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:
February 28, 2019
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking rules.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under clearance requirements of 44 U.S.C. § 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
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President, Brinker Capital Destinations Trust
April 29, 2019
President, Brinker Capital Destinations Trust
April 29, 2019
| | | YTD | | | 1 Year | | | Since Inception (3/20/2017) | | |||||||||
Destinations Large Cap Equity Fund | | | | | 12.62% | | | | | | 2.73% | | | | | | 10.28% | | |
Russell 1000 Index | | | | | 12.05% | | | | | | 4.97% | | | | | | 10.56% | | |
| | | YTD | | | 1 Year | | | Since Inception (3/20/2017) | | |||||||||
Destinations Small-Mid Cap Equity Fund | | | | | 16.36% | | | | | | 9.02% | | | | | | 10.14% | | |
Russell Midcap Index | | | | | 15.55% | | | | | | 5.61% | | | | | | 9.07% | | |
Russell 2000 Index | | | | | 17.03% | | | | | | 5.56% | | | | | | 8.26% | | |
| | | YTD | | | 1 Year | | | Since Inception (3/20/2017) | | |||||||||
Destinations International Equity Fund | | | | | 10.14% | | | | | | -5.71% | | | | | | 5.47% | | |
MSCI AC World ex USA Index | | | | | 9.69% | | | | | | -5.98% | | | | | | 5.86% | | |
| | | YTD | | | 1 Year | | | Since Inception (3/20/2017) | | |||||||||
Destinations Equity Income Fund | | | | | 8.97% | | | | | | 7.52% | | | | | | 6.05% | | |
S&P 500 Index | | | | | 11.48% | | | | | | 4.66% | | | | | | 10.55% | | |
| | | YTD | | | 1 Year | | | Since Inception (3/20/2017) | | |||||||||
Destinations Real Assets Fund | | | | | 11.05% | | | | | | -27.95% | | | | | | -18.92% | | |
MSCI World Index | | | | | 11.11% | | | | | | 1.00% | | | | | | 8.65% | | |
| | | YTD | | | 1 Year | | | Since Inception (3/20/2017) | | |||||||||
Destinations Core Fixed Income Fund | | | | | 1.00% | | | | | | 2.77% | | | | | | 1.58% | | |
Bloomberg Barclays US Aggregate Index | | | | | 1.00% | | | | | | 3.16% | | | | | | 2.24% | | |
| | | YTD | | | 1 Year | | | Since Inception (3/20/2017) | | |||||||||
Destinations Low Duration Fixed Income Fund | | | | | 1.24% | | | | | | 2.79% | | | | | | 2.20% | | |
ICE BofAML US Treasury 1-3 Year Index | | | | | 0.37% | | | | | | 2.28% | | | | | | 1.17% | | |
| | | YTD | | | 1 Year | | | Since Inception (3/20/2017) | | |||||||||
Destinations Global Fixed Income Opportunities Fund | | | | | 2.33% | | | | | | 2.20% | | | | | | 2.83% | | |
Bloomberg Barclays US Universal Index | | | | | 1.49% | | | | | | 3.18% | | | | | | 2.48% | | |
| | | YTD | | | 1 Year | | | Since Inception (3/20/2017) | | |||||||||
Destinations Municipal Fixed Income Fund | | | | | 1.18% | | | | | | 3.30% | | | | | | 1.60% | | |
ICE BofAML US Municipal Securities 1-10 Yr Index | | | | | 1.32% | | | | | | 3.61% | | | | | | 2.53% | | |
| | | YTD | | | 1 Year | | | Since Inception (3/20/2017) | | |||||||||
Destinations Multi Strategy Alternatives Fund | | | | | 5.97% | | | | | | 1.10% | | | | | | 2.57% | | |
HFRX Global Hedge Fund Index | | | | | 2.77% | | | | | | -4.09% | | | | | | -0.03% | | |
Fund | | | Total Return(2) | | | Beginning Account Value | | | Ending Account Value | | | Annualized Expense Ratios(3) | | | Expense Paid During the Period(4) | | |||||||||||||||
Destinations Large Cap Equity Fund – Class I | | | | | (3.44)% | | | | | $ | 1,000.00 | | | | | $ | 965.57 | | | | | | 0.83% | | | | | $ | 4.05 | | |
Destinations Large Cap Equity Fund – Class Z | | | | | (3.54)% | | | | | | 1,000.00 | | | | | | 964.58 | | | | | | 0.68% | | | | | | 3.31 | | |
Destinations Small-Mid Cap Equity Fund – Class I | | | | | (6.19)% | | | | | | 1,000.00 | | | | | | 938.10 | | | | | | 1.03% | | | | | | 4.95 | | |
Destinations Small-Mid Cap Equity Fund – Class Z | | | | | (6.12)% | | | | | | 1,000.00 | | | | | | 938.83 | | | | | | 0.88% | | | | | | 4.23 | | |
Destinations International Equity Fund – Class I | | | | | (3.57)% | | | | | | 1,000.00 | | | | | | 964.33 | | | | | | 1.16% | | | | | | 5.65 | | |
Destinations International Equity Fund – Class Z | | | | | (3.43)% | | | | | | 1,000.00 | | | | | | 965.72 | | | | | | 1.01% | | | | | | 4.92 | | |
Destinations Equity Income Fund – Class I | | | | | 2.61% | | | | | | 1,000.00 | | | | | | 1,026.11 | | | | | | 0.85% | | | | | | 4.27 | | |
Destinations Equity Income Fund – Class Z | | | | | 2.56% | | | | | | 1,000.00 | | | | | | 1,025.62 | | | | | | 0.70% | | | | | | 3.52 | | |
Destinations Real Assets Fund – Class I | | | | | (30.07)% | | | | | | 1,000.00 | | | | | | 699.34 | | | | | | 1.19% | | | | | | 5.01 | | |
Destinations Real Assets Fund – Class Z | | | | | (30.03)% | | | | | | 1,000.00 | | | | | | 699.71 | | | | | | 1.04% | | | | | | 4.38 | | |
Destinations Core Fixed Income Fund – Class I | | | | | 1.86% | | | | | | 1,000.00 | | | | | | 1,018.61 | | | | | | 0.80% | | | | | | 4.00 | | |
Destinations Core Fixed Income Fund – Class Z | | | | | 1.99% | | | | | | 1,000.00 | | | | | | 1,019.89 | | | | | | 0.65% | | | | | | 3.26 | | |
Destinations Low Duration Fixed Income Fund – Class I | | | | | 1.27% | | | | | | 1,000.00 | | | | | | 1,012.67 | | | | | | 0.92% | | | | | | 4.59 | | |
Destinations Low Duration Fixed Income Fund – Class Z | | | | | 1.31% | | | | | | 1,000.00 | | | | | | 1,013.10 | | | | | | 0.77% | | | | | | 3.84 | | |
Destinations Global Fixed Income Opportunities Fund – Class I | | | | | 1.16% | | | | | | 1,000.00 | | | | | | 1,011.59 | | | | | | 0.97% | | | | | | 4.84 | | |
Destinations Global Fixed Income Opportunities Fund – Class Z | | | | | 1.31% | | | | | | 1,000.00 | | | | | | 1,013.14 | | | | | | 0.82% | | | | | | 4.09 | | |
Destinations Municipal Fixed Income Fund – Class I | | | | | 2.25% | | | | | | 1,000.00 | | | | | | 1,022.49 | | | | | | 0.80% | | | | | | 4.01 | | |
Destinations Municipal Fixed Income Fund – Class Z | | | | | 2.32% | | | | | | 1,000.00 | | | | | | 1,023.16 | | | | | | 0.65% | | | | | | 3.26 | | |
Destinations Multi Strategy Alternatives Fund – Class I | | | | | (0.87)% | | | | | | 1,000.00 | | | | | | 991.30 | | | | | | 1.12% | | | | | | 5.53 | | |
Destinations Multi Strategy Alternatives Fund – Class Z | | | | | (0.80)% | | | | | | 1,000.00 | | | | | | 991.98 | | | | | | 0.97% | | | | | | 4.79 | | |
Fund | | | Hypothethical Annualized Total Return | | | Beginning Account Value | | | Ending Account Value | | | Annualized Expense Ratios(2) | | | Expense Paid During the Period(3) | | |||||||||||||||
Destinations Large Cap Equity Fund – Class I | | | | | 5.00% | | | | | $ | 1,000.00 | | | | | $ | 1,020.68 | | | | | | 0.83% | | | | | $ | 4.16 | | |
Destinations Large Cap Equity Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,021.42 | | | | | | 0.68% | | | | | | 3.41 | | |
Destinations Small-Mid Cap Equity Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,019.69 | | | | | | 1.03% | | | | | | 5.16 | | |
Destinations Small-Mid Cap Equity Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.43 | | | | | | 0.88% | | | | | | 4.41 | | |
Destinations International Equity Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,019.04 | | | | | | 1.16% | | | | | | 5.81 | | |
Destinations International Equity Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,019.79 | | | | | | 1.01% | | | | | | 5.06 | | |
Destinations Equity Income Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.58 | | | | | | 0.85% | | | | | | 4.26 | | |
Destinations Equity Income Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,021.32 | | | | | | 0.70% | | | | | | 3.51 | | |
Destinations Real Assets Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,018.89 | | | | | | 1.19% | | | | | | 5.96 | | |
Destinations Real Assets Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,019.64 | | | | | | 1.04% | | | | | | 5.21 | | |
Destinations Core Fixed Income Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.83 | | | | | | 0.80% | | | | | | 4.01 | | |
Destinations Core Fixed Income Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,021.57 | | | | | | 0.65% | | | | | | 3.26 | | |
Destinations Low Duration Fixed Income Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.23 | | | | | | 0.92% | | | | | | 4.61 | | |
Destinations Low Duration Fixed Income Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.98 | | | | | | 0.77% | | | | | | 3.86 | | |
Destinations Global Fixed Income Opportunities Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,019.98 | | | | | | 0.97% | | | | | | 4.86 | | |
Destinations Global Fixed Income Opportunities Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.73 | | | | | | 0.82% | | | | | | 4.11 | | |
Destinations Municipal Fixed Income Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.83 | | | | | | 0.80% | | | | | | 4.01 | | |
Destinations Municipal Fixed Income Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,021.57 | | | | | | 0.65% | | | | | | 3.26 | | |
Destinations Multi Strategy Alternatives Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,019.24 | | | | | | 1.12% | | | | | | 5.61 | | |
Destinations Multi Strategy Alternatives Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,019.98 | | | | | | 0.97% | | | | | | 4.86 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 96.9% | | ||||||||||||
| BASIC MATERIALS – 1.7% | | ||||||||||||
| Chemicals – 1.5% | | ||||||||||||
| | | 7,435 | | | | Air Products & Chemicals Inc. | | | | $ | 1,347,073 | | |
| | | 3,526 | | | | Albemarle Corp. | | | | | 321,889 | | |
| | | 4,571 | | | | Celanese Corp., Class A Shares | | | | | 467,568 | | |
| | | 7,743 | | | | CF Industries Holdings Inc. | | | | | 326,754 | | |
| | | 673,161 | | | | DowDuPont Inc. | | | | | 35,832,360 | | |
| | | 45,215 | | | | Eastman Chemical Co. | | | | | 3,738,828 | | |
| | | 4,543 | | | | FMC Corp. | | | | | 406,598 | | |
| | | 3,470 | | | | International Flavors & Fragrances Inc. | | | | | 442,425 | | |
| | | 18,665 | | | | Linde PLC | | | | | 3,233,525 | | |
| | | 10,602 | | | | LyondellBasell Industries NV, Class A Shares | | | | | 906,683 | | |
| | | 12,006 | | | | Mosaic Co. | | | | | 375,428 | | |
| | | 8,083 | | | | PPG Industries Inc. | | | | | 905,054 | | |
| | | 2,793 | | | | Sherwin-Williams Co. | | | | | 1,209,928 | | |
| | | | | | | Total Chemicals | | | | | 49,514,113 | | |
| Forest Products & Paper – 0.0% | | ||||||||||||
| | | 13,543 | | | | International Paper Co. | | | | | 620,540 | | |
| Iron/Steel – 0.0% | | ||||||||||||
| | | 10,841 | | | | Nucor Corp. | | | | | 656,639 | | |
| Mining – 0.2% | | ||||||||||||
| | | 624,282 | | | | Freeport-McMoRan Inc. | | | | | 8,053,238 | | |
| | | 17,758 | | | | Newmont Mining Corp. | | | | | 605,903 | | |
| | | | | | | Total Mining | | | | | 8,659,141 | | |
| | | | | | | TOTAL BASIC MATERIALS | | | | | 59,450,433 | | |
| COMMUNICATIONS – 16.6% | | ||||||||||||
| Advertising – 0.0% | | ||||||||||||
| | | 12,790 | | | | Interpublic Group of Cos., Inc. | | | | | 294,554 | | |
| | | 7,697 | | | | Omnicom Group Inc. | | | | | 582,663 | | |
| | | | | | | Total Advertising | | | | | 877,217 | | |
| Internet – 11.3% | | ||||||||||||
| | | 218,288 | | | | Alibaba Group Holding Ltd., ADR* | | | | | 39,953,253 | | |
| | | 29,129 | | | | Alphabet Inc., Class A Shares* | | | | | 32,815,275 | | |
| | | 35,519 | | | | Alphabet Inc., Class C Shares* | | | | | 39,778,438 | | |
| | | 65,769 | | | | Amazon.com Inc.* | | | | | 107,849,979 | | |
| | | 31,633 | | | | Baidu Inc., ADR* | | | | | 5,141,628 | | |
| | | 17,404 | | | | Booking Holdings Inc.* | | | | | 29,535,284 | | |
| | | 30,569 | | | | eBay Inc. | | | | | 1,135,638 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| COMMUNICATIONS – (continued) | | ||||||||||||
| Internet – (continued) | | ||||||||||||
| | | 4,058 | | | | Expedia Group Inc. | | | | $ | 500,392 | | |
| | | 2,034 | | | | F5 Networks Inc.* | | | | | 341,997 | | |
| | | 488,701 | | | | Facebook Inc., Class A Shares* | | | | | 78,900,776 | | |
| | | 12,750 | | | | IAC/InterActiveCorp* | | | | | 2,716,388 | | |
| | | 65,511 | | | | JD.com Inc., ADR* | | | | | 1,815,310 | | |
| | | 24,249 | | | | MercadoLibre Inc.* | | | | | 11,125,199 | | |
| | | 41,273 | | | | Netflix Inc.* | | | | | 14,779,861 | | |
| | | 350,321 | | | | Symantec Corp. | | | | | 7,878,719 | | |
| | | 273,100 | | | | Tencent Holdings Ltd. | | | | | 11,682,715 | | |
| | | 65,149 | | | | TripAdvisor Inc.* | | | | | 3,463,972 | | |
| | | 24,265 | | | | Twitter Inc.* | | | | | 746,877 | | |
| | | 22,750 | | | | VeriSign Inc.* | | | | | 4,050,410 | | |
| | | | | | | Total Internet | | | | | 394,212,111 | | |
| Media – 1.9% | | ||||||||||||
| | | 77,954 | | | | CBS Corp., Class B Shares | | | | | 3,914,070 | | |
| | | 17,551 | | | | Charter Communications Inc., Class A Shares* | | | | | 6,053,516 | | |
| | | 748,582 | | | | Comcast Corp., Class A Shares | | | | | 28,947,666 | | |
| | | 4,771 | | | | Discovery Inc., Class A Shares* | | | | | 137,882 | | |
| | | 13,154 | | | | Discovery Inc., Class C Shares* | | | | | 358,446 | | |
| | | 7,471 | | | | DISH Network Corp., Class A Shares* | | | | | 242,882 | | |
| | | 14,393 | | | | News Corp., Class A Shares | | | | | 187,397 | | |
| | | 3,678 | | | | News Corp., Class B Shares | | | | | 48,954 | | |
| | | 158,245 | | | | Twenty-First Century Fox Inc., Class A Shares, ADR | | | | | 7,980,295 | | |
| | | 16,272 | | | | Twenty-First Century Fox Inc., Class B Shares | | | | | 816,204 | | |
| | | 127,609 | | | | Viacom Inc., Class B Shares | | | | | 3,728,735 | | |
| | | 113,546 | | | | Walt Disney Co. | | | | | 12,812,531 | | |
| | | | | | | Total Media | | | | | 65,228,578 | | |
| Telecommunications – 3.4% | | ||||||||||||
| | | 1,768 | | | | Arista Networks Inc.* | | | | | 504,322 | | |
| | | 1,314,957 | | | | AT&T Inc. | | | | | 40,921,462 | | |
| | | 32,584 | | | | CenturyLink Inc. | | | | | 429,783 | | |
| | | 952,151 | | | | Cisco Systems Inc. | | | | | 49,292,857 | | |
| | | 11,556 | | | | Juniper Networks Inc. | | | | | 312,936 | | |
| | | 29,948 | | | | Motorola Solutions Inc. | | | | | 4,286,158 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| COMMUNICATIONS – (continued) | | ||||||||||||
| Telecommunications – (continued) | | ||||||||||||
| | | 413,702 | | | | Verizon Communications Inc. | | | | $ | 23,547,918 | | |
| | | | | | | Total Telecommunications | | | | | 119,295,436 | | |
| | | | | | | TOTAL COMMUNICATIONS | | | | | 579,613,342 | | |
| CONSUMER CYCLICAL – 7.1% | | ||||||||||||
| Airlines – 0.1% | | ||||||||||||
| | | 4,076 | | | | Alaska Air Group Inc. | | | | | 251,489 | | |
| | | 14,054 | | | | American Airlines Group Inc. | | | | | 500,744 | | |
| | | 20,998 | | | | Delta Air Lines Inc. | | | | | 1,041,081 | | |
| | | 17,056 | | | | Southwest Airlines Co. | | | | | 955,818 | | |
| | | 7,886 | | | | United Continental Holdings Inc.* | | | | | 692,470 | | |
| | | | | | | Total Airlines | | | | | 3,441,602 | | |
| Apparel – 1.2% | | ||||||||||||
| | | 229,003 | | | | Canada Goose Holdings Inc.*(a) | | | | | 13,032,561 | | |
| | | 4,868 | | | | Capri Holdings Ltd.* | | | | | 221,981 | | |
| | | 12,898 | | | | Hanesbrands Inc. | | | | | 239,774 | | |
| | | 344,595 | | | | NIKE Inc., Class B Shares | | | | | 29,542,129 | | |
| | | 2,509 | | | | PVH Corp. | | | | | 288,134 | | |
| | | 1,766 | | | | Ralph Lauren Corp., Class A Shares | | | | | 221,050 | | |
| | | 6,741 | | | | Under Armour Inc., Class A Shares* | | | | | 152,009 | | |
| | | 7,087 | | | | Under Armour Inc., Class C Shares* | | | | | 142,307 | | |
| | | 10,950 | | | | VF Corp. | | | | | 956,592 | | |
| | | | | | | Total Apparel | | | | | 44,796,537 | | |
| Auto Manufacturers – 0.4% | | ||||||||||||
| | | 35,031 | | | | Ferrari NV | | | | | 4,493,076 | | |
| | | 131,986 | | | | Ford Motor Co. | | | | | 1,157,517 | | |
| | | 44,356 | | | | General Motors Co. | | | | | 1,751,175 | | |
| | | 11,705 | | | | PACCAR Inc. | | | | | 793,599 | | |
| | | 13,444 | | | | Tesla Inc.* | | | | | 4,300,467 | | |
| | | | | | | Total Auto Manufacturers | | | | | 12,495,834 | | |
| Auto Parts & Equipment – 0.2% | | ||||||||||||
| | | 79,452 | | | | Aptiv PLC | | | | | 6,603,256 | | |
| | | 6,917 | | | | BorgWarner Inc. | | | | | 280,899 | | |
| | | | | | | Total Auto Parts & Equipment | | | | | 6,884,155 | | |
| Distribution/Wholesale – 0.1% | | ||||||||||||
| | | 6,927 | | | | Copart Inc.* | | | | | 406,407 | | |
| | | 9,540 | | | | Fastenal Co. | | | | | 600,448 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – (continued) | | ||||||||||||
| Distribution/Wholesale – (continued) | | ||||||||||||
| | | 10,554 | | | | LKQ Corp.* | | | | $ | 292,346 | | |
| | | 1,560 | | | | WW Grainger Inc. | | | | | 475,441 | | |
| | | | | | | Total Distribution/Wholesale | | | | | 1,774,642 | | |
| Home Builders – 0.4% | | ||||||||||||
| | | 11,678 | | | | DR Horton Inc. | | | | | 454,157 | | |
| | | 233,176 | | | | Lennar Corp., Class A Shares | | | | | 11,187,785 | | |
| | | 3,389 | | | | Lennar Corp., Class B Shares | | | | | 130,375 | | |
| | | 825 | | | | NVR Inc.* | | | | | 2,161,500 | | |
| | | 8,422 | | | | PulteGroup Inc. | | | | | 227,394 | | |
| | | | | | | Total Home Builders | | | | | 14,161,211 | | |
| Home Furnishings – 0.0% | | ||||||||||||
| | | 4,674 | | | | Leggett & Platt Inc. | | | | | 212,293 | | |
| | | 2,128 | | | | Whirlpool Corp. | | | | | 301,133 | | |
| | | | | | | Total Home Furnishings | | | | | 513,426 | | |
| Housewares – 0.0% | | ||||||||||||
| | | 14,327 | | | | Newell Brands Inc. | | | | | 232,527 | | |
| Leisure Time – 0.3% | | ||||||||||||
| | | 146,299 | | | | Carnival Corp. | | | | | 8,450,230 | | |
| | | 5,853 | | | | Harley-Davidson Inc. | | | | | 217,263 | | |
| | | 7,403 | | | | Norwegian Cruise Line Holdings Ltd.* | | | | | 411,089 | | |
| | | 5,726 | | | | Royal Caribbean Cruises Ltd. | | | | | 678,416 | | |
| | | | | | | Total Leisure Time | | | | | 9,756,998 | | |
| Lodging – 0.5% | | ||||||||||||
| | | 9,965 | | | | Hilton Worldwide Holdings Inc. | | | | | 828,091 | | |
| | | 66,823 | | | | Las Vegas Sands Corp. | | | | | 4,104,937 | | |
| | | 9,596 | | | | Marriott International Inc., Class A Shares | | | | | 1,202,091 | | |
| | | 119,026 | | | | MGM Resorts International | | | | | 3,183,945 | | |
| | | 45,687 | | | | Wynn Resorts Ltd. | | | | | 5,781,233 | | |
| | | | | | | Total Lodging | | | | | 15,100,297 | | |
| Retail – 3.9% | | ||||||||||||
| | | 2,468 | | | | Advance Auto Parts Inc. | | | | | 399,273 | | |
| | | 843 | | | | AutoZone Inc.* | | | | | 791,552 | | |
| | | 8,020 | | | | Best Buy Co., Inc. | | | | | 552,097 | | |
| | | 5,888 | | | | CarMax Inc.* | | | | | 365,645 | | |
| | | 835 | | | | Chipotle Mexican Grill Inc., Class A Shares* | | | | | 507,287 | | |
| | | 73,414 | | | | Costco Wholesale Corp. | | | | | 16,058,578 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – (continued) | | ||||||||||||
| Retail – (continued) | | ||||||||||||
| | | 4,241 | | | | Darden Restaurants Inc. | | | | $ | 475,458 | | |
| | | 20,662 | | | | Dollar General Corp. | | | | | 2,447,621 | | |
| | | 210,727 | | | | Dollar Tree Inc.* | | | | | 20,299,332 | | |
| | | 100,699 | | | | Dollarama Inc. | | | | | 2,726,228 | | |
| | | 28,920 | | | | Dunkin’ Brands Group Inc. | | | | | 2,066,334 | | |
| | | 3,728 | | | | Foot Locker Inc. | | | | | 221,890 | | |
| | | 7,663 | | | | Gap Inc. | | | | | 194,640 | | |
| | | 5,036 | | | | Genuine Parts Co. | | | | | 547,816 | | |
| | | 38,273 | | | | Home Depot Inc. | | | | | 7,085,863 | | |
| | | 5,605 | | | | Kohl’s Corp. | | | | | 378,506 | | |
| | | 7,386 | | | | L Brands Inc. | | | | | 193,070 | | |
| | | 184,705 | | | | Lowe’s Cos., Inc. | | | | | 19,410,649 | | |
| | | 10,161 | | | | Macy’s Inc. | | | | | 251,891 | | |
| | | 46,532 | | | | McDonald’s Corp. | | | | | 8,554,443 | | |
| | | 4,088 | | | | Nordstrom Inc. | | | | | 193,281 | | |
| | | 2,699 | | | | O'Reilly Automotive Inc.* | | | | | 1,003,920 | | |
| | | 12,640 | | | | Ross Stores Inc. | | | | | 1,198,651 | | |
| | | 115,469 | | | | Starbucks Corp. | | | | | 8,112,852 | | |
| | | 385,053 | | | | Tapestry Inc. | | | | | 13,453,752 | | |
| | | 110,178 | | | | Target Corp. | | | | | 8,003,330 | | |
| | | 3,637 | | | | Tiffany & Co. | | | | | 345,661 | | |
| | | 41,970 | | | | TJX Cos., Inc. | | | | | 2,152,641 | | |
| | | 4,127 | | | | Tractor Supply Co. | | | | | 393,509 | | |
| | | 1,944 | | | | Ulta Beauty Inc.* | | | | | 607,481 | | |
| | | 27,242 | | | | Walgreens Boots Alliance Inc. | | | | | 1,939,358 | | |
| | | 48,228 | | | | Walmart Inc. | | | | | 4,774,090 | | |
| | | 149,573 | | | | Yum China Holdings Inc. | | | | | 6,240,186 | | |
| | | 46,352 | | | | Yum! Brands Inc. | | | | | 4,380,264 | | |
| | ��� | | | | | Total Retail | | | | | 136,327,149 | | |
| Textiles – 0.0% | | ||||||||||||
| | | 2,088 | | | | Mohawk Industries Inc.* | | | | | 284,219 | | |
| Toys/Games/Hobbies – 0.0% | | ||||||||||||
| | | 3,924 | | | | Hasbro Inc. | | | | | 333,148 | | |
| | | 12,343 | | | | Mattel Inc.* | | | | | 177,986 | | |
| | | | | | | Total Toys/Games/Hobbies | | | | | 511,134 | | |
| | | | | | | TOTAL CONSUMER CYCLICAL | | | | | 246,279,731 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – 23.8% | | ||||||||||||
| Agriculture – 1.1% | | ||||||||||||
| | | 130,102 | | | | Altria Group Inc. | | | | $ | 6,818,646 | | |
| | | 378,998 | | | | Archer-Daniels-Midland Co. | | | | | 16,107,415 | | |
| | | 171,177 | | | | Philip Morris International Inc. | | | | | 14,882,128 | | |
| | | | | | | Total Agriculture | | | | | 37,808,189 | | |
| Beverages – 1.0% | | ||||||||||||
| | | 75,578 | | | | Brown-Forman Corp., Class B Shares | | | | | 3,740,355 | | |
| | | 129,894 | | | | Coca-Cola Co. | | | | | 5,889,394 | | |
| | | 5,600 | | | | Constellation Brands Inc., Class A Shares | | | | | 947,296 | | |
| | | 6,370 | | | | Molson Coors Brewing Co., Class B Shares | | | | | 392,774 | | |
| | | 101,619 | | | | Monster Beverage Corp.* | | | | | 6,486,341 | | |
| | | 160,414 | | | | PepsiCo Inc. | | | | | 18,550,275 | | |
| | | | | | | Total Beverages | | | | | 36,006,435 | | |
| Biotechnology – 3.1% | | ||||||||||||
| | | 163,178 | | | | Alexion Pharmaceuticals Inc.* | | | | | 22,082,879 | | |
| | | 39,735 | | | | Amgen Inc. | | | | | 7,552,829 | | |
| | | 29,045 | | | | Biogen Inc.* | | | | | 9,527,050 | | |
| | | 23,679 | | | | Celgene Corp.* | | | | | 1,968,198 | | |
| | | 131,888 | | | | Exact Sciences Corp.* | | | | | 12,001,808 | | |
| | | 304,025 | | | | Gilead Sciences Inc. | | | | | 19,767,706 | | |
| | | 62,510 | | | | Illumina Inc.* | | | | | 19,551,253 | | |
| | | 6,052 | | | | Incyte Corp.* | | | | | 521,864 | | |
| | | 2,624 | | | | Regeneron Pharmaceuticals Inc.* | | | | | 1,130,262 | | |
| | | 75,375 | | | | Vertex Pharmaceuticals Inc.* | | | | | 14,227,031 | | |
| | | | | | | Total Biotechnology | | | | | 108,330,880 | | |
| Commercial Services – 3.1% | | ||||||||||||
| | | 14,835 | | | | Automatic Data Processing Inc. | | | | | 2,270,200 | | |
| | | 2,988 | | | | Cintas Corp. | | | | | 617,321 | | |
| | | 8,612 | | | | Ecolab Inc. | | | | | 1,454,653 | | |
| | | 57,723 | | | | Equifax Inc. | | | | | 6,321,246 | | |
| | | 2,953 | | | | FleetCor Technologies Inc.* | | | | | 688,876 | | |
| | | 3,090 | | | | Gartner Inc.* | | | | | 439,707 | | |
| | | 5,282 | | | | Global Payments Inc. | | | | | 688,667 | | |
| | | 143,693 | | | | H&R Block Inc. | | | | | 3,470,186 | | |
| | | 11,970 | | | | IHS Markit Ltd.* | | | | | 636,445 | | |
| | | 5,617 | | | | Moody’s Corp. | | | | | 972,415 | | |
| | | 235,813 | | | | New Oriental Education & Technology Group Inc., ADR* | | | | | 19,350,815 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Commercial Services – (continued) | | ||||||||||||
| | | 11,841 | | | | Nielsen Holdings PLC | | | | $ | 310,234 | | |
| | | 272,946 | | | | PayPal Holdings Inc.* | | | | | 26,767,814 | | |
| | | 5,233 | | | | Quanta Services Inc. | | | | | 186,504 | | |
| | | 3,986 | | | | Robert Half International Inc. | | | | | 271,805 | | |
| | | 5,277 | | | | Rollins Inc. | | | | | 209,286 | | |
| | | 29,712 | | | | S&P Global Inc. | | | | | 5,953,393 | | |
| | | 228,742 | | | | Square Inc., Class A Shares* | | | | | 18,583,000 | | |
| | | 42,145 | | | | Total System Services Inc. | | | | | 3,978,488 | | |
| | | 77,301 | | | | TransUnion | | | | | 4,990,553 | | |
| | | 2,731 | | | | United Rentals Inc.* | | | | | 367,565 | | |
| | | 5,502 | | | | Verisk Analytics Inc., Class A Shares* | | | | | 695,618 | | |
| | | 84,339 | | | | Worldpay Inc., Class A Shares* | | | | | 8,079,676 | | |
| | | | | | | Total Commercial Services | | | | | 107,304,467 | | |
| Cosmetics/Personal Care – 0.8% | | ||||||||||||
| | | 29,393 | | | | Colgate-Palmolive Co. | | | | | 1,936,117 | | |
| | | 16,384 | | | | Coty Inc., Class A Shares(a) | | | | | 180,224 | | |
| | | 7,428 | | | | Estee Lauder Cos., Inc., Class A Shares | | | | | 1,165,750 | | |
| | | 208,999 | | | | Procter & Gamble Co. | | | | | 20,596,852 | | |
| | | 69,852 | | | | Unilever NV, Class NY Registered Shares, ADR | | | | | 3,770,611 | | |
| | | | | | | Total Cosmetics/Personal Care | | | | | 27,649,554 | | |
| Food – 0.8% | | ||||||||||||
| | | 6,257 | | | | Campbell Soup Co. | | | | | 225,377 | | |
| | | 16,328 | | | | Conagra Brands Inc. | | | | | 381,585 | | |
| | | 20,082 | | | | General Mills Inc. | | | | | 946,465 | | |
| | | 35,854 | | | | Hershey Co. | | | | | 3,968,321 | | |
| | | 9,228 | | | | Hormel Foods Corp. | | | | | 400,126 | | |
| | | 3,860 | | | | JM Smucker Co. | | | | | 408,812 | | |
| | | 8,698 | | | | Kellogg Co. | | | | | 489,350 | | |
| | | 20,972 | | | | Kraft Heinz Co. | | | | | 696,061 | | |
| | | 26,780 | | | | Kroger Co. | | | | | 785,457 | | |
| | | 4,933 | | | | Lamb Weston Holdings Inc | | | | | 341,906 | | |
| | | 4,183 | | | | McCormick & Co., Inc. | | | | | 568,804 | | |
| | | 415,783 | | | | Mondelez International Inc., Class A Shares | | | | | 19,608,326 | | |
| | | 16,164 | | | | Sysco Corp. | | | | | 1,091,878 | | |
| | | 9,828 | | | | Tyson Foods Inc., Class A Shares | | | | | 605,995 | | |
| | | | | | | Total Food | | | | | 30,518,463 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Healthcare-Products – 4.5% | | ||||||||||||
| | | 285,396 | | | | Abbott Laboratories | | | | $ | 22,152,438 | | |
| | | 11,089 | | | | ABIOMED Inc.* | | | | | 3,709,271 | | |
| | | 54,210 | | | | Align Technology Inc.* | | | | | 14,038,764 | | |
| | | 62,513 | | | | Baxter International Inc. | | | | | 4,671,597 | | |
| | | 51,746 | | | | Becton Dickinson & Co. | | | | | 12,873,887 | | |
| | | 46,878 | | | | Boston Scientific Corp.* | | | | | 1,880,745 | | |
| | | 1,682 | | | | Cooper Cos., Inc. | | | | | 481,035 | | |
| | | 20,907 | | | | Danaher Corp. | | | | | 2,655,607 | | |
| | | 7,429 | | | | DENTSPLY SIRONA Inc. | | | | | 310,235 | | |
| | | 95,314 | | | | Edwards Lifesciences Corp.* | | | | | 16,135,707 | | |
| | | 5,175 | | | | Henry Schein Inc.* | | | | | 306,878 | | |
| | | 9,158 | | | | Hologic Inc.* | | | | | 431,800 | | |
| | | 84,470 | | | | IDEXX Laboratories Inc.* | | | | | 17,825,704 | | |
| | | 20,141 | | | | Intuitive Surgical Inc.* | | | | | 11,029,413 | | |
| | | 349,524 | | | | Koninklijke Philips NV, Class NY Registered Shares, ADR | | | | | 13,879,598 | | |
| | | 160,458 | | | | Medtronic PLC | | | | | 14,521,449 | | |
| | | 4,873 | | | | ResMed Inc. | | | | | 499,141 | | |
| | | 69,159 | | | | Stryker Corp. | | | | | 13,037,163 | | |
| | | 1,564 | | | | Teleflex Inc. | | | | | 453,310 | | |
| | | 13,637 | | | | Thermo Fisher Scientific Inc. | | | | | 3,539,756 | | |
| | | 28,840 | | | | Varian Medical Systems Inc.* | | | | | 3,874,942 | | |
| | | 6,837 | | | | Zimmer Biomet Holdings Inc. | | | | | 848,608 | | |
| | | | | | | Total Healthcare-Products | | | | | 159,157,048 | | |
| Healthcare-Services – 2.5% | | ||||||||||||
| | | 36,087 | | | | Anthem Inc. | | | | | 10,852,443 | | |
| | | 84,402 | | | | Centene Corp.* | | | | | 5,139,238 | | |
| | | 62,677 | | | | DaVita Inc.* | | | | | 3,566,321 | | |
| | | 19,018 | | | | HCA Healthcare Inc. | | | | | 2,644,263 | | |
| | | 10,943 | | | | Humana Inc. | | | | | 3,119,193 | | |
| | | 5,466 | | | | IQVIA Holdings Inc.* | | | | | 765,787 | | |
| | | 3,456 | | | | Laboratory Corp. of America Holdings* | | | | | 512,317 | | |
| | | 226,000 | | | | Quest Diagnostics Inc. | | | | | 19,560,300 | | |
| | | 142,399 | | | | UnitedHealth Group Inc. | | | | | 34,491,886 | | |
| | | 2,887 | | | | Universal Health Services Inc., Class B Shares | | | | | 400,802 | | |
| | | 27,246 | | | | WellCare Health Plans Inc.* | | | | | 6,909,041 | | |
| | | | | | | Total Healthcare-Services | | | | | 87,961,591 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Household Products/Wares – 0.1% | | ||||||||||||
| | | 2,885 | | | | Avery Dennison Corp. | | | | $ | 311,695 | | |
| | | 8,473 | | | | Church & Dwight Co., Inc. | | | | | 557,523 | | |
| | | 4,272 | | | | Clorox Co. | | | | | 675,104 | | |
| | | 11,733 | | | | Kimberly-Clark Corp. | | | | | 1,370,767 | | |
| | | | | | | Total Household Products/Wares | | | | | 2,915,089 | | |
| Pharmaceuticals – 6.8% | | ||||||||||||
| | | 50,947 | | | | AbbVie Inc. | | | | | 4,037,040 | | |
| | | 10,733 | | | | Allergan PLC | | | | | 1,478,041 | | |
| | | 82,866 | | | | AmerisourceBergen Corp., Class A Shares | | | | | 6,902,738 | | |
| | | 427,025 | | | | Bristol-Myers Squibb Co. | | | | | 22,060,112 | | |
| | | 347,733 | | | | Cardinal Health Inc. | | | | | 18,895,811 | | |
| | | 131,762 | | | | Cigna Corp. | | | | | 22,984,564 | | |
| | | 284,893 | | | | CVS Health Corp. | | | | | 16,475,362 | | |
| | | 71,042 | | | | Eli Lilly & Co. | | | | | 8,971,894 | | |
| | | 259,571 | | | | Johnson & Johnson | | | | | 35,467,782 | | |
| | | 6,556 | | | | McKesson Corp. | | | | | 833,661 | | |
| | | 523,860 | | | | Merck & Co., Inc. | | | | | 42,584,579 | | |
| | | 17,712 | | | | Mylan NV* | | | | | 467,420 | | |
| | | 89,358 | | | | Nektar Therapeutics, Class A Shares* | | | | | 3,622,573 | | |
| | | 205,175 | | | | Novartis AG, ADR | | | | | 18,718,115 | | |
| | | 3,997 | | | | Perrigo Co. PLC | | | | | 194,654 | | |
| | | 549,919 | | | | Pfizer Inc. | | | | | 23,838,989 | | |
| | | 36,315 | | | | Sarepta Therapeutics Inc.* | | | | | 5,238,076 | | |
| | | 16,287 | | | | Zoetis Inc., Class A Shares | | | | | 1,534,724 | | |
| | | | | | | Total Pharmaceuticals | | | | | 234,306,135 | | |
| | | | | | | TOTAL CONSUMER NON-CYCLICAL | | | | | 831,957,851 | | |
| ENERGY – 5.6% | | ||||||||||||
| Oil & Gas – 4.1% | | ||||||||||||
| | | 16,948 | | | | Anadarko Petroleum Corp. | | | | | 737,238 | | |
| | | 12,902 | | | | Apache Corp. | | | | | 428,088 | | |
| | | 14,576 | | | | Cabot Oil & Gas Corp. | | | | | 358,861 | | |
| | | 261,740 | | | | Chevron Corp. | | | | | 31,298,869 | | |
| | | 3,134 | | | | Cimarex Energy Co. | | | | | 225,366 | | |
| | | 6,733 | | | | Concho Resources Inc. | | | | | 740,630 | | |
| | | 277,978 | | | | ConocoPhillips | | | | | 18,860,807 | | |
| | �� | 15,959 | | | | Devon Energy Corp. | | | | | 470,950 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| ENERGY – (continued) | | ||||||||||||
| Oil & Gas – (continued) | | ||||||||||||
| | | 5,313 | | | | Diamondback Energy Inc | | | | $ | 546,867 | | |
| | | 19,632 | | | | EOG Resources Inc. | | | | | 1,845,408 | | |
| | | 215,425 | | | | Exxon Mobil Corp. | | | | | 17,025,038 | | |
| | | 3,500 | | | | Helmerich & Payne Inc. | | | | | 189,700 | | |
| | | 8,506 | | | | Hess Corp. | | | | | 492,072 | | |
| | | 5,306 | | | | HollyFrontier Corp. | | | | | 271,667 | | |
| | | 1,021,524 | | | | Marathon Oil Corp. | | | | | 16,957,299 | | |
| | | 53,896 | | | | Marathon Petroleum Corp. | | | | | 3,342,091 | | |
| | | 16,137 | | | | Noble Energy Inc. | | | | | 357,435 | | |
| | | 314,550 | | | | Occidental Petroleum Corp. | | | | | 20,807,483 | | |
| | | 14,360 | | | | Phillips 66 | | | | | 1,383,730 | | |
| | | 76,014 | | | | Pioneer Natural Resources Co. | | | | | 10,714,173 | | |
| | | 225,171 | | | | Royal Dutch Shell PLC, Class A Shares, ADR | | | | | 14,007,888 | | |
| | | 14,363 | | | | Valero Energy Corp. | | | | | 1,171,446 | | |
| | | | | | | Total Oil & Gas | | | | | 142,233,106 | | |
| Oil & Gas Services – 1.4% | | ||||||||||||
| | | 469,692 | | | | Baker Hughes a GE Co., Class A Shares | | | | | 12,390,475 | | |
| | | 662,336 | | | | Halliburton Co. | | | | | 20,327,092 | | |
| | | 12,999 | | | | National Oilwell Varco Inc. | | | | | 365,792 | | |
| | | 402,658 | | | | Schlumberger Ltd. | | | | | 17,741,111 | | |
| | | 14,257 | | | | TechnipFMC PLC | | | | | 317,789 | | |
| | | | | | | Total Oil & Gas Services | | | | | 51,142,259 | | |
| Pipelines – 0.1% | | ||||||||||||
| | | 64,241 | | | | Kinder Morgan Inc. | | | | | 1,230,857 | | |
| | | 13,856 | | | | ONEOK Inc. | | | | | 890,387 | | |
| | | 40,860 | | | | Williams Cos., Inc. | | | | | 1,090,553 | | |
| | | | | | | Total Pipelines | | | | | 3,211,797 | | |
| | | | | | | TOTAL ENERGY | | | | | 196,587,162 | | |
| FINANCIAL – 15.4% | | ||||||||||||
| Banks – 5.3% | | ||||||||||||
| | | 648,973 | | | | Bank of America Corp. | | | | | 18,872,135 | | |
| | | 353,646 | | | | Bank of New York Mellon Corp. | | | | | 18,559,342 | | |
| | | 362,322 | | | | BB&T Corp. | | | | | 18,467,552 | | |
| | | 385,547 | | | | Citigroup Inc. | | | | | 24,667,297 | | |
| | | 16,073 | | | | Citizens Financial Group Inc. | | | | | 593,737 | | |
| | | 5,552 | | | | Comerica Inc. | | | | | 483,635 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Banks – (continued) | | ||||||||||||
| | | 22,607 | | | | Fifth Third Bancorp | | | | $ | 623,501 | | |
| | | 5,656 | | | | First Republic Bank | | | | | 593,767 | | |
| | | 53,135 | | | | Goldman Sachs Group Inc. | | | | | 10,451,654 | | |
| | | 35,816 | | | | Huntington Bancshares Inc. | | | | | 516,109 | | |
| | | 318,583 | | | | JPMorgan Chase & Co. | | | | | 33,247,322 | | |
| | | 35,637 | | | | KeyCorp | | | | | 629,349 | | |
| | | 4,702 | | | | M&T Bank Corp. | | | | | 813,728 | | |
| | | 115,048 | | | | Morgan Stanley | | | | | 4,829,715 | | |
| | | 7,401 | | | | Northern Trust Corp. | | | | | 689,773 | | |
| | | 98,500 | | | | PacWest Bancorp | | | | | 4,040,470 | | |
| | | 15,590 | | | | PNC Financial Services Group Inc. | | | | | 1,964,652 | | |
| | | 35,494 | | | | Regions Financial Corp. | | | | | 582,102 | | |
| | | 40,778 | | | | Signature Bank | | | | | 5,536,021 | | |
| | | 196,159 | | | | State Street Corp. | | | | | 14,097,947 | | |
| | | 15,120 | | | | SunTrust Banks Inc. | | | | | 980,834 | | |
| | | 1,799 | | | | SVB Financial Group* | | | | | 444,641 | | |
| | | 51,345 | | | | US Bancorp | | | | | 2,654,023 | | |
| | | 143,421 | | | | Wells Fargo & Co. | | | | | 7,155,274 | | |
| | | 255,755 | | | | Zions Bancorp NA | | | | | 13,069,080 | | |
| | | | | | | Total Banks | | | | | 184,563,660 | | |
| Diversified Financial Services – 4.2% | | ||||||||||||
| | | 1,896 | | | | Affiliated Managers Group Inc. | | | | | 207,821 | | |
| | | 1,555 | | | | Alliance Data Systems Corp. | | | | | 269,015 | | |
| | | 23,739 | | | | American Express Co. | | | | | 2,557,640 | | |
| | | 4,795 | | | | Ameriprise Financial Inc. | | | | | 631,166 | | |
| | | 282,464 | | | | Ant International Co., Ltd., Class C Shares, Private Placement*(b)(c)@ | | | | | 1,584,623 | | |
| | | 4,112 | | | | BlackRock Inc., Class A Shares | | | | | 1,822,521 | | |
| | | 16,057 | | | | Capital One Financial Corp. | | | | | 1,342,044 | | |
| | | 39,696 | | | | Cboe Global Markets Inc. | | | | | 3,807,243 | | |
| | | 558,664 | | | | Charles Schwab Corp. | | | | | 25,704,131 | | |
| | | 12,126 | | | | CME Group Inc., Class A Shares | | | | | 2,205,841 | | |
| | | 11,260 | | | | Discover Financial Services | | | | | 806,328 | | |
| | | 8,644 | | | | E*TRADE Financial Corp. | | | | | 423,469 | | |
| | | 9,963 | | | | Franklin Resources Inc. | | | | | 324,893 | | |
| | | 314,741 | | | | Intercontinental Exchange Inc. | | | | | 24,282,268 | | |
| | | 13,533 | | | | Invesco Ltd. | | | | | 261,864 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Diversified Financial Services – (continued) | | ||||||||||||
| | | 10,051 | | | | Jefferies Financial Group Inc. | | | | $ | 203,734 | | |
| | | 118,914 | | | | Mastercard Inc., Class A Shares | | | | | 26,728,300 | | |
| | | 3,856 | | | | Nasdaq Inc. | | | | | 353,094 | | |
| | | 4,347 | | | | Raymond James Financial Inc. | | | | | 358,975 | | |
| | | 22,076 | | | | Synchrony Financial | | | | | 719,898 | | |
| | | 8,073 | | | | T Rowe Price Group Inc. | | | | | 810,771 | | |
| | | 130,860 | | | | TD Ameritrade Holding Corp. | | | | | 7,371,344 | | |
| | | 296,268 | | | | Visa Inc., Class A Shares | | | | | 43,883,216 | | |
| | | 15,741 | | | | Western Union Co. | | | | | 281,292 | | |
| | | | | | | Total Diversified Financial Services | | | | | 146,941,491 | | |
| Equity Real Estate Investment Trusts (REITs) – 1.5% | | ||||||||||||
| | | 3,692 | | | | Alexandria Real Estate Equities Inc. | | | | | 501,706 | | |
| | | 14,938 | | | | American Tower Corp. | | | | | 2,631,329 | | |
| | | 4,971 | | | | Apartment Investment & Management Co., Class A Shares | | | | | 243,231 | | |
| | | 4,675 | | | | AvalonBay Communities Inc. | | | | | 909,895 | | |
| | | 5,155 | | | | Boston Properties Inc. | | | | | 684,017 | | |
| | | 295,900 | | | | Cousins Properties Inc. | | | | | 2,816,968 | | |
| | | 34,316 | | | | Crown Castle International Corp. | | | | | 4,075,025 | | |
| | | 6,920 | | | | Digital Realty Trust Inc. | | | | | 782,790 | | |
| | | 11,996 | | | | Duke Realty Corp. | | | | | 354,722 | | |
| | | 2,718 | | | | Equinix Inc. | | | | | 1,151,073 | | |
| | | 244,251 | | | | Equity Residential | | | | | 17,998,856 | | |
| | | 2,203 | | | | Essex Property Trust Inc. | | | | | 616,488 | | |
| | | 4,300 | | | | Extra Space Storage Inc. | | | | | 412,542 | | |
| | | 2,477 | | | | Federal Realty Investment Trust | | | | | 330,902 | | |
| | | 16,375 | | | | HCP Inc. | | | | | 503,858 | | |
| | | 25,251 | | | | Host Hotels & Resorts Inc. | | | | | 495,172 | | |
| | | 9,608 | | | | Iron Mountain Inc. | | | | | 340,315 | | |
| | | 15,032 | | | | Kimco Realty Corp. | | | | | 264,413 | | |
| | | 3,801 | | | | Macerich Co. | | | | | 165,724 | | |
| | | 3,872 | | | | Mid-America Apartment Communities Inc. | | | | | 401,062 | | |
| | | 21,374 | | | | Prologis Inc. | | | | | 1,497,462 | | |
| | | 5,075 | | | | Public Storage | | | | | 1,073,312 | | |
| | | 9,902 | | | | Realty Income Corp. | | | | | 684,822 | | |
| | | 5,704 | | | | Regency Centers Corp. | | | | | 372,186 | | |
| | | 3,792 | | | | SBA Communications Corp., Class A Shares* | | | | | 684,684 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Equity Real Estate Investment Trusts (REITs) – (continued) | | ||||||||||||
| | | 55,833 | | | | Simon Property Group Inc. | | | | $ | 10,114,706 | | |
| | | 2,812 | | | | SL Green Realty Corp. | | | | | 255,105 | | |
| | | 9,378 | | | | UDR Inc. | | | | | 416,571 | | |
| | | 11,969 | | | | Ventas Inc. | | | | | 751,055 | | |
| | | 5,877 | | | | Vornado Realty Trust | | | | | 395,581 | | |
| | | 12,703 | | | | Welltower Inc. | | | | | 943,960 | | |
| | | 25,843 | | | | Weyerhaeuser Co. | | | | | 643,232 | | |
| | | | | | | Total Equity Real Estate Investment Trusts (REITs) | | | | | 53,512,764 | | |
| Insurance – 3.9% | | ||||||||||||
| | | 25,796 | | | | Aflac Inc. | | | | | 1,267,616 | | |
| | | 197,893 | | | | Allstate Corp. | | | | | 18,677,141 | | |
| | | 479,726 | | | | American International Group Inc. | | | | | 20,724,163 | | |
| | | 8,147 | | | | Aon PLC | | | | | 1,397,455 | | |
| | | 6,281 | | | | Arthur J Gallagher & Co. | | | | | 504,239 | | |
| | | 1,871 | | | | Assurant Inc. | | | | | 192,694 | | |
| | | 216,540 | | | | Berkshire Hathaway Inc., Class B Shares* | | | | | 43,589,502 | | |
| | | 4,253 | | | | Brighthouse Financial Inc.* | | | | | 164,676 | | |
| | | 45,721 | | | | Chubb Ltd. | | | | | 6,122,042 | | |
| | | 5,143 | | | | Cincinnati Financial Corp. | | | | | 446,515 | | |
| | | 1,354 | | | | Everest Re Group Ltd. | | | | | 306,153 | | |
| | | 12,323 | | | | Hartford Financial Services Group Inc. | | | | | 608,263 | | |
| | | 7,294 | | | | Lincoln National Corp. | | | | | 456,021 | | |
| | | 9,420 | | | | Loews Corp. | | | | | 448,581 | | |
| | | 207,251 | | | | Marsh & McLennan Cos., Inc. | | | | | 19,278,488 | | |
| | | 370,088 | | | | MetLife Inc. | | | | | 16,724,277 | | |
| | | 8,986 | | | | Principal Financial Group Inc. | | | | | 473,023 | | |
| | | 19,756 | | | | Progressive Corp. | | | | | 1,440,212 | | |
| | | 13,904 | | | | Prudential Financial Inc. | | | | | 1,332,698 | | |
| | | 3,402 | | | | Torchmark Corp. | | | | | 280,869 | | |
| | | 8,961 | | | | Travelers Cos., Inc. | | | | | 1,191,007 | | |
| | | 7,179 | | | | Unum Group | | | | | 268,208 | | |
| | | 4,495 | | | | Willis Towers Watson PLC | | | | | 773,230 | | |
| | | | | | | Total Insurance | | | | | 136,667,073 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Private Equity – 0.2% | | ||||||||||||
| | | 113,859 | | | | Brookfield Asset Management Inc., Class A Shares | | | | $ | 5,143,011 | | |
| Real Estate – 0.3% | | ||||||||||||
| | | 10,851 | | | | CBRE Group Inc., Class A Shares* | | | | | 539,946 | | |
| | | 67,533 | | | | Jones Lang LaSalle Inc. | | | | | 11,151,049 | | |
| | | | | | | Total Real Estate | | | | | 11,690,995 | | |
| Savings & Loans – 0.0% | | ||||||||||||
| | | 13,276 | | | | People’s United Financial Inc. | | | | | 235,782 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 538,754,776 | | |
| INDUSTRIAL – 9.7% | | ||||||||||||
| Aerospace/Defense – 3.2% | | ||||||||||||
| | | 14,200 | | | | Arconic Inc. | | | | | 262,558 | | |
| | | 71,907 | | | | Boeing Co. | | | | | 31,636,204 | | |
| | | 29,235 | | | | General Dynamics Corp. | | | | | 4,976,382 | | |
| | | 24,509 | | | | Harris Corp. | | | | | 4,042,269 | | |
| | | 18,673 | | | | L3 Technologies Inc. | | | | | 3,954,008 | | |
| | | 19,519 | | | | Lockheed Martin Corp. | | | | | 6,039,374 | | |
| | | 96,400 | | | | Northrop Grumman Corp. | | | | | 27,952,144 | | |
| | | 125,748 | | | | Raytheon Co. | | | | | 23,452,002 | | |
| | | 1,616 | | | | TransDigm Group Inc.* | | | | | 701,489 | | |
| | | 76,262 | | | | United Technologies Corp. | | | | | 9,583,846 | | |
| | | | | | | Total Aerospace/Defense | | | | | 112,600,276 | | |
| Building Materials – 0.4% | | ||||||||||||
| | | 5,070 | | | | Fortune Brands Home & Security Inc. | | | | | 238,898 | | |
| | | 381,962 | | | | Johnson Controls International PLC | | | | | 13,471,800 | | |
| | | 2,121 | | | | Martin Marietta Materials Inc. | | | | | 398,324 | | |
| | | 10,209 | | | | Masco Corp. | | | | | 383,450 | | |
| | | 4,511 | | | | Vulcan Materials Co. | | | | | 502,796 | | |
| | | | | | | Total Building Materials | | | | | 14,995,268 | | |
| Electrical Components & Equipment – 0.1% | | ||||||||||||
| | | 8,000 | | | | AMETEK Inc. | | | | | 636,640 | | |
| | | 21,198 | | | | Emerson Electric Co. | | | | | 1,444,644 | | |
| | | | | | | Total Electrical Components & Equipment | | | | | 2,081,284 | | |
| Electronics – 1.5% | | ||||||||||||
| | | 10,677 | | | | Agilent Technologies Inc. | | | | | 848,181 | | |
| | | 3,146 | | | | Allegion PLC | | | | | 283,014 | | |
| | | 10,108 | | | | Amphenol Corp., Class A Shares | | | | | 949,849 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Electronics – (continued) | | ||||||||||||
| | | 140,756 | | | | Avnet Inc. | | | | $ | 6,121,478 | | |
| | | 458,272 | | | | Corning Inc. | | | | | 15,952,448 | | |
| | | 69,468 | | | | FLIR Systems Inc. | | | | | 3,574,129 | | |
| | | 79,025 | | | | Fortive Corp. | | | | | 6,446,069 | | |
| | | 4,005 | | | | Garmin Ltd. | | | | | 336,300 | | |
| | | 41,514 | | | | Honeywell International Inc. | | | | | 6,396,062 | | |
| | | 6,403 | | | | Keysight Technologies Inc.* | | | | | 540,477 | | |
| | | 862 | | | | Mettler-Toledo International Inc.* | | | | | 586,944 | | |
| | | 311,750 | | | | nVent Electric PLC | | | | | 8,566,890 | | |
| | | 3,732 | | | | PerkinElmer Inc. | | | | | 351,405 | | |
| | | 11,511 | | | | TE Connectivity Ltd. | | | | | 944,938 | | |
| | | 2,520 | | | | Waters Corp.* | | | | | 610,394 | | |
| | | | | | | Total Electronics | | | | | 52,508,578 | | |
| Engineering & Construction – 0.1% | | ||||||||||||
| | | 93,251 | | | | Fluor Corp. | | | | | 3,506,238 | | |
| | | 3,934 | | | | Jacobs Engineering Group Inc. | | | | | 290,250 | | |
| | | | | | | Total Engineering & Construction | | | | | 3,796,488 | | |
| Environmental Control – 0.8% | | ||||||||||||
| | | 154,974 | | | | Pentair PLC | | | | | 6,592,594 | | |
| | | 7,523 | | | | Republic Services Inc., Class A Shares | | | | | 590,029 | | |
| | | 180,300 | | | | Waste Management Inc. | | | | | 18,255,375 | | |
| | | | | | | Total Environmental Control | | | | | 25,437,998 | | |
| Hand/Machine Tools – 0.0% | | ||||||||||||
| | | 1,859 | | | | Snap-on Inc. | | | | | 297,440 | | |
| | | 5,026 | | | | Stanley Black & Decker Inc. | | | | | 665,593 | | |
| | | | | | | Total Hand/Machine Tools | | | | | 963,033 | | |
| Machinery-Construction & Mining – 0.1% | | ||||||||||||
| | | 19,983 | | | | Caterpillar Inc. | | | | | 2,744,465 | | |
| Machinery-Diversified – 1.1% | | ||||||||||||
| | | 281,292 | | | | Cognex Corp. | | | | | 15,020,993 | | |
| | | 26,861 | | | | Cummins Inc. | | | | | 4,139,011 | | |
| | | 39,852 | | | | Deere & Co. | | | | | 6,537,322 | | |
| | | 4,970 | | | | Dover Corp. | | | | | 449,934 | | |
| | | 4,696 | | | | Flowserve Corp. | | | | | 208,550 | | |
| | | 4,163 | | | | Rockwell Automation Inc. | | | | | 743,345 | | |
| | | 23,526 | | | | Roper Technologies Inc. | | | | | 7,614,190 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Machinery-Diversified – (continued) | | ||||||||||||
| | | 44,089 | | | | Wabtec Corp. | | | | $ | 3,229,960 | | |
| | | 6,117 | | | | Xylem Inc. | | | | | 462,139 | | |
| | | | | | | Total Machinery-Diversified | | | | | 38,405,444 | | |
| Miscellaneous Manufacturers – 1.2% | | ||||||||||||
| | | 19,728 | | | | 3M Co. | | | | | 4,091,390 | | |
| | | 69,093 | | | | AO Smith Corp. | | | | | 3,587,999 | | |
| | | 14,635 | | | | Eaton Corp. PLC | | | | | 1,167,434 | | |
| | | 1,190,059 | | | | General Electric Co. | | | | | 12,364,713 | | |
| | | 10,335 | | | | Illinois Tool Works Inc. | | | | | 1,489,067 | | |
| | | 8,254 | | | | Ingersoll-Rand PLC | | | | | 871,292 | | |
| | | 4,422 | | | | Parker-Hannifin Corp. | | | | | 778,980 | | |
| | | 340,690 | | | | Textron Inc. | | | | | 18,499,467 | | |
| | | | | | | Total Miscellaneous Manufacturers | | | | | 42,850,342 | | |
| Packaging & Containers – 0.0% | | ||||||||||||
| | | 11,732 | | | | Ball Corp. | | | | | 642,679 | | |
| | | 3,147 | | | | Packaging Corp. of America | | | | | 300,822 | | |
| | | 5,622 | | | | Sealed Air Corp. | | | | | 245,232 | | |
| | | 8,561 | | | | WestRock Co. | | | | | 320,010 | | |
| | | | | | | Total Packaging & Containers | | | | | 1,508,743 | | |
| Shipbuilding – 0.1% | | ||||||||||||
| | | 17,052 | | | | Huntington Ingalls Industries Inc. | | | | | 3,570,859 | | |
| Transportation – 1.1% | | ||||||||||||
| | | 4,674 | | | | CH Robinson Worldwide Inc. | | | | | 422,436 | | |
| | | 27,165 | | | | CSX Corp. | | | | | 1,974,081 | | |
| | | 5,865 | | | | Expeditors International of Washington Inc. | | | | | 439,582 | | |
| | | 45,275 | | | | FedEx Corp. | | | | | 8,194,775 | | |
| | | 2,928 | | | | JB Hunt Transport Services Inc. | | | | | 315,258 | | |
| | | 3,438 | | | | Kansas City Southern | | | | | 373,504 | | |
| | | 9,220 | | | | Norfolk Southern Corp. | | | | | 1,653,146 | | |
| | | 54,803 | | | | Union Pacific Corp. | | | | | 9,190,463 | | |
| | | 142,934 | | | | United Parcel Service Inc., Class B Shares | | | | | 15,751,327 | | |
| | | | | | | Total Transportation | | | | | 38,314,572 | | |
| | | | | | | TOTAL INDUSTRIAL | | | | | 339,777,350 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| TECHNOLOGY – 15.1% | | ||||||||||||
| Computers – 2.2% | | ||||||||||||
| | | 42,733 | | | | Accenture PLC, Class A Shares | | | | $ | 6,896,252 | | |
| | | 257,775 | | | | Apple Inc. | | | | | 44,633,741 | | |
| | | 19,635 | | | | Cognizant Technology Solutions Corp., Class A Shares | | | | | 1,393,692 | | |
| | | 9,311 | | | | DXC Technology Co. | | | | | 613,222 | | |
| | | 4,886 | | | | Fortinet Inc.* | | | | | 424,056 | | |
| | | 47,725 | | | | Hewlett Packard Enterprise Co. | | | | | 781,736 | | |
| | | 53,507 | | | | HP Inc. | | | | | 1,055,693 | | |
| | | 121,761 | | | | International Business Machines Corp. | | | | | 16,818,847 | | |
| | | 8,685 | | | | NetApp Inc. | | | | | 566,262 | | |
| | | 102,653 | | | | Seagate Technology PLC | | | | | 4,779,524 | | |
| | | 9,861 | | | | Western Digital Corp. | | | | | 496,008 | | |
| | | | | | | Total Computers | | | | | 78,459,033 | | |
| Office/Business Equipment – 0.0% | | ||||||||||||
| | | 7,441 | | | | Xerox Corp. | | | | | 229,927 | | |
| Semiconductors – 4.2% | | ||||||||||||
| | | 171,339 | | | | Advanced Micro Devices Inc.* | | | | | 4,031,607 | | |
| | | 12,536 | | | | Analog Devices Inc. | | | | | 1,340,851 | | |
| | | 367,209 | | | | Applied Materials Inc. | | | | | 14,078,793 | | |
| | | 25,217 | | | | ASML Holding NV, Class NY Registered Shares, ADR | | | | | 4,611,433 | | |
| | | 73,503 | | | | Broadcom Inc. | | | | | 20,239,786 | | |
| | | 1,117,686 | | | | Cypress Semiconductor Corp. | | | | | 17,245,895 | | |
| | | 476,583 | | | | Intel Corp. | | | | | 25,239,836 | | |
| | | 23,273 | | | | IPG Photonics Corp.* | | | | | 3,608,013 | | |
| | | 5,270 | | | | KLA-Tencor Corp. | | | | | 608,632 | | |
| | | 5,215 | | | | Lam Research Corp. | | | | | 918,310 | | |
| | | 267,556 | | | | Maxim Integrated Products Inc. | | | | | 14,563,073 | | |
| | | 7,884 | | | | Microchip Technology Inc. | | | | | 684,883 | | |
| | | 37,954 | | | | Micron Technology Inc.* | | | | | 1,551,559 | | |
| | | 167,865 | | | | NVIDIA Corp. | | | | | 25,894,855 | | |
| | | 4,482 | | | | Qorvo Inc.* | | | | | 314,367 | | |
| | | 105,514 | | | | QUALCOMM Inc. | | | | | 5,633,392 | | |
| | | 6,056 | | | | Skyworks Solutions Inc. | | | | | 494,533 | | |
| | | 32,537 | | | | Texas Instruments Inc. | | | | | 3,441,764 | | |
| | | 8,536 | | | | Xilinx Inc. | | | | | 1,069,561 | | |
| | | | | | | Total Semiconductors | | | | | 145,571,143 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| TECHNOLOGY – (continued) | | ||||||||||||
| Software – 8.7% | | ||||||||||||
| | | 354,280 | | | | Activision Blizzard Inc. | | | | $ | 14,929,359 | | |
| | | 82,998 | | | | Adobe Inc.* | | | | | 21,786,975 | | |
| | | 5,493 | | | | Akamai Technologies Inc.* | | | | | 382,642 | | |
| | | 2,859 | | | | ANSYS Inc.* | | | | | 506,786 | | |
| | | 28,605 | | | | Autodesk Inc.* | | | | | 4,662,901 | | |
| | | 3,966 | | | | Broadridge Financial Solutions Inc. | | | | | 401,557 | | |
| | | 9,628 | | | | Cadence Design Systems Inc.* | | | | | 551,203 | | |
| | | 10,966 | | | | Cerner Corp.* | | | | | 613,548 | | |
| | | 4,381 | | | | Citrix Systems Inc. | | | | | 462,195 | | |
| | | 57,833 | | | | Electronic Arts Inc.* | | | | | 5,539,245 | | |
| | | 51,205 | | | | Fidelity National Information Services Inc. | | | | | 5,537,821 | | |
| | | 69,740 | | | | Fiserv Inc.* | | | | | 5,906,281 | | |
| | | 56,172 | | | | Intuit Inc. | | | | | 13,881,786 | | |
| | | 2,600 | | | | Jack Henry & Associates Inc. | | | | | 344,838 | | |
| | | 655,690 | | | | Microsoft Corp. | | | | | 73,456,951 | | |
| | | 65,929 | | | | MSCI Inc., Class A Shares | | | | | 12,178,405 | | |
| | | 554,437 | | | | Oracle Corp. | | | | | 28,902,801 | | |
| | | 10,740 | | | | Paychex Inc. | | | | | 827,195 | | |
| | | 43,196 | | | | Red Hat Inc.* | | | | | 7,887,590 | | |
| | | 294,678 | | | | salesforce.com Inc.* | | | | | 48,224,055 | | |
| | | 94,005 | | | | ServiceNow Inc.* | | | | | 22,508,557 | | |
| | | 169,401 | | | | Splunk Inc.* | | | | | 23,018,208 | | |
| | | 5,116 | | | | Synopsys Inc.* | | | | | 520,195 | | |
| | | 3,866 | | | | Take-Two Interactive Software Inc.* | | | | | 337,347 | | |
| | | 33,180 | | | | VMware Inc., Class A Shares | | | | | 5,700,656 | | |
| | | 30,007 | | | | Workday Inc., Class A Shares* | | | | | 5,939,285 | | |
| | | | | | | Total Software | | | | | 305,008,382 | | |
| | | | | | | TOTAL TECHNOLOGY | | | | | 529,268,485 | | |
| UTILITIES – 1.9% | | ||||||||||||
| Electric – 1.9% | | ||||||||||||
| | | 1,001,875 | | | | AES Corp. | | | | | 17,262,306 | | |
| | | 7,883 | | | | Alliant Energy Corp. | | | | | 361,593 | | |
| | | 8,428 | | | | Ameren Corp. | | | | | 600,411 | | |
| | | 16,738 | | | | American Electric Power Co., Inc. | | | | | 1,358,289 | | |
| | | 17,199 | | | | CenterPoint Energy Inc. | | | | | 518,378 | | |
| | | 9,750 | | | | CMS Energy Corp. | | | | | 530,400 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| UTILITIES – (continued) | | ||||||||||||
| Electric – (continued) | | ||||||||||||
| | | 10,707 | | | | Consolidated Edison Inc. | | | | $ | 882,792 | | |
| | | 25,887 | | | | Dominion Energy Inc. | | | | | 1,917,968 | | |
| | | 6,279 | | | | DTE Energy Co. | | | | | 775,833 | | |
| | | 24,156 | | | | Duke Energy Corp. | | | | | 2,165,827 | | |
| | | 277,436 | | | | Edison International | | | | | 16,615,642 | | |
| | | 6,244 | | | | Entergy Corp. | | | | | 582,753 | | |
| | | 9,049 | | | | Evergy Inc. | | | | | 505,930 | | |
| | | 10,617 | | | | Eversource Energy | | | | | 741,173 | | |
| | | 32,830 | | | | Exelon Corp. | | | | | 1,595,210 | | |
| | | 16,221 | | | | FirstEnergy Corp. | | | | | 661,006 | | |
| | | 36,250 | | | | NextEra Energy Inc. | | | | | 6,804,850 | | |
| | | 9,847 | | | | NRG Energy Inc. | | | | | 410,423 | | |
| | | 3,760 | | | | Pinnacle West Capital Corp. | | | | | 352,462 | | |
| | | 24,073 | | | | PPL Corp. | | | | | 774,428 | | |
| | | 17,028 | | | | Public Service Enterprise Group Inc. | | | | | 1,001,417 | | |
| | | 48,609 | | | | Sempra Energy | | | | | 5,854,468 | | |
| | | 34,821 | | | | Southern Co. | | | | | 1,730,255 | | |
| | | 10,623 | | | | WEC Energy Group Inc. | | | | | 810,322 | | |
| | | 17,328 | | | | Xcel Energy Inc. | | | | | 950,614 | | |
| | | | | | | Total Electric | | | | | 65,764,750 | | |
| Gas – 0.0% | | ||||||||||||
| | | 3,956 | | | | Atmos Energy Corp. | | | | | 391,050 | | |
| | | 12,118 | | | | NiSource Inc. | | | | | 326,944 | | |
| | | | | | | Total Gas | | | | | 717,994 | | |
| Water – 0.0% | | ||||||||||||
| | | 5,995 | | | | American Water Works Co., Inc. | | | | | 609,212 | | |
| | | | | | | TOTAL UTILITIES | | | | | 67,091,956 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $2,940,266,332) | | | | | 3,388,781,086 | | |
| PREFERRED STOCK – 0.0% | | ||||||||||||
| TECHNOLOGY – 0.0% | | ||||||||||||
| Software – 0.0% | | ||||||||||||
| | | 15,057 | | | | Magic Leap Inc., Series D, Private Placement(b)(c)@ (Cost – $406,539) | | | | | 406,539 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $2,940,672,871) | | | | | 3,389,187,625 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – 2.8% | | ||||||||||||
| TIME DEPOSITS – 2.8% | | ||||||||||||
| | $ | 8,849,608 | | | | Banco Bilbao Vizcaya Argentaria SA – Madrid, 1.750% due 3/1/19 | | | | $ | 8,849,608 | | |
| | | 28,340,084 | | | | Barclays Bank PLC – London, 1.750% due 3/1/19 | | | | | 28,340,084 | | |
| | | | | | | Brown Brothers Harriman – Grand Cayman: | | | |||||
| | | 6,022HKD | | | | 0.360% due 3/1/19 | | | | | 767 | | |
| | | 4GBP | | | | 0.360% due 3/1/19 | | | | | 6 | | |
| | | 6,191CAD | | | | 0.820% due 3/1/19 | | | | | 4,705 | | |
| | | 20,977,738 | | | | Citibank – New York, 1.750% due 3/1/19 | | | | | 20,977,738 | | |
| | | 6,233,637 | | | | JPMorgan Chase & Co. – New York, 1.750% due 3/1/19 | | | | | 6,233,637 | | |
| | | 9,175,039 | | | | Standard Chartered Bank – London, 1.750% due 3/1/19 | | | | | 9,175,039 | | |
| | | 24,202,173 | | | | Sumitomo Mitsui Banking Corp. – Tokyo, 1.750% due 3/1/19 | | | | | 24,202,173 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $97,783,757) | | | | | 97,783,757 | | |
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 0.4% | | ||||||||||||
| MONEY MARKET FUND – 0.4% | | ||||||||||||
| | | 13,388,335 | | | | Federated Government Obligations Fund, Premier Class, 2.363%(d) (Cost – $13,388,335) | | | | | 13,388,335 | | |
| | | | | | | TOTAL INVESTMENTS – 100.1% (Cost – $3,051,844,963#) | | | | | 3,500,359,717 | | |
| | | | | | | Liabilities in Excess of Other Assets – (0.1)% | | | | | (3,880,037) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 3,496,479,680 | | |
|
Security | | | Acquisition Date | | | Acquisition Cost | | | Market Value | | | Percent of Net Assets | | ||||||||||||
Ant International Co., Ltd., Class C Shares, Private Placement | | | | | 6/7/18 | | | | | $ | 1,584,623 | | | | | $ | 1,584,623 | | | | | | 0.05% | | |
Magic Leap Inc., Series D, Private Placement | | | | | 10/12/17 | | | | | | 406,539 | | | | | | 406,539 | | | | | | 0.01% | | |
Total | | | | | | | | | | | | | | | | $ | 1,991,162 | | | | | | 0.06% | | |
|
| Consumer Non-cyclical | | | | | 23.8% | | |
| Communications | | | | | 16.6 | | |
| Financial | | | | | 15.4 | | |
| Technology | | | | | 15.1 | | |
| Industrial | | | | | 9.7 | | |
| Consumer Cyclical | | | | | 7.0 | | |
| Energy | | | | | 5.6 | | |
| Utilities | | | | | 1.9 | | |
| Basic Materials | | | | | 1.7 | | |
| Short-Term Investments | | | | | 2.8 | | |
| Money Market Fund | | | | | 0.4 | | |
| | | | | | 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 March Futures | | | | | 77 | | | | | | 3/19 | | | | | $ | 9,913,223 | | | | | $ | 10,721,288 | | | | | $ | 808,065 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 83.5% | | ||||||||||||
| BASIC MATERIALS – 2.7% | | ||||||||||||
| Chemicals – 2.2% | | ||||||||||||
| | | 117,000 | | | | Cabot Corp. | | | | $ | 5,484,960 | | |
| | | 158,040 | | | | Codexis Inc.* | | | | | 3,416,825 | | |
| | | 36,844 | | | | HB Fuller Co. | | | | | 1,859,885 | | |
| | | 11,372 | | | | Ingevity Corp.* | | | | | 1,310,282 | | |
| | | 91,782 | | | | Olin Corp. | | | | | 2,373,482 | | |
| | | 29,676 | | | | Sensient Technologies Corp. | | | | | 1,920,037 | | |
| | | 143,380 | | | | Valvoline Inc. | | | | | 2,694,110 | | |
| | | 35,152 | | | | WR Grace & Co. | | | | | 2,730,256 | | |
| | | | | | | Total Chemicals | | | | | 21,789,837 | | |
| Iron/Steel – 0.3% | | ||||||||||||
| | | 89,671 | | | | Allegheny Technologies Inc.* | | | | | 2,567,281 | | |
| Mining – 0.2% | | ||||||||||||
| | | 91,280 | | | | Livent Corp.*(a) | | | | | 1,168,384 | | |
| | | 10,886 | | | | Materion Corp. | | | | | 628,993 | | |
| | | | | | | Total Mining | | | | | 1,797,377 | | |
| | | | | | | TOTAL BASIC MATERIALS | | | | | 26,154,495 | | |
| COMMUNICATIONS – 4.7% | | ||||||||||||
| Advertising – 1.1% | | ||||||||||||
| | | 214,400 | | | | Interpublic Group of Cos., Inc. | | | | | 4,937,632 | | |
| | | 82,800 | | | | Omnicom Group Inc. | | | | | 6,267,960 | | |
| | | | | | | Total Advertising | | | | | 11,205,592 | | |
| Internet – 1.1% | | ||||||||||||
| | | 36,058 | | | | Attunity Ltd.* | | | | | 843,036 | | |
| | | 28,668 | | | | Cogent Communications Holdings Inc. | | | | | 1,396,418 | | |
| | | 62,294 | | | | Mimecast Ltd.* | | | | | 3,007,555 | | |
| | | 178,513 | | | | QuinStreet Inc.* | | | | | 2,390,289 | | |
| | | 72,262 | | | | Zscaler Inc.* | | | | | 3,589,976 | | |
| | | | | | | Total Internet | | | | | 11,227,274 | | |
| Media – 1.3% | | ||||||||||||
| | | 109,600 | | | | Meredith Corp.(a) | | | | | 6,276,792 | | |
| | | 39,623 | | | | Nexstar Media Group Inc., Class A Shares | | | | | 3,872,356 | | |
| | | 47,518 | | | | Tribune Media Co., Class A Shares | | | | | 2,196,757 | | |
| | | | | | | Total Media | | | | | 12,345,905 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| COMMUNICATIONS – (continued) | | ||||||||||||
| Telecommunications – 1.2% | | ||||||||||||
| | | 57,800 | | | | Motorola Solutions Inc. | | | | $ | 8,272,336 | | |
| | | 232,846 | | | | Viavi Solutions Inc.* | | | | | 3,057,268 | | |
| | | | | | | Total Telecommunications | | | | | 11,329,604 | | |
| | | | | | | TOTAL COMMUNICATIONS | | | | | 46,108,375 | | |
| CONSUMER CYCLICAL – 7.4% | | ||||||||||||
| Airlines – 1.0% | | ||||||||||||
| | | 234,824 | | | | Controladora Vuela Cia de Aviacion SAB de CV, ADR* | | | | | 2,014,790 | | |
| | | 123,500 | | | | Delta Air Lines Inc. | | | | | 6,123,130 | | |
| | | 175,921 | | | | Mesa Air Group Inc.* | | | | | 1,771,524 | | |
| | | | | | | Total Airlines | | | | | 9,909,444 | | |
| Apparel – 0.8% | | ||||||||||||
| | | 21,388 | | | | Carter’s Inc. | | | | | 2,084,047 | | |
| | | 138,197 | | | | Crocs Inc.* | | | | | 3,548,899 | | |
| | | 17,737 | | | | Oxford Industries Inc. | | | | | 1,401,755 | | |
| | | 34,003 | | | | Steven Madden Ltd. | | | | | 1,121,759 | | |
| | | | | | | Total Apparel | | | | | 8,156,460 | | |
| Auto Parts & Equipment – 0.6% | | ||||||||||||
| | | 53,749 | | | | Altra Industrial Motion Corp. | | | | | 1,709,756 | | |
| | | 105,200 | | | | BorgWarner Inc. | | | | | 4,272,172 | | |
| | | | | | | Total Auto Parts & Equipment | | | | | 5,981,928 | | |
| Entertainment – 0.4% | | ||||||||||||
| | | 38,582 | | | | Eldorado Resorts Inc.* | | | | | 1,860,038 | | |
| | | 35,678 | | | | Golden Entertainment Inc.* | | | | | 650,053 | | |
| | | 27,128 | | | | Monarch Casino & Resort Inc.* | | | | | 1,189,563 | | |
| | | | | | | Total Entertainment | | | | | 3,699,654 | | |
| Home Builders – 0.6% | | ||||||||||||
| | | 32,455 | | | | Installed Building Products Inc.* | | | | | 1,415,687 | | |
| | | 33,019 | | | | LGI Homes Inc.*(a) | | | | | 1,951,423 | | |
| | | 117,428 | | | | Skyline Champion Corp. | | | | | 2,332,120 | | |
| | | | | | | Total Home Builders | | | | | 5,699,230 | | |
| Leisure Time – 0.7% | | ||||||||||||
| | | 78,593 | | | | Malibu Boats Inc., Class A Shares* | | | | | 3,631,782 | | |
| | | 76,362 | | | | MasterCraft Boat Holdings Inc.* | | | | | 1,883,851 | | |
| | | 91,663 | | | | Vista Outdoor Inc.* | | | | | 816,717 | | |
| | | | | | | Total Leisure Time | | | | | 6,332,350 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – (continued) | | ||||||||||||
| Lodging – 0.6% | | ||||||||||||
| | | 158,485 | | | | Century Casinos Inc.* | | | | $ | 1,336,028 | | |
| | | 175,500 | | | | MGM Resorts International | | | | | 4,694,625 | | |
| | | | | | | Total Lodging | | | | | 6,030,653 | | |
| Retail – 2.6% | | ||||||||||||
| | | 117,878 | | | | Boot Barn Holdings Inc.* | | | | | 3,359,523 | | |
| | | 112,270 | | | | Del Frisco’s Restaurant Group Inc.* | | | | | 950,927 | | |
| | | 64,331 | | | | El Pollo Loco Holdings Inc.* | | | | | 973,328 | | |
| | | 78,331 | | | | Freshpet Inc.* | | | | | 3,228,804 | | |
| | | 63,306 | | | | Lovesac Co.*(a) | | | | | 1,916,273 | | |
| | | 30,407 | | | | Luxfer Holdings PLC, ADR | | | | | 571,956 | | |
| | | 81,369 | | | | Michaels Cos., Inc.* | | | | | 1,150,558 | | |
| | | 38,736 | | | | Movado Group Inc. | | | | | 1,356,922 | | |
| | | 176,682 | | | | Noodles & Co., Class A Shares* | | | | | 1,385,187 | | |
| | | 87,940 | | | | PetIQ Inc., Class A Shares* | | | | | 2,647,873 | | |
| | | 38,069 | | | | Tailored Brands Inc. | | | | | 493,374 | | |
| | | 146,800 | | | | Tapestry Inc. | | | | | 5,129,192 | | |
| | | 34,747 | | | | Wingstop Inc. | | | | | 2,314,498 | | |
| | | | | | | Total Retail | | | | | 25,478,415 | | |
| Toys/Games/Hobbies – 0.1% | | ||||||||||||
| | | 73,048 | | | | Funko Inc., Class A Shares*(a) | | | | | 1,452,925 | | |
| | | | | | | TOTAL CONSUMER CYCLICAL | | | | | 72,741,059 | | |
| CONSUMER NON-CYCLICAL – 18.5% | | ||||||||||||
| Agriculture – 0.2% | | ||||||||||||
| | | 81,837 | | | | Limoneira Co. | | | | | 1,914,986 | | |
| Beverages – 0.2% | | ||||||||||||
| | | 131,704 | | | | Primo Water Corp.* | | | | | 1,932,098 | | |
| Biotechnology – 1.9% | | ||||||||||||
| | | 57,260 | | | | Acer Therapeutics Inc.*(b) | | | | | 1,357,062 | | |
| | | 30,586 | | | | Allakos Inc.* | | | | | 1,222,217 | | |
| | | 38,754 | | | | Argenx SE, ADR* | | | | | 5,165,521 | | |
| | | 31,564 | | | | Atara Biotherapeutics Inc.* | | | | | 1,130,307 | | |
| | | 35,773 | | | | Deciphera Pharmaceuticals Inc.* | | | | | 1,015,953 | | |
| | | 164,997 | | | | NeoGenomics Inc.* | | | | | 3,233,941 | | |
| | | 86,010 | | | | Orchard Therapeutics PLC, ADR*(a) | | | | | 1,475,072 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Biotechnology – (continued) | | ||||||||||||
| | | 15,042 | | | | Twist Bioscience Corp.*(a) | | | | $ | 327,464 | | |
| | | 199,720 | | | | Vericel Corp.* | | | | | 3,736,761 | | |
| | | | | | | Total Biotechnology | | | | | 18,664,298 | | |
| Commercial Services – 1.8% | | ||||||||||||
| | | 47,846 | | | | Huron Consulting Group Inc.* | | | | | 2,192,304 | | |
| | | 111,456 | | | | I3 Verticals Inc., Class A Shares* | | | | | 2,345,034 | | |
| | | 53,134 | | | | K12 Inc.* | | | | | 1,702,413 | | |
| | | 53,955 | | | | Kelly Services Inc., Class A Shares | | | | | 1,301,934 | | |
| | | 52,958 | | | | Korn Ferry | | | | | 2,583,821 | | |
| | | 35,539 | | | | Matthews International Corp., Class A Shares | | | | | 1,413,386 | | |
| | | 11,830 | | | | Medifast Inc. | | | | | 1,507,497 | | |
| | | 158,815 | | | | Team Inc.* | | | | | 2,480,690 | | |
| | | 54,970 | | | | Willdan Group Inc.* | | | | | 2,082,264 | | |
| | | | | | | Total Commercial Services | | | | | 17,609,343 | | |
| Food – 3.1% | | ||||||||||||
| | | 2,601 | | | | B&G Foods Inc.(a) | | | | | 64,037 | | |
| | | 9,106 | | | | Calavo Growers Inc. | | | | | 775,194 | | |
| | | 68,745 | | | | Chefs' Warehouse Inc.* | | | | | 2,200,527 | | |
| | | 182,500 | | | | Conagra Brands Inc. | | | | | 4,265,025 | | |
| | | 162,885 | | | | Darling Ingredients Inc.* | | | | | 3,580,212 | | |
| | | 66,469 | | | | Hain Celestial Group Inc.* | | | | | 1,307,445 | | |
| | | 186,463 | | | | Hostess Brands Inc., Class A Shares* | | | | | 2,263,661 | | |
| | | 141,200 | | | | Kellogg Co. | | | | | 7,943,912 | | |
| | | 64,358 | | | | Performance Food Group Co.* | | | | | 2,479,714 | | |
| | | 13,414 | | | | Sanderson Farms Inc. | | | | | 1,545,293 | | |
| | | 55,382 | | | | TreeHouse Foods Inc.* | | | | | 3,355,042 | | |
| | | | | | | Total Food | | | | | 29,780,062 | | |
| Healthcare-Products – 5.5% | | ||||||||||||
| | | 98,888 | | | | BioLife Solutions Inc.* | | | | | 1,884,805 | | |
| | | 118,384 | | | | CareDx Inc.* | | | | | 3,684,110 | | |
| | | 131,286 | | | | Cerus Corp.* | | | | | 854,672 | | |
| | | 74,730 | | | | Establishment Labs Holdings Inc.*(a)(b) | | | | | 1,910,099 | | |
| | | 11,478 | | | | Inogen Inc.* | | | | | 1,233,426 | | |
| | | 67,622 | | | | Inspire Medical Systems Inc.* | | | | | 4,192,564 | | |
| | | 35,761 | | | | iRhythm Technologies Inc.* | | | | | 3,425,546 | | |
| | | 66,125 | | | | Nuvectra Corp.* | | | | | 831,191 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Healthcare-Products – (continued) | | ||||||||||||
| | | 103,073 | | | | OrthoPediatrics Corp.*(b) | | | | $ | 4,237,331 | | |
| | | 62,208 | | | | Patterson Cos., Inc. | | | | | 1,402,790 | | |
| | | 82,392 | | | | Sientra Inc.* | | | | | 912,079 | | |
| | | 75,290 | | | | Tactile Systems Technology Inc.* | | | | | 5,722,793 | | |
| | | 89,797 | | | | Tandem Diabetes Care Inc.* | | | | | 5,887,989 | | |
| | | 141,200 | | | | Zimmer Biomet Holdings Inc. | | | | | 17,525,744 | | |
| | | | | | | Total Healthcare-Products | | | | | 53,705,139 | | |
| Healthcare-Services – 2.7% | | ||||||||||||
| | | 15,413 | | | | Charles River Laboratories International Inc.* | | | | | 2,191,266 | | |
| | | 66,200 | | | | Humana Inc. | | | | | 18,869,648 | | |
| | | 108,177 | | | | SI-BONE Inc.* | | | | | 2,241,428 | | |
| | | 24,981 | | | | Teladoc Health Inc.* | | | | | 1,607,777 | | |
| | | 56,390 | | | | Vapotherm Inc.*(b) | | | | | 1,096,222 | | |
| | | | | | | Total Healthcare-Services | | | | | 26,006,341 | | |
| Household Products/Wares – 0.1% | | ||||||||||||
| | | 26,043 | | | | Spectrum Brands Holdings Inc. | | | | | 1,410,749 | | |
| Pharmaceuticals – 3.0% | | ||||||||||||
| | | 105,800 | | | | AmerisourceBergen Corp., Class A Shares | | | | | 8,813,140 | | |
| | | 222,396 | | | | Array BioPharma Inc.* | | | | | 5,101,764 | | |
| | | 52,764 | | | | Clementia Pharmaceuticals Inc.* | | | | | 1,362,894 | | |
| | | 24,754 | | | | Global Blood Therapeutics Inc.* | | | | | 1,299,585 | | |
| | | 45,884 | | | | Mirati Therapeutics Inc.* | | | | | 3,340,355 | | |
| | | 67,118 | | | | MyoKardia Inc.* | | | | | 3,010,242 | | |
| | | 81,763 | | | | Prestige Consumer Healthcare Inc.* | | | | | 2,392,385 | | |
| | | 37,871 | | | | Principia Biopharma Inc.* | | | | | 1,341,391 | | |
| | | 25,458 | | | | Reata Pharmaceuticals Inc., Class A Shares* | | | | | 2,401,708 | | |
| | | 38,265 | | | | Sutro Biopharma Inc.*(b) | | | | | 336,732 | | |
| | | 35,796 | | | | Tricida Inc.* | | | | | 827,962 | | |
| | | | | | | Total Pharmaceuticals | | | | | 30,228,158 | | |
| | | | | | | TOTAL CONSUMER NON-CYCLICAL | | | | | 181,251,174 | | |
| ENERGY – 5.0% | | ||||||||||||
| Energy-Alternate Sources – 0.2% | | ||||||||||||
| | | 73,513 | | | | TPI Composites Inc.* | | | | | 2,220,828 | | |
| Oil & Gas – 3.6% | | ||||||||||||
| | | 321,233 | | | | Callon Petroleum Co.* | | | | | 2,457,432 | | |
| | | 106,508 | | | | Carrizo Oil & Gas Inc.* | | | | | 1,169,458 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| ENERGY – (continued) | | ||||||||||||
| Oil & Gas – (continued) | | ||||||||||||
| | | 176,700 | | | | Devon Energy Corp. | | | | $ | 5,214,417 | | |
| | | 61,900 | | | | Diamondback Energy Inc. | | | | | 6,371,367 | | |
| | | 60,937 | | | | Geopark Ltd.* | | | | | 1,169,381 | | |
| | | 141,600 | | | | Marathon Petroleum Corp. | | | | | 8,780,616 | | |
| | | 43,494 | | | | Murphy USA Inc.* | | | | | 3,382,528 | | |
| | | 233,900 | | | | Noble Energy Inc. | | | | | 5,180,885 | | |
| | | 122,926 | | | | SRC Energy Inc.* | | | | | 565,460 | | |
| | | | | | | Total Oil & Gas | | | | | 34,291,544 | | |
| Oil & Gas Services – 0.4% | | ||||||||||||
| | | 32,021 | | | | DMC Global Inc. | | | | | 1,504,347 | | |
| | | 80,331 | | | | Select Energy Services Inc., Class A Shares* | | | | | 809,736 | | |
| | | 99,882 | | | | Solaris Oilfield Infrastructure Inc., Class A Shares(a) | | | | | 1,697,994 | | |
| | | | | | | Total Oil & Gas Services | | | | | 4,012,077 | | |
| Pipelines – 0.8% | | ||||||||||||
| | | 300,200 | | | | Williams Cos., Inc. | | | | | 8,012,338 | | |
| | | | | | | TOTAL ENERGY | | | | | 48,536,787 | | |
| FINANCIAL – 18.0% | | ||||||||||||
| Banks – 5.7% | | ||||||||||||
| | | 80,122 | | | | Bank of NT Butterfield & Son Ltd. | | | | | 3,264,170 | | |
| | | 89,512 | | | | BankUnited Inc. | | | | | 3,266,293 | | |
| | | 30,728 | | | | Chemical Financial Corp. | | | | | 1,408,264 | | |
| | | 35,597 | | | | Eagle Bancorp Inc.* | | | | | 2,106,987 | | |
| | | 154,492 | | | | First Horizon National Corp. | | | | | 2,414,710 | | |
| | | 278,596 | | | | FNB Corp. | | | | | 3,410,015 | | |
| | | 50,005 | | | | IBERIABANK Corp. | | | | | 3,911,891 | | |
| | | 62,070 | | | | MB Financial Inc. | | | | | 2,809,909 | | |
| | | 31,922 | | | | Meta Financial Group Inc. | | | | | 745,379 | | |
| | | 50,389 | | | | OFG Bancorp | | | | | 1,042,548 | | |
| | | 206,400 | | | | PacWest Bancorp | | | | | 8,466,528 | | |
| | | 190,100 | | | | Pinnacle Financial Partners Inc. | | | | | 11,156,969 | | |
| | | 53,087 | | | | TriState Capital Holdings Inc.* | | | | | 1,200,297 | | |
| | | 89,736 | | | | Univest Financial Corp. | | | | | 2,378,901 | | |
| | | 169,800 | | | | Zions Bancorp N.A. | | | | | 8,676,780 | | |
| | | | | | | Total Banks | | | | | 56,259,641 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Diversified Financial Services – 2.5% | | ||||||||||||
| | | 108,391 | | | | 3PEA International Inc.* | | | | $ | 797,758 | | |
| | | 73,700 | | | | Affiliated Managers Group Inc. | | | | | 8,078,257 | | |
| | | 42,400 | | | | Ameriprise Financial Inc. | | | | | 5,581,112 | | |
| | | 109,400 | | | | Capital One Financial Corp. | | | | | 9,143,652 | | |
| | | 25,613 | | | | Federated Investors Inc., Class B Shares | | | | | 761,987 | | |
| | | | | | | Total Diversified Financial Services | | | | | 24,362,766 | | |
| Equity Real Estate Investment Trusts (REITs) – 4.4% | | ||||||||||||
| | | 167,400 | | | | American Campus Communities Inc. | | | | | 7,543,044 | | |
| | | 354,500 | | | | American Homes 4 Rent, Class A Shares | | | | | 7,742,280 | | |
| | | 42,251 | | | | Americold Realty Trust | | | | | 1,214,716 | | |
| | | 109,317 | | | | Blackstone Mortgage Trust Inc., Class A Shares | | | | | 3,769,250 | | |
| | | 108,695 | | | | Columbia Property Trust Inc. | | | | | 2,351,073 | | |
| | | 81,011 | | | | Corporate Office Properties Trust | | | | | 2,105,476 | | |
| | | 488,000 | | | | Cousins Properties Inc. | | | | | 4,645,760 | | |
| | | 50,100 | | | | Crown Castle International Corp. | | | | | 5,949,375 | | |
| | | 15,564 | | | | Innovative Industrial Properties Inc., Class A Shares(a) | | | | | 1,229,400 | | |
| | | 135,064 | | | | Lexington Realty Trust | | | | | 1,254,745 | | |
| | | 292,600 | | | | Medical Properties Trust Inc. | | | | | 5,334,098 | | |
| | | | | | | Total Equity Real Estate Investment Trusts (REITs) | | | | | 43,139,217 | | |
| Insurance – 4.4% | | ||||||||||||
| | | 190,800 | | | | American International Group Inc. | | | | | 8,242,560 | | |
| | | 37,025 | | | | eHealth Inc.* | | | | | 1,977,506 | | |
| | | 66,764 | | | | Goosehead Insurance Inc., Class A Shares*(a) | | | | | 2,106,404 | | |
| | | 8,986 | | | | Hanover Insurance Group Inc. | | | | | 1,066,728 | | |
| | | 212,300 | | | | Hartford Financial Services Group Inc. | | | | | 10,479,128 | | |
| | | 30,559 | | | | Kinsale Capital Group Inc. | | | | | 2,040,119 | | |
| | | 150,787 | | | | National General Holdings Corp. | | | | | 3,891,812 | | |
| | | 94,499 | | | | NMI Holdings Inc., Class A Shares* | | | | | 2,282,151 | | |
| | | 70,300 | | | | Progressive Corp. | | | | | 5,124,870 | | |
| | | 39,300 | | | | Willis Towers Watson PLC | | | | | 6,760,386 | | |
| | | | | | | Total Insurance | | | | | 43,971,664 | | |
| Private Equity – 0.3% | | ||||||||||||
| | | 199,646 | | | | Hercules Capital Inc. | | | | | 2,795,044 | | |
| Real Estate – 0.1% | | ||||||||||||
| | | 52,311 | | | | Legacy Housing Corp.* | | | | | 734,970 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Savings & Loans – 0.6% | | ||||||||||||
| | | 77,501 | | | | Banc of California Inc. | | | | $ | 1,342,317 | | |
| | | 206,543 | | | | Sterling Bancorp | | | | | 4,199,019 | | |
| | | | | | | Total Savings & Loans | | | | | 5,541,336 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 176,804,638 | | |
| INDUSTRIAL – 13.1% | | ||||||||||||
| Aerospace/Defense – 1.3% | | ||||||||||||
| | | 147,181 | | | | Kratos Defense & Security Solutions Inc.* | | | | | 2,530,041 | | |
| | | 47,700 | | | | L3 Technologies Inc. | | | | | 10,100,475 | | |
| | | | | | | Total Aerospace/Defense | | | | | 12,630,516 | | |
| Building Materials – 2.2% | | ||||||||||||
| | | 19,711 | | | | American Woodmark Corp.* | | | | | 1,679,377 | | |
| | | 201,700 | | | | Louisiana-Pacific Corp. | | | | | 5,096,959 | | |
| | | 41,600 | | | | Martin Marietta Materials Inc. | | | | | 7,812,480 | | |
| | | 70,200 | | | | Masco Corp. | | | | | 2,636,712 | | |
| | | 20,889 | | | | Masonite International Corp.* | | | | | 1,158,295 | | |
| | | 67,218 | | | | PGT Innovations Inc.* | | | | | 1,013,648 | | |
| | | 114,568 | | | | Summit Materials Inc., Class A Shares* | | | | | 1,947,656 | | |
| | | | | | | Total Building Materials | | | | | 21,345,127 | | |
| Electrical Components & Equipment – 2.1% | | ||||||||||||
| | | 24,875 | | | | Belden Inc. | | | | | 1,537,026 | | |
| | | 246,900 | | | | Energizer Holdings Inc. | | | | | 11,327,772 | | |
| | | 42,233 | | | | Generac Holdings Inc.* | | | | | 2,177,534 | | |
| | | 46,700 | | | | Hubbell Inc., Class B Shares | | | | | 5,512,935 | | |
| | | | | | | Total Electrical Components & Equipment | | | | | 20,555,267 | | |
| Electronics – 0.6% | | ||||||||||||
| | | 361,056 | | | | Fluidigm Corp.* | | | | | 3,993,279 | | |
| | | 24,624 | | | | IntriCon Corp.* | | | | | 662,878 | | |
| | | 28,416 | | | | ShotSpotter Inc.* | | | | | 1,419,095 | | |
| | | | | | | Total Electronics | | | | | 6,075,252 | | |
| Engineering & Construction – 0.8% | | ||||||||||||
| | | 32,546 | | | | Argan Inc. | | | | | 1,513,389 | | |
| | | 19,018 | | | | Comfort Systems USA Inc. | | | | | 1,019,745 | | |
| | | 21,691 | | | | EMCOR Group Inc. | | | | | 1,564,572 | | |
| | | 28,856 | | | | NV5 Global Inc.* | | | | | 2,287,126 | | |
| | | 77,972 | | | | Sterling Construction Co., Inc.* | | | | | 1,139,171 | | |
| | | | | | | Total Engineering & Construction | | | | | 7,524,003 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Environmental Control – 0.4% | | ||||||||||||
| | | 48,627 | | | | Casella Waste Systems Inc., Class A Shares* | | | | $ | 1,715,561 | | |
| | | 34,483 | | | | Clean Harbors Inc.* | | | | | 2,344,844 | | |
| | | | | | | Total Environmental Control | | | | | 4,060,405 | | |
| Hand/Machine Tools – 0.8% | | ||||||||||||
| | | 156,975 | | | | Milacron Holdings Corp.* | | | | | 2,196,080 | | |
| | | 28,248 | | | | Regal Beloit Corp. | | | | | 2,366,053 | | |
| | | 26,800 | | | | Stanley Black & Decker Inc. | | | | | 3,549,124 | | |
| | | | | | | Total Hand/Machine Tools | | | | | 8,111,257 | | |
| Machinery-Construction & Mining – 0.2% | | ||||||||||||
| | | 22,111 | | | | Bloom Energy Corp., Class A Shares* | | | | | 319,946 | | |
| | | 42,363 | | | | BWX Technologies Inc. | | | | | 2,217,703 | | |
| | | | | | | Total Machinery-Construction & Mining | | | | | 2,537,649 | | |
| Machinery-Diversified – 1.9% | | ||||||||||||
| | | 47,161 | | | | Cactus Inc., Class A Shares* | | | | | 1,710,058 | | |
| | | 37,938 | | | | Columbus McKinnon Corp. | | | | | 1,420,778 | | |
| | | 40,200 | | | | Dover Corp. | | | ��� | | 3,639,306 | | |
| | | 18,244 | | | | Kadant Inc. | | | | | 1,595,438 | | |
| | | 17,200 | | | | Rockwell Automation Inc. | | | | | 3,071,232 | | |
| | | 22,468 | | | | SPX FLOW Inc.* | | | | | 775,595 | | |
| | | 84,500 | | | | Xylem Inc. | | | | | 6,383,975 | | |
| | | | | | | Total Machinery-Diversified | | | | | 18,596,382 | | |
| Metal Fabricate/Hardware – 0.4% | | ||||||||||||
| | | 26,195 | | | | CIRCOR International Inc.* | | | | | 825,928 | | |
| | | 81,983 | | | | TriMas Corp.* | | | | | 2,650,510 | | |
| | | | | | | Total Metal Fabricate/Hardware | | | | | 3,476,438 | | |
| Miscellaneous Manufacturers – 1.8% | | ||||||||||||
| | | 58,351 | | | | Actuant Corp., Class A Shares | | | | | 1,426,682 | | |
| | | 115,500 | | | | AO Smith Corp. | | | | | 5,997,915 | | |
| | | 31,671 | | | | EnPro Industries Inc. | | | | | 2,172,314 | | |
| | | 34,903 | | | | Hexcel Corp. | | | | | 2,517,902 | | |
| | | 49,307 | | | | ITT Inc. | | | | | 2,847,973 | | |
| | | 29,528 | | | | Standex International Corp. | | | | | 2,421,591 | | |
| | | | | | | Total Miscellaneous Manufacturers | | | | | 17,384,377 | | |
| Packaging & Containers – 0.5% | | ||||||||||||
| | | 110,472 | | | | Owens-Illinois Inc. | | | | | 2,200,602 | | |
| | | 52,101 | | | | Silgan Holdings Inc. | | | | | 1,474,980 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Packaging & Containers – (continued) | | ||||||||||||
| | | 15,829 | | | | Sonoco Products Co. | | | | $ | 916,341 | | |
| | | | | | | Total Packaging & Containers | | | | | 4,591,923 | | |
| Transportation – 0.1% | | ||||||||||||
| | | 56,068 | | | | Air Transport Services Group Inc.* | | | | | 1,304,702 | | |
| | | | | | | TOTAL INDUSTRIAL | | | | | 128,193,298 | | |
| TECHNOLOGY – 9.4% | | ||||||||||||
| Computers – 2.4% | | ||||||||||||
| | | 18,030 | | | | CACI International Inc., Class A Shares* | | | | | 3,286,148 | | |
| | | 110,253 | | | | Conduent Inc.* | | | | | 1,611,899 | | |
| | | 87,774 | | | | Endava PLC, ADR*(b) | | | | | 2,594,600 | | |
| | | 26,681 | | | | ExlService Holdings Inc.* | | | | | 1,638,213 | | |
| | | 53,050 | | | | Kornit Digital Ltd.*(a) | | | | | 1,188,320 | | |
| | | 36,249 | | | | Mercury Systems Inc.* | | | | | 2,302,536 | | |
| | | 85,169 | | | | PlayAGS Inc.* | | | | | 2,026,171 | | |
| | | 47,041 | | | | Virtusa Corp.* | | | | | 2,374,159 | | |
| | | 130,500 | | | | Western Digital Corp. | | | | | 6,564,150 | | |
| | | | | | | Total Computers | | | | | 23,586,196 | | |
| Semiconductors – 3.2% | | ||||||||||||
| | | 49,300 | | | | Analog Devices Inc. | | | | | 5,273,128 | | |
| | | 64,000 | | | | Cabot Microelectronics Corp. | | | | | 7,238,400 | | |
| | | 611,400 | | | | Cypress Semiconductor Corp. | | | | | 9,433,902 | | |
| | | 52,599 | | | | Inphi Corp.* | | | | | 2,273,329 | | |
| | | 129,530 | | | | Lattice Semiconductor Corp.* | | | | | 1,528,454 | | |
| | | 273,677 | | | | MACOM Technology Solutions Holdings Inc.* | | | | | 5,224,494 | | |
| | | 21,214 | | | | Semtech Corp.* | | | | | 1,167,618 | | |
| | | | | | | Total Semiconductors | | | | | 32,139,325 | | |
| Software – 3.8% | | ||||||||||||
| | | 70,719 | | | | Altair Engineering Inc., Class A Shares* | | | | | 2,507,696 | | |
| | | 54,053 | | | | Alteryx Inc., Class A Shares* | | | | | 4,124,784 | | |
| | | 68,496 | | | | Bandwidth Inc., Class A Shares* | | | | | 3,816,597 | | |
| | | 79,094 | | | | Everbridge Inc.* | | | | | 5,592,737 | | |
| | | 45,800 | | | | Fidelity National Information Services Inc. | | | | | 4,953,270 | | |
| | | 88,168 | | | | Five9 Inc.* | | | | | 4,676,431 | | |
| | | 39,208 | | | | ManTech International Corp., Class A Shares | | | | | 2,130,955 | | |
| | | 66,015 | | | | Smartsheet Inc., Class A Shares* | | | | | 2,524,413 | | |
| | | 29,791 | | | | Twilio Inc., Class A Shares* | | | | | 3,625,267 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| TECHNOLOGY – (continued) | | ||||||||||||
| Software – (continued) | | ||||||||||||
| | | 88,848 | | | | Upland Software Inc.* | | | | $ | 3,118,565 | | |
| | | | | | | Total Software | | | | | 37,070,715 | | |
| | | | | | | TOTAL TECHNOLOGY | | | | | 92,796,236 | | |
| UTILITIES – 4.7% | | ||||||||||||
| Electric – 4.7% | | ||||||||||||
| | | 78,978 | | | | Ameresco Inc., Class A Shares* | | | | | 1,292,870 | | |
| | | 74,900 | | | | American Electric Power Co., Inc. | | | | | 6,078,135 | | |
| | | 24,128 | | | | Black Hills Corp. | | | | | 1,712,605 | | |
| | | 190,400 | | | | FirstEnergy Corp. | | | | | 7,758,800 | | |
| | | 40,899 | | | | Hawaiian Electric Industries Inc. | | | | | 1,565,614 | | |
| | | 19,967 | | | | IDACORP Inc. | | | | | 1,964,952 | | |
| | | 67,340 | | | | Portland General Electric Co. | | | | | 3,376,428 | | |
| | | 128,500 | | | | PPL Corp. | | | | | 4,133,845 | | |
| | | 145,800 | | | | Public Service Enterprise Group Inc. | | | | | 8,574,498 | | |
| | | 84,700 | | | | Sempra Energy | | | | | 10,201,268 | | |
| | | | | | | Total Electric | | | | | 46,659,015 | | |
| | | | | | | TOTAL UTILITIES | | | | | 46,659,015 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $733,249,969) | | | | | 819,245,077 | | |
| EXCHANGE TRADED FUNDS (ETFs) – 12.8% | | ||||||||||||
| | | 365,854 | | | | iShares Core S&P Mid-Cap | | | | | 69,936,651 | | |
| | | 667,145 | | | | iShares Core S&P Small-Cap | | | | | 53,384,943 | | |
| | | 18,995 | | | | iShares Russell 2000 Value | | | | | 2,353,860 | | |
| | | | | | | TOTAL EXCHANGE TRADED FUNDS (ETFs) (Cost – $109,828,434) | | | | | 125,675,454 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $843,078,403) | | | | | 944,920,531 | | |
| Face Amount | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – 3.5% | | ||||||||||||
| TIME DEPOSITS – 3.5% | | ||||||||||||
| | $ | 11,859,720 | | | | BNP Paribas – Paris, 1.750% due 3/1/19 | | | | $ | 11,859,720 | | |
| | | 2,902,951 | | | | Citibank – New York, 1.750% due 3/1/19 | | | | | 2,902,951 | | |
| | | 17,149,544 | | | | JPMorgan Chase & Co. – New York, 1.750% due 3/1/19 | | | | | 17,149,544 | | |
| | | 2,288,478 | | | | Sumitomo Mitsui Banking Corp. – Tokyo, 1.750% due 3/1/19 | | | | | 2,288,478 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $34,200,693) | | | | | 34,200,693 | | |
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 1.5% | | ||||||||||||
| MONEY MARKET FUND – 1.5% | | ||||||||||||
| | | 14,487,635 | | | | Federated Government Obligations Fund, Premier Class, 2.363%(c) (Cost – $14,487,635) | | | | | 14,487,635 | | |
| | | | | | | TOTAL INVESTMENTS – 101.3% (Cost – $891,766,731#) | | | | | 993,608,859 | | |
| | | | | | | Liabilities in Excess of Other Assets – (1.3)% | | | | | (12,767,462) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 980,841,397 | | |
|
| ADR — American Depositary Receipts | |
| PLC — Public Limited Company | |
| Consumer Non-cyclical | | | | | 18.2% | | |
| Financial | | | | | 17.8 | | |
| Industrial | | | | | 12.9 | | |
| Technology | | | | | 9.3 | | |
| Consumer Cyclical | | | | | 7.3 | | |
| Energy | | | | | 4.9 | | |
| Utilities | | | | | 4.7 | | |
| Communications | | | | | 4.7 | | |
| Basic Materials | | | | | 2.6 | | |
| Exchange Traded Funds (ETFs) | | | | | 12.7 | | |
| Short-Term Investments | | | | | 3.4 | | |
| Money Market Fund | | | | | 1.5 | | |
| | | | | | 100.0% | | |
|
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 79.2% | | ||||||||||||
| Argentina – 0.5% | | ||||||||||||
| | | 16,995 | | | | Banco Macro SA, ADR | | | | $ | 858,248 | | |
| | | 22,844 | | | | Globant SA* | | | | | 1,573,723 | | |
| | | 117,810 | | | | Loma Negra Cia Industrial Argentina SA, ADR* | | | | | 1,323,006 | | |
| | | 3,232 | | | | MercadoLibre Inc.* | | | | | 1,482,809 | | |
| | | 225,718 | | | | YPF SA, ADR | | | | | 3,191,653 | | |
| | | | | | | Total Argentina | | | | | 8,429,439 | | |
| Australia – 2.2% | | ||||||||||||
| | | 534,580 | | | | Amcor Ltd. | | | | | 5,704,031 | | |
| | | 185,644 | | | | Appen Ltd. | | | | | 3,075,305 | | |
| | | 332,125 | | | | Brambles Ltd. | | | | | 2,768,820 | | |
| | | 155,041 | | | | HUB24 Ltd.(a) | | | | | 1,279,590 | | |
| | | 938,208 | | | | Nanosonics Ltd.* | | | | | 2,758,000 | | |
| | | 308,883 | | | | Nick Scali Ltd.(a) | | | | | 1,344,661 | | |
| | | 913,707 | | | | Pro Medicus Ltd. | | | | | 8,909,995 | | |
| | | 1,215,699 | | | | South32 Ltd. | | | | | 3,372,647 | | |
| | | 624,452 | | | | Webjet Ltd. | | | | | 6,933,865 | | |
| | | 31,355 | | | | WiseTech Global Ltd. | | | | | 427,106 | | |
| | | | | | | Total Australia | | | | | 36,574,020 | | |
| Austria – 0.2% | | ||||||||||||
| | | 107,980 | | | | Erste Group Bank AG* | | | | | 4,081,781 | | |
| Belgium – 0.0% | | ||||||||||||
| | | 8,403 | | | | Galapagos NV* | | | | | 824,245 | | |
| Bermuda – 0.2% | | ||||||||||||
| | | 117,429 | | | | Hiscox Ltd. | | | | | 2,489,244 | | |
| Brazil – 2.3% | | ||||||||||||
| | | 559,388 | | | | B3 SA – Brasil Bolsa Balcao | | | | | 4,883,670 | | |
| | | 300,100 | | | | Banco Bradesco SA, ADR | | | | | 3,445,148 | | |
| | | 155,506 | | | | Banco do Brasil SA | | | | | 2,095,026 | | |
| | | 354,747 | | | | Itau Unibanco Holding SA, ADR | | | | | 3,334,622 | | |
| | | 929,408 | | | | Kroton Educacional SA | | | | | 2,714,593 | | |
| | | 156,768 | | | | Localiza Rent a Car SA | | | | | 1,442,106 | | |
| | | 164,205 | | | | Pagseguro Digital Ltd., Class A Shares*(a) | | | | | 4,619,087 | | |
| | | 424,915 | | | | Petroleo Brasileiro SA, ADR | | | | | 6,679,664 | | |
| | | 925,391 | | | | Rumo SA* | | | | | 4,794,683 | | |
| | | 128,897 | | | | Smiles Fidelidade SA | | | | | 1,647,312 | | |
| | | 92,843 | | | | StoneCo Ltd., Class A Shares*(a) | | | | | 2,823,355 | | |
| | | | | | | Total Brazil | | | | | 38,479,266 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Canada – 2.1% | | ||||||||||||
| | | 129,500 | | | | Canadian Natural Resources Ltd. | | | | $ | 3,679,190 | | |
| | | 15,000 | | | | Canadian Pacific Railway Ltd. | | | | | 3,100,099 | | |
| | | 410,984 | | | | Computer Modelling Group Ltd.(a) | | | | | 1,874,214 | | |
| | | 20,209 | | | | Descartes Systems Group Inc.* | | | | | 698,107 | | |
| | | 56,853 | | | | Equitable Group Inc. | | | | | 3,025,217 | | |
| | | 5,710 | | | | Fairfax Financial Holdings Ltd. | | | | | 2,827,572 | | |
| | | 184,202 | | | | Jamieson Wellness Inc. | | | | | 2,735,659 | | |
| | | 106,723 | | | | Magna International Inc. | | | | | 5,627,504 | | |
| | | 57,410 | | | | Restaurant Brands International Inc. | | | | | 3,628,886 | | |
| | | 302,878 | | | | Seven Generations Energy Ltd., Class A Shares* | | | | | 2,214,552 | | |
| | | 56,067 | | | | Thomson Reuters Corp. | | | | | 3,049,445 | | |
| | | 49,300 | | | | TransCanada Corp. | | | | | 2,204,696 | | |
| | | | | | | Total Canada | | | | | 34,665,141 | | |
| China – 7.6% | | ||||||||||||
| | | 4,766,000 | | | | AK Medical Holdings Ltd. | | | | | 2,594,376 | | |
| | | 106,197 | | | | Alibaba Group Holding Ltd., ADR* | | | | | 19,437,237 | | |
| | | 14,429 | | | | Baidu Inc., ADR* | | | | | 2,345,290 | | |
| | | 429,400 | | | | BTG Hotels Group Co., Ltd., Class A Shares | | | | | 1,255,707 | | |
| | | 4,041,669 | | | | China Construction Bank Corp., Class H Shares(c) | | | | | 3,589,011 | | |
| | | 907,705 | | | | China Everbright Ltd. | | | | | 1,831,282 | | |
| | | 1,612,418 | | | | China Mengniu Dairy Co., Ltd. | | | | | 5,007,653 | | |
| | | 465,247 | | | | China Mobile Ltd. | | | | | 4,891,869 | | |
| | | 32,148,191 | | | | China Tower Corp., Ltd, Class H Shares*(b)(c) | | | | | 7,640,026 | | |
| | | 615,822 | | | | CSPC Pharmaceutical Group Ltd. | | | | | 1,048,438 | | |
| | | 36,128 | | | | Ctrip.com International Ltd., ADR* | | | | | 1,233,049 | | |
| | | 385,900 | | | | Gree Electric Appliances Inc. of Zhuhai, Class A Shares | | | | | 2,572,555 | | |
| | | 2,454,337 | | | | Guangzhou Automobile Group Co., Ltd., Class H Shares(c) | | | | | 3,011,704 | | |
| | | 1,446,337 | | | | Haitong Securities Co., Ltd., Class H Shares(c) | | | | | 1,915,905 | | |
| | | 762,659 | | | | Hangzhou Hikvision Digital Technology Co., Ltd., Class A Shares | | | | | 3,904,841 | | |
| | | 433,455 | | | | Han’s Laser Technology Industry Group Co., Ltd., Class A Shares | | | | | 2,578,749 | | |
| | | 711,991 | | | | Hua Hong Semiconductor Ltd.(b) | | | | | 1,678,681 | | |
| | | 1,277,761 | | | | Kingdee International Software Group Co., Ltd. | | | | | 1,379,712 | | |
| | | 28,453 | | | | Kweichow Moutai Co., Ltd., Class A Shares | | | | | 3,214,447 | | |
| | | 2,887,313 | | | | Lenovo Group Ltd. | | | | | 2,611,693 | | |
| | | 530,206 | | | | Midea Group Co., Ltd., Class A Shares | | | | | 3,764,571 | | |
| | | 64,121 | | | | Momo Inc., ADR* | | | | | 2,126,894 | | |
| | | 18,003 | | | | New Oriental Education & Technology Group Inc., ADR* | | | | | 1,477,326 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| China – (continued) | | ||||||||||||
| | | 22,093 | | | | Pinduoduo Inc., ADR* | | | | $ | 661,464 | | |
| | | 115,730 | | | | Ping An Insurance Group Co. of China Ltd., Class H Shares(c) | | | | | 1,218,513 | | |
| | | 284,811 | | | | Shenzhou International Group Holdings Ltd. | | | | | 3,548,439 | | |
| | | 1,573,634 | | | | Sino Biopharmaceutical Ltd. | | | | | 1,361,294 | | |
| | | 765,932 | | | | Sinopharm Group Co., Ltd., Class H Shares(c) | | | | | 3,421,383 | | |
| | | 63,112 | | | | Sunny Optical Technology Group Co., Ltd. | | | | | 745,236 | | |
| | | 330,689 | | | | Tencent Holdings Ltd. | | | | | 14,110,816 | | |
| | | 69,752 | | | | Tencent Music Entertainment Group, ADR*(a) | | | | | 1,256,931 | | |
| | | 4,977,683 | | | | WH Group Ltd.(b) | | | | | 4,423,429 | | |
| | | 1,621,000 | | | | Yihai International Holding Ltd.(a)(c) | | | | | 5,112,709 | | |
| | | 233,143 | | | | Yunnan Baiyao Group Co., Ltd., Class A Shares(d) | | | | | 2,960,166 | | |
| | | 33,339 | | | | YY Inc., ADR* | | | | | 2,350,399 | | |
| | | 91,022 | | | | Zai Lab Ltd., ADR*(a) | | | | | 2,623,254 | | |
| | | | | | | Total China | | | | | 124,905,049 | | |
| Denmark – 0.2% | | ||||||||||||
| | | 19,925 | | | | Jyske Bank AS, Class Registered Shares | | | | | 779,217 | | |
| | | 31,253 | | | | Royal Unibrew AS | | | | | 2,310,696 | | |
| | | 26,425 | | | | Sydbank AS | | | | | 628,899 | | |
| | | | | | | Total Denmark | | | | | 3,718,812 | | |
| Egypt – 0.2% | | ||||||||||||
| | | 7,922,941 | | | | Cleopatra Hospital* | | | | | 2,547,506 | | |
| Finland – 0.4% | | ||||||||||||
| | | 483,234 | | | | Nokia OYJ, ADR | | | | | 2,942,895 | | |
| | | 61,298 | | | | Sampo OYJ, Class A Shares | | | | | 2,949,559 | | |
| | | 42,206 | | | | Wartsila OYJ Abp | | | | | 685,264 | | |
| | | | | | | Total Finland | | | | | 6,577,718 | | |
| France – 5.0% | | ||||||||||||
| | | 32,082 | | | | Air Liquide SA | | | | | 3,999,475 | | |
| | | 29,072 | | | | Airbus SE | | | | | 3,765,474 | | |
| | | 30,218 | | | | Akka Technologies | | | | | 1,909,602 | | |
| | | 41,643 | | | | Aubay | | | | | 1,344,999 | | |
| | | 64,325 | | | | BNP Paribas SA | | | | | 3,303,593 | | |
| | | 103,764 | | | | Danone SA | | | | | 7,834,763 | | |
| | | 1,958 | | | | Dassault Aviation SA | | | | | 3,295,281 | | |
| | | 41,681 | | | | Dassault Systemes SE | | | | | 6,095,821 | | |
| | | 58,398 | | | | Esker SA | | | | | 4,643,600 | | |
| | | 91,902 | | | | Legrand SA | | | | | 6,072,007 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| France – (continued) | | ||||||||||||
| | | 28,721 | | | | L’Oreal SA | | | | $ | 7,259,471 | | |
| | | 5,903 | | | | LVMH Moet Hennessy Louis Vuitton SE | | | | | 2,032,626 | | |
| | | 41,575 | | | | MGI Digital Graphic Technology* | | | | | 2,290,841 | | |
| | | 60,706 | | | | Pernod Ricard SA | | | | | 10,465,822 | | |
| | | 118,759 | | | | Schneider Electric SE | | | | | 9,236,591 | | |
| | | 56,732 | | | | Thales SA | | | | | 6,982,558 | | |
| | | 22,553 | | | | Ubisoft Entertainment SA* | | | | | 1,627,259 | | |
| | | | | | | Total France | | | | | 82,159,783 | | |
| Germany – 5.4% | | ||||||||||||
| | | 97,552 | | | | Bayer AG, Class Registered Shares | | | | | 7,799,600 | | |
| | | 45,498 | | | | Brenntag AG | | | | | 2,256,807 | | |
| | | 175,386 | | | | Deutsche Wohnen SE | | | | | 8,179,614 | | |
| | | 43,430 | | | | Fresenius SE & Co. KGaA | | | | | 2,445,094 | | |
| | | 91,632 | | | | GEA Group AG | | | | | 2,195,855 | | |
| | | 92,563 | | | | Henkel AG & Co. KGaA | | | | | 9,248,627 | | |
| | | 35,152 | | | | Hypoport AG* | | | | | 6,699,543 | | |
| | | 267,563 | | | | Infineon Technologies AG | | | | | 5,875,739 | | |
| | | 72,792 | | | | Isra Vision AG | | | | | 3,068,093 | | |
| | | 16,276 | | | | Knorr-Bremse AG* | | | | | 1,635,181 | | |
| | | 23,917 | | | | LEG Immobilien AG | | | | | 2,670,391 | | |
| | | 24,978 | | | | Merck KGaA | | | | | 2,578,813 | | |
| | | 73,730 | | | | Nexus AG | | | | | 2,098,047 | | |
| | | 51,632 | | | | SAP SE | | | | | 5,528,239 | | |
| | | 4,594 | | | | Sartorius AG | | | | | 728,309 | | |
| | | 27,321 | | | | Scout24 AG(b) | | | | | 1,439,237 | | |
| | | 64,408 | | | | Symrise AG, Class A Shares | | | | | 5,677,014 | | |
| | | 91,482 | | | | TAG Immobilien AG | | | | | 2,132,755 | | |
| | | 507,244 | | | | Telefonica Deutschland Holding AG | | | | | 1,665,436 | | |
| | | 145,829 | | | | Vonovia SE | | | | | 7,080,181 | | |
| | | 11,656 | | | | Wirecard AG | | | | | 1,597,266 | | |
| | | 11,858 | | | | XING SE | | | | | 4,058,005 | | |
| | | 51,345 | | | | Zalando SE*(b) | | | | | 1,892,411 | | |
| | | | | | | Total Germany | | | | | 88,550,257 | | |
| Greece – 0.2% | | ||||||||||||
| | | 392,511 | | | | Sarantis SA | | | | | 3,267,955 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Hong Kong – 1.9% | | ||||||||||||
| | | 790,600 | | | | AIA Group Ltd. | | | | $ | 7,912,163 | | |
| | | 598,000 | | | | China Overseas Land & Investment Ltd. | | | | | 2,212,620 | | |
| | | 295,500 | | | | CK Hutchison Holdings Ltd. | | | | | 3,140,889 | | |
| | | 743,555 | | | | Esprit Holdings Ltd.* | | | | | 174,489 | | |
| | | 74,900 | | | | Jardine Matheson Holdings Ltd. | | | | | 5,134,528 | | |
| | | 2,511,904 | | | | Kunlun Energy Co., Ltd. | | | | | 2,756,702 | | |
| | | 436,711 | | | | Techtronic Industries Co., Ltd. | | | | | 2,921,161 | | |
| | | 8,748,082 | | | | Tongda Group Holdings Ltd.(a) | | | | | 968,370 | | |
| | | 169,767 | | | | Tongda Hong Tai Holdings Ltd.* | | | | | 27,033 | | |
| | | 1,478,000 | | | | Vitasoy International Holdings Ltd. | | | | | 6,375,344 | | |
| | | | | | | Total Hong Kong | | | | | 31,623,299 | | |
| Hungary – 0.1% | | ||||||||||||
| | | 35,590 | | | | Wizz Air Holdings PLC*(b) | | | | | 1,434,829 | | |
| India – 5.0% | | ||||||||||||
| | | 118,561 | | | | Aavas Financiers Ltd.* | | | | | 1,673,447 | | |
| | | 167,073 | | | | Amara Raja Batteries Ltd. | | | | | 1,694,365 | | |
| | | 377,763 | | | | Axis Bank Ltd.* | | | | | 3,794,603 | | |
| | | 34,153 | | | | Bajaj Finance Ltd. | | | | | 1,276,716 | | |
| | | 655,942 | | | | Berger Paints India Ltd. | | | | | 2,836,588 | | |
| | | 64,372 | | | | Britannia Industries Ltd. | | | | | 2,780,987 | | |
| | | 46,516 | | | | Byke Hospitality Ltd. | | | | | 18,329 | | |
| | | 458,473 | | | | Coal India Ltd. | | | | | 1,481,786 | | |
| | | 119,997 | | | | Divi’s Laboratories Ltd. | | | | | 2,815,230 | | |
| | | 193,664 | | | | Dr Lal PathLabs Ltd. | | | | | 2,750,960 | | |
| | | 145,459 | | | | Edelweiss Financial Services Ltd. | | | | | 280,958 | | |
| | | 605,425 | | | | Exide Industries Ltd. | | | | | 1,876,127 | | |
| | | 513,392 | | | | Gulf Oil Lubricants India Ltd. | | | | | 6,183,600 | | |
| | | 45,529 | | | | HDFC Bank Ltd. | | | | | 1,335,869 | | |
| | | 376,635 | | | | Housing Development Finance Corp., Ltd | | | | | 9,791,347 | | |
| | | 1,156,605 | | | | JM Financial Ltd. | | | | | 1,273,682 | | |
| | | 111,329 | | | | JSW Steel Ltd. | | | | | 443,012 | | |
| | | 375,965 | | | | Kajaria Ceramics Ltd. | | | | | 2,883,533 | | |
| | | 161,673 | | | | Kotak Mahindra Bank Ltd. | | | | | 2,769,301 | | |
| | | 216,787 | | | | Manpasand Beverages Ltd. | | | | | 227,292 | | |
| | | 8,640 | | | | Maruti Suzuki India Ltd. | | | | | 834,466 | | |
| | | 399,532 | | | | Max Financial Services Ltd.* | | | | | 2,236,449 | | |
| | | 1,627,623 | | | | Minda Corp., Ltd. | | | | | 3,334,975 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| India – (continued) | | ||||||||||||
| | | 294,774 | | | | Motherson Sumi Systems Ltd. | | | | $ | 676,231 | | |
| | | 2,374,673 | | | | NTPC Ltd. | | | | | 4,755,615 | | |
| | | 35,098 | | | | Piramal Enterprises Ltd. | | | | | 1,147,630 | | |
| | | 309,424 | | | | SBI Life Insurance Co., Ltd.(b) | | | | | 2,539,230 | | |
| | | 322,346 | | | | Sun Pharmaceutical Industries Ltd. | | | | | 2,032,886 | | |
| | | 102,153 | | | | Sun TV Network Ltd. | | | | | 875,564 | | |
| | | 192,538 | | | | Supreme Industries Ltd. | | | | | 3,089,066 | | |
| | | 219,937 | | | | Tata Chemicals Ltd. | | | | | 1,727,141 | | |
| | | 183,659 | | | | Tata Communications Ltd. | | | | | 1,523,171 | | |
| | | 457,820 | | | | Tata Global Beverages Ltd. | | | | | 1,253,630 | | |
| | | 162,005 | | | | V-Mart Retail Ltd. | | | | | 5,907,384 | | |
| | | 453,248 | | | | Yes Bank Ltd. | | | | | 1,489,789 | | |
| | | 48,634 | | | | Zee Entertainment Enterprises Ltd. | | | | | 322,224 | | |
| | | | | | | Total India | | | | | 81,933,183 | | |
| Indonesia – 0.8% | | ||||||||||||
| | | 38,817,500 | | | | Ace Hardware Indonesia Tbk PT | | | | | 4,848,518 | | |
| | | 2,435,700 | | | | Bank Central Asia Tbk PT | | | | | 4,782,876 | | |
| | | 42,447,300 | | | | Sarana Menara Nusantara Tbk PT(e)@ | | | | | 2,385,163 | | |
| | | 3,480,037 | | | | Tower Bersama Infrastructure Tbk PT | | | | | 985,299 | | |
| | | | | | | Total Indonesia | | | | | 13,001,856 | | |
| Ireland – 0.4% | | ||||||||||||
| | | 42,421 | | | | Kerry Group PLC, Class A Shares | | | | | 4,365,672 | | |
| | | 30,836 | | | | Ryanair Holdings PLC, ADR* | | | | | 2,298,515 | | |
| | | | | | | Total Ireland | | | | | 6,664,187 | | |
| Israel – 0.3% | | ||||||||||||
| | | 16,687 | | | | Check Point Software Technologies Ltd.* | | | | | 2,040,820 | | |
| | | 53,541 | | | | Rami Levy Chain Stores Hashikma Marketing 2006 Ltd. | | | | | 2,820,206 | | |
| | | | | | | Total Israel | | | | | 4,861,026 | | |
| Italy – 0.5% | | ||||||||||||
| | | 524,641 | | | | Banca Mediolanum SpA | | | | | 3,653,973 | | |
| | | 238,178 | | | | Gruppo MutuiOnline SpA | | | | | 4,382,226 | | |
| | | | | | | Total Italy | | | | | 8,036,199 | | |
| Japan – 12.2% | | ||||||||||||
| | | 106,200 | | | | Arcland Service Holdings Co., Ltd. | | | | | 1,943,109 | | |
| | | 29,500 | | | | Bridgestone Corp. | | | | | 1,164,103 | | |
| | | 159,400 | | | | Chiba Bank Ltd. | | | | | 968,185 | | |
| | | 36,900 | | | | Chugai Pharmaceutical Co., Ltd. | | | | | 2,509,401 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Japan – (continued) | | ||||||||||||
| | | 28,000 | | | | Daiichi Sankyo Co., Ltd. | | | | $ | 1,049,797 | | |
| | | 76,600 | | | | Daiwa Securities Group Inc. | | | | | 388,499 | | |
| | | 37,800 | | | | Digital Arts Inc. | | | | | 3,002,898 | | |
| | | 16,000 | | | | Disco Corp. | | | | | 2,216,301 | | |
| | | 78,012 | | | | en-japan Inc. | | | | | 2,518,746 | | |
| | | 7,200 | | | | Ezaki Glico Co., Ltd. | | | | | 364,769 | | |
| | | 160,600 | | | | Fujitsu General Ltd. | | | | | 2,150,181 | | |
| | | 157,000 | | | | Hachijuni Bank Ltd. | | | | | 653,115 | | |
| | | 32,710 | | | | Hirose Electric Co., Ltd. | | | | | 3,366,680 | | |
| | | 7,900 | | | | Hoshizaki Corp. | | | | | 534,193 | | |
| | | 410,565 | | | | Infomart Corp. | | | | | 4,594,283 | | |
| | | 177,000 | | | | Inpex Corp. | | | | | 1,716,543 | | |
| | | 197,100 | | | | IR Japan Holdings Ltd.(a) | | | | | 2,635,325 | | |
| | | 100,700 | | | | Ito En Ltd. | | | | | 4,564,342 | | |
| | | 101,600 | | | | Itokuro Inc.*(a) | | | | | 3,025,274 | | |
| | | 186,300 | | | | Japan Elevator Service Holdings Co., Ltd.(a) | | | | | 3,504,381 | | |
| | | 247,800 | | | | Japan Material Co., Ltd. | | | | | 3,125,896 | | |
| | | 117,500 | | | | Japan Tobacco Inc. | | | | | 2,990,065 | | |
| | | 129,000 | | | | Kansai Paint Co., Ltd. | | | | | 2,377,178 | | |
| | | 113,400 | | | | Kao Corp. | | | | | 8,585,956 | | |
| | | 166,500 | | | | KDDI Corp. | | | | | 4,026,677 | | |
| | | 63,500 | | | | Kobayashi Pharmaceutical Co., Ltd. | | | | | 5,118,268 | | |
| | | 27,900 | | | | Koito Manufacturing Co., Ltd. | | | | | 1,616,452 | | |
| | | 6,900 | | | | Kose Corp. | | | | | 1,118,234 | | |
| | | 48,400 | | | | Kusuri no Aoki Holdings Co., Ltd. | | | | | 3,355,427 | | |
| | | 83,891 | | | | M&A Capital Partners Co., Ltd.* | | | | | 3,859,174 | | |
| | | 264,300 | | | | Mebuki Financial Group Inc. | | | | | 714,795 | | |
| | | 118,573 | | | | Miroku Jyoho Service Co., Ltd. | | | | | 3,085,277 | | |
| | | 64,200 | | | | MISUMI Group Inc. | | | | | 1,559,984 | | |
| | | 327,300 | | | | Mitsubishi Electric Corp. | | | | | 4,102,344 | | |
| | | 446,273 | | | | Morningstar Japan KK | | | | | 1,328,826 | | |
| | | 24,600 | | | | Murata Manufacturing Co., Ltd. | | | | | 3,834,145 | | |
| | | 117,000 | | | | Nihon Kohden Corp. | | | | | 3,505,067 | | |
| | | 120,600 | | | | Nippon Telegraph & Telephone Corp. | | | | | 5,206,736 | | |
| | | 15,800 | | | | Nissin Foods Holdings Co., Ltd. | | | | | 1,098,079 | | |
| | | 91,500 | | | | Nomura Research Institute Ltd. | | | | | 3,726,004 | | |
| | | 235,600 | | | | North Pacific Bank Ltd. | | | | | 649,676 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Japan – (continued) | | ||||||||||||
| | | 45,400 | | | | Obic Co., Ltd. | | | | $ | 4,339,772 | | |
| | | 79,500 | | | | Omron Corp. | | | | | 3,435,424 | | |
| | | 201,200 | | | | Open Door Inc.*(a) | | | | | 5,457,314 | | |
| | | 49,900 | | | | Outsourcing Inc. | | | | | 628,059 | | |
| | | 128,400 | | | | Persol Holdings Co., Ltd. | | | | | 2,204,841 | | |
| | | 318,310 | | | | Prestige International Inc. | | | | | 3,719,289 | | |
| | | 202,398 | | | | Rakus Co., Ltd. | | | | | 3,968,964 | | |
| | | 174,300 | | | | Renesas Electronics Corp.* | | | | | 1,020,106 | | |
| | | 79,300 | | | | Rohto Pharmaceutical Co., Ltd. | | | | | 2,087,390 | | |
| | | 274,000 | | | | Santen Pharmaceutical Co., Ltd. | | | | | 4,278,932 | | |
| | | 56,400 | | | | Secom Co., Ltd. | | | | | 4,873,839 | | |
| | | 103,100 | | | | Sega Sammy Holdings Inc. | | | | | 1,203,010 | | |
| | | 143,500 | | | | Seven & i Holdings Co., Ltd. | | | | | 6,309,197 | | |
| | | 7,100 | | | | SMC Corp. | | | | | 2,475,370 | | |
| | | 176,038 | | | | SMS Co., Ltd. | | | | | 3,122,096 | | |
| | | 38,000 | | | | Sohgo Security Services Co., Ltd. | | | | | 1,641,914 | | |
| | | 77,400 | | | | Stanley Electric Co., Ltd. | | | | | 2,226,602 | | |
| | | 98,000 | | | | Strike Co., Ltd. | | | | | 1,983,507 | | |
| | | 25,800 | | | | Suzuki Motor Corp. | | | | | 1,321,583 | | |
| | | 362,200 | | | | Systena Corp. | | | | | 3,908,994 | | |
| | | 188,640 | | | | Takeda Pharmaceutical Co., Ltd. | | | | | 7,590,027 | | |
| | | 95,600 | | | | Terumo Corp. | | | | | 5,859,991 | | |
| | | 111,400 | | | | Toyo Suisan Kaisha Ltd. | | | | | 4,134,481 | | |
| | | 55,500 | | | | USS Co., Ltd. | | | | | 1,011,657 | | |
| | | 140,700 | | | | UT Group Co., Ltd.*(a) | | | | | 3,199,192 | | |
| | | 29,100 | | | | Wantedly Inc.* | | | | | 1,163,982 | | |
| | | 768,100 | | | | Yahoo Japan Corp. | | | | | 2,052,760 | | |
| | | 74,700 | | | | Yakuodo Co., Ltd. | | | | | 1,794,226 | | |
| | | 77,700 | | | | Yokogawa Electric Corp. | | | | | 1,497,858 | | |
| | | 268,759 | | | | Yume No Machi Souzou Iinkai Co., Ltd.(a) | | | | | 5,063,885 | | |
| | | | | | | Total Japan | | | | | 201,428,647 | | |
| Malaysia – 0.3% | | ||||||||||||
| | | 5,204,131 | | | | 7-Eleven Malaysia Holdings Bhd | | | | | 1,855,545 | | |
| | | 434,100 | | | | Carlsberg Brewery Malaysia Bhd | | | | | 2,609,100 | | |
| | | 3,962,316 | | | | My EG Services Bhd | | | | | 983,839 | | |
| | | | | | | Total Malaysia | | | | | 5,448,484 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Mexico – 1.3% | | ||||||||||||
| | | 128,794 | | | | America Movil SAB de CV, Class L Shares, ADR | | | | $ | 1,852,058 | | |
| | | 30,790 | | | | Fomento Economico Mexicano SAB de CV, ADR | | | | | 2,790,498 | | |
| | | 191,367 | | | | Gruma SAB de CV, Class B Shares | | | | | 2,073,023 | | |
| | | 111,451 | | | | Grupo Financiero Banorte SAB de CV, Class O Shares | | | | | 606,837 | | |
| | | 727,878 | | | | Grupo Lala SAB de CV, Class B Shares | | | | | 879,622 | | |
| | | 374,933 | | | | Infraestructura Energetica Nova SAB de CV | | | | | 1,441,160 | | |
| | | 1,989,100 | | | | Qualitas Controladora SAB de CV | | | | | 5,049,996 | | |
| | | 1,700,080 | | | | Unifin Financiera SAB de CV SOFOM ENR | | | | | 3,879,750 | | |
| | | 1,113,449 | | | | Wal-Mart de Mexico SAB de CV | | | | | 2,881,725 | | |
| | | | | | | Total Mexico | | | | | 21,454,669 | | |
| Netherlands – 1.5% | | ||||||||||||
| | | 26,339 | | | | ASML Holding NV | | | | | 4,819,927 | | |
| | | 17,596 | | | | Core Laboratories NV | | | | | 1,140,397 | | |
| | | 7,990 | | | | Euronext NV(b) | | | | | 488,167 | | |
| | | 64,333 | | | | Heineken NV | | | | | 6,478,753 | | |
| | | 118,504 | | | | Koninklijke Philips NV | | | | | 4,712,723 | | |
| | | 71,207 | | | | NXP Semiconductors NV | | | | | 6,502,623 | | |
| | | | | | | Total Netherlands | | | | | 24,142,590 | | |
| Nigeria – 0.0% | | ||||||||||||
| | | 1,857,403 | | | | Lekoil Ltd., CDI* | | | | | 248,369 | | |
| Norway – 0.3% | | ||||||||||||
| | | 57,760 | | | | DNB ASA | | | | | 1,107,216 | | |
| | | 160,810 | | | | Sbanken ASA | | | | | 1,507,010 | | |
| | | 479,036 | | | | Spectrum ASA | | | | | 2,821,753 | | |
| | | | | | | Total Norway | | | | | 5,435,979 | | |
| Pakistan – 0.0% | | ||||||||||||
| | | 439,824 | | | | Hascol Petroleum Ltd. | | | | | 441,258 | | |
| Panama – 0.1% | | ||||||||||||
| | | 16,300 | | | | Copa Holdings SA, Class A Shares | | | | | 1,437,171 | | |
| Peru – 0.2% | | ||||||||||||
| | | 10,403 | | | | Credicorp Ltd. | | | | | 2,528,865 | | |
| Philippines – 1.0% | | ||||||||||||
| | | 3,989,935 | | | | Ayala Land Inc. | | | | | 3,385,935 | | |
| | | 1,290,368 | | | | BDO Unibank Inc. | | | | | 3,174,203 | | |
| | | 8,027,565 | | | | Metro Pacific Investments Corp. | | | | | 727,579 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Philippines – (continued) | | ||||||||||||
| | | 3,073,345 | | | | Philippine Seven Corp. | | | | $ | 7,898,796 | | |
| | | 81,480 | | | | SM Investments Corp.(e)@ | | | | | 1,478,344 | | |
| | | | | | | Total Philippines | | | | | 16,664,857 | | |
| Portugal – 0.4% | | ||||||||||||
| | | 207,757 | | | | Galp Energia SGPS SA | | | | | 3,406,951 | | |
| | | 247,102 | | | | Jeronimo Martins SGPS SA | | | | | 3,723,490 | | |
| | | | | | | Total Portugal | | | | | 7,130,441 | | |
| Russia – 0.4% | | ||||||||||||
| | | 335,687 | | | | Sberbank of Russia PJSC, ADR | | | | | 4,280,229 | | |
| | | 44,116 | | | | Yandex NV, Class A Shares* | | | | | 1,517,590 | | |
| | | | | | | Total Russia | | | | | 5,797,819 | | |
| Singapore – 0.2% | | ||||||||||||
| | | 2,623,200 | | | | Riverstone Holdings Ltd. | | | | | 2,172,956 | | |
| | | 2,325,200 | | | | Sheng Siong Group Ltd. | | | | | 1,858,038 | | |
| | | | | | | Total Singapore | | | | | 4,030,994 | | |
| South Africa – 2.0% | | ||||||||||||
| | | 186,209 | | | | Bid Corp., Ltd | | | | | 3,893,478 | | |
| | | 250,742 | | | | Bidvest Group Ltd. | | | | | 3,702,011 | | |
| | | 1,070,540 | | | | FirstRand Ltd. | | | | | 4,884,443 | | |
| | | 3,134,334 | | | | Italtile Ltd. | | | | | 3,300,529 | | |
| | | 74,546 | | | | Mr Price Group Ltd. | | | | | 1,142,230 | | |
| | | 45,544 | | | | MultiChoice Group Ltd.* | | | | | 339,491 | | |
| | | 45,786 | | | | Naspers Ltd., Class N Shares | | | | | 9,865,814 | | |
| | | 1,214,459 | | | | Pepkor Holdings Ltd.(a)(b) | | | | | 1,721,787 | | |
| | | 70,838 | | | | Sasol Ltd. | | | | | 2,159,200 | | |
| | | 39,251 | | | | Sasol Ltd., ADR | | | | | 1,198,726 | | |
| | | | | | | Total South Africa | | | | | 32,207,709 | | |
| South Korea – 2.5% | | ||||||||||||
| | | 99,360 | | | | BusinessOn Communication Co., Ltd.(a) | | | | | 1,363,108 | | |
| | | 20,214 | | | | Cafe24 Corp.* | | | | | 2,132,346 | | |
| | | 98,195 | | | | KB Financial Group Inc. | | | | | 3,868,716 | | |
| | | 120,355 | | | | Kia Motors Corp. | | | | | 3,913,276 | | |
| | | 64,231 | | | | LEENO Industrial Inc. | | | | | 3,013,369 | | |
| | | 2,111 | | | | LG Household & Health Care Ltd. | | | | | 2,339,321 | | |
| | | 169,817 | | | | Minwise Co., Ltd. | | | | | 3,114,972 | | |
| | | 43,175 | | | | NAVER Corp. | | | | | 5,121,116 | | |
| | | 327,184 | | | | Samsung Electronics Co., Ltd. | | | | | 13,049,972 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| South Korea – (continued) | | ||||||||||||
| | | 20,850 | | | | Samsung Life Insurance Co., Ltd. | | | | $ | 1,644,958 | | |
| | | 10,712 | | | | SK Telecom Co., Ltd. | | | | | 2,478,848 | | |
| | | | | | | Total South Korea | | | | | 42,040,002 | | |
| Spain – 0.9% | | ||||||||||||
| | | 168,415 | | | | Amadeus IT Group SA | | | | | 12,676,301 | | |
| | | 377,679 | | | | CaixaBank SA | | | | | 1,343,318 | | |
| | | 72,940 | | | | Grifols SA, ADR | | | | | 1,406,283 | | |
| | | | | | | Total Spain | | | | | 15,425,902 | | |
| Sweden – 1.7% | | ||||||||||||
| | | 57,207 | | | | Biotage AB | | | | | 781,198 | | |
| | | 304,941 | | | | Essity AB, Class B Shares | | | | | 8,503,442 | | |
| | | 131,124 | | | | eWork Group AB | | | | | 1,202,352 | | |
| | | 499,528 | | | | Fortnox AB | | | | | 4,796,365 | | |
| | | 46,396 | | | | Hexagon AB, Class B Shares | | | | | 2,438,916 | | |
| | | 167,288 | | | | HMS Networks AB | | | | | 2,806,765 | | |
| | | 100,869 | | | | MIPS AB* | | | | | 1,493,067 | | |
| | | 191,676 | | | | RaySearch Laboratories AB*(a) | | | | | 2,124,726 | | |
| | | 318,140 | | | | Svenska Handelsbanken AB, Class A Shares | | | | | 3,627,626 | | |
| | | | | | | Total Sweden | | | | | 27,774,457 | | |
| Switzerland – 4.4% | | ||||||||||||
| | | 52 | | | | Chocoladefabriken Lindt & Spruengli AG | | | | | 337,976 | | |
| | | 33,151 | | | | Cie Financiere Richemont SA, Class Registered Shares | | | | | 2,536,873 | | |
| | | 2,732 | | | | dormakaba Holding AG, ADR* | | | | | 1,729,302 | | |
| | | 3,631 | | | | Geberit AG, Class Registered Shares | | | | | 1,448,101 | | |
| | | 4,901 | | | | Givaudan SA, Class Registered Shares | | | | | 12,248,316 | | |
| | | 96,137 | | | | Julius Baer Group Ltd.* | | | | | 4,190,809 | | |
| | | 14,959 | | | | Lonza Group AG, Class Registered Shares* | | | | | 4,156,462 | | |
| | | 278,748 | | | | Nestle SA, Class Registered Shares | | | | | 25,224,055 | | |
| | | 9,133 | | | | Roche Holding AG | | | | | 2,536,516 | | |
| | | 7,159 | | | | Schindler Holding AG | | | | | 1,617,154 | | |
| | | 2,126 | | | | SGS SA, Class Registered Shares | | | | | 5,415,343 | | |
| | | 9,924 | | | | Sika AG, Class Registered Shares | | | | | 1,340,999 | | |
| | | 740,506 | | | | UBS Group AG, Class Registered Shares* | | | | | 9,407,705 | | |
| | | | | | | Total Switzerland | | | | | 72,189,611 | | |
| Taiwan – 3.6% | | ||||||||||||
| | | 121,000 | | | | ASPEED Technology Inc. | | | | | 2,742,555 | | |
| | | 821,000 | | | | Delta Electronics Inc. | | | | | 4,027,825 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Taiwan – (continued) | | ||||||||||||
| | | 237,392 | | | | Eclat Textile Co., Ltd. | | | | $ | 2,698,984 | | |
| | | 1,320,000 | | | | Far EasTone Telecommunications Co., Ltd. | | | | | 3,066,259 | | |
| | | 172,642 | | | | Ginko International Co., Ltd. | | | | | 1,273,495 | | |
| | | 98,465 | | | | Hiwin Technologies Corp. | | | | | 856,119 | | |
| | | 696,000 | | | | Hota Industrial Manufacturing Co., Ltd. | | | | | 2,702,372 | | |
| | | 20,000 | | | | Largan Precision Co., Ltd. | | | | | 2,816,978 | | |
| | | 145,000 | | | | Machvision Inc. | | | | | 2,243,285 | | |
| | | 329,285 | | | | Makalot Industrial Co., Ltd. | | | | | 2,000,776 | | |
| | | 252,820 | | | | Poya International Co., Ltd. | | | | | 2,581,928 | | |
| | | 950,000 | | | | Taiwan Mobile Co., Ltd. | | | | | 3,389,022 | | |
| | | 865,000 | | | | Taiwan Semiconductor Manufacturing Co., Ltd. | | | | | 6,638,042 | | |
| | | 350,272 | | | | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | | | | | 13,678,121 | | |
| | | 252,188 | | | | TCI Co., Ltd. | | | | | 3,848,702 | | |
| | | 232,000 | | | | Voltronic Power Technology Corp. | | | | | 4,310,794 | | |
| | | | | | | Total Taiwan | | | | | 58,875,257 | | |
| Thailand – 0.7% | | ||||||||||||
| | | 242,498 | | | | Bangkok Bank PCL, Class F Shares | | | | | 1,643,011 | | |
| | | 191,536 | | | | Bangkok Bank PCL, NVDR | | | | | 1,266,929 | | |
| | | 2,358,031 | | | | CP ALL PCL, Class F Shares | | | | | 5,803,638 | | |
| | | 11,567,300 | | | | Humanica PCL, Class F Shares | | | | | 3,533,537 | | |
| | | | | | | Total Thailand | | | | | 12,247,115 | | |
| United Arab Emirates – 0.1% | | ||||||||||||
| | | 470,853 | | | | First Abu Dhabi Bank PJSC | | | | | 1,948,383 | | |
| United Kingdom – 6.8% | | ||||||||||||
| | | 676,053 | | | | Advanced Medical Solutions Group PLC | | | | | 2,733,448 | | |
| | | 626,250 | | | | ASA International Group PLC* | | | | | 3,577,370 | | |
| | | 33,400 | | | | AstraZeneca PLC, ADR | | | | | 1,388,772 | | |
| | | 121,065 | | | | Avon Rubber PLC | | | | | 2,039,758 | | |
| | | 193,555 | | | | British American Tobacco PLC | | | | | 7,119,019 | | |
| | | 16,093 | | | | Bunzl PLC | | | | | 506,307 | | |
| | | 78,858 | | | | Burberry Group PLC | | | | | 1,974,754 | | |
| | | 529,968 | | | | Clipper Logistics PLC(a) | | | | | 1,849,645 | | |
| | | 333,538 | | | | Compass Group PLC | | | | | 7,363,974 | | |
| | | 671,068 | | | | ConvaTec Group PLC(b) | | | | | 1,180,014 | | |
| | | 97,911 | | | | Craneware PLC | | | | | 3,427,790 | | |
| | | 14,895 | | | | Croda International PLC | | | | | 951,700 | | |
| | | 245,008 | | | | Diageo PLC | | | | | 9,464,299 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| United Kingdom – (continued) | | ||||||||||||
| | | 137,688 | | | | Experian PLC | | | | $ | 3,583,760 | | |
| | | 48,300 | | | | Farfetch Ltd., Class A Shares* | | | | | 1,183,350 | | |
| | | 578,151 | | | | GB Group PLC | | | | | 3,751,992 | | |
| | | 164,544 | | | | Halma PLC | | | | | 3,389,661 | | |
| | | 740,027 | | | | Horizon Discovery Group PLC* | | | | | 1,421,838 | | |
| | | 67,746 | | | | IG Group Holdings PLC | | | | | 507,652 | | |
| | | 271,606 | | | | IMI PLC | | | | | 3,412,988 | | |
| | | 56,445 | | | | Intertek Group PLC | | | | | 3,804,471 | | |
| | | 60,617 | | | | Jardine Lloyd Thompson Group PLC | | | | | 1,533,893 | | |
| | | 19,632 | | | | Linde PLC | | | | | 3,410,607 | | |
| | | 18,617 | | | | LivaNova PLC* | | | | | 1,735,104 | | |
| | | 55,452 | | | | London Stock Exchange Group PLC | | | | | 3,313,057 | | |
| | | 418,517 | | | | On the Beach Group PLC | | | | | 2,322,023 | | |
| | | 309,651 | | | | Patisserie Holdings PLC(d)(e) | | | | | 4,107 | | |
| | | 153,460 | | | | Prudential PLC | | | | | 3,234,084 | | |
| | | 154,470 | | | | Reckitt Benckiser Group PLC | | | | | 11,810,131 | | |
| | | 104,024 | | | | RELX PLC | | | | | 2,387,929 | | |
| | | 187,352 | | | | Rentokil Initial PLC | | | | | 871,808 | | |
| | | 242,189 | | | | Smith & Nephew PLC | | | | | 4,617,496 | | |
| | | 70,908 | | | | Spectris PLC | | | | | 2,483,823 | | |
| | | 47,869 | | | | Spirax-Sarco Engineering PLC | | | | | 4,229,458 | | |
| | | 1,234,294 | | | | Tullow Oil PLC* | | | | | 3,613,338 | | |
| | | 1,184,474 | | | | Vodafone Group PLC | | | | | 2,111,153 | | |
| | | | | | | Total United Kingdom | | | �� | | 112,310,573 | | |
| United States – 3.1% | | ||||||||||||
| | | 55,185 | | | | Analog Devices Inc. | | | | | 5,902,588 | | |
| | | 28,212 | | | | ANSYS Inc.* | | | | | 5,000,859 | | |
| | | 2,110 | | | | Booking Holdings Inc.* | | | | | 3,580,754 | | |
| | | 175,776 | | | | Cadence Design Systems Inc.* | | | | | 10,063,176 | | |
| | | 107,261 | | | | Colgate-Palmolive Co. | | | | | 7,065,282 | | |
| | | 35,866 | | | | DENTSPLY SIRONA Inc. | | | | | 1,497,764 | | |
| | | 113,734 | | | | Liberty Latin America Ltd., Class C Shares* | | | | | 2,205,302 | | |
| | | 19,900 | | | | Mastercard Inc., Class A Shares | | | | | 4,472,923 | | |
| | | 23,849 | | | | Nordson Corp. | | | | | 3,237,740 | | |
| | | 1,635 | | | | NVIDIA Corp. | | | | | 252,215 | | |
| | | 26,824 | | | | Philip Morris International Inc. | | | | | 2,332,079 | | |
| | | 30,253 | | | | Texas Instruments Inc. | | | | | 3,200,162 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | | 33,500 | | | | Waste Connections Inc. | | | | $ | 2,793,900 | | |
| | | | | | | Total United States | | | | | 51,604,744 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $1,194,295,572) | | | | | 1,307,638,691 | | |
| EXCHANGE TRADED FUNDS (ETFs) – 16.3% | | ||||||||||||
| United States – 16.3% | | ||||||||||||
| | | 3,114,985 | | | | iShares Core MSCI EAFE | | | | | 187,802,446 | | |
| | | 1,592,904 | | | | iShares Core MSCI Emerging Markets | | | | | 81,429,253 | | |
| | | | | | | Total United States | | | | | 269,231,699 | | |
| | | | | | | TOTAL EXCHANGE TRADED FUNDS (ETFs) (Cost – $256,053,458) | | | | | 269,231,699 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $1,450,349,030) | | | | | 1,576,870,390 | | |
| Face Amount† | | | | | | | | ||||||
| SHORT-TERM INVESTMENTS – 4.6% | | ||||||||||||
| TIME DEPOSITS – 3.9% | | ||||||||||||
| | $ | 20,938,138 | | | | Banco Bilbao Vizcaya Argentaria SA – Madrid, 1.750% due 3/1/19 | | | | | 20,938,138 | | |
| | | 257,052 | | | | Barclays Bank PLC – London, 1.750% due 3/1/19 | | | | | 257,052 | | |
| | | | | | | Brown Brothers Harriman – Grand Cayman: | | | |||||
| | | 127CHF | | | | (1.440)% due 3/1/19 | | | | | 127 | | |
| | | 465DKK | | | | (0.850)% due 3/1/19 | | | | | 71 | | |
| | | 111,083JPY | | | | (0.270)% due 3/1/19 | | | | | 997 | | |
| | | 11NOK | | | | 0.350% due 3/1/19 | | | | | 1 | | |
| | | 13,965GBP | | | | 0.360% due 3/1/19 | | | | | 18,520 | | |
| | | 10,211HKD | | | | 0.360% due 3/1/19 | | | | | 1,301 | | |
| | | 4NZD | | | | 0.650% due 3/1/19 | | | | | 3 | | |
| | | 105AUD | | | | 0.760% due 3/1/19 | | | | | 75 | | |
| | | 755SGD | | | | 0.800% due 3/1/19 | | | | | 558 | | |
| | | 29,789CAD | | | | 0.820% due 3/1/19 | | | | | 22,641 | | |
| | | 5,627ZAR | | | | 5.140% due 3/1/19 | | | | | 399 | | |
| | | | | | | Citibank – London: | | | |||||
| | | 74,692EUR | | | | (0.570)% due 3/1/19 | | | | | 84,955 | | |
| | | 122,598GBP | | | | 0.360% due 3/1/19 | | | | | 162,584 | | |
| | | 27,128,071 | | | | Citibank – New York, 1.750% due 3/1/19 | | | | | 27,128,071 | | |
| | | 16,226,788 | | | | Sumitomo Mitsui Banking Corp. – Tokyo, 1.750% due 3/1/19 | | | | | 16,226,788 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $64,842,281) | | | | | 64,842,281 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| U.S. GOVERNMENT AGENCY – 0.7% | | ||||||||||||
| | $ | 11,202,000 | | | | Federal Home Loan Bank (FHLB) Discount Notes, 2.250% due 3/1/19(f) (Cost – $11,202,000) | | | | $ | 11,202,000 | | |
| | | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost – $76,044,281) | | | | | 76,044,281 | | |
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 1.4% | | ||||||||||||
| MONEY MARKET FUND – 1.4% | | ||||||||||||
| | | 22,347,241 | | | | Federated Government Obligations Fund, Premier Class, 2.363%(g) (Cost – $22,347,241) | | | | | 22,347,241 | | |
| | | | | | | TOTAL INVESTMENTS — 101.5% (Cost – $1,548,740,552#) | | | | | 1,675,261,912 | | |
| | | | | | | Liabilities in Excess of Other Assets — (1.5)% | | | | | (24,003,978) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 1,651,257,934 | | |
|
Security | | | Acquisition Date | | | Acquisition Cost | | | Market Value | | | Percent of Net Assets | | ||||||||||||
Sarana Menara Nusantara Tbk PT | | | | | 4/3/17 | | | | | $ | 1,400 | | | | | $ | 2,385,163 | | | | | | 0.14% | | |
SM Investments Corp. | | | | | 5/23/18 | | | | | | 348,872 | | | | | | 1,478,344 | | | | | | 0.09% | | |
Total | | | | | | | | | | | | | | | | $ | 3,863,507 | | | | | | 0.23% | | |
|
| ADR — American Depositary Receipts | |
| CDI — Clearing House Electronics Systems (CHESS) Depositary Interest | |
| NVDR — Non Voting Depository Receipts | |
| PCL — Public Company Limited | |
| PLC — Public Limited Company | |
| Consumer Non-cyclical | | | | | 22.7% | | |
| Financial | | | | | 12.2 | | |
| Technology | | | | | 10.7 | | |
| Industrial | | | | | 9.7 | | |
| Communications | | | | | 9.2 | | |
| Consumer Cyclical | | | | | 8.0 | | |
| Basic Materials | | | | �� | 2.6 | | |
| Energy | | | | | 2.1 | | |
| Diversified | | | | | 0.5 | | |
| Utilities | | | | | 0.4 | | |
| Exchange Traded Funds (ETFs) | | | | | 16.1 | | |
| Short-Term Investments | | | | | 4.5 | | |
| Money Market Fund | | | | | 1.3 | | |
| | | | | | 100.0% | | |
|
Foreign Currency | | | Local Currency | | | Counterparty | | | Market Value | | | Settlement Date | | | Unrealized Appreciation | | | Unrealized (Depreciation) | | | Net Unrealized Appreciation/ (Depreciation) | | |||||||||||||||||||||
Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Japanese Yen | | | | | 208,866,000 | | | | | | CITI | | | | | $ | 1,875,444 | | | | | | 3/15/19 | | | | | $ | 17,436 | | | | | $ | — | | | | | $ | 17,436 | | |
Japanese Yen | | | | | 402,105,000 | | | | | | CITI | | | | | | 3,657,747 | | | | | | 8/22/19 | | | | | | 34,097 | | | | | | — | | | | | | 34,097 | | |
Japanese Yen | | | | | 955,995,000 | | | | | | CITI | | | | | | 8,696,207 | | | | | | 8/22/19 | | | | | | 54,560 | | | | | | — | | | | | | 54,560 | | |
Japanese Yen | | | | | 205,000,000 | | | | | | CITI | | | | | | 1,864,782 | | | | | | 8/22/19 | | | | | | 13,603 | | | | | | — | | | | | | 13,603 | | |
Net Unrealized Appreciation on Open Forward Foreign Currency Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 119,696 | | | | | $ | — | | | | | $ | 119,696 | | |
|
| 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 | |
| SGD — Singapore Dollar | |
| ZAR — South African Rand | |
| CITI — Citigroup Global Markets Inc. | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 78.0% | | ||||||||||||
| BASIC MATERIALS – 0.9% | | ||||||||||||
| Chemicals – 0.9% | | ||||||||||||
| | | 67,300 | | | | DowDuPont Inc. | | | | $ | 3,582,379 | | |
| COMMUNICATIONS – 8.5% | | ||||||||||||
| Media – 0.3% | | ||||||||||||
| | | 41,400 | | | | Viacom Inc., Class B Shares | | | | | 1,209,708 | | |
| Telecommunications – 8.2% | | ||||||||||||
| | | 324,822 | | | | AT&T Inc. | | | | | 10,108,461 | | |
| | | 115,968 | ��� | | | BCE Inc. | | | | | 5,158,646 | | |
| | | 41,400 | | | | Nippon Telegraph & Telephone Corp. | | | | | 1,783,173 | | |
| | | 148,900 | | | | Telefonica Brasil SA | | | | | 1,854,981 | | |
| | | 125,751 | | | | Verizon Communications Inc. | | | | | 7,157,747 | | |
| | | 3,283,618 | | | | Vodafone Group PLC | | | | | 5,847,317 | | |
| | | 46,741 | | | | Vodafone Group PLC, ADR | | | | | 834,327 | | |
| | | | | | | Total Telecommunications | | | | | 32,744,652 | | |
| | | | | | | TOTAL COMMUNICATIONS | | | | | 33,954,360 | | |
| CONSUMER CYCLICAL – 2.8% | | ||||||||||||
| Airlines – 0.9% | | ||||||||||||
| | | 74,355 | | | | Delta Air Lines Inc. | | | | | 3,686,521 | | |
| Auto Manufacturers – 0.5% | | ||||||||||||
| | | 31,500 | | | | Daimler AG, Class Registered Shares | | | | | 1,886,708 | | |
| Home Builders – 0.6% | | ||||||||||||
| | | 151,400 | | | | Sekisui House Ltd. | | | | | 2,273,071 | | |
| Retail – 0.4% | | ||||||||||||
| | | 500,900 | | | | Kingfisher PLC | | | | | 1,608,194 | | |
| Toys/Games/Hobbies – 0.4% | | ||||||||||||
| | | 6,700 | | | | Nintendo Co., Ltd. | | | | | 1,829,704 | | |
| | | | | | | TOTAL CONSUMER CYCLICAL | | | | | 11,284,198 | | |
| CONSUMER NON-CYCLICAL – 18.9% | | ||||||||||||
| Agriculture – 6.4% | | ||||||||||||
| | | 106,384 | | | | Altria Group Inc. | | | | | 5,575,585 | | |
| | | 73,350 | | | | British American Tobacco PLC | | | | | 2,683,279 | | |
| | | 145,379 | | | | Imperial Brands PLC | | | | | 4,840,102 | | |
| | | 146,516 | | | | Philip Morris International Inc. | | | | | 12,738,101 | | |
| | | | | | | Total Agriculture | | | | | 25,837,067 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Beverages – 2.3% | | ||||||||||||
| | | 103,861 | | | | Coca-Cola Co. | | | | $ | 4,709,058 | | |
| | | 38,600 | | | | PepsiCo Inc. | | | | | 4,463,704 | | |
| | | | | | | Total Beverages | | | | | 9,172,762 | | |
| Biotechnology – 0.5% | | ||||||||||||
| | | 30,300 | | | | Gilead Sciences Inc. | | | | | 1,970,106 | | |
| Cosmetics/Personal Care – 1.2% | | ||||||||||||
| | | 47,825 | | | | Procter & Gamble Co. | | | | | 4,713,154 | | |
| Food – 1.3% | | ||||||||||||
| | | 61,325 | | | | General Mills Inc. | | | | | 2,890,247 | | |
| | | 305,300 | | | | Orkla ASA | | | | | 2,405,395 | | |
| | | | | | | Total Food | | | | | 5,295,642 | | |
| Household Products/Wares – 1.3% | | ||||||||||||
| | | 44,525 | | | | Kimberly-Clark Corp. | | | | | 5,201,856 | | |
| Pharmaceuticals – 5.9% | | ||||||||||||
| | | 98,126 | | | | AbbVie Inc. | | | | | 7,775,504 | | |
| | | 22,900 | | | | AstraZeneca PLC | | | | | 1,864,343 | | |
| | | 26,500 | | | | Bayer AG, Class Registered Shares | | | | | 2,118,316 | | |
| | | 516,850 | | | | GlaxoSmithKline PLC | | | | | 10,263,489 | | |
| | | 6,600 | | | | Roche Holding AG | | | | | 1,833,480 | | |
| | | | | | | Total Pharmaceuticals | | | | | 23,855,132 | | |
| | | | | | | TOTAL CONSUMER NON-CYCLICAL | | | | | 76,045,719 | | |
| ENERGY – 11.0% | | ||||||||||||
| Oil & Gas – 9.6% | | ||||||||||||
| | | 952,350 | | | | BP PLC | | | | | 6,749,253 | | |
| | | 49,439 | | | | BP PLC, ADR | | | | | 2,108,573 | | |
| | | 76,477 | | | | Chevron Corp. | | | | | 9,145,120 | | |
| | | 96,500 | | | | Exxon Mobil Corp. | | | | | 7,626,395 | | |
| | | 63,350 | | | | Occidental Petroleum Corp. | | | | | 4,190,602 | | |
| | | 77,000 | | | | Suncor Energy Inc. | | | | | 2,653,420 | | |
| | | 105,054 | | | | TOTAL SA | | | | | 5,973,226 | | |
| | | | | | | Total Oil & Gas | | | | | 38,446,589 | | |
| Pipelines – 1.4% | | ||||||||||||
| | | 145,700 | | | | Enterprise Products Partners LP | | | | | 4,028,605 | | |
| | | 94,236 | | | | Equitrans Midstream Corp. | | | | | 1,662,323 | | |
| | | | | | | Total Pipelines | | | | | 5,690,928 | | |
| | | | | | | TOTAL ENERGY | | | | | 44,137,517 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – 18.0% | | ||||||||||||
| Banks – 7.4% | | ||||||||||||
| | | 934,500 | | | | AIB Group PLC | | | | $ | 4,406,784 | | |
| | | 40,450 | | | | Bank of NT Butterfield & Son Ltd. | | | | | 1,647,933 | | |
| | | 34,275 | | | | Canadian Imperial Bank of Commerce | | | | | 2,908,048 | | |
| | | 47,925 | | | | CIT Group Inc. | | | | | 2,442,737 | | |
| | | 72,850 | | | | Citigroup Inc. | | | | | 4,660,943 | | |
| | | 326,400 | | | | ING Groep NV | | | | | 4,318,349 | | |
| | | 17,200 | | | | JPMorgan Chase & Co. | | | | | 1,794,992 | | |
| | | 127,725 | | | | KeyCorp | | | | | 2,255,623 | | |
| | | 18,675 | | | | PNC Financial Services Group Inc. | | | | | 2,353,424 | | |
| | | 112,000 | | | | UBS Group AG, Class Registered Shares* | | | | | 1,424,965 | | |
| | | 1,413,000 | | | | Unicaja Banco SA(a) | | | | | 1,655,361 | | |
| | | | | | | Total Banks | | | | | 29,869,159 | | |
| Diversified Financial Services – 1.3% | | ||||||||||||
| | | 360,700 | | | | Daiwa Securities Group Inc. | | | | | 1,829,954 | | |
| | | 14,100 | | | | Deutsche Boerse AG | | | | | 1,781,748 | | |
| | | 83,425 | | | | Invesco Ltd. | | | | | 1,614,274 | | |
| | | | | | | Total Diversified Financial Services | | | | | 5,225,976 | | |
| Equity Real Estate Investment Trusts (REITs) – 5.0% | | ||||||||||||
| | | 68,225 | | | | Crown Castle International Corp. | | | | | 8,101,719 | | |
| | | 19,025 | | | | Digital Realty Trust Inc. | | | | | 2,152,108 | | |
| | | 36,000 | | | | National Retail Properties Inc. | | | | | 1,875,600 | | |
| | | 66,875 | | | | Omega Healthcare Investors Inc. | | | | | 2,400,812 | | |
| | | 88,125 | | | | Ventas Inc. | | | | | 5,529,844 | | |
| | | | | | | Total Equity Real Estate Investment Trusts (REITs) | | | | | 20,060,083 | | |
| Insurance – 3.5% | | ||||||||||||
| | | 56,000 | | | | Ageas | | | | | 2,759,878 | | |
| | | 9,780 | | | | Allianz SE, Class Registered Shares | | | | | 2,175,810 | | |
| | | 201,900 | | | | Challenger Ltd. | | | | | 1,152,984 | | |
| | | 39,300 | | | | CNA Financial Corp. | | | | | 1,698,546 | | |
| | | 15,300 | | | | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Class Registered Shares | | | | | 3,604,000 | | |
| | | 16,845 | | | | RenaissanceRe Holdings Ltd. | | | | | 2,477,057 | | |
| | | | | | | Total Insurance | | | | | 13,868,275 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Private Equity – 0.5% | | ||||||||||||
| | | 43,500 | | | | AURELIUS Equity Opportunities SE & Co. KGaA | | | | $ | 1,969,181 | | |
| Real Estate – 0.3% | | ||||||||||||
| | | 267,000 | | | | Great Eagle Holdings Ltd. | | | | | 1,326,531 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 72,319,205 | | |
| INDUSTRIAL – 3.4% | | ||||||||||||
| Miscellaneous Manufacturers – 1.1% | | ||||||||||||
| | | 23,450 | | | | Eaton Corp. PLC | | | | | 1,870,606 | | |
| | | 24,300 | | | | Siemens AG, Class Registered Shares | | | | | 2,656,920 | | |
| | | | | | | Total Miscellaneous Manufacturers | | | | | 4,527,526 | | |
| Transportation – 2.3% | | ||||||||||||
| | | 120,300 | | | | Deutsche Post AG, Class Registered Shares | | | | | 3,738,174 | | |
| | | 48,725 | | | | United Parcel Service Inc., Class B Shares | | | | | 5,369,495 | | |
| | | | | | | Total Transportation | | | | | 9,107,669 | | |
| | | | | | | TOTAL INDUSTRIAL | | | | | 13,635,195 | | |
| TECHNOLOGY – 3.5% | | ||||||||||||
| Semiconductors – 1.6% | | ||||||||||||
| | | 4,900 | | | | Broadcom Inc. | | | | | 1,349,264 | | |
| | | 114,500 | | | | Cypress Semiconductor Corp. | | | | | 1,766,735 | | |
| | | 70,500 | | | | Infineon Technologies AG | | | | | 1,548,004 | | |
| | | 52,100 | | | | Samsung Electronics Co., Ltd. | | | | | 1,666,415 | | |
| | | | | | | Total Semiconductors | | | | | 6,330,418 | | |
| Software – 1.9% | | ||||||||||||
| | | 22,400 | | | | Microsoft Corp. | | | | | 2,509,472 | | |
| | | 69,900 | | | | Oracle Corp. | | | | | 3,643,887 | | |
| | | 19,400 | | | | Paychex Inc. | | | | | 1,494,188 | | |
| | | | | | | Total Software | | | | | 7,647,547 | | |
| | | | | | | TOTAL TECHNOLOGY | | | | | 13,977,965 | | |
| UTILITIES – 11.0% | | ||||||||||||
| Electric – 7.9% | | ||||||||||||
| | | 26,579 | | | | American Electric Power Co., Inc. | | | | | 2,156,886 | | |
| | | 111,500 | | | | Dominion Energy Inc. | | | | | 8,261,035 | | |
| | | 79,425 | | | | Duke Energy Corp. | | | | | 7,121,245 | | |
| | | 67,940 | | | | FirstEnergy Corp. | | | | | 2,768,555 | | |
| | | 161,750 | | | | PPL Corp. | | | | | 5,203,498 | | |
| | | 124,840 | | | | Southern Co. | | | | | 6,203,300 | | |
| | | | | | | Total Electric | | | | | 31,714,519 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| UTILITIES – (continued) | | ||||||||||||
| Gas – 2.2% | | ||||||||||||
| | | 293,000 | | | | Italgas SpA | | | | $ | 1,774,933 | | |
| | | 643,733 | | | | National Grid PLC | | | | | 7,238,408 | | |
| | | | | | | Total Gas | | | | | 9,013,341 | | |
| Water – 0.9% | | ||||||||||||
| | | 158,500 | | | | Veolia Environnement SA | | | | | 3,479,363 | | |
| | | | | | | TOTAL UTILITIES | | | | | 44,207,223 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $306,871,772) | | | | | 313,143,761 | | |
| EXCHANGE TRADED FUNDS (ETFs) – 20.1% | | ||||||||||||
| | | 1,340,702 | | | | iShares Core Dividend Growth | | | | | 49,042,879 | | |
| | | 342,294 | | | | iShares Core High Dividend | | | | | 31,583,468 | | |
| | | | | | | TOTAL EXCHANGE TRADED FUNDS (ETFs) (Cost – $73,864,098) | | | | | 80,626,347 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $380,735,870) | | | | | 393,770,108 | | |
| Face Amount | | | | | | | | ||||||
| SHORT-TERM INVESTMENTS – 1.6% | | ||||||||||||
| CORPORATE NOTE – 0.3% | | ||||||||||||
| | $ | 19,000 | | | | JPMorgan Chase Bank NA, Senior Unsecured Notes, 10.000% due 8/2/19(a)(b) (Cost – $1,088,952) | | | | | 1,318,600 | | |
| TIME DEPOSITS – 1.3% | | ||||||||||||
| | | 720,740 | | | | Citibank – New York, 1.750% due 3/1/19 | | | | | 720,740 | | |
| | | 1,506,923 | | | | JPMorgan Chase & Co. – New York, 1.750% due 3/1/19 | | | | | 1,506,923 | | |
| | | 755,326 | | | | Standard Chartered Bank – London, 1.750% due 3/1/19 | | | | | 755,326 | | |
| | | 2,231,998 | | | | Sumitomo Mitsui Banking Corp. – Tokyo, 1.750% due 3/1/19 | | | | | 2,231,998 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $5,214,987) | | | | | 5,214,987 | | |
| | | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost – $6,303,939) | | | | | 6,533,587 | | |
| | | | | | | TOTAL INVESTMENTS – 99.7% (Cost – $387,039,809#) | | | | | 400,303,695 | | |
| | | | | | | Other Assets in Excess of Liabilities – 0.3% | | | | | 1,237,339 | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 401,541,034 | | |
|
| Consumer Non-cyclical | | | | | 19.0% | | |
| Financial | | | | | 18.1 | | |
| Utilities | | | | | 11.1 | | |
| Energy | | | | | 11.0 | | |
| Communications | | | | | 8.5 | | |
| Technology | | | | | 3.5 | | |
| Industrial | | | | | 3.4 | | |
| Consumer Cyclical | | | | | 2.8 | | |
| Basic Materials | | | | | 0.9 | | |
| Exchange Traded Funds (ETFs) | | | | | 20.1 | | |
| Short-Term Investments | | | | | 1.6 | | |
| | | | | | 100.0% | | |
|
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 82.6% | | ||||||||||||
| Canada – 39.3% | | ||||||||||||
| | | 2,367,268 | | | | First Quantum Minerals Ltd. | | | | $ | 27,150,623 | | |
| | | 1,437,680 | | | | Peyto Exploration & Development Corp.(a) | | | | | 8,293,677 | | |
| | | 595,305 | | | | Tourmaline Oil Corp. | | | | | 9,035,677 | | |
| | | 18,353,993 | | | | Turquoise Hill Resources Ltd.* | | | | | 31,385,328 | | |
| | | 2,605,024 | | | | Whitecap Resources Inc.(a) | | | | | 9,543,373 | | |
| | | | | | | Total Canada | | | | | 85,408,678 | | |
| United States – 43.3% | | ||||||||||||
| | | 1,480,131 | | | | Antero Resources Corp.* | | | | | 12,817,934 | | |
| | | 704,031 | | | | Centennial Resource Development Inc., Class A Shares* | | | | | 6,385,561 | | |
| | | 73,680 | | | | Concho Resources Inc. | | | | | 8,104,800 | | |
| | | 1,045,510 | | | | Covia Holdings Corp.*(a)(b) | | | | | 4,976,628 | | |
| | | 32,810 | | | | EOG Resources Inc. | | | | | 3,084,140 | | |
| | | 403,590 | | | | EQT Corp. | | | | | 7,313,051 | | |
| | | 1,388,872 | | | | Kosmos Energy Ltd.* | | | | | 8,888,781 | | |
| | | 2,139,414 | | | | Laredo Petroleum Inc.* | | | | | 7,338,190 | | |
| | | 396,520 | | | | Noble Energy Inc. | | | | | 8,782,918 | | |
| | | 1,737,860 | | | | Range Resources Corp. | | | | | 18,595,102 | | |
| | | 1,727,758 | | | | SRC Energy Inc.* | | | | | 7,947,687 | | |
| | | | | | | Total United States | | | | | 94,234,792 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $285,581,450) | | | | | 179,643,470 | | |
| EXCHANGE TRADED FUND (ETF) – 15.6% | | ||||||||||||
| United States – 15.6% | | ||||||||||||
| | | 670,691 | | | | iShares Core US REIT(a) (Cost – $32,181,372) | | | | | 33,896,723 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $317,762,822) | | | | | 213,540,193 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – 1.8% | | ||||||||||||
| TIME DEPOSITS – 1.8% | | ||||||||||||
| | $ | 1,988,383 | | | | Barclays Bank PLC – London, 1.750% due 3/1/19 | | | | $ | 1,988,383 | | |
| | | | | | | Brown Brothers Harriman – Grand Cayman: | | | |||||
| | | 12AUD | | | | 0.760% due 3/1/19 | | | | | 9 | | |
| | | 79CAD | | | | 0.820% due 3/1/19 | | | | | 60 | | |
| | | 2,033,804 | | | | Sumitomo Mitsui Banking Corp. – Tokyo, 1.750% due 3/1/19 | | | | | 2,033,804 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $4,022,256) | | | | | 4,022,256 | | |
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 5.8% | | ||||||||||||
| MONEY MARKET FUND – 5.8% | | ||||||||||||
| | | 12,554,680 | | | | Federated Government Obligations Fund, Premier Class, 2.363%(c) (Cost – $12,554,680) | | | | | 12,554,680 | | |
| | | | | | | TOTAL INVESTMENTS – 105.8% (Cost – $334,339,758#) | | | | | 230,117,129 | | |
| | | | | | | Liabilities in Excess of Other Assets – (5.8)% | | | | | (12,532,089) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 217,585,040 | | |
|
| PLC — Public Limited Company | |
| REIT — Real Estate Investment Trust | |
| Energy | | | | | 50.5% | | |
| Basic Materials | | | | | 27.6 | | |
| Exchange Traded Fund (ETF) | | | | | 14.7 | | |
| Short-Term Investments | | | | | 1.7 | | |
| Money Market Fund | | | | | 5.5 | | |
| | | | | | 100.0% | | |
|
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – 24.2% | | ||||||||||||
| | | | | | | 20 Times Square Trust: | | ||||||
| | $ | 491,000 | | | | Series 2018-20TS, Class F, 3.100% due 5/15/35(a)(b) | | | | $ | 456,197 | | |
| | | 491,000 | | | | Series 2018-20TS, Class G, 3.100% due 5/15/35(a)(b) | | | | | 445,480 | | |
| | | | | | | Alternative Loan Trust: | | ||||||
| | | 9,873,896 | | | | Series 2005-7CB, Class 2A2, 2.560% (1-Month USD-LIBOR + 5.050%) due 4/25/35(a)(c) | | | | | 946,961 | | |
| | | 9,873,896 | | | | Series 2005-7CB, Class 2A5, 2.940% (1-Month USD-LIBOR + 0.450%) due 4/25/35(a) | | | | | 8,692,370 | | |
| | | | | | | Angel Oak Mortgage Trust I LLC: | | ||||||
| | | 1,865,953 | | | | Series 2018-3, Class A1, 3.649% due 9/25/48(a)(b) | | | | | 1,867,352 | | |
| | | 2,034,033 | | | | Series 2018-3, Class A2, 3.751% due 9/25/48(a)(b) | | | | | 2,034,396 | | |
| | | 1,942,353 | | | | Series 2018-3, Class A3, 3.853% due 9/25/48(a)(b) | | | | | 1,942,703 | | |
| | | 913,619 | | | | Ashford Hospitality Trust, Series 2018-ASHF, Class A, 3.389% (1-Month USD-LIBOR + 0.900%) due 4/15/35(a)(b) | | | | | 907,326 | | |
| | | | | | | Atrium Hotel Portfolio Trust: | | ||||||
| | | 991,000 | | | | Series 2018-ATRM, Class A, 3.439% (1-Month USD-LIBOR + 0.950%) due 6/15/35(a)(b) | | | | | 985,408 | | |
| | | 991,000 | | | | Series 2018-ATRM, Class D, 4.789% (1-Month USD-LIBOR + 2.300%) due 6/15/35(a)(b) | | | | | 988,814 | | |
| | | 10,703,873 | | | | Banc of America Funding Trust, Series 2007-1, Class TA2, 2.620% (1-Month USD-LIBOR + 0.130%) due 1/25/37(a) | | | | | 9,124,680 | | |
| | | | | | | BANK: | | ||||||
| | | 12,459,080 | | | | Series 2017-BNK4, Class XA, 1.440% due 5/15/50(a)(c) | | | | | 1,021,997 | | |
| | | 16,340,812 | | | | Series 2018-BN10, Class XA, 0.747% due 2/15/61(a)(c) | | | | | 869,839 | | |
| | | 16,228,000 | | | | Series 2019-BN16, Class XA, 0.970% due 2/15/52(a)(c) | | | | | 1,196,400 | | |
| | | | | | | BBCMS Mortgage Trust: | | ||||||
| | | 178,000 | | | | Series 2017-DELC, Class C, 3.689% (1-Month USD-LIBOR + 1.200%) due 8/15/36(a)(b) | | | | | 176,219 | | |
| | | 203,000 | | | | Series 2017-DELC, Class D, 4.189% (1-Month USD-LIBOR + 1.700%) due 8/15/36(a)(b) | | | | | 201,727 | | |
| | | 408,000 | | | | Series 2017-DELC, Class E, 4.989% (1-Month USD-LIBOR + 2.500%) due 8/15/36(a)(b) | | | | | 403,917 | | |
| | | 407,000 | | | | Series 2017-DELC, Class F, 5.989% (1-Month USD-LIBOR + 3.500%) due 8/15/36(a)(b) | | | | | 402,927 | | |
| | | | | | | BBCMS Trust: | | ||||||
| | | 124,000 | | | | Series 2018-BXH, Class A, 3.489% (1-Month USD-LIBOR + 1.000%) due 10/15/37(a)(b) | | | | | 123,069 | | |
| | | 1,083,000 | | | | Series 2018-CBM, Class A, 3.489% (1-Month USD-LIBOR + 1.000%) due 7/15/37(a)(b) | | | | | 1,076,209 | | |
| | | 4,750,915 | | | | Bear Stearns ALT-A Trust, Series 2006-1, Class 21A2, 3.838% due 2/25/36(a) | | | | | 4,108,876 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 200,000 | | | | Benchmark, Series 2018-B4, Class A2, 3.976% due 7/15/51 | | | | $ | 206,769 | | |
| | | | | | | Benchmark Mortgage Trust: | | ||||||
| | | 600,000 | | | | Series 2018-B5, Class A4, 4.208% due 7/15/51 | | | | | 630,001 | | |
| | | 35,738,781 | | | | Series 2018-B7, Class XA, 0.450% due 5/15/53(a)(c) | | | | | 1,199,933 | | |
| | | 35,757,000 | | | | Series 2019-B9, Class XA, 1.049% due 3/15/52(a)(c) | | | | | 2,963,776 | | |
| | | 997,000 | | | | BHMS, Series 2018-ATLS, Class A, 3.739% (1-Month USD-LIBOR + 1.250%) due 7/15/35(a)(b) | | | | | 995,427 | | |
| | | | | | | BX Commercial Mortgage Trust: | | ||||||
| | | 984,000 | | | | Series 2018-BIOA, Class D, 3.810% (1-Month USD-LIBOR + 1.321%) due 3/15/37(a)(b) | | | | | 979,060 | | |
| | | 1,107,671 | | | | Series 2018-IND, Class A, 3.239% (1-Month USD-LIBOR + 0.750%) due 11/15/35(a)(b) | | | | | 1,106,283 | | |
| | | | | | | BX Trust: | | ||||||
| | | 279,650 | | | | Series 2017-SLCT, Class D, 4.539% (1-Month USD-LIBOR + 2.050%) due 7/15/34(a)(b) | | | | | 279,475 | | |
| | | 474,300 | | | | Series 2017-SLCT, Class E, 5.639% (1-Month USD-LIBOR + 3.150%) due 7/15/34(a)(b) | | | | | 474,888 | | |
| | | 117,017 | | | | Series 2018-EXCL, Class A, 3.576% (1-Month USD-LIBOR + 1.088%) due 9/15/37(a)(b) | | | | | 116,356 | | |
| | | 903,000 | | | | Series 2018-GW, Class A, 3.289% (1-Month USD-LIBOR + 0.800%) due 5/15/35(a)(b) | | | | | 896,206 | | |
| | | 100,000 | | | | Series 2018-GW, Class D, 4.259% (1-Month USD-LIBOR + 1.770%) due 5/15/35(a)(b) | | | | | 99,936 | | |
| | | 982,000 | | | | Series 2018-MCSF, Class F, 5.135% (1-Month USD-LIBOR + 2.647%) due 4/15/35(a)(b)(d) | | | | | 979,270 | | |
| | | 1,145,000 | | | | CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class A, 3.559% (1-Month USD-LIBOR + 1.070%) due 12/15/37(a)(b) | | | | | 1,148,583 | | |
| | | | | | | CD Mortgage Trust: | | ||||||
| | | 400,000 | | | | Series 2017-CD3, Class A4, 3.631% due 2/10/50 | | | | | 405,209 | | |
| | | 20,224,781 | | | | Series 2017-CD4, Class XA, 1.318% due 5/10/50(a)(c) | | | | | 1,537,188 | | |
| | | | | | | CFCRE Commercial Mortgage Trust: | | ||||||
| | | 2,023,051 | | | | Series 2016-C3, Class XA, 1.049% due 1/10/48(a)(c) | | | | | 117,475 | | |
| | | 16,590,249 | | | | Series 2017-C8, Class XA, 1.659% due 6/15/50(a)(c) | | | | | 1,579,818 | | |
| | | | | | | Citigroup Commercial Mortgage Trust: | | ||||||
| | | 37,732,104 | | | | Series 2015-GC35, Class XA, 0.870% due 11/10/48(a)(c) | | | | | 1,489,011 | | |
| | | 1,250,000 | | | | Series 2016-GC37, Class A4, 3.314% due 4/10/49 | | | | | 1,244,980 | | |
| | | 6,880,339 | | | | Citigroup Mortgage Loan Trust, Series 2018-A, Class A1, 4.000% due 1/25/68(a)(b) | | | | | 6,894,681 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | | | | | | CLNS Trust: | | ||||||
| | $ | 565,000 | | | | Series 2017-IKPR, Class D, 4.567% (1-Month USD-LIBOR + 2.050%) due 6/11/32(a)(b) | | | | $ | 565,348 | | |
| | | 565,000 | | | | Series 2017-IKPR, Class E, 6.017% (1-Month USD-LIBOR + 3.500%) due 6/11/32(a)(b) | | | | | 567,120 | | |
| | | 565,000 | | | | Series 2017-IKPR, Class F, 7.017% (1-Month USD-LIBOR + 4.500%) due 6/11/32(a)(b)(d) | | | | | 567,118 | | |
| | | | | | | Cold Storage Trust: | | ||||||
| | | 887,000 | | | | Series 2017-ICE3, Class A, 3.489% (1-Month USD-LIBOR + 1.000%) due 4/15/36(a)(b) | | | | | 884,751 | | |
| | | 1,082,000 | | | | Series 2017-ICE3, Class C, 3.839% (1-Month USD-LIBOR + 1.350%) due 4/15/36(a)(b) | | | | | 1,079,255 | | |
| | | | | | | Commercial Mortgage Trust: | | ||||||
| | | 258,295,622 | | | | Series 2013-CR9, Class XA, 0.121% due 7/10/45(a)(c) | | | | | 959,310 | | |
| | | 1,127,000 | | | | Series 2016-GCT, Class F, 3.461% due 8/10/29(a)(b)(d) | | | | | 1,097,343 | | |
| | | | | | | Credit Suisse Commercial Mortgage Capital Trust: | | ||||||
| | | 713,000 | | | | Series 2017-LSTK, Class C, 3.229% due 4/5/33(b) | | | | | 705,138 | | |
| | | 848,000 | | | | Series 2017-LSTK, Class D, 3.331% due 4/5/33(a)(b) | | | | | 834,616 | | |
| | | 1,246,000 | | | | Series 2017-LSTK, Class E, 3.331% due 4/5/33(a)(b)(d) | | | | | 1,218,092 | | |
| | | 69,653,000 | | | | Series 2017-LSTK, Class XACP, 0.570% due 4/5/33(a)(b)(c) | | | | | 499,558 | | |
| | | 25,355,000 | | | | Series 2017-LSTK, Class XBCP, 0.205% due 4/5/33(a)(b)(c) | | | | | 75,753 | | |
| | | 5,100,000 | | | | Series 2019-RPL2, Class A1, 4.340% due 7/25/58(b)(e) | | | | | 5,112,674 | | |
| | | 2,913,672 | | | | Credit Suisse First Boston Mortgage Securities Corp., Series 2005-9, Class 5A6, 5.500% due 10/25/35 | | | | | 2,461,773 | | |
| | | 1,090,000 | | | | CSWF, Series 2018-TOP, Class A, 3.489% (1-Month USD-LIBOR + 1.000%) due 8/15/35(a)(b) | | | | | 1,086,234 | | |
| | | 920,714 | | | | DBGS Mortgage Trust, Series 2018-BIOD, Class A, 3.292% (1-Month USD-LIBOR + 0.803%) due 5/15/35(a)(b) | | | | | 917,818 | | |
| | | | | | | Federal Home Loan Mortgage Corp. (FHLMC)., REMICS: | | ||||||
| | | 10,568,966 | | | | Series 4223, Class SB, 2.403% (1-Month USD-LIBOR + 5.431%) due 7/15/43(a) | | | | | 9,113,941 | | |
| | | 6,436,053 | | | | Series 4610, Class LA, 2.500% due 1/15/41 | | | | | 6,290,345 | | |
| | | 4,070,567 | | | | Series 4627, Class Z, 3.000% due 10/15/46 | | | | | 3,595,190 | | |
| | | 12,263,464 | | | | Series 4640, Class VB, 3.000% due 3/15/37 | | | | | 11,776,525 | | |
| | | 7,721,522 | | | | Series 4653, Class Z, 3.000% due 2/15/47 | | | | | 6,790,304 | | |
| | | 8,189,332 | | | | Series 4655, Class CZ, 3.000% due 2/15/47 | | | | | 7,118,574 | | |
| | | 24,060,220 | | | | Series 4664, Class TC, 3.000% due 6/15/41 | | | | | 23,931,570 | | |
| | | 8,000,000 | | | | Series 4749, Class LV, 3.500% due 4/15/38 | | | | | 7,811,535 | | |
| | | 13,319,989 | | | | Series 4745, Class EC, 3.000% due 12/15/44 | | | | | 13,093,572 | | |
| | | 18,601,517 | | | | Series 4750, Class PA, 3.000% due 7/15/46 | | | | | 18,215,106 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | | | | | | Federal National Mortgage Association (FNMA), REMICS: | | ||||||
| | $ | 6,118,971 | | | | Series 2015-55, Class PD, 2.500% due 3/25/43 | | | | $ | 5,909,810 | | |
| | | 13,557,139 | | | | Series 2016-61, Class MZ, 3.000% due 9/25/46 | | | | | 12,150,911 | | |
| | | 17,981,973 | | | | Series 2017-107, Class GA, 3.000% due 8/25/45 | | | | | 17,637,147 | | |
| | | 31,765,736 | | | | Series 2017-12, Class TA, 3.000% due 4/25/42 | | | | | 31,783,191 | | |
| | | 7,731,019 | | | | Series 2017-24, Class LG, 3.000% due 4/25/37 | | | | | 7,303,517 | | |
| | | 20,608,537 | | | | Series 2017-32, Class CA, 3.000% due 10/25/42 | | | | | 20,480,270 | | |
| | | 21,023,440 | | | | Series 2018-33, Class C, 3.000% due 5/25/48 | | | | | 20,459,692 | | |
| | | 9,384,587 | | | | Series 2018-38, Class LA, 3.000% due 6/25/48 | | | | | 9,150,444 | | |
| | | | | | | Freddie Mac Multifamily Structured Pass-Through Certificates: | | ||||||
| | | 1,750,000 | | | | Series K020, Class A2, 2.373% due 5/25/22 | | | | | 1,728,828 | | |
| | | 1,540,000 | | | | Series K062, Class A2, 3.413% due 12/25/26 | | | | | 1,569,623 | | |
| | | 300,000 | | | | Series K078, Class A2, 3.854% due 6/25/51 | | | | | 313,903 | | |
| | | | | | | Great Wolf Trust: | | ||||||
| | | 272,000 | | | | Series 2017-WOLF, Class D, 4.739% (1-Month USD-LIBOR + 2.100%) due 9/15/34(a)(b) | | | | | 272,167 | | |
| | | 422,000 | | | | Series 2017-WOLF, Class E, 5.739% (1-Month USD-LIBOR + 3.100%) due 9/15/34(a)(b) | | | | | 422,522 | | |
| | | 225,000 | | | | Series 2017-WOLF, Class F, 6.709% (1-Month USD-LIBOR + 4.070%) due 9/15/34(a)(b) | | | | | 225,560 | | |
| | | | | | | GS Mortgage Securities Corp. Trust: | | ||||||
| | | 1,093,000 | | | | Series 2018-3PCK, Class A, 3.939% (1-Month USD-LIBOR + 1.450%) due 9/15/31(a)(b) | | | | | 1,094,611 | | |
| | | 1,133,000 | | | | Series 2018-FBLU, Class F, 5.739% (1-Month USD-LIBOR + 3.250%) due 11/15/35(a)(b) | | | | | 1,132,276 | | |
| | | 400,000 | | | | Series 2018-TWR, Class A, 3.389% (1-Month USD-LIBOR + 0.900%) due 7/15/31(a)(b) | | | | | 399,620 | | |
| | | 400,000 | | | | Series 2018-TWR, Class D, 4.089% (1-Month USD-LIBOR + 1.600%) due 7/15/31(a)(b) | | | | | 396,501 | | |
| | | 400,000 | | | | Series 2018-TWR, Class E, 4.589% (1-Month USD-LIBOR + 2.100%) due 7/15/31(a)(b) | | | | | 394,158 | | |
| | | 400,000 | | | | Series 2018-TWR, Class F, 5.289% (1-Month USD-LIBOR + 2.800%) due 7/15/31(a)(b) | | | | | 393,459 | | |
| | | 400,000 | | | | Series 2018-TWR, Class G, 6.413% (1-Month USD-LIBOR + 3.925%) due 7/15/31(a)(b) | | | | | 393,215 | | |
| | | | | | | GS Mortgage Securities Trust: | | ||||||
| | | 896,614 | | | | Series 2012-GC6, Class A3, 3.482% due 1/10/45 | | | | | 904,717 | | |
| | | 10,533,087 | | | | Series 2017-GS7, Class XA, 1.135% due 8/10/50(a)(c) | | | | | 762,927 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 9,350,030 | | | | HarborView Mortgage Loan Trust, Series 2006-14, Class 2A1A, 2.630% (1-Month USD-LIBOR + 0.150%) due 1/25/47(a) | | | | $ | 8,971,014 | | |
| | | | | | | JPMorgan Chase Commercial Mortgage Securities Corp.: | | ||||||
| | | 214,000 | | | | Series 2017-FL10, Class B, 3.489% (1-Month USD-LIBOR + 1.000%) due 6/15/32(a)(b) | | | | | 213,390 | | |
| | | 161,000 | | | | Series 2017-FL10, Class C, 3.739% (1-Month USD-LIBOR + 1.250%) due 6/15/32(a)(b) | | | | | 161,191 | | |
| | | 523,000 | | | | Series 2017-FL10, Class D, 4.389% (1-Month USD-LIBOR + 1.900%) due 6/15/32(a)(b) | | | | | 517,513 | | |
| | | | | | | JPMorgan Chase Commercial Mortgage Securities Trust: | | ||||||
| | | 835,773 | | | | Series 2012-C8, Class A3, 2.829% due 10/15/45 | | | | | 830,510 | | |
| | | 996,000 | | | | Series 2018-LAQ, Class A, 3.489% (1-Month USD-LIBOR + 1.000%) due 6/15/32(a)(b) | | | | | 991,936 | | |
| | | | | | | JPMorgan Mortgage Trust: | | ||||||
| | | 5,090,500 | | | | Series 2006-S1, Class 2A9, 6.500% due 4/25/36 | | | | | 5,425,578 | | |
| | | 9,498,316 | | | | Series 2006-S4, Class A7, 6.000% due 1/25/37 | | | | | 6,680,096 | | |
| | | 3,908,680 | | | | Series 2018-7FRB, Class A2, 3.260% (1-Month USD-LIBOR + 0.750%) due 4/25/46(a)(b) | | | | | 3,902,195 | | |
| | | | | | | JPMBB Commercial Mortgage Securities Trust: | | ||||||
| | | 1,667,000 | | | | Series 2015-C27, Class C, 4.343% due 2/15/48(a) | | | | | 1,667,686 | | |
| | | 1,906,000 | | | | Series 2015-C28, Class C, 4.220% due 10/15/48(a) | | | | | 1,884,253 | | |
| | | 9,218,870 | | | | Merrill Lynch Mortgage Investors Trust, Series 2006-AF1, Class AF1, 5.750% due 8/25/36 | | | | | 6,265,469 | | |
| | | 1,817,000 | | | | Merrill Lynch Mortgage Trust, Series 2005-MKB2, Class F, 6.316% due 9/12/42(a)(b) | | | | | 1,852,873 | | |
| | | 1,082,000 | | | | Monarch Beach Resort Trust, Series 2018-MBR, Class A, 3.409% (1-Month USD-LIBOR + 0.920%) due 7/15/35(a)(b) | | | | | 1,076,906 | | |
| | | | | | | Morgan Stanley Bank of America Merrill Lynch Trust: | | ||||||
| | | 435,178 | | | | Series 2014-C15, Class A3, 3.773% due 4/15/47 | | | | | 444,358 | | |
| | | 2,000,000 | | | | Series 2014-C17, Class C, 4.457% due 8/15/47(a) | | | | | 2,002,983 | | |
| | | 26,375,737 | | | | Series 2014-C19, Class XA, 1.096% due 12/15/47(a)(c) | | | | | 938,080 | | |
| | | 852,000 | | | | Series 2016-C31, Class C, 4.317% due 11/15/49(a) | | | | | 844,144 | | |
| | | | | | | Morgan Stanley Capital I Trust: | | ||||||
| | | 1,964,000 | | | | Series 2011-C1, Class D, 5.375% due 9/15/47(a)(b) | | | | | 2,036,425 | | |
| | | 18,039,003 | | | | Series 2016-UB11, Class XA, 1.639% due 8/15/49(a)(c) | | | | | 1,497,089 | | |
| | | 14,537,881 | | | | Series 2016-UB12, Class XA, 0.799% due 12/15/49(a)(c) | | | | | 620,209 | | |
| | | 1,083,000 | | | | Series 2018-SUN, Class A, 3.389% (1-Month USD-LIBOR + 0.900%) due 7/15/35(a)(b) | | | | | 1,072,162 | | |
| | | 909,694 | | | | Motel 6 Trust, Series 2017-MTL6, Class A, 3.409% (1-Month USD-LIBOR + 0.920%) due 8/15/34(a)(b) | | | | | 905,415 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 1,122,000 | | | | MSCG Trust, Series 2018-SELF, Class A, 3.389% (1-Month USD-LIBOR + 0.900%) due 10/15/37(a)(b) | | | | $ | 1,118,493 | | |
| | | 997,000 | | | | Natixis Commercial Mortgage Securities Trust, Series 2018-FL1, Class A, 3.459% (1-Month USD-LIBOR + 0.950%) due 6/15/35(a)(b) | | | | | 984,460 | | |
| | | 1,667,000 | | | | PFP Ltd., Series 2017-3, Class C, 4.989% (1-Month USD-LIBOR + 2.500%) due 1/14/35(a)(b) | | | | | 1,667,100 | | |
| | | 9,960,187 | | | | PRPM LLC, Series 2019-1A, Class A1, step bond to yield, 4.500% due 1/25/24(b) | | | | | 10,008,751 | | |
| | | | | | | RALI Series Trust: | | ||||||
| | | 2,651,173 | | | | Series 2005-QS13, Class 1A3, 5.500% due 9/25/35 | | | | | 2,442,293 | | |
| | | 25,058,173 | | | | Series 2007-QH5, Class AII, 2.720% (1-Month USD-LIBOR + 0.230%) due 6/25/37(a) | | | | | 13,742,128 | | |
| | | | | | | Rosslyn Portfolio Trust: | | ||||||
| | | 429,000 | | | | Series 2017-ROSS, Class A, 3.459% (1-Month USD-LIBOR + 0.950%) due 6/15/33(a)(b) | | | | | 428,597 | | |
| | | 429,000 | | | | Series 2017-ROSS, Class B, 3.759% (1-Month USD-LIBOR + 1.250%) due 6/15/33(a)(b) | | | | | 427,390 | | |
| | | | | | | UBS Commercial Mortgage Trust: | | ||||||
| | | 5,825,492 | | | | Series 2017-C1, Class XA, 1.594% due 6/15/50(a)(c) | | | | | 556,329 | | |
| | | 979,000 | | | | Series 2018-C8, Class C, 4.704% due 2/15/51(a) | | | | | 986,510 | | |
| | | 4,934,645 | | | | UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class XA, 0.965% due 3/10/46(a)(b)(c) | | | | | 155,725 | | |
| | | 1,686,000 | | | | UBS-Citigroup Commercial Mortgage Trust, Series 2011-C1, Class D, 6.051% due 1/10/45(a)(b) | | | | | 1,780,728 | | |
| | | | | | | Wells Fargo Commercial Mortgage Trust: | | ||||||
| | | 295,000 | | | | Series 2010-C1, Class C, 5.597% due 11/15/43(a)(b) | | | | | 303,157 | | |
| | | 1,356,000 | | | | Series 2015-C27, Class C, 3.894% due 2/15/48 | | | | | 1,299,446 | | |
| | | 275,000 | | | | Series 2015-C31, Class A4, 3.695% due 11/15/48 | | | | | 279,920 | | |
| | | 1,000,000 | | | | Series 2015-LC20, Class A3, 3.086% due 4/15/50 | | | | | 1,000,541 | | |
| | | 2,581,000 | | | | Series 2015-NXS4, Class E, 3.598% due 12/15/48(a)(b)(d) | | | | | 2,145,515 | | |
| | | 17,466,873 | | | | Series 2016-C33, Class XA, 1.770% due 3/15/59(a)(c) | | | | | 1,491,409 | | |
| | | 10,997,638 | | | | Series 2016-NXS6, Class XA, 1.640% due 11/15/49(a)(c) | | | | | 901,959 | | |
| | | 10,404,022 | | | | Series 2017-C38, Class XA, 1.074% due 7/15/50(a)(c) | | | | | 690,188 | | |
| | | 1,200,000 | | | | Series 2017-C42, Class A4, 3.589% due 12/15/50 | | | | | 1,200,216 | | |
| | | 1,505,000 | | | | WFRBS Commercial Mortgage Trust, Series 2012-C6, Class A4, 3.440% due 4/15/45 | | | | | 1,520,234 | | |
| | | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost – $430,448,352) | | | | | 420,897,388 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| U.S. GOVERNMENT AGENCIES & OBLIGATIONS – 22.2% | | ||||||||||||
| U.S. GOVERNMENT OBLIGATIONS – 21.7% | | ||||||||||||
| | | | | | | U.S. Treasury Bonds: | | ||||||
| | $ | 1,000,000 | | | | 5.250% due 11/15/28 | | | | $ | 1,213,984 | | |
| | | 3,500,000 | | | | 6.250% due 5/15/30 | | | | | 4,673,457 | | |
| | | 1,800,000 | | | | 5.375% due 2/15/31 | | | | | 2,276,297 | | |
| | | 2,800,000 | | | | 4.500% due 5/15/38 | | | | | 3,465,000 | | |
| | | 1,500,000 | | | | 4.375% due 11/15/39 | | | | | 1,826,426 | | |
| | | 3,500,000 | | | | 3.875% due 8/15/40 | | | | | 3,983,984 | | |
| | | 3,000,000 | | | | 4.375% due 5/15/41 | | | | | 3,658,477 | | |
| | | 2,500,000 | | | | 3.125% due 11/15/41 | | | | | 2,534,180 | | |
| | | 3,500,000 | | | | 2.750% due 8/15/42 | | | | | 3,315,840 | | |
| | | 1,000,000 | | | | 2.750% due 11/15/42 | | | | | 946,172 | | |
| | | 9,100,000 | | | | 3.125% due 2/15/43 | | | | | 9,185,312 | | |
| | | 300,000 | | | | 3.750% due 11/15/43 | | | | | 335,109 | | |
| | | 3,500,000 | | | | 3.125% due 8/15/44 | | | | | 3,526,523 | | |
| | | 3,000,000 | | | | 2.875% due 8/15/45 | | | | | 2,887,266 | | |
| | | 1,000,000 | | | | 2.500% due 2/15/46 | | | | | 891,719 | | |
| | | 2,500,000 | | | | 2.500% due 5/15/46 | | | | | 2,227,637 | | |
| | | 700,000 | | | | 2.875% due 11/15/46 | | | | | 672,848 | | |
| | | 3,500,000 | | | | 3.000% due 2/15/47 | | | | | 3,449,277 | | |
| | | 1,000,000 | | | | 3.000% due 5/15/47 | | | | | 984,219 | | |
| | | 9,100,000 | | | | 2.750% due 8/15/47 | | | | | 8,513,121 | | |
| | | 1,000,000 | | | | 2.750% due 11/15/47 | | | | | 934,805 | | |
| | | 14,600,000 | | | | 3.000% due 2/15/48 | | | | | 14,345,641 | | |
| | | 1,000,000 | | | | 3.000% due 8/15/48 | | | | | 982,773 | | |
| | | | | | | U.S. Treasury Notes: | | ||||||
| | | 4,000,000 | | | | 3.500% due 5/15/20 | | | | | 4,043,906 | | |
| | | 3,500,000 | | | | 1.375% due 5/31/20 | | | | | 3,449,141 | | |
| | | 2,500,000 | | | | 1.500% due 6/15/20 | | | | | 2,466,406 | | |
| | | 4,000,000 | | | | 1.625% due 6/30/20 | | | | | 3,950,469 | | |
| | | 3,000,000 | | | | 1.500% due 7/15/20 | | | | | 2,956,992 | | |
| | | 3,000,000 | | | | 2.625% due 8/15/20 | | | | | 3,002,344 | | |
| | | 6,000,000 | | | | 1.375% due 9/30/20 | | | | | 5,889,375 | | |
| | | 8,000,000 | | | | 1.625% due 10/15/20 | | | | | 7,880,938 | | |
| | | 4,000,000 | | | | 1.875% due 12/15/20 | | | | | 3,952,812 | | |
| | | 2,000,000 | | | | 1.750% due 12/31/20 | | | | | 1,971,406 | | |
| | | 5,000,000 | | | | 2.000% due 1/15/21 | | | | | 4,950,000 | | |
| | | 9,000,000 | | | | 2.125% due 1/31/21 | | | | | 8,929,687 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| U.S. GOVERNMENT AGENCIES & OBLIGATIONS – (continued) | | ||||||||||||
| U.S. GOVERNMENT OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 2,000,000 | | | | 2.250% due 3/31/21 | | | | $ | 1,988,516 | | |
| | | 3,500,000 | | | | 1.125% due 6/30/21 | | | | | 3,391,719 | | |
| | | 12,000,000 | | | | 2.125% due 6/30/21 | | | | | 11,894,531 | | |
| | | 1,000,000 | | | | 2.875% due 10/15/21 | | | | | 1,009,102 | | |
| | | 4,000,000 | | | | 1.875% due 1/31/22 | | | | | 3,929,062 | | |
| | | 500,000 | | | | 1.750% due 2/28/22 | | | | | 489,219 | | |
| | | 6,000,000 | | | | 1.875% due 3/31/22 | | | | | 5,891,016 | | |
| | | 800,000 | | | | 1.750% due 4/30/22 | | | | | 781,906 | | |
| | | 5,500,000 | | | | 1.875% due 7/31/22 | | | | | 5,386,562 | | |
| | | 1,500,000 | | | | 1.625% due 8/15/22 | | | | | 1,455,937 | | |
| | | 17,400,000 | | | | 1.625% due 8/31/22 | | | | | 16,885,477 | | |
| | | 10,000,000 | | | | 1.875% due 9/30/22 | | | | | 9,783,594 | | |
| | | 4,000,000 | | | | 1.875% due 10/31/22 | | | | | 3,910,625 | | |
| | | 6,000,000 | | | | 1.750% due 1/31/23 | | | | | 5,828,203 | | |
| | | 11,300,000 | | | | 2.375% due 1/31/23 | | | | | 11,239,527 | | |
| | | 5,000,000 | | | | 1.500% due 3/31/23 | | | | | 4,802,930 | | |
| | | 5,000,000 | | | | 1.625% due 5/31/23 | | | | | 4,819,727 | | |
| | | 6,000,000 | | | | 1.375% due 8/31/23 | | | | | 5,707,734 | | |
| | | 2,500,000 | | | | 1.625% due 10/31/23 | | | | | 2,401,270 | | |
| | | 9,000,000 | | | | 2.250% due 12/31/23 | | | | | 8,885,039 | | |
| | | 5,000,000 | | | | 2.750% due 2/15/24 | | | | | 5,049,805 | | |
| | | 18,600,000 | | | | 2.125% due 2/29/24 | | | | | 18,239,625 | | |
| | | 9,500,000 | | | | 2.125% due 3/31/24 | | | | | 9,311,484 | | |
| | | 2,000,000 | | | | 2.500% due 5/15/24 | | | | | 1,995,000 | | |
| | | 900,000 | | | | 2.000% due 5/31/24 | | | | | 875,848 | | |
| | | 4,000,000 | | | | 2.000% due 6/30/24 | | | | | 3,889,375 | | |
| | | 1,000,000 | | | | 1.875% due 8/31/24 | | | | | 965,234 | | |
| | | 400,000 | | | | 2.125% due 9/30/24 | | | | | 390,781 | | |
| | | 4,000,000 | | | | 2.250% due 11/15/24 | | | | | 3,930,469 | | |
| | | 4,000,000 | | | | 2.125% due 11/30/24 | | | | | 3,903,594 | | |
| | | 2,400,000 | | | | 2.250% due 12/31/24 | | | | | 2,357,063 | | |
| | | 1,000,000 | | | | 2.000% due 8/15/25 | | | | | 963,867 | | |
| | | 2,000,000 | | | | 2.750% due 8/31/25 | | | | | 2,016,328 | | |
| | | 17,400,000 | | | | 2.250% due 11/15/25 | | | | | 17,003,062 | | |
| | | 5,000,000 | | | | 1.625% due 2/15/26 | | | | | 4,681,445 | | |
| | | 15,650,000 | | | | 1.625% due 5/15/26 | | | | | 14,616,856 | | |
| | | 12,000,000 | | | | 2.250% due 2/15/27 | | | | | 11,646,094 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| U.S. GOVERNMENT AGENCIES & OBLIGATIONS – (continued) | | ||||||||||||
| U.S. GOVERNMENT OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 400,000 | | | | 2.375% due 5/15/27 | | | | $ | 391,406 | | |
| | | 2,000,000 | | | | 2.250% due 8/15/27 | | | | | 1,934,609 | | |
| | | 29,800,000 | | | | 2.250% due 11/15/27 | | | | | 28,770,969 | | |
| | | 1,500,000 | | | | 3.125% due 11/15/28 | | | | | 1,551,211 | | |
| | | 1,400,000 | | | | 2.625% due 2/15/29 | | | | | 1,388,406 | | |
| | | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS | | | | | 376,627,770 | | |
| U.S. GOVERNMENT AGENCIES – 0.5% | | ||||||||||||
| | | | | | | Federal Home Loan Banks (FHLB): | | ||||||
| | | 1,000,000 | | | | 1.375% due 2/18/21 | | | | | 978,030 | | |
| | | 2,000,000 | | | | 3.625% due 6/11/21 | | | | | 2,045,594 | | |
| | | 555,000 | | | | 3.125% due 6/13/25 | | | | | 567,080 | | |
| | | 130,000 | | | | 3.250% due 11/16/28 | | | | | 132,635 | | |
| | | | | | | Federal Home Loan Mortgage Corp. (FHLMC): | | ||||||
| | | 1,645,000 | | | | 2.375% due 1/13/22 | | | | | 1,637,882 | | |
| | | 1,300,000 | | | | 6.250% due 7/15/32 | | | | | 1,729,211 | | |
| | | | | | | Federal National Mortgage Association (FNMA): | | ||||||
| | | 350,000 | | | | 2.625% due 1/11/22 | | | | | 350,723 | | |
| | | 1,000,000 | | | | 1.875% due 4/5/22 | | | | | 980,129 | | |
| | | | | | | TOTAL U.S. GOVERNMENT AGENCIES | | | | | 8,421,284 | | |
| | | | | | | TOTAL U.S. GOVERNMENT AGENCIES & OBLIGATIONS (Cost – $386,804,659) | | | | | 385,049,054 | | |
| CORPORATE BONDS & NOTES – 19.4% | | ||||||||||||
| Basic Materials – 0.9% | | ||||||||||||
| | | 350,000 | | | | Air Products & Chemicals Inc., Senior Unsecured Notes, 3.000% due 11/3/21 | | | | | 351,310 | | |
| | | | | | | AK Steel Corp., Company Guaranteed Notes: | | ||||||
| | | 70,000 | | | | 7.625% due 10/1/21 | | | | | 70,525 | | |
| | | 80,000 | | | | 6.375% due 10/15/25 | | | | | 66,400 | | |
| | | 200,000 | | | | Alcoa Nederland Holding BV, Company Guaranteed Notes, 6.125% due 5/15/28(b) | | | | | 204,750 | | |
| | | 25,000 | | | | ArcelorMittal, Senior Unsecured Notes, 7.000% due 10/15/39 | | | | | 27,432 | | |
| | | 400,000 | | | | Ashland LLC, Company Guaranteed Notes, 4.750% due 8/15/22 | | | | | 411,000 | | |
| | | 100,000 | | | | Barrick North America Finance LLC, Company Guaranteed Notes, 5.750% due 5/1/43 | | | | | 110,869 | | |
| | | 350,000 | | | | BHP Billiton Finance USA Ltd., Company Guaranteed Notes, 4.125% due 2/24/42 | | | | | 354,167 | | |
| | | 200,000 | | | | Braskem Finance Ltd., Company Guaranteed Notes, 6.450% due 2/3/24 | | | | | 216,842 | | |
| | | 300,000 | | | | Celulosa Arauco y Constitucion SA, Senior Unsecured Notes, 4.750% due 1/11/22 | | | | | 306,750 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Basic Materials – (continued) | | ||||||||||||
| | $ | 600,000 | | | | CSN Islands XII Corp., Company Guaranteed Notes, 7.000%(f) | | | | $ | 523,500 | | |
| | | 400,000 | | | | CSN Resources SA, Company Guaranteed Notes, 7.625% due 2/13/23 | | | | | 401,500 | | |
| | | | | | | Dow Chemical Co., Senior Unsecured Notes: | | ||||||
| | | 100,000 | | | | 4.250% due 11/15/20 | | | | | 101,623 | | |
| | | 250,000 | | | | 4.625% due 10/1/44 | | | | | 231,010 | | |
| | | 730,000 | | | | DowDuPont Inc., Senior Unsecured Notes, 5.419% due 11/15/48 | | | | | 781,706 | | |
| | | 150,000 | | | | Eastman Chemical Co., Senior Unsecured Notes, 3.800% due 3/15/25 | | | | | 148,889 | | |
| | | | | | | Freeport-McMoRan Inc., Company Guaranteed Notes: | | ||||||
| | | 950,000 | | | | 5.400% due 11/14/34 | | | | | 866,875 | | |
| | | 500,000 | | | | 5.450% due 3/15/43 | | | | | 438,750 | | |
| | | 1,000,000 | | | | Fresnillo PLC, Senior Unsecured Notes, 5.500% due 11/13/23 | | | | | 1,047,750 | | |
| | | 560,000 | | | | Georgia-Pacific LLC, Senior Unsecured Notes, 3.600% due 3/1/25(b) | | | | | 563,397 | | |
| | | | | | | Hexion Inc., Senior Secured Notes: | | ||||||
| | | 70,000 | | | | 6.625% due 4/15/20 | | | | | 59,675 | | |
| | | 30,000 | | | | 10.375% due 2/1/22(b) | | | | | 25,425 | | |
| | | | | | | International Paper Co., Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 3.000% due 2/15/27 | | | | | 467,202 | | |
| | | 100,000 | | | | 4.400% due 8/15/47 | | | | | 89,480 | | |
| | | 200,000 | | | | Inversiones CMPC SA, Company Guaranteed Notes, 4.750% due 9/15/24 | | | | | 204,239 | | |
| | | 500,000 | | | | LYB International Finance II BV, Company Guaranteed Notes, 3.500% due 3/2/27 | | | | | 467,337 | | |
| | | 400,000 | | | | Mexichem SAB de CV, Company Guaranteed Notes, 5.875% due 9/17/44 | | | | | 386,860 | | |
| | | 840,000 | | | | Mosaic Co., Senior Unsecured Notes, 4.050% due 11/15/27 | | | | | 820,883 | | |
| | | 200,000 | | | | Nexa Resources SA, Company Guaranteed Notes, 5.375% due 5/4/27 | | | | | 203,380 | | |
| | | 250,000 | | | | Nutrien Ltd., Senior Unsecured Notes, 6.125% due 1/15/41 | | | | | 276,861 | | |
| | | 200,000 | | | | Rio Tinto Finance USA Ltd., Company Guaranteed Notes, 5.200% due 11/2/40 | | | | | 229,621 | | |
| | | 90,000 | | | | Schweitzer-Mauduit International Inc., Company Guaranteed Notes, 6.875% due 10/1/26(b) | | | | | 88,425 | | |
| | | | | | | Sherwin-Williams Co., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 2.250% due 5/15/20 | | | | | 247,517 | | |
| | | 100,000 | | | | 4.500% due 6/1/47 | | | | | 93,386 | | |
| | | 200,000 | | | | Sociedad Quimica y Minera de Chile SA, Senior Unsecured Notes, 4.375% due 1/28/25 | | | | | 198,750 | | |
| | | | | | | Southern Copper Corp., Senior Unsecured Notes: | | ||||||
| | | 125,000 | | | | 3.875% due 4/23/25 | | | | | 124,392 | | |
| | | 125,000 | | | | 6.750% due 4/16/40 | | | | | 145,311 | | |
| | | 700,000 | | | | Syngenta Finance NV, Company Guaranteed Notes, 5.676% due 4/24/48 | | | | | 625,315 | | |
| | | 1,100,000 | | | | UPL Corp., Ltd, Senior Unsecured Notes, 3.250% due 10/13/21 | | | | | 1,071,298 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Basic Materials – (continued) | | ||||||||||||
| | $ | 250,000 | | | | Vale Overseas Ltd., Company Guaranteed Notes, 6.250% due 8/10/26 | | | | $ | 265,313 | | |
| | | | | | | Vedanta Resources PLC, Senior Unsecured Notes: | | ||||||
| | | 200,000 | | | | 7.125% due 5/31/23 | | | | | 190,250 | | |
| | | 1,200,000 | | | | 6.125% due 8/9/24 | | | | | 1,049,920 | | |
| | | 250,000 | | | | Westlake Chemical Corp., Company Guaranteed Notes, 5.000% due 8/15/46 | | | | | 232,737 | | |
| | | | | | | Total Basic Materials | | | | | 14,788,622 | | |
| Communications – 2.0% | | ||||||||||||
| | | | | | | 21st Century Fox America Inc., Company Guaranteed Notes: | | ||||||
| | | 250,000 | | | | 3.375% due 11/15/26 | | | | | 248,225 | | |
| | | 250,000 | | | | 4.750% due 11/15/46 | | | | | 270,889 | | |
| | | 200,000 | | | | Alibaba Group Holding Ltd., Senior Unsecured Notes, 4.000% due 12/6/37 | | | | | 188,535 | | |
| | | 255,000 | | | | Altice France SA, Senior Secured Notes, 7.375% due 5/1/26(b) | | | | | 250,759 | | |
| | | | | | | Amazon.com Inc., Senior Unsecured Notes: | | ||||||
| | | 845,000 | | | | 2.800% due 8/22/24 | | | | | 838,435 | | |
| | | 635,000 | | | | 3.800% due 12/5/24 | | | | | 661,728 | | |
| | | 250,000 | | | | 3.150% due 8/22/27 | | | | | 246,382 | | |
| | | 250,000 | | | | 4.050% due 8/22/47 | | | | | 250,888 | | |
| | | 250,000 | | | | America Movil SAB de CV, Senior Unsecured Notes, 4.375% due 7/16/42 | | | | | 251,342 | | |
| | | | | | | AT&T Inc., Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 2.450% due 6/30/20 | | | | | 496,449 | | |
| | | 500,000 | | | | 3.200% due 3/1/22 | | | | | 499,647 | | |
| | | 250,000 | | | | 3.800% due 3/1/24 | | | | | 252,399 | | |
| | | 840,000 | | | | 3.400% due 5/15/25 | | | | | 818,370 | | |
| | | 250,000 | | | | 4.250% due 3/1/27 | | | | | 250,619 | | |
| | | 100,000 | | | | 4.300% due 2/15/30 | | | | | 98,104 | | |
| | | 250,000 | | | | 5.250% due 3/1/37 | | | | | 252,421 | | |
| | | 250,000 | | | | 5.350% due 9/1/40 | | | | | 250,801 | | |
| | | 200,000 | | | | 4.500% due 3/9/48 | | | | | 179,027 | | |
| | | 500,000 | | | | 5.700% due 3/1/57 | | | | | 510,467 | | |
| | | 1,500,000 | | | | Axiata SPV2 Bhd, Senior Unsecured Notes, 3.466% due 11/19/20 | | | | | 1,500,363 | | |
| | | 600,000 | | | | Bharti Airtel International Netherlands BV, Company Guaranteed Notes, 5.125% due 3/11/23 | | | | | 605,480 | | |
| | | 1,200,000 | | | | Bharti Airtel Ltd., Senior Unsecured Notes, 4.375% due 6/10/25 | | | | | 1,118,988 | | |
| | | | | | | C&W Senior Financing DAC, Senior Unsecured Notes: | | ||||||
| | | 600,000 | | | | 7.500% due 10/15/26(b) | | | | | 612,030 | | |
| | | 1,600,000 | | | | 6.875% due 9/15/27 | | | | | 1,568,000 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Communications – (continued) | | ||||||||||||
| | | | | | | CBS Corp., Company Guaranteed Notes: | | ||||||
| | $ | 100,000 | | | | 3.375% due 3/1/22 | | | | $ | 99,660 | | |
| | | 100,000 | | | | 5.900% due 10/15/40 | | | | | 106,198 | | |
| | | | | | | CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes: | | ||||||
| | | 420,000 | | | | 5.750% due 2/15/26(b) | | | | | 435,242 | | |
| | | 125,000 | | | | 5.000% due 2/1/28(b) | | | | | 120,312 | | |
| | | 105,000 | | | | Cengage Learning Inc., Senior Unsecured Notes, 9.500% due 6/15/24(b) | | | | | 87,412 | | |
| | | | | | | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes: | | | |||||
| | | 490,000 | | | | 4.464% due 7/23/22 | | | | | 502,601 | | |
| | | 250,000 | | | | 4.908% due 7/23/25 | | | | | 258,979 | | |
| | | 250,000 | | | | 6.484% due 10/23/45 | | | | | 268,895 | | |
| | | 230,000 | | | | Cincinnati Bell Inc., Company Guaranteed Notes, 7.000% due 7/15/24(b) | | | | | 208,150 | | |
| | | | | | | Cisco Systems Inc., Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 2.200% due 9/20/23 | | | | | 487,069 | | |
| | | 100,000 | | | | 3.625% due 3/4/24 | | | | | 103,524 | | |
| | | 65,000 | | | | Clear Channel Worldwide Holdings Inc., Company Guaranteed Notes, 9.250% due 2/15/24(b) | | | | | 68,169 | | |
| | | 200,000 | | | | Colombia Telecomunicaciones SA ESP, Junior Subordinated Notes, 8.500% (5-Year USD Swap Rate + 6.958%) (a)(f) | | | | | 207,400 | | |
| | | | | | | Comcast Corp., Company Guaranteed Notes: | | ||||||
| | | 250,000 | | | | 3.000% due 2/1/24 | | | | | 247,416 | | |
| | | 250,000 | | | | 3.300% due 2/1/27 | | | | | 244,533 | | |
| | | 500,000 | | | | 4.150% due 10/15/28 | | | | | 515,006 | | |
| | | 150,000 | | | | 4.400% due 8/15/35 | | | | | 151,735 | | |
| | | 400,000 | | | | 3.400% due 7/15/46 | | | | | 336,726 | | |
| | | 870,000 | | | | 4.700% due 10/15/48 | | | | | 905,785 | | |
| | | 100,000 | | | | 3.999% due 11/1/49 | | | | | 92,867 | | |
| | | | | | | CommScope Finance LLC, Senior Secured Notes: | | ||||||
| | | 125,000 | | | | 5.500% due 3/1/24(b) | | | | | 127,187 | | |
| | | 100,000 | | | | 6.000% due 3/1/26(b) | | | | | 102,375 | | |
| | | 500,000 | | | | Comunicaciones Celulares SA Via Comcel Trust, Senior Unsecured Notes, 6.875% due 2/6/24 | | | | | 517,500 | | |
| | | | | | | CSC Holdings LLC: | | ||||||
| | | 215,000 | | | | Senior Secured Notes, 5.375% due 7/15/23(b) | | | | | 220,956 | | |
| | | 125,000 | | | | Senior Unsecured Notes, 5.250% due 6/1/24 | | | | | 124,957 | | |
| | | 500,000 | | | | Digicel Group Two Ltd., Senior Unsecured Notes, 9.125% (7.125% cash and 2.000% PIK) due 4/1/24(b)(g) | | | | | 162,500 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Communications – (continued) | | ||||||||||||
| | | | | | | Discovery Communications LLC, Company Guaranteed Notes: | | ||||||
| | $ | 200,000 | | | | 2.950% due 3/20/23 | | | | $ | 193,811 | | |
| | | 400,000 | | | | 3.800% due 3/13/24 | | | | | 395,724 | | |
| | | 80,000 | | | | DISH DBS Corp., Company Guaranteed Notes, 5.875% due 11/15/24 | | | | | 67,376 | | |
| | | 100,000 | | | | eBay Inc., Senior Unsecured Notes, 4.000% due 7/15/42 | | | | | 80,115 | | |
| | | 130,000 | | | | Embarq Corp., Senior Unsecured Notes, 7.995% due 6/1/36 | | | | | 125,450 | | |
| | | 800,000 | | | | Empresa Nacional de Telecomunicaciones SA, Senior Unsecured Notes, 4.750% due 8/1/26 | | | | | 789,808 | | |
| | | 1,135,000 | | | | Expedia Group Inc., Company Guaranteed Notes, 3.800% due 2/15/28 | | | | | 1,073,117 | | |
| | | | | | | Frontier Communications Corp.: | | | |||||
| | | 65,000 | | | | Secured Notes, 8.500% due 4/1/26(b) | | | | | 60,450 | | |
| | | 45,000 | | | | Senior Unsecured Notes, 8.500% due 4/15/20 | | | | | 42,272 | | |
| | | | | | | Gray Television Inc.: | | | |||||
| | | 65,000 | | | | Company Guaranteed Notes, 5.125% due 10/15/24(b) | | | | | 64,756 | | |
| | | 70,000 | | | | Senior Unsecured Notes, 7.000% due 5/15/27(b) | | | | | 74,025 | | |
| | | 250,000 | | | | Grupo Televisa SAB, Senior Unsecured Notes, 4.625% due 1/30/26 | | | | | 250,232 | | |
| | | 260,000 | | | | GTT Communications Inc., Company Guaranteed Notes, 7.875% due 12/31/24(b)(h) | | | | | 224,250 | | |
| | | | | | | Intelsat Jackson Holdings SA, Company Guaranteed Notes: | | | |||||
| | | 65,000 | | | | 5.500% due 8/1/23 | | | | | 59,637 | | |
| | | 75,000 | | | | 8.500% due 10/15/24(b) | | | | | 75,728 | | |
| | | 160,000 | | | | Iridium Communications Inc., Senior Unsecured Notes, 10.250% due 4/15/23(b) | | | | | 175,800 | | |
| | | 210,000 | | | | Level 3 Financing Inc., Company Guaranteed Notes, 5.375% due 1/15/24 | | | | | 211,312 | | |
| | | 195,000 | | | | Match Group Inc., Senior Unsecured Notes, 5.000% due 12/15/27(b) | | | | | 192,861 | | |
| | | | | | | Millicom International Cellular SA, Senior Unsecured Notes: | | | |||||
| | | 400,000 | | | | 6.000% due 3/15/25 | | | | | 406,500 | | |
| | | 200,000 | | | | 6.625% due 10/15/26(b) | | | | | 207,450 | | |
| | | 600,000 | | | | 5.125% due 1/15/28 | | | | | 574,500 | | |
| | | 140,000 | | | | Netflix Inc., Senior Unsecured Notes, 5.875% due 2/15/25 | | | | | 148,400 | | |
| | | 100,000 | | | | Omnicom Group Inc./Omnicom Capital Inc., Senior Unsecured Notes, 3.600% due 4/15/26 | | | | | 96,478 | | |
| | | 130,000 | | | | Radiate Holdco LLC/Radiate Finance Inc., Senior Unsecured Notes, 6.875% due 2/15/23(b) | | | | | 126,100 | | |
| | | 100,000 | | | | Rogers Communications Inc., Company Guaranteed Notes, 5.000% due 3/15/44 | | | | | 105,771 | | |
| | | 600,000 | | | | SingTel Group Treasury Pte Ltd., Company Guaranteed Notes, 4.500% due 9/8/21 | | | | | 619,016 | | |
| | | 140,000 | | | | Sirius XM Radio Inc., Company Guaranteed Notes, 5.375% due 7/15/26(b) | | | | | 140,350 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Communications – (continued) | | ||||||||||||
| | $ | 150,000 | | | | Sprint Capital Corp., Company Guaranteed Notes, 6.875% due 11/15/28 | | | | $ | 148,031 | | |
| | | 350,000 | | | | Sprint Corp., Company Guaranteed Notes, 7.125% due 6/15/24 | | | | | 361,631 | | |
| | | 600,000 | | | | Telefonica Chile SA, Senior Unsecured Notes, 3.875% due 10/12/22 | | | | | 603,695 | | |
| | | | | | | Telefonica Emisiones SA, Company Guaranteed Notes: | | | |||||
| | | 250,000 | | | | 4.103% due 3/8/27 | | | | | 245,857 | | |
| | | 200,000 | | | | 5.213% due 3/8/47 | | | | | 191,580 | | |
| | | 180,000 | | | | Telesat Canada/Telesat LLC, Company Guaranteed Notes, 8.875% due 11/15/24(b) | | | | | 193,500 | | |
| | | 300,000 | | | | TELUS Corp., Senior Unsecured Notes, 3.700% due 9/15/27 | | | | | 293,325 | | |
| | | | | | | Time Warner Cable LLC, Senior Secured Notes: | | | |||||
| | | 350,000 | | | | 4.000% due 9/1/21 | | | | | 353,431 | | |
| | | 150,000 | | | | 7.300% due 7/1/38 | | | | | 169,287 | | |
| | | 250,000 | | | | 4.500% due 9/15/42 | | | | | 209,996 | | |
| | | 215,000 | | | | T-Mobile USA Inc., Company Guaranteed Notes, 4.500% due 2/1/26 | | | | | 212,044 | | |
| | | 170,000 | | | | Uber Technologies Inc., Senior Unsecured Notes, 8.000% due 11/1/26(b) | | | | | 177,650 | | |
| | | 45,000 | | | | Univision Communications Inc., Senior Secured Notes, 5.125% due 5/15/23(b) | | | | | 40,838 | | |
| | | | | | | Verizon Communications Inc., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 4.125% due 3/16/27 | | | | | 255,938 | | |
| | | 493,000 | | | | 4.329% due 9/21/28 | | | | | 510,151 | | |
| | | 530,000 | | | | 4.016% due 12/3/29(b) | | | | | 529,402 | | |
| | | 285,000 | | | | 4.272% due 1/15/36 | | | | | 279,233 | | |
| | | 500,000 | | | | 5.250% due 3/16/37 | | | | | 544,346 | | |
| | | 700,000 | | | | 5.012% due 4/15/49 | | | | | 732,714 | | |
| | | 75,000 | | | | 4.672% due 3/15/55 | | | | | 73,068 | | |
| | | 200,000 | | | | Viacom Inc., Senior Unsecured Notes, 5.850% due 9/1/43 | | | | | 208,463 | | |
| | | | | | | Vodafone Group PLC, Senior Unsecured Notes: | | | |||||
| | | 350,000 | | | | 4.375% due 5/30/28 | | | | | 346,911 | | |
| | | 250,000 | | | | 4.375% due 2/19/43 | | | | | 214,438 | | |
| | | | | | | VTR Finance BV, Senior Secured Notes: | | | |||||
| | | 543,000 | | | | 6.875% due 1/15/24 | | | | | 557,933 | | |
| | | 270,000 | | | | 6.875% due 1/15/24(b) | | | | | 277,425 | | |
| | | | | | | Walt Disney Co., Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 1.950% due 3/4/20 | | | | | 496,453 | | |
| | | 500,000 | | | | 2.450% due 3/4/22 | | | | | 494,257 | | |
| | | 125,000 | | | | 3.150% due 9/17/25 | | | | | 125,568 | | |
| | | | | | | Warner Media LLC, Company Guaranteed Notes: | | | |||||
| | | 300,000 | | | | 3.800% due 2/15/27 | | | | | 291,738 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Communications – (continued) | | ||||||||||||
| | $ | 250,000 | | | | 4.850% due 7/15/45 | | | | $ | 235,807 | | |
| | | | | | | Total Communications | | | | | 34,879,501 | | |
| Consumer Cyclical – 1.1% | | ||||||||||||
| | | 475,000 | | | | 1011778 BC ULC/New Red Finance Inc., Secured Notes, 5.000% due 10/15/25(b) | | | | | 460,631 | | |
| | | 145,000 | | | | American Axle & Manufacturing Inc., Company Guaranteed Notes, 6.250% due 3/15/26 | | | | | 141,708 | | |
| | | 500,000 | | | | American Honda Finance Corp., Senior Unsecured Notes, 2.900% due 2/16/24 | | | | | 492,800 | | |
| | | 380,000 | | | | Aramark Services Inc., Company Guaranteed Notes, 5.000% due 4/1/25(b) | | | | | 386,650 | | |
| | | 365,000 | | | | Beacon Roofing Supply Inc., Company Guaranteed Notes, 4.875% due 11/1/25(b) | | | | | 339,792 | | |
| | | 320,000 | | | | Boyne USA Inc., Secured Notes, 7.250% due 5/1/25(b) | | | | | 342,400 | | |
| | | 215,000 | | | | Caesars Resort Collection LLC/CRC Finco Inc., Company Guaranteed Notes, 5.250% due 10/15/25(b) | | | | | 203,981 | | |
| | | 300,000 | | | | Cintas Corp. No 2, Company Guaranteed Notes, 2.900% due 4/1/22 | | | | | 298,779 | | |
| | | 70,000 | | | | Constellation Merger Sub Inc., Senior Unsecured Notes, 8.500% due 9/15/25(b) | | | | | 67,025 | | |
| | | 235,000 | | | | Dana Financing Luxembourg SARL, Company Guaranteed Notes, 5.750% due 4/15/25(b) | | | | | 233,531 | | |
| | | | | | | Delta Air Lines Inc., Senior Unsecured Notes: | | | |||||
| | | 300,000 | | | | 2.875% due 3/13/20 | | | | | 299,702 | | |
| | | 705,000 | | | | 3.625% due 3/15/22 | | | | | 702,609 | | |
| | | 575,000 | | | | Dollar Tree Inc., Senior Unsecured Notes, 4.000% due 5/15/25 | | | | | 564,554 | | |
| | | 180,000 | | | | Eldorado Resorts Inc., Company Guaranteed Notes, 6.000% due 4/1/25 | | | | | 182,925 | | |
| | | 250,000 | | | | Ford Motor Co., Senior Unsecured Notes, 5.291% due 12/8/46 | | | | | 201,517 | | |
| | | 500,000 | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes, 3.810% due 1/9/24 | | | | | 465,738 | | |
| | | | | | | General Motors Co., Senior Unsecured Notes: | | | |||||
| | | 205,000 | | | | 3.539% (3-Month USD-LIBOR + 0.800%) due 8/7/20(a) | | | | | 204,071 | | |
| | | 100,000 | | | | 6.750% due 4/1/46 | | | | | 102,934 | | |
| | | | | | | General Motors Financial Co., Inc., Company Guaranteed Notes: | | | |||||
| | | 500,000 | | | | 3.450% due 1/14/22 | | | | | 498,641 | | |
| | | 810,000 | | | | 3.785% (3-Month USD-LIBOR + 0.990%) due 1/5/23(a) | | | | | 779,179 | | |
| | | 415,000 | | | | 3.950% due 4/13/24 | | | | | 403,535 | | |
| | | 500,000 | | | | 4.350% due 1/17/27 | | | | | 474,399 | | |
| | | 1,500,000 | | | | Gohl Capital Ltd., Company Guaranteed Notes, 4.250% due 1/24/27 | | | | | 1,448,114 | | |
| | | 225,000 | | | | Golden Nugget Inc., Senior Unsecured Notes, 6.750% due 10/15/24(b) | | | | | 226,125 | | |
| | | 540,000 | | | | Hasbro Inc., Senior Unsecured Notes, 3.500% due 9/15/27 | | | | | 500,465 | | |
| | | 275,000 | | | | Hilton Domestic Operating Co., Inc., Company Guaranteed Notes, 4.250% due 9/1/24 | | | | | 270,875 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Cyclical – (continued) | | ||||||||||||
| | | | | | | Home Depot Inc., Senior Unsecured Notes: | | | |||||
| | $ | 250,000 | | | | 2.625% due 6/1/22 | | | | $ | 248,584 | | |
| | | 250,000 | | | | 2.125% due 9/15/26 | | | | | 231,144 | | |
| | | 250,000 | | | | 3.500% due 9/15/56 | | | | | 220,353 | | |
| | | 240,000 | | | | IRB Holding Corp., Company Guaranteed Notes, 6.750% due 2/15/26(b) | | | | | 226,800 | | |
| | | 120,000 | | | | KAR Auction Services Inc., Company Guaranteed Notes, 5.125% due 6/1/25(b) | | | | | 116,700 | | |
| | | | | | | Latam Finance Ltd., Company Guaranteed Notes: | | | |||||
| | | 400,000 | | | | 6.875% due 4/11/24 | | | | | 405,416 | | |
| | | 600,000 | | | | 7.000% due 3/1/26(b) | | | | | 602,250 | | |
| | | 120,000 | | | | Live Nation Entertainment Inc., Company Guaranteed Notes, 5.625% due 3/15/26(b) | | | | | 122,700 | | |
| | | 250,000 | | | | Lowe’s Cos., Inc., Senior Unsecured Notes, 3.700% due 4/15/46 | | | | | 211,364 | | |
| | | 440,000 | | | | LTF Merger Sub Inc., Company Guaranteed Notes, 8.500% due 6/15/23(b) | | | | | 449,900 | | |
| | | 18,000 | | | | Macy’s Retail Holdings Inc., Company Guaranteed Notes, 4.500% due 12/15/34 | | | | | 14,725 | | |
| | | 70,000 | | | | Marriott Ownership Resorts Inc., Company Guaranteed Notes, 6.500% due 9/15/26(b) | | | | | 72,275 | | |
| | | | | | | McDonald’s Corp., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 3.500% due 3/1/27 | | | | | 246,768 | | |
| | | 75,000 | | | | 4.875% due 12/9/45 | | | | | 77,245 | | |
| | | 250,000 | | | | 4.450% due 3/1/47 | | | | | 243,820 | | |
| | | 351,000 | | | | NCL Corp., Ltd, Senior Unsecured Notes, 4.750% due 12/15/21(b) | | | | | 357,027 | | |
| | | 97,000 | | | | Newell Brands Inc., Senior Unsecured Notes, 5.375% due 4/1/36 | | | | | 86,072 | | |
| | | 300,000 | | | | Nordstrom Inc., Senior Unsecured Notes, 4.000% due 3/15/27 | | | | | 286,667 | | |
| | | 150,000 | | | | Penn National Gaming Inc., Senior Unsecured Notes, 5.625% due 1/15/27(b) | | | | | 143,343 | | |
| | | | | | | PetSmart Inc.: | | | |||||
| | | 145,000 | | | | Company Guaranteed Notes, 7.125% due 3/15/23(b) | | | | | 98,237 | | |
| | | 35,000 | | | | Senior Secured Notes, 5.875% due 6/1/25(b) | | | | | 27,825 | | |
| | | 400,000 | | | | SACI Falabella, Senior Unsecured Notes, 3.750% due 4/30/23 | | | | | 400,987 | | |
| | | 180,000 | | | | Scientific Games International Inc., Senior Secured Notes, 5.000% due 10/15/25(b) | | | | | 174,375 | | |
| | | 190,000 | | | | Six Flags Entertainment Corp., Company Guaranteed Notes, 4.875% due 7/31/24(b) | | | | | 187,150 | | |
| | | 125,000 | | | | Stars Group Holdings BV/Stars Group US Co.-Borrower LLC, Company Guaranteed Notes, 7.000% due 7/15/26(b) | | | | | 127,914 | | |
| | | 225,000 | | | | Superior Plus LP/Superior General Partner Inc., Senior Unsecured Notes, 7.000% due 7/15/26(b) | | | | | 225,000 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Cyclical – (continued) | | ||||||||||||
| | | | | | | Target Corp., Senior Unsecured Notes: | | | |||||
| | $ | 100,000 | | | | 2.900% due 1/15/22 | | | | $ | 100,702 | | |
| | | 125,000 | | | | 3.500% due 7/1/24 | | | | | 128,235 | | |
| | | 100,000 | | | | 3.900% due 11/15/47 | | | | | 94,284 | | |
| | | 210,000 | | | | Tempur Sealy International Inc., Company Guaranteed Notes, 5.500% due 6/15/26 | | | | | 209,475 | | |
| | | 750,000 | | | | Toyota Motor Corp., Senior Unsecured Notes, 3.419% due 7/20/23 | | | | | 758,760 | | |
| | | 215,000 | | | | Viking Cruises Ltd., Company Guaranteed Notes, 5.875% due 9/15/27(b) | | | | | 207,417 | | |
| | | 500,000 | | | | Walgreens Boots Alliance Inc., Senior Unsecured Notes, 3.450% due 6/1/26 | | | | | 478,765 | | |
| | | | | | | Walmart Inc., Senior Unsecured Notes: | | | |||||
| | | 150,000 | | | | 3.125% due 6/23/21 | | | | | 151,416 | | |
| | | 250,000 | | | | 2.550% due 4/11/23 | | | | | 247,711 | | |
| | | 250,000 | | | | 3.300% due 4/22/24 | | | | | 254,343 | | |
| | | 250,000 | | | | 4.300% due 4/22/44 | | | | | 260,383 | | |
| | | 250,000 | | | | 4.050% due 6/29/48 | | | | | 252,338 | | |
| | | 5,000 | | | | William Carter Co., Senior Unsecured Notes, 5.625% due 3/15/27(b)(e) | | | | | 5,000 | | |
| | | 100,000 | | | | WW Grainger Inc., Senior Unsecured Notes, 4.200% due 5/15/47 | | | | | 96,650 | | |
| | | | | | | Total Consumer Cyclical | | | | | 19,142,800 | | |
| Consumer Non-cyclical – 3.0% | | ||||||||||||
| | | | | | | Abbott Laboratories, Senior Unsecured Notes: | | | |||||
| | | 140,000 | | | | 3.750% due 11/30/26 | | | | | 141,865 | | |
| | | 250,000 | | | | 4.900% due 11/30/46 | | | | | 274,154 | | |
| | | | | | | AbbVie Inc., Senior Unsecured Notes: | | | |||||
| | | 520,000 | | | | 3.200% due 11/6/22 | | | | | 517,165 | | |
| | | 350,000 | | | | 2.850% due 5/14/23 | | | | | 340,670 | | |
| | | 475,000 | | | | 4.450% due 5/14/46 | | | | | 417,253 | | |
| | | | | | | Adani Ports & Special Economic Zone Ltd., Senior Unsecured Notes: | | | |||||
| | | 200,000 | | | | 3.500% due 7/29/20 | | | | | 198,451 | | |
| | | 400,000 | | | | 3.950% due 1/19/22 | | | | | 395,750 | | |
| | | 150,000 | | | | Adecoagro SA, Senior Unsecured Notes, 6.000% due 9/21/27 | | | | | 137,625 | | |
| | | 100,000 | | | | Aetna Inc., Senior Unsecured Notes, 3.875% due 8/15/47 | | | | | 82,606 | | |
| | | 65,000 | | | | Air Medical Group Holdings Inc., Senior Unsecured Notes, 6.375% due 5/15/23(b) | | | | | 55,250 | | |
| | | | | | | Albertsons Cos LLC/Safeway Inc./New Albertsons LP/Albertson’s LLC, Company Guaranteed Notes: | | | |||||
| | | 150,000 | | | | 5.750% due 3/15/25 | | | | | 142,875 | | |
| | | 95,000 | | | | 7.500% due 3/15/26(b) | | | | | 97,850 | | |
| | | 100,000 | | | | Allergan Finance LLC, Company Guaranteed Notes, 3.250% due 10/1/22 | | | | | 98,648 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | | | | | | Allergan Funding SCS, Company Guaranteed Notes: | | | |||||
| | $ | 290,000 | | | | 3.850% due 6/15/24 | | | | $ | 289,062 | | |
| | | 925,000 | | | | 3.800% due 3/15/25 | | | | | 913,483 | | |
| | | 100,000 | | | | 4.550% due 3/15/35 | | | | | 93,293 | | |
| | | 84,000 | | | | 4.750% due 3/15/45 | | | | | 77,540 | | |
| | | | | | | Altria Group Inc., Company Guaranteed Notes: | | | |||||
| | | 250,000 | | | | 4.800% due 2/14/29 | | | | | 249,505 | | |
| | | 250,000 | | | | 3.875% due 9/16/46 | | | | | 189,461 | | |
| | | 555,000 | | | | 5.950% due 2/14/49 | | | | | 553,659 | | |
| | | | | | | Amgen Inc., Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 2.600% due 8/19/26 | | | | | 462,574 | | |
| | | 150,000 | | | | 4.950% due 10/1/41 | | | | | 152,631 | | |
| | | 50,000 | | | | 4.663% due 6/15/51 | | | | | 47,837 | | |
| | | | | | | Anheuser-Busch Cos LLC/Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes: | | | |||||
| | | 63,000 | | | | 3.650% due 2/1/26(b) | | | | | 62,152 | | |
| | | 450,000 | | | | 4.700% due 2/1/36(b) | | | | | 435,556 | | |
| | | 300,000 | | | | Anheuser-Busch InBev Finance Inc., Company Guaranteed Notes, 3.300% due 2/1/23 | | | | | 301,779 | | |
| | | | | | | Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes: | | | |||||
| | | 200,000 | | | | 4.000% due 4/13/28 | | | | | 198,630 | | |
| | | 350,000 | | | | 4.950% due 1/15/42 | | | | | 341,646 | | |
| | | 200,000 | | | | 3.750% due 7/15/42 | | | | | 165,385 | | |
| | | 150,000 | | | | 4.600% due 4/15/48 | | | | | 138,252 | | |
| | | 770,000 | | | | 5.550% due 1/23/49 | | | | | 808,742 | | |
| | | | | | | Anthem Inc., Senior Unsecured Notes: | | | |||||
| | | 1,055,000 | | | | 3.300% due 1/15/23 | | | | | 1,056,871 | | |
| | | 100,000 | | | | 4.650% due 1/15/43 | | | | | 99,890 | | |
| | | 200,000 | | | | 4.375% due 12/1/47 | | | | | 191,682 | | |
| | | | | | | AstraZeneca PLC, Senior Unsecured Notes: | | | |||||
| | | 575,000 | | | | 2.375% due 6/12/22 | | | | | 560,629 | | |
| | | 350,000 | | | | 3.375% due 11/16/25 | | | | | 344,086 | | |
| | | 100,000 | | | | 4.375% due 11/16/45 | | | | | 96,880 | | |
| | | 190,000 | | | | Avantor Inc., Senior Unsecured Notes, 9.000% due 10/1/25(b) | | | | | 203,775 | | |
| | | 235,000 | | | | B&G Foods Inc., Company Guaranteed Notes, 5.250% due 4/1/25 | | | | | 224,846 | | |
| | | 100,000 | | | | BAT Capital Corp., Company Guaranteed Notes, 3.222% due 8/15/24 | | | | | 96,286 | | |
| | | 430,000 | | | | Bausch Health Americas Inc., Company Guaranteed Notes, 8.500% due 1/31/27(b) | | | | | 445,319 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | | | | | | Bausch Health Cos., Inc., Senior Secured Notes: | | | |||||
| | $ | 65,000 | | | | 7.000% due 3/15/24(b) | | | | $ | 68,494 | | |
| | | 110,000 | | | | 5.750% due 8/15/27(b) | | | | | 110,962 | | |
| | | | | | | Becton Dickinson & Co., Senior Unsecured Notes: | | | |||||
| | | 1,135,000 | | | | 2.894% due 6/6/22 | | | | | 1,122,399 | | |
| | | 200,000 | | | | 3.363% due 6/6/24 | | | | | 196,788 | | |
| | | 250,000 | | | | 3.700% due 6/6/27 | | | | | 242,182 | | |
| | | 100,000 | | | | Biogen Inc., Senior Unsecured Notes, 5.200% due 9/15/45 | | | | | 104,914 | | |
| | | 350,000 | | | | Boston Scientific Corp., Senior Unsecured Notes, 4.000% due 3/1/28 | | | | | 351,752 | | |
| | | 250,000 | | | | Bristol-Myers Squibb Co., Senior Unsecured Notes, 3.250% due 2/27/27 | | | | | 241,943 | | |
| | | 250,000 | | | | Campbell Soup Co., Senior Unsecured Notes, 3.950% due 3/15/25 | | | | | 244,557 | | |
| | | | | | | Cardinal Health Inc., Senior Unsecured Notes: | | | |||||
| | | 1,140,000 | | | | 3.410% due 6/15/27 | | | | | 1,065,638 | | |
| | | 250,000 | | | | 4.368% due 6/15/47 | | | | | 215,826 | | |
| | | | | | | Celgene Corp., Senior Unsecured Notes: | | | |||||
| | | 100,000 | | | | 2.750% due 2/15/23 | | | | | 97,519 | | |
| | | 500,000 | | | | 3.875% due 8/15/25 | | | | | 500,957 | | |
| | | 100,000 | | | | 5.000% due 8/15/45 | | | | | 98,680 | | |
| | | 1,030,000 | | | | 4.350% due 11/15/47 | | | | | 924,788 | | |
| | | | | | | Centene Corp., Senior Unsecured Notes: | | | |||||
| | | 310,000 | | | | 4.750% due 1/15/25 | | | | | 311,937 | | |
| | | 140,000 | | | | 5.375% due 6/1/26(b) | | | | | 145,250 | | |
| | | 200,000 | | | | Children’s Hospital Corp., Company Guaranteed Notes, 4.115% due 1/1/47 | | | | | 198,625 | | |
| | | | | | | Cigna Corp., Company Guaranteed Notes: | | | |||||
| | | 500,000 | | | | 3.400% due 9/17/21(b) | | | | | 502,594 | | |
| | | 1,135,000 | | | | 3.677% (3-Month USD-LIBOR + 0.890%) due 7/15/23(a)(b) | | | | | 1,127,914 | | |
| | | 250,000 | | | | 4.900% due 12/15/48(b) | | | | | 248,917 | | |
| | | 250,000 | | | | Coca-Cola Co., Senior Unsecured Notes, 2.200% due 5/25/22 | | | | | 246,023 | | |
| | | 350,000 | | | | Constellation Brands Inc., Company Guaranteed Notes, 2.700% due 5/9/22 | | | | | 342,258 | | |
| | | 700,000 | | | | Controladora Mabe SA de CV, Company Guaranteed Notes, 5.600% due 10/23/28 | | | | | 693,875 | | |
| | | 350,000 | | | | Coventry Health Care Inc., Senior Unsecured Notes, 5.450% due 6/15/21 | | | | | 363,868 | | |
| | | | | | | CVS Health Corp., Senior Unsecured Notes: | | | |||||
| | | 125,000 | | | | 2.125% due 6/1/21 | | | | | 121,889 | | |
| | | 100,000 | | | | 3.500% due 7/20/22 | | | | | 100,422 | | |
| | | 1,275,000 | | | | 3.700% due 3/9/23 | | | | | 1,282,826 | | |
| | | 150,000 | | | | 4.100% due 3/25/25 | | | | | 152,055 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 350,000 | | | | 2.875% due 6/1/26 | | | | $ | 325,601 | | |
| | | 250,000 | | | | 4.300% due 3/25/28 | | | | | 250,172 | | |
| | | 250,000 | | | | 4.780% due 3/25/38 | | | | | 243,191 | | |
| | | 250,000 | | | | 5.050% due 3/25/48 | | | | | 247,729 | | |
| | | 138,000 | | | | Duke University Health System Inc., Senior Unsecured Notes, 3.920% due 6/1/47 | | | | | 134,771 | | |
| | | 619,000 | | | | Embotelladora Andina SA, Senior Unsecured Notes, 5.000% due 10/1/23 | | | | | 644,672 | | |
| | | 485,344 | | | | ENA Norte Trust, Pass-Thru Certificates, 4.950% due 4/25/23 | | | | | 497,478 | | |
| | | 15,000 | | | | Envision Healthcare Corp., Company Guaranteed Notes, 8.750% due 10/15/26(b) | | | | | 13,537 | | |
| | | 200,000 | | | | Estee Lauder Cos., Inc., Senior Unsecured Notes, 4.150% due 3/15/47 | | | | | 200,663 | | |
| | | 250,000 | | | | Express Scripts Holding Co., Company Guaranteed Notes, 4.800% due 7/15/46 | | | | | 244,501 | | |
| | | 115,000 | | | | Garda World Security Corp., Senior Unsecured Notes, 8.750% due 5/15/25(b) | | | | | 110,112 | | |
| | | 200,000 | | | | General Mills Inc., Senior Unsecured Notes, 4.700% due 4/17/48 | | | | | 187,685 | | |
| | | | | | | Gilead Sciences Inc., Senior Unsecured Notes: | | | |||||
| | | 350,000 | | | | 2.950% due 3/1/27 | | | | | 330,345 | | |
| | | 250,000 | | | | 4.150% due 3/1/47 | | | | | 229,070 | | |
| | | 500,000 | | | | GlaxoSmithKline Capital Inc., Company Guaranteed Notes, 3.625% due 5/15/25 | | | | | 508,811 | | |
| | | 600,000 | | | | Grupo Bimbo SAB de CV, Subordinated Notes, 5.950% (5-Year CMT Index + 3.280%)(a)(f) | | | | | 600,000 | | |
| | | 135,000 | | | | HCA Healthcare Inc., Senior Unsecured Notes, 6.250% due 2/15/21 | | | | | 141,458 | | |
| | | | | | | HCA Inc.: | | | |||||
| | | | | | | Company Guaranteed Notes: | | | |||||
| | | 265,000 | | | | 5.375% due 9/1/26 | | | | | 272,115 | | |
| | | 20,000 | | | | 5.875% due 2/1/29 | | | | | 20,975 | | |
| | | 65,000 | | | | Senior Secured Notes, 5.250% due 4/15/25 | | | | | 68,880 | | |
| | | 200,000 | | | | Humana Inc., Senior Unsecured Notes, 4.800% due 3/15/47 | | | | | 203,853 | | |
| | | | | | | JBS Investments GmbH, Company Guaranteed Notes: | | | |||||
| | | 800,000 | | | | 6.250% due 2/5/23 | | | | | 807,208 | | |
| | | 400,000 | | | | 7.250% due 4/3/24 | | | | | 413,204 | | |
| | | 400,000 | | | | JBS Investments II GmbH, Company Guaranteed Notes, 7.000% due 1/15/26(b) | | | | | 412,000 | | |
| | | 205,000 | | | | JBS USA LUX SA/JBS USA Finance, Inc., Company Guaranteed Notes, 6.750% due 2/15/28(b) | | | | | 211,919 | | |
| | | | | | | Johnson & Johnson, Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 2.250% due 3/3/22 | | | | | 246,621 | | |
| | | 150,000 | | | | 2.950% due 3/3/27 | | | | | 146,584 | | |
| | | 250,000 | | | | 3.625% due 3/3/37 | | | | | 245,068 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | | | | | | Keurig Dr Pepper Inc., Company Guaranteed Notes: | | | |||||
| | $ | 250,000 | | | | 4.597% due 5/25/28(b) | | | | $ | 252,730 | | |
| | | 100,000 | | | | 5.085% due 5/25/48(b) | | | | | 97,186 | | |
| | | | | | | Kraft Heinz Foods Co., Company Guaranteed Notes: | | | |||||
| | | 500,000 | | | | 3.000% due 6/1/26 | | | | | 460,392 | | |
| | | 250,000 | | | | 5.200% due 7/15/45 | | | | | 232,663 | | |
| | | 200,000 | | | | Kroger Co., Senior Unsecured Notes, 4.450% due 2/1/47 | | | | | 176,705 | | |
| | | 80,000 | | | | Kronos Acquisition Holdings Inc., Company Guaranteed Notes, 9.000% due 8/15/23(b) | | | | | 68,400 | | |
| | | 1,325,000 | | | | Laboratory Corp. of America Holdings, Senior Unsecured Notes, 3.600% due 2/1/25 | | | | | 1,302,852 | | |
| | | | | | | MARB BondCo PLC, Company Guaranteed Notes: | | | |||||
| | | 500,000 | | | | 7.000% due 3/15/24(b) | | | | | 492,350 | | |
| | | 200,000 | | | | 7.000% due 3/15/24 | | | | | 196,940 | | |
| | | 900,000 | | | | 6.875% due 1/19/25 | | | | | 872,294 | | |
| | | 55,000 | | | | Matterhorn Merger Sub LLC/Matterhorn Finance Sub Inc., Senior Unsecured Notes, 8.500% due 6/1/26(b) | | | | | 48,400 | | |
| | | 250,000 | | | | Medtronic Global Holdings SCA, Company Guaranteed Notes, 3.350% due 4/1/27 | | | | | 248,431 | | |
| | | | | | | Medtronic Inc., Company Guaranteed Notes: | | | |||||
| | | 500,000 | | | | 3.150% due 3/15/22 | | | | | 504,000 | | |
| | | 250,000 | | | | 4.625% due 3/15/45 | | | | | 273,905 | | |
| | | 250,000 | | | | Merck & Co., Inc., Senior Unsecured Notes, 3.700% due 2/10/45 | | | | | 238,167 | | |
| | | | | | | Minerva Luxembourg SA, Company Guaranteed Notes: | | | |||||
| | | 800,000 | | | | 6.500% due 9/20/26 | | | | | 775,000 | | |
| | | 600,000 | | | | 5.875% due 1/19/28 | | | | | 547,440 | | |
| | | | | | | Molson Coors Brewing Co., Company Guaranteed Notes: | | | |||||
| | | 500,000 | | | | 2.250% due 3/15/20 | | | | | 495,658 | | |
| | | 150,000 | | | | 4.200% due 7/15/46 | | | | | 127,376 | | |
| | | 300,000 | | | | Moody’s Corp., Senior Unsecured Notes, 2.750% due 12/15/21 | | | | | 296,076 | | |
| | | 250,000 | | | | MPH Acquisition Holdings LLC, Company Guaranteed Notes, 7.125% due 6/1/24(b) | | | | | 249,062 | | |
| | | | | | | Mylan NV, Company Guaranteed Notes: | | | |||||
| | | 250,000 | | | | 3.150% due 6/15/21 | | | | | 247,151 | | |
| | | 250,000 | | | | 5.250% due 6/15/46 | | | | | 214,956 | | |
| | | 10,000 | | | | Northwell Healthcare Inc., Secured Notes, 4.260% due 11/1/47 | | | | | 9,580 | | |
| | | | | | | Novartis Capital Corp., Company Guaranteed Notes: | | | |||||
| | | 250,000 | | | | 2.400% due 5/17/22 | | | | | 246,943 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 150,000 | | | | 3.100% due 5/17/27 | | | | $ | 148,010 | | |
| | | | | | | PepsiCo Inc., Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 2.750% due 3/5/22 | | | | | 500,241 | | |
| | | 150,000 | | | | 2.375% due 10/6/26 | | | | | 140,380 | | |
| | | 250,000 | | | | 3.450% due 10/6/46 | | | | | 228,825 | | |
| | | | | | | Pfizer Inc., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 4.000% due 12/15/36 | | | | | 252,393 | | |
| | | 250,000 | | | | 4.125% due 12/15/46 | | | | | 254,370 | | |
| | | | | | | Philip Morris International Inc., Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 2.625% due 2/18/22 | | | | | 492,975 | | |
| | | 100,000 | | | | 4.125% due 3/4/43 | | | | | 89,920 | | |
| | | 235,000 | | | | Pilgrim’s Pride Corp., Company Guaranteed Notes, 5.750% due 3/15/25(b) | | | | | 235,000 | | |
| | | 120,000 | | | | Polaris Intermediate Corp., Senior Unsecured Notes, 8.500% due 12/1/22(b)(g) | | | | | 118,465 | | |
| | | 220,000 | | | | Post Holdings Inc., Company Guaranteed Notes, 5.500% due 3/1/25(b) | | | | | 220,550 | | |
| | | 218,000 | | | | Prime Security Services Borrower LLC/Prime Finance Inc., Secured Notes, 9.250% due 5/15/23(b) | | | | | 229,881 | | |
| | | 250,000 | | | | Procter & Gamble Co., Senior Unsecured Notes, 3.500% due 10/25/47 | | | | | 239,698 | | |
| | | 8,000 | | | | Providence St Joseph Health Obligated Group, Unsecured Notes, 3.930% due 10/1/48 | | | | | 7,538 | | |
| | | | | | | Refinitiv US Holdings Inc.: | | | |||||
| | | 95,000 | | | | Company Guaranteed Notes, 8.250% due 11/15/26(b) | | | | | 92,952 | | |
| | | 160,000 | | | | Senior Secured Notes, 6.250% due 5/15/26(b) | | | | | 161,600 | | |
| | | 95,000 | | | | RegionalCare Hospital Partners Holdings Inc., Senior Secured Notes, 8.250% due 5/1/23(b) | | | | | 101,650 | | |
| | | | | | | Reynolds American Inc., Company Guaranteed Notes: | | | |||||
| | | 500,000 | | | | 6.875% due 5/1/20 | | | | | 520,261 | | |
| | | 1,045,000 | | | | 4.000% due 6/12/22 | | | | | 1,057,641 | | |
| | | 250,000 | | | | 5.850% due 8/15/45 | | | | | 238,196 | | |
| | | 335,000 | | | | Select Medical Corp., Company Guaranteed Notes, 6.375% due 6/1/21 | | | | | 336,256 | | |
| | | 145,000 | | | | ServiceMaster Co. LLC, Company Guaranteed Notes, 5.125% due 11/15/24(b) | | | | | 145,725 | | |
| | | 125,000 | | | | Shire Acquisitions Investments Ireland DAC, Company Guaranteed Notes, 2.875% due 9/23/23 | | | | | 120,594 | | |
| | | 550,000 | | | | Smithfield Foods Inc., Company Guaranteed Notes, 4.250% due 2/1/27(b) | | | | | 497,473 | | |
| | | 7,000 | | | | Stanford Health Care, Unsecured Notes, 3.795% due 11/15/48 | | | | | 6,710 | | |
| | | 140,000 | | | | Star Merger Sub Inc., Senior Secured Notes, 6.875% due 8/15/26(b) | | | | | 140,484 | | |
| | | 350,000 | | | | Stryker Corp., Senior Unsecured Notes, 3.375% due 11/1/25 | | | | | 349,206 | | |
| | | | | | | Sysco Corp., Company Guaranteed Notes: | | | |||||
| | | 350,000 | | | | 3.550% due 3/15/25 | | | | | 348,659 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 585,000 | | | | 3.250% due 7/15/27 | | | | $ | 561,371 | | |
| | | | | | | Tenet Healthcare Corp.: | | | |||||
| | | 100,000 | | | | Secured Notes, 6.250% due 2/1/27(b) | | | | | 102,938 | | |
| | | 110,000 | | | | Senior Unsecured Notes, 7.000% due 8/1/25 | | | | | 110,275 | | |
| | | 250,000 | | | | Thermo Fisher Scientific Inc., Senior Unsecured Notes, 4.100% due 8/15/47 | | | | | 236,586 | | |
| | | 125,000 | | | | Total System Services Inc., Senior Unsecured Notes, 4.800% due 4/1/26 | | | | | 127,969 | | |
| | | 150,000 | | | | Tyson Foods Inc., Senior Unsecured Notes, 4.550% due 6/2/47 | | | | | 133,213 | | |
| | | 500,000 | | | | Unilever Capital Corp., Senior Unsecured Notes, 3.125% due 3/22/23 | | | | | 501,670 | | |
| | | 155,000 | | | | United Rentals North America Inc., Company Guaranteed Notes, 6.500% due 12/15/26 | | | | | 161,781 | | |
| | | | | | | UnitedHealth Group Inc., Senior Unsecured Notes: | | | |||||
| | | 750,000 | | | | 2.125% due 3/15/21 | | | | | 739,146 | | |
| | | 450,000 | | | | 3.850% due 6/15/28 | | | | | 460,929 | | |
| | | 250,000 | | | | 4.250% due 4/15/47 | | | | | 253,296 | | |
| | | 125,000 | | | | Verisk Analytics Inc., Senior Unsecured Notes, 4.125% due 9/12/22 | | | | | 127,645 | | |
| | | 133,000 | | | | Verscend Escrow Corp., Senior Unsecured Notes, 9.750% due 8/15/26(b) | | | | | 135,993 | | |
| | | 210,000 | | | | Vizient Inc., Senior Unsecured Notes, 10.375% due 3/1/24(b) | | | | | 227,325 | | |
| | | | | | | WellCare Health Plans Inc., Senior Unsecured Notes: | | | |||||
| | | 160,000 | | | | 5.250% due 4/1/25 | | | | | 163,352 | | |
| | | 60,000 | | | | 5.375% due 8/15/26(b) | | | | | 61,725 | | |
| | | | | | | Zimmer Biomet Holdings Inc., Senior Unsecured Notes: | | | |||||
| | | 200,000 | | | | 2.700% due 4/1/20 | | | | | 199,071 | | |
| | | 555,000 | | | | 3.700% due 3/19/23 | | | | | 552,026 | | |
| | | | | | | Total Consumer Non-cyclical | | | | | 51,892,309 | | |
| Diversified – 0.0% | | ||||||||||||
| | | | | | | CK Hutchison International 17 Ltd., Company Guaranteed Notes: | | | |||||
| | | 200,000 | | | | 2.875% due 4/5/22(b) | | | | | 196,682 | | |
| | | 300,000 | | | | 3.500% due 4/5/27(b) | | | | | 291,325 | | |
| | | 70,000 | | | | Trident Merger Sub Inc., Senior Unsecured Notes, 6.625% due 11/1/25(b) | | | | | 65,975 | | |
| | | | | | | Total Diversified | | | | | 553,982 | | |
| Energy – 2.6% | | ||||||||||||
| | | 750,000 | | | | AI Candelaria Spain SLU, Senior Secured Notes, 7.500% due 12/15/28 | | | | | 753,750 | | |
| | | | | | | Anadarko Petroleum Corp., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 5.550% due 3/15/26 | | | | | 267,138 | | |
| | | 175,000 | | | | 6.600% due 3/15/46 | | | | | 206,908 | | |
| | | 225,000 | | | | Antero Midstream Partners LP/Antero Midstream Finance Corp., Senior Unsecured Notes, 5.750% due 3/1/27(b) | | | | | 226,687 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | $ | 250,000 | | | | Apache Corp., Senior Unsecured Notes, 4.250% due 1/15/44 | | | | $ | 213,789 | | |
| | | 145,000 | | | | Baker Hughes a GE Co. LLC/Baker Hughes Co.-Obligor Inc., Senior Unsecured Notes, 3.337% due 12/15/27 | | | | | 137,455 | | |
| | | | | | | BP Capital Markets America Inc., Company Guaranteed Notes: | | | |||||
| | | 100,000 | | | | 2.520% due 9/19/22 | | | | | 98,282 | | |
| | | 500,000 | | | | 3.224% due 4/14/24 | | | | | 502,078 | | |
| | | 1,500,000 | | | | BPRL International Singapore Pte Ltd., Company Guaranteed Notes, 4.375% due 1/18/27 | | | | | 1,467,104 | | |
| | | 70,000 | | | | Calfrac Holdings LP, Senior Unsecured Notes, 8.500% due 6/15/26(b) | | | | | 51,800 | | |
| | | | | | | Canacol Energy Ltd., Company Guaranteed Notes: | | | |||||
| | | 1,200,000 | | | | 7.250% due 5/3/25 | | | | | 1,195,800 | | |
| | | 200,000 | | | | 7.250% due 5/3/25(b) | | | | | 199,300 | | |
| | | | | | | Canadian Natural Resources Ltd., Senior Unsecured Notes: | | | |||||
| | | 1,150,000 | | | | 2.950% due 1/15/23 | | | | | 1,124,907 | | |
| | | 125,000 | | | | 5.850% due 2/1/35 | | | | | 136,619 | | |
| | | 500,000 | | | | Cenovus Energy Inc., Senior Unsecured Notes, 4.250% due 4/15/27 | | | | | 476,154 | | |
| | | | | | | Cheniere Energy Partners LP: | | | |||||
| | | 185,000 | | | | Company Guaranteed Notes, 5.625% due 10/1/26(b) | | | | | 188,469 | | |
| | | 270,000 | | | | Senior Secured Notes, 5.250% due 10/1/25 | | | | | 273,375 | | |
| | | | | | | Chevron Corp., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 1.991% due 3/3/20 | | | | | 248,394 | | |
| | | 250,000 | | | | 2.498% due 3/3/22 | | | | | 247,930 | | |
| | | 750,000 | | | | CNOOC Finance 2015 USA LLC, Company Guaranteed Notes, 3.500% due 5/5/25 | | | | | 742,183 | | |
| | | 240,000 | | | | CNX Midstream Partners LP/CNX Midstream Finance Corp., Senior Unsecured Notes, 6.500% due 3/15/26(b) | | | | | 235,800 | | |
| | | | | | | ConocoPhillips Co., Company Guaranteed Notes: | | | |||||
| | | 250,000 | | | | 4.950% due 3/15/26 | | | | | 273,739 | | |
| | | 200,000 | | | | 5.950% due 3/15/46 | | | | | 253,581 | | |
| | | 545,000 | | | | Continental Resources Inc., Company Guaranteed Notes, 4.375% due 1/15/28 | | | | | 542,477 | | |
| | | 200,000 | | | | Cosan Luxembourg SA, Company Guaranteed Notes, 7.000% due 1/20/27 | | | | | 213,752 | | |
| | | 180,000 | | | | CSI Compressco LP/CSI Compressco Finance Inc., Senior Secured Notes, 7.500% due 4/1/25(b) | | | | | 174,600 | | |
| | | | | | | Delek & Avner Tamar Bond Ltd., Senior Secured Notes: | | | |||||
| | | 200,000 | | | | 5.082% due 12/30/23(b) | | | | | 200,399 | | |
| | | 300,000 | | | | 5.412% due 12/30/25(b) | | | | | 300,740 | | |
| | | | | | | Devon Energy Corp., Senior Unsecured Notes: | | | |||||
| | | 75,000 | | | | 5.600% due 7/15/41 | | | | | 81,063 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | $ | 100,000 | | | | 5.000% due 6/15/45 | | | | $ | 101,548 | | |
| | | | | | | Ecopetrol SA, Senior Unsecured Notes: | | | |||||
| | | 200,000 | | | | 5.875% due 9/18/23 | | | | | 215,102 | | |
| | | 500,000 | | | | 5.375% due 6/26/26 | | | | | 525,650 | | |
| | | 150,000 | | | | Enbridge Energy Partners LP, Company Guaranteed Notes, 5.500% due 9/15/40 | | | | | 162,943 | | |
| | | | | | | Enbridge Inc., Company Guaranteed Notes: | | | |||||
| | | 100,000 | | | | 4.000% due 10/1/23 | | | | | 101,745 | | |
| | | 250,000 | | | | 3.700% due 7/15/27 | | | | | 245,303 | | |
| | | | | | | Energy Transfer Operating LP, Company Guaranteed Notes: | | | |||||
| | | 845,000 | | | | 4.750% due 1/15/26 | | | | | 860,510 | | |
| | | 250,000 | | | | 4.200% due 4/15/27 | | | | | 243,761 | | |
| | | 200,000 | | | | 5.300% due 4/15/47 | | | | | 189,026 | | |
| | | 150,000 | | | | 6.000% due 6/15/48 | | | | | 155,638 | | |
| | | | | | | Enterprise Products Operating LLC, Company Guaranteed Notes: | | | |||||
| | | 500,000 | | | | 2.850% due 4/15/21 | | | | | 497,694 | | |
| | | 820,000 | | | | 3.750% due 2/15/25 | | | | | 830,370 | | |
| | | 250,000 | | | | 3.950% due 2/15/27(h) | | | | | 253,864 | | |
| | | 250,000 | | | | 4.900% due 5/15/46 | | | | | 257,780 | | |
| | | 210,000 | | | | EP Energy LLC/Everest Acquisition Finance Inc., Senior Secured Notes, 7.750% due 5/15/26(b) | | | | | 186,112 | | |
| | | 625,000 | | | | EQM Midstream Partners LP, Senior Unsecured Notes, 4.750% due 7/15/23 | | | | | 629,251 | | |
| | | 1,265,000 | | | | EQT Corp., Senior Unsecured Notes, 3.900% due 10/1/27 | | | | | 1,147,363 | | |
| | | | | | | Equinor ASA, Company Guaranteed Notes: | | | |||||
| | | 250,000 | | | | 2.450% due 1/17/23 | | | | | 245,956 | | |
| | | 100,000 | | | | 3.700% due 3/1/24 | | | | | 103,033 | | |
| | | 85,000 | | | | Exterran Energy Solutions LP/EES Finance Corp., Company Guaranteed Notes, 8.125% due 5/1/25 | | | | | 84,469 | | |
| | | 50,000 | | | | Extraction Oil & Gas Inc., Company Guaranteed Notes, 5.625% due 2/1/26(b) | | | | | 41,500 | | |
| | | | | | | Exxon Mobil Corp., Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 3.043% due 3/1/26 | | | | | 498,767 | | |
| | | 100,000 | | | | 3.567% due 3/6/45 | | | | | 95,657 | | |
| | | 140,000 | | | | Foresight Energy LLC/Foresight Energy Finance Corp., Secured Notes, 11.500% due 4/1/23(b) | | | | | 116,200 | | |
| | | 120,000 | | | | FTS International Inc., Senior Secured Notes, 6.250% due 5/1/22 | | | | | 114,000 | | |
| | | 1,200,000 | | | | Geopark Ltd., Senior Secured Notes, 6.500% due 9/21/24 | | | | | 1,168,500 | | |
| | | 200,000 | | | | GNL Quintero SA, Senior Unsecured Notes, 4.634% due 7/31/29 | | | | | 202,250 | | |
| | | 1,100,000 | | | | Gran Tierra Energy International Holdings Ltd., Company Guaranteed Notes, 6.250% due 2/15/25 | | | | | 1,045,000 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | $ | 140,000 | | | | Gulfport Energy Corp., Company Guaranteed Notes, 6.375% due 5/15/25 | | | | $ | 125,300 | | |
| | | 250,000 | | | | Halliburton Co., Senior Unsecured Notes, 5.000% due 11/15/45 | | | | | 258,165 | | |
| | | 250,000 | | | | Hess Corp., Senior Unsecured Notes, 5.800% due 4/1/47 | | | | | 249,270 | | |
| | | 320,000 | | | | Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp., Senior Unsecured Notes, 5.625% due 2/15/26(b) | | | | | 321,600 | | |
| | | 140,000 | | | | Hilcorp Energy I LP/Hilcorp Finance Co., Senior Unsecured Notes, 6.250% due 11/1/28(b) | | | | | 137,200 | | |
| | | | | | | Indian Oil Corp. Ltd, Senior Unsecured Notes: | | | |||||
| | | 600,000 | | | | 5.625% due 8/2/21 | | | | | 626,315 | | |
| | | 1,000,000 | | | | 5.750% due 8/1/23 | | | | | 1,061,643 | | |
| | | 125,000 | | | | Indigo Natural Resources LLC, Senior Unsecured Notes, 6.875% due 2/15/26(b) | | | | | 109,062 | | |
| | | | | | | Kinder Morgan Energy Partners LP, Company Guaranteed Notes: | | | |||||
| | | 125,000 | | | | 3.500% due 3/1/21 | | | | | 125,756 | | |
| | | 100,000 | | | | 4.250% due 9/1/24 | | | | | 102,725 | | |
| | | 150,000 | | | | 6.950% due 1/15/38 | | | | | 179,717 | | |
| | | 75,000 | | | | 5.000% due 8/15/42 | | | | | 73,463 | | |
| | | | | | | Kinder Morgan Inc., Company Guaranteed Notes: | | | |||||
| | | 550,000 | | | | 4.300% due 3/1/28 | | | | | 555,025 | | |
| | | 250,000 | | | | 5.050% due 2/15/46 | | | | | 247,457 | | |
| | | 250,000 | | | | Marathon Petroleum Corp., Senior Unsecured Notes, 5.125% due 3/1/21 | | | | | 258,574 | | |
| | | 90,000 | | | | MEG Energy Corp., Company Guaranteed Notes, 7.000% due 3/31/24(b) | | | | | 82,350 | | |
| | | 90,000 | | | | Moss Creek Resources Holdings Inc., Company Guaranteed Notes, 7.500% due 1/15/26(b) | | | | | 81,450 | | |
| | | 250,000 | | | | MPLX LP, Senior Unsecured Notes, 5.200% due 3/1/47 | | | | | 243,823 | | |
| | | 120,000 | | | | Nabors Industries Inc., Company Guaranteed Notes, 5.750% due 2/1/25 | | | | | 105,900 | | |
| | | | | | | Noble Energy Inc., Senior Unsecured Notes: | | | |||||
| | | 150,000 | | | | 3.850% due 1/15/28 | | | | | 141,847 | | |
| | | 150,000 | | | | 4.950% due 8/15/47 | | | | | 140,365 | | |
| | | | | | | Occidental Petroleum Corp., Senior Unsecured Notes: | | | |||||
| | | 125,000 | | | | 4.100% due 2/1/21 | | | | | 127,567 | | |
| | | 100,000 | | | | 4.400% due 4/15/46 | | | | | 102,391 | | |
| | | 250,000 | | | | ONEOK Inc., Company Guaranteed Notes, 4.000% due 7/13/27 | | | | | 245,807 | | |
| | | 1,500,000 | | | | ONGC Videsh Vankorneft Pte Ltd., Company Guaranteed Notes, 3.750% due 7/27/26 | | | | | 1,424,138 | | |
| | | 115,000 | | | | Par Petroleum LLC/Par Petroleum Finance Corp., Senior Secured Notes, 7.750% due 12/15/25(b) | | | | | 106,950 | | |
| | | 365,000 | | | | Peabody Energy Corp., Senior Secured Notes, 6.000% due 3/31/22(b) | | | | | 368,194 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | | | | | | Petrobras Global Finance BV, Company Guaranteed Notes: | | | |||||
| | $ | 1,100,000 | | | | 5.750% due 2/1/29 | | | | $ | 1,098,900 | | |
| | | 200,000 | | | | 7.250% due 3/17/44 | | | | | 213,700 | | |
| | | | | | | Petroleos Mexicanos, Company Guaranteed Notes: | | | |||||
| | | 750,000 | | | | 4.250% due 1/15/25 | | | | | 678,000 | | |
| | | 150,000 | | | | 6.500% due 3/13/27 | | | | | 145,185 | | |
| | | 550,000 | | | | 6.500% due 6/2/41 | | | | | 478,500 | | |
| | | 500,000 | | | | 5.625% due 1/23/46 | | | | | 392,450 | | |
| | | 100,000 | | | | 6.750% due 9/21/47 | | | | | 86,710 | | |
| | | 1,000,000 | | | | Petronas Capital Ltd., Company Guaranteed Notes, 3.500% due 3/18/25 | | | | | 1,007,234 | | |
| | | | | | | Phillips 66, Company Guaranteed Notes: | | | |||||
| | | 250,000 | | | | 4.300% due 4/1/22 | | | | | 258,581 | | |
| | | 250,000 | | | | 4.875% due 11/15/44 | | | | | 260,460 | | |
| | | 250,000 | | | | Plains All American Pipeline LP/PAA Finance Corp., Senior Unsecured Notes, 4.500% due 12/15/26 | | | | | 249,849 | | |
| | | 175,000 | | | | QEP Resources Inc., Senior Unsecured Notes, 5.250% due 5/1/23 | | | | | 168,437 | | |
| | | 200,000 | | | | Raizen Fuels Finance SA, Company Guaranteed Notes, 5.300% due 1/20/27 | | | | | 204,000 | | |
| | | 1,000,000 | | | | Reliance Holding USA Inc., Company Guaranteed Notes, 5.400% due 2/14/22 | | | | | 1,040,039 | | |
| | | | | | | Sabine Pass Liquefaction LLC, Senior Secured Notes: | | | |||||
| | | 100,000 | | | | 5.750% due 5/15/24 | | | | | 108,217 | | |
| | | 800,000 | | | | 5.000% due 3/15/27 | | | | | 831,092 | | |
| | | 400,000 | | | | 4.200% due 3/15/28 | | | | | 393,783 | | |
| | | | | | | Shell International Finance BV, Company Guaranteed Notes: | | | |||||
| | | 250,000 | | | | 1.750% due 9/12/21 | | | | | 243,530 | | |
| | | 250,000 | | | | 2.500% due 9/12/26 | | | | | 235,816 | | |
| | | 100,000 | | | | 4.000% due 5/10/46 | | | | | 99,903 | | |
| | | 250,000 | | | | 3.750% due 9/12/46 | | | | | 238,546 | | |
| | | 1,000,000 | | | | Sinopec Group Overseas Development 2016 Ltd., Company Guaranteed Notes, 2.750% due 9/29/26 | | | | | 924,631 | | |
| | | 195,000 | | | | SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., Company Guaranteed Notes, 7.500% due 6/15/25(b) | | | | | 198,413 | | |
| | | | | | | Suncor Energy Inc., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 3.600% due 12/1/24 | | | | | 251,376 | | |
| | | 100,000 | | | | 6.500% due 6/15/38 | | | | | 120,653 | | |
| | | 100,000 | | | | Sunoco Logistics Partners Operations LP, Company Guaranteed Notes, 4.250% due 4/1/24 | | | | | 101,275 | | |
| | | 125,000 | | | | Sunoco LP/Sunoco Finance Corp., Company Guaranteed Notes, 5.500% due 2/15/26 | | | | | 124,162 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | $ | 70,000 | | | | Tapstone Energy LLC/Tapstone Energy Finance Corp., Senior Unsecured Notes, 9.750% due 6/1/22(b) | | | | $ | 56,525 | | |
| | | | | | | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Company Guaranteed Notes: | | | |||||
| | | 160,000 | | | | 5.875% due 4/15/26(b) | | | | | 166,400 | | |
| | | 125,000 | | | | 6.500% due 7/15/27(b) | | | | | 132,188 | | |
| | | 125,000 | | | | TerraForm Power Operating LLC, Company Guaranteed Notes, 4.250% due 1/31/23(b) | | | | | 123,839 | | |
| | | 500,000 | | | | Total Capital International SA, Company Guaranteed Notes, 3.700% due 1/15/24 | | | | | 512,329 | | |
| | | | | | | TransCanada PipeLines Ltd., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 4.875% due 1/15/26 | | | | | 264,187 | | |
| | | 75,000 | | | | 7.625% due 1/15/39 | | | | | 98,930 | | |
| | | 200,000 | | | | 4.875% due 5/15/48 | | | | | 201,469 | | |
| | | 250,000 | | | | Transcontinental Gas Pipe Line Co. LLC, Senior Unsecured Notes, 7.850% due 2/1/26 | | | | | 306,238 | | |
| | | 56,700 | | | | Transocean Guardian Ltd., Senior Secured Notes, 5.875% due 1/15/24(b) | | | | | 57,621 | | |
| | | 70,000 | | | | Transocean Inc., Company Guaranteed Notes, 7.250% due 11/1/25(b) | | | | | 66,850 | | |
| | | 70,000 | | | | Transocean Poseidon Ltd., Senior Secured Notes, 6.875% due 2/1/27(b) | | | | | 71,925 | | |
| | | 136,000 | | | | Transocean Proteus Ltd., Senior Secured Notes, 6.250% due 12/1/24(b) | | | | | 138,720 | | |
| | | 600,000 | | | | Transportadora de Gas del Peru SA, Senior Unsecured Notes, 4.250% due 4/30/28 | | | | | 601,500 | | |
| | | | | | | USA Compression Partners LP/USA Compression Finance Corp.: | | | |||||
| | | 170,000 | | | | Company Guaranteed Notes, 6.875% due 4/1/26 | | | | | 172,975 | | |
| | | 95,000 | | | | Senior Unsecured Notes, 6.875% due 9/1/27(b) | | | | | 96,900 | | |
| | | 75,000 | | | | Valero Energy Corp., Senior Unsecured Notes, 4.900% due 3/15/45 | | | | | 76,363 | | |
| | | 65,000 | | | | Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., Company Guaranteed Notes, 8.750% due 4/15/23(b) | | | | | 52,488 | | |
| | | 70,000 | | | | Weatherford International Ltd., Company Guaranteed Notes, 9.875% due 2/15/24 | | | | | 50,400 | | |
| | | 150,000 | | | | Western Gas Partners LP, Senior Unsecured Notes, 5.450% due 4/1/44 | | | | | 138,140 | | |
| | | 185,000 | | | | Whiting Petroleum Corp., Company Guaranteed Notes, 6.625% due 1/15/26 | | | | | 181,300 | | |
| | | | | | | Williams Cos., Inc., Senior Unsecured Notes: | | | |||||
| | | 525,000 | | | | 3.750% due 6/15/27 | | | | | 508,569 | | |
| | | 250,000 | | | | 5.100% due 9/15/45 | | | | | 247,220 | | |
| | | | | | | YPF SA, Senior Unsecured Notes: | | | |||||
| | | 1,050,000 | | | | 8.500% due 7/28/25 | | | | | 1,024,853 | | |
| | | 500,000 | | | | 6.950% due 7/21/27 | | | | | 445,000 | | |
| | | | | | | Total Energy | | | | | 44,901,690 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – 6.1% | | ||||||||||||
| | $ | 180,000 | | | | Acrisure LLC/Acrisure Finance Inc., Senior Secured Notes, 8.125% due 2/15/24(b) | | | | $ | 184,387 | | |
| | | 350,000 | | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Company Guaranteed Notes, 3.500% due 5/26/22 | | | | | 345,126 | | |
| | | | | | | Air Lease Corp., Senior Unsecured Notes: | | | |||||
| | | 1,110,000 | | | | 3.250% due 3/1/25 | | | | | 1,049,738 | | |
| | | 250,000 | | | | 3.625% due 4/1/27 | | | | | 228,172 | | |
| | | 250,000 | | | | Alexandria Real Estate Equities Inc., Company Guaranteed Notes, 3.950% due 1/15/28 | | | | | 244,484 | | |
| | | 355,000 | | | | Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer, Senior Unsecured Notes, 8.250% due 8/1/23(b) | | | | | 366,759 | | |
| | | 250,000 | | | | Allstate Corp., Senior Unsecured Notes, 4.500% due 6/15/43 | | | | | 260,101 | | |
| | | | | | | American Express Co.: | | | |||||
| | | 565,000 | | | | Senior Unsecured Notes, 2.500% due 8/1/22 | | | | | 553,183 | | |
| | | 500,000 | | | | Subordinated Notes, 3.625% due 12/5/24 | | | | | 505,405 | | |
| | | 250,000 | | | | American Express Credit Corp., Senior Unsecured Notes, 2.250% due 5/5/21 | | | | | 246,308 | | |
| | | | | | | American International Group Inc., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 4.200% due 4/1/28 | | | | | 246,017 | | |
| | | 250,000 | | | | 4.500% due 7/16/44 | | | | | 229,303 | | |
| | | | | | | American Tower Corp., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 2.800% due 6/1/20 | | | | | 248,998 | | |
| | | 100,000 | | | | 3.500% due 1/31/23 | | | | | 99,913 | | |
| | | 100,000 | | | | 4.000% due 6/1/25 | | | | | 100,921 | | |
| | | 200,000 | | | | Aon PLC, Company Guaranteed Notes, 4.750% due 5/15/45 | | | | | 202,862 | | |
| | | 120,000 | | | | ASP AMC Merger Sub Inc., Senior Unsecured Notes, 8.000% due 5/15/25(b) | | | | | 55,800 | | |
| | | 310,000 | | | | AssuredPartners Inc., Senior Unsecured Notes, 7.000% due 8/15/25(b) | | | | | 294,500 | | |
| | | 250,000 | | | | AXA Equitable Holdings Inc., Senior Unsecured Notes, 3.900% due 4/20/23 | | | | | 251,952 | | |
| | | 300,000 | | | | Banco Bilbao Vizcaya Argentaria Colombia SA, Subordinated Notes, 4.875% due 4/21/25 | | | | | 303,003 | | |
| | | | | | | Banco BTG Pactual SA: | | | |||||
| | | 200,000 | | | | Junior Subordinated Notes, 8.750% (5-Year CMT Index + 6.978%)(a)(f) | | | | | 202,602 | | |
| | | 200,000 | | | | Senior Unsecured Notes, 5.500% due 1/31/23 | | | | | 199,552 | | |
| | | 1,250,000 | | | | Subordinated Notes, 7.750% (5-Year CMT Index + 5.257%) due 2/15/29(a)(b) | | | | | 1,248,750 | | |
| | | 400,000 | | | | Banco de Credito del Peru, Senior Unsecured Notes, 5.375% due 9/16/20 | | | | | 412,504 | | |
| | | 1,000,000 | | | | Banco de Credito e Inversiones SA, Senior Unsecured Notes, 4.000% due 2/11/23 | | | | | 1,006,181 | | |
| | | 800,000 | | | | Banco de Reservas de la Republica Dominicana, Subordinated Notes, 7.000% due 2/1/23 | | | | | 812,008 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 2,000,000 | | | | Banco do Brasil SA, Junior Subordinated Notes, 6.250% (5-Year CMT Index + 4.398%)(a)(f) | | | | $ | 1,837,000 | | |
| | | 200,000 | | | | Banco General SA, Senior Unsecured Notes, 4.125% due 8/7/27 | | | | | 190,500 | | |
| | | 1,350,000 | | | | Banco Internacional del Peru SAA, Senior Unsecured Notes, 5.750% due 10/7/20 | | | | | 1,391,526 | | |
| | | 800,000 | | | | Banco Macro SA, Subordinated Notes, 6.750% (5-Year USD Swap Rate + 5.463%) due 11/4/26(a) | | | | | 695,800 | | |
| | | | | | | Banco Mercantil del Norte SA: | | | |||||
| | | | | | | Junior Subordinated Notes: | | ||||||
| | | 1,000,000 | | | | 6.875% (5-Year CMT Index + 5.035%)(a)(f) | | | | | 986,250 | | |
| | | 1,000,000 | | | | 7.625% (5-Year CMT Index + 5.353%)(a)(f) | | | | | 980,000 | | |
| | | 200,000 | | | | Subordinated Notes, 5.750% (5-Year CMT Index + 4.447%) due 10/4/31(a) | | | | | 186,002 | | |
| | | 150,000 | | | | Banco Santander Chile, Senior Unsecured Notes, 3.875% due 9/20/22 | | | | | 151,575 | | |
| | | 550,000 | | | | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, Subordinated Notes, 5.950% (5-Year CMT Index + 2.995%) due 10/1/28(a)(b) | | | | | 560,175 | | |
| | | 200,000 | | | | Banco Santander SA, Senior Unsecured Notes, 4.379% due 4/12/28 | | | | | 196,767 | | |
| | | 600,000 | | | | Bancolombia SA, Subordinated Notes, 4.875% (5-Year CMT Index + 2.929%) due 10/18/27(a) | | | | | 595,500 | | |
| | | 200,000 | | | | Banistmo SA, Senior Unsecured Notes, 3.650% due 9/19/22(b) | | | | | 195,000 | | |
| | | | | | | Bank of America Corp.: | | | |||||
| | | | | | | Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 2.625% due 4/19/21 | | | | | 496,746 | | |
| | | 1,180,000 | | | | 2.369% (3-Month USD-LIBOR + 0.660%) due 7/21/21(a) | | | | | 1,168,240 | | |
| | | 430,000 | | | | 3.004% (3-Month USD-LIBOR + 0.790%) due 12/20/23(a) | | | | | 424,409 | | |
| | | 750,000 | | | | 3.875% due 8/1/25 | | | | | 763,481 | | |
| | | 500,000 | | | | 3.366% (3-Month USD-LIBOR + 0.810%) due 1/23/26(a) | | | | | 491,746 | | |
| | | 250,000 | | | | 3.419% (3-Month USD-LIBOR + 1.040%) due 12/20/28(a) | | | | | 241,202 | | |
| | | 250,000 | | | | 4.443% (3-Month USD-LIBOR + 1.990%) due 1/20/48(a) | | | | | 254,121 | | |
| | | 250,000 | | | | Subordinated Notes, 7.750% due 5/14/38 | | | | | 339,126 | | |
| | | 500,000 | | | | Bank of Montreal, Senior Unsecured Notes, 1.900% due 8/27/21 | | | | | 487,474 | | |
| | | | | | | Bank of New York Mellon Corp., Senior Unsecured Notes: | | | |||||
| | | 750,000 | | | | 3.450% due 8/11/23 | | | | | 760,014 | | |
| | | 250,000 | | | | 3.400% due 1/29/28 | | | | | 249,733 | | |
| | | | | | | Bank of Nova Scotia, Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 2.700% due 3/7/22 | | | | | 494,962 | | |
| | | 550,000 | | | | 3.400% due 2/11/24 | | | | | 550,043 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | | | | | | Barclays PLC, Senior Unsecured Notes: | | | |||||
| | $ | 500,000 | | | | 2.875% due 6/8/20 | | | | $ | 496,612 | | |
| | | 250,000 | | | | 4.950% due 1/10/47 | | | | | 239,349 | | |
| | | 500,000 | | | | BB&T Corp., Senior Unsecured Notes, 2.750% due 4/1/22 | | | | | 496,648 | | |
| | | 300,000 | | | | BBVA Banco Continental SA, Senior Unsecured Notes, 5.000% due 8/26/22 | | | | | 312,600 | | |
| | | | | | | BBVA Bancomer SA, Subordinated Notes: | | | |||||
| | | 200,000 | | | | 5.350% (5-Year CMT Index + 3.000%) due 11/12/29(a) | | | | | 188,662 | | |
| | | 2,000,000 | | | | 5.125% (5-Year CMT Index + 2.650%) due 1/18/33(a) | | | | | 1,791,400 | | |
| | | | | | | BDO Unibank Inc., Senior Unsecured Notes: | | | |||||
| | | 350,000 | | | | 2.625% due 10/24/21 | | | | | 338,427 | | |
| | | 1,400,000 | | | | 2.950% due 3/6/23 | | | | | 1,356,922 | | |
| | | 150,000 | | | | Berkshire Hathaway Finance Corp., Company Guaranteed Notes, 4.200% due 8/15/48 | | | | | 151,517 | | |
| | | | | | | Berkshire Hathaway Inc., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 2.750% due 3/15/23 | | | | | 249,315 | | |
| | | 250,000 | | | | 3.125% due 3/15/26 | | | | | 247,270 | | |
| | | | | | | Boston Properties LP, Senior Unsecured Notes: | | | |||||
| | | 350,000 | | | | 3.200% due 1/15/25 | | | | | 340,416 | | |
| | | 1,155,000 | | | | 3.650% due 2/1/26 | | | | | 1,137,388 | | |
| | | 100,000 | | | | Brighthouse Financial Inc., Senior Unsecured Notes, 3.700% due 6/22/27 | | | | | 89,760 | | |
| | | 250,000 | | | | Brixmor Operating Partnership LP, Senior Unsecured Notes, 3.900% due 3/15/27 | | | | | 240,172 | | |
| | | 350,000 | | | | Brookfield Finance LLC, Company Guaranteed Notes, 4.000% due 4/1/24 | | | | | 350,494 | | |
| | | | | | | Capital One Financial Corp., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 3.050% due 3/9/22 | | | | | 248,802 | | |
| | | 250,000 | | | | 3.750% due 3/9/27 | | | | | 239,808 | | |
| | | 125,000 | | | | CBRE Services Inc., Company Guaranteed Notes, 5.250% due 3/15/25 | | | | | 132,050 | | |
| | | 250,000 | | | | Charles Schwab Corp., Senior Unsecured Notes, 3.200% due 3/2/27 | | | | | 244,802 | | |
| | | 500,000 | | | | Chubb INA Holdings Inc., Company Guaranteed Notes, 3.350% due 5/3/26 | | | | | 498,435 | | |
| | | | | | | Citigroup Inc.: | | | |||||
| | | | | | | Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 2.700% due 3/30/21 | | | | | 248,862 | | |
| | | 100,000 | | | | 2.350% due 8/2/21 | | | | | 98,238 | | |
| | | 500,000 | | | | 2.750% due 4/25/22 | | | | | 493,610 | | |
| | | 500,000 | | | | 4.044% (3-Month USD-LIBOR + 1.023%) due 6/1/24(a) | | | | | 511,291 | | |
| | | 450,000 | | | | 3.887% (3-Month USD-LIBOR + 1.563%) due 1/10/28(a) | | | | | 448,140 | | |
| | | 1,365,000 | | | | 3.668% (3-Month USD-LIBOR + 1.390%) due 7/24/28(a) | | | | | 1,336,828 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | | | | | | Subordinated Notes: | | | |||||
| | $ | 250,000 | | | | 4.450% due 9/29/27 | | | | $ | 250,866 | | |
| | | 100,000 | | | | 5.300% due 5/6/44 | | | | | 105,949 | | |
| | | 250,000 | | | | 4.750% due 5/18/46 | | | | | 246,414 | | |
| | | 500,000 | | | | Citizens Bank NA, Senior Unsecured Notes, 2.250% due 3/2/20 | | | | | 496,234 | | |
| | | 760,000 | | | | Commonwealth Bank of Australia, Senior Unsecured Notes, 2.750% due 3/10/22(b) | | | | | 750,114 | | |
| | | | | | | Cooperatieve Rabobank UA: | | | |||||
| | | | | | | Company Guaranteed Notes: | | | |||||
| | | 500,000 | | | | 3.875% due 2/8/22 | | | | | 510,690 | | |
| | | 250,000 | | | | 3.750% due 7/21/26 | | | | | 241,559 | | |
| | | 250,000 | | | | Senior Unsecured Notes, 2.750% due 1/10/23 | | | | | 245,687 | | |
| | | | | | | Credit Suisse Group Funding Guernsey Ltd., Company Guaranteed Notes: | | | |||||
| | | 500,000 | | | | 3.125% due 12/10/20 | | | | | 498,848 | | |
| | | 250,000 | | | | 3.750% due 3/26/25 | | | | | 247,044 | | |
| | | 250,000 | | | | 4.550% due 4/17/26 | | | | | 256,109 | | |
| | | | | | | Credito Real SAB de CV SOFOM ER: | | | |||||
| | | 700,000 | | | | Company Guaranteed Notes, 9.500% due 2/7/26(b) | | | | | 727,790 | | |
| | | 603,000 | | | | Junior Subordinated Notes, 9.125% (5-Year CMT Index + 7.026%)(a)(f) | | | | | 570,595 | | |
| | | | | | | Crown Castle International Corp., Senior Unsecured Notes: | | | |||||
| | | 300,000 | | | | 4.000% due 3/1/27 | | | | | 294,755 | | |
| | | 570,000 | | | | 4.300% due 2/15/29 | | | | | 571,575 | | |
| | | 1,350,000 | | | | DBS Group Holdings Ltd., Junior Subordinated Notes, 3.600% (5-Year USD Swap Rate + 2.390%)(a)(f) | | | | | 1,320,300 | | |
| | | 500,000 | | | | Deutsche Bank AG, Senior Unsecured Notes, 3.950% due 2/27/23 | | | | | 483,224 | | |
| | | 810,000 | | | | Discover Financial Services, Senior Unsecured Notes, 4.100% due 2/9/27 | | | | | 788,267 | | |
| | | 200,000 | | | | Enstar Group Ltd., Senior Unsecured Notes, 4.500% due 3/10/22 | | | | | 201,119 | | |
| | | 260,000 | | | �� | ESH Hospitality Inc., Company Guaranteed Notes, 5.250% due 5/1/25(b) | | | | | 258,700 | | |
| | | 250,000 | | | | Fifth Third Bancorp, Senior Unsecured Notes, 3.950% due 3/14/28 | | | | | 251,307 | | |
| | | | | | | GE Capital International Funding Co. Unlimited Co., Company Guaranteed Notes: | | | |||||
| | | 250,000 | | | | 3.373% due 11/15/25 | | | | | 240,383 | | |
| | | 250,000 | | | | 4.418% due 11/15/35 | | | | | 225,820 | | |
| | | | | | | Gilex Holding SARL, Senior Secured Notes: | | | |||||
| | | 450,000 | | | | 8.500% due 5/2/23 | | | | | 472,500 | | |
| | | 200,000 | | | | 8.500% due 5/2/23(b) | | | | | 211,740 | | |
| | | | | | | Global Bank Corp., Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 5.125% due 10/30/19 | | | | | 504,250 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 1,200,000 | | | | 4.500% due 10/20/21 | | | | $ | 1,206,360 | | |
| | | | | | | Goldman Sachs Group Inc.: | | | |||||
| | | | | | | Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 2.350% due 11/15/21 | | | | | 489,608 | | |
| | | 200,000 | | | | 5.750% due 1/24/22 | | | | | 213,476 | | |
| | | 500,000 | | | | 3.000% due 4/26/22 | | | | | 496,692 | | |
| | | 465,000 | | | | 3.524% (3-Month USD-LIBOR + 0.780%) due 10/31/22(a) | | | | | 463,484 | | |
| | | 725,000 | | | | 3.854% (3-Month USD-LIBOR + 1.170%) due 5/15/26(a) | | | | | 707,838 | | |
| | | 500,000 | | | | 4.223% (3-Month USD-LIBOR + 1.301%) due 5/1/29(a) | | | | | 501,002 | | |
| | | | | | | Subordinated Notes: | | | |||||
| | | 500,000 | | | | 4.250% due 10/21/25 | | | | | 502,015 | | |
| | | 250,000 | | | | 6.750% due 10/1/37 | | | | | 297,326 | | |
| | | 250,000 | | | | 5.150% due 5/22/45 | | | | | 251,805 | | |
| | | 400,000 | | | | Grupo Aval Ltd., Company Guaranteed Notes, 4.750% due 9/26/22 | | | | | 396,800 | | |
| | | 350,000 | | | | Host Hotels & Resorts LP, Senior Unsecured Notes, 3.875% due 4/1/24 | | | | | 343,689 | | |
| | | | | | | HSBC Holdings PLC: | | | |||||
| | | | | | | Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 3.262% (3-Month USD-LIBOR + 1.055%) due 3/13/23(a) | | | | | 496,095 | | |
| | | 250,000 | | | | 4.041% (3-Month USD-LIBOR + 1.546%) due 3/13/28(a) | | | | | 246,941 | | |
| | | | | | | Subordinated Notes: | | | |||||
| | | 250,000 | | | | 6.500% due 5/2/36 | | | | | 296,699 | | |
| | | 250,000 | | | | 5.250% due 3/14/44 | | | | | 265,264 | | |
| | | 500,000 | | | | Huntington National Bank, Senior Unsecured Notes, 2.375% due 3/10/20 | | | | | 497,177 | | |
| | | | | | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., Company Guaranteed Notes: | | | |||||
| | | 230,000 | | | | 6.250% due 2/1/22 | | | | | 236,854 | | |
| | | 150,000 | | | | 6.375% due 12/15/25 | | | | | 154,313 | | |
| | | 300,000 | | | | Industrial Senior Trust, Company Guaranteed Notes, 5.500% due 11/1/22 | | | | | 301,875 | | |
| | | 500,000 | | | | ING Groep NV, Senior Unsecured Notes, 3.150% due 3/29/22 | | | | | 498,196 | | |
| | | 1,300,000 | | | | Itau Unibanco Holding SA, Junior Subordinated Notes, 6.500% (5-Year CMT Index + 3.863%)(a)(f) | | | | | 1,300,000 | | |
| | | 250,000 | | | | Jefferies Group LLC/Jefferies Group Capital Finance Inc., Senior Unsecured Notes, 4.850% due 1/15/27 | | | | | 241,728 | | |
| | | | | | | JPMorgan Chase & Co.: | | | |||||
| | | | | | | Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 4.250% due 10/15/20 | | | | | 254,612 | | |
| | | 1,000,000 | | | | 4.500% due 1/24/22 | | | | | 1,039,928 | | |
| | | 250,000 | | | | 2.972% due 1/15/23 | | | | | 248,496 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 250,000 | | | | 3.782% (3-Month USD-LIBOR + 1.337%) due 2/1/28(a) | | | | $ | 249,605 | | |
| | | 250,000 | | | | 3.509% (3-Month USD-LIBOR + 0.945%) due 1/23/29(a) | | | | | 243,336 | | |
| | | 250,000 | | | | 4.005% (3-Month USD-LIBOR + 1.120%) due 4/23/29(a) | | | | | 252,523 | | |
| | | 250,000 | | | | 3.882% (3-Month USD-LIBOR + 1.360%) due 7/24/38(a) | | | | | 237,110 | | |
| | | 150,000 | | | | 5.400% due 1/6/42 | | | | | 170,587 | | |
| | | 250,000 | | | | 4.260% (3-Month USD-LIBOR + 1.580%) due 2/22/48(a) | | | | | 246,448 | | |
| | | | | | | Subordinated Notes: | | | |||||
| | | 200,000 | | | | 3.875% due 9/10/24 | | | | | 202,310 | | |
| | | 200,000 | | | | 3.625% due 12/1/27 | | | | | 193,440 | | |
| | | 250,000 | | | | KeyBank NA, Senior Unsecured Notes, 3.375% due 3/7/23 | | | | | 251,951 | | |
| | | | | | | Kreditanstalt fuer Wiederaufbau, Government Guaranteed Notes: | | | |||||
| | | 2,000,000 | | | | 1.625% due 3/15/21 | | | | | 1,961,589 | | |
| | | 500,000 | | | | 2.125% due 3/7/22 | | | | | 493,134 | | |
| | | 500,000 | | | | 2.375% due 12/29/22 | | | | | 495,540 | | |
| | | 100,000 | | | | 2.500% due 11/20/24 | | | | | 98,991 | | |
| | | | | | | Landwirtschaftliche Rentenbank, Government Guaranteed Notes: | | | |||||
| | | 250,000 | | | | 2.375% due 6/10/25 | | | | | 244,847 | | |
| | | 75,000 | | | | 1.750% due 7/27/26 | | | | | 69,656 | | |
| | | 250,000 | | | | Lincoln National Corp., Senior Unsecured Notes, 3.800% due 3/1/28 | | | | | 245,721 | | |
| | | 135,000 | | | | Lions Gate Capital Holdings LLC, Company Guaranteed Notes, 6.375% due 2/1/24(b) | | | | | 137,403 | | |
| | | | | | | Lloyds Banking Group PLC: | | | |||||
| | | 1,000,000 | | | | Senior Unsecured Notes, 3.100% due 7/6/21 | | | | | 995,678 | | |
| | | 200,000 | | | | Subordinated Notes, 4.344% due 1/9/48 | | | | | 172,204 | | |
| | | | | | | Macquarie Group Ltd., Senior Unsecured Notes: | | | |||||
| | | 520,000 | | | | 3.189% (3-Month USD-LIBOR + 1.023%) due 11/28/23(a)(b) | | | | | 506,197 | | |
| | | 635,000 | | | | 4.150% (3-Month USD-LIBOR + 1.330%) due 3/27/24(a)(b) | | | | | 637,976 | | |
| | | 1,700,000 | | | | Malayan Banking Bhd, Subordinated Notes, 3.905% (5-Year USD Swap Rate + 2.542%) due 10/29/26(a) | | | | | 1,685,720 | | |
| | | 250,000 | | | | Manulife Financial Corp., Subordinated Notes, 4.061% (5-Year USD 1100 Run ICE Swap Rate + 1.647%) due 2/24/32(a) | | | | | 239,097 | | |
| | | 250,000 | | | | Mastercard Inc., Senior Unsecured Notes, 3.950% due 2/26/48 | | | | | 251,293 | | |
| | | 150,000 | | | | MetLife Inc., Senior Unsecured Notes, 4.600% due 5/13/46 | | | | | 155,489 | | |
| | | | | | | MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer Inc., Company Guaranteed Notes: | | | |||||
| | | 85,000 | | | | 5.750% due 2/1/27(b) | | | | | 87,019 | | |
| | | 170,000 | | | | 4.500% due 1/15/28 | | | | | 159,745 | | |
| | | 250,000 | | | | Mid-America Apartments LP, Senior Unsecured Notes, 3.750% due 6/15/24 | | | | | 250,641 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | | | | | | Mitsubishi UFJ Financial Group Inc., Senior Unsecured Notes: | | | |||||
| | $ | 500,000 | | | | 2.998% due 2/22/22 | | | | $ | 497,025 | | |
| | | 580,000 | | | | 3.355% (3-Month USD-LIBOR + 0.740%) due 3/2/23(a) | | | | | 577,661 | | |
| | | | | | | Mizuho Financial Group Inc., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 2.953% due 2/28/22 | | | | | 247,325 | | |
| | | 250,000 | | | | 3.663% due 2/28/27 | | | | | 251,023 | | |
| | | | | | | Morgan Stanley: | | | |||||
| | | | | | | Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 2.625% due 11/17/21 | | | | | 493,196 | | |
| | | 500,000 | | | | 3.125% due 1/23/23 | | | | | 495,994 | | |
| | | 1,120,000 | | | | 3.737% (3-Month USD-LIBOR + 0.847%) due 4/24/24(a) | | | | | 1,129,759 | | |
| | | 250,000 | | | | 3.591% (3-Month USD-LIBOR + 1.340%) due 7/22/28(a) | | | | | 242,716 | | |
| | | 250,000 | | | | 3.772% (3-Month USD-LIBOR + 1.140%) due 1/24/29(a) | | | | | 246,062 | | |
| | | 250,000 | | | | 6.375% due 7/24/42 | | | | | 314,082 | | |
| | | 250,000 | | | | Subordinated Notes, 4.350% due 9/8/26 | | | | | 251,022 | | |
| | | | | | | MPT Operating Partnership LP/MPT Finance Corp., Company Guaranteed Notes: | | | |||||
| | | 35,000 | | | | 5.250% due 8/1/26 | | | | | 35,438 | | |
| | | 260,000 | | | | 5.000% due 10/15/27 | | | | | 258,050 | | |
| | | 250,000 | | | | National Australia Bank Ltd., Senior Unsecured Notes, 3.375% due 1/14/26 | | | | | 245,549 | | |
| | | 250,000 | | | | National Rural Utilities Cooperative Finance Corp., Collateral Trust, 3.050% due 2/15/22 | | | | | 249,998 | | |
| | | 105,000 | | | | Nationstar Mortgage Holdings Inc., Company Guaranteed Notes, 8.125% due 7/15/23(b) | | | | | 106,838 | | |
| | | 205,000 | | | | Navient Corp., Senior Unsecured Notes, 6.500% due 6/15/22 | | | | | 210,125 | | |
| | | 405,000 | | | | New York Life Global Funding, Secured Notes, 2.300% due 6/10/22(b) | | | | | 394,129 | | |
| | | 235,000 | | | | NFP Corp., Senior Unsecured Notes, 6.875% due 7/15/25(b) | | | | | 223,838 | | |
| | | 1,050,000 | | | | Nuveen Finance LLC, Senior Unsecured Notes, 4.125% due 11/1/24(b) | | | | | 1,084,047 | | |
| | | 900,000 | | | | Oesterreichische Kontrollbank AG, Government Guaranteed Notes, 1.500% due 10/21/20 | | | | | 883,344 | | |
| | | 500,000 | | | | PNC Bank NA, Senior Unsecured Notes, 2.625% due 2/17/22 | | | | | 496,010 | | |
| | | 150,000 | | | | PNC Financial Services Group Inc., Subordinated Notes, 3.900% due 4/29/24 | | | | | 152,555 | | |
| | | 150,000 | | | | Progressive Corp., Senior Unsecured Notes, 4.125% due 4/15/47 | | | | | 149,956 | | |
| | | | | | | Prudential Financial Inc.: | | | |||||
| | | 250,000 | | | | Junior Subordinated Notes, 5.625% (3-Month USD-LIBOR + 3.920%) due 6/15/43(a) | | | | | 259,262 | | |
| | | 293,000 | | | | Senior Unsecured Notes, 3.935% due 12/7/49 | | | | | 272,469 | | |
| | | 200,000 | | | | Regency Centers LP, Company Guaranteed Notes, 4.400% due 2/1/47 | | | | | 190,728 | | |
| | | | | | | Royal Bank of Canada: | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 250,000 | | | | Senior Unsecured Notes, 2.125% due 3/2/20 | | | | $ | 248,284 | | |
| | | 250,000 | | | | Subordinated Notes, 4.650% due 1/27/26 | | | | | 261,397 | | |
| | | | | | | Royal Bank of Scotland Group PLC, Senior Unsecured Notes: | | | |||||
| | | 1,040,000 | | | | 3.498% (3-Month USD-LIBOR + 1.480%) due 5/15/23(a) | | | | | 1,025,455 | | |
| | | 250,000 | | | | 4.892% (3-Month USD-LIBOR + 1.754%) due 5/18/29(a) | | | | | 251,879 | | |
| | | 200,000 | | | | Sabra Health Care LP, Company Guaranteed Notes, 5.125% due 8/15/26 | | | | | 190,104 | | |
| | | | | | | Santander Holdings USA Inc., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 3.700% due 3/28/22 | | | | | 249,847 | | |
| | | 595,000 | | | | 3.400% due 1/18/23 | | | | | 584,024 | | |
| | | 250,000 | | | | Santander UK Group Holdings PLC, Senior Unsecured Notes, 3.373% (3-Month USD-LIBOR + 1.080%) due 1/5/24(a) | | | | | 242,576 | | |
| | | 1,500,000 | | | | SBA Tower Trust, Asset Backed, 3.168% due 4/11/22(b) | | | | | 1,483,716 | | |
| | | | | | | Simon Property Group LP, Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 2.350% due 1/30/22 | | | | | 490,869 | | |
| | | 100,000 | | | | 3.375% due 10/1/24 | | | | | 100,320 | | |
| | | | | | | SPARC EM SPC Panama Metro Line 2 SP, Senior Secured Notes: | | | |||||
| | | 939,579 | | | | zero coupon, due 12/5/22(b) | | | | | 859,715 | | |
| | | 683,330 | | | | zero coupon, due 12/5/22 | | | | | 625,254 | | |
| | | 225,000 | | | | Springleaf Finance Corp., Company Guaranteed Notes, 7.125% due 3/15/26 | | | | | 227,813 | | |
| | | | | | | Sumitomo Mitsui Financial Group Inc., Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 2.934% due 3/9/21 | | | | | 497,813 | | |
| | | 250,000 | | | | 2.778% due 10/18/22 | | | | | 245,316 | | |
| | | 250,000 | | | | 3.102% due 1/17/23 | | | | | 247,808 | | |
| | | 720,000 | | | | 3.513% (3-Month USD-LIBOR + 0.740%) due 1/17/23(a) | | | | | 717,312 | | |
| | | 100,000 | | | | 2.632% due 7/14/26 | | | | | 93,736 | | |
| | | 800,000 | | | | SURA Asset Management SA, Company Guaranteed Notes, 4.875% due 4/17/24 | | | | | 823,008 | | |
| | | | | | | Synchrony Bank, Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 3.650% due 5/24/21 | | | | | 251,077 | | |
| | | 350,000 | | | | 3.000% due 6/15/22 | | | | | 339,394 | | |
| | | 1,950,000 | | | | Temasek Financial I Ltd., Company Guaranteed Notes, 2.375% due 1/23/23 | | | | | 1,905,400 | | |
| | | 245,000 | | | | Tempo Acquisition LLC/Tempo Acquisition Finance Corp., Senior Unsecured Notes, 6.750% due 6/1/25(b) | | | | | 247,450 | | |
| | | 125,000 | | | | Travelers Cos., Inc., Senior Unsecured Notes, 5.350% due 11/1/40 | | | | | 145,843 | | |
| | | | | | | Unifin Financiera SAB de CV SOFOM ENR: | | | |||||
| | | 200,000 | | | | Senior Unsecured Notes, 7.375% due 2/12/26 | | | | | 180,350 | | |
| | | 1,700,000 | | | | Subordinated Notes, 8.875% (5-Year CMT Index + 6.308%)(a)(f) | | | | | 1,460,300 | | |
| | | 400,000 | | | | Union Bank of the Philippines, Senior Unsecured Notes, 3.369% due 11/29/22 | | | | | 391,003 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | | | | | | United Overseas Bank Ltd.: | | | |||||
| | $ | 500,000 | | | | Junior Subordinated Notes, 3.875% (5-Year USD Swap Rate + 1.794%)(a)(f) | | | | $ | 472,060 | | |
| | | 1,000,000 | | | | Subordinated Notes, 3.500% (5-Year USD Swap Rate + 2.236%) due 9/16/26(a) | | | | | 998,884 | | |
| | | 750,000 | | | | US Bancorp, Senior Unsecured Notes, 2.625% due 1/24/22 | | | | | 746,555 | | |
| | | 100,000 | | | | Ventas Realty LP, Company Guaranteed Notes, 4.375% due 2/1/45 | | | | | 92,620 | | |
| | | | | | | Visa Inc., Senior Unsecured Notes: | | | |||||
| | | 750,000 | | | | 2.800% due 12/14/22 | | | | | 750,216 | | |
| | | 100,000 | | | | 4.150% due 12/14/35 | | | | | 104,845 | | |
| | | | | | | Wells Fargo & Co.: | | | |||||
| | | | | | | Senior Unsecured Notes: | | | |||||
| | | 1,000,000 | | | | 2.625% due 7/22/22 | | | | | 980,836 | | |
| | | 800,000 | | | | 3.069% due 1/24/23 | | | | | 794,691 | | |
| | | 250,000 | | | | 3.000% due 4/22/26 | | | | | 239,472 | | |
| | | 300,000 | | | | 3.000% due 10/23/26 | | | | | 286,051 | | |
| | | 910,000 | | | | 3.584% (3-Month USD-LIBOR + 1.310%) due 5/22/28(a) | | | | | 898,097 | | |
| | | | | | | Subordinated Notes: | | | |||||
| | | 250,000 | | | | 4.400% due 6/14/46 | | | | | 239,833 | | |
| | | 150,000 | | | | 4.750% due 12/7/46 | | | | | 151,438 | | |
| | | 1,095,000 | | | | Welltower Inc., Senior Unsecured Notes, 4.125% due 3/15/29 | | | | | 1,089,365 | | |
| | | 300,000 | | | | Western Union Co., Senior Unsecured Notes, 3.600% due 3/15/22 | | | | | 302,601 | | |
| | | | | | | Westpac Banking Corp., Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 3.650% due 5/15/23 | | | | | 507,539 | | |
| | | 1,170,000 | | | | 3.300% due 2/26/24 | | | | | 1,165,199 | | |
| | | 250,000 | | | | 3.350% due 3/8/27 | | | | | 244,653 | | |
| | | 250,000 | | | | Weyerhaeuser Co., Senior Unsecured Notes, 4.625% due 9/15/23 | | | | | 257,525 | | |
| | | | | | | Total Financial | | | | | 105,636,845 | | |
| Government – 0.4% | | ||||||||||||
| | | 500,000 | | | | African Development Bank, Senior Unsecured Notes, 1.875% due 3/16/20 | | | | | 494,842 | | |
| | | 1,500,000 | | | | Asian Development Bank, Senior Unsecured Notes, 2.000% due 2/16/22 | | | | | 1,473,844 | | |
| | | | | | | European Investment Bank, Senior Unsecured Notes: | | | |||||
| | | 2,000,000 | | | | 1.750% due 5/15/20 | | | | | 1,978,634 | | |
| | | 750,000 | | | | 1.375% due 6/15/20 | | | | | 737,889 | | |
| | | | | | | Inter-American Development Bank: | | | |||||
| | | 500,000 | | | | Senior Unsecured Notes, 2.375% due 7/7/27 | | | | | 482,718 | | |
| | | 1,000,000 | | | | Unsecured Notes, 2.625% due 4/19/21 | | | | | 999,364 | | |
| | | 500,000 | | | | International Finance Corp., Senior Unsecured Notes, 1.750% due 3/30/20 | | | | | 495,192 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Government – (continued) | | ||||||||||||
| | $ | 500,000 | | | | Malaysia Sovereign Sukuk Bhd, Unsecured Notes, 3.043% due 4/22/25 | | | | $ | 493,500 | | |
| | | 500,000 | | | | Svensk Exportkredit AB, Senior Unsecured Notes, 2.375% due 3/9/22 | | | | | 495,399 | | |
| | | | | | | Total Government | | | | | 7,651,382 | | |
| Industrial – 1.2% | | ||||||||||||
| | | 500,000 | | | | 3M Co., Senior Unsecured Notes, 2.750% due 3/1/22 | | | | | 499,860 | | |
| | | 200,000 | | | | Aeropuerto Internacional de Tocumen SA, Senior Secured Notes, 5.625% due 5/18/36 | | | | | 207,250 | | |
| | | 200,000 | | | | Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Company Guaranteed Notes, 6.000% due 2/15/25(b) | | | | | 197,500 | | |
| | | 615,000 | | | | Arrow Electronics Inc., Senior Unsecured Notes, 3.875% due 1/12/28 | | | | | 574,444 | | |
| | | | | | | Avolon Holdings Funding Ltd., Company Guaranteed Notes: | | | |||||
| | | 175,000 | | | | 5.125% due 10/1/23(b) | | | | | 176,750 | | |
| | | 315,000 | | | | 5.250% due 5/15/24(b) | | | | | 322,875 | | |
| | | | | | | Boeing Co., Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 2.125% due 3/1/22 | | | | | 489,933 | | |
| | | 250,000 | | | | 3.650% due 3/1/47 | | | | | 236,163 | | |
| | | 85,000 | | | | Bombardier Inc., Senior Unsecured Notes, 7.875% due 4/15/27(b)(e) | | | | | 84,359 | | |
| | | 355,000 | | | | Builders FirstSource Inc., Senior Secured Notes, 5.625% due 9/1/24(b) | | | | | 346,569 | | |
| | | | | | | Burlington Northern Santa Fe LLC, Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 3.250% due 6/15/27 | | | | | 248,344 | | |
| | | 250,000 | | | | 4.125% due 6/15/47 | | | | | 248,289 | | |
| | | 500,000 | | | | Caterpillar Financial Services Corp., Senior Unsecured Notes, 1.700% due 8/9/21 | | | | | 485,853 | | |
| | | | | | | Caterpillar Inc., Senior Unsecured Notes: | | | |||||
| | | 1,045,000 | | | | 3.400% due 5/15/24 | | | | | 1,065,593 | | |
| | | 100,000 | | | | 3.803% due 8/15/42 | | | | | 95,869 | | |
| | | | | | | Cie de Chemin de Fer Canadien Pacifique: | | | |||||
| | | 250,000 | | | | Company Guaranteed Notes, 4.000% due 6/1/28 | | | | | 256,253 | | |
| | | 100,000 | | | | Senior Unsecured Notes, 2.900% due 2/1/25 | | | | | 96,728 | | |
| | | 479,000 | | | | CIMPOR Financial Operations BV, Company Guaranteed Notes, 5.750% due 7/17/24 | | | | | 428,705 | | |
| | | | | | | Colfax Corp., Company Guaranteed Notes: | | | |||||
| | | 100,000 | | | | 6.000% due 2/15/24(b) | | | | | 103,500 | | |
| | | 70,000 | | | | 6.375% due 2/15/26(b) | | | | | 73,062 | | |
| | | 135,000 | | | | Crown Americas LLC/Crown Americas Capital Corp. IV, Company Guaranteed Notes, 4.500% due 1/15/23 | | | | | 136,350 | | |
| | | 275,000 | | | | Crown Americas LLC/Crown Americas Capital Corp. VI, Company Guaranteed Notes, 4.750% due 2/1/26 | | | | | 276,325 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Industrial – (continued) | | ||||||||||||
| | | | | | | CSX Corp., Senior Unsecured Notes: | | | |||||
| | $ | 250,000 | | | | 2.600% due 11/1/26 | | | | $ | 231,466 | | |
| | | 250,000 | | | | 4.500% due 8/1/54 | | | | | 239,973 | | |
| | | 200,000 | | | | Embraer Netherlands Finance BV, Company Guaranteed Notes, 5.400% due 2/1/27 | | | | | 216,100 | | |
| | | 135,000 | | | | Energizer Holdings Inc., Company Guaranteed Notes, 7.750% due 1/15/27(b) | | | | | 143,944 | | |
| | | | | | | FedEx Corp., Company Guaranteed Notes: | | | |||||
| | | 400,000 | | | | 3.300% due 3/15/27 | | | | | 383,594 | | |
| | | 530,000 | | | | 4.750% due 11/15/45 | | | | | 511,163 | | |
| | | 250,000 | | | | 4.400% due 1/15/47 | | | | | 229,089 | | |
| | | 200,000 | | | | Fideicomiso PA Pacifico Tres, Senior Secured Notes, 8.250% due 1/15/35 | | | | | 212,500 | | |
| | | 140,000 | | | | Flex Acquisition Co., Inc., Senior Unsecured Notes, 6.875% due 1/15/25(b) | | | | | 132,300 | | |
| | | 135,000 | | | | frontdoor Inc., Senior Unsecured Notes, 6.750% due 8/15/26(b) | | | | | 137,194 | | |
| | | 350,000 | | | | GATX Corp., Senior Unsecured Notes, 3.850% due 3/30/27 | | | | | 336,909 | | |
| | | 500,000 | | | | General Dynamics Corp., Company Guaranteed Notes, 2.875% due 5/11/20 | | | | | 500,617 | | |
| | | | | | | General Electric Co., Senior Unsecured Notes: | | | |||||
| | | 235,000 | | | | 5.875% due 1/14/38 | | | | | 246,200 | | |
| | | 150,000 | | | | 4.125% due 10/9/42 | | | | | 126,523 | | |
| | | 400,000 | | | | 4.500% due 3/11/44 | | | | | 358,067 | | |
| | | 500,000 | | | | Honeywell International Inc., Senior Unsecured Notes, 1.850% due 11/1/21 | | | | | 488,926 | | |
| | | 125,000 | | | | Jeld-Wen Inc., Company Guaranteed Notes, 4.625% due 12/15/25(b) | | | | | 117,656 | | |
| | | | | | | John Deere Capital Corp., Senior Unsecured Notes: | | | |||||
| | | 750,000 | | | | 2.200% due 3/13/20 | | | | | 745,313 | | |
| | | 250,000 | | | | 2.800% due 9/8/27 | | | | | 238,740 | | |
| | | 200,000 | | | | Johnson Controls International PLC, Senior Unsecured Notes, 4.500% due 2/15/47 | | | | | 180,583 | | |
| | | 600,000 | | | | JSL Europe SA, Company Guaranteed Notes, 7.750% due 7/26/24 | | | | | 606,000 | | |
| | | 65,000 | | | | Kratos Defense & Security Solutions Inc., Senior Secured Notes, 6.500% due 11/30/25(b) | | | | | 67,356 | | |
| | | | | | | Lockheed Martin Corp., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 3.550% due 1/15/26 | | | | | 254,128 | | |
| | | 250,000 | | | | 4.700% due 5/15/46 | | | | | 269,421 | | |
| | | | | | | Masonite International Corp., Company Guaranteed Notes: | | | |||||
| | | 65,000 | | | | 5.625% due 3/15/23(b) | | | | | 66,137 | | |
| | | 155,000 | | | | 5.750% due 9/15/26(b) | | | | | 155,000 | | |
| | | | | | | Norfolk Southern Corp., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 2.900% due 6/15/26 | | | | | 240,435 | | |
| | | 350,000 | | | | 3.800% due 8/1/28 | | | | | 352,192 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Industrial – (continued) | | ||||||||||||
| | | | | | | Northrop Grumman Corp., Senior Unsecured Notes: | | | |||||
| | $ | 200,000 | | | | 2.550% due 10/15/22 | | | | $ | 196,465 | | |
| | | 100,000 | | | | 4.030% due 10/15/47 | | | | | 93,597 | | |
| | | 250,000 | | | | Owens Corning, Senior Unsecured Notes, 3.400% due 8/15/26 | | | | | 230,141 | | |
| | | | | | | Parker-Hannifin Corp., Senior Unsecured Notes: | | | |||||
| | | 300,000 | | | | 3.250% due 3/1/27 | | | | | 290,325 | | |
| | | 150,000 | | | | 4.100% due 3/1/47 | | | | | 146,601 | | |
| | | | | | | Penske Truck Leasing Co. LP/PTL Finance Corp., Senior Unsecured Notes: | | | |||||
| | | 40,000 | | | | 3.400% due 11/15/26(b) | | | | | 37,092 | | |
| | | 225,000 | | | | 4.200% due 4/1/27(b) | | | | | 219,576 | | |
| | | 60,000 | | | | Resideo Funding Inc., Company Guaranteed Notes, 6.125% due 11/1/26(b) | | | | | 61,500 | | |
| | | 100,000 | | | | Rockwell Collins Inc., Senior Unsecured Notes, 3.200% due 3/15/24 | | | | | 98,031 | | |
| | | 570,000 | | | | Roper Technologies Inc., Senior Unsecured Notes, 4.200% due 9/15/28 | | | | | 573,152 | | |
| | | 300,000 | | | | Ryder System Inc., Senior Unsecured Notes, 2.800% due 3/1/22 | | | | | 294,120 | | |
| | | 135,000 | | | | Stevens Holding Co., Inc., Company Guaranteed Notes, 6.125% due 10/1/26(b) | | | | | 137,700 | | |
| | | 300,000 | | | | Tech Data Corp., Senior Unsecured Notes, 3.700% due 2/15/22 | | | | | 296,860 | | |
| | | 200,000 | | | | Tecnoglass Inc., Company Guaranteed Notes, 8.200% due 1/31/22 | | | | | 209,500 | | |
| | | 225,000 | | | | Tervita Escrow Corp., Secured Notes, 7.625% due 12/1/21(b) | | | | | 224,438 | | |
| | | | | | | TransDigm Inc.: | | | |||||
| | | 110,000 | | | | Company Guaranteed Notes, 6.375% due 6/15/26 | | | | | 106,975 | | |
| | | 85,000 | | | | Senior Secured Notes, 6.250% due 3/15/26(b) | | | | | 87,125 | | |
| | | 179,000 | | | | Triumph Group Inc., Company Guaranteed Notes, 7.750% due 8/15/25 | | | | | 170,050 | | |
| | | | | | | Union Pacific Corp., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 3.350% due 8/15/46 | | | | | 207,483 | | |
| | | 590,000 | | | | 4.300% due 3/1/49 | | | | | 574,804 | | |
| | | 125,000 | | | | 3.875% due 2/1/55 | | | | | 107,694 | | |
| | | | | | | United Technologies Corp., Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 2.300% due 5/4/22 | | | | | 488,222 | | |
| | | 250,000 | | | | 3.750% due 11/1/46 | | | | | 219,902 | | |
| | | 200,000 | | | | Votorantim Cimentos International SA, Company Guaranteed Notes, 7.250% due 4/5/41 | | | | | 219,000 | | |
| | | 100,000 | | | | Vulcan Materials Co., Senior Unsecured Notes, 4.500% due 6/15/47 | | | | | 85,994 | | |
| | | 115,000 | | | | Waste Pro USA Inc., Senior Unsecured Notes, 5.500% due 2/15/26(b) | | | | | 111,550 | | |
| | | 530,000 | | | | WRKCo Inc., Company Guaranteed Notes, 3.750% due 3/15/25 | | | | | 519,860 | | |
| | | | | | | Total Industrial | | | | | 20,445,857 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Technology – 0.7% | | ||||||||||||
| | | | | | | Apple Inc., Senior Unsecured Notes: | | | |||||
| | $ | 75,000 | | | | 2.850% due 5/6/21 | | | | $ | 75,156 | | |
| | | 500,000 | | | | 2.850% due 2/23/23 | | | | | 499,713 | | |
| | | 300,000 | | | | 2.400% due 5/3/23 | | | | | 294,255 | | |
| | | 250,000 | | | | 3.000% due 2/9/24 | | | | | 250,488 | | |
| | | 250,000 | | | | 3.350% due 2/9/27 | | | | | 249,923 | | |
| | | 250,000 | | | | 3.000% due 6/20/27 | | | | | 243,513 | | |
| | | 250,000 | | | | 4.250% due 2/9/47 | | | | | 255,722 | | |
| | | 250,000 | | | | 3.750% due 11/13/47 | | | | | 236,453 | | |
| | | 100,000 | | | | Applied Materials Inc., Senior Unsecured Notes, 4.350% due 4/1/47 | | | | | 100,240 | | |
| | | | | | | Ascend Learning LLC, Senior Unsecured Notes: | | | |||||
| | | 205,000 | | | | 6.875% due 8/1/25(b) | | | | | 199,619 | | |
| | | 85,000 | | | | 6.875% due 8/1/25(b) | | | | | 83,300 | | |
| | | 70,000 | | | | Banff Merger Sub Inc., Senior Unsecured Notes, 9.750% due 9/1/26(b) | | | | | 67,812 | | |
| | | | | | | Broadcom Corp./Broadcom Cayman Finance Ltd., Company Guaranteed Notes: | | | |||||
| | | 500,000 | | | | 3.000% due 1/15/22 | | | | | 490,721 | | |
| | | 100,000 | | | | 3.625% due 1/15/24 | | | | | 97,182 | | |
| | | 300,000 | | | | CA Inc., Senior Unsecured Notes, 3.600% due 8/15/22 | | | | | 298,065 | | |
| | | 180,000 | | | | Camelot Finance SA, Senior Unsecured Notes, 7.875% due 10/15/24(b) | | | | | 187,922 | | |
| | | 95,000 | | | | CDK Global Inc., Senior Unsecured Notes, 5.875% due 6/15/26 | | | | | 97,969 | | |
| | | | | | | Dell International LLC/EMC Corp., Senior Secured Notes: | | | |||||
| | | 100,000 | | | | 5.450% due 6/15/23(b) | | | | | 105,078 | | |
| | | 600,000 | | | | 6.020% due 6/15/26(b) | | | | | 636,286 | | |
| | | | | | | DXC Technology Co., Senior Unsecured Notes: | | | |||||
| | | 300,000 | | | | 2.875% due 3/27/20 | | | | | 298,805 | | |
| | | 393,000 | | | | 4.750% due 4/15/27 | | | | | 392,167 | | |
| | | 150,000 | | | | Fidelity National Information Services Inc., Senior Unsecured Notes, 4.750% due 5/15/48 | | | | | 139,487 | | |
| | | 265,000 | | | | First Data Corp., Secured Notes, 5.750% due 1/15/24(b) | | | | | 273,504 | | |
| | | 210,000 | | | | Genesys Telecommunications Laboratories Inc./Greeneden Lux 3 SARL/Greeneden US Holdings II LLC, Company Guaranteed Notes, 10.000% due 11/30/24(b) | | | | | 229,425 | | |
| | | | | | | Hewlett Packard Enterprise Co., Senior Unsecured Notes: | | | |||||
| | | 100,000 | | | | 3.600% due 10/15/20 | | | | | 100,526 | | |
| | | 150,000 | | | | 6.200% due 10/15/35 | | | | | 154,439 | | |
| | | 230,000 | | | | Informatica LLC, Senior Unsecured Notes, 7.125% due 7/15/23(b) | | | | | 232,903 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Technology – (continued) | | ||||||||||||
| | | | | | | Intel Corp., Senior Unsecured Notes: | | | |||||
| | $ | 500,000 | | | | 2.700% due 12/15/22 | | | | $ | 497,352 | | |
| | | 250,000 | | | | 4.100% due 5/19/46 | | | | | 250,405 | | |
| | | | | | | International Business Machines Corp., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 2.500% due 1/27/22 | | | | | 246,669 | | |
| | | 250,000 | | | | 3.300% due 1/27/27 | | | | | 248,358 | | |
| | | 100,000 | | | | 4.000% due 6/20/42 | | | | | 95,287 | | |
| | | 125,000 | | | | KLA-Tencor Corp., Senior Unsecured Notes, 4.650% due 11/1/24 | | | | | 131,136 | | |
| | | | | | | Microsoft Corp., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 2.400% due 2/6/22 | | | | | 248,165 | | |
| | | 250,000 | | | | 2.875% due 2/6/24 | | | | | 250,065 | | |
| | | 250,000 | | | | 3.300% due 2/6/27 | | | | | 251,411 | | |
| | | 250,000 | | | | 3.450% due 8/8/36 | | | | | 242,673 | | |
| | | 750,000 | | | | 4.250% due 2/6/47 | | | | | 798,758 | | |
| | | | | | | Oracle Corp., Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 1.900% due 9/15/21 | | | | | 488,430 | | |
| | | 100,000 | | | | 2.950% due 11/15/24 | | | | | 98,674 | | |
| | | 500,000 | | | | 2.650% due 7/15/26 | | | | | 474,797 | | |
| | | 250,000 | | | | 3.850% due 7/15/36 | | | | | 242,234 | | |
| | | 250,000 | | | | 4.000% due 7/15/46 | | | | | 239,561 | | |
| | | 200,000 | | | | 4.000% due 11/15/47 | | | | | 191,744 | | |
| | | | | | | QUALCOMM Inc., Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 3.000% due 5/20/22 | | | | | 497,683 | | |
| | | 100,000 | | | | 4.650% due 5/20/35 | | | | | 97,807 | | |
| | | 80,000 | | | | Riverbed Technology Inc., Company Guaranteed Notes, 8.875% due 3/1/23(b) | | | | | 55,789 | | |
| | | 400,000 | | | | Seagate HDD Cayman, Company Guaranteed Notes, 4.250% due 3/1/22 | | | | | 399,341 | | |
| | | 120,000 | | | | Solera LLC/Solera Finance Inc., Senior Unsecured Notes, 10.500% due 3/1/24(b) | | | | | 130,050 | | |
| | | 225,000 | | | | Sophia LP/Sophia Finance Inc., Senior Unsecured Notes, 9.000% due 9/30/23(b) | | | | | 232,313 | | |
| | | | | | | Total Technology | | | | | 12,699,375 | | |
| Utilities – 1.4% | | ||||||||||||
| | | 1,300,000 | | | | AES Andres BV/Dominican Power Partners/Empresa Generadora de Electricidad It, Company Guaranteed Notes, 7.950% due 5/11/26 | | | | | 1,358,513 | | |
| | | 100,000 | | | | Ameren Illinois Co., 1st Mortgage Notes, 3.700% due 12/1/47 | | | | | 94,360 | | |
| | | 250,000 | | | | American Water Capital Corp., Senior Unsecured Notes, 3.750% due 9/1/28 | | | | | 251,945 | | |
| | | | | | | Berkshire Hathaway Energy Co., Senior Unsecured Notes: | | | |||||
| | | 200,000 | | | | 6.125% due 4/1/36 | | | | | 242,709 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Utilities – (continued) | | ||||||||||||
| | $ | 250,000 | | | | 5.150% due 11/15/43 | | | | $ | 276,236 | | |
| | | 75,000 | | | | Calpine Corp., Senior Unsecured Notes, 5.750% due 1/15/25 | | | | | 71,719 | | |
| | | 250,000 | | | | CenterPoint Energy Inc., Senior Unsecured Notes, 3.850% due 2/1/24 | | | | | 250,569 | | |
| | | 200,000 | | | | Colbun SA, Senior Unsecured Notes, 3.950% due 10/11/27 | | | | | 192,752 | | |
| | | 1,776,600 | | | | Cometa Energia SA de CV, Senior Secured Notes, 6.375% due 4/24/35 | | | | | 1,692,212 | | |
| | | | | | | Commonwealth Edison Co., 1st Mortgage Notes: | | | |||||
| | | 150,000 | | | | 3.750% due 8/15/47 | | | | | 140,291 | | |
| | | 150,000 | | | | 4.000% due 3/1/48 | | | | | 146,984 | | |
| | | 250,000 | | | | Consolidated Edison Co. of New York Inc., Senior Unsecured Notes, 3.950% due 3/1/43 | | | | | 236,435 | | |
| | | 500,000 | | | | Consolidated Edison Inc., Senior Unsecured Notes, 2.000% due 3/15/20 | | | | | 496,135 | | |
| | | 150,000 | | | | DTE Electric Co., General and Refunding Mortgage Bonds, 3.750% due 8/15/47 | | | | | 142,147 | | |
| | | | | | | Duke Energy Corp., Senior Unsecured Notes: | | | |||||
| | | 1,705,000 | | | | 2.650% due 9/1/26 | | | | | 1,588,541 | | |
| | | 350,000 | | | | 3.750% due 9/1/46 | | | | | 313,604 | | |
| | | 250,000 | | | | Duke Energy Progress LLC, 1st Mortgage Notes, 6.300% due 4/1/38 | | | | | 311,636 | | |
| | | 273,900 | | | | Empresa Electrica Angamos SA, Senior Secured Notes, 4.875% due 5/25/29 | | | | | 273,903 | | |
| | | 900,000 | | | | Empresa Electrica Guacolda SA, Senior Unsecured Notes, 4.560% due 4/30/25 | | | | | 840,813 | | |
| | | | | | | Energuate Trust, Company Guaranteed Notes: | | | |||||
| | | 200,000 | | | | 5.875% due 5/3/27(b) | | | | | 191,000 | | |
| | | 200,000 | | | | 5.875% due 5/3/27 | | | | | 191,002 | | |
| | | 600,000 | | | | Engie Energia Chile SA, Senior Unsecured Notes, 5.625% due 1/15/21 | | | | | 623,190 | | |
| | | 200,000 | | | | Entergy Louisiana LLC, Collateral Trust, 4.000% due 3/15/33 | | | | | 202,966 | | |
| | | 100,000 | | | | Eversource Energy, Senior Unsecured Notes, 2.900% due 10/1/24 | | | | | 97,151 | | |
| | | 500,000 | | | | Exelon Generation Co. LLC, Senior Unsecured Notes, 3.400% due 3/15/22 | | | | | 500,316 | | |
| | | 500,000 | | | | FirstEnergy Corp., Senior Unsecured Notes, 3.900% due 7/15/27 | | | | | 495,027 | | |
| | | | | | | Florida Power & Light Co., 1st Mortgage Notes: | | | |||||
| | | 250,000 | | | | 3.125% due 12/1/25 | | | | | 250,287 | | |
| | | 150,000 | | | | 3.950% due 3/1/48 | | | | | 149,149 | | |
| | | 550,000 | | | | Fortis Inc., Senior Unsecured Notes, 2.100% due 10/4/21 | | | | | 531,425 | | |
| | | | | | | Georgia Power Co., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 2.000% due 3/30/20 | | | | | 247,317 | | |
| | | 250,000 | | | | 3.250% due 3/30/27 | | | | | 234,034 | | |
| | | 1,000,000 | | | | Inkia Energy Ltd., Senior Unsecured Notes, 5.875% due 11/9/27 | | | | | 965,010 | | |
| | | 200,000 | | | | Israel Electric Corp., Ltd, Senior Secured Notes, 5.000% due 11/12/24(b) | | | | | 207,900 | | |
| | | 600,000 | | | | LLPL Capital Pte Ltd., Senior Secured Notes, 6.875% due 2/4/39(b) | | | | | 617,099 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Utilities – (continued) | | ||||||||||||
| | $ | 774,630 | | | | Mexico Generadora de Energia S de rl, Senior Secured Notes, 5.500% due 12/6/32 | | | | $ | 766,884 | | |
| | | 500,000 | | | | MidAmerican Energy Co., 1st Mortgage Notes, 3.100% due 5/1/27 | | | | | 488,665 | | |
| | | 200,000 | | | | Minejesa Capital BV, Senior Secured Notes, 4.625% due 8/10/30 | | | | | 188,044 | | |
| | | 250,000 | | | | NextEra Energy Capital Holdings Inc., Company Guaranteed Notes, 3.550% due 5/1/27 | | | | | 243,979 | | |
| | | | | | | NiSource Inc., Senior Unsecured Notes: | | | |||||
| | | 150,000 | | | | 3.490% due 5/15/27 | | | | | 145,311 | | |
| | | 100,000 | | | | 4.375% due 5/15/47 | | | | | 96,630 | | |
| | | 250,000 | | | | Northern States Power Co., 1st Mortgage Notes, 3.600% due 5/15/46 | | | | | 233,489 | | |
| | | 100,000 | | | | Oncor Electric Delivery Co. LLC, Senior Secured Notes, 5.300% due 6/1/42 | | | | | 116,442 | | |
| | | 600,000 | | | | Orazul Energy Egenor S en C por A, Company Guaranteed Notes, 5.625% due 4/28/27 | | | | | 570,000 | | |
| | | 1,300,000 | | | | Pampa Energia SA, Senior Unsecured Notes, 7.500% due 1/24/27 | | | | | 1,171,560 | | |
| | | 250,000 | | | | PECO Energy Co., 1st Ref Notes, 4.150% due 10/1/44 | | | | | 249,670 | | |
| | | | | | | PPL Capital Funding Inc., Company Guaranteed Notes: | | | |||||
| | | 100,000 | | | | 3.400% due 6/1/23 | | | | | 99,222 | | |
| | | 250,000 | | | | 3.100% due 5/15/26 | | | | | 235,105 | | |
| | | 125,000 | | | | PSEG Power LLC, Company Guaranteed Notes, 3.000% due 6/15/21 | | | | | 123,789 | | |
| | | 200,000 | | | | Public Service Electric & Gas Co., 1st Mortgage Notes, 4.050% due 5/1/48 | | | | | 201,724 | | |
| | | 100,000 | | | | Public Service Enterprise Group Inc., Senior Unsecured Notes, 2.650% due 11/15/22 | | | | | 97,652 | | |
| | | 150,000 | | | | Puget Sound Energy Inc., 1st Mortgage Notes, 4.223% due 6/15/48 | | | | | 152,405 | | |
| | | 100,000 | | | | San Diego Gas & Electric Co., 1st Mortgage Notes, 6.000% due 6/1/39 | | | | | 113,601 | | |
| | | 125,000 | | | | Sempra Energy, Senior Unsecured Notes, 4.050% due 12/1/23 | | | | | 125,287 | | |
| | | | | | | Southern California Edison Co., 1st Ref Notes: | | | |||||
| | | 125,000 | | | | 4.050% due 3/15/42 | | | | | 115,652 | | |
| | | 250,000 | | | | 4.000% due 4/1/47 | | | | | 225,789 | | |
| | | 150,000 | | | | Southern California Gas Co., 1st Mortgage Notes, 3.150% due 9/15/24 | | | | | 146,516 | | |
| | | 250,000 | | | | Southern Co., Senior Unsecured Notes, 4.400% due 7/1/46 | | | | | 239,802 | | |
| | | 150,000 | | | | Southern Co. Gas Capital Corp, Company Guaranteed Notes, 4.400% due 5/30/47 | | | | | 144,732 | | |
| | | 250,000 | | | | Southwestern Electric Power Co., Senior Unsecured Notes, 3.900% due 4/1/45 | | | | | 226,384 | | |
| | | 100,000 | | | | Southwestern Public Service Co., 1st Mortgage Notes, 4.500% due 8/15/41 | | | | | 103,114 | | |
| | | 393,200 | | | | Star Energy Geothermal Wayang Windu Ltd., Senior Secured Notes, 6.750% due 4/24/33 | | | | | 386,647 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Utilities – (continued) | | ||||||||||||
| | $ | 1,011,798 | | | | Stoneway Capital Corp., Senior Secured Notes, 10.000% due 3/1/27 | | | | $ | 1,005,474 | | |
| | | 200,000 | | | | Transelec SA, Senior Unsecured Notes, 4.625% due 7/26/23 | | | | | 203,500 | | |
| | | | | | | Virginia Electric & Power Co., Senior Unsecured Notes: | | | |||||
| | | 100,000 | | | | 2.950% due 1/15/22 | | | | | 99,369 | | |
| | | 250,000 | | | | 3.500% due 3/15/27 | | | | | 248,813 | | |
| | | 250,000 | | | | 4.000% due 1/15/43 | | | | | 237,656 | | |
| | | | | | | Vistra Operations Co. LLC: | | | |||||
| | | 130,000 | | | | Company Guaranteed Notes, 5.500% due 9/1/26(b) | | | | | 134,875 | | |
| | | 110,000 | | | | Senior Unsecured Notes, 5.625% due 2/15/27(b) | | | | | 113,300 | | |
| | | | | | | Total Utilities | | | | | 23,475,459 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Cost – $340,517,249) | | | | | 336,067,822 | | |
| MORTGAGE-BACKED SECURITIES – 18.5% | | ||||||||||||
| FHLMC – 4.2% | | ||||||||||||
| | | | | | | Federal Home Loan Mortgage Corp. (FHLMC), Gold: | | | |||||
| | | 3,496,398 | | | | 2.500% due 2/1/32 | | | | | 3,431,531 | | |
| | | 150,000 | | | | 2.500% due 3/1/49(i) | | | | | 142,260 | | |
| | | 19,571,143 | | | | 3.000% due 3/1/32 – 1/1/46 | | | | | 19,298,334 | | |
| | | 35,995,141 | | | | 3.500% due 6/1/33 – 2/1/48 | | | | | 36,169,303 | | |
| | | 446,000 | | | | 3.500% due 3/15/34(i) | | | | | 453,282 | | |
| | | 7,042,154 | | | | 4.000% due 5/1/46 – 1/1/49 | | | | | 7,222,933 | | |
| | | 1,644,000 | | | | 4.000% due 3/1/49(i) | | | | | 1,676,468 | | |
| | | 3,955,792 | | | | 4.500% due 9/1/46 – 11/1/48 | | | | | 4,122,867 | | |
| | | 244,038 | | | | 5.000% due 10/1/48 | | | | | 256,457 | | |
| | | | | | | TOTAL FHLMC | | | | | 72,773,435 | | |
| FNMA – 11.7% | | ||||||||||||
| | | | | | | Federal National Mortgage Association (FNMA): | | | |||||
| | | 1,700,000 | | | | 2.490% due 9/1/28 | | | | | 1,596,322 | | |
| | | 22,299,586 | | | | 2.500% due 1/1/32 – 2/1/47 | | | | | 21,293,648 | | |
| | | 225,000 | | | | 2.500% due 3/1/49(i) | | | | | 213,416 | | |
| | | 61,409,960 | | | | 3.000% due 2/1/32 – 3/1/47 | | | | | 60,309,989 | | |
| | | 89,812 | | | | 3.000% due 2/1/33 | | | | | 89,743 | | |
| | | 169,679 | | | | 3.000% due 12/1/33 | | | | | 169,422 | | |
| | | 56,695,662 | | | | 3.500% due 7/1/26 – 4/1/48 | | | | | 56,950,328 | | |
| | | 44,615,460 | | | | 4.000% due 7/1/26 – 1/1/49 | | | | | 45,636,276 | | |
| | | 235,000 | | | | 4.000% due 3/1/34(i) | | | | | 240,992 | | |
| | | 999,487 | | | | 4.000% due 2/1/49 | | | | | 1,019,471 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
| FNMA – (continued) | | ||||||||||||
| | $ | 8,555,677 | | | | 4.500% due 5/1/48 – 2/1/49 | | | | $ | 8,858,167 | | |
| | | 6,348,336 | | | | 5.000% due 4/1/40 – 3/1/47 | | | | | 6,787,230 | | |
| | | | | | | TOTAL FNMA | | | | | 203,165,004 | | |
| GNMA – 2.6% | | ||||||||||||
| | | | | | | Government National Mortgage Association II (GNMA): | | | |||||
| | | 450,013 | | | | 2.500% due 1/20/47 | | | | | 431,258 | | |
| | | 11,244,924 | | | | 3.000% due 6/20/46 – 7/20/46 | | | | | 11,116,789 | | |
| | | 17,315,786 | | | | 3.500% due 5/20/43 – 12/20/47 | | | | | 17,473,043 | | |
| | | 9,481,269 | | | | 4.000% due 9/20/45 – 9/20/48 | | | | | 9,758,655 | | |
| | | 775,000 | | | | 4.000% due 3/20/49(i) | | | | | 795,268 | | |
| | | 5,342,986 | | | | 4.500% due 2/20/47 – 1/20/49 | | | | | 5,533,903 | | |
| | | 700,288 | | | | 5.000% due 3/20/48 – 11/20/48 | | | | | 732,218 | | |
| | | | | | | TOTAL GNMA | | | | | 45,841,134 | | |
| | | | | | | TOTAL MORTGAGE-BACKED SECURITIES (Cost – $324,849,873) | | | | | 321,779,573 | | |
| ASSET-BACKED SECURITIES – 7.8% | | ||||||||||||
| | | 3,134,216 | | | | AASET US Ltd., Series 2018-1A, Class A, 3.844% due 1/16/38(b) | | | | | 3,117,477 | | |
| | | 500,000 | | | | Americredit Automobile Receivables Trust, Series 2018-1, Class D, 3.820% due 3/18/24 | | | | | 504,785 | | |
| | | 500,000 | | | | Assurant CLO III Ltd., Series 2018-2A, Class A, 3.991% (3-Month USD-LIBOR + 1.230%) due 10/20/31(a)(b) | | | | | 494,400 | | |
| | | 5,073,562 | | | | Bayview Opportunity Master Fund IVa Trust, Series 2018-RN6, Class A1, step bond to yield, 4.090% due 7/25/33(b) | | | | | 5,067,145 | | |
| | | 1,865,300 | | | | Castlelake Aircraft Securitization Trust, Series 2018-1, Class A, 4.125% due 6/15/43(b) | | | | | 1,862,239 | | |
| | | 500,000 | | | | CBAM Ltd., Series 2018-6A, Class A, 3.727% (3-Month USD-LIBOR + 0.940%) due 7/15/31(a)(b) | | | | | 494,013 | | |
| | | 1,000,000 | | | | CFIP CLO Ltd., Series 2014-1A, Class AR, 4.117% (3-Month USD-LIBOR + 1.320%) due 7/13/29(a)(b) | | | | | 997,910 | | |
| | | | | | | Citibank Credit Card Issuance Trust: | | | |||||
| | | 200,000 | | | | Series 2017-A3, Class A3, 1.920% due 4/7/22 | | | | | 198,153 | | |
| | | 600,000 | | | | Series 2018-A6, Class A6, 3.210% due 12/7/24 | | | | | 607,962 | | |
| | | 9,564,534 | | | | CSMC Trust, Series 2018-RPL8, Class A1, 4.125% due 7/25/58(a)(b) | | | | | 9,557,613 | | |
| | | 1,000,000 | | | | CVP CLO Ltd., Series 2017-1A, Class A, 4.101% (3-Month USD-LIBOR + 1.340%) due 7/20/30(a)(b) | | | | | 998,385 | | |
| | | 1,000,000 | | | | Elevation CLO Ltd., Series 2014-2A, Class A1R, 4.017% (3-Month USD-LIBOR + 1.230%) due 10/15/29(a)(b) | | | | | 995,477 | | |
| | | 800,000 | | | | Flatiron CLO 17 Ltd., Series 2017-1A, Class B, 4.284% (3-Month USD-LIBOR + 1.600%) due 5/15/30(a)(b) | | | | | 793,000 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 750,000 | | | | Ford Credit Auto Owner Trust, Series 2017-C, Class A4, 2.160% due 3/15/23 | | | | $ | 738,997 | | |
| | | 5,042,715 | | | | GCAT LLC, Series 2017-2, Class A1, step bond to yield, 3.500% due 4/25/47(b) | | | | | 5,014,966 | | |
| | | 1,199,000 | | | | GPMT Ltd., Series 2019-FL2, Class A, 3.800% (1-Month USD-LIBOR + 1.300%) due 2/22/36(a)(b) | | | | | 1,201,246 | | |
| | | 4,637,234 | | | | Helios Issuer LLC, Series 2017-1A, Class A, 4.940% due 9/20/49(b) | | | | | 4,723,827 | | |
| | | 529,000 | | | | Hunt CRE Ltd., Series 2018-FL2, Class A, 3.569% (1-Month USD-LIBOR + 1.080%) due 8/15/28(a)(b) | | | | | 526,355 | | |
| | | | | | | Invitation Homes Trust: | | | |||||
| | | 2,240,000 | | | | Series 2018-SFR1, Class C, 3.731% (1-Month USD-LIBOR + 1.250%) due 3/17/37(a)(b) | | | | | 2,213,749 | | |
| | | 1,425,000 | | | | Series 2018-SFR1, Class D, 3.931% (1-Month USD-LIBOR + 1.450%) due 3/17/37(a)(b) | | | | | 1,413,383 | | |
| | | 985,000 | | | | Jimmy Johns Funding LLC, Series 2017-1A, Class A2II, 4.846% due 7/30/47(b) | | | | | 994,574 | | |
| | | 1,127,000 | | | | KREF Ltd., Series 2018-FL1, Class A, 3.589% (1-Month USD-LIBOR + 1.100%) due 6/15/36(a)(b) | | | | | 1,125,476 | | |
| | | 1,000,000 | | | | LCM XV LP, Series 15A, Class DR, 6.461% (3-Month USD-LIBOR + 3.700%) due 7/20/30(a)(b) | | | | | 985,533 | | |
| | | 1,000,000 | | | | Madison Park Funding XI Ltd., Series 2013-11A, Class AR, 3.932% (3-Month USD-LIBOR + 1.160%) due 7/23/29(a)(b) | | | | | 998,022 | | |
| | | 1,000,000 | | | | Marathon CLO V Ltd., Series 2013-5A, Class A1R, 3.511% (3-Month USD-LIBOR + 0.870%) due 11/21/27(a)(b) | | | | | 990,500 | | |
| | | 2,000,000 | | | | Marathon CLO VII Ltd., Series 2014-7A, Class A1R, 4.085% (3-Month USD-LIBOR + 1.320%) due 10/28/25(a)(b) | | | | | 2,000,372 | | |
| | | 1,000,000 | | | | Marble Point CLO XIV Ltd., Series 2018-2A, Class A1, 4.052% (3-Month USD-LIBOR + 1.330%) due 1/20/32(a)(b) | | | | | 998,975 | | |
| | | | | | | Marlette Funding Trust: | | | |||||
| | | 51,241 | | | | Series 2017-2A, Class A, 2.390% due 7/15/24(b) | | | | | 51,227 | | |
| | | 365,769 | | | | Series 2018-1A, Class A, 2.610% due 3/15/28(b) | | | | | 364,901 | | |
| | | 1,500,000 | | | | Midocean Credit CLO VII, Series 2017-7A, Class A1, 4.107% (3-Month USD-LIBOR + 1.320%) due 7/15/29(a)(b) | | | | | 1,498,476 | | |
| | | 1,000,000 | | | | MP CLO III Ltd., Series 2013-1A, Class AR, 4.011% (3-Month USD-LIBOR + 1.250%) due 10/20/30(a)(b) | | | | | 995,139 | | |
| | | 1,000,000 | | | | MP CLO IV Ltd., Series 2013-2A, Class ARR, 4.051% (3-Month USD-LIBOR + 1.280%) due 7/25/29(a)(b) | | | | | 996,875 | | |
| | | 500,000 | | | | Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class A, 3.637% (3-Month USD-LIBOR + 0.850%) due 1/15/28(a)(b) | | | | | 495,908 | | |
| | | 1,861,854 | | | | Nissan Auto Receivables Owner Trust, Series 2017-A, Class A3, 1.740% due 8/16/21 | | | | | 1,850,858 | | |
| | | 500,000 | | | | Northwoods Capital XI-B Ltd., Series 2018-11BA, Class A1, 3.861% (3-Month USD-LIBOR + 1.100%) due 4/19/31(a)(b) | | | | | 490,250 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 1,000,000 | | | | Northwoods Capital XVI Ltd., Series 2017-16A, Class A, 3.954% (3-Month USD-LIBOR + 1.270%) due 11/15/30(a)(b) | | | | $ | 992,386 | | |
| | | 9,183,550 | | | | Oak Hill Advisors Residential Loan Trust, Series 2017-NPL2, Class A1, step bond to yield, 3.000% due 7/25/57(b) | | | | | 9,008,658 | | |
| | | 15,028,412 | | | | Option One Mortgage Loan Trust, Series 2007-6, Class 1A1, 2.680% (1-Month USD-LIBOR + 0.190%) due 7/25/37(a) | | | | | 13,558,642 | | |
| | | 633,225 | | | | Palmer Square Loan Funding Ltd., Series 2017-1A, Class A1, 3.527% (3-Month USD-LIBOR + 0.740%) due 10/15/25(a)(b) | | | | | 629,817 | | |
| | | 8,213,639 | | | | PRPM LLC, Series 2017-2A, Class A1, step bond to yield, 3.470% due 9/25/22(b) | | | | | 8,184,395 | | |
| | | 1,000,000 | | | | Regatta XI Funding Ltd., Series 2018-1A, Class B, 4.423% (3-Month USD-LIBOR + 1.650%) due 7/17/31(a)(b) | | | | | 976,617 | | |
| | | 1,000,000 | | | | Rockford Tower CLO Ltd., Series 2017-3A, Class A, 3.951% (3-Month USD-LIBOR + 1.190%) due 10/20/30(a)(b) | | | | | 990,418 | | |
| | | 1,000,000 | | | | Sofi Professional Loan Program Trust, Series 2018-B, Class BFX, 3.830% due 8/25/47(b) | | | | | 984,446 | | |
| | | 500,000 | | | | Sound Point CLO XXI Ltd., Series 2018-3A, Class A1A, 3.594% (3-Month USD-LIBOR + 1.180%) due 10/26/31(a)(b) | | | | | 493,098 | | |
| | | 1,000,000 | | | | Steele Creek CLO Ltd., Series 2015-1A, Class AR, 3.901% (3-Month USD-LIBOR + 1.260%) due 5/21/29(a)(b) | | | | | 998,634 | | |
| | | 1,000,000 | | | | Symphony CLO XV Ltd., Series 2014-15A, Class AR2, 4.103% (3-Month USD-LIBOR + 1.260%) due 1/17/32(a)(b) | | | | | 1,001,324 | | |
| | | 1,995,000 | | | | Taco Bell Funding LLC, Series 2018-1A, Class A2I, 4.318% due 11/25/48(b) | | | | | 2,027,479 | | |
| | | 1,252,300 | | | | Textainer Marine Containers V Ltd., Series 2017-1A, Class A, 3.720% due 5/20/42(b) | | | | | 1,246,304 | | |
| | | 1,000,000 | | | | THL Credit Wind River CLO Ltd., Series 2014-2A, Class AR, 3.927% (3-Month USD-LIBOR + 1.140%) due 1/15/31(a)(b) | | | | | 987,500 | | |
| | | 500,000 | | | | Vibrant CLO X Ltd., Series 2018-10A, Class A1, 3.638% (3-Month USD-LIBOR + 1.200%) due 10/20/31(a)(b) | | | | | 495,769 | | |
| | | 10,252,400 | | | | VOLT LXXII LLC, Series 2018-NPL8, Class A1A, step bond to yield, 4.213% due 10/26/48(b) | | | | | 10,191,361 | | |
| | | 10,623,831 | | | | WaMu Asset-Backed Certificates WaMu Trust, Series 2007-HE4, Class 1A, 2.660% (1-Month USD-LIBOR + 0.170%) due 7/25/47(a) | | | | | 8,168,406 | | |
| | | 14,949,815 | | | | Washington Mutural Asset-Backed Certificates WMABS Trust, Series 2006-HE3, Class 1A, 2.645% (1-Month USD-LIBOR + 0.155%) due 8/25/36(a) | | | | | 13,830,700 | | |
| | �� | | | | | Wellfleet CLO Ltd.: | | | |||||
| | | 1,000,000 | | | | Series 2017-2A, Class A1, 4.011% (3-Month USD-LIBOR + 1.250%) due 10/20/29(a)(b) | | | | | 998,172 | | |
| | | 1,000,000 | | | | Series 2017-3A, Class A1, 3.923% (3-Month USD-LIBOR + 1.150%) due 1/17/31(a)(b) | | | | | 987,881 | | |
| | | 500,000 | | | | Series 2018-2A, Class A1, 3.638% (3-Month USD-LIBOR + 1.200%) due 10/20/31(a)(b) | | | | | 495,874 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 1,000,000 | | | | Zais CLO 5 Ltd., Series 2016-2A, Class A1, 4.317% (3-Month USD-LIBOR + 1.530%) due 10/15/28(a)(b) | | | | $ | 998,194 | | |
| | | | | | | TOTAL ASSET-BACKED SECURITIES (Cost – $133,192,435) | | | | | 134,604,243 | | |
| SENIOR LOANS(a) – 3.2% | | ||||||||||||
| | | 25,000 | | | | 8th Avenue Food & Provisions Inc., 6.264% (1-Month USD-LIBOR + 3.750%) due 10/1/25 | | | | | 25,031 | | |
| | | 115,000 | | | | Acadia Healthcare Co., Inc., due 2/16/23(j) | | | | | 114,533 | | |
| | | 581,873 | | | | Access CIG LLC, 6.243% (1-Month USD-LIBOR + 3.750%) due 2/27/25 | | | | | 575,083 | | |
| | | 95,000 | | | | Achilles Acquisition LLC, 6.500% (1-Month USD-LIBOR + 4.000%) due 10/13/25(d) | | | | | 94,406 | | |
| | | | | | | Acrisure LLC: | | | |||||
| | | 79,600 | | | | 6.379% (3-Month USD-LIBOR + 3.750%) due 11/22/23 | | | | | 79,202 | | |
| | | 378,831 | | | | 6.879% (3-Month USD-LIBOR + 4.250%) due 11/22/23 | | | | | 378,831 | | |
| | | 100,000 | | | | Agiliti Health, Inc., 5.563% (1-Month USD-LIBOR + 3.000%) due 1/4/26(d) | | | | | 99,875 | | |
| | | 287,907 | | | | Air Medical Group Holdings Inc., 5.744% (1-Month USD-LIBOR + 3.250%) due 4/28/22 | | | | | 278,610 | | |
| | | 255,000 | | | | Air Methods Corp., 6.303% (3-Month USD-LIBOR + 3.500%) due 4/22/24 | | | | | 206,231 | | |
| | | 149,620 | | | | Albertson’s LLC, 5.479% (1-Month USD-LIBOR + 3.000%) due 6/22/23 | | | | | 148,742 | | |
| | | 78,543 | | | | Alera Group Intermediate Holdings Inc., due 8/1/25(d)(j) | | | | | 78,739 | | |
| | | 194,025 | | | | Aleris International Inc., 7.243% (1-Month USD-LIBOR + 4.750%) due 2/27/23 | | | | | 194,268 | | |
| | | 175,000 | | | | Allied Universal Holdco LLC, 6.743% (1-Month USD-LIBOR + 4.250%) due 7/28/22 | | | | | 172,520 | | |
| | | 159,700 | | | | Altice France SA, due 8/14/26(j) | | | | | 155,109 | | |
| | | 75,000 | | | | American Airlines Inc., 4.489% (1-Month USD-LIBOR + 2.000%) due 12/14/23 | | | | | 73,735 | | |
| | | 247,252 | | | | American Tire Distributors Inc., 10.129% (3-Month USD-LIBOR + 7.500%) due 9/2/24 | | | | | 224,072 | | |
| | | 143,437 | | | | Applied Systems Inc., 5.493% (1-Month USD-LIBOR + 3.000%) due 9/19/24 | | | | | 142,137 | | |
| | | 140,000 | | | | ASP Unifrax Holdings Inc., 6.528% (3-Month USD-LIBOR + 3.750%) due 12/12/25 | | | | | 133,263 | | |
| | | 585,522 | | | | AssuredPartners Inc., 5.743% (1-Month USD-LIBOR + 3.250%) due 10/22/24 | | | | | 579,666 | | |
| | | | | | | Asurion LLC: | | | |||||
| | | 180,833 | | | | due 11/3/23(j) | | | | | 180,672 | | |
| | | 115,000 | | | | 8.993% (1-Month USD-LIBOR + 6.500%) due 8/4/25 | | | | | 116,701 | | |
| | | 375,000 | | | | athenahealth Inc., due 2/11/26(j) | | | | | 372,656 | | |
| | | 195,000 | | | | Auris Luxembourg III SARL, due 2/27/26(j) | | | | | 194,756 | | |
| | | 319,150 | | | | Avantor Inc., 6.572% (3-Month USD-LIBOR + 3.750%) due 11/21/24 | | | | | 319,721 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(a) – (continued) | | ||||||||||||
| | $ | 504,615 | | | | Avaya Inc., 6.780% (2-Month USD-LIBOR + 4.250%) due 12/15/24 | | | | $ | 503,737 | | |
| | | 182,568 | | | | Axalta Coating Systems Dutch Holding B B.V., due 6/1/24(j) | | | | | 180,566 | | |
| | | 49,874 | | | | Bass Pro Group LLC, 7.493% (1-Month USD-LIBOR + 5.000%) due 9/25/24 | | | | | 49,708 | | |
| | | | | | | Bausch Health Cos., Inc.: | | | |||||
| | | 56,929 | | | | 5.512% (1-Month USD-LIBOR + 3.000%) due 6/2/25 | | | | | 56,957 | | |
| | | 173,250 | | | | 5.262% (1-Month USD-LIBOR + 2.750%) due 11/27/25 | | | | | 172,687 | | |
| | | 253,725 | | | | BCP Renaissance Parent LLC, 6.244% (3-Month USD-LIBOR + 3.500%) due 10/31/24 | | | | | 253,672 | | |
| | | 15,000 | | | | Belfor Holdings Inc., due 2/13/26(j) | | | | | 15,113 | | |
| | | 26,700 | | | | Berry Global Inc., 4.610% (2-Month USD-LIBOR + 2.000%) due 10/1/22 | | | | | 26,610 | | |
| | | 414,785 | | | | BJ’s Wholesale Club Inc., 5.498% (1-Month USD-LIBOR + 3.000%) due 2/3/24 | | | | | 413,317 | | |
| | | 269,050 | | | | Blackhawk Network Holdings Inc., due 6/15/25(j) | | | | | 266,193 | | |
| | | 405,000 | | | | Boxer Parent Co., Inc., 7.053% (3-Month USD-LIBOR + 4.250%) due 10/2/25 | | | | | 402,315 | | |
| | | 144,666 | | | | Brand Energy & Infrastructure Services Inc., 6.957% (3-Month USD-LIBOR + 4.250%) due 6/21/24 | | | | | 141,072 | | |
| | | 283,575 | | | | Brazos Delaware II LLC, 6.482% (1-Month USD-LIBOR + 4.000%) due 5/21/25 | | | | | 271,702 | | |
| | | 390,047 | | | | Bright Bidco BV, 6.203% (3-Month USD-LIBOR + 3.500%) due 6/30/24 | | | | | 316,773 | | |
| | | 245,000 | | | | Brookfield WEC Holdings Inc., 6.243% (1-Month USD-LIBOR + 3.750%) due 8/1/25 | | | | | 245,230 | | |
| | | 284,567 | | | | BWay Holding Co., 6.033% (3-Month USD-LIBOR + 3.250%) due 4/3/24 | | | | | 278,574 | | |
| | | 120,000 | | | | Cabot Microelectronics Corp., 4.750% (1-Month USD-LIBOR + 2.250%) due 11/14/25(d) | | | | | 119,550 | | |
| | | 465,476 | | | | Canyon Valor Cos., Inc., 5.553% (3-Month USD-LIBOR + 2.750%) due 6/16/23 | | | | | 459,309 | | |
| | | 590,702 | | | | Capri Acquisitions BidCo Ltd., 5.994% (3-Month USD-LIBOR + 3.250%) due 11/1/24(d) | | | | | 581,351 | | |
| | | 330,209 | | | | CBS Radio Inc., 5.243% (1-Month USD-LIBOR + 2.750%) due 11/18/24 | | | | | 328,145 | | |
| | | 244,931 | | | | Cengage Learning Inc., due 6/7/23(j) | | | | | 225,718 | | |
| | | 297,236 | | | | CenturyLink Inc., 5.243% (1-Month USD-LIBOR + 2.750%) due 1/31/25 | | | | | 292,462 | | |
| | | 182,372 | | | | Change Healthcare Holdings Inc., due 3/1/24(j) | | | | | 180,918 | | |
| | | 278,600 | | | | CHG PPC Parent LLC, 5.243% (1-Month USD-LIBOR + 2.750%) due 3/31/25 | | | | | 275,814 | | |
| | | 448,875 | | | | Cincinnati Bell Inc., 5.743% (1-Month USD-LIBOR + 3.250%) due 10/2/24 | | | | | 445,028 | | |
| | | 308,677 | | | | ClubCorp Holdings Inc., 5.553% (3-Month USD-LIBOR + 2.750%) due 9/18/24 | | | | | 299,031 | | |
| | | 255,000 | | | | Commscope Inc., due 2/6/26(j) | | | | | 255,638 | | |
| | | 558,005 | | | | Compass Power Generation LLC, 5.993% (1-Month USD-LIBOR + 3.500%) due 12/20/24 | | | | | 556,437 | | |
| | | 243,426 | | | | Covia Holdings Corp., 6.553% (3-Month USD-LIBOR + 3.750%) due 6/1/25 | | | | | 210,685 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(a) – (continued) | | ||||||||||||
| | $ | 45,000 | | | | CPM Holdings Inc., 6.243% (1-Month USD-LIBOR + 3.750%) due 11/17/25(d) | | | | $ | 44,410 | | |
| | | 55,000 | | | | CSC Holdings LLC, 4.739% (1-Month USD-LIBOR + 2.250%) due 1/15/26 | | | | | 54,257 | | |
| | | | | | | CSC Holdings, LLC: | | | |||||
| | | 150,000 | | | | 4.739% (1-Month USD-LIBOR + 2.250%) due 7/17/25 | | | | | 147,964 | | |
| | | 170,000 | | | | due 4/15/27(j) | | | | | 169,703 | | |
| | | 374,583 | | | | CSM Bakery Solutions Ltd., 6.800% (3-Month USD-LIBOR + 4.000%) due 7/3/20(d) | | | | | 351,482 | | |
| | | 436,575 | | | | Cvent Inc., 6.243% (1-Month USD-LIBOR + 3.750%) due 11/29/24 | | | | | 430,027 | | |
| | | 271,945 | | | | CVS Holdings I LP, 5.250% (1-Month USD-LIBOR + 2.750%) due 2/6/25(d) | | | | | 267,357 | | |
| | | | | | | Cyxtera DC Holdings Inc.: | | | |||||
| | | 586,913 | | | | 5.520% (1-Month USD-LIBOR + 3.000%) due 5/1/24 | | | | | 578,843 | | |
| | | 50,000 | | | | 9.770% (1-Month USD-LIBOR + 7.250%) due 5/1/25 | | | | | 45,350 | | |
| | | 570,936 | | | | Deerfield Dakota Holding LLC, 5.743% (1-Month USD-LIBOR + 3.250%) due 2/13/25 | | | | | 559,877 | | |
| | | 181,400 | | | | Dell International LLC, due 9/7/23(j) | | | | | 180,695 | | |
| | | | | | | Dentalcorp of Canada ULC: | | | |||||
| | | 38,125 | | | | 5.582% (1-Month USD-LIBOR + 3.750%) due 6/6/25(d) | | | | | 37,720 | | |
| | | 206,960 | | | | 6.243% (1-Month USD-LIBOR + 3.750%) due 6/6/25(d) | | | | | 204,762 | | |
| | | 272,791 | | | | Digicel International Finance Ltd., 5.880% (3-Month USD-LIBOR + 3.250%) due 5/27/24 | | | | | 240,964 | | |
| | | 85,000 | | | | Dun & Bradstreet Corp., due 2/6/26(j) | | | | | 85,021 | | |
| | | 75,000 | | | | Dynasty Acquisition Co., Inc., due 1/23/26(j) | | | | | 75,179 | | |
| | | 227,000 | | | | Dynatrace LLC, 5.743% (1-Month USD-LIBOR + 3.250%) due 8/22/25 | | | | | 225,770 | | |
| | | 511,138 | | | | EAB Global Inc., 6.407% (3-Month USD-LIBOR + 3.750%) due 11/15/24 | | | | | 495,803 | | |
| | | | | | | Edelman Financial Center LLC: | | | |||||
| | | 355,000 | | | | 6.037% (3-Month USD-LIBOR + 3.250%) due 7/21/25 | | | | | 354,261 | | |
| | | 25,000 | | | | 9.537% (3-Month USD-LIBOR + 6.750%) due 7/20/26 | | | | | 24,792 | | |
| | | 213,750 | | | | Edgewater Generation LLC, due 12/13/25(j) | | | | | 212,948 | | |
| | | 587,201 | | | | EG Group Ltd. 6.813% (3-Month USD-LIBOR + 4.000%) due 2/7/25 | | | | | 571,423 | | |
| | | 450,000 | | | | Envision Healthcare Corp., 6.243% (1-Month USD-LIBOR + 3.750%) due 10/10/25 | | | | | 432,171 | | |
| | | 335,480 | | | | Equian Buyer Corp., 5.743% (1-Month USD-LIBOR + 3.250%) due 5/20/24 | | | | | 330,552 | | |
| | | 585,318 | | | | Equinox Holdings Inc., 5.493% (1-Month USD-LIBOR + 3.000%) due 3/8/24 | | | | | 581,221 | | |
| | | 57,220 | | | | Exgen Renewables IV LLC, 5.630% (3-Month USD-LIBOR + 3.000%) due 11/28/24 | | | | | 53,179 | | |
| | | 561,067 | | | | Explorer Holdings Inc., 6.553% (3-Month USD-LIBOR + 3.750%) due 5/2/23 | | | | | 561,067 | | |
| | | 208,425 | | | | Filtration Group Corp., 5.493% (1-Month USD-LIBOR + 3.000%) due 3/29/25 | | | | | 207,539 | | |
| | | 360,000 | | | | Financial & Risk US Holdings Inc., 6.243% (1-Month USD-LIBOR + 3.750%) due 10/1/25 | | | | | 354,280 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(a) – (continued) | | ||||||||||||
| | $ | 357,412 | | | | Flexera Software LLC, 5.750% (1-Month USD-LIBOR + 3.250%) due 2/26/25 | | | | $ | 355,067 | | |
| | | 181,252 | | | | Foresight Energy LLC, 8.379% (3-Month USD-LIBOR + 5.750%) due 3/28/22 | | | | | 178,080 | | |
| | | 175,000 | | | | Forest City Enterprises LP, 6.512% (1-Month USD-LIBOR + 4.000%) due 12/8/25 | | | | | 175,656 | | |
| | | 316,269 | | | | Forterra Finance LLC, 5.493% (1-Month USD-LIBOR + 3.000%) due 10/25/23 | | | | | 293,564 | | |
| | | 93,561 | | | | frontdoor Inc., 5.000% (1-Month USD-LIBOR + 2.500%) due 8/16/25 | | | | | 93,152 | | |
| | | 353,225 | | | | Frontera Generation Holdings LLC, 6.762% (1-Month USD-LIBOR + 4.250%) due 5/2/25(d) | | | | | 347,337 | | |
| | | 319,333 | | | | Gates Global LLC, 5.243% (1-Month USD-LIBOR + 2.750%) due 4/1/24 | | | | | 318,135 | | |
| | | | | | | Gentiva Health Services Inc.: | | | |||||
| | | 424,095 | | | | 6.250% (1-Month USD-LIBOR + 3.750%) due 7/2/25 | | | | | 424,626 | | |
| | | 105,000 | | | | 9.500% (1-Month USD-LIBOR + 7.000%) due 7/2/26 | | | | | 106,706 | | |
| | | 50,000 | | | | Getty Images Inc., 7.063% (1-Month USD-LIBOR + 4.500%) due 2/19/26 | | | | | 49,860 | | |
| | | 355,000 | | | | GOBP Holdings Inc., 6.553% (3-Month USD-LIBOR + 3.750%) due 10/22/25 | | | | | 352,337 | | |
| | | 235,000 | | | | GoodRx Inc., 5.494% (1-Month USD-LIBOR + 3.000%) due 10/10/25 | | | | | 233,310 | | |
| | | 418,347 | | | | Graftech International Ltd., 5.993% (1-Month USD-LIBOR + 3.500%) due 2/12/25 | | | | | 416,778 | | |
| | | 181,685 | | | | Gray Television Inc., due 1/2/26(j) | | | | | 181,095 | | |
| | | 585,443 | | | | Greeneden US Holdings I LLC, 5.743% (1-Month USD-LIBOR + 3.250%) due 12/1/23 | | | | | 578,564 | | |
| | | 426,627 | | | | GTT Communications Inc., due 5/31/25(j) | | | | | 408,056 | | |
| | | 383,288 | | | | Gulf Finance LLC, 7.867% (1/3-Month USD-LIBOR + 5.250%) due 8/25/23 | | | | | 305,672 | | |
| | | 112,656 | | | | GW Honos Security Corp., 6.236% (3-Month USD-LIBOR + 3.500%) due 5/24/24 | | | | | 111,755 | | |
| | | 190,704 | | | | Harbor Freight Tools USA Inc., 4.993% (1-Month USD-LIBOR + 2.500%) due 8/18/23 | | | | | 188,022 | | |
| | | 567,531 | | | | Hayward Industries Inc., 5.993% (1-Month USD-LIBOR + 3.500%) due 8/5/24 | | | | | 559,903 | | |
| | | | | | | Hyland Software Inc.: | | | |||||
| | | 525,000 | | | | due 7/1/24(j) | | | | | 525,656 | | |
| | | 90,000 | | | | 9.493% (1-Month USD-LIBOR + 7.000%) due 7/7/25 | | | | | 89,460 | | |
| | | 349,116 | | | | Informatica LLC, 5.743% (1-Month USD-LIBOR + 3.250%) due 8/5/22 | | | | | 349,116 | | |
| | | 285,000 | | | | Information Resources Inc., 7.129% (3-Month USD-LIBOR + 4.500%) due 12/1/25 | | | | | 280,725 | | |
| | | 589,257 | | | | Intelsat Jackson Holdings SA, 6.229% (1-Month USD-LIBOR + 3.750%) due 11/27/23 | | | | | 588,650 | | |
| | | 184,788 | | | | Intrawest Resorts Holdings Inc., due 7/31/24(j) | | | | | 184,017 | | |
| | | 405,062 | | | | ION Trading Technologies SARL, 6.634% (2-Month USD-LIBOR + 4.000%) due 11/21/24 | | | | | 383,796 | | |
| | | 533,884 | | | | IRB Holding Corp., 5.744% (1-Month USD-LIBOR + 3.250%) due 2/5/25 | | | | | 529,383 | | |
| | | 181,513 | | | | Jaguar Holding Co. I LLC, due 8/18/22(j) | | | | | 180,448 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(a) – (continued) | | ||||||||||||
| | $ | 333,325 | | | | KBR Inc., 6.243% (1-Month USD-LIBOR + 3.750%) due 4/25/25(d) | | | | $ | 333,742 | | |
| | | 179,419 | | | | Kenan Advantage Group Holdings Corp., 5.493% (1-Month USD-LIBOR + 3.000%) due 7/29/22 | | | | | 175,943 | | |
| | | 174,563 | | | | Kindred Healthcare LLC, 7.500% (1-Month USD-LIBOR + 5.000%) due 7/2/25(d) | | | | | 168,889 | | |
| | | 322,781 | | | | Klockner Pentaplast of America Inc., 6.743% (1-Month USD-LIBOR + 4.250%) due 6/30/22 | | | | | 292,520 | | |
| | | 517,446 | | | | Kronos Acquisition Intermediate Inc., due 5/15/23(d)(j) | | | | | 482,947 | | |
| | | 181,306 | | | | Kronos Inc., due 11/1/23(j) | | | | | 180,490 | | |
| | | 181,619 | | | | Life Time Fitness Inc., due 6/10/22(j) | | | | | 180,549 | | |
| | | 193,538 | | | | Lions Gate Capital Holdings LLC, 4.743% (1-Month USD-LIBOR + 2.250%) due 3/24/25 | | | | | 192,450 | | |
| | | 289,113 | | | | LTI Holdings Inc., 5.993% (1-Month USD-LIBOR + 3.500%) due 9/6/25 | | | | | 282,246 | | |
| | | 258,050 | | | | Lucid Energy Group II Borrower LLC, 5.490% (1-Month USD-LIBOR + 3.000%) due 2/17/25 | | | | | 240,402 | | |
| | | 416,079 | | | | Mavis Tire Express Services Corp., due 3/20/25(d)(j) | | | | | 410,878 | | |
| | | 153,093 | | | | McDermott International Inc., 7.493% (1-Month USD-LIBOR + 5.000%) due 5/12/25 | | | | | 147,073 | | |
| | | 184,125 | | | | Meredith Corp., 5.243% (1-Month USD-LIBOR + 2.750%) due 1/31/25 | | | | | 184,048 | | |
| | | 175,000 | | | | Messer Industries LLC, due 10/1/25(j) | | | | | 173,687 | | |
| | | 569,479 | | | | Milacron LLC, 4.993% (1-Month USD-LIBOR + 2.500%) due 9/28/23 | | | | | 561,296 | | |
| | | 375,000 | | | | Millennium Trust Co., LLC, due 2/27/26(j) | | | | | 371,250 | | |
| | | | | | | Misys Ltd.: | | | |||||
| | | 294,060 | | | | 6.303% (3-Month USD-LIBOR + 3.500%) due 6/13/24 | | | | | 290,852 | | |
| | | 115,000 | | | | 10.053% (3-Month USD-LIBOR + 7.250%) due 6/13/25 | | | | | 112,939 | | |
| | | 536,100 | | | | Mitchell International Inc., 5.743% (1-Month USD-LIBOR + 3.250%) due 11/29/24 | | | | | 522,365 | | |
| | | | | | | MLN US HoldCo LLC: | | | |||||
| | | 330,000 | | | | 6.993% (1-Month USD-LIBOR + 4.500%) due 11/30/25 | | | | | 327,627 | | |
| | | 75,000 | | | | 11.243% (1-Month USD-LIBOR + 8.750%) due 11/30/26 | | | | | 73,438 | | |
| | | 154,605 | | | | Monitronics International Inc., 8.303% (3-Month USD-LIBOR + 5.500%) due 9/30/22 | | | | | 135,183 | | |
| | | 182,530 | | | | MPH Acquisition Holdings LLC, due 6/7/23(j) | | | | | 180,522 | | |
| | | 145,000 | | | | NEP Group Inc., 5.743% (1-Month USD-LIBOR + 3.250%) due 10/20/25 | | | | | 144,758 | | |
| | | 501,213 | | | | Oryx Southern Delaware Holdings LLC, 5.743% (1-Month USD-LIBOR + 3.250%) due 2/28/25 | | | | | 485,550 | | |
| | | 45,000 | | | | Outcomes Group Holdings Inc., 6.277% (3-Month USD-LIBOR + 3.500%) due 10/24/25 | | | | | 44,325 | | |
| | | 257,728 | | | | Parexel International Corp., 5.243% (1-Month USD-LIBOR + 2.750%) due 9/27/24 | | | | | 249,996 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(a) – (continued) | | ||||||||||||
| | $ | 461,426 | | | | Peak 10 Holding Corp., 6.303% (3-Month USD-LIBOR + 3.500%) due 8/1/24 | | | | $ | 436,048 | | |
| | | 139,457 | | | | PetSmart Inc., 5.520% (3-Month USD-LIBOR + 3.000%) due 3/11/22 | | | | | 118,728 | | |
| | | 177,380 | | | | Pike Corp., due 3/23/25(j) | | | | | 177,270 | | |
| | | 395,200 | | | | Plantronics Inc., 4.993% (1-Month USD-LIBOR + 2.500%) due 7/2/25 | | | | | 392,978 | | |
| | | 604,220 | | | | Playa Resorts Holding BV, 5.240% (1-Month USD-LIBOR + 2.750%) due 4/29/24 | | | | | 590,124 | | |
| | | 522,624 | | | | Ply Gem Gem Midco Inc., 6.547% (3-Month USD-LIBOR + 3.750%) due 4/12/25 | | | | | 507,599 | | |
| | | 182,602 | | | | PODS LLC, due 12/6/24(j) | | | | | 181,232 | | |
| | | 642,787 | | | | PowerTeam Services LLC, due 3/6/25(j) | | | | | 614,935 | | |
| | | 406,902 | | | | Prime Security Services Borrower LLC, 5.243% (1-Month USD-LIBOR + 2.750%) due 5/2/22 | | | | | 405,547 | | |
| | | 587,680 | | | | Project Alpha Intermediate Holding Inc., 6.370% (3-Month USD-LIBOR + 3.500%) due 4/26/24 | | | | | 571,031 | | |
| | | 406,343 | | | | Radiate Holdco LLC, 5.493% (1-Month USD-LIBOR + 3.000%) due 2/1/24 | | | | | 403,869 | | |
| | | 443,925 | | | | Radiology Partners Inc., 7.421% (2-Month USD-LIBOR + 4.750%) due 7/9/25(d) | | | | | 445,403 | | |
| | | 250,000 | | | | Regionalcare Hospital Partners Holdings Inc., due 11/16/25(j) | | | | | 249,583 | | |
| | | 572,125 | | | | Renaissance Holding Corp., 5.743% (1-Month USD-LIBOR + 3.250%) due 5/30/25 | | | | | 558,062 | | |
| | | 365,186 | | | | RentPath LLC, 7.250% (1-Month USD-LIBOR + 4.750%) due 12/17/21(d) | | | | | 283,475 | | |
| | | 153,823 | | | | Reynolds Group Holdings Inc., 5.243% (1-Month USD-LIBOR + 2.750%) due 2/5/23 | | | | | 153,054 | | |
| | | 70,000 | | | | Schenectady International Group Inc., 7.537% (3-Month USD-LIBOR + 4.750%) due 10/15/25 | | | | | 69,825 | | |
| | | 182,198 | | | | Scientific Games International Inc., due 8/14/24(j) | | | | | 180,475 | | |
| | | | | | | Securus Technologies Holdings Inc.: | | | |||||
| | | 104,000 | | | | due 11/1/24(d)(j) | | | | | 102,310 | | |
| | | 469,504 | | | | 6.993% (1-Month USD-LIBOR + 4.500%) due 11/1/24 | | | | | 466,570 | | |
| | | 205,000 | | | | Sedgwick CMS Holdings Inc., 5.743% (1-Month USD-LIBOR + 3.250%) due 12/31/25 | | | | | 203,903 | | |
| | | 542,744 | | | | Select Medical Corp., 4.990% (1-Month USD-LIBOR + 2.500%) due 3/6/25 | | | | | 537,995 | | |
| | | 455,000 | | | | Severin Acquisition LLC, 5.989% (3-Month USD-LIBOR + 3.250%) due 8/1/25 | | | | | 449,312 | | |
| | | 591,252 | | | | SIWF Holdings Inc., 6.731% (1-Month USD-LIBOR + 4.250%) due 6/15/25 | | | | | 588,296 | | |
| | | 331,028 | | | | SolarWinds Holdings Inc., 5.243% (1-Month USD-LIBOR + 2.750%) due 2/5/24 | | | | | 329,790 | | |
| | | | | | | Solenis Holdings LLC: | | | |||||
| | | 55,000 | | | | 11.129% (3-Month USD-LIBOR + 8.500%) due 6/26/24(d) | | | | | 52,387 | | |
| | | 308,675 | | | | due 6/26/25(j) | | | | | 306,283 | | |
| | | 589,142 | | | | Solera LLC, 5.243% (1-Month USD-LIBOR + 2.750%) due 3/3/23 | | | | | 584,723 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(a) – (continued) | | ||||||||||||
| | $ | 181,435 | | | | Sophia LP, due 9/30/22(j) | | | | $ | 180,811 | | |
| | | 339,337 | | | | Sound Inpatient Physicians Inc., 5.243% (1-Month USD-LIBOR + 2.750%) due 6/27/25 | | | | | 337,640 | | |
| | | 440,288 | | | | Southern Graphics Inc., 5.788% (2-Month USD-LIBOR + 3.250%) due 12/31/22 | | | | | 396,994 | | |
| | | 139,649 | | | | SpeedCast International Ltd., 5.553% (3-Month USD-LIBOR + 2.750%) due 5/15/25(d) | | | | | 135,809 | | |
| | | 54,725 | | | | SRS Distribution Inc., 5.743% (1-Month USD-LIBOR + 3.250%) due 5/23/25 | | | | | 53,574 | | |
| | | 199,497 | | | | SS&C Technologies Holdings Inc., 4.743% (1-Month USD-LIBOR + 2.250%) due 4/16/25 | | | | | 198,561 | | |
| | | 232,063 | | | | Staples Inc., 6.509% (1-Month USD-LIBOR + 4.000%) due 9/12/24 | | | | | 230,234 | | |
| | | 355,000 | | | | Starfruit Finco BV, 5.764% (1-Month USD-LIBOR + 3.250%) due 10/1/25 | | | | | 352,561 | | |
| | | 91,868 | | | | Stars Group Holdings BV, 6.303% (3-Month USD-LIBOR + 3.500%) due 7/10/25 | | | | | 91,836 | | |
| | | 173,177 | | | | Syncreon Global Finance (US) Inc., 6.994% (3-Month USD-LIBOR + 4.250%) due 10/28/20 | | | | | 137,459 | | |
| | | 310,000 | | | | Tempo Acquisition LLC, due 5/1/24(j) | | | | | 309,550 | | |
| | | 325,000 | | | | Tenneco Inc., 5.243% (1-Month USD-LIBOR + 2.750%) due 10/1/25 | | | | | 322,562 | | |
| | | 155,573 | | | | Thor Industries Inc., 6.313% (3-Month USD-LIBOR + 3.750%) due 2/1/26 | | | | | 150,906 | | |
| | | 411,776 | | | | Titan Acquisition Ltd., 5.493% (1-Month USD-LIBOR + 3.000%) due 3/28/25 | | | | | 395,305 | | |
| | | 594,261 | | | | TKC Holdings Inc., 6.250% (1-Month USD-LIBOR + 3.750%) due 2/1/23 | | | | | 587,017 | | |
| | | | | | | Transdigm Inc.: | | | |||||
| | | 305,015 | | | | 4.993% (1-Month USD-LIBOR + 2.500%) due 6/9/23 | | | | | 301,169 | | |
| | | 165,172 | | | | 4.993% (1-Month USD-LIBOR + 2.500%) due 5/30/25 | | | | | 162,694 | | |
| | | 149,250 | | | | Travel Leaders Group LLC, 6.481% (1-Month USD-LIBOR + 4.000%) due 1/25/24 | | | | | 149,623 | | |
| | | 284,288 | | | | Traverse Midstream Partners LLC, 6.600% (3-Month USD-LIBOR + 4.000%) due 9/27/24 | | | | | 284,020 | | |
| | | 294,261 | | | | Uber Technologies Inc., 6.517% (1-Month USD-LIBOR + 4.000%) due 4/4/25 | | | | | 294,261 | | |
| | | 543,885 | | | | UFC Holdings LLC, 5.750% (1-Month USD-LIBOR + 3.250%) due 8/18/23 | | | | | 543,717 | | |
| | | 140,000 | | | | Ultra Resources Inc., 6.481% (1-Month USD-LIBOR + 4.000%) due 4/12/24 | | | | | 125,028 | | |
| | | 257,622 | | | | US Renal Care Inc., 7.053% (3-Month USD-LIBOR + 4.250%) due 12/30/22 | | | | | 257,161 | | |
| | | 311,318 | | | | US Silica Co., 6.500% (1-Month USD-LIBOR + 4.000%) due 5/1/25 | | | | | 294,896 | | |
| | | 89,773 | | | | Vantage Specialty Chemicals Inc., 6.056% (1/3-Month USD-LIBOR + 3.500%) due 10/28/24 | | | | | 88,577 | | |
| | | 146,114 | | | | VeriFone Systems Inc., 6.683% (3-Month USD-LIBOR + 4.000%) due 8/20/25 | | | | | 145,462 | | |
| | | 468,825 | | | | Verscend Holding Corp., 6.993% (1-Month USD-LIBOR + 4.500%) due 8/27/25 | | | | | 469,411 | | |
| | | 480,000 | | | | Vertafore Inc., 6.053% (3-Month USD-LIBOR + 3.250%) due 7/2/25 | | | | | 474,000 | | |
| | | 150,000 | | | | Wand Newco 3 Inc., 6.014% (3-Month USD-LIBOR + 3.500%) due 2/5/26 | | | | | 150,338 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(a) – (continued) | | ||||||||||||
| | | | | | | Web.com Group Inc.: | | | |||||
| | $ | 295,000 | | | | 6.267% (1-Month USD-LIBOR + 3.750%) due 10/10/25 | | | | $ | 292,787 | | |
| | | 83,571 | | | | 10.267% (1-Month USD-LIBOR + 7.750%) due 10/9/26 | | | | | 81,900 | | |
| | | 370,041 | | | | West Corp., 6.629% (1-Month USD-LIBOR + 4.000%) due 10/10/24 | | | | | 349,533 | | |
| | | 273,618 | | | | Wink Holdco Inc., 5.493% (1-Month USD-LIBOR + 3.000%) due 12/2/24(d) | | | | | 269,240 | | |
| | | 289,275 | | | | WP CPP Holdings LLC, 6.509% (3-Month USD-LIBOR + 3.750%) due 4/30/25 | | | | | 288,069 | | |
| | | 151,646 | | | | Yak Access LLC, 7.493% (1-Month USD-LIBOR + 5.000%) due 7/11/25(d) | | | | | 130,984 | | |
| | | | | | | TOTAL SENIOR LOANS (Cost – $56,480,566) | | | | | 55,370,875 | | |
| SOVEREIGN BONDS – 1.1% | | ||||||||||||
| Argentina – 0.1% | | ||||||||||||
| | | | | | | Argentine Republic Government International Bond: | | | |||||
| | | 1,100,000 | | | | 6.875% due 1/26/27 | | | | | 912,450 | | |
| | | 250,000 | | | | 5.875% due 1/11/28 | | | | | 195,000 | | |
| | | 350,000 | | | | 6.625% due 7/6/28 | | | | | 282,278 | | |
| | | 1,350,000 | | | | Provincia de Buenos Aires, 7.875% due 6/15/27 | | | | | 1,080,000 | | |
| | | | | | | Total Argentina | | | | | 2,469,728 | | |
��� | Canada – 0.1% | | ||||||||||||
| | | 1,000,000 | | | | Province of Ontario Canada, 2.400% due 2/8/22 | | | | | 988,601 | | |
| | | 750,000 | | | | Province of Quebec Canada, 2.375% due 1/31/22 | | | | | 742,587 | | |
| | | | | | | Total Canada | | | | | 1,731,188 | | |
| Chile – 0.1% | | ||||||||||||
| | | | | | | Chile Government International Bond: | | | |||||
| | | 400,000 | | | | 3.125% due 3/27/25 | | | | | 398,400 | | |
| | | 1,000,000 | | | | 3.125% due 1/21/26 | | | | | 989,000 | | |
| | | | | | | Total Chile | | | | | 1,387,400 | | |
| Colombia – 0.1% | | ||||||||||||
| | | | | | | Colombia Government International Bond: | | | |||||
| | | 750,000 | | | | 3.875% due 4/25/27 | | | | | 739,133 | | |
| | | 200,000 | | | | 4.500% due 3/15/29 | | | | | 204,302 | | |
| | | 250,000 | | | | 5.625% due 2/26/44 | | | | | 268,502 | | |
| | | 200,000 | | | | 5.200% due 5/15/49 | | | | | 204,302 | | |
| | | | | | | Total Colombia | | | | | 1,416,239 | | |
| Hungary – 0.0% | | ||||||||||||
| | | 500,000 | | | | Hungary Government International Bond, 6.375% due 3/29/21 | | | | | 531,128 | | |
| India – 0.0% | | ||||||||||||
| | | 200,000 | | | | Export-Import Bank of India, 4.000% due 1/14/23 | | | | | 201,973 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SOVEREIGN BONDS – (continued) | | ||||||||||||
| Indonesia – 0.1% | | ||||||||||||
| | $ | 1,300,000 | | | | Perusahaan Penerbit SBSN Indonesia III, 4.150% due 3/29/27(b) | | | | $ | 1,284,530 | | |
| Israel – 0.0% | | ||||||||||||
| | | 500,000 | | | | Israel Government International Bond, 2.875% due 3/16/26 | | | | | 490,210 | | |
| Japan – 0.1% | | ||||||||||||
| | | | | | | Japan Bank for International Cooperation: | | | |||||
| | | 500,000 | | | | 1.750% due 5/28/20 | | | | | 494,260 | | |
| | | 250,000 | | | | 2.750% due 11/16/27 | | | | | 241,243 | | |
| | | | | | | Total Japan | | | | | 735,503 | | |
| Mexico – 0.1% | | ||||||||||||
| | | | | | | Mexico Government International Bond: | | | |||||
| | | 500,000 | | | | 3.500% due 1/21/21 | | | | | 501,770 | | |
| | | 600,000 | | | | 4.150% due 3/28/27 | | | | | 592,500 | | |
| | | 350,000 | | | | 3.750% due 1/11/28 | | | | | 334,950 | | |
| | | 750,000 | | | | 4.600% due 1/23/46 | | | | | 693,750 | | |
| | | | | | | Total Mexico | | | | | 2,122,970 | | |
| Panama – 0.0% | | ||||||||||||
| | | | | | | Panama Government International Bond: | | | |||||
| | | 400,000 | | | | 4.000% due 9/22/24 | | | | | 411,204 | | |
| | | 250,000 | | | | 4.500% due 5/15/47 | | | | | 253,125 | | |
| | | | | | | Total Panama | | | | | 664,329 | | |
| Peru – 0.1% | | ||||||||||||
| | | 700,000 | | | | Fondo MIVIVIENDA SA, 3.500% due 1/31/23 | | | | | 694,057 | | |
| | | 100,000 | | | | Peruvian Government International Bond, 5.625% due 11/18/50 | | | | | 122,250 | | |
| | | | | | | Total Peru | | | | | 816,307 | | |
| Philippines – 0.2% | | ||||||||||||
| | | | | | | Philippine Government International Bond: | | | |||||
| | | 2,100,000 | | | | 4.200% due 1/21/24 | | | | | 2,202,247 | | |
| | | 750,000 | | | | 3.950% due 1/20/40 | | | | | 764,433 | | |
| | | | | | | Total Philippines | | | | | 2,966,680 | | |
| Poland – 0.0% | | ||||||||||||
| | | 500,000 | | | | Republic of Poland Government International Bond, 4.000% due 1/22/24 | | | | | 518,750 | | |
| Supranational – 0.1% | | ||||||||||||
| | | | | | | International Bank for Reconstruction & Development: | | | |||||
| | | 1,000,000 | | | | 1.875% due 4/21/20 | | | | | 991,605 | | |
| | | 1,000,000 | | | | 1.375% due 9/20/21 | | | | | 969,679 | | |
| | | 250,000 | | | | 1.875% due 10/27/26 | | | | | 234,877 | | |
| | | | | | | Total Supranational | | | | | 2,196,161 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SOVEREIGN BONDS – (continued) | | ||||||||||||
| Uruguay – 0.0% | | ||||||||||||
| | $ | 250,000 | | | | Uruguay Government International Bond, 4.125% due 11/20/45 | | | | $ | 232,813 | | |
| | | | | | | TOTAL SOVEREIGN BONDS (Cost – $20,434,471) | | | | | 19,765,909 | | |
| Face Amount/Units | | | Rating†† | | | | | | | | ||||||
| MUNICIPAL BONDS – 0.2%†† | | |||||||||||||||
| California – 0.1% | | | ||||||||||||||
| | | 125,000 | | | | AA | | | Bay Area Toll Authority, Revenue Bonds, Series F2, 6.263% due 4/1/49 | | | | | 170,614 | | |
| | | 100,000 | | | | AA+ | | | Los Angeles Community College District, GO, Series E, 6.750% due 8/1/49 | | | | | 144,546 | | |
| | | 150,000 | | | | AA+ | | | Los Angeles Department of Water & Power System Revenue, Revenue Bonds, Series B, 6.603% due 7/1/50 | | | | | 214,941 | | |
| | | 150,000 | | | | AA- | | | Los Angeles Unified School District, GO, Series RY, 6.758% due 7/1/34 | | | | | 195,138 | | |
| | | | | | | | | | State of California, GO: | | ||||||
| | | 25,000 | | | | AA- | | | 3.500% due 4/1/28 | | | | | 25,203 | | |
| | | 40,000 | | | | AA- | | | 4.600% due 4/1/38 | | | | | 41,522 | | |
| | | 100,000 | | | | AA- | | | 7.500% due 4/1/34 | | | | | 140,794 | | |
| | | 200,000 | | | | AA- | | | 7.550% due 4/1/39 | | | | | 293,750 | | |
| | | 125,000 | | | | AA- | | | 7.600% due 11/1/40 | | | | | 186,770 | | |
| | | | | | | | | | University of California, Revenue Bonds: | | ||||||
| | | 100,000 | | | | AA | | | Series AJ, 4.601% due 5/15/31 | | | | | 107,698 | | |
| | | 25,000 | | | | AA | | | Series AX, 3.063% due 7/1/25 | | | | | 25,005 | | |
| | | 75,000 | | | | AA | | | Series R, 5.770% due 5/15/43 | | | | | 91,756 | | |
| | | | | | | | | | Total California | | | | | 1,637,737 | | |
| Florida – 0.0% | | | ||||||||||||||
| | | 20,000 | | | | A | | | County of Miami-Dade FL Aviation Revenue, Revenue Bonds, Series C, 4.280% due 10/1/41 | | | | | 20,234 | | |
| Illinois – 0.0% | | | ||||||||||||||
| | | 20,000 | | | | A | | | Chicago O’Hare International Airport, 4.472% due 1/1/49 | | | | | 20,540 | | |
| | | | | | | | | | State of Illinois, GO: | | | |||||
| | | 250,000 | | | | BBB- | | | 5.100% due 6/1/33 | | | | | 237,123 | | |
| | | 100,000 | | | | BBB- | | | 6.725% due 4/1/35 | | | | | 105,596 | | |
| | | | | | | | | | Total Illinois | | | | | 363,259 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | | | | ||||||||||||
| MUNICIPAL BONDS – (continued) | | | | | |||||||||||||||||||||
| Massachusetts – 0.0% | | | | | | ||||||||||||||||||||
| | $ | 100,000 | | | | AA | | | Commonwealth of Massachusetts, GO, Series E, 5.456% due 12/1/39 | | | | $ | 120,301 | | | | | | ||||||
| Nevada – 0.0% | | | | | | ||||||||||||||||||||
| | | 100,000 | | | | AA- | | | County of Clark Department of Aviation, Revenue Bonds, Series C, 6.820% due 7/1/45 | | | | | 141,100 | | | | | | ||||||
| New Jersey – 0.0% | | | | | | ||||||||||||||||||||
| | | 100,000 | | | | A+ | | | New Jersey Turnpike Authority, Revenue Bonds, Series F, 7.414% due 1/1/40 | | | | | 143,502 | | | | | | ||||||
| New York – 0.1% | | | | | | ||||||||||||||||||||
| | | 150,000 | | | | AA | | | Metropolitan Transportation Authority, Revenue Bonds, Series C, 7.336% due 11/15/39 | | | | | 213,331 | | | | | | ||||||
| | | 125,000 | | | | AA+ | | | New York City Water & Sewer System, Revenue Bonds, Series AA, 5.440% due 6/15/43 | | | | | 153,328 | | | | | | ||||||
| | | 205,000 | | | | AA+ | | | New York State Urban Development Corp., Revenue Bonds, Series B, 2.100% due 3/15/22 | | | | | 202,372 | | | | | | ||||||
| | | 200,000 | | | | AA- | | | Port Authority of New York & New Jersey, Revenue Bonds, 4.458% due 10/1/62 | | | | | 211,060 | | | | | | ||||||
| | | | | | | | | | Total New York | | | | | 780,091 | | | | | | ||||||
| Ohio – 0.0% | | | | | | ||||||||||||||||||||
| | | 100,000 | | | | A | | | American Municipal Power Inc., Revenue Bonds, Combined Hydroelectric Projects B, 8.084% due 2/15/50 | | | | | 158,613 | | | | | | ||||||
| Texas – 0.0% | | | | | | ||||||||||||||||||||
| | | 75,000 | | | | AAA | | | State of Texas, GO, Series A, 5.517% due 4/1/39 | | | | | 92,537 | | | | | | ||||||
| Wisconsin – 0.0% | | | | | | ||||||||||||||||||||
| | | 10,000 | | | | AA- | | | State of Wisconsin, Revenue Bonds, Series C, 3.154% due 5/1/27 | | | | | 9,843 | | | | | | ||||||
| | | | | | | | | | TOTAL MUNICIPAL BONDS (Cost – $3,481,251) | | | | | 3,467,217 | | | | | | ||||||
| | | | | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $1,696,208,856) | | | | | 1,677,002,081 | | | | | | ||||||
| SHORT-TERM INVESTMENTS – 3.6% | | | | | | | | | | | |||||||||||||||
| TIME DEPOSITS – 1.7% | | | | | | | | | | | |||||||||||||||
| | | 18,708,149 | | | | | | | Citibank – New York, 1.750% due 3/1/19 | | | | | 18,708,149 | | | | | | ||||||
| | | 11,182,336 | | | | | | | Sumitomo Mitsui Banking Corp. – Tokyo, 1.750% due 3/1/19 | | | | | 11,182,336 | | | | | | ||||||
| | | | | | | | | | TOTAL TIME DEPOSITS (Cost – $29,890,485) | | | | | 29,890,485 | | | | | | ||||||
| U.S. GOVERNMENT OBLIGATIONS – 1.9% | | | | | |||||||||||||||||||||
| | | | | | | | | | U.S. Treasury Bills: | | | | | | |||||||||||
| | | 20,000,000 | | | | | | | 2.446% due 7/18/19(k) | | | | | 19,814,087 | | | | | | ||||||
| | | 7,100,000 | | | | | | | 2.534% due 8/15/19(k) | | | | | 7,020,130 | | | | | |
| Face Amount/Units | | | | | | Security | | | Value | | | | | ||||||||||||
| SHORT-TERM INVESTMENTS – (continued) | | | | | | | | | | | |||||||||||||||
| U.S. GOVERNMENT OBLIGATIONS – (continued) | | | | | | | | | | | |||||||||||||||
| | $ | 6,400,000 | | | | | | | 2.561% due 1/2/20(k) | | | | $ | 6,266,012 | | | | | | ||||||
| | | | | | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost – $33,095,024) | | | | | 33,100,229 | | | | | | ||||||
| | | | | | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost – $62,985,509) | | | | | 62,990,714 | | | | | | ||||||
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 0.0% | | | | | |||||||||||||||||||||
| MONEY MARKET FUND – 0.0% | | | | | |||||||||||||||||||||
| | | 136,818 | | | | | | | Federated Government Obligations Fund, Premier Class, 2.363%(l) (Cost – $136,818) | | | | | 136,818 | | | | | | ||||||
| | | | | | | | | | TOTAL INVESTMENTS – 100.2% (Cost – $1,759,331,183#) | | | | | 1,740,129,613 | | | | | | ||||||
| | | | | | | | | | Liabilities in Excess of Other Assets – (0.2)% | | | | | (3,047,593) | | | | | | ||||||
| | | | | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 1,737,082,020 | | | | | | ||||||
|
| Collateralized Mortgage Obligations | | | | | 24.2% | | |
| U.S. Government Agencies & Obligations | | | | | 22.1 | | |
| Corporate Bonds & Notes | | | | | 19.3 | | |
| Mortgage-Backed Securities | | | | | 18.5 | | |
| Asset-Backed Securities | | | | | 7.7 | | |
| Senior Loans | | | | | 3.2 | | |
| Sovereign Bonds | | | | | 1.2 | | |
| Municipal Bonds | | | | | 0.2 | | |
| Short-Term Investments | | | | | 3.6 | | |
| Money Market Fund | | | | | 0.0* | | |
| | | | | | 100.0% | | |
|
| Face Amount | | | Security | | | Value | | ||||||
| | $ | 2,000,000 | | | | Federal National Mortgage Association (FNMA), 4.500% due 3/20/49(a) (Proceeds – $2,073,555) | | | | $ | 2,069,187 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – 52.6% | | ||||||||||||
| Basic Materials – 4.1% | | ||||||||||||
| | $ | 400,000 | | | | Braskem Netherlands Finance BV, Company Guaranteed Notes, 3.500% due 1/10/23 | | | | $ | 391,504 | | |
| | | 100,000 | | | | Celulosa Arauco y Constitucion SA, Senior Unsecured Notes, 4.750% due 1/11/22 | | | | | 102,250 | | |
| | | 65,000 | | | | DowDuPont Inc., Senior Unsecured Notes, 3.766% due 11/15/20 | | | | | 65,772 | | |
| | | 1,187,000 | | | | Ferroglobe PLC/Globe Specialty Metals Inc., Company Guaranteed Notes, 9.375% due 3/1/22(a) | | | | | 1,017,853 | | |
| | | | | | | Freeport-McMoRan Inc., Company Guaranteed Notes: | | | |||||
| | | 3,011,000 | | | | 3.100% due 3/15/20 | | | | | 3,017,925 | | |
| | | 450,000 | | | | 4.550% due 11/14/24 | | | | | 445,500 | | |
| | | 400,000 | | | | Fresnillo PLC, Senior Unsecured Notes, 5.500% due 11/13/23 | | | | | 419,100 | | |
| | | 880,000 | | | | Huntsman International LLC, Company Guaranteed Notes, 4.875% due 11/15/20 | | | | | 902,550 | | |
| | | 3,857,000 | | | | INVISTA Finance LLC, Senior Secured Notes, 4.250% due 10/15/19(a) | | | | | 3,870,827 | | |
| | | 621,000 | | | | Largo Resources Ltd., Senior Secured Notes, 9.250% due 6/1/21(a) | | | | | 652,826 | | |
| | | 4,015,000 | | | | Momentive Performance Materials Inc., Senior Secured Notes, 3.880% due 10/24/21 | | | | | 4,326,163 | | |
| | | 200,000 | | | | Nexa Resources Peru SAA, Senior Unsecured Notes, 4.625% due 3/28/23 | | | | | 199,752 | | |
| | | 120,000 | | | | Sherwin-Williams Co., Senior Unsecured Notes, 2.250% due 5/15/20 | | | | | 118,808 | | |
| | | 200,000 | | | | UPL Corp., Ltd, Senior Unsecured Notes, 3.250% due 10/13/21 | | | | | 194,781 | | |
| | | 200,000 | | | | Vedanta Resources PLC, Senior Unsecured Notes, 7.125% due 5/31/23 | | | | | 190,250 | | |
| | | | | | | Total Basic Materials | | | | | 15,915,861 | | |
| Communications – 15.9% | | ||||||||||||
| | | 295,000 | | | | AT&T Inc., Senior Unsecured Notes, 2.800% due 2/17/21 | | | | | 293,135 | | |
| | | 200,000 | | | | Axiata SPV2 Bhd, Senior Unsecured Notes, 3.466% due 11/19/20 | | | | | 200,048 | | |
| | | 400,000 | | | | Bharti Airtel International Netherlands BV, Company Guaranteed Notes, 5.125% due 3/11/23 | | | | | 403,653 | | |
| | | 4,666,000 | | | | CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes, 5.250% due 3/15/21 | | | | | 4,683,498 | | |
| | | 735,000 | | | | CenturyLink Inc., Senior Unsecured Notes, 6.150% due 9/15/19 | | | | | 743,269 | | |
| | | 11,237,000 | | | | Clear Channel Worldwide Holdings Inc., Company Guaranteed Notes, 7.625% due 3/15/20 | | | | | 11,242,619 | | |
| | | 185,000 | | | | Comcast Corp., Company Guaranteed Notes, 3.450% due 10/1/21 | | | | | 187,149 | | |
| | | 200,000 | | | | Comunicaciones Celulares SA Via Comcel Trust, Senior Unsecured Notes, 6.875% due 2/6/24 | | | | | 207,000 | | |
| | | 195,000 | | | | eBay Inc., Senior Unsecured Notes, 2.750% due 1/30/23 | | | | | 190,096 | | |
| | | 200,000 | | | | Globo Comunicacao e Participacoes SA, Senior Unsecured Notes, 4.875% due 4/11/22 | | | | | 202,852 | | |
| | | 3,472,000 | | | | HC2 Holdings Inc., Senior Secured Notes, 11.500% due 12/1/21(a) | | | | | 3,090,080 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Communications – (continued) | | ||||||||||||
| | $ | 3,632,000 | | | | Inmarsat Finance PLC, Company Guaranteed Notes, 4.875% due 5/15/22(a) | | | | $ | 3,632,000 | | |
| | | 3,580,000 | | | | Lee Enterprises Inc., Senior Secured Notes, 9.500% due 3/15/22(a) | | | | | 3,651,600 | | |
| | | 6,605,000 | | | | Level 3 Financing Inc., Company Guaranteed Notes, 6.125% due 1/15/21 | | | | | 6,631,750 | | |
| | | 5,640,000 | | | | Mediacom Broadband LLC/Mediacom Broadband Corp., Senior Unsecured Notes, 5.500% due 4/15/21 | | | | | 5,625,900 | | |
| | | 200,000 | | | | Millicom International Cellular SA, Senior Unsecured Notes, 6.000% due 3/15/25 | | | | | 203,250 | | |
| | | 348,000 | | | | Nokia OYJ, Senior Unsecured Notes, 5.375% due 5/15/19 | | | | | 348,870 | | |
| | | 185,000 | | | | Omnicom Group Inc./Omnicom Capital Inc., Senior Unsecured Notes, 3.625% due 5/1/22 | | | | | 186,180 | | |
| | | 4,848,000 | | | | Pandora Media LLC, Company Guaranteed Notes, 1.750% due 12/1/20 | | | | | 4,840,728 | | |
| | | 6,102,000 | | | | Sprint Capital Corp., Company Guaranteed Notes, 6.900% due 5/1/19 | | | | | 6,117,255 | | |
| | | 1,153,000 | | | | TEGNA Inc., Company Guaranteed Notes, 5.125% due 10/15/19 | | | | | 1,155,883 | | |
| | | 662,000 | | | | Time Warner Cable LLC, Senior Secured Notes, 8.250% due 4/1/19 | | | | | 664,670 | | |
| | | 7,263,000 | | | | Twitter Inc., Senior Unsecured Notes, 0.250% due 9/15/19 | | | | | 7,123,950 | | |
| | | 200,000 | | | | Verizon Communications Inc., Senior Unsecured Notes, 3.784% (3-Month USD-LIBOR + 1.100%) due 5/15/25(b) | | | | | 199,339 | | |
| | | 361,000 | | | | VTR Finance BV, Senior Secured Notes, 6.875% due 1/15/24 | | | | | 370,928 | | |
| | | | | | | Total Communications | | | | | 62,195,702 | | |
| Consumer Cyclical – 10.0% | | ||||||||||||
| | | 4,009,000 | | | | Carrols Restaurant Group Inc., Secured Notes, 8.000% due 5/1/22 | | | | | 4,114,236 | | |
| | | 285,000 | | | | Cintas Corp. No 2, Company Guaranteed Notes, 2.900% due 4/1/22 | | | | | 283,840 | | |
| | | 175,000 | | | | Daimler Finance North America LLC, Company Guaranteed Notes, 2.300% due 2/12/21(a) | | | | | 171,902 | | |
| | | 190,000 | | | | Delta Air Lines Inc., Senior Unsecured Notes, 3.400% due 4/19/21 | | | | | 189,715 | | |
| | | 200,000 | | | | El Puerto de Liverpool SAB de CV, Company Guaranteed Notes, 3.950% due 10/2/24 | | | | | 194,002 | | |
| | | 1,700,000EUR | | | | European Lingerie Group AB, Senior Secured Notes, 7.750% (3-Month EURIBOR + 7.750%) due 2/22/21(b)(c) | | | | | 1,817,565 | | |
| | | 4,517,000 | | | | GameStop Corp., Company Guaranteed Notes, 5.500% due 10/1/19(a) | | | | | 4,511,354 | | |
| | | | | | | General Motors Financial Co., Inc., Company Guaranteed Notes: | | | |||||
| | | 40,000 | | | | 2.650% due 4/13/20 | | | | | 39,755 | | |
| | | 245,000 | | | | 3.200% due 7/6/21 | | | | | 242,320 | | |
| | | 4,138,000 | | | | Michaels Stores Inc., Company Guaranteed Notes, 5.875% due 12/15/20(a) | | | | | 4,146,276 | | |
| | | 6,606,000 | | | | Navistar International Corp., Senior Subordinated Notes, 4.750% due 4/15/19 | | | | | 6,610,895 | | |
| | | 441,000 | | | | QVC Inc., Senior Secured Notes, 3.125% due 4/1/19 | | | | | 440,739 | | |
| | | 1,841,000 | | | | Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp., Senior Secured Notes, 6.125% due 8/15/21(a) | | | | | 1,852,506 | | |
| | | 300,000 | | | | SACI Falabella, Senior Unsecured Notes, 3.750% due 4/30/23 | | | | | 300,740 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Cyclical – (continued) | | ||||||||||||
| | $ | 6,102,000 | | | | Tesla Inc., Senior Unsecured Notes, 0.250% due 3/1/19 | | | | $ | 6,102,000 | | |
| | | 2,636,000 | | | | Virgin Australia Holdings Ltd., Company Guaranteed Notes, 8.500% due 11/15/19(a) | | | | | 2,688,061 | | |
| | | 5,268,000 | | | | William Carter Co., Company Guaranteed Notes, 5.250% due 8/15/21 | | | | | 5,340,435 | | |
| | | | | | | Total Consumer Cyclical | | | | | 39,046,341 | | |
| Consumer Non-cyclical – 6.5% | | ||||||||||||
| | | 200,000 | | | | Adani Ports & Special Economic Zone Ltd., Senior Unsecured Notes, 3.950% due 1/19/22 | | | | | 197,875 | | |
| | | 100,000 | | | | Altria Group Inc., Company Guaranteed Notes, 3.490% due 2/14/22 | | | | | 100,587 | | |
| | | 295,000 | | | | Anthem Inc., Senior Unsecured Notes, 2.500% due 11/21/20 | | | | | 292,246 | | |
| | | 285,000 | | | | AstraZeneca PLC, Senior Unsecured Notes, 2.375% due 11/16/20 | | | | | 282,035 | | |
| | | 240,000 | | | | BAT Capital Corp., Company Guaranteed Notes, 2.297% due 8/14/20 | | | | | 236,461 | | |
| | | 2,366,000 | | | | Bausch Health Cos., Inc., Company Guaranteed Notes, 5.625% due 12/1/21(a) | | | | | 2,369,549 | | |
| | | | | | | Cardinal Health Inc., Senior Unsecured Notes: | | | |||||
| | | 140,000 | | | | 1.948% due 6/14/19 | | | | | 139,654 | | |
| | | 150,000 | | | | 2.616% due 6/15/22 | | | | | 145,651 | | |
| | | 180,000 | | | | Cigna Corp., Company Guaranteed Notes, 3.400% due 9/17/21(a) | | | | | 180,934 | | |
| | | 195,000 | | | | CVS Health Corp., Senior Unsecured Notes, 2.800% due 7/20/20 | | | | | 193,981 | | |
| | | 323,563 | | | | ENA Norte Trust, Pass-Thru Certificates, 4.950% due 4/25/23 | | | | | 331,652 | | |
| | | 200,000 | | | | Grupo Bimbo SAB de CV, Subordinated Notes, 5.950% (5-Year CMT Index + 3.280%)(b)(d) | | | | | 200,000 | | |
| | | 200,000 | | | | JBS Investments GmbH, Company Guaranteed Notes, 6.250% due 2/5/23 | | | | | 201,802 | | |
| | | 2,515,000 | | | | Macquarie Infrastructure Corp., Senior Unsecured Notes, 2.875% due 7/15/19 | | | | | 2,502,186 | | |
| | | 200,000 | | | | Marfrig Holdings Europe BV, Company Guaranteed Notes, 8.000% due 6/8/23 | | | | | 207,642 | | |
| | | 185,000 | | | | Mondelez International Inc., Senior Unsecured Notes, 3.000% due 5/7/20 | | | | | 185,039 | | |
| | | 6,491,000 | | | | Nielsen Finance LLC/Nielsen Finance Co., Company Guaranteed Notes, 4.500% due 10/1/20 | | | | | 6,491,000 | | |
| | | 45,000 | | | | Reynolds American Inc., Company Guaranteed Notes, 3.250% due 6/12/20 | | | | | 44,957 | | |
| | | 3,398,000 | | | | Spectrum Brands Inc., Company Guaranteed Notes, 6.625% due 11/15/22 | | | | | 3,474,455 | | |
| | | 483,000 | | | | Tenet Healthcare Corp., Senior Unsecured Notes, 5.500% due 3/1/19 | | | | | 483,000 | | |
| | | 1,247,000 | | | | Teva Pharmaceutical Finance IV LLC, Company Guaranteed Notes, 2.250% due 3/18/20 | | | | | 1,228,277 | | |
| | | 5,886,000 | | | | Teva Pharmaceutical Finance Netherlands III BV, Company Guaranteed Notes, 1.700% due 7/19/19 | | | | | 5,850,373 | | |
| | | 260,000 | | | | Thermo Fisher Scientific Inc., Senior Unsecured Notes, 3.600% due 8/15/21 | | | | | 263,001 | | |
| | | | | | | Total Consumer Non-cyclical | | | | | 25,602,357 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Diversified – 0.0% | | ||||||||||||
| | $ | 200,000 | | | | CK Hutchison Capital Securities 17 Ltd., Company Guaranteed Notes, 4.000% (5-Year CMT Index + 2.070%)(b)(d) | | | | $ | 193,909 | | |
| Energy – 1.0% | | ||||||||||||
| | | 200,000 | | | | Bharat Petroleum Corp., Ltd., Senior Unsecured Notes, 4.625% due 10/25/22 | | | | | 204,760 | | |
| | | 400,000 | | | | CNOOC Finance 2013 Ltd., Company Guaranteed Notes, 3.000% due 5/9/23 | | | | | 391,508 | | |
| | | 200,000 | | | | CNPC General Capital Ltd., Company Guaranteed Notes, 3.950% due 4/19/22 | | | | | 202,738 | | |
| | | 160,000 | | | | Delek & Avner Tamar Bond Ltd., Senior Secured Notes, 4.435% due 12/30/20(a) | | | | | 159,821 | | |
| | | 300,000 | | | | Ecopetrol SA, Senior Unsecured Notes, 5.875% due 9/18/23 | | | | | 322,653 | | |
| | | | | | | Indian Oil Corp., Ltd., Senior Unsecured Notes: | | | |||||
| | | 200,000 | | | | 5.625% due 8/2/21 | | | | | 208,771 | | |
| | | 200,000 | | | | 5.750% due 8/1/23 | | | | | 212,329 | | |
| | | 400,000 | | | | Oleoducto Central SA, Senior Unsecured Notes, 4.000% due 5/7/21 | | | | | 400,004 | | |
| | | 400,000 | | | | ONGC Videsh Vankorneft Pte Ltd., Company Guaranteed Notes, 2.875% due 1/27/22 | | | | | 388,885 | | |
| | | 400,000 | | | | Petrobras Global Finance BV, Company Guaranteed Notes, 4.375% due 5/20/23 | | | | | 401,300 | | |
| | | 250,000 | | | | Reliance Holding USA Inc., Company Guaranteed Notes, 5.400% due 2/14/22 | | | | | 260,010 | | |
| | | 140,000 | | | | Schlumberger Holdings Corp., Senior Unsecured Notes, 3.750% due 5/1/24(a) | | | | | 140,526 | | |
| | | 400,000 | | | | Sinopec Group Overseas Development 2018 Ltd., Company Guaranteed Notes, 3.750% due 9/12/23(a) | | | | | 403,733 | | |
| | | 200,000 | | | | YPF SA, Senior Unsecured Notes, 8.500% due 3/23/21 | | | | | 205,250 | | |
| | | | | | | Total Energy | | | | | 3,902,288 | | |
| Financial – 4.7% | | ||||||||||||
| | | 200,000 | | | | Agromercantil Senior Trust, Company Guaranteed Notes, 6.250% due 4/10/19 | | | | | 199,652 | | |
| | | 270,000 | | | | Air Lease Corp., Senior Unsecured Notes, 2.500% due 3/1/21 | | | | | 264,437 | | |
| | | 190,000 | | | | American Express Co., Senior Unsecured Notes, 3.700% due 11/5/21 | | | | | 192,937 | | |
| | | 200,000 | | | | Banco BTG Pactual SA, Subordinated Notes, 5.750% due 9/28/22 | | | | | 196,552 | | |
| | | 100,000 | | | | Banco de Credito del Peru, Senior Unsecured Notes, 4.250% due 4/1/23 | | | | | 101,700 | | |
| | | 150,000 | | | | Banco de Reservas de la Republica Dominicana, Subordinated Notes, 7.000% due 2/1/23 | | | | | 152,251 | | |
| | | 400,000 | | | | Banco Internacional del Peru SAA Interbank, Senior Unsecured Notes, 3.375% due 1/18/23 | | | | | 391,600 | | |
| | | 400,000 | | | | Banco Mercantil del Norte SA, Junior Subordinated Notes, 6.875% (5-Year CMT Index + 5.035%)(b)(d) | | | | | 394,500 | | |
| | | 300,000 | | | | Banco Nacional de Comercio Exterior SNC, Subordinated Notes, 3.800% (5-Year CMT Index + 3.000%) due 8/11/26(b) | | | | | 291,378 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 400,000 | | | | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, Subordinated Notes, 5.950% (5-Year CMT Index + 2.995%) due 10/1/28(a)(b) | | | | $ | 407,400 | | |
| | | 200,000 | | | | Bancolombia SA, Subordinated Notes, 4.875% (5-Year CMT Index + 2.929%) due 10/18/27(b) | | | | | 198,500 | | |
| | | 400,000 | | | | Banistmo SA, Senior Unsecured Notes, 3.650% due 9/19/22 | | | | | 390,000 | | |
| | | 200,000 | | | | Bank of America Corp., Senior Unsecured Notes, 3.541% (3-Month USD-LIBOR + 0.790%) due 3/5/24(b) | | | | | 198,522 | | |
| | | 300,000 | | | | BBVA Banco Continental SA, Senior Unsecured Notes, 5.000% due 8/26/22 | | | | | 312,600 | | |
| | | 400,000 | | | | BDO Unibank Inc., Senior Unsecured Notes, 2.950% due 3/6/23 | | | | | 387,692 | | |
| | | 295,000 | | | | Capital One Financial Corp., Senior Unsecured Notes, 2.400% due 10/30/20 | | | | | 291,448 | | |
| | | 290,000 | | | | Citigroup Inc., Senior Unsecured Notes, 3.649% (3-Month USD-LIBOR + 1.023%) due 6/1/24(b) | | | | | 290,631 | | |
| | | 200,000 | | | | Credito Real SAB de CV SOFOM ER, Senior Unsecured Notes, 7.250% due 7/20/23 | | | | | 202,260 | | |
| | | 400,000 | | | | DBS Group Holdings Ltd., Junior Subordinated Notes, 3.600% (5-Year USD Swap Rate + 2.390%)(b)(d) | | | | | 391,200 | | |
| | | 300,000 | | | | Grupo Aval Ltd., Company Guaranteed Notes, 4.750% due 9/26/22 | | | | | 297,600 | | |
| | | 7,158,000 | | | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., Company Guaranteed Notes, 6.000% due 8/1/20 | | | | | 7,229,580 | | |
| | | 100,000 | | | | Industrial Senior Trust, Company Guaranteed Notes, 5.500% due 11/1/22 | | | | | 100,625 | | |
| | | 200,000 | | | | Itau Unibanco Holding SA/Cayman Island, Junior Subordinated Notes, 6.125% (5-Year CMT Index + 3.981%)(b)(d) | | | | | 198,200 | | |
| | | 200,000 | | | | Malayan Banking Bhd, Subordinated Notes, 3.905% (5-Year USD Swap Rate + 2.542%) due 10/29/26(b) | | | | | 198,320 | | |
| | | 150,000 | | | | Marsh & McLennan Cos., Inc., Senior Unsecured Notes, 3.908% (3-Month USD-LIBOR + 1.200%) due 12/29/21(b) | | | | | 150,168 | | |
| | | 155,000 | | | | Mitsubishi UFJ Financial Group Inc., Senior Unsecured Notes, 3.218% due 3/7/22 | | | | | 155,066 | | |
| | | 290,000 | | | | Morgan Stanley, Senior Unsecured Notes, 3.691% (3-Month USD-LIBOR + 0.930%) due 7/22/22(b) | | | | | 291,020 | | |
| | | 400,000 | | | | Multibank Inc., Senior Unsecured Notes, 4.375% due 11/9/22 | | | | | 396,500 | | |
| | | 200,000 | | | | Oversea-Chinese Banking Corp., Ltd, Subordinated Notes, 4.250% due 6/19/24 | | | | | 202,448 | | |
| | | 140,000 | | | | PNC Financial Services Group Inc., Senior Unsecured Notes, 4.375% due 8/11/20 | | | | | 142,807 | | |
| | | | | | | Prudential Financial Inc., Senior Unsecured Notes: | | | |||||
| | | 75,000 | | | | 7.375% due 6/15/19 | | | | | 75,950 | | |
| | | 180,000 | | | | 4.500% due 11/15/20 | | | | | 184,474 | | |
| | | 180,000 | | | | Royal Bank of Canada, Senior Unsecured Notes, 3.200% due 4/30/21 | | | | | 181,010 | | |
| | | 200,000 | | | | Security Bank Corp., Senior Unsecured Notes, 4.500% due 9/25/23 | | | | | 203,919 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 341,665 | | | | SPARC EM SPC Panama Metro Line 2 SP, Senior Secured Notes, zero coupon, due 12/5/22 | | | | $ | 312,627 | | |
| | | 1,139,000 | | | | Springleaf Finance Corp., Company Guaranteed Notes, 5.250% due 12/15/19 | | | | | 1,156,085 | | |
| | | 300,000 | | | | Sumitomo Mitsui Financial Group Inc., Senior Unsecured Notes, 2.058% due 7/14/21 | | | | | 292,604 | | |
| | | 195,000 | | | | Toronto-Dominion Bank, Senior Unsecured Notes, 3.250% due 6/11/21 | | | | | 196,290 | | |
| | | 200,000 | | | | Unifin Financiera SAB de CV SOFOM ENR, Company Guaranteed Notes, 7.250% due 9/27/23 | | | | | 198,002 | | |
| | | 200,000 | | | | Union Bank of the Philippines, Senior Unsecured Notes, 3.369% due 11/29/22 | | | | | 195,502 | | |
| | | 400,000 | | | | United Overseas Bank Ltd., Junior Subordinated Notes, 3.875% (5-Year USD Swap Rate + 1.794%)(b)(d) | | | | | 377,648 | | |
| | | | | | | Westpac Banking Corp., Senior Unsecured Notes: | | | |||||
| | | 20,000 | | | | 1.600% due 8/19/19 | | | | | 19,900 | | |
| | | 255,000 | | | | 2.650% due 1/25/21 | | | | | 253,216 | | |
| | | | | | | Total Financial | | | | | 18,264,821 | | |
| Industrial – 6.6% | | ||||||||||||
| | | 450,000 | | | | Borealis Finance LLC, Senior Secured Notes, 7.500% due 11/16/22(a) | | | | | 434,430 | | |
| | | 2,006,000 | | | | Briggs & Stratton Corp., Company Guaranteed Notes, 6.875% due 12/15/20 | | | | | 2,058,658 | | |
| | | 3,000,000NOK | | | | Bulk Industrier AS, Senior Secured Notes, 7.790% (3-Month NOK-NIBOR + 6.500%) due 5/26/21(b) | | | | | 346,268 | | |
| | | 250,000 | | | | Cemex SAB de CV, Senior Secured Notes, 7.750% due 4/16/26 | | | | | 271,550 | | |
| | | 4,905,000 | | | | Clean Harbors Inc., Company Guaranteed Notes, 5.125% due 6/1/21 | | | | | 4,905,000 | | |
| | | 1,675,000 | | | | Dynagas LNG Partners LP/Dynagas Finance Inc., Senior Unsecured Notes, 6.250% due 10/30/19 | | | | | 1,633,125 | | |
| | | 110,000 | | | | FedEx Corp., Company Guaranteed Notes, 3.400% due 1/14/22 | | | | | 110,921 | | |
| | | 145,000 | | | | General Electric Co., Senior Unsecured Notes, 2.700% due 10/9/22 | | | | | 140,163 | | |
| | | 1,000,000 | | | | Golar LNG Partners LP, Senior Unsecured Notes, 7.063% (3-Month USD-LIBOR + 4.400%) due 5/22/20(b) | | | | | 987,500 | | |
| | | 6,377,000 | | | | Greif Inc., Senior Unsecured Notes, 7.750% due 8/1/19 | | | | | 6,494,975 | | |
| | | 190,000 | | | | Northrop Grumman Corp., Senior Unsecured Notes, 2.080% due 10/15/20 | | | | | 187,398 | | |
| | | 265,000 | | | | Packaging Corp. of America, Senior Unsecured Notes, 2.450% due 12/15/20 | | | | | 261,649 | | |
| | | 2,425,677 | | | | Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Senior Secured Notes, 5.750% due 10/15/20 | | | | | 2,430,528 | | |
| | | 1,178,000 | | | | Ship Finance International Ltd., Senior Unsecured Notes, 5.750% due 10/15/21 | | | | | 1,149,806 | | |
| | | 200,000 | | | | Tecnoglass Inc., Company Guaranteed Notes, 8.200% due 1/31/22 | | | | | 209,500 | | |
| | | 848,000 | | | | TransDigm Inc., Company Guaranteed Notes, 5.500% due 10/15/20 | | | | | 848,509 | | |
| | | 185,000 | | | | Union Pacific Corp., Senior Unsecured Notes, 3.200% due 6/8/21 | | | | | 186,163 | | |
| | | 3,010,000 | | | | Welbilt Inc., Company Guaranteed Notes, 9.500% due 2/15/24 | | | | | 3,239,513 | | |
| | | | | | | Total Industrial | | | | | 25,895,656 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Technology – 3.2% | | ||||||||||||
| | $ | 1,093,000 | | | | Advanced Micro Devices Inc., Senior Unsecured Notes, 6.750% due 3/1/19 | | | | $ | 1,093,000 | | |
| | | 190,000 | | | | Analog Devices Inc., Senior Unsecured Notes, 2.950% due 1/12/21 | | | | | 189,114 | | |
| | | 479,000 | | | | CDK Global Inc., Senior Unsecured Notes, 3.800% due 10/15/19 | | | | | 479,000 | | |
| | | 5,538,000 | | | | Dell Inc., Senior Unsecured Notes, 5.875% due 6/15/19 | | | | | 5,579,535 | | |
| | | 3,326,000 | | | | Dell International LLC/EMC Corp., Company Guaranteed Notes, 5.875% due 6/15/21(a) | | | | | 3,391,529 | | |
| | | 1,713,000 | | | | Electronics For Imaging Inc., Senior Unsecured Notes, 0.750% due 9/1/19 | | | | | 1,681,366 | | |
| | | 190,000 | | | | Microchip Technology Inc., Senior Secured Notes, 3.922% due 6/1/21(a) | | | | | 189,356 | | |
| | | | | | | Total Technology | | | | | 12,602,900 | | |
| Utilities – 0.6% | | ||||||||||||
| | | 200,000 | | | | Colbun SA, Senior Unsecured Notes, 4.500% due 7/10/24 | | | | | 203,244 | | |
| | | | | | | Consolidated Edison Inc., Senior Unsecured Notes: | | | |||||
| | | 95,000 | | | | 2.000% due 3/15/20 | | | | | 94,266 | | |
| | | 205,000 | | | | 2.000% due 5/15/21 | | | | | 200,426 | | |
| | | 250,000 | | | | Enel Generacion Chile SA, Senior Unsecured Notes, 4.250% due 4/15/24 | | | | | 253,489 | | |
| | | 200,000 | | | | Israel Electric Corp., Ltd., Senior Secured Notes, 6.875% due 6/21/23 | | | | | 221,938 | | |
| | | 1,103,000 | | | | NGL Energy Partners LP/NGL Energy Finance Corp., Company Guaranteed Notes, 5.125% due 7/15/19 | | | | | 1,108,515 | | |
| | | 100,000 | | | | Pampa Energia SA, Senior Unsecured Notes, 7.375% due 7/21/23 | | | | | 95,250 | | |
| | | 180,000 | | | | PSEG Power LLC, Company Guaranteed Notes, 3.850% due 6/1/23 | | | | | 181,214 | | |
| | | | | | | Total Utilities | | | | | 2,358,342 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Cost – $206,983,174) | | | | | 205,978,177 | | |
| ASSET-BACKED SECURITIES – 11.1% | | ||||||||||||
| | | 500,000 | | | | AIMCO CLO, Series 2015-AA, Class AR, 3.637% (3-Month USD-LIBOR + 0.850%) due 1/15/28(a)(b) | | | | | 494,044 | | |
| | | 296,599 | | | | Apidos CLO XVI, Series 2013-16A, Class A1R, 3.741% (3-Month USD-LIBOR + 0.980%) due 1/19/25(a)(b) | | | | | 296,525 | | |
| | | 1,000,000 | | | | Assurant CLO IV Ltd., Series 2019-1A, Class A, 3.915% (3-Month USD-LIBOR + 1.350%) due 4/20/30(a)(b) | | | | | 999,039 | | |
| | | 500,000 | | | | Atlas Senior Loan Fund III Ltd., Series 2013-1A, Class AR, 3.513% (3-Month USD-LIBOR + 0.830%) due 11/17/27(a)(b) | | | | | 495,119 | | |
| | | 500,000 | | | | Avery Point VII CLO Ltd., Series 2015-7A, Class A1, 4.287% (3-Month USD-LIBOR + 1.500%) due 1/15/28(a)(b) | | | | | 500,137 | | |
| | | 425,020 | | | | Bayview Koitere Fund Trust, Series 2018-RN4, Class A1, step bond to yield, 3.623% due 3/28/33(a) | | | | | 425,106 | | |
| | | 563,729 | | | | Bayview Opportunity Master Fund IVa Trust, Series 2018-RN6, Class A1, step bond to yield, 4.090% due 7/25/33(a) | | | | | 563,016 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 596,671 | | | | Bayview Opportunity Master Fund IVb Trust, Series 2018-SBR2, Class A1, step bond to yield, 3.844% due 4/28/33(a) | | | | $ | 597,795 | | |
| | | 396,285 | | | | Bayview Opportunity Master Fund Trust IIb, Series 2018-RN5, Class A1, step bond to yield, 3.820% due 4/28/33(a) | | | | | 396,604 | | |
| | | 500,000 | | | | Catamaran CLO Ltd., Series 2018-1A, Class A1, 4.021% (3-Month USD-LIBOR + 1.250%) due 10/25/31(a)(b) | | | | | 494,238 | | |
| | | 1,000,000 | | | | Cathedral Lake V Ltd., Series 2018-5A, Class A1, 3.641% (3-Month USD-LIBOR + 1.200%) due 10/21/30(a)(b) | | | | | 993,795 | | |
| | | 529 | | | | CLUB Credit Trust, Series 2018-NP1, Class A, 2.990% due 5/15/24(a) | | | | | 529 | | |
| | | | | | | Credit Suisse Commercial Mortgage Capital Trust: | | | |||||
| | | 272,785 | | | | Series 2017-1, Class A, 4.500% due 3/25/21(a) | | | | | 273,420 | | |
| | | 478,227 | | | | Series 2018-RPL8, Class A1, 4.125% due 7/25/58(a)(b) | | | | | 477,881 | | |
| | | 467,206 | | | | DRB Prime Student Loan Trust, Series 2016-R, Class A1, 4.390% (1-Month USD-LIBOR + 1.900%) due 10/25/44(a)(b) | | | | | 471,475 | | |
| | | 272,295 | | | | Earnest Student Loan Program LLC, Series 2017-A, Class A2, 2.650% due 1/25/41(a) | | | | | 268,384 | | |
| | | 315,170 | | | | GCAT LLC, Series 2017-2, Class A1, step bond to yield, 3.500% due 4/25/47(a) | | | | | 313,435 | | |
| | | 500,000 | | | | GLS Auto Receivables Issuer Trust, Series 2019-1A, Class A, 3.370% due 1/17/23(a) | | | | | 500,269 | | |
| | | 621,047 | | | | GLS Auto Receivables Trust, Series 2018-3A, Class A, 3.350% due 8/15/22(a) | | | | | 621,759 | | |
| | | 345,000 | | | | GPMT Ltd., Series 2019-FL2, Class A, 3.800% (1-Month USD-LIBOR + 1.300%) due 2/22/36(a)(b) | | | | | 345,646 | | |
| | | 1,000,000 | | | | Greywolf CLO V Ltd., Series 2015-1A, Class A1R, 3.931% (3-Month USD-LIBOR + 1.160%) due 1/27/31(a)(b) | | | | | 990,625 | | |
| | | 1,000,000 | | | | Greywolf CLO VII Ltd., Series 2018-2A, Class A1, 0.000% (3-Month USD-LIBOR + 1.180%) due 10/20/31(a)(b) | | | | | 999,859 | | |
| | | 500,000 | | | | Hayfin Kingsland VIII Ltd., Series 2018-8A, Class A, 3.881% (3-Month USD-LIBOR + 1.120%) due 4/20/31(a)(b) | | | | | 491,483 | | |
| | | 228,000 | | | | Hunt CRE Ltd., Series 2018-FL2, Class A, 3.569% (1-Month USD-LIBOR + 1.080%) due 8/15/28(a)(b) | | | | | 226,860 | | |
| | | | | | | Invitation Homes Trust: | | | |||||
| | | 194,729 | | | | Series 2017-SFR2, Class A, 3.331% (1-Month USD-LIBOR + 0.850%) due 12/17/36(a)(b) | | | | | 194,729 | | |
| | | 197,432 | | | | Series 2018-SFR1, Class A, 3.181% (1-Month USD-LIBOR + 0.700%) due 3/17/37(a)(b) | | | | | 194,588 | | |
| | | 538,088 | | | | Jamestown CLO IV Ltd., Series 2014-4A, Class A1AR, 3.477% (3-Month USD-LIBOR + 0.690%) due 7/15/26(a)(b) | | | | | 535,832 | | |
| | | | | | | Jamestown CLO IX Ltd.: | | | |||||
| | | 500,000 | | | | Series 2016-9A, Class A1A, 4.331% (3-Month USD-LIBOR + 1.570%) due 10/20/28(a)(b) | | | | | 500,293 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 500,000 | | | | Series 2016-9A, Class A1B, 4.261% (3-Month USD-LIBOR + 1.500%) due 10/20/28(a)(b) | | | | $ | 500,246 | | |
| | | 321,000 | | | | KREF Ltd., Series 2018-FL1, Class A, 3.589% (1-Month USD-LIBOR + 1.100%) due 6/15/36(a)(b) | | | | | 320,566 | | |
| | | 824,163 | | | | Legacy Mortgage Asset Trust, Series 2018-SL1, Class A, 4.000% due 2/25/58(a)(b) | | | | | 818,651 | | |
| | | 1,000,000 | | | | Marathon CLO VII Ltd., Series 2014-7A, Class A1R, 4.085% (3-Month USD-LIBOR + 1.320%) due 10/28/25(a)(b) | | | | | 1,000,186 | | |
| | | | | | | Marlette Funding Trust: | | | |||||
| | | 25,621 | | | | Series 2017-2A, Class A, 2.390% due 7/15/24(a) | | | | | 25,614 | | |
| | | 173,582 | | | | Series 2017-3A, Class A, 2.360% due 12/15/24(a) | | | | | 173,218 | | |
| | | 330,467 | | | | Series 2018-3A, Class A, 3.200% due 9/15/28(a) | | | | | 330,553 | | |
| | | 660,353 | | | | Series 2018-4A, Class A, 3.710% due 12/15/28(a) | | | | | 663,476 | | |
| | | 341,000 | | | | NLY Commercial Mortgage Trust, Series 2019-FL2, Class AS, 4.111% (1-Month USD-LIBOR + 1.600%) due 2/15/36(a)(b) | | | | | 341,002 | | |
| | | 318,058 | | | | NRZ Excess Spread-Collateralized Notes, Series 2018-PLS1, Class A, 3.193% due 1/25/23(a) | | | | | 316,410 | | |
| | | 1,000,000 | | | | Ocean Trails CLO V, Series 2014-5A, Class ARR, 4.077% (3-Month USD-LIBOR + 1.280%) due 10/13/31(a)(b) | | | | | 987,834 | | |
| | | 250,000 | | | | OCP CLO Ltd., Series 2014-5A, Class A1R, 3.845% (3-Month USD-LIBOR + 1.080%) due 4/26/31(a)(b) | | | | | 246,913 | | |
| | | 760,000 | | | | Octagon Investment Partners 24 Ltd., Series 2015-1A, Class A1R, 3.541% (3-Month USD-LIBOR + 0.900%) due 5/21/27(a)(b) | | | | | 755,079 | | |
| | | 3,000,000 | | | | Park Avenue Institutional Advisers CLO Ltd., Series 2018-1A, Class A1A, 3.772% (3-Month USD-LIBOR + 1.280%) due 10/20/31(a)(b) | | | | | 2,974,262 | | |
| | | | | | | Prosper Marketplace Issuance Trust: | | | |||||
| | | 81,511 | | | | Series 2018-1A, Class A, 3.110% due 6/17/24(a) | | | | | 81,552 | | |
| | | 750,000 | | | | Series 2019-1A, Class A, 3.540% due 4/15/25(a) | | | | | 749,954 | | |
| | | 1,000,000 | | | | Race Point IX CLO Ltd., Series 2015-9A, Class A1AR, 3.997% (3-Month USD-LIBOR + 1.210%) due 10/15/30(a)(b) | | | | | 996,012 | | |
| | | 500,000 | | | | Rockford Tower CLO Ltd., Series 2018-1A, Class A, 3.744% (3-Month USD-LIBOR + 1.100%) due 5/20/31(a)(b) | | | | | 492,900 | | |
| | | | | | | Sofi Consumer Loan Program LLC: | | | |||||
| | | 904,916 | | | | Series 2016-5, Class A, 3.060% due 9/25/28(a) | | | | | 902,360 | | |
| | | 412,524 | | | | Series 2017-3, Class A, 2.770% due 5/25/26(a) | | | | | 410,999 | | |
| | | 189,133 | | | | Series 2017-5, Class A1, 2.140% due 9/25/26(a) | | | | | 188,578 | | |
| | | | | | | Sofi Consumer Loan Program Trust: | | | |||||
| | | 118,482 | | | | Series 2018-2, Class A1, 2.930% due 4/26/27(a) | | | | | 118,313 | | |
| | | 326,121 | | | | Series 2018-3, Class A1, 3.200% due 8/25/27(a) | | | | | 326,073 | | |
| | | 500,000 | | | | Series 2019-1, Class A, 3.240% due 2/25/28(a) | | | | | 500,258 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | | | | | | Sofi Professional Loan Program LLC: | | | |||||
| | $ | 566,866 | | | | Series 2015-C, Class A2, 2.510% due 8/25/33(a) | | | | $ | 555,732 | | |
| | | 135,538 | | | | Series 2017-C, Class A2A, 1.750% due 7/25/40(a) | | | | | 134,722 | | |
| | | 500,000 | | | | Series 2019-A, Class A1FX, 3.180% due 6/15/48(a) | | | | | 500,894 | | |
| | | 1,000,000 | | | | Sound Point CLO VI-R Ltd., Series 2014-2RA, Class A, 3.719% (3-Month USD-LIBOR + 1.250%) due 10/20/31(a)(b) | | | | | 994,490 | | |
| | | 500,000 | | | | Sound Point CLO XVIII Ltd., Series 2017-4A, Class A1, 3.881% (3-Month USD-LIBOR + 1.120%) due 1/21/31(a)(b) | | | | | 493,709 | | |
| | | 536,127 | | | | SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.050% due 4/25/29(a) | | | | | 534,366 | | |
| | | 1,000,000 | | | | Steele Creek CLO Ltd., Series 2018-2A, Class A, 3.883% (3-Month USD-LIBOR + 1.200%) due 8/18/31(a)(b) | | | | | 990,106 | | |
| | | 1,000,000 | | | | Steele Creek CLO Ltd., Series 2015-1A, Class AR, 3.901% (3-Month USD-LIBOR + 1.260%) due 5/21/29(a)(b) | | | | | 998,634 | | |
| | | 595,833 | | | | TAL Advantage V LLC, Series 2014-2A, Class A2, 3.330% due 5/20/39(a) | | | | | 593,533 | | |
| | | 473,360 | | | | Tesla Auto Lease Trust, Series 2018-B, Class A, 3.710% due 8/20/21(a) | | | | | 478,104 | | |
| | | 795,358 | | | | Upgrade Receivables Trust, Series 2018-1A, Class A, 3.760% due 11/15/24(a) | | | | | 795,787 | | |
| | | 19,776 | | | | Upstart Securitization Trust, Series 2018-1, Class A, 3.015% due 8/20/25(a) | | | | | 19,776 | | |
| | | 863,361 | | | | Venture VII CDO Ltd., Series 2006-7A, Class A1A, 2.991% (3-Month USD-LIBOR + 0.230%) due 1/20/22(a)(b) | | | | | 863,015 | | |
| | | 902,937 | | | | VOLT LXIV LLC, Series 2017-NP11, Class A1, step bond to yield, 3.375% due 10/25/47(a) | | | | | 900,436 | | |
| | | 650,494 | | | | VOLT LXX LLC, Series 2018-NPL6, Class A1A, step bond to yield, 4.115% due 9/25/48(a) | | | | | 650,278 | | |
| | | 1,621,531 | | | | VOLT LXXI LLC, Series 2018-NPL7, Class A1A, step bond to yield, 3.967% due 9/25/48(a) | | | | | 1,614,881 | | |
| | | 1,916,336 | | | | VOLT LXXII LLC, Series 2018-NPL8, Class A1A, step bond to yield, 4.213% due 10/26/48(a) | | | | | 1,904,927 | | |
| | | 500,000 | | | | VOLT LXXIII LLC, Series 2018-NPL9, Class A1A, step bond to yield, 4.458% due 10/25/48(a) | | | | | 499,229 | | |
| | | 496,184 | | | | VOLT LXXV LLC, Series 2019-NPL1, Class A1A, step bond to yield, 4.336% due 1/25/49(a) | | | | | 497,261 | | |
| | | 168,815 | | | | Wachovia Student Loan Trust, Series 2006-1, Class A5, 2.891% (3-Month USD-LIBOR + 0.120%) due 7/26/27(a)(b) | | | | | 168,804 | | |
| | | 500,000 | | | | Westlake Automobile Receivables Trust, Series 2018-2A, Class B, 3.200% due 1/16/24(a) | | | | | 500,798 | | |
| | | 865,634 | | | | Zais CLO 2 Ltd., Series 2014-2A, Class A1AR, 3.971% (3-Month USD-LIBOR + 1.200%) due 7/25/26(a)(b) | | | | | 863,819 | | |
| | | | | | | TOTAL ASSET-BACKED SECURITIES (Cost – $43,556,478) | | | | | 43,436,795 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – 8.8% | | ||||||||||||
| | | | | | | Atrium Hotel Portfolio Trust: | | | |||||
| | $ | 118,000 | | | | Series 2017-ATRM, Class E, 5.539% (1-Month USD-LIBOR + 3.050%) due 12/15/36(a)(b) | | | | $ | 118,146 | | |
| | | 321,000 | | | | Series 2018-ATRM, Class D, 4.789% (1-Month USD-LIBOR + 2.300%) due 6/15/35(a)(b) | | | | | 320,292 | | |
| | | 162,128 | | | | Bancorp Commercial Mortgage Trust, Series 2018-CRE4, Class A, 3.389% (1-Month USD-LIBOR + 0.900%) due 9/15/35(a)(b) | | | | | 162,025 | | |
| | | | | | | BANK: | | | |||||
| | | 1,561,819 | | | | Series 2017-BNK4, Class XA, 1.440% due 5/15/50(b)(e) | | | | | 128,113 | | |
| | | 1,887,465 | | | | Series 2017-BNK6, Class XA, 0.868% due 7/15/60(b)(e) | | | | | 99,843 | | |
| | | 79,000 | | | | BBCMS Mortgage Trust, Series 2018-TALL, Class A, 3.211% (1-Month USD-LIBOR + 0.722%) due 3/15/37(a)(b) | | | | | 78,159 | | |
| | | 535,000 | | | | BBCMS Trust, Series 2018-BXH, Class A, 3.489% (1-Month USD-LIBOR + 1.000%) due 10/15/37(a)(b) | | | | | 530,984 | | |
| | | 114,661 | | | | Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PW10, Class AJ, 5.589% due 12/11/40(b) | | | | | 118,132 | | |
| | | 460,727 | | | | Bellemeade Re Ltd., Series 2018-2A, Class M1A, 3.440% (1-Month USD-LIBOR + 0.950%) due 8/25/28(a)(b) | | | | | 460,429 | | |
| | | | | | | BHMS: | | | |||||
| | | 75,000 | | | | Series 2018-ATLS, Class A, 3.739% (1-Month USD-LIBOR + 1.250%) due 7/15/35(a)(b) | | | | | 74,882 | | |
| | | 650,000 | | | | Series 2018-ATLS, Class C, 4.389% (1-Month USD-LIBOR + 1.900%) due 7/15/35(a)(b) | | | | | 648,973 | | |
| | | 650,000 | | | | Braemar Hotels & Resorts Trust, Series 2018-PRME, Class A, 3.309% (1-Month USD-LIBOR + 0.820%) due 6/15/35(a)(b) | | | | | 647,646 | | |
| | | | | | | BSPRT Issuer Ltd.: | | | |||||
| | | 81,000 | | | | Series 2017-FL2, Class AS, 3.589% (1-Month USD-LIBOR + 1.100%) due 10/15/34(a)(b) | | | | | 80,812 | | |
| | | 81,000 | | | | Series 2017-FL2, Class B, 3.889% (1-Month USD-LIBOR + 1.400%) due 10/15/34(a)(b) | | | | | 80,695 | | |
| | | | | | | BX Commercial Mortgage Trust: | | | |||||
| | | 118,000 | | | | Series 2018-BIOA, Class E, 4.440% (1-Month USD-LIBOR + 1.951%) due 3/15/37(a)(b) | | | | | 117,555 | | |
| | | 315,637 | | | | Series 2018-IND, Class A, 3.239% (1-Month USD-LIBOR + 0.750%) due 11/15/35(a)(b) | | | | | 315,242 | | |
| | | | | | | BX Trust: | | | |||||
| | | 500,000 | | | | Series 2017-IMC, Class A, 3.539% (1-Month USD-LIBOR + 1.050%) due 10/15/32(a)(b) | | | | | 499,915 | | |
| | | 27,000 | | | | Series 2017-IMC, Class D, 4.739% (1-Month USD-LIBOR + 2.250%) due 10/15/32(a)(b) | | | | | 26,899 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 44,000 | | | | Series 2017-IMC, Class E, 5.739% (1-Month USD-LIBOR + 3.250%) due 10/15/32(a)(b) | | | | $ | 43,844 | | |
| | | 504,870 | | | | Series 2018-EXCL, Class A, 3.576% (1-Month USD-LIBOR + 1.088%) due 9/15/37(a)(b) | | | | | 502,021 | | |
| | | 250,000 | | | | Series 2018-GW, Class F, 4.909% (1-Month USD-LIBOR + 2.420%) due 5/15/35(a)(b) | | | | | 250,309 | | |
| | | 118,000 | | | | Series 2018-MCSF, Class F, 5.135% (1-Month USD-LIBOR + 2.647%) due 4/15/35(a)(b)(f) | | | | | 117,672 | | |
| | | 117,000 | | | | BXMT Ltd., Series 2017-FL1, Class C, 4.439% (1-Month USD-LIBOR + 1.950%) due 6/15/35(a)(b) | | | | | 116,719 | | |
| | | 323,000 | | | | CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class A, 3.559% (1-Month USD-LIBOR + 1.070%) due 12/15/37(a)(b) | | | | | 324,011 | | |
| | | 1,691,675 | | | | CD Mortgage Trust, Series 2017-CD4, Class XA, 1.318% due 5/10/50(b)(e) | | | | | 128,576 | | |
| | | | | | | CFCRE Commercial Mortgage Trust: | | | |||||
| | | 1,377,754 | | | | Series 2017-C8, Class XA, 1.659% due 6/15/50(b)(e) | | | | | 131,198 | | |
| | | 287,000 | | | | Series 2017-C8, Class XB, 0.954% due 6/15/50(b)(e) | | | | | 19,598 | | |
| | | 405,000 | | | | Series 2018-TAN, Class B, 4.690% due 2/15/33(a) | | | | | 414,950 | | |
| | | 325,000 | | | | CGDBB Commercial Mortgage Trust, Series 2017-BIOC, Class A, 3.279% (1-Month USD-LIBOR + 0.790%) due 7/15/32(a)(b) | | | | | 324,579 | | |
| | | 118,000 | | | | CGGS Commercial Mortgage Trust, Series 2018-WSS, Class D, 4.789% (1-Month USD-LIBOR + 2.300%) due 2/15/37(a)(b) | | | | | 117,703 | | |
| | | | | | | CHT Mortgage Trust: | | | |||||
| | | 117,000 | | | | Series 2017-CSMO, Class A, 3.419% (1-Month USD-LIBOR + 0.930%) due 11/15/36(a)(b) | | | | | 116,999 | | |
| | | 77,000 | | | | Series 2017-CSMO, Class E, 5.489% (1-Month USD-LIBOR + 3.000%) due 11/15/36(a)(b) | | | | | 77,240 | | |
| | | 41,000 | | | | Series 2017-CSMO, Class F, 6.230% (1-Month USD-LIBOR + 3.741%) due 11/15/36(a)(b)(f) | | | | | 41,229 | | |
| | | 178,000 | | | | Citigroup Commercial Mortgage Trust, Series 2018-TBR, Class B, 3.639% (1-Month USD-LIBOR + 1.150%) due 12/15/36(a)(b) | | | | | 177,385 | | |
| | | 989,469 | | | | Citigroup Mortgage Loan Trust, Series 2018-C, Class A1, step bond to yield, 4.125% due 3/25/59(a) | | | | | 989,072 | | |
| | | 790,990 | | | | Civic Mortgage LLC, Series 2018-1, Class A1, step bond to yield, 3.892% due 6/25/22(a) | | | | | 789,734 | | |
| | | | | | | CLNS Trust: | | | |||||
| | | 47,000 | | | | Series 2017-IKPR, Class D, 4.567% (1-Month USD-LIBOR + 2.050%) due 6/11/32(a)(b) | | | | | 47,029 | | |
| | | 47,000 | | | | Series 2017-IKPR, Class E, 6.017% (1-Month USD-LIBOR + 3.500%) due 6/11/32(a)(b) | | | | | 47,176 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | | | | | | Cold Storage Trust: | | | |||||
| | $ | 395,000 | | | | Series 2017-ICE3, Class A, 3.489% (1-Month USD-LIBOR + 1.000%) due 4/15/36(a)(b) | | | | $ | 393,998 | | |
| | | 90,000 | | | | Series 2017-ICE3, Class C, 3.839% (1-Month USD-LIBOR + 1.350%) due 4/15/36(a)(b) | | | | | 89,772 | | |
| | | 278,422 | | | | COLT Mortgage Loan Trust, Series 2017-1, Class A2, 2.819% due 5/27/47(a)(b) | | | | | 275,921 | | |
| | | | | | | Commercial Mortgage Trust: | | | |||||
| | | 22,176,218 | | | | Series 2013-CR9, Class XA, 0.121% due 7/10/45(b)(e) | | | | | 82,363 | | |
| | | 2,187,870 | | | | Series 2013-LC6, Class XA, 1.357% due 1/10/46(b)(e) | | | | | 93,935 | | |
| | | 325,000 | | | | Series 2014-FL5, Class C, 3.895% (1-Month USD-LIBOR + 2.150%) due 10/15/31(a)(b) | | | | | 324,334 | | |
| | | 344,000 | | | | Series 2014-FL5, Class D, 3.895% (1-Month USD-LIBOR + 4.000%) due 10/15/31(a)(b) | | | | | 337,940 | | |
| | | 321,000 | | | | Series 2015-CR23, Class CMD, 3.685% due 5/10/48(a)(b)(f) | | | | | 319,755 | | |
| | | 227,000 | | | | Series 2018-HCLV, Class A, 3.489% (1-Month USD-LIBOR + 1.000%) due 9/15/33(a)(b) | | | | | 226,530 | | |
| | | | | | | Credit Suisse Commercial Mortgage Capital Trust: | | | |||||
| | | 70,000 | | | | Series 2017-CHOP, Class D, 4.389% (1-Month USD-LIBOR + 1.900%) due 7/15/32(a)(b) | | | | | 69,999 | | |
| | | 650,000 | | | | Series 2017-CHOP, Class E, 5.789% (1-Month USD-LIBOR + 3.300%) due 7/15/32(a)(b) | | | | | 651,216 | | |
| | | 107,000 | | | | Series 2017-LSTK, Class C, 3.229% due 4/5/33(a) | | | | | 105,820 | | |
| | | 128,000 | | | | Series 2017-LSTK, Class D, 3.331% due 4/5/33(a)(b) | | | | | 125,980 | | |
| | | 47,000 | | | | Series 2017-LSTK, Class E, 3.331% due 4/5/33(a)(b)(f) | | | | | 45,947 | | |
| | | 8,157,000 | | | | Series 2017-LSTK, Class XACP, 0.570% due 4/5/33(a)(b)(e) | | | | | 58,503 | | |
| | | 2,969,000 | | | | Series 2017-LSTK, Class XBCP, 0.205% due 4/5/33(a)(b)(e) | | | | | 8,871 | | |
| | | | | | | Credit Suisse Commercial Mortgage Securities Corp.: | | | |||||
| | | 344,000 | | | | Series 2019-SKLZ, Class A, 3.760% (1-Month USD-LIBOR + 1.250%) due 1/15/34(a)(b) | | | | | 344,854 | | |
| | | 17,050,000 | | | | Series 2019-SKLZ, Class XCP, 1.622% due 7/15/34(a)(b)(e) | | | | | 340,563 | | |
| | | | | | | CSAIL Commercial Mortgage Trust: | | | |||||
| | | 821,783 | | | | Series 2017-C8, Class XA, 1.250% due 6/15/50(b)(e) | | | | | 54,169 | | |
| | | 4,814,640 | | | | Series 2017-CX10, Class XA, 0.727% due 11/15/50(b)(e) | | | | | 233,812 | | |
| | | 3,539,777 | | | | Series 2018-CX12, Class XA, 0.623% due 8/15/51(b)(e) | | | | | 162,561 | | |
| | | 230,000 | | | | CSWF, Series 2018-TOP, Class A, 3.489% (1-Month USD-LIBOR + 1.000%) due 8/15/35(a)(b) | | | | | 229,205 | | |
| | | | | | | Deephaven Residential Mortgage Trust: | | | |||||
| | | 202,154 | | | | Series 2017-1A, Class A1, 2.725% due 12/26/46(a)(b) | | | | | 200,504 | | |
| | | 202,154 | | | | Series 2017-1A, Class A2, 2.928% due 12/26/46(a)(b) | | | | | 200,802 | | |
| | | 345,786 | | | | Series 2018-3A, Class A2, 3.891% due 8/25/58(a)(b) | | | | | 346,888 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | | | | | | Federal Home Loan Mortgage Corp. (FHLMC), REMICS: | | | |||||
| | $ | 596,948 | | | | Series 4703, Class FA, 2.839% (1-Month USD-LIBOR + 0.350%) due 7/15/47(b) | | | | $ | 594,441 | | |
| | | 827,647 | | | | Series 4718, Class FA, 2.839% (1-Month USD-LIBOR + 0.350%) due 9/15/47(b) | | | | | 823,251 | | |
| | | | | | | Federal National Mortgage Association (FNMA), REMICS: | | | |||||
| | | 349,770 | | | | Series 2010-113, Class FA, 2.890% (1-Month USD-LIBOR + 0.400%) due 10/25/40(b) | | | | | 350,284 | | |
| | | 481,698 | | | | Series 2012-110, Class MF, 2.950% (1-Month USD-LIBOR + 0.460%) due 10/25/42(b) | | | | | 482,364 | | |
| | | 774,683 | | | | Series 2012-56, Class FK, 2.940% (1-Month USD-LIBOR + 0.450%) due 6/25/42(b) | | | | | 776,145 | | |
| | | 88,235 | | | | Series 2013-81, Class EF, 2.840% (1-Month USD-LIBOR + 0.350%) due 12/25/42(b) | | | | | 88,146 | | |
| | | 663,568 | | | | Series 2014-84, Class BF, 2.870% (1-Month USD-LIBOR + 0.350%) due 12/25/44(b) | | | | | 663,264 | | |
| | | 465,511 | | | | Series 2018-49, Class FB, 2.790% (1-Month USD-LIBOR + 0.300%) due 7/25/48(b) | | | | | 461,570 | | |
| | | 227,285 | | | | Series 2018-55, Class FA, 2.790% (1-Month USD-LIBOR + 0.300%) due 8/25/48(b) | | | | | 225,944 | | |
| | | 489,969 | | | | Series 2018-64, Class FA, 2.840% (1-Month USD-LIBOR + 0.350%) due 9/25/48(b) | | | | | 487,585 | | |
| | | 469,580 | | | | Series 2018-77, Class FA, 2.790% (1-Month USD-LIBOR + 0.300%) due 10/25/48(b) | | | | | 466,808 | | |
| | | 89,982 | | | | GPMT Ltd., Series 2018-FL1, Class A, 3.381% (1-Month USD-LIBOR + 0.900%) due 11/21/35(a)(b) | | | | | 89,489 | | |
| | | | | | | GS Mortgage Securities Corp. Trust: | | | |||||
| | | 77,000 | | | | Series 2017-500K, Class E, 3.989% (1-Month USD-LIBOR + 1.500%) due 7/15/32(a)(b) | | | | | 76,265 | | |
| | | 53,000 | | | | Series 2017-500K, Class F, 4.289% (1-Month USD-LIBOR + 1.800%) due 7/15/32(a)(b) | | | | | 52,748 | | |
| | | 171,000 | | | | Series 2018-3PCK, Class A, 3.939% (1-Month USD-LIBOR + 1.450%) due 9/15/31(a)(b) | | | | | 171,252 | | |
| | | 551,000 | | | | Series 2018-FBLU, Class E, 5.239% (1-Month USD-LIBOR + 2.750%) due 11/15/35(a)(b) | | | | | 552,555 | | |
| | | 321,000 | | | | Series 2018-LUAU, Class A, 3.489% (1-Month USD-LIBOR + 1.000%) due 11/15/32(a)(b) | | | | | 320,190 | | |
| | | 200,000 | | | | Series 2018-TWR, Class A, 3.389% (1-Month USD-LIBOR + 0.900%) due 7/15/31(a)(b) | | | | | 199,810 | | |
| | | 200,000 | | | | Series 2018-TWR, Class D, 4.089% (1-Month USD-LIBOR + 1.600%) due 7/15/31(a)(b) | | | | | 198,251 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | | | | | | GS Mortgage Securities Trust: | | | |||||
| | $ | 5,286,580 | | | | Series 2016-GS4, Class XA, 0.586% due 11/10/49(b)(e) | | | | $ | 162,067 | | |
| | | 1,769,230 | | | | Series 2017-GS6, Class XA, 1.047% due 5/10/50(b)(e) | | | | | 124,959 | | |
| | | 3,619,753 | | | | Series 2017-GS8, Class XA, 0.981% due 11/10/50(b)(e) | | | | | 235,996 | | |
| | | 78,000 | | | | Hilton Orlando Trust, Series 2018-ORL, Class B, 3.539% (1-Month USD-LIBOR + 1.050%) due 12/15/34(a)(b) | | | | | 77,461 | | |
| | | 1,509,981 | | | | Homeward Opportunities Fund I Trust, Series 2018-1, Class A1, 3.766% due 6/25/48(a)(b) | | | | | 1,520,387 | | |
| | | | | | | JP Morgan Chase Commercial Mortgage Securities Trust: | | | |||||
| | | 12,717 | | | | Series 2007-LDPX, Class AM, 5.464% due 1/15/49(b) | | | | | 12,723 | | |
| | | 3,460,498 | | | | Series 2014-C20, Class XA, 1.069% due 7/15/47(b)(e) | | | | | 98,789 | | |
| | | 414,218 | | | | Series 2014-FL6, Class B, 4.769% (1-Month USD-LIBOR + 2.280%) due 11/15/31(a)(b) | | | | | 415,921 | | |
| | | 117,000 | | | | Series 2018-LAQ, Class A, 3.489% (1-Month USD-LIBOR + 1.000%) due 6/15/32(a)(b) | | | | | 116,522 | | |
| | | 586,302 | | | | JP Morgan Mortgage Trust, Series 2018-7FRB, Class A2, 3.260% (1-Month USD-LIBOR + 0.750%) due 4/25/46(a)(b) | | | | | 585,329 | | |
| | | 1,378,389 | | | | JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class XA, 1.430% due 11/15/48(b)(e) | | | | | 62,780 | | |
| | | 227,000 | | | | Monarch Beach Resort Trust, Series 2018-MBR, Class A, 3.409% (1-Month USD-LIBOR + 0.920%) due 7/15/35(a)(b) | | | | | 225,931 | | |
| | | | | | | Morgan Stanley Capital I Trust: | | | |||||
| | | 285,284 | | | | Series 2007-T27, Class AJ, 5.946% due 6/11/42(b) | | | | | 300,290 | | |
| | | 164,000 | | | | Series 2011-C1, Class D, 5.375% due 9/15/47(a)(b) | | | | | 170,048 | | |
| | | 550,000 | | | | Series 2013-WLSR, Class A, 2.695% due 1/11/32(a) | | | | | 547,112 | | |
| | | 300,000 | | | | Series 2014-CPT, Class F, 3.446% due 7/13/29(a)(b)(f) | | | | | 294,978 | | |
| | | 1,509,801 | | | | Series 2016-UB11, Class XA, 1.639% due 8/15/49(b)(e) | | | | | 125,301 | | |
| | | 4,201,672 | | | | Series 2016-UB12, Class XA, 0.799% due 12/15/49(b)(e) | | | | | 179,250 | | |
| | | 76,000 | | | | Series 2017-ASHF, Class D, 4.689% (1-Month USD-LIBOR + 2.200%) due 11/15/34(a)(b) | | | | | 75,809 | | |
| | | 162,000 | | | | Series 2017-ASHF, Class E, 5.639% (1-Month USD-LIBOR + 3.150%) due 11/15/34(a)(b) | | | | | 161,493 | | |
| | | 123,000 | | | | Series 2017-ASHF, Class F, 6.839% (1-Month USD-LIBOR + 4.350%) due 11/15/34(a)(b) | | | | | 122,692 | | |
| | | 186,000 | | | | Series 2017-CLS, Class E, 4.439% (1-Month USD-LIBOR + 1.950%) due 11/15/34(a)(b) | | | | | 184,720 | | |
| | | 206,000 | | | | Series 2017-CLS, Class F, 5.089% (1-Month USD-LIBOR + 2.600%) due 11/15/34(a)(b)(f) | | | | | 204,583 | | |
| | | 988,262 | | | | Series 2017-H1, Class XA, 1.447% due 6/15/50(b)(e) | | | | | 78,997 | | |
| | | 285,000 | | | | Series 2017-JWDR, Class A, 3.339% (1-Month USD-LIBOR + 0.850%) due 11/15/34(a)(b) | | | | | 283,570 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 142,000 | | | | Series 2018-SUN, Class A, 3.389% (1-Month USD-LIBOR + 0.900%) due 7/15/35(a)(b) | | | | $ | 140,579 | | |
| | | 601,527 | | | | Motel 6 Trust, Series 2017-MTL6, Class A, 3.409% (1-Month USD-LIBOR + 0.920%) due 8/15/34(a)(b) | | | | | 598,698 | | |
| | | 534,000 | | | | MSCG Trust, Series 2018-SELF, Class A, 3.389% (1-Month USD-LIBOR + 0.900%) due 10/15/37(a)(b) | | | | | 532,331 | | |
| | | 117,000 | | | | Natixis Commercial Mortgage Securities Trust, Series 2018-FL1, Class A, 3.459% (1-Month USD-LIBOR + 0.950%) due 6/15/35(a)(b) | | | | | 115,528 | | |
| | | 344,000 | | | | OBP Depositor LLC Trust, Series 2010-OBP, Class A, 4.646% due 7/15/45(a) | | | | | 348,616 | | |
| | | 996,019 | | | | PRPM LLC, Series 2019-1A, Class A1, step bond to yield, 4.500% due 1/25/24(a) | | | | | 1,000,875 | | |
| | | 36,000 | | | | RAIT Trust, Series 2017-FL7, Class AS, 3.789% (1-Month USD-LIBOR + 1.300%) due 6/15/37(a)(b) | | | | | 35,547 | | |
| | | 725,167 | | | | RCO Trust, Series 2017-INV1, Class A, 3.197% due 11/25/52(a)(b) | | | | | 714,112 | | |
| | | 320,861 | | | | Ready Capital Mortgage Trust, Series 2019-5, Class A, 3.777% due 2/25/52(a) | | | | | 322,520 | | |
| | | | | | | Rosslyn Portfolio Trust: | | | |||||
| | | 198,000 | | | | Series 2017-ROSS, Class A, 3.459% (1-Month USD-LIBOR + 0.950%) due 6/15/33(a)(b) | | | | | 197,814 | | |
| | | 35,000 | | | | Series 2017-ROSS, Class B, 3.759% (1-Month USD-LIBOR + 1.250%) due 6/15/33(a)(b) | | | | | 34,869 | | |
| | | 230,952 | | | | SG Residential Mortgage Trust, Series 2017-1, Class A1, 3.709% due 4/25/47(a)(b) | | | | | 233,490 | | |
| | | 169,087 | | | | SLIDE, Series 2018-FUN, Class A, 3.389% (1-Month USD-LIBOR + 0.900%) due 6/15/31(a)(b) | | | | | 168,714 | | |
| | | 284,000 | | | | STWD Mortgage Trust, Series 2018-URB, Class A, 3.489% (1-Month USD-LIBOR + 1.000%) due 5/15/35(a)(b) | | | | | 283,326 | | |
| | | | | | | UBS Commercial Mortgage Trust: | | | |||||
| | | 1,860,547 | | | | Series 2012-C1, Class XA, 2.065% due 5/10/45(a)(b)(e) | | | | | 96,170 | | |
| | | 1,128,720 | | | | Series 2017-C1, Class XA, 1.594% due 6/15/50(b)(e) | | | | | 107,792 | | |
| | | 387,319 | | | | Verus Securitization Trust, Series 2018-1, Class A1, 2.929% due 2/25/48(a)(b) | | | | | 384,802 | | |
| | | 536,000 | | | | VMC Finance LLC, Series 2018-FL2, Class A, 3.409% (1-Month USD-LIBOR + 0.920%) due 10/15/35(a)(b) | | | | | 534,906 | | |
| | | | | | | Wells Fargo Commercial Mortgage Trust: | | | |||||
| | | 2,865,890 | | | | Series 2015-LC22, Class XA, 0.859% due 9/15/58(b)(e) | | | | | 122,784 | | |
| | | 6,136,216 | | | | Series 2015-NXS2, Class XA, 0.744% due 7/15/58(b)(e) | | | | | 191,627 | | |
| | | 3,488,005 | | | | Series 2018-C46, Class XA, 0.949% due 8/15/51(b)(e) | | | | | 215,008 | | |
| | | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost – $35,291,828) | | | | | 34,438,206 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| SENIOR LOANS(b) – 5.7% | | ||||||||||||
| | $ | 5,250,700 | | | | Berry Global Inc., due 2/8/20(g) | | | | $ | 5,240,881 | | |
| | | 1,968,275 | | | | Crestwood Holdings LLC, 10.010% (1-Month USD-LIBOR + 7.500%) due 3/6/23 | | | | | 1,937,117 | | |
| | | 3,803,000 | | | | Eastman Kodak Co., 8.743% (1-Month USD-LIBOR + 6.250%) due 9/3/19 | | | | | 3,656,585 | | |
| | | 3,200,996 | | | | First Data Corp., due 7/8/22(g) | | | | | 3,196,739 | | |
| | | 1,611,507 | | | | Internap Corp., 8.250% (1-Month USD-LIBOR + 5.750%) due 4/6/22 | | | | | 1,583,305 | | |
| | | 2,527,798 | | | | LSC Communications Inc., 7.993% (1-Month USD-LIBOR + 5.500%) due 9/30/22 | | | | | 2,511,999 | | |
| | | 830,751 | | | | Monitronics International Inc., 8.303% (3-Month USD-LIBOR + 5.500%) due 9/30/22 | | | | | 726,392 | | |
| | | 860,900 | | | | Town Sports International LLC, due 11/15/20(g) | | | | | 840,454 | | |
| | | 2,698,000 | | | | Windstream Services LLC, due 3/29/21(g) | | | | | 2,608,804 | | |
| | | | | | | TOTAL SENIOR LOANS (Cost – $22,564,589) | | | | | 22,302,276 | | |
| U.S. GOVERNMENT OBLIGATIONS – 0.9% | | ||||||||||||
| | | 1,651,157 | | | | U.S. Treasury Inflation Indexed Notes, 0.125% due 4/15/19 | | | | | 1,652,157 | | |
| | | | | | | U.S. Treasury Notes: | | | |||||
| | | 570,000 | | | | 2.250% due 3/31/20 | | | | | 568,174 | | |
| | | 710,000 | | | | 1.625% due 8/31/22 | | | | | 689,005 | | |
| | | 720,000 | | | | 1.625% due 4/30/23 | | | | | 694,603 | | |
| | | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost – $3,596,013) | | | | | 3,603,939 | | |
| SOVEREIGN BONDS – 0.1% | | ||||||||||||
| Argentina – 0.0% | | ||||||||||||
| | | 150,000 | | | | Argentine Republic Government International Bond, 5.625% due 1/26/22 | | | | | 134,550 | | |
| Dominican Republic – 0.1% | | ||||||||||||
| | | 300,000 | | | | Dominican Republic International Bond, 7.500% due 5/6/21 | | | | | 311,625 | | |
| | | | | | | TOTAL SOVEREIGN BONDS (Cost – $451,433) | | | | | 446,175 | | |
| Shares/Units | | | | | | | | | | ||||||||||
| EXCHANGE TRADED FUND (ETF) – 5.8% | | | | | | | | ||||||||||||
| | | 456,184 | | | | iShares Core 1-5 Year USD Bond (Cost – $22,868,636) | | | | | 22,576,546 | | | | | ||||
| COMMON STOCK – 0.0% | | | | ||||||||||||||||
| BASIC MATERIALS – 0.0% | | | | ||||||||||||||||
| Forest Products & Paper – 0.0% | | | | ||||||||||||||||
| | | 20,309 | | | | Appvion Inc.*(c)(f) (Cost – $395,660) | | | | | 264,017 | | | | | ||||
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $335,707,811) | | | | | 333,046,131 | | | | |
| Face Amount† | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – 16.2% | | ||||||||||||
| COMMERCIAL PAPERS – 11.2% | | ||||||||||||
| | $ | 5,715,000 | | | | Albemarle Corp., 2.758% due 4/1/19(h) | | | | $ | 5,700,299 | | |
| | | 3,266,000 | | | | Arrow Electronics Inc., 2.958% due 3/12/19(h) | | | | | 3,262,702 | | |
| | | 3,118,000 | | | | Campbell Soup Co., 2.910% due 3/20/19(h) | | | | | 3,113,306 | | |
| | | 5,823,000 | | | | Constellation Brands Inc., 2.887% due 3/18/19(h) | | | | | 5,814,137 | | |
| | | 4,477,000 | | | | Ford Motor Credit Co. LLC, 3.347% due 4/3/19(h) | | | | | 4,463,871 | | |
| | | 3,240,000 | | | | Harris Corp., 2.907% due 3/21/19(h) | | | | | 3,234,561 | | |
| | | 6,033,000 | | | | McKesson Corp., 2.705% due 3/19/19(h) | | | | | 6,024,396 | | |
| | | 8,390,000 | | | | Royal Caribbean Cruises Ltd., 3.010% due 4/1/19(h) | | | | | 8,369,529 | | |
| | | 3,885,000 | | | | Sherwin-Williams Co., 2.806% due 3/6/19(h) | | | | | 3,883,442 | | |
| | | | | | | TOTAL COMMERCIAL PAPERS (Cost – $43,867,615) | | | | | 43,866,243 | | |
| TIME DEPOSITS – 3.4% | | ||||||||||||
| | | 3,089,899 | | | | Banco Bilbao Vizcaya Argentaria SA – Madrid, 1.750% due 3/1/19 | | | | | 3,089,899 | | |
| | | 7,453,421 | | | | Banco Santander SA – Frankfurt, 1.750% due 3/1/19 | | | | | 7,453,421 | | |
| | | 1,507,742 | | | | Barclays Bank PLC – London, 1.750% due 3/1/19 | | | | | 1,507,742 | | |
| | | 12,153,833SEK | | | | Brown Brothers Harriman – Grand Cayman, (0.550)% due 3/1/19 | | | | | 1,315,848 | | |
| | | 33,669EUR | | | | Citibank – London, (0.570)% due 3/1/19 | | | | | 38,296 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $13,405,206) | | | | | 13,405,206 | | |
| U.S. GOVERNMENT OBLIGATIONS – 1.6% | | ||||||||||||
| | | | | | | U.S. Treasury Bills: | | | |||||
| | | 120,000 | | | | 2.365% due 4/25/19(h) | | | | | 119,569 | | |
| | | 830,000 | | | | 2.468% due 7/11/19(h) | | | | | 822,700 | | |
| | | 3,500,000 | | | | 2.539% due 7/18/19(h) | | | | | 3,467,465 | | |
| | | 840,000 | | | | 2.485% due 8/15/19(h) | | | | | 830,550 | | |
| | | 900,000 | | | | 2.529% due 11/7/19(h) | | | | | 884,689 | | |
| | | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost – $6,123,329) | | | | | 6,124,973 | | |
| | | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost – $63,396,150) | | | | | 63,396,422 | | |
| | | | | | | TOTAL INVESTMENTS – 101.2% (Cost – $399,103,961#) | | | | | 396,442,553 | | |
| | | | | | | Liabilities in Excess of Other Assets – (1.2)% | | | | | (4,555,302) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 391,887,251 | | |
|
| Corporate Bonds & Notes | | | | | 52.0% | | |
| Asset-Backed Securities | | | | | 10.9 | | |
| Collateralized Mortgage Obligations | | | | | 8.7 | | |
| Exchange Traded Fund (ETF) | | | | | 5.7 | | |
| Senior Loans | | | | | 5.6 | | |
| U.S. Government Obligations | | | | | 0.9 | | |
| Sovereign Bonds | | | | | 0.1 | | |
| Common Stock | | | | | 0.1 | | |
| Short-Term Investments | | | | | 16.0 | | |
| | | | | | 100.0% | | |
|
Foreign Currency | | | Local Currency | | | Counterparty | | | Market Value | | | Settlement Date | | | Unrealized Appreciation | | | Unrealized (Depreciation) | | | Unrealized (Depreciation) | | |||||||||||||||||||||
Contracts to Buy: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swedish Krona | | | | | 12,250,000 | | | | | | BBH | | | | | $ | 1,327,432 | | | | | | 3/15/19 | | | | | $ | — | | | | | $ | (784) | | | | | $ | (784) | | |
Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Euro | | | | | 1,637,500 | | | | | | BBH | | | | | | 1,864,227 | | | | | | 3/15/19 | | | | | $ | — | | | | | $ | (13,197) | | | | | $ | (13,197) | | |
Norwegian Krone | | | | | 3,025,000 | | | | | | BBH | | | | | | 353,686 | | | | | | 3/15/19 | | | | | | — | | | | | | (6,309) | | | | | | (6,309) | | |
Swedish Krona | | | | | 12,250,000 | | | | | | BBH | | | | | | 1,327,432 | | | | | | 3/15/19 | | | | | | — | | | | | | (7,010) | | | | | | (7,010) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | — | | | | | $ | (26,516) | | | | | $ | (26,516) | | |
Net Unrealized Depreciation on Open Forward Foreign Currency Contracts | | | | $ | — | | | | | $ | (27,300) | | | | | $ | (27,300) | | | ||||||||||||||||||||||||
|
| Currency Abbreviations used in this schedule: | | | Counterparty Abbreviations used in this schedule: | |
| EUR — Euro | | | BBH — Brown Brothers Harriman & Co. | |
| NOK — Norwegian Krone | | | | |
| SEK — Swedish Krona | | | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – 63.8% | | ||||||||||||
| Argentina – 0.5% | | ||||||||||||
| | $ | 1,600,000 | | | | Pampa Energia SA, Senior Unsecured Notes, 7.375% due 7/21/23 | | | | $ | 1,524,000 | | |
| | | 200,000 | | | | Pan American Energy LLC, Company Guaranteed Notes, 7.875% due 5/7/21 | | | | | 203,000 | | |
| | | 2,400,000 | | | | YPF SA, Senior Unsecured Notes, 8.500% due 3/23/21 | | | | | 2,463,000 | | |
| | | | | | | Total Argentina | | | | | 4,190,000 | | |
| Australia – 0.5% | | ||||||||||||
| | | 550,000 | | | | BHP Billiton Finance USA Ltd., Company Guaranteed Notes, 6.750% (5-Year USD Swap Rate + 5.093%) due 10/19/75(a)(b) | | | | | 603,322 | | |
| | | 1,000,000 | | | | CNOOC Finance 2015 Australia Pty Ltd., Company Guaranteed Notes, 2.625% due 5/5/20 | | | | | 992,684 | | |
| | | 2,000,000 | | | | QBE Insurance Group Ltd., Subordinated Notes, 6.750% (USD Swap Rate + 4.300%) due 12/2/44(a)@ | | | | | 2,110,000 | | |
| | | | | | | Total Australia | | | | | 3,706,006 | | |
| Austria – 0.4% | | ||||||||||||
| | | 2,900,000 | | | | JBS Investments GmbH, Company Guaranteed Notes, 6.250% due 2/5/23 | | | | | 2,926,129 | | |
| | | 400,000 | | | | OAS Investments GmbH, Company Guaranteed Notes, 8.250% due 10/19/19(c)(d)(e) | | | | | 4,000 | | |
| | | | | | | Total Austria | | | | | 2,930,129 | | |
| Bermuda – 1.2% | | ||||||||||||
| | | 1,000,000 | | | | Catlin Insurance Co., Ltd., Junior Subordinated Notes, 5.736% (3-Month USD-LIBOR + 2.975%)(a)(b)(f) | | | | | 962,500 | | |
| | | 1,100,000 | | | | Digicel Group Two Ltd., Senior Unsecured Notes, 8.250% due 9/30/22(b) | | | | | 462,000 | | |
| | | 3,233,000 | | | | Ship Finance International Ltd., Senior Unsecured Notes, 5.750% due 10/15/21 | | | | | 3,155,621 | | |
| | | 5,100,000 | | | | Stolt-Nielsen Ltd., Senior Unsecured Notes, 6.375% due 9/21/22 | | | | | 4,845,000 | | |
| | | | | | | Total Bermuda | | | | | 9,425,121 | | |
| Brazil – 0.7% | | ||||||||||||
| | | 900,000 | | | | Banco BTG Pactual SA, Subordinated Notes, 5.750% due 9/28/22 | | | | | 884,484 | | |
| | | 2,730,000 | | | | Globo Comunicacao e Participacoes SA, Senior Unsecured Notes, 4.875% due 4/11/22 | | | | | 2,768,930 | | |
| | | | | | | Itau Unibanco Holding SA: | | | |||||
| | | | | | | Junior Subordinated Notes: | | | |||||
| | | 600,000 | | | | 6.125% (5-Year CMT Index + 3.981%)(a)(b)(f) | | | | | 594,600 | | |
| | | 1,150,000 | | | | 6.125% (5-Year CMT Index + 3.981%)(a)(f) | | | | | 1,139,650 | | |
| | | 400,000 | | | | Subordinated Notes, 6.200% due 12/21/21 | | | | | 421,800 | | |
| | | | | | | Total Brazil | | | | | 5,809,464 | | |
| British Virgin Islands – 1.5% | | ||||||||||||
| | | 2,120,000 | | | | CNOOC Finance 2012 Ltd., Company Guaranteed Notes, 3.875% due 5/2/22 | | | | | 2,146,057 | | |
| | | 1,127,000 | | | | CNOOC Finance 2013 Ltd., Company Guaranteed Notes, 3.000% due 5/9/23 | | | | | 1,103,075 | | |
| | | | | | | CNPC General Capital Ltd., Company Guaranteed Notes: | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| British Virgin Islands – (continued) | | ||||||||||||
| | $ | 2,365,000 | | | | 3.950% due 4/19/22 | | | | $ | 2,397,379 | | |
| | | 1,100,000 | | | | 3.400% due 4/16/23 | | | | | 1,092,768 | | |
| | | 2,000,000 | | | | Sinopec Group Overseas Development 2015 Ltd., Company Guaranteed Notes, 2.500% due 4/28/20 | | | | | 1,984,605 | | |
| | | 1,000,000 | | | | Sinopec Group Overseas Development 2016 Ltd., Company Guaranteed Notes, 2.000% due 9/29/21(b) | | | | | 964,904 | | |
| | | 1,200,000 | | | | Sinopec Group Overseas Development 2017 Ltd., Company Guaranteed Notes, 3.000% due 4/12/22(b) | | | | | 1,182,037 | | |
| | | 1,000,000 | | | | Sinopec Group Overseas Development 2018 Ltd., Company Guaranteed Notes, 3.750% due 9/12/23(b) | | | | | 1,009,332 | | |
| | | | | | | Total British Virgin Islands | | | | | 11,880,157 | | |
| Canada – 0.5% | | ||||||||||||
| | | 950,000 | | | | Emera Inc., Subordinated Notes, 6.750% (3-Month USD-LIBOR + 5.440%) due 6/15/76(a) | | | | | 983,250 | | |
| | | 2,328,000 | | | | NOVA Chemicals Corp., Senior Unsecured Notes, 5.250% due 6/1/27(b) | | | | | 2,188,320 | | |
| | | 748,000CAD | | | | Postmedia Network Inc., Senior Secured Notes, 8.250% due 7/15/21(b) | | | | | 552,088 | | |
| | | | | | | Total Canada | | | | | 3,723,658 | | |
| Cayman Islands – 2.6% | | ||||||||||||
| | | 1,250,000 | | | | Agromercantil Senior Trust, Company Guaranteed Notes, 6.250% due 4/10/19 | | | | | 1,247,825 | | |
| | | 200,000 | | | | CK Hutchison Capital Securities 17 Ltd., Company Guaranteed Notes, 4.000% (5-Year CMT Index + 2.070%)(a)(f) | | | | | 193,909 | | |
| | | 4,500,000 | | | | CK Hutchison International 17 Ltd., Company Guaranteed Notes, 2.875% due 4/5/22(b) | | | | | 4,426,134 | | |
| | | 200,000 | | | | Comunicaciones Celulares SA Via Comcel Trust, Senior Unsecured Notes, 6.875% due 2/6/24 | | | | | 207,000 | | |
| | | 3,500,000 | | | | Grupo Aval Ltd., Company Guaranteed Notes, 4.750% due 9/26/22 | | | | | 3,472,000 | | |
| | | 1,011,574 | | | | Guanay Finance Ltd., Senior Secured Notes, 6.000% due 12/15/20 | | | | | 1,017,896 | | |
| | | 2,295,000 | | | | Nexteer Automotive Group Ltd., Company Guaranteed Notes, 5.875% due 11/15/21(b) | | | | | 2,312,085 | | |
| | | 255,460 | | | | Peru Enhanced Pass-Through Finance Ltd., Pass-Thru Certificates, zero coupon, due 6/2/25 | | | | | 224,805 | | |
| | | | | | | SPARC EM SPC Panama Metro Line 2 SP, Senior Secured Notes: | | | |||||
| | | 3,045,091 | | | | zero coupon, due 12/5/22 | | | | | 2,786,289 | | |
| | | 2,618,010 | | | | zero coupon, due 12/5/22(b) | | | | | 2,395,479 | | |
| | | 1,900,000 | | | | Tecnoglass Inc., Company Guaranteed Notes, 8.200% due 1/31/22 | | | | | 1,990,250 | | |
| | | | | | | Total Cayman Islands | | | | | 20,273,672 | | |
| Chile – 3.4% | | ||||||||||||
| | | 2,000,000 | | | | Banco del Estado de Chile, Senior Unsecured Notes, 3.875% due 2/8/22 | | | | | 2,012,520 | | |
| | | 1,850,000 | | | | Banco Santander Chile, Senior Unsecured Notes, 3.875% due 9/20/22 | | | | | 1,869,425 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Chile – (continued) | | ||||||||||||
| | | | | | | Celulosa Arauco y Constitucion SA, Senior Unsecured Notes: | | | |||||
| | $ | 500,000 | | | | 4.750% due 1/11/22 | | | | $ | 511,250 | | |
| | | 1,300,000 | | | | 4.500% due 8/1/24 | | | | | 1,318,850 | | |
| | | 1,600,000 | | | | Colbun SA, Senior Unsecured Notes, 4.500% due 7/10/24 | | | | | 1,625,951 | | |
| | | 4,420,000 | | | | Empresa Nacional de Telecomunicaciones SA, Senior Unsecured Notes, 4.875% due 10/30/24 | | | | | 4,494,835 | | |
| | | 1,800,000 | | | | Enel Generacion Chile SA, Senior Unsecured Notes, 4.250% due 4/15/24 | | | | | 1,825,123 | | |
| | | 1,000,000 | | | | Engie Energia Chile SA, Senior Unsecured Notes, 5.625% due 1/15/21 | | | | | 1,038,650 | | |
| | | 5,135,000 | | | | Inversiones CMPC SA, Company Guaranteed Notes, 4.500% due 4/25/22 | | | | | 5,199,187 | | |
| | | 1,440,000 | | | | SACI Falabella, Senior Unsecured Notes, 3.750% due 4/30/23 | | | | | 1,443,553 | | |
| | | 700,000 | | | | Sociedad Quimica y Minera de Chile SA, Senior Unsecured Notes, 3.625% due 4/3/23 | | | | | 690,375 | | |
| | | 4,350,000 | | | | Telefonica Chile SA, Senior Unsecured Notes, 3.875% due 10/12/22 | | | | | 4,376,785 | | |
| | | | | | | Total Chile | | | | | 26,406,504 | | |
| Colombia – 1.5% | | ||||||||||||
| | | 379,000 | | | | Bancolombia SA, Subordinated Notes, 4.875% (5-Year CMT Index + 2.929%) due 10/18/27(a) | | | | | 376,158 | | |
| | | 5,500,000 | | | | Ecopetrol SA, Senior Unsecured Notes, 5.875% due 9/18/23 | | | | | 5,915,305 | | |
| | | 2,000,000 | | | | Empresas Publicas de Medellin ESP, Senior Unsecured Notes, 7.625% due 7/29/19 | | | | | 2,030,020 | | |
| | | 3,900,000 | | | | Oleoducto Central SA, Senior Unsecured Notes, 4.000% due 5/7/21 | | | | | 3,900,039 | | |
| | | | | | | Total Colombia | | | | | 12,221,522 | | |
| Costa Rica – 0.0% | | ||||||||||||
| | | 400,000 | | | | Banco Nacional de Costa Rica, Senior Unsecured Notes, 5.875% due 4/25/21(b) | | | | | 398,500 | | |
| Denmark – 0.1% | | ||||||||||||
| | | 600,000EUR | | | | Georg Jensen AS, Senior Secured Notes, 6.000% (3-Month EURIBOR + 6.000%) due 5/15/23(a) | | | | | 681,886 | | |
| Dominican Republic – 0.1% | | ||||||||||||
| | | 700,000 | | | | Banco de Reservas de la Republica Dominicana, Subordinated Notes, 7.000% due 2/1/23 | | | | | 710,507 | | |
| France – 0.8% | | ||||||||||||
| | | 1,150,000 | | | | BNP Paribas SA, Junior Subordinated Notes, 7.375% (5-Year USD Swap Rate + 5.150%)(a)(b)(f) | | | | | 1,211,812 | | |
| | | 2,300,000 | | | | Credit Agricole SA, Junior Subordinated Notes, 8.125% (5-Year USD Swap Rate + 6.185%)(a)(b)(f) | | | | | 2,565,144 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| France – (continued) | | ||||||||||||
| | | | | | | Societe Generale SA, Junior Subordinated Notes: | | | |||||
| | $ | 1,290,000 | | | | 7.875% (5-Year USD Swap Rate + 4.979%)(a)(b)(f) | | | | $ | 1,335,150 | | |
| | | 890,000 | | | | 8.000% (5-Year USD 1100 Run ICE Swap Rate + 5.873%)(a)(b)(f) | | | | | 938,950 | | |
| | | | | | | Total France | | | | | 6,051,056 | | |
| India – 1.9% | | ||||||||||||
| | | | | | | Adani Ports & Special Economic Zone Ltd., Senior Unsecured Notes: | | | |||||
| | | 2,000,000 | | | | 3.500% due 7/29/20 | | | | | 1,984,513 | | |
| | | 1,000,000 | | | | 3.950% due 1/19/22 | | | | | 989,374 | | |
| | | 4,220,000 | | | | Bharat Petroleum Corp., Ltd, Senior Unsecured Notes, 4.625% due 10/25/22 | | | | | 4,320,436 | | |
| | | | | | | Indian Oil Corp., Ltd, Senior Unsecured Notes: | | | |||||
| | | 2,995,000 | | | | 5.625% due 8/2/21 | | | | | 3,126,355 | | |
| | | 2,700,000 | | | | 5.750% due 8/1/23 | | | | | 2,866,436 | | |
| | | | | | | ONGC Videsh Ltd., Company Guaranteed Notes: | | | |||||
| | | 300,000 | | | | 3.750% due 5/7/23 | | | | | 296,421 | | |
| | | 1,200,000 | | | | 4.625% due 7/15/24 | | | | | 1,220,811 | | |
| | | | | | | Total India | | | | | 14,804,346 | | |
| Israel – 0.8% | | ||||||||||||
| | | 2,479,000 | | | | Delek & Avner Tamar Bond Ltd., Senior Secured Notes, 4.435% due 12/30/20(b) | | | | | 2,476,221 | | |
| | | | | | | Israel Electric Corp., Ltd, Senior Secured Notes: | | | |||||
| | | 500,000 | | | | 6.875% due 6/21/23 | | | | | 554,845 | | |
| | | 2,800,000 | | | | 5.000% due 11/12/24(b) | | | | | 2,910,600 | | |
| | | | | | | Total Israel | | | | | 5,941,666 | | |
| Italy – 0.2% | | ||||||||||||
| | | 835,000 | | | | Intesa Sanpaolo SpA, Company Guaranteed Notes, 7.700% (5-Year USD Swap Rate + 5.462%)(a)(b)(f) | | | | | 774,463 | | |
| | | 1,050,000 | | | | UniCredit SpA, Junior Subordinated Notes, 8.000% (5-Year USD Swap Rate + 5.180%)(a)(b)(f) | | | | | 976,500 | | |
| | | | | | | Total Italy | | | | | 1,750,963 | | |
| Luxembourg – 0.4% | | ||||||||||||
| | | 1,400,000 | | | | Euronav Luxembourg SA, Company Guaranteed Notes, 7.500% due 5/31/22(b) | | | | | 1,358,000 | | |
| | | 1,600,000 | | | | Millicom International Cellular SA, Senior Unsecured Notes, 6.000% due 3/15/25 | | | | | 1,626,000 | | |
| | | | | | | Total Luxembourg | | | | | 2,984,000 | | |
| Malaysia – 1.3% | | ||||||||||||
| | | 5,315,000 | | | | Axiata SPV2 Bhd, Senior Unsecured Notes, 3.466% due 11/19/20 | | | | | 5,316,286 | | |
| | | 1,715,000 | | | | Malayan Banking Bhd, Subordinated Notes, 3.905% (5-Year USD Swap Rate + 2.542%) due 10/29/26(a) | | | | | 1,700,594 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Malaysia – (continued) | | ||||||||||||
| | $ | 500,000 | | | | Petronas Capital Ltd., Company Guaranteed Notes, 3.125% due 3/18/22 | | | | $ | 498,707 | | |
| | | 3,000,000 | | | | Petronas Global Sukuk Ltd., Senior Unsecured Notes, 2.707% due 3/18/20 | | | | | 2,983,509 | | |
| | | | | | | Total Malaysia | | | | | 10,499,096 | | |
| Marshall Islands – 1.1% | | ||||||||||||
| | | 5,067,000 | | | | Borealis Finance LLC, Senior Secured Notes, 7.500% due 11/16/22(b) | | | | | 4,891,682 | | |
| | | 2,000,000 | | | | Chembulk Holding LLC, Senior Secured Notes, 8.000% due 2/2/23(b) | | | | | 1,945,000 | | |
| | | 1,800,000 | | | | Golar LNG Partners LP, Senior Unsecured Notes, 7.063% (3-Month USD-LIBOR + 4.400%) due 5/22/20(a) | | | | | 1,777,500 | | |
| | | | | | | Total Marshall Islands | | | | | 8,614,182 | | |
| Mauritius – 0.4% | | ||||||||||||
| | | 3,000,000 | | | | UPL Corp., Ltd, Senior Unsecured Notes, 3.250% due 10/13/21 | | | | | 2,921,721 | | |
| Mexico – 4.3% | | ||||||||||||
| | | 2,000,000 | | | | America Movil SAB de CV, Senior Unsecured Notes, 3.125% due 7/16/22 | | | | | 1,992,312 | | |
| | | 800,000 | | | | Banco Inbursa SA Institucion de Banca Multiple Grupo Financiero Inbursa, Senior Unsecured Notes, 4.125% due 6/6/24 | | | | | 777,000 | | |
| | | 4,500,000 | | | | Banco Mercantil del Norte SA, Junior Subordinated Notes, 6.875% (5-Year CMT Index + 5.035%)(a)(f) | | | | | 4,438,125 | | |
| | | 3,700,000 | | | | Banco Nacional de Comercio Exterior SNC, Subordinated Notes, 3.800% (5-Year CMT Index + 3.000%) due 8/11/26(a) | | | | | 3,593,662 | | |
| | | 2,000,000 | | | | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, Subordinated Notes, 5.950% (5-Year CMT Index + 2.995%) due 10/1/28(a)(b) | | | | | 2,037,000 | | |
| | | | | | | BBVA Bancomer SA, Subordinated Notes: | | | |||||
| | | 3,000,000 | | | | 6.750% due 9/30/22 | | | | | 3,217,500 | | |
| | | 1,343,000 | | | | 5.350% (5-Year CMT Index + 3.000%) due 11/12/29(a) | | | | | 1,266,865 | | |
| | | | | | | Cemex SAB de CV, Senior Secured Notes: | | | |||||
| | | 2,500,000 | | | | 6.125% due 5/5/25 | | | | | 2,559,375 | | |
| | | 2,400,000 | | | | 7.750% due 4/16/26 | | | | | 2,606,880 | | |
| | | 2,000,000 | | | | Comision Federal de Electricidad, Senior Unsecured Notes, 4.875% due 5/26/21 | | | | | 2,030,020 | | |
| | | 2,700,000 | | | | Credito Real SAB de CV SOFOM ER, Senior Unsecured Notes, 7.250% due 7/20/23 | | | | | 2,730,510 | | |
| | | 2,200,000 | | | | El Puerto de Liverpool SAB de CV, Company Guaranteed Notes, 3.950% due 10/2/24 | | | | | 2,134,022 | | |
| | | 800,000 | | | | Grupo Bimbo SAB de CV, Subordinated Notes, 5.950% (5-Year CMT Index + 3.280%)(a)(f) | | | | | 800,000 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Mexico – (continued) | | ||||||||||||
| | $ | 400,000 | | | | Grupo Idesa SA de CV, Company Guaranteed Notes, 7.875% due 12/18/20 | | | | $ | 257,504 | | |
| | | 3,250,000 | | | | Unifin Financiera SAB de CV SOFOM ENR, Company Guaranteed Notes, 7.250% due 9/27/23 | | | | | 3,217,533 | | |
| | | | | | | Total Mexico | | | | | 33,658,308 | | |
| Multinational – 0.1% | | ||||||||||||
| | | 1,049,000 | | | | Venator Finance SARL/Venator Materials LLC, Company Guaranteed Notes, 5.750% due 7/15/25(b) | | | | | 923,120 | | |
| Netherlands – 3.7% | | ||||||||||||
| | | 5,300,000 | | | | Bharti Airtel International Netherlands BV, Company Guaranteed Notes, 5.125% due 3/11/23 | | | | | 5,348,402 | | |
| | | 6,000,000 | | | | Braskem Netherlands Finance BV, Company Guaranteed Notes, 3.500% due 1/10/23 | | | | | 5,872,560 | | |
| | | 1,200,000 | | | | Cooperatieve Rabobank UA, Junior Subordinated Notes, 11.000% (3-Month USD-LIBOR + 10.868%)(a)(b)(f) | | | | | 1,227,000 | | |
| | | 4,000,000 | | | | Marfrig Holdings Europe BV, Company Guaranteed Notes, 8.000% due 6/8/23 | | | | | 4,152,840 | | |
| | | 3,300,000 | | | | MPC Container Ships Invest BV, Senior Secured Notes, 7.574% (3-Month USD-LIBOR + 4.750%) due 9/22/22(a) | | | | | 3,291,090 | | |
| | | 4,500,000 | | | | Petrobras Global Finance BV, Company Guaranteed Notes, 4.375% due 5/20/23 | | | | | 4,514,625 | | |
| | | 4,400,000 | | | | VTR Finance BV, Senior Secured Notes, 6.875% due 1/15/24 | | | | | 4,521,000 | | |
| | | | | | | Total Netherlands | | | | | 28,927,517 | | |
| Norway – 0.4% | | ||||||||||||
| | | 11,000,000NOK | | | | Bulk Industrier AS, Senior Secured Notes, 7.790% (3-Month NOK-NIBOR + 6.500%) due 5/26/21(a) | | | | | 1,269,648 | | |
| | | 2,200,000 | | | | Jacktel AS, Senior Secured Notes, 10.000% due 12/4/23(b) | | | | | 2,068,000 | | |
| | | | | | | Total Norway | | | | | 3,337,648 | | |
| Panama – 2.6% | | ||||||||||||
| | | 3,655,000 | | | | Banco Latinoamericano de Comercio Exterior SA, Senior Unsecured Notes, 3.250% due 5/7/20 | | | | | 3,658,655 | | |
| | | 3,700,000 | | | | Banistmo SA, Senior Unsecured Notes, 3.650% due 9/19/22(b) | | | | | 3,607,500 | | |
| | | 4,929,159 | | | | ENA Norte Trust, Pass-Thru Certificates, 4.950% due 4/25/23 | | | | | 5,052,388 | | |
| | | | | | | Global Bank Corp., Senior Unsecured Notes: | | | |||||
| | | 2,500,000 | | | | 5.125% due 10/30/19 | | | | | 2,521,250 | | |
| | | 2,000,000 | | | | 4.500% due 10/20/21 | | | | | 2,010,600 | | |
| | | 3,600,000 | | | | Multibank Inc., Senior Unsecured Notes, 4.375% due 11/9/22 | | | | | 3,568,500 | | |
| | | | | | | Total Panama | | | | | 20,418,893 | | |
| Paraguay – 0.0% | | ||||||||||||
| | | 200,000 | | | | Telefonica Celular del Paraguay SA, Senior Unsecured Notes, 6.750% due 12/13/22 | | | | | 204,000 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Peru – 0.8% | | ||||||||||||
| | $ | 4,095,000 | | | | Banco Internacional del Peru SAA, Senior Unsecured Notes, 5.750% due 10/7/20 | | | | $ | 4,220,962 | | |
| | | 1,500,000 | | | | Banco Internacional del Peru SAA Interbank, Senior Unsecured Notes, 3.375% due 1/18/23 | | | | | 1,468,500 | | |
| | | 165,000 | | | | BBVA Banco Continental SA, Senior Unsecured Notes, 5.000% due 8/26/22 | | | | | 171,930 | | |
| | | 782,000 | | | | Nexa Resources Peru SAA, Senior Unsecured Notes, 4.625% due 3/28/23 | | | | | 781,031 | | |
| | | | | | | Total Peru | | | | | 6,642,423 | | |
| Philippines – 0.8% | | ||||||||||||
| | | 3,500,000 | | | | BDO Unibank Inc., Senior Unsecured Notes, 2.950% due 3/6/23 | | | | | 3,392,305 | | |
| | | 2,700,000 | | | | Union Bank of the Philippines, Senior Unsecured Notes, 3.369% due 11/29/22 | | | | | 2,639,272 | | |
| | | | | | | Total Philippines | | | | | 6,031,577 | | |
| Singapore – 2.7% | | ||||||||||||
| | | | | | | DBS Group Holdings Ltd.: | | | |||||
| | | 4,500,000 | | | | Junior Subordinated Notes, 3.600% (5-Year USD Swap Rate + 2.390%)(a)(f) | | | | | 4,401,000 | | |
| | | 200,000 | | | | Subordinated Notes, 4.520% (5-Year USD 1100 Run ICE Swap Rate + 1.590%) due 12/11/28(a) | | | | | 204,609 | | |
| | | 4,015,000 | | | | ONGC Videsh Vankorneft Pte Ltd., Company Guaranteed Notes, 2.875% due 1/27/22 | | | | | 3,903,431 | | |
| | | 500,000 | | | | Oversea-Chinese Banking Corp., Ltd, Subordinated Notes, 4.250% due 6/19/24 | | | | | 506,119 | | |
| | | 3,000,000 | | | | SP PowerAssets Ltd., Senior Unsecured Notes, 2.700% due 9/14/22 | | | | | 2,961,690 | | |
| | | 3,450,000 | | | | Temasek Financial I Ltd., Company Guaranteed Notes, 2.375% due 1/23/23 | | | | | 3,371,093 | | |
| | | | | | | United Overseas Bank Ltd.: | | | |||||
| | | 2,000,000 | | | | Junior Subordinated Notes, 3.875% (5-Year USD Swap Rate + 1.794%)(a)(f) | | | | | 1,888,240 | | |
| | | | | | | Subordinated Notes: | | | |||||
| | | 3,500,000 | | | | 3.500% (5-Year USD Swap Rate + 2.236%) due 9/16/26(a) | | | | | 3,496,094 | | |
| | | 400,000 | | | | 2.880% (5-Year USD Swap Rate + 1.654%) due 3/8/27(a) | | | | | 388,624 | | |
| | | | | | | Total Singapore | | | | | 21,120,900 | | |
| Spain – 0.1% | | ||||||||||||
| | | 400,000 | | | | Banco Santander SA, Junior Subordinated Notes, 6.375% (5-Year USD Swap Rate + 4.788%)(a)(f)@ | | | | | 396,966 | | |
| Switzerland – 0.4% | | ||||||||||||
| | | 1,255,000 | | | | Credit Suisse Group AG, Junior Subordinated Notes, 7.500% (5-Year USD Swap Rate + 4.598%)(a)(b)(f) | | | | | 1,331,846 | | |
| | | 1,400,000 | | | | UBS Group Funding Switzerland AG, Company Guaranteed Notes, 7.000% (5-Year USD Swap Rate + 4.866%)(a)(f)@ | | | | | 1,485,750 | | |
| | | | | | | Total Switzerland | | | | | 2,817,596 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| United Kingdom – 2.9% | | ||||||||||||
| | | | | | | Barclays PLC, Junior Subordinated Notes: | | | |||||
| | $ | 600,000 | | | | 7.750% (5-Year USD Swap Rate + 4.842%)(a)(f) | | | | $ | 598,500 | | |
| | | 1,360,000 | | | | 7.875% (5-Year USD Swap Rate + 6.772%)(a)(f) | | | | | 1,426,300 | | |
| | | 1,918,000 | | | | Ferroglobe PLC/Globe Specialty Metals Inc., Company Guaranteed Notes, 9.375% due 3/1/22(b) | | | | | 1,644,685 | | |
| | | 5,400,000 | | | | Fresnillo PLC, Senior Unsecured Notes, 5.500% due 11/13/23 | | | | | 5,657,850 | | |
| | | 4,364,000 | | | | Inmarsat Finance PLC, Company Guaranteed Notes, 6.500% due 10/1/24(b) | | | | | 4,342,180 | | |
| | | 1,900,000 | | | | Lloyds Banking Group PLC, Junior Subordinated Notes, 7.500% (5-Year USD Swap Rate + 4.760%)(a)(f) | | | | | 1,958,900 | | |
| | | 1,100,000 | | | | MARB BondCo PLC, Company Guaranteed Notes, 7.000% due 3/15/24 | | | | | 1,083,170 | | |
| | | 1,645,000 | | | | Royal Bank of Scotland Group PLC, Junior Subordinated Notes, 8.625% (5-Year USD Swap Rate + 7.598%)(a)(f) | | | | | 1,763,933 | | |
| | | 1,600,000EUR | | | | SB Holdco PLC, Senior Secured Notes, 8.000% (3-Month EURIBOR + 8.000%) due 7/13/22(a) | | | | | 1,783,443 | | |
| | | 500,000 | | | | Standard Chartered PLC, Junior Subordinated Notes, 7.750% (5-Year USD Swap Rate + 5.723%)(a)(b)(f) | | | | | 523,750 | | |
| | | | | | | Vedanta Resources PLC, Senior Unsecured Notes: | | | |||||
| | | 1,300,000 | | | | 7.125% due 5/31/23 | | | | | 1,236,625 | | |
| | | 600,000 | | | | 6.125% due 8/9/24 | | | | | 524,960 | | |
| | | | | | | Total United Kingdom | | | | | 22,544,296 | | |
| United States – 25.1% | | ||||||||||||
| | | 1,585,000 | | | | AerCap Global Aviation Trust, Company Guaranteed Notes, 6.500% (3-Month USD-LIBOR + 4.300%) due 6/15/45(a)(b) | | | | | 1,577,075 | | |
| | | 3,543,000 | | | | Alta Mesa Holdings LP/Alta Mesa Finance Services Corp., Company Guaranteed Notes, 7.875% due 12/15/24(g) | | | | | 1,116,045 | | |
| | | 194,847 | | | | America West Airlines Pass-Through Trust, Pass-Thru Certificates, 8.057% due 7/2/20 | | | | | 204,659 | | |
| | | 991,000 | | | | American Express Co., Junior Subordinated Notes, 5.200% (3-Month USD-LIBOR + 3.428%)(a)(f)(g) | | | | | 1,000,910 | | |
| | | 1,350,000 | | | | American International Group Inc., Junior Subordinated Notes, 5.750% (3-Month USD-LIBOR + 2.868%) due 4/1/48(a) | | | | | 1,252,125 | | |
| | | 1,250,000 | | | | Assurant Inc., Subordinated Notes, 7.000% (3-Month USD-LIBOR + 4.135%) due 3/27/48(a) | | | | | 1,225,000 | | |
| | | 2,369,000 | | | | Assured Guaranty Municipal Holdings Inc., Company Guaranteed Notes, 6.400% (1-Month USD-LIBOR + 2.215%) due 12/15/66(a)(b)(g) | | | | | 2,250,550 | | |
| | | | | | | Bank of America Corp., Junior Subordinated Notes: | | | |||||
| | | 335,000 | | | | 6.100% (3-Month USD-LIBOR + 3.898%)(a)(f) | | | | | 356,102 | | |
| | | 1,340,000 | | | | 6.300% (3-Month USD-LIBOR + 4.553%)(a)(f) | | | | | 1,459,260 | | |
| | | 945,000 | | | | 6.500% (3-Month USD-LIBOR + 4.174%)(a)(f) | | | | | 1,025,325 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | $ | 515,000 | | | | Bank of New York Mellon Corp., Junior Subordinated Notes, 4.950% (3-Month USD-LIBOR + 3.420%)(a)(f) | | | | $ | 522,122 | | |
| | | 245,000 | | | | Bayer US Finance II LLC, Company Guaranteed Notes, 3.452% (3-Month USD-LIBOR + 0.630%) due 6/25/21(a)(b) | | | | | 243,129 | | |
| | | 5,896,000 | | | | Brunswick Corp., Senior Unsecured Notes, 4.625% due 5/15/21(b) | | | | | 5,849,050 | | |
| | | 1,600,000 | | | | Capital One Financial Corp., Junior Subordinated Notes, 5.550% (3-Month USD-LIBOR + 3.800%)(a)(f) | | | | | 1,630,128 | | |
| | | 4,308,000 | | | | Carrols Restaurant Group Inc., Secured Notes, 8.000% due 5/1/22 | | | | | 4,421,085 | | |
| | | 995,000 | | | | CenterPoint Energy Inc., Junior Subordinated Notes, 6.125% (3-Month USD-LIBOR + 3.270%)(a)(f) | | | | | 1,010,751 | | |
| | | | | | | Citigroup Inc., Junior Subordinated Notes: | | | |||||
| | | 2,265,000 | | | | 5.875% (3-Month USD-LIBOR + 4.059%)(a)(f) | | | | | 2,290,164 | | |
| | | 400,000 | | | | 5.950% (3-Month USD-LIBOR + 4.068%)(a)(f) | | | | | 405,322 | | |
| | | 1,000,000 | | | | Citizens Financial Group Inc., Junior Subordinated Notes, 5.500% (3-Month USD-LIBOR + 3.960%)(a)(f) | | | | | 1,012,960 | | |
| | | 9,379,000 | | | | Clear Channel Worldwide Holdings Inc., Company Guaranteed Notes, 7.625% due 3/15/20 | | | | | 9,383,689 | | |
| | | 1,175,000 | | | | CoBank ACB, Junior Subordinated Notes, 6.250% (3-Month USD-LIBOR + 4.660%)(a)(f) | | | | | 1,216,125 | | |
| | | | | | | Comcast Corp., Company Guaranteed Notes: | | | |||||
| | | 520,000 | | | | 3.127% (3-Month USD-LIBOR + 0.330%) due 10/1/20(a) | | | | | 520,762 | | |
| | | 520,000 | | | | 3.300% due 10/1/20 | | | | | 523,459 | | |
| | | 260,000 | | | | 3.237% (3-Month USD-LIBOR + 0.440%) due 10/1/21(a) | | | | | 259,979 | | |
| | | 495,807 | | | | Continental Airlines Class A Pass-Through Trust, Pass-Thru Certificates, 5.983% due 4/19/22 | | | | | 518,564 | | |
| | | 461,379 | | | | Continental Airlines Class A-1 Pass-Through Trust, Pass-Thru Certificates, 7.707% due 4/2/21 | | | | | 480,573 | | |
| | | 98,766 | | | | Continental Airlines Class C-2 Pass-Through Trust, Pass-Thru Certificates, 6.236% due 3/15/20 | | | | | 99,754 | | |
| | | 3,675,000 | | | | Cott Holdings Inc., Company Guaranteed Notes, 5.500% due 4/1/25(b) | | | | | 3,633,656 | | |
| | | 535,000 | | | | Dairy Farmers of America Inc., Junior Subordinated Notes, 7.125%(b)(f) | | | | | 500,894 | | |
| | | 1,060,000 | | | | Discover Financial Services, Junior Subordinated Notes, 5.500% (3-Month USD-LIBOR + 3.076%)(a)(f) | | | | | 996,252 | | |
| | | 6,325,000 | | | | Dollar Tree Inc., Senior Unsecured Notes, 3.473% (3-Month USD-LIBOR + 0.700%) due 4/17/20(a) | | | | | 6,327,600 | | |
| | | 2,922,000 | | | | DXC Technology Co., Senior Unsecured Notes, 3.576% (3-Month USD-LIBOR + 0.950%) due 3/1/21(a) | | | | | 2,916,448 | | |
| | | 135,000 | | | | Farm Credit Bank of Texas, 6.200% (3-Month USD-LIBOR + 3.223%)(a)(b)(f) | | | | | 132,300 | | |
| | | 1,944,000 | | | | Five Point Operating Co. LP/Five Point Capital Corp., Company Guaranteed Notes, 7.875% due 11/15/25(b) | | | | | 1,883,250 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | $ | 5,222,000 | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes, 3.566% (3-Month USD-LIBOR + 0.790%) due 6/12/20(a) | | | | $ | 5,163,460 | | |
| | | 6,100,000 | | | | Freeport-McMoRan Inc., Company Guaranteed Notes, 4.550% due 11/14/24 | | | | | 6,039,000 | | |
| | | 2,126,000 | | | | Fresh Market Inc., Senior Secured Notes, 9.750% due 5/1/23(b) | | | | | 1,610,445 | | |
| | | 5,062,000 | | | | FXI Holdings Inc., Senior Secured Notes, 7.875% due 11/1/24(b) | | | | | 4,846,865 | | |
| | | 2,120,000 | | | | General Electric Co., Junior Subordinated Notes, 5.000% (3-Month USD-LIBOR + 3.330%)(a)(f) | | | | | 1,999,372 | | |
| | | 1,935,000 | | | | General Motors Financial Co., Inc., Junior Subordinated Notes, 5.750% (3-Month USD-LIBOR + 3.598%)(a)(f) | | | | | 1,694,673 | | |
| | | | | | | Goldman Sachs Group Inc., Junior Subordinated Notes: | | | |||||
| | | 655,000 | | | | 5.300% (3-Month USD-LIBOR + 3.834%)(a)(f) | | | | | 651,502 | | |
| | | 2,601,000 | | | | 5.375% (3-Month USD-LIBOR + 3.922%)(a)(f) | | | | | 2,620,508 | | |
| | | 1,410,000 | | | | Hadrian Merger Sub Inc., Senior Unsecured Notes, 8.500% due 5/1/26(b) | | | | | 1,293,675 | | |
| | | 11,042,000 | | | | HC2 Holdings Inc., Senior Secured Notes, 11.500% due 12/1/21(b) | | | | | 9,827,380 | | |
| | | 6,999,000 | | | | INVISTA Finance LLC, Senior Secured Notes, 4.250% due 10/15/19(b) | | | | | 7,024,091 | | |
| | | 1,137,000 | | | | Jones Energy Holdings LLC/Jones Energy Finance Corp., Company Guaranteed Notes, 9.250% due 3/15/23 | | | | | 56,850 | | |
| | | | | | | JPMorgan Chase & Co., Junior Subordinated Notes: | | | |||||
| | | 920,000 | | | | 5.300% (3-Month USD-LIBOR + 3.800%)(a)(f) | | | | | 936,615 | | |
| | | 293,000 | | | | 6.221% (3-Month USD-LIBOR + 3.470%)(a)(f) | | | | | 294,392 | | |
| | | 2,250,000 | | | | 6.750% (3-Month USD-LIBOR + 3.780%)(a)(f) | | | | | 2,473,717 | | |
| | | 275,000 | | | | KeyCorp, Junior Subordinated Notes, 5.000% (3-Month USD-LIBOR + 3.606%)(a)(f) | | | | | 264,000 | | |
| | | | | | | Land O’ Lakes Inc., Junior Subordinated Notes: | | | |||||
| | | 415,000 | | | | 7.000%(b)(f) | | | | | 400,060 | | |
| | | 1,950,000 | | | | 7.250%(b)(f) | | | | | 1,925,625 | | |
| | | 8,502,000 | | | | Lee Enterprises Inc., Senior Secured Notes, 9.500% due 3/15/22(b) | | | | | 8,672,040 | | |
| | | 1,125,000 | | | | M&T Bank Corp., Junior Subordinated Notes, 5.125% (3-Month USD-LIBOR + 3.520%)(a)(f) | | | | | 1,115,156 | | |
| | | 1,637,000 | | | | MAI Holdings Inc., Senior Secured Notes, 9.500% due 6/1/23 | | | | | 1,538,780 | | |
| | | | | | | MetLife Inc., Junior Subordinated Notes: | | | |||||
| | | 870,000 | | | | 5.250% (3-Month USD-LIBOR + 3.575%)(a)(f) | �� | | | | 876,090 | | |
| | | 985,000 | | | | 5.875% (3-Month USD-LIBOR + 2.959%)(a)(f) | | | | | 991,944 | | |
| | | 7,737,000 | | | | Michaels Stores Inc., Company Guaranteed Notes, 5.875% due 12/15/20(b) | | | | | 7,752,474 | | |
| | | 775,000 | | | | Morgan Stanley, Junior Subordinated Notes, 5.550% (3-Month USD-LIBOR + 3.810%)(a)(f) | | | | | 777,906 | | |
| | | 13,692,000 | | | | Mueller Industries Inc., Subordinated Notes, 6.000% due 3/1/27 | | | | | 13,383,930 | | |
| | | 3,105,000 | | | | Netflix Inc., Senior Unsecured Notes, 6.375% due 5/15/29(b) | | | | | 3,298,100 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | $ | 510,000 | | | | NiSource Inc., Junior Subordinated Notes, 5.650% (5-Year CMT Index + 2.843%)(a)(b)(f) | | | | $ | 492,150 | | |
| | | | | | | Pacific Gas & Electric Co., Senior Unsecured Notes: | | | |||||
| | | 3,231,000 | | | | 3.500% due 6/15/25(e) | | | | | 2,697,885 | | |
| | | 2,115,000 | | | | 2.950% due 3/1/26(e) | | | | | 1,734,300 | | |
| | | 1,330,000 | | | | PNC Financial Services Group Inc., Junior Subordinated Notes, 5.000% (3-Month USD-LIBOR + 3.300%)(a)(f) | | | | | 1,286,775 | | |
| | | 955,000 | | | | Provident Financing Trust I, Limited Guaranteed Notes, 7.405% due 3/15/38 | | | | | 993,200 | | |
| | | | | | | Reliance Holding USA Inc., Company Guaranteed Notes: | | | |||||
| | | 3,495,000 | | | | 4.500% due 10/19/20 | | | | | 3,546,135 | | |
| | | 2,400,000 | | | | 5.400% due 2/14/22 | | | | | 2,496,095 | | |
| | | 3,384,000 | | | | Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp., Senior Secured Notes, 6.125% due 8/15/21(b) | | | | | 3,405,150 | | |
| | | 710,000 | | | | Salem Media Group Inc., Senior Secured Notes, 6.750% due 6/1/24(b) | | | | | 653,200 | | |
| | | 2,273,000 | | | | Sirius XM Radio Inc., Company Guaranteed Notes, 5.000% due 8/1/27(b) | | | | | 2,221,812 | | |
| | | 1,250,000 | | | | State Street Corp., Junior Subordinated Notes, 5.250% (3-Month USD-LIBOR + 3.597%)(a)(f) | | | | | 1,265,625 | | |
| | | 1,360,000 | | | | SunTrust Banks Inc., Junior Subordinated Notes, 5.050% (3-Month USD-LIBOR + 3.102%)(a)(f) | | | | | 1,332,188 | | |
| | | 4,224,000 | | | | Tapestry Inc., Senior Unsecured Notes, 4.250% due 4/1/25 | | | | | 4,098,220 | | |
| | | 2,115,000 | | | | TEGNA Inc., Company Guaranteed Notes, 5.125% due 10/15/19 | | | | | 2,120,288 | | |
| | | 632,299 | | | | Toll Road Investors Partnership II LP, Senior Secured Notes, zero coupon, due 2/15/45(b) | | | | | 156,894 | | |
| | | | | | | Trimble Inc., Senior Unsecured Notes: | | | |||||
| | | 2,930,000 | | | | 4.150% due 6/15/23 | | | | | 2,935,006 | | |
| | | 3,901,000 | | | | 4.750% due 12/1/24 | | | | | 3,924,626 | | |
| | | 945,000 | | | | Triumph Group Inc., Company Guaranteed Notes, 7.750% due 8/15/25 | | | | | 897,750 | | |
| | | 1,725,000 | | | | Voya Financial Inc., Junior Subordinated Notes, 6.125% (5-Year CMT Index + 3.358%)(a)(f) | | | | | 1,742,250 | | |
| | | 2,727,000 | | | | W&T Offshore Inc., Secured Notes, 9.750% due 11/1/23(b) | | | | | 2,699,730 | | |
| | | 635,000 | | | | Wachovia Capital Trust III, Limited Guaranteed Notes, 5.570% (3-Month USD-LIBOR + 0.930%)(a)(f) | | | | | 615,950 | | |
| | | 5,628,000 | | | | Welbilt Inc., Company Guaranteed Notes, 9.500% due 2/15/24 | | | | | 6,057,135 | | |
| | | | | | | Wells Fargo & Co., Junior Subordinated Notes: | | | |||||
| | | 2,560,000 | | | | 5.875% (3-Month USD-LIBOR + 3.990%)(a)(f) | | | | | 2,697,600 | | |
| | | 1,250,000 | | | | 6.558% (3-Month USD-LIBOR + 3.770%)(a)(f) | | | | | 1,259,375 | | |
| | | | | | | Total United States | | | | | 197,103,056 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Cost – $507,675,646) | | | | | 500,050,456 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| SENIOR LOANS(a) – 10.6% | | ||||||||||||
| | $ | 1,417,209 | | | | Appvion Operations Inc., 8.800% (3-Month USD-LIBOR + 6.000%) due 6/12/26 | | | | $ | 1,374,693 | | |
| | | 4,394,690 | | | | BI-LO, LLC, 10.766% (3-Month USD-LIBOR + 8.000%) due 5/31/24 | | | | | 4,215,255 | | |
| | | 6,873,122 | | | | Crestwood Holdings LLC, 10.010% (1-Month USD-LIBOR + 7.500%) due 3/6/23 | | | | | 6,764,320 | | |
| | | | | | | Dell International LLC: | | | |||||
| | | 6,373,460 | | | | 4.250% (1-Month USD-LIBOR + 1.750%) due 9/7/21 | | | | | 6,357,526 | | |
| | | 4,777,912 | | | | 4.500% (1-Month USD-LIBOR + 2.000%) due 9/7/23 | | | | | 4,759,326 | | |
| | | 6,974,907 | | | | Eastman Kodak Co., 8.743% (3-Month USD-LIBOR + 6.250%) due 9/3/19 | | | | | 6,706,374 | | |
| | | 2,788,948 | | | | Envigo Laboratories Inc., 11.300% (3-Month USD-LIBOR + 8.500%) due 11/3/21 | | | | | 2,635,556 | | |
| | | 5,782,628 | | | | First Data Corp., due 7/8/22(h) | | | | | 5,774,937 | | |
| | | 2,168,000 | | | | General Nutrition Centers Inc., due 12/31/22(h) | | | | | 2,194,016 | | |
| | | 7,462,000 | | | | IEA Energy Services LLC, 9.053% (3-Month USD-LIBOR + 6.250%) due 9/25/24 | | | | | 7,051,590 | | |
| | | 5,398,245 | | | | Internap Corp., 8.250% (1-Month USD-LIBOR + 5.750%) due 4/6/22 | | | | | 5,303,776 | | |
| | | 1,855,621 | | | | Lee Enterprises Inc., 12.000% (3-Month USD-LIBOR + 12.000%) due 12/15/22 | | | | | 1,855,621 | | |
| | | 4,588,209 | | | | LSC Communications Inc., 7.993% (1-Month USD-LIBOR + 5.500%) due 9/30/22 | | | | | 4,559,532 | | |
| | | 3,697,816 | | | | McDermott International Inc., 7.493% (1-Month USD-LIBOR + 5.000%) due 5/12/25 | | | | | 3,552,418 | | |
| | | 1,367,826 | | | | Monitronics International Inc., 8.303% (3-Month USD-LIBOR + 5.500%) due 9/30/22 | | | | | 1,196,000 | | |
| | | 1,079,000 | | | | PMHC II Inc., 10.513% (3-Month USD-LIBOR + 7.750%) due 3/30/26 | | | | | 1,014,260 | | |
| | | 2,450,000 | | | | Production Resource Group LLC, 9.650% (3-Month USD-LIBOR + 7.000%) due 8/21/24 | | | | | 2,401,000 | | |
| | | 1,069,837 | | | | RA Acquistion Purchaser LLC, 12.803% (3-Month USD-LIBOR + 10.000%) due 5/31/23(c) | | | | | 1,069,837 | | |
| | | 1,562,003 | | | | Town Sports International LLC, due 11/15/20(h) | | | | | 1,524,905 | | |
| | | 3,314,000 | | | | Trico Group LLC, 9.493% (1-Month USD-LIBOR + 7.000%) due 2/2/24 | | | | | 3,148,300 | | |
| | | 4,361,000 | | | | Windstream Services LLC, due 3/29/21(h) | | | | | 4,216,826 | | |
| | | 5,354,486 | | | | YI LLC, 6.803% (3-Month USD-LIBOR + 4.000%) due 11/7/24 | | | | | 5,314,327 | | |
| | | | | | | TOTAL SENIOR LOANS (Cost – $84,081,430) | | | | | 82,990,395 | | |
| SOVEREIGN BONDS – 3.6% | | ||||||||||||
| Argentina – 0.4% | | ||||||||||||
| | | 3,500,000 | | | | Argentine Republic Government International Bond, 5.625% due 1/26/22 | | | | | 3,139,500 | | |
| Chile – 0.4% | | ||||||||||||
| | | 3,000,000 | | | | Chile Government International Bond, 2.250% due 10/30/22 | | | | | 2,931,000 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| SOVEREIGN BONDS – (continued) | | ||||||||||||
| Costa Rica – 0.2% | | ||||||||||||
| | $ | 1,150,000 | | | | Costa Rica Government International Bond, 9.995% due 8/1/20 | | | | $ | 1,204,625 | | |
| Dominican Republic – 0.7% | | ||||||||||||
| | | 5,330,000 | | | | Dominican Republic International Bond, 7.500% due 5/6/21 | | | | | 5,536,538 | | |
| India – 0.2% | | ||||||||||||
| | | 2,000,000 | | | | Export-Import Bank of India, 3.125% due 7/20/21 | | | | | 1,971,863 | | |
| Indonesia – 0.8% | | ||||||||||||
| | | | | | | Indonesia Government International Bond: | | | |||||
| | | 3,000,000 | | | | 4.875% due 5/5/21 | | | | | 3,092,172 | | |
| | | 2,795,000 | | | | 3.700% due 1/8/22 | | | | | 2,806,297 | | |
| | | | | | | Total Indonesia | | | | | 5,898,469 | | |
| Peru – 0.3% | | ||||||||||||
| | | 2,500,000 | | | | Fondo MIVIVIENDA SA, 3.500% due 1/31/23 | | | | | 2,478,775 | | |
| Philippines – 0.6% | | ||||||||||||
| | | 4,500,000 | | | | Philippine Government International Bond, 4.000% due 1/15/21 | | | | | 4,581,301 | | |
| | | | | | | TOTAL SOVEREIGN BONDS (Cost – $28,031,268) | | | | | 27,742,071 | | |
| Shares/Units | | | | | | | | ||||||
| COMMON STOCKS – 2.7% | | ||||||||||||
| China – 0.2% | | ||||||||||||
| | | 117,771 | | | | Bison Capital Acquisition Corp.* | | | | | 1,236,595 | | |
| Colombia – 0.0% | | ||||||||||||
| | | 21,182 | | | | Frontera Energy Corp.(d) | | | | | 201,847 | | |
| Hong Kong – 0.2% | | ||||||||||||
| | | 134,111 | | | | CM Seven Star Acquisition Corp.* | | | | | 1,371,956 | | |
| United States – 2.3% | | ||||||||||||
| | | 133,587 | | | | Appvion Inc.*(c)(d) | | | | | 1,736,631 | | |
| | | 219,500 | | | | Forum Merger II Corp., Class A Shares* | | | | | 2,166,465 | | |
| | | 412,398 | | | | Pensare Acquisition Corp.* | | | | | 4,222,956 | | |
| | | 52 | | | | Real Alloy Holding Inc.*(c)(d) | | | | | 2,063,089 | | |
| | | 310,832 | | | | Saban Capital Acquisition Corp., Class A Shares* | | | | | 3,186,028 | | |
| | | 465,164 | | | | Vantage Energy Acquisition Corp., Class A Shares* | | | | | 4,726,066 | | |
| | | | | | | Total United States | | | | | 18,101,235 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $22,074,044) | | | | | 20,911,633 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| PREFERRED STOCKS – 1.7% | | ||||||||||||
| Bermuda – 0.3% | | ||||||||||||
| | | 30,926 | | | | Aspen Insurance Holdings Ltd., 5.625%(f) | | | | $ | 724,905 | | |
| | | 31,722 | | | | Axis Capital Holdings Ltd., 5.500%(f) | | | | | 753,398 | | |
| | | 42,868 | | | | Enstar Group Ltd., 7.000% (3-Month USD-LIBOR + 4.015%)(a)(f) | | | | | 1,053,267 | | |
| | | | | | | Total Bermuda | | | | | 2,531,570 | | |
| United States – 1.4% | | ||||||||||||
| | | 10,100 | | | | Air Lease Corp., 6.150% (3-Month USD-LIBOR + 3.650%)(a)(f) | | | | | 255,833 | | |
| | | 3,000 | | | | CoBank ACB, 6.250% (3-Month USD-LIBOR + 4.557%)(a)(b)(f) | | | | | 309,000 | | |
| | | 1,000 | | | | Dairy Farmers of America Inc., 7.875%(b)(f) | | | | | 99,250 | | |
| | | 50,000 | | | | Delphi Financial Group Inc., 5.874% (3-Month USD-LIBOR + 3.190%)(a) | | | | | 1,143,750 | | |
| | | 21,710 | | | | Farm Credit Bank of Texas, 6.750% (3-Month USD-LIBOR + 4.010%)(a)(b)(f) | | | | | 2,225,275 | | |
| | | 25,550 | | | | GMAC Capital Trust I, 8.469% (3-Month USD-LIBOR + 5.785%)(a) | | | | | 664,044 | | |
| | | 54,847 | | | | Huntington Bancshares Inc., 6.250%(f) | | | | | 1,404,632 | | |
| | | 6,240 | | | | KeyCorp, 6.125% (3-Month USD-LIBOR + 3.892%)(a)(f)(g) | | | | | 165,672 | | |
| | | | | | | Morgan Stanley: | | | |||||
| | | 75,960 | | | | 5.850% (3-Month USD-LIBOR + 3.491%)(a)(f) | | | | | 1,922,547 | | |
| | | 10,600 | | | | 6.375% (3-Month USD-LIBOR + 3.708%)(a)(f) | | | | | 280,794 | | |
| | | 4,400 | | | | 6.875% (3-Month USD-LIBOR + 3.940%)(a)(f) | | | | | 119,372 | | |
| | | 20,000 | | | | New York Community Bancorp Inc., 6.375% (3-Month USD-LIBOR + 3.892%)(a)(f) | | | | | 502,400 | | |
| | | 45,000 | | | | NuStar Energy LP, 7.625% (3-Month USD-LIBOR + 5.643%)(a)(f) | | | | | 965,700 | | |
| | | 35,972 | | | | Regions Financial Corp., 6.375% (3-Month USD-LIBOR + 3.536%)(a)(f)(g) | | | | | 975,201 | | |
| | | | | | | Total United States | | | | | 11,033,470 | | |
| | | | | | | TOTAL PREFERRED STOCKS (Cost – $14,193,705) | | | | | 13,565,040 | | |
| WARRANT – 0.0% | | ||||||||||||
| United States – 0.0% | | ||||||||||||
| | | 219,500 | | | | Forum Merger II Corp.* (Cost – $125,800) | | | | | 98,775 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $656,181,893) | | | | | 645,358,370 | | |
| Face Amount† | | | | | | | | ||||||
| SHORT-TERM INVESTMENTS – 18.8% | | ||||||||||||
| COMMERCIAL PAPERS – 12.7% | | ||||||||||||
| | $ | 9,238,000 | | | | Albemarle Corp., 2.758% due 4/1/19(i) | | | | | 9,214,236 | | |
| | | 5,953,000 | | | | AT&T Inc., 3.091% due 5/28/19(i) | | | | | 5,909,923 | | |
| | | 10,910,000 | | | | Campbell Soup Co., 2.910% due 3/27/19(i) | | | | | 10,887,638 | | |
| | | 9,413,000 | | | | Constellation Brands Inc., 2.887% due 3/18/19(i) | | | | | 9,398,673 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – (continued) | | ||||||||||||
| COMMERCIAL PAPERS – (continued) | | ||||||||||||
| | $ | 11,799,000 | | | | El du Pont de Nemours & Co., 2.840% due 3/5/19(i) | | | | $ | 11,794,730 | | |
| | | 10,621,000 | | | | Genesis Learning Sys Inc., 3.086% due 5/1/19(i) | | | | | 10,564,240 | | |
| | | 5,238,000 | | | | Harris Corp., 2.907% due 3/21/19(i) | | | | | 5,229,207 | | |
| | | 5,310,000 | | | | Humana Inc., 2.857% due 4/3/19(d)(i) | | | | | 5,296,128 | | |
| | | 9,752,000 | | | | McKesson Corp., 2.705% due 3/19/19(i) | | | | | 9,738,093 | | |
| | | 10,210,000 | | | | Mondelez International Inc., 2.932% due 3/6/19(i) | | | | | 10,205,515 | | |
| | | 5,382,000 | | | | Royal Caribbean Cruises Ltd., 3.010% due 4/1/19(i) | | | | | 5,368,868 | | |
| | | 6,281,000 | | | | Sherwin-Williams Co., 2.806% due 3/6/19(i) | | | | | 6,278,481 | | |
| | | | | | | TOTAL COMMERCIAL PAPERS (Cost – $99,890,893) | | | | | 99,885,732 | | |
| TIME DEPOSITS – 6.1% | | ||||||||||||
| | | 1,031,446SEK | | | | Brown Brothers Harriman – Grand Cayman, 0.550% due 3/1/19 | | | | | 111,671 | | |
| | | 100,167EUR | | | | Citibank – London, 0.570% due 3/1/19 | | | | | 113,929 | | |
| | | 43,415,028 | | | | JPMorgan Chase & Co. – New York, 1.750% due 3/1/19 | | | | | 43,415,028 | | |
| | | 3,799,702 | | | | Sumitomo Mitsui Banking Corp. – Tokyo, 1.750% due 3/1/19 | | | | | 3,799,702 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $47,440,330) | | | | | 47,440,330 | | |
| | | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost – $147,331,223) | | | | | 147,326,062 | | |
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 0.3% | | ||||||||||||
| MONEY MARKET FUND – 0.3% | | ||||||||||||
| | | 2,381,368 | | | | Federated Government Obligations Fund, Premier Class, 2.363%(j) (Cost – $2,381,368) | | | | | 2,381,368 | | |
| | | | | | | TOTAL INVESTMENTS – 101.5% (Cost – $805,894,484#) | | | | | 795,065,800 | | |
| | | | | | | Liabilities in Excess of Other Assets – (1.5)% | | | | | (11,723,873) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 783,341,927 | | |
|
Security | | | Acquisition Date | | | Acquisition Cost | | | Market Value | | | Percent of Net Assets | | ||||||||||||
QBE Insurance Group Ltd., Subordinated Notes, 6.750% (USD Swap Rate +4.300%) due 12/2/44 | | | | | 10/2/18 | | | | | $ | 2,109,000 | | | | | $ | 2,110,000 | | | | | | 0.27% | | |
Banco Santander SA, Junior Subordinated Notes, 6.375% (5-Year USD Swap Rate + 4.788%) | | | | | 2/13/19 | | | | | | 395,500 | | | | | | 396,966 | | | | | | 0.05% | | |
UBS Group Funding Switzerland AG, Company Guaranteed Notes, 7.000% (5-Year USD Swap Rate + 4.866%) | | | | | 4/18/17 | | | | | | 1,300,500 | | | | | | 1,485,750 | | | | | | 0.19% | | |
Total | | | | | | | | | | | | | | | | $ | 3,992,716 | | | | | | 0.51% | | |
|
| Corporate Bonds & Notes | | | | | 62.9% | | |
| Senior Loans | | | | | 10.5 | | |
| Sovereign Bonds | | | | | 3.5 | | |
| Common Stocks | | | | | 2.6 | | |
| Preferred Stocks | | | | | 1.7 | | |
| Warrant | | | | | 0.0* | | |
| Short-Term Investments | | | | | 18.5 | | |
| Money Market Fund | | | | | 0.3 | | |
| | | | | | 100.0% | | |
|
Foreign Currency | | | Local Currency | | | Counterparty | | | Market Value | | | Settlement Date | | | Unrealized Appreciation | | | Unrealized (Depreciation) | | | Net Unrealized Appreciation/ (Depreciation) | | |||||||||||||||||||||
Contracts to Buy: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Euro | | | | | 200,500 | | | | | | BBH | | | | | $ | 228,261 | | | | | | 3/15/19 | | | | | $ | — | | | | | $ | (96) | | | | | $ | (96) | | |
Swedish Krona | | | | | 1,030,250 | | | | | | BBH | | | | | | 111,640 | | | | | | 3/15/19 | | | | | | — | | | | | | (66) | | | | | | (66) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | — | | | | | $ | (162) | | | | | $ | (162) | | |
Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Euro | | | | | 2,385,000 | | | | | | BBH | | | | | | 2,715,226 | | | | | | 3/15/19 | | | | | $ | — | | | | | $ | (19,222) | | | | | $ | (19,222) | | |
Norwegian Krone | | | | | 11,085,000 | | | | | | BBH | | | | | | 1,296,070 | | | | | | 3/15/19 | | | | | | — | | | | | | (23,118) | | | | | | (23,118) | | |
Swedish Krona | | | | | 1,030,250 | | | | | | BBH | | | | | | 111,640 | | | | | | 3/15/19 | | | | | | — | | | | | | (589) | | | | | | (589) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | — | | | | | $ | (42,929) | | | | | $ | (42,929) | | |
Net Unrealized Depreciation on Open Forward Foreign Currency Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | — | | | | | $ | (43,091) | | | | | $ | (43,091) | | |
|
| Currency Abbreviations used in this schedule: | | | Counterparty Abbreviations used in this schedule: | |
| CAD — Canadian Dollar | | | BBH — Brown Brothers Harriman & Co. | |
| EUR — Euro | | | | |
| NOK — Norwegian Krone | | | | |
| SEK — Swedish Krona | | | | |
| Face Amount† | | | Security | | | Value | | ||||||
| SECURITIES SOLD SHORT – 0.5% | | ||||||||||||
| CORPORATE BOND & NOTE – 0.5% | | ||||||||||||
| Germany – 0.1% | | ||||||||||||
| | | 824,000EUR | | | | BASF SE, Senior Unsecured Notes, 0.875% due 11/15/27 | | | | $ | 941,632 | | |
| United States – 0.4% | | ||||||||||||
| | $ | 1,418,000 | | | | DaVita Inc., Company Guaranteed Notes, 5.125% due 7/15/24 | | | | | 1,403,820 | | |
| | | 840,000 | | | | McKesson Corp., Senior Unsecured Notes, 3.950% due 2/16/28 | | | | | 824,755 | | |
| | | 840,000 | | | | Quest Diagnostics Inc., Senior Unsecured Notes, 3.450% due 6/1/26 | | | | | 805,012 | | |
| | | | | | | Total United States | | | | | 3,033,587 | | |
| | | | | | | TOTAL SECURITIES SOLD SHORT – 0.5% (Proceeds – $3,942,008) | | | | $ | 3,975,219 | | |
|
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – 86.0% | | |||||||||||||||
| Alabama – 0.9% | | |||||||||||||||
| | $ | 2,000,000 | | | | AA- | | | Auburn University, Revenue Bonds, Series A, 5.000% due 6/1/35 | | | | $ | 2,357,880 | | |
| | | 355,000 | | | | AA- | | | County of Jefferson AL, GO, Series B, 5.000% due 4/1/21 | | | | | 377,621 | | |
| | | 220,000 | | | | A- | | | Industrial Development Board of the City of Mobile Alabama, Revenue Bonds, 1.850% due 6/1/34(a) | | | | | 218,337 | | |
| | | | | | | | | | Mobile County Board of School Commissioners, Special Tax: | | | |||||
| | | 175,000 | | | | A- | | | 5.000% due 3/1/29 | | | | | 197,530 | | |
| | | 180,000 | | | | A- | | | 5.000% due 3/1/30 | | | | | 201,991 | | |
| | | 185,000 | | | | A- | | | 5.000% due 3/1/31 | | | | | 206,195 | | |
| | | 145,000 | | | | A- | | | 5.000% due 3/1/32 | | | | | 160,764 | | |
| | | 215,000 | | | | A- | | | 5.000% due 3/1/33 | | | | | 237,104 | | |
| | | | | | | | | | Montgomery Medical Clinic Board, Revenue Bonds: | | | |||||
| | | 60,000 | | | | BBB | | | 5.000% due 3/1/26 | | | | | 68,385 | | |
| | | 115,000 | | | | BBB | | | 5.000% due 3/1/27 | | | | | 129,771 | | |
| | | 125,000 | | | | BBB | | | 5.000% due 3/1/28 | | | | | 140,152 | | |
| | | 105,000 | | | | BBB | | | 5.000% due 3/1/29 | | | | | 116,973 | | |
| | | 125,000 | | | | BBB | | | 5.000% due 3/1/30 | | | | | 138,199 | | |
| | | 3,500,000 | | | | A3(b) | | | Southeast Alabama Gas Supply District, Revenue Bonds, Series A, 4.000% due 6/1/49(a) | | | | | 3,720,255 | | |
| | | | | | | | | | Total Alabama | | | | | 8,271,157 | | |
| Alaska – 0.2% | | |||||||||||||||
| | | 1,000,000 | | | | AA+ | | | Alaska Housing Finance Corp., Revenue Bonds, Series A, 5.000% due 6/1/30 | | | | | 1,172,910 | | |
| | | | | | | | | | Borough of North Slope AK, GO: | | | |||||
| | | 15,000 | | | | AA | | | Series A, 5.000% due 6/30/19 | | | | | 15,163 | | |
| | | 50,000 | | | | AA | | | Series A, Prerefunded 6/30/20 @ 100, 5.000% due 6/30/21(c) | | | | | 52,221 | | |
| | | 215,000 | | | | AA | | | State of Alaska, GO, Series A, 5.000% due 8/1/33 | | | | | 244,836 | | |
| | | 225,000 | | | | A1(b) | | | State of Alaska International Airports System, Revenue Bonds, Series B, 5.000% due 10/1/33 | | | | | 254,506 | | |
| | | | | | | | | | Total Alaska | | | | | 1,739,636 | | |
| Arizona – 2.8% | | |||||||||||||||
| | | 5,000,000 | | | | AA+ | | | Arizona Department of Transportation State Highway Fund Revenue, Revenue Bonds, 5.000% due 7/1/27 | | | | | 6,002,500 | | |
| | | | | | | | | | City of Glendale AZ, Revenue Bonds: | | | |||||
| | | 230,000 | | | | AA+ | | | Series A, 5.000% due 7/1/27 | | | | | 268,453 | | |
| | | 215,000 | | | | AA+ | | | Series A, 5.000% due 7/1/28 | | | | | 249,843 | | |
| | | 235,000 | | | | AA+ | | | Series A, 5.000% due 7/1/29 | | | | | 272,182 | | |
| | | 105,000 | | | | AA | | | 5.000% due 7/1/23 | | | | | 118,536 | | |
| | | 95,000 | | | | AA | | | 5.000% due 7/1/25 | | | | | 111,991 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Arizona – (continued) | | |||||||||||||||
| | $ | 45,000 | | | | AA | | | 5.000% due 7/1/28 | | | | $ | 53,980 | | |
| | | 85,000 | | | | AA | | | 5.000% due 7/1/32 | | | | | 99,354 | | |
| | | 65,000 | | | | AA | | | City of Glendale AZ, GO, AGM, 4.000% due 7/1/21 | | | | | 68,291 | | |
| | | | | | | | | | City of Glendale AZ Transportation Excise Tax Revenue, Revenue Bonds, AGM: | | | |||||
| | | 55,000 | | | | AA | | | 5.000% due 7/1/24 | | | | | 63,705 | | |
| | | 60,000 | | | | AA | | | 5.000% due 7/1/25 | | | | | 70,770 | | |
| | | 105,000 | | | | AA | | | 5.000% due 7/1/26 | | | | | 122,961 | | |
| | | | | | | | | | City of Phoenix Civic Improvement Corp., Revenue Bonds: | | | |||||
| | | 30,000 | | | | AAA | | | Series A, 5.000% due 7/1/20 | | | | | 31,331 | | |
| | | 65,000 | | | | AA- | | | Series A, 5.000% due 7/1/27(d) | | | | | 77,687 | | |
| | | 90,000 | | | | AA- | | | Series A, 5.000% due 7/1/28(d) | | | | | 106,688 | | |
| | | 6,365,000 | | | | AAA | | | Series B, 4.000% due 7/1/29 | | | | | 6,899,342 | | |
| | | 30,000 | | | | AAA | | | Series C, 5.000% due 7/1/21 | | | | | 32,292 | | |
| | | 1,000,000 | | | | AAA | | | City of Scottsdale AZ, GO, 5.000% due 7/1/23 | | | | | 1,137,840 | | |
| | | | | | | | | | County of Pima AZ Sewer System Revenue, Revenue Bonds: | | | |||||
| | | 15,000 | | | | AA | | | Series A, 5.000% due 7/1/22 | | | | | 16,604 | | |
| | | 30,000 | | | | AA | | | Series A, 5.000% due 7/1/23 | | | | | 33,177 | | |
| | | 60,000 | | | | AA | | | Series B, 5.000% due 7/1/20 | | | | | 62,663 | | |
| | | 60,000 | | | | AA | | | Series B, Prerefunded 7/1/21 @ 100, 5.000% due 7/1/25(c) | | | | | 64,537 | | |
| | | 3,000,000 | | | | BBB+ | | | Industrial Development Authority of the City of Phoenix, Revenue Bonds, 2.300% due 12/1/35(a)(d) | | | | | 3,000,180 | | |
| | | 820,000 | | | | AAA | | | Maricopa County Community College District, GO, Series D, 4.250% due 7/1/25 | | | | | 868,036 | | |
| | | | | | | | | | Maricopa County Industrial Development Authority, Revenue Bonds: | | | |||||
| | | 145,000 | | | | NR | | | 6.000% due 1/1/48(e) | | | | | 146,156 | | |
| | | 70,000 | | | | AA- | | | Series A, 5.000% due 1/1/22 | | | | | 76,119 | | |
| | | 145,000 | | | | AA- | | | Series A, 5.000% due 1/1/23 | | | | | 161,797 | | |
| | | 190,000 | | | | AA- | | | Series A, 4.000% due 1/1/24 | | | | | 207,839 | | |
| | | 60,000 | | | | AA- | | | Series A, 5.000% due 1/1/24 | | | | | 68,383 | | |
| | | 225,000 | | | | AA- | | | Series A, 5.000% due 1/1/25 | | | | | 261,569 | | |
| | | 735,000 | | | | A2(b) | | | Series B, 5.000% due 9/1/45(a) | | | | | 826,346 | | |
| | | 430,000 | | | | AA- | | | Series B, 5.000% due 1/1/48(a) | | | | | 476,203 | | |
| | | 290,000 | | | | AA- | | | Series C, 5.000% due 1/1/48(a) | | | | | 334,979 | | |
| | | 50,000 | | | | AA- | | | McAllister Academic Village LLC, Revenue Bonds, 5.000% due 7/1/21 | | | | | 53,677 | | |
| | | 145,000 | | | | AA | | | Salt River Project Agricultural Improvement & Power District, Revenue Bonds, Series A, 5.000% due 1/1/33 | | | | | 173,175 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Arizona – (continued) | | |||||||||||||||
| | | | | | | | | | State of Arizona, COP: | | | |||||
| | $ | 195,000 | | | | AA | | | AGM, Series A, 5.250% due 10/1/20 | | | | $ | 199,056 | | |
| | | 245,000 | | | | Aa3(b) | | | Series A, 5.000% due 10/1/20(f) | | | | | 254,320 | | |
| | | 215,000 | | | | Aa3(b) | | | Series A, 5.000% due 10/1/21(f) | | | | | 229,373 | | |
| | | 225,000 | | | | Aa3(b) | | | Series A, 5.000% due 10/1/22(f) | | | | | 246,481 | | |
| | | 300,000 | | | | Aa3(b) | | | Series A, 5.000% due 10/1/23(f) | | | | | 335,961 | | |
| | | 310,000 | | | | Aa3(b) | | | Series A, 5.000% due 10/1/24(f) | | | | | 354,438 | | |
| | | | | | | | | | Tempe Industrial Development Authority, Revenue Bonds: | | | |||||
| | | 5,000 | | | | NR | | | Series A, 6.000% due 10/1/37(e) | | | | | 5,454 | | |
| | | 15,000 | | | | NR | | | Series A, 6.125% due 10/1/47(e) | | | | | 16,230 | | |
| | | 15,000 | | | | NR | | | Series A, 6.125% due 10/1/52(e) | | | | | 16,186 | | |
| | | 225,000 | | | | NR | | | Series B, 4.000% due 10/1/23(e) | | | | | 225,916 | | |
| | | | | | | | | | Total Arizona | | | | | 24,502,601 | | |
| Arkansas – 0.0% | | |||||||||||||||
| | | 90,000 | | | | Aa2(b) | | | Little Rock School District, GO, 3.000% due 2/1/22 | | | | | 92,602 | | |
| California – 3.0% | | |||||||||||||||
| | | 50,000 | | | | NR | | | Abag Finance Authority for Nonprofit Corps, Revenue Bonds, Prerefunded 8/1/19 @ 100, 6.250% due 8/1/39(c) | | | | | 50,969 | | |
| | | 60,000 | | | | A- | | | Alameda Corridor Transportation Authority, Revenue Bonds, Series A, 5.000% due 10/1/23 | | | | | 68,860 | | |
| | | | | | | | | | Bay Area Toll Authority, Revenue Bonds: | | | |||||
| | | 2,000,000 | | | | AA | | | Series A, 2.250% due 4/1/45(a) | | | | | 2,021,580 | | |
| | | 255,000 | | | | AA | | | Series A, 2.950% due 4/1/47(a) | | | | | 268,056 | | |
| | | 210,000 | | | | AA | | | Series B, 2.850% due 4/1/47(a) | | | | | 219,028 | | |
| | | 195,000 | | | | AA | | | Series C, 2.100% due 4/1/45(a) | | | | | 196,371 | | |
| | | | | | | | | | California Health Facilities Financing Authority, Revenue Bonds: | | | |||||
| | | 115,000 | | | | AA- | | | Series A, 5.000% due 7/1/25 | | | | | 131,495 | | |
| | | 3,500,000 | | | | AA- | | | Series C, 1.000% due 8/15/53(a) | | | | | 3,484,320 | | |
| | | 85,000 | | | | AA- | | | Series D, 5.000% due 8/15/35 | | | | | 90,790 | | |
| | | | | | | | | | California Municipal Finance Authority, Revenue Bonds: | | | |||||
| | | 55,000 | | | | BBB+(g) | | | 5.000% due 6/30/28(d) | | | | | 65,378 | | |
| | | 45,000 | | | | BBB+(g) | | | 5.000% due 12/31/28(d) | | | | | 53,272 | | |
| | | 60,000 | | | | BBB+(g) | | | 5.000% due 6/30/29(d) | | | | | 70,736 | | |
| | | 30,000 | | | | BBB+(g) | | | 5.000% due 12/31/29(d) | | | | | 35,223 | | |
| | | 90,000 | | | | BBB+(g) | | | 5.000% due 6/30/31(d) | | | | | 104,432 | | |
| | | 85,000 | | | | BBB+(g) | | | 5.000% due 12/31/31(d) | | | | | 98,374 | | |
| | | 600,000 | | | | BBB+ | | | California Pollution Control Financing Authority, Revenue Bonds, Series A, 2.300% due 8/1/23(a)(d)(e) | | | | | 600,042 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| California – (continued) | | |||||||||||||||
| | | | | | | | | | California State Public Works Board, Revenue Bonds: | | | |||||
| | $ | 60,000 | | | | A+ | | | Series A, 5.000% due 4/1/22 | | | | $ | 66,031 | | |
| | | 145,000 | | | | A+ | | | Series A, 5.000% due 4/1/23 | | | | | 159,484 | | |
| | | 115,000 | | | | A+ | | | Series A, 5.250% due 10/1/24 | | | | | 125,519 | | |
| | | 115,000 | | | | A+ | | | Series A, 5.250% due 10/1/25 | | | | | 125,458 | | |
| | | 70,000 | | | | A+ | | | Series D, 5.000% due 12/1/21 | | | | | 76,357 | | |
| | | 30,000 | | | | A+ | | | Series G, 5.000% due 11/1/23 | | | | | 33,536 | | |
| | | 30,000 | | | | A+ | | | Series G, 5.000% due 11/1/24 | | | | | 33,490 | | |
| | | 50,000 | | | | AA+ | | | City of Los Angeles CA Wastewater System Revenue, Revenue Bonds, Series A, Prerefunded 6/1/19 @ 100, 5.750% due 6/1/34(c) | | | | | 50,523 | | |
| | | 3,000,000 | | | | AA- | | | City of Riverside CA Sewer Revenue, Revenue Bonds, Series A, 5.000% due 8/1/36 | | | | | 3,561,570 | | |
| | | 65,000 | | | | AA- | | | County of San Bernardino CA, COP, Series A, 5.250% due 8/1/26 | | | | | 66,001 | | |
| | | | | | | | | | Golden State Tobacco Securitization Corp., Revenue Bonds: | | | |||||
| | | 175,000 | | | | A+ | | | Series A, AMBAC, zero coupon, due 6/1/24 | | | | | 156,947 | | |
| | | 145,000 | | | | A+ | | | Series A, 5.000% due 6/1/29 | | | | | 161,315 | | |
| | | 115,000 | | | | BBB+ | | | Series A1, 5.000% due 6/1/25 | | | | | 130,165 | | |
| | | 30,000 | | | | BBB+ | | | Series A1, 5.000% due 6/1/26 | | | | | 34,340 | | |
| | | 115,000 | | | | AA+ | | | Los Angeles Community College District, GO, Series A, Prerefunded 8/1/19 @ 100, 6.000% due 8/1/33(c) | | | | | 117,134 | | |
| | | 2,000,000 | | | | AAA | | | Los Angeles County Metropolitan Transportation Authority, Revenue Bonds, Series A, 5.000% due 7/1/44 | | | | | 2,314,200 | | |
| | | 290,000 | | | | AA | | | Los Angeles Department of Water & Power Power System Revenue, Revenue Bonds, Series A, 5.000% due 7/1/29 | | | | | 337,653 | | |
| | | 1,500,000 | | | | Aa2(b) | | | Los Angeles Unified School District, GO, Series A, 5.000% due 7/1/27 | | | | | 1,841,025 | | |
| | | | | | | | | | Modesto Irrigation District, Revenue Bonds: | | | |||||
| | | 30,000 | | | | A+ | | | Series A, 5.000% due 7/1/22 | | | | | 32,406 | | |
| | | 110,000 | | | | A+ | | | Series A, 5.000% due 7/1/23 | | | | | 118,587 | | |
| | | | | | | | | | Northern California Power Agency, Revenue Bonds: | | | |||||
| | | 35,000 | | | | A+ | | | Series A, 5.000% due 7/1/19 | | | | | 35,406 | | |
| | | 65,000 | | | | A+ | | | Series A, 5.000% due 7/1/22 | | | | | 65,716 | | |
| | | 170,000 | | | | Aa3(b) | | | Oakland Alameda County Coliseum Authority, Revenue Bonds, Series A, 5.000% due 2/1/23 | | | | | 186,349 | | |
| | | | | | | | | | Oakland Unified School District, GO: | | | |||||
| | | 100,000 | | | | AA | | | AGM, 5.000% due 8/1/26 | | | | | 118,472 | | |
| | | 30,000 | | | | A | | | Series A, 5.000% due 8/1/28 | | | | | 35,324 | | |
| | | 145,000 | | | | A+ | | | Port of Oakland, Revenue Bonds, Series P, 5.000% due 5/1/22(d) | | | | | 158,872 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| California – (continued) | | |||||||||||||||
| | | | | | | | | | Poway Unified School District Public Financing Authority, Special Tax: | | | |||||
| | $ | 35,000 | | | | NR | | | Series A, 5.000% due 9/1/25 | | | | $ | 39,387 | | |
| | | 45,000 | | | | NR | | | Series A, 5.000% due 9/1/28 | | | | | 49,631 | | |
| | | 50,000 | | | | NR | | | Series A, 5.000% due 9/1/32 | | | | | 54,231 | | |
| | | 90,000 | | | | A | | | Sacramento City Financing Authority, Tax Allocation, Series A, NPFG, zero coupon, due 12/1/26 | | | | | 73,889 | | |
| | | 255,000 | | | | AA- | | | San Diego Convention Center Expansion Financing Authority, Revenue Bonds, Series A, 5.000% due 4/15/23 | | | | | 281,678 | | |
| | | 60,000 | | | | AA+ | | | San Diego Public Facilities Financing Authority Sewer Revenue, Revenue Bonds, Series A, Prerefunded 5/15/19 @ 100, 5.000% due 5/15/22(c) | | | | | 60,426 | | |
| | | 75,000 | | | | AA- | | | San Diego Unified School District, GO, Series C, zero coupon, due 7/1/34 | | | | | 44,747 | | |
| | | | | | | | | | San Marcos Unified School District, GO: | | | |||||
| | | 105,000 | | | | AA- | | | Series B, zero coupon, due 8/1/35 | | | | | 59,522 | | |
| | | 60,000 | | | | AA- | | | Series B, zero coupon, due 8/1/37 | | | | | 30,953 | | |
| | | 55,000 | | | | AA+ | | | Santa Monica-Malibu Unified School District, GO, NPFG, zero coupon, due 8/1/20 | | | | | 53,753 | | |
| | | | | | | | | | State of California, GO: | | | |||||
| | | 80,000 | | | | AA- | | | 5.000% due 9/1/29 | | | | | 95,012 | | |
| | | 2,500,000 | | | | AA- | | | 5.000% due 8/1/30 | | | | | 3,045,400 | | |
| | | 3,125,000 | | | | AA- | | | 4.000% due 12/1/30(a) | | | | | 3,264,344 | | |
| | | 60,000 | | | | AA+ | | | Prerefunded 4/1/19 @ 100, 6.000% due 4/1/38(c) | | | | | 60,209 | | |
| | | 435,000 | | | | AA- | | | Series B, 5.000% due 8/1/26 | | | | | 525,932 | | |
| | | 205,000 | | | | AA- | | | Series C, 5.000% due 8/1/29 | | | | | 243,210 | | |
| | | 115,000 | | | | AA- | | | 6.000% due 4/1/38 | | | | | 115,371 | | |
| | | | | | | | | | State of California Department of Water Resources, Revenue Bonds: | | | |||||
| | | 65,000 | | | | AAA | | | Series AI, 5.000% due 12/1/25 | | | | | 71,123 | | |
| | | 140,000 | | | | AAA | | | Series AI, Prerefunded 12/1/21 @ 100, 5.000% due 12/1/29(c) | | | | | 153,546 | | |
| | | 40,000 | | | | AA+ | | | Union Elementary School District, GO, Series A, NPFG, zero coupon, due 9/1/20 | | | | | 39,028 | | |
| | | 30,000 | | | | AA | | | University of California, Revenue Bonds, Series O, Prerefunded 5/15/19 @ 100, 5.250% due 5/15/39(c) | | | | | 30,228 | | |
| | | 100,000 | | | | Aa3(b) | | | Washington Township Health Care District, GO, Series A, 5.500% due 8/1/40 | | | | | 116,189 | | |
| | | 230,000 | | | | AA- | | | West Contra Costa Unified School District, GO, 5.000% due 8/1/26 | | | | | 255,102 | | |
| | | | | | | | | | Total California | | | | | 26,463,717 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Colorado – 0.8% | | |||||||||||||||
| | | | | | | | | | City & County of Denver CO Airport System Revenue, Revenue Bonds: | | | |||||
| | $ | 65,000 | | | | A+ | | | Series A, 5.000% due 11/15/24(d) | | | | $ | 74,886 | | |
| | | 30,000 | | | | A+ | | | Series A, 5.000% due 11/15/27(d) | | | | | 35,912 | | |
| | | 145,000 | | | | A+ | | | Series A, 5.000% due 11/15/28(d) | | | | | 172,084 | | |
| | | 145,000 | | | | A+ | | | Series A, 5.000% due 11/15/29(d) | | | | | 170,750 | | |
| | | 115,000 | | | | A+ | | | Series A, 5.000% due 11/15/30(d) | | | | | 134,372 | | |
| | | | | | | | | | Colorado Health Facilities Authority, Revenue Bonds: | | | |||||
| | | 2,115,000 | | | | AA | | | 5.000% due 11/15/36(a) | | | | | 2,405,813 | | |
| | | 190,000 | | | | A3(b) | | | 5.000% due 9/1/46 | | | | | 206,758 | | |
| | | 220,000 | | | | BBB+ | | | Series D3, 5.000% due 10/1/38(a) | | | | | 235,099 | | |
| | | 655,000 | | | | NR | | | zero coupon, due 7/15/22 | | | | | 615,038 | | |
| | | | | | | | | | E-470 Public Highway Authority, Revenue Bonds: | | | |||||
| | | 140,000 | | | | A | | | Series B, NPFG, zero coupon, due 9/1/20 | | | | | 135,444 | | |
| | | 60,000 | | | | A | | | zero coupon, due 9/1/35 | | | | | 32,251 | | |
| | | 85,000 | | | | A | | | zero coupon, due 9/1/37 | | | | | 41,387 | | |
| | | 110,000 | | | | A | | | zero coupon, due 9/1/38 | | | | | 51,026 | | |
| | | 2,250,000 | | | | AA- | | | State of Colorado, COP, Series A, 4.000% due 12/15/36 | | | | | 2,364,502 | | |
| | | 210,000 | | | | AA- | | | University of Colorado Hospital Authority, Revenue Bonds, Series C, 5.000% due 11/15/38(a) | | | | | 225,301 | | |
| | | | | | | | | | Total Colorado | | | | | 6,900,623 | | |
| Connecticut – 1.7% | | |||||||||||||||
| | | | | | | | | | Connecticut State Health & Educational Facilities Authority, Revenue Bonds: | | | |||||
| | | 1,030,000 | | | | AAA | | | Series A, 2.050% due 7/1/35(a) | | | | | 1,037,159 | | |
| | | 7,260,000 | | | | AAA | | | Series A2, 2.000% due 7/1/42(a) | | | | | 7,068,118 | | |
| | | 65,000 | | | | A- | | | Series S, 5.000% due 7/1/26 | | | | | 76,406 | | |
| | | 30,000 | | | | A- | | | Series S, 5.000% due 7/1/29 | | | | | 35,832 | | |
| | | 4,465,000 | | | | AAA | | | Series V1, 1.540% due 7/1/36(a) | | | | | 4,465,000 | | |
| | | | | | | | | | State of Connecticut, GO: | | | |||||
| | | 90,000 | | | | A | | | Series A, 5.000% due 3/15/26 | | | | | 103,791 | | |
| | | 85,000 | | | | A | | | Series E, 5.000% due 9/15/23 | | | | | 93,002 | | |
| | | 100,000 | | | | A | | | Series E, 5.000% due 10/15/26 | | | | | 115,959 | | |
| | | 150,000 | | | | A | | | Series E, 5.000% due 10/15/29 | | | | | 170,323 | | |
| | | 1,600,000 | | | | A | | | Series F, 5.000% due 9/15/26 | | | | | 1,854,000 | | |
| | | | | | | | | | Total Connecticut | | | | | 15,019,590 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Delaware – 0.5% | | |||||||||||||||
| | | | | | | | | | Delaware River & Bay Authority, Revenue Bonds: | | | |||||
| | $ | 85,000 | | | | A | | | Series C, 5.000% due 1/1/22 | | | | $ | 92,700 | | |
| | | 35,000 | | | | A | | | Series C, 5.000% due 1/1/24 | | | | | 40,064 | | |
| | | 80,000 | | | | A | | | Series C, 5.000% due 1/1/25 | | | | | 91,272 | | |
| | | 3,160,000 | | | | NR | | | State of Delaware, GO, Series B, Prerefunded 7/1/24 @ 100, 5.000% due 7/1/27(c) | | | | | 3,678,177 | | |
| | | | | | | | | | Total Delaware | | | | | 3,902,213 | | |
| District of Columbia – 0.5% | | |||||||||||||||
| | | | | | | | | | District of Columbia, Revenue Bonds: | | | |||||
| | | 120,000 | | | | AAA | | | Series A, 5.000% due 12/1/36 | | | | | 128,754 | | |
| | | 195,000 | | | | A1(b) | | | Series A, 5.000% due 6/1/40 | | | | | 201,125 | | |
| | | | | | | | | | Metropolitan Washington Airports Authority, Revenue Bonds: | | | |||||
| | | 2,500,000 | | | | AA- | | | Series A, 5.000% due 10/1/24(d) | | | | | 2,882,300 | | |
| | | 115,000 | | | | AA- | | | Series A, 5.000% due 10/1/28(d) | | | | | 139,085 | | |
| | | 280,000 | | | | AA- | | | Series A, 5.000% due 10/1/29(d) | | | | | 332,220 | | |
| | | 95,000 | | | | AA- | | | Series A, 5.000% due 10/1/30(d) | | | | | 112,694 | | |
| | | 205,000 | | | | AA- | | | Series A, 5.000% due 10/1/31(d) | | | | | 240,229 | | |
| | | 60,000 | | | | AA- | | | Series A, 5.000% due 10/1/34(d) | | | | | 68,709 | | |
| | | 55,000 | | | | AA- | | | Series A, 5.000% due 10/1/36(d) | | | | | 62,501 | | |
| | | 240,000 | | | | AA- | | | Washington Metropolitan Area Transit Authority, Revenue Bonds, Series B, 5.000% due 7/1/34 | | | | | 280,733 | | |
| | | | | | | | | | Total District of Columbia | | | | | 4,448,350 | | |
| Florida – 4.4% | | |||||||||||||||
| | | | | | | | | | Brevard County School District, COP: | | | |||||
| | | 95,000 | | | | Aa3(b) | | | 5.000% due 7/1/27 | | | | | 109,152 | | |
| | | 215,000 | | | | Aa3(b) | | | 5.000% due 7/1/30 | | | | | 245,163 | | |
| | | 85,000 | | | | Aa3(b) | | | Series C, 5.000% due 7/1/24 | | | | | 98,127 | | |
| | | | | | | | | | Citizens Property Insurance Corp., Revenue Bonds: | | | |||||
| | | 80,000 | | | | A+ | | | Series A1, 5.000% due 6/1/21 | | | | | 85,696 | | |
| | | 60,000 | | | | A+ | | | Series A1, 5.000% due 6/1/22 | | | | | 66,122 | | |
| | | | | | | | | | City of Clearwater FL Water & Sewer Revenue, Revenue Bonds: | | | |||||
| | | 40,000 | | | | AA | | | 5.000% due 12/1/21 | | | | | 43,531 | | |
| | | 65,000 | | | | AA | | | Prerefunded 12/1/21 @ 100, 5.000% due 12/1/23(c) | | | | | 70,867 | | |
| | | 70,000 | | | | AA | | | Prerefunded 12/1/21 @ 100, 5.000% due 12/1/24(c) | | | | | 76,318 | | |
| | | | | | | | | | City of Jacksonville FL, Revenue Bonds: | | | |||||
| | | 115,000 | | | | A+ | | | 5.000% due 10/1/22 | | | | | 127,122 | | |
| | | 155,000 | | | | A+ | | | 5.000% due 10/1/23 | | | | | 171,621 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | | | | | | | | | City of Tallahassee FL, Revenue Bonds: | | | |||||
| | $ | 15,000 | | | | Baa1(b) | | | 5.000% due 12/1/19 | | | | $ | 15,316 | | |
| | | 35,000 | | | | Baa1(b) | | | 5.000% due 12/1/21 | | | | | 37,621 | | |
| | | 50,000 | | | | Baa1(b) | | | 5.000% due 12/1/40 | | | | | 53,758 | | |
| | | | | | | | | | City of Tampa FL, Revenue Bonds: | | | |||||
| | | 45,000 | | | | Aa2(b) | | | 5.000% due 11/15/19 | | | | | 46,056 | | |
| | | 55,000 | | | | A+ | | | 5.000% due 9/1/28 | | | | | 60,319 | | |
| | | 170,000 | | | | AA | | | City of Tampa FL Solid Waste System Revenue, Revenue Bonds, AGM, 5.000% due 10/1/19(d) | | | | | 173,007 | | |
| | | | | | | | | | County of Broward FL Airport System Revenue, Revenue Bonds: | | | |||||
| | | 60,000 | | | | A+ | | | 5.000% due 10/1/30(d) | | | | | 69,743 | | |
| | | 90,000 | | | | A+ | | | 5.000% due 10/1/31(d) | | | | | 103,955 | | |
| | | 120,000 | | | | A+ | | | Series A, 5.000% due 10/1/29(d) | | | | | 136,432 | | |
| | | 85,000 | | | | A+ | | | Series A, 5.000% due 10/1/31(d) | | | | | 95,820 | | |
| | | 115,000 | | | | A+ | | | Series A, 5.000% due 10/1/32(d) | | | | | 129,127 | | |
| | | 90,000 | | | | A+ | | | Series Q1, 5.000% due 10/1/23 | | | | | 100,578 | | |
| | | | | | | | | | County of Hillsborough FL Solid Waste & Resource Recovery Revenue, Revenue Bonds: | | | |||||
| | | 40,000 | | | | AA+ | | | Series A, 5.000% due 9/1/20(d) | | | | | 41,845 | | |
| | | 40,000 | | | | AA+ | | | Series A, 5.000% due 9/1/21(d) | | | | | 42,904 | | |
| | | 50,000 | | | | AA+ | | | Series A, 5.000% due 9/1/22(d) | | | | | 55,012 | | |
| | | 60,000 | | | | AA+ | | | Series A, 5.000% due 9/1/23(d) | | | | | 67,472 | | |
| | | 65,000 | | | | AA+ | | | Series A, 5.000% due 9/1/24(d) | | | | | 74,349 | | |
| | | 65,000 | | | | AA+ | | | Series A, 5.000% due 9/1/25(d) | | | | | 75,540 | | |
| | | 65,000 | | | | AA+ | | | Series A, 5.000% due 9/1/26(d) | | | | | 76,599 | | |
| | | | | | | | | | County of Indian River FL Water & Sewer Revenue, Revenue Bonds: | | | |||||
| | | 55,000 | | | | AA | | | 5.000% due 9/1/21 | | | | | 55,885 | | |
| | | 65,000 | | | | AA | | | 5.000% due 9/1/22 | | | | | 65,988 | | |
| | | 120,000 | | | | AA | | | County of Miami-Dade FL, GO, Series A, 5.000% due 11/1/23 | | | | | 137,075 | | |
| | | | | | | | | | County of Miami-Dade FL, Revenue Bonds: | | | |||||
| | | 160,000 | | | | A+ | | | 5.000% due 10/1/28 | | | | | 188,608 | | |
| | | 120,000 | | | | A+ | | | 5.000% due 10/1/29 | | | | | 139,668 | | |
| | | 215,000 | | | | A+ | | | 5.000% due 10/1/30 | | | | | 248,641 | | |
| | | 65,000 | | | | A+ | | | Series A, 5.000% due 10/1/25 | | | | | 71,780 | | |
| | | 210,000 | | | | A+ | | | Series B, NPFG, 5.000% due 6/1/20 | | | | | 218,368 | | |
| | | | | | | | | | County of Miami-Dade FL Aviation Revenue, Revenue Bonds: | | | |||||
| | | 85,000 | | | | A | | | Series A, 5.000% due 10/1/22(d) | | | | | 93,434 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | $ | 290,000 | | | | A | | | Series A, 5.000% due 10/1/24(d) | | | | $ | 318,249 | | |
| | | 55,000 | | | | A | | | Series A, 5.000% due 10/1/27(d) | | | | | 62,020 | | |
| | | 80,000 | | | | A | | | Series A, 5.000% due 10/1/29(d) | | | | | 89,505 | | |
| | | 70,000 | | | | A | | | Series A, 5.000% due 10/1/30 | | | | | 81,683 | | |
| | | 30,000 | | | | A | | | Series A, 5.000% due 10/1/31 | | | | | 34,763 | | |
| | | 160,000 | | | | A | | | Series A, 5.000% due 10/1/33(d) | | | | | 176,482 | | |
| | | 70,000 | | | | A | | | Series A, 5.000% due 10/1/35(d) | | | | | 76,833 | | |
| | | 90,000 | | | | A | | | Series A1, 5.000% due 10/1/22 | | | | | 94,785 | | |
| | | 135,000 | | | | NR | | | Series A1, Prerefunded 10/1/20 @ 100, 5.375% due 10/1/41(c) | | | | | 142,807 | | |
| | | 105,000 | | | | A | | | Series B, 5.000% due 10/1/20(d) | | | | | 110,025 | | |
| | | 65,000 | | | | A | | | Series B, 5.000% due 10/1/24 | | | | | 72,161 | | |
| | | 295,000 | | | | AA | | | Series B, AGM, 5.000% due 10/1/35 | | | | | 307,535 | | |
| | | 215,000 | | | | A | | | Series B, 5.000% due 10/1/37 | | | | | 238,897 | | |
| | | | | | | | | | County of Miami-Dade FL Transit System, Revenue Bonds: | | | |||||
| | | 35,000 | | | | AA | | | 5.000% due 7/1/21 | | | | | 37,624 | | |
| | | 50,000 | | | | AA | | | 5.000% due 7/1/42 | | | | | 53,997 | | |
| | | 3,500,000 | | | | AA | | | 4.000% due 7/1/45 | | | | | 3,605,105 | | |
| | | | | | | | | | Duval County Public Schools, COP: | | | |||||
| | | 125,000 | | | | AA- | | | Series B, 5.000% due 7/1/27 | | | | | 145,257 | | |
| | | 30,000 | | | | AA- | | | Series B, 5.000% due 7/1/28 | | | | | 34,766 | | |
| | | 190,000 | | | | AA- | | | Series B, 5.000% due 7/1/30 | | | | | 219,095 | | |
| | | | | | | | | | Florida Municipal Power Agency, Revenue Bonds: | | | |||||
| | | 30,000 | | | | A2(b) | | | 5.000% due 10/1/24 | | | | | 34,913 | | |
| | | 45,000 | | | | A2(b) | | | 5.000% due 10/1/27 | | | | | 52,909 | | |
| | | 80,000 | | | | A1(b) | | | Series A, 5.000% due 10/1/22 | | | | | 88,872 | | |
| | | 355,000 | | | | A2(b) | | | Series A, 5.000% due 10/1/26 | | | | | 390,738 | | |
| | | 55,000 | | | | A2(b) | | | Series A, 5.000% due 10/1/30 | | | | | 64,510 | | |
| | | 60,000 | | | | A2(b) | | | Series A, 5.000% due 10/1/31 | | | | | 70,064 | | |
| | | 2,500,000 | | | | AA | | | Florida’s Turnpike Enterprise, Revenue Bonds, Series C, 4.375% due 7/1/37 | | | | | 2,626,550 | | |
| | | | | | | | | | Greater Orlando Aviation Authority, Revenue Bonds: | | | |||||
| | | 100,000 | | | | A+ | | | Series A, 5.000% due 10/1/28(d) | | | | | 118,139 | | |
| | | 60,000 | | | | A+ | | | Series A, 5.000% due 10/1/30(d) | | | | | 69,941 | | |
| | | | | | | | | | Halifax Hospital Medical Center, Revenue Bonds: | | | |||||
| | | 35,000 | | | | A- | | | 5.000% due 6/1/28 | | | | | 39,385 | | |
| | | 70,000 | | | | A- | | | 5.000% due 6/1/35 | | | | | 75,839 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | $ | 345,000 | | | | AA | | | Highlands County Health Facilities Authority, Revenue Bonds, 6.000% due 11/15/37 | | | | $ | 355,057 | | |
| | | 105,000 | | | | NR | | | Hillsborough County Industrial Development Authority, Revenue Bonds, Prerefunded 8/15/19 @ 101, 8.000% due 8/15/32(c) | | | | | 108,979 | | |
| | | | | | | | | | Indian River County School Board, COP: | | | |||||
| | | 75,000 | | | | AA- | | | Series A, 5.000% due 7/1/24 | | | | | 86,418 | | |
| | | 60,000 | | | | AA- | | | Series A, 5.000% due 7/1/25 | | | | | 70,497 | | |
| | | 200,000 | | | | A | | | JEA Electric System Revenue, Revenue Bonds, Series B, 5.000% due 10/1/26 | | | | | 233,936 | | |
| | | | | | | | | | JEA Water & Sewer System Revenue, Revenue Bonds: | | | |||||
| | | 15,000 | | | | AAA | | | Series C, 5.000% due 10/1/20 | | | | | 15,039 | | |
| | | 35,000 | | | | NR | | | Series C, Prerefunded 4/1/19 @ 100, 5.000% due 10/1/20(c) | | | | | 35,089 | | |
| | | | | | | | | | Lake County School Board, COP: | | | |||||
| | | 30,000 | | | | AA | | | Series A, AGM, 5.000% due 6/1/25 | | | | | 34,124 | | |
| | | 50,000 | | | | AA | | | Series A, AGM, 5.000% due 6/1/26 | | | | | 56,660 | | |
| | | 15,000 | | | | AA | | | Series A, AGM, 5.000% due 6/1/28 | | | | | 16,888 | | |
| | | 60,000 | | | | AA | | | Manatee County School District, Revenue Bonds, AGM, 5.000% due 10/1/25 | | | | | 71,071 | | |
| | | | | | | | | | Miami-Dade County Expressway Authority, Revenue Bonds: | | | |||||
| | | 45,000 | | | | A+ | | | Series A, 5.000% due 7/1/31 | | | | | 52,148 | | |
| | | 115,000 | | | | A+ | | | Series A, 5.000% due 7/1/32 | | | | | 132,724 | | |
| | | 95,000 | | | | A+ | | | Series A, 5.000% due 7/1/33 | | | | | 109,298 | | |
| | | 30,000 | | | | A+ | | | Series A, 5.000% due 7/1/34 | | | | | 34,345 | | |
| | | 235,000 | | | | A+ | | | Series A, 5.000% due 7/1/40 | | | | | 243,493 | | |
| | | 85,000 | | | | A+ | | | Series A, 5.000% due 7/1/44 | | | | | 93,730 | | |
| | | | | | | | | | Mid-Bay Bridge Authority, Revenue Bonds: | | | |||||
| | | 105,000 | | | | BBB+ | | | Series A, 5.000% due 10/1/27 | | | | | 119,605 | | |
| | | 145,000 | | | | BBB+ | | | Series A, 5.000% due 10/1/28 | | | | | 164,369 | | |
| | | 80,000 | | | | BBB+ | | | Series A, 5.000% due 10/1/29 | | | | | 90,082 | | |
| | | 70,000 | | | | BBB+ | | | Series A, 5.000% due 10/1/30 | | | | | 78,245 | | |
| | | | | | | | | | Orange County Health Facilities Authority, Revenue Bonds: | | | |||||
| | | 130,000 | | | | A+ | | | 5.250% due 10/1/20 | | | | | 132,575 | | |
| | | 365,000 | | | | A+ | | | Series A, 5.000% due 10/1/42 | | | | | 386,787 | | |
| | | 150,000 | | | | A+ | | | Series B, 5.000% due 10/1/42 | | | | | 158,953 | | |
| | | | | | | | | | Orange County School Board, COP: | | | |||||
| | | 115,000 | | | | Aa2(b) | | | Series B, Prerefunded 8/1/22 @ 100, 5.000% due 8/1/26(c) | | | | | 127,716 | | |
| | | 200,000 | | | | Aa2(b) | | | Series C, 5.000% due 8/1/29 | | | | | 232,360 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | | | | | | | | | Orlando Utilities Commission, Revenue Bonds: | | | |||||
| | $ | 50,000 | | | | AA | | | Series A, 5.000% due 10/1/23 | | | | $ | 57,241 | | |
| | | 25,000 | | | | AA | | | Series A, 5.000% due 10/1/25 | | | | | 29,902 | | |
| | | 45,000 | | | | AA | | | Series B, 5.000% due 10/1/19 | | | | | 45,882 | | |
| | | 100,000 | | | | AA | | | Series B, 5.000% due 10/1/20 | | | | | 105,314 | | |
| | | 60,000 | | | | A+ | | | Orlando-Orange County Expressway Authority, Revenue Bonds, 5.000% due 7/1/20 | | | | | 62,606 | | |
| | | | | | | | | | Palm Beach County Health Facilities Authority, Revenue Bonds: | | | |||||
| | | 10,000 | | | | BBB+ | | | 5.000% due 12/1/23 | | | | | 11,174 | | |
| | | 20,000 | | | | BBB+ | | | 5.000% due 12/1/24 | | | | | 22,737 | | |
| | | | | | | | | | Palm Beach County School District, COP: | | | |||||
| | | 55,000 | | | | Aa3(b) | | | Series A, 5.000% due 8/1/22 | | | | | 60,907 | | |
| | | 35,000 | | | | Aa3(b) | | | Series A, 5.000% due 8/1/23 | | | | | 39,763 | | |
| | | 40,000 | | | | Aa3(b) | | | Series A, 5.000% due 8/1/24 | | | | | 46,390 | | |
| | | 135,000 | | | | Aa3(b) | | | Series A, 5.000% due 8/1/25 | | | | | 159,490 | | |
| | | 705,000 | | | | Aa3(b) | | | Series A, 5.000% due 8/1/26 | | | | | 844,308 | | |
| | | 135,000 | | | | Aa3(b) | | | Series B, 5.000% due 8/1/25 | | | | | 159,491 | | |
| | | 300,000 | | | | Aa3(b) | | | Series B, 5.000% due 8/1/26 | | | | | 353,634 | | |
| | | 240,000 | | | | Aa3(b) | | | Series B, 5.000% due 8/1/27 | | | | | 281,330 | | |
| | | 160,000 | | | | Aa3(b) | | | Series B, 5.000% due 8/1/28 | | | | | 186,614 | | |
| | | 695,000 | | | | Aa3(b) | | | Series D, 5.000% due 8/1/26 | | | | | 819,252 | | |
| | | 315,000 | | | | Aa3(b) | | | Series D, 5.000% due 8/1/27 | | | | | 369,246 | | |
| | | 110,000 | | | | Aa3(b) | | | Series D, 5.000% due 8/1/28 | | | | | 128,298 | | |
| | | 250,000 | | | | AA+ | | | Palm Beach County Solid Waste Authority, Revenue Bonds, 5.000% due 10/1/24 | | | | | 270,372 | | |
| | | | | | | | | | School Board of Miami-Dade County, COP: | | | |||||
| | | 570,000 | | | | A+ | | | Series A, 5.000% due 5/1/31 | | | | | 648,746 | | |
| | | 120,000 | | | | AA | | | Series A, AGM, 5.000% due 5/1/27 | | | | | 139,340 | | |
| | | 220,000 | | | | A+ | | | Series B, 5.000% due 8/1/27 | | | | | 258,192 | | |
| | | 395,000 | | | | A+ | | | Series B, 5.000% due 5/1/28 | | | | | 454,483 | | |
| | | 340,000 | | | | A+ | | | Series D, 5.000% due 11/1/24 | | | | | 392,023 | | |
| | | 355,000 | | | | A+ | | | Series D, 5.000% due 11/1/25 | | | | | 405,453 | | |
| | | 230,000 | | | | A+ | | | Series D, 5.000% due 11/1/26 | | | | | 265,590 | | |
| | | 115,000 | | | | A+ | | | Series D, 5.000% due 2/1/29 | | | | | 132,663 | | |
| | | 190,000 | | | | A+ | | | Series D, 5.000% due 2/1/30 | | | | | 217,655 | | |
| | | | | | | | | | School District of Broward County, COP: | | | |||||
| | | 155,000 | | | | A+ | | | Series A, 5.000% due 7/1/21 | | | | | 166,546 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | $ | 145,000 | | | | A+ | | | Series A, 5.000% due 7/1/22 | | | | $ | 159,762 | | |
| | | 45,000 | | | | A+ | | | Series A, 5.000% due 7/1/25 | | | | | 49,200 | | |
| | | 460,000 | | | | A+ | | | Series A, 5.000% due 7/1/26 | | | | | 528,235 | | |
| | | 265,000 | | | | A+ | | | Series A, 5.000% due 7/1/27 | | | | | 307,946 | | |
| | | 115,000 | | | | A+ | | | Series A, 5.000% due 7/1/28 | | | | | 132,756 | | |
| | | 70,000 | | | | A+ | | | Series A, 5.000% due 7/1/32 | | | | | 80,286 | | |
| | | 120,000 | | | | NR | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 7/1/25(c) | | | | | 132,541 | | |
| | | 580,000 | | | | NR | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 7/1/26(c) | | | | | 640,616 | | |
| | | 60,000 | | | | A+ | | | Series B, 5.000% due 7/1/25 | | | | | 70,770 | | |
| | | 335,000 | | | | A+ | | | Series B, 5.000% due 7/1/26 | | | | | 392,305 | | |
| | | 230,000 | | | | A+ | | | Series B, 5.000% due 7/1/27 | | | | | 267,274 | | |
| | | 390,000 | | | | A+ | | | Series B, 5.000% due 7/1/28 | | | | | 449,225 | | |
| | | | | | | | | | Seminole County School Board, COP: | | | |||||
| | | 60,000 | | | | Aa3(b) | | | Series C, 5.000% due 7/1/23 | | | | | 67,735 | | |
| | | 50,000 | | | | Aa3(b) | | | Series C, 5.000% due 7/1/24 | | | | | 57,640 | | |
| | | 115,000 | | | | AA | | | South Florida Water Management District, COP, 5.000% due 10/1/30 | | | | | 133,441 | | |
| | | 80,000 | | | | Baa1(b) | | | South Lake County Hospital District, Revenue Bonds, Series A, 6.250% due 4/1/39 | | | | | 80,209 | | |
| | | | | | | | | | South Miami Health Facilities Authority, Revenue Bonds: | | | |||||
| | | 75,000 | | | | AA- | | | 5.000% due 8/15/24 | | | | | 86,257 | | |
| | | 120,000 | | | | AA- | | | 5.000% due 8/15/25 | | | | | 140,528 | | |
| | | | | | | | | | St Lucie County School Board, COP: | | | |||||
| | | 60,000 | | | | A | | | Series A, 5.000% due 7/1/25 | | | | | 66,994 | | |
| | | 125,000 | | | | A | | | Series A, 5.000% due 7/1/27 | | | | | 138,587 | | |
| | | | | | | | | | State of Florida, GO: | | | |||||
| | | 5,995,000 | | | | AAA | | | 5.000% due 7/1/32 | | | | | 7,229,490 | | |
| | | 358,000 | | | | AAA | | | Series C, 5.000% due 6/1/20 | | | | | 372,986 | | |
| | | 289,000 | | | | AAA | | | Series C, 5.000% due 6/1/22 | | | | | 310,172 | | |
| | | 80,000 | | | | AAA | | | Series D, 5.000% due 6/1/21 | | | | | 81,448 | | |
| | | 145,000 | | | | AAA | | | Series E, 5.000% due 6/1/24 | | | | | 155,357 | | |
| | | 2,000,000 | | | | AA+ | | | State of Florida Department of Transportation, Revenue Bonds, 5.000% due 7/1/27 | | | | | 2,451,280 | | |
| | | | | | | | | | Tampa Bay Water, Revenue Bonds: | | | |||||
| | | 70,000 | | | | AA+ | | | NPFG, 5.500% due 10/1/22 | | | | | 79,204 | | |
| | | 70,000 | | | | AA+ | | | Series A, NPFG, 6.000% due 10/1/29 | | | | | 93,237 | | |
| | | 145,000 | | | | AA | | | Volusia County School Board, COP, Series A, 5.000% due 8/1/32 | | | | | 164,284 | | |
| | | | | | | | | | Total Florida | | | | | 38,596,663 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Georgia – 2.0% | | |||||||||||||||
| | | | | | | | | | City of Atlanta GA Water & Wastewater Revenue, Revenue Bonds: | | | |||||
| | $ | 30,000 | | | | AA- | | | 5.000% due 11/1/27 | | | | $ | 35,086 | | |
| | | 70,000 | | | | AA- | | | 5.000% due 11/1/29 | | | | | 81,182 | | |
| | | 205,000 | | | | #Aaa(b) | | | Colquitt County Development Authority, Revenue Bonds, zero coupon, due 12/1/21 | | | | | 194,537 | | |
| | | 45,000 | | | | A+ | | | County of DeKalb GA Water & Sewerage Revenue, Revenue Bonds, Series A, 5.250% due 10/1/25 | | | | | 48,925 | | |
| | | | | | | | | | DeKalb County Hospital Authority, Revenue Bonds: | | | |||||
| | | 170,000 | | | | WD(g) | | | Prerefunded 9/1/20 @ 100, 6.000% due 9/1/30(c) | | | | | 180,487 | | |
| | | 310,000 | | | | WD(g) | | | Prerefunded 9/1/20 @ 100, 6.125% due 9/1/40(c) | | | | | 329,694 | | |
| | | 840,000 | | | | Aa2(b) | | | Main Street Natural Gas Inc., Revenue Bonds, Series C, 4.000% due 8/1/48(a) | | | | | 896,566 | | |
| | | 335,000 | | | | AA+ | | | Metropolitan Atlanta Rapid Transit Authority, Revenue Bonds, Series Prerefunded 7/1/19 @ 100, 5.250% due 7/1/36(c) | | | | | 339,027 | | |
| | | 195,000 | | | | A3(b) | | | Monroe County Development Authority, Revenue Bonds, 2.350% due 10/1/48(a) | | | | | 194,226 | | |
| | | | | | | | | | Municipal Electric Authority of Georgia, Revenue Bonds: | | | |||||
| | | 45,000 | | | | A- | | | Series A, 5.250% due 1/1/20 | | | | | 46,174 | | |
| | | 265,000 | | | | A- | | | Series A, 5.000% due 1/1/21 | | | | | 278,926 | | |
| | | 105,000 | | | | A | | | Series GG, 5.000% due 1/1/24 | | | | | 115,640 | | |
| | | 35,000 | | | | A | | | Series GG, 5.000% due 1/1/25 | | | | | 38,538 | | |
| | | 145,000 | | | | A | | | Series GG, 5.000% due 1/1/26 | | | | | 159,329 | | |
| | | | | | | | | | Municipal Gas Authority of Georgia, Revenue Bonds: | | | |||||
| | | 40,000 | | | | AA- | | | 5.000% due 10/1/24 | | | | | 46,162 | | |
| | | 60,000 | | | | AA- | | | Series Q, 5.000% due 10/1/22 | | | | | 66,478 | | |
| | | 35,000 | | | | AA- | | | Series S, 5.000% due 10/1/22 | | | | | 38,778 | | |
| | | 70,000 | | | | AA- | | | Series S, 5.000% due 10/1/24 | | | | | 77,251 | | |
| | | 3,000,000 | | | | AA | | | Private Colleges & Universities Authority, Revenue Bonds, Series B, 5.000% due 9/1/29 | | | | | 3,047,370 | | |
| | | | | | | | | | State of Georgia, GO: | | | |||||
| | | 5,000,000 | | | | AAA | | | Series A, 5.000% due 7/1/29 | | | | | 6,195,850 | | |
| | | 3,835,000 | | | | AAA | | | Series C, 5.000% due 7/1/29 | | | | | 4,665,661 | | |
| | | | | | | | | | Total Georgia | | | | | 17,075,887 | | |
| Hawaii – 0.1% | | |||||||||||||||
| | | | | | | | | | City & County of Honolulu HI, GO: | | | |||||
| | | 115,000 | | | | Aa1(b) | | | Series D, 5.000% due 9/1/22 | | | | | 127,927 | | |
| | | 90,000 | | | | Aa1(b) | | | Series D, 5.000% due 9/1/26 | | | | | 108,943 | | |
| | | 500,000 | | | | AA+ | | | State of Hawaii, GO, Series FH, 5.000% due 10/1/28 | | | | | 599,740 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Hawaii – (continued) | | |||||||||||||||
| | $ | 115,000 | | | | AA- | | | State of Hawaii Airports System Revenue, Revenue Bonds, Series A, 5.000% due 7/1/45(d) | | | | $ | 126,850 | | |
| | | | | | | | | | Total Hawaii | | | | | 963,460 | | |
| Idaho – 0.4% | | |||||||||||||||
| | | | | | | | | | Idaho Housing & Finance Association, Revenue Bonds: | | | |||||
| | | 60,000 | | | | A2(b) | | | 5.000% due 7/15/20 | | | | | 62,607 | | |
| | | 90,000 | | | | A2(b) | | | 5.000% due 7/15/21 | | | | | 96,554 | | |
| | | 100,000 | | | | A2(b) | | | 5.000% due 7/15/22 | | | | | 110,122 | | |
| | | 45,000 | | | | A2(b) | | | 5.000% due 7/15/23 | | | | | 50,786 | | |
| | | 35,000 | | | | A2(b) | | | 5.000% due 7/15/24 | | | | | 40,302 | | |
| | | 35,000 | | | | A2(b) | | | 5.000% due 7/15/25 | | | | | 41,062 | | |
| | | 95,000 | | | | A2(b) | | | 5.000% due 7/15/27 | | | | | 114,236 | | |
| | | 2,380,000 | | | | Aa1(b) | | | Kootenai County School District No 271 Coeur d’Alene, GO, 4.000% due 9/15/28 | | | | | 2,705,156 | | |
| | | | | | | | | | Total Idaho | | | | | 3,220,825 | | |
| Illinois – 6.3% | | |||||||||||||||
| | | | | | | | | | Chicago Board of Education, GO: | | | |||||
| | | 185,000 | | | | B+ | | | Series A, 5.000% due 12/1/27 | | | | | 198,083 | | |
| | | 45,000 | | | | B+ | | | Series A, NPFG, 5.250% due 12/1/21 | | | | | 47,924 | | |
| | | 60,000 | | | | B+ | | | Series A, 5.000% due 12/1/41 | | | | | 60,253 | | |
| | | 55,000 | | | | B+ | | | Series A, 5.000% due 12/1/42 | | | | | 55,294 | | |
| | | 170,000 | | | | B+ | | | Series A, 5.500% due 12/1/39 | | | | | 173,159 | | |
| | | 100,000 | | | | B+ | | | Series C, 5.000% due 12/1/24 | | | | | 106,336 | | |
| | | 640,000 | | | | B+ | | | Series C, 5.000% due 12/1/25 | | | | | 683,642 | | |
| | | 1,465,000 | | | | B+ | | | Series C, 5.000% due 12/1/26 | | | | | 1,567,242 | | |
| | | 505,000 | | | | B+ | | | Series C, 5.000% due 12/1/27 | | | | | 540,713 | | |
| | | 45,000 | | | | B+ | | | Series C, 5.250% due 12/1/39 | | | | | 46,207 | | |
| | | 530,000 | | | | B+ | | | Series D, 5.000% due 12/1/46 | | | | | 536,895 | | |
| | | 30,000 | | | | B+ | | | Series F, 5.000% due 12/1/20 | | | | | 30,875 | | |
| | | | | | | | | | Chicago Midway International Airport, Revenue Bonds: | | | |||||
| | | 65,000 | | | | A | | | Series A, 5.000% due 1/1/29(d) | | | | | 73,606 | | |
| | | 100,000 | | | | A | | | Series A, 5.000% due 1/1/30(d) | | | | | 112,527 | | |
| | | 70,000 | | | | A | | | Series A, 5.000% due 1/1/31(d) | | | | | 78,327 | | |
| | | 190,000 | | | | A | | | Series A, 5.000% due 1/1/32(d) | | | | | 206,756 | | |
| | | 30,000 | | | | A | | | Series B, 5.000% due 1/1/22 | | | | | 32,484 | | |
| | | 95,000 | | | | A | | | Series B, 5.000% due 1/1/24 | | | | | 107,617 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | | | | | | | | | Chicago O'Hare International Airport, Revenue Bonds: | | | |||||
| | $ | 75,000 | | | | BBB | | | 5.000% due 7/1/38(d) | | | | $ | 82,796 | | |
| | | 50,000 | | | | A | | | Series A, 5.000% due 1/1/22 | | | | | 54,371 | | |
| | | 130,000 | | | | A | | | Series B, 5.000% due 1/1/20 | | | | | 133,552 | | |
| | | 200,000 | | | | A | | | Series B, 5.000% due 1/1/22(d) | | | | | 215,814 | | |
| | | 65,000 | | | | A | | | Series C, 5.000% due 1/1/22 | | | | | 70,682 | | |
| | | 40,000 | | | | A | | | Series C, 5.000% due 1/1/23 | | | | | 44,649 | | |
| | | 45,000 | | | | A | | | Series C, 5.000% due 1/1/24 | | | | | 51,309 | | |
| | | 65,000 | | | | A | | | Series C, 5.000% due 1/1/25 | | | | | 75,642 | | |
| | | 60,000 | | | | A | | | Series C, 5.000% due 1/1/26 | | | | | 70,857 | | |
| | | 70,000 | | | | A | | | Series C, 5.000% due 1/1/33 | | | | | 78,906 | | |
| | | 80,000 | | | | A | | | Series C, 5.000% due 1/1/34 | | | | | 89,804 | | |
| | | 420,000 | | | | A | | | Series C, Prerefunded 1/1/21 @ 100, 6.500% due 1/1/41(c) | | | | | 456,779 | | |
| | | 60,000 | | | | A | | | Series D, 5.000% due 1/1/27(d) | | | | | 70,116 | | |
| | | 15,000 | | | | A | | | Series D, 5.000% due 1/1/28(d) | | | | | 17,421 | | |
| | | 85,000 | | | | A | | | Series D, 5.000% due 1/1/31(d) | | | | | 96,678 | | |
| | | 45,000 | | | | A | | | Series D, 5.000% due 1/1/33(d) | | | | | 50,735 | | |
| | | | | | | | | | Chicago Transit Authority, Revenue Bonds: | | | |||||
| | | 50,000 | | | | A+ | | | 5.000% due 6/1/22 | | | | | 54,327 | | |
| | | 45,000 | | | | A+ | | | 5.000% due 6/1/23 | | | | | 49,869 | | |
| | | 500,000 | | | | BBB+ | | | City of Chicago IL, GO, NPFG, zero coupon, due 1/1/20 | | | | | 489,735 | | |
| | | 40,000 | | | | A | | | City of Chicago IL Wastewater Transmission Revenue, Revenue Bonds, 5.000% due 1/1/23 | | | | | 43,049 | | |
| | | 30,000 | | | | AA | | | City of Chicago IL Waterworks Revenue, Revenue Bonds, AGM, 5.250% due 11/1/33 | | | | | 30,070 | | |
| | | | | | | | | | Cook County Forest Preserve District, GO: | | | |||||
| | | 30,000 | | | | AA- | | | Series B, 5.000% due 12/15/23 | | | | | 32,358 | | |
| | | 40,000 | | | | AA- | | | Series B, 5.000% due 12/15/24 | | | | | 42,988 | | |
| | | 60,000 | | | | AA- | | | Series C, 5.000% due 12/15/25 | | | | | 64,228 | | |
| | | 155,000 | | | | Aaa(b) | | | Cook Kane Lake & McHenry Counties Community College District No 512, GO, Series B, 5.000% due 12/1/24 | | | | | 181,646 | | |
| | | | | | | | | | County of Cook IL, GO: | | | |||||
| | | 565,000 | | | | AA- | | | Series A, 5.250% due 11/15/24 | | | | | 592,375 | | |
| | | 60,000 | | | | AA- | | | Series C, 5.000% due 11/15/22 | | | | | 65,686 | | |
| | | 145,000 | | | | AA- | | | Series C, 5.000% due 11/15/23 | | | | | 158,472 | | |
| | | 540,000 | | | | AA- | | | Series C, 5.000% due 11/15/24 | | | | | 588,973 | | |
| | | 15,000 | | | | AA | | | Series C, AGM, 5.000% due 11/15/25 | | | | | 16,478 | | |
| | | 85,000 | | | | AA- | | | Series G, 5.000% due 11/15/25 | | | | | 88,406 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | $ | 35,000 | | | | Aa3(b) | | | Grundy & Will Counties Community Unit School District No 1 Coal City, GO, 5.000% due 2/1/29 | | | | $ | 40,563 | | |
| | | 835,000 | | | | AA+ | | | Illinois Development Finance Authority, Revenue Bonds, zero coupon, due 7/15/23 | | | | | 763,891 | | |
| | | | | | | | | | Illinois Finance Authority, Revenue Bonds: | | | |||||
| | | 90,000 | | | | AA- | | | 5.000% due 8/15/23 | | | | | 93,915 | | |
| | | 40,000 | | | | AA+ | | | 5.000% due 7/15/25 | | | | | 47,084 | | |
| | | 60,000 | | | | AA+ | | | 5.000% due 7/15/26 | | | | | 71,767 | | |
| | | 75,000 | | | | A+ | | | 5.000% due 11/15/26 | | | | | 81,979 | | |
| | | 25,000 | | | | Baa1(b) | | | 5.000% due 8/15/27 | | | | | 28,257 | | |
| | | 70,000 | | | | A | | | 5.000% due 5/15/28 | | | | | 80,746 | | |
| | | 60,000 | | | | AA+ | | | 5.000% due 7/15/28 | | | | | 72,488 | | |
| | | 40,000 | | | | A | | | 5.000% due 5/15/29 | | | | | 45,864 | | |
| | | 150,000 | | | | AAA | | | 5.000% due 7/1/29 | | | | | 177,729 | | |
| | | 25,000 | | | | A+ | | | 5.000% due 11/15/29 | | | | | 27,150 | | |
| | | 110,000 | | | | A3(b) | | | 5.000% due 12/1/29 | | | | | 125,219 | | |
| | | 145,000 | | | | AAA | | | 5.000% due 1/1/30 | | | | | 171,306 | | |
| | | 255,000 | | | | AAA | | | 5.000% due 7/1/31 | | | | | 297,215 | | |
| | | 235,000 | | | | AA+ | | | 5.000% due 9/1/32 | | | | | 253,880 | | |
| | | 175,000 | | | | Baa1(b) | | | 5.000% due 8/15/35 | | | | | 190,962 | | |
| | | 170,000 | | | | A | | | 5.000% due 1/1/36 | | | | | 187,146 | | |
| | | 870,000 | | | | A | | | 5.000% due 1/1/38 | | | | | 953,155 | | |
| | | 315,000 | | | | AA+ | | | 5.000% due 9/1/38 | | | | | 336,486 | | |
| | | 2,230,000 | | | | A3(b) | | | 5.000% due 12/1/40 | | | | | 2,394,730 | | |
| | | 230,000 | | | | Baa2(b) | | | 5.000% due 5/15/43 | | | | | 239,264 | | |
| | | 95,000 | | | | A+ | | | 5.000% due 11/15/43 | | | | | 100,315 | | |
| | | 1,300,000 | | | | A | | | 5.000% due 1/1/44 | | | | | 1,403,545 | | |
| | | 840,000 | | | | Baa1(b) | | | 5.000% due 8/15/44 | | | | | 897,490 | | |
| | | 100,000 | | | | A3(b) | | | 5.000% due 12/1/46 | | | | | 106,634 | | |
| | | 25,000 | | | | BBB+ | | | 5.000% due 8/1/49 | | | | | 26,640 | | |
| | | 4,260,000 | | | | AA+ | | | 5.000% due 7/15/57(a) | | | | | 4,736,524 | | |
| | | 375,000 | | | | WD(g) | | | Prerefunded 8/15/19 @ 100, 7.000% due 8/15/44(c) | | | | | 383,827 | | |
| | | 60,000 | | | | AA+ | | | Series A, 6.000% due 5/1/20 | | | | | 62,953 | | |
| | | 10,000 | | | | A+ | | | Series A, 5.000% due 11/15/21 | | | | | 10,825 | | |
| | | 45,000 | | | | A | | | Series A, 5.000% due 5/15/23 | | | | | 48,989 | | |
| | | 45,000 | | | | AA- | | | Series A, 5.000% due 2/15/24 | | | | | 51,014 | | |
| | | 30,000 | | | | AA- | | | Series A, 5.000% due 2/15/25 | | | | | 34,594 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | $ | 45,000 | | | | AA- | | | Series A, 5.000% due 2/15/26 | | | | $ | 52,590 | | |
| | | 30,000 | | | | A | | | Series A, 5.000% due 11/15/27 | | | | | 34,522 | | |
| | | 35,000 | | | | A | | | Series A, 5.000% due 11/15/28 | | | | | 40,022 | | |
| | | 1,000,000 | | | | A | | | Series A, 5.000% due 5/15/29 | | | | | 1,190,230 | | |
| | | 55,000 | | | | A | | | Series A, 5.000% due 11/15/29 | | | | | 62,573 | | |
| | | 1,000,000 | | | | A | | | Series A, 5.000% due 5/15/30 | | | | | 1,176,720 | | |
| | | 75,000 | | | | A | | | Series A, 5.000% due 7/1/30 | | | | | 85,813 | | |
| | | 1,000,000 | | | | A | | | Series A, 5.000% due 5/15/31 | | | | | 1,163,060 | | |
| | | 100,000 | | | | A | | | Series A, 5.000% due 11/15/32 | | | | | 111,653 | | |
| | | 95,000 | | | | BBB | | | Series A, 5.000% due 8/15/33 | | | | | 104,418 | | |
| | | 50,000 | | | | A | | | Series A, 5.000% due 7/1/34 | | | | | 55,734 | | |
| | | 15,000 | | | | AA+ | | | Series A, 5.000% due 9/1/34 | | | | | 16,711 | | |
| | | 60,000 | | | | A+ | | | Series A, 5.000% due 11/15/34 | | | | | 66,170 | | |
| | | 255,000 | | | | A | | | Series A, 5.000% due 7/1/36 | | | | | 281,686 | | |
| | | 70,000 | | | | A | | | Series A, 5.000% due 11/15/45 | | | | | 74,909 | | |
| | | 20,000 | | | | BBB+ | | | Series A, 5.000% due 8/1/47 | | | | | 21,363 | | |
| | | 185,000 | | | | AA+ | | | Series A, Prerefunded 5/1/20 @ 100, 6.250% due 5/1/21(c) | | | | | 194,631 | | |
| | | 60,000 | | | | BBB | | | Series A, Prerefunded 2/15/20 @ 100, 5.500% due 8/15/24(c) | | | | | 62,150 | | |
| | | 40,000 | | | | BBB | | | Series A, Prerefunded 2/15/20 @ 100, 5.750% due 8/15/29(c) | | | | | 41,527 | | |
| | | 85,000 | | | | A+ | | | Series B, 5.000% due 11/15/26 | | | | | 97,921 | | |
| | | 115,000 | | | | AA-(g) | | | Series C, 5.000% due 5/15/19 | | | | | 115,684 | | |
| | | 35,000 | | | | AA+ | | | Series C, 5.000% due 2/15/22 | | | | | 38,219 | | |
| | | 40,000 | | | | A- | | | Series C, 5.000% due 8/1/22 | | | | | 43,588 | | |
| | | 15,000 | | | | AA+ | | | Series C, 5.000% due 2/15/24 | | | | | 17,164 | | |
| | | 45,000 | | | | A- | | | Series C, 5.000% due 8/1/24 | | | | | 50,756 | | |
| | | 75,000 | | | | AA+ | | | Series C, 5.000% due 2/15/26 | | | | | 88,971 | | |
| | | 200,000 | | | | AA+ | | | Series C, 5.000% due 2/15/28 | | | | | 238,894 | | |
| | | 135,000 | | | | AA+ | | | Series C, 5.000% due 2/15/29 | | | | | 159,351 | | |
| | | 50,000 | | | | AA+ | | | Series C, 5.000% due 2/15/31 | | | | | 58,070 | | |
| | | 365,000 | | | | AA+ | | | Series C, 5.000% due 2/15/32 | | | | | 420,830 | | |
| | | 145,000 | | | | AA+ | | | Series C, 5.000% due 2/15/33 | | | | | 166,177 | | |
| | | 35,000 | | | | AA+ | | | Series C, 3.750% due 2/15/34 | | | | | 35,316 | | |
| | | 160,000 | | | | AA+ | | | Series C, 4.000% due 2/15/36 | | | | | 164,485 | | |
| | | 65,000 | | | | AA+ | | | Series C, 5.000% due 2/15/36 | | | | | 73,390 | | |
| | | 315,000 | | | | AA+ | | | Series C, 5.000% due 2/15/41 | | | | | 349,408 | | |
| | | 485,000 | | | | AA+ | | | Series C, 4.000% due 2/15/41 | | | | | 490,645 | | |
| | | 45,000 | | | | NR | | | Series C, Prerefunded 8/15/20 @ 100, 5.000% due 8/15/23(c) | | | | | 47,087 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | $ | 1,055,000 | | | | AA+ | | | Series E, 1.750% due 11/15/42(a) | | | | $ | 1,048,923 | | |
| | | 60,000 | | | | AA- | | | Series L, Prerefunded 12/1/21 @ 100, 5.000% due 12/1/22(c) | | | | | 65,162 | | |
| | | | | | | | | | Illinois Municipal Electric Agency, Revenue Bonds: | | | |||||
| | | 290,000 | | | | A | | | Series A, 5.000% due 2/1/28 | | | | | 335,052 | | |
| | | 105,000 | | | | A | | | Series A, 5.000% due 2/1/31 | | | | | 120,103 | | |
| | | | | | | | | | Illinois State Toll Highway Authority, Revenue Bonds: | | | |||||
| | | 50,000 | | | | AA- | | | Series A, 5.000% due 12/1/31 | | | | | 56,915 | | |
| | | 365,000 | | | | AA- | | | Series A, 5.000% due 1/1/40 | | | | | 407,260 | | |
| | | 175,000 | | | | AA- | | | Series D, 5.000% due 1/1/24 | | | | | 199,797 | | |
| | | 255,000 | | | | Aa3(b) | | | Kane Cook & DuPage Counties School District No U-46 Elgin, GO, Series B, AMBAC, zero coupon, due 1/1/22 | | | | | 241,735 | | |
| | | | | | | | | | Kane McHenry Cook & De Kalb Counties Unit School District No 300, GO: | | | |||||
| | | 260,000 | | | | AA | | | 5.000% due 1/1/26 | | | | | 298,407 | | |
| | | 55,000 | | | | AA | | | 5.000% due 1/1/29 | | | | | 64,191 | | |
| | | 155,000 | | | | Baa2(b) | | | Lake County Community High School District No 117 Antioch, GO, Series B, NPFG, zero coupon, due 12/1/20 | | | | | 148,307 | | |
| | | 230,000 | | | | AA | | | McHenry & Kane Counties Community Consolidated School District No 158 Huntley, GO, AGM, zero coupon, due 1/1/24 | | | | | 202,745 | | |
| | | | | | | | | | McHenry County Community Unit School District No 200 Woodstock, GO: | | | |||||
| | | 215,000 | | | | NR | | | Series B, NPFG, zero coupon, due 1/15/24 | | | | | 190,677 | | |
| | | 225,000 | | | | NR | | | Series B, NPFG, zero coupon, due 1/15/25 | | | | | 193,599 | | |
| | | 170,000 | | | | NR | | | Series B, NPFG, zero coupon, due 1/15/26 | | | | | 141,528 | | |
| | | | | | | | | | McHenry County Conservation District, GO: | | | |||||
| | | 65,000 | | | | AA+ | | | 5.000% due 2/1/24 | | | | | 74,117 | | |
| | | 175,000 | | | | AA+ | | | 5.000% due 2/1/27 | | | | | 201,245 | | |
| | | | | | | | | | Metropolitan Pier & Exposition Authority, Revenue Bonds: | | | |||||
| | | 75,000 | | | | NR | | | Series A, NPFG, zero coupon, due 6/15/20 | | | | | 72,556 | | |
| | | 105,000 | | | | NR | | | Series A, NPFG, zero coupon, due 6/15/23 | | | | | 92,632 | | |
| | | 195,000 | | | | BBB | | | Series A, NPFG, zero coupon, due 12/15/23 | | | | | 169,297 | | |
| | | 4,680,000 | | | | BBB | | | Series A, NPFG, zero coupon, due 6/15/28 | | | | | 3,320,507 | | |
| | | 455,000 | | | | AA | | | Series B, AGM, zero coupon, due 6/15/43 | | | | | 153,221 | | |
| | | 1,080,000 | | | | AA | | | Series B, AGM, zero coupon, due 6/15/44 | | | | | 346,281 | | |
| | | 115,000 | | | | AA | | | Series B, AGM, zero coupon, due 6/15/47 | | | | | 31,656 | | |
| | | 1,400,000 | | | | BBB | | | zero coupon, due 12/15/51 | | | | | 281,470 | | |
| | | | | | | | | | Railsplitter Tobacco Settlement Authority, Revenue Bonds: | | | |||||
| | | 310,000 | | | | A | | | 5.000% due 6/1/23 | | | | | 346,069 | | |
| | | 405,000 | | | | A | | | 5.000% due 6/1/24 | | | | | 460,023 | | |
| | | 405,000 | | | | WD(g) | | | Prerefunded 6/1/21 @ 100, 5.500% due 6/1/23(c) | | | | | 438,510 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | | | | | | | | | Regional Transportation Authority, Revenue Bonds: | | | |||||
| | $ | 70,000 | | | | AA | | | Series A, 5.000% due 7/1/20 | | | | $ | 72,862 | | |
| | | 70,000 | | | | AA | | | Series A, 5.000% due 7/1/21 | | | | | 74,619 | | |
| | | | | | | | | | State of Illinois, GO: | | | |||||
| | | 345,000 | | | | AA | | | AGM, 5.000% due 1/1/21 | | | | | 353,101 | | |
| | | 130,000 | | | | BBB- | | | 5.000% due 8/1/19 | | | | | 131,463 | | |
| | | 95,000 | | | | BBB- | | | 5.000% due 3/1/20 | | | | | 97,321 | | |
| | | 120,000 | | | | BBB- | | | 5.000% due 11/1/20 | | | | | 124,740 | | |
| | | 80,000 | | | | BBB- | | | 5.000% due 3/1/21 | | | | | 83,497 | | |
| | | 45,000 | | | | BBB- | | | 5.000% due 8/1/21 | | | | | 47,345 | | |
| | | 225,000 | | | | BBB- | | | 5.000% due 1/1/22 | | | | | 237,211 | | |
| | | 145,000 | | | | BBB- | | | 5.000% due 3/1/22 | | | | | 153,311 | | |
| | | 190,000 | | | | BBB- | | | 5.000% due 8/1/22 | | | | | 202,278 | | |
| | | 45,000 | | | | BBB- | | | 5.000% due 2/1/23 | | | | | 47,697 | | |
| | | 220,000 | | | | BBB- | | | 5.000% due 4/1/23 | | | | | 233,653 | | |
| | | 100,000 | | | | BBB- | | | 5.000% due 8/1/23 | | | | | 106,595 | | |
| | | 225,000 | | | | BBB- | | | 5.000% due 6/1/25 | | | | | 242,552 | | |
| | | 65,000 | | | | BBB- | | | 5.000% due 2/1/26 | | | | | 68,966 | | |
| | | 3,005,000 | | | | BBB- | | | 5.000% due 6/1/26 | | | | | 3,259,854 | | |
| | | 425,000 | | | | BBB- | | | 5.000% due 2/1/27 | | | | | 458,568 | | |
| | | 180,000 | | | | BBB- | | | 5.000% due 2/1/28 | | | | | 194,067 | | |
| | | 60,000 | | | | BBB- | | | 5.000% due 4/1/28 | | | | | 63,096 | | |
| | | 25,000 | | | | BBB- | | | 5.000% due 5/1/28 | | | | | 26,310 | | |
| | | 165,000 | | | | BBB- | | | 5.000% due 2/1/29 | | | | | 176,667 | | |
| | | 305,000 | | | | BBB- | | | 5.250% due 2/1/31 | | | | | 319,844 | | |
| | | 70,000 | | | | BBB- | | | 5.000% due 5/1/32 | | | | | 72,408 | | |
| | | 190,000 | | | | BBB- | | | 5.000% due 5/1/33 | | | | | 195,824 | | |
| | | 115,000 | | | | BBB- | | | 5.500% due 7/1/38 | | | | | 120,097 | | |
| | | 65,000 | | | | BBB- | | | Series A, 4.000% due 1/1/23 | | | | | 66,130 | | |
| | | 105,000 | | | | BBB- | | | Series A, 5.000% due 1/1/33 | | | | | 106,932 | | |
| | | 1,500,000 | | | | BBB- | | | Series B, 5.000% due 10/1/26 | | | | | 1,628,310 | | |
| | | 405,000 | | | | BBB- | | | Series D, 5.000% due 11/1/25 | | | | | 437,874 | | |
| | | 390,000 | | | | BBB- | | | Series D, 5.000% due 11/1/26 | | | | | 423,403 | | |
| | | 735,000 | | | | A2(b) | | | Tender Option Bond Trust Receipts/Certificates, Special Tax, Series 2017XG0108, 1.920% due 4/1/46(a)(e) | | | | | 735,000 | | |
| | | | | | | | | | University of Illinois, Revenue Bonds: | | | |||||
| | | 115,000 | | | | A- | | | 6.000% due 10/1/42 | | | | | 129,714 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | $ | 115,000 | | | | A- | | | 6.250% due 10/1/38 | | | | $ | 131,252 | | |
| | | 75,000 | | | | A- | | | Series A, Prerefunded 4/1/19 @ 100, 5.750% due 4/1/38(c) | | | | | 75,229 | | |
| | | | | | | | | | Will County Community Unit School District No 365 Valley View, GO: | | | |||||
| | | 165,000 | | | | AA | | | AGM, Series B, zero coupon, due 11/1/26 | | | | | 133,510 | | |
| | | 2,420,000 | | | | Aa2(b) | | | Series A, 5.000% due 11/1/25 | | | | | 2,829,875 | | |
| | | 200,000 | | | | AA | | | Will County School District No 86 Joliet, GO, AGM, zero coupon, due 11/1/21 | | | | | 188,452 | | |
| | | | | | | | | | Total Illinois | | | | | 54,604,907 | | |
| Indiana – 0.8% | | |||||||||||||||
| | | | | | | | | | City of Indianapolis IN Thermal Energy System Revenue, Revenue Bonds: | | | |||||
| | | 315,000 | | | | A | | | Series A, 5.000% due 10/1/24 | | | | | 361,919 | | |
| | | 340,000 | | | | A | | | Series A, 5.000% due 10/1/25 | | | | | 396,352 | | |
| | | 240,000 | | | | AA | | | Series B, AGM, 5.000% due 10/1/20 | | | | | 251,640 | | |
| | | 160,000 | | | | AA | | | Series B, AGM, 5.000% due 10/1/21 | | | | | 172,619 | | |
| | | | | | | | | | City of Whiting IN, Revenue Bonds: | | | |||||
| | | 415,000 | | | | A- | | | 5.250% due 1/1/21 | | | | | 439,809 | | |
| | | 1,020,000 | | | | A- | | | 5.000% due 11/1/45(a)(d) | | | | | 1,111,484 | | |
| | | 330,000 | | | | AA+ | | | Hobart Building Corp., Revenue Bonds, Prerefunded 1/15/20 @ 100, NPFG, 6.500% due 1/15/29(c) | | | | | 343,721 | | |
| | | | | | | | | | Indiana Finance Authority, Revenue Bonds: | | | |||||
| | | 30,000 | | | | AA- | | | 5.000% due 3/1/22 | | | | | 32,525 | | |
| | | 45,000 | | | | AA- | | | 5.000% due 3/1/23 | | | | | 49,007 | | |
| | | 90,000 | | | | AA- | | | 5.000% due 8/15/25 | | | | | 101,374 | | |
| | | 30,000 | | | | AA- | | | 5.000% due 9/1/25 | | | | | 35,141 | | |
| | | 30,000 | | | | AA- | | | 5.000% due 9/1/26 | | | | | 35,579 | | |
| | | 15,000 | | | | AA- | | | 5.000% due 9/1/29 | | | | | 17,411 | | |
| | | 30,000 | | | | AA- | | | 5.000% due 3/1/30 | | | | | 32,353 | | |
| | | 240,000 | | | | AA- | | | 5.000% due 3/1/36 | | | | | 262,925 | | |
| | | 60,000 | | | | AA- | | | 5.000% due 9/1/36 | | | | | 66,824 | | |
| | | 900,000 | | | | BBB+ | | | 2.350% due 12/1/37(a)(d) | | | | | 900,000 | | |
| | | 155,000 | | | | AA- | | | 5.000% due 3/1/41 | | | | | 165,305 | | |
| | | 115,000 | | | | AA | | | Series A, 5.250% due 10/1/24 | | | | | 124,972 | | |
| | | 65,000 | | | | AA | | | Series A, 5.000% due 10/1/25 | | | | | 72,471 | | |
| | | 70,000 | | | | AA | | | Series A, 5.000% due 10/1/26 | | | | | 81,023 | | |
| | | 35,000 | | | | AA | | | Series A, 5.000% due 10/1/28 | | | | | 40,253 | | |
| | | 1,000,000 | | | | AA+ | | | Indiana Health Facility Financing Authority, Revenue Bonds, Series F, 2.000% due 11/15/36(a) | | | | | 1,001,110 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Indiana – (continued) | | |||||||||||||||
| | | | | | | | | | Indiana Municipal Power Agency, Revenue Bonds: | | | |||||
| | $ | 10,000 | | | | NR | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 1/1/24(c) | | | | $ | 11,079 | | |
| | | 10,000 | | | | NR | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 1/1/25(c) | | | | | 11,080 | | |
| | | 25,000 | | | | NR | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 1/1/26(c) | | | | | 27,698 | | |
| | | 20,000 | | | | A+ | | | Series A, 5.000% due 1/1/24 | | | | | 21,975 | | |
| | | 20,000 | | | | A+ | | | Series A, 5.000% due 1/1/25 | | | | | 21,934 | | |
| | | 55,000 | | | | A+ | | | Series A, 5.000% due 1/1/26 | | | | | 60,115 | | |
| | | 515,000 | | | | AAA | | | Indiana University, Revenue Bonds, Series W1, 5.000% due 8/1/26 | | | | | 598,142 | | |
| | | | | | | | | | Lake Central Multi-District School Building Corp., Revenue Bonds: | | | |||||
| | | 40,000 | | | | AA+ | | | Series B, 4.000% due 1/15/22 | | | | | 42,432 | | |
| | | 30,000 | | | | AA+ | | | Series B, 5.000% due 7/15/22 | | | | | 33,078 | | |
| | | 80,000 | | | | AA+ | | | Series B, 5.000% due 7/15/23 | | | | | 89,008 | | |
| | | 120,000 | | | | AA+ | | | Series B, 5.000% due 7/15/24 | | | | | 133,701 | | |
| | | 125,000 | | | | AA+ | | | Series B, 5.000% due 7/15/25 | | | | | 139,075 | | |
| | | | | | | | | | Total Indiana | | | | | 7,285,134 | | |
| Iowa – 0.7% | | |||||||||||||||
| | | 1,155,000 | | | | Aa1(b) | | | City of Cedar Rapids IA, GO, Series A, 5.000% due 6/1/25 | | | | | 1,339,188 | | |
| | | | | | | | | | Iowa Finance Authority, Revenue Bonds: | | | |||||
| | | 3,840,000 | | | | AAA | | | 5.000% due 8/1/31 | | | | | 4,583,386 | | |
| | | 90,000 | | | | BBB(g) | | | Series A, 5.000% due 5/15/43 | | | | | 93,790 | | |
| | | 215,000 | | | | BBB(g) | | | Series A, 5.000% due 5/15/48 | | | | | 223,411 | | |
| | | | | | | | | | Total Iowa | | | | | 6,239,775 | | |
| Kansas – 0.2% | | |||||||||||||||
| | | 1,000,000 | | | | Aa2(b) | | | Geary County Unified School District No 475, GO, Series B, 5.000% due 9/1/20 | | | | | 1,049,010 | | |
| | | | | | | | | | Kansas Development Finance Authority, Revenue Bonds: | | | |||||
| | | 10,000 | | | | AA | | | 5.000% due 11/15/19 | | | | | 10,225 | | |
| | | 30,000 | | | | AA- | | | Series H, 5.000% due 3/1/25 | | | | | 30,915 | | |
| | | 30,000 | | | | NR | | | Series Q, Prerefunded 5/15/19 @ 100, 5.000% due 5/15/20(c) | | | | | 30,200 | | |
| | | | | | | | | | Wyandotte County-Kansas City Unified Government Utility System Revenue, Revenue Bonds: | | | |||||
| | | 130,000 | | | | A+ | | | Series A, 5.000% due 9/1/24 | | | | | 143,346 | | |
| | | 30,000 | | | | A+ | | | Series A, 5.000% due 9/1/30 | | | | | 34,416 | | |
| | | 35,000 | | | | A+ | | | Series A, 5.000% due 9/1/32 | | | | | 39,927 | | |
| | | 30,000 | | | | A+ | | | Series B, 5.000% due 9/1/23 | | | | | 33,114 | | |
| | | 45,000 | | | | A+ | | | Series B, 5.000% due 9/1/24 | | | | | 49,620 | | |
| | | | | | | | | | Total Kansas | | | | | 1,420,773 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Kentucky – 1.5% | | |||||||||||||||
| | | | | | | | | | City of Pikeville KY, Revenue Bonds: | | | |||||
| | $ | 595,000 | | | | Baa2(b) | | | 6.000% due 3/1/22 | | | | $ | 635,049 | | |
| | | 185,000 | | | | Baa2(b) | | | Series Prerefunded 3/1/21 @ 100, 6.000% due 3/1/22(c) | | | | | 200,514 | | |
| | | | | | | | | | Kenton County Airport Board, Revenue Bonds: | | | |||||
| | | 25,000 | | | | A1(b) | | | 5.000% due 1/1/25 | | | | | 28,796 | | |
| | | 15,000 | | | | A1(b) | | | 5.000% due 1/1/26 | | | | | 17,579 | | |
| | | 45,000 | | | | A1(b) | | | 5.000% due 1/1/29 | | | | | 51,862 | | |
| | | 50,000 | | | | A1(b) | | | 5.000% due 1/1/30 | | | | | 57,261 | | |
| | | 1,530,000 | | | | A2(b) | | | Kentucky Bond Development Corp., Revenue Bonds, Series A, 5.000% due 9/1/24 | | | | | 1,759,454 | | |
| | | | | | | | | | Kentucky Economic Development Finance Authority, Revenue Bonds: | | | |||||
| | | 45,000 | | | | AA | | | AGM, 5.000% due 12/1/47 | | | | | 48,513 | | |
| | | 50,000 | | | | Baa3(b) | | | Series B, 5.000% due 6/1/25 | | | | | 55,854 | | |
| | | 55,000 | | | | Baa3(b) | | | Series B, 5.000% due 6/1/26 | | | | | 61,397 | | |
| | | 55,000 | | | | Baa3(b) | | | Series B, 5.000% due 6/1/27 | | | | | 61,043 | | |
| | | 60,000 | | | | Baa3(b) | | | Series B, 5.000% due 6/1/28 | | | | | 66,322 | | |
| | | 65,000 | | | | Baa3(b) | | | Series B, 5.000% due 6/1/29 | | | | | 71,508 | | |
| | | 65,000 | | | | Baa3(b) | | | Series B, 5.000% due 6/1/30 | | | | | 71,068 | | |
| | | 5,000,000 | | | | A1(b) | | | Kentucky Public Energy Authority, Revenue Bonds, Series B, 4.000% due 1/1/49(a) | | | | | 5,363,000 | | |
| | | | | | | | | | Kentucky State Property & Building Commission, Revenue Bonds: | | | |||||
| | | 145,000 | | | | A- | | | 5.000% due 5/1/28 | | | | | 171,136 | | |
| | | 15,000 | | | | A- | | | 5.000% due 5/1/29 | | | | | 17,627 | | |
| | | 40,000 | | | | AA | | | 5.000% due 5/1/31 | | | | | 46,740 | | |
| | | 110,000 | | | | A- | | | Series A, 5.000% due 10/1/27 | | | | | 122,843 | | |
| | | 165,000 | | | | A- | | | Series A, 5.000% due 2/1/29 | | | | | 188,100 | | |
| | | 170,000 | | | | A- | | | Series A, 5.000% due 2/1/30 | | | | | 192,680 | | |
| | | 65,000 | | | | A- | | | Series A, 5.000% due 2/1/32 | | | | | 72,739 | | |
| | | 80,000 | | | | A- | | | Series A, 5.000% due 2/1/33 | | | | | 89,101 | | |
| | | 1,285,000 | | | | A- | | | Series B, 5.000% due 11/1/27 | | | | | 1,494,494 | | |
| | | 55,000 | | | | A1(b) | | | Series D, 5.000% due 5/1/21 | | | | | 58,473 | | |
| | | 35,000 | | | | A1(b) | | | Series D, 5.000% due 5/1/26 | | | | | 40,638 | | |
| | | 30,000 | | | | A1(b) | | | Series D, 5.000% due 5/1/27 | | | | | 35,078 | | |
| | | 30,000 | | | | A1(b) | | | Series D, 5.000% due 5/1/28 | | | | | 34,928 | | |
| | | | | | | | | | Louisville/Jefferson County Metropolitan Government, Revenue Bonds: | | | |||||
| | | 20,000 | | | | BBB+ | | | 5.000% due 12/1/28 | | | | | 21,455 | | |
| | | 525,000 | | | | A- | | | 5.000% due 10/1/29 | | | | | 602,107 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Kentucky – (continued) | | |||||||||||||||
| | $ | 20,000 | | | | BBB+ | | | 5.000% due 12/1/30 | | | | $ | 21,330 | | |
| | | 95,000 | | | | A- | | | 5.000% due 10/1/32 | | | | | 106,528 | | |
| | | 70,000 | | | | A- | | | Series A, 5.500% due 10/1/33 | | | | | 78,269 | | |
| | | 185,000 | | | | A- | | | Series A, 5.750% due 10/1/38 | | | | | 207,228 | | |
| | | 365,000 | | | | A | | | Series P, 1.500% due 10/1/33(a) | | | | | 364,876 | | |
| | | 355,000 | | | | A+ | | | University of Louisville, Revenue Bonds, Series C, 3.000% due 9/1/21 | | | | | 364,386 | | |
| | | | | | | | | | Total Kentucky | | | | | 12,879,976 | | |
| Louisiana – 0.7% | | |||||||||||||||
| | | 90,000 | | | | AA- | | | City of New Orleans LA, GO, 5.000% due 12/1/20 | | | | | 94,755 | | |
| | | 1,500,000 | | | | AA | | | Louisiana Local Government Environmental Facilities & Community Development Authority, Revenue Bonds, 5.000% due 10/1/26 | | | | | 1,776,090 | | |
| | | | | | | | | | Louisiana Public Facilities Authority, Revenue Bonds: | | | |||||
| | | 40,000 | | | | A | | | Series A, 5.000% due 12/15/22 | | | | | 44,567 | | |
| | | 85,000 | | | | A | | | Series A, 5.000% due 12/15/23 | | | | | 96,782 | | |
| | | 50,000 | | | | A | | | Series Prerefunded 7/1/19 @ 100, 6.750% due 7/1/39(c) | | | | | 50,825 | | |
| | | 60,000 | | | | A2(b) | | | Louisiana Stadium & Exposition District, Revenue Bonds, Series A, 5.000% due 7/1/24 | | | | | 67,522 | | |
| | | | | | | | | | New Orleans Aviation Board, Revenue Bonds: | | | |||||
| | | 70,000 | | | | A- | | | Series B, 5.000% due 1/1/24(d) | | | | | 78,545 | | |
| | | 85,000 | | | | A- | | | Series B, 5.000% due 1/1/25(d) | | | | | 96,859 | | |
| | | 65,000 | | | | A- | | | Series B, 5.000% due 1/1/27(d) | | | | | 73,241 | | |
| | | 10,000 | | | | A- | | | Series B, 5.000% due 1/1/29(d) | | | | | 11,535 | | |
| | | 20,000 | | | | A- | | | Series B, 5.000% due 1/1/31(d) | | | | | 22,733 | | |
| | | 20,000 | | | | A- | | | Series B, 5.000% due 1/1/36(d) | | | | | 22,220 | | |
| | | 15,000 | | | | A- | | | Series B, 5.000% due 1/1/37(d) | | | | | 16,574 | | |
| | | 20,000 | | | | A- | | | Series D2, 5.000% due 1/1/26(d) | | | | | 23,151 | | |
| | | 15,000 | | | | A- | | | Series D2, 5.000% due 1/1/29(d) | | | | | 17,303 | | |
| | | 20,000 | | | | A- | | | Series D2, 5.000% due 1/1/30(d) | | | | | 22,877 | | |
| | | 45,000 | | | | A- | | | Series D2, 5.000% due 1/1/32(d) | | | | | 50,839 | | |
| | | 35,000 | | | | A- | | | Series D2, 5.000% due 1/1/35(d) | | | | | 39,007 | | |
| | | 15,000 | | | | A- | | | Series D2, 5.000% due 1/1/38(d) | | | | | 16,529 | | |
| | | 3,500,000 | | | | AA- | | | State of Louisiana, GO, Series C, 5.000% due 7/15/20 | | | | | 3,657,430 | | |
| | | | | | | | | | Total Louisiana | | | | | 6,279,384 | | |
| Maine – 0.1% | | |||||||||||||||
| | | | | | | | | | Maine Health & Higher Educational Facilities Authority, Revenue Bonds: | | | |||||
| | | 100,000 | | | | BBB | | | 5.000% due 7/1/43 | | | | | 104,277 | | |
| | | 60,000 | | | | BBB | | | Series A, 4.000% due 7/1/41 | | | | | 58,442 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Maine – (continued) | | |||||||||||||||
| | $ | 25,000 | | | | BBB | | | Series A, 5.000% due 7/1/41 | | | | $ | 26,508 | | |
| | | 80,000 | | | | BBB | | | Series A, 4.000% due 7/1/46 | | | | | 76,510 | | |
| | | 15,000 | | | | BBB | | | Series A, 5.000% due 7/1/46 | | | | | 15,854 | | |
| | | 20,000 | | | | A1(b) | | | Series D, 5.750% due 7/1/38 | | | | | 20,057 | | |
| | | | | | | | | | Maine Turnpike Authority, Revenue Bonds: | | | |||||
| | | 65,000 | | | | AA- | | | 5.000% due 7/1/25 | | | | | 77,050 | | |
| | | 60,000 | | | | AA- | | | 5.000% due 7/1/27 | | | | | 70,225 | | |
| | | | | | | | | | Total Maine | | | | | 448,923 | | |
| Maryland – 3.4% | | |||||||||||||||
| | | | | | | | | | City of Baltimore MD, Revenue Bonds: | | | |||||
| | | 105,000 | | | | AA | | | Series C, 5.000% due 7/1/28 | | | | | 125,802 | | |
| | | 195,000 | | | | AA | | | Series C, 5.000% due 7/1/31 | | | | | 229,696 | | |
| | | 200,000 | | | | AA | | | Series C, 5.000% due 7/1/33 | | | | | 233,172 | | |
| | | 170,000 | | | | AA- | | | Series D, 5.000% due 7/1/33 | | | | | 197,154 | | |
| | | 4,230,000 | | | | AAA | | | County of Baltimore MD, GO, Series B, 4.500% due 9/1/24 | | | | | 4,828,291 | | |
| | | 2,500,000 | | | | AAA | | | County of Howard MD, GO, Series D, 5.000% due 2/15/30 | | | | | 3,049,200 | | |
| | | | | | | | | | County of Prince George’s MD, GO: | | | |||||
| | | 3,595,000 | | | | AAA | | | Series A, 5.000% due 7/15/22 | | | | | 3,989,947 | | |
| | | 5,805,000 | | | | AAA | | | Series A, 5.000% due 7/15/29 | | | | | 7,174,051 | | |
| | | 2,065,000 | | | | AAA | | | Series C, 4.000% due 8/1/26 | | | | | 2,249,797 | | |
| | | | | | | | | | Maryland Economic Development Corp., Revenue Bonds: | | | |||||
| | | 115,000 | | | | A | | | 6.200% due 9/1/22 | | | | | 115,373 | | |
| | | 45,000 | | | | Baa3(b) | | | Series A, 5.000% due 6/1/23 | | | | | 49,869 | | |
| | | 45,000 | | | | Baa3(b) | | | Series A, 5.000% due 6/1/24 | | | | | 50,805 | | |
| | | 45,000 | | | | Baa3(b) | | | Series A, 5.000% due 6/1/25 | | | | | 51,455 | | |
| | | 60,000 | | | | Baa3(b) | | | Series A, 5.000% due 6/1/26 | | | | | 69,466 | | |
| | | 40,000 | | | | Baa3(b) | | | Series A, 5.000% due 6/1/27 | | | | | 46,683 | | |
| | | 30,000 | | | | Baa3(b) | | | Series A, 5.000% due 6/1/31 | | | | | 34,554 | | |
| | | 30,000 | | | | Baa3(b) | | | Series A, 5.000% due 6/1/32 | | | | | 34,227 | | |
| | | 35,000 | | | | BBB+ | | | Series D, 5.000% due 3/31/30(d) | | | | | 39,281 | | |
| | | 65,000 | | | | BBB+ | | | Series D, 5.000% due 3/31/51(d) | | | | | 69,209 | | |
| | | | | | | | | | Maryland Health & Higher Educational Facilities Authority, Revenue Bonds: | | | |||||
| | | 30,000 | | | | BBB | | | 5.000% due 7/1/27 | | | | | 34,138 | | |
| | | 40,000 | | | | BBB | | | 5.000% due 7/1/28 | | | | | 45,248 | | |
| | | 65,000 | | | | BBB | | | 5.000% due 7/1/29 | | | | | 73,215 | | |
| | | 30,000 | | | | BBB | | | 5.000% due 7/1/31 | | | | | 33,334 | | |
| | | 35,000 | | | | A | | | Series A, 5.000% due 7/1/24 | | | | | 38,409 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Maryland – (continued) | | |||||||||||||||
| | $ | 30,000 | | | | A | | | Series A, 5.000% due 7/1/25 | | | | $ | 32,871 | | |
| | | 65,000 | | | | BBB | | | Series A, 5.000% due 7/1/33 | | | | | 72,272 | | |
| | | 50,000 | | | | BBB | | | Series A, 5.000% due 7/1/34 | | | | | 55,322 | | |
| | | 20,000 | | | | BBB | | | Series A, 5.000% due 7/1/35 | | | | | 22,039 | | |
| | | 50,000 | | | | BBB | | | Series A, 5.000% due 7/1/36 | | | | | 54,824 | | |
| | | 40,000 | | | | BBB | | | Series A, 4.000% due 7/1/42 | | | | | 39,703 | | |
| | | 70,000 | | | | WD(g) | | | Prerefunded 7/1/20 @ 100, 5.625% due 7/1/30(c) | | | | | 73,639 | | |
| | | 225,000 | | | | WD(g) | | | Prerefunded 7/1/20 @ 100, 5.750% due 7/1/38(c) | | | | | 237,067 | | |
| | | 105,000 | | | | A | | | Prerefunded 7/1/19 @ 100, 5.125% due 7/1/39(c) | | | | | 106,184 | | |
| | | 2,500,000 | | | | AAA | | | State of Maryland, GO, Series B, 5.000% due 8/1/22 | | | | | 2,776,375 | | |
| | | 3,000,000 | | | | AAA | | | State of Maryland Department of Transportation, Revenue Bonds, 3.500% due 10/1/33 | | | | | 3,091,680 | | |
| | | | | | | | | | Total Maryland | | | | | 29,424,352 | | |
| Massachusetts – 0.7% | | |||||||||||||||
| | | | | | | | | | Commonwealth of Massachusetts, GO: | | | |||||
| | | 290,000 | | | | AA | | | Series A, Prerefunded 4/1/21 @ 100, 5.000% due 4/1/23(c) | | | | | 309,981 | | |
| | | 400,000 | | | | AA | | | Series B, 5.250% due 8/1/20 | | | | | 420,188 | | |
| | | 90,000 | | | | AA | | | Series B, 5.000% due 7/1/22 | | | | | 99,747 | | |
| | | 520,000 | | | | AA | | | Series C, 5.000% due 4/1/23 | | | | | 588,000 | | |
| | | 45,000 | | | | AA | | | Massachusetts Bay Transportation Authority, Revenue Bonds, Series A, 5.000% due 7/1/45 | | | | | 50,074 | | |
| | | | | | | | | | Massachusetts Development Finance Agency, Revenue Bonds: | | | |||||
| | | 45,000 | | | | AA- | | | 5.000% due 7/1/23 | | | | | 50,981 | | |
| | | 115,000 | | | | AA- | | | 5.000% due 7/1/24 | | | | | 133,138 | | |
| | | 500,000 | | | | Baa2(b) | | | 5.000% due 7/1/34 | | | | | 571,080 | | |
| | | 65,000 | | | | AAA | | | Series A, 5.000% due 7/15/22 | | | | | 72,367 | | |
| | | 145,000 | | | | NR | | | Series A, Prerefunded 11/15/23 @ 100, 6.250% due 11/15/28(c)(e) | | | | | 168,168 | | |
| | | 140,000 | | | | BBB | | | Series D, 5.000% due 7/1/44 | | | | | 149,675 | | |
| | | 500,000 | | | | AA+ | | | Series N, 1.450% due 7/1/41(a) | | | | | 496,180 | | |
| | | 55,000 | | | | AA- | | | Series Q-1, 5.000% due 7/1/21 | | | | | 55,606 | | |
| | | 105,000 | | | | AA- | | | Series S, 5.000% due 7/1/30 | | | | | 124,498 | | |
| | | 585,000 | | | | A+ | | | Series S-1, 5.000% due 10/1/24(f) | | | | | 668,801 | | |
| | | 335,000 | | | | AA- | | | Series S4, 5.000% due 7/1/38(a) | | | | | 381,351 | | |
| | | | | | | | | | Massachusetts Health & Educational Facilities Authority, Revenue Bonds: | | | |||||
| | | 215,000 | | | | AA- | | | Series I4, 5.000% due 7/1/20 | | | | | 217,410 | | |
| | | 135,000 | | | | AA- | | | Prerefunded 7/1/19 @ 100, 5.000% due 7/1/21(c) | | | | | 136,492 | | |
| | | 1,170,000 | | | | AA | | | Massachusetts Transportation Trust Fund Metropolitan Highway System Revenue, Revenue Bonds, Series A, 5.000% due 1/1/39(a) | | | | | 1,304,609 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Massachusetts – (continued) | | |||||||||||||||
| | $ | 75,000 | | | | AA+ | | | Town of Braintree MA, GO, Prerefunded 5/15/19 @ 100, 5.000% due 5/15/20(c) | | | | $ | 75,515 | | |
| | | | | | | | | | Total Massachusetts | | | | | 6,073,861 | | |
| Michigan – 1.3% | | |||||||||||||||
| | | 160,000 | | | | AA | | | City of Detroit MI Sewage Disposal System Revenue, Revenue Bonds, Series D, AGM, 2.474% (3-Month USD-LIBOR) due 7/1/32(a) | | | | | 154,221 | | |
| | | 85,000 | | | | Aa1(b) | | | Clarkston Community Schools, GO, 5.000% due 5/1/22 | | | | | 93,378 | | |
| | | 155,000 | | | | AA | | | Detroit Downtown Development Authority, Tax Allocation, Series A, AGM, 5.000% due 7/1/37 | | | | | 166,795 | | |
| | | | | | | | | | Grand Rapids Public Schools, GO, AGM: | | | |||||
| | | 40,000 | | | | AA | | | 5.000% due 5/1/27 | | | | | 48,070 | | |
| | | 55,000 | | | | AA | | | 5.000% due 5/1/29 | | | | | 65,059 | | |
| | | 100,000 | | | | AA | | | 5.000% due 5/1/30 | | | | | 116,131 | | |
| | | 145,000 | | | | AA | | | 5.000% due 5/1/31 | | | | | 167,365 | | |
| | | 20,000 | | | | AA | | | 5.000% due 5/1/32 | | | | | 22,976 | | |
| | | 90,000 | | | | AA | | | 5.000% due 5/1/33 | | | | | 102,952 | | |
| | | | | | | | | | Kalamazoo Hospital Finance Authority, Revenue Bonds: | | | |||||
| | | 100,000 | | | | A2(b) | | | 5.000% due 5/15/27 | | | | | 115,308 | | |
| | | 75,000 | | | | A2(b) | | | 5.000% due 5/15/28 | | | | | 85,931 | | |
| | | 100,000 | | | | AAA | | | Kent County Building Authority, Revenue Bonds, 5.500% due 6/1/22 | | | | | 111,472 | | |
| | | | | | | | | | Kent Hospital Finance Authority, Revenue Bonds: | | | |||||
| | | 30,000 | | | | AA | | | Series A, 5.000% due 11/15/20 | | | | | 31,592 | | |
| | | 20,000 | | | | AA | | | Series A, 5.000% due 11/15/21 | | | | | 21,594 | | |
| | | | | | | | | | Michigan Finance Authority, Revenue Bonds: | | | |||||
| | | 1,250,000 | | | | Aa3(b) | | | 5.000% due 11/1/23 | | | | | 1,418,875 | | |
| | | 45,000 | | | | AA- | | | 5.000% due 12/1/23 | | | | | 51,304 | | |
| | | 750,000 | | | | Aa3(b) | | | 5.000% due 11/1/24 | | | | | 869,528 | | |
| | | 50,000 | | | | AA- | | | 5.000% due 12/1/24 | | | | | 58,121 | | |
| | | 85,000 | | | | AA- | | | 5.000% due 12/1/25 | | | | | 100,644 | | |
| | | 40,000 | | | | AA- | | | 5.000% due 12/1/26 | | | | | 47,950 | | |
| | | 10,000 | | | | AA- | | | 5.000% due 7/1/27 | | | | | 11,505 | | |
| | | 35,000 | | | | AA- | | | 5.000% due 12/1/27 | | | | | 42,440 | | |
| | | 160,000 | | | | A+ | | | 5.000% due 8/15/28 | | | | | 178,446 | | |
| | | 60,000 | | | | AA- | | | 5.000% due 12/1/28 | | | | | 72,592 | | |
| | | 30,000 | | | | AA- | | | 5.000% due 7/1/29 | | | | | 34,145 | | |
| | | 60,000 | | | | A+ | | | 5.000% due 8/15/29 | | | | | 66,735 | | |
| | | 35,000 | | | | AA- | | | 5.000% due 7/1/31 | | | | | 39,297 | | |
| | | 30,000 | | | | AA- | | | 5.000% due 7/1/32 | | | | | 33,562 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Michigan – (continued) | | |||||||||||||||
| | $ | 25,000 | | | | AA- | | | 5.000% due 7/1/33 | | | | $ | 27,861 | | |
| | | 205,000 | | | | A+ | | | 5.000% due 11/15/36 | | | | | 220,307 | | |
| | | 45,000 | | | | A+ | | | 5.000% due 11/15/42 | | | | | 48,050 | | |
| | | 735,000 | | | | AA- | | | 5.000% due 12/1/44(a) | | | | | 849,182 | | |
| | | 45,000 | | | | NR | | | Series A, 5.000% due 6/1/21 | | | | | 48,128 | | |
| | | 65,000 | | | | NR | | | Series A, Prerefunded 6/1/22 @ 100, 5.000% due 6/1/27(c) | | | | | 71,628 | | |
| | | 140,000 | | | | NR | | | Series A, Prerefunded 6/1/22 @ 100, 5.000% due 6/1/39(c) | | | | | 154,274 | | |
| | | | | | | | | | Michigan State Building Authority, Revenue Bonds: | | | |||||
| | | 495,000 | | | | AA- | | | Series I, 5.000% due 10/15/34 | | | | | 569,765 | | |
| | | 80,000 | | | | AA- | | | Series I, 5.000% due 4/15/35 | | | | | 91,859 | | |
| | | | | | | | | | Michigan State Hospital Finance Authority, Revenue Bonds: | | | |||||
| | | 750,000 | | | | AA- | | | Series C, 5.000% due 12/1/19 | | | | | 768,143 | | |
| | | 700,000 | | | | AA- | | | Series C, 5.000% due 12/1/20 | | | | | 739,333 | | |
| | | 45,000 | | | | AA- | | | Series C, 5.000% due 12/1/24 | | | | | 52,336 | | |
| | | 40,000 | | | | AA- | | | Series C, 5.000% due 12/1/25 | | | | | 47,334 | | |
| | | 60,000 | | | | AA- | | | Series C, 5.000% due 12/1/26 | | | | | 71,971 | | |
| | | 40,000 | | | | AA- | | | Series C, 5.000% due 12/1/27 | | | | | 48,503 | | |
| | | 60,000 | | | | AA- | | | Series C, 5.000% due 12/1/28 | | | | | 72,592 | | |
| | | 180,000 | | | | AA+ | | | Series C, 2.400% due 11/15/47(a) | | | | | 181,559 | | |
| | | 710,000 | | | | AA+ | | | Series F5, 4.000% due 11/15/47(a) | | | | | 779,360 | | |
| | | | | | | | | | Michigan Strategic Fund, Revenue Bonds: | | | |||||
| | | 290,000 | | | | A | | | 1.450% due 8/1/29(a) | | | | | 280,856 | | |
| | | 35,000 | | | | A | | | 1.450% due 9/1/30(a) | | | | | 33,897 | | |
| | | | | | | | | | Portage Public Schools, GO: | | | |||||
| | | 35,000 | | | | AA- | | | 5.000% due 11/1/27 | | | | | 41,470 | | |
| | | 90,000 | | | | AA- | | | 5.000% due 11/1/29 | | | | | 105,493 | | |
| | | | | | | | | | Royal Oak Hospital Finance Authority, Revenue Bonds: | | | |||||
| | | 30,000 | | | | A+ | | | 5.000% due 9/1/22 | | | | | 33,147 | | |
| | | 60,000 | | | | A+ | | | 5.000% due 9/1/24 | | | | | 68,465 | | |
| | | 95,000 | | | | AA | | | State of Michigan, Revenue Bonds, 5.000% due 3/15/27 | | | | | 115,055 | | |
| | | 280,000 | | | | AA+ | | | State of Michigan Trunk Line Revenue, Revenue Bonds, AGM, 5.500% due 11/1/20 | | | | | 297,794 | | |
| | | | | | | | | | Warren Consolidated Schools, GO: | | | |||||
| | | 130,000 | | | | AA | | | 5.000% due 5/1/30 | | | | | 148,227 | | |
| | | 140,000 | | | | AA | | | 5.000% due 5/1/31 | | | | | 159,341 | | |
| | | 145,000 | | | | AA | | | 5.000% due 5/1/32 | | | | | 164,761 | | |
| Face Amount | | | 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 | | | | $ | 5,950 | | |
| | | 10,000 | | | | A | | | Series A, 5.000% due 12/1/30 | | | | | 11,791 | | |
| | | 10,000 | | | | A | | | Series A, 5.000% due 12/1/31 | | | | | 11,710 | | |
| | | 15,000 | | | | A | | | Series A, 5.000% due 12/1/36 | | | | | 17,116 | | |
| | | 20,000 | | | | A | | | Series B, 5.000% due 12/1/29(d) | | | | | 23,357 | | |
| | | 15,000 | | | | A | | | Series B, 5.000% due 12/1/30(d) | | | | | 17,369 | | |
| | | 15,000 | | | | A | | | Series B, 5.000% due 12/1/31(d) | | | | | 17,251 | | |
| | | 10,000 | | | | A | | | Series B, 5.000% due 12/1/33(d) | | | | | 11,367 | | |
| | | 25,000 | | | | A | | | Series B, 5.000% due 12/1/36(d) | | | | | 28,019 | | |
| | | 60,000 | | | | A | | | Series C, 5.000% due 12/1/22 | | | | | 66,923 | | |
| | | 65,000 | | | | A | | | Series C, 5.000% due 12/1/23 | | | | | 74,105 | | |
| | | 70,000 | | | | A | | | Series C, 5.000% due 12/1/24 | | | | | 81,288 | | |
| | | 60,000 | | | | A | | | Series C, 5.000% due 12/1/25 | | | | | 70,960 | | |
| | | 45,000 | | | | A | | | Series C, 5.000% due 12/1/26 | | | | | 53,943 | | |
| | | 45,000 | | | | A | | | Series C, 5.000% due 12/1/27 | | | | | 54,605 | | |
| | | | | | | | | | Total Michigan | | | | | 11,164,433 | | |
| Minnesota – 1.9% | | |||||||||||||||
| | | 60,000 | | | | Baa1(b) | | | City of Maple Grove MN, Revenue Bonds, 5.000% due 9/1/26 | | | | | 67,881 | | |
| | | 40,000 | | | | WD(g) | | | Housing & Redevelopment Authority of The City of St Paul Minnesota, Revenue Bonds, Series Prerefunded 11/15/25 @ 100, 5.000% due 11/15/40(c) | | | | | 47,596 | | |
| | | | | | | | | | Minnesota Agricultural & Economic Development Board, Revenue Bonds: | | | |||||
| | | 120,000 | | | | AA | | | Series C1, AGC, 5.000% due 2/15/21 | | | | | 123,704 | | |
| | | 165,000 | | | | AA | | | Series C1, AGC, 5.000% due 2/15/22 | | | | | 169,967 | | |
| | | 130,000 | | | | A- | | | Northern Municipal Power Agency, Revenue Bonds, Series A1, 5.000% due 1/1/20 | | | | | 133,518 | | |
| | | | | | | | | | State of Minnesota, GO: | | | |||||
| | | 3,685,000 | | | | AAA | | | Series A, 5.000% due 8/1/26 | | | | | 4,273,716 | | |
| | | 5,000,000 | | | | AAA | | | Series A, 5.000% due 8/1/37 | | | | | 5,918,700 | | |
| | | 4,835,000 | | | | AAA | | | Series B, 5.000% due 8/1/27 | | | | | 5,954,302 | | |
| | | | | | | | | | Total Minnesota | | | | | 16,689,384 | | |
| Mississippi – 0.9% | | |||||||||||||||
| | | | | | | | | | State of Mississippi, GO: | | | |||||
| | | 2,500,000 | | | | AA | | | Series A, 5.000% due 10/1/29 | | | | | 3,024,325 | | |
| | | 160,000 | | | | AA | | | Series A, 5.000% due 10/1/30 | | | | | 191,357 | | |
| | | 1,250,000 | | | | AA | | | Series A, 5.000% due 10/1/34 | | | | | 1,460,175 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Mississippi – (continued) | | |||||||||||||||
| | $ | 3,000,000 | | | | A+ | | | State of Mississippi, Revenue Bonds, Series A, 5.000% due 10/15/34 | | | | $ | 3,477,570 | | |
| | | | | | | | | | Total Mississippi | | | | | 8,153,427 | | |
| Missouri – 0.5% | | |||||||||||||||
| | | | | | | | | | Cape Girardeau County Industrial Development Authority, Revenue Bonds: | | | |||||
| | | 30,000 | | | | BBB- | | | Series A, 5.000% due 3/1/27 | | | | | 34,297 | | |
| | | 35,000 | | | | BBB- | | | Series A, 5.000% due 3/1/36 | | | | | 38,038 | | |
| | | | | | | | | | Health & Educational Facilities Authority of the State of Missouri, Revenue Bonds: | | | |||||
| | | 30,000 | | | | A+ | | | 5.000% due 5/15/29 | | | | | 34,567 | | |
| | | 30,000 | | | | A+ | | | 5.000% due 5/15/30 | | | | | 34,303 | | |
| | | 30,000 | | | | A+ | | | 5.000% due 5/15/31 | | | | | 33,992 | | |
| | | 85,000 | | | | A+ | | | 5.000% due 5/15/36 | | | | | 94,493 | | |
| | | 70,000 | | | | AA- | | | Series B, 5.000% due 2/1/30 | | | | | 79,955 | | |
| | | 80,000 | | | | AA- | | | Series B, 5.000% due 2/1/32 | | | | | 90,240 | | |
| | | 65,000 | | | | AA- | | | Series B, 5.000% due 2/1/36 | | | | | 72,331 | | |
| | | 20,000 | | | | AA- | | | Series B, 4.000% due 2/1/40 | | | | | 20,380 | | |
| | | 105,000 | | | | AA- | | | Series B, 5.000% due 2/1/45 | | | | | 114,342 | | |
| | | 2,500,000 | | ��� | | AAA | | | Metropolitan St Louis Sewer District, Revenue Bonds, Series A, 5.000% due 5/1/37 | | | | | 2,893,525 | | |
| | | 10,000 | | | | A | | | Missouri Development Finance Board, Revenue Bonds, Series A, 6.000% due 6/1/20 | | | | | 10,238 | | |
| | | 10,000 | | | | Aaa(b) | | | Missouri State Environmental Improvement & Energy Resources Authority, Revenue Bonds, 5.125% due 1/1/20 | | | | | 10,028 | | |
| | | | | | | | | | St Louis County Industrial Development Authority, Revenue Bonds: | | | |||||
| | | 125,000 | | | | BB+(g) | | | 5.000% due 9/1/38 | | | | | 128,036 | | |
| | | 220,000 | | | | BB+(g) | | | 5.125% due 9/1/48 | | | | | 223,888 | | |
| | | | | | | | | | Total Missouri | | | | | 3,912,653 | | |
| Montana – 0.0% | | |||||||||||||||
| | | | | | | | | | Montana Facility Finance Authority, Revenue Bonds: | | | |||||
| | | 35,000 | | | | A+(g) | | | 5.000% due 2/15/21 | | | | | 37,071 | | |
| | | 40,000 | | | | A+(g) | | | 5.000% due 2/15/22 | | | | | 43,535 | | |
| | | 60,000 | | | | A+(g) | | | 5.000% due 2/15/23 | | | | | 66,844 | | |
| | | 60,000 | | | | A+(g) | | | 5.000% due 2/15/24 | | | | | 68,139 | | |
| | | 60,000 | | | | A+(g) | | | 5.000% due 2/15/25 | | | | | 69,441 | | |
| | | 90,000 | | | | A+(g) | | | 5.000% due 2/15/26 | | | | | 105,558 | | |
| | | | | | | | | | Total Montana | | | | | 390,588 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Nebraska – 0.1% | | |||||||||||||||
| | | | | | | | | | Nebraska Public Power District, Revenue Bonds: | | | |||||
| | $ | 115,000 | | | | A+ | | | Series B, 5.000% due 1/1/31 | | | | $ | 132,970 | | |
| | | 125,000 | | | | A+ | | | Series B, 5.000% due 1/1/34 | | | | | 142,804 | | |
| | | 155,000 | | | | A+ | | | Series B, 5.000% due 1/1/36 | | | | | 175,492 | | |
| | | | | | | | | | Total Nebraska | | | | | 451,266 | | |
| Nevada – 1.3% | | |||||||||||||||
| | | | | | | | | | City of Carson City NV, Revenue Bonds: | | | |||||
| | | 20,000 | | | | A- | | | 5.000% due 9/1/24 | | | | | 22,545 | | |
| | | 15,000 | | | | A- | | | 5.000% due 9/1/28 | | | | | 17,326 | | |
| | | 20,000 | | | | A- | | | 5.000% due 9/1/30 | | | | | 22,700 | | |
| | | 20,000 | | | | A- | | | 5.000% due 9/1/32 | | | | | 22,329 | | |
| | | 20,000 | | | | A- | | | 5.000% due 9/1/34 | | | | | 22,144 | | |
| | | | | | | | | | Clark County School District, GO: | | | |||||
| | | 75,000 | | | | A+ | | | Series A, 5.000% due 6/15/21 | | | | | 80,256 | | |
| | | 65,000 | | | | A+ | | | Series A, 5.000% due 6/15/23 | | | | | 73,047 | | |
| | | 1,500,000 | | | | A+ | | | Series A, 5.000% due 6/15/24 | | | | | 1,717,860 | | |
| | | 170,000 | | | | A+ | | | Series A, 5.000% due 6/15/25 | | | | | 198,045 | | |
| | | 3,620,000 | | | | A+ | | | Series A, 5.000% due 6/15/28 | | | | | 4,351,240 | | |
| | | 1,000,000 | | | | A+ | | | Series C, 5.000% due 6/15/23 | | | | | 1,123,800 | | |
| | | 280,000 | | | | A+ | | | County of Clark Department of Aviation, Revenue Bonds, Series C, 5.000% due 7/1/21(d) | | | | | 298,477 | | |
| | | 345,000 | | | | A- | | | County of Clark NV, Revenue Bonds, Series A, 1.875% due 6/1/31(a) | | | | | 342,261 | | |
| | | 2,250,000 | | | | AA+ | | | County of Clark NV, GO, Series A, 5.000% due 6/1/35 | | | | | 2,632,635 | | |
| | | | | | | | | | Las Vegas Valley Water District, GO: | | | |||||
| | | 30,000 | | | | AA+ | | | Series B, 5.000% due 6/1/22 | | | | | 33,131 | | |
| | | 60,000 | | | | AA+ | | | Series B, 5.000% due 6/1/23 | | | | | 66,242 | | |
| | | 60,000 | | | | AA+ | | | Series B, 5.000% due 6/1/24 | | | | | 66,123 | | |
| | | 30,000 | | | | AA+ | | | Series B, 5.000% due 6/1/25 | | | | | 32,982 | | |
| | | 85,000 | | | | AA+ | | | Series A, 5.000% due 6/1/32 | | | | | 98,602 | | |
| | | 145,000 | | | | AA+ | | | Series A, 5.000% due 6/1/33 | | | | | 167,578 | | |
| | | 155,000 | | | | AA+ | | | Series A, 5.000% due 6/1/34 | | | | | 178,476 | | |
| | | | | | | | | | State of Nevada, GO: | | | |||||
| | | 40,000 | | | | AA | | | 5.000% due 8/1/21 | | | | | 43,153 | | |
| | | 80,000 | | | | AA | | | 5.000% due 3/1/25 | | | | | 89,811 | | |
| | | | | | | | | | Total Nevada | | | | | 11,700,763 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| New Hampshire – 0.3% | | |||||||||||||||
| | $ | 1,535,000 | | | | BBB+ | | | City of Manchester NH General Airport Revenue, Revenue Bonds, Series A, 5.000% due 1/1/21 | | | | $ | 1,617,936 | | |
| | | | | | | | | | New Hampshire Health & Education Facilities Authority Act, Revenue Bonds: | | | |||||
| | | 40,000 | | | | A- | | | 4.000% due 7/1/22 | | | | | 42,455 | | |
| | | 40,000 | | | | AA- | | | 5.000% due 7/1/24 | | | | | 46,309 | | |
| | | 35,000 | | | | A- | | | 5.000% due 7/1/26 | | | | | 38,036 | | |
| | | 135,000 | | | | BBB | | | 5.000% due 10/1/26(f) | | | | | 155,096 | | |
| | | 145,000 | | | | BBB | | | 5.000% due 10/1/27(f) | | | | | 165,484 | | |
| | | 60,000 | | | | BBB | | | 5.000% due 10/1/28(f) | | | | | 68,059 | | |
| | | 70,000 | | | | AA- | | | 5.000% due 7/1/30 | | | | | 82,999 | | |
| | | 210,000 | | | | BBB | | | 5.000% due 10/1/30(f) | | | | | 234,919 | | |
| | | 25,000 | | | | BBB | | | 4.000% due 10/1/38(f) | | | | | 24,784 | | |
| | | 70,000 | | | | A2(b) | | | Series A, 5.000% due 10/1/43 | | | | | 75,391 | | |
| | | | | | | | | | New Hampshire State Turnpike System, Revenue Bonds: | | | |||||
| | | 65,000 | | | | AA- | | | Series B, 5.000% due 2/1/22 | | | | | 70,902 | | |
| | | 65,000 | | | | AA- | | | Series B, 5.000% due 2/1/23 | | | | | 70,825 | | |
| | | 50,000 | | | | AA- | | | Series B, 5.000% due 2/1/24 | | | | | 54,450 | | |
| | | | | | | | | | Total New Hampshire | | | | | 2,747,645 | | |
| New Jersey – 1.4% | | |||||||||||||||
| | | | | | | | | | Camden County Improvement Authority, Revenue Bonds: | | | |||||
| | | 60,000 | | | | BBB+ | | | 5.000% due 2/15/24 | | | | | 67,628 | | |
| | | 30,000 | | | | BBB+ | | | 5.000% due 2/15/25 | | | | | 33,698 | | |
| | | | | | | | | | City of Bayonne NJ, GO: | | | |||||
| | | 45,000 | | | | AA | | | 5.000% due 7/1/31 | | | | | 50,961 | | |
| | | 30,000 | | | | AA | | | 5.000% due 7/1/32 | | | | | 33,836 | | |
| | | 30,000 | | | | AA | | | 5.000% due 7/1/33 | | | | | 33,646 | | |
| | | | | | | | | | New Jersey Economic Development Authority, Revenue Bonds: | | | |||||
| | | 30,000 | | | | AA | | | AGM, 5.000% due 6/1/25 | | | | | 34,434 | | |
| | | 40,000 | | | | AA | | | AGM, 5.000% due 6/1/27 | | | | | 47,038 | | |
| | | 60,000 | | | | AA | | | AGM, 5.000% due 6/1/28 | | | | | 70,144 | | |
| | | 45,000 | | | | AA | | | AGM, 5.000% due 6/1/29 | | | | | 52,219 | | |
| | | 40,000 | | | | BBB+ | | | 5.000% due 3/1/25 | | | | | 43,241 | | |
| | | 185,000 | | | | Ba1(b) | | | 5.000% due 10/1/37(d) | | | | | 197,947 | | |
| | | 125,000 | | | | BBB+ | | | Series I, 5.500% due 9/1/19 | | | | | 127,321 | | |
| | | 220,000 | | | | BBB+ | | | Series II, 5.000% due 3/1/21 | | | | | 231,279 | | |
| | | 270,000 | | | | BBB+ | | | Series NN, 5.000% due 3/1/23 | | | | | 293,968 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| New Jersey – (continued) | | |||||||||||||||
| | $ | 370,000 | | | | BBB+ | | | Series NN, 5.000% due 3/1/24 | | | | $ | 401,106 | | |
| | | 580,000 | | | | BBB+ | | | Series XX, 5.000% due 6/15/26 | | | | | 647,674 | | |
| | | 55,000 | | | | Baa1(b) | | | New Jersey Educational Facilities Authority, Revenue Bonds, Series A, 5.000% due 7/1/29 | | | | | 62,825 | | |
| | | | | | | | | | New Jersey Health Care Facilities Financing Authority, Revenue Bonds: | | | |||||
| | | 10,000 | | | | BBB | | | 5.000% due 7/1/21 | | | | | 10,639 | | |
| | | 25,000 | | | | BBB | | | 5.000% due 7/1/22 | | | | | 27,283 | | |
| | | 90,000 | | | | BBB | | | 5.000% due 7/1/23 | | | | | 100,137 | | |
| | | 25,000 | | | | BBB | | | 5.000% due 7/1/24 | | | | | 28,265 | | |
| | | 25,000 | | | | BBB | | | 5.000% due 7/1/25 | | | | | 28,654 | | |
| | | 10,000 | | | | BBB | | | 5.000% due 7/1/26 | | | | | 11,580 | | |
| | | 15,000 | | | | BBB | | | 5.000% due 7/1/27 | | | | | 17,269 | | |
| | | 75,000 | | | | BBB | | | 5.000% due 7/1/28 | | | | | 85,766 | | |
| | | 250,000 | | | | BBB- | | | 5.000% due 7/1/41 | | | | | 266,220 | | |
| | | 15,000 | | | | AA | | | Series A, 5.000% due 7/1/28 | | | | | 17,786 | | |
| | | 45,000 | | | | AA | | | Series A, 5.000% due 7/1/33 | | | | | 51,740 | | |
| | | | | | | | | | New Jersey Higher Education Student Assistance Authority, Revenue Bonds: | | | |||||
| | | 40,000 | | | | AA | | | Series 1A, 5.000% due 12/1/22(d) | | | | | 43,794 | | |
| | | 100,000 | | | | AA | | | Series 1A, 5.000% due 12/1/24(d) | | | | | 113,282 | | |
| | | 40,000 | | | | AA | | | Series 1B, 5.000% due 12/1/21(d) | | | | | 42,896 | | |
| | | | | | | | | | New Jersey Transportation Trust Fund Authority, Revenue Bonds: | | | |||||
| | | 5,000,000 | | | | A+ | | | 5.000% due 6/15/24 | | | | | 5,609,150 | | |
| | | 435,000 | | | | A+ | | | 5.000% due 6/15/27 | | | | | 495,291 | | |
| | | 215,000 | | | | BBB+ | | | Series AA, 5.000% due 6/15/23 | | | | | 232,108 | | |
| | | 345,000 | | | | BBB+ | | | Series AA, 5.000% due 6/15/24 | | | | | 371,192 | | |
| | | 360,000 | | | | BBB+ | | | Series AA, 5.000% due 6/15/25 | | | | | 399,078 | | |
| | | 215,000 | | | | BBB+ | | | Series AA, 5.000% due 6/15/26 | | | | | 236,945 | | |
| | | 90,000 | | | | BBB+ | | | Series B4, 5.250% due 12/15/19 | | | | | 92,336 | | |
| | | | | | | | | | New Jersey Turnpike Authority, Revenue Bonds: | | | |||||
| | | 60,000 | | | | A+ | | | Series C1, 2.096% (1-Month USD-LIBOR) due 1/1/21(a) | | | | | 60,168 | | |
| | | 555,000 | | | | A+ | | | Series C5, 2.216% (1-Month USD-LIBOR) due 1/1/28(a) | | | | | 556,138 | | |
| | | | | | | | | | State of New Jersey, COP: | | | |||||
| | | 110,000 | | | | BBB+ | | | Series A, Prerefunded 6/15/19 @ 100, 5.250% due 6/15/20(c) | | | | | 111,129 | | |
| | | 130,000 | | | | BBB+ | | | Series A, Prerefunded 6/15/19 @ 100, 5.250% due 6/15/21(c) | | | | | 131,334 | | |
| | | 305,000 | | | | BBB+ | | | Series A, Prerefunded 6/15/19 @ 100, 5.250% due 6/15/22(c) | | | | | 308,129 | | |
| | | 110,000 | | | | A- | | | State of New Jersey, GO, Series Q, 5.000% due 8/15/19 | | | | | 111,659 | | |
| | | | | | | | | | Total New Jersey | | | | | 11,988,933 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| New Mexico – 0.0% | | |||||||||||||||
| | $ | 340,000 | | | | A- | | | City of Farmington NM, Revenue Bonds, Series A, 1.875% due 4/1/29(a) | | | | $ | 337,300 | | |
| New York – 11.3% | | |||||||||||||||
| | | | | | | | | | City of New York NY, GO: | | | |||||
| | | 190,000 | | | | AA | | | Series A, 5.000% due 8/1/22 | | | | | 210,803 | | |
| | | 2,035,000 | | | | AA | | | Series B1, 5.000% due 12/1/38 | | | | | 2,315,403 | | |
| | | 90,000 | | | | AA | | | Series C, 5.000% due 8/1/27 | | | | | 105,232 | | |
| | | 5,000,000 | | | | AA | | | Series D1, 5.000% due 12/1/34 | | | | | 5,936,100 | | |
| | | 5,000,000 | | | | AA | | | Series D4, 1.730% due 12/1/47(a) | | | | | 5,000,000 | | |
| | | 1,000,000 | | | | AA | | | Series F1, 5.000% due 4/1/43 | | | | | 1,137,430 | | |
| | | 2,825,000 | | | | AA+ | | | Series F4, 1.720% due 6/1/44(a) | | | | | 2,825,000 | | |
| | | 90,000 | | | | AA | | | Series J, 5.000% due 8/1/22 | | | | | 99,854 | | |
| | | 1,925,000 | | | | AA | | | County of Nassau NY, GO, Series A, AGM, 5.000% due 4/1/32 | | | | | 2,270,018 | | |
| | | | | | | | | | Dutchess County Local Development Corp., Revenue Bonds: | | | |||||
| | | 30,000 | | | | A- | | | Series A, 5.750% due 7/1/40 | | | | | 31,676 | | |
| | | 30,000 | | | | AA | | | Series A, AGM, 5.000% due 7/1/20 | | | | | 31,303 | | |
| | | | | | | | | | Hudson Yards Infrastructure Corp., Revenue Bonds: | | | |||||
| | | 115,000 | | | | A+ | | | Series A, 5.000% due 2/15/32 | | | | | 134,529 | | |
| | | 215,000 | | | | A+ | | | Series A, 5.000% due 2/15/35 | | | | | 247,616 | | |
| | | | | | | | | | Long Island Power Authority, Revenue Bonds: | | | |||||
| | | 175,000 | | | | A- | | | Series A, Prerefunded 5/1/19 @ 100, 6.000% due 5/1/33(c) | | | | | 176,241 | | |
| | | 60,000 | | | | A- | | | Series B, 5.000% due 9/1/22 | | | | | 66,723 | | |
| | | 45,000 | | | | A- | | | Series B, 5.000% due 9/1/23 | | | | | 51,351 | | |
| | | 40,000 | | | | A- | | | Series B, 5.000% due 9/1/24 | | | | | 46,699 | | |
| | | | | | | | | | Metropolitan Transportation Authority, Revenue Bonds: | | | |||||
| | | 770,000 | | | | A | | | Series A1, 5.000% due 11/15/45(a) | | | | | 806,228 | | |
| | | 230,000 | | | | A | | | Series B, NPFG, 5.250% due 11/15/19 | | | | | 235,711 | | |
| | | 3,765,000 | | | | SP-1 | | | Series B1A, 5.000% due 5/15/20 | | | | | 3,901,519 | | |
| | | 2,000,000 | | | | SP-1 | | | Series B1D, 5.000% due 5/15/20 | | | | | 2,072,520 | | |
| | | 2,735,000 | | | | SP-1 | | | Series B2D, 5.000% due 5/15/21 | | | | | 2,909,247 | | |
| | | 1,000,000 | | | | SP-1 | | | Series C2, 5.000% due 9/1/21 | | | | | 1,070,520 | | |
| | | 290,000 | | | | A | | | Series C2, zero coupon, due 11/15/33 | | | | | 172,335 | | |
| | | | | | | | | | Monroe County Industrial Development Agency, Revenue Bonds: | | | |||||
| | | 5,000,000 | | | | AA | | | 5.000% due 5/1/31 | | | | | 6,057,400 | | |
| | | 3,000,000 | | | | AA | | | 5.000% due 5/1/33 | | | | | 3,591,600 | | |
| | | | | | | | | | MTA Hudson Rail Yards Trust Obligations, Revenue Bonds: | | | |||||
| | | 370,000 | | | | A2(b) | | | Series A, 5.000% due 11/15/51 | | | | | 391,782 | | |
| | | 860,000 | | | | A2(b) | | | Series A, 5.000% due 11/15/56 | | | | | 933,083 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| New York – (continued) | | |||||||||||||||
| | $ | 3,000,000 | | | | AA | | | New York City Transitional Finance Authority Building Aid Revenue, Revenue Bonds, Series S1, 5.000% due 7/15/29 | | | | $ | 3,600,600 | | |
| | | | | | | | | | New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds: | | | |||||
| | | 770,000 | | | | AAA | | | 5.000% due 11/1/20 | | | | | 787,933 | | |
| | | 305,000 | | | | NR | | | Prerefunded 11/1/19 @ 100, 5.000% due 11/1/20(c) | | | | | 311,838 | | |
| | | 160,000 | | | | AAA | | | Series A, 5.000% due 11/1/21 | | | | | 174,275 | | |
| | | 2,000,000 | | | | AAA | | | Series A3, 4.000% due 8/1/42 | | | | | 2,074,960 | | |
| | | 145,000 | | | | AAA | | | Series B, 4.000% due 2/1/21 | | | | | 151,457 | | |
| | | 100,000 | | | | AAA | | | Series B, 5.000% due 2/1/21 | | | | | 106,325 | | |
| | | 275,000 | | | | AAA | | | Series C2, 5.000% due 5/1/32 | | | | | 327,011 | | |
| | | | | | | | | | New York City Water & Sewer System, Revenue Bonds: | | | |||||
| | | 1,725,000 | | | | AA+ | | | 5.000% due 6/15/23 | | | | | 1,968,277 | | |
| | | 4,285,000 | | | | AA+ | | | 1.720% due 6/15/50(a) | | | | | 4,285,000 | | |
| | | 5,000,000 | | | | AA+ | | | Series AA, 5.000% due 6/15/32 | | | | | 5,330,750 | | |
| | | 5,000,000 | | | | AAA | | | Series F1, 1.780% due 6/15/33(a) | | | | | 5,000,000 | | |
| | | | | | | | | | New York State Dormitory Authority, Revenue Bonds: | | | |||||
| | | 385,000 | | | | AA | | | 5.000% due 5/15/23 | | | | | 423,900 | | |
| | | 85,000 | | | | AA+ | | | Series A, 5.000% due 2/15/20 | | | | | 87,730 | | |
| | | 145,000 | | | | AA | | | Series A, 5.000% due 7/1/20 | | | | | 146,684 | | |
| | | 355,000 | | | | AA | | | Series A, 5.000% due 7/1/21 | | | | | 358,724 | | |
| | | 30,000 | | | | A- | | | Series A, 5.000% due 7/1/23 | | | | | 33,801 | | |
| | | 70,000 | | | | A- | | | Series A, 5.000% due 7/1/25 | | | | | 81,974 | | |
| | | 4,000,000 | | | | Aa1(b) | | | Series A, 5.250% due 3/15/38 | | | | | 4,756,160 | | |
| | | 75,000 | | | | AA+ | | | Series B, Prerefunded 3/15/19 @ 100, 5.750% due 3/15/36(c) | | | | | 75,097 | | |
| | | 7,000,000 | | | | AA+ | | | Series C, 5.000% due 3/15/33 | | | | | 8,269,310 | | |
| | | 2,150,000 | | | | AAA | | | New York State Environmental Facilities Corp., Revenue Bonds, Series A, 5.000% due 6/15/33 | | | | | 2,587,332 | | |
| | | | | | | | | | New York State Thruway Authority Highway & Bridge Trust Fund, Revenue Bonds: | | | |||||
| | | 235,000 | | | | AA | | | Series A, Prerefunded 4/1/20 @ 100, 5.000% due 4/1/23(c) | | | | | 243,582 | | |
| | | 60,000 | | | | AA | | | Series A1, 5.000% due 4/1/19 | | | | | 60,154 | | |
| | | 65,000 | | | | AA | | | Series A1, 5.000% due 4/1/20 | | | | | 67,374 | | |
| | | 60,000 | | | | AA | | | Series A1, 5.000% due 4/1/21 | | | | | 64,140 | | |
| | | | | | | | | | New York State Urban Development Corp., Revenue Bonds: | | | |||||
| | | 5,000,000 | | | | AA+ | | | Series A, 5.000% due 3/15/20 | | | | | 5,174,600 | | |
| | | 285,000 | | | | AA+ | | | Series A, 5.000% due 3/15/22 | | | | | 306,311 | | |
| | | 80,000 | | | | AA+ | | | Series A, 5.000% due 3/15/32 | | | | | 93,634 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| New York – (continued) | | |||||||||||||||
| | | | | | | | | | New York Transportation Development Corp., Revenue Bonds: | | | |||||
| | $ | 245,000 | | | | Baa3(b) | | | 5.000% due 7/1/41(d) | | | | $ | 260,501 | | |
| | | 395,000 | | | | Baa3(b) | | | 5.250% due 1/1/50(d) | | | | | 421,825 | | |
| | | | | | | | | | Port Authority of New York & New Jersey, Revenue Bonds: | | | |||||
| | | 1,400,000 | | | | AA- | | | 5.000% due 7/15/36 | | | | | 1,648,654 | | |
| | | 5,000,000 | | | | AA- | | | Series 207, 5.000% due 9/15/24(d) | | | | | 5,756,850 | | |
| | | 400,000 | | | | AA+ | | | Sales Tax Asset Receivable Corp., Revenue Bonds, Series A, 4.000% due 10/15/32 | | | | | 435,912 | | |
| | | | | | | | | | Triborough Bridge & Tunnel Authority, Revenue Bonds: | | | |||||
| | | 85,000 | | | | AA- | | | Series B, 5.000% due 11/15/23 | | | | | 97,884 | | |
| | | 115,000 | | | | AA- | | | Series B, 5.000% due 11/15/24 | | | | | 131,983 | | |
| | | | | | | | | | Total New York | | | | | 98,530,465 | | |
| North Carolina – 2.3% | | |||||||||||||||
| | | 100,000 | | | | BBB | | | Nash Health Care Systems, Revenue Bonds, 5.000% due 11/1/41 | | | | | 105,590 | | |
| | | | | | | | | | North Carolina Medical Care Commission, Revenue Bonds: | | | |||||
| | | 175,000 | | | | A | | | 5.000% due 6/1/21 | | | | | 181,788 | | |
| | | 115,000 | | | | A | | | 5.000% due 6/1/22 | | | | | 119,476 | | |
| | | 655,000 | | | | A | | | 2.200% due 12/1/48(a) | | | | | 655,649 | | |
| | | 15,000 | | | | A | | | North Carolina Municipal Power Agency No 1, Revenue Bonds, Series A, 5.000% due 1/1/30 | | | | | 15,034 | | |
| | | | | | | | | | State of North Carolina, Revenue Bonds: | | | |||||
| | | 330,000 | | | | AA | | | 5.000% due 3/1/22 | | | | | 361,505 | | |
| | | 290,000 | | | | AA | | | 5.000% due 3/1/23 | | | | | 326,041 | | |
| | | 6,500,000 | | | | AAA | | | State of North Carolina, GO, Series A, 5.000% due 6/1/26 | | | | | 7,888,660 | | |
| | | 10,000,000 | | | | AAA | | | University of North Carolina at Chapel Hill, Revenue Bonds, Series B, 2.013% (1-Month USD-LIBOR) due 12/1/34(a) | | | | | 10,004,400 | | |
| | | | | | | | | | Total North Carolina | | | | | 19,658,143 | | |
| Ohio – 1.4% | | |||||||||||||||
| | | 1,605,000 | | | | Baa2(b) | | | Akron Bath Copley Joint Township Hospital District, Revenue Bonds, 5.250% due 11/15/46 | | | | | 1,764,970 | | |
| | | | | | | | | | American Municipal Power, Inc., Revenue Bonds: | | | |||||
| | | 45,000 | | | | A | | | 5.000% due 2/15/21 | | | | | 47,823 | | |
| | | 60,000 | | | | A | | | 5.000% due 2/15/22 | | | | | 65,573 | | |
| | | 40,000 | | | | A | | | 5.000% due 2/15/42 | | | | | 42,715 | | |
| | | 65,000 | | | | A | | | Prerefunded 2/15/22 @ 100, 5.000% due 2/15/23(c) | | | | | 71,101 | | |
| | | 60,000 | | | | A | | | Prerefunded 2/15/22 @ 100, 5.000% due 2/15/24(c) | | | | | 65,631 | | |
| | | 10,000 | | | | NR | | | Prerefunded 2/15/22 @ 100, 5.000% due 2/15/42(c) | | | | | 10,939 | | |
| | | 800,000 | | | | A | | | Series A, 2.300% due 2/15/38(a) | | | | | 802,032 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Ohio – (continued) | | |||||||||||||||
| | | | | | | | | | City of Cleveland OH Airport System Revenue, Revenue Bonds: | | | |||||
| | $ | 30,000 | | | | AA | | | Series A, AGM, 5.000% due 1/1/26 | | | | $ | 34,449 | | |
| | | 45,000 | | | | AA | | | Series A, AGM, 5.000% due 1/1/28 | | | | | 51,147 | | |
| | | 65,000 | | | | AA | | | Series A, AGM, 5.000% due 1/1/29 | | | | | 73,767 | | |
| | | 60,000 | | | | AA | | | Series A, AGM, 5.000% due 1/1/30 | | | | | 67,676 | | |
| | | 4,000,000 | | | | AAA | | | City of Columbus OH, GO, Series 2017-1, 5.000% due 4/1/24 | | | | | 4,627,200 | | |
| | | | | | | | | | Cleveland Department of Public Utilities Division of Water, Revenue Bonds: | | | |||||
| | | 35,000 | | | | AA | | | Series A, Prerefunded 1/1/22 @ 100, 5.000% due 1/1/26(c) | | | | | 38,202 | | |
| | | 45,000 | | | | AA | | | Series A, Prerefunded 1/1/22 @ 100, 5.000% due 1/1/27(c) | | | | | 49,117 | | |
| | | 55,000 | | | | AA | | | Columbus City School District, GO, 5.000% due 12/1/32 | | | | | 63,644 | | |
| | | 80,000 | | | | A+ | | | County of Allen OH Hospital Facilities Revenue, Revenue Bonds, Series B, 5.000% due 8/1/47(a) | | | | | 87,601 | | |
| | | | | | | | | | County of Fairfield OH, Revenue Bonds: | | | |||||
| | | 70,000 | | | | Baa3(b) | | | 5.000% due 6/15/25 | | | | | 75,948 | | |
| | | 75,000 | | | | Baa3(b) | | | 5.000% due 6/15/26 | | | | | 80,979 | | |
| | | 80,000 | | | | Baa3(b) | | | 5.000% due 6/15/27 | | | | | 85,860 | | |
| | | 85,000 | | | | Baa3(b) | | | 5.000% due 6/15/28 | | | | | 90,747 | | |
| | | | | | | | | | County of Franklin OH, Revenue Bonds: | | | |||||
| | | 60,000 | | | | Aa2(b) | | | 5.000% due 11/1/25 | | | | | 71,223 | | |
| | | 60,000 | | | | Aa2(b) | | | 5.000% due 11/1/26 | | | | | 72,227 | | |
| | | 65,000 | | | | Baa1(b) | | | County of Lake OH, Revenue Bonds, 5.000% due 8/15/27 | | | | | 74,335 | | |
| | | 135,000 | | | | BBB | | | County of Lucas OH, Revenue Bonds, Series A, Prerefunded 11/15/21 @ 100, 6.500% due 11/15/37(c) | | | | | 151,894 | | |
| | | | | | | | | | County of Muskingum OH, Revenue Bonds: | | | |||||
| | | 35,000 | | | | BB+ | | | 5.000% due 2/15/20 | | | | | 35,685 | | |
| | | 170,000 | | | | BB+ | | | 5.000% due 2/15/27 | | | | | 180,101 | | |
| | | 65,000 | | | | A3(b) | | | County of Scioto OH, Revenue Bonds, 5.000% due 2/15/29 | | | | | 74,347 | | |
| | | | | | | | | | County of Wood OH, Revenue Bonds: | | | |||||
| | | 20,000 | | | | Ba2(b) | | | 5.000% due 12/1/32 | | | | | 20,791 | | |
| | | 25,000 | | | | Ba2(b) | | | 5.000% due 12/1/42 | | | | | 25,570 | | |
| | | 140,000 | | | | A | | | Ohio Higher Educational Facility Commission, Revenue Bonds, Series A, 5.250% due 1/15/21 | | | | | 144,192 | | |
| | | | | | | | | | Ohio State Building Authority, Revenue Bonds: | | | |||||
| | | 235,000 | | | | AA | | | Series B, 5.000% due 10/1/21 | | | | | 239,552 | | |
| | | 60,000 | | | | AA | | | Series B, 5.000% due 10/1/22 | | | | | 61,162 | | |
| | | 85,000 | | | | AA | | | Series B, 5.000% due 10/1/23 | | | | | 86,647 | | |
| | | 335,000 | | | | A+ | | | Ohio Turnpike & Infrastructure Commission, Revenue Bonds, Series A2, zero coupon, due 2/15/42 | | | | | 135,963 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Ohio – (continued) | | |||||||||||||||
| | $ | 2,000,000 | | | | AAA | | | Ohio Water Development Authority Water Pollution Control Loan Fund, Revenue Bonds, Series A, 1.780% due 12/1/36(a) | | | | $ | 2,000,000 | | |
| | | | | | | | | | State of Ohio, Revenue Bonds: | | | |||||
| | | 75,000 | | | | AA | | | 5.000% due 1/1/27 | | | | | 90,353 | | |
| | | 145,000 | | | | AA | | | 5.000% due 1/1/29 | | | | | 176,612 | | |
| | | | | | | | | | Total Ohio | | | | | 11,937,775 | | |
| Oklahoma – 0.3% | | |||||||||||||||
| | | 560,000 | | | | AA- | | | Canadian County Educational Facilities Authority, Revenue Bonds, 5.000% due 9/1/26 | | | | | 664,149 | | |
| | | | | | | | | | Grand River Dam Authority, Revenue Bonds: | | | |||||
| | | 35,000 | | | | AA- | | | Series A, 5.000% due 6/1/27 | | | | | 40,110 | | |
| | | 45,000 | | | | AA- | | | Series A, 5.000% due 6/1/28 | | | | | 51,473 | | |
| | | | | | | | | | Oklahoma City Public Property Authority, Revenue Bonds: | | | |||||
| | | 30,000 | | | | A+ | | | 5.000% due 10/1/25 | | | | | 35,353 | | |
| | | 45,000 | | | | A+ | | | 5.000% due 10/1/26 | | | | | 52,758 | | |
| | | 35,000 | | | | A+ | | | 5.000% due 10/1/27 | | | | | 40,988 | | |
| | | | | | | | | | Oklahoma Development Finance Authority, Revenue Bonds: | | | |||||
| | | 90,000 | | | | NR | | | Prerefunded 2/15/22 @ 100, 5.000% due 2/15/23(c) | | | | | 98,447 | | |
| | | 210,000 | | | | NR | | | Prerefunded 2/15/22 @ 100, 5.000% due 2/15/42(c) | | | | | 229,711 | | |
| | | 30,000 | | | | BB+ | | | Series B, 5.000% due 8/15/27 | | | | | 34,791 | | |
| | | 30,000 | | | | BB+ | | | Series B, 5.000% due 8/15/28 | | | | | 35,011 | | |
| | | 10,000 | | | | BB+ | | | Series B, 5.000% due 8/15/29 | | | | | 11,547 | | |
| | | 30,000 | | | | BB+ | | | Series B, 5.000% due 8/15/33 | | | | | 33,370 | | |
| | | | | | | | | | Oklahoma Municipal Power Authority, Revenue Bonds: | | | |||||
| | | 50,000 | | | | A | | | Series A, 5.000% due 1/1/26 | | | | | 57,889 | | |
| | | 175,000 | | | | A | | | Series A, 5.000% due 1/1/27 | | | | | 202,193 | | |
| | | 60,000 | | | | A | | | Series A, 5.000% due 1/1/28 | | | | | 69,181 | | |
| | | 45,000 | | | | A | | | Series A, 5.000% due 1/1/29 | | | | | 51,780 | | |
| | | 115,000 | | | | AA | | | Series A, AGM, 5.000% due 1/1/21 | | | | | 118,151 | | |
| | | 360,000 | | | | AA | | | Series A, AGM, 5.000% due 1/1/22 | | | | | 369,381 | | |
| | | 60,000 | | | | A | | | Series B, 5.000% due 1/1/27 | | | | | 69,323 | | |
| | | | | | | | | | Total Oklahoma | | | | | 2,265,606 | | |
| Oregon – 0.9% | | |||||||||||||||
| | | 20,000 | | | | NR | | | Clackamas County Hospital Facility Authority, Revenue Bonds, 3.000% due 11/15/22 | | | | | 20,017 | | |
| | | 3,800,000 | | | | A+ | | | Oregon State Business Development Commission, Revenue Bonds, Series 232, 2.400% due 12/1/40(a) | | | | | 3,841,838 | | |
| | | 2,675,000 | | | | AA+ | | | Salem-Keizer School District No 24J, GO, 5.000% due 6/15/32 | | | | | 3,216,741 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Oregon – (continued) | | |||||||||||||||
| | $ | 1,035,000 | | | | AA+ | | | State of Oregon, GO, Series A, 5.000% due 5/1/20 | | | | $ | 1,074,837 | | |
| | | 85,000 | | | | Aa1(b) | | | Washington County School District No 1 West Union, GO, 5.000% due 6/15/30 | | | | | 101,757 | | |
| | | | | | | | | | Total Oregon | | | | | 8,255,190 | | |
| Pennsylvania – 1.9% | | |||||||||||||||
| | | | | | | | | | City of Philadelphia PA, GO: | | | |||||
| | | 85,000 | | | | A | | | Series B, 5.000% due 8/1/27 | | | | | 97,823 | | |
| | | 300,000 | | | | A | | | Series B, 5.000% due 8/1/29 | | | | | 342,201 | | |
| | | 320,000 | | | | A | | | Series B, 5.000% due 8/1/30 | | | | | 363,799 | | |
| | | 335,000 | | | | A | | | Series B, 5.000% due 8/1/31 | | | | | 379,796 | | |
| | | | | | | | | | City of Philadelphia PA Airport Revenue, Revenue Bonds: | | | |||||
| | | 50,000 | | | | A | | | Series B, 5.000% due 7/1/30(d) | | | | | 57,762 | | |
| | | 70,000 | | | | A | | | Series B, 5.000% due 7/1/31(d) | | | | | 80,335 | | |
| | | | | | | | | | Commonwealth of Pennsylvania, GO: | | | |||||
| | | 60,000 | | | | A+ | | | 5.000% due 7/1/21 | | | | | 64,398 | | |
| | | 3,070,000 | | | | A+ | | | 5.000% due 1/15/24 | | | | | 3,512,602 | | |
| | | 290,000 | | | | A+ | | | 5.000% due 10/15/27 | | | | | 324,638 | | |
| | | 810,000 | | | | A+ | | | 5.000% due 9/15/29 | | | | | 945,950 | | |
| | | 110,000 | | | | A+ | | | 5.000% due 3/15/31 | | | | | 125,235 | | |
| | | 3,880,000 | | | | AA- | | | County of Allegheny PA, GO, Series C 77, 4.000% due 11/1/38 | | | | | 4,031,786 | | |
| | | 220,000 | | | | NR | | | Erie County Hospital Authority, Revenue Bonds, Series A, Prerefunded 7/1/20 @ 100, 7.000% due 7/1/27(c) | | | | | 235,085 | | |
| | | | | | | | | | Lehigh County Industrial Development Authority, Revenue Bonds: | | | |||||
| | | 165,000 | | | | A | | | 1.800% due 2/15/27(a) | | | | | 161,360 | | |
| | | 1,125,000 | | | | A | | | Series A, 1.800% due 9/1/29(a) | | | | | 1,099,845 | | |
| | | 95,000 | | | | A+ | | | Monroeville Finance Authority, Revenue Bonds, 5.000% due 2/15/26 | | | | | 112,158 | | |
| | | | | | | | | | Montgomery County Higher Education & Health Authority, Revenue Bonds: | | | |||||
| | | 10,000 | | | | BBB | | | Series A, 5.000% due 10/1/23(f) | | | | | 10,917 | | |
| | | 40,000 | | | | BBB | | | Series A, 5.000% due 10/1/28(f) | | | | | 44,400 | | |
| | | 45,000 | | | | BBB | | | Series A, 5.000% due 10/1/29(f) | | | | | 49,545 | | |
| | | 140,000 | | | | BBB | | | Series A, 5.000% due 10/1/32(f) | | | | | 150,926 | | |
| | | 225,000 | | | | BBB | | | Series A, 5.000% due 10/1/36(f) | | | | | 239,258 | | |
| | | 105,000 | | | | BBB | | | Series A, 5.000% due 10/1/40(f) | | | | | 110,077 | | |
| | | 115,000 | | | | A+ | | | Series A, AMBAC, 6.000% due 6/1/22 | | | | | 127,005 | | |
| | | | | | | | | | Northampton County General Purpose Authority, Revenue Bonds: | | | |||||
| | | 1,000,000 | | | | A+ | | | 5.000% due 11/1/27 | | | | | 1,220,080 | | |
| | | 75,000 | | | | A- | | | 4.000% due 8/15/48 | | | | | 74,132 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Pennsylvania – (continued) | | |||||||||||||||
| | | | | | | | | | Pennsylvania Economic Development Financing Authority, Revenue Bonds: | | | |||||
| | $ | 90,000 | | | | A | | | 5.000% due 3/1/21 | | | | $ | 94,632 | | |
| | | 60,000 | | | | A | | | 5.000% due 3/1/22 | | | | | 64,473 | | |
| | | 900,000 | | | | A- | | | 2.350% due 8/1/45(a)(d) | | | | | 900,063 | | |
| | | 165,000 | | | | A- | | | Series A, 1.700% due 8/1/37(a)(d) | | | | | 163,587 | | |
| | | | | | | | | | Pennsylvania Higher Educational Facilities Authority, Revenue Bonds: | | | |||||
| | | 35,000 | | | | AA | | | Series A, 5.000% due 8/15/27 | | | | | 42,702 | | |
| | | 35,000 | | | | AA | | | Series A, 5.000% due 8/15/28 | | | | | 42,008 | | |
| | | 60,000 | | | | AA | | | Series A, 5.000% due 8/15/30 | | | | | 70,709 | | |
| | | 60,000 | | | | AA | | | Series A, Prerefunded 8/15/19 @ 100, 5.250% due 8/15/21(c) | | | | | 60,974 | | |
| | | | | | | | | | Pennsylvania Turnpike Commission, Revenue Bonds: | | | |||||
| | | 15,000 | | | | A1(b) | | | Series A1, 5.000% due 12/1/22 | | | | | 16,719 | | |
| | | 15,000 | | | | A1(b) | | | Series A1, 5.000% due 12/1/23 | | | | | 17,116 | | |
| | | 45,000 | | | | A1(b) | | | Series A1, 5.000% due 12/1/29 | | | | | 53,435 | | |
| | | 30,000 | | | | A1(b) | | | Series A1, 5.000% due 12/1/34 | | | | | 34,380 | | |
| | | 35,000 | | | | A | | | Series A2, 5.000% due 12/1/28 | | | | | 41,881 | | |
| | | 35,000 | | | | A | | | Series A2, 5.000% due 12/1/33 | | | | | 40,093 | | |
| | | | | | | | | | Philadelphia Gas Works Co., Revenue Bonds: | | | |||||
| | | 30,000 | | | | A | | | 5.000% due 8/1/23 | | | | | 33,743 | | |
| | | 20,000 | | | | A | | | 5.000% due 8/1/24 | | | | | 22,929 | | |
| | | 25,000 | | | | A | | | 5.000% due 8/1/25 | | | | | 29,078 | | |
| | | | | | | | | | Pittsburgh School District, GO: | | | |||||
| | | 45,000 | | | | AA | | | Series A, AGM, 5.000% due 9/1/19 | | | | | 45,746 | | |
| | | 30,000 | | | | AA | | | Series A, AGM, 5.000% due 9/1/20 | | | | | 31,470 | | |
| | | | | | | | | | School District of Philadelphia, GO: | | | |||||
| | | 405,000 | | | | NR | | | Series C, 5.000% due 9/1/20 | | | | | 422,464 | | |
| | | 175,000 | | | | NR | | | Series C, 5.000% due 9/1/21 | | | | | 182,054 | | |
| | | | | | | | | | State Public School Building Authority, Revenue Bonds: | | | |||||
| | | 180,000 | | | | AA | | | AGM, 5.000% due 12/1/28 | | | | | 210,497 | | |
| | | 130,000 | | | | AA | | | AGM, 5.000% due 12/1/33 | | | | | 147,308 | | |
| | | 40,000 | | | | NR | | | 5.000% due 6/1/26 | | | | | 45,639 | | |
| | | | | | | | | | Total Pennsylvania | | | | | 16,774,813 | | |
| Rhode Island – 0.4% | | |||||||||||||||
| | | | | | | | | | Rhode Island Health & Educational Building Corp., Revenue Bonds: | | | |||||
| | | 240,000 | | | | AA | | | AGM, 5.000% due 5/15/25 | | | | | 279,175 | | |
| | | 195,000 | | | | BB- | | | 5.000% due 9/1/31 | | | | | 210,990 | | |
| | | 165,000 | | | | BBB+ | | | 5.000% due 5/15/39 | | | | | 178,296 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Rhode Island – (continued) | | |||||||||||||||
| | $ | 2,000,000 | | | | AA+ | | | Series A, 5.000% due 9/1/29 | | | | $ | 2,439,780 | | |
| | | 105,000 | | | | AA | | | Rhode Island Student Loan Authority, Revenue Bonds, Series A, 3.500% due 12/1/34(d) | | | | | 106,248 | | |
| | | | | | | | | | Tobacco Settlement Financing Corp., Revenue Bonds: | | | |||||
| | | 55,000 | | | | BBB+ | | | Series A, 5.000% due 6/1/27 | | | | | 60,362 | | |
| | | 70,000 | | | | BBB | | | Series A, 5.000% due 6/1/28 | | | | | 75,879 | | |
| | | | | | | | | | Total Rhode Island | | | | | 3,350,730 | | |
| South Carolina – 3.1% | | |||||||||||||||
| | | | | | | | | | Beaufort-Jasper Water & Sewer Authority, Revenue Bonds: | | | |||||
| | | 30,000 | | | | AA | | | Series B, 5.000% due 3/1/22 | | | | | 32,910 | | |
| | | 30,000 | | | | AA | | | Series B, 5.000% due 3/1/24 | | | | | 34,639 | | |
| | | 30,000 | | | | AA | | | Series B, 5.000% due 3/1/25 | | | | | 35,358 | | |
| | | | | | | | | | County of Charleston SC, GO: | | | |||||
| | | 4,385,000 | | | | AAA | | | 5.000% due 11/1/22 | | | | | 4,908,394 | | |
| | | 2,500,000 | | | | AAA | | | Series C, 5.000% due 11/1/27 | | | | | 3,096,900 | | |
| | | 13,000,000 | | | | Aa2(b) | | | Patriots Energy Group Financing Agency, Revenue Bonds, Series A, 4.000% due 10/1/48(a) | | | | | 13,899,080 | | |
| | | | | | | | | | Scago Educational Facilities Corp. for Colleton School District, Revenue Bonds: | | | |||||
| | | 115,000 | | | | A- | | | 5.000% due 12/1/27 | | | | | 132,080 | | |
| | | 95,000 | | | | A- | | | 5.000% due 12/1/29 | | | | | 108,056 | | |
| | | | | | | | | | South Carolina Jobs-Economic Development Authority, Revenue Bonds: | | | |||||
| | | 200,000 | | | | A+ | | | Prerefunded 11/1/22 @ 100, 5.000% due 11/1/28(c) | | | | | 222,106 | | |
| | | 65,000 | | | | A+ | | | 5.000% due 2/1/22 | | | | | 70,517 | | |
| | | 30,000 | | | | A+ | | | 5.000% due 2/1/24 | | | | | 33,968 | | |
| | | 50,000 | | | | A+ | | | 5.000% due 2/1/25 | | | | | 57,647 | | |
| | | 50,000 | | | | A+ | | | 5.000% due 2/1/26 | | | | | 58,504 | | |
| | | | | | | | | | South Carolina Ports Authority, Revenue Bonds: | | | |||||
| | | 65,000 | | | | A+ | | | 5.000% due 7/1/28(d) | | | | | 78,399 | | |
| | | 140,000 | | | | A+ | | | 5.000% due 7/1/30(d) | | | | | 165,774 | | |
| | | | | | | | | | South Carolina Public Service Authority, Revenue Bonds: | | | |||||
| | | 2,080,000 | | | | A+ | | | Series A, 5.000% due 12/1/49 | | | | | 2,223,416 | | |
| | | 355,000 | | | | A+ | | | Series A, 5.000% due 12/1/50 | | | | | 383,113 | | |
| | | 515,000 | | | | A+ | | | Series A, 5.500% due 12/1/54 | | | | | 561,427 | | |
| | | 185,000 | | | | A+ | | | Series B, 5.000% due 12/1/35 | | | | | 207,681 | | |
| | | 275,000 | | | | A+ | | | Series B, 5.000% due 12/1/36 | | | | | 307,464 | | |
| | | 115,000 | | | | A+ | | | Series C, 5.000% due 12/1/25 | | | | | 131,001 | | |
| | | 115,000 | | | | A+ | | | Series C, 5.000% due 12/1/26 | | | | | 130,323 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| South Carolina – (continued) | | |||||||||||||||
| | $ | 90,000 | | | | A+ | | | Series C, 5.000% due 12/1/27 | | | | $ | 101,544 | | |
| | | 105,000 | | | | A+ | | | Series C, 5.000% due 12/1/46 | | | | | 112,969 | | |
| | | 190,000 | | | | A+ | | | Series E, 5.500% due 12/1/53 | | | | | 205,595 | | |
| | | 50,000 | | | | A1(b) | | | South Carolina Transportation Infrastructure Bank, Revenue Bonds, Series A, 5.000% due 10/1/25 | | | | | 59,293 | | |
| | | | | | | | | | Total South Carolina | | | | | 27,358,158 | | |
| South Dakota – 0.0% | | |||||||||||||||
| | | | | | | | | | South Dakota Health & Educational Facilities Authority, Revenue Bonds: | | | |||||
| | | 30,000 | | | | AA- | | | 5.000% due 7/1/23 | | | | | 33,868 | | |
| | | 15,000 | | | | AA- | | | 5.000% due 7/1/24 | | | | | 17,300 | | |
| | | 10,000 | | | | AA- | | | 5.000% due 7/1/27 | | | | | 12,002 | | |
| | | 50,000 | | | | AA- | | | 5.000% due 7/1/33 | | | | | 57,120 | | |
| | | 40,000 | | | | AA- | | | 5.000% due 7/1/35 | | | | | 45,241 | | |
| | | 35,000 | | | | A+ | | | Series B, 5.000% due 11/1/24 | | | | | 40,537 | | |
| | | 35,000 | | | | A+ | | | Series B, 5.000% due 11/1/25 | | | | | 40,354 | | |
| | | 5,000 | | | | A+ | | | Series B, 5.000% due 11/1/26 | | | | | 5,737 | | |
| | | | | | | | | | Total South Dakota | | | | | 252,159 | | |
| Tennessee – 1.1% | | |||||||||||||||
| | | 1,000,000 | | | | AA+ | | | County of Sumner TN, GO, 5.000% due 6/1/22 | | | | | 1,071,660 | | |
| | | | | | | | | | Greeneville Health & Educational Facilities Board, Revenue Bonds: | | | |||||
| | | 30,000 | | | | A- | | | Series A, 5.000% due 7/1/29 | | | | | 35,532 | | |
| | | 35,000 | | | | A- | | | Series A, 5.000% due 7/1/30 | | | | | 41,035 | | |
| | | 240,000 | | | | A- | | | Johnson City Health & Educational Facilities Board, Revenue Bonds, Prerefunded 7/1/20 @ 100, 6.500% due 7/1/38(c) | | | | | 255,024 | | |
| | | | | | | | | | Knox County Health Educational & Housing Facility Board, Revenue Bonds: | | | |||||
| | | 35,000 | | | | BBB | | | 5.000% due 9/1/22 | | | | | 37,869 | | |
| | | 30,000 | | | | BBB | | | 5.000% due 4/1/24 | | | | | 33,301 | | |
| | | 30,000 | | | | BBB | | | 5.000% due 9/1/24 | | | | | 33,508 | | |
| | | 40,000 | | | | BBB | | | 5.000% due 4/1/25 | | | | | 44,972 | | |
| | | 145,000 | | | | A | | | Memphis-Shelby County Airport Authority, Revenue Bonds, Series B, 5.625% due 7/1/20(d) | | | | | 151,972 | | |
| | | 6,240,000 | | | | Aa2(b) | | | Tennergy Corp., Revenue Bonds, Series A, 5.000% due 2/1/50(a) | | | | | 7,035,101 | | |
| | | | | | | | | | Tennessee Energy Acquisition Corp., Revenue Bonds: | | | |||||
| | | 675,000 | | | | A3(b) | | | 4.000% due 11/1/49(a) | | | | | 714,420 | | |
| | | 350,000 | | | | A3(b) | | | Series A, 4.000% due 5/1/48(a) | | | | | 366,306 | | |
| | | | | | | | | | Total Tennessee | | | | | 9,820,700 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – 13.9% | | |||||||||||||||
| | $ | 1,895,000 | | | | AAA | | | Alamo Community College District, GO, 5.000% due 8/15/34 | | | | $ | 2,213,587 | | |
| | | 40,000 | | | | AA- | | | Austin Community College District, Revenue Bonds, AMBAC, zero coupon, due 2/1/22 | | | | | 37,781 | | |
| | | 2,525,000 | | | | Aa3(b) | | | Brownsville Independent School District, GO, 4.000% due 8/15/22 | | | | | 2,712,355 | | |
| | | | | | | | | | Central Texas Regional Mobility Authority, Revenue Bonds: | | | |||||
| | | 70,000 | | | | A- | | | 5.000% due 1/1/31 | | | | | 79,526 | | |
| | | 145,000 | | | | A- | | | 5.000% due 1/1/32 | | | | | 163,939 | | |
| | | 95,000 | | | | A- | | | 5.000% due 1/1/35 | | | | | 106,110 | | |
| | | 45,000 | | | | A- | | | 5.000% due 1/1/36 | | | | | 50,093 | | |
| | | 35,000 | | | | A- | | | Series A, 5.000% due 1/1/31 | | | | | 39,487 | | |
| | | 30,000 | | | | A- | | | Series A, 5.000% due 1/1/32 | | | | | 33,693 | | |
| | | 60,000 | | | | A- | | | Series A, 5.000% due 1/1/34 | | | | | 66,827 | | |
| | | 160,000 | | | | A- | | | Series A, 5.000% due 1/1/40 | | | | | 175,210 | | |
| | | 510,000 | | | | A- | | | Central Texas Turnpike System, Revenue Bonds, Series A, 5.000% due 8/15/42(a) | | | | | 526,407 | | |
| | | 90,000 | | | | AA | | | City of Arlington TX, Special Tax, Series C, 5.000% due 2/15/45 | | | | | 94,086 | | |
| | | 80,000 | | | | A | | | City of Austin TX Airport System Revenue, Revenue Bonds, 5.000% due 11/15/29(d) | | | | | 90,199 | | |
| | | 45,000 | | | | AA | | | City of Austin TX Electric Utility Revenue, Revenue Bonds, Series A, 5.000% due 11/15/23 | | | | | 50,236 | | |
| | | | | | | | | | City of Dallas TX, GO: | | | |||||
| | | 130,000 | | | | AA- | | | 5.000% due 2/15/23 | | | | | 141,565 | | |
| | | 170,000 | | | | AA- | | | 5.000% due 2/15/24 | | | | | 194,954 | | |
| | | 2,060,000 | | | | AA- | | | 5.000% due 2/15/25 | | | | | 2,411,704 | | |
| | | | | | | | | | City of Houston TX, GO: | | | |||||
| | | 60,000 | | | | Aa3(b) | | | Series A, 5.000% due 3/1/23 | | | | | 67,408 | | |
| | | 2,290,000 | | | | Aa3(b) | | | Series A, 5.000% due 3/1/24 | | | | | 2,628,783 | | |
| | | 120,000 | | | | Aa3(b) | | | Series A, 5.000% due 3/1/25 | | | | | 140,318 | | |
| | | | | | | | | | City of Houston TX Airport System Revenue, Revenue Bonds: | | | |||||
| | | 230,000 | | | | A+ | | | Series A, 5.000% due 7/1/20(d) | | | | | 239,465 | | |
| | | 70,000 | | | | A+ | | | Series A, 5.000% due 7/1/23(d) | | | | | 76,581 | | |
| | | 50,000 | | | | A1(b) | | | Series A, 5.000% due 7/1/26(d) | | | | | 59,068 | | |
| | | 60,000 | | | | A1(b) | | | Series A, 5.000% due 7/1/27(d) | | | | | 71,711 | | |
| | | 30,000 | | | | A1(b) | | | Series A, 5.000% due 7/1/28(d) | | | | | 36,240 | | |
| | | 90,000 | | | | A1(b) | | | Series B, 5.000% due 7/1/28 | | | | | 110,824 | | |
| | | 360,000 | | | | A1(b) | | | Series B, 5.000% due 7/1/29 | | | | | 439,636 | | |
| | | 190,000 | | | | A1(b) | | | Series B, 5.000% due 7/1/30 | | | | | 229,495 | | |
| | | 2,000,000 | | | | A1(b) | | | Series D, 5.000% due 7/1/24 | | | | | 2,315,440 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | $ | 1,500,000 | | | | A1(b) | | | Series D, 5.000% due 7/1/25 | | | | $ | 1,770,225 | | |
| | | 1,500,000 | | | | A1(b) | | | Series D, 5.000% due 7/1/26 | | | | | 1,800,030 | | |
| | | | | | | | | | City of Houston TX Combined Utility System Revenue, Revenue Bonds: | | | |||||
| | | 250,000 | | | | Aa2(b) | | | Series B, 4.000% due 11/15/21 | | | | | 264,955 | | |
| | | 70,000 | | | | Aa2(b) | | | Series B, 5.000% due 11/15/33 | | | | | 81,317 | | |
| | | 75,000 | | | | AA | | | Series C, 5.000% due 5/15/28 | | | | | 85,952 | | |
| | | 1,040,000 | | | | AAA | | | City of Irving TX, GO, 5.500% due 8/15/23 | | | | | 1,204,268 | | |
| | | | | | | | | | City of San Antonio TX Electric & Gas Systems Revenue, Revenue Bonds: | | | |||||
| | | 90,000 | | | | AA | | | 5.250% due 2/1/25 | | | | | 107,035 | | |
| | | 45,000 | | | | AA | | | 5.000% due 2/1/29 | | | | | 54,279 | | |
| | | 30,000 | | | | AA | | | 5.000% due 2/1/30 | | | | | 35,963 | | |
| | | 45,000 | | | | AA | | | 5.000% due 2/1/31 | | | | | 53,546 | | |
| | | 35,000 | | | | AA | | | 5.000% due 2/1/33 | | | | | 41,208 | | |
| | | 1,500,000 | | | | AA- | | | 2.750% due 2/1/48(a) | | | | | 1,535,040 | | |
| | | 205,000 | | | | AA- | | | Series B, 2.000% due 2/1/33(a) | | | | | 204,668 | | |
| | | | | | | | | | County of Harris TX, Revenue Bonds: | | | |||||
| | | 30,000 | | | | AA- | | | Series C, 5.000% due 8/15/24 | | | | | 33,066 | | |
| | | 110,000 | | | | AA- | | | Series C, 5.000% due 8/15/25 | | | | | 121,087 | | |
| | | 85,000 | | | | AAA | | | County of Travis TX, GO, Series A, 5.000% due 3/1/24 | | | | | 97,838 | | |
| | | 2,215,000 | | | | AAA | | | County of Williamson TX, GO, 5.000% due 2/15/30 | | | | | 2,634,233 | | |
| | | | | | | | | | Cypress-Fairbanks Independent School District, GO, PSF-GTD: | | | |||||
| | | 145,000 | | | | AAA | | | 5.000% due 2/15/22 | | | | | 158,819 | | |
| | | 145,000 | | | | AAA | | | 5.000% due 2/15/23 | | | | | 163,125 | | |
| | | 725,000 | | | | AAA | | | 5.000% due 2/15/24 | | | | | 835,128 | | |
| | | 620,000 | | | | AAA | | | 5.000% due 2/15/25 | | | | | 729,281 | | |
| | | 105,000 | | | | AAA | | | 5.000% due 2/15/27 | | | | | 124,894 | | |
| | | 18,000,000 | | | | AAA | | | Series B1, 2.125% due 2/15/40(a)(f) | | | | | 18,067,320 | | |
| | | 165,000 | | | | AAA | | | Series B2, 1.400% due 2/15/40(a) | | | | | 164,081 | | |
| | | 180,000 | | | | AAA | | | Series B3, 1.400% due 2/15/44(a) | | | | | 178,997 | | |
| | | 90,000 | | | | AAA | | | Series C, 5.000% due 2/15/44 | | | | | 99,575 | | |
| | | 210,000 | | | | AA+ | | | Dallas Area Rapid Transit, Revenue Bonds, AMBAC, 5.250% due 12/1/29 | | | | | 266,599 | | |
| | | 185,000 | | | | A2(b) | | | Dallas County Utility & Reclamation District, GO, 5.000% due 2/15/24 | | | | | 210,748 | | |
| | | 105,000 | | | | AAA | | | Dallas Independent School District, GO, PSF-GTD, 5.000% due 2/15/36(a) | | | | | 114,341 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | | | | | | | | | Dallas Love Field, Revenue Bonds: | | | |||||
| | $ | 40,000 | | | | A | | | 5.000% due 11/1/30(d) | | | | $ | 45,345 | | |
| | | 90,000 | | | | A | | | 5.000% due 11/1/31(d) | | | | | 101,735 | | |
| | | | | | | | | | Dallas/Fort Worth International Airport, Revenue Bonds: | | | |||||
| | | 30,000 | | | | A+ | | | Series A, 5.000% due 11/1/19 | | | | | 30,659 | | |
| | | 85,000 | | | | A+ | | | Series B, 5.000% due 11/1/26(d) | | | | | 92,833 | | |
| | | 35,000 | | | | A+ | | | Series B, 5.000% due 11/1/27(d) | | | | | 38,122 | | |
| | | 80,000 | | | | A+ | | | Series B, 5.000% due 11/1/28(d) | | | | | 86,903 | | |
| | | 155,000 | | | | A+ | | | Series B, 5.000% due 11/1/30(d) | | | | | 167,585 | | |
| | | 330,000 | | | | A+ | | | Series B, 5.000% due 11/1/31(d) | | | | | 356,196 | | |
| | | 420,000 | | | | A+ | | | Series B, 5.000% due 11/1/32(d) | | | | | 452,579 | | |
| | | 290,000 | | | | A+ | | | Series B, 5.000% due 11/1/33(d) | | | | | 311,970 | | |
| | | 70,000 | | | | A+ | | | Series B, 5.000% due 11/1/34(d) | | | | | 75,177 | | |
| | | 1,500,000 | | | | A+ | | | Series E, 5.000% due 11/1/22(d) | | | | | 1,653,180 | | |
| | | 85,000 | | | | AAA | | | Denton Independent School District, GO, PSF-GTD, zero coupon, due 8/15/25 | | | | | 74,553 | | |
| | | | | | | | | | Fort Bend Independent School District, GO: | | | |||||
| | | 90,000 | | | | AAA | | | Series C, PSF-GTD, 1.350% due 8/1/42(a) | | | | | 89,451 | | |
| | | 165,000 | | | | AAA | | | Series D, PSF-GTD, 1.500% due 8/1/42(a) | | | | | 163,078 | | |
| | | | | | | | | | Fort Worth Independent School District, GO, PSF-GTD: | | | |||||
| | | 80,000 | | | | AAA | | | 5.000% due 2/15/22 | | | | | 87,575 | | |
| | | 105,000 | | | | AAA | | | 5.000% due 2/15/26 | | | | | 125,760 | | |
| | | 75,000 | | | | Aa1(b) | | | Frisco Independent School District, GO, AGM, 5.375% due 8/15/39 | | | | | 76,208 | | |
| | | | | | | | | | Grand Parkway Transportation Corp., Revenue Bonds: | | | |||||
| | | 150,000 | | | | AA+ | | | Series A, 5.000% due 10/1/31 | | | | | 178,789 | | |
| | | 125,000 | | | | AA+ | | | Series A, 5.000% due 10/1/32 | | | | | 148,066 | | |
| | | 190,000 | | | | AA+ | | | Series A, 5.000% due 10/1/33 | | | | | 223,873 | | |
| | | 145,000 | | | | AA+ | | | Series A, 5.000% due 10/1/34 | | | | | 169,997 | | |
| | | 70,000 | | | | BBB | | | Series A, 5.125% due 10/1/43 | | | | | 75,753 | | |
| | | 170,000 | | | | BBB | | | Series A, 5.500% due 4/1/53 | | | | | 187,427 | | |
| | | 70,000 | | | | AA+ | | | Series B, 5.250% due 10/1/51 | | | | | 76,570 | | |
| | | 1,210,000 | | | | AA+ | | | Series B, 5.000% due 10/1/52(a) | | | | | 1,365,304 | | |
| | | 35,000 | | | | AA+ | | | Series B, 5.000% due 4/1/53 | | | | | 37,666 | | |
| | | 940,000 | | | | A | | | Gregg County Health Facilities Development Corp., Revenue Bonds, Series C, Prerefunded 7/1/22 @ 100, 5.000% due 7/1/42(c) | | | | | 1,036,632 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | | | | | | | | | Harris County Flood Control District, Revenue Bonds: | | | |||||
| | $ | 5,000,000 | | | | AAA | | | Series A, Prerefunded 10/1/20 @ 100, 5.000% due 10/1/39(c) | | | | $ | 5,264,100 | | |
| | | 1,000,000 | | | | AAA | | | Series A, Prerefunded 10/1/20 @ 100, 5.000% due 10/1/34(c) | | | | | 1,052,820 | | |
| | | | | | | | | | Houston Independent School District, GO: | | | |||||
| | | 2,000,000 | | | | AAA | | | PSF-GTD, 5.000% due 2/15/36 | | | | | 2,337,260 | | |
| | | 1,000,000 | | | | AAA | | | Series A2, PSF-GTD, 3.000% due 6/1/39(a) | | | | | 1,003,270 | | |
| | | | | | | | | | Irving Hospital Authority, Revenue Bonds: | | | |||||
| | | 15,000 | | | | A+ | | | 5.000% due 10/15/24 | | | | | 17,119 | | |
| | | 20,000 | | | | A+ | | | 5.000% due 10/15/26 | | | | | 23,341 | | |
| | | 15,000 | | | | A+ | | | 5.000% due 10/15/27 | | | | | 17,362 | | |
| | | 20,000 | | | | A+ | | | 5.000% due 10/15/29 | | | | | 22,843 | | |
| | | 30,000 | | | | A+ | | | 5.000% due 10/15/31 | | | | | 33,679 | | |
| | | 40,000 | | | | A+ | | | 5.000% due 10/15/35 | | | | | 43,976 | | |
| | | 30,000 | | | | A+ | | | 5.000% due 10/15/36 | | | | | 32,876 | | |
| | | 35,000 | | | | A+ | | | 5.000% due 10/15/39 | | | | | 37,960 | | |
| | | 45,000 | | | | A+ | | | 5.000% due 10/15/44 | | | | | 48,374 | | |
| | | | | | | | | | Lamar Consolidated Independent School District, GO: | | | |||||
| | | 7,280,000 | | | | AAA | | | Series PSF-GTD, 5.000% due 2/15/31 | | | | | 8,591,710 | | |
| | | 7,050,000 | | | | AAA | | | Series PSF-GTD, 5.000% due 2/15/34 | | | | | 8,203,733 | | |
| | | 1,225,000 | | | | AA+ | | | Lewisville Independent School District, GO, Series B, 5.000% due 8/15/28 | | | | | 1,441,825 | | |
| | | | | | | | | | Lower Colorado River Authority, Revenue Bonds: | | | |||||
| | | 1,135,000 | | | | A | | | 5.000% due 5/15/22 | | | | | 1,212,725 | | |
| | | 135,000 | | | | A | | | 5.000% due 5/15/32 | | | | | 158,194 | | |
| | | 70,000 | | | | A | | | 5.000% due 5/15/34 | | | | | 81,227 | | |
| | | 70,000 | | | | A | | | 5.000% due 5/15/36 | | | | | 80,529 | | |
| | | 400,000 | | | | A | | | Series B, 5.000% due 5/15/21 | | | | | 414,776 | | |
| | | 195,000 | | | | A | | | Series B, 5.000% due 5/15/25 | | | | | 227,075 | | |
| | | 85,000 | | | | A | | | Series B, 5.000% due 5/15/27 | | | | | 98,714 | | |
| | | 85,000 | | | | A | | | Series B, 5.000% due 5/15/28 | | | | | 98,287 | | |
| | | 245,000 | | | | A | | | Series B, 5.000% due 5/15/29 | | | | | 282,228 | | |
| | | 25,000 | | | | A | | | Series D, 5.000% due 5/15/22 | | | | | 27,461 | | |
| | | 20,000 | | | | A | | | Series D, 5.000% due 5/15/23 | | | | | 22,477 | | |
| | | 35,000 | | | | A | | | Series D, 5.000% due 5/15/24 | | | | | 40,037 | | |
| | | 40,000 | | | | A | | | Series D, 5.000% due 5/15/26 | | | | | 46,731 | | |
| | | 2,720,000 | | | | AAA | | | Midlothian Independent School District, GO, Series B, PSF-GTD, 2.500% due 8/1/52(a) | | | | | 2,746,710 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | $ | 40,000 | | | | NR | | | Midway Independent School District, GO, PSF-GTD, zero coupon, due 8/15/19 | | | | $ | 39,695 | | |
| | | 500,000 | | | | BBB+ | | | Mission Economic Development Corp., Revenue Bonds, 2.350% due 1/1/26(a)(d) | | | | | 500,035 | | |
| | | | | | | | | | New Hope Cultural Education Facilities Finance Corp., Revenue Bonds: | | | |||||
| | | 60,000 | | | | Aa2(b) | | | Series A, 5.000% due 8/15/24 | | | | | 69,407 | | |
| | | 70,000 | | | | Aa2(b) | | | Series A, 5.000% due 8/15/25 | | | | | 82,436 | | |
| | | 45,000 | | | | Aa2(b) | | | Series A, 5.000% due 8/15/26 | | | | | 53,714 | | |
| | | 45,000 | | | | Aa2(b) | | | Series A, 5.000% due 8/15/27 | | | | | 54,284 | | |
| | | 70,000 | | | | Aa2(b) | | | Series A, 5.000% due 8/15/30 | | | | | 82,494 | | |
| | | | | | | | | | Newark Higher Education Finance Corp., Revenue Bonds: | | | |||||
| | | 65,000 | | | | A3(b) | | | 5.000% due 4/1/27 | | | | | 74,525 | | |
| | | 40,000 | | | | A3(b) | | | 5.000% due 4/1/28 | | | | | 45,585 | | |
| | | 125,000 | | | | AAA | | | North East Independent School District, GO, Series B, PSF-GTD, 1.420% due 8/1/40(a) | | | | | 122,934 | | |
| | | | | | | | | | North Harris County Regional Water Authority, Revenue Bonds: | | | |||||
| | | 30,000 | | | | AA- | | | 4.000% due 12/15/23 | | | | | 32,243 | | |
| | | 55,000 | | | | AA- | | | 4.000% due 12/15/24 | | | | | 58,955 | | |
| | | | | | | | | | North Texas Tollway Authority, Revenue Bonds: | | | |||||
| | | 50,000 | | | | A+ | | | Series A, 5.000% due 1/1/23 | | | | | 55,969 | | |
| | | 145,000 | | | | A+ | | | Series A, 5.000% due 1/1/24 | | | | | 166,122 | | |
| | | 35,000 | | | | A+ | | | Series A, 5.000% due 1/1/30 | | | | | 40,413 | | |
| | | 40,000 | | | | A+ | | | Series A, 5.000% due 1/1/33 | | | | | 46,117 | | |
| | | 200,000 | | | | A+ | | | Series A, 5.000% due 1/1/39 | | | | | 222,476 | | |
| | | 370,000 | | | | WD(g) | | | Series A, Prerefunded 9/1/21 @ 100, 5.500% due 9/1/41(c) | | | | | 403,970 | | |
| | | 30,000 | | | | WD(g) | | | Series A, Prerefunded 9/1/21 @ 100, 6.000% due 9/1/41(c) | | | | | 33,118 | | |
| | | 290,000 | | | | A+ | | | Series B, 5.000% due 1/1/29 | | | | | 332,157 | | |
| | | 160,000 | | | | A+ | | | Series B, 5.000% due 1/1/30 | | | | | 182,330 | | |
| | | 20,000 | | | | A | | | Series B, 5.000% due 1/1/31 | | | | | 22,869 | | |
| | | 85,000 | | | | A | | | Series B, 5.000% due 1/1/32 | | | | | 98,005 | | |
| | | 685,000 | | | | Aaa(b) | | | Northside Independent School District, GO, PSF-GTD, 2.750% due 8/1/48(a) | | | | | 706,084 | | |
| | | 4,000,000 | | | | AAA | | | Pasadena Independent School District, GO, Series B, PSF-GTD, 3.000% due 2/15/44(a) | | | | | 4,021,960 | | |
| | | | | | | | | | Permanent University Fund – University of Texas System, Revenue Bonds: | | | |||||
| | | 50,000 | | | | Aaa(b) | | | Series B, 5.000% due 7/1/22 | | | | | 55,415 | | |
| | | 50,000 | | | | Aaa(b) | | | Series B, 5.000% due 7/1/29 | | | | | 59,367 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | $ | 50,000 | | | | AAA | | | Rockwall Independent School District, GO, PSF-GTD, zero coupon, due 2/15/25 | | | | $ | 43,988 | | |
| | | 1,195,000 | | | | Aaa(b) | | | San Antonio Independent School District, GO, Series A, PSF-GTD, 5.000% due 8/1/28 | | | | | 1,420,246 | | |
| | | | | | | | | | San Antonio Public Facilities Corp., Revenue Bonds: | | | |||||
| | | 140,000 | | | | AA+ | | | 5.000% due 9/15/23 | | | | | 154,787 | | |
| | | 215,000 | | | | AA+ | | | 5.000% due 9/15/24 | | | | | 237,398 | | |
| | | 270,000 | | | | AA+ | | | 5.000% due 9/15/25 | | | | | 297,740 | | |
| | | | | | | | | | San Antonio Water System, Revenue Bonds: | | | |||||
| | | 175,000 | | | | AA+ | | | 5.000% due 5/15/22 | | | | | 193,085 | | |
| | | 2,000,000 | | | | AA | | | Series A, 5.000% due 5/15/36 | | | | | 2,340,940 | | |
| | | 390,000 | | | | AA | | | Series B, 2.000% due 5/1/44(a) | | | | | 390,059 | | |
| | | | | | | | | | Sherman Independent School District, GO, PSF-GTD: | | | |||||
| | | 2,130,000 | | | | Aaa(b) | | | Series B, 3.000% due 8/1/48(a) | | | | | 2,165,656 | | |
| | | 45,000 | | | | Aaa(b) | | | Series B, Prerefunded 8/1/20 @ 100, 3.000% due 8/1/48(a)(c) | | | | | 45,785 | | |
| | | | | | | | | | Southwest Higher Education Authority, Inc., Revenue Bonds: | | | |||||
| | | 90,000 | | | | AA- | | | 5.000% due 10/1/19 | | | | | 91,723 | | |
| | | 65,000 | | | | AA- | | | Prerefunded 10/1/19 @ 100, 5.000% due 10/1/20(c) | | | | | 66,290 | | |
| | | | | | | | | | State of Texas, GO: | | | |||||
| | | 360,000 | | | | AAA | | | 4.000% due 8/1/21(d) | | | | | 378,252 | | |
| | | 3,500,000 | | | | AAA | | | 5.000% due 8/1/21 | | | | | 3,774,155 | | |
| | | 2,500,000 | | | | AAA | | | 5.000% due 10/1/24 | | | | | 2,890,700 | | |
| | | 150,000 | | | | AAA | | | 5.000% due 8/1/26(d) | | | | | 172,632 | | |
| | | 45,000 | | | | AAA | | | Series A, 5.000% due 8/1/19(d) | | | | | 45,584 | | |
| | | 45,000 | | | | AAA | | | Series A, 5.000% due 8/1/21(d) | | | | | 48,337 | | |
| | | 350,000 | | | | AAA | | | Series B, 5.000% due 8/1/25(d) | | | | | 396,515 | | |
| | | 45,000 | | | | AAA | | | Series C, 5.000% due 8/1/20(d) | | | | | 46,961 | | |
| | | 40,000 | | | | AAA | | | Series C, 5.000% due 8/1/21(d) | | | | | 42,966 | | |
| | | | | | | | | | Tarrant County Cultural Education Facilities Finance Corp., Revenue Bonds: | | | |||||
| | | 165,000 | | | | AA | | | 5.000% due 2/15/25 | | | | | 191,963 | | |
| | | 30,000 | | | | AA- | | | 5.000% due 8/15/25 | | | | | 33,941 | | |
| | | 45,000 | | | | AA- | | | 5.000% due 8/15/26 | | | | | 50,676 | | |
| | | 45,000 | | | | AA- | | | 5.000% due 8/15/28 | | | | | 50,330 | | |
| | | 110,000 | | | | AA- | | | 5.000% due 8/15/33 | | | | | 120,935 | | |
| | | 60,000 | | | | AA | | | 5.000% due 2/15/34 | | | | | 68,392 | | |
| | | 155,000 | | | | A | | | 5.500% due 9/1/43 | | | | | 170,302 | | |
| | | 165,000 | | | | AAA | | | Texas A&M University, Revenue Bonds, Series C, 5.000% due 5/15/23 | | | | | 187,004 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | $ | 460,000 | | | | NR | | | Texas Private Activity Bond Surface Transportation Corp., Revenue Bonds, 7.000% due 12/31/38(d) | | | | $ | 531,553 | | |
| | | 135,000 | | | | Aa2(b) | | | Texas State University System, Revenue Bonds, Series A, 5.000% due 3/15/29 | | | | | 160,681 | | |
| | | | | | | | | | Texas Transportation Commission, Revenue Bonds: | | | |||||
| | | 800,000 | | | | Baa3(b) | | | zero coupon, due 8/1/35 | | | | | 394,264 | | |
| | | 500,000 | | | | Baa3(b) | | | zero coupon, due 8/1/36 | | | | | 233,100 | | |
| | | | | | | | | | Texas Water Development Board, Revenue Bonds: | | | |||||
| | | 125,000 | | | | AAA | | | Series A, 5.000% due 4/15/22 | | | | | 137,556 | | |
| | | 180,000 | | | | AAA | | | Series A, 5.000% due 4/15/25 | | | | | 212,569 | | |
| | | 75,000 | | | | AAA | | | Series A, 5.000% due 10/15/25 | | | | | 89,467 | | |
| | | 125,000 | | | | AAA | | | Series A, 5.000% due 4/15/26 | | | | | 150,384 | | |
| | | 190,000 | | | | AAA | | | Series A, 5.000% due 4/15/29 | | | | | 230,831 | | |
| | | 505,000 | | | | AAA | | | Series A, 5.000% due 4/15/30 | | | | | 608,863 | | |
| | | | | | | | | | Travis County Health Facilities Development Corp., Revenue Bonds: | | | |||||
| | | 2,305,000 | | | | NR | | | Prerefunded 1/1/21 @ 100, 7.000% due 1/1/32(c) | | | | | 2,519,157 | | |
| | | 1,365,000 | | | | NR | | | Prerefunded 1/1/21 @ 100, 7.125% due 1/1/46(c) | | | | | 1,494,880 | | |
| | | 400,000 | | | | AA+ | | | Trinity River Authority LLC Denton Creek Wastewater Treatment System Revenue, Revenue Bonds, 5.000% due 2/1/22 | | | | | 436,796 | | |
| | | | | | | | | | University of Houston, Revenue Bonds: | | | |||||
| | | 10,000 | | | | AA | | | AGM, 5.250% due 2/15/25 | | | | | 10,026 | | |
| | | 190,000 | | | | AA | | | Series A, 5.000% due 2/15/30 | | | | | 221,665 | | |
| | | | | | | | | | University of Texas System, Revenue Bonds: | | | |||||
| | | 1,785,000 | | | | NR | | | Series A, Prerefunded 2/15/22 @ 100, 5.000% due 8/15/27(c) | | | | | 1,952,540 | | |
| | | 90,000 | | | | AAA | | | Series B, 5.000% due 8/15/22 | | | | | 100,057 | | |
| | | 60,000 | | | | AAA | | | Series D, 5.000% due 8/15/20 | | | | | 62,906 | | |
| | | 65,000 | | | | AAA | | | Series D, 5.000% due 8/15/21 | | | | | 70,221 | | |
| | | 70,000 | | | | AAA | | | Series D, 5.000% due 8/15/22 | | | | | 77,823 | | |
| | | 80,000 | | | | AAA | | | Series E, 5.000% due 8/15/22 | | | | | 88,940 | | |
| | | 90,000 | | | | AAA | | | Series J, 5.000% due 8/15/22 | | | | | 100,058 | | |
| | | | | | | | | | Total Texas | | | | | 121,743,109 | | |
| Utah – 0.0% | | |||||||||||||||
| | | | | | | | | | Salt Lake City Corp. Airport Revenue, Revenue Bonds: | | | |||||
| | | 35,000 | | | | A+ | | | Series A, 5.000% due 7/1/26(d) | | | | | 41,245 | | |
| | | 115,000 | | | | A+ | | | Series A, 5.000% due 7/1/28(d) | | | | | 136,133 | | |
| | | 85,000 | | | | A | | | Utah Associated Municipal Power Systems, Revenue Bonds, Series A, Prerefunded 9/1/22 @ 100, 5.000% due 9/1/24(c) | | | | | 94,318 | | |
| | | | | | | | | | Total Utah | | | | | 271,696 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Virginia – 2.5% | | |||||||||||||||
| | $ | 30,000 | | | | BBB | | | City of Chesapeake VA Chesapeake Expressway Toll Road Revenue, Revenue Bonds, Series A, 5.000% due 7/15/22 | | | | $ | 32,516 | | |
| | | 2,635,000 | | | | AAA | | | City of Suffolk VA, GO, Series A, 5.000% due 2/1/27 | | | | | 3,218,336 | | |
| | | 5,000,000 | | | | AAA | | | Commonwealth of Virginia, GO, Series B, 4.000% due 6/1/24 | | | | | 5,477,650 | | |
| | | 3,000,000 | | | | AAA | | | County of Fairfax VA, GO, Series A, 5.000% due 10/1/27 | | | | | 3,675,930 | | |
| | | | | | | | | | Fredericksburg Economic Development Authority, Revenue Bonds: | | | |||||
| | | 40,000 | | | | Baa1(b) | | | 5.000% due 6/15/27 | | | | | 44,863 | | |
| | | 40,000 | | | | Baa1(b) | | | 5.000% due 6/15/29 | | | | | 44,664 | | |
| | | 45,000 | | | | Baa1(b) | | | 5.000% due 6/15/33 | | | | | 49,485 | | |
| | | 3,180,000 | | | | AA | | | Hampton Roads Transportation Accountability Commission, Revenue Bonds, Series A, 5.000% due 7/1/35 | | | | | 3,744,132 | | |
| | | 320,000 | | | | AA | | | Norfolk Economic Development Authority, Revenue Bonds, Series B, 5.000% due 11/1/48(a) | | | | | 388,787 | | |
| | | | | | | | | | Stafford County Economic Development Authority, Revenue Bonds: | | | |||||
| | | 50,000 | | | | Baa1(b) | | | 5.000% due 6/15/32 | | | | | 56,090 | | |
| | | 65,000 | | | | Baa1(b) | | | 5.000% due 6/15/34 | | | | | 72,335 | | |
| | | 20,000 | | | | Baa1(b) | | | 4.000% due 6/15/37 | | | | | 20,198 | | |
| | | | | | | | | | Virginia College Building Authority, Revenue Bonds: | | | |||||
| | | 2,805,000 | | | | AA+ | | | Series A, 5.000% due 9/1/32 | | | | | 3,386,589 | | |
| | | 165,000 | | | | AA+ | | | Series D, 5.000% due 2/1/26 | | | | | 197,955 | | |
| | | 265,000 | | | | AA+ | | | Series E, 5.000% due 2/1/30 | | | | | 322,383 | | |
| | | 305,000 | | | | AA+ | | | Series E, 5.000% due 2/1/31 | | | | | 368,172 | | |
| | | | | | | | | | Virginia Commonwealth Transportation Board, Revenue Bonds: | | | |||||
| | | 185,000 | | | | AA+ | | | Series A, 5.000% due 5/15/29 | | | | | 224,960 | | |
| | | 360,000 | | | | AA+ | | | Series A, 5.000% due 5/15/30 | | | | | 434,441 | | |
| | | 220,000 | | | | BBB | | | Virginia Small Business Financing Authority, Revenue Bonds, 5.000% due 1/1/40(d) | | | | | 229,636 | | |
| | | | | | | | | | Winchester Economic Development Authority, Revenue Bonds: | | | |||||
| | | 60,000 | | | | A+ | | | 5.000% due 1/1/32 | | | | | 68,036 | | |
| | | 75,000 | | | | A+ | | | 5.000% due 1/1/33 | | | | | 84,443 | | |
| | | | | | | | | | Total Virginia | | | | | 22,141,601 | | |
| Washington – 4.0% | | |||||||||||||||
| | | 60,000 | | | | AA | | | Chelan County Public Utility District No 1, Revenue Bonds, Series A, NPFG, zero coupon, due 6/1/24 | | | | | 52,898 | | |
| | | | | | | | | | City of Tacoma WA Electric System Revenue, Revenue Bonds: | | | |||||
| | | 30,000 | | | | AA | | | 5.000% due 1/1/29 | | | | | 35,862 | | |
| | | 35,000 | | | | AA | | | 5.000% due 1/1/36 | | | | | 40,260 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Washington – (continued) | | |||||||||||||||
| | $ | 85,000 | | | | NR | | | Clark County School District No 37 Vancouver, GO, Series C, NPFG, zero coupon, due 12/1/19 | | | | $ | 83,890 | | |
| | | 40,000 | | | | AA | | | County of Spokane WA Wastewater System Revenue, Revenue Bonds, Series A, 5.000% due 12/1/19 | | | | | 40,320 | | |
| | | | | | | | | | Grant County Public Utility District No 2, Revenue Bonds: | | | |||||
| | | 30,000 | | | | AA | | | Series A, 5.000% due 1/1/22 | | | | | 32,701 | | |
| | | 30,000 | | | | AA | | | Series A, 5.000% due 1/1/23 | | | | | 33,136 | | |
| | | 65,000 | | | | AA | | | Series A, 5.000% due 1/1/24 | | | | | 71,507 | | |
| | | 500,000 | | | | AA+ | | | Pierce County School District No 3 Puyallup, GO, 5.000% due 12/1/34 | | | | | 583,590 | | |
| | | | | | | | | | Port of Seattle WA, Revenue Bonds: | | | |||||
| | | 25,000 | | | | A | | | 5.000% due 6/1/23(d) | | | | | 27,865 | | |
| | | 35,000 | | | | A+ | | | 5.000% due 2/1/27 | | | | | 41,264 | | |
| | | 70,000 | | | | A+ | | | 5.000% due 2/1/29 | | | | | 81,668 | | |
| | | 135,000 | | | | AA- | | | Series B, 5.000% due 10/1/29(d) | | | | | 155,419 | | |
| | | | | | | | | | State of Washington, GO: | | | |||||
| | | 2,500,000 | | | | AA+ | | | Series 2010E, Prerefunded 2/1/20 @ 100, 5.000% due 2/1/34(c) | | | | | 2,577,000 | | |
| | | 5,000,000 | | | | AA+ | | | Series 2010E, Prerefunded 2/1/20 @ 100, 5.000% due 2/1/35(c) | | | | | 5,154,000 | | |
| | | 50,000 | | | | AA+ | | | Series 2017A, 5.000% due 8/1/27 | | | | | 60,107 | | |
| | | 8,430,000 | | | | AA+ | | | Series A, 5.000% due 8/1/32 | | | | | 10,082,343 | | |
| | | 5,000,000 | | | | AA+ | | | Series C, 5.000% due 2/1/33 | | | | | 6,011,150 | | |
| | | 50,000 | | | | AA+ | | | Series R2017A, 5.000% due 8/1/28 | | | | | 59,726 | | |
| | | 50,000 | | | | AA+ | | | Series R2017A, 5.000% due 8/1/30 | | | | | 58,938 | | |
| | | 725,000 | | | | AA+ | | | Series R2018D, 5.000% due 8/1/32 | | | | | 854,797 | | |
| | | 640,000 | | | | AA+ | | | Series R2018D, 5.000% due 8/1/33 | | | | | 751,385 | | |
| | | 5,000,000 | | | | AA+ | | | Series R2018D, 5.000% due 8/1/35 | | | | | 5,823,250 | | |
| | | 100,000 | | | | AA+ | | | Series R97, NPFG, zero coupon, due 7/1/19 | | | | | 99,479 | | |
| | | | | | | | | | Tobacco Settlement Authority, Revenue Bonds: | | | |||||
| | | 70,000 | | | | A | | | 5.000% due 6/1/23 | | | | | 77,147 | | |
| | | 100,000 | | | | A | | | 5.000% due 6/1/24 | | | | | 109,956 | | |
| | | | | | | | | | Washington Health Care Facilities Authority, Revenue Bonds: | | | |||||
| | | 5,000 | | | | A | | | 5.000% due 7/1/25 | | | | | 5,788 | | |
| | | 60,000 | | | | A | | | 5.000% due 7/1/26 | | | | | 70,308 | | |
| | | 70,000 | | | | AA- | | | 5.000% due 10/1/27 | | | | | 84,641 | | |
| | | 60,000 | | | | AA- | | | 5.000% due 10/1/28 | | | | | 73,309 | | |
| | | 110,000 | | | | BBB | | | 5.000% due 8/15/28 | | | | | 125,600 | | |
| | | 40,000 | | | | A+ | | | 5.000% due 1/1/29 | | | | | 45,588 | | |
| | | 90,000 | | | | A | | | 5.000% due 7/1/29 | | | | | 106,505 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Washington – (continued) | | |||||||||||||||
| | $ | 65,000 | | | | BBB | | | 5.000% due 8/15/31 | | | | $ | 72,418 | | |
| | | 20,000 | | | | A | | | 5.000% due 7/1/34 | | | | | 22,684 | | |
| | | 700,000 | | | | A | | | 5.000% due 7/1/42 | | | | | 770,203 | | |
| | | 65,000 | | | | NR | | | Prerefunded 7/1/20 @ 100, 5.500% due 7/1/30(c) | | | | | 68,230 | | |
| | | | | | | | | | Washington Higher Education Facilities Authority, Revenue Bonds: | | | |||||
| | | 15,000 | | | | Baa1(b) | | | Series A, 5.000% due 10/1/29 | | | | | 16,930 | | |
| | | 35,000 | | | | Baa1(b) | | | Series A, 5.000% due 10/1/30 | | | | | 39,253 | | |
| | | 40,000 | | | | Baa1(b) | | | Series A, 5.000% due 10/1/31 | | | | | 44,579 | | |
| | | 210,000 | | | | Baa1(b) | | | Series A, 5.000% due 10/1/33 | | | | | 232,195 | | |
| | | | | | | | | | Total Washington | | | | | 34,777,889 | | |
| West Virginia – 2.3% | | |||||||||||||||
| | | | | | | | | | State of West Virginia, GO: | | | |||||
| | | 14,860,000 | | | | AA- | | | Series B, 5.000% due 12/1/34 | | | | | 17,543,270 | | |
| | | 2,000,000 | | | | AA- | | | Series B, 5.000% due 6/1/35 | | | | | 2,354,320 | | |
| | | 190,000 | | | | BBB+ | | | West Virginia Hospital Finance Authority, Revenue Bonds, 5.000% due 1/1/33 | | | | | 216,239 | | |
| | | | | | | | | | Total West Virginia | | | | | 20,113,829 | | |
| Wisconsin – 1.2% | | |||||||||||||||
| | | | | | | | | | Public Finance Authority, Revenue Bonds: | | | |||||
| | | 15,000 | | | | BB(g) | | | 3.000% due 11/15/22(e) | | | | | 15,001 | | |
| | | 35,000 | | | | BB(g) | | | 5.000% due 5/15/23(e) | | | | | 37,256 | | |
| | | 10,000 | | | | BB(g) | | | 3.950% due 11/15/24(e) | | | | | 10,044 | | |
| | | 35,000 | | | | BB(g) | | | 5.000% due 5/15/30(e) | | | | | 36,997 | | |
| | | 10,000 | | | | BB(g) | | | 5.250% due 5/15/37(e) | | | | | 10,481 | | |
| | | 15,000 | | | | BB(g) | | | 5.250% due 5/15/42(e) | | | | | 15,607 | | |
| | | 25,000 | | | | BB(g) | | | 5.000% due 10/1/43(e) | | | | | 25,303 | | |
| | | 15,000 | | | | BB(g) | | | 5.250% due 5/15/47(e) | | | | | 15,555 | | |
| | | 30,000 | | | | BB(g) | | | 5.000% due 10/1/48(e) | | | | | 30,249 | | |
| | | 25,000 | | | | BB(g) | | | 5.250% due 5/15/52(e) | | | | | 25,787 | | |
| | | 55,000 | | | | BB(g) | | | 5.000% due 10/1/53(e) | | | | | 55,247 | | |
| | | 610,000 | | | | BBB | | | Series A, 5.250% due 10/1/43 | | | | | 648,259 | | |
| | | 610,000 | | | | BBB | | | Series A, 5.250% due 10/1/48 | | | | | 644,813 | | |
| | | 15,000 | | | | BB(g) | | | Series B2, 3.500% due 11/15/23(e) | | | | | 15,002 | | |
| | | | | | | | | | Wisconsin Health & Educational Facilities Authority, Revenue Bonds: | | | |||||
| | | 255,000 | | | | AA- | | | 5.000% due 11/15/24 | | | | | 295,563 | | |
| | | 25,000 | | | | BBB+ | | | 5.000% due 5/1/26 | | | | | 27,743 | | |
| | | 50,000 | | | | A3(b) | | | 5.000% due 6/1/27 | | | | | 53,855 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Wisconsin – (continued) | | |||||||||||||||
| | $ | 195,000 | | | | AA- | | | 5.000% due 11/15/27 | | | | $ | 222,867 | | |
| | | 50,000 | | | | BBB+ | | | 5.000% due 5/1/28 | | | | | 55,024 | | |
| | | 25,000 | | | | BBB+ | | | 5.000% due 5/1/29 | | | | | 27,426 | | |
| | | 30,000 | | | | A3(b) | | | 5.000% due 6/1/32 | | | | | 32,120 | | |
| | | 50,000 | | | | BBB- | | | 5.000% due 9/1/34 | | | | | 54,328 | | |
| | | 65,000 | | | | BBB- | | | 5.000% due 9/1/36 | | | | | 69,857 | | |
| | | 70,000 | | | | A3(b) | | | 5.000% due 6/1/39 | | | | | 74,229 | | |
| | | 6,940,000 | | | | AA | | | 5.000% due 8/15/54(a) | | | | | 7,764,222 | | |
| | | 55,000 | | | | NR | | | Prerefunded 7/1/20 @ 100, 5.750% due 7/1/30(c) | | | | | 57,912 | | |
| | | 35,000 | | | | WD(g) | | | Prerefunded 8/15/25 @ 100, 4.000% due 2/15/38(c) | | | | | 39,237 | | |
| | | 50,000 | | | | NR | | | Prerefunded 7/1/20 @ 100, 5.500% due 7/1/40(c) | | | | | 52,485 | | |
| | | 30,000 | | | | NR | | | Series B, Prerefunded 7/1/23 @ 100, 5.000% due 7/1/25(c) | | | | | 33,990 | | |
| | | 200,000 | | | | NR | | | Series B, Prerefunded 7/1/23 @ 100, 5.000% due 7/1/36(c) | | | | | 226,600 | | |
| | | 50,000 | | | | NR | | | Series C, Prerefunded 8/15/22 @ 100, 5.000% due 8/15/32(c) | | | | | 55,412 | | |
| | | | | | | | | | Total Wisconsin | | | | | 10,728,471 | | |
| Wyoming – 0.0% | | |||||||||||||||
| | | 185,000 | | | | A | | | County of Campbell WY, Revenue Bonds, Series A, 5.750% due 7/15/39 | | | | | 187,557 | | |
| | | | | | | | | | TOTAL MUNICIPAL BONDS (Cost – $743,885,270) | | | | | 751,558,692 | | |
| SHORT-TERM INVESTMENTS – 13.5% | | |||||||||||||||
| MUNICIPAL BONDS – 10.4% | | |||||||||||||||
| | | 5,000,000 | | | | MIG1(b) | | | City of Portland OR, GO, 4.000% due 6/26/19 | | | | | 5,036,500 | | |
| | | 10,000,000 | | | | MIG1(b) | | | Cobb County School District, GO, 3.000% due 12/18/19 | | | | | 10,103,200 | | |
| | | 5,000,000 | | | | SP-1+ | | | Colorado State Education Loan Program, Revenue Notes, Series A, 4.000% due 6/27/19 | | | | | 5,036,650 | | |
| | | 2,000,000 | | | | SP-1+ | | | Commonwealth of Massachusetts, GO, Series A, 4.000% due 4/25/19 | | | | | 2,006,700 | | |
| | | 10,000,000 | | | | SP-1+ | | | Commonwealth of Massachusetts, GO, Series B, 4.000% due 5/23/19 | | | | | 10,053,400 | | |
| | | 1,000,000 | | | | NR | | | Genesee Valley Central School District NY, GO, 4.000% due 8/28/19 | | | | | 1,010,470 | | |
| | | 5,000,000 | | | | A-1+ | | | Michigan Finance Authority, Revenue Notes, Series A1, 4.000% due 8/20/19 | | | | | 5,051,150 | | |
| | | 100,000 | | | | BBB+ | | | Pennsylvania Economic Development Financing Authority, Revenue Notes, Series A, 2.400% due 4/1/19(a)(d) | | | | | 100,000 | | |
| | | 2,500,000 | | | | MIG1(b) | | | PMA Levy & Aid Anticipation Notes Program WI, Revenue Notes, Series B, 3.000% due 10/18/19 | | | | | 2,519,000 | | |
| | | 1,000,000 | | | | NR | | | Ravena Coeymans Selkirk Central School District NY, GO, 4.000% due 8/16/19 | | | | | 1,010,260 | | |
| | | 5,000,000 | | | | AAA | | | State of Georgia, GO, Series A, 5.000% due 7/1/19 | | | | | 5,055,399 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – (continued) | | |||||||||||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| | $ | 5,000,000 | | | | SP-1+ | | | State of Idaho, GO, 4.000% due 6/28/19 | | | | $ | 5,037,650 | | |
| | | 38,925,000 | | | | SP-1+ | | | State of Texas, Revenue Notes, 4.000% due 8/29/19 | | | | | 39,356,678 | | |
| | | | | | | | | | TOTAL MUNICIPAL BONDS (Cost – $91,348,802) | | | | | 91,377,057 | | |
| TIME DEPOSITS – 3.1% | | |||||||||||||||
| | | 17,449,152 | | | | | | | Banco Bilbao Vizcaya Argentaria SA – Madrid, 1.750% due 3/1/19 | | | | | 17,449,152 | | |
| | | 6,573,060 | | | | | | | Citibank – New York, 1.750% due 3/1/19 | | | | | 6,573,060 | | |
| | | 2,858,864 | | | | | | | Sumitomo Mitsui Banking Corp. – Tokyo, 1.750% due 3/1/19 | | | | | 2,858,864 | | |
| | | | | | | | | | TOTAL TIME DEPOSITS (Cost – $26,881,076) | | | | | 26,881,076 | | |
| | | | | | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost – $118,229,878) | | | | | 118,258,133 | | |
| | | | | | | | | | TOTAL INVESTMENTS – 99.5% (Cost – $862,115,148#) | | | | | 869,816,825 | | |
| | | | | | | | | | Other Assets in Excess of Liabilities – 0.5% | | | | | 4,311,714 | | |
| | | | | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 874,128,539 | | |
|
| General Obligation | | | | | 41.7% | | |
| Education | | | | | 17.9 | | |
| Health Care Providers & Services | | | | | 8.7 | | |
| Transportation | | | | | 6.1 | | |
| Water and Sewer | | | | | 4.7 | | |
| Airport | | | | | 2.8 | | |
| Power | | | | | 1.2 | | |
| Development | | | | | 1.0 | | |
| Pollution | | | | | 0.8 | | |
| Utilities | | | | | 0.6 | | |
| Facilities | | | | | 0.4 | | |
| Housing | | | | | 0.3 | | |
| Tobacco | | | | | 0.2 | | |
| Community Facilities Districts | | | | | 0.0* | | |
| Short-Term Investments | | | | | 13.6 | | |
| | | | | | 100.0% | | |
|
| Face Amount/Units/Shares | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – 18.0% | | ||||||||||||
| Basic Materials – 0.2% | | ||||||||||||
| | $ | 2,334,000 | | | | Hexion Inc., Senior Secured Notes, 10.000% due 4/15/20(a) | | | | $ | 2,007,240 | | |
| Communications – 4.7% | | ||||||||||||
| | | 4,046,000 | | | | Avaya Inc., Senior Secured Notes, 7.000% due 4/1/19(b)(c)(d) | | | | | — | | |
| | | 12,273,000 | | | | Consolidated Communications Inc., Company Guaranteed Notes, 6.500% due 10/1/22(e) | | | | | 11,444,572 | | |
| | | 13,500,000 | | | | Frontier Communications Corp., Senior Unsecured Notes, 10.500% due 9/15/22 | | | | | 9,652,500 | | |
| | | 15,310,000 | | | | HC2 Holdings Inc., Senior Secured Notes, 11.500% due 12/1/21(e)(c) | | | | | 13,625,900 | | |
| | | 8,000,000 | | | | Intelsat Connect Finance SA, Company Guaranteed Notes, 9.500% due 2/15/23(c) | | | | | 7,740,000 | | |
| | | | | | | Total Communications | | | | | 42,462,972 | | |
| Consumer Cyclical – 1.8% | | ||||||||||||
| | | 7,593,000 | | | | JC Penney Corp. Inc., Senior Secured Notes, 5.875% due 7/1/23(c) | | | | | 6,473,033 | | |
| | | 3,731,000 | | | | Rite Aid Corp., Company Guaranteed Notes, 6.125% due 4/1/23(c) | | | | | 3,187,356 | | |
| | | 8,000,000 | | | | Tesla Inc., Company Guaranteed Notes, 5.300% due 8/15/25(c) | | | | | 7,120,000 | | |
| | | | | | | Total Consumer Cyclical | | | | | 16,780,389 | | |
| Consumer Non-cyclical – 2.5% | | ||||||||||||
| | | 994,000 | | | | CHS/Community Health Systems Inc., Senior Secured Notes, 6.250% due 3/31/23 | | | | | 956,725 | | |
| | | 8,878,000 | | | | Endo Dac/Endo Finance LLC/Endo Finco Inc., Company Guaranteed Notes, 6.000% due 2/1/25(c) | | | | | 6,836,060 | | |
| | | 8,979,000 | | | | Revlon Consumer Products Corp., Company Guaranteed Notes, 5.750% due 2/15/21(a) | | | | | 7,789,283 | | |
| | | 7,740,000 | | | | Vector Group Ltd., Senior Secured Notes, 6.125% due 2/1/25(c) | | | | | 6,849,900 | | |
| | | | | | | Total Consumer Non-cyclical | | | | | 22,431,968 | | |
| Energy – 4.1% | | ||||||||||||
| | | 13,375,000 | | | | California Resources Corp., Secured Notes, 8.000% due 12/15/22(a)(c) | | | | | 10,683,281 | | |
| | | | | | | EP Energy LLC/Everest Acquisition Finance Inc.: | | | |||||
| | | | | | | Company Guaranteed Notes: | | | |||||
| | | 742,000 | | | | 7.750% due 9/1/22 | | | | | 311,640 | | |
| | | 4,310,000 | | | | 6.375% due 6/15/23 | | | | | 1,379,200 | | |
| | | 11,986,000 | | | | Secured Notes, 9.375% due 5/1/24(c) | | | | | 5,603,455 | | |
| | | 4,000,000 | | | | Senior Secured Notes, 8.000% due 11/29/24(c) | | | | | 2,820,000 | | |
| | | | | | | Sable Permian Resources Land LLC/AEPB Finance Corp., Company Guaranteed Notes: | | | |||||
| | | 6,336,000 | | | | 7.125% due 11/1/20(a)(c) | | | | | 2,534,400 | | |
| | | 3,242,000 | | | | 7.375% due 11/1/21(a)(c) | | | | | 1,296,800 | | |
| | | 30,506,000 | | | | Sanchez Energy Corp., Company Guaranteed Notes, 7.750% due 6/15/21(a) | | | | | 4,880,960 | | |
| Face Amount/Units/Shares | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | $ | 11,994,000 | | | | Ultra Resources Inc., Secured Notes, 11.000% due 7/12/24 | | | | $ | 7,736,130 | | |
| | | | | | | Total Energy | | | | | 37,245,866 | | |
| Financial – 4.7% | | ||||||||||||
| | | 4,626,000 | | | | Abe Investment Holdings Inc./Getty Images Inc., Senior Unsecured Notes, 7.000% due 10/15/20(e)(c) | | | | | 4,626,000 | | |
| | | 36,032 | | | | Capital Southwest Corp., Corporate Unsecured Notes, 5.950% due 12/15/22 | | | | | 922,419 | | |
| | | 5,928,200 | | | | Curo Group Holdings Corp., Senior Secured Notes, 8.250% due 9/1/25(c) | | | | | 5,078,867 | | |
| | | 4,853,000 | | | | Genworth Holdings Inc., Company Guaranteed Notes, 7.700% due 6/15/20 | | | | | 4,828,735 | | |
| | | 13,600,000 | | | | ILFC E-Capital Trust I, Limited Guaranteed Notes, 4.550% due 12/21/65(c)(f) | | | | | 10,363,880 | | |
| | | 19,166 | | | | KCAP Financial Inc., Corporate Unsecured Notes, 6.125% due 9/30/22 | | | | | 486,816 | | |
| | | 8,800,000 | | | | State Street Corp., Junior Subordinated Notes, 3.788% (3-Month USD-LIBOR + 1.000%) due 6/15/47(f) | | | | | 6,952,968 | | |
| | | 29,980 | | | | TriplePoint Venture Growth BDC Corp., Corporate Unsecured Notes, 5.750% due 7/15/22(a) | | | | | 749,500 | | |
| | | 10,662,000 | | | | USB Realty Corp., Junior Subordinated Notes, 3.934% (3-Month USD-LIBOR + 1.147%)(c)(f)(g) | | | | | 9,375,417 | | |
| | | | | | | Total Financial | | | | | 43,384,602 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Cost – $198,103,627) | | | | | 164,313,037 | | |
| SENIOR LOANS(f) – 8.0% | | ||||||||||||
| | | 5,800,000 | | | | Ascena Retail Group Inc., due 8/21/22(h) | | | | | 5,314,250 | | |
| | | 9,200,000 | | | | Asurion LLC, due 8/4/25(h) | | | | | 9,336,068 | | |
| | | 8,457,286 | | | | Charter Communications Operating LLC, 4.500% (1-Month USD-LIBOR + 2.000%) due 4/30/25 | | | | | 8,429,377 | | |
| | | 5,949,906 | | | | Fossil Group Inc., 10.420% (1-Week USD-LIBOR + 8.000%) due 12/31/20 | | | | | 5,939,970 | | |
| | | 4,518,472 | | | | Genworth Holdings Inc., 6.981% (1-Month USD-LIBOR + 4.500%) due 3/7/23 | | | | | 4,523,487 | | |
| | | 7,310,280 | | | | Golden Entertainment Inc., 9.500% (1-Month USD-LIBOR + 7.000%) due 10/20/25 | | | | | 7,127,523 | | |
| | | 7,595,000 | | | | La Paloma Generating Co. LLC, 9.250% due 2/20/20(d)(i) | | | | | 18,988 | | |
| | | 8,000,000 | | | | Mallinckrodt International Finance SA, due 9/24/24(h) | | | | | 7,655,040 | | |
| | | 3,000,000 | | | | Pacific Gas & Electric Co., due 12/31/20(h) | | | | | 2,991,750 | | |
| | | 380,967 | | | | Quorum Health Corp., 9.243% (1-Month USD-LIBOR + 6.750%) due 4/29/22 | | | | | 381,561 | | |
| | | 5,035,320 | | | | Uber Technologies Inc., due 7/13/23(h) | | | | | 5,011,705 | | |
| | | 8,977,099 | | | | Uniti Group Inc., 5.493% (1-Month USD-LIBOR + 3.000%) due 10/24/22 | | | | | 8,271,769 | | |
| | | 8,456,853 | | | | Vistra Operations Co. LLC, 4.493% (1-Month USD-LIBOR + 2.000%) due 8/4/23 | | | | | 8,428,184 | | |
| | | | | | | TOTAL SENIOR LOANS (Cost – $75,099,753) | | | | | 73,429,672 | | |
| Face Amount/Units/Shares | | | Rating† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – 1.2% | | | ||||||||||||||
| Ohio – 0.0% | | | ||||||||||||||
| | $ | 14,650 | | | | NR | | | Ohio Air Quality Development Authority, Revenue Bonds, 3.100% due 3/1/23(d)(f) | | | | $ | 12,745 | | |
| Pennsylvania – 0.0% | | | ||||||||||||||
| | | | | | | | | | Beaver County Industrial Development Authority, Revenue Bonds: | | | |||||
| | | 10,000 | | | | NR | | | Series A, 2.700% due 4/1/35(d)(f) | | | | | 8,700 | | |
| | | 10,000 | | | | NR | | | Series A, 3.500% due 4/1/41(d)(f) | | | | | 8,700 | | |
| | | | | | | | | | Total Pennsylvania | | | | | 17,400 | | |
| Puerto Rico – 1.2% | | | ||||||||||||||
| | | 22,175,000 | | | | NR | | | Commonwealth of Puerto Rico, GO, Series A, 8.000% due 7/1/35(d) | | | | | 10,976,625 | | |
| | | | | | | | | | TOTAL MUNICIPAL BONDS (Cost – $8,742,464) | | | | | 11,006,770 | | |
| Shares/Units | | | | | | | | ||||||
| OPEN-END FUNDS – 34.9% | | ||||||||||||
| | | 4,295,165 | | | | BrandywineGLOBAL – Global Unconstrained Bond Fund, Class I Shares | | | | | 49,909,821 | | |
| | | 22,939,052 | | | | JPMorgan Strategic Income Opportunities Fund, Class R6 Shares | | | | | 264,257,875 | | |
| | | 147,681 | | | | Morgan Stanley Institutional Fund Inc. – Emerging Markets Portfolio, Class I Shares | | | | | 3,548,774 | | |
| | | | | | | TOTAL OPEN-END FUNDS (Cost – $321,850,608) | | | | | 317,716,470 | | |
| CLOSED-END FUNDS – 16.1% | | ||||||||||||
| | | 298,649 | | | | Aberdeen Emerging Markets Equity Income Fund Inc., Class Common Shares | | | | | 2,150,273 | | |
| | | 669,649 | | | | Aberdeen Total Dynamic Dividend Fund, Class Common Shares | | | | | 5,558,087 | | |
| | | 70,990 | | | | Advent Claymore Convertible Securities & Income Fund, Class Common Shares | | | | | 1,025,096 | | |
| | | 98,905 | | | | Alliance California Municipal Income Fund Inc., Class Common Shares | | | | | 1,436,101 | | |
| | | 365,809 | | | | AllianzGI Convertible & Income 2024 Target, Class Common Shares | | | | | 3,292,281 | | |
| | | 296,067 | | | | AllianzGI NFJ Dividend Interest & Premium Strategy Fund, Class Common Shares | | | | | 3,603,135 | | |
| | | 36,732 | | | | BlackRock California Municipal Income Trust, Class Common Shares | | | | | 467,598 | | |
| | | 240,448 | | | | BlackRock Credit Allocation Income Trust, Class Common Shares | | | | | 2,919,039 | | |
| | | 143,963 | | | | BlackRock Debt Strategies Fund Inc., Class Common Shares | | | | | 1,551,921 | | |
| | | 33,634 | | | | BlackRock Floating Rate Income Trust, Class Common Shares | | | | | 419,080 | | |
| | | 78,986 | | | | BlackRock Municipal 2030 Target Term Trust, Class Common Shares(a) | | | | | 1,741,641 | | |
| | | 101,822 | | | | BlackRock Resources & Commodities Strategy Trust, Class Common Shares | | | | | 830,868 | | |
| | | 296,828 | | | | BrandywineGLOBAL Global Income Opportunities Fund Inc., Class Common Shares | | | | | 3,297,759 | | |
| | | 37,323 | | | | Brookfield Real Assets Income Fund Inc., Class Common Shares | | | | | 796,846 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| CLOSED-END FUNDS – (continued) | | ||||||||||||
| | | 449,026 | | | | Clough Global Opportunities Fund, Class Common Shares | | | | $ | 4,288,198 | | |
| | | 350,782 | | | | Cornerstone Strategic Value Fund Inc., Class Common Shares | | | | | 4,304,095 | | |
| | | 126,738 | | | | Cornerstone Total Return Fund Inc., Class Common Shares | | | | | 1,535,431 | | |
| | | 321,290 | | | | Delaware Enhanced Global Dividend & Income Fund, Class Common Shares | | | | | 3,119,726 | | |
| | | 154,826 | | | | Eagle Growth & Income Opportunities Fund, Class Common Shares(a) | | | | | 2,362,645 | | |
| | | 473,003 | | | | Eaton Vance Ltd. Duration Income Fund, Class Common Shares(a) | | | | | 6,030,788 | | |
| | | 108,510 | | | | Franklin Ltd. Duration Income Trust, Class Common Shares | | | | | 1,038,441 | | |
| | | 24,494 | | | | General American Investors Co., Inc., Class Preferred Shares(g) | | | | | 640,273 | | |
| | | 125,045 | | | | High Income Securities Fund, Class Common Shares | | | | | 1,139,160 | | |
| | | 445,589 | | | | Highland Floating Rate Opportunities Fund, Class Common Shares | | | | | 6,051,099 | | |
| | | 58,417 | | | | India Fund Inc., Class Common Shares | | | | | 1,194,043 | | |
| | | 63,568 | | | | Invesco Dynamic Credit Opportunities Fund, Class Common Shares | | | | | 703,062 | | |
| | | 243,103 | | | | Invesco High Income Trust II, Class Common Shares | | | | | 3,466,649 | | |
| | | 114,779 | | | | Invesco Municipal Opportunity Trust, Class Common Shares(a) | | | | | 1,361,279 | | |
| | | 1,751,718 | | | | Invesco Senior Income Trust, Class Common Shares(e) | | | | | 7,427,284 | | |
| | | 177,114 | | | | Kayne Anderson MLP/Midstream Investment Co., Class Common Shares | | | | | 2,729,327 | | |
| | | 196,001 | | | | Lazard World Dividend & Income Fund Inc., Class Common Shares | | | | | 1,961,970 | | |
| | | 520,977 | | | | Liberty All Star Growth Fund Inc., Class Common Shares | | | | | 2,787,227 | | |
| | | 221,391 | | | | Morgan Stanley Emerging Markets Debt Fund Inc., Class Common Shares | | | | | 1,985,877 | | |
| | | 36,634 | | | | Neuberger Berman California Municipal Fund Inc., Class Common Shares(a) | | | | | 467,083 | | |
| | | 163,959 | | | | Neuberger Berman High Yield Strategies Fund Inc., Class Common Shares | | | | | 1,849,458 | | |
| | | 83,246 | | | | NexPoint Strategic Opportunities Fund, Class Common Shares | | | | | 1,817,260 | | |
| | | 135,044 | | | | Nuveen AMT-Free Quality Municipal Income Fund, Class Common Shares | | | | | 1,765,025 | | |
| | | 68,672 | | | | Nuveen California Quality Municipal Income Fund, Class Common Shares(a) | | | | | 913,338 | | |
| | | 759,901 | | | | Nuveen Credit Strategies Income Fund, Class Common Shares | | | | | 5,957,624 | | |
| | | 184,068 | | | | Nuveen Emerging Markets Debt 2022 Target Term Fund, Class Common Shares(a) | | | | | 1,579,303 | | |
| | | 80,604 | | | | Nuveen Intermediate Duration Quality Municipal Term Fund, Class Common Shares(a) | | | | | 1,034,149 | | |
| | | 152,415 | | | | Nuveen Mortgage Opportunity Term Fund, Class Common Shares | | | | | 3,519,262 | | |
| | | 107,099 | | | | Nuveen Mortgage Opportunity Term Fund 2, Class Common Shares(a) | | | | | 2,409,727 | | |
| | | 138,001 | | | | Nuveen Quality Municipal Income Fund, Class Common Shares | | | | | 1,847,833 | | |
| | | 670,020 | | | | PGIM Global Short Duration High Yield Fund Inc., Class Common Shares(e) | | | | | 9,346,779 | | |
| | | 219,543 | | | | PGIM Short Duration High Yield Fund Inc., Class Common Shares | | | | | 3,104,338 | | |
| | | 45,778 | | | | Special Opportunities Fund Inc., Class Common Shares | | | | | 604,270 | | |
| | | 409,269 | | | | Sprott Focus Trust Inc., Class Common Shares | | | | | 2,828,049 | | |
| | | 154,813 | | | | Templeton Emerging Markets Income Fund, Class Common Shares | | | | | 1,631,729 | | |
| | | 504,955 | | | | Templeton Global Income Fund, Class Common Shares | | | | | 3,277,158 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| CLOSED-END FUNDS – (continued) | | ||||||||||||
| | | 241,228 | | | | Tortoise Midstream Energy Fund Inc., Class Common Shares(a) | | | | $ | 3,295,174 | | |
| | | 186,889 | | | | Virtus Total Return Fund Inc., Class Common Shares | | | | | 1,812,823 | | |
| | | 1,399,339 | | | | Voya Prime Rate Trust, Class Common Shares(a) | | | | | 6,744,814 | | |
| | | 32,039 | | | | Western Asset Corporate Loan Fund Inc., Class Common Shares | | | | | 308,215 | | |
| | | 216,855 | | | | Western Asset Emerging Markets Debt Fund Inc., Class Common Shares | | | | | 3,014,285 | | |
| | | 36,485 | | | | Western Asset Global High Income Fund Inc., Class Common Shares | | | | | 346,608 | | |
| | | 726,712 | | | | Western Asset High Income Opportunity Fund Inc., Class Common Shares | | | | | 3,531,820 | | |
| | | | | | | TOTAL CLOSED-END FUNDS (Cost – $149,477,506) | | | | | 146,222,423 | | |
| COMMON STOCKS – 13.2% | | ||||||||||||
| COMMUNICATIONS – 0.4% | | ||||||||||||
| Media – 0.3% | | ||||||||||||
| | | 277,270 | | | | ALTICE EUROPE NV, Class A Shares* | | | | | 625,057 | | |
| | | 99,600 | | | | Altice USA Inc., Class A Shares | | | | | 2,172,276 | | |
| | | | | | | Total Media | | | | | 2,797,333 | | |
| Telecommunications – 0.1% | | ||||||||||||
| | | 191,903 | | | | HC2 Holdings Inc.*(a) | | | | | 604,495 | | |
| | | | | | | TOTAL COMMUNICATIONS | | | | | 3,401,828 | | |
| CONSUMER NON-CYCLICAL – 6.3% | | ||||||||||||
| Biotechnology – 2.4% | | ||||||||||||
| | | 107,154 | | | | Acer Therapeutics Inc.*(a)(i) | | | | | 2,539,550 | | |
| | | 75,274 | | | | Argenx SE, ADR* | | | | | 10,033,271 | | |
| | | 8,131 | | | | Blueprint Medicines Corp.* | | | | | 668,287 | | |
| | | 48,114 | | | | Celgene Corp.* | | | | | 3,999,236 | | |
| | | 271,137 | | | | Orchard Therapeutics PLC, ADR*(a)(i) | | | | | 4,649,999 | | |
| | | | | | | Total Biotechnology | | | | | 21,890,343 | | |
| Healthcare-Products – 0.3% | | ||||||||||||
| | | 50,769 | | | | Inspire Medical Systems Inc.* | | | | | 3,147,678 | | |
| Healthcare-Services – 0.8% | | ||||||||||||
| | | 253,708 | | | | SI-BONE Inc.* | | | | | 5,256,830 | | |
| | | 97,259 | | | | Vapotherm Inc.* | | | | | 1,890,715 | | |
| | | | | | | Total Healthcare-Services | | | | | 7,147,545 | | |
| Pharmaceuticals – 2.8% | | ||||||||||||
| | | 404,373 | | | | Array BioPharma Inc.*(e) | | | | | 9,276,317 | | |
| | | 316,263 | | | | Clementia Pharmaceuticals Inc.*(a)(e) | | | | | 8,169,073 | | |
| | | 41,257 | | | | Mirati Therapeutics Inc.* | | | | | 3,003,510 | | |
| | | 105,677 | | | | MyoKardia Inc.* | | | | | 4,739,613 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Pharmaceuticals – (continued) | | ||||||||||||
| | | 63,596 | | | | Sutro Biopharma Inc.* | | | | $ | 559,645 | | |
| | | | | | | Total Pharmaceuticals | | | | | 25,748,158 | | |
| | | | | | | TOTAL CONSUMER NON-CYCLICAL | | | | | 57,933,724 | | |
| DIVERSIFIED – 1.1% | | ||||||||||||
| SPACs – 1.1% | | ||||||||||||
| | | 41,641 | | | | Alberton Acquisition Corp.* | | | | | 424,322 | | |
| | | 42,105 | | | | Andina Acquisition Corp. III* | | | | | 423,155 | | |
| | | 50,725 | | | | Big Rock Partners Acquisition Corp.* | | | | | 523,482 | | |
| | | 41,527 | | | | Black Ridge Acquisition Corp.* | | | | | 423,160 | | |
| | | 33,529 | | | | Boxwood Merger Corp.* | | | | | 335,290 | | |
| | | 24,648 | | | | CF Finance Acquisition Corp.* | | | | | 250,177 | | |
| | | 32,931 | | | | Chardan Healthcare Acquisition Corp.* | | | | | 329,969 | | |
| | | 28,503 | | | | ChaSerg Technology Acquisition Corp.* | | | | | 289,020 | | |
| | | 62,444 | | | | CM Seven Star Acquisition Corp.* | | | | | 638,802 | | |
| | | 22,935 | | | | Constellation Alpha Capital Corp.*(a) | | | | | 236,689 | | |
| | | 43,875 | | | | DD3 Acquisition Corp.* | | | | | 440,944 | | |
| | | 28,503 | | | | Edtechx Holdings Acquisition Corp.* | | | | | 289,306 | | |
| | | 2 | | | | Far Point Acquisition Corp.* | | | | | 21 | | |
| | | 16,206 | | | | Far Point Acquisition Corp., Class A Shares* | | | | | 159,629 | | |
| | | 25,081 | | | | FinTech Acquisition Corp. III*(a) | | | | | 255,325 | | |
| | | 16,736 | | | | Gordon Pointe Acquisition Corp.* | | | | | 169,870 | | |
| | | 43,099 | | | | Graf Industrial Corp.* | | | | | 436,593 | | |
| | | 42,092 | | | | Legacy Acquisition Corp., Class A Shares* | | | | | 419,236 | | |
| | | 61,710 | | | | Leisure Acquisition Corp.* | | | | | 617,100 | | |
| | | 2,813 | | | | LF Capital Acquisition Corp., Class A Shares* | | | | | 28,130 | | |
| | | 10,785 | | | | Monocle Acquisition Corp.* | | | | | 107,958 | | |
| | | 13,815 | | | | MTech Acquisition Corp.*(a) | | | | | 139,255 | | |
| | | 12,051 | | | | One Madison Corp., Class A Shares* | | | | | 122,077 | | |
| | | 18,239 | | | | Opes Acquisition Corp.* | | | | | 184,396 | | |
| | | 72,639 | | | | Pensare Acquisition Corp.* | | | | | 743,823 | | |
| | | 14,462 | | | | Pivotal Acquisition Corp.* | | | | | 146,645 | | |
| | | 30,657 | | | | Pure Acquisition Corp.* | | | | | 305,038 | | |
| | | 43,473 | | | | Schultze Special Purpose Acquisition Corp.* | | | | | 436,034 | | |
| | | 4,234 | | | | Thunder Bridge Acquisition Ltd., Class A Shares* | | | | | 42,763 | | |
| | | 8,304 | | | | Tiberius Acquisition Corp.* | | | | | 82,708 | | |
| | | 4,232 | | | | Trident Acquisitions Corp.* | | | | | 42,955 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| DIVERSIFIED – (continued) | | ||||||||||||
| SPACs – (continued) | | ||||||||||||
| | | 3,426 | | | | Trinity Merger Corp., Class A Shares* | | | | $ | 34,705 | | |
| | | 18,561 | | | | Twelve Seas Investment Co.* | | | | | 184,868 | | |
| | | 6,522 | | | | Union Acquisition Corp.* | | | | | 36,588 | | |
| | | 17,313 | | | | VectoIQ Acquisition Corp.* | | | | | 170,533 | | |
| | | 32,363 | | | | Wealthbridge Acquisition Ltd.* | | | | | 324,925 | | |
| | | | | | | Total SPACs | | | | | 9,795,491 | | |
| | | | | | | TOTAL DIVERSIFIED | | | | | 9,795,491 | | |
| FINANCIAL – 3.8% | | ||||||||||||
| Banks – 0.5% | | ||||||||||||
| | | 333,640 | | | | Kearny Financial Corp. | | | | | 4,534,168 | | |
| Insurance – 1.3% | | ||||||||||||
| | | 1,430,275 | | | | FGL Holdings*(e) | | | | | 11,871,282 | | |
| Investment Companies – 1.0% | | ||||||||||||
| | | 671,212 | | | | Barings BDC Inc.(a) | | | | | 6,450,347 | | |
| | | 317,447 | | | | Garrison Capital Inc. | | | | | 2,374,504 | | |
| | | | | | | Total Investment Companies | | | | | 8,824,851 | | |
| Savings & Loans – 1.0% | | ||||||||||||
| | | 233,499 | | | | OceanFirst Financial Corp.(e) | | | | | 5,884,175 | | |
| | | 220,372 | | | | Waterstone Financial Inc.(e) | | | | | 3,711,064 | | |
| | | | | | | Total Savings & Loans | | | | | 9,595,239 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 34,825,540 | | |
| INDUSTRIAL – 1.0% | | ||||||||||||
| Electronics – 1.0% | | ||||||||||||
| | | 789,129 | | | | Fluidigm Corp.* | | | | | 8,727,767 | | |
| TECHNOLOGY – 0.6% | | ||||||||||||
| Computers – 0.3% | | ||||||||||||
| | | 122,681 | | | | Perspecta Inc. | | | | | 2,588,569 | | |
| Semiconductors – 0.2% | | ||||||||||||
| | | 107,424 | | | | Marvell Technology Group Ltd. | | | | | 2,143,109 | | |
| Software – 0.1% | | ||||||||||||
| | | 78,964 | | | | Avaya Holdings Corp.*(e) | | | | | 1,223,152 | | |
| | | | | | | TOTAL TECHNOLOGY | | | | | 5,954,830 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $102,677,913) | | | | | 120,639,180 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| PREFERRED STOCKS – 0.2% | | ||||||||||||
| FINANCIAL – 0.2% | | ||||||||||||
| Investment Companies – 0.2% | | ||||||||||||
| | | 20,493 | | | | Monroe Capital Corp., 5.750% | | | | $ | 508,432 | | |
| | | 13,039 | | | | OFS Capital Corp., 6.500%(a) | | | | | 322,324 | | |
| | | 34,533 | | | | THL Credit Inc., 6.125% | | | | | 883,354 | | |
| | | | | | | Total Investment Companies | | | | | 1,714,110 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 1,714,110 | | |
| | | | | | | TOTAL PREFERRED STOCKS (Cost – $1,685,246) | | | | | 1,714,110 | | |
| WARRANTS – 0.0% | | ||||||||||||
| DIVERSIFIED – 0.0% | | ||||||||||||
| SPACs – 0.0% | | ||||||||||||
| | | 25,362 | | | | Big Rock Partners Acquisition Corp.* | | | | | 4,565 | | |
| | | 62,291 | | | | Black Ridge Acquisition Corp.* | | | | | 15,573 | | |
| | | 31,222 | | | | CM Seven Star Acquisition Corp.* | | | | | 6,245 | | |
| | | 5,169 | | | | Concrete Pumping Holdings Inc.* | | | | | 3,360 | | |
| | | 22,935 | | | | Constellation Alpha Capital Corp.* | | | | | 2,064 | | |
| | | 18,119 | | | | Falcon Minerals Corp.* | | | | | 11,868 | | |
| | | 5,402 | | | | Far Point Acquisition Corp.* | | | | | 6,212 | | |
| | | 16,736 | | | | Gordon Pointe Acquisition Corp.* | | | | | 5,469 | | |
| | | 5,656 | | | | Haymaker Acquisition Corp.* | | | | | 10,464 | | |
| | | 42,092 | | | | Legacy Acquisition Corp.* | | | | | 11,786 | | |
| | | 30,854 | | | | Leisure Acquisition Corp.* | | | | | 21,598 | | |
| | | 2,813 | | | | LF Capital Acquisition Corp.* | | | | | 1,013 | | |
| | | 13,815 | | | | MTech Acquisition Corp.* | | | | | 7,874 | | |
| | | 21,684 | | | | NRC Group Holdings Corp.* | | | | | 18,108 | | |
| | | 6,025 | | | | One Madison Corp.* | | | | | 5,718 | | |
| | | 18,239 | | | | Opes Acquisition Corp.* | | | | | 5,836 | | |
| | | 36,319 | | | | Pensare Acquisition Corp.* | | | | | 7,627 | | |
| | | 15,328 | | | | Pure Acquisition Corp.* | | | | | 17,167 | | |
| | | 4,234 | | | | Thunder Bridge Acquisition Ltd.* | | | | | 1,567 | | |
| | | 8,304 | | | | Tiberius Acquisition Corp.* | | | | | 3,239 | | |
| | | 4,232 | | | | Trident Acquisitions Corp.* | | | | | 804 | | |
| | | 3,426 | | | | Trinity Merger Corp.* | | | | | 1,199 | | |
| | | 18,561 | | | | Twelve Seas Investment Co.* | | | | | 4,269 | | |
| | | 190,596 | | | | Ultra Petroleum Corp.*(i) | | | | | 57,179 | | |
| | | 6,522 | | | | Union Acquisition Corp.* | | | | | 1,304 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| WARRANTS – (continued) | | ||||||||||||
| DIVERSIFIED – (continued) | | ||||||||||||
| SPACs – (continued) | | ||||||||||||
| | | 17,313 | | | | VectoIQ Acquisition Corp.* | | | | $ | 7,791 | | |
| | | | | | | Total SPACs | | | | | 239,899 | | |
| | | | | | | TOTAL DIVERSIFIED | | | | | 239,899 | | |
| | | | | | | TOTAL WARRANTS (Cost – $247,421) | | | | | 239,899 | | |
| RIGHTS – 0.0% | | ||||||||||||
| | | 50,724 | | | | Big Rock Partners Acquisition Corp.* | | | | | 14,710 | | |
| | | 20,764 | | | | Black Ridge Acquisition Corp.* | | | | | 8,306 | | |
| | | 62,444 | | | | CM Seven Star Acquisition Corp.* | | | | | 13,738 | | |
| | | 22,935 | | | | Constellation Alpha Capital Corp.* | | | | | 3,899 | | |
| | | 72,639 | | | | Pensare Acquisition Corp.* | | | | | 21,174 | | |
| | | 18,561 | | | | Twelve Seas Investment Co.* | | | | | 5,197 | | |
| | | 5,763 | | | | Union Acquisition Corp.* | | | | | 2,881 | | |
| | | | | | | TOTAL RIGHTS (Cost – $87,821) | | | | | 69,905 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $857,972,359) | | | | | 835,351,466 | | |
| Face Amount | | | | | | | | ||||||
| SHORT-TERM INVESTMENTS – 11.6% | | ||||||||||||
| TIME DEPOSITS – 11.6% | | ||||||||||||
| | $ | 7,389,973 | | | | Banco Bilbao Vizcaya Argentaria SA – Madrid, 1.750% due 3/1/19 | | | | | 7,389,973 | | |
| | | 13,712,956 | | | | Banco Santander SA – Frankfurt, 1.750% due 3/1/19 | | | | | 13,712,956 | | |
| | | 17,422 | | | | Brown Brothers Harriman – Grand Cayman, 1.750% due 3/1/19 | | | | | 17,422 | | |
| | | 47,251,996 | | | | Citibank – New York, 1.750% due 3/1/19 | | | | | 47,251,996 | | |
| | | 37,501,887 | | | | JPMorgan Chase & Co. – New York, 1.750% due 3/1/19 | | | | | 37,501,887 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $105,874,234) | | | | | 105,874,234 | | |
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 3.7% | | ||||||||||||
| MONEY MARKET FUND – 3.7% | | ||||||||||||
| | | 33,797,448 | | | | Federated Government Obligations Fund, Premier Class, 2.363%(j) (Cost – $33,797,448) | | | | | 33,797,448 | | |
| | | | | | | TOTAL INVESTMENTS – 106.9% (Cost – $997,644,041#) | | | | | 975,023,148 | | |
| | | | | | | Liabilities in Excess of Other Assets – (6.9)% | | | | | (62,733,377) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 912,289,771 | | |
|
| Open-End Funds | | | | | 32.6% | | |
| Corporate Bonds & Notes | | | | | 16.8 | | |
| Closed-End Funds | | | | | 15.0 | | |
| Common Stocks | | | | | 12.4 | | |
| Senior Loans | | | | | 7.5 | | |
| Municipal Bonds | | | | | 1.1 | | |
| Preferred Stocks | | | | | 0.2 | | |
| Warrants | | | | | 0.0* | | |
| Rights | | | | | 0.0* | | |
| Short-Term Investments | | | | | 10.9 | | |
| Money Market Fund | | | | | 3.5 | | |
| | | | | | 100.0% | | |
|
Foreign Currency | | | Local Currency | | | Counterparty | | | Market Value | | | Settlement Date | | | Unrealized Appreciation | | | Unrealized (Depreciation) | | | Net Unrealized Appreciation/ (Depreciation) | | ||||||||||||||||||
Contracts to Sell: | | | | | | | | | ||||||||||||||||||||||||||||||||
Euro | | | | | 592,500 | | | | GSC | | | | $ | 677,692 | | | | | | 5/7/19 | | | | | $ | — | | | | | $ | (72,219) | | | | | $ | (72,219) | | |
|
| Shares/Units | | | Security | | | Value | | ||||||
| SECURITIES SOLD SHORT – 4.7% | | ||||||||||||
| EXCHANGE TRADED FUNDS (ETFs) – 4.3% | | ||||||||||||
| | | 31,720 | | | | Invesco Senior Loan | | | | $ | 723,216 | | |
| | | 85,000 | | | | iShares iBoxx High Yield Corporate Bond | | | | | 7,288,750 | | |
| | | 87,693 | | | | iShares Nasdaq Biotechnology | | | | | 9,886,509 | | |
| | | 154,868 | | | | SPDR S&P Biotech | | | | | 13,804,934 | | |
| | | 85,212 | | | | SPDR S&P Regional Banking | | | | | 4,823,851 | | |
| | | 103,000 | | | | SPDR Bloomberg Barclays Short Term High Yield Bond | | | | | 2,798,510 | | |
| | | | | | | TOTAL EXCHANGE TRADED FUNDS (ETFs) (Proceeds – $38,344,164) | | | | | 39,325,770 | | |
| COMMON STOCKS – 0.4% | | ||||||||||||
| CONSUMER NON-CYCLICAL – 0.4% | | ||||||||||||
| Pharmaceuticals – 0.4% | | ||||||||||||
| | | 48,114 | | | | Bristol-Myers Squibb Co. | | | | | 2,485,569 | | |
| | | 50,000 | | | | Mallinckrodt PLC* | | | | | 1,248,000 | | |
| | | | | | | Total Pharmaceuticals | | | | | 3,733,569 | | |
| | | | | | | TOTAL CONSUMER NON-CYCLICAL | | | | | 3,733,569 | | |
| | | | | | | TOTAL COMMON STOCKS (Proceeds – $3,197,274) | | | | | 3,733,569 | | |
| | | | | | | TOTAL SECURITIES SOLD SHORT – 4.7% (Proceeds – $41,541,438) | | | | $ | 43,059,339 | | |
|
| | | Destinations Large Cap Equity Fund | | | Destinations Small-Mid Cap Equity Fund | | | Destinations International Equity Fund | | | Destinations Equity Income Fund | | | Destinations Real Assets Fund | | |||||||||||||||
ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments, at value(1)(2) | | | | $ | 3,500,359,717 | | | | | $ | 993,608,859 | | | | | $ | 1,675,261,912 | | | | | $ | 400,303,695 | | | | | $ | 230,117,129 | | |
Foreign currency, at value(3) | | | | | 3 | | | | | | — | | | | | | 356,067 | | | | | | — | | | | | | 8 | | |
Cash | | | | | 128,236 | | | | | | 47,566 | | | | | | 77,086 | | | | | | 7,730 | | | | | | 5,311 | | |
Receivable for securities sold | | | | | 6,081,355 | | | | | | 7,633,466 | | | | | | 2,453,846 | | | | | | — | | | | | | 141,278 | | |
Dividends and interest receivable | | | | | 5,424,786 | | | | | | 880,215 | | | | | | 1,731,190 | | | | | | 1,325,321 | | | | | | 90,751 | | |
Receivable for Fund shares sold | | | | | 2,814,543 | | | | | | 728,600 | | | | | | 1,230,331 | | | | | | 327,759 | | | | | | 152,765 | | |
Unrealized appreciation on open forward foreign currency contracts (Note 4) | | | | | — | | | | | | — | | | | | | 119,696 | | | | | | — | | | | | | — | | |
Deposits with counterparty(4) | | | | | 462,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Cash held at Broker | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Prepaid expenses | | | | | 29,570 | | | | | | 7,042 | | | | | | 13,451 | | | | | | 3,600 | | | | | | 2,271 | | |
Prepaid Chief Compliance Officer expense | | | | | 5,954 | | | | | | 1,640 | | | | | | 2,843 | | | | | | 687 | | | | | | 393 | | |
Total Assets | | | | | 3,515,306,164 | | | | | | 1,002,907,388 | | | | | | 1,681,246,422 | | | | | | 401,968,792 | | | | | | 230,509,906 | | |
LIABILITIES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payable for collateral received from securities on loan | | | | | 13,388,335 | | | | | | 14,487,635 | | | | | | 22,347,241 | | | | | | — | | | | | | 12,554,680 | | |
Payable for Fund shares repurchased | | | | | 1,750,681 | | | | | | 572,576 | | | | | | 967,269 | | | | | | 130,118 | | | | | | 139,239 | | |
Payable for securities purchased | | | | | 1,223,691 | | | | | | 6,184,454 | | | | | | 5,064,965 | | | | | | — | | | | | | 94 | | |
Investment management fee payable | | | | | 1,666,262 | | | | | | 612,729 | | | | | | 1,129,117 | | | | | | 195,805 | | | | | | 162,570 | | |
Transfer agent fees payable | | | | | 368,905 | | | | | | 102,433 | | | | | | 173,385 | | | | | | 40,124 | | | | | | 22,928 | | |
Custody fee payable | | | | | 137,172 | | | | | | 43,450 | | | | | | 180,310 | | | | | | 21,185 | | | | | | 15,972 | | |
Trustees’ fees payable | | | | | 38,773 | | | | | | 10,612 | | | | | | 18,590 | | | | | | 4,469 | | | | | | 2,613 | | |
Registration fees payable | | | | | 87,075 | | | | | | 23,401 | | | | | | 49,649 | | | | | | 23,478 | | | | | | 14,848 | | |
Shareholder services | | | | | 41,663 | | | | | | 8,083 | | | | | | 20,220 | | | | | | 194 | | | | | | 2,942 | | |
Variation margin on open future contracts (Note 4) | | | | | 49,864 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Unrealized depreciation on unfunded loan commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Forward sale commitments(5) (Note 5) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Securities sold short(5) (Note 5) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Cash due to Broker | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Due to custodian(3) | | | | | — | | | | | | — | | | | | | — | | | | | | 41 | | | | | | — | | |
Unrealized depreciation on open forward foreign currency contracts (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Investment interest payable on securities sold short | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Accrued expenses | | | | | 74,063 | | | | | | 20,618 | | | | | | 37,742 | | | | | | 12,344 | | | | | | 8,980 | | |
Total Liabilities | | | | | 18,826,484 | | | | | | 22,065,991 | | | | | | 29,988,488 | | | | | | 427,758 | | | | | | 12,924,866 | | |
Total Net Assets | | | | $ | 3,496,479,680 | | | | | $ | 980,841,397 | | | | | $ | 1,651,257,934 | | | | | $ | 401,541,034 | | | | | $ | 217,585,040 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Par value | | | | $ | 302,636 | | | | | $ | 87,123 | | | | | $ | 152,506 | | | | | $ | 39,410 | | | | | $ | 33,819 | | |
Paid-in capital in excess of par value | | | | | 3,053,546,204 | | | | | | 891,753,261 | | | | | | 1,548,445,591 | | | | | | 387,205,186 | | | | | | 336,716,193 | | |
Total distributable earnings (losses) | | | | | 442,630,840 | | | | | | 89,001,013 | | | | | | 102,659,837 | | | | | | 14,296,438 | | | | | | (119,164,972) | | |
Total Net Assets | | | | $ | 3,496,479,680 | | | | | $ | 980,841,397 | | | | | $ | 1,651,257,934 | | | | | $ | 401,541,034 | | | | | $ | 217,585,040 | | |
Total Net Assets Class I | | | | $ | 3,426,848,588 | | | | | $ | 962,148,151 | | | | | $ | 1,618,353,049 | | | | | $ | 391,352,963 | | | | | $ | 213,602,440 | | |
Total Net Assets Class Z | | | | $ | 69,631,092 | | | | | $ | 18,693,246 | | | | | $ | 32,904,885 | | | | | $ | 10,188,071 | | | | | $ | 3,982,600 | | |
Shares Outstanding Class I | | | | | 295,278,711 | | | | | | 85,090,842 | | | | | | 149,035,020 | | | | | | 38,380,679 | | | | | | 33,206,170 | | |
Shares Outstanding Class Z | | | | | 7,357,445 | | | | | | 2,032,432 | | | | | | 3,470,871 | | | | | | 1,029,636 | | | | | | 612,398 | | |
Net Asset Value Class I | | | | $ | 11.61 | | | | | $ | 11.31 | | | | | $ | 10.86 | | | | | $ | 10.20 | | | | | $ | 6.43 | | |
Net Asset Value Class Z | | | | $ | 9.46 | | | | | $ | 9.20 | | | | | $ | 9.48 | | | | | $ | 9.89 | | | | | $ | 6.50 | | |
(1) Investments, at cost | | | | $ | 3,051,844,963 | | | | | $ | 891,766,731 | | | | | $ | 1,548,740,552 | | | | | $ | 387,039,809 | | | | | $ | 334,339,758 | | |
(2) Includes securities on loan | | | | $ | 13,103,177 | | | | | $ | 14,162,346 | | | | | $ | 21,472,817 | | | | | $ | — | | | | | $ | 11,988,354 | | |
(3) Foreign currency, at cost | | | | $ | (35) | | | | | $ | — | | | | | $ | 356,234 | | | | | $ | (41) | | | | | $ | 8 | | |
(4) Related to futures contracts | | | | $ | 462,000 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
(5) Proceeds received | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
|
| | | Destinations Core Fixed Income Fund | | | Destinations Low Duration Fixed Income Fund | | | Destinations Global Fixed Income Opportunities Fund | | | Destinations Municipal Fixed Income Fund | | | Destinations Multi Strategy Alternatives Fund | | |||||||||||||||
ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments, at value(1)(2) | | | | $ | 1,740,129,613 | | | | | $ | 396,442,553 | | | | | $ | 795,065,800 | | | | | $ | 869,816,825 | | | | | $ | 975,023,148 | | |
Foreign currency, at value(3) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Cash | | | | | 77,500 | | | | | | 56,484 | | | | | | 70,022 | | | | | | 75,902 | | | | | | 131,045 | | |
Receivable for securities sold | | | | | 17,606,680 | | | | | | 131,773 | | | | | | 128,345 | | | | | | 6,126,350 | | | | | | 5,087,867 | | |
Dividends and interest receivable | | | | | 8,439,440 | | | | | | 3,406,812 | | | | | | 9,373,602 | | | | | | 7,995,386 | | | | | | 4,876,488 | | |
Receivable for Fund shares sold | | | | | 1,515,787 | | | | | | 344,497 | | | | | | 631,824 | | | | | | 680,767 | | | | | | 740,776 | | |
Unrealized appreciation on open forward foreign currency contracts (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Deposits with counterparty(4) | | | | | — | | | | | | — | | | | | | 500,000 | | | | | | — | | | | | | — | | |
Cash held at Broker | | | | | — | | | | | | — | | | | | | 3,980,996 | | | | | | — | | | | | | 44,325,340 | | |
Prepaid expenses | | | | | 15,854 | | | | | | 1,873 | | | | | | 5,740 | | | | | | 956 | | | | | | 10,394 | | |
Prepaid Chief Compliance Officer expense | | | | | 3,072 | | | | | | 693 | | | | | | 1,384 | | | | | | 1,542 | | | | | | 1,583 | | |
Total Assets | | | | | 1,767,787,946 | | | | | | 400,384,685 | | | | | | 809,757,713 | | | | | | 884,697,728 | | | | | | 1,030,196,641 | | |
LIABILITIES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payable for collateral received from securities on loan | | | | | 136,818 | | | | | | — | | | | | | 2,381,368 | | | | | | — | | | | | | 33,797,448 | | |
Payable for Fund shares repurchased | | | | | 1,333,359 | | | | | | 262,026 | | | | | | 491,935 | | | | | | 297,974 | | | | | | 482,656 | | |
Payable for securities purchased | | | | | 25,916,964 | | | | | | 7,888,899 | | | | | | 18,637,706 | | | | | | 9,687,038 | | | | | | 39,638,330 | | |
Investment management fee payable | | | | | 762,288 | | | | | | 203,530 | | | | | | 443,218 | | | | | | 366,564 | | | | | | 590,332 | | |
Transfer agent fees payable | | | | | 193,347 | | | | | | 43,562 | | | | | | 85,663 | | | | | | 96,079 | | | | | | 98,751 | | |
Custody fee payable | | | | | 145,714 | | | | | | 33,796 | | | | | | 56,787 | | | | | | 84,401 | | | | | | 69,061 | | |
Trustees’ fees payable | | | | | 20,034 | | | | | | 4,342 | | | | | | 8,941 | | | | | | 9,476 | | | | | | 10,483 | | |
Registration fees payable | | | | | 54,919 | | | | | | 18,472 | | | | | | 25,159 | | | | | | 13,570 | | | | | | 43,231 | | |
Shareholder services | | | | | 21,010 | | | | | | 2,258 | | | | | | 6,736 | | | | | | 2,848 | | | | | | 10,821 | | |
Variation margin on open future contracts (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Unrealized depreciation on unfunded loan commitments | | | | | 877 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Forward sale commitments(5) (Note 5) | | | | | 2,069,187 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Securities sold short(5) (Note 5) | | | | | — | | | | | | — | | | | | | 3,975,219 | | | | | | — | | | | | | 43,059,339 | | |
Cash due to Broker | | | | | — | | | | | | — | | | | | | 202,546 | | | | | | — | | | | | | — | | |
Due to custodian(3) | | | | | — | | | | | | 60 | | | | | | 22 | | | | | | — | | | | | | — | | |
Unrealized depreciation on open forward foreign currency contracts (Note 4) | | | | | — | | | | | | 27,300 | | | | | | 43,091 | | | | | | — | | | | | | 72,219 | | |
Investment interest payable on securities sold short | | | | | 3,000 | | | | | | — | | | | | | 35,930 | | | | | | — | | | | | | — | | |
Accrued expenses | | | | | 48,409 | | | | | | 13,189 | | | | | | 21,465 | | | | | | 11,239 | | | | | | 34,199 | | |
Total Liabilities | | | | | 30,705,926 | | | | | | 8,497,434 | | | | | | 26,415,786 | | | | | | 10,569,189 | | | | | | 117,906,870 | | |
Total Net Assets | | | | $ | 1,737,082,020 | | | | | $ | 391,887,251 | | | | | $ | 783,341,927 | | | | | $ | 874,128,539 | | | | | $ | 912,289,771 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Par value | | | | $ | 176,619 | | | | | $ | 39,823 | | | | | $ | 79,754 | | | | | $ | 86,438 | | | | | $ | 93,477 | | |
Paid-in capital in excess of par value | | | | | 1,763,383,796 | | | | | | 395,454,069 | | | | | | 802,578,697 | | | | | | 866,360,345 | | | | | | 929,712,153 | | |
Total distributable earnings (losses) | | | | | (26,478,395) | | | | | | (3,606,641) | | | | | | (19,316,524) | | | | | | 7,681,756 | | | | | | (17,515,859) | | |
Total Net Assets | | | | $ | 1,737,082,020 | | | | | $ | 391,887,251 | | | | | $ | 783,341,927 | | | | | $ | 874,128,539 | | | | | $ | 912,289,771 | | |
Total Net Assets Class I | | | | $ | 1,708,493,620 | | | | | $ | 385,771,862 | | | | | $ | 768,995,996 | | | | | $ | 862,000,359 | | | | | $ | 897,067,663 | | |
Total Net Assets Class Z | | | | $ | 28,588,400 | | | | | $ | 6,115,389 | | | | | $ | 14,345,931 | | | | | $ | 12,128,180 | | | | | $ | 15,222,108 | | |
Shares Outstanding Class I | | | | | 173,781,911 | | | | | | 39,213,464 | | | | | | 78,315,523 | | | | | | 85,241,826 | | | | | | 91,881,235 | | |
Shares Outstanding Class Z | | | | | 2,837,126 | | | | | | 609,993 | | | | | | 1,438,122 | | | | | | 1,196,176 | | | | | | 1,595,754 | | |
Net Asset Value Class I | | | | $ | 9.83 | | | | | $ | 9.84 | | | | | $ | 9.82 | | | | | $ | 10.11 | | | | | $ | 9.76 | | |
Net Asset Value Class Z | | | | $ | 10.08 | | | | | $ | 10.03 | | | | | $ | 9.98 | | | | | $ | 10.14 | | | | | $ | 9.54 | | |
(1) Investments, at cost | | | | $ | 1,759,331,183 | | | | | $ | 399,103,961 | | | | | $ | 805,894,484 | | | | | $ | 862,115,148 | | | | | $ | 997,644,041 | | |
(2) Includes securities on loan | | | | $ | 134,120 | | | | | $ | — | | | | | $ | 2,331,596 | | | | | $ | — | | | | | $ | 33,065,400 | | |
(3) Foreign currency, at cost | | | | $ | — | | | | | $ | (11,172) | | | | | $ | (10,202) | | | | | $ | — | | | | | $ | — | | |
(4) Related to futures contracts | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
(5) Proceeds received | | | | $ | 2,073,555 | | | | | $ | — | | | | | $ | 3,942,008 | | | | | $ | — | | | | | $ | 41,541,438 | | |
|
| | | Destinations Large Cap Equity Fund | | | Destinations Small-Mid Cap Equity Fund | | | Destinations International Equity Fund | | | Destinations Equity Income Fund | | | Destinations Real Assets Fund | | |||||||||||||||
INVESTMENT INCOME: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Dividends | | | | $ | 50,811,527 | | | | | $ | 11,747,862 | | | | | $ | 27,817,064 | | | | | $ | 13,340,758 | | | | | $ | 3,600,112 | | |
Interest | | | | | 1,113,598 | | | | | | 392,730 | | | | | | 831,426 | | | | | | 40,297 | | | | | | 114,834 | | |
Income from securities lending | | | | | 93,169 | | | | | | 256,377 | | | | | | 903,309 | | | | | | 66,395 | | | | | | 104,383 | | |
Less: Foreign taxes withheld (Note 5) | | | | | (271,517) | | | | | | — | | | | | | (1,833,525) | | | | | | (194,483) | | | | | | (186,804) | | |
Total Investment Income | | | | | 51,746,777 | | | | | | 12,396,969 | | | | | | 27,718,274 | | | | | | 13,252,967 | | | | | | 3,632,525 | | |
EXPENSES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment management fee (Note 7) | | | | | 22,111,546 | | | | | | 7,139,823 | | | | | | 13,843,860 | | | | | | 2,649,056 | | | | | | 2,572,855 | | |
Transfer agent fees | | | | | 4,440,846 | | | | | | 1,196,228 | | | | | | 2,085,323 | | | | | | 496,166 | | | | | | 389,458 | | |
Custody fees | | | | | 871,677 | | | | | | 271,199 | | | | | | 1,132,146 | | | | | | 119,321 | | | | | | 99,346 | | |
Trustees’ fees | | | | | 171,762 | | | | | | 46,817 | | | | | | 82,930 | | | | | | 19,074 | | | | | | 16,425 | | |
Insurance | | | | | 71,526 | | | | | | 18,245 | | | | | | 35,886 | | | | | | 8,140 | | | | | | 5,775 | | |
Audit and tax | | | | | 48,225 | | | | | | 15,748 | | | | | | 59,961 | | | | | | 10,417 | | | | | | 7,869 | | |
Legal expense | | | | | 98,493 | | | | | | 28,467 | | | | | | 51,363 | | | | | | 13,426 | | | | | | 8,423 | | |
Chief Compliance Officer expense | | | | | 52,120 | | | | | | 13,889 | | | | | | 24,094 | | | | | | 5,729 | | | | | | 4,659 | | |
Offering fees | | | | | 26,920 | | | | | | 6,416 | | | | | | 11,506 | | | | | | 3,200 | | | | | | 1,939 | | |
Shareholder services | | | | | 144,886 | | | | | | 38,136 | | | | | | 66,311 | | | | | | 28,387 | | | | | | 13,913 | | |
Registration fees | | | | | 328,550 | | | | | | 101,760 | | | | | | 176,415 | | | | | | 58,220 | | | | | | 48,048 | | |
Miscellaneous expense | | | | | 81,980 | | | | | | 27,475 | | | | | | 78,248 | | | | | | 17,908 | | | | | | 14,536 | | |
Interest and dividend expense | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total Expenses | | | | | 28,448,531 | | | | | | 8,904,203 | | | | | | 17,648,043 | | | | | | 3,429,044 | | | | | | 3,183,246 | | |
Less: Fee waivers and/or expense reimbursement (Note 7) | | | | | (3,512,683) | | | | | | (723,137) | | | | | | (1,395,136) | | | | | | (553,148) | | | | | | (90,297) | | |
Net Expenses | | | | | 24,935,848 | | | | | | 8,181,066 | | | | | | 16,252,907 | | | | | | 2,875,896 | | | | | | 3,092,949 | | |
Net Investment Income (Loss) | | | | $ | 26,810,929 | | | | | $ | 4,215,903 | | | | | $ | 11,465,367 | | | | | $ | 10,377,071 | | | | | $ | 539,576 | | |
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS CONTRACTS WRITTEN, FORWARD SALE COMMITMENTS, SECURITIES SHORT SOLD, SWAP CONTRACTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS (NOTES 4 AND 5): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | $ | 33,337,883 | | | | | $ | 20,208,237 | | | | | $ | (19,727,089) | | | | | $ | 7,454,331 | | | | | $ | (12,898,438) | | |
Futures contracts | | | | | (143,447) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Forward sale commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Option written | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Securities sold short | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Forward foreign currency contracts | | | | | — | | | | | | — | | | | | | 893,038 | | | | | | — | | | | | | (27,748) | | |
Foreign currency transactions | | | | | (1,574) | | | | | | — | | | | | | (505,438) | | | | | | 105,760 | | | | | | 53,740 | | |
Realized Gain (Loss) | | | | | 33,192,862 | | | | | | 20,208,237 | | | | | | (19,339,489) | | | | | | 7,560,091 | | | | | | (12,872,446) | | |
Change in Net Unrealized Appreciation (Depreciation) From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | 75,261,791 | | | | | | 58,022,773 | | | | | | (50,964,456) | | | | | | 9,687,991 | | | | | | (80,119,508) | | |
Futures contracts | | | | | 670,386 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Unfunded loan commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Options contracts written | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Forward sale commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Securities sold short | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Forward foreign currency contracts | | | | | — | | | | | | — | | | | | | 184,651 | | | | | | — | | | | | | — | | |
Foreign currency transactions | | | | | 424 | | | | | | — | | | | | | (44,256) | | | | | | (542) | | | | | | 3 | | |
Change in Net Unrealized Appreciation (Depreciation): | | | | | 75,932,601 | | | | | | 58,022,773 | | | | | | (50,824,061) | | | | | | 9,687,449 | | | | | | (80,119,505) | | |
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 | | | | | 109,125,463 | | | | | | 78,231,010 | | | | | | (70,163,550) | | | | | | 17,247,540 | | | | | | (92,991,951) | | |
Total Increase (Decrease) in Net Assets from Operations | | | | $ | 135,936,392 | | | | | $ | 82,446,913 | | | | | $ | (58,698,183) | | | | | $ | 27,624,611 | | | | | $ | (92,452,375) | | |
|
| | | Destinations Core Fixed Income Fund | | | Destinations Low Duration Fixed Income Fund | | | Destinations Global Fixed Income Opportunities Fund | | | Destinations Municipal Fixed Income Fund | | | Destinations Multi Strategy Alternatives Fund | | |||||||||||||||
INVESTMENT INCOME: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Dividends | | | | $ | — | | | | | $ | 666,102 | | | | | $ | 835,464 | | | | | $ | 13,393 | | | | | $ | 21,438,906 | | |
Interest | | | | | 58,666,912 | | | | | | 11,004,732 | | | | | | 34,080,565 | | | | | | 15,357,871 | | | | | | 27,605,093 | | |
Income from securities lending | | | | | 6,523 | | | | | | 155,372 | | | | | | 54,269 | | | | | | — | | | | | | 783,447 | | |
Less: Foreign taxes withheld (Note 5) | | | | | — | | | | | | — | | | | | | (770) | | | | | | — | | | | | | — | | |
Total Investment Income | | | | | 58,673,435 | | | | | | 11,826,206 | | | | | | 34,969,528 | | | | | | 15,371,264 | | | | | | 49,827,446 | | |
EXPENSES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment management fee (Note 7) | | | | | 10,418,122 | | | | | | 1,867,263 | | | | | | 6,091,230 | | | | | | 4,285,970 | | | | | | 12,840,879 | | |
Transfer agent fees | | | | | 2,430,260 | | | | | | 405,120 | | | | | | 1,085,389 | | | | | | 930,011 | | | | | | 1,438,655 | | |
Custody fees | | | | | 852,962 | | | | | | 174,218 | | | | | | 323,548 | | | | | | 364,682 | | | | | | 402,598 | | |
Trustees’ fees | | | | | 98,937 | | | | | | 16,218 | | | | | | 44,258 | | | | | | 38,491 | | | | | | 56,764 | | |
Insurance | | | | | 37,729 | | | | | | 4,481 | | | | | | 15,118 | | | | | | 5,779 | | | | | | 22,996 | | |
Audit and tax | | | | | 34,559 | | | | | | 12,193 | | | | | | 17,362 | | | | | | 9,159 | | | | | | 25,548 | | |
Legal expense | | | | | 74,063 | | | | | | 10,128 | | | | | | 50,101 | | | | | | 32,514 | | | | | | 57,511 | | |
Chief Compliance Officer expense | | | | | 26,481 | | | | | | 4,986 | | | | | | 12,939 | | | | | | 15,759 | | | | | | 16,270 | | |
Offering fees | | | | | 15,077 | | | | | | 1,590 | | | | | | 4,952 | | | | | | 153 | | | | | | 10,381 | | |
Shareholder services | | | | | 75,840 | | | | | | 12,723 | | | | | | 33,686 | | | | | | 31,255 | | | | | | 54,916 | | |
Registration fees | | | | | 214,343 | | | | | | 43,579 | | | | | | 95,629 | | | | | | 45,606 | | | | | | 132,490 | | |
Miscellaneous expense | | | | | 46,930 | | | | | | 13,707 | | | | | | 23,907 | | | | | | 17,576 | | | | | | 34,647 | | |
Interest and dividend expense | | | | | — | | | | | | — | | | | | | 14,727 | | | | | | — | | | | | | 1,175,491 | | |
Total Expenses | | | | | 14,325,303 | | | | | | 2,566,206 | | | | | | 7,812,846 | | | | | | 5,776,955 | | | | | | 16,269,146 | | |
Less: Fee waivers and/or expense reimbursement (Note 7) | | | | | (1,291,725) | | | | | | (87,197) | | | | | | (796,270) | | | | | | (905,017) | | | | | | (4,600,665) | | |
Net Expenses | | | | | 13,033,578 | | | | | | 2,479,009 | | | | | | 7,016,576 | | | | | | 4,871,938 | | | | | | 11,668,481 | | |
Net Investment Income (Loss) | | | | $ | 45,639,857 | | | | | $ | 9,347,197 | | | | | $ | 27,952,952 | | | | | $ | 10,499,326 | | | | | $ | 38,158,965 | | |
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS CONTRACTS WRITTEN, FORWARD SALE COMMITMENTS, SECURITIES SHORT SOLD, SWAP CONTRACTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS (NOTES 4 AND 5): | | | | | | | | | | | | | | | | | | | | | | | | | | ||||||
Net Realized Gain (Loss) From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | $ | (7,214,394) | | | | | $ | (1,414,964) | | | | | $ | (8,229,910) | | | | | $ | (246,781) | | | | | $ | 9,124,150 | | |
Futures contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 451,830 | | |
Forward sale commitments | | | | | (48,143) | | | | | | — | | | | | | 3,441 | | | | | | — | | | | | | — | | |
Option written | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 222,308 | | |
Securities sold short | | | | | — | | | | | | — | | | | | | 20,483 | | | | | | — | | | | | | (1,542,891) | | |
Swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 285,755 | | |
Forward foreign currency contracts | | | | | — | | | | | | 506,229 | | | | | | 326,841 | | | | | | — | | | | | | 551,826 | | |
Foreign currency transactions | | | | | — | | | | | | 89,345 | | | | | | 58,211 | | | | | | — | | | | | | (17,379) | | |
Realized Gain (Loss) | | | | | (7,262,537) | | | | | | (819,390) | | | | | | (7,820,934) | | | | | | (246,781) | | | | | | 9,075,599 | | |
Change in Net Unrealized Appreciation (Depreciation) From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | 6,548,378 | | | | | | (1,109,371) | | | | | | (4,666,897) | | | | | | 10,877,481 | | | | | | (36,044,212) | | |
Futures contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (117,304) | | |
Unfunded loan commitments | | | | | (1,304) | | | | | | (139) | | | | | | (5,581) | | | | | | — | | | | | | — | | |
Options contracts written | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 1,545,835 | | |
Forward sale commitments | | | | | 4,368 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Securities sold short | | | | | — | | | | | | — | | | | | | (33,211) | | | | | | — | | | | | | (965,834) | | |
Swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (161,279) | | |
Forward foreign currency contracts | | | | | — | | | | | | (27,300) | | | | | | (43,091) | | | | | | — | | | | | | (221,019) | | |
Foreign currency transactions | | | | | — | | | | | | (72,797) | | | | | | (41,832) | | | | | | — | | | | | | (1,609) | | |
Change in Net Unrealized Appreciation (Depreciation): | | | | | 6,551,442 | | | | | | (1,209,607) | | | | | | (4,790,612) | | | | | | 10,877,481 | | | | | | (35,965,422) | | |
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 | | | | | (711,095) | | | | | | (2,028,997) | | | | | | (12,611,546) | | | | | | 10,630,700 | | | | | | (26,889,823) | | |
Total Increase (Decrease) in Net Assets from Operations | | | | $ | 44,928,762 | | | | | $ | 7,318,200 | | | | | $ | 15,341,406 | | | | | $ | 21,130,026 | | | | | $ | 11,269,142 | | |
|
| | | Destinations Large Cap Equity Fund | | | Destinations Small-Mid Cap Equity Fund | | | Destinations International Equity Fund | | |||||||||||||||||||||||||||
| | | February 28, 2019 | | | February 28, 2018 | | | February 28, 2019 | | | February 28, 2018 | | | February 28, 2019 | | | February 28, 2018 | | ||||||||||||||||||
OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 26,810,929 | | | | | $ | 22,946,641 | | | | | $ | 4,215,903 | | | | | $ | 2,237,025 | | | | | $ | 11,465,367 | | | | | $ | 7,724,395 | | |
Net realized gain (loss) | | | | | 33,192,862 | | | | | | 24,206,823 | | | | | | 20,208,237 | | | | | | 5,990,710 | | | | | | (19,339,489) | | | | | | 3,457,601 | | |
Change in unrealized appreciation (depreciation) | | | | | 75,932,601 | | | | | | 373,390,256 | | | | | | 58,022,773 | | | | | | 43,819,355 | | | | | | (50,824,061) | | | | | | 177,447,340 | | |
Increase (Decrease) in Net Assets From Operations | | | | | 135,936,392 | | | | | | 420,543,720 | | | | | | 82,446,913 | | | | | | 52,047,090 | | | | | | (58,698,183) | | | | | | 188,629,336 | | |
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 5)*: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (92,350,553) | | | | | | (18,721,435) | | | | | | (38,682,869) | | | | | | (5,681,793) | | | | | | (17,525,265) | | | | | | (9,219,265) | | |
Class Z | | | | | (2,777,284) | | | | | | — | | | | | | (1,128,328) | | | | | | — | | | | | | (526,786) | | | | | | — | | |
Decrease in Net Assets From Distributions to Shareholders | | | | | (95,127,837) | | | | | | (18,721,435) | | | | | | (39,811,197) | | | | | | (5,681,793) | | | | | | (18,052,051) | | | | | | (9,219,265) | | |
FUND SHARE TRANSACTIONS: | | | | | | | | ||||||||||||||||||||||||||||||
Net proceeds from sale of shares: | | | | | | | | ||||||||||||||||||||||||||||||
Class I | | | | | 1,129,725,279 | | | | | | 2,934,660,735 | | | | | | 371,756,983 | | | | | | 780,805,732 | | | | | | 553,782,717 | | | | | | 1,376,881,445 | | |
Class Z | | | | | 82,958,463 | | | | | | — | | | | | | 22,691,457 | | | | | | — | | | | | | 37,465,208 | | | | | | — | | |
Reinvestment of distributions: | | | | | | | | ||||||||||||||||||||||||||||||
Class I | | | | | 92,147,062 | | | | | | 18,718,734 | | | | | | 38,556,303 | | | | | | 5,680,960 | | | | | | 17,486,924 | | | | | | 9,217,957 | | |
Class Z | | | | | 2,777,276 | | | | | | — | | | | | | 1,128,317 | | | | | | — | | | | | | 526,783 | | | | | | — | | |
Cost of shares repurchased: | | | | | | | | ||||||||||||||||||||||||||||||
Class I | | | | | (643,323,422) | | | | | | (551,471,595) | | | | | | (193,629,966) | | | | | | (132,006,984) | | | | | | (289,212,441) | | | | | | (152,944,298) | | |
Class Z | | | | | (12,343,692) | | | | | | — | | | | | | (3,142,418) | | | | | | — | | | | | | (4,606,198) | | | | | | — | | |
Increase (Decrease) in Net Assets From Fund Share Transactions | | | | | 651,940,966 | | | | | | 2,401,907,874 | | | | | | 237,360,676 | | | | | | 654,479,708 | | | | | | 315,442,993 | | | | | | 1,233,155,104 | | |
Increase (Decrease) in Net Assets | | | | | 692,749,521 | | | | | | 2,803,730,159 | | | | | | 279,996,392 | | | | | | 700,845,005 | | | | | | 238,692,759 | | | | | | 1,412,565,175 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | | 2,803,730,159 | | | | | | — | | | | | | 700,845,005 | | | | | | — | | | | | | 1,412,565,175 | | | | | | — | | |
End of period**† | | | | $ | 3,496,479,680 | | | | | $ | 2,803,730,159 | | | | | $ | 980,841,397 | | | | | $ | 700,845,005 | | | | | | 1,651,257,934 | | | | | $ | 1,412,565,175 | | |
|
| | | Destinations Equity Income Fund | | | Destinations Real Assets Fund | | ||||||||||||||||||
| | | February 28, 2019 | | | February 28, 2018 | | | February 28, 2019 | | | February 28, 2018 | | ||||||||||||
OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 10,377,071 | | | | | $ | 9,527,803 | | | | | $ | 539,576 | | | | | $ | 46,114 | | |
Net realized gain (loss) | | | | | 7,560,091 | | | | | | 4,093,582 | | | | | | (12,872,446) | | | | | | 3,238,164 | | |
Change in unrealized appreciation (depreciation) | | | | | 9,687,449 | | | | | | 3,577,436 | | | | | | (80,119,505) | | | | | | (24,103,421) | | |
Increase (Decrease) in Net Assets From Operations | | | | | 27,624,611 | | | | | | 17,198,821 | | | | | | (92,452,375) | | | | | | (20,819,143) | | |
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 5)*: | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (20,431,968) | | | | | | (9,660,430) | | | | | | (337,560) | | | | | | (5,544,347) | | |
Class Z | | | | | (434,597) | | | | | | — | | | | | | (11,547) | | | | | | — | | |
Decrease in Net Assets From Distributions to Shareholders | | | | | (20,866,565) | | | | | | (9,660,430) | | | | | | (349,107) | | | | | | (5,544,347) | | |
FUND SHARE TRANSACTIONS : | | | | | | ||||||||||||||||||||
Net proceeds from sale of shares: | | | | | | ||||||||||||||||||||
Class I | | | | | 146,101,281 | | | | | | 404,877,952 | | | | | | 138,429,624 | | | | | | 266,757,729 | | |
Class Z | | | | | 11,442,280 | | | | | | — | | | | | | 5,826,365 | | | | | | — | | |
Reinvestment of distributions: | | | | | | ||||||||||||||||||||
Class I | | | | | 20,394,007 | | | | | | 8,979,970 | | | | | | 337,006 | | | | | | 5,543,554 | | |
Class Z | | | | | 434,586 | | | | | | — | | | | | | 11,547 | | | | | | — | | |
Cost of shares repurchased: | | | | | | ||||||||||||||||||||
Class I | | | | | (102,029,957) | | | | | | (101,413,746) | | | | | | (56,134,660) | | | | | | (23,387,131) | | |
Class Z | | | | | (1,541,776) | | | | | | — | | | | | | (634,022) | | | | | | — | | |
Increase (Decrease) in Net Assets From Fund Share Transactions | | | | | 74,800,421 | | | | | | 312,444,176 | | | | | | 87,835,860 | | | | | | 248,914,152 | | |
Increase (Decrease) in Net Assets | | | | | 81,558,467 | | | | | | 319,982,567 | | | | | | (4,965,622) | | | | | | 222,550,662 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | | 319,982,567 | | | | | | — | | | | | | 222,550,662 | | | | | | — | | |
End of period**† | | | | $ | 401,541,034 | | | | | $ | 319,982,567 | | | | | $ | 217,585,040 | | | | | $ | 222,550,662 | | |
|
| | | Destinations Core Fixed Income Fund | | | Destinations Low Duration Fixed Income Fund | | | Destinations Global Fixed Income Opportunities Fund | | |||||||||||||||||||||||||||
| | | February 28, 2019 | | | February 28, 2018 | | | February 28, 2019 | | | February 28, 2018 | | | February 28, 2019 | | | February 28, 2018 | | ||||||||||||||||||
OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 45,639,857 | | | | | $ | 28,426,085 | | | | | $ | 9,347,197 | | | | | $ | 4,247,920 | | | | | $ | 27,952,952 | | | | | $ | 17,973,190 | | |
Net realized gain (loss) | | | | | (7,262,537) | | | | | | (594,401) | | | | | | (819,390) | | | | | | (284,260) | | | | | | (7,820,934) | | | | | | (938,211) | | |
Change in unrealized appreciation (depreciation) | | | | | 6,551,442 | | | | | | (25,749,521) | | | | | | (1,209,607) | | | | | | (1,467,170) | | | | | | (4,790,612) | | | | | | (6,103,823) | | |
Increase (Decrease) in Net Assets From Operations | | | | | 44,928,762 | | | | | | 2,082,163 | | | | | | 7,318,200 | | | | | | 2,496,490 | | | | | | 15,341,406 | | | | | | 10,931,156 | | |
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 5)*: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (43,867,648) | | | | | | (29,262,825) | | | | | | (9,092,756) | | | | | | (4,250,705) | | | | | | (27,291,806) | | | | | | (18,039,724) | | |
Class Z | | | | | (358,847) | | | | | | — | | | | | | (86,004) | | | | | | — | | | | | | (257,556) | | | | | | — | | |
Decrease in Net Assets From Distributions to Shareholders | | | | | (44,226,495) | | | | | | (29,262,825) | | | | | | (9,178,760) | | | | | | (4,250,705) | | | | | | (27,549,362) | | | | | | (18,039,724) | | |
FUND SHARE TRANSACTIONS : | | | | | | | | ||||||||||||||||||||||||||||||
Net proceeds from sale of shares: | | | | | | | | ||||||||||||||||||||||||||||||
Class I | | | | | 504,965,401 | | | | | | 1,704,394,993 | | | | | | 257,497,046 | | | | | | 206,141,510 | | | | | | 326,225,606 | | | | | | 664,465,917 | | |
Class Z | | | | | 31,239,465 | | | | | | — | | | | | | 6,912,149 | | | | | | — | | | | | | 16,628,666 | | | | | | — | | |
Reinvestment of distributions: | | | | | | | | ||||||||||||||||||||||||||||||
Class I | | | | | 43,781,187 | | | | | | 28,915,598 | | | | | | 9,068,735 | | | | | | 4,051,762 | | | | | | 27,223,257 | | | | | | 17,731,813 | | |
Class Z | | | | | 358,837 | | | | | | — | | | | | | 86,000 | | | | | | — | | | | | | 257,546 | | | | | | — | | |
Cost of shares repurchased: | | | | | | | | ||||||||||||||||||||||||||||||
Class I | | | | | (340,488,950) | | | | | | (206,384,919) | | | | | | (57,419,750) | | | | | | (29,970,144) | | | | | | (173,684,915) | | | | | | (73,723,855) | | |
Class Z | | | | | (3,221,197) | | | | | | — | | | | | | (865,282) | | | | | | — | | | | | | (2,465,584) | | | | | | — | | |
Increase (Decrease) in Net Assets From Fund Share Transactions | | | | | 236,634,743 | | | | | | 1,526,925,672 | | | | | | 215,278,898 | | | | | | 180,223,128 | | | | | | 194,184,576 | | | | | | 608,473,875 | | |
Increase (Decrease) in Net Assets | | | | | 237,337,010 | | | | | | 1,499,745,010 | | | | | | 213,418,338 | | | | | | 178,468,913 | | | | | | 181,976,620 | | | | | | 601,365,307 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | | 1,499,745,010 | | | | | | — | | | | | | 178,468,913 | | | | | | — | | | | | | 601,365,307 | | | | | | — | | |
End of period**† | | | | $ | 1,737,082,020 | | | | | $ | 1,499,745,010 | | | | | $ | 391,887,251 | | | | | $ | 178,468,913 | | | | | $ | 783,341,927 | | | | | $ | 601,365,307 | | |
|
| | | Destinations Municipal Fixed Income Fund | | | Destinations Multi Strategy Alternatives Fund | | ||||||||||||||||||
| | | February 28, 2019 | | | February 28, 2018 | | | February 28, 2019 | | | February 28, 2018 | | ||||||||||||
OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 10,499,326 | | | | | $ | 1,044,539 | | | | | $ | 38,158,965 | | | | | $ | 24,363,473 | | |
Net realized gain (loss) | | | | | (246,781) | | | | | | 116,426 | | | | | | 9,075,599 | | | | | | 2,261,898 | | |
Change in unrealized appreciation (depreciation) | | | | | 10,877,481 | | | | | | (3,175,804) | | | | | | (35,965,422) | | | | | | 11,754,409 | | |
Increase (Decrease) in Net Assets From Operations | | | | | 21,130,026 | | | | | | (2,014,839) | | | | | | 11,269,142 | | | | | | 38,379,780 | | |
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 5)*: | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (10,144,192) | | | | | | (1,179,420) | | | | | | (47,043,549) | | | | | | (19,534,986) | | |
Class Z | | | | | (109,819) | | | | | | — | | | | | | (586,246) | | | | | | — | | |
Decrease in Net Assets From Distributions to Shareholders | | | | | (10,254,011) | | | | | | (1,179,420) | | | | | | (47,629,795) | | | | | | (19,534,986) | | |
FUND SHARE TRANSACTIONS : | | | | | | ||||||||||||||||||||
Net proceeds from sale of shares: | | | | | | ||||||||||||||||||||
Class I | | | | | 756,168,946 | | | | | | 260,212,529 | | | | | | 364,349,389 | | | | | | 1,127,456,126 | | |
Class Z | | | | | 14,466,808 | | | | | | — | | | | | | 20,189,598 | | | | | | — | | |
Reinvestment of distributions: | | | | | | ||||||||||||||||||||
Class I | | | | | 10,104,941 | | | | | | 1,179,382 | | | | | | 46,982,654 | | | | | | 19,295,487 | | |
Class Z | | | | | 109,817 | | | | | | — | | | | | | 586,237 | | | | | | — | | |
Cost of shares repurchased: | | | | | | ||||||||||||||||||||
Class I | | | | | (144,701,847) | | | | | | (28,460,557) | | | | | | (387,871,442) | | | | | | (256,219,259) | | |
Class Z | | | | | (2,633,236) | | | | | | — | | | | | | (4,963,160) | | | | | | — | | |
Increase (Decrease) in Net Assets From Fund Share Transactions | | | | | 633,515,429 | | | | | | 232,931,354 | | | | | | 39,273,276 | | | | | | 890,532,354 | | |
Increase (Decrease) in Net Assets | | | | | 644,391,444 | | | | | | 229,737,095 | | | | | | 2,912,623 | | | | | | 909,377,148 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | | 229,737,095 | | | | | | — | | | | | | 909,377,148 | | | | | | — | | |
End of period**† | | | | $ | 874,128,539 | | | | | $ | 229,737,095 | | | | | $ | 912,289,771 | | | | | $ | 909,377,148 | | |
|
| | | Destinations Large Cap Equity Fund | | | Destinations Small-Mid Cap Equity Fund | | | Destinations International Equity Fund | | ||||||||||||||||||
| | | February 28, 2019 | | | February 28, 2018 | | | February 28, 2019 | | | February 28, 2018 | | | February 28, 2019 | | | February 28, 2018 | | |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | | | | (18,721,435) | | | | | | | | | (2,375,380) | | | | | | | | | (8,662,171) | | |
Net realized gains | | | | | | | | — | | | | | | | | | (3,306,413) | | | | | | | | | (557,094) | | |
Decrease in Net Assets From Distributions to Shareholders | | | | | | | | (18,721,435) | | | | | | | | | (5,681,793) | | | | | | | | | (9,219,265) | | |
The SEC eliminated the requirement to disclose undistributed net investment income in 2018. | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
** Includes undistributed net investment income of: | | | | | | | $ | 3,884,995 | | | | | | | | $ | — | | | | | | | | $ | 64,955 | | |
The SEC eliminated the requirement to disclose undistributed net investment loss in 2018. | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
† Includes accumulated net investment loss of: | | | | | | | $ | — | | | | | | | | $ | — | | | | | | | | $ | — | | |
|
| | | Destinations Equity Income Fund | | | Destinations Real Assets Fund | | ||||||||||||
| | | February 28, 2019 | | | February 28, 2018 | | | February 28, 2019 | | | February 28, 2018 | | ||||||
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | | | | (8,407,094) | | | | | | | | | (744,187) | | |
Net realized gains | | | | | | | | (1,253,336) | | | | | | | | | (4,800,160) | | |
Decrease in Net Assets From Distributions to Shareholders | | | | | | | | (9,660,430) | | | | | | | | | (5,544,347) | | |
The SEC eliminated the requirement to disclose undistributed net investment income in 2018. | | | | | | | | | | | | | | | | | | | |
** Includes undistributed net investment income of: | | | | | | | $ | 1,089,086 | | | | | | | | $ | — | | |
The SEC eliminated the requirement to disclose undistributed net investment loss in 2018. | | | | | | | | | | | | | | | | | | | |
† Includes accumulated net investment loss of: | | | | | | | $ | — | | | | | | | | $ | — | | |
|
| | | Destinations Core Fixed Income Fund | | | Destinations Low Duration Fixed Income Fund | | | Destinations Global Fixed Income Opportunities Fund | | ||||||||||||||||||
| | | February 28, 2019 | | | February 28, 2018 | | | February 28, 2019 | | | February 28, 2018 | | | February 28, 2019 | | | February 28, 2018 | | |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | | | | (27,010,187) | | | | | | | | | (4,250,705) | | | | | | | | | (17,704,050) | | |
Net realized gains | | | | | | | | (2,252,638) | | | | | | | | | — | | | | | | | | | (335,674) | | |
Decrease in Net Assets From Distributions to Shareholders | | | | | | | | (29,262,825) | | | | | | | | | (4,250,705) | | | | | | | | | (18,039,724) | | |
The SEC eliminated the requirement to disclose undistributed net investment income in 2018. | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
** Includes undistributed net investment income of: | | | | | | | $ | 1,425,425 | | | | | | | | $ | — | | | | | | | | $ | — | | |
The SEC eliminated the requirement to disclose undistributed net investment loss in 2018. | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
† Includes accumulated net investment loss of: | | | | | | | $ | — | | | | | | | | $ | (1,298) | | | | | | | | $ | — | | |
|
| | | Destinations Municipal Fixed Income Fund | | | Destinations Multi Strategy Alternatives Fund | | ||||||||||||
| | | February 28, 2019 | | | February 28, 2018 | | | February 28, 2019 | | | February 28, 2018 | | ||||||
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | |||||
Net investment income | | | | | | | | (993,759) | | | | | | | | | (19,534,986) | | |
Net realized gains | | | | | | | | (185,661) | | | | | | | | | — | | |
Decrease in Net Assets From Distributions to Shareholders | | | | | | | | (1,179,420) | | | | | | | | | (19,534,986) | | |
The SEC eliminated the requirement to disclose undistributed net investment income in 2018. | | | | | | | | | | | | | | | | | | | |
** Includes undistributed net investment income of: | | | | | | | $ | 50,769 | | | | | | | | $ | 1,189,564 | | |
The SEC eliminated the requirement to disclose undistributed net investment loss in 2018. | | | | | | | | | | | | | | | | | | | |
† Includes accumulated net investment loss of: | | | | | | | | | | | | | | | | $ | — | | |
|
| | | Class I | | |||||||||
| | | 2019 | | | 2018(1) | | ||||||
Net asset value, Beginning of Year | | | | $ | 11.71 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.11 | | | | | | 0.10 | | |
Net realized and unrealized gain | | | | | 0.18 | | | | | | 1.69 | | |
Total Income from Operations | | | | | 0.29 | | | | | | 1.79 | | |
Less Distributions From: | | | | | | | | | | | | | |
Net investment income | | | | | (0.10) | | | | | | (0.08) | | |
Net realized gain | | | | | (0.29) | | | | | | — | | |
Total Distributions | | | | | (0.39) | | | | | | (0.08) | | |
Net Asset Value, End of Year | | | | $ | 11.61 | | | | | $ | 11.71 | | |
Total Return(3) | | | | | 2.73% | | | | | | 17.89%(4) | | |
Net Assets, End of Year (millions) | | | | $ | 3,427 | | | | | $ | 2,804 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | |
Gross expenses | | | | | 0.97% | | | | | | 0.98%(5) | | |
Net expenses(6) | | | | | 0.85% | | | | | | 0.85%(5) | | |
Net investment income(6) | | | | | 0.91% | | | | | | 0.97%(5) | | |
Portfolio Turnover Rate(7) | | | | | 28% | | | | | | 52%(4) | | |
| | | Class Z | | |||
| | | 2019(1) | | |||
Net asset value, Beginning of Period | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | |
Net investment income(2) | | | | | 0.07 | | |
Net realized and unrealized (loss) | | | | | (0.21) | | |
Total (Loss) from Operations | | | | | (0.14) | | |
Less Distributions From: | | | | | | | |
Net investment income | | | | | (0.11) | | |
Net realized gain | | | | | (0.29) | | |
Total Distributions | | | | | (0.40) | | |
Net Asset Value, End of Period | | | | $ | 9.46 | | |
Total Return(3)(4) | | | | | (0.94)% | | |
Net Assets, End of Period (millions) | | | | $ | 70 | | |
Ratios to Average Net Assets: | | | | | | | |
Gross expenses(5) | | | | | 0.82% | | |
Net expenses(5)(6) | | | | | 0.70% | | |
Net investment income(5)(6) | | | | | 1.06% | | |
Portfolio Turnover Rate(4)(7) | | | | | 28% | | |
| | | Class I | | |||||||||
| | | 2019 | | | 2018(1) | | ||||||
Net asset value, Beginning of Year | | | | $ | 10.98 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.06 | | | | | | 0.04 | | |
Net realized and unrealized gain | | | | | 0.84 | | | | | | 1.04 | | |
Total Income from Operations | | | | | 0.90 | | | | | | 1.08 | | |
Less Distributions From: | | | | | | | | | | | | | |
Net investment income | | | | | (0.05) | | | | | | (0.04) | | |
Net realized gain | | | | | (0.52) | | | | | | (0.06) | | |
Total Distributions | | | | | (0.57) | | | | | | (0.10) | | |
Net Asset Value, End of Year | | | | $ | 11.31 | | | | | $ | 10.98 | | |
Total Return(3) | | | | | 9.02% | | | | | | 10.83%(4) | | |
Net Assets, End of Year (millions) | | | | $ | 962 | | | | | $ | 701 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | |
Gross expenses | | | | | 1.12% | | | | | | 1.14%(5) | | |
Net expenses(6) | | | | | 1.03% | | | | | | 1.03%(5) | | |
Net investment income(6) | | | | | 0.53% | | | | | | 0.41%(5) | | |
Portfolio Turnover Rate(7) | | | | | 85% | | | | | | 112%(4) | | |
| | | Class Z | | |||
| | | 2019(1) | | |||
Net asset value, Beginning of Period | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | |
Net investment income(2) | | | | | 0.04 | | |
Net realized and unrealized loss | | | | | (0.25) | | |
Total (Loss) from Operations | | | | | (0.21) | | |
Less Distributions From: | | | | | | | |
Net investment income | | | | | (0.07) | | |
Net realized gain | | | | | (0.52) | | |
Total Distributions | | | | | (0.59) | | |
Net Asset Value, End of Period | | | | $ | 9.20 | | |
Total Return(3)(4) | | | | | (1.24)% | | |
Net Assets, End of Period (millions) | | | | $ | 19 | | |
Ratios to Average Net Assets: | | | | | | | |
Gross expenses(5) | | | | | 0.97% | | |
Net expenses(5)(6) | | | | | 0.88% | | |
Net investment income(5)(6) | | | | | 0.68% | | |
Portfolio Turnover Rate(4)(7) | | | | | 85% | | |
| | | Class I | | |||||||||
| | | 2019 | | | 2018(1) | | ||||||
Net asset value, Beginning of Year | | | | $ | 11.69 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.09 | | | | | | 0.07 | | |
Net realized and unrealized gain (loss) | | | | | (0.77) | | | | | | 1.70 | | |
Total Income (Loss) from Operations | | | | | (0.68) | | | | | | 1.77 | | |
Less Distributions From: | | | | | | | | | | | | | |
Net investment income | | | | | (0.12) | | | | | | (0.07) | | |
Net realized gain | | | | | (0.03) | | | | | | (0.01) | | |
Total Distributions | | | | | (0.15) | | | | | | (0.08) | | |
Net Asset Value, End of Year | | | | $ | 10.86 | | | | | $ | 11.69 | | |
Total Return(3) | | | | | (5.71)% | | | | | | 17.70%(4) | | |
Net Assets, End of Year (millions) | | | | $ | 1,618 | | | | | $ | 1,413 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | |
Gross expenses | | | | | 1.28% | | | | | | 1.30%(5) | | |
Net expenses(6) | | | | | 1.18% | | | | | | 1.15%(5) | | |
Net investment income(6) | | | | | 0.83% | | | | | | 0.69%(5) | | |
Portfolio Turnover Rate(7) | | | | | 32% | | | | | | 50%(4) | | |
| | | Class Z | | |||
| | | 2019(1) | | |||
Net asset value, Beginning of Period | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | |
Net investment income(2) | | | | | 0.02 | | |
Net realized and unrealized loss | | | | | (0.38) | | |
Total (Loss) from Operations | | | | | (0.36) | | |
Less Distributions From: | | | | | | | |
Net investment income | | | | | (0.13) | | |
Net realized gain | | | | | (0.03) | | |
Total Distributions | | | | | (0.16) | | |
Net Asset Value, End of Period | | | | $ | 9.48 | | |
Total Return(3)(4) | | | | | (3.43)% | | |
Net Assets, End of Period (millions) | | | | $ | 33 | | |
Ratios to Average Net Assets: | | | | | | | |
Gross expenses(5) | | | | | 1.13% | | |
Net expenses(5)(6) | | | | | 1.03% | | |
Net investment income(5)(6) | | | | | 0.98% | | |
Portfolio Turnover Rate(4)(7) | | | | | 32% | | |
| | | Class I | | |||||||||
| | | 2019 | | | 2018(1) | | ||||||
Net asset value, Beginning of Year | | | | $ | 10.14 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.32 | | | | | | 0.31 | | |
Net realized and unrealized gain | | | | | 0.39 | | | | | | 0.12 | | |
Total Income from Operations | | | | | 0.71 | | | | | | 0.43 | | |
Less Distributions From: | | | | | | | | | | | | | |
Net investment income | | | | | (0.29) | | | | | | (0.26) | | |
Net realized gain | | | | | (0.36) | | | | | | (0.03) | | |
Total Distributions | | | | | (0.65) | | | | | | (0.29) | | |
Net Asset Value, End of Year | | | | $ | 10.20 | | | | | $ | 10.14 | | |
Total Return(3) | | | | | 7.52% | | | | | | 4.34%(4) | | |
Net Assets, End of Year (millions) | | | | $ | 391 | | | | | $ | 320 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | |
Gross expenses | | | | | 1.04% | | | | | | 1.05%(5) | | |
Net expenses(6) | | | | | 0.87% | | | | | | 0.93%(5) | | |
Net investment income(6) | | | | | 3.13% | | | | | | 3.18%(5) | | |
Portfolio Turnover Rate(7) | | | | | 74% | | | | | | 57%(4) | | |
| | | Class Z | | |||
| | | 2019(1) | | |||
Net asset value, Beginning of Period | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | |
Net investment income(2) | | | | | 0.20 | | |
Net realized and unrealized gain | | | | | 0.21 | | |
Total Income from Operations | | | | | 0.41 | | |
Less Distributions From: | | | | | | | |
Net investment income | | | | | (0.16) | | |
Net realized gain | | | | | (0.36) | | |
Total Distributions | | | | | (0.52) | | |
Net Asset Value, End of Period | | | | $ | 9.89 | | |
Total Return(3)(4) | | | | | 4.51% | | |
Net Assets, End of Period (millions) | | | | $ | 10 | | |
Ratios to Average Net Assets: | | | | | | | |
Gross expenses(5) | | | | | 0.89% | | |
Net expenses(5)(6) | | | | | 0.72% | | |
Net investment income(5)(6) | | | | | 3.28% | | |
Portfolio Turnover Rate(4)(7) | | | | | 74% | | |
| | | Class I | | |||||||||
| | | 2019 | | | 2018(1) | | ||||||
Net asset value, Beginning of Year | | | | $ | 8.94 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.02 | | | | | | 0.00(3) | | |
Net realized and unrealized (loss) | | | | | (2.52) | | | | | | (0.78) | | |
Total (Loss) from Operations | | | | | (2.50) | | | | | | (0.78) | | |
Less Distributions From: | | | | | | | | | | | | | |
Net investment income | | | | | (0.00)(3) | | | | | | (0.04) | | |
Net realized gain | | | | | (0.01) | | | | | | (0.24) | | |
Total Distributions | | | | | (0.01) | | | | | | (0.28) | | |
Net Asset Value, End of Year | | | | $ | 6.43 | | | | | $ | 8.94 | | |
Total Return(4) | | | | | (27.95)% | | | | | | (7.95)%(5) | | |
Net Assets, End of Year (millions) | | | | $ | 214 | | | | | $ | 223 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | |
Gross expenses | | | | | 1.24% | | | | | | 1.29%(6) | | |
Net expenses(7) | | | | | 1.20% | | | | | | 1.19%(6) | | |
Net investment income(7) | | | | | 0.21% | | | | | | 0.02%(6) | | |
Portfolio Turnover Rate(8) | | | | | 66% | | | | | | 58%(5) | | |
| | | Class Z | | |||
| | | 2019(1) | | |||
Net asset value, Beginning of Period | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | |
Net investment income(2) | | | | | 0.02 | | |
Net realized and unrealized (loss) | | | | | (3.50) | | |
Total (Loss) from Operations | | | | | (3.48) | | |
Less Distributions From: | | | | | | | |
Net investment income | | | | | (0.01) | | |
Net realized gain | | | | | (0.01) | | |
Total Distributions | | | | | (0.02) | | |
Net Asset Value, End of Period | | | | $ | 6.50 | | |
Total Return(3)(4) | | | | | (34.79)% | | |
Net Assets, End of Period (millions) | | | | $ | 4 | | |
Ratios to Average Net Assets: | | | | | | | |
Gross expenses(5) | | | | | 1.09% | | |
Net expenses(5)(6) | | | | | 1.05% | | |
Net investment income(5)(6) | | | | | 0.36% | | |
Portfolio Turnover Rate(4)(7) | | | | | 66% | | |
| | | Class I | | |||||||||
| | | 2019 | | | 2018(1) | | ||||||
Net asset value, Beginning of Year | | | | $ | 9.83 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.28 | | | | | | 0.21 | | |
Net realized and unrealized loss | | | | | (0.01) | | | | | | (0.17) | | |
Total Income from Operations | | | | | 0.27 | | | | | | 0.04 | | |
Less Distributions From: | | | | | | | | | | | | | |
Net investment income | | | | | (0.27) | | | | | | (0.19) | | |
Net realized loss | | | | | — | | | | | | (0.02) | | |
Total Distributions | | | | | (0.27) | | | | | | (0.21) | | |
Net Asset Value, End of Year | | | | $ | 9.83 | | | | | $ | 9.83 | | |
Total Return(3) | | | | | 2.77% | | | | | | 0.34%(4) | | |
Net Assets, End of Year (millions) | | | | $ | 1,708 | | | | | $ | 1,500 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | |
Gross expenses | | | | | 0.89% | | | | | | 0.90%(5) | | |
Net expenses(6) | | | | | 0.81% | | | | | | 0.82%(5) | | |
Net investment income(6) | | | | | 2.85% | | | | | | 2.22%(5) | | |
Portfolio Turnover Rate(7) | | | | | 64% | | | | | | 170%(4) | | |
| | | Class Z | | |||
| | | 2019(1) | | |||
Net asset value, Beginning of Period | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | |
Net investment income(2) | | | | | 0.20 | | |
Net realized and unrealized gain | | | | | 0.03 | | |
Total Income from Operations | | | | | 0.23 | | |
Less Distributions From: | | | | | | | |
Net investment income | | | | | (0.15) | | |
Total Distributions | | | | | (0.15) | | |
Net Asset Value, End of Period | | | | $ | 10.08 | | |
Total Return(3)(4) | | | | | 2.29% | | |
Net Assets, End of Period (millions) | | | | $ | 29 | | |
Ratios to Average Net Assets: | | | | | | | |
Gross expenses(5) | | | | | 0.74% | | |
Net expenses(5)(6) | | | | | 0.66% | | |
Net investment income(5)(6) | | | | | 3.00% | | |
Portfolio Turnover Rate(4)(7) | | | | | 64% | | |
| | | Class I | | |||||||||
| | | 2019 | | | 2018(1) | | ||||||
Net asset value, Beginning of Year | | | | $ | 9.90 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.35 | | | | | | 0.27 | | |
Net realized and unrealized loss | | | | | (0.08) | | | | | | (0.12) | | |
Total Income from Operations | | | | | 0.27 | | | | | | 0.15 | | |
Less Distributions From: | | | | | | | | | | | | | |
Net investment income | | | | | (0.33) | | | | | | (0.25) | | |
Total Distributions | | | | | (0.33) | | | | | | (0.25) | | |
Net Asset Value, End of Year | | | | $ | 9.84 | | | | | $ | 9.90 | | |
Total Return(3) | | | | | 2.79% | | | | | | 1.52%(4) | | |
Net Assets, End of Year (millions) | | | | $ | 386 | | | | | $ | 178 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | |
Gross expenses | | | | | 0.97% | | | | | | 1.00%(5) | | |
Net expenses(6) | | | | | 0.93% | | | | | | 0.94%(5) | | |
Net investment income(6) | | | | | 3.51% | | | | | | 2.84%(5) | | |
Portfolio Turnover Rate(7) | | | | | 120% | | | | | | 32%(4) | | |
| | | Class Z | | |||
| | | 2019(1) | | |||
Net asset value, Beginning of Period | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | |
Net investment income(2) | | | | | 0.22 | | |
Net realized and unrealized loss | | | | | (0.03) | | |
Total Income from Operations | | | | | 0.19 | | |
Less Distributions From: | | | | | | | |
Net investment income | | | | | (0.16) | | |
Total Distributions | | | | | (0.16) | | |
Net Asset Value, End of Period | | | | $ | 10.03 | | |
Total Return(3)(4) | | | | | 1.82% | | |
Net Assets, End of Period (millions) | | | | $ | 6 | | |
Ratios to Average Net Assets: | | | | | | | |
Gross expenses(5) | | | | | 0.82% | | |
Net expenses(5)(6) | | | | | 0.78% | | |
Net investment income(5)(6) | | | | | 3.66% | | |
Portfolio Turnover Rate(4)(7) | | | | | 120% | | |
| | | Class I | | |||||||||
| | | 2019 | | | 2018(1) | | ||||||
Net asset value, Beginning of Year | | | | $ | 9.99 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.38 | | | | | | 0.37 | | |
Net realized and unrealized (loss) | | | | | (0.18) | | | | | | (0.02) | | |
Total Income from Operations | | | | | 0.20 | | | | | | 0.35 | | |
Less Distributions From: | | | | | | | | | | | | | |
Net investment income | | | | | (0.37) | | | | | | (0.35) | | |
Net realized loss | | | | | — | | | | | | (0.01) | | |
Total Distributions | | | | | (0.37) | | | | | | (0.36) | | |
Net Asset Value, End of Year | | | | $ | 9.82 | | | | | $ | 9.99 | | |
Total Return(3) | | | | | 2.20% | | | | | | 3.34%(4) | | |
Net Assets, End of Year (millions) | | | | $ | 769 | | | | | $ | 601 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | |
Gross expenses | | | | | 1.09%(5) | | | | | | 1.10%(6) | | |
Net expenses(7) | | | | | 0.98%(5) | | | | | | 0.99%(6) | | |
Net investment income(7) | | | | | 3.90% | | | | | | 3.88%(6) | | |
Portfolio Turnover Rate(8) | | | | | 79% | | | | | | 64%(4) | | |
| | | Class Z | | |||
| | | 2019(1) | | |||
Net asset value, Beginning of Period | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | |
Net investment income(2) | | | | | 0.26 | | |
Net realized and unrealized (loss) | | | | | (0.08) | | |
Total Income from Operations | | | | | 0.18 | | |
Less Distributions From: | | | | | | | |
Net investment income | | | | | (0.20) | | |
Total Distributions | | | | | (0.20) | | |
Net Asset Value, End of Period | | | | $ | 9.98 | | |
Total Return(3)(4) | | | | | 1.72% | | |
Net Assets, End of Period (millions) | | | | $ | 14 | | |
Ratios to Average Net Assets: | | | | | | | |
Gross expenses(5) | | | | | 0.94%(6) | | |
Net expenses(5)(7) | | | | | 0.83%(6) | | |
Net investment income(5)(7) | | | | | 4.05% | | |
Portfolio Turnover Rate(4)(8) | | | | | 79% | | |
| | | Class I | | |||||||||
| | | 2019 | | | 2018(1) | | ||||||
Net asset value, Beginning of Year | | | | $ | 9.93 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.17 | | | | | | 0.08 | | |
Net realized and unrealized gain (loss) | | | | | 0.15 | | | | | | (0.09) | | |
Total Income (Loss) from Operations | | | | | 0.32 | | | | | | (0.01) | | |
Less Distributions From: | | | | | | | | | | | | | |
Net investment income | | | | | (0.14) | | | | | | (0.05) | | |
Net realized gain | | | | | — | | | | | | (0.01) | | |
Total Distributions | | | | | (0.14) | | | | | | (0.06) | | |
Net Asset Value, End of Year | | | | $ | 10.11 | | | | | $ | 9.93 | | |
Total Return(3) | | | | | 3.30% | | | | | | (0.14)%(4) | | |
Net Assets, End of Year (millions) | | | | $ | 862 | | | | | $ | 230 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | |
Gross expenses | | | | | 0.95% | | | | | | 0.97%(5) | | |
Net expenses(6) | | | | | 0.80% | | | | | | 0.80%(5) | | |
Net investment income(6) | | | | | 1.71% | | | | | | 0.79%(5) | | |
Portfolio Turnover Rate(7) | | | | | 84% | | | | | | 69%(4) | | |
| | | Class Z | | |||
| | | 2019(1) | | |||
Net asset value, Beginning of Period | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | |
Net investment income(2) | | | | | 0.13 | | |
Net realized and unrealized gain | | | | | 0.11 | | |
Total Income from Operations | | | | | 0.24 | | |
Less Distributions From: | | | | | | | |
Net investment income | | | | | (0.10) | | |
Total Distributions | | | | | (0.10) | | |
Net Asset Value, End of Period | | | | $ | 10.14 | | |
Total Return(3)(4) | | | | | 2.42% | | |
Net Assets, End of Period (millions) | | | | $ | 12 | | |
Ratios to Average Net Assets: | | | | | | | |
Gross expenses(5) | | | | | 0.80% | | |
Net expenses(5)(6) | | | | | 0.65% | | |
Net investment income(5)(6) | | | | | 1.86% | | |
Portfolio Turnover Rate(4)(7) | | | | | 84% | | |
| | | Class I | | |||||||||
| | | 2019 | | | 2018(1) | | ||||||
Net asset value, Beginning of Year | | | | $ | 10.20 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.40 | | | | | | 0.27 | | |
Net realized and unrealized gain (loss) | | | | | (0.32) | | | | | | 0.13 | | |
Total Income from Operations | | | | | 0.08 | | | | | | 0.40 | | |
Less Distributions From: | | | | | | | | | | | | | |
Net investment income | | | | | (0.35) | | | | | | (0.20) | | |
Net realized gain | | | | | (0.17) | | | | | | — | | |
Total Distributions | | | | | (0.52) | | | | | | (0.20) | | |
Net Asset Value, End of Year | | | | $ | 9.76 | | | | | $ | 10.20 | | |
Total Return(3) | | | | | 1.10% | | | | | | 3.94%(4) | | |
Net Assets, End of Year (millions) | | | | $ | 897 | | | | | $ | 909 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | |
Gross expenses | | | | | 1.71%(5) | | | | | | 1.73%(6)(7) | | |
Net expenses(8) | | | | | 1.23%(5) | | | | | | 1.25%(6)(7) | | |
Net investment income(8) | | | | | 4.01% | | | | | | 2.82%(7) | | |
Portfolio Turnover Rate(9) | | | | | 109% | | | | | | 111%(4) | | |
| | | Class Z | | |||
| | | 2019(1) | | |||
Net asset value, Beginning of Period | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | |
Net investment income(2) | | | | | 0.31 | | |
Net realized and unrealized (loss) | | | | | (0.35) | | |
Total (Loss) from Operations | | | | | (0.04) | | |
Less Distributions From: | | | | | | | |
Net investment income | | | | | (0.25) | | |
Net realized gain | | | | | (0.17) | | |
Total Distributions | | | | | (0.42) | | |
Net Asset Value, End of Period | | | | $ | 9.54 | | |
Total Return(3)(4) | | | | | (0.21)% | | |
Net Assets, End of Period (millions) | | | | $ | 15 | | |
Ratios to Average Net Assets: | | | | | | | |
Gross expenses(5) | | | | | 1.56%(6) | | |
Net expenses(5)(7) | | | | | 1.08%(6) | | |
Net investment income(5)(7) | | | | | 4.16% | | |
Portfolio Turnover Rate(4)(8) | | | | | 109% | | |
| | | Total Fair Value at February 28, 2019 | | | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | | ||||||||||||
Destinations Large Cap Equity Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Common Stocks: | | ||||||||||||||||||||||||
Basic Materials | | | | $ | 59,450,433 | | | | | $ | 59,450,433 | | | | | $ | — | | | | | $ | — | | |
Communications | | | | | 579,613,342 | | | | | | 579,613,342 | | | | | | — | | | | | | — | | |
Consumer Cyclical | | | | | 246,279,731 | | | | | | 246,279,731 | | | | | | — | | | | | | — | | |
Consumer Non-cyclical | | | | | 831,957,851 | | | | | | 831,957,851 | | | | | | — | | | | | | — | | |
Energy | | | | | 196,587,162 | | | | | | 196,587,162 | | | | | | — | | | | | | — | | |
Financial | | | | | 538,754,776 | | | | | | 537,170,153 | | | | | | — | | | | | | 1,584,623 | | |
Industrial | | | | | 339,777,350 | | | | | | 339,777,350 | | | | | | — | | | | | | — | | |
Technology | | | | | 529,268,485 | | | | | | 529,268,485 | | | | | | — | | | | | | — | | |
Utilities | | | | | 67,091,956 | | | | | | 67,091,956 | | | | | | — | | | | | | — | | |
Preferred Stock | | | | | 406,539 | | | | | | — | | | | | | — | | | | | | 406,539 | | |
| | | Total Fair Value at February 28, 2019 | | | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | | | | | | ||||||||||||||||||||
Destinations Large Cap Equity Fund (continued) | | | | | | ||||||||||||||||||||||||||||||||
Investments, at value (continued) | | | | | | ||||||||||||||||||||||||||||||||
Short-Term Investments: | | | | | | | | | | | | | | ||||||||||||||||||||||||
Time Deposits | | | | $ | 97,783,757 | | | | | $ | — | | | | | $ | 97,783,757 | | | | | $ | — | | | | | | | ||||||||
Money Market Fund | | | | | 13,388,335 | | | | | | 13,388,335 | | | | | | — | | | | | | — | | | | | | | ||||||||
Total Investments, at value | | | | $ | 3,500,359,717 | | | | | $ | 3,400,584,798 | | | | | $ | 97,783,757 | | | | | $ | 1,991,162 | | | | | | | ||||||||
Other Financial Instruments – Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||||||||
Futures Contract | | | | $ | 808,065 | | | | | $ | 808,065 | | | | | $ | — | | | | | $ | — | | | | | | | ||||||||
Total Other Financial Instruments – Assets | | | | $ | 808,065 | | | | | $ | 808,065 | | | | | $ | — | | | | | $ | — | | | | | | | ||||||||
Destinations Small-Mid Cap Equity Fund | | | | | | ||||||||||||||||||||||||||||||||
Investments, at value | | | | | | ||||||||||||||||||||||||||||||||
Common Stocks | | | | $ | 819,245,077 | | | | | $ | 819,245,077 | | | | | $ | — | | | | | $ | — | | | | | | | ||||||||
Exchange Traded Funds (ETFs) | | | | | 125,675,454 | | | | | | 125,675,454 | | | | | | — | | | | | | — | | | | | | | ||||||||
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||||||||
Time Deposits | | | | | 34,200,693 | | | | | | — | | | | | | 34,200,693 | | | | | | — | | | | | | | ||||||||
Money Market Fund | | | | | 14,487,635 | | | | | | 14,487,635 | | | | | | — | | | | | | — | | | | | | | ||||||||
Total Investments, at value | | | | $ | 993,608,859 | | | | | $ | 959,408,166 | | | | | $ | 34,200,693 | | | | | $ | — | | | | | | | ||||||||
Destinations International Equity Fund | | | | | | ||||||||||||||||||||||||||||||||
Investments, at value | | | | | | ||||||||||||||||||||||||||||||||
Common Stocks: | | | | | | ||||||||||||||||||||||||||||||||
Argentina | | | | $ | 8,429,439 | | | | | $ | 8,429,439 | | | | | $ | — | | | | | $ | — | | | | | | | ||||||||
Australia | | | | | 36,574,020 | | | | | | — | | | | | | 36,574,020 | | | | | | — | | | | | | | ||||||||
Austria | | | | | 4,081,781 | | | | | | — | | | | | | 4,081,781 | | | | | | — | | | | | | | ||||||||
Belgium | | | | | 824,245 | | | | | | 824,245 | | | | | | — | | | | | | — | | | | | | | ||||||||
Bermuda | | | | | 2,489,244 | | | | | | — | | | | | | 2,489,244 | | | | | | — | | | | | | | ||||||||
Brazil | | | | | 38,479,266 | | | | | | 20,901,876 | | | | | | 17,577,390 | | | | | | — | | | | | | | ||||||||
Canada | | | | | 34,665,141 | | | | | | 34,665,141 | | | | | | — | | | | | | — | | | | | | | ||||||||
China | | | | | 124,905,049 | | | | | | 34,730,357 | | | | | | 90,174,692 | | | | | | — | | | | | | | ||||||||
Denmark | | | | | 3,718,812 | | | | | | — | | | | | | 3,718,812 | | | | | | — | | | | | | | ||||||||
Egypt | | | | | 2,547,506 | | | | | | — | | | | | | 2,547,506 | | | | | | — | | | | | | | ||||||||
Finland | | | | | 6,577,718 | | | | | | 2,942,895 | | | | | | 3,634,823 | | | | | | — | | | | | | | ||||||||
France | | | | | 82,159,783 | | | | | | — | | | | | | 82,159,783 | | | | | | — | | | | | | | ||||||||
Germany | | | | | 88,550,257 | | | | | | — | | | | | | 88,550,257 | | | | | | — | | | | | | | ||||||||
Greece | | | | | 3,267,955 | | | | | | — | | | | | | 3,267,955 | | | | | | — | | | | | | | ||||||||
Hong Kong | | | | | 31,623,299 | | | | | | — | | | | | | 31,623,299 | | | | | | — | | | | | | | ||||||||
Hungary | | | | | 1,434,829 | | | | | | — | | | | | | 1,434,829 | | | | | | — | | | | | | | ||||||||
India | | | | | 81,933,183 | | | | | | — | | | | | | 81,933,183 | | | | | | — | | | | | | | ||||||||
Indonesia | | | | | 13,001,856 | | | | | | — | | | | | | 13,001,856 | | | | | | — | | | | | | | ||||||||
Ireland | | | | | 6,664,187 | | | | | | 2,298,515 | | | | | | 4,365,672 | | | | | | — | | | | | | | ||||||||
Israel | | | | | 4,861,026 | | | | | | 2,040,820 | | | | | | 2,820,206 | | | | | | — | | | | | | | ||||||||
Italy | | | | | 8,036,199 | | | | | | — | | | | | | 8,036,199 | | | | | | — | | | | | | | ||||||||
Japan | | | | | 201,428,647 | | | | | | — | | | | | | 201,428,647 | | | | | | — | | | | | | | ||||||||
Malaysia | | | | | 5,448,484 | | | | | | — | | | | | | 5,448,484 | | | | | | — | | | | | | | ||||||||
Mexico | | | | | 21,454,669 | | | | | | 4,642,556 | | | | | | 16,812,113 | | | | | | — | | | | | | | ||||||||
Netherlands | | | | | 24,142,590 | | | | | | 7,643,020 | | | | | | 16,499,570 | | | | | | — | | | | | | | ||||||||
Nigeria | | | | | 248,369 | | | | | | — | | | | | | 248,369 | | | | | | — | | | | | | | ||||||||
Norway | | | | | 5,435,979 | | | | | | — | | | | | | 5,435,979 | | | | | | — | | | | | | | ||||||||
Pakistan | | | | | 441,258 | | | | | | — | | | | | | 441,258 | | | | | | — | | | | | | |
| | | Total Fair Value at February 28, 2019 | | | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | | ||||||||||||
Destinations International Equity Fund (continued) | | ||||||||||||||||||||||||
Investments, at value (continued) | | ||||||||||||||||||||||||
Common Stocks: (continued) | | ||||||||||||||||||||||||
Panama | | | | $ | 1,437,171 | | | | | $ | 1,437,171 | | | | | $ | — | | | | | $ | — | | |
Peru | | | | | 2,528,865 | | | | | | 2,528,865 | | | | | | — | | | | | | — | | |
Philippines | | | | | 16,664,857 | | | | | | — | | | | | | 16,664,857 | | | | | | — | | |
Portugal | | | | | 7,130,441 | | | | | | — | | | | | | 7,130,441 | | | | | | — | | |
Russia | | | | | 5,797,819 | | | | | | 5,341,710 | | | | | | 456,109 | | | | | | — | | |
Singapore | | | | | 4,030,994 | | | | | | — | | | | | | 4,030,994 | | | | | | — | | |
South Africa | | | | | 32,207,709 | | | | | | 1,198,726 | | | | | | 31,008,983 | | | | | | — | | |
South Korea | | | | | 42,040,002 | | | | | | — | | | | | | 42,040,002 | | | | | | — | | |
Spain | | | | | 15,425,902 | | | | | | 1,406,283 | | | | | | 14,019,619 | | | | | | — | | |
Sweden | | | | | 27,774,457 | | | | | | — | | | | | | 27,774,457 | | | | | | — | | |
Switzerland | | | | | 72,189,611 | | | | | | — | | | | | | 72,189,611 | | | | | | — | | |
Taiwan | | | | | 58,875,257 | | | | | | 13,678,121 | | | | | | 45,197,136 | | | | | | — | | |
Thailand | | | | | 12,247,115 | | | | | | — | | | | | | 12,247,115 | | | | | | — | | |
United Arab Emirates | | | | | 1,948,383 | | | | | | — | | | | | | 1,948,383 | | | | | | — | | |
United Kingdom | | | | | 112,310,573 | | | | | | 4,307,226 | | | | | | 107,999,240 | | | | | | 4,107 | | |
United States | | | | | 51,604,744 | | | | | | 51,604,744 | | | | | | — | | | | | | — | | |
Exchange Traded Funds (ETFs) | | | | | 269,231,699 | | | | | | 269,231,699 | | | | | | — | | | | | | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 64,842,281 | | | | | | — | | | | | | 64,842,281 | | | | | | — | | |
U.S. Government Agency | | | | | 11,202,000 | | | | | | — | | | | | | 11,202,000 | | | | | | — | | |
Money Market Fund | | | | | 22,347,241 | | | | | | 22,347,241 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 1,675,261,912 | | | | | $ | 492,200,650 | | | | | $ | 1,183,057,155 | | | | | $ | 4,107 | | |
Other Financial Instruments – Asset | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | 119,696 | | | | | $ | — | | | | | $ | 119,696 | | | | | $ | — | | |
Total Other Financial Instruments – Assets | | | | $ | 119,696 | | | | | $ | — | | | | | $ | 119,696 | | | | | $ | — | | |
Destinations Equity Income Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Common Stocks | | | | $ | 313,143,761 | | | | | $ | 313,143,761 | | | | | $ | — | | | | | $ | — | | |
Exchange Traded Funds (ETFs) | | | | | 80,626,347 | | | | | | 80,626,347 | | | | | | — | | | | | | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Note | | | | | 1,318,600 | | | | | | — | | | | | | 1,318,600 | | | | | | — | | |
Time Deposits | | | | | 5,214,987 | | | | | | — | | | | | | 5,214,987 | | | | | | — | | |
Total Investments, at value | | | | $ | 400,303,695 | | | | | $ | 393,770,108 | | | | | $ | 6,533,587 | | | | | $ | — | | |
Destinations Real Assets Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Common Stocks | | | | $ | 179,643,470 | | | | | $ | 179,643,470 | | | | | $ | — | | | | | $ | — | | |
Exchange Traded Fund (ETF) | | | | | 33,896,723 | | | | | | 33,896,723 | | | | | | — | | | | | | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 4,022,256 | | | | | | — | | | | | | 4,022,256 | | | | | | — | | |
Money Market Fund | | | | | 12,554,680 | | | | | | 12,554,680 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 230,117,129 | | | | | $ | 226,094,873 | | | | | $ | 4,022,256 | | | | | $ | — | | |
|
| | | Total Fair Value at February 28, 2019 | | | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | | ||||||||||||
Destinations Core Fixed Income Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Collateralized Mortgage Obligations | | | | $ | 420,897,388 | | | | | $ | — | | | | | $ | 420,897,388 | | | | | $ | — | | |
U.S. Government Agencies & Obligations | | | | | 385,049,054 | | | | | | — | | | | | | 385,049,054 | | | | | | — | | |
Corporate Bonds & Notes | | | | | 336,067,822 | | | | | | — | | | | | | 336,067,822 | | | | | | — | | |
Mortgage-Backed Securities | | | | | 321,779,573 | | | | | | — | | | | | | 321,779,573 | | | | | | — | | |
Asset-Backed Securities | | | | | 134,604,243 | | | | | | — | | | | | | 134,604,243 | | | | | | — | | |
Senior Loans | | | | | 55,370,875 | | | | | | — | | | | | | 55,370,875 | | | | | | — | | |
Sovereign Bonds | | | | | 19,765,909 | | | | | | — | | | | | | 19,765,909 | | | | | | — | | |
Municipal Bonds | | | | | 3,467,217 | | | | | | — | | | | | | 3,467,217 | | | | | | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 29,890,485 | | | | | | — | | | | | | 29,890,485 | | | | | | — | | |
U.S. Government Obligations | | | | | 33,100,229 | | | | | | — | | | | | | 33,100,229 | | | | | | — | | |
Money Market Fund | | | | | 136,818 | | | | | | 136,818 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 1,740,129,613 | | | | | $ | 136,818 | | | | | $ | 1,739,992,795 | | | | | $ | — | | |
Other Financial Instruments – Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Sale Commitment | | | | $ | (2,069,187) | | | | | $ | — | | | | | $ | (2,069,187) | | | | | $ | — | | |
Total Other Financial Instruments – Liabilities | | | | $ | (2,069,187) | | | | | $ | — | | | | | $ | (2,069,187) | | | | | $ | — | | |
Destinations Low Duration Fixed Income Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Corporate Bonds & Notes | | | | $ | 205,978,177 | | | | | $ | — | | | | | $ | 205,978,177 | | | | | $ | — | | |
Asset-Backed Securities | | | | | 43,436,795 | | | | | | — | | | | | | 43,436,795 | | | | | | — | | |
Collateralized Mortgage Obligations | | | | | 34,438,206 | | | | | | — | | | | | | 34,438,206 | | | | | | — | | |
Senior Loans | | | | | 22,302,276 | | | | | | — | | | | | | 22,302,276 | | | | | | — | | |
U.S. Government Obligations | | | | | 3,603,939 | | | | | | — | | | | | | 3,603,939 | | | | | | — | | |
Sovereign Bonds | | | | | 446,175 | | | | | | — | | | | | | 446,175 | | | | | | — | | |
Exchange Traded Fund (ETF) | | | | | 22,576,546 | | | | | | 22,576,546 | | | | | | — | | | | | | — | | |
Common Stock | | | | | 264,017 | | | | | | — | | | | | | — | | | | | | 264,017 | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Commercial Papers | | | | | 43,866,243 | | | | | | — | | | | | | 43,866,243 | | | | | | — | | |
Time Deposits | | | | | 13,405,206 | | | | | | — | | | | | | 13,405,206 | | | | | | — | | |
U.S. Government Obligations | | | | | 6,124,973 | | | | | | — | | | | | | 6,124,973 | | | | | | — | | |
Total Investments, at value | | | | $ | 396,442,553 | | | | | $ | 22,576,546 | | | | | $ | 373,601,990 | | | | | $ | 264,017 | | |
Other Financial Instruments – Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | (27,300) | | | | | $ | — | | | | | $ | (27,300) | | | | | $ | — | | |
Total Other Financial Instruments – Liabilities | | | | $ | (27,300) | | | | | $ | — | | | | | $ | (27,300) | | | | | $ | — | | |
Destinations Global Fixed Income Opportunities Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Corporate Bonds & Notes | | | | $ | 500,050,456 | | | | | $ | — | | | | | $ | 500,050,456 | | | | | $ | — | | |
Senior Loans | | | | | 82,990,395 | | | | | | — | | | | | | 81,920,558 | | | | | | 1,069,837 | | |
Sovereign Bonds | | | | | 27,742,071 | | | | | | — | | | | | | 27,742,071 | | | | | | — | | |
Common Stocks: | | | | | | | | | | | | | | | | | | | | | | | | | |
China | | | | | 1,236,595 | | | | | | 1,236,595 | | | | | | — | | | | | | — | | |
Colombia | | | | | 201,847 | | | | | | 201,847 | | | | | | — | | | | | | — | | |
Hong Kong | | | | | 1,371,956 | | | | | | 1,371,956 | | | | | | — | | | | | | — | | |
United States | | | | | 18,101,235 | | | | | | 14,301,515 | | | | | | — | | | | | | 3,799,720 | | |
| | | Total Fair Value at February 28, 2019 | | | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | | ||||||||||||
Destinations Global Fixed Income Opportunities Fund (continued) | | ||||||||||||||||||||||||
Investments, at value (continued) | | ||||||||||||||||||||||||
Preferred Stocks: | | | | | | | | | | | | | | | | | | | | | | | | | |
Bermuda | | | | $ | 2,531,570 | | | | | $ | 2,531,570 | | | | | $ | — | | | | | $ | — | | |
United States | | | | | 11,033,470 | | | | | | 9,790,470 | | | | | | 1,243,000 | | | | | | — | | |
Warrant | | | | | 98,775 | | | | | | 98,775 | | | | | | — | | | | | | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Commercial Papers | | | | | 99,885,732 | | | | | | — | | | | | | 99,885,732 | | | | | | — | | |
Time Deposits | | | | | 47,440,330 | | | | | | — | | | | | | 47,440,330 | | | | | | — | | |
Money Market Fund | | | | | 2,381,368 | | | | | | 2,381,368 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 795,065,800 | | | | | $ | 31,914,096 | | | | | $ | 758,282,147 | | | | | $ | 4,869,557 | | |
Other Financial Instruments – Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | (43,091) | | | | | $ | — | | | | | $ | (43,091) | | | | | $ | — | | |
Securities Sold Short: | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | | | | (3,975,219) | | | | | | — | | | | | | (3,975,219) | | | | | | — | | |
Total Other Financial Instruments – Liabilities | | | | $ | (4,018,310) | | | | | $ | — | | | | | $ | (4,018,310) | | | | | $ | — | | |
Destinations Municipal Fixed Income Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Municipal Bonds | | | | $ | 751,558,692 | | | | | $ | — | | | | | $ | 751,558,692 | | | | | $ | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Municipal Bonds | | | | | 91,377,057 | | | | | | — | | | | | | 91,377,057 | | | | | | — | | |
Time Deposits | | | | | 26,881,076 | | | | | | — | | | | | | 26,881,076 | | | | | | — | | |
Total Investments, at value | | | | $ | 869,816,825 | | | | | $ | — | | | | | $ | 869,816,825 | | | | | $ | — | | |
Destinations Multi Strategy Alternatives Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Corporate Bonds & Notes: | | | | | | | | | | | | | | | | | | | | | | | | | |
Basic Materials | | | | $ | 2,007,240 | | | | | $ | — | | | | | $ | 2,007,240 | | | | | $ | — | | |
Communications | | | | | 42,462,972* | | | | | | — | | | | | | 42,462,972 | | | | | | —* | | |
Consumer Cyclical | | | | | 16,780,389 | | | | | | — | | | | | | 16,780,389 | | | | | | — | | |
Consumer Non-cyclical | | | | | 22,431,968 | | | | | | — | | | | | | 22,431,968 | | | | | | — | | |
Energy | | | | | 37,245,866 | | | | | | — | | | | | | 37,245,866 | | | | | | — | | |
Financial | | | | | 43,384,602 | | | | | | 2,158,735 | | | | | | 41,225,867 | | | | | | — | | |
Senior Loans | | | | | 73,429,672 | | | | | | — | | | | | | 73,429,672 | | | | | | — | | |
Municipal Bonds | | | | | 11,006,770 | | | | | | — | | | | | | 11,006,770 | | | | | | — | | |
Open-End Funds | | | | | 317,716,470 | | | | | | 317,716,470 | | | | | | — | | | | | | — | | |
Closed-End Funds | | | | | 146,222,423 | | | | | | 146,222,423 | | | | | | — | | | | | | — | | |
Common Stocks | | | | | 120,639,180 | | | | | | 120,639,180 | | | | | | — | | | | | | — | | |
Preferred Stocks: | | | | | | | | | | | | | | | | | | | | | | | | | |
Financial | | | | | 1,714,110 | | | | | | 1,205,678 | | | | | | 508,432 | | | | | | — | | |
Warrants | | | | | 239,899 | | | | | | 239,899 | | | | | | — | | | | | | — | | |
Rights | | | | | 69,905 | | | | | | 69,905 | | | | | | — | | | | | | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 105,874,234 | | | | | | — | | | | | | 105,874,234 | | | | | | — | | |
Money Market Fund | | | | | 33,797,448 | | | | | | 33,797,448 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 975,023,148* | | | | | $ | 622,049,738 | | | | | $ | 352,973,410 | | | | | $ | —* | | |
|
| | | Total Fair Value at February 28, 2019 | | | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | | ||||||||||||
Destinations Multi Strategy Alternatives Fund (continued) | | ||||||||||||||||||||||||
Other Financial Instruments – Liabilities | | ||||||||||||||||||||||||
Forward Foreign Currency Contract | | | | $ | (72,219) | | | | | $ | — | | | | | $ | (72,219) | | | | | $ | — | | |
Securities Sold Short: | | | | | | | | | | | | | | | | | | | | | | | | | |
Exchange Traded Funds (ETFs) | | | | | (39,325,770) | | | | | | (39,325,770) | | | | | | — | | | | | | — | | |
Common Stocks | | | | | (3,733,569) | | | | | | (3,733,569) | | | | | | — | | | | | | — | | |
Total Other Financial Instruments – Liabilities | | | | $ | (43,131,558) | | | | | $ | (43,059,339) | | | | | $ | (72,219) | | | | | $ | — | | |
|
| | | Total | | | Common Stocks | | | Corporate Bonds & Notes | | | Preferred Stocks | | | Senior Loans | | |||||||||||||||
Destinations Large Cap Equity Fund | | ||||||||||||||||||||||||||||||
Balance as of February 28, 2018 | | | | $ | 406,539 | | | | | $ | — | | | | | $ | — | | | | | $ | 406,539 | | | | | $ | — | | |
Purchases | | | | | 1,584,623 | | | | | | 1,584,623 | | | | | | — | | | | | | — | | | | | | — | | |
(Sales/Paydowns) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total realized gain (loss) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Change in unrealized appreciation (depreciation) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers In | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Balance as of February 28, 2019 | | | | $ | 1,991,162 | | | | | $ | 1,584,623 | | | | | $ | — | | | | | $ | 406,539 | | | | | $ | — | | |
Change in unrealized appreciation (depreciation) from Investments held as of February 28, 2019 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Destinations International Equity Fund | | ||||||||||||||||||||||||||||||
Balance as of February 28, 2018 | | | | $ | —* | | | | | $ | —* | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Purchases | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
(Sales/Paydowns) | | | | | —* | | | | | | —* | | | | | | — | | | | | | — | | | | | | — | | |
Total realized gain (loss) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Change in unrealized appreciation (depreciation) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers In | | | | | 4,107 | | | | | | 4,107 | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Balance as of February 28, 2019 | | | | $ | 4,107 | | | | | $ | 4,107 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Change in unrealized appreciation (depreciation) from Investments held as of February 28, 2019 | | | | $ | (1,577,298) | | | | | $ | (1,577,298) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
| | | Total | | | Common Stocks | | | Corporate Bonds & Notes | | | Preferred Stocks | | | Senior Loans | | |||||||||||||||
Destinations Real Assets Fund | | ||||||||||||||||||||||||||||||
Balance as of February 28, 2018 | | | | $ | 168,232 | | | | | $ | 168,232 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Purchases | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
(Sales/Paydowns) | | | | | (201,123) | | | | | | (201,123) | | | | | | — | | | | | | — | | | | | | — | | |
Total realized gain (loss) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Change in unrealized appreciation (depreciation) | | | | | 32,891 | | | | | | 32,891 | | | | | | — | | | | | | — | | | | | | — | | |
Transfers In | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Balance as of February 28, 2019 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Change in unrealized appreciation (depreciation) from Investments held as of February 28, 2019 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Destinations Low Duration Fixed Income Fund | | ||||||||||||||||||||||||||||||
Balance as of February 28, 2018 | | | | $ | 2,766,482 | | | | | $ | — | | | | | $ | 2,766,482 | | | | | $ | — | | | | | $ | — | | |
Purchases | | | | | 1,510,049 | | | | | | 395,660 | | | | | | 1,114,389 | | | | | | — | | | | | | — | | |
(Sales/Paydowns) | | | | | (1,629,717) | | | | | | — | | | | | | (1,629,717) | | | | | | — | | | | | | — | | |
Accrued Discounts (premiums) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total realized gain (loss) | | | | | (252,434) | | | | | | — | | | | | | (252,434) | | | | | | — | | | | | | — | | |
Change in unrealized appreciation (depreciation) | | | | | (312,798) | | | | | | (131,643) | | | | | | (181,155) | | | | | | — | | | | | | — | | |
Transfers In | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | (1,817,565) | | | | | | — | | | | | | (1,817,565) | | | | | | — | | | | | | — | | |
Balance as of February 28, 2019 | | | | $ | 264,017 | | | | | $ | 264,017 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Change in unrealized appreciation (depreciation) from Investments held as of February 28, 2019 | | | | $ | (131,643) | | | | | $ | (131,643) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Destinations Global Fixed Income Opportunities Fund | | ||||||||||||||||||||||||||||||
Balance as of February 28, 2018 | | | | $ | 5,058,416 | | | | | $ | — | | | | | $ | 3,293,023 | | | | | $ | — | | | | | $ | 1,765,393 | | |
Purchases | | | | | 7,846,474 | | | | | | 5,029,121 | | | | | | 1,650,375 | | | | | | — | | | | | | 1,166,978 | | |
(Sales/Paydowns) | | | | | (3,300,041) | | | | | | — | | | | | | (1,549,733) | | | | | | — | | | | | | (1,750,308) | | |
Accrued Discounts (premiums) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total realized gain (loss) | | | | | (88,690) | | | | | | — | | | | | | (88,781) | | | | | | — | | | | | | 91 | | |
Change in unrealized appreciation (depreciation) | | | | | (1,355,512) | | | | | | (1,229,401) | | | | | | (13,794) | | | | | | — | | | | | | (112,317) | | |
Transfers In | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | (3,291,090) | | | | | | — | | | | | | (3,291,090) | | | | | | — | | | | | | — | | |
Balance as of February 28, 2019 | | | | $ | 4,869,557 | | | | | $ | 3,799,720 | | | | | $ | — | | | | | $ | — | | | | | $ | 1,069,837 | | |
Change in unrealized appreciation (depreciation) from Investments held as of February 28, 2019 | | | | $ | (1,229,401) | | | | | $ | (1,229,401) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Destinations Multi Strategy Alternatives Fund | | ||||||||||||||||||||||||||||||
Balance as of February 28, 2018 | | | | $ | 197,907* | | | | | $ | —* | | | | | $ | 8,032 | | | | | $ | — | | | | | $ | 189,875* | | |
Purchases | | | | | 396 | | | | | | — | | | | | | — | | | | | | — | | | | | | 396 | | |
(Sales/Paydowns) | | | | | (1,703)* | | | | | | —* | | | | | | (80) | | | | | | — | | | | | | (1,623)* | | |
Accrued Discounts (premiums) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total realized gain (loss) | | | | | (160,567) | | | | | | — | | | | | | (160,567) | | | | | | — | | | | | | — | | |
Change in unrealized appreciation (depreciation) | | | | | (17,045) | | | | | | — | | | | | | 152,615 | | | | | | — | | | | | | (169,660) | | |
Transfers In | | | | | —* | | | | | | — | | | | | | —* | | | | | | — | | | | | | — | | |
Transfers Out | | | | | (18,988) | | | | | | — | | | | | | — | | | | | | — | | | | | | (18,988) | | |
Balance as of February 28, 2019 | | | | $ | —* | | | | | $ | — | | | | | $ | —* | | | | | $ | — | | | | | $ | — | | |
Change in unrealized appreciation (depreciation) from Investments held as of February 28, 2019 | | | | $ | —* | | | | | $ | — | | | | | $ | —* | | | | | $ | — | | | | | $ | — | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Asset derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts(a) | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 808,065 | | | | | $ | 808,065 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 808,065 | | | | | $ | 808,065 | | |
|
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 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (143,447) | | | | | $ | (143,447) | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (143,447) | | | | | $ | (143,447) | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on futures contracts | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 670,386 | | | | | $ | 670,386 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 670,386 | | | | | $ | 670,386 | | |
|
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Asset derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on forward foreign currency contracts(d) | | | | $ | — | | | | | $ | 119,696 | | | | | $ | — | | | | | $ | — | | | | | $ | 119,696 | | |
| | | | $ | — | | | | | $ | 119,696 | | | | | $ | — | | | | | $ | — | | | | | $ | 119,696 | | |
|
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 | | | | $ | — | | | | | $ | 893,038 | | | | | $ | — | | | | | $ | — | | | | | $ | 893,038 | | |
| | | | $ | — | | | | | $ | 893,038 | | | | | $ | — | | | | | $ | — | | | | | $ | 893,038 | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | | | | $ | — | | | | | $ | 184,651 | | | | | $ | — | | | | | $ | — | | | | | $ | 184,651 | | |
| | | | $ | — | | | | | $ | 184,651 | | | | | $ | — | | | | | $ | — | | | | | $ | 184,651 | | |
|
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 | | | | $ | — | | | | | $ | (27,748) | | | | | $ | — | | | | | $ | — | | | | | $ | (27,748) | | |
| | | | $ | — | | | | | $ | (27,748) | | | | | $ | — | | | | | $ | — | | | | | $ | (27,748) | | |
|
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Liability derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on forward foreign currency contracts(e) | | | | $ | — | | | | | $ | (27,300) | | | | | $ | — | | | | | $ | — | | | | | $ | (27,300) | | |
| | | | $ | — | | | | | $ | (27,300) | | | | | $ | — | | | | | $ | — | | | | | $ | (27,300) | | |
|
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 | | | | $ | — | | | | | $ | 506,229 | | | | | $ | — | | | | | $ | — | | | | | $ | 506,229 | | |
| | | | $ | — | | | | | $ | 506,229 | | | | | $ | — | | | | | $ | — | | | | | $ | 506,229 | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | | | | $ | — | | | | | $ | (27,300) | | | | | $ | — | | | | | $ | — | | | | | $ | (27,300) | | |
| | | | $ | — | | | | | $ | (27,300) | | | | | $ | — | | | | | $ | — | | | | | $ | (27,300) | | |
|
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Liability derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on forward foreign currency contracts(e) | | | | $ | — | | | | | $ | (43,091) | | | | | $ | — | | | | | $ | — | | | | | $ | (43,091) | | |
| | | | $ | — | | | | | $ | (43,091) | | | | | $ | — | | | | | $ | — | | | | | $ | (43,091) | | |
|
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 | | | | $ | — | | | | | $ | 326,841 | | | | | $ | — | | | | | $ | — | | | | | $ | 326,841 | | |
| | | | $ | — | | | | | $ | 326,841 | | | | | $ | — | | | | | $ | — | | | | | $ | 326,841 | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | | | | $ | — | | | | | $ | (43,091) | | | | | $ | — | | | | | $ | — | | | | | $ | (43,091) | | |
| | | | $ | — | | | | | $ | (43,091) | | | | | $ | — | | | | | $ | — | | | | | $ | (43,091) | | |
|
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Liability derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on forward foreign currency contracts(e) | | | | $ | — | | | | | $ | (72,219) | | | | | $ | — | | | | | $ | — | | | | | $ | (72,219) | | |
| | | | $ | — | | | | | $ | (72,219) | | | | | $ | — | | | | | $ | — | | | | | $ | (72,219) | | |
|
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 purchased options | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (718,263) | | | | | $ | (718,263) | | |
Net realized gain (loss) on options contracts written | | | | | — | | | | | | — | | | | | | — | | | | | | 222,308 | | | | | | 222,308 | | |
Net realized gain (loss) on futures contracts | | | | | 451,830 | | | | | | — | | | | | | — | | | | | | — | | | | | | 451,830 | | |
Net realized gain (loss) on forward foreign currency contracts | | | | | — | | | | | | 551,826 | | | | | | — | | | | | | — | | | | | | 551,826 | | |
Net realized gain (loss) on swap contracts | | | | | — | | | | | | 288,581 | | | | | | (583,729) | | | | | | 580,903 | | | | | | 285,755 | | |
| | | | $ | 451,830 | | | | | $ | 840,407 | | | | | $ | (583,729) | | | | | $ | 84,948 | | | | | $ | 793,456 | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on purchased options | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (143,410) | | | | | $ | (143,410) | | |
Net change in unrealized appreciation (depreciation) on options contracts written | | | | | — | | | | | | — | | | | | | — | | | | | | 1,545,835 | | | | | | 1,545,835 | | |
Net change in unrealized appreciation (depreciation) on futures contracts | | | | | (117,304) | | | | | | — | | | | | | — | | | | | | — | | | | | | (117,304) | | |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | | | | | — | | | | | | (221,019) | | | | | | — | | | | | | — | | | | | | (221,019) | | |
Net change in unrealized appreciation (depreciation) on swap contracts | | | | | — | | | | | | (124,537) | | | | | | 27,872 | | | | | | (64,614) | | | | | | (161,279) | | |
| | | | $ | (117,304) | | | | | $ | (345,556) | | | | | $ | 27,872 | | | | | $ | 1,337,811 | | | | | $ | 902,823 | | |
|
| | | Average notional amounts | | |||
Futures contracts | | | | $ | 10,098,590 | | |
| | | Average notional amounts | | |||
Forward foreign currency contracts | | | | $ | 14,474,883 | | |
| | | Average notional amounts | | |||
Forward foreign currency contracts | | | | $ | 4,441,344 | | |
| | | Average notional amounts | | |||
Forward foreign currency contracts | | | | $ | 3,387,642 | | |
| | | Average notional amounts | | |||
Purchased options | | | | $ | 378,090 | | |
Option contracts written | | | | | 967,743 | | |
Futures contracts | | | | | 79,841,545 | | |
Forward foreign currency contracts | | | | | 8,123,547 | | |
Swap contracts | | | | | 44,067,502 | | |
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 | | | | $ | 13,103,177 | | | | | $ | — | | | | | $ | (13,103,177) | | | | | $ | — | | |
Destinations Small-Mid Cap Equity Fund | | | | | 14,162,346 | | | | | | — | | | | | | (14,162,346) | | | | | | — | | |
Destinations International Equity Fund | | | | | 21,472,817 | | | | | | — | | | | | | (21,472,817) | | | | | | — | | |
Destinations Real Assets Fund | | | | | 11,988,354 | | | | | | — | | | | | | (11,988,354) | | | | | | — | | |
Destinations Core Fixed Income Fund | | | | | 134,120 | | | | | | — | | | | | | (134,120) | | | | | | — | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 2,331,596 | | | | | | — | | | | | | (2,331,596) | | | | | | — | | |
Destinations Multi Strategy Alternatives Fund | | | | | 33,065,400 | | | | | | — | | | | | | (33,065,400) | | | | | | — | | |
| | | Remaining Contractual Maturity of the Agreements As of February 28, 2019 | | |||||||||||||||||||||||||||
| | | Overnight and Continuous | | | < 30 days | | | Between 30 & 90 days | | | > 90 days | | | Total | | |||||||||||||||
Destinations Large Cap Equity Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | |||||||||||||||||||||||||
Common Stocks | | | | $ | 13,388,335 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 13,388,335 | | |
Total Borrowings | | | | $ | 13,388,335 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 13,388,335 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 13,388,335 | | |
Destinations Small-Mid Cap Equity Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | | | $ | 14,487,635 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 14,487,635 | | |
Total Borrowings | | | | $ | 14,487,635 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 14,487,635 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 14,487,635 | | |
Destinations International Equity Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | | | $ | 22,347,241 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 22,347,241 | | |
Total Borrowings | | | | $ | 22,347,241 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 22,347,241 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 22,347,241 | | |
Destinations Real Assets Fund | | | | | | | |||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | | | $ | 12,415,850 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 12,415,850 | | |
Exchange Traded Funds (ETFs) | | | | | 138,830 | | | | | | — | | | | | | — | | | | | | — | | | | | | 138,830 | | |
Total Borrowings | | | | $ | 12,554,680 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 12,554,680 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 12,554,680 | | |
Destinations Core Fixed Income Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Securities | | | | $ | 136,818 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 136,818 | | |
Total Borrowings | | | | $ | 136,818 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 136,818 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 136,818 | | |
Destinations Global Fixed Income Opportunities Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | |||||||||||||||||||||||||
Corporate Securities | | | | $ | 1,244,520 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 1,244,520 | | |
Preferred Stocks | | | | | 1,136,848 | | | | | | — | | | | | | — | | | | | | — | | | | | | 1,136,848 | | |
Total Borrowings | | | | $ | 2,381,368 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 2,381,368 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 2,381,368 | | |
|
| | | Remaining Contractual Maturity of the Agreements As of February 28, 2019 | | | | | | | |||||||||||||||||||||||||||||||||||||
| | | Overnight and Continuous | | | < 30 days | | | Between 30 & 90 days | | | > 90 days | | | Total | | | | | | | |||||||||||||||||||||||||
Destinations Multi Strategy Alternatives Fund | | | | | | | | | | | | | | | | | ||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||||||||||
Closed-End Funds | | | | $ | 4,183,475 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 4,183,475 | | | | | | | | ||||||||||
Corporate Securities | | | | | 21,731,498 | | | | | | — | | | | | | — | | | | | | — | | | | | | 21,731,498 | | | | | | | | ||||||||||
Common Stocks | | | | | 7,821,275 | | | | | | — | | | | | | — | | | | | | — | | | | | | 7,821,275 | | | | | | | | ||||||||||
Preferred Stocks | | | | | 61,200 | | | | | | — | | | | | | — | | | | | | — | | | | | | 61,200 | | | | | | | | ||||||||||
Total Borrowings | | | | $ | 33,797,448 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 33,797,448 | | | | | | | | ||||||||||
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 33,797,448 | | | | | | | | ||||||||||
|
| | | Principal | | | Unfunded Bank Loan Interest (Cost) | | | Value of Underlying Bank Loan Interest (Value) | | | Unrealized Appreciation/ (Depreciation) | | ||||||||||||
Destinations Core Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Dentalcorp of Canada ULC (partially unfunded) | | | | $ | 13,770 | | | | | $ | 13,813 | | | | | $ | 13,623 | | | | | $ | (190) | | |
Mavis Tire Express Services Corp. (wholly unfunded) | | | | | 72,434 | | | | | | 54,918 | | | | | | 54,231 | | | | | | (687) | | |
| | | | $ | 86,204 | | | | | $ | 68,731 | | | | | $ | 67,854 | | | | | $ | (877) | | |
|
| | | 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 | | | | $ | 119,696 | | | | | $ | — | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | | | $ | 119,696 | | | | | $ | — | | |
Destinations Low Duration Fixed Income Fund: | | | | | | | | | | | | | |
Forward foreign currency contracts | | | | $ | — | | | | | $ | 27,300 | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | | | $ | — | | | | | $ | 27,300 | | |
Destinations Global Fixed Income Opportunities Fund: | | | | | | | | | | | | | |
Forward foreign currency contracts | | | | $ | — | | | | | $ | 43,091 | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | | | $ | — | | | | | $ | 43,091 | | |
Destinations Multi Strategy Alternatives Fund: | | | | | | | | | | | | | |
Forward foreign currency contracts | | | | $ | — | | | | | $ | 72,219 | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | | | $ | — | | | | | $ | 72,219 | | |
|
Counterparty | | | Gross amounts of Recognized Assets presented in the Statements of Assets and Liabilities | | | Financial Instruments Available for Offset(a) | | | Other Cash Collateral(e) | | | Net Amount(b) | | ||||||||||||
Destinations International Equity Fund | | ||||||||||||||||||||||||
Over-the-counter | | | | | | | | | | | | | | | | | | | | | | | | | |
Citigroup Global Markets Inc. | | | | $ | 119,696 | | | | | $ | — | | | | | $ | — | | | | | $ | 119,696 | | |
Total Over-the-counter derivative instruments | | | | $ | 119,696 | | | | | $ | — | | | | | $ | — | | | | | $ | 119,696 | | |
|
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. | | | | $ | 27,300 | | | | | $ | — | | | | | $ | — | | | | | $ | 27,300 | | |
Total Over-the-counter derivative instruments | | | | $ | 27,300 | | | | | $ | — | | | | | $ | — | | | | | $ | 27,300 | | |
|
Counterparty | | | Gross amounts of Recognized Liabilities presented in the Statements of Assets and Liabilities | | | Financial Instruments Available for Offset(c) | | | Other Cash Collateral(e) | | | Net Amount(d) | | ||||||||||||
Destinations Global Fixed Income Opportunities Fund | | ||||||||||||||||||||||||
Over-the-counter | | | | | | | | | | | | | | | | | | | | | | | | | |
Brown Brothers Harriman & Co. | | | | $ | 43,091 | | | | | $ | — | | | | | $ | — | | | | | $ | 43,091 | | |
Total Over-the-counter derivative instruments | | | | $ | 43,091 | | | | | $ | — | | | | | $ | — | | | | | $ | 43,091 | | |
|
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. | | | | $ | 72,219 | | | | | $ | — | | | | | $ | — | | | | | $ | 72,219 | | |
Total Over-the-counter derivative instruments | | | | $ | 72,219 | | | | | $ | — | | | | | $ | — | | | | | $ | 72,219 | | |
|
Fund | | | Subadvisory Fee | | | Brinker Capital Inc. Fee | | | Maximum Allowable Annual Management Fee | | |||||||||
Destinations Large Cap Equity Fund | | | | | 0.24% | | | | | | 0.39% | | | | | | 0.75% | | |
Destinations Small-Mid Cap Equity Fund | | | | | 0.42% | | | | | | 0.39% | | | | | | 0.90% | | |
Destinations International Equity Fund | | | | | 0.51% | | | | | | 0.39% | | | | | | 1.00% | | |
Destinations Equity Income Fund | | | | | 0.24% | | | | | | 0.39% | | | | | | 0.80% | | |
Destinations Real Assets Fund | | | | | 0.57% | | | | | | 0.39% | | | | | | 1.00% | | |
Destinations Core Fixed Income Fund | | | | | 0.18% | | | | | | 0.39% | | | | | | 0.65% | | |
Destinations Low Duration Fixed Income Fund | | | | | 0.28% | | | | | | 0.39% | | | | | | 0.70% | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 0.35% | | | | | | 0.39% | | | | | | 0.85% | | |
Destinations Municipal Fixed Income Fund | | | | | 0.16% | | | | | | 0.39% | | | | | | 0.70% | | |
Destinations Multi Strategy Alternatives Fund | | | | | 0.48% | | | | | | 0.39% | | | | | | 1.35% | | |
Fund | | | |||||
Destinations Large Cap Equity Fund | | | | $ | 3,512,683 | | |
Destinations Small-Mid Cap Equity Fund | | | | | 723,137 | | |
Destinations International Equity Fund | | | | | 1,395,136 | | |
Destinations Equity Income Fund | | | | | 553,148 | | |
Destinations Real Assets Fund | | | | | 90,297 | | |
Destinations Core Fixed Income Fund | | | | | 1,291,725 | | |
Destinations Low Duration Fixed Income Fund | | | | | 87,197 | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 796,270 | | |
Destinations Municipal Fixed Income Fund | | | | | 905,017 | | |
Destinations Multi Strategy Alternatives Fund | | | | | 4,600,665 | | |
| | | Sub-Transfer Agent Fees | | |||
Fund | | | Class I | | |||
Destinations Large Cap Equity Fund | | | | $ | 4,339,236 | | |
Destinations Small-Mid Cap Equity Fund | | | | | 1,167,986 | | |
Destinations International Equity Fund | | | | | 2,037,960 | | |
Destinations Equity Income Fund | | | | | 484,788 | | |
Destinations Real Assets Fund | | | | | 380,054 | | |
Destinations Core Fixed Income Fund | | | | | 2,371,512 | | |
Destinations Low Duration Fixed Income Fund | | | | | 394,187 | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 1,057,733 | | |
Destinations Municipal Fixed Income Fund | | | | | 904,211 | | |
Destinations Multi Strategy Alternatives Fund | | | | | 1,405,735 | | |
Fund | | | Investments | | | U.S. Government & Agency Obligations | | ||||||||||||||||||
| Purchases | | | Sales | | | Purchases | | | Sales | | ||||||||||||||
Destinations Large Cap Equity Fund | | | | $ | 1,283,853,060 | | | | | $ | 798,209,228 | | | | | $ | — | | | | | $ | — | | |
Destinations Small-Mid Cap Equity Fund | | | | | 837,451,454 | | | | | | 651,460,407 | | | | | | — | | | | | | — | | |
Destinations International Equity Fund | | | | | 708,095,379 | | | | | | 425,788,270 | | | | | | — | | | | | | — | | |
Destinations Equity Income Fund | | | | | 305,773,263 | | | | | | 241,915,673 | | | | | | — | | | | | | — | | |
Destinations Real Assets Fund | | | | | 193,001,257 | | | | | | 157,980,709 | | | | | | — | | | | | | — | | |
Destinations Core Fixed Income Fund | | | | | 462,310,835 | | | | | | 289,808,568 | | | | | | 759,003,417 | | | | | | 698,900,743 | | |
Destinations Low Duration Fixed Income Fund | | | | | 324,947,861 | | | | | | 201,977,881 | | | | | | 37,814,273 | | | | | | 37,460,656 | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 518,519,569 | | | | | | 456,984,983 | | | | | | 135,000 | | | | | | — | | |
Destinations Municipal Fixed Income Fund | | | | | 845,863,562 | | | | | | 410,944,539 | | | | | | — | | | | | | — | | |
Destinations Multi Strategy Alternatives Fund | | | | | 915,804,611 | | | | | | 887,636,795 | | | | | | — | | | | | | 6,700,241 | | |
Fund | | | Aggregate Cost For Federal Income Tax Purposes | | | Gross Unrealized Appreciation | | | Gross Unrealized (Depreciation) | | | Net Unrealized Appreciation (Depreciation) | | ||||||||||||
Destinations Large Cap Equity Fund | | | | $ | 3,071,154,155 | | | | | $ | 558,153,805 | | | | | $ | (128,140,178) | | | | | $ | 430,013,627 | | |
Destinations Small-Mid Cap Equity Fund | | | | | 899,357,806 | | | | | | 124,368,464 | | | | | | (30,117,411) | | | | | | 94,251,053 | | |
Destinations International Equity Fund | | | | | 1,561,114,731 | | | | | | 202,511,536 | | | | | | (88,244,659) | | | | | | 114,266,877 | | |
Destinations Equity Income Fund | | | | | 388,399,754 | | | | | | 27,851,857 | | | | | | (15,947,916) | | | | | | 11,903,941 | | |
Destinations Real Assets Fund | | | | | 342,409,792 | | | | | | 2,525,517 | | | | | | (114,818,180) | | | | | | (112,292,663) | | |
Destinations Core Fixed Income Fund | | | | | 1,757,530,574 | | | | | | 8,547,732 | | | | | | (28,017,880) | | | | | | (19,470,148) | | |
Destinations Low Duration Fixed Income Fund | | | | | 399,109,699 | | | | | | 568,054 | | | | | | (3,262,500) | | | | | | (2,694,446) | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 802,041,493 | | | | | | 2,882,218 | | | | | | (13,876,221) | | | | | | (10,994,003) | | |
Destinations Municipal Fixed Income Fund | | | | | 862,107,988 | | | | | | 8,463,893 | | | | | | (755,056) | | | | | | 7,708,837 | | |
Destinations Multi Strategy Alternatives Fund | | | | | 960,607,169 | | | | | | 30,959,531 | | | | | | (59,675,110) | | | | | | (28,715,579) | | |
| | | Year ended February 28, 2019 | | | Period ended February 28, 2019* | | | Period ended February 28, 2018** | | |||||||||||||||||||||||||||
| | | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | | ||||||||||||||||||
| | | Class I | | | Class Z | | | Class I | | |||||||||||||||||||||||||||
Destinations Large Cap Equity Fund | | | | | | | | ||||||||||||||||||||||||||||||
Shares sold | | | | | 101,792,492 | | | | | | 1,129,725,279 | | | | | | 8,374,344 | | | | | | 82,958,463 | | | | | | 287,473,592 | | | | | | 2,934,660,735 | | |
Shares issued on reinvestment | | | | | 8,817,901 | | | | | | 92,147,062 | | | | | | 325,972 | | | | | | 2,777,276 | | | | | | 1,649,228 | | | | | | 18,718,734 | | |
Shares repurchased | | | | | (54,731,880) | | | | | | (643,323,422) | | | | | | (1,342,871) | | | | | | (12,343,692) | | | | | | (49,722,622) | | | | | | (551,471,595) | | |
Net Increase | | | | | 55,878,513 | | | | | | 578,548,919 | | | | | | 7,357,445 | | | | | | 73,392,047 | | | | | | 239,400,198 | | | | | | 2,401,907,874 | | |
Destinations Small-Mid Cap Equity Fund | | | | | | | | ||||||||||||||||||||||||||||||
Shares sold | | | | | 34,664,792 | | | | | | 371,756,983 | | | | | | 2,255,609 | | | | | | 22,691,457 | | | | | | 75,742,390 | | | | | | 780,805,732 | | |
Shares issued on reinvestment | | | | | 3,886,724 | | | | | | 38,556,303 | | | | | | 139,990 | | | | | | 1,128,317 | | | | | | 515,514 | | | | | | 5,680,960 | | |
Shares repurchased | | | | | (17,268,373) | | | | | | (193,629,966) | | | | | | (363,167) | | | | | | (3,142,418) | | | | | | (12,450,205) | | | | | | (132,006,984) | | |
Net Increase | | | | | 21,283,143 | | | | | | 216,683,320 | | | | | | 2,032,432 | | | | | | 20,677,356 | | | | | | 63,807,699 | | | | | | 654,479,708 | | |
Destinations International Equity Fund | | | | | | | | ||||||||||||||||||||||||||||||
Shares sold | | | | | 52,618,227 | | | | | | 553,782,717 | | | | | | 3,921,131 | | | | | | 37,465,208 | | | | | | 133,664,043 | | | | | | 1,376,881,445 | | |
Shares issued on reinvestment | | | | | 1,768,142 | | | | | | 17,486,924 | | | | | | 61,041 | | | | | | 526,783 | | | | | | 808,593 | | | | | | 9,217,957 | | |
Shares repurchased | | | | | (26,142,011) | | | | | | (289,212,441) | | | | | | (511,301) | | | | | | (4,606,198) | | | | | | (13,681,974) | | | | | | (152,944,298) | | |
Net Increase | | | | | 28,244,358 | | | | | | 282,057,200 | | | | | | 3,470,871 | | | | | | 33,385,793 | | | | | | 120,790,662 | | | | | | 1,233,155,104 | | |
Destinations Equity Income Fund | | | | | | | | ||||||||||||||||||||||||||||||
Shares sold | | | | | 14,820,009 | | | | | | 146,101,281 | | | | | | 1,144,805 | | | | | | 11,442,280 | | | | | | 40,405,705 | | | | | | 404,877,952 | | |
Shares issued on reinvestment | | | | | 2,088,485 | | | | | | 20,394,007 | | | | | | 46,257 | | | | | | 434,586 | | | | | | 871,531 | | | | | | 8,979,970 | | |
Shares repurchased | | | | | (10,089,294) | | | | | | (102,029,957) | | | | | | (161,426) | | | | | | (1,541,776) | | | | | | (9,715,757) | | | | | | (101,413,746) | | |
Net Increase | | | | | 6,819,200 | | | | | | 64,465,331 | | | | | | 1,029,636 | | | | | | 10,335,090 | | | | | | 31,561,479 | | | | | | 312,444,176 | | |
|
| | | Year ended February 28, 2019 | | | Period ended February 28, 2019* | | | Period ended February 28, 2018** | | |||||||||||||||||||||||||||
| | | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | | ||||||||||||||||||
| | | Class I | | | Class Z | | | Class I | | |||||||||||||||||||||||||||
Destinations Real Assets Fund | | | | | | | | ||||||||||||||||||||||||||||||
Shares sold | | | | | 15,078,673 | | | | | | 138,429,624 | | | | | | 703,514 | | | | | | 5,826,365 | | | | | | 26,710,372 | | | | | | 266,757,729 | | |
Shares issued on reinvestment | | | | | 55,796 | | | | | | 337,006 | | | | | | 1,890 | | | | | | 11,547 | | | | | | 587,864 | | | | | | 5,543,554 | | |
Shares repurchased | | | | | (6,821,564) | | | | | | (56,134,660) | | | | | | (93,006) | | | | | | (634,022) | | | | | | (2,404,971) | | | | | | (23,387,131) | | |
Net Increase | | | | | 8,312,905 | | | | | | 82,631,970 | | | | | | 612,398 | | | | | | 5,203,890 | | | | | | 24,893,265 | | | | | | 248,914,152 | | |
Destinations Core Fixed Income Fund | | | | | | | | ||||||||||||||||||||||||||||||
Shares sold | | | | | 51,629,353 | | | | | | 504,965,401 | | | | | | 3,123,658 | | | | | | 31,239,465 | | | | | | 170,214,773 | | | | | | 1,704,394,993 | | |
Shares issued on reinvestment | | | | | 4,484,582 | | | | | | 43,781,187 | | | | | | 35,951 | | | | | | 358,837 | | | | | | 2,882,755 | | | | | | 28,915,598 | | |
Shares repurchased | | | | | (34,866,632) | | | | | | (340,488,950) | | | | | | (322,483) | | | | | | (3,221,197) | | | | | | (20,562,920) | | | | | | (206,384,919) | | |
Net Increase | | | | | 21,247,303 | | | | | | 208,257,638 | | | | | | 2,837,126 | | | | | | 28,377,105 | | | | | | 152,534,608 | | | | | | 1,526,925,672 | | |
Destinations Low Duration Fixed Income Fund | | | | | | | | ||||||||||||||||||||||||||||||
Shares sold | | | | | 26,087,024 | | | | | | 257,497,046 | | | | | | 687,831 | | | | | | 6,912,149 | | | | | | 20,631,298 | | | | | | 206,141,510 | | |
Shares issued on reinvestment | | | | | 922,285 | | | | | | 9,068,735 | | | | | | 8,602 | | | | | | 86,000 | | | | | | 407,204 | | | | | | 4,051,762 | | |
Shares repurchased | | | | | (5,827,894) | | | | | | (57,419,750) | | | | | | (86,440) | | | | | | (865,282) | | | | | | (3,006,453) | | | | | | (29,970,144) | | |
Net Increase | | | | | 21,181,415 | | | | | | 209,146,031 | | | | | | 609,993 | | | | | | 6,132,867 | | | | | | 18,032,049 | | | | | | 180,223,128 | | |
Destinations Global Fixed Income Opportunities Fund | | | | | | | | ||||||||||||||||||||||||||||||
Shares sold | | | | | 32,997,812 | | | | | | 326,225,606 | | | | | | 1,660,540 | | | | | | 16,628,666 | | | | | | 65,732,883 | | | | | | 664,465,917 | | |
Shares issued on reinvestment | | | | | 2,770,666 | | | | | | 27,223,257 | | | | | | 25,960 | | | | | | 257,546 | | | | | | 1,756,026 | | | | | | 17,731,813 | | |
Shares repurchased | | | | | (17,652,417) | | | | | | (173,684,915) | | | | | | (248,378) | | | | | | (2,465,584) | | | | | | (7,289,447) | | | | | | (73,723,855) | | |
Net Increase | | | | | 18,116,061 | | | | | | 179,763,948 | | | | | | 1,438,122 | | | | | | 14,420,628 | | | | | | 60,199,462 | | | | | | 608,473,875 | | |
Destinations Municipal Fixed Income | | | | | | | | ||||||||||||||||||||||||||||||
Shares sold | | | | | 75,603,154 | | | | | | 756,168,946 | | | | | | 1,447,265 | | | | | | 14,466,808 | | | | | | 25,843,707 | | | | | | 260,212,529 | | |
Shares issued on reinvestment | | | | | 1,013,048 | | | | | | 10,104,941 | | | | | | 10,976 | | | | | | 109,817 | | | | | | 117,490 | | | | | | 1,179,382 | | |
Shares repurchased | | | | | (14,507,379) | | | | | | (144,701,847) | | | | | | (262,065) | | | | | | (2,633,236) | | | | | | (2,828,194) | | | | | | (28,460,557) | | |
Net Increase | | | | | 62,108,823 | | | | | | 621,572,040 | | | | | | 1,196,176 | | | | | | 11,943,389 | | | | | | 23,133,003 | | | | | | 232,931,354 | | |
Destinations Multi Strategy Alternatives Fund | | | | | | | | ||||||||||||||||||||||||||||||
Shares sold | | | | | 35,970,092 | | | | | | 364,349,389 | | | | | | 2,040,589 | | | | | | 20,189,598 | | | | | | 112,492,168 | | | | | | 1,127,456,126 | | |
Shares issued on reinvestment | | | | | 4,873,632 | | | | | | 46,982,654 | | | | | | 63,263 | | | | | | 586,237 | | | | | | 1,912,479 | | | | | | 19,295,487 | | |
Shares repurchased | | | | | (38,135,236) | | | | | | (387,871,442) | | | | | | (508,098) | | | | | | (4,963,160) | | | | | | (25,231,900) | | | | | | (256,219,259) | | |
Net Increase | | | | | 2,708,488 | | | | | | 23,460,601 | | | | | | 1,595,754 | | | | | | 15,812,675 | | | | | | 89,172,747 | | | | | | 890,532,354 | | |
|
| | | Destinations Large Cap Equity Fund | | | Destinations Small-Mid Cap Equity Fund | | | Destinations International Equity Fund | | | Destinations Equity Income Fund | | ||||||||||||
Distributions paid from: | | | | | | ||||||||||||||||||||
Tax Exempt | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Ordinary Income | | | | | 49,487,809 | | | | | | 28,319,388 | | | | | | 18,052,051 | | | | | | 15,287,103 | | |
Net Long-term Capital Gains | | | | | 45,640,028 | | | | | | 11,491,809 | | | | | | — | | | | | | 5,579,462 | | |
Total Distributions Paid | | | | $ | 95,127,837 | | | | | $ | 39,811,197 | | | | | $ | 18,052,051 | | | | | $ | 20,866,565 | | |
|
| | | Destinations Real Assets Fund | | | Destinations Core Fixed Income Fund | | | Destinations Low Duration Fixed Income Fund | | | Destinations Global Fixed Income Opportunities Fund | | ||||||||||||
Distributions paid from: | | | | | | ||||||||||||||||||||
Tax Exempt | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Ordinary Income | | | | | 349,107 | | | | | | 44,226,495 | | | | | | 9,178,760 | | | | | | 27,549,362 | | |
Net Long-term Capital Gains | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total Distributions Paid | | | | $ | 349,107 | | | | | $ | 44,226,495 | | | | | $ | 9,178,760 | | | | | $ | 27,549,362 | | |
|
| | | Destinations Municipal Fixed Income Fund | | | Destinations Multi Strategy Alternatives Fund | | | | | | | | ||||||
Distributions paid from: | | | | | | ||||||||||||||
Tax Exempt | | | | $ | 10,254,011 | | | | | $ | — | | | | | | | | |
Ordinary Income | | | | | — | | | | | | 34,993,709 | | | | | ||||
Net Long-term Capital Gains | | | | | — | | | | | | 12,636,086 | | | | | ||||
Total Distributions Paid | | | | $ | 10,254,011 | | | | | $ | 47,629,795 | | | | | ||||
|
| | | Destinations Large Cap Equity Fund | | | Destinations Small-Mid Cap Equity Fund | | | Destinations International Equity Fund | | | Destinations Equity Income Fund | | ||||||||||||
Undistributed ordinary income—net | | | | $ | 5,706,662 | | | | | $ | 889,574 | | | | | $ | 1,074,591 | | | | | $ | 1,804,291 | | |
Undistributed long-term capital gains—net | | | | | 6,910,513 | | | | | | — | | | | | | — | | | | | | 587,207 | | |
Total Undistributed earnings | | | | | 12,617,175 | | | | | | 889,574 | | | | | | 1,074,591 | | | | | | 2,391,498 | | |
Capital Loss Carryforward | | | | | — | | | | | | — | | | | | | (12,663,854) | | | | | | — | | |
Current Year Late Year Loss Deferral | | | | | — | | | | | | (6,139,614) | | | | | | — | | | | | | — | | |
Unrealized appreciation (depreciation) | | | | | 430,013,665(a) | | | | | | 94,251,053(a) | | | | | | 114,249,100(a) | | | | | | 11,904,940(a) | | |
Total accumulated earnings/(losses)—net | | | | $ | 442,630,840 | | | | | $ | 89,001,013 | | | | | $ | 102,659,837 | | | | | $ | 14,296,438 | | |
|
| | | Destinations Real Assets Fund | | | Destinations Core Fixed Income Fund | | | Destinations Low Duration Fixed Income Fund | | | Destinations Global Fixed Income Opportunities Fund | | ||||||||||||
Undistributed ordinary income—net | | | | $ | 459,393 | | | | | $ | 2,842,905 | | | | | $ | 455,632 | | | | | $ | 694,158 | | |
Undistributed long-term capital gains—net | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total Undistributed earnings | | | | | 459,393 | | | | | | 2,842,905 | | | | | | 455,632 | | | | | | 694,158 | | |
Capital Loss Carryforward | | | | | (7,331,405) | | | | | | (9,850,275) | | | | | | (1,379,758) | | | | | | (9,027,230) | | |
Current Year Late Year Loss Deferral | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Unrealized appreciation (depreciation) | | | | | (112,292,960)(a) | | | | | | (19,471,025)(a) | | | | | | (2,682,515)(a) | | | | | | (10,983,452)(a) | | |
Total accumulated earnings/(losses)—net | | | | $ | (119,164,972) | | | | | $ | (26,478,395) | | | | | $ | (3,606,641) | | | | | $ | (19,316,524) | | |
|
| | | Destinations Municipal Fixed Income Fund | | | Destinations Multi Strategy Alternatives Fund | | | | | | | | ||||||
Undistributed ordinary income—net | | | | $ | — | | | | | $ | 8,118,091 | | | | | | | | |
Undistributed long-term capital gains—net | | | | | — | | | | | | 3,081,629 | | | | | ||||
Undistributed tax-exempt income—net | | | | | 286,760 | | | | | | — | | | | | ||||
Total Undistributed earnings | | | | | 286,760 | | | | | | 11,199,720 | | | | | ||||
Capital Loss Carryforward | | | | | (313,841) | | | | | | — | | | | | ||||
Current Year Late Year Loss Deferral | | | | | — | | | | | | — | | | | | ||||
Unrealized appreciation (depreciation) | | | | | 7,708,837(a) | | | | | | (28,715,579)(a) | | | | | ||||
Total accumulated earnings/(losses)—net | | | | $ | 7,681,756 | | | | | $ | (17,515,859) | | | | | ||||
|
Year of Expiration | | | Destinations Large Cap Equity Fund | | | Destinations Small-Mid Cap Equity Fund | | | Destinations International Equity Fund | | | Destinations Equity Income Fund | | | Destinations Real Assets Fund | | |||||||||||||||
Short-Term | | | | $ | — | | | | | $ | — | | | | | $ | 12,663,854 | | | | | $ | — | | | | | $ | 3,265,441 | | |
Long-Term | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 4,065,964 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | 12,663,854 | | | | | $ | — | | | | | $ | 7,331,405 | | |
|
Year of Expiration | | | Destinations Core Fixed Income Fund | | | Destinations Low Duration Fixed Income Fund | | | Destinations Global Fixed Income Opportunities Fund | | | Destinations Municipal Fixed Income Fund | | | Destinations Multi Strategy Alternatives, Fund | | |||||||||||||||
Short-Term | | | | $ | 6,102,453 | | | | | $ | 864,872 | | | | | $ | 4,400,188 | | | | | $ | 27,660 | | | | | $ | — | | |
Long-Term | | | | | 3,747,822 | | | | | | 514,886 | | | | | | 4,627,042 | | | | | | 286,181 | | | | | | — | | |
| | | | $ | 9,850,275 | | | | | $ | 1,379,758 | | | | | $ | 9,027,230 | | | | | $ | 313,841 | | | | | $ | — | | |
|
of Brinker Capital Destinations Trust
April 29, 2019
| Sub-adviser Name | | | Fund(s) | |
| Avenue Capital Management II, L.P. | | | ♦ Destinations Multi Strategy Alternatives Fund | |
| BAMCO, Inc. | | | ♦ Destinations International Equity Fund | |
| BlackRock Investment Management, Inc. | | | ♦ Destinations Core Fixed Income Fund | |
| | | | ♦ Destinations Large Cap Equity Fund | |
| Ceredex Value Advisors LLC | | | ♦ Destinations Small-Mid Cap Equity Fund | |
| Columbia Management Investment Advisers, LLC | | | ♦ Destinations Large Cap Equity Fund | |
| CrossingBridge Advisors, LLC | | | ♦ Destinations Global Fixed Income Opportunities Fund | |
| | | | ♦ Destinations Low Duration Fixed Income Fund | |
| Delaware Investments Fund Advisers/ Macquarie Investment Management | | | ♦ Destinations Large Cap Equity Fund | |
| DoubleLine Capital LP | | | ♦ Destinations Core Fixed Income Fund | |
| | | | ♦ Destinations Global Fixed Income Opportunities Fund | |
| | | | ♦ Destinations Low Duration Fixed Income Fund | |
| Driehaus Capital Management LLC | | | ♦ Destinations Multi Strategy Alternatives Fund | |
| | | | ♦ Destinations Small-Mid Cap Equity Fund | |
| Federated Equity Management Company of Pennsylvania | | | ♦ Destinations Equity Income Fund | |
| FIAM LLC | | | ♦ Destinations Municipal Fixed Income Fund | |
| Fort Washington Investment Advisors Inc | | | ♦ Destinations Large Cap Equity Fund | |
| LMCG Investments, LLC | | | ♦ Destinations Small-Mid Cap Equity Fund | |
| MFS Investment Management | | | ♦ Destinations International Equity Fund | |
| Sub-adviser Name | | | Fund(s) | |
| Northern Trust Investments, Inc. | | | ♦ Destinations Municipal Fixed Income Fund | |
| Nuveen Asset Management, LLC | | | ♦ Destinations Global Fixed Income Opportunities Fund | |
| NWQ Investment Management Company, LLC | | | ♦ Destinations Equity Income Fund | |
| RiverNorth Capital Management, LLC | | | ♦ Destinations Multi Strategy Alternatives Fund | |
| SailingStone Capital Partners LLC | | | ♦ Destinations Real Assets Fund | |
| Strategas Asset Management, LLC | | | ♦ Destinations Large Cap Equity Fund | |
| T. Rowe Price Associates, Inc. | | | ♦ Destinations International Equity Fund | |
| | | | ♦ Destinations Large Cap Equity Fund | |
| TCW Investment Management Company | | | ♦ Destinations Large Cap Equity Fund | |
| Wasatch Advisors Inc | | | ♦ Destinations International Equity Fund | |
Name, Address and Date of Birth | | | Position(s) Held with Trust | | | Term of Office and Length of Time Served* | | | Principal Occupation(s) During Past Five Years | | | Number of Funds in Fund Complex Overseen by Trustee | | | Other Board Memberships Held During Past Five Years by Trustee | |
INDEPENDENT TRUSTEES* | | |||||||||||||||
Ellyn L. Brown Brown Associates 11055 Greenspring Ave, Annex A Lutherville, MD 21093 Birth Year: 1950 | | | Chair of the Board of Trustees** | | | Chair as of April 1, 2018; Trustee Since 2017 | | | Retired Attorney since 2006. Former Principal of Brown and Associates from 1996 to 2006. | | | 10 | | | CNO Financial, Inc. since 2012, Walter Investment Management Corp. from 2013 to 2017, NYSE Regulation, Inc. from 2010 to 2014. Financial Industry Regulatory Authority, Inc. (FINRA) from 2007 to 2012. | |
J. Scott Coleman, CFA 7 Forest Road Wayne, PA 19087 Birth Year: 1960 | | | Trustee | | | Since 2017 | | | Retired since 2015. President and CEO of Optimum Fund Trust from 2011 to 2015. President of Delaware Distributors from 2008 to 2015. Executive Vice President, Head of Distribution and Marketing, Delaware Investments 2008 to 2015. In addition, Head of Macquarie Investment Management EMEA Distribution from 2012 to 2015. Managing Director at Goldman Sachs & Co. from 2001 to 2008. | | | 10 | | | Optimum Fund Trust from 2011 to 2015. | |
Nicholas Marsini, Jr. 120 St. Moritz Drive Wilmington, DE 19807 Birth Year: 1955 | | | Trustee, Chair of Audit Committee | | | Since 2017 | | | Retired since 2016. Regional President of PNC Bank, Delaware from 2011 to 2016. Executive Vice President and Chief Financial Officer of PNC Global Investment Servicing from 1997 to 2010. | | | 10 | | | FundVantage Trust. | |
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 | | | Senior Strategic Advisor, Franklin Templeton Investments since 2016. Executive Vice President, Director and General Counsel of Templeton International, Inc.from 1992 to 2016. Executive Vice President, Secretary and General Counsel of Templeton Global Advisors Limited (a Bahamian corporation) from 1992 to 2016. | | | 10 | | | Global Capital PLC (Malta Public Company), Franklin Templeton Sealand Fund Management Co. Ltd., China Life Franklin Asset Management Company Limited, Templeton Investment Counsel LLC, Franklin Templeton Trustee Services Private Limited (India), Franklin Templeton International Services S.A. (Luxembourg), Franklin Templeton Investments (Asia) Limited, Franklin Templeton Investments Japan Ltd., Templeton Asset Management Ltd. (Singapore), Franklin Templeton Holding Limited (Mauritius), Franklin Templeton Investment Services Mexico, S. de R. L. | |
* Each Trustee remains in office until he or she resigns, retires or is removed. | | |||||||||||||||
** Since April 1, 2018. | | |||||||||||||||
INTERESTED TRUSTEES* | | |||||||||||||||
Joseph V. Del Raso** Pepper Hamilton LLP 3000 Two Logan Square, 18th & Arch Streets Philadelphia, PA 19103-2799 Birth Year: 1952 | | | Trustee | | | Since 2017 (Chair of the Board until April 1, 2018). | | | Partner at Pepper Hamilton LLP (law firm) since 1998. | | | 10 | | | Global Capital PLC (Malta Public Company). | |
Noreen D. Beaman*** Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1964 | | | Trustee and Chief Executive Officer | | | Since 2018 | | | Chief Executive Officer of Brinker Capital, Inc. since 2012. | | | 10 | | | PIMCO RIA Advisory Board, MMI Board of Governors, MMI Leadership Pathway, Envestnet Institute Women In Wealth; St. Peter’s University Board of Trustees (2014 to 2017). | |
Name, Address and Date of Birth | | | Position(s) Held with Trust | | | Term of Office and Length of Time Served | | | Principal Occupation(s) During Past Five Years | |
OFFICERS* | | | | | | | ||||
Philip Green, Jr. Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1970 | | | Chief Financial Officer & Treasurer | | | Since January 2017 | | | Chief Financial Officer, Brinker Capital Holdings Inc., Brinker Capital Inc. and Brinker Capital Securities since 2000. | |
Brian Ferko Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1971 | | | Chief Compliance Officer & Anti-Money Laundering Officer | | | Since January 2017 | | | Chief Compliance Officer of Brinker Capital, Inc. since 2015; Chief Compliance Officer of Brinker Capital, Inc. contracted through Cipperman Compliance Services from 2010 to 2015; Chief Operating Officer of CCS from 2012 to 2015. | |
Jason B. Moore Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1972 | | | President | | | Since January 2017 | | | Chief Administrative Officer, Brinker Capital, Inc. since 2016; Managing Director, Morgan Stanley from 2012 to 2016. | |
Donna Marley Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1955 | | | Chief Operating Officer | | | Since April 2017 | | | Senior Vice President of Funds, Brinker Capital, Inc. since 2017; Executive Director, Morgan Stanley (2009-2017) | |
Peter Townsend Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1977 | | | Secretary & Deputy Chief Compliance Officer | | | Since January 2017 | | | Deputy Funds Chief Compliance Officer at Brinker Capital, Inc. since 2017; Director of Compliance at Penn Capital Management Company, Inc. from 2015 to 2017; Director of Compliance at Cipperman Compliance Services from 2013 to 2015; Associate at J.P. Morgan Chase & Co. from 2008 to 2013. | |
Charles Widger Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1945 | | | Investment Officer | | | Since January 2017 | | | Executive Chairman of Brinker Capital, Inc. since 2012. | |
Jeffrey Raupp, CFA Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 | | | Chief Investment Officer | | | Since January 2017 | | | Chief Investment Officer of Brinker Capital, Inc. since 2018; Director of Investments of Brinker Capital, Inc. since 2017; Senior Vice President of Brinker Capital, Inc. 2016; Senior Investment Manager of Brinker | |
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 | |
Birth Year: 1969 | | | | | | | | | Capital, Inc. from 2008 to 2016. | |
Amy Magnotta, CFA Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1978 | | | Investment Officer | | | Since January 2017 | | | Senior Vice President and Head of Discretionary Portfolios of Brinker Capital Inc. since 2017; Senior Investment Manager of Brinker Capital, Inc. from 2008 to 2017. | |
Leigh Lowman, CFA Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1982 | | | Investment Officer | | | Since January 2017 | | | Investment Manager, Brinker Capital, Inc. since 2017; Senior Investment Analyst, Brinker Capital, Inc. from 2015 to 2017; Outreach Analyst, The Investment Fund for Foundations from 2014 to 2015; Senior Associate, Mondrian Investment Partners from 2011 to 2014. | |
Christopher Hart Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1971 | | | Investment Officer | | | Since January 2017 | | | Senior Vice President and Head of Platform Manager Research at Brinker Capital, Inc. since 2017; Senior Vice President in 2016; Core Investment Manager at Brinker Capital, Inc. from 2014 to 2016; Investment Director at RS Investments 2013; Vice President/Investment Officer at Morgan Stanley Smith Barney from 2006 to 2013. | |
Timothy Holland, CFA Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1969 | | | Investment Officer | | | Since June 2017 | | | Senior Vice President and Global Investment Strategist of Brinker Capital, Inc. since 2017; Co-Head US Sub Advisory of Pictet Asset Management in 2016; Portfolio Manager and Partner of TAMRO Capital Partners from 2005 to 2016. | |
Kristin Pilipzeck Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1987 | | | Investment Officer | | | Since March 2019 | | | Investment Analyst, Brinker Capital, Inc. since 2017; Operations Associate, Brinker Capital, Inc. from 2011 – 2017. | |
| | | Destinations Large Cap Equity Fund | | | Destinations Small-Mid Cap Equity Fund | | | Destinations International Equity Fund | | | Destinations Equity Income Fund | | | Destinations Real Assets Fund | | |||||||||||||||
Ordinary Income: | | | | | | | |||||||||||||||||||||||||
Qualified Dividend Income for Individuals | | | | | 87.93% | | | | | | 25.85% | | | | | | 79.82% | | | | | | 54.42% | | | | | | 100.00% | | |
Dividends Qualifying for the Dividends Received Deduction for Corporations | | | | | 82.62% | | | | | | 22.34% | | | | | | 2.33% | | | | | | 39.67% | | | | | | 100.00% | | |
Foreign Taxes Paid | | | | | | | | | | | | | | | | $ | 1,576,941 | | | | | | | | | | | | | | |
Foreign Source Income | | | | | | | | | | | | | | | | $ | 20,573,276 | | | | | | | | | | | | | | |
Foreign Tax Paid Per Share | | | | | — | | | | | | — | | | | | | 0.01 | | | | | | — | | | | | | — | | |
Foreign Source Income Per Share | | | | | — | | | | | | — | | | | | | 0.13 | | | | | | — | | | | | | — | | |
| | | Destinations Core Fixed Income Fund | | | Destinations Low Duration Fixed Income Fund | | | Destinations Global Fixed Income Opportunities Fund | | | Destinations Municipal Fixed Income Fund | | | Destinations Multi Strategy Alternatives Fund | | |||||||||||||||
Ordinary Income: | | | | | | | |||||||||||||||||||||||||
Qualified Dividend Income for Individuals | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 24.97% | | |
Dividends Qualifying for the Dividends Received Deduction for Corporations | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 25.10% | | |
Interest from Tax-Exempt Obligations | | | | | — | | | | | | — | | | | | | — | | | | | | 100% | | | | | | — | | |
1055 Westlakes Drive, Suite 250
Berwyn, PA 19312
www.brinkercapital.com
Three Canal Plaza, Suite 100
Portland, ME 04101
www.foreside.com
1701 Market Street
Philadelphia, PA 19103
www.morganlewis.com
Two Liberty Place
50 South 16th Street, Suite 2900
Philadelphia, PA 19102
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ITEM 2. CODE OF ETHICS.
As of the period ended February 28, 2019 (“Reporting Period”), the Registrant has adopted a code of ethics (“Code”) that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party. The Registrant has not amended any provision in its Code that relates to an element of the Code’s definitions enumerated in paragraph (b) of Item 2 of this Form N-CSR. A copy of this Code is filed as an Exhibit to this Form N-CSR pursuant to Item 13(a)(1). The Registrant has not granted any waiver, including any implicit waiver, from a provision of its Code to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Board of Trustees of the Registrant has determined that Nicholas Marsini Jr. possesses the attributes identified in Instruction (b) of Item 3 to Form N-CSR to qualify as an “audit committee financial expert,” and has designated Mr. Marsini as the Registrant’s audit committee financial expert. Mr. Marsini is an “independent” Trustee pursuant to paragraph (a)(2) of Item 3 to Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
AUDIT FEES –
(a) Audit Fees. The aggregate fees billed for each of the last two fiscal years ended February 28, 2019 and February 28, 2018 for professional services rendered by the Registrant’s principal accountant (“Auditor”) for the audit of the Registrant’s annual financial statements, or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for each of the last two fiscal years, were $201,000 in 2019 and $175,000 in 2018.
(b) Audit-Related Fees. The aggregate fees billed for each of the last two fiscal years ended February 28, 2019 and February 28, 2018, for assurance and related services by the Auditor that were reasonably related to the performance of the audit of the Registrant’s financial statements and were not reported under paragraph (a) of this Item 4, were $0 in 2019 and $0 in 2018.
(c) Tax Fees. The aggregate fees billed for each of the last two fiscal years ended February 28, 2019 and February 28, 2018, for professional services rendered by the Auditor for tax compliance, tax advice and tax planning (“Tax Services”) were $25,000 in 2019 and $25,000 in 2018. These services consisted of (i) review or preparation of U.S. federal, state, local and excise tax returns; (ii) U.S. federal, state and local tax planning, advice and assistance regarding statutory, regulatory or administrative developments, and (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired or held.
(d) All Other Fees. The aggregate fees billed for each of the last two fiscal years ended February 28, 2019 and February 28, 2018, for products and services provided by the Auditor to the Registrant, other than the services reported in paragraphs (a) through (c) of this Item 4, were $0 for 2019 and $0 for 2018.
(e)(1) The Charter for the Audit Committee (“Committee”) of the Brinker Capital Destinations Trust provides that the Committee may pre-approve all audit and permitted non-audit services the independent auditor provides to a Fund, and all services that the independent auditor provides to the Fund’s investment adviser(s) and advisory affiliates (whether or not directly related to the Fund’s operations and financial reporting); except that (a) services provided to a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser, and (b) de minimis non-audit services, shall not require pre-approval
(e)(2) The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(c) of Rule 2-01 of Regulation S-X, with respect to: Audit-Related Fees were 0% for 2019 and 0% for 2018; Tax Fees were 0% for 2019 and 0% for 2018; and Other Fees were 0% for 2019 and 0% for 2018.
(f) Not Applicable.
(g) Aggregate non-audit fees billed by the Auditor for services rendered to the Registrant and the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management as is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant for each of the last two fiscal years of the Registrant (“Service Affiliates”) were $0 for 2019 and $0 for 2018.
(h) The Registrant’s Audit Committee has considered whether the provision of non-audit services that were rendered to Service Affiliates that were not pre-approved pursuant to paragraph (c)(7)ii of Rule 2-01 of Regulation S-X is compatible with maintaining the Auditor’s independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not Applicable.
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 evaluations 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) Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)) are attached hereto.
(a)(3) Not Applicable.
(a)(4) Not Applicable.
(b) Certifications pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.
Brinker Capital Destinations Trust | |
By: | /s/ Jason B. Moore |
Jason B. Moore | |
President | |
Date: | May 1, 2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ Jason B. Moore |
Jason B. Moore | |
President | |
Date: | May 1, 2019 |
Brinker Capital Destinations Trust
| |
By: | /s/ Philip Green, Jr. |
Philip Green, Jr. | |
Chief Financial Officer and Treasurer | |
Date: | May 1, 2019 |