,002,861 | | | | | | (29,620,910) | | | | | | 1,381,951 | | |
Destinations Low Duration Fixed Income Fund | | | | | 618,043,716 | | | | | | 13,087,094 | | | | | | (6,015,610) | | | | | | 7,071,484 | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 778,489,117 | | | | | | 21,857,201 | | | | | | (15,690,576) | | | | | | 6,166,625 | | |
Destinations Municipal Fixed Income Fund | | | | | 944,574,845 | | | | | | 35,575,018 | | | | | | (1,129,783) | | | | | | 34,445,235 | | |
Destinations Multi Strategy Alternatives Fund | | | | | 1,101,248,647 | | | | | | 86,296,858 | | | | | | (23,736,748) | | | | | | 62,560,110 | | |
| | | Period ended August 31, 2021 | | | Period ended August 31, 2021 | | | Year ended February 28, 2021 | | | Year ended February 28, 2021 | | ||||||||||||||||||||||||||||||||||||
| | | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | | ||||||||||||||||||||||||
| | | Class I | | | Class Z | | | Class I | | | Class Z | | ||||||||||||||||||||||||||||||||||||
Destinations Large Cap Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 21,346,452 | | | | | $ | 366,405,779 | | | | | | 11,471,360 | | | | | $ | 159,691,961 | | | | | | 52,435,357 | | | | | $ | 684,494,010 | | | | | | 8,388,832 | | | | | $ | 90,160,931 | | |
Shares issued on reinvestment | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 5,697,153 | | | | | | — | | | | | | 551,947 | | | | | | — | | |
Shares repurchased | | | | | (38,289,160) | | | | | | (660,758,898) | | | | | | (3,462,599) | | | | | | (48,746,345) | | | | | | (84,637,430) | | | | | | (1,146,597,874) | | | | | | (7,563,919) | | | | | | (81,513,637) | | |
Net Increase | | | | | (16,942,708) | | | | | $ | (294,353,119) | | | | | | 8,008,761 | | | | | $ | 110,945,616 | | | | | | (26,504,920) | | | | | $ | (462,103,864) | | | | | | 1,376,860 | | | | | $ | 8,647,294 | | |
Destinations Small-Mid Cap Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 6,795,343 | | | | | $ | 117,304,556 | | | | | | 3,426,803 | | | | | $ | 47,492,967 | | | | | | 10,424,629 | | | | | $ | 124,974,104 | | | | | | 2,063,195 | | | | | $ | 19,907,864 | | |
Shares issued on reinvestment | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 1,560,603 | | | | | | 22,394,639 | | | | | | 151,339 | | | | | | 1,740,399 | | |
Shares repurchased | | | | | (8,535,824) | | | | | | (147,808,313) | | | | | | (746,877) | | | | | | (10,403,525) | | | | | | (22,456,528) | | | | | | (274,215,231) | | | | | | (1,839,951) | | | | | | (17,853,191) | | |
Net Increase | | | | | (1,740,481) | | | | | $ | (30,503,757) | | | | | | 2,679,926 | | | | | $ | 37,089,442 | | | | | | (10,471,296) | | | | | $ | (126,846,488) | | | | | | 374,583 | | | | | $ | 3,795,072 | | |
Destinations International Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 21,538,287 | | | | | $ | 334,728,675 | | | | | | 7,024,324 | | | | | $ | 95,529,206 | | | | | | 27,801,118 | | | | | $ | 366,061,881 | | | | | | 4,283,792 | | | | | $ | 48,789,282 | | |
Shares issued on reinvestment | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 44,958 | | | | | | 659,536 | | | | | | 17,737 | | | | | | 226,851 | | |
Shares repurchased | | | | | (12,712,088) | | | | | | (197,640,700) | | | | | | (1,177,497) | | | | | | (16,040,657) | | | | | | (43,148,172) | | | | | | (509,687,356) | | | | | | (3,389,599) | | | | | | (35,303,264) | | |
Net Increase | | | | | 8,826,199 | | | | | $ | 137,087,975 | | | | | | 5,846,827 | | | | | $ | 79,488,549 | | | | | | (15,302,096) | | | | | $ | (142,965,939) | | | | | | 911,930 | | | | | $ | 13,712,869 | | |
Destinations Equity Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 2,403,841 | | | | | $ | 27,131,800 | | | | | | 1,083,411 | | | | | $ | 12,009,327 | | | | | | 4,512,876 | | | | | $ | 42,296,205 | | | | | | 1,013,696 | | | | | $ | 9,176,726 | | |
Shares issued on reinvestment | | | | | 402,330 | | | | | | 4,519,885 | | | | | | 33,548 | | | | | | 365,675 | | | | | | 1,790,430 | | | | | | 16,937,229 | | | | | | 103,692 | | | | | | 953,306 | | |
Shares repurchased | | | | | (4,477,698) | | | | | | (50,820,560) | | | | | | (396,046) | | | | | | (4,350,088) | | | | | | (15,094,775) | | | | | | (137,678,016) | | | | | | (934,096) | | | | | | (8,307,893) | | |
Net Increase | | | | | (1,671,527) | | | | | $ | (19,168,875) | | | | | | 720,913 | | | | | $ | 8,024,914 | | | | | | (8,791,469) | | | | | $ | (78,444,582) | | | | | | 183,292 | | | | | $ | 1,822,139 | | |
Destinations Core Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 14,595,538 | | | | | $ | 148,437,659 | | | | | | 6,755,589 | | | | | $ | 70,489,659 | | | | | | 55,084,785 | | | | | $ | 566,944,532 | | | | | | 5,222,974 | | | | | $ | 55,197,432 | | |
Shares issued on reinvestment | | | | | 1,179,929 | | | | | | 12,014,571 | | | | | | 93,947 | | | | | | 983,091 | | | | | | 4,374,396 | | | | | | 45,153,843 | | | | | | 232,113 | | | | | | 2,458,341 | | |
Shares repurchased | | | | | (18,272,732) | | | | | | (185,670,272) | | | | | | (1,386,046) | | | | | | (14,522,841) | | | | | | (37,377,623) | | | | | | (384,588,684) | | | | | | (3,098,501) | | | | | | (32,672,496) | | |
Net Increase | | | | | (2,497,265) | | | | | $ | (25,218,042) | | | | | | 5,463,490 | | | | | $ | 56,949,909 | | | | | | 22,081,558 | | | | | $ | 227,509,691 | | | | | | 2,356,586 | | | | | $ | 24,983,277 | | |
Destinations Low Duration Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 13,710,515 | | | | | $ | 133,562,357 | | | | | | 2,093,834 | | | | | $ | 20,835,489 | | | | | | 18,171,975 | | | | | $ | 171,086,753 | | | | | | 1,237,743 | | | | | $ | 11,930,570 | | |
Shares issued on reinvestment | | | | | 671,428 | | | | | | 6,535,162 | | | | | | 44,796 | | | | | | 445,192 | | | | | | 1,311,218 | | | | | | 12,349,552 | | | | | | 61,385 | | | | | | 590,193 | | |
Shares repurchased | | | | | (4,273,626) | | | | | | (41,634,441) | | | | | | (301,307) | | | | | | (2,995,971) | | | | | | (9,356,530) | | | | | | (88,084,770) | | | | | | (520,775) | | | | | | (5,004,378) | | |
Net Increase | | | | | 10,108,317 | | | | | $ | 98,463,078 | | | | | | 1,837,323 | | | | | $ | 18,284,710 | | | | | | 10,126,663 | | | | | $ | 95,351,535 | | | | | | 778,353 | | | | | $ | 7,516,385 | | |
Destinations Global Fixed Income Opportunities Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 6,572,315 | | | | | $ | 66,008,978 | | | | | | 2,553,030 | | | | | $ | 26,086,954 | | | | | | 17,769,711 | | | | | $ | 167,996,725 | | | | | | 1,728,722 | | | | | $ | 16,710,837 | | |
Shares issued on reinvestment | | | | | 1,158,747 | | | | | | 11,617,624 | | | | | | 82,507 | | | | | | 841,559 | | | | | | 2,961,429 | | | | | | 28,132,491 | | | | | | 144,921 | | | | | | 1,401,780 | | |
Shares repurchased | | | | | (6,509,648) | | | | | | (65,348,541) | | | | | | (514,121) | | | | | | (5,250,673) | | | | | | (23,756,259) | | | | | | (224,106,513) | | | | | | (1,359,298) | | | | | | (12,985,085) | | |
Net Increase | | | | | 1,221,414 | | | | | $ | 12,278,061 | | | | | | 2,121,416 | | | | | $ | 21,677,840 | | | | | | (3,025,119) | | | | | $ | (27,977,297) | | | | | | 514,345 | | | | | $ | 5,127,532 | | |
Destinations Municipal Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 7,689,193 | | | | | $ | 80,534,879 | | | | | | 2,048,802 | | | | | $ | 21,519,534 | | | | | | 17,585,113 | | | | | $ | 183,253,561 | | | | | | 1,416,158 | | | | | $ | 14,800,618 | | |
Shares issued on reinvestment | | | | | 515,093 | | | | | | 5,391,626 | | | | | | 22,224 | | | | | | 233,367 | | | | | | 1,775,709 | | | | | | 18,578,076 | | | | | | 45,694 | | | | | | 479,548 | | |
Shares repurchased | | | | | (6,576,915) | | | | | | (68,839,744) | | | | | | (479,637) | | | | | | (5,040,846) | | | | | | (16,956,969) | | | | | | (176,085,321) | | | | | | (716,487) | | | | | | (7,453,789) | | |
Net Increase | | | | | 1,627,371 | | | | | $ | 17,086,761 | | | | | | 1,591,389 | | | | | $ | 16,712,055 | | | | | | 2,403,853 | | | | | $ | 25,746,316 | | | | | | 745,365 | | | | | $ | 7,826,377 | | |
Destinations Multi Strategy Alternatives Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 12,248,270 | | | | | $ | 131,108,360 | | | | | | 3,964,552 | | | | | $ | 41,470,625 | | | | | | 28,726,572 | | | | | $ | 281,655,300 | | | | | | 2,660,566 | | | | | $ | 25,454,430 | | |
Shares issued on reinvestment | | | | | 343,076 | | | | | | 3,664,824 | | | | | | 29,721 | | | | | | 310,048 | | | | | | 1,497,504 | | | | | | 14,207,121 | | | | | | 81,832 | | | | | | 760,344 | | |
Shares repurchased | | | | | (8,824,059) | | | | | | (94,430,726) | | | | | | (680,766) | | | | | | (7,111,219) | | | | | | (17,826,528) | | | | | | (169,315,819) | | | | | | (1,274,919) | | | | | | (11,887,150) | | |
Net Increase | | | | | 3,767,287 | | | | | $ | 40,342,458 | | | | | | 3,313,507 | | | | | $ | 34,669,454 | | | | | | 12,397,548 | | | | | $ | 126,546,602 | | | | | | 1,467,479 | | | | | $ | 14,327,624 | | |
(Unaudited)
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* | | |||||||||||||||
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. | |
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. | |
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 | |
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 | | | Lifestar Holdings (Formerly Global Capital PLC a 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., Templeton Global Growth Fund Ltd Australia), Franklin Liberty Shares ICAV (Ireland), Franklin Emerging Markets Debt Fund PLC (Ireland), Franklin Floating Rate Fund PLC (Ireland) | |
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 Troutman Pepper Hamilton LLP (law firm) since 1998. | | | 10 | | | Lifestar Holdings (Formerly Global Capital PLC a Malta Public Company). | |
Noreen D. Beaman Brinker Capital Investments, LLC 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1964 | | | Chair of the Board of Trustees 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. President of Brinker Capital Holdings, LLC since 2020. President and CEO of Brinker Capital Securities, LLC since 2020. President of Orion Advisor Solutions, Inc. since 2021 (EVP in 2020). President of Orion Advisor Technology, LLC since 2021 (EVP in 2020). President of Orion Portfolio Solutions, LLC since 2021. | | | 10 | | | MMI Executive Committee since 2021; MMI Board of Governors (2020-2021), MMI Leadership Pathway (2016 to 2020), Envestnet Institute Women In Wealth (2017 to 2020); St. Peter’s University Board of Trustees and Chair of Investment Committee of St. Peter’s University since 2021; 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* | | | | | | | | | | |
Kevin Fustos Brinker Capital Investments, LLC 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1970 | | | Chief Financial Officer & Treasurer | | | Since December 2020 | | | Vice President of Financial Planning and Analysis, Orion Advisor Solutions, since 2016; Omaha Public Power District from 2004 to 2016. | |
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. | |
Amy Magnotta, CFA Brinker Capital Investments, LLC 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1978 | | | Investment Officer | | | Since January 2017 | | | Head of Discretionary Portfolios at Brinker Capital Investments, LLC since 2021; Co-Head of Discretionary Portfolios at Brinker Capital Investments, LLC in 2020; Senior Vice President and Head of Discretionary Portfolios of Brinker Capital Investments, LLC from 2017 to 2020; Senior Investment Manager of Brinker Capital Investments, LLC from 2008 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 | |
Leigh Lowman, CFA Brinker Capital Investments, LLC 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1982 | | | Investment Officer | | | Since January 2017 | | | Senior Portfolio Manager of Brinker Capital Investments, LLC since 2021; Investment Manager of Brinker Capital Investments, LLC from 2017 to 2020; 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 Portfolio Manager of Brinker Capital Investments, LLC since 2020; Senior Vice President and Head of Platform Manager Research of Brinker Capital Investments, LLC from 2017 to 2020; 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 | | | Chief Investment Officer of Brinker Capital Investments, LLC since 2020; Senior Vice President and Global Investment Strategist of Brinker Capital Investments, LLC from 2017 to 2020; Co-Head US Sub Advisory of Pictet Asset Management in 2016; Portfolio Manager and Partner of TAMRO Capital Partners from 2005 to 2016. | |
Grant Engelbart, CFA, CAIA Brinker Capital Investments, LLC 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1987 | | | Investment Officer | | | Since March 2021 | | | Senior Portfolio Manager at Brinker Capital Investments, LLC since 2021; Senior Portfolio Manager and Director of Research at CLS Investments, LLC from 2018 to 2021; Portfolio manager at CLS Investments, LLC from 2013 to 2018. | |
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
1835 Market Street, 3rd Floor
Philadelphia, PA 19103
www.bbdcpa.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)(2) | Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)) are attached hereto. |
(b) | Certifications pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Brinker Capital Destinations Trust
| |
By: | /s/ Jason B. Moore |
Jason B. Moore | |
President | |
Date: | November 2, 2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ Jason B. Moore |
Jason B. Moore | |
President | |
Date: | November 2, 2021 |
By: | /s/ Kevin Fustos |
Kevin Fustos | |
Chief Financial Officer and Treasurer | |
Date: | November 2, 2021 |