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: 811-23282
______________________________________________
PFM Multi-manager series trust
_____________________________________________________________________________
(Exact name of registrant as specified in charter)
213 Market Street, Harrisburg, Pennsylvania 17101-2141
______________________________________________________________________________
(Address of principal executive offices) (zip code)
The Corporation Trust Company
1209 Orange Street
Wilmington, Delaware 19801
(Name and address of agent for service)
Copy to:
Jonathan Kopcsik, Esq.
Stradley Ronon Stevens & Young LLP
2005 Market Street, Suite 2600
Philadelphia, Pennsylvania, 19103-7018
Registrant's telephone number, including area code: (883) 736-6678
Date of fiscal year end: September 30
Date of reporting period: March 31, 2020
Item 1. Reports to Stockholders.
SEMI-ANNUAL REPORT
call 1-833-736-6678 or visit us online at www.pfm.com/multiassetfunds
(ii) on the Trust’s website at www.pfm.com/multiassetfunds, (iii) on the SEC’s website at www.sec.gov, or (iv) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330. Information regarding the Trust’s proxy voting policies and procedures, as well as information regarding how the Trust voted proxies, if any, during the most recent 12-month period ended June 30 is available without charge (1) by calling 1-833-736-6678 (toll free), or (2) on the website of the SEC at www.sec.gov.
PFM Asset Management LLC
| | | Fund Assets Managed | | | | | |||||||||
Investment Sub-Adviser | | | (%) | | | ($ Million) | | | Investment Strategy | | ||||||
Champlain Investment Partners, LLC | | | | | 4.5 | | | | | | 26.8 | | | | Active U.S. Mid-Cap | |
Jacobs Levy Equity Management, Inc. | | | | | 0.9 | | | | | | 5.5 | | | | Active U.S. Small-Cap | |
Nuance Investments, LLC | | | | | 16.6 | | | | | | 99.7 | | | | Active U.S. All-Cap | |
Vaughan Nelson Investment Management, L.P. | | | | | 15.8 | | | | | | 94.8 | | | | Active U.S. All-Cap | |
Sector Diversification | | | % | | |||
Communication Services | | | | | 9.4 | | |
Consumer Discretionary | | | | | 8.1 | | |
Consumer Staples | | | | | 6.7 | | |
Energy | | | | | 1.8 | | |
Financials | | | | | 13.3 | | |
Health Care | | | | | 17.4 | | |
Industrials | | | | | 11.3 | | |
Information Technology | | | | | 20.5 | | |
Materials | | | | | 3.2 | | |
Real Estate | | | | | 2.7 | | |
Utilities . | | | | | 2.8 | | |
Cash Equivalents and Other | | | | | 2.8 | | |
Total | | | | | 100.0 | | |
| | | Fund Assets Managed | | | | | |||||||||
Investment Sub-Adviser | | | (%) | | | ($ Million) | | | Investment Strategy | | ||||||
Acadian Asset Management | | | | | 14.6 | | | | | | 48.0 | | | | Active International Developed Markets | |
Aristotle Capital Management, LLC | | | | | 13.3 | | | | | | 43.7 | | | | Active International Developed Markets | |
J O Hambro Capital Management | | | | | 12.1 | | | | | | 39.7 | | | | Active International Small-Cap | |
Lazard Asset Management LLC | | | | | 14.9 | | | | | | 49.0 | | | | Active Total International Markets | |
Schroders Investment Management | | | | | 13.3 | | | | | | 43.7 | | | | Active Emerging Markets | |
WCM Investment Management, LLC | | | | | 14.7 | | | | | | 48.2 | | | | Active Total International | |
Region Diversification | | | % | | |||
Europe & Middle East ex-UK | | | | | 37.5 | | |
UK | | | | | 7.9 | | |
Pacific ex-Japan | | | | | 10.6 | | |
North America | | | | | 5.9 | | |
Japan | | | | | 14.3 | | |
EM Europe, Middle East & Africa | | | | | 2.6 | | |
EM Asia | | | | | 13.0 | | |
EM Latin America | | | | | 3.1 | | |
Cash Equivalents and Other | | | | | 5.1 | | |
Total | | | | | 100.0 | | |
Sector Diversification | | | % | | |||
Communication Services | | | | | 7.7 | | |
Consumer Discretionary | | | | | 11.1 | | |
Consumer Staples | | | | | 8.9 | | |
Energy | | | | | 2.9 | | |
Financials | | | | | 15.9 | | |
Health Care | | | | | 12.3 | | |
Industrials | | | | | 12.8 | | |
Information Technology | | | | | 13.7 | | |
Materials | | | | | 6.2 | | |
Real Estate | | | | | 1.4 | | |
Utilities | | | | | 1.6 | | |
Cash Equivalents and Other | | | | | 5.5 | | |
Total | | | | | 100.0 | | |
| | | Fund Assets Managed | | | | | |||||||||
Investment Sub-Adviser | | | (%) | | | ($ Million) | | | Investment Strategy | | ||||||
Brown Brothers Harriman & Co. | | | | | 6.8 | | | | | | 51.3 | | | | Active Securitized Assets | |
Nomura Corporate Research and Asset Management Inc. | | | | | 6.1 | | | | | | 45.9 | | | | Active High Yield | |
PineBridge Investments LLC | | | | | 7.3 | | | | | | 55.2 | | | | Active Investment Grade Credit | |
PGIM, Inc. | | | | | 39.8 | | | | | | 300.1 | | | | Active Investment Grade Core | |
Teachers Advisors, LLC | | | | | 39.7 | | | | | | 299.0 | | | | Active Investment Grade Core | |
Sector Diversification | | | % | | |||
Corporate Bonds | | | | | 36.2 | | |
U.S. Government Obligations | | | | | 16.1 | | |
U.S. Government Agencies | | | | | 12.8 | | |
Asset-Backed Securities | | | | | 11.3 | | |
Commercial Mortgage-Backed Securities | | | | | 10.5 | | |
Foreign Corporate Bonds | | | | | 5.4 | | |
Municipal Bonds | | | | | 2.8 | | |
Supranational Bonds | | | | | 1.3 | | |
Foreign Government Obligations | | | | | 0.9 | | |
Foreign Government Agencies | | | | | 0.4 | | |
Bank Loans | | | | | 0.2 | | |
Cash Equivalents and Other | | | | | 2.1 | | |
Total | | | | | 100.0 | | |
Credit Quality Diversification | | | % | | |||
Treasury/Agency | | | | | 13.8 | | |
A | | | | | 18.1 | | |
AA | | | | | 8.1 | | |
AAA | | | | | 28.2 | | |
B | | | | | 3.1 | | |
BB | | | | | 4.0 | | |
BBB | | | | | 16.0 | | |
Below B | | | | | 0.8 | | |
Cash & Not Rated | | | | | 5.8 | | |
Cash Equivalents and Other | | | | | 2.1 | | |
Total | | | | | 100.0 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – 35.4% | | ||||||||||||
COMMUNICATION SERVICES – 3.4% | | ||||||||||||
Alphabet, Inc., Class A(a) | | | | | 3,962 | | | | | $ | 4,603,646 | | |
Cable One, Inc. | | | | | 35 | | | | | | 57,540 | | |
Cogent Communications Holdings, Inc. | | | | | 24,756 | | | | | | 2,029,249 | | |
comScore, Inc.(a) | | | | | 5,131 | | | | | | 14,470 | | |
Electronic Arts, Inc.(a) | | | | | 49,650 | | | | | | 4,973,441 | | |
Facebook, Inc., Class A(a) | | | | | 27,810 | | | | | | 4,638,708 | | |
Glu Mobile, Inc.(a) | | | | | 3,694 | | | | | | 23,235 | | |
Gogo, Inc.(a) | | | | | 6,122 | | | | | | 12,979 | | |
John Wiley & Sons, Inc., Class A | | | | | 7,800 | | | | | | 292,422 | | |
Marchex, Inc., Class B(a) | | | | | 1,955 | | | | | | 2,835 | | |
ORBCOMM, Inc.(a) | | | | | 3,000 | | | | | | 7,320 | | |
Scholastic Corp. | | | | | 2,345 | | | | | | 59,774 | | |
Walt Disney Co. (The) | | | | | 36,525 | | | | | | 3,528,315 | | |
Yelp, Inc.(a) | | | | | 1,313 | | | | | | 23,673 | | |
Total Communication Services | | | | | 20,267,607 | | | ||||||
CONSUMER DISCRETIONARY – 2.0% | | ||||||||||||
Advance Auto Parts, Inc. | | | | | 5,400 | | | | | | 503,928 | | |
Amazon.com, Inc.(a) | | | | | 1,791 | | | | | | 3,491,949 | | |
American Axle & Manufacturing Holdings, Inc.(a) | | | | | 9,407 | | | | | | 33,959 | | |
American Public Education, Inc.(a) | | | | | 1,142 | | | | | | 27,328 | | |
Bloomin’ Brands, Inc. | | | | | 3,310 | | | | | | 23,633 | | |
Chuy’s Holdings, Inc.(a) | | | | | 652 | | | | | | 6,566 | | |
Cooper Tire & Rubber Co. | | | | | 3,003 | | | | | | 48,949 | | |
Cooper-Standard Holdings, Inc.(a) | | | | | 1,335 | | | | | | 13,710 | | |
Dunkin’ Brands Group, Inc. | | | | | 5,630 | | | | | | 298,953 | | |
Everi Holdings, Inc.(a) | | | | | 1,725 | | | | | | 5,692 | | |
Fossil Group, Inc.(a) | | | | | 3,014 | | | | | | 9,916 | | |
Garrett Motion, Inc.(a) | | | | | 7,230 | | | | | | 20,678 | | |
GoPro, Inc., Class A(a) | | | | | 10,896 | | | | | | 28,548 | | |
Haverty Furniture Cos., Inc. | | | | | 1,875 | | | | | | 22,294 | | |
Home Depot, Inc. (The) | | | | | 20,955 | | | | | | 3,912,508 | | |
Modine Manufacturing Co.(a) | | | | | 4,495 | | | | | | 14,609 | | |
Nautilus, Inc.(a) | | | | | 4,283 | | | | | | 11,179 | | |
Office Depot, Inc. | | | | | 19,410 | | | | | | 31,832 | | |
PlayAGS, Inc.(a) | | | | | 2,989 | | | | | | 7,921 | | |
Pool Corp. | | | | | 9,650 | | | | | | 1,898,830 | | |
Rent-A-Center, Inc. | | | | | 2,359 | | | | | | 33,356 | | |
Scientific Games Corp., Class A(a) | | | | | 538 | | | | | | 5,219 | | |
Sonos, Inc.(a) | | | | | 3,230 | | | | | | 27,390 | | |
Tractor Supply Co. | | | | | 7,950 | | | | | | 672,172 | | |
Tupperware Brands Corp. | | | | | 6,102 | | | | | | 9,885 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
CONSUMER DISCRETIONARY – (continued) | | ||||||||||||
Ulta Beauty, Inc.(a) | | | | | 3,050 | | | | | $ | 535,885 | | |
Unifi, Inc.(a) | | | | | 989 | | | | | | 11,423 | | |
Universal Technical Institute, Inc.(a) | | | | | 1,189 | | | | | | 7,075 | | |
Vera Bradley, Inc.(a) | | | | | 2,506 | | | | | | 10,325 | | |
Vista Outdoor, Inc.(a) | | | | | 7,511 | | | | | | 66,097 | | |
Visteon Corp.(a) | | | | | 308 | | | | | | 14,778 | | |
Wingstop, Inc. | | | | | 1,221 | | | | | | 97,314 | | |
Total Consumer Discretionary | | | | | 11,903,901 | | | ||||||
CONSUMER STAPLES – 2.2% | | ||||||||||||
Brown-Forman Corp., Class B | | | | | 4,600 | | | | | | 255,346 | | |
Cal-Maine Foods, Inc. | | | | | 41,986 | | | | | | 1,846,544 | | |
Calavo Growers, Inc. | | | | | 8,292 | | | | | | 478,365 | | |
Campbell Soup Co. | | | | | 4,925 | | | | | | 227,338 | | |
Central Garden & Pet Co., Class A(a) | | | | | 3,096 | | | | | | 79,165 | | |
Church & Dwight Co., Inc. | | | | | 2,200 | | | | | | 141,196 | | |
Diageo PLC, ADR | | | | | 27,424 | | | | | | 3,486,139 | | |
Henkel AG & Co. KGaA, ADR | | | | | 28,185 | | | | | | 513,531 | | |
JM Smucker Co. (The) | | | | | 7,300 | | | | | | 810,300 | | |
Lamb Weston Holdings, Inc. | | | | | 9,450 | | | | | | 539,595 | | |
Lifevantage Corp.(a) | | | | | 776 | | | | | | 7,993 | | |
McCormick & Co., Inc., NVDR | | | | | 2,000 | | | | | | 282,420 | | |
Molson Coors Brewing Co., Class B | | | | | 7,600 | | | | | | 296,476 | | |
Pernod Ricard S.A., ADR | | | | | 16,562 | | | | | | 474,667 | | |
Sanderson Farms, Inc. | | | | | 27,108 | | | | | | 3,342,958 | | |
TreeHouse Foods, Inc.(a) | | | | | 7,300 | | | | | | 322,295 | | |
USANA Health Sciences, Inc.(a) | | | | | 1,218 | | | | | | 70,352 | | |
Total Consumer Staples | | | | | 13,174,680 | | | ||||||
ENERGY – 0.3% | | ||||||||||||
Arch Coal, Inc., Class A | | | | | 958 | | | | | | 27,686 | | |
Dorian LPG Ltd.(a) | | | | | 2,763 | | | | | | 24,066 | | |
Green Plains, Inc. | | | | | 2,812 | | | | | | 13,638 | | |
Helix Energy Solutions Group, Inc.(a) | | | | | 11,723 | | | | | | 19,226 | | |
Kosmos Energy Ltd. | | | | | 816,575 | | | | | | 731,324 | | |
Par Pacific Holdings, Inc.(a) | | | | | 3,476 | | | | | | 24,680 | | |
Pioneer Natural Resources Co. | | | | | 13,375 | | | | | | 938,256 | | |
REX American Resources Corp.(a) | | | | | 412 | | | | | | 19,162 | | |
Total Energy | | | | | | | | | | | 1,798,038 | | |
FINANCIALS – 6.2% | | ||||||||||||
American Equity Investment Life Holding Co. | | | | | 2,609 | | | | | | 49,049 | | |
Ares Capital Corp. | | | | | 177,225 | | | | | | 1,910,486 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
FINANCIALS – (continued) | | ||||||||||||
Arthur J Gallagher & Co. | | | | | 9,155 | | | | | $ | 746,224 | | |
Axos Financial, Inc.(a) | | | | | 2,349 | | | | | | 42,587 | | |
Banc of California, Inc. | | | | | 1,759 | | | | | | 14,072 | | |
Banner Corp. | | | | | 1,827 | | | | | | 60,364 | | |
Berkshire Hathaway, Inc., Class B(a) | | | | | 15,590 | | | | | | 2,850,320 | | |
Boston Private Financial Holdings, Inc. | | | | | 2,706 | | | | | | 19,348 | | |
Business First Bancshares, Inc. | | | | | 159 | | | | | | 2,147 | | |
Cadence BanCorp | | | | | 4,589 | | | | | | 30,058 | | |
Charles Schwab Corp. (The) | | | | | 221,251 | | | | | | 7,438,459 | | |
Chubb Ltd. | | | | | 26,525 | | | | | | 2,962,577 | | |
Coastal Financial Corp.(a) | | | | | 304 | | | | | | 3,195 | | |
Commerce Bancshares, Inc. | | | | | 3,700 | | | | | | 186,295 | | |
Cowen, Inc., Class A | | | | | 662 | | | | | | 6,395 | | |
Cullen/Frost Bankers, Inc. | | | | | 13,655 | | | | | | 761,812 | | |
Eagle Bancorp, Inc. | | | | | 1,800 | | | | | | 54,378 | | |
Elevate Credit, Inc.(a) | | | | | 2,849 | | | | | | 2,963 | | |
Employers Holdings, Inc. | | | | | 1,024 | | | | | | 41,482 | | |
Enova International, Inc.(a) | | | | | 2,847 | | | | | | 41,253 | | |
Everest Re Group Ltd. | | | | | 4,880 | | | | | | 939,010 | | |
Flagstar Bancorp, Inc. | | | | | 1,951 | | | | | | 38,688 | | |
Green Dot Corp., Class A(a) | | | | | 2,389 | | | | | | 60,657 | | |
Guaranty Bancshares, Inc. | | | | | 185 | | | | | | 4,281 | | |
HCI Group, Inc. | | | | | 807 | | | | | | 32,482 | | |
Home Bancorp, Inc. | | | | | 156 | | | | | | 3,810 | | |
HomeStreet, Inc. | | | | | 2,213 | | | | | | 49,195 | | |
James River Group Holdings Ltd. | | | | | 2,192 | | | | | | 79,438 | | |
Macatawa Bank Corp. | | | | | 635 | | | | | | 4,521 | | |
MetLife, Inc. | | | | | 63,334 | | | | | | 1,936,120 | | |
Morningstar, Inc. | | | | | 1,200 | | | | | | 139,500 | | |
National Bank Holdings Corp., Class A | | | | | 1,893 | | | | | | 45,243 | | |
Northern Trust Corp. | | | | | 50,304 | | | | | | 3,795,940 | | |
Northwest Bancshares, Inc. | | | | | 4,472 | | | | | | 51,741 | | |
OFG Bancorp | | | | | 3,676 | | | | | | 41,098 | | |
Pacific Mercantile Bancorp(a) | | | | | 515 | | | | | | 2,426 | | |
PCB Bancorp | | | | | 304 | | | | | | 2,973 | | |
Preferred Bank | | | | | 1,059 | | | | | | 35,815 | | |
Prosperity Bancshares, Inc. | | | | | 5,600 | | | | | | 270,200 | | |
Protective Insurance Corp., Class B | | | | | 224 | | | | | | 3,080 | | |
Raymond James Financial, Inc. | | | | | 6,535 | | | | | | 413,012 | | |
Reinsurance Group of America, Inc. | | | | | 22,835 | | | | | | 1,921,337 | | |
Reliant Bancorp, Inc. | | | | | 187 | | | | | | 2,107 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
FINANCIALS – (continued) | | ||||||||||||
South Plains Financial, Inc. | | | | | 243 | | | | | $ | 3,764 | | |
Stewart Information Services Corp. | | | | | 1,554 | | | | | | 41,445 | | |
SVB Financial Group(a) | | | | | 1,650 | | | | | | 249,282 | | |
TD Ameritrade Holding Corp. | | | | | 13,787 | | | | | | 477,857 | | |
Towne Bank | | | | | 10,627 | | | | | | 192,242 | | |
Tradeweb Markets, Inc., Class A | | | | | 7,125 | | | | | | 299,535 | | |
Travelers Cos., Inc. (The) | | | | | 49,298 | | | | | | 4,897,756 | | |
UMB Financial Corp. | | | | | 11,238 | | | | | | 521,218 | | |
United Community Banks, Inc. | | | | | 2,638 | | | | | | 48,302 | | |
Universal Insurance Holdings, Inc. | | | | | 2,397 | | | | | | 42,954 | | |
Valley National Bancorp | | | | | 128,041 | | | | | | 935,980 | | |
Virtu Financial, Inc., Class A | | | | | 104,525 | | | | | | 2,176,211 | | |
Waddell & Reed Financial, Inc., Class A | | | | | 4,656 | | | | | | 52,985 | | |
WR Berkley Corp. | | | | | 4,674 | | | | | | 243,843 | | |
Total Financials | | | | | 37,279,512 | | | ||||||
HEALTH CARE – 7.7% | | ||||||||||||
Abbott Laboratories | | | | | 10,134 | | | | | | 799,674 | | |
AbbVie, Inc. | | | | | 24,400 | | | | | | 1,859,036 | | |
Align Technology, Inc.(a) | | | | | 1,950 | | | | | | 339,203 | | |
Allscripts Healthcare Solutions, Inc.(a) | | | | | 8,636 | | | | | | 60,797 | | |
AMAG Pharmaceuticals, Inc.(a) | | | | | 3,188 | | | | | | 19,702 | | |
Amphastar Pharmaceuticals, Inc.(a) | | | | | 2,731 | | | | | | 40,528 | | |
Applied Genetic Technologies Corp.(a) | | | | | 1,335 | | | | | | 4,379 | | |
AVEO Pharmaceuticals, Inc.(a) | | | | | 2,201 | | | | | | 7,968 | | |
Baxter International, Inc. | | | | | 3,057 | | | | | | 248,198 | | |
Becton Dickinson and Co. | | | | | 2,048 | | | | | | 470,569 | | |
Bio-Rad Laboratories, Inc., Class A(a) | | | | | 400 | | | | | | 140,224 | | |
Bio-Techne Corp. | | | | | 4,200 | | | | | | 796,404 | | |
Cantel Medical Corp. | | | | | 7,450 | | | | | | 267,455 | | |
Cardiovascular Systems, Inc.(a) | | | | | 1,198 | | | | | | 42,182 | | |
Castlight Health, Inc., Class B(a) | | | | | 4,985 | | | | | | 3,605 | | |
Catalent, Inc.(a) | | | | | 11,650 | | | | | | 605,217 | | |
Computer Programs & Systems, Inc. | | | | | 1,024 | | | | | | 22,784 | | |
Concert Pharmaceuticals, Inc.(a) | | | | | 310 | | | | | | 2,740 | | |
Cooper Cos., Inc. (The) | | | | | 1,850 | | | | | | 509,989 | | |
Corcept Therapeutics, Inc.(a) | | | | | 2,765 | | | | | | 32,876 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
HEALTH CARE – (continued) | | ||||||||||||
Cross Country Healthcare, Inc.(a) | | | | | 2,483 | | | | | $ | 16,735 | | |
Cutera, Inc.(a) | | | | | 993 | | | | | | 12,969 | | |
Cytokinetics, Inc.(a) | | | | | 2,948 | | | | | | 34,757 | | |
CytomX Therapeutics, Inc.(a) | | | | | 587 | | | | | | 4,502 | | |
DENTSPLY SIRONA, Inc. | | | | | 140,952 | | | | | | 5,473,166 | | |
Eagle Pharmaceuticals, Inc.(a) | | | | | 374 | | | | | | 17,204 | | |
Edwards Lifesciences Corp.(a) | | | | | 3,500 | | | | | | 660,170 | | |
Enanta Pharmaceuticals, Inc.(a) | | | | | 743 | | | | | | 38,212 | | |
Endo International PLC(a) | | | | | 4,283 | | | | | | 15,847 | | |
Envista Holdings Corp.(a) | | | | | 115,619 | | | | | | 1,727,348 | | |
Exicure, Inc.(a) | | | | | 1,000 | | | | | | 1,480 | | |
Globus Medical, Inc., Class A(a) | | | | | 45,479 | | | | | | 1,934,222 | | |
HealthStream, Inc.(a) | | | | | 1,179 | | | | | | 28,237 | | |
ICU Medical, Inc.(a) | | | | | 19,954 | | | | | | 4,026,119 | | |
Integra LifeSciences Holdings Corp.(a) | | | | | 12,850 | | | | | | 574,009 | | |
Johnson & Johnson | | | | | 31,183 | | | | | | 4,089,027 | | |
Lannett Co., Inc.(a) | | | | | 789 | | | | | | 5,484 | | |
Magellan Health, Inc.(a) | | | | | 1,201 | | | | | | 57,780 | | |
Masimo Corp.(a) | | | | | 14,975 | | | | | | 2,652,372 | | |
Medtronic PLC | | | | | 5,723 | | | | | | 516,100 | | |
Merit Medical Systems, Inc.(a) | | | | | 131,733 | | | | | | 4,116,656 | | |
Molina Healthcare, Inc.(a) | | | | | 90 | | | | | | 12,574 | | |
Natus Medical, Inc.(a) | | | | | 1,310 | | | | | | 30,300 | | |
Orthofix Medical, Inc.(a) | | | | | 1,117 | | | | | | 31,287 | | |
Owens & Minor, Inc. | | | | | 4,283 | | | | | | 39,189 | | |
Pacira BioSciences, Inc.(a) | | | | | 1,535 | | | | | | 51,469 | | |
Radius Health, Inc.(a) | | | | | 480 | | | | | | 6,240 | | |
Retrophin, Inc.(a) | | | | | 1,552 | | | | | | 22,644 | | |
Smith & Nephew PLC, ADR | | | | | 86,842 | | | | | | 3,115,023 | | |
Stryker Corp. | | | | | 2,993 | | | | | | 498,305 | | |
Surmodics, Inc.(a) | | | | | 876 | | | | | | 29,188 | | |
Sutro Biopharma, Inc.(a) | | | | | 341 | | | | | | 3,478 | | |
Thermo Fisher Scientific, Inc. | | | | | 12,485 | | | | | | 3,540,746 | | |
United Therapeutics Corp.(a) | | | | | 521 | | | | | | 49,404 | | |
UnitedHealth Group, Inc. | | | | | 18,565 | | | | | | 4,629,740 | | |
Universal Health Services, Inc., Class B | | | | | 2,710 | | | | | | 268,507 | | |
Varex Imaging Corp.(a) | | | | | 1,657 | | | | | | 37,630 | | |
Veeva Systems, Inc., Class A(a) | | | | | 4,100 | | | | | | 641,117 | | |
Waters Corp.(a) | | | | | 3,850 | | | | | | 700,892 | | |
West Pharmaceutical Services, Inc. | | | | | 2,350 | | | | | | 357,788 | | |
Total Health Care | | | | | 46,341,447 | | | ||||||
|
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
INDUSTRIALS – 5.6% | | ||||||||||||
3M Co. | | | | | 31,251 | | | | | $ | 4,266,074 | | |
ABB Ltd., ADR | | | | | 27,596 | | | | | | 476,307 | | |
AGCO Corp. | | | | | 776 | | | | | | 36,666 | | |
AMETEK, Inc. | | | | | 11,000 | | | | | | 792,220 | | |
AO Smith Corp. | | | | | 13,238 | | | | | | 500,529 | | |
Apogee Enterprises, Inc. | | | | | 1,971 | | | | | | 41,036 | | |
ArcBest Corp. | | | | | 1,707 | | | | | | 29,907 | | |
Astec Industries, Inc. | | | | | 1,732 | | | | | | 60,568 | | |
Barrett Business Services, Inc. | | | | | 186 | | | | | | 7,373 | | |
Briggs & Stratton Corp. | | | | | 7,822 | | | | | | 14,158 | | |
Clarivate Analytics PLC(a) | | | | | 28,360 | | | | | | 588,470 | | |
Comfort Systems USA, Inc. | | | | | 2,021 | | | | | | 73,868 | | |
Echo Global Logistics, Inc.(a) | | | | | 1,986 | | | | | | 33,921 | | |
Epiroc AB, ADR | | | | | 55,092 | | | | | | 536,596 | | |
Exponent, Inc. | | | | | 401 | | | | | | 28,836 | | |
FedEx Corp. | | | | | 23,975 | | | | | | 2,907,208 | | |
Fortive Corp. | | | | | 15,100 | | | | | | 833,369 | | |
Graco, Inc. | | | | | 5,176 | | | | | | 252,226 | | |
Heidrick & Struggles International, Inc. | | | | | 1,272 | | | | | | 28,620 | | |
Hub Group, Inc., Class A(a) | | | | | 1,418 | | | | | | 64,476 | | |
IDEX Corp. | | | | | 4,750 | | | | | | 656,022 | | |
Insperity, Inc. | | | | | 139 | | | | | | 5,185 | | |
Insteel Industries, Inc. | | | | | 1,130 | | | | | | 14,972 | | |
Knight-Swift Transportation Holdings, Inc. | | | | | 91,850 | | | | | | 3,012,680 | | |
Legrand S.A., ADR | | | | | 18,662 | | | | | | 235,253 | | |
Lindsay Corp. | | | | | 20,701 | | | | | | 1,895,798 | | |
LSI Industries, Inc. | | | | | 853 | | | | | | 3,224 | | |
Manitowoc Co., Inc. (The)(a) | | | | | 590 | | | | | | 5,015 | | |
Moog, Inc., Class A | | | | | 776 | | | | | | 39,211 | | |
MRC Global, Inc.(a) | | | | | 1,029 | | | | | | 4,384 | | |
Mueller Water Products, Inc., Class A | | | | | 146,093 | | | | | | 1,170,205 | | |
Nordson Corp. | | | | | 4,810 | | | | | | 649,687 | | |
Pitney Bowes, Inc. | | | | | 21,396 | | | | | | 43,648 | | |
Powell Industries, Inc. | | | | | 824 | | | | | | 21,152 | | |
Quanex Building Products Corp. | | | | | 2,079 | | | | | | 20,956 | | |
Raytheon Co. | | | | | 3,362 | | | | | | 440,926 | | |
Resideo Technologies, Inc.(a) | | | | | 2,296 | | | | | | 11,113 | | |
REV Group, Inc. | | | | | 528 | | | | | | 2,202 | | |
Rockwell Automation, Inc. | | | | | 4,600 | | | | | | 694,186 | | |
Roper Technologies, Inc. | | | | | 8,785 | | | | | | 2,739,251 | | |
Saia, Inc.(a) | | | | | 213 | | | | | | 15,664 | | |
Schneider Electric SE, ADR | | | | | 60,793 | | | | | | 1,039,560 | | |
SPX Corp.(a) | | | | | 1,893 | | | | | | 61,788 | | |
Tennant Co. | | | | | 719 | | | | | | 41,666 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
INDUSTRIALS – (continued) | | ||||||||||||
Toro Co. (The) | | | | | 3,380 | | | | | $ | 220,004 | | |
TriNet Group, Inc.(a) | | | | | 298 | | | | | | 11,223 | | |
Triumph Group, Inc. | | | | | 4,348 | | | | | | 29,392 | | |
TrueBlue, Inc.(a) | | | | | 2,700 | | | | | | 34,452 | | |
Union Pacific Corp. | | | | | 24,475 | | | | | | 3,451,954 | | |
Viad Corp. | | | | | 1,133 | | | | | | 24,054 | | |
Wabash National Corp. | | | | | 4,548 | | | | | | 32,837 | | |
WABCO Holdings, Inc.(a) | | | | | 33,495 | | | | | | 4,523,500 | | |
Werner Enterprises, Inc. | | | | | 6,860 | | | | | | 248,744 | | |
WESCO International, Inc.(a) | | | | | 238 | | | | | | 5,438 | | |
Xylem, Inc. | | | | | 7,419 | | | | | | 483,199 | | |
Total Industrials | | | | | 33,460,973 | | | ||||||
INFORMATION TECHNOLOGY – 5.3% | | ||||||||||||
A10 Networks, Inc.(a) | | | | | 2,587 | | | | | | 16,065 | | |
Accenture PLC, Class A | | | | | 3,005 | | | | | | 490,596 | | |
ADTRAN, Inc. | | | | | 3,507 | | | | | | 26,934 | | |
Agilysys, Inc.(a) | | | | | 1,983 | | | | | | 33,116 | | |
Amphenol Corp., Class A | | | | | 60,434 | | | | | | 4,404,430 | | |
Amtech Systems, Inc.(a) | | | | | 1,044 | | | | | | 4,541 | | |
Applied Materials, Inc. | | | | | 15,720 | | | | | | 720,290 | | |
Arlo Technologies, Inc.(a) | | | | | 5,121 | | | | | | 12,444 | | |
Avid Technology, Inc.(a) | | | | | 2,018 | | | | | | 13,581 | | |
Axcelis Technologies, Inc.(a) | | | | | 1,350 | | | | | | 24,719 | | |
Bel Fuse, Inc., Class B | | | | | 776 | | | | | | 7,558 | | |
Benchmark Electronics, Inc. | | | | | 2,794 | | | | | | 55,852 | | |
Broadridge Financial Solutions, Inc. | | | | | 19,400 | | | | | | 1,839,702 | | |
Calix, Inc.(a) | | | | | 7,267 | | | | | | 51,450 | | |
Cardtronics PLC, Class A(a) | | | | | 456 | | | | | | 9,540 | | |
ChannelAdvisor Corp.(a) | | | | | 466 | | | | | | 3,383 | | |
Cirrus Logic, Inc.(a) | | | | | 248 | | | | | | 16,276 | | |
Diebold Nixdorf, Inc.(a) | | | | | 1,117 | | | | | | 3,932 | | |
DSP Group, Inc.(a) | | | | | 1,855 | | | | | | 24,857 | | |
Endurance International Group Holdings, Inc.(a) | | | | | 5,152 | | | | | | 9,943 | | |
Everspin Technologies, Inc.(a) | | | | | 1,192 | | | | | | 3,123 | | |
Extreme Networks, Inc.(a) | | | | | 11,972 | | | | | | 36,994 | | |
Guidewire Software, Inc.(a) | | | | | 2,850 | | | | | | 226,034 | | |
Infinera Corp.(a) | | | | | 2,670 | | | | | | 14,151 | | |
Intevac, Inc.(a) | | | | | 897 | | | | | | 3,669 | | |
Knowles Corp.(a) | | | | | 1,424 | | | | | | 19,053 | | |
Kulicke & Soffa Industries, Inc. | | | | | 2,937 | | | | | | 61,295 | | |
Littelfuse, Inc. | | | | | 3,899 | | | | | | 520,205 | | |
Mastercard, Inc., Class A | | | | | 12,935 | | | | | | 3,124,579 | | |
Medallia, Inc.(a) | | | | | 20,100 | | | | | | 402,804 | | |
Microsoft Corp. | | | | | 34,500 | | | | | | 5,440,995 | | |
MicroStrategy, Inc., Class A(a) | | | | | 534 | | | | | | 63,065 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
INFORMATION TECHNOLOGY – (continued) | | ||||||||||||
MKS Instruments, Inc. | | | | | 2,472 | | | | | $ | 201,344 | | |
MobileIron, Inc.(a) | | | | | 5,494 | | | | | | 20,877 | | |
New Relic, Inc.(a) | | | | | 6,250 | | | | | | 289,000 | | |
Nutanix, Inc., Class A(a) | | | | | 14,000 | | | | | | 221,200 | | |
Okta, Inc.(a) | | | | | 3,650 | | | | | | 446,249 | | |
ON Semiconductor Corp.(a) | | | | | 288,493 | | | | | | 3,588,853 | | |
Palo Alto Networks, Inc.(a) | | | | | 3,450 | | | | | | 565,662 | | |
PDF Solutions, Inc.(a) | | | | | 1,451 | | | | | | 17,006 | | |
Pixelworks, Inc.(a) | | | | | 1,746 | | | | | | 4,976 | | |
Progress Software Corp. | | | | | 1,831 | | | | | | 58,592 | | |
Proofpoint, Inc.(a) | | | | | 2,900 | | | | | | 297,511 | | |
Pure Storage, Inc., Class A(a) | | | | | 35,750 | | | | | | 439,725 | | |
QUALCOMM, Inc. | | | | | 28,175 | | | | | | 1,906,039 | | |
Qualys, Inc.(a) | | | | | 400 | | | | | | 34,796 | | |
Ribbon Communications, Inc.(a) | | | | | 1,804 | | | | | | 5,466 | | |
ServiceNow, Inc.(a) | | | | | 2,800 | | | | | | 802,424 | | |
SMART Global Holdings, Inc.(a) | | | | | 435 | | | | | | 10,571 | | |
Splunk, Inc.(a) | | | | | 5,500 | | | | | | 694,265 | | |
SPS Commerce, Inc.(a) | | | | | 1,608 | | | | | | 74,788 | | |
Super Micro Computer, Inc.(a) | | | | | 1,955 | | | | | | 41,602 | | |
Synaptics, Inc.(a) | | | | | 590 | | | | | | 34,143 | | |
Synchronoss Technologies, Inc.(a) | | | | | 2,856 | | | | | | 8,711 | | |
Synopsys, Inc.(a) | | | | | 2,800 | | | | | | 360,612 | | |
Telenav, Inc.(a) | | | | | 1,459 | | | | | | 6,303 | | |
Texas Instruments, Inc. | | | | | 29,601 | | | | | | 2,958,028 | | |
TiVo Corp. | | | | | 8,377 | | | | | | 59,309 | | |
Unisys Corp.(a) | | | | | 1,253 | | | | | | 15,475 | | |
Veeco Instruments, Inc.(a) | | | | | 2,514 | | | | | | 24,059 | | |
Workday, Inc., Class A(a) | | | | | 5,600 | | | | | | 729,232 | | |
Zscaler, Inc.(a) | | | | | 6,450 | | | | | | 392,547 | | |
Total Information Technology | | | | | 31,994,541 | | | ||||||
MATERIALS – 1.6% | | ||||||||||||
AdvanSix, Inc.(a) | | | | | 2,597 | | | | | | 24,775 | | |
AptarGroup, Inc. | | | | | 14,517 | | | | | | 1,445,022 | | |
Boise Cascade Co. | | | | | 2,328 | | | | | | 55,360 | | |
Haynes International, Inc. | | | | | 529 | | | | | | 10,903 | | |
HB Fuller Co. | | | | | 1,978 | | | | | | 55,246 | | |
Innospec, Inc. | | | | | 1,292 | | | | | | 89,781 | | |
Martin Marietta Materials, Inc. | | | | | 2,858 | | | | | | 540,819 | | |
Myers Industries, Inc. | | | | | 1,707 | | | | | | 18,350 | | |
O-I Glass, Inc. | | | | | 464 | | | | | | 3,299 | | |
Olympic Steel, Inc. | | | | | 898 | | | | | | 9,294 | | |
Rayonier Advanced Materials, Inc. | | | | | 2,720 | | | | | | 2,883 | | |
Ryerson Holding Corp.(a) | | | | | 489 | | | | | | 2,602 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
MATERIALS – (continued) | | ||||||||||||
Sherwin-Williams Co. (The) | | | | | 8,985 | | | | | $ | 4,128,787 | | |
Stepan Co. | | | | | 1,086 | | | | | | 96,068 | | |
TimkenSteel Corp.(a) | | | | | 1,624 | | | | | | 5,246 | | |
Trinseo S.A. | | | | | 2,140 | | | | | | 38,755 | | |
Wheaton Precious Metals Corp. | | | | | 103,825 | | | | | | 2,858,302 | | |
Total Materials | | | | | 9,385,492 | | | ||||||
REAL ESTATE – 0.4% | | ||||||||||||
Equity Commonwealth | | | | | 62,009 | | | | | | 1,966,305 | | |
Four Corners Property Trust, Inc. | | | | | 3,146 | | | | | | 58,862 | | |
Investors Real Estate Trust | | | | | 567 | | | | | | 31,185 | | |
Kite Realty Group Trust | | | | | 2,131 | | | | | | 20,180 | | |
LTC Properties, Inc. | | | | | 1,614 | | | | | | 49,873 | | |
Marcus & Millichap, Inc.(a) | | | | | 659 | | | | | | 17,859 | | |
Retail Value, Inc. | | | | | 9 | | | | | | 110 | | |
Total Real Estate | | | | | 2,144,374 | | | ||||||
UTILITIES – 0.7% | | ||||||||||||
American Water Works Co., Inc. | | | | | 4,543 | | | | | | 543,161 | | |
Avista Corp. | | | | | 1,943 | | | | | | 82,558 | | |
California Water Service Group | | | | | 8,018 | | | | | | 403,466 | | |
Essential Utilities, Inc. | | | | | 37,406 | | | | | | 1,522,424 | | |
SJW Group | | | | | 24,383 | | | | | | 1,408,606 | | |
Total Utilities | | | | | 3,960,215 | | | ||||||
TOTAL COMMON STOCKS (Cost: $235,615,607) | | | | | 211,710,780 | | | ||||||
|
Investments | | | Shares | | | Value | | ||||||
EXCHANGE-TRADED FUNDS – 61.8% | | ||||||||||||
Vanguard Total Stock Market ETF (Cost: $457,784,059) | | | | | 2,873,182 | | | | | $ | 370,381,892 | | |
SHORT-TERM INVESTMENTS – 3.2% | | ||||||||||||
State Street Institutional Treasury Money Market Fund – Investor Class Shares, 0.50%(b) | | | | | | | | | | | | | |
(Cost: $19,309,784) | | | | | 19,309,784 | | | | | | 19,309,784 | | |
TOTAL INVESTMENTS – 100.4% (Cost: $712,709,450) | | | | | 601,402,456 | | | ||||||
OTHER ASSETS AND LIABILITIES, NET – (0.4)% | | | | | (2,172,475) | | | ||||||
NET ASSETS – 100.0% | | | | $ | 599,229,981 | | | ||||||
|
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Assets: | | | | | | | | | | | | | | | | ||||||||||
Common Stocks* | | | | $ | 211,710,780 | | | | | $ | — | | | | | $ | — | | | | | $ | 211,710,780 | | |
Exchange-Traded Fund | | | | | 370,381,892 | | | | | | — | | | | | | — | | | | | | 370,381,892 | | |
Money Market Fund | | | | | 19,309,784 | | | | | | — | | | | | | — | | | | | | 19,309,784 | | |
Total | | | | $ | 601,402,456 | | | | | $ | — | | | | | $ | — | | | | | $ | 601,402,456 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – 77.8% | | ||||||||||||
ARGENTINA – 0.5% | | ||||||||||||
MercadoLibre, Inc.(a) | | | | | 3,235 | | | | | $ | 1,580,556 | | |
AUSTRALIA – 2.3% | | ||||||||||||
Aristocrat Leisure Ltd. | | | | | 33,324 | | | | | | 431,180 | | |
Atlassian Corp. PLC, Class A(a) | | | | | 3,375 | | | | | | 463,253 | | |
Austal Ltd. | | | | | 16,046 | | | | | | 28,475 | | |
BHP Group Ltd. | | | | | 30,653 | | | | | | 557,269 | | |
BHP Group PLC | | | | | 28,564 | | | | | | 441,798 | | |
BlueScope Steel Ltd. | | | | | 3,279 | | | | | | 17,884 | | |
Champion Iron Ltd.(a) | | | | | 63,668 | | | | | | 58,818 | | |
Cochlear Ltd. | | | | | 4,659 | | | | | | 535,247 | | |
CSL Ltd. | | | | | 14,415 | | | | | | 2,614,924 | | |
Fleetwood Corp. Ltd.(a) | | | | | 10,074 | | | | | | 7,741 | | |
Fortescue Metals Group Ltd. | | | | | 85,500 | | | | | | 522,215 | | |
GWA Group Ltd. | | | | | 329,791 | | | | | | 541,508 | | |
Lycopodium Ltd. | | | | | 2,746 | | | | | | 6,825 | | |
Neuren Pharmaceuticals Ltd.(a) | | | | | 5,935 | | | | | | 3,554 | | |
Newcrest Mining Ltd. | | | | | 30,604 | | | | | | 430,008 | | |
Objective Corp. Ltd. | | | | | 3,884 | | | | | | 12,625 | | |
Orica Ltd. | | | | | 50,100 | | | | | | 470,009 | | |
Select Harvests Ltd. | | | | | 7,488 | | | | | | 32,662 | | |
Servcorp Ltd. | | | | | 3,197 | | | | | | 4,211 | | |
Sigma Healthcare Ltd. | | | | | 151,826 | | | | | | 59,530 | | |
Technology One Ltd. | | | | | 41,669 | | | | | | 208,474 | | |
Total Australia | | | | | | | | | | | 7,448,210 | | |
AUSTRIA – 0.2% | | ||||||||||||
Erste Group Bank AG | | | | | 34,200 | | | | | | 633,888 | | |
BELGIUM – 0.9% | | ||||||||||||
Ageas | | | | | 12,064 | | | | | | 501,987 | | |
Barco N.V. | | | | | 2,262 | | | | | | 349,429 | | |
Colruyt S.A. | | | | | 11,547 | | | | | | 626,126 | | |
D’ieteren S.A. | | | | | 2,523 | | | | | | 125,145 | | |
Galapagos N.V.(a) | | | | | 2,721 | | | | | | 539,907 | | |
Telenet Group Holding N.V. | | | | | 1,141 | | | | | | 34,392 | | |
UCB S.A. | | | | | 8,607 | | | | | | 747,377 | | |
Total Belgium | | | | | | | | | | | 2,924,363 | | |
BRAZIL – 1.2% | | ||||||||||||
Ambev S.A., ADR | | | | | 72,158 | | | | | | 165,963 | | |
B3 S.A. — Brasil Bolsa Balcao | | | | | 28,697 | | | | | | 198,268 | | |
BB Seguridade Participacoes S.A. | | | | | 75,600 | | | | | | 361,552 | | |
Cia de Saneamento Basico do Estado de Sao Paulo | | | | | 21,200 | | | | | | 159,568 | | |
Duratex S.A. | | | | | 24,553 | | | | | | 44,181 | | |
Equatorial Energia S.A. | | | | | 78,011 | | | | | | 264,235 | | |
IRB Brasil Resseguros S/A | | | | | 55,900 | | | | | | 104,138 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
BRAZIL – (continued) | | ||||||||||||
Itau Unibanco Holding S.A., ADR | | | | | 128,176 | | | | | $ | 575,510 | | |
Klabin S.A., (Unit) | | | | | 42,769 | | | | | | 131,613 | | |
Lojas Renner S.A. | | | | | 62,693 | | | | | | 404,915 | | |
Magazine Luiza S.A. | | | | | 14,248 | | | | | | 106,913 | | |
Pagseguro Digital Ltd., Class A(a) | | | | | 6,981 | | | | | | 134,943 | | |
Petroleo Brasileiro S.A., ADR | | | | | 18,704 | | | | | | 100,815 | | |
Petroleo Brasileiro S.A., ADR | | | | | 39,410 | | | | | | 216,755 | | |
Raia Drogasil S.A. | | | | | 15,312 | | | | | | 300,134 | | |
Vale S.A., ADR | | | | | 21,182 | | | | | | 175,599 | | |
Via Varejo S.A.(a) | | | | | 56,082 | | | | | | 56,988 | | |
WEG S.A. | | | | | 46,198 | | | | | | 298,468 | | |
YDUQS Part | | | | | 19,520 | | | | | | 83,285 | | |
Total Brazil | | | | | | | | | | | 3,883,843 | | |
BRITAIN – 7.3% | | ||||||||||||
Aon PLC | | | | | 6,000 | | | | | | 990,240 | | |
Aptitude Software Group PLC | | | | | 3,430 | | | | | | 14,919 | | |
Ashtead Group PLC | | | | | 47,700 | | | | | | 1,059,447 | | |
Avingtrans PLC | | | | | 4,217 | | | | | | 11,254 | | |
Barclays PLC | | | | | 11,692 | | | | | | 13,585 | | |
Barratt Developments PLC | | | | | 44,700 | | | | | | 243,619 | | |
Bellway PLC | | | | | 3,230 | | | | | | 86,159 | | |
Bloomsbury Publishing PLC | | | | | 200,272 | | | | | | 543,245 | | |
Bovis Homes Group PLC | | | | | 26,955 | | | | | | 192,341 | | |
Breedon Group PLC(a) | | | | | 63,266 | | | | | | 53,064 | | |
Brickability Group PLC | | | | | 15,725 | | | | | | 7,421 | | |
BT Group PLC | | | | | 225,153 | | | | | | 328,391 | | |
Close Brothers Group PLC | | | | | 63,600 | | | | | | 890,096 | | |
Coca-Cola European Partners PLC | | | | | 29,900 | | | | | | 1,122,147 | | |
Codemasters Group Holdings PLC(a) | | | | | 19,027 | | | | | | 56,653 | | |
Compass Group PLC | | | | | 104,141 | | | | | | 1,627,163 | | |
Crest Nicholson Holdings PLC | | | | | 47,550 | | | | | | 104,329 | | |
Dart Group PLC | | | | | 42,361 | | | | | | 288,844 | | |
DFS Furniture PLC | | | | | 15,396 | | | | | | 22,569 | | |
DiscoverIE Group PLC | | | | | 1,623 | | | | | | 9,884 | | |
Dixons Carphone PLC | | | | | 189,657 | | | | | | 183,413 | | |
Dunelm Group PLC | | | | | 16,719 | | | | | | 146,302 | | ��� |
Ferguson PLC | | | | | 6,867 | | | | | | 429,399 | | |
First Derivatives PLC | | | | | 17,918 | | | | | | 512,251 | | |
Gateley Holdings PLC | | | | | 13,328 | | | | | | 19,880 | | |
Genus PLC | | | | | 18,802 | | | | | | 764,360 | | |
Gooch & Housego PLC | | | | | 35,685 | | | | | | 375,471 | | |
Informa PLC | | | | | 64,039 | | | | | | 355,161 | | |
Judges Scientific PLC | | | | | 276 | | | | | | 14,315 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
BRITAIN – (continued) | | ||||||||||||
Keystone Law Group PLC | | | | | 2,569 | | | | | $ | 14,045 | | |
Legal & General Group PLC | | | | | 160,327 | | | | | | 383,559 | | |
M&G PLC(a) | | | | | 180,417 | | | | | | 251,226 | | |
Nexus Infrastructure PLC | | | | | 5,820 | | | | | | 10,656 | | |
Paragon Banking Group PLC | | | | | 69,004 | | | | | | 284,331 | | |
Porvair PLC | | | | | 104,278 | | | | | | 654,416 | | |
Prudential PLC | | | | | 61,093 | | | | | | 779,854 | | |
Reach PLC | | | | | 137,702 | | | | | | 178,333 | | |
Reckitt Benckiser Group PLC | | | | | 14,800 | | | | | | 1,135,865 | | |
RELX PLC | | | | | 50,472 | | | | | | 1,081,975 | | |
Rentokil Initial PLC | | | | | 251,300 | | | | | | 1,206,140 | | |
Rightmove PLC | | | | | 83,646 | | | | | | 504,472 | | |
Rio Tinto Ltd. | | | | | 10,228 | | | | | | 541,405 | | |
RSA Insurance Group PLC | | | | | 68,832 | | | | | | 357,791 | | |
Scapa Group PLC | | | | | 208,926 | | | | | | 289,511 | | |
Smith & Nephew PLC | | | | | 85,882 | | | | | | 1,524,026 | | |
Spirent Communications PLC | | | | | 32,125 | | | | | | 83,563 | | |
St James’s Place PLC | | | | | 26,409 | | | | | | 251,645 | | |
SThree PLC | | | | | 142,029 | | | | | | 405,707 | | |
Taylor Wimpey PLC | | | | | 172,538 | | | | | | 250,726 | | |
Tesco PLC | | | | | 301,028 | | | | | | 852,440 | | |
TP ICAP PLC | | | | | 31,401 | | | | | | 131,698 | | |
Unilever N.V. | | | | | 27,100 | | | | | | 1,335,216 | | |
Unilever PLC | | | | | 18,997 | | | | | | 959,036 | | |
Total Britain | | | | | | | | | | | 23,933,558 | | |
CANADA – 3.5% | | ||||||||||||
Brookfield Asset Management, Inc., Class A | | | | | 36,600 | | | | | | 1,622,332 | | |
Cameco Corp. | | | | | 55,900 | | | | | | 426,211 | | |
Canadian National Railway Co. | | | | | 6,400 | | | | | | 500,385 | | |
Canadian Pacific Railway Ltd. | | | | | 7,160 | | | | | | 1,572,264 | | |
DREAM Unlimited Corp., Class A | | | | | 33,100 | | | | | | 222,031 | | |
Heroux-Devtek, Inc.(a) | | | | | 61,710 | | | | | | 459,109 | | |
Laurentian Bank of Canada | | | | | 20,004 | | | | | | 434,394 | | |
Linamar Corp. | | | | | 18,190 | | | | | | 376,519 | | |
Lululemon Athletica, Inc.(a) | | | | | 10,048 | | | | | | 1,904,598 | | |
Magna International, Inc. | | | | | 27,500 | | | | | | 877,585 | | |
Points International Ltd.(a) | | | | | 5,300 | | | | | | 43,649 | | |
ShawCor Ltd. | | | | | 57,653 | | | | | | 72,921 | | |
Shopify, Inc., Class A(a) | | | | | 4,060 | | | | | | 1,692,736 | | |
Suncor Energy, Inc. | | | | | 46,700 | | | | | | 745,315 | | |
TMX Group Ltd. | | | | | 5,963 | | | | | | 443,931 | | |
Total Canada | | | | | | | | | | | 11,393,980 | | |
|
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
CHINA – 5.9% | | ||||||||||||
51job, Inc., ADR(a) | | | | | 2,123 | | | | | $ | 130,331 | | |
58.com, Inc., ADR(a) | | | | | 9,800 | | | | | | 477,456 | | |
Alibaba Group Holding Ltd.(a) | | | | | 2,800 | | | | | | 65,864 | | |
Alibaba Group Holding Ltd., ADR(a) | | | | | 14,778 | | | | | | 2,874,025 | | |
Anhui Conch Cement Co., Ltd., Class H | | | | | 31,500 | | | | | | 217,759 | | |
China Pacific Insurance Group Co., Ltd., Class H | | | | | 154,400 | | | | | | 464,172 | | |
China Petroleum & Chemical Corp., Class H | | | | | 876,000 | | | | | | 429,684 | | |
CNOOC Ltd. | | | | | 488,000 | | | | | | 508,777 | | |
ENN Energy Holdings Ltd. | | | | | 85,800 | | | | | | 825,139 | | |
FriendTimes, Inc.(a) | | | | | 170,000 | | | | | | 48,801 | | |
Greatview Aseptic Packaging Co., Ltd. | | | | | 1,224,000 | | | | | | 378,504 | | |
Guangzhou Automobile Group Co., Ltd., Class H | | | | | 198,000 | | | | | | 197,894 | | |
JD.com, Inc., ADR(a) | | | | | 32,632 | | | | | | 1,321,596 | | |
Li Ning Co., Ltd. | | | | | 105,000 | | | | | | 304,645 | | |
Modern Land China Co., Ltd. | | | | | 216,000 | | | | | | 29,609 | | |
PICC Property & Casualty Co., Ltd., Class H | | | | | 342,000 | | | | | | 328,951 | | |
Ping An Insurance Group Co. of China Ltd., Class H | | | | | 257,000 | | | | | | 2,514,015 | | |
Shenzhou International Group Holdings Ltd. | | | | | 53,300 | | | | | | 562,731 | | |
Tencent Holdings Ltd. | | | | | 133,500 | | | | | | 6,509,670 | | |
Tencent Music Entertainment Group, ADR(a) | | | | | 17,457 | | | | | | 175,617 | | |
WuXi AppTec Co., Ltd., Class H | | | | | 5,200 | | | | | | 63,640 | | |
Wuxi Biologics Cayman, Inc.(a) | | | | | 27,000 | | | | | | 348,072 | | |
Yestar Healthcare Holdings Co., Ltd.(a) | | | | | 1,290,000 | | | | | | 215,530 | | |
Yum China Holdings, Inc. | | | | | 5,456 | | | | | | 232,589 | | |
Zhuzhou CRRC Times Electric Co., Ltd., Class H | | | | | 47,300 | | | | | | 139,512 | | |
Total China | | | | | | | | | | | 19,364,583 | | |
COLOMBIA – 0.0%(b) | | ||||||||||||
Bancolombia S.A., ADR | | | | | 3,282 | | | | | | 81,919 | | |
DENMARK – 0.0%(b) | | ||||||||||||
Sanistal A/S, Class B(a) | | | | | 1,636 | | | | | | 12,911 | | |
EGYPT – 0.1% | | ||||||||||||
Commercial International Bank Egypt SAE, GDR | | | | | 51,351 | | | | | | 184,864 | | |
|
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
FINLAND – 0.7% | | ||||||||||||
Admicom Oyj | | | | | 494 | | | | | $ | 36,393 | | |
Digia Oyj | | | | | 3,508 | | | | | | 15,598 | | |
Fiskars Oyj Abp | | | | | 1,882 | | | | | | 19,900 | | |
Harvia Oyj | | | | | 2,767 | | | | | | 27,330 | | |
Nordea Bank Abp | | | | | 67,780 | | | | | | 382,611 | | |
Orion Oyj, Class B | | | | | 14,750 | | | | | | 605,065 | | |
Sampo Oyj, Class A | | | | | 14,014 | | | | | | 409,905 | | |
Scanfil Oyj | | | | | 4,281 | | | | | | 19,668 | | |
Vaisala Oyj, Class A | | | | | 24,087 | | | | | | 718,421 | | |
Total Finland | | | | | | | | | | | 2,234,891 | | |
FRANCE – 6.1% | | ||||||||||||
ABC arbitrage | | | | | 5,749 | | | | | | 39,270 | | |
Air Liquide S.A. | | | | | 5,981 | | | | | | 766,626 | | |
Amundi S.A. | | | | | 19,300 | | | | | | 1,142,226 | | |
BNP Paribas S.A. | | | | | 22,198 | | | | | | 669,163 | | |
Caisse Regionale de Credit Agricole Mutuel Brie Picardie | | | | | 294 | | | | | | 8,675 | | |
CBo Territoria | | | | | 4,714 | | | | | | 16,623 | | |
CNP Assurances | | | | | 13,522 | | | | | | 132,359 | | |
Coface S.A. | | | | | 80,509 | | | | | | 516,788 | | |
Credit Agricole S.A. | | | | | 13,021 | | | | | | 95,434 | | |
Dassault Systemes SE | | | | | 10,400 | | | | | | 1,542,286 | | |
Eiffage S.A. | | | | | 7,098 | | | | | | 502,695 | | |
Engie S.A. | | | | | 78,627 | | | | | | 813,328 | | |
Envea S.A. | | | | | 124 | | | | | | 10,186 | | |
EssilorLuxottica S.A. | | | | | 11,070 | | | | | | 1,194,341 | | |
Focus Home Interactive S.A. | | | | | 1,144 | | | | | | 22,633 | | |
HighCo | | | | | 3,207 | | | | | | 12,496 | | |
IPSOS | | | | | 22,684 | | | | | | 480,179 | | |
Lectra | | | | | 29,160 | | | | | | 462,493 | | |
LVMH Moet Hennessy Louis Vuitton SE | | | | | 8,575 | | | | | | 3,183,000 | | |
Nexans S.A. | | | | | 5,298 | | | | | | 157,273 | | |
Pernod Ricard S.A. | | | | | 8,355 | | | | | | 1,188,405 | | |
Pierre & Vacances S.A.(a) | | | | | 1,282 | | | | | | 16,284 | | |
Rexel S.A. | | | | | 23,330 | | | | | | 173,848 | | |
Robertet S.A. | | | | | 686 | | | | | | 583,233 | | |
Safran S.A. | | | | | 19,191 | | | | | | 1,686,812 | | |
Sanofi | | | | | 17,623 | | | | | | 1,551,542 | | |
Societe Marseillaise du Tunnel Prado-Carenage S.A. | | | | | 471 | | | | | | 8,767 | | |
Somfy S.A. | | | | | 380 | | | | | | 32,219 | | |
TOTAL S.A. | | | | | 28,800 | | | | | | 1,116,849 | | |
Ubisoft Entertainment S.A.(a) | | | | | 2,115 | | | | | | 155,973 | | |
Vilmorin & Cie S.A. | | | | | 882 | | | | | | 34,902 | | |
Vinci S.A. | | | | | 5,775 | | | | | | 477,853 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
FRANCE – (continued) | | ||||||||||||
Vivendi S.A. | | | | | 49,994 | | | | | $ | 1,072,703 | | |
Total France | | | | | | | | | | | 19,867,464 | | |
GERMANY – 3.9% | | ||||||||||||
Allianz SE | | | | | 4,890 | | | | | | 842,945 | | |
BASF SE | | | | | 11,600 | | | | | | 560,669 | | |
Carl Zeiss Meditec AG | | | | | 640 | | | | | | 62,184 | | |
Carlsberg A/S, Class B | | | | | 5,741 | | | | | | 651,696 | | |
Coloplast A/S, Class B | | | | | 1,377 | | | | | | 200,345 | | |
DSV PANALPINA A/S | | | | | 13,800 | | | | | | 1,256,536 | | |
Fresenius Medical Care AG & Co. KGaA | | | | | 6,898 | | | | | | 460,121 | | |
Gerresheimer AG | | | | | 9,294 | | | | | | 593,889 | | |
GFT Technologies SE | | | | | 3,713 | | | | | | 31,741 | | |
Hannover Rueck SE | | | | | 4,265 | | | | | | 623,574 | | |
Infineon Technologies AG | | | | | 23,389 | | | | | | 350,335 | | |
KWS Saat SE & Co. KGaA | | | | | 10,179 | | | | | | 526,593 | | |
Merck KGaA | | | | | 9,728 | | | | | | 1,008,720 | | |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | | | | | 3,163 | | | | | | 639,383 | | |
Novo Nordisk A/S, Class B | | | | | 19,614 | | | | | | 1,183,145 | | |
SAP SE | | | | | 12,990 | | | | | | 1,491,942 | | |
Surteco Group SE | | | | | 1,111 | | | | | | 23,257 | | |
Symrise AG | | | | | 15,700 | | | | | | 1,486,876 | | |
Vestas Wind Systems A/S | | | | | 4,189 | | | | | | 340,995 | | |
VIB Vermoegen AG | | | | | 1,635 | | | | | | 41,059 | | |
Vonovia SE | | | | | 8,225 | | | | | | 405,420 | | |
Total Germany | | | | | | | | | | | 12,781,425 | | |
GREECE – 0.0%(b) | | ||||||||||||
Alpha Bank AE(a) | | | | | 118,361 | | | | | | 92,472 | | |
Eurobank Ergasias S.A.(a) | | | | | 146,544 | | | | | | 64,488 | | |
Total Greece | | | | | | | | | | | 156,960 | | |
HONG KONG – 2.6% | | ||||||||||||
AIA Group Ltd. | | | | | 427,100 | | | | | | 3,842,320 | | |
Chen Hsong Holdings | | | | | 44,000 | | | | | | 10,025 | | |
China Mengniu Dairy Co., Ltd.(a) | | | | | 199,000 | | | | | | 689,250 | | |
China Mobile Ltd. | | | | | 78,000 | | | | | | 589,281 | | |
China Resources Beer Holdings Co., Ltd. | | | | | 76,000 | | | | | | 344,970 | | |
Cowell e Holdings, Inc. | | | | | 1,257,000 | | | | | | 293,665 | | |
ESR Cayman Ltd.(a) | | | | | 111,800 | | | | | | 240,429 | | |
Hang Lung Properties Ltd. | | | | | 81,000 | | | | | | 163,825 | | |
Hongkong Land Holdings Ltd. | | | | | 46,300 | | | | | | 173,186 | | |
Mandarin Oriental International Ltd. | | | | | 338,607 | | | | | | 433,621 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
HONG KONG – (continued) | | ||||||||||||
Pico Far East Holdings Ltd. | | | | | 1,962,000 | | | | | $ | 340,586 | | |
Sitoy Group Holdings Ltd. | | | | | 855,000 | | | | | | 51,124 | | |
SmarTone Telecommunications Holdings Ltd. | | | | | 728,500 | | | | | | 426,927 | | |
Strong Petrochemical Holdings Ltd.(a) | | | | | 142,000 | | | | | | 8,136 | | |
Vinda International Holdings Ltd. | | | | | 296,000 | | | | | | 713,524 | | |
Wasion Holdings Ltd. | | | | | 702,000 | | | | | | 239,119 | | |
Yue Yuen Industrial Holdings Ltd. | | | | | 75,500 | | | | | | 114,982 | | |
Total Hong Kong | | | | | | | | | | | 8,674,970 | | |
HUNGARY – 0.2% | | ||||||||||||
MOL Hungarian Oil & Gas PLC | | | | | 20,964 | | | | | | 123,539 | | |
OTP Bank Nyrt | | | | | 9,789 | | | | | | 283,962 | | |
Richter Gedeon Nyrt | | | | | 12,627 | | | | | | 238,162 | | |
Total Hungary | | | | | | | | | | | 645,663 | | |
INDIA – 1.0% | | ||||||||||||
HDFC Bank Ltd., ADR | | | | | 39,805 | | | | | | 1,530,900 | | |
ICICI Bank Ltd., ADR | | | | | 106,135 | | | | | | 902,147 | | |
Infosys Ltd., ADR | | | | | 60,871 | | | | | | 499,751 | | |
Larsen & Toubro Ltd., GDR | | | | | 20,765 | | | | | | 223,847 | | |
Reliance Industries Ltd., GDR | | | | | 4,920 | | | | | | 151,536 | | |
Total India | | | | | | | | | | | 3,308,181 | | |
INDONESIA – 0.2% | | ||||||||||||
Bank Mandiri Persero Tbk PT | | | | | 828,500 | | | | | | 236,942 | | |
Telekomunikasi Indonesia Persero Tbk PT, ADR | | | | | 19,100 | | | | | | 367,675 | | |
Total Indonesia | | | | | | | | | | | 604,617 | | |
IRELAND – 3.3% | | ||||||||||||
Accenture PLC, Class A | | | | | 21,715 | | | | | | 3,545,191 | | |
Experian PLC | | | | | 122,625 | | | | | | 3,413,658 | | |
Grafton Group PLC, (Unit) | | | | | 83,481 | | | | | | 548,793 | | |
Greencore Group PLC | | | | | 25,241 | | | | | | 51,585 | | |
ICON PLC(a) | | | | | 5,955 | | | | | | 809,880 | | |
Irish Continental Group PLC, (Unit) | | | | | 158,461 | | | | | | 560,113 | | |
Medtronic PLC | | | | | 15,200 | | | | | | 1,370,736 | | |
Ryanair Holdings PLC, ADR(a) | | | | | 8,115 | | | | | | 430,825 | | |
Total Ireland | | | | | | | | | | | 10,730,781 | | |
ISRAEL – 0.4% | | ||||||||||||
Bank Leumi Le-Israel BM | | | | | 84,768 | | | | | | 468,694 | | |
Check Point Software Technologies Ltd.(a) | | | | | 3,059 | | | | | | 307,552 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
ISRAEL – (continued) | | ||||||||||||
Electra Consumer Products 1970 Ltd. | | | | | 1,007 | | | | | $ | 17,773 | | |
Nice Ltd., ADR(a) | | | | | 3,923 | | | | | | 563,186 | | |
Rani Zim Shopping Centers Ltd.(a) | | | | | 14,754 | | | | | | 11,231 | | |
Sapiens International Corp. N.V. | | | | | 1,354 | | | | | | 25,753 | | |
Tower Semiconductor Ltd.(a) | | | | | 2,504 | | | | | | 39,864 | | |
Total Israel | | | | | | | | | | | 1,434,053 | | |
ITALY – 1.0% | | ||||||||||||
Assicurazioni Generali SpA | | | | | 41,622 | | | | | | 567,014 | | |
Banca IFIS SpA | | | | | 33,923 | | | | | | 331,205 | | |
Biesse SpA | | | | | 27,165 | | | | | | 269,385 | | |
El.En. SpA | | | | | 16,687 | | | | | | 293,351 | | |
Enel SpA | | | | | 126,515 | | | | | | 880,597 | | |
Ferrari N.V. | | | | | 6,910 | | | | | | 1,073,995 | | |
SIT SpA | | | | | 1,600 | | | | | | 7,421 | | |
Total Italy | | | | | | | | | | | 3,422,968 | | |
JAPAN – 11.3% | | ||||||||||||
Advantest Corp. | | | | | 8,800 | | | | | | 352,923 | | |
Ariake Japan Co., Ltd. | | | | | 11,500 | | | | | | 722,704 | | |
Asahi Group Holdings Ltd. | | | | | 10,800 | | | | | | 350,664 | | |
Astellas Pharma, Inc. | | | | | 5,600 | | | | | | 86,689 | | |
Brother Industries Ltd. | | | | | 24,600 | | | | | | 376,018 | | |
Dai Nippon Printing Co., Ltd. | | | | | 9,100 | | | | | | 193,819 | | |
Dai-ichi Life Holdings, Inc. | | | | | 17,900 | | | | | | 214,217 | | |
Daiseki Co., Ltd. | | | | | 28,500 | | | | | | 605,947 | | |
Daiwa House Industry Co., Ltd. | | | | | 28,200 | | | | | | 698,426 | | |
Elematec Corp. | | | | | 2,800 | | | | | | 19,952 | | |
EPS Holdings, Inc. | | | | | 49,900 | | | | | | 521,516 | | |
Fujitsu Ltd. | | | | | 7,800 | | | | | | 703,865 | | |
Furuno Electric Co., Ltd. | | | | | 62,300 | | | | | | 485,743 | | |
Glory Ltd. | | | | | 3,300 | | | | | | 76,045 | | |
Hitachi Ltd. | | | | | 25,500 | | | | | | 742,301 | | |
Hoshizaki Corp. | | | | | 15,300 | | | | | | 1,149,781 | | |
Infocom Corp. | | | | | 7,200 | | | | | | 164,400 | | |
Iwatani Corp. | | | | | 17,500 | | | | | | 586,476 | | |
JUTEC Holdings Corp. | | | | | 1,000 | | | | | | 9,004 | | |
Kao Corp. | | | | | 9,500 | | | | | | 777,851 | | |
KDDI Corp. | | | | | 75,800 | | | | | | 2,240,502 | | |
Keyence Corp. | | | | | 4,900 | | | | | | 1,581,306 | | |
Kintetsu World Express, Inc. | | | | | 38,800 | | | | | | 570,007 | | |
Kubota Corp. | | | | | 69,300 | | | | | | 886,446 | | |
Macnica Fuji Electronics Holdings, Inc. | | | | | 8,300 | | | | | | 103,016 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
JAPAN – (continued) | | ||||||||||||
Makita Corp. | | | | | 21,400 | | | | | $ | 656,170 | | |
Mani, Inc. | | | | | 25,500 | | | | | | 625,125 | | |
Marui Group Co., Ltd. | | | | | 64,400 | | | | | | 1,081,040 | | |
Mitsubishi UFJ Financial Group, Inc. | | | | | 183,200 | | | | | | 683,454 | | |
Mizuho Financial Group, Inc. | | | | | 583,700 | | | | | | 668,028 | | |
MS&AD Insurance Group Holdings, Inc. | | | | | 6,400 | | | | | | 179,259 | | |
NET One Systems Co., Ltd. | | | | | 11,100 | | | | | | 230,889 | | |
Nexon Co., Ltd. | | | | | 72,200 | | | | | | 1,180,953 | | |
Nidec Corp. | | | | | 25,200 | | | | | | 1,307,156 | | |
Nintendo Co., Ltd. | | | | | 4,300 | | | | | | 1,658,484 | | |
Nippon Telegraph & Telephone Corp. | | | | | 33,500 | | | | | | 794,962 | | |
Nomura Holdings, Inc. | | | | | 46,300 | | | | | | 196,138 | | |
NTT DOCOMO, Inc. | | | | | 26,100 | | | | | | 820,458 | | |
Oki Electric Industry Co., Ltd. | | | | | 17,400 | | | | | | 163,295 | | |
Olympus Corp. | | | | | 12,500 | | | | | | 180,405 | | |
ORIX Corp. | | | | | 66,900 | | | | | | 804,496 | | |
Otsuka Corp. | | | | | 5,900 | | | | | | 252,429 | | |
Panasonic Corp. | | | | | 75,200 | | | | | | 574,058 | | |
Rion Co., Ltd. | | | | | 30,600 | | | | | | 640,453 | | |
Sakata Seed Corp. | | | | | 22,100 | | | | | | 668,146 | | |
Secom Co., Ltd. | | | | | 3,000 | | | | | | 249,427 | | |
Shinsei Bank Ltd. | | | | | 49,600 | | | | | | 662,031 | | |
SHO-BOND Holdings Co., Ltd. | | | | | 19,000 | | | | | | 760,156 | | |
Sompo Holdings, Inc. | | | | | 3,800 | | | | | | 117,543 | | |
Sony Corp. | | | | | 30,200 | | | | | | 1,795,185 | | |
Sumitomo Mitsui Financial Group, Inc. | | | | | 48,800 | | | | | | 1,185,709 | | |
Sumitomo Mitsui Trust Holdings, Inc. | | | | | 21,100 | | | | | | 609,559 | | |
Suzuki Motor Corp. | | | | | 11,200 | | | | | | 267,992 | | |
Systena Corp. | | | | | 11,600 | | | | | | 155,899 | | |
Tayca Corp. | | | | | 32,900 | | | | | | 437,433 | | |
Tokio Marine Holdings, Inc. | | | | | 5,100 | | | | | | 233,899 | | |
Tokyo Electron Ltd. | | | | | 3,500 | | | | | | 658,138 | | |
Tomen Devices Corp. | | | | | 700 | | | | | | 21,035 | | |
Toppan Printing Co., Ltd. | | | | | 21,700 | | | | | | 332,578 | | |
Toray Industries, Inc. | | | | | 142,100 | | | | | | 616,176 | | |
Toshiba TEC Corp. | | | | | 5,700 | | | | | | 179,529 | | |
Transcosmos, Inc. | | | | | 26,600 | | | | | | 471,182 | | |
Tsubakimoto Chain Co. | | | | | 17,500 | | | | | | 398,367 | | |
Yamaha Corp. | | | | | 9,500 | | | | | | 370,326 | | |
Total Japan | | | | | | | | | | | 37,107,180 | | |
LUXEMBOURG – 0.1% | | ||||||||||||
ArcelorMittal S.A. | | | | | 28,772 | | | | | | 272,671 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
LUXEMBOURG – (continued) | | ||||||||||||
Ternium S.A., ADR | | | | | 8,514 | | | | | $ | 101,317 | | |
Total Luxembourg | | | | | | | | | | | 373,988 | | |
MEXICO – 0.9% | | ||||||||||||
Arca Continental S.A.B. de C.V. | | | | | 83,000 | | | | | | 335,009 | | |
Fomento Economico Mexicano S.A.B. de C.V., ADR | | | | | 8,359 | | | | | | 505,803 | | |
Genomma Lab Internacional S.A.B. de C.V., Class B(a) | | | | | 838,900 | | | | | | 671,898 | | |
Grupo Financiero Banorte S.A.B. de C.V., Class O | | | | | 139,900 | | | | | | 383,328 | | |
Wal-Mart de Mexico S.A.B. de C.V. | | | | | 432,900 | | | | | | 1,019,909 | | |
Total Mexico | | | | | | | | | | | 2,915,947 | | |
NETHERLANDS – 3.3% | | ||||||||||||
ABN AMRO Bank N.V. | | | | | 33,158 | | | | | | 272,182 | | |
Akzo Nobel N.V. | | | | | 13,000 | | | | | | 857,042 | | |
ASML Holding N.V. | | | | | 5,880 | | | | | | 1,538,443 | | |
Corbion N.V. | | | | | 22,152 | | | | | | 659,239 | | |
Heineken N.V. | | | | | 16,800 | | | | | | 1,406,127 | | |
Hunter Douglas N.V. | | | | | 641 | | | | | | 28,946 | | |
Koninklijke Ahold Delhaize N.V. | | | | | 34,620 | | | | | | 810,222 | | |
Koninklijke DSM N.V. | | | | | 6,547 | | | | | | 743,963 | | |
Koninklijke KPN N.V. | | | | | 258,213 | | | | | | 617,626 | | |
Koninklijke Philips N.V. | | | | | 20,418 | | | | | | 826,413 | | |
NXP Semiconductors N.V. | | | | | 5,277 | | | | | | 437,622 | | |
Ordina N.V. | | | | | 187,986 | | | | | | 283,646 | | |
Randstad N.V. | | | | | 12,542 | | | | | | 443,129 | | |
Sligro Food Group N.V. | | | | | 32,611 | | | | | | 486,424 | | |
Wolters Kluwer N.V. | | | | | 20,018 | | | | | | 1,423,275 | | |
Total Netherlands | | | | | | | | | | | 10,834,299 | | |
NEW ZEALAND – 0.1% | | ||||||||||||
a2 Milk Co., Ltd.(a) | | | | | 3,624 | | | | | | 37,499 | | |
Fisher & Paykel Healthcare Corp. Ltd. | | | | | 6,402 | | | | | | 113,663 | | |
Meridian Energy Ltd. | | | | | 47,364 | | | | | | 112,054 | | |
Pushpay Holdings Ltd.(a) | | | | | 4,784 | | | | | | 9,677 | | |
Turners Automotive Group Ltd. | | | | | 7,316 | | | | | | 5,991 | | |
Total New Zealand | | | | | | | | | | | 278,884 | | |
NORWAY – 0.8% | | ||||||||||||
Borregaard ASA | | | | | 68,326 | | | | | | 635,805 | | |
DNB ASA | | | | | 32,454 | | | | | | 363,979 | | |
Equinor ASA | | | | | 43,174 | | | | | | 543,850 | | |
Norway Royal Salmon ASA | | | | | 25,339 | | | | | | 506,539 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
NORWAY – (continued) | | ||||||||||||
Telenor ASA | | | | | 42,437 | | | | | $ | 621,893 | | |
Total Norway | | | | | | | | | | | 2,672,066 | | |
PERU – 0.0% (b) | | ||||||||||||
Credicorp Ltd. | | | | | 1,060 | | | | | | 151,654 | | |
POLAND – 0.2% | | ||||||||||||
Bank Polska Kasa Opieki S.A. | | | | | 15,117 | | | | | | 204,693 | | |
KGHM Polska Miedz S.A.(a) | | | | | 6,310 | | | | | | 90,951 | | |
Polski Koncern Naftowy ORLEN S.A. | | | | | 9,232 | | | | | | 124,019 | | |
Powszechny Zaklad Ubezpieczen S.A. | | | | | 21,184 | | | | | | 160,134 | | |
Total Poland | | | | | | | | | | | 579,797 | | |
PORTUGAL – 0.2% | | ||||||||||||
EDP — Energias de Portugal S.A. | | | | | 40,116 | | | | | | 161,196 | | |
Galp Energia SGPS S.A. | | | | | 19,875 | | | | | | 226,918 | | |
NOS,SGPS, S.A. | | | | | 34,643 | | | | | | 116,202 | | |
Total Portugal | | | | | | | | | | | 504,316 | | |
QATAR – 0.0% (b) | | ||||||||||||
Qatar National Bank QPSC | | | | | 32,605 | | | | | | 148,957 | | |
RUSSIA – 1.0% | | ||||||||||||
Evraz PLC | | | | | 77,174 | | | | | | 220,235 | | |
Gazprom PJSC, ADR | | | | | 103,231 | | | | | | 470,733 | | |
LUKOIL PJSC, ADR | | | | | 8,343 | | | | | | 493,572 | | |
MMC Norilsk Nickel PJSC, ADR | | | | | 6,158 | | | | | | 149,393 | | |
Novatek PJSC, GDR | | | | | 3,769 | | | | | | 434,566 | | |
Polyus PJSC, GDR | | | | | 4,417 | | | | | | 301,239 | | |
Sberbank of Russia PJSC, ADR | | | | | 100,376 | | | | | | 943,534 | | |
X5 Retail Group N.V., GDR | | | | | 6,911 | | | | | | 186,597 | | |
Yandex N.V., Class A(a) | | | | | 6,612 | | | | | | 225,139 | | |
Total Russia | | | | | | | | | | | 3,425,008 | | |
SINGAPORE – 0.8% | | ||||||||||||
DBS Group Holdings Ltd. | | | | | 153,800 | | | | | | 2,010,961 | | |
Jardine Cycle & Carriage Ltd. | | | | | 22,600 | | | | | | 313,016 | | |
Kimly Ltd. | | | | | 65,800 | | | | | | 8,737 | | |
Olam International Ltd. | | | | | 140,900 | | | | | | 140,749 | | |
Sunningdale Tech Ltd. | | | | | 16,900 | | | | | | 9,882 | | |
Total Singapore | | | | | | | | | | | 2,483,345 | | |
SOUTH AFRICA – 0.4% | | ||||||||||||
AVI Ltd. | | | | | 21,973 | | | | | | 86,374 | | |
Mediclinic International PLC | | | | | 16,812 | | | | | | 53,757 | | |
Mr Price Group Ltd. | | | | | 27,089 | | | | | | 171,776 | | |
Naspers Ltd., Class N | | | | | 4,636 | | | | | | 658,641 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
SOUTH AFRICA – (continued) | | ||||||||||||
Sanlam Ltd. | | | | | 85,122 | | | | | $ | 242,806 | | |
Total South Africa | | | | | | | | | | | 1,213,354 | | |
SOUTH KOREA – 3.1% | | ||||||||||||
Celltrion Healthcare Co., Ltd.(a) | | | | | 16 | | | | | | 1,176 | | |
Celltrion, Inc.(a) | | | | | 29 | | | | | | 5,438 | | |
Choong Ang Vaccine Laboratory | | | | | 39,654 | | | | | | 465,517 | | |
Hana Financial Group, Inc. | | | | | 12,522 | | | | | | 233,476 | | |
KCC Corp. | | | | | 21 | | | | | | 2,210 | | |
KCC Glass Corp.(a) | | | | | 20 | | | | | | 296 | | |
Koh Young Technology, Inc. | | | | | 6,193 | | | | | | 394,118 | | |
Korea Zinc Co., Ltd. | | | | | 924 | | | | | | 267,787 | | |
LG Chem Ltd. | | | | | 1,721 | | | | | | 426,082 | | |
LG Household & Health Care Ltd. | | | | | 428 | | | | | | 391,527 | | |
NAVER Corp. | | | | | 3,288 | | | | | | 452,308 | | |
Samsung Electronics Co., Ltd. | | | | | 16,818 | | | | | | 653,617 | | |
Samsung Electronics Co., Ltd., GDR | | | | | 4,246 | | | | | | 4,201,183 | | |
Samsung Fire & Marine Insurance Co., Ltd. | | | | | 1,523 | | | | | | 190,494 | | |
Samsung SDI Co., Ltd. | | | | | 2,818 | | | | | | 550,580 | | |
Samwha Capacitor Co., Ltd. | | | | | 12,893 | | | | | | 419,982 | | |
SK Hynix, Inc. | | | | | 17,339 | | | | | | 1,172,951 | | |
SK Materials Co., Ltd. | | | | | 4,537 | | | | | | 493,000 | | |
Yuhan Corp. | | | | | 2 | | | | | | 375 | | |
Total South Korea | | | | | | | | | | | 10,322,117 | | |
SPAIN – 0.4% | | ||||||||||||
Abertis Infraestructuras S.A.(a) | | | | | 3,711 | | | | | | 26,481 | | |
Amadeus IT Group S.A. | | | | | 18,080 | | | | | | 857,451 | | |
Cia de Distribucion Integral Logista Holdings S.A. | | | | | 8,199 | | | | | | 131,454 | | |
Faes Farma S.A. | | | | | 110,214 | | | | | | 429,653 | | |
Naturhouse Health SAU | | | | | 7,581 | | | | | | 11,845 | | |
Total Spain | | | | | | | | | | | 1,456,884 | | |
SWEDEN – 3.0% | | ||||||||||||
AAK AB | | | | | 27,981 | | | | | | 456,296 | | |
Ahlstrom-Munksjo Oyj | | | | | 51,868 | | | | | | 637,044 | | |
Arise AB(a) | | | | | 4,287 | | | | | | 12,338 | | |
Assa Abloy AB, Class B | | | | | 82,147 | | | | | | 1,552,987 | | |
Atlas Copco AB, Class A | | | | | 37,135 | | | | | | 1,248,027 | | |
Avanza Bank Holding AB | | | | | 72,093 | | | | | | 601,592 | | |
Beijer Electronics Group AB | | | | | 2,336 | | | | | | 9,582 | | |
Betsson AB(a) | | | | | 14,579 | | | | | | 58,617 | | |
BioGaia AB, Class B | | | | | 16,606 | | | | | | 702,832 | | |
Cloetta AB, Class B | | | | | 226,364 | | | | | | 536,884 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
SWEDEN – (continued) | | ||||||||||||
Doro AB(a) | | | | | 3,661 | | | | | $ | 9,845 | | |
Elanders AB, Class B | | | | | 6,002 | | | | | | 27,098 | | |
Epiroc AB, Class A | | | | | 49,344 | | | | | | 489,167 | | |
Fastator AB | | | | | 1,438 | | | | | | 10,990 | | |
Fastighets AB Balder, Class B(a) | | | | | 4,243 | | | | | | 152,428 | | |
Getinge AB, Class B | | | | | 22,707 | | | | | | 436,023 | | |
GHP Specialty Care AB | | | | | 12,103 | | | | | | 16,899 | | |
IAR Systems Group AB | | | | | 38,431 | | | | | | 450,270 | | |
Kinnevik AB, Class B | | | | | 22,765 | | | | | | 378,313 | | |
NCC AB, Class B | | | | | 33,556 | | | | | | 440,397 | | |
SKF AB, Class B | | | | | 18,665 | | | | | | 256,791 | | |
Surgical Science Sweden AB(a) | | | | | 468 | | | | | | 12,240 | | |
SwedenCare AB(a) | | | | | 1,451 | | | | | | 11,119 | | |
Swedish Match AB | | | | | 14,264 | | | | | | 815,929 | | |
Thule Group AB | | | | | 29,598 | | | | | | 515,335 | | |
Total Sweden | | | | | | | | | | | 9,839,043 | | |
SWITZERLAND – 6.3% | | ||||||||||||
ABB Ltd. | | | | | 44,979 | | | | | | 790,846 | | |
Adecco Group AG | | | | | 12,892 | | | | | | 508,663 | | |
AEVIS VICTORIA S.A. | | | | | 199 | | | | | | 2,359 | | |
Alcon, Inc.(a) | | | | | 54,394 | | | | | | 2,775,836 | | |
Bobst Group S.A. | | | | | 10,033 | | | | | | 456,241 | | |
Cavotec S.A.(a) | | | | | 6,710 | | | | | | 10,324 | | |
Chubb Ltd. | | | | | 11,805 | | | | | | 1,318,500 | | |
Credit Suisse Group AG(a) | | | | | 51,516 | | | | | | 425,388 | | |
Geberit AG | | | | | 1,933 | | | | | | 852,717 | | |
Gurit Holding AG | | | | | 513 | | | | | | 610,703 | | |
LEM Holding S.A. | | | | | 609 | | | | | | 670,930 | | |
Nestle S.A. | | | | | 18,565 | | | | | | 1,913,462 | | |
Novartis AG | | | | | 52,862 | | | | | | 4,368,782 | | |
Orell Fuessli Holding AG | | | | | 121 | | | | | | 11,686 | | |
Phoenix Mecano AG | | | | | 42 | | | | | | 14,914 | | |
Roche Holding AG | | | | | 6,089 | | | | | | 1,979,619 | | |
Sika AG | | | | | 8,390 | | | | | | 1,388,180 | | |
Sonova Holding AG | | | | | 431 | | | | | | 77,811 | | |
STMicroelectronics N.V. | | | | | 22,412 | | | | | | 487,768 | | |
UBS Group AG(a) | | | | | 85,200 | | | | | | 796,317 | | |
Valiant Holding AG | | | | | 5,964 | | | | | | 479,165 | | |
Valora Holding AG(a) | | | | | 2,897 | | | | | | 509,219 | | |
Zehnder Group AG | | | | | 1,028 | | | | | | 39,352 | | |
Total Switzerland | | | | | | | | | | | 20,488,782 | | |
TAIWAN – 2.8% | | ||||||||||||
Accton Technology Corp. | | | | | 27,000 | | | | | | 143,228 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
TAIWAN – (continued) | | ||||||||||||
ASE Technology Holding Co., Ltd., ADR | | | | | 102,701 | | | | | $ | 384,102 | | |
CTBC Financial Holding Co., Ltd. | | | | | 553,000 | | | | | | 327,386 | | |
Delta Electronics, Inc. | | | | | 124,000 | | | | | | 494,183 | | |
Hon Hai Precision Industry Co., Ltd., GDR | | | | | 134,333 | | | | | | 619,275 | | |
Largan Precision Co., Ltd. | | | | | 2,000 | | | | | | 248,630 | | |
Merida Industry Co., Ltd. | | | | | 122,000 | | | | | | 447,909 | | |
Paiho Shih Holdings Corp. | | | | | 401,240 | | | | | | 337,214 | | |
Sinmag Equipment Corp. | | | | | 154,000 | | | | | | 427,859 | | |
Taiwan Semiconductor Manufacturing Co., Ltd., ADR | | | | | 90,084 | | | | | | 4,305,114 | | |
Tong Yang Industry Co., Ltd. | | | | | 457,000 | | | | | | 483,711 | | |
TOPBI International Holdings Ltd. | | | | | 268,380 | | | | | | 509,860 | | |
Uni-President Enterprises Corp. | | | | | 160,000 | | | | | | 347,116 | | |
Zhen Ding Technology Holding Ltd. | | | | | 57,000 | | | | | | 172,246 | | |
Total Taiwan | | | | | | | | | | | 9,247,833 | | |
THAILAND – 0.2% | | ||||||||||||
Kasikornbank PCL | | | | | 69,500 | | | | | | 193,776 | | |
Sahamitr Pressure Container PCL | | | | | 1,487,300 | | | | | | 196,690 | | |
Vanachai Group PCL(a) | | | | | 2,266,274 | | | | | | 146,401 | | |
Total Thailand | | | | | | | | | | | 536,867 | | |
TURKEY – 0.2% | | ||||||||||||
Akbank T.A.S.(a) | | | | | 220,481 | | | | | | 183,340 | | |
BIM Birlesik Magazalar A/S | | | | | 32,936 | | | | | | 247,806 | | |
Tupras Turkiye Petrol Rafinerileri A/S(a) | | | | | 11,042 | | | | | | 124,263 | | |
Total Turkey | | | | | | | | | | | 555,409 | | |
UNITED ARAB EMIRATES – 0.1% | | ||||||||||||
Abu Dhabi Commercial Bank PJSC | | | | | 85,893 | | | | | | 106,871 | | |
DP World PLC | | | | | 14,254 | | | | | | 213,588 | | |
Emaar Properties PJSC | | | | | 228,991 | | | | | | 135,605 | | |
Total United Arab Emirates | | | | | | | | | | | 456,064 | | |
UNITED STATES – 1.3% | | ||||||||||||
Carnival PLC | | | | | 28,200 | | | | | | 342,284 | | |
Mettler-Toledo International, Inc.(a) | | | | | 1,755 | | | | | | 1,211,845 | | |
Osmotica Pharmaceuticals PLC(a) | | | | | 16,227 | | | | | | 51,602 | | |
ResMed, Inc. | | | | | 10,185 | | | | | | 1,500,149 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
UNITED STATES – (continued) | | ||||||||||||
STERIS PLC | | | | | 7,730 | | | | | $ | 1,081,968 | | |
Total United States | | | | | | | | | | | 4,187,848 | | |
TOTAL COMMON STOCKS (Cost: $308,480,633) | | | | | | | | | | | 255,084,290 | | |
EXCHANGE-TRADED FUNDS – 16.7% | | ||||||||||||
iShares Core MSCI Total International Stock ETF | | | | | 1,135,678 | | | | | | 53,388,223 | | |
iShares MSCI Emerging Markets ETF | | | | | 43,828 | | | | | | 1,495,849 | | |
TOTAL EXCHANGE-TRADED FUNDS (Cost: $68,502,130) | | | | | | | | | | | 54,884,072 | | |
RIGHTS – 0.0%(b) | | ||||||||||||
CHINA – 0.0%(b) | | ||||||||||||
Legend Holdings Corp., Class H(a) (Cost: $0) | | | | | 284 | | | | | | 0 | | |
PREFERRED STOCKS – 0.4% | | ||||||||||||
BRAZIL – 0.0%(b) | | ||||||||||||
Lojas Americanas S.A., 0.82% | | | | | 41 | | | | | | 142 | | |
GERMANY – 0.4% | | ||||||||||||
Henkel AG & Co. KGaA, 2.35% | | | | | 6,204 | | | | | | 505,931 | | |
Volkswagen AG, 3.92% | | | | | 6,887 | | | | | | 820,546 | | |
Total Germany | | | | | | | | | | | 1,326,477 | | |
TOTAL PREFERRED STOCKS (Cost: $1,599,374) | | | | | | | | | | | 1,326,619 | | |
|
Investments | | | Shares | | | Value | | ||||||
WARRANTS – 0.0%(b) | | ||||||||||||
THAILAND – 0.0%(a)(b) | | ||||||||||||
BTS Group Holdings PCL (Cost: $0) | | | | | 3,130 | | | | | $ | 55 | | |
SHORT-TERM INVESTMENTS – 5.0% | | ||||||||||||
State Street Institutional Treasury Money Market Fund — Investor Class Shares, 0.50%(c) (Cost $16,283,143) | | | | | 16,283,143 | | | | | | 16,283,143 | | |
TOTAL INVESTMENTS – 99.9% | | ||||||||||||
(Cost: $394,865,280) | | | | | | | | | | | 327,578,179 | | |
OTHER ASSETS AND LIABILITIES, NET – 0.1% | | | | | | | | | | | 194,647 | | |
NET ASSETS – 100.0% | | | | | | | | | | $ | 327,772,826 | | |
|
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Assets: | | | | | | ||||||||||||||||||||
Investment in Securities: | | | | | | ||||||||||||||||||||
Common Stocks* | | | | | | | | | | | | | | | | | | | | | | | | | |
Argentina | | | | $ | 1,580,556 | | | | | $ | — | | | | | $ | — | | | | | $ | 1,580,556 | | |
Australia | | | | | 463,253 | | | | | | 6,984,957 | | | | | | — | | | | | | 7,448,210 | | |
Austria | | | | | — | | | | | | 633,888 | | | | | | — | | | | | | 633,888 | | |
Belgium | | | | | — | | | | | | 2,924,363 | | | | | | — | | | | | | 2,924,363 | | |
Brazil | | | | | 3,883,843 | | | | | | — | | | | | | — | | | | | | 3,883,843 | | |
Britain | | | | | 2,112,387 | | | | | | 21,821,171 | | | | | | — | | | | | | 23,933,558 | | |
Canada | | | | | 11,393,980 | | | | | | — | | | | | | — | | | | | | 11,393,980 | | |
China | | | | | 5,211,614 | | | | | | 14,152,969 | | | | | | — | | | | | | 19,364,583 | | |
Colombia | | | | | 81,919 | | | | | | — | | | | | | — | | | | | | 81,919 | | |
Denmark | | | | | — | | | | | | 12,911 | | | | | | — | | | | | | 12,911 | | |
Egypt | | | | | 184,864 | | | | | | — | | | | | | — | | | | | | 184,864 | | |
Finland | | | | | — | | | | | | 2,234,891 | | | | | | — | | | | | | 2,234,891 | | |
France | | | | | — | | | | | | 19,867,464 | | | | | | — | | | | | | 19,867,464 | | |
Germany | | | | | — | | | | | | 12,781,425 | | | | | | — | | | | | | 12,781,425 | | |
Greece | | | | | — | | | | | | 156,960 | | | | | | — | | | | | | 156,960 | | |
Hong Kong | | | | | — | | | | | | 8,674,970 | | | | | | — | | | | | | 8,674,970 | | |
Hungary | | | | | — | | | | | | 645,663 | | | | | | — | | | | | | 645,663 | | |
India | | | | | 3,308,181 | | | | | | — | | | | | | — | | | | | | 3,308,181 | | |
Indonesia | | | | | 367,675 | | | | | | 236,942 | | | | | | — | | | | | | 604,617 | | |
Ireland | | | | | 6,156,632 | | | | | | 4,574,149 | | | | | | — | | | | | | 10,730,781 | | |
Israel | | | | | 936,355 | | | | | | 497,698 | | | | | | — | | | | | | 1,434,053 | | |
Italy | | | | | — | | | | | | 3,422,968 | | | | | | — | | | | | | 3,422,968 | | |
Japan | | | | | — | | | | | | 37,107,180 | | | | | | — | | | | | | 37,107,180 | | |
Luxembourg | | | | | 101,317 | | | | | | 272,671 | | | | | | — | | | | | | 373,988 | | |
Mexico | | | | | 2,915,947 | | | | | | — | | | | | | — | | | | | | 2,915,947 | | |
Netherlands | | | | | 1,976,065 | | | | | | 8,858,234 | | | | | | — | | | | | | 10,834,299 | | |
New Zealand | | | | | — | | | | | | 278,884 | | | | | | — | | | | | | 278,884 | | |
Norway | | | | | — | | | | | | 2,672,066 | | | | | | — | | | | | | 2,672,066 | | |
Peru | | | | | 151,654 | | | | | | — | | | | | | — | | | | | | 151,654 | | |
Poland | | | | | — | | | | | | 579,797 | | | | | | — | | | | | | 579,797 | | |
Portugal | | | | | — | | | | | | 504,316 | | | | | | — | | | | | | 504,316 | | |
Qatar | | | | | — | | | | | | 148,957 | | | | | | — | | | | | | 148,957 | | |
Russia | | | | | 3,204,773 | | | | | | 220,235 | | | | | | — | | | | | | 3,425,008 | | |
Singapore | | | | | — | | | | | | 2,483,345 | | | | | | — | | | | | | 2,483,345 | | |
South Africa | | | | | — | | | | | | 1,213,354 | | | | | | — | | | | | | 1,213,354 | | |
South Korea | | | | | 1,489,500 | | | | | | 8,832,617 | | | | | | — | | | | | | 10,322,117 | | |
Spain | | | | | — | | | | | | 1,456,884 | | | | | | — | | | | | | 1,456,884 | | |
Sweden | | | | | — | | | | | | 9,839,043 | | | | | | — | | | | | | 9,839,043 | | |
Switzerland | | | | | 1,318,500 | | | | | | 19,170,282 | | | | | | — | | | | | | 20,488,782 | | |
Taiwan | | | | | 5,308,491 | | | | | | 3,939,342 | | | | | | — | | | | | | 9,247,833 | | |
Thailand | | | | | 536,867 | | | | | | — | | | | | | — | | | | | | 536,867 | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Turkey | | | | $ | — | | | | | $ | 555,409 | | | | | $ | — | | | | | $ | 555,409 | | |
United Arab Emirates | | | | | — | | | | | | 456,064 | | | | | | — | | | | | | 456,064 | | |
United States | | | | | 3,845,564 | | | | | | 342,284 | | | | | | — | | | | | | 4,187,848 | | |
Total Common Stocks | | | | | 56,529,937 | | | | | | 198,554,353 | | | | | | — | | | | | | 255,084,290 | | |
Exchange-Traded Funds | | | | | 54,884,072 | | | | | | — | | | | | | — | | | | | | 54,884,072 | | |
Preferred Stocks | | | | | 142 | | | | | | 1,326,477 | | | | | | — | | | | | | 1,326,619 | | |
Warrants | | | | | 55 | | | | | | — | | | | | | — | | | | | | 55 | | |
Money Market Fund | | | | | 16,283,143 | | | | | | — | | | | | | — | | | | | | 16,283,143 | | |
Total Investments in Securities | | | | $ | 127,697,349 | | | | | $ | 199,880,830 | | | | | $ | — | | | | | $ | 327,578,179 | | |
|
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – 36.2% | | ||||||||||||
BASIC MATERIALS – 1.0% | | ||||||||||||
Aleris International, Inc., Secured Note, 10.75%, 7/15/23(a) | | | | $ | 75,000 | | | | | $ | 72,750 | | |
Allegheny Technologies, Inc., 5.88%, 12/1/27 | | | | | 25,000 | | | | | | 20,813 | | |
Big River Steel LLC/BRS Finance Corp., Senior Secured Note, 7.25%, 9/1/25(a) | | | | | 50,000 | | | | | | 45,500 | | |
Blue Cube Spinco LLC, 10.00%, 10/15/25 | | | | | 74,000 | | | | | | 78,077 | | |
CF Industries, Inc., 5.38%, 3/15/44 | | | | | 25,000 | | | | | | 23,813 | | |
Chemours Co. (The), 7.00%, 5/15/25 | | | | | 25,000 | | | | | | 20,813 | | |
Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. L.P., Senior Note, 3.30%, 5/1/23(a) | | | | | 105,000 | | | | | | 102,323 | | |
Cleveland-Cliffs, Inc., 5.75%, 3/1/25 | | | | | 59,000 | | | | | | 45,578 | | |
Cleveland-Cliffs, Inc., 5.88%, 6/1/27(a) | | | | | 100,000 | | | | | | 59,890 | | |
Cleveland-Cliffs, Inc., 6.75%, 3/15/26(a) | | | | | 25,000 | | | | | | 22,094 | | |
CNAC HK Finbridge Co., Ltd., 3.50%, 7/19/22(b) | | | | | 340,000 | | | | | | 337,799 | | |
Coeur Mining, Inc., 5.88%, 6/1/24 | | | | | 75,000 | | | | | | 67,500 | | |
Commercial Metals Co., 5.38%, 7/15/27 | | | | | 100,000 | | | | | | 92,000 | | |
Compass Minerals International, Inc., 6.75%, 12/1/27(a) | | | | | 50,000 | | | | | | 45,138 | | |
Domtar Corp., 6.75%, 2/15/44 | | | | | 233,000 | | | | | | 208,652 | | |
DuPont de Nemours, Inc., Senior Note, 3.77%, 11/15/20 | | | | | 65,000 | | | | | | 65,204 | | |
Ecolab, Inc., 4.80%, 3/24/30 | | | | | 55,000 | | | | | | 62,614 | | |
Ecolab, Inc., Senior Note, 2.38%, 8/10/22 | | | | | 175,000 | | | | | | 178,237 | | |
Element Solutions, Inc., 5.88%, 12/1/25(a) | | | | | 50,000 | | | | | | 49,000 | | |
First Quantum Minerals Ltd., 6.50%, 3/1/24(a) | | | | | 400,000 | | | | | | 332,000 | | |
Freeport-McMoRan, Inc., 3.55%, 3/1/22 | | | | | 7,000 | | | | | | 6,715 | | |
Freeport-McMoRan, Inc., 4.13%, 3/1/28 | | | | | 75,000 | | | | | | 65,654 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
BASIC MATERIALS – (continued) | | ||||||||||||
Freeport-McMoRan, Inc., 4.25%, 3/1/30 | | | | $ | 100,000 | | | | | $ | 86,880 | | |
Freeport-McMoRan, Inc., 5.00%, 9/1/27 | | | | | 75,000 | | | | | | 69,634 | | |
Freeport-McMoRan, Inc., 5.45%, 3/15/43 | | | | | 175,000 | | | | | | 156,625 | | |
Georgia-Pacific LLC, 5.40%, 11/1/20(a) | | | | | 388,000 | | | | | | 391,711 | | |
Hexion, Inc., 7.88%, 7/15/27(a) | | | | | 50,000 | | | | | | 42,500 | | |
Hudbay Minerals, Inc., 7.63%, 1/15/25(a) | | | | | 100,000 | | | | | | 87,000 | | |
Huntsman International LLC, 4.50%, 5/1/29 | | | | | 193,000 | | | | | | 164,539 | | |
Innophos Holdings, Inc., 9.38%, 2/15/28(a) | | | | | 50,000 | | | | | | 48,500 | | |
International Paper Co., Senior Bond, 4.35%, 8/15/48 | | | | | 1,000,000 | | | | | | 968,269 | | |
Inversiones CMPC S.A., 4.38%, 4/4/27(a) | | | | | 500,000 | | | | | | 466,255 | | |
Kaiser Aluminum Corp., 4.63%, 3/1/28(a) | | | | | 50,000 | | | | | | 44,375 | | |
Kraton Polymers LLC/Kraton Polymers Capital Corp., 7.00%, 4/15/25(a) | | | | | 50,000 | | | | | | 44,250 | | |
LYB International Finance III LLC, 4.20%, 10/15/49 | | | | | 174,000 | | | | | | 170,732 | | |
Mercer International, Inc., 7.38%, 1/15/25 | | | | | 50,000 | | | | | | 41,626 | | |
Mercer International, Inc., Senior Note, 6.50%, 2/1/24 | | | | | 100,000 | | | | | | 85,000 | | |
Newmont Corp., 2.25%, 10/1/30 | | | | | 1,475,000 | | | | | | 1,358,343 | | |
NOVA Chemicals Corp., Senior Note, 5.25%, 6/1/27(a) | | | | | 75,000 | | | | | | 63,187 | | |
Novelis Corp., 4.75%, 1/30/30(a) | | | | | 100,000 | | | | | | 89,000 | | |
Novelis Corp., 5.88%, 9/30/26(a) | | | | | 150,000 | | | | | | 147,205 | | |
Olin Corp., 5.63%, 8/1/29 | | | | | 50,000 | | | | | | 46,013 | | |
SASOL Financing USA LLC, 5.88%, 3/27/24 | | | | | 200,000 | | | | | | 83,971 | | |
Schweitzer-Mauduit International, Inc., 6.88%, 10/1/26(a) | | | | | 50,000 | | | | | | 49,750 | | |
Sherwin-Williams Co. (The), 3.30%, 5/15/50 | | | | | 98,000 | | | | | | 91,838 | | |
Southern Copper Corp., Senior Bond, 5.25%, 11/8/42 | | | | | 100,000 | | | | | | 102,659 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
BASIC MATERIALS – (continued) | | ||||||||||||
Steel Dynamics, Inc., 3.45%, 4/15/30 | | | | $ | 135,000 | | | | | $ | 122,309 | | |
Taseko Mines Ltd., Senior Secured Note, 8.75%, 6/15/22(a) | | | | | 75,000 | | | | | | 33,750 | | |
Teck Resources Ltd., Senior Bond, 6.13%, 10/1/35 | | | | | 166,000 | | | | | | 152,617 | | |
TPC Group, Inc., 10.50%, 8/1/24(a) | | | | | 100,000 | | | | | | 81,900 | | |
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 5.38%, 9/1/25(a) | | | | | 75,000 | | | | | | 63,187 | | |
Tronox Finance PLC, 5.75%, 10/1/25(a) | | | | | 50,000 | | | | | | 44,625 | | |
Tronox, Inc., 6.50%, 4/15/26(a) | | | | | 25,000 | | | | | | 22,500 | | |
Valvoline, Inc., 4.25%, 2/15/30(a) | | | | | 25,000 | | | | | | 23,250 | | |
Total Basic Materials | | | | | | | | | | | 7,446,164 | | |
COMMUNICATIONS – 2.7% | | ||||||||||||
Amazon.com, Inc., 4.80%, 12/5/34 | | | | | 74,000 | | | | | | 96,064 | | |
AMC Networks, Inc., 5.00%, 4/1/24 | | | | | 100,000 | | | | | | 96,000 | | |
AT&T, Inc., 1.96%, 6/12/24 (3 month USD LIBOR + 1.18%)(c) | | | | | 270,000 | | | | | | 250,750 | | |
AT&T, Inc., 4.30%, 2/15/30 | | | | | 50,000 | | | | | | 53,816 | | |
AT&T, Inc., 4.55%, 3/9/49 | | | | | 150,000 | | | | | | 161,431 | | |
AT&T, Inc., 4.85%, 3/1/39 | | | | | 1,230,000 | | | | | | 1,391,668 | | |
AT&T, Inc., 4.85%, 7/15/45 | | | | | 105,000 | | | | | | 116,274 | | |
AT&T, Inc., Senior Bond, 4.35%, 6/15/45 | | | | | 223,000 | | | | | | 235,793 | | |
AT&T, Inc., Senior Bond, 4.50%, 5/15/35 | | | | | 128,000 | | | | | | 139,551 | | |
AT&T, Inc., Senior Bond, 4.90%, 8/15/37 | | | | | 328,000 | | | | | | 368,117 | | |
Block Communications, Inc., 4.88%, 3/1/28(a) | | | | | 25,000 | | | | | | 23,250 | | |
CCO Holdings LLC/CCO Holdings Capital Corp., 4.50%, 8/15/30(a) | | | | | 200,000 | | | | | | 196,000 | | |
CCO Holdings LLC/CCO Holdings Capital Corp., 4.50%, 5/1/32(a) | | | | | 200,000 | | | | | | 195,040 | | |
CCO Holdings LLC/CCO Holdings Capital Corp., 4.75%, 3/1/30(a) | | | | | 25,000 | | | | | | 24,938 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
COMMUNICATIONS – (continued) | | ||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., 5.38%, 5/1/25(a) | | | | $ | 100,000 | | | | | $ | 102,520 | | |
CCO Holdings LLC/CCO Holdings Capital Corp., 5.38%, 6/1/29(a) | | | | | 25,000 | | | | | | 25,690 | | |
CCO Holdings LLC/CCO Holdings Capital Corp., 5.88%, 4/1/24(a) | | | | | 75,000 | | | | | | 76,687 | | |
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Note, 5.13%, 5/1/23(a) | | | | | 425,000 | | | | | | 429,250 | | |
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Note, 5.75%, 2/15/26(a) | | | | | 225,000 | | | | | | 227,340 | | |
CenturyLink, Inc., 4.00%, 2/15/27(a) | | | | | 185,000 | | | | | | 176,675 | | |
CenturyLink, Inc., 5.13%, 12/15/26(a) | | | | | 50,000 | | | | | | 49,750 | | |
CenturyLink, Inc., Senior Note, series T, 5.80%, 3/15/22 | | | | | 25,000 | | | | | | 25,233 | | |
CenturyLink, Inc., Senior Note, Series W, 6.75%, 12/1/23 | | | | | 100,000 | | | | | | 106,280 | | |
CenturyLink, Inc., Series V, 5.63%, 4/1/20 | | | | | 125,000 | | | | | | 125,000 | | |
CenturyLink, Inc., Series Y, 7.50%, 4/1/24 | | | | | 75,000 | | | | | | 82,125 | | |
Charter Communications Operating LLC/Charter Communications Operating Capital, 4.80%, 3/1/50 | | | | | 339,000 | | | | | | 353,214 | | |
Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Bond, 5.38%, 4/1/38 | | | | | 25,000 | | | | | | 26,982 | | |
Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Bond, 5.38%, 5/1/47 | | | | | 400,000 | | | | | | 432,235 | | |
Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Bond, 6.38%, 10/23/35 | | | | | 576,000 | | | | | | 684,627 | | |
Cisco Systems, Inc., Senior Note, 2.20%, 2/28/21 | | | | | 185,000 | | | | | | 185,845 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
COMMUNICATIONS – (continued) | | ||||||||||||
Clear Channel Worldwide Holdings, Inc., 5.13%, 8/15/27(a) | | | | $ | 150,000 | | | | | $ | 140,460 | | |
Clear Channel Worldwide Holdings, Inc., 9.25%, 2/15/24(a) | | | | | 43,000 | | | | | | 36,980 | | |
Cogent Communications Group, Inc., 5.38%, 3/1/22(a) | | | | | 125,000 | | | | | | 125,625 | | |
Comcast Corp., 2.35%, 1/15/27 | | | | | 208,000 | | | | | | 207,217 | | |
Comcast Corp., 3.10%, 4/1/25 | | | | | 141,000 | | | | | | 149,085 | | |
Comcast Corp., 3.40%, 4/1/30 | | | | | 97,000 | | | | | | 105,087 | | |
Comcast Corp., 3.75%, 4/1/40 | | | | | 65,000 | | | | | | 71,838 | | |
Comcast Corp., 3.90%, 3/1/38 | | | | | 61,000 | | | | | | 68,573 | | |
Comcast Corp., 4.15%, 10/15/28 | | | | | 260,000 | | | | | | 295,994 | | |
Comcast Corp., 4.25%, 10/15/30 | | | | | 90,000 | | | | | | 105,520 | | |
Comcast Corp., 4.60%, 10/15/38 | | | | | 163,000 | | | | | | 203,080 | | |
Comcast Corp., 4.70%, 10/15/48 | | | | | 500,000 | | | | | | 646,431 | | |
CommScope Technologies LLC, 6.00%, 6/15/25(a) | | | | | 100,000 | | | | | | 91,520 | | |
CommScope, Inc., 5.50%, 3/1/24(a) | | | | | 75,000 | | | | | | 75,900 | | |
CommScope, Inc., 6.00%, 3/1/26(a) | | | | | 75,000 | | | | | | 74,887 | | |
CommScope, Inc., 8.25%, 3/1/27(a) | | | | | 50,000 | | | | | | 48,195 | | |
Corning, Inc., 5.45%, 11/15/79 | | | | | 263,000 | | | | | | 268,677 | | |
Cox Communications, Inc., 3.50%, 8/15/27(a) | | | | | 600,000 | | | | | | 586,238 | | |
Cox Communications, Inc., Senior Bond, 4.60%, 8/15/47(a) | | | | | 150,000 | | | | | | 155,094 | | |
CSC Holdings LLC, 5.75%, 1/15/30(a) | | | | | 200,000 | | | | | | 201,692 | | |
CSC Holdings LLC, 6.50%, 2/1/29(a) | | | | | 200,000 | | | | | | 215,698 | | |
Diamond Sports Group LLC/Diamond Sports Finance Co., 5.38%, 8/15/26(a) | | | | | 125,000 | | | | | | 101,565 | | |
Diamond Sports Group LLC/Diamond Sports Finance Co., 6.63%, 8/15/27(a) | | | | | 50,000 | | | | | | 33,438 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
COMMUNICATIONS – (continued) | | ||||||||||||
Discovery Communications LLC, 5.00%, 9/20/37 | | | | $ | 500,000 | | | | | $ | 495,096 | | |
Discovery Communications LLC, 5.20%, 9/20/47 | | | | | 197,000 | | | | | | 201,348 | | |
Discovery Communications LLC, 5.30%, 5/15/49 | | | | | 77,000 | | | | | | 77,997 | | |
DISH DBS Corp., 5.00%, 3/15/23 | | | | | 50,000 | | | | | | 48,003 | | |
DISH DBS Corp., 5.88%, 11/15/24 | | | | | 50,000 | | | | | | 48,692 | | |
Embarq Corp., 8.00%, 6/1/36 | | | | | 150,000 | | | | | | 148,500 | | |
EW Scripps Co. (The), 5.13%, 5/15/25(a) | | | | | 25,000 | | | | | | 22,000 | | |
Fox Corp., 3.50%, 4/8/30 | | | | | 45,000 | | | | | | 44,910 | | |
Frontier Communications Corp., 8.00%, 4/1/27(a) | | | | | 100,000 | | | | | | 98,628 | | |
Frontier Communications Corp., Senior Note, 10.50%, 9/15/22 | | | | | 450,000 | | | | | | 117,562 | | |
GCI LLC, 6.63%, 6/15/24(a) | | | | | 50,000 | | | | | | 49,500 | | |
Go Daddy Operating Co. LLC/GD Finance Co., Inc., 5.25%, 12/1/27(a) | | | | | 75,000 | | | | | | 75,690 | | |
Gray Television, Inc., 5.13%, 10/15/24(a) | | | | | 100,000 | | | | | | 96,625 | | |
Gray Television, Inc., 5.88%, 7/15/26(a) | | | | | 72,000 | | | | | | 69,322 | | |
Gray Television, Inc., Senior Note, 7.00%, 5/15/27(a) | | | | | 75,000 | | | | | | 74,625 | | |
Hughes Satellite Systems Corp., 6.63%, 8/1/26 | | | | | 100,000 | | | | | | 101,291 | | |
iHeartCommunications, Inc., 4.75%, 1/15/28(a) | | | | | 50,000 | | | | | | 45,000 | | |
iHeartCommunications, Inc., 5.25%, 8/15/27(a) | | | | | 75,000 | | | | | | 65,355 | | |
iHeartCommunications, Inc., 6.38%, 5/1/26 | | | | | 25,000 | | | | | | 23,656 | | |
iHeartCommunications, Inc., 8.38%, 5/1/27 | | | | | 25,000 | | | | | | 21,285 | | |
Intelsat Jackson Holdings S.A., 9.75%, 7/15/25(a) | | | | | 250,000 | | | | | | 156,250 | | |
Interpublic Group of Cos., Inc. (The), 4.75%, 3/30/30 | | | | | 96,000 | | | | | | 95,423 | | |
Lamar Media Corp., 3.75%, 2/15/28(a) | | | | | 25,000 | | | | | | 23,435 | | |
Lamar Media Corp., 4.00%, 2/15/30(a) | | | | | 25,000 | | | | | | 23,250 | | |
Lamar Media Corp., 5.00%, 5/1/23 | | | | | 100,000 | | | | | | 99,000 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
COMMUNICATIONS – (continued) | | ||||||||||||
Lamar Media Corp., 5.75%, 2/1/26 | | | | $ | 25,000 | | | | | $ | 25,580 | | |
Level 3 Financing, Inc., 3.40%, 3/1/27(a) | | | | | 500,000 | | | | | | 475,925 | | |
Level 3 Financing, Inc., 5.38%, 1/15/24 | | | | | 100,000 | | | | | | 100,000 | | |
Level 3 Financing, Inc., 5.38%, 5/1/25 | | | | | 25,000 | | | | | | 24,875 | | |
Level 3 Financing, Inc., 5.63%, 2/1/23 | | | | | 100,000 | | | | | | 98,631 | | |
Match Group, Inc., 5.63%, 2/15/29(a) | | | | | 25,000 | | | | | | 23,875 | | |
Match Group, Inc., 6.38%, 6/1/24 | | | | | 100,000 | | | | | | 100,751 | | |
Midcontinent Communications/Midcontinent Finance Corp., 5.38%, 8/15/27(a) | | | | | 50,000 | | | | | | 48,411 | | |
Netflix, Inc., 5.38%, 11/15/29(a) | | | | | 75,000 | | | | | | 78,375 | | |
Netflix, Inc., 6.38%, 5/15/29 | | | | | 175,000 | | | | | | 190,750 | | |
Netflix, Inc., Senior Note, 5.38%, 2/1/21 | | | | | 75,000 | | | | | | 75,562 | | |
Nexstar Broadcasting, Inc., 5.63%, 7/15/27(a) | | | | | 125,000 | | | | | | 122,187 | | |
Omnicom Group, Inc., 2.45%, 4/30/30 | | | | | 243,000 | | | | | | 220,902 | | |
Omnicom Group, Inc., 4.20%, 6/1/30 | | | | | 91,000 | | | | | | 93,838 | | |
Outfront Media Capital LLC/Outfront Media Capital Corp., 4.63%, 3/15/30(a) | | | | | 50,000 | | | | | | 44,500 | | |
Outfront Media Capital LLC/Outfront Media Capital Corp., 5.00%, 8/15/27(a) | | | | | 75,000 | | | | | | 69,000 | | |
Quebecor Media, Inc., Senior Note, 5.75%, 1/15/23 | | | | | 75,000 | | | | | | 76,117 | | |
Scripps Escrow, Inc., 5.88%, 7/15/27(a) | | | | | 25,000 | | | | | | 22,000 | | |
Sinclair Television Group, Inc., 5.50%, 3/1/30(a) | | | | | 25,000 | | | | | | 20,688 | | |
Sinclair Television Group, Inc., 5.88%, 3/15/26(a) | | | | | 100,000 | | | | | | 88,500 | | |
Sirius XM Radio, Inc., 3.88%, 8/1/22(a) | | | | | 50,000 | | | | | | 49,812 | | |
Sirius XM Radio, Inc., 4.63%, 7/15/24(a) | | | | | 50,000 | | | | | | 50,746 | | |
Sirius XM Radio, Inc., 5.00%, 8/1/27(a) | | | | | 50,000 | | | | | | 50,745 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
COMMUNICATIONS – (continued) | | ||||||||||||
Sirius XM Radio, Inc., 5.50%, 7/1/29(a) | | | | $ | 125,000 | | | | | $ | 127,500 | | |
Sprint Capital Corp., 6.88%, 11/15/28 | | | | | 25,000 | | | | | | 28,555 | | |
Sprint Capital Corp., 8.75%, 3/15/32 | | | | | 325,000 | | | | | | 429,812 | | |
Sprint Corp., 7.13%, 6/15/24 | | | | | 25,000 | | | | | | 27,468 | | |
Sprint Corp., 7.88%, 9/15/23 | | | | | 250,000 | | | | | | 275,595 | | |
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, Senior Secured Note, 3.36%, 3/20/23(a) | | | | | 450,000 | | | | | | 447,750 | | |
T-Mobile USA, Inc., 6.00%, 3/1/23 | | | | | 75,000 | | | | | | 75,413 | | |
T-Mobile USA, Inc., 6.38%, 3/1/25 | | | | | 25,000 | | | | | | 25,563 | | |
T-Mobile USA, Inc., 6.50%, 1/15/24 | | | | | 25,000 | | | | | | 25,375 | | |
T-Mobile USA, Inc., 6.50%, 1/15/26 | | | | | 275,000 | | | | | | 288,750 | | |
TEGNA, Inc., 4.63%, 3/15/28(a) | | | | | 150,000 | | | | | | 131,812 | | |
TEGNA, Inc., 5.00%, 9/15/29(a) | | | | | 50,000 | | | | | | 45,000 | | |
Telefonica Emisiones S.A., 5.21%, 3/8/47 | | | | | 270,000 | | | | | | 302,978 | | |
Telesat Canada/Telesat LLC, 6.50%, 10/15/27(a) | | | | | 50,000 | | | | | | 48,000 | | |
Time Warner Cable LLC, 6.55%, 5/1/37 | | | | | 8,000 | | | | | | 8,983 | | |
Townsquare Media, Inc., 6.50%, 4/1/23(a) | | | | | 75,000 | | | | | | 72,000 | | |
Twitter, Inc., 3.88%, 12/15/27(a) | | | | | 25,000 | | | | | | 24,047 | | |
Uber Technologies, Inc., 7.50%, 11/1/23(a) | | | | | 125,000 | | | | | | 121,414 | | |
Uber Technologies, Inc., 7.50%, 9/15/27(a) | | | | | 50,000 | | | | | | 49,360 | | |
Uber Technologies, Inc., 8.00%, 11/1/26(a) | | | | | 75,000 | | | | | | 73,955 | | |
Univision Communications, Inc., 5.13%, 2/15/25(a) | | | | | 50,000 | | | | | | 42,625 | | |
Univision Communications, Inc., Senior Secured Note, 6.75%, 9/15/22(a) | | | | | 75,000 | | | | | | 72,000 | | |
Verizon Communications, Inc., 3.15%, 3/22/30 | | | | | 71,000 | | | | | | 76,352 | | |
Verizon Communications, Inc., 4.00%, 3/22/50 | | | | | 28,000 | | | | | | 33,231 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
COMMUNICATIONS – (continued) | | ||||||||||||
Verizon Communications, Inc., Senior Bond, 4.27%, 1/15/36 | | | | $ | 66,000 | | | | | $ | 77,105 | | |
Verizon Communications, Inc., Senior Bond, 4.40%, 11/1/34 | | | | | 69,000 | | | | | | 80,781 | | |
Verizon Communications, Inc., Senior Bond, 4.86%, 8/21/46 | | | | | 400,000 | | | | | | 521,563 | | |
Verizon Communications, Inc., Senior Bond, 5.25%, 3/16/37 | | | | | 187,000 | | | | | | 239,198 | | |
ViacomCBS, Inc., 2.50%, 2/15/23 | | | | | 300,000 | | | | | | 294,774 | | |
ViacomCBS, Inc., 4.25%, 9/1/23 | | | | | 250,000 | | | | | | 254,923 | | |
ViacomCBS, Inc., 4.38%, 3/15/43 | | | | | 577,000 | | | | | | 511,923 | | |
ViacomCBS, Inc., Senior Bond, 5.85%, 9/1/43 | | | | | 125,000 | | | | | | 128,206 | | |
Virgin Media Finance PLC, 5.75%, 1/15/25(a) | | | | | 200,000 | | | | | | 194,000 | | |
Total Communications | | | | | | | | | | | 20,097,163 | | |
CONSUMER, CYCLICAL – 3.5% | | ||||||||||||
1011778 BC ULC/New Red Finance, Inc., Secured Note, 5.00%, 10/15/25(a) | | | | | 350,000 | | | | | | 334,246 | | |
Adams Homes, Inc., 7.50%, 2/15/25(a) | | | | | 50,000 | | | | | | 47,750 | | |
Air Canada, 7.75%, 4/15/21(a) | | | | | 100,000 | | | | | | 97,250 | | |
Allen Media LLC/Allen Media Co-Issuer, Inc., 10.50%, 2/15/28(a) | | | | | 75,000 | | | | | | 61,399 | | |
AMC Entertainment Holdings, Inc., 5.88%, 11/15/26 | | | | | 100,000 | | | | | | 41,500 | | |
AMC Entertainment Holdings, Inc., 6.13%, 5/15/27 | | | | | 75,000 | | | | | | 31,125 | | |
American Airlines Group, Inc., 5.00%, 6/1/22(a) | | | | | 50,000 | | | | | | 40,250 | | |
Aptiv Corp., 4.15%, 3/15/24 | | | | | 473,000 | | | | | | 462,535 | | |
Arrow Bidco LLC, 9.50%, 3/15/24(a) | | | | | 25,000 | | | | | | 11,250 | | |
Asbury Automotive Group, Inc., 4.50%, 3/1/28(a) | | | | | 13,000 | | | | | | 11,050 | | |
Ashton Woods USA LLC/Ashton Woods Finance Co., 6.63%, 1/15/28(a) | | | | | 25,000 | | | | | | 19,750 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
CONSUMER, CYCLICAL – (continued) | | ||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co., Senior Note, 6.75%, 8/1/25(a) | | | | $ | 100,000 | | | | | $ | 80,000 | | |
AutoZone, Inc., 3.75%, 4/18/29 | | | | | 360,000 | | | | | | 364,869 | | |
Beacon Roofing Supply, Inc., 4.50%, 11/15/26(a) | | | | | 25,000 | | | | | | 23,070 | | |
Beacon Roofing Supply, Inc., 4.88%, 11/1/25(a) | | | | | 50,000 | | | | | | 45,125 | | |
Beazer Homes USA, Inc., 6.75%, 3/15/25 | | | | | 100,000 | | | | | | 80,500 | | |
Beazer Homes USA, Inc., 7.25%, 10/15/29 | | | | | 25,000 | | | | | | 19,000 | | |
BMW US Capital LLC, 3.10%, 4/12/21(a) | | | | | 222,000 | | | | | | 220,943 | | |
Boyd Gaming Corp., 6.00%, 8/15/26 | | | | | 125,000 | | | | | | 107,500 | | |
Boyd Gaming Corp., 6.38%, 4/1/26 | | | | | 175,000 | | | | | | 151,375 | | |
Boyne USA, Inc., Secured Note, 7.25%, 5/1/25(a) | | | | | 25,000 | | | | | | 23,875 | | |
Caesars Resort Collection LLC/CRC Finco, Inc., 5.25%, 10/15/25(a) | | | | | 150,000 | | | | | | 108,330 | | |
Carvana Co., 8.88%, 10/1/23(a) | | | | | 25,000 | | | | | | 23,625 | | |
Cedar Fair L.P./Canada’s Wonderland Co./Magnum Management Corp., 5.38%, 6/1/24 | | | | | 138,000 | | | | | | 124,200 | | |
Century Communities, Inc., 6.75%, 6/1/27 | | | | | 50,000 | | | | | | 40,469 | | |
Churchill Downs, Inc., 5.50%, 4/1/27(a) | | | | | 50,000 | | | | | | 47,125 | | |
Cinemark USA, Inc., 5.13%, 12/15/22 | | | | | 100,000 | | | | | | 79,000 | | |
Daimler Finance North America LLC, 2.00%, 7/6/21(a) | | | | | 160,000 | | | | | | 154,214 | | |
Dana Financing Luxembourg Sarl, 6.50%, 6/1/26(a) | | | | | 75,000 | | | | | | 66,000 | | |
Dana, Inc., 5.38%, 11/15/27 | | | | | 75,000 | | | | | | 60,750 | | |
Darden Restaurants, Inc., 4.55%, 2/15/48 | | | | | 334,000 | | | | | | 260,146 | | |
Dealer Tire LLC/DT Issuer LLC, 8.00%, 2/1/28(a) | | | | | 25,000 | | | | | | 20,000 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
CONSUMER, CYCLICAL – (continued) | | ||||||||||||
Delta Air Lines 2020-1 Class A Pass Through Trust, Series 2020-A, 2.50%, 12/10/29 | | | | $ | 600,000 | | | | | $ | 543,861 | | |
Delta Air Lines 2020-1 Class AA Pass Through Trust, Series 2020-AA, 2.00%, 12/10/29 | | | | | 600,000 | | | | | | 545,866 | | |
Delta Air Lines Pass Through Trust, Series 2015-1A, 3.88%, 1/30/29 | | | | | 449,122 | | | | | | 405,353 | | |
Delta Air Lines Pass Through Trust, Series 2019-1A, 3.40%, 10/25/25 | | | | | 150,000 | | | | | | 144,005 | | |
Delta Air Lines, Inc., 3.75%, 10/28/29 | | | | | 425,000 | | | | | | 342,498 | | |
Downstream Development Authority of the Quapaw Tribe of Oklahoma, 10.50%, 2/15/23(a) | | | | | 50,000 | | | | | | 40,000 | | |
Eldorado Resorts, Inc., 6.00%, 9/15/26 | | | | | 25,000 | | | | | | 22,563 | | |
Eldorado Resorts, Inc., 7.00%, 8/1/23 | | | | | 150,000 | | | | | | 134,627 | | |
Enterprise Development Authority (The), 12.00%, 7/15/24(a) | | | | | 100,000 | | | | | | 87,000 | | |
Ferrellgas L.P./Ferrellgas Finance Corp., 6.75%, 6/15/23 | | | | | 50,000 | | | | | | 43,125 | | |
Ford Motor Credit Co. LLC, 3.35%, 11/1/22 | | | | | 675,000 | | | | | | 621,000 | | |
Ford Motor Credit Co. LLC, 5.11%, 5/3/29 | | | | | 400,000 | | | | | | 341,000 | | |
Forestar Group, Inc., 5.00%, 3/1/28(a) | | | | | 25,000 | | | | | | 20,759 | | |
Forestar Group, Inc., 8.00%, 4/15/24(a) | | | | | 75,000 | | | | | | 75,750 | | |
General Mills, Inc., 2.88%, 4/15/30 | | | | | 459,000 | | | | | | 458,082 | | |
General Motors Co., Senior Bond, 6.25%, 10/2/43 | | | | | 205,000 | | | | | | 162,801 | | |
Golden Entertainment, Inc., 7.63%, 4/15/26(a) | | | | | 75,000 | | | | | | 49,500 | | |
Golden Nugget, Inc., 8.75%, 10/1/25(a) | | | | | 350,000 | | | | | | 180,687 | | |
Group 1 Automotive, Inc., 5.00%, 6/1/22 | | | | | 100,000 | | | | | | 92,000 | | |
H&E Equipment Services, Inc., 5.63%, 9/1/25 | | | | | 100,000 | | | | | | 92,750 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
CONSUMER, CYCLICAL – (continued) | | ||||||||||||
Hilton Domestic Operating Co., Inc., 5.13%, 5/1/26 | | | | $ | 175,000 | | | | | $ | 167,562 | | |
Home Depot, Inc. (The), 2.50%, 4/15/27 | | | | | 475,000 | | | | | | 479,738 | | |
Home Depot, Inc. (The), 2.70%, 4/15/30 | | | | | 475,000 | | | | | | 484,089 | | |
Home Depot, Inc. (The), 3.30%, 4/15/40 | | | | | 500,000 | | | | | | 512,784 | | |
Home Depot, Inc. (The), 3.35%, 4/15/50 | | | | | 111,000 | | | | | | 120,697 | | |
Hyundai Capital America, 3.40%, 6/20/24(a) | | | | | 166,000 | | | | | | 162,972 | | |
IAA, Inc., 5.50%, 6/15/27(a) | | | | | 25,000 | | | | | | 24,188 | | |
Installed Building Products, Inc., 5.75%, 2/1/28(a) | | | | | 50,000 | | | | | | 47,625 | | |
IRB Holding Corp., 6.75%, 2/15/26(a) | | | | | 25,000 | | | | | | 19,698 | | |
Jacobs Entertainment, Inc., Secured Note, 7.88%, 2/1/24(a) | | | | | 100,000 | | | | | | 84,250 | | |
KAR Auction Services, Inc., 5.13%, 6/1/25(a) | | | | | 25,000 | | | | | | 23,875 | | |
KB Home, 6.88%, 6/15/27 | | | | | 50,000 | | | | | | 50,000 | | |
KB Home, 7.63%, 5/15/23 | | | | | 25,000 | | | | | | 25,125 | | |
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 4.75%, 6/1/27(a) | | | | | 100,000 | | | | | | 94,000 | | |
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 5.00%, 6/1/24(a) | | | | | 75,000 | | | | | | 73,500 | | |
Kohl’s Corp., 5.55%, 7/17/45 | | | | | 149,000 | | | | | | 100,962 | | |
L Brands, Inc., 5.25%, 2/1/28 | | | | | 75,000 | | | | | | 57,293 | | |
L Brands, Inc., 5.63%, 10/15/23 | | | | | 75,000 | | | | | | 62,258 | | |
L Brands, Inc., 6.75%, 7/1/36 | | | | | 100,000 | | | | | | 72,000 | | |
L Brands, Inc., 6.88%, 11/1/35 | | | | | 25,000 | | | | | | 18,500 | | |
L Brands, Inc., 7.50%, 6/15/29 | | | | | 100,000 | | | | | | 78,890 | | |
Lear Corp., 5.25%, 5/15/49 | | | | | 116,000 | | | | | | 100,797 | | |
Lennar Corp., 4.75%, 4/1/21 | | | | | 50,000 | | | | | | 49,500 | | |
Lennar Corp., 5.88%, 11/15/24 | | | | | 100,000 | | | | | | 101,150 | | |
Lions Gate Capital Holdings LLC, 6.38%, 2/1/24(a) | | | | | 75,000 | | | | | | 66,000 | | |
Lithia Motors, Inc., 4.63%, 12/15/27(a) | | | | | 25,000 | | | | | | 22,503 | | |
Live Nation Entertainment, Inc., 5.63%, 3/15/26(a) | | | | | 100,000 | | | | | | 89,000 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
CONSUMER, CYCLICAL – (continued) | | ||||||||||||
Lowe’s Cos., Inc., 4.05%, 5/3/47 | | | | $ | 25,000 | | | | | $ | 24,785 | | |
Lowe’s Cos., Inc., 4.25%, 9/15/44 | | | | | 825,000 | | | | | | 779,352 | | |
Lowe’s Cos., Inc., 5.00%, 4/15/40 | | | | | 1,425,000 | | | | | | 1,612,585 | | |
Lowe’s Cos., Inc., 5.13%, 4/15/50 | | | | | 149,000 | | | | | | 179,476 | | |
LTF Merger Sub, Inc., 8.50%, 6/15/23(a) | | | | | 322,000 | | | | | | 264,040 | | |
Marriott Ownership Resorts, Inc., 4.75%, 1/15/28(a) | | | | | 25,000 | | | | | | 18,750 | | |
Marriott Ownership Resorts, Inc./ILG LLC, 6.50%, 9/15/26 | | | | | 75,000 | | | | | | 65,250 | | |
Mattel, Inc., 5.88%, 12/15/27(a) | | | | | 25,000 | | | | | | 25,500 | | |
Mattel, Inc., 6.75%, 12/31/25(a) | | | | | 50,000 | | | | | | 51,000 | | |
McDonald’s Corp., 3.63%, 9/1/49 | | | | | 77,000 | | | | | | 78,010 | | |
McDonald’s Corp., 4.20%, 4/1/50 | | | | | 81,000 | | | | | | 89,742 | | |
Meritage Homes Corp., 7.00%, 4/1/22 | | | | | 125,000 | | | | | | 125,000 | | |
MGM Resorts International, 5.50%, 4/15/27 | | | | | 33,000 | | | | | | 30,030 | | |
MGM Resorts International, 6.00%, 3/15/23 | | | | | 225,000 | | | | | | 217,125 | | |
Mohegan Gaming & Entertainment, 7.88%, 10/15/24(a) | | | | | 175,000 | | | | | | 129,500 | | |
Murphy Oil USA, Inc., 4.75%, 9/15/29 | | | | | 50,000 | | | | | | 46,875 | | |
Navistar International Corp., Senior Note, 6.63%, 11/1/25(a) | | | | | 175,000 | | | | | | 145,687 | | |
Newell Brands, Inc., 4.20%, 4/1/26 | | | | | 100,000 | | | | | | 97,804 | | |
Newell Brands, Inc., 5.63%, 4/1/36 | | | | | 100,000 | | | | | | 99,220 | | |
Newell Brands, Inc., 5.75%, 4/1/46 | | | | | 50,000 | | | | | | 50,663 | | |
Nissan Motor Acceptance Corp., Senior Note, 2.65%, 7/13/22(a) | | | | | 119,000 | | | | | | 114,917 | | |
PACCAR Financial Corp., 2.00%, 9/26/22 | | | | | 90,000 | | | | | | 88,632 | | |
Penske Automotive Group, Inc., 3.75%, 8/15/20 | | | | | 75,000 | | | | | | 72,938 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
CONSUMER, CYCLICAL – (continued) | | ||||||||||||
Performance Food Group, Inc., 5.50%, 6/1/24(a) | | | | $ | 100,000 | | | | | $ | 93,000 | | |
Performance Food Group, Inc., 5.50%, 10/15/27(a) | | | | | 25,000 | | | | | | 23,188 | | |
PetSmart, Inc., 7.13%, 3/15/23(a) | | | | | 150,000 | | | | | | 141,300 | | |
PriSo Acquisition Corp., 9.00%, 5/15/23(a) | | | | | 100,000 | | | | | | 69,000 | | |
QVC, Inc., 4.75%, 2/15/27 | | | | | 290,000 | | | | | | 256,712 | | |
Resideo Funding, Inc., 6.13%, 11/1/26(a) | | | | | 50,000 | | | | | | 43,625 | | |
Rite Aid Corp., 6.13%, 4/1/23(a) | | | | | 66,000 | | | | | | 56,760 | | |
Rite Aid Corp., 7.50%, 7/1/25(a) | | | | | 9,000 | | | | | | 8,550 | | |
Sally Holdings LLC/Sally Capital, Inc., 5.63%, 12/1/25 | | | | | 200,000 | | | | | | 161,248 | | |
Scientific Games International, Inc., 7.00%, 5/15/28(a) | | | | | 75,000 | | | | | | 46,125 | | |
Scientific Games International, Inc., 7.25%, 11/15/29(a) | | | | | 50,000 | | | | | | 30,945 | | |
Scientific Games International, Inc., 8.25%, 3/15/26(a) | | | | | 25,000 | | | | | | 16,003 | | |
Shea Homes L.P./Shea Homes Funding Corp., 4.75%, 2/15/28(a) | | | | | 25,000 | | | | | | 21,344 | | |
Southwest Airlines Co., 2.63%, 2/10/30 | | | | | 1,125,000 | | | | | | 943,979 | | |
Speedway Motorsports LLC/Speedway Funding II, Inc., 4.88%, 11/1/27(a) | | | | | 25,000 | | | | | | 22,500 | | |
Staples, Inc., 7.50%, 4/15/26(a) | | | | | 125,000 | | | | | | 109,376 | | |
Staples, Inc., 10.75%, 4/15/27(a) | | | | | 125,000 | | | | | | 95,913 | | |
Starbucks Corp., 4.45%, 8/15/49 | | | | | 1,000,000 | | | | | | 1,142,826 | | |
Starbucks Corp., Senior Note, 2.45%, 6/15/26 | | | | | 500,000 | | | | | | 500,954 | | |
Superior Plus L.P./Superior General Partner, Inc., Senior Note, 7.00%, 7/15/26(a) | | | | | 75,000 | | | | | | 73,125 | | |
Target Corp., 2.25%, 4/15/25 | | | | | 800,000 | | | | | | 812,189 | | |
Taylor Morrison Communities, Inc., 5.75%, 1/15/28(a) | | | | | 50,000 | | | | | | 44,646 | | |
Taylor Morrison Communities, Inc., 5.88%, 1/31/25(a) | | | | | 75,000 | | | | | | 69,750 | | |
Taylor Morrison Communities, Inc., 6.00%, 9/1/23(a) | | | | | 75,000 | | | | | | 72,000 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
CONSUMER, CYCLICAL – (continued) | | ||||||||||||
Taylor Morrison Communities, Inc., 6.63%, 7/15/27(a) | | | | $ | 50,000 | | | | | $ | 45,000 | | |
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc., 5.63%, 3/1/24(a) | | | | | 150,000 | | | | | | 141,000 | | |
Tenneco, Inc., 5.38%, 12/15/24 | | | | | 75,000 | | | | | | 42,000 | | |
Tesla, Inc., 5.30%, 8/15/25(a) | | | | | 150,000 | | | | | | 140,625 | | |
Titan International, Inc., 6.50%, 11/30/23 | | | | | 50,000 | | | | | | 22,500 | | |
Toyota Motor Credit Corp., 2.15%, 2/13/30 | | | | | 1,275,000 | | | | | | 1,183,848 | | |
Toyota Motor Credit Corp., 2.90%, 3/30/23 | | | | | 1,475,000 | | | | | | 1,484,257 | | |
Toyota Motor Credit Corp., 3.38%, 4/1/30 | | | | | 1,000,000 | | | | | | 1,011,712 | | |
Toyota Motor Credit Corp., Senior Note, 3.45%, 9/20/23 | | | | | 170,000 | | | | | | 176,397 | | |
TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.88%, 6/15/24 | | | | | 100,000 | | | | | | 92,898 | | |
Twin River Worldwide Holdings, Inc., 6.75%, 6/1/27(a) | | | | | 75,000 | | | | | | 56,250 | | |
Univar Solutions USA, Inc., 5.13%, 12/1/27(a) | | | | | 75,000 | | | | | | 68,250 | | |
Viking Cruises Ltd., Senior Note, 6.25%, 5/15/25(a) | | | | | 100,000 | | | | | | 64,000 | | |
Volkswagen Group of America Finance LLC, 2.50%, 9/24/21(a) | | | | | 200,000 | | | | | | 194,914 | | |
Volkswagen Group of America Finance LLC, 3.88%, 11/13/20(a) | | | | | 215,000 | | | | | | 214,310 | | |
Volkswagen Group of America Finance LLC, 4.00%, 11/12/21(a) | | | | | 215,000 | | | | | | 212,648 | | |
Walmart, Inc., 3.05%, 7/8/26 | | | | | 169,000 | | | | | | 182,382 | | |
Walmart, Inc., Senior Note, 2.55%, 4/11/23 | | | | | 194,000 | | | | | | 200,933 | | |
Walmart, Inc., Senior Note, 3.70%, 6/26/28 | | | | | 315,000 | | | | | | 354,134 | | |
Williams Scotsman International, Inc., 6.88%, 8/15/23(a) | | | | | 175,000 | | | | | | 159,250 | | |
Wyndham Destinations, Inc., 4.63%, 3/1/30(a) | | | | | 25,000 | | | | | | 19,250 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
CONSUMER, CYCLICAL – (continued) | | ||||||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 5/15/27(a) | | | | $ | 75,000 | | | | | $ | 67,875 | | |
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, 10/1/29(a) | | | | | 25,000 | | | | | | 22,750 | | |
Yum! Brands, Inc., 7.75%, 4/1/25(a) | | | | | 25,000 | | | | | | 26,250 | | |
Total Consumer, Cyclical | | | | | | | | | | | 26,295,776 | | |
CONSUMER, NON-CYCLICAL – 6.1% | | ||||||||||||
Abbott Laboratories, Senior Bond, 4.90%, 11/30/46 | | | | | 150,000 | | | | | | 204,980 | | |
AbbVie, Inc., 2.50%, 5/14/20 | | | | | 1,000,000 | | | | | | 1,000,069 | | |
AbbVie, Inc., 3.20%, 11/21/29(a) | | | | | 1,250,000 | | | | | | 1,275,217 | | |
AbbVie, Inc., 4.05%, 11/21/39(a) | | | | | 48,000 | | | | | | 50,339 | | |
AbbVie, Inc., 4.25%, 11/21/49(a) | | | | | 1,222,000 | | | | | | 1,318,134 | | |
AbbVie, Inc., Senior Bond, 4.50%, 5/14/35 | | | | | 200,000 | | | | | | 230,082 | | |
Ahern Rentals, Inc., Secured Note, 7.38%, 5/15/23(a) | | | | | 75,000 | | | | | | 42,750 | | |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons L.P. Albertsons LLC, 3.50%, 2/15/23(a) | | | | | 50,000 | | | | | | 49,225 | | |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons L.P. Albertsons LLC, 4.63%, 1/15/27(a) | | | | | 50,000 | | | | | | 49,750 | | |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons L.P. Albertsons LLC, 4.88%, 2/15/30(a) | | | | | 25,000 | | | | | | 24,750 | | |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons L.P. Albertsons LLC, 5.75%, 3/15/25 | | | | | 25,000 | | | | | | 24,969 | | |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons L.P./Albertsons LLC, 5.88%, 2/15/28(a) | | | | | 25,000 | | | | | | 25,445 | | |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons L.P./Albertsons LLC, 6.63%, 6/15/24 | | | | | 175,000 | | | | | | 177,625 | | |
Allergan Funding SCS, 4.55%, 3/15/35 | | | | | 380,000 | | | | | | 418,469 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
CONSUMER, NON-CYCLICAL – (continued) | | ||||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.63%, 7/15/26(a) | | | | $ | 175,000 | | | | | $ | 171,282 | | |
Allied Universal Holdco LLC/Allied Universal Finance Corp., 9.75%, 7/15/27(a) | | | | | 125,000 | | | | | | 117,800 | | |
Allina Health System, 3.89%, 4/15/49 | | | | | 90,000 | | | | | | 96,012 | | |
Altria Group, Inc., 2.85%, 8/9/22 | | | | | 155,000 | | | | | | 155,713 | | |
AmerisourceBergen Corp., Senior Bond, 4.30%, 12/15/47 | | | | | 100,000 | | | | | | 104,007 | | |
Amgen, Inc., 3.15%, 2/21/40 | | | | | 278,000 | | | | | | 274,018 | | |
Amgen, Inc., 3.38%, 2/21/50 | | | | | 213,000 | | | | | | 222,083 | | |
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 2/1/46 | | | | | 122,000 | | | | | | 133,164 | | |
Anheuser-Busch InBev Worldwide, Inc., 4.38%, 4/15/38 | | | | | 110,000 | | | | | | 110,843 | | |
Anheuser-Busch InBev Worldwide, Inc., 4.60%, 4/15/48 | | | | | 212,000 | | | | | | 224,577 | | |
Anheuser-Busch InBev Worldwide, Inc., 5.45%, 1/23/39 | | | | | 200,000 | | | | | | 232,834 | | |
Anheuser-Busch InBev Worldwide, Inc., 5.55%, 1/23/49 | | | | | 355,000 | | | | | | 417,787 | | |
Archer-Daniels-Midland Co., 2.75%, 3/27/25 | | | | | 66,000 | | | | | | 67,371 | | |
Ascension Health, 3.11%, 11/15/39 | | | | | 120,000 | | | | | | 122,067 | | |
ASGN, Inc., 4.63%, 5/15/28(a) | | | | | 50,000 | | | | | | 46,875 | | |
ASP AMC Merger Sub, Inc., Senior Note, 8.00%, 5/15/25(a) | | | | | 100,000 | | | | | | 57,500 | | |
Avantor, Inc., 6.00%, 10/1/24(a) | | | | | 75,000 | | | | | | 78,577 | | |
Avantor, Inc., Senior Note, 9.00%, 10/1/25(a) | | | | | 100,000 | | | | | | 105,270 | | |
Avery Dennison Corp., 2.65%, 4/30/30 | | | | | 66,000 | | | | | | 61,429 | | |
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.75%, 7/15/27(a) | | | | | 25,000 | | | | | | 19,878 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
CONSUMER, NON-CYCLICAL – (continued) | | ||||||||||||
Bausch Health Americas, Inc., Senior Note, 8.50%, 1/31/27(a) | | | | $ | 75,000 | | | | | $ | 78,375 | | |
Bausch Health Cos., Inc., 5.88%, 5/15/23(a) | | | | | 7,000 | | | | | | 6,930 | | |
Bausch Health Cos., Inc., 6.13%, 4/15/25(a) | | | | | 225,000 | | | | | | 221,625 | | |
Bausch Health Cos., Inc., 9.00%, 12/15/25(a) | | | | | 325,000 | | | | | | 342,615 | | |
Baxter International, Inc., 3.75%, 10/1/25(a) | | | | | 301,000 | | | | | | 319,916 | | |
Bayer US Finance II LLC, 3.50%, 6/25/21(a) | | | | | 200,000 | | | | | | 200,387 | | |
Biogen, Inc., 2.90%, 9/15/20 | | | | | 1,000,000 | | | | | | 1,002,902 | | |
Bristol-Myers Squibb Co., 2.07%, 5/16/22 (3 month USD LIBOR + 0.38%)(a)(c) | | | | | 575,000 | | | | | | 561,039 | | |
Bristol-Myers Squibb Co., 2.88%, 8/15/20(a) | | | | | 1,000,000 | | | | | | 1,003,507 | | |
Bristol-Myers Squibb Co., 3.63%, 5/15/24(a) | | | | | 223,000 | | | | | | 235,632 | | |
Bristol-Myers Squibb Co., 3.90%, 2/20/28(a) | | | | | 400,000 | | | | | | 445,374 | | |
Bristol-Myers Squibb Co., 4.13%, 6/15/39(a) | | | | | 40,000 | | | | | | 48,266 | | |
Bristol-Myers Squibb Co., 4.25%, 10/26/49(a) | | | | | 145,000 | | | | | | 181,715 | | |
Bristol-Myers Squibb Co., 4.63%, 5/15/44(a) | | | | | 151,000 | | | | | | 193,167 | | |
Bristol-Myers Squibb Co., 5.00%, 8/15/45(a) | | | | | 85,000 | | | | | | 114,028 | | |
Bristol-Myers Squibb Co., Senior Bond, 3.25%, 8/1/42 | | | | | 1,000,000 | | | | | | 1,030,838 | | |
Cardinal Health, Inc., Senior Bond, 4.60%, 3/15/43 | | | | | 150,000 | | | | | | 151,382 | | |
Cardtronics, Inc./Cardtronics USA, Inc., 5.50%, 5/1/25(a) | | | | | 25,000 | | | | | | 23,750 | | |
Catalent Pharma Solutions, Inc., 5.00%, 7/15/27(a) | | | | | 25,000 | | | | | | 24,250 | | |
Centene Corp., 4.25%, 12/15/27(a) | | | | | 125,000 | | | | | | 125,237 | | |
Centene Corp., 4.75%, 1/15/25(a) | | | | | 125,000 | | | | | | 126,562 | | |
Centene Corp., Senior Note, 5.38%, 6/1/26(a) | | | | | 50,000 | | | | | | 51,505 | | |
Central Garden & Pet Co., 6.13%, 11/15/23 | | | | | 140,000 | | | | | | 133,336 | | |
Chobani LLC/Chobani Finance Corp., Inc., 7.50%, 4/15/25(a) | | | | | 50,000 | | | | | | 45,500 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
CONSUMER, NON-CYCLICAL – (continued) | | ||||||||||||
CHS/Community Health Systems, Inc., 6.63%, 2/15/25(a) | | | | $ | 50,000 | | | | | $ | 46,250 | | |
CHS/Community Health Systems, Inc., 6.88%, 2/1/22 | | | | | 50,000 | | | | | | 37,500 | | |
CHS/Community Health Systems, Inc., 6.88%, 4/1/28(a) | | | | | 35,000 | | | | | | 14,000 | | |
CHS/Community Health Systems, Inc., 8.00%, 3/15/26(a) | | | | | 75,000 | | | | | | 71,250 | | |
CHS/Community Health Systems, Inc., 8.00%, 12/15/27(a) | | | | | 14,000 | | | | | | 12,880 | | |
CHS/Community Health Systems, Inc., Secured Note, 8.13%, 6/30/24(a) | | | | | 50,000 | | | | | | 34,644 | | |
CHS/Community Health Systems, Inc., Senior Secured Note, 8.63%, 1/15/24(a) | | | | | 100,000 | | | | | | 98,719 | | |
Cigna Corp., 2.40%, 3/15/30 | | | | | 1,125,000 | | | | | | 1,064,171 | | |
Cigna Corp., 4.38%, 10/15/28 | | | | | 190,000 | | | | | | 204,372 | | |
Cigna Corp., 4.50%, 2/25/26(a) | | | | | 400,000 | | | | | | 431,908 | | |
Cigna Corp., 4.80%, 8/15/38 | | | | | 95,000 | | | | | | 106,767 | | |
Cigna Corp., 4.90%, 12/15/48 | | | | | 70,000 | | | | | | 84,609 | | |
Coca-Cola Co. (The), 1.75%, 9/6/24 | | | | | 400,000 | | | | | | 407,209 | | |
Coca-Cola Co. (The), 2.95%, 3/25/25 | | | | | 152,000 | | | | | | 162,611 | | |
Conagra Brands, Inc., 7.00%, 10/1/28 | | | | | 135,000 | | | | | | 162,458 | | |
Conagra Brands, Inc., Senior Bond, 5.40%, 11/1/48 | | | | | 5,000 | | | | | | 5,632 | | |
Conagra Brands, Inc., Senior Note, 3.80%, 10/22/21 | | | | | 395,000 | | | | | | 398,078 | | |
Conagra Brands, Inc., Senior Note, 4.60%, 11/1/25 | | | | | 113,000 | | | | | | 119,642 | | |
Cooke Omega Investments, Inc./Alpha VesselCo Holdings, Inc., Senior Secured Note, 8.50%, 12/15/22(a) | | | | | 50,000 | | | | | | 49,250 | | |
CVS Health Corp., 4.25%, 4/1/50 | | | | | 70,000 | | | | | | 72,774 | | |
CVS Health Corp., 5.13%, 7/20/45 | | | | | 390,000 | | | | | | 447,190 | | |
CVS Health Corp., Senior Bond, 4.78%, 3/25/38 | | | | | 96,000 | | | | | | 105,433 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
CONSUMER, NON-CYCLICAL – (continued) | | ||||||||||||
CVS Health Corp., Senior Bond, 5.05%, 3/25/48 | | | | $ | 183,000 | | | | | $ | 207,816 | | |
Darling Ingredients, Inc., 5.25%, 4/15/27(a) | | | | | 25,000 | | | | | | 24,243 | | |
DaVita, Inc., 5.13%, 7/15/24 | | | | | 100,000 | | | | | | 99,700 | | |
Duke University Health System, Inc., Senior Bond, 3.92%, 6/1/47 | | | | | 70,000 | | | | | | 79,623 | | |
Elanco Animal Health, Inc., 5.65%, 8/28/28 | | | | | 25,000 | | | | | | 26,383 | | |
Eli Lilly & Co., 3.38%, 3/15/29 | | | | | 365,000 | | | | | | 393,752 | | |
Encompass Health Corp., 4.75%, 2/1/30 | | | | | 25,000 | | | | | | 24,625 | | |
Encompass Health Corp., 5.75%, 11/1/24 | | | | | 59,000 | | | | | | 59,277 | | |
Endo Dac/Endo Finance LLC/Endo Finco, Inc., 6.00%, 7/15/23(a) | | | | | 200,000 | | | | | | 144,876 | | |
Envision Healthcare Corp., 8.75%, 10/15/26(a) | | | | | 100,000 | | | | | | 24,250 | | |
ERAC USA Finance LLC, 4.20%, 11/1/46(a) | | | | | 325,000 | | | | | | 305,195 | | |
Ford Foundation (The), Senior Bond, 3.86%, 6/1/47 | | | | | 175,000 | | | | | | 203,098 | | |
Gartner, Inc., 5.13%, 4/1/25(a) | | | | | 75,000 | | | | | | 73,312 | | |
GlaxoSmithKline Capital, Inc., 3.38%, 5/15/23 | | | | | 129,000 | | | | | | 134,636 | | |
Graham Holdings Co., 5.75%, 6/1/26(a) | | | | | 50,000 | | | | | | 49,000 | | |
HCA, Inc., 5.13%, 6/15/39 | | | | | 125,000 | | | | | | 129,106 | | |
HCA, Inc., 5.25%, 6/15/26 | | | | | 99,000 | | | | | | 103,848 | | |
HCA, Inc., 5.38%, 2/1/25 | | | | | 75,000 | | | | | | 76,312 | | |
HCA, Inc., 5.63%, 9/1/28 | | | | | 125,000 | | | | | | 130,837 | | |
HCA, Inc., 5.88%, 2/15/26 | | | | | 100,000 | | | | | | 104,140 | | |
HCA, Inc., 5.88%, 2/1/29 | | | | | 125,000 | | | | | | 132,187 | | |
Hertz Corp. (The), 6.00%, 1/15/28(a) | | | | | 50,000 | | | | | | 26,250 | | |
Hertz Corp. (The), 7.13%, 8/1/26(a) | | | | | 150,000 | | | | | | 78,532 | | |
Hill-Rom Holdings, Inc., 4.38%, 9/15/27(a) | | | | | 25,000 | | | | | | 24,625 | | |
Humana, Inc., 4.88%, 4/1/30 | | | | | 304,000 | | | | | | 326,989 | | |
IQVIA, Inc., 5.00%, 5/15/27(a) | | | | | 50,000 | | | | | | 51,125 | | |
Kaiser Foundation Hospitals, 4.88%, 4/1/42 | | | | | 1,250,000 | | | | | | 1,471,342 | | |
KeHE Distributors LLC/KeHE Finance Corp., 8.63%, 10/15/26(a) | | | | | 25,000 | | | | | | 25,125 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
CONSUMER, NON-CYCLICAL – (continued) | | ||||||||||||
Keurig Dr Pepper, Inc., 4.42%, 5/25/25 | | | | $ | 188,000 | | | | | $ | 200,374 | | |
Kimberly-Clark Corp., 2.88%, 2/7/50 | | | | | 450,000 | | | | | | 436,771 | | |
Kimberly-Clark Corp., 3.10%, 3/26/30 | | | | | 102,000 | | | | | | 109,531 | | |
Kimberly-Clark Corp., Senior Note, 3.95%, 11/1/28 | | | | | 400,000 | | | | | | 457,670 | | |
Koninklijke Ahold Delhaize N.V., 5.70%, 10/1/40 | | | | | 27,000 | | | | | | 34,466 | | |
Kraft Heinz Foods Co., 3.38%, 6/15/21 | | | | | 135,000 | | | | | | 135,248 | | |
Kraft Heinz Foods Co., 3.75%, 4/1/30(a) | | | | | 25,000 | | | | | | 23,844 | | |
Kraft Heinz Foods Co., 3.95%, 7/15/25 | | | | | 105,000 | | | | | | 103,232 | | |
Kraft Heinz Foods Co., 4.38%, 6/1/46 | | | | | 225,000 | | | | | | 202,930 | | |
Kraft Heinz Foods Co., 4.88%, 10/1/49(a) | | | | | 345,000 | | | | | | 314,077 | | |
Kraft Heinz Foods Co., 5.00%, 7/15/35 | | | | | 100,000 | | | | | | 99,720 | | |
Kraft Heinz Foods Co., 5.00%, 6/4/42 | | | | | 50,000 | | | | | | 47,393 | | |
Kraft Heinz Foods Co., 5.20%, 7/15/45 | | | | | 100,000 | | | | | | 96,247 | | |
Kraft Heinz Foods Co., 6.50%, 2/9/40 | | | | | 125,000 | | | | | | 136,709 | | |
Kraft Heinz Foods Co., 6.88%, 1/26/39 | | | | | 25,000 | | | | | | 28,676 | | |
Kroger Co. (The), 3.88%, 10/15/46 | | | | | 93,000 | | | | | | 91,177 | | |
Kronos Acquisition Holdings, Inc., 9.00%, 8/15/23(a) | | | | | 25,000 | | | | | | 20,500 | | |
Laboratory Corp. of America Holdings, 4.70%, 2/1/45 | | | | | 119,000 | | | | | | 135,289 | | |
Laboratory Corp. of America Holdings, Senior Note, 3.25%, 9/1/24 | | | | | 132,000 | | | | | | 135,445 | | |
Leland Stanford Junior University (The), 3.46%, 5/1/47 | | | | | 90,000 | | | | | | 97,550 | | |
LifePoint Health, Inc., 4.38%, 2/15/27(a) | | | | | 25,000 | | | | | | 23,550 | | |
Mars, Inc., 3.95%, 4/1/49(a) | | | | | 205,000 | �� | | | | | 222,430 | | |
Massachusetts Institute of Technology, 3.89%, 7/1/2116 | | | | | 75,000 | | | | | | 86,403 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
CONSUMER, NON-CYCLICAL – (continued) | | ||||||||||||
Massachusetts Institute of Technology, 4.68%, 7/1/2114 | | | | $ | 150,000 | | | | | $ | 205,992 | | |
McKesson Corp., Senior Note, 3.65%, 11/30/20 | | | | | 465,000 | | | | | | 468,343 | | |
MEDNAX, Inc., 5.25%, 12/1/23(a) | | | | | 200,000 | | | | | | 163,000 | | |
MEDNAX, Inc., 6.25%, 1/15/27(a) | | | | | 50,000 | | | | | | 40,125 | | |
Merck & Co., Inc., 3.90%, 3/7/39 | | | | | 500,000 | | | | | | 589,933 | | |
Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.88%, 10/1/22(a) | | | | | 100,000 | | | | | | 64,000 | | |
MPH Acquisition Holdings LLC, 7.13%, 6/1/24(a) | | | | | 100,000 | | | | | | 87,006 | | |
Mylan, Inc., 3.13%, 1/15/23(a) | | | | | 480,000 | | | | | | 465,485 | | |
Mylan, Inc., 4.55%, 4/15/28 | | | | | 120,000 | | | | | | 117,481 | | |
Mylan, Inc., 5.20%, 4/15/48 | | | | | 275,000 | | | | | | 246,850 | | |
NBM US Holdings, Inc., 6.63%, 8/6/29(a) | | | | | 1,000,000 | | | | | | 900,000 | | |
Nestle Holdings, Inc., 3.50%, 9/24/25(a) | | | | | 247,000 | | | | | | 266,048 | | |
Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22(a) | | | | | 150,000 | | | | | | 138,273 | | |
Orlando Health Obligated Group, 4.09%, 10/1/48 | | | | | 50,000 | | | | | | 53,169 | | |
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics S.A., Senior Note, 6.63%, 5/15/22(a) | | | | | 23,000 | | | | | | 21,735 | | |
Par Pharmaceutical, Inc., 7.50%, 4/1/27(a) | | | | | 75,000 | | | | | | 74,625 | | |
PepsiCo, Inc., 2.25%, 3/19/25 | | | | | 152,000 | | | | | | 157,789 | | |
PepsiCo, Inc., 2.63%, 3/19/27 | | | | | 1,000,000 | | | | | | 1,044,692 | | |
PepsiCo, Inc., 2.88%, 10/15/49 | | | | | 1,122,000 | | | | | | 1,164,435 | | |
Pfizer, Inc., 2.63%, 4/1/30 | | | | | 76,000 | | | | | | 79,750 | | |
Pilgrim’s Pride Corp., 5.75%, 3/15/25(a) | | | | | 75,000 | | | | | | 75,375 | | |
Polaris Intermediate Corp., Senior Note, PIK (8.500% Cash or 9.250% PIK), 8.50%, 12/1/22(a)(d) | | | | | 75,000 | | | | | | 58,125 | | |
Post Holdings, Inc., 4.63%, 4/15/30(a) | | | | | 50,000 | | | | | | 47,875 | | |
Post Holdings, Inc., 5.00%, 8/15/26(a) | | | | | 100,000 | | | | | | 102,915 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
CONSUMER, NON-CYCLICAL – (continued) | | ||||||||||||
Post Holdings, Inc., 5.75%, 3/1/27(a) | | | | $ | 75,000 | | | | | $ | 76,853 | | |
President & Fellows of Harvard College, 3.62%, 10/1/37 | | | | | 50,000 | | | | | | 53,656 | | |
President & Fellows of Harvard College, 6.50%, 1/15/39(a) | | | | | 105,000 | | | | | | 156,973 | | |
Prestige Brands, Inc., 5.13%, 1/15/28(a) | | | | | 25,000 | | | | | | 24,758 | | |
Prestige Brands, Inc., 6.38%, 3/1/24(a) | | | | | 75,000 | | | | | | 76,875 | | |
Prime Security Services Borrower LLC/Prime Finance, Inc., 5.25%, 4/15/24(a) | | | | | 25,000 | | | | | | 24,695 | | |
Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, 1/15/28(a) | | | | | 25,000 | | | | | | 21,563 | | |
Procter & Gamble Co. (The), 2.45%, 3/25/25 | | | | | 275,000 | | | | | | 288,289 | | |
Procter & Gamble Co. (The), 2.80%, 3/25/27 | | | | | 450,000 | | | | | | 490,704 | | |
Procter & Gamble Co. (The), 3.55%, 3/25/40 | | | | | 450,000 | | | | | | 524,820 | | |
Procter & Gamble Co. (The), 3.60%, 3/25/50 | | | | | 51,000 | | | | | | 62,909 | | |
Providence St Joseph Health Obligated Group, Series 19A, 2.53%, 10/1/29 | | | | | 110,000 | | | | | | 107,771 | | |
Radiology Partners, Inc., 9.25%, 2/1/28(a) | | | | | 25,000 | | | | | | 21,644 | | |
Refinitiv US Holdings, Inc., 6.25%, 5/15/26(a) | | | | | 50,000 | | | | | | 51,625 | | |
Refinitiv US Holdings, Inc., 8.25%, 11/15/26(a) | | | | | 100,000 | | | | | | 105,500 | | |
Select Medical Corp., 6.25%, 8/15/26(a) | | | | | 50,000 | | | | | | 50,000 | | |
Service Corp. International, 5.13%, 6/1/29 | | | | | 50,000 | | | | | | 51,000 | | |
Shire Acquisitions Investments Ireland DAC, 2.88%, 9/23/23 | | | | | 1,250,000 | | | | | | 1,275,291 | | |
Smithfield Foods, Inc., 4.25%, 2/1/27(a) | | | | | 91,000 | | | | | | 84,475 | | |
Smithfield Foods, Inc., 5.20%, 4/1/29(a) | | | | | 126,000 | | | | | | 126,840 | | |
Smithfield Foods, Inc., Senior Note, 2.65%, 10/3/21(a) | | | | | 90,000 | | | | | | 84,249 | | |
Sutter Health, 4.09%, 8/15/48 | | | | | 125,000 | | | | | | 133,727 | | |
Sysco Corp., 2.40%, 2/15/30 | | | | | 131,000 | | | | | | 107,622 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
CONSUMER, NON-CYCLICAL – (continued) | | ||||||||||||
Sysco Corp., 6.60%, 4/1/50 | | | | $ | 180,000 | | | | | $ | 195,588 | | |
Tenet Healthcare Corp., 4.63%, 7/15/24 | | | | | 25,000 | | | | | | 23,813 | | |
Tenet Healthcare Corp., 4.63%, 9/1/24(a) | | | | | 50,000 | | | | | | 47,890 | | |
Tenet Healthcare Corp., 4.88%, 1/1/26(a) | | | | | 75,000 | | | | | | 71,437 | | |
Tenet Healthcare Corp., 5.13%, 11/1/27(a) | | | | | 50,000 | | | | | | 47,750 | | |
Tenet Healthcare Corp., Secured Note, 6.25%, 2/1/27(a) | | | | | 75,000 | | | | | | 73,125 | | |
Tenet Healthcare Corp., Senior Note, 6.75%, 6/15/23 | | | | | 75,000 | | | | | | 69,187 | | |
Thermo Fisher Scientific, Inc., 4.50%, 3/25/30 | | | | | 69,000 | | | | | | 77,778 | | |
Trustees of Boston College, 3.13%, 7/1/52 | | | | | 169,000 | | | | | | 176,725 | | |
Tyson Foods, Inc., 5.10%, 9/28/48 | | | | | 310,000 | | | | | | 384,619 | | |
Unilever Capital Corp., 2.00%, 7/28/26 | | | | | 2,125,000 | | | | | | 2,119,943 | | |
Unilever Capital Corp., 2.13%, 9/6/29 | | | | | 675,000 | | | | | | 689,166 | | |
United Rentals North America, Inc., 5.25%, 1/15/30 | | | | | 70,000 | | | | | | 69,979 | | |
United Rentals North America, Inc., 5.50%, 5/15/27 | | | | | 375,000 | | | | | | 365,569 | | |
United Rentals North America, Inc., 6.50%, 12/15/26 | | | | | 75,000 | | | | | | 76,125 | | |
UnitedHealth Group, Inc., Senior Note, 2.38%, 10/15/22 | | | | | 465,000 | | | | | | 472,334 | | |
UnitedHealth Group, Inc., Senior Note, 3.75%, 7/15/25 | | | | | 270,000 | | | | | | 292,886 | | |
UnitedHealth Group, Inc., Senior Note, 3.85%, 6/15/28 | | | | | 610,000 | | | | | | 680,137 | | |
University of Chicago (The), 2.76%, 4/1/45 | | | | | 100,000 | | �� | | | | 94,488 | | |
US Foods, Inc., 5.88%, 6/15/24(a) | | | | | 50,000 | | | | | | 45,124 | | |
Vector Group Ltd., 6.13%, 2/1/25(a) | | | | | 225,000 | | | | | | 204,750 | | |
Vector Group Ltd., Senior Note, 10.50%, 11/1/26(a) | | | | | 25,000 | | | | | | 20,875 | | |
Verscend Escrow Corp., 9.75%, 8/15/26(a) | | | | | 75,000 | | | | | | 74,859 | | |
Vizient, Inc., 6.25%, 5/15/27(a) | | | | | 25,000 | | | | | | 24,948 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
CONSUMER, NON-CYCLICAL – (continued) | | ||||||||||||
West Street Merger Sub, Inc., Senior Note, 6.38%, 9/1/25(a) | | | | $ | 50,000 | | | | | $ | 43,585 | | |
Wisconsin Alumni Research Foundation, 3.56%, 10/1/49 | | | | | 1,300,000 | | | | | | 1,357,220 | | |
Zimmer Biomet Holdings, Inc., 3.55%, 3/20/30 | | | | | 80,000 | | | | | | 79,961 | | |
Zoetis, Inc., 2.14%, 8/20/21 (3 month USD LIBOR + 0.44%)(c) | | | | | 725,000 | | | | | | 665,262 | | |
Total Consumer, Non-cyclical | | | | | 45,465,495 | | | ||||||
ENERGY – 2.1% | | ||||||||||||
Antero Midstream Partners L.P./Antero Midstream Finance Corp., 5.38%, 9/15/24 | | | | | 100,000 | | | | | | 69,470 | | |
Antero Midstream Partners L.P./Antero Midstream Finance Corp., 5.75%, 3/1/27(a) | | | | | 25,000 | | | | | | 16,000 | | |
Antero Resources Corp., 5.00%, 3/1/25 | | | | | 200,000 | | | | | | 74,000 | | |
Antero Resources Corp., 5.38%, 11/1/21 | | | | | 50,000 | | | | | | 36,375 | | |
Apache Corp., 5.10%, 9/1/40 | | | | | 354,000 | | | | | | 156,476 | | |
Archrock Partners L.P./Archrock Partners Finance Corp., 6.25%, 4/1/28(a) | | | | | 50,000 | | | | | | 34,500 | | |
Archrock Partners L.P./Archrock Partners Finance Corp., 6.88%, 4/1/27(a) | | | | | 75,000 | | | | | | 53,257 | | |
Ascent Resources Utica Holdings LLC/ARU Finance Corp., Senior Note, 10.00%, 4/1/22(a) | | | | | 50,000 | | | | | | 26,750 | | |
BP Capital Markets America, Inc., 3.00%, 2/24/50 | | | | | 93,000 | | | | | | 86,462 | | |
BP Capital Markets America, Inc., 3.79%, 2/6/24 | | | | | 285,000 | | | | | | 295,325 | | |
Bruin E&P Partners LLC, 8.88%, 8/1/23(a) | | | | | 100,000 | | | | | | 7,000 | | |
Calfrac Holdings L.P., Senior Note, 8.50%, 6/15/26(a) | | | | | 25,000 | | | | | | 1,875 | | |
Callon Petroleum Co., 6.13%, 10/1/24 | | | | | 25,000 | | | | | | 4,438 | | |
Callon Petroleum Co., 6.25%, 4/15/23 | | | | | 25,000 | | | | | | 5,938 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
ENERGY – (continued) | | ||||||||||||
Callon Petroleum Co., 6.38%, 7/1/26 | | | | $ | 75,000 | | | | | $ | 12,000 | | |
Canadian Natural Resources Ltd., Senior Bond, 6.25%, 3/15/38 | | | | | 200,000 | | | | | | 155,100 | | |
Cenovus Energy, Inc., Senior Bond, 5.25%, 6/15/37 | | | | | 205,000 | | | | | | 91,967 | | |
Centennial Resource Production LLC, 5.38%, 1/15/26(a) | | | | | 50,000 | | | | | | 12,000 | | |
Centennial Resource Production LLC, 6.88%, 4/1/27(a) | | | | | 25,000 | | | | | | 6,125 | | |
Chaparral Energy, Inc., Senior Note, 8.75%, 7/15/23(a) | | | | | 50,000 | | | | | | 2,275 | | |
Cheniere Corpus Christi Holdings LLC, 3.70%, 11/15/29(a) | | | | | 90,000 | | | | | | 67,305 | | |
Chesapeake Energy Corp., 6.63%, 8/15/20 | | | | | 75,000 | | | | | | 21,750 | | |
Chesapeake Energy Corp., 6.88%, 11/15/20 | | | | | 25,000 | | | | | | 6,750 | | |
Chesapeake Energy Corp., 8.00%, 1/15/25 | | | | | 87,000 | | | | | | 5,220 | | |
Chevron Corp., 2.90%, 3/3/24 | | | | | 507,000 | | | | | | 522,567 | | |
Cimarex Energy Co., 4.38%, 3/15/29 | | | | | 169,000 | | | | | | 113,263 | | |
Citgo Holding, Inc., 9.25%, 8/1/24(a) | | | | | 150,000 | | | | | | 122,250 | | |
CNX Resources Corp., 5.88%, 4/15/22 | | | | | 50,000 | | | | | | 45,750 | | |
CNX Resources Corp., 7.25%, 3/14/27(a) | | | | | 50,000 | | | | | | 35,295 | | |
Comstock Resources, Inc., 7.50%, 5/15/25(a) | | | | | 25,000 | | | | | | 17,500 | | |
Concho Resources, Inc., 4.30%, 8/15/28 | | | | | 90,000 | | | | | | 82,285 | | |
Continental Resources, Inc., 3.80%, 6/1/24 | | | | | 775,000 | | | | | | 391,365 | | |
Crestwood Midstream Partners L.P./Crestwood Midstream Finance Corp., 5.63%, 5/1/27(a) | | | | | 75,000 | | | | | | 41,228 | | |
Crestwood Midstream Partners L.P./Crestwood Midstream Finance Corp., 5.75%, 4/1/25 | | | | | 100,000 | | | | | | 57,256 | | |
Crestwood Midstream Partners L.P./Crestwood Midstream Finance Corp., 6.25%, 4/1/23 | | | | | 25,000 | | | | | | 14,005 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
ENERGY – (continued) | | ||||||||||||
CrownRock L.P./CrownRock Finance, Inc., Senior Note, 5.63%, 10/15/25(a) | | | | $ | 75,000 | | | | | $ | 39,000 | | |
DCP Midstream Operating L.P., 5.13%, 5/15/29 | | | | | 25,000 | | | | | | 15,749 | | |
Delek Logistics Partners L.P./Delek Logistics Finance Corp., 6.75%, 5/15/25 | | | | | 25,000 | | | | | | 24,313 | | |
Denbury Resources, Inc., 6.38%, 12/31/24(a) | | | | | 37,000 | | | | | | 14,510 | | |
Denbury Resources, Inc., Secured Note, 9.00%, 5/15/21(a) | | | | | 175,000 | | | | | | 51,187 | | |
Diamond Offshore Drilling, Inc., 4.88%, 11/1/43 | | | | | 25,000 | | | | | | 3,375 | | |
Diamond Offshore Drilling, Inc., Senior Note, 7.88%, 8/15/25 | | | | | 100,000 | | | | | | 25,687 | | |
Ecopetrol S.A., Senior Note, 4.13%, 1/16/25 | | | | | 200,000 | | | | | | 186,302 | | |
Enable Midstream Partners L.P., 4.15%, 9/15/29 | | | | | 106,000 | | | | | | 48,772 | | |
Enable Midstream Partners L.P., Senior Note, 4.95%, 5/15/28 | | | | | 127,000 | | | | | | 63,357 | | |
Enbridge, Inc., 1.44%, 6/15/20 (3 month USD LIBOR + 0.70%)(c) | | | | | 675,000 | | | | | | 667,734 | | |
Endeavor Energy Resources L.P./EER Finance, Inc., 5.50%, 1/30/26(a) | | | | | 25,000 | | | | | | 17,255 | | |
Endeavor Energy Resources L.P./EER Finance, Inc., 5.75%, 1/30/28(a) | | | | | 50,000 | | | | | | 34,000 | | |
Energy Transfer Operating L.P., 4.90%, 3/15/35 | | | | | 164,000 | | | | | | 129,032 | | |
Energy Transfer Operating L.P., 4.95%, 6/15/28 | | | | | 115,000 | | | | | | 95,208 | | |
Energy Transfer Operating L.P., 5.00%, 5/15/50 | | | | | 505,000 | | | | | | 389,821 | | |
Energy Transfer Operating L.P., 5.30%, 4/15/47 | | | | | 110,000 | | | | | | 83,727 | | |
Energy Transfer Operating L.P., 5.50%, 6/1/27 | | | | | 128,000 | | | | | | 111,908 | | |
Energy Transfer Operating L.P., 6.13%, 12/15/45 | | | | | 91,000 | | | | | | 75,562 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
ENERGY – (continued) | | ||||||||||||
Energy Transfer Operating L.P., Junior Subordinated Note, Series A, 6.25%, 2/15/23 (6.25% fixed rate until 2/15/23; 4.03% + 3 month USD LIBOR thereafter)(c)(e) | | | | $ | 100,000 | | | | | $ | 49,500 | | |
EnLink Midstream LLC, 5.38%, 6/1/29 | | | | | 75,000 | | | | | | 39,000 | | |
EnLink Midstream Partners L.P., 5.45%, 6/1/47 | | | | | 100,000 | | | | | | 32,980 | | |
EnLink Midstream Partners L.P., 5.60%, 4/1/44 | | | | | 50,000 | | | | | | 16,875 | | |
EnLink Midstream Partners L.P., Senior Bond, 5.05%, 4/1/45 | | | | | 6,000 | | | | | | 2,188 | | |
EnLink Midstream Partners L.P., Senior Note, 4.85%, 7/15/26 | | | | | 158,000 | | | | | | 77,689 | | |
Enterprise Products Operating LLC, 4.85%, 8/15/42 | | | | | 200,000 | | | | | | 193,874 | | |
Enterprise Products Operating LLC, Series E, 5.25%, 8/16/77 (5.25% fixed rate until 8/16/27; 3.03% + 3 month USD LIBOR thereafter)(c) | | | | | 114,000 | | | | | | 78,090 | | |
EP Energy LLC/Everest Acquisition Finance, Inc., 9.38%, 5/1/20(f) | | | | | 150,000 | | | | | | 15 | | |
EP Energy LLC/Everest Acquisition Finance, Inc., Secured Note, 9.38%, 5/1/24(a)(f) | | | | | 75,000 | | | | | | 113 | | |
EQM Midstream Partners L.P., Senior Note, 4.75%, 7/15/23 | | | | | 270,000 | | | | | | 195,399 | | |
EQT Corp., 6.13%, 2/1/25 | | | | | 425,000 | | | | | | 327,292 | | |
EQT Corp., 7.00%, 2/1/30 | | | | | 325,000 | | | | | | 242,131 | | |
FTS International, Inc., Senior Secured Note, 6.25%, 5/1/22 | | | | | 125,000 | | | | | | 43,437 | | |
Genesis Energy L.P./Genesis Energy Finance Corp., 7.75%, 2/1/28 | | | | | 75,000 | | | | | | 52,215 | | |
Gulfport Energy Corp., 6.00%, 10/15/24 | | | | | 100,000 | | | | | | 24,500 | | |
Halliburton Co., 2.92%, 3/1/30 | | | | | 157,000 | | | | | | 122,460 | | |
Hanwha Energy USA Holdings Corp., 2.38%, 7/30/22(a) | | | | | 1,283,000 | | | | | | 1,276,115 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
ENERGY – (continued) | | ||||||||||||
Hess Midstream Operations L.P., 5.13%, 6/15/28(a) | | | | $ | 75,000 | | | | | $ | 52,710 | | |
Hess Midstream Operations L.P., 5.63%, 2/15/26(a) | | | | | 100,000 | | | | | | 70,606 | | |
Hilcorp Energy I L.P./Hilcorp Finance Co., Senior Note, 6.25%, 11/1/28(a) | | | | | 75,000 | | | | | | 33,000 | | |
Holly Energy Partners L.P./Holly Energy Finance Corp., 5.00%, 2/1/28(a) | | | | | 50,000 | | | | | | 41,875 | | |
Indigo Natural Resources LLC, Senior Note, 6.88%, 2/15/26(a) | | | | | 75,000 | | | | | | 49,500 | | |
Laredo Petroleum, Inc., 9.50%, 1/15/25 | | | | | 50,000 | | | | | | 20,000 | | |
Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp., 6.00%, 8/1/26(a) | | | | | 25,000 | | | | | | 15,000 | | |
Marathon Oil Corp., 6.80%, 3/15/32 | | | | | 120,000 | | | | | | 87,677 | | |
Marathon Oil Corp., Senior Bond, 6.60%, 10/1/37 | | | | | 71,000 | | | | | | 48,571 | | |
Matador Resources Co., 5.88%, 9/15/26 | | | | | 50,000 | | | | | | 13,982 | | |
MEG Energy Corp., 7.00%, 3/31/24(a) | | | | | 15,000 | | | | | | 6,919 | | |
Moss Creek Resources Holdings, Inc., 7.50%, 1/15/26(a) | | | | | 75,000 | | | | | | 21,750 | | |
MPLX L.P., Senior Bond, 4.70%, 4/15/48 | | | | | 150,000 | | | | | | 116,120 | | |
MPLX L.P., Senior Bond, 5.50%, 2/15/49 | | | | | 199,000 | | | | | | 168,005 | | |
Murphy Oil Corp., Senior Note, 5.75%, 8/15/25 | | | | | 136,000 | | | | | | 72,774 | | |
Murray Energy Corp., Secured Note, PIK (9.000% Cash and 3.000% PIK), 12.00%, 4/15/24(a)(f) | | | | | 180,991 | | | | | | 2 | | |
Nabors Industries, Inc., 5.75%, 2/1/25 | | | | | 150,000 | | | | | | 33,000 | | |
Nine Energy Service, Inc., Senior Note, 8.75%, 11/1/23(a) | | | | | 25,000 | | | | | | 6,253 | | |
Noble Energy, Inc., 4.95%, 8/15/47 | | | | | 103,000 | | | | | | 62,357 | | |
Noble Energy, Inc., 5.05%, 11/15/44 | | | | | 50,000 | | | | | | 30,883 | | |
Noble Energy, Inc., 5.25%, 11/15/43 | | | | | 213,000 | | | | | | 125,237 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
ENERGY – (continued) | | ||||||||||||
Noble Holding International Ltd., 7.75%, 1/15/24 | | | | $ | 21,000 | | | | | $ | 1,890 | | |
Noble Holding International Ltd., 7.88%, 2/1/26(a) | | | | | 100,000 | | | | | | 24,000 | | |
NuStar Logistics L.P., 6.00%, 6/1/26 | | | | | 25,000 | | | | | | 18,500 | | |
Oasis Petroleum, Inc., 6.88%, 3/15/22 | | | | | 100,000 | | | | | | 19,750 | | |
Occidental Petroleum Corp., 6.45%, 9/15/36 | | | | | 262,000 | | | | | | 125,305 | | |
Occidental Petroleum Corp., 7.50%, 5/1/31 | | | | | 25,000 | | | | | | 12,942 | | |
ONEOK, Inc., 3.10%, 3/15/30 | | | | | 1,442,000 | | | | | | 1,084,132 | | |
ONEOK, Inc., 4.45%, 9/1/49 | | | | | 350,000 | | | | | | 271,911 | | |
ONEOK, Inc., 4.50%, 3/15/50 | | | | | 250,000 | | | | | | 188,233 | | |
ONEOK, Inc., 4.95%, 7/13/47 | | | | | 150,000 | | | | | | 118,659 | | |
Ovintiv, Inc., Senior Bond, 7.38%, 11/1/31 | | | | | 231,000 | | | | | | 104,036 | | |
Parsley Energy LLC/Parsley Finance Corp., 4.13%, 2/15/28(a) | | | | | 50,000 | | | | | | 34,000 | | |
Pattern Energy Group, Inc., 5.88%, 2/1/24(a) | | | | | 500,000 | | | | | | 496,340 | | |
PBF Holding Co. LLC/PBF Finance Corp., 6.00%, 2/15/28(a) | | | | | 25,000 | | | | | | 16,812 | | |
PBF Logistics L.P./PBF Logistics Finance Corp., 6.88%, 5/15/23 | | | | | 100,000 | | | | | | 61,607 | | |
PDC Energy, Inc., 6.13%, 9/15/24 | | | | | 25,000 | | | | | | 13,344 | | |
Petroleos Mexicanos, 5.50%, 1/21/21 | | | | | 30,000 | | | | | | 28,867 | | |
Petroleos Mexicanos, 6.38%, 2/4/21 | | | | | 100,000 | | | | | | 94,250 | | |
Petroleos Mexicanos, 6.50%, 3/13/27 | | | | | 200,000 | | | | | | 148,020 | | |
Petroleos Mexicanos, 6.75%, 9/21/47 | | | | | 400,000 | | | | | | 255,756 | | |
Phillips 66, 2.25%, 2/26/21 (3 month USD LIBOR + 0.60%)(c) | | | | | 881,000 | | | | | | 824,116 | | |
Plains All American Pipeline L.P., 6.13%, 11/15/22 (6.13% fixed rate until 11/15/22; 4.11% + 3 month USD LIBOR thereafter)(c)(e) | | | | | 150,000 | | | | | | 75,000 | | |
Rockies Express Pipeline LLC, 3.60%, 5/15/25(a) | | | | | 96,000 | | | | | | 66,347 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
ENERGY – (continued) | | ||||||||||||
Sanchez Energy Corp., 6.13%, 1/15/23(f) | | | | $ | 100,000 | | | | | $ | 1,000 | | |
Sanchez Energy Corp., 7.75%, 6/15/21(f) | | | | | 150,000 | | | | | | 495 | | |
Schlumberger Holdings Corp., 4.00%, 12/21/25(a) | | | | | 156,000 | | | | | | 143,758 | | |
SESI LLC, 7.13%, 12/15/21(a) | | | | | 25,000 | | | | | | 10,625 | | |
SESI LLC, 7.75%, 9/15/24 | | | | | 50,000 | | | | | | 13,000 | | |
Seven Generations Energy Ltd., 5.38%, 9/30/25(a) | | | | | 75,000 | | | | | | 41,250 | | |
Shelf Drilling Holdings Ltd., 8.25%, 2/15/25(a) | | | | | 100,000 | | | | | | 47,800 | | |
SM Energy Co., 5.63%, 6/1/25 | | | | | 25,000 | | | | | | 6,813 | | |
SM Energy Co., 6.13%, 11/15/22 | | | | | 50,000 | | | | | | 21,156 | | |
SM Energy Co., Senior Note, 6.75%, 9/15/26 | | | | | 50,000 | | | | | | 15,000 | | |
Southwestern Energy Co., 6.20%, 1/23/25 | | | | | 42,000 | | | | | | 28,600 | | |
Southwestern Energy Co., 7.75%, 10/1/27 | | | | | 25,000 | | | | | | 16,437 | | |
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 5.50%, 8/15/22 | | | | | 100,000 | | | | | | 22,000 | | |
Summit Midstream Partners L.P., Series A, 9.50%, 12/15/22 (9.50% fixed rate until 12/15/22; 7.43% + 3 month USD LIBOR thereafter)(c)(e) | | | | | 75,000 | | | | | | 1,078 | | |
Sunoco L.P./Sunoco Finance Corp., 4.88%, 1/15/23 | | | | | 75,000 | | | | | | 72,425 | | |
Sunoco L.P./Sunoco Finance Corp., 5.50%, 2/15/26 | | | | | 75,000 | | | | | | 64,896 | | |
Sunoco L.P./Sunoco Finance Corp., 6.00%, 4/15/27 | | | | | 75,000 | | | | | | 64,500 | | |
Tallgrass Energy Partners L.P./Tallgrass Energy Finance Corp., 4.75%, 10/1/23(a) | | | | | 25,000 | | | | | | 15,439 | | |
Targa Resources Partners L.P./Targa Resources Partners Finance Corp., 5.00%, 1/15/28 | | | | | 25,000 | | | | | | 20,152 | | |
Targa Resources Partners L.P./Targa Resources Partners Finance Corp., 5.50%, 3/1/30(a) | | | | | 25,000 | | | | | | 19,437 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
ENERGY – (continued) | | ||||||||||||
Targa Resources Partners L.P./Targa Resources Partners Finance Corp., 5.88%, 4/15/26 | | | | $ | 64,000 | | | | | $ | 53,280 | | |
Targa Resources Partners L.P./Targa Resources Partners Finance Corp., 6.50%, 7/15/27 | | | | | 50,000 | | | | | | 42,625 | | |
Targa Resources Partners L.P./Targa Resources Partners Finance Corp., 6.88%, 1/15/29 | | | | | 100,000 | | | | | | 80,500 | | |
TerraForm Power Operating LLC, 4.25%, 1/31/23(a) | | | | | 75,000 | | | | | | 74,437 | | |
TerraForm Power Operating LLC, 4.75%, 1/15/30(a) | | | | | 100,000 | | | | | | 97,000 | | |
Topaz Solar Farms LLC, Senior Secured Bond, 4.88%, 9/30/39(a) | | | | | 381,372 | | | | | | 392,789 | | |
Transocean Guardian Ltd., Senior Secured Note, 5.88%, 1/15/24(a) | | | | | 20,875 | | | | | | 16,700 | | |
USA Compression Partners L.P./USA Compression Finance Corp., 6.88%, 9/1/27 | | | | | 50,000 | | | | | | 31,000 | | |
Valero Energy Corp., 4.00%, 4/1/29 | | | | | 45,000 | | | | | | 43,919 | | |
Valero Energy Partners L.P., Senior Note, 4.50%, 3/15/28 | | | | | 350,000 | | | | | | 315,568 | | |
Vine Oil & Gas L.P./Vine Oil & Gas Finance Corp., 8.75%, 4/15/23(a) | | | | | 100,000 | | | | | | 22,000 | | |
Vine Oil & Gas L.P./Vine Oil & Gas Finance Corp., 9.75%, 4/15/23(a) | | | | | 50,000 | | | | | | 11,813 | | |
Western Midstream Operating L.P., 4.00%, 7/1/22 | | | | | 450,000 | | | | | | 291,798 | | |
Western Midstream Operating L.P., 5.30%, 3/1/48 | | | | | 10,000 | | | | | | 3,810 | | |
Western Midstream Operating L.P., 5.50%, 8/15/48 | | | | | 59,000 | | | | | | 22,439 | | |
Whiting Petroleum Corp., 6.25%, 4/1/23 | | | | | 75,000 | | | | | | 5,625 | | |
Whiting Petroleum Corp., 6.63%, 1/15/26 | | | | | 75,000 | | | | | | 5,063 | | |
Williams Cos., Inc. (The), 5.75%, 6/24/44 | | | | | 271,000 | | | | | | 283,305 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
ENERGY – (continued) | | ||||||||||||
Williams Cos., Inc. (The), Senior Bond, 4.90%, 1/15/45 | | | | $ | 200,000 | | | | | $ | 175,161 | | |
Woodside Finance Ltd., 3.70%, 3/15/28(a) | | | | | 500,000 | | | | | | 480,575 | | |
WPX Energy, Inc., 4.50%, 1/15/30 | | | | | 75,000 | | | | | | 40,725 | | |
WPX Energy, Inc., Senior Note, 5.75%, 6/1/26 | | | | | 50,000 | | | | | | 28,500 | | |
Total Energy | | | | | | | | | | | 15,846,025 | | |
FINANCIAL – 10.5% | | ||||||||||||
Abay Leasing 2014 LLC, 2.65%, 11/9/26 | | | | | 562,500 | | | | | | 586,945 | | |
Acrisure LLC/Acrisure Finance, Inc., 8.13%, 2/15/24(a) | | | | | 125,000 | | | | | | 121,756 | | |
Acrisure LLC/Acrisure Finance, Inc., Senior Note, 7.00%, 11/15/25(a) | | | | | 100,000 | | | | | | 86,000 | | |
AG Issuer LLC, 6.25%, 3/1/28(a) | | | | | 50,000 | | | | | | 42,000 | | |
Aia Group Ltd., 3.38%, 4/7/30(a) | | | | | 350,000 | | | | | | 352,814 | | |
Alexandria Real Estate Equities, Inc., 4.00%, 1/15/24 | | | | | 400,000 | | | | | | 408,667 | | |
Ally Financial, Inc., 3.88%, 5/21/24 | | | | | 800,000 | | | | | | 720,000 | | |
Ally Financial, Inc., 8.00%, 11/1/31 | | | | | 50,000 | | | | | | 57,475 | | |
American Express Co., 3.40%, 2/22/24 | | | | | 106,000 | | | | | | 110,973 | | |
American Express Co., Senior Note, 4.20%, 11/6/25 | | | | | 83,000 | | | | | | 91,673 | | |
American International Group, Inc., Senior Bond, 3.88%, 1/15/35 | | | | | 11,000 | | | | | | 10,783 | | |
Ameriprise Financial, Inc., 3.00%, 3/22/22 | | | | | 138,000 | | | | | | 139,696 | | |
Anglo American Capital Co., 5.38%, 4/1/25(a) | | | | | 200,000 | | | | | | 202,135 | | |
Athene Holding Ltd., 6.15%, 4/3/30 | | | | | 121,000 | | | | | | 120,768 | | |
Bank of America Corp., 2.46%, 10/22/25 (2.46% fixed rate until 10/22/24; 0.87% + 3 month USD LIBOR thereafter)(c) | | | | | 991,000 | | | | | | 999,384 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
Bank of America Corp., 2.88%, 10/22/30 (2.88% fixed rate until 10/22/29; 0.01% + 3 month USD LIBOR thereafter)(c) | | | | $ | 330,000 | | | | | $ | 329,535 | | |
Bank of America Corp., 3.19%, 7/23/30 (3.19% fixed rate until 7/23/29; 1.18% + 3 month USD LIBOR thereafter)(c) | | | | | 45,000 | | | | | | 45,953 | | |
Bank of America Corp., 3.71%, 4/24/28 (3.71% fixed rate until 4/24/27; 1.51% + 3 month USD LIBOR thereafter)(c) | | | | | 165,000 | | | | | | 172,535 | | |
Bank of America Corp., 4.45%, 3/3/26 | | | | | 1,525,000 | | | | | | 1,649,238 | | |
Bank of America Corp., 3.50%, 5/17/22, (3 month USD LIBOR + 0.630%) (c) | | | | | 96,000 | | | | | | 97,128 | | |
Bank of America Corp., 4.30%, 1/28/25, (3 month USD LIBOR + 2.664%) (c) | | | | | 475,000 | | | | | | 408,500 | | |
Bank of America Corp., 4.08%, 3/20/51, (3 month USD LIBOR + 3.150%) (c) | | | | | 71,000 | | | | | | 80,597 | | |
Bank of America Corp., Junior Subordinated Bond, Series FF, 5.88%, 3/15/28 (5.88% fixed rate until 3/15/28; 2.93% + 3 month USD LIBOR thereafter)(c)(e) | | | | | 75,000 | | | | | | 76,000 | | |
Bank of America Corp., Senior Bond, 3.82%, 1/20/28 (3.82% fixed rate until 1/20/27; 1.58% + 3 month USD LIBOR thereafter)(c) | | | | | 2,225,000 | | | | | | 2,307,779 | | |
Bank of America Corp., Senior Bond, 3.97%, 3/5/29 (3.97% fixed rate until 3/5/28; 1.07% + 3 month USD LIBOR thereafter)(c) | | | | | 610,000 | | | | | | 658,367 | | |
Bank of America Corp., Series DD, 6.30%, 3/10/26 (6.30% fixed rate until 3/10/26; 4.55% + 3 month USD LIBOR thereafter)(c)(e) | | | | | 75,000 | | | | | | 78,750 | | |
Bank of America Corp., Series JJ, 5.13%, 6/20/24 (5.13% fixed rate until 6/20/24; 3.29% + 3 month USD LIBOR thereafter)(c)(e) | | | | | 340,000 | | | | | | 323,000 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
Bank of America Corp., Series X, 6.25%, 9/5/24 (6.25% fixed rate until 9/5/24; 3.71% + 3 month USD LIBOR thereafter)(c)(e) | | | | $ | 125,000 | | | | | $ | 126,875 | | |
Bank of America Corp., Subordinated Bond, 6.11%, 1/29/37 | | | | | 190,000 | | | | | | 247,573 | | |
Bank of America Corp., Subordinated Note, Series L, 4.18%, 11/25/27 | | | | | 99,000 | | | | | | 102,356 | | |
Bank of Montreal, Subordinated Bond, 3.80%, 12/15/32 (3.80% fixed rate until 12/15/27; 1.43% + USD 5 year Swap Rate thereafter)(c) | | | | | 1,000,000 | | | | | | 971,305 | | |
Bank of New York Mellon Corp. (The), Subordinated Bond, 3.30%, 8/23/29 | | | | | 500,000 | | | | | | 512,471 | | |
BankUnited, Inc., 4.88%, 11/17/25 | | | | | 544,000 | | | | | | 561,649 | | |
Brandywine Operating Partnership L.P., 3.95%, 2/15/23 | | | | | 500,000 | | | | | | 516,518 | | |
Brighthouse Financial, Inc., Senior Bond, 4.70%, 6/22/47 | | | | | 145,000 | | | | | | 116,269 | | |
Brixmor Operating Partnership L.P., 3.65%, 6/15/24 | | | | | 500,000 | | | | | | 465,053 | | |
Brixmor Operating Partnership L.P., Senior Note, 3.90%, 3/15/27 | | | | | 500,000 | | | | | | 497,757 | | |
Canadian Imperial Bank of Commerce, 3.15%, 6/27/21(a) | | | | | 500,000 | | | | | | 509,509 | | |
Chubb INA Holdings, Inc., 2.88%, 11/3/22 | | | | | 135,000 | | | | | | 137,000 | | |
CIT Group, Inc., 5.00%, 8/1/23 | | | | | 100,000 | | | | | | 96,211 | | |
Citigroup, Inc., 5.88%, 2/22/33 | | | | | 135,000 | | | | | | 153,584 | | |
Citigroup, Inc., 4.70%, 1/30/25 (SOFR + 3.234%)(c) | | | | | 130,000 | | | | | | 112,450 | | |
Citigroup, Inc., 4.41%, 3/31/31 (SOFR + 3.914%)(c) | | | | | 141,000 | | | | | | 155,139 | | |
Citigroup, Inc., Junior Subordinated Note, 5.90%, 2/15/23 (5.90% fixed rate until 2/15/23; 4.23% + 3 month USD LIBOR thereafter)(c)(e) | | | | | 175,000 | | | | | | 168,875 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
Citigroup, Inc., Senior Bond, 3.67%, 7/24/28 (3.67% fixed rate until 7/24/27; 1.39% + 3 month USD LIBOR thereafter)(c) | | | | $ | 65,000 | | | | | $ | 67,353 | | |
Citigroup, Inc., Senior Bond, 4.08%, 4/23/29 (4.08% fixed rate until 4/23/28; 1.19% + 3 month USD LIBOR thereafter)(c) | | | | | 700,000 | | | | | | 742,385 | | |
Citigroup, Inc., Senior Note, 3.20%, 10/21/26 | | | | | 1,215,000 | | | | | | 1,258,417 | | |
Citigroup, Inc., Series U, 5.00%, 9/12/24 Series U (SOFR + 3.813%)(c)(e) | | | | | 225,000 | | | | | | 205,686 | | |
Citigroup, Inc., Subordinated Bond, 4.75%, 5/18/46 | | | | | 159,000 | | | | | | 182,066 | | |
Citigroup, Inc., Subordinated Bond, 6.00%, 10/31/33 | | | | | 94,000 | | | | | | 108,528 | | |
Citigroup, Inc., Subordinated Note, 4.45%, 9/29/27 | | | | | 1,554,000 | | | | | | 1,629,458 | | |
Citizens Bank NA, 2.46%, 5/26/22 (3 month USD LIBOR + 0.81%)(c) | | | | | 1,550,000 | | | | | | 1,419,293 | | |
Citizens Financial Group, Inc., 2.50%, 2/6/30 | | | | | 337,000 | | | | | | 298,135 | | |
Citizens Financial Group, Inc., 2.85%, 7/27/26 | | | | | 2,000,000 | | | | | | 1,950,691 | | |
Citizens Financial Group, Inc., 4.30%, 12/3/25 | | | | | 83,000 | | | | | | 86,886 | | |
CNA Financial Corp., 3.95%, 5/15/24 | | | | | 365,000 | | | | | | 379,175 | | |
Columbia Property Trust Operating Partnership L.P., 4.15%, 4/1/25 | | | | | 281,000 | | | | | | 290,916 | | |
Comerica, Inc., 4.00%, 2/1/29 | | | | | 1,025,000 | | | | | | 1,033,382 | | |
Credit Acceptance Corp., 5.13%, 12/31/24(a) | | | | | 25,000 | | | | | | 22,750 | | |
Credit Acceptance Corp., 6.63%, 3/15/26 | | | | | 50,000 | | | | | | 47,250 | | |
Crown Castle Intl Corp., 4.15%, 7/1/50 | | | | | 76,000 | | | | | | 75,164 | | |
Danske Bank A/S, Senior Note, 3.88%, 9/12/23(a) | | | | | 200,000 | | | | | | 197,337 | | |
Discover Bank, 2.70%, 2/6/30 | | | | | 325,000 | | | | | | 282,533 | | |
Drawbridge Special Opportunities Fund L.P./Drawbridge Special Opportunities Fin, Senior Note, 5.00%, 8/1/21(a) | | | | | 1,200,000 | | | | | | 1,152,520 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
Duke Realty L.P., 2.88%, 11/15/29 | | | | $ | 42,000 | | | | | $ | 40,391 | | |
ESH Hospitality, Inc., 4.63%, 10/1/27(a) | | | | | 75,000 | | | | | | 58,500 | | |
ESH Hospitality, Inc., 5.25%, 5/1/25(a) | | | | | 25,000 | | | | | | 21,000 | | |
Export Leasing 2009 LLC, 1.86%, 8/28/21 | | | | | 160,064 | | | | | | 160,709 | | |
FelCor Lodging L.P., 6.00%, 6/1/25 | | | | | 100,000 | | | | | | 95,500 | | |
First Niagara Financial Group, Inc., Subordinated Note, 7.25%, 12/15/21 | | | | | 97,000 | | | | | | 103,927 | | |
Five Corners Funding Trust, Senior Note, 4.42%, 11/15/23(a) | | | | | 600,000 | | | | | | 645,443 | | |
FS KKR Capital Corp., 4.13%, 2/1/25 | | | | | 1,550,000 | | | | | | 1,260,657 | | |
GE Capital International Funding Co. Unlimited Co., 4.42%, 11/15/35 | | | | | 361,000 | | | | | | 390,014 | | |
Genworth Holdings, Inc., 4.90%, 8/15/23 | | | | | 50,000 | | | | | | 43,000 | | |
Genworth Holdings, Inc., 0, 4.80%, 2/15/24 | | | | | 25,000 | | | | | | 21,625 | | |
GLP Capital L.P./GLP Financing II, Inc., 5.38%, 11/1/23 | | | | | 100,000 | | | | | | 91,267 | | |
GLP Capital L.P./GLP Financing II, Inc., 5.38%, 4/15/26 | | | | | 150,000 | | | | | | 132,960 | | |
Goldman Sachs Group, Inc. (The), 2.35%, 11/15/21 | | | | | 258,000 | | | | | | 257,637 | | |
Goldman Sachs Group, Inc. (The), 3.69%, 6/5/28 (3.69% fixed rate until 6/5/27; 1.51% + 3 month USD LIBOR thereafter)(c) | | | | | 925,000 | | | | | | 950,576 | | |
Goldman Sachs Group, Inc. (The), 3.80%, 3/15/30 | | | | | 136,000 | | | | | | 141,716 | | |
Goldman Sachs Group, Inc. (The), Senior Bond, 4.22%, 5/1/29 (4.22% fixed rate until 5/1/28; 1.30% + 3 month USD LIBOR thereafter)(c) | | | | | 515,000 | | | | | | 549,883 | | |
Goldman Sachs Group, Inc. (The), Series D, 6.00%, 6/15/20 | | | | | 80,000 | | | | | | 80,482 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
Goldman Sachs Group, Inc. (The), Series R, (5 year CMT + 3.224%), 4.95%, 2/10/25 (4.95% fixed rate until 2/10/25; 3.22% + 5 year CMT thereafter)(c)(e) | | | | $ | 50,000 | | | | | $ | 44,500 | | |
Goldman Sachs Group, Inc. (The), Subordinated Bond, 6.75%, 10/1/37 | | | | | 301,000 | | | | | | 404,794 | | |
Goldman Sachs Group, Inc. (The), Subordinated Note, 4.25%, 10/21/25 | | | | | 159,000 | | | | | | 167,160 | | |
Greystar Real Estate Partners LLC, 5.75%, 12/1/25(a) | | | | | 25,000 | | | | | | 22,627 | | |
HAT Holdings I LLC/HAT Holdings II LLC, 5.25%, 7/15/24(a) | | | | | 50,000 | | | | | | 48,000 | | |
Healthpeak Properties, Inc., 3.50%, 7/15/29 | | | | | 1,150,000 | | | | | | 1,124,919 | | |
HNA 2015 LLC, 2.37%, 9/18/27 | | | | | 400,285 | | | | | | 415,833 | | |
Host Hotels & Resorts L.P., Series H, 3.38%, 12/15/29 | | | | | 1,000,000 | | | | | | 843,272 | | |
HSBC Holdings PLC, Senior Bond, 4.58%, 6/19/29 (4.58% fixed rate until 6/19/28; 1.53% + 3 month USD LIBOR thereafter)(c) | | | | | 200,000 | | | | | | 212,878 | | |
HSBC Holdings PLC, Senior Note, 3.03%, 11/22/23 (3.03% fixed rate until 11/22/22; 0.92% + 3 month USD LIBOR thereafter)(c) | | | | | 500,000 | | | | | | 496,312 | | |
Hunt Cos., Inc., Senior Secured Note, 6.25%, 2/15/26(a) | | | | | 50,000 | | | | | | 37,375 | | |
HUB International Ltd., Senior Note, 7.00%, 5/1/26(a) | | | | | 100,000 | | | | | | 99,000 | | |
Icahn Enterprises L.P./Icahn Enterprises Finance Corp., 4.75%, 9/15/24 | | | | | 150,000 | | | | | | 137,625 | | |
Icahn Enterprises L.P./Icahn Enterprises Finance Corp., 5.25%, 5/15/27 | | | | | 100,000 | | | | | | 92,375 | | |
Icahn Enterprises L.P./Icahn Enterprises Finance Corp., 6.25%, 2/1/22 | | | | | 175,000 | | | | | | 175,437 | | |
Icahn Enterprises L.P./Icahn Enterprises Finance Corp., 6.25%, 5/15/26 | | | | | 125,000 | | | | | | 118,125 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
Icahn Enterprises L.P./Icahn Enterprises Finance Corp., 6.38%, 12/15/25 | | | | $ | 100,000 | | | | | $ | 94,500 | | |
Iron Mountain, Inc., 4.88%, 9/15/29(a) | | | | | 75,000 | | | | | | 70,454 | | |
JPMorgan Chase & Co., 3.21%, 4/1/23 (3.21% fixed rate until 4/1/22; 0.70% + 3 month USD LIBOR thereafter)(c) | | | | | 411,000 | | | | | | 418,858 | | |
JPMorgan Chase & Co., (3 month USD LIBOR + 0.945%), 3.51%, 1/23/29(c) | | | | | 210,000 | | | | | | 216,403 | | |
JPMorgan Chase & Co., (3 month USD LIBOR + 1.337%), 3.78%, 2/1/28(c) | | | | | 1,525,000 | | | | | | 1,637,581 | | |
JPMorgan Chase & Co., 4.60%, 2/1/25 (SOFR + 3.125%)(c) | | | | | 215,000 | | | | | | 188,168 | | |
JPMorgan Chase & Co., 4.49%, 3/24/31 (SOFR + 3.790%)(c) | | | | | 73,000 | | | | | | 84,689 | | |
JPMorgan Chase & Co., Junior Subordinated Bond, Series S, 6.75%, 2/1/24 (6.75% fixed rate until 2/1/24; 3.78% + 3 month USD LIBOR thereafter)(c)(e) | | | | | 125,000 | | | | | | 130,625 | | |
JPMorgan Chase & Co., Junior Subordinated Bond, Series U, 6.13%, 4/30/24 (6.13% fixed rate until 4/30/24; 3.33% + 3 month USD LIBOR thereafter)(c)(e) | | | | | 207,000 | | | | | | 196,650 | | |
JPMorgan Chase & Co., Senior Bond, 3.88%, 7/24/38 (3.88% fixed rate until 7/24/37; 1.36% + 3 month USD LIBOR thereafter)(c) | | | | | 76,000 | | | | | | 84,926 | | |
JPMorgan Chase & Co., Senior Bond, 4.01%, 4/23/29 (4.01% fixed rate until 4/23/28; 1.12% + 3 month USD LIBOR thereafter)(c) | | | | | 2,045,000 | | | | | | 2,197,664 | | |
JPMorgan Chase & Co., Senior Bond, 4.45%, 12/5/29 (4.45% fixed rate until 12/5/28; 1.33% + 3 month USD LIBOR thereafter)(c) | | | | | 750,000 | | | | | | 841,639 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
JPMorgan Chase & Co., Series X, 6.10%, 10/1/24 (6.10% fixed rate until 10/1/24; 3.33% + 3 month USD LIBOR thereafter)(c)(e) | | | | $ | 25,000 | | | | | $ | 25,475 | | |
Kennedy-Wilson, Inc., 5.88%, 4/1/24 | | | | | 150,000 | | | | | | 134,205 | | |
KeyBank NA, Senior Note, 2.30%, 9/14/22 | | | | | 560,000 | | | | | | 560,609 | | |
KeyBank NA, Subordinated Note, 3.40%, 5/20/26 | | | | | 500,000 | | | | | | 520,960 | | |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.25%, 2/1/27(a) | | | | | 25,000 | | | | | | 19,750 | | |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.25%, 3/15/22(a) | | | | | 75,000 | | | | | | 67,125 | | |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.88%, 8/1/21(a) | | | | | 75,000 | | | | | | 63,000 | | |
Liberty Mutual Group, Inc., 3.95%, 10/15/50(a) | | | | | 120,000 | | | | | | 111,398 | | |
Liberty Mutual Group, Inc., 4.50%, 6/15/49(a) | | | | | 85,000 | | | | | | 82,746 | | |
Liberty Mutual Group, Inc., 4.57%, 2/1/29(a) | | | | | 700,000 | | | | | | 774,246 | | |
LPL Holdings, Inc., 4.63%, 11/15/27(a) | | | | | 25,000 | | | | | | 22,866 | | |
M&T Bank Corp., 2.47%, 7/26/23 (3 month USD LIBOR + 0.68%)(c) | | | | | 1,000,000 | | | | | | 915,298 | | |
Macquarie Group Ltd., Senior Bond, 3.76%, 11/28/28 (3.76% fixed rate until 11/28/27; 1.37% + 3 month USD LIBOR thereafter)(a)(c) | | | | | 4,000 | | | | | | 4,329 | | |
Manufacturers & Traders Trust Co., 2.22%, 12/1/21 (2.55% fixed rate until 1/31/20; 0.64% + 3 month USD LIBOR thereafter)(c) | | | | | 1,000,000 | | | | | | 971,498 | | |
Manufacturers & Traders Trust Co., Subordinated Note, 3.40%, 8/17/27 | | | | | 500,000 | | | | | | 516,429 | | |
Marsh & McLennan Cos., Inc., 3.50%, 12/29/20 | | | | | 82,000 | | | | | | 82,607 | | |
MassMutual Global Funding II, 2.75%, 6/22/24(a) | | | | | 200,000 | | | | | | 197,311 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
Mastercard, Inc., 2.00%, 3/3/25 | | | | $ | 173,000 | | | | | $ | 181,345 | | |
Mastercard, Inc., 3.85%, 3/26/50 | | | | | 38,000 | | | | | | 46,382 | | |
MGIC Investment Corp., 5.75%, 8/15/23 | | | | | 50,000 | | | | | | 46,291 | | |
MGM Growth Properties Operating Partnership L.P./MGP Finance Co-Issuer, Inc., 5.75%, 2/1/27 | | | | | 75,000 | | | | | | 65,250 | | |
Morgan Stanley 2.70%, 1/22/31 (SOFR + 1.143%)(c) | | | | | 625,000 | | | | | | 611,603 | | |
Morgan Stanley, 3.63%, 1/20/27 | | | | | 432,000 | | | | | | 456,646 | | |
Morgan Stanley, 3.95%, 4/23/27 | | | | | 950,000 | | | | | | 989,760 | | |
Morgan Stanley, 3.62%, 4/1/31 (SOFR + 3.120%)(c) | | | | | 73,000 | | | | | | 75,974 | | |
Morgan Stanley, 4.00%, 4/1/25 (SOFR + 2.745%)(c) | | | | | 975,000 | | | | | | 832,650 | | |
Morgan Stanley, 4.43%, 1/23/30 (4.43% fixed rate until 1/23/29; 1.63% + 3 month USD LIBOR thereafter)(c) | | | | | 440,000 | | | | | | 489,025 | | |
Morgan Stanley, Senior Bond, 3.77%, 1/24/29 (3.77% fixed rate until 1/24/28; 1.14% + 3 month USD LIBOR thereafter)(c) | | | | | 1,155,000 | | | | | | 1,218,735 | | |
MPT Operating Partnership L.P./MPT Finance Corp., 6.38%, 3/1/24 | | | | | 100,000 | | | | | | 100,000 | | |
Nationstar Mortgage Holdings, Inc., 6.00%, 1/15/27(a) | | | | | 25,000 | | | | | | 21,250 | | |
Nationstar Mortgage Holdings, Inc., Senior Note, 8.13%, 7/15/23(a) | | | | | 50,000 | | | | | | 48,890 | | |
Nationstar Mortgage Holdings, Inc., Senior Note, 9.13%, 7/15/26(a) | | | | | 50,000 | | | | | | 45,250 | | |
Navient Corp., Senior Note, 5.00%, 10/26/20 | | | | | 150,000 | | | | | | 147,750 | | |
Navient Corp., Senior Note, 6.50%, 6/15/22 | | | | | 125,000 | | | | | | 121,277 | | |
Navient Corp., Senior Note, 6.75%, 6/25/25 | | | | | 125,000 | | | | | | 115,000 | | |
Navient Corp., Senior Note, 6.75%, 6/15/26 | | | | | 50,000 | | | | | | 46,000 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
New York Community Bancorp, Inc., Subordinated Note, 5.90%, 11/6/28 (5.90% fixed rate until 11/6/23; 2.78% + 3 month USD LIBOR thereafter)(c) | | | | $ | 321,000 | | | | | $ | 318,157 | | |
Newmark Group, Inc., 6.13%, 11/15/23 | | | | | 50,000 | | | | | | 50,857 | | |
NFP Corp., 8.00%, 7/15/25(a) | | | | | 50,000 | | | | | | 45,750 | | |
NFP Corp., Senior Note, 6.88%, 7/15/25(a) | | | | | 75,000 | | | | | | 73,875 | | |
Nuveen Finance LLC, 4.13%, 11/1/24(a) | | | | | 400,000 | | | | | | 382,028 | | |
Owl Rock Capital Corp., 5.25%, 4/15/24 | | | | | 955,000 | | | | | | 926,439 | | |
Park Aerospace Holdings Ltd., 5.25%, 8/15/22(a) | | | | | 100,000 | | | | | | 90,339 | | |
Penta Aircraft Leasing 2013 LLC, 1.69%, 4/29/25 | | | | | 316,439 | | | | | | 318,955 | | |
People’s United Bank NA, Subordinated Note, 4.00%, 7/15/24 | | | | | 500,000 | | | | | | 505,338 | | |
People’s United Financial, Inc., Senior Note, 3.65%, 12/6/22 | | | | | 500,000 | | | | | | 513,222 | | |
PNC Bank NA, 1.43%, 12/9/22 (3 month USD LIBOR + 0.43%)(c) | | | | | 1,000,000 | | | | | | 944,207 | | |
PNC Bank NA, Senior Note, 3.10%, 10/25/27 | | | | | 500,000 | | | | | | 514,473 | | |
PNC Bank NA, Senior Note, 3.50%, 6/8/23 | | | | | 430,000 | | | | | | 444,902 | | |
Progressive Corp. (The), Senior Bond, 3.70%, 1/26/45 | | | | | 500,000 | | | | | | 507,715 | | |
Prologis L.P., 3.00%, 4/15/50 | | | | | 121,000 | | | | | | 104,553 | | |
Provident Funding Associates L.P./PFG Finance Corp., 6.38%, 6/15/25(a) | | | | | 25,000 | | | | | | 20,938 | | |
Prudential Financial, Inc., 1.50%, 3/10/26 | | | | | 1,476,000 | | | | | | 1,385,325 | | |
Prudential Financial, Inc., 5.70%, 9/15/48 (5.70% fixed rate until 9/15/28; 2.67% + 3 month USD LIBOR thereafter)(c) | | | | | 78,000 | | | | | | 72,150 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
Prudential Financial, Inc., Junior Subordinated Bond, 5.63%, 6/15/43 (5.63% fixed rate until 6/15/23; 3.92% + 3 month USD LIBOR thereafter)(c) | | | | $ | 159,000 | | | | | $ | 149,516 | | |
Radian Group, Inc., 4.88%, 3/15/27 | | | | | 50,000 | | | | | | 49,250 | | |
Radian Group, Inc., Senior Note, 4.50%, 10/1/24 | | | | | 75,000 | | | | | | 73,875 | | |
Realogy Group LLC/Realogy Co-Issuer Corp., 9.38%, 4/1/27(a) | | | | | 25,000 | | | | | | 21,070 | | |
Regency Centers L.P., 3.75%, 6/15/24 | | | | | 500,000 | | | | | | 523,916 | | |
Regions Bank, 2.21%, 8/13/21 (3 month USD LIBOR + 0.50%)(c) | | | | | 600,000 | | | | | | 583,891 | | |
Regions Bank, Senior Note, 1.81%, 4/1/21 (3 month USD LIBOR + 0.38%)(c) | | | | | 1,250,000 | | | | | | 1,223,680 | | |
Regions Financial Corp., Subordinated Bond, 7.38%, 12/10/37 | | | | | 195,000 | | | | | | 268,444 | | |
Reinvestment Fund, Inc. (The), 3.88%, 2/15/27 | | | | | 500,000 | | | | | | 551,390 | | |
Sabra Health Care L.P./Sabra Capital Corp., 3.90%, 10/15/29 | | | | | 156,000 | | | | | | 139,559 | | |
Sabra Health Care L.P./Sabra Capital Corp., 4.80%, 6/1/24 | | | | | 101,000 | | | | | | 102,515 | | |
Sandalwood 2013 LLC, 2.82%, 2/12/26 | | | | | 113,446 | | | | | | 117,730 | | |
Sandalwood 2013 LLC, 2.84%, 7/10/25 | | | | | 389,388 | | | | | | 404,844 | | |
SBA Communications Corp., 3.88%, 2/15/27(a) | | | | | 75,000 | | | | | | 75,188 | | |
Springleaf Finance Corp., 5.38%, 11/15/29 | | | | | 25,000 | | | | | | 22,888 | | |
Springleaf Finance Corp., 6.63%, 1/15/28 | | | | | 125,000 | | | | | | 117,050 | | |
Springleaf Finance Corp., 6.88%, 3/15/25 | | | | | 175,000 | | | | | | 176,246 | | |
Springleaf Finance Corp., 7.13%, 3/15/26 | | | | | 100,000 | | | | | | 97,875 | | |
State Street Corp., 2.35%, 11/1/25 (SOFR + 0.940%)(c) | | | | | 1,000,000 | | | | | | 989,753 | | |
State Street Corp., 2.83%, 3/30/23 (SOFR + 2.690%)(a)(c) | | | | | 375,000 | | | | | | 378,423 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
State Street Corp., Senior Note, 2.65%, 5/19/26 | | | | $ | 500,000 | | | | | $ | 507,590 | | |
SVB Financial Group, Senior Note, 3.50%, 1/29/25 | | | | | 500,000 | | | | | | 503,692 | | |
Synchrony Financial, 4.50%, 7/23/25 | | | | | 549,000 | | | | | | 537,172 | | |
Tagua Leasing LLC, 1.58%, 11/16/24 | | | | | 541,801 | | | | | | 545,691 | | |
Tagua Leasing LLC, 1.90%, 7/12/24 | | | | | 144,677 | | | | | | 147,006 | | |
Truist Bank, 2.15%, 12/6/24 | | | | | 575,000 | | | | | | 569,572 | | |
Truist Bank, 2.25%, 3/11/30 | | | | | 250,000 | | | | | | 229,225 | | |
Truist Bank, 3.50%, 8/2/22 (3.50% fixed rate until 8/2/21; 0.59% + 3 month USD LIBOR thereafter)(c) | | | | | 125,000 | | | | | | 126,391 | | |
Truist Financial Corp., 3.88%, 3/19/29 | | | | | 1,000,000 | | | | | | 1,014,314 | | |
Truist Financial Corp., Senior Note, 3.20%, 9/3/21 | | | | | 290,000 | | | | | | 291,809 | | |
Truist Financial Corp., Senior Note, 3.70%, 6/5/25 | | | | | 1,000,000 | | | | | | 1,010,437 | | |
Truist Financial Corp., Senior Note, 4.00%, 5/1/25 | | | | | 257,000 | | | | | | 270,726 | | |
UBS Group AG, 3.49%, 5/23/23(a) | | | | | 340,000 | | | | | | 343,650 | | |
Uniti Group L.P./Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.88%, 2/15/25(a) | | | | | 100,000 | | | | | | 93,000 | | |
Unum Group, 4.50%, 12/15/49 | | | | | 134,000 | | | | | | 103,939 | | |
USAA Capital Corp., 2.63%, 6/1/21(a) | | | | | 205,000 | | | | | | 204,371 | | |
VICI Properties L.P./VICI Note Co., Inc., 3.75%, 2/15/27(a) | | | | | 25,000 | | | | | | 23,563 | | |
VICI Properties L.P./VICI Note Co., Inc., 4.13%, 8/15/30(a) | | | | | 25,000 | | | | | | 23,688 | | |
VICI Properties L.P./VICI Note Co., Inc., 4.25%, 12/1/26(a) | | | | | 25,000 | | | | | | 22,938 | | |
Visa, Inc., 1.90%, 4/15/27 | | | | | 1,000,000 | | | | | | 997,180 | | |
Visa, Inc., 2.70%, 4/15/40 | | | | | 876,000 | | | | | | 869,553 | | |
Voya Financial, Inc., 4.70%, 1/23/48 (4.70% fixed rate until 1/23/28; 2.08% + 3 month USD LIBOR thereafter)(c) | | | | | 99,000 | | | | | | 81,180 | | |
Wells Fargo & Co., 4.30%, 7/22/27 | | | | | 781,000 | | | | | | 837,188 | | |
Wells Fargo & Co., 5.61%, 1/15/44 | | | | | 87,000 | | | | | | 106,346 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
Wells Fargo & Co., 5.95%, 12/1/86 | | | | $ | 65,000 | | | | | $ | 70,023 | | |
Wells Fargo & Co., (3 month USD LIBOR + 1.000%), 2.57%, 2/11/31(c) | | | | | 670,000 | | | | | | 644,548 | | |
Wells Fargo & Co., (3 month USD LIBOR + 4.240%), 5.01%, 4/4/51(c) | | | | | 205,000 | | | | | | 259,916 | | |
Welltower, Inc., 3.95%, 9/1/23 | | | | | 275,000 | | | | | | 272,352 | | |
Willis North America, Inc., 3.88%, 9/15/49 | | | | | 93,000 | | | | | | 95,775 | | |
Willis North America, Inc., 5.05%, 9/15/48 | | | | | 88,000 | | | | | | 108,430 | | |
Zions Bancorp NA, 3.25%, 10/29/29 | | | | | 271,000 | | | | | | 229,912 | | |
Zions Bancorp NA, 3.35%, 3/4/22 | | | | | 600,000 | | | | | | 588,292 | | |
Zions Bancorp NA, 3.50%, 8/27/21 | | | | | 500,000 | | | | | | 499,414 | | |
Total Financial | | | | | | | | | | | 79,050,785 | | |
INDUSTRIAL – 3.4% | | ||||||||||||
3M Co., 2.00%, 2/14/24 (3 month USD LIBOR + 0.30%)(c) | | | | | 1,000,000 | | | | | | 996,044 | | |
3M Co., 2.65%, 4/15/25 | | | | | 1,000,000 | | | | | | 1,043,719 | | |
3M Co., 3.05%, 4/15/30 | | | | | 1,000,000 | | | | | | 1,047,278 | | |
3M Co., 3.13%, 9/19/46 | | | | | 975,000 | | | | | | 886,004 | | |
3M Co., 3.70%, 4/15/50 | | | | | 1,088,000 | | | | | | 1,217,465 | | |
3M Co., Senior Bond, 3.63%, 10/15/47 | | | | | 500,000 | | | | | | 502,730 | | |
ABB Finance USA, Inc., 3.38%, 4/3/23 | | | | | 216,000 | | | | | | 224,541 | | |
Advanced Drainage Systems, Inc., 5.00%, 9/30/27(a) | | | | | 25,000 | | | | | | 22,250 | | |
AECOM, 5.13%, 3/15/27 | | | | | 200,000 | | | | | | 180,000 | | |
Amsted Industries, Inc., 5.63%, 7/1/27(a) | | | | | 225,000 | | | | | | 218,906 | | |
Arconic, Inc., Senior Bond, 5.95%, 2/1/37 | | | | | 50,000 | | | | | | 43,500 | | |
Arconic, Inc., Senior Note, 5.13%, 10/1/24 | | | | | 100,000 | | | | | | 98,750 | | |
Arconic, Inc., Senior Note, 5.90%, 2/1/27 | | | | | 100,000 | | | | | | 93,370 | | |
Arrow Electronics, Inc., 4.00%, 4/1/25 | | | | | 84,000 | | | | | | 81,117 | | |
BAE Systems Holdings, Inc., 3.85%, 12/15/25(a) | | | | | 231,000 | | | | | | 234,933 | | |
Berry Global, Inc., 4.88%, 7/15/26(a) | | | | | 25,000 | | | | | | 25,250 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
INDUSTRIAL – (continued) | | ||||||||||||
BMC East LLC, Senior Secured Note, 5.50%, 10/1/24(a) | | | | $ | 100,000 | | | | | $ | 96,500 | | |
Boeing Co. (The), 3.75%, 2/1/50 | | | | | 525,000 | | | | | | 479,496 | | |
Bombardier, Inc., Senior Note, 6.00%, 10/15/22(a) | | | | | 100,000 | | | | | | 75,000 | | |
Bombardier, Inc., Senior Note, 7.50%, 3/15/25(a) | | | | | 75,000 | | | | | | 51,937 | | |
Brand Industrial Services, Inc., Senior Note, 8.50%, 7/15/25(a) | | | | | 100,000 | | | | | | 78,520 | | |
Builders FirstSource, Inc., 5.00%, 3/1/30(a) | | | | | 25,000 | | | | | | 22,500 | | |
Builders FirstSource, Inc., 6.75%, 6/1/27(a) | | | | | 68,000 | | | | | | 66,640 | | |
Carlisle Cos., Inc., 2.75%, 3/1/30 | | | | | 93,000 | | | | | | 81,272 | | |
Carrier Global Corp., 3.38%, 4/5/40(a) | | | | | 193,000 | | | | | | 169,407 | | |
Carrier Global Corp., 3.58%, 4/5/50(a) | | | | | 84,000 | | | | | | 74,889 | | |
Caterpillar Financial Services Corp., 1.95%, 11/18/22 | | | | | 97,000 | | | | | | 96,802 | | |
Caterpillar Financial Services Corp., Senior Note, 2.55%, 11/29/22 | | | | | 129,000 | | | | | | 130,560 | | |
Clean Harbors, Inc., 4.88%, 7/15/27(a) | | | | | 25,000 | | | | | | 24,473 | | |
Cloud Crane LLC, Secured Note, 10.13%, 8/1/24(a) | | | | | 50,000 | | | | | | 39,375 | | |
CNH Industrial Capital LLC, 4.20%, 1/15/24 | | | | | 482,000 | | | | | | 470,909 | | |
CNH Industrial N.V., Senior Note, 3.85%, 11/15/27 | | | | | 164,000 | | | | | | 158,070 | | |
Colfax Corp., 6.00%, 2/15/24(a) | | | | | 25,000 | | | | | | 24,875 | | |
Colfax Corp., 6.38%, 2/15/26(a) | | | | | 25,000 | | | | | | 24,625 | | |
Crowley Conro LLC, 4.18%, 8/15/43 | | | | | 470,000 | | | | | | 591,188 | | |
CSX Corp., 2.40%, 2/15/30 | | | | | 200,000 | | | | | | 196,955 | | |
CSX Corp., Senior Bond, 4.75%, 11/15/48 | | | | | 500,000 | | | | | | 576,653 | | |
DAE Funding LLC, Senior Note, 5.25%, 11/15/21(a) | | | | | 100,000 | | | | | | 91,250 | | |
Deere & Co., 3.75%, 4/15/50 | | | | | 57,000 | | | | | | 66,435 | | |
Energizer Holdings, Inc., 5.50%, 6/15/25(a) | | | | | 50,000 | | | | | | 48,500 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
INDUSTRIAL – (continued) | | ||||||||||||
Energizer Holdings, Inc., 7.75%, 1/15/27(a) | | | | $ | 50,000 | | | | | $ | 51,685 | | |
EnPro Industries, Inc., 5.75%, 10/15/26 | | | | | 50,000 | | | | | | 48,661 | | |
Flex Acquisition Co., Inc., Senior Note, 7.88%, 7/15/26(a) | | | | | 50,000 | | | | | | 46,053 | | |
Fortress Transportation & Infrastructure Investors LLC, 6.50%, 10/1/25(a) | | | | | 50,000 | | | | | | 36,625 | | |
Fortress Transportation & Infrastructure Investors LLC, 6.75%, 3/15/22(a) | | | | | 25,000 | | | | | | 23,139 | | |
Foxtrot Escrow Issuer LLC/Foxtrot Escrow Corp., 12.25%, 11/15/26(a) | | | | | 125,000 | | | | | | 97,500 | | |
GATX Corp., Senior Note, 2.46%, 11/5/21 (1 month USD LIBOR + 0.72%)(c) | | | | | 1,500,000 | | | | | | 1,470,380 | | |
General Dynamics Corp., 4.25%, 4/1/50 | | | | | 112,000 | | | | | | 139,080 | | |
Graphic Packaging International LLC, 4.75%, 7/15/27(a) | | | | | 25,000 | | | | | | 24,450 | | |
Greif, Inc., 6.50%, 3/1/27(a) | | | | | 50,000 | | | | | | 47,955 | | |
Griffon Corp., 5.75%, 3/1/28(a) | | | | | 75,000 | | | | | | 70,500 | | |
Huntington Ingalls Industries, Inc., 4.20%, 5/1/30(a) | | | | | 145,000 | | | | | | 150,122 | | |
Illinois Tool Works, Inc., 3.50%, 3/1/24 | | | | | 111,000 | | | | | | 117,537 | | |
JB Hunt Transport Services, Inc., 3.88%, 3/1/26 | | | | | 85,000 | | | | | | 87,804 | | |
JELD-WEN, Inc., 4.63%, 12/15/25(a) | | | | | 100,000 | | | | | | 88,000 | | |
John Deere Capital Corp., 2.95%, 4/1/22 | | | | | 238,000 | | | | | | 243,046 | | |
John Deere Capital Corp., 3.45%, 1/10/24 | | | | | 198,000 | | | | | | 208,807 | | |
John Deere Capital Corp., Senior Note, 2.35%, 1/8/21 | | | | | 58,000 | | | | | | 58,093 | | |
John Deere Capital Corp., Senior Note, 3.65%, 10/12/23 | | | | | 76,000 | | | | | | 80,121 | | |
Kansas City Southern, 2.88%, 11/15/29 | | | | | 99,000 | | | | | | 95,077 | | |
Kansas City Southern, 4.30%, 5/15/43 | | | | | 663,000 | | | | | | 669,784 | | |
Kansas City Southern, 4.70%, 5/1/48 | | | | | 66,000 | | | | | | 72,475 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
INDUSTRIAL – (continued) | | ||||||||||||
Kirby Corp., Senior Note, 4.20%, 3/1/28 | | | | $ | 138,000 | | | | | $ | 136,059 | | |
L3Harris Technologies, Inc., 2.90%, 12/15/29 | | | | | 107,000 | | | | | | 101,101 | | |
Manitowoc Co., Inc. (The), Secured Note, 9.00%, 4/1/26(a) | | | | | 25,000 | | | | | | 22,125 | | |
Martin Marietta Materials, Inc., 3.50%, 12/15/27 | | | | | 128,000 | | | | | | 126,483 | | |
Matthews International Corp., 5.25%, 12/1/25(a) | | | | | 85,000 | | | | | | 75,227 | | |
Mauser Packaging Solutions Holding Co., Senior Note, 7.25%, 4/15/25(a) | | | | | 175,000 | | | | | | 132,573 | | |
Nature Conservancy (The), 2.84%, 2/1/24 (3 month USD LIBOR + 1.08%)(c) | | | | | 520,000 | | | | | | 520,557 | | |
New Enterprise Stone & Lime Co., Inc., Senior Note, 10.13%, 4/1/22(a) | | | | | 75,000 | | | | | | 74,812 | | |
New Enterprise Stone & Lime Co., Inc., Senior Secured Note, 6.25%, 3/15/26(a) | | | | | 75,000 | | | | | | 69,000 | | |
Norfolk Southern Corp., 4.10%, 5/15/49 | | | | | 154,000 | | | | | | 164,667 | | |
Northrop Grumman Corp., 4.40%, 5/1/30 | | | | | 149,000 | | | | | | 171,599 | | |
Northrop Grumman Corp., 5.25%, 5/1/50 | | | | | 178,000 | | | | | | 242,314 | | |
Owens Corning, 4.30%, 7/15/47 | | | | | 271,000 | | | | | | 231,592 | | |
Owens-Brockway Glass Container, Inc., 5.00%, 1/15/22(a) | | | | | 100,000 | | | | | | 101,015 | | |
Park-Ohio Industries, Inc., 6.63%, 4/15/27 | | | | | 90,000 | | | | | | 71,137 | | |
Parker-Hannifin Corp., 3.25%, 6/14/29 | | | | | 125,000 | | | | | | 126,134 | | |
Patrick Industries, Inc., 7.50%, 10/15/27(a) | | | | | 75,000 | | | | | | 73,500 | | |
Penske Truck Leasing Co. L.P./PTL Finance Corp., 3.35%, 11/1/29(a) | | | | | 27,000 | | | | | | 27,004 | | |
Penske Truck Leasing Co. L.P./PTL Finance Corp., 4.20%, 4/1/27(a) | | | | | 107,000 | | | | | | 109,960 | | |
Penske Truck Leasing Co. L.P./PTL Finance Corp., Senior Note, 3.95%, 3/10/25(a) | | | | | 199,000 | | | | | | 205,893 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
INDUSTRIAL – (continued) | | ||||||||||||
Penske Truck Leasing Co. L.P./PTL Finance Corp., Senior Note, 4.13%, 8/1/23(a) | | | | $ | 330,000 | | | | | $ | 340,802 | | |
PGT Innovations, Inc., 6.75%, 8/1/26(a) | | | | | 50,000 | | | | | | 47,146 | | |
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Senior Secured Note, 5.13%, 7/15/23(a) | | | | | 175,000 | | | | | | 173,686 | | |
Rimon LLC, 2.62%, 6/25/26 | | | | | 382,837 | | | | | | 398,305 | | |
Rockwell Automation, Inc., Senior Note, 2.88%, 3/1/25 | | | | | 600,000 | | | | | | 614,315 | | |
Rockwell Collins, Inc., Senior Bond, 4.35%, 4/15/47 | | | | | 55,000 | | | | | | 61,219 | | |
Sealed Air Corp., 4.00%, 12/1/27(a) | | | | | 50,000 | | | | | | 46,505 | | |
Sealed Air Corp., 5.13%, 12/1/24(a) | | | | | 100,000 | | | | | | 100,500 | | |
Silgan Holdings, Inc., 4.13%, 2/1/28(a) | | | | | 25,000 | | | | | | 23,063 | | |
SPX FLOW, Inc., 5.63%, 8/15/24(a) | | | | | 68,000 | | | | | | 65,960 | | |
Standard Industries, Inc., 5.00%, 2/15/27(a) | | | | | 75,000 | | | | | | 68,250 | | |
Standard Industries, Inc., 5.50%, 2/15/23(a) | | | | | 11,000 | | | | | | 10,615 | | |
Standard Industries, Inc., Senior Note, 4.75%, 1/15/28(a) | | | | | 175,000 | | | | | | 161,166 | | |
Standard Industries, Inc., Senior Note, 5.38%, 11/15/24(a) | | | | | 65,000 | | | | | | 62,404 | | |
Stanley Black & Decker, Inc., 3.40%, 3/1/26 | | | | | 106,000 | | | | | | 110,484 | | |
Stanley Black & Decker, Inc., (5 year CMT + 2.657%), 4.00%, 3/15/60(c) | | | | | 217,000 | | | | | | 205,956 | | |
Stevens Holding Co., Inc., 6.13%, 10/1/26(a) | | | | | 25,000 | | | | | | 24,698 | | |
Summit Materials LLC/Summit Materials Finance Corp., 6.13%, 7/15/23 | | | | | 100,000 | | | | | | 99,000 | | |
Summit Materials LLC/Summit Materials Finance Corp., 6.50%, 3/15/27(a) | | | | | 25,000 | | | | | | 23,625 | | |
Tennant Co., 5.63%, 5/1/25 | | | | | 125,000 | | | | | | 120,312 | | |
TopBuild Corp., 5.63%, 5/1/26(a) | | | | | 75,000 | | | | | | 69,000 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
INDUSTRIAL – (continued) | | ||||||||||||
TransDigm, Inc., 5.50%, 11/15/27(a) | | | | $ | 325,000 | | | | | $ | 291,687 | | |
TransDigm, Inc., 6.25%, 3/15/26(a) | | | | | 175,000 | | | | | | 174,125 | | |
TransDigm, Inc., 6.50%, 7/15/24 | | | | | 50,000 | | | | | | 47,607 | | |
TransDigm, Inc., 6.50%, 5/15/25 | | | | | 25,000 | | | | | | 23,750 | | |
TransDigm, Inc., 7.50%, 3/15/27 | | | | | 75,000 | | | | | | 72,277 | | |
Trident TPI Holdings, Inc., 9.25%, 8/1/24(a) | | | | | 50,000 | | | | | | 41,500 | | |
Trimble, Inc., 4.75%, 12/1/24 | | | | | 17,000 | | | | | | 17,864 | | |
Trimble, Inc., Senior Note, 4.15%, 6/15/23 | | | | | 250,000 | | | | | | 252,940 | | |
Trimble, Inc., Senior Note, 4.90%, 6/15/28 | | | | | 277,000 | | | | | | 298,356 | | |
Triumph Group, Inc., 5.25%, 6/1/22 | | | | | 100,000 | | | | | | 82,500 | | |
Triumph Group, Inc., 6.25%, 9/15/24(a) | | | | | 25,000 | | | | | | 22,283 | | |
Union Pacific Corp., Senior Bond, 4.38%, 9/10/38 | | | | | 225,000 | | | | | | 255,786 | | |
United Parcel Service, Inc., 3.90%, 4/1/25 | | | | | 96,000 | | | | | | 104,024 | | |
United Parcel Service, Inc., 5.30%, 4/1/50 | | | | | 104,000 | | | | | | 136,969 | | |
United Parcel Service, Inc., Senior Bond, 3.40%, 11/15/46 | | | | | 1,135,000 | | | | | | 1,107,823 | | |
United Parcel Service, Inc., Senior Note, 1.88%, 4/1/23 (3 month USD LIBOR + 0.45%)(c) | | | | | 1,030,000 | | | | | | 985,848 | | |
United Technologies Corp., 4.13%, 11/16/28 | | | | | 145,000 | | | | | | 160,066 | | |
US Concrete, Inc., 6.38%, 6/1/24 | | | | | 75,000 | | | | | | 67,720 | | |
Waste Management, Inc., 3.90%, 3/1/35 | | | | | 250,000 | | | | | | 285,660 | | |
Waste Management, Inc., 4.00%, 7/15/39 | | | | | 400,000 | | | | | | 434,543 | | |
Weekley Homes LLC/Weekley Finance Corp., Senior Note, 6.00%, 2/1/23 | | | | | 100,000 | | | | | | 94,000 | | |
Werner FinCo L.P./Werner FinCo, Inc., 8.75%, 7/15/25(a) | | | | | 100,000 | | | | | | 88,000 | | |
XPO Logistics, Inc., 6.13%, 9/1/23(a) | | | | | 125,000 | | | | | | 122,344 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
INDUSTRIAL – (continued) | | ||||||||||||
XPO Logistics, Inc., 6.50%, 6/15/22(a) | | | | $ | 69,000 | | | | | $ | 69,172 | | |
Total Industrial | | | | | | | | | | | 25,426,189 | | |
TECHNOLOGY – 1.3% | | ||||||||||||
ACI Worldwide, Inc., 5.75%, 8/15/26(a) | | | | | 25,000 | | | | | | 24,750 | | |
Amkor Technology, Inc., 6.63%, 9/15/27(a) | | | | | 25,000 | | | | | | 23,500 | | |
Apple, Inc., 2.05%, 9/11/26 | | | | | 113,000 | | | | | | 116,561 | | |
Apple, Inc., Senior Bond, 3.85%, 8/4/46 | | | | | 325,000 | | | | | | 392,509 | | |
Apple, Inc., Senior Note, 2.85%, 5/6/21 | | | | | 164,000 | | | | | | 166,302 | | |
Apple, Inc., Senior Note, 2.85%, 2/23/23 | | | | | 500,000 | | | | | | 521,638 | | |
Apple, Inc., Senior Note, 3.00%, 6/20/27 | | | | | 500,000 | | | | | | 540,980 | | |
Ascend Learning LLC, 6.88%, 8/1/25(a) | | | | | 50,000 | | | | | | 48,500 | | |
Banff Merger Sub, Inc., 9.75%, 9/1/26(a) | | | | | 50,000 | | | | | | 44,000 | | |
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.63%, 1/15/24 | | | | | 275,000 | | | | | | 272,121 | | |
Broadcom, Inc., 3.13%, 4/15/21(a) | | | | | 70,000 | | | | | | 69,142 | | |
Broadcom, Inc., 3.13%, 10/15/22(a) | | | | | 50,000 | | | | | | 49,508 | | |
Castle US Holding Corp., 9.50%, 2/15/28(a) | | | | | 100,000 | | | | | | 95,000 | | |
CDK Global, Inc., 5.25%, 5/15/29(a) | | | | | 25,000 | | | | | | 25,500 | | |
CDK Global, Inc., Senior Note, 5.88%, 6/15/26 | | | | | 75,000 | | | | | | 79,237 | | |
CDW LLC/CDW Finance Corp., 5.00%, 9/1/25 | | | | | 50,000 | | | | | | 51,515 | | |
Dell International LLC/EMC Corp., 5.88%, 6/15/21(a) | | | | | 66,000 | | | | | | 65,752 | | |
Dell International LLC/EMC Corp., Senior Secured Bond, 8.10%, 7/15/36(a) | | | | | 164,000 | | | | | | 188,582 | | |
Diebold Nixdorf, Inc., 8.50%, 4/15/24 | | | | | 25,000 | | | | | | 16,250 | | |
Donnelley Financial Solutions, Inc., 8.25%, 10/15/24 | | | | | 25,000 | | | | | | 23,500 | | |
Dun & Bradstreet Corp. (The), 6.88%, 8/15/26(a) | | | | | 50,000 | | | | | | 52,000 | | |
Dun & Bradstreet Corp. (The), 10.25%, 2/15/27(a) | | | | | 75,000 | | | | | | 79,500 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
TECHNOLOGY – (continued) | | ||||||||||||
EMC Corp., Senior Note, 2.65%, 6/1/20 | | | | $ | 102,000 | | | | | $ | 101,419 | | |
Everi Payments, Inc., 7.50%, 12/15/25(a) | | | | | 77,000 | | | | | | 58,520 | | |
Exela Intermediate LLC/Exela Finance, Inc., Senior Secured Note, 10.00%, 7/15/23(a) | | | | | 100,000 | | | | | | 26,250 | | |
Fiserv, Inc., 4.40%, 7/1/49 | | | | | 71,000 | | | | | | 75,646 | | |
Hewlett Packard Enterprise Co., Senior Bond, 6.20%, 10/15/35 | | | | | 104,000 | | | | | | 117,760 | | |
IBM Credit LLC, 2.08%, 1/20/21 (3 month USD LIBOR + 0.26%)(c) | | | | | 1,690,000 | | | | | | 1,664,000 | | |
IBM Credit LLC, Senior Note, 3.00%, 2/6/23 | | | | | 612,000 | | | | | | 632,752 | | |
Infor US, Inc., 6.50%, 5/15/22 | | | | | 225,000 | | | | | | 219,222 | | |
Intel Corp., 3.90%, 3/25/30 | | | | | 233,000 | | | | | | 266,628 | | |
Intel Corp., Senior Note, 2.45%, 7/29/20 | | | | | 277,000 | | | | | | 277,342 | | |
International Business Machines Corp., 2.50%, 1/27/22 | | | | | 139,000 | | | | | | 142,371 | | |
International Business Machines Corp., 4.15%, 5/15/39 | | | | | 750,000 | | | | | | 848,628 | | |
j2 Cloud Services LLC/j2 Cloud Co-Obligor, Inc., 6.00%, 7/15/25(a) | | | | | 100,000 | | | | | | 99,249 | | |
Microsoft Corp., Senior Bond, 3.95%, 8/8/56 | | | | | 325,000 | | | | | | 406,043 | | |
MTS Systems Corp., 5.75%, 8/15/27(a) | | | | | 25,000 | | | | | | 23,188 | | |
NCR Corp., 5.75%, 9/1/27(a) | | | | | 100,000 | | | | | | 91,000 | | |
NCR Corp., 6.13%, 9/1/29(a) | | | | | 100,000 | | | | | | 93,390 | | |
NVIDIA Corp., 3.50%, 4/1/50 | | | | | 73,000 | | | | | | 79,696 | | |
Open Text Holdings, Inc., 4.13%, 2/15/30(a) | | | | | 50,000 | | | | | | 47,013 | | |
Oracle Corp., Senior Note, 2.95%, 11/15/24 | | | | | 198,000 | | | | | | 208,600 | | |
Presidio Holdings, Inc., 4.88%, 2/1/27(a) | | | | | 50,000 | | | | | | 45,000 | | |
Presidio Holdings, Inc., 8.25%, 2/1/28(a) | | | | | 75,000 | | | | | | 66,094 | | |
PTC, Inc., 3.63%, 2/15/25(a) | | | | | 25,000 | | | | | | 23,375 | | |
PTC, Inc., 4.00%, 2/15/28(a) | | | | | 25,000 | | | | | | 24,008 | | |
Qorvo, Inc., 4.38%, 10/15/29(a) | | | | | 50,000 | | | | | | 46,500 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
TECHNOLOGY – (continued) | | ||||||||||||
Qorvo, Inc., 5.50%, 7/15/26 | | | | $ | 50,000 | | | | | $ | 52,262 | | |
Science Applications International Corp., 4.88%, 4/1/28(a) | | | | | 75,000 | | | | | | 72,000 | | |
Solera LLC/Solera Finance, Inc., Senior Note, 10.50%, 3/1/24(a) | | | | | 100,000 | | | | | | 98,000 | | |
SS&C Technologies, Inc., 5.50%, 9/30/27(a) | | | | | 125,000 | | | | | | 128,906 | | |
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., Senior Note, 6.75%, 6/1/25(a) | | | | | 75,000 | | | | | | 68,629 | | |
Texas Instruments, Inc., 3.88%, 3/15/39 | | | | | 525,000 | | | | | | 604,589 | | |
Vericast Corp., Senior Secured Note, 8.38%, 8/15/22(a) | | | | | 75,000 | | | | | | 57,844 | | |
Total Technology | | | | | | | | | | | 9,712,271 | | |
UTILITIES – 5.6% | | ||||||||||||
AEP Texas, Inc., Series G, 4.15%, 5/1/49 | | | | | 56,000 | | | | | | 58,020 | | |
AEP Transmission Co. LLC, 3.15%, 9/15/49 | | | | | 66,000 | | | | | | 66,366 | | |
AEP Transmission Co. LLC, 4.25%, 9/15/48 | | | | | 425,000 | | | | | | 438,764 | | |
Alabama Power Co., 3.75%, 3/1/45 | | | | | 170,000 | | | | | | 175,090 | | |
Alabama Power Co., Senior Bond, Series A, 4.30%, 7/15/48 | | | | | 125,000 | | | | | | 141,334 | | |
Alliant Energy Finance LLC, 3.75%, 6/15/23(a) | | | | | 300,000 | | | | | | 310,077 | | |
American Electric Power Co., Inc., Senior Note, 3.20%, 11/13/27 | | | | | 124,000 | | | | | | 122,910 | | |
AmeriGas Partners L.P./AmeriGas Finance Corp., 5.88%, 8/20/26 | | | | | 225,000 | | | | | | 215,505 | | |
AmeriGas Partners L.P./AmeriGas Finance Corp., Senior Note, 5.50%, 5/20/25 | | | | | 100,000 | | | | | | 92,000 | | |
Atmos Energy Corp., 3.38%, 9/15/49 | | | | | 320,000 | | | | | | 324,540 | | |
Avangrid, Inc., Senior Note, 3.15%, 12/1/24 | | | | | 1,000,000 | | | | | | 994,731 | | |
Berkshire Hathaway Energy Co., 4.25%, 10/15/50(a) | | | | | 62,000 | | | | | | 70,851 | | |
Black Hills Corp., 3.88%, 10/15/49 | | | | | 75,000 | | | | | | 64,059 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
UTILITIES – (continued) | | ||||||||||||
Brooklyn Union Gas Co. (The), 4.49%, 3/4/49(a) | | | | $ | 1,000,000 | | | | | $ | 1,061,726 | | |
Calpine Corp., 4.50%, 2/15/28(a) | | | | | 75,000 | | | | | | 72,694 | | |
Calpine Corp., 5.13%, 3/15/28(a) | | | | | 150,000 | | | | | | 138,000 | | |
Calpine Corp., Senior Note, 5.50%, 2/1/24 | | | | | 100,000 | | | | | | 95,000 | | |
CenterPoint Energy, Inc., 2.95%, 3/1/30 | | | | | 224,000 | | | | | | 211,919 | | |
Clearway Energy Operating LLC, 4.75%, 3/15/28(a) | | | | | 75,000 | | | | | | 69,562 | | |
Clearway Energy Operating LLC, 5.00%, 9/15/26 | | | | | 100,000 | | | | | | 96,750 | | |
Clearway Energy Operating LLC, 5.75%, 10/15/25 | | | | | 525,000 | | | | | | 519,750 | | |
Commonwealth Edison Co., 3.70%, 8/15/28 | | | | | 820,000 | | | | | | 877,496 | | |
Connecticut Light & Power Co. (The), 2.50%, 1/15/23 | | | | | 1,000,000 | | | | | | 1,033,055 | | |
Connecticut Light & Power Co. (The), 4.00%, 4/1/48 | | | | | 605,000 | | | | | | 675,446 | | |
Consolidated Edison Co. of New York, Inc., 0, 3.95%, 4/1/50 | | | | | 32,000 | | | | | | 33,323 | | |
Consumers Energy Co., 3.50%, 8/1/51 | | | | | 1,000,000 | | | | | | 1,075,721 | | |
Dominion Energy South Carolina, Inc., 5.10%, 6/1/65 | | | | | 144,000 | | | | | | 180,220 | | |
Dominion Energy, Inc., 3.07%, 8/15/24 | | | | | 850,000 | | | | | | 849,519 | | |
Dominion Energy, Inc., 0, 3.30%, 3/15/25 | | | | | 300,000 | | | | | | 304,140 | | |
Dominion Energy, Inc., 0, 3.60%, 3/15/27 | | | | | 375,000 | | | | | | 382,475 | | |
Dominion Energy, Inc., Junior Subordinated Bond, 5.75%, 10/1/54 (5.75% fixed rate until 10/1/24; 3.06% + 3 month USD LIBOR thereafter)(c) | | | | | 71,000 | | | | | | 62,140 | | |
Dominion Energy, Inc., Senior Note, 4.25%, 6/1/28 | | | | | 270,000 | | | | | | 283,069 | | |
DTE Electric Co., 3.95%, 3/1/49 | | | | | 1,291,000 | | | | | | 1,408,579 | | |
Duke Energy Florida LLC, 3.80%, 7/15/28 | | | | | 550,000 | | | | | | 592,178 | | |
Duke Energy Florida LLC, 4.20%, 7/15/48 | | | | | 50,000 | | | | | | 57,006 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
UTILITIES – (continued) | | ||||||||||||
Electricite de France S.A., Senior Note, 2.35%, 10/13/20(a) | | | | $ | 16,000 | | | | | $ | 15,964 | | |
Electricite de France S.A., Senior Note, 3.63%, 10/13/25(a) | | | | | 1,000,000 | | | | | | 1,029,295 | | |
Emera US Finance L.P., 3.55%, 6/15/26 | | | | | 400,000 | | | | | | 381,505 | | |
Emera US Finance L.P., 4.75%, 6/15/46 | | | | | 151,000 | | | | | | 139,195 | | |
Entergy Louisiana LLC, 2.90%, 3/15/51 | | | | | 42,000 | | | | | | 36,859 | | |
Entergy Louisiana LLC, 4.20%, 9/1/48 | | | | | 310,000 | | | | | | 352,057 | | |
Entergy Texas, Inc., 4.50%, 3/30/39 | | | | | 349,000 | | | | | | 409,920 | | |
Exelon Corp., 4.05%, 4/15/30 | | | | | 500,000 | | | | | | 495,190 | | |
Exelon Corp., 4.70%, 4/15/50 | | | | | 522,000 | | | | | | 545,254 | | |
FirstEnergy Corp., Senior Bond, Series C, 4.85%, 7/15/47 | | | | | 100,000 | | | | | | 111,827 | | |
FirstEnergy Corp., Senior Bond, Series C, 7.38%, 11/15/31 | | | | | 422,000 | | | | | | 567,216 | | |
FirstEnergy Transmission LLC, 4.55%, 4/1/49(a) | | | | | 90,000 | | | | | | 89,952 | | |
Florida Power & Light Co., 2.85%, 4/1/25 | | | | | 1,037,000 | | | | | | 1,090,531 | | |
Florida Power & Light Co., 3.99%, 3/1/49 | | | | | 535,000 | | | | | | 603,362 | | |
Fortis, Inc., Senior Note, 3.06%, 10/4/26 | | | | | 205,000 | | | | | | 196,384 | | |
Interstate Power & Light Co., 3.50%, 9/30/49 | | | | | 594,000 | | | | | | 538,640 | | |
Interstate Power & Light Co., Senior Bond, 3.70%, 9/15/46 | | | | | 1,000,000 | | | | | | 939,811 | | |
Interstate Power & Light Co., Senior Note, 3.25%, 12/1/24 | | | | | 1,000,000 | | | | | | 1,011,260 | | |
Interstate Power & Light Co., Senior Note, 4.10%, 9/26/28 | | | | | 500,000 | | | | | | 560,077 | | |
Israel Electric Corp. Ltd., Senior Secured Note, 6.88%, 6/21/23(a) | | | | | 400,000 | | | | | | 439,324 | | |
KeySpan Gas East Corp., 2.74%, 8/15/26(a) | | | | | 500,000 | | | | | | 505,910 | | |
MidAmerican Energy Co., 3.10%, 5/1/27 | | | | | 624,000 | | | | | | 641,818 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
UTILITIES – (continued) | | ||||||||||||
MidAmerican Energy Co., 3.65%, 4/15/29 | | | | $ | 1,000,000 | | | | | $ | 1,092,272 | | |
MidAmerican Energy Co., 3.95%, 8/1/47 | | | | | 500,000 | | | | | | 538,602 | | |
Mississippi Power Co., Series 12-A, 4.25%, 3/15/42 | | | | | 218,000 | | | | | | 208,330 | | |
National Rural Utilities Cooperative Finance Corp., 2.85%, 1/27/25 | | | | | 485,000 | | | | | | 488,531 | | |
New England Power Co., Senior Bond, 3.80%, 12/5/47(a) | | | | | 500,000 | | | | | | 512,922 | | |
NextEra Energy Operating Partners L.P., 3.88%, 10/15/26(a) | | | | | 75,000 | | | | | | 71,250 | | |
NextEra Energy Operating Partners L.P., 4.25%, 7/15/24(a) | | | | | 625,000 | | | | | | 609,375 | | |
NextEra Energy Operating Partners L.P., 4.25%, 9/15/24(a) | | | | | 325,000 | | | | | | 316,875 | | |
NextEra Energy Operating Partners L.P., 4.50%, 9/15/27(a) | | | | | 250,000 | | | | | | 243,750 | | |
NiSource, Inc., 2.95%, 9/1/29 | | | | | 146,000 | | | | | | 138,684 | | |
NiSource, Inc., Senior Bond, 5.65%, 2/1/45 | | | | | 112,000 | | | | | | 128,742 | | |
NorthWestern Corp., 4.18%, 11/15/44 | | | | | 500,000 | | | | | | 549,512 | | |
NRG Energy, Inc., 6.63%, 1/15/27 | | | | | 100,000 | | | | | | 104,000 | | |
NRG Energy, Inc., 7.25%, 5/15/26 | | | | | 25,000 | | | | | | 26,187 | | |
NSTAR Electric Co., 3.95%, 4/1/30 | | | | | 885,000 | | | | | | 990,584 | | |
Ohio Power Co., 0, 2.60%, 4/1/30 | | | | | 27,000 | | | | | | 27,010 | | |
Oklahoma Gass & Electric Co., 3.25%, 4/1/30 | | | | | 725,000 | | | | | | 726,575 | | |
Oncor Electric Delivery Co. LLC, 3.70%, 11/15/28 | | | | | 720,000 | | | | | | 770,577 | | |
ONE Gas, Inc., Senior Bond, 4.50%, 11/1/48 | | | | | 550,000 | | | | | | 645,069 | | |
Pacific Gas & Electric Co., 5.40%, 1/15/40(f) | | | | | 75,000 | | | | | | 76,125 | | |
Pacific Gas & Electric Co., 6.05%, 3/1/34(f) | | | | | 50,000 | | | | | | 50,500 | | |
PacifiCorp, 4.13%, 1/15/49 | | | | | 135,000 | | | | | | 146,118 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
UTILITIES – (continued) | | ||||||||||||
PECO Energy Co., 3.00%, 9/15/49 | | | | $ | 102,000 | | | | | $ | 103,808 | | |
PPL Electric Utilities Corp., 4.15%, 6/15/48 | | | | | 85,000 | | | | | | 97,005 | | |
PSEG Power LLC, 3.85%, 6/1/23 | | | | | 1,110,000 | | | | | | 1,129,067 | | |
Public Service Co. of Colorado, 3.70%, 6/15/28 | | | | | 126,000 | | | | | | 133,476 | | |
Public Service Co. of Colorado, 4.10%, 6/15/48 | | | | | 594,000 | | | | | | 646,805 | | |
Public Service Co. of Colorado, Series 34, 3.20%, 3/1/50 | | | | | 650,000 | | | | | | 657,736 | | |
Puget Sound Energy, Inc., 4.22%, 6/15/48 | | | | | 220,000 | | | | | | 254,413 | | |
Sempra Energy, Senior Bond, 3.80%, 2/1/38 | | | | | 500,000 | | | | | | 469,425 | | |
Sempra Energy, Senior Note, 2.33%, 1/15/21 (3 month USD LIBOR + 0.50%)(c) | | | | | 358,000 | | | | | | 339,108 | | |
Southern California Edison Co., 3.65%, 2/1/50 | | | | | 70,000 | | | | | | 67,405 | | |
Southern California Edison Co., Series C, 4.13%, 3/1/48 | | | | | 1,110,000 | | | | | | 1,185,061 | | |
Southern California Edison Co., Series D, 3.40%, 6/1/23 | | | | | 1,000,000 | | | | | | 1,024,680 | | |
Southern California Gas Co., Series VV, 4.30%, 1/15/49 | | | | | 75,000 | | | | | | 82,513 | | |
Southern Power Co., 0, 2.50%, 12/15/21 | | | | | 1,155,000 | | | | | | 1,137,657 | | |
Southern Power Co., Senior Note, 4.15%, 12/1/25 | | | | | 500,000 | | | | | | 515,583 | | |
Southwestern Public Service Co., 3.75%, 6/15/49 | | | | | 860,000 | | | | | | 902,037 | | |
Star Energy Geothermal Wayang Windu Ltd., Senior Secured Bond, 6.75%, 4/24/33(a) | | | | | 460,000 | | | | | | 414,304 | | |
Talen Energy Supply LLC, 6.50%, 6/1/25 | | | | | 25,000 | | | | | | 16,183 | | |
Talen Energy Supply LLC, 6.63%, 1/15/28(a) | | | | | 50,000 | | | | | | 41,896 | | |
Talen Energy Supply LLC, 7.25%, 5/15/27(a) | | | | | 25,000 | | | | | | 22,593 | | |
Talen Energy Supply LLC, 10.50%, 1/15/26(a) | | | | | 75,000 | | | | | | 54,000 | | |
Vistra Operations Co. LLC, 3.55%, 7/15/24(a) | | | | | 355,000 | | | | | | 333,693 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
UTILITIES – (continued) | | ||||||||||||
Vistra Operations Co. LLC, 5.00%, 7/31/27(a) | | | | $ | 125,000 | | | | | $ | 126,875 | | |
Vistra Operations Co. LLC, 5.50%, 9/1/26(a) | | | | | 50,000 | | | | | | 51,500 | | |
Vistra Operations Co. LLC, 5.63%, 2/15/27(a) | | | | | 125,000 | | | | | | 128,906 | | |
Washington Gas Light Co., 3.65%, 9/15/49 | | | | | 134,000 | | | | | | 121,956 | | |
Xcel Energy, Inc., 3.40%, 6/1/30 | | | | | 58,000 | | | | | | 58,790 | | |
Total Utilities | | | | | | | | | | | 42,433,431 | | |
TOTAL CORPORATE BONDS (Cost: $279,514,840) | | | | | | | | | | | 271,773,299 | | |
U.S. GOVERNMENT OBLIGATIONS – 16.1% | | ||||||||||||
U.S. Treasury Bonds, 2.38%, 11/15/49 | | | | | 12,096,000 | | | | | | 15,097,320 | | |
U.S. Treasury Bonds, 6.25%, 8/15/23 | | | | | 1,500,000 | | | | | | 1,800,469 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 2/15/37 | | | | | 4,000,000 | | | | | | 3,284,105 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 5/15/37(i) | | | | | 5,100,000 | | | | | | 4,166,583 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 11/15/40 | | | | | 465,000 | | | | | | 355,301 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 2/15/41 | | | | | 910,000 | | | | | | 690,714 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 5/15/41 | | | | | 2,120,000 | | | | | | 1,603,222 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 11/15/41 | | | | | 465,000 | | | | | | 347,285 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 5/15/42 | | | | | 310,000 | | | | | | 228,245 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 2/15/43 | | | | | 650,000 | | | | | | 470,107 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 8/15/43 | | | | | 565,000 | | | | | | 402,697 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 11/15/43 | | | | | 485,000 | | | | | | 344,625 | | |
U.S. Treasury Coupon Strip, Zero Coupon, 2/15/44 | | | | | 1,670,000 | | | | | | 1,180,515 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 11/15/44 | | | | | 1,775,000 | | | | | | 1,236,770 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 11/15/45 | | | | | 560,000 | | | | | | 385,252 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 2/15/46 | | | | | 405,000 | | | | | | 277,480 | | |
U.S. Treasury Notes, 0.50%, 3/15/23 | | | | | 2,465,000 | | | | | | 2,480,406 | | |
Investments | | | Principal Amount | | | Value | | ||||||
U.S. GOVERNMENT OBLIGATIONS – (continued) | | ||||||||||||
U.S. Treasury Notes, 0.50%, 3/31/25 | | | | $ | 23,274,000 | | | | | $ | 23,421,281 | | |
U.S. Treasury Notes, 0.63%, 3/31/27 | | | | | 6,675,000 | | | | | | 6,711,765 | | |
U.S. Treasury Notes, 1.13%, 2/28/22 | | | | | 23,135,000 | | | | | | 23,524,499 | | |
U.S. Treasury Notes, 1.13%, 2/28/25 | | | | | 7,335,000 | | | | | | 7,607,484 | | |
U.S. Treasury Notes, 1.50%, 11/30/21 | | | | | 1,250,000 | | | | | | 1,276,562 | | |
U.S. Treasury Notes, 1.50%, 2/15/30 | | | | | 2,785,000 | | | | | | 3,002,361 | | |
U.S. Treasury Notes, 1.63%, 12/15/22 | | | | | 270,000 | | | | | | 279,925 | | |
U.S. Treasury Notes, 1.63%, 11/30/26 | | | | | 415,000 | | | | | | 444,617 | | |
U.S. Treasury Notes, 1.75%, 7/31/21 | | | | | 250,000 | | | | | | 255,195 | | |
U.S. Treasury Notes, 2.25%, 4/30/21 | | | | | 2,500,000 | | | | | | 2,557,227 | | |
U.S. Treasury Notes, 2.50%, 1/31/21 | | | | | 1,750,000 | | | | | | 1,785,000 | | |
U.S. Treasury Notes, 2.50%, 2/28/26 | | | | | 7,370,000 | | | | | | 8,233,384 | | |
U.S. Treasury Notes, 2.75%, 6/30/25 | | | | | 500,000 | | | | | | 560,352 | | |
U.S. Treasury Notes, 2.88%, 9/30/23 | | | | | 2,000,000 | | | | | | 2,179,297 | | |
U.S. Treasury Notes, 2.88%, 5/31/25 | | | | | 3,860,000 | | | | | | 4,344,460 | | |
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $115,288,813) | | | | | 120,534,505 | | | ||||||
U.S. GOVERNMENT AGENCIES – 12.8% | | ||||||||||||
Federal Home Loan Mortgage Corp., 2.00%, 1/1/32 | | | | | 229,481 | | | | | | 236,451 | | |
Federal Home Loan Mortgage Corp., 2.50%, 12/1/49 | | | | | 494,221 | | | | | | 512,194 | | |
Federal Home Loan Mortgage Corp., 3.00%, 1/1/32 | | | | | 311,351 | | | | | | 328,814 | | |
Federal Home Loan Mortgage Corp., 3.00%, 12/1/37 | | | | | 765,446 | | | | | | 808,074 | | |
Federal Home Loan Mortgage Corp., 3.00%, 1/1/43 | | | | | 917,369 | | | | | | 970,193 | | |
Federal Home Loan Mortgage Corp., 3.00%, 8/1/45 | | | | | 576,619 | | | | | | 609,408 | | |
Federal Home Loan Mortgage Corp., 3.00%, 1/1/47 | | | | | 2,967,935 | | | | | | 3,132,351 | | |
Federal Home Loan Mortgage Corp., 3.00%, 11/1/49 | | | | | 497,902 | | | | | | 522,002 | | |
Investments | | | Principal Amount | | | Value | | ||||||
U.S. GOVERNMENT AGENCIES – (continued) | | ||||||||||||
Federal Home Loan Mortgage Corp., 3.00%, 12/1/49 | | | | $ | 496,395 | | | | | $ | 520,336 | | |
Federal Home Loan Mortgage Corp., 3.50%, 10/1/41 | | | | | 195,790 | | | | | | 210,057 | | |
Federal Home Loan Mortgage Corp., 3.50%, 10/1/42 | | | | | 714,172 | | | | | | 766,977 | | |
Federal Home Loan Mortgage Corp., 3.50%, 7/1/43 | | | | | 326,375 | | | | | | 350,615 | | |
Federal Home Loan Mortgage Corp., 3.50%, 1/1/45 | | | | | 455,736 | | | | | | 489,454 | | |
Federal Home Loan Mortgage Corp., 3.50%, 7/1/45 | | | | | 410,136 | | | | | | 437,171 | | |
Federal Home Loan Mortgage Corp., 3.50%, 8/1/46 | | | | | 957,952 | | | | | | 1,027,855 | | |
Federal Home Loan Mortgage Corp., 3.50%, 1/1/47 | | | | | 367,155 | | | | | | 393,480 | | |
Federal Home Loan Mortgage Corp., 3.50%, 9/1/47 | | | | | 2,012,009 | | | | | | 2,134,670 | | |
Federal Home Loan Mortgage Corp., 3.50%, 11/1/47 | | | | | 411,211 | | | | | | 436,399 | | |
Federal Home Loan Mortgage Corp., 3.50%, 3/1/48 | | | | | 3,835,889 | | | | | | 4,115,151 | | |
Federal Home Loan Mortgage Corp., 3.50%, 5/1/49 | | | | | 922,483 | | | | | | 973,959 | | |
Federal Home Loan Mortgage Corp., 4.00%, 3/1/41 | | | | | 209,429 | | | | | | 226,338 | | |
Federal Home Loan Mortgage Corp., 4.00%, 6/1/42 | | | | | 392,644 | | | | | | 424,939 | | |
Federal Home Loan Mortgage Corp., 4.00%, 10/1/47 | | | | | 166,191 | | | | | | 180,876 | | |
Federal Home Loan Mortgage Corp., 4.00%, 3/1/48 | | | | | 589,579 | | | | | | 641,608 | | |
Federal Home Loan Mortgage Corp., 4.00%, 5/1/48 | | | | | 180,483 | | | | | | 192,866 | | |
Federal Home Loan Mortgage Corp., 4.00%, 7/1/48 | | | | | 1,290,942 | | | | | | 1,376,768 | | |
Federal Home Loan Mortgage Corp., 4.00%, 7/1/48 | | | | | 102,304 | | | | | | 111,333 | | |
Federal Home Loan Mortgage Corp., 4.50%, 6/1/47 | | | | | 818,137 | | | | | | 880,145 | | |
Federal Home Loan Mortgage Corp., 4.50%, 6/1/47 | | | | | 45,651 | | | | | | 50,704 | | |
Federal Home Loan Mortgage Corp., 4.50%, 7/1/47 | | | | | 171,655 | | | | | | 186,261 | | |
Federal Home Loan Mortgage Corp., 4.50%, 7/1/47 | | | | | 171,438 | | | | | | 186,167 | | |
Federal Home Loan Mortgage Corp., 4.50%, 2/1/48 | | | | | 385,332 | | | | | | 416,801 | | |
Federal Home Loan Mortgage Corp., 4.50%, 8/1/48 | | | | | 332,942 | | | | | | 364,733 | | |
Investments | | | Principal Amount | | | Value | | ||||||
U.S. GOVERNMENT AGENCIES – (continued) | | ||||||||||||
Federal Home Loan Mortgage Corp., 4.50%, 10/1/48 | | | | $ | 332,817 | | | | | $ | 358,169 | | |
Federal Home Loan Mortgage Corp., 5.00%, 2/1/42 | | | | | 208,979 | | | | | | 231,677 | | |
Federal National Mortgage Association, 1.25%, 8/17/21 | | | | | 2,500,000 | | | | | | 2,528,268 | | |
Federal National Mortgage Association, 1.63%, 1/7/25 | | | | | 770,000 | | | | | | 808,409 | | |
Federal National Mortgage Association, 2.00%, 5/1/35(g) | | | | | 500,000 | | | | | | 513,125 | | |
Federal National Mortgage Association, 2.50%, 4/1/31 | | | | | 757,924 | | | | | | 792,208 | | |
Federal National Mortgage Association, 2.50%, 11/1/31 | | | | | 344,944 | | | | | | 359,702 | | |
Federal National Mortgage Association, 2.50%, 9/1/46 | | | | | 95,087 | | | | | | 99,015 | | |
Federal National Mortgage Association, 2.50%, 10/1/46 | | | | | 255,283 | | | | | | 265,826 | | |
Federal National Mortgage Association, 2.50%, 9/1/49 | | | | | 354,230 | | | | | | 367,067 | | |
Federal National Mortgage Association, 2.50%, 12/1/49 | | | | | 493,976 | | | | | | 511,898 | | |
Federal National Mortgage Association, 2.63%, 9/6/24 | | | | | 2,500,000 | | | | | | 2,727,080 | | |
Federal National Mortgage Association, 3.00%, 5/1/30 | | | | | 262,342 | | | | | | 276,183 | | |
Federal National Mortgage Association, 3.00%, 5/1/32 | | | | | 825,302 | | | | | | 866,683 | | |
Federal National Mortgage Association, 3.00%, 5/1/43 | | | | | 844,901 | | | | | | 893,293 | | |
Federal National Mortgage Association, 3.00%, 9/1/46 | | | | | 252,778 | | | | | | 266,821 | | |
Federal National Mortgage Association, 3.00%, 11/1/46 | | | | | 1,842,351 | | | | | | 1,943,733 | | |
Federal National Mortgage Association, 3.00%, 11/1/46 | | | | | 358,403 | | | | | | 377,082 | | |
Federal National Mortgage Association, 3.00%, 1/1/47 | | | | | 576,883 | | | | | | 607,994 | | |
Federal National Mortgage Association, 3.00%, 2/25/47 | | | | | 670,339 | | | | | | 718,874 | | |
Federal National Mortgage Association, 3.00%, 11/1/47 | | | | | 78,759 | | | | | | 81,741 | | |
Investments | | | Principal Amount | | | Value | | ||||||
U.S. GOVERNMENT AGENCIES – (continued) | | ||||||||||||
Federal National Mortgage Association, 3.00%, 12/1/49 | | | | $ | 1,885,607 | | | | | $ | 1,976,389 | | |
Federal National Mortgage Association, 3.00%, 1/1/50 | | | | | 2,472,061 | | | | | | 2,591,455 | | |
Federal National Mortgage Association, 3.00%, 4/1/50(g) | | | | | 1,000,000 | | | | | | 1,048,633 | | |
Federal National Mortgage Association, 3.50%, 12/1/30 | | | | | 73,887 | | | | | | 77,912 | | |
Federal National Mortgage Association, 3.50%, 5/1/33 | | | | | 307,163 | | | | | | 323,996 | | |
Federal National Mortgage Association, 3.50%, 8/1/33 | | | | | 77,164 | | | | | | 81,100 | | |
Federal National Mortgage Association, 3.50%, 1/1/41 | | | | | 501,282 | | | | | | 538,179 | | |
Federal National Mortgage Association, 3.50%, 8/1/42 | | | | | 423,695 | | | | | | 454,956 | | |
Federal National Mortgage Association, 3.50%, 11/1/42 | | | | | 528,605 | | | | | | 567,728 | | |
Federal National Mortgage Association, 3.50%, 8/1/43 | | | | | 202,776 | | | | | | 217,779 | | |
Federal National Mortgage Association, 3.50%, 12/1/45 | | | | | 820,374 | | | | | | 874,578 | | |
Federal National Mortgage Association, 3.50%, 12/1/45 | | | | | 567,384 | | | | | | 604,819 | | |
Federal National Mortgage Association, 3.50%, 12/1/46 | | | | | 228,180 | | | | | | 244,863 | | |
Federal National Mortgage Association, 3.50%, 12/1/46 | | | | | 243,358 | | | | | | 258,380 | | |
Federal National Mortgage Association, 3.50%, 1/1/47 | | | | | 337,400 | | | | | | 357,638 | | |
Federal National Mortgage Association, 3.50%, 4/1/47 | | | | | 1,021,292 | | | | | | 1,084,173 | | |
Federal National Mortgage Association, 3.50%, 8/1/47 | | | | | 21,215 | | | | | | 22,593 | | |
Federal National Mortgage Association, 3.50%, 9/1/47 | | | | | 568,914 | | | | | | 603,790 | | |
Federal National Mortgage Association, 3.50%, 11/1/47 | | | | | 9,623 | | | | | | 10,359 | | |
Federal National Mortgage Association, 3.50%, 11/1/47 | | | | | 170,016 | | | | | | 180,323 | | |
Federal National Mortgage Association, 3.50%, 4/1/48 | | | | | 92,197 | | | | | | 97,389 | | |
Investments | | | Principal Amount | | | Value | | ||||||
U.S. GOVERNMENT AGENCIES – (continued) | | ||||||||||||
Federal National Mortgage Association, 3.50%, 6/1/48 | | | | $ | 366,831 | | | | | $ | 391,133 | | |
Federal National Mortgage Association, 3.50%, 11/1/48 | | | | | 841,814 | | | | | | 892,386 | | |
Federal National Mortgage Association, 3.50%, 2/1/49 | | | | | 447,150 | | | | | | 472,786 | | |
Federal National Mortgage Association, 3.50%, 3/1/49 | | | | | 2,036,637 | | | | | | 2,151,144 | | |
Federal National Mortgage Association, 3.50%, 6/1/49 | | | | | 724,769 | | | | | | 766,436 | | |
Federal National Mortgage Association, 3.50%, 8/1/49 | | | | | 468,749 | | | | | | 494,817 | | |
Federal National Mortgage Association, 4.00%, 9/1/40 | | | | | 343,390 | | | | | | 371,654 | | |
Federal National Mortgage Association, 4.00%, 3/1/41 | | | | | 589,618 | | | | | | 637,661 | | |
Federal National Mortgage Association, 4.00%, 9/1/42 | | | | | 43,495 | | | | | | 47,713 | | |
Federal National Mortgage Association, 4.00%, 1/1/44 | | | | | 16,043 | | | | | | 17,463 | | |
Federal National Mortgage Association, 4.00%, 1/1/45 | | | | | 11,385 | | | | | | 12,497 | | |
Federal National Mortgage Association, 4.00%, 6/1/45 | | | | | 8,427 | | | | | | 9,115 | | |
Federal National Mortgage Association, 4.00%, 12/1/45 | | | | | 19,734 | | | | | | 21,467 | | |
Federal National Mortgage Association, 4.00%, 12/1/45 | | | | | 680,838 | | | | | | 736,812 | | |
Federal National Mortgage Association, 4.00%, 7/1/46 | | | | | 1,024,251 | | | | | | 1,104,611 | | |
Federal National Mortgage Association, 4.00%, 3/1/47 | | | | | 351,421 | | | | | | 380,622 | | |
Federal National Mortgage Association, 4.00%, 9/1/47 | | | | | 651,603 | | | | | | 698,188 | | |
Federal National Mortgage Association, 4.00%, 12/1/47 | | | | | 107,662 | | | | | | 117,175 | | |
Federal National Mortgage Association, 4.00%, 12/1/47 | | | | | 385,833 | | | | | | 414,031 | | |
Federal National Mortgage Association, 4.00%, 1/1/48 | | | | | 778,733 | | | | | | 836,250 | | |
Federal National Mortgage Association, 4.00%, 2/1/48 | | | | | 362,020 | | | | | | 388,635 | | |
Federal National Mortgage Association, 4.00%, 4/1/48 | | | | | 2,001,705 | | | | | | 2,145,989 | | |
Federal National Mortgage Association, 4.00%, 6/1/48 | | | | | 334,738 | | | | | | 357,117 | | |
Investments | | | Principal Amount | | | Value | | ||||||
U.S. GOVERNMENT AGENCIES – (continued) | | ||||||||||||
Federal National Mortgage Association, 4.00%, 8/1/48 | | | | $ | 171,336 | | | | | $ | 182,888 | | |
Federal National Mortgage Association, 4.00%, 9/1/48 | | | | | 29,433 | | | | | | 31,378 | | |
Federal National Mortgage Association, 4.00%, 10/1/49 | | | | | 11,726 | | | | | | 12,429 | | |
Federal National Mortgage Association, 4.00%, 12/1/49 | | | | | 1,217 | | | | | | 1,298 | | |
Federal National Mortgage Association, 4.00%, 4/1/50(g) | | | | | 500,000 | | | | | | 533,856 | | |
Federal National Mortgage Association, 4.50%, 9/1/40 | | | | | 347,429 | | | | | | 380,614 | | |
Federal National Mortgage Association, 4.50%, 2/1/41 | | | | | 580,221 | | | | | | 635,868 | | |
Federal National Mortgage Association, 4.50%, 7/1/46 | | | | | 311,075 | | | | | | 338,794 | | |
Federal National Mortgage Association, 4.50%, 1/1/48 | | | | | 281,681 | | | | | | 308,585 | | |
Federal National Mortgage Association, 4.50%, 2/1/48 | | | | | 47,654 | | | | | | 52,184 | | |
Federal National Mortgage Association, 4.50%, 3/1/48 | | | | | 267,872 | | | | | | 288,019 | | |
Federal National Mortgage Association, 4.50%, 3/1/48 | | | | | 211,747 | | | | | | 231,876 | | |
Federal National Mortgage Association, 4.50%, 5/1/48 | | | | | 213,133 | | | | | | 233,395 | �� | |
Federal National Mortgage Association, 4.50%, 5/1/48 | | | | | 159,581 | | | | | | 174,751 | | |
Federal National Mortgage Association, 4.50%, 7/1/48 | | | | | 174,219 | | | | | | 187,642 | | |
Federal National Mortgage Association, 4.50%, 11/1/48 | | | | | 473,086 | | | | | | 509,417 | | |
Federal National Mortgage Association, 4.50%, 12/1/48 | | | | | 2,879 | | | | | | 3,096 | | |
Federal National Mortgage Association, 5.00%, 9/1/40 | | | | | 278,491 | | | | | | 308,717 | | |
Federal National Mortgage Association, 5.00%, 2/1/41 | | | | | 148,795 | | | | | | 165,444 | | |
Federal National Mortgage Association, 5.00%, 7/1/44 | | | | | 398,934 | | | | | | 442,134 | | |
Federal National Mortgage Association, 5.00%, 5/1/48 | | | | | 168,295 | | | | | | 182,059 | | |
Federal National Mortgage Association, 5.00%, 6/1/48 | | | | | 64,914 | | | | | | 70,149 | | |
Federal National Mortgage Association, 5.00%, 8/1/48 | | | | | 45,387 | | | | | | 50,307 | | |
Investments | | | Principal Amount | | | Value | | ||||||
U.S. GOVERNMENT AGENCIES – (continued) | | ||||||||||||
Federal National Mortgage Association, 5.50%, 2/1/42 | | | | $ | 98,358 | | | | | $ | 110,675 | | |
Government National Mortgage Association, 2.50%, 12/20/46 | | | | | 226,201 | | | | | | 237,576 | | |
Government National Mortgage Association, 3.00%, 12/20/42 | | | | | 417,645 | | | | | | 448,492 | | |
Government National Mortgage Association, 3.00%, 12/20/45 | | | | | 174,928 | | | | | | 187,887 | | |
Government National Mortgage Association, 3.00%, 9/20/46 | | | | | 283,900 | | | | | | 304,169 | | |
Government National Mortgage Association, 3.00%, 10/20/46 | | | | | 585,002 | | | | | | 626,190 | | |
Government National Mortgage Association, 3.00%, 2/20/47 | | | | | 613,958 | | | | | | 655,370 | | |
Government National Mortgage Association, 3.00%, 4/20/47 | | | | | 413,760 | | | | | | 441,510 | | |
Government National Mortgage Association, 3.00%, 12/20/47 | | | | | 405,689 | | | | | | 432,590 | | |
Government National Mortgage Association, 3.00%, 1/20/48 | | | | | 479,905 | | | | | | 511,724 | | |
Government National Mortgage Association, 3.00%, 4/20/49 | | | | | 908,337 | | | | | | 962,510 | | |
Government National Mortgage Association, 3.00%, 4/1/50(g) | | | | | 500,000 | | | | | | 528,885 | | |
Government National Mortgage Association, 3.50%, 2/20/42 | | | | | 359,221 | | | | | | 384,054 | | |
Government National Mortgage Association, 3.50%, 7/20/42 | | | | | 535,027 | | | | | | 572,016 | | |
Government National Mortgage Association, 3.50%, 11/20/42 | | | | | 234,647 | | | | | | 250,870 | | |
Government National Mortgage Association, 3.50%, 8/20/45 | | | | | 118,788 | | | | | | 126,258 | | |
Government National Mortgage Association, 3.50%, 9/20/45 | | | | | 121,426 | | | | | | 129,248 | | |
Government National Mortgage Association, 3.50%, 4/20/46 | | | | | 178,255 | | | | | | 189,826 | | |
Investments | | | Principal Amount | | | Value | | ||||||
U.S. GOVERNMENT AGENCIES – (continued) | | ||||||||||||
Government National Mortgage Association, 3.50%, 12/20/46 | | | | $ | 947,821 | | | | | $ | 1,007,284 | | |
Government National Mortgage Association, 3.50%, 1/20/47 | | | | | 657,061 | | | | | | 692,437 | | |
Government National Mortgage Association, 3.50%, 11/20/47 | | | | | 411,301 | | | | | | 436,840 | | |
Government National Mortgage Association, 3.50%, 1/20/48 | | | | | 826,309 | | | | | | 876,480 | | |
Government National Mortgage Association, 3.50%, 11/20/48 | | | | | 1,764,565 | | | | | | 1,863,205 | | |
Government National Mortgage Association, 3.50%, 6/20/49 | | | | | 1,066,629 | | | | | | 1,124,554 | | |
Government National Mortgage Association, 4.00%, 11/20/40 | | | | | 187,187 | | | | | | 204,072 | | |
Government National Mortgage Association, 4.00%, 2/20/46 | | | | | 449,531 | | | | | | 487,470 | | |
Government National Mortgage Association, 4.00%, 3/20/46 | | | | | 174,261 | | | | | | 189,906 | | |
Government National Mortgage Association, 4.00%, 5/20/47 | | | | | 339,217 | | | | | | 363,543 | | |
Government National Mortgage Association, 4.00%, 8/20/47 | | | | | 168,409 | | | | | | 181,604 | | |
Government National Mortgage Association, 4.00%, 9/20/47 | | | | | 2,621,171 | | | | | | 2,824,935 | | |
Government National Mortgage Association, 4.00%, 4/20/49 | | | | | 978,907 | | | | | | 1,043,695 | | |
Government National Mortgage Association, 4.50%, 9/20/39 | | | | | 183,908 | | | | | | 202,610 | | |
Government National Mortgage Association, 4.50%, 7/20/41 | | | | | 103,084 | | | | | | 113,587 | | |
Government National Mortgage Association, 4.50%, 2/20/47 | | | | | 83,315 | | | | | | 90,380 | | |
Government National Mortgage Association, 4.50%, 8/20/47 | | | | | 161,810 | | | | | | 174,914 | | |
Investments | | | Principal Amount | | | Value | | ||||||
U.S. GOVERNMENT AGENCIES – (continued) | | ||||||||||||
Government National Mortgage Association, 4.50%, 1/20/48 | | | | $ | 539,641 | | | | | $ | 575,693 | | |
Government National Mortgage Association, 4.50%, 3/20/48 | | | | | 114,412 | | | | | | 121,783 | | |
Government National Mortgage Association, 4.50%, 7/20/48 | | | | | 275,967 | | | | | | 296,062 | | |
Government National Mortgage Association, 4.50%, 6/20/49 | | | | | 760,685 | | | | | | 807,196 | | |
Government National Mortgage Association, 5.00%, 7/20/45 | | | | | 251,154 | | | | | | 276,595 | | |
NCUA Guaranteed Notes, Series A5, 3.45%, 6/12/21 | | | | | 1,000,000 | | | | | | 1,002,906 | | |
United States International Development Finance Corp., 1.79%, 10/15/29 | | | | | 1,000,000 | | | | | | 1,044,301 | | |
United States International Development Finance Corp., 2.58%, 7/15/38 | | | | | 750,000 | | | | | | 829,318 | | |
United States International Development Finance Corp., 2.74%, 9/15/29 | | | | | 500,425 | | | | | | 541,077 | | |
United States International Development Finance Corp., 3.52%, 9/20/32 | | | | | 446,429 | | | | | | 510,416 | | |
TOTAL U.S. GOVERNMENT AGENCIES (Cost: $91,501,805) | | | | | 95,800,345 | | | ||||||
ASSET-BACKED SECURITIES – 11.3% | | ||||||||||||
Adams Outdoor Advertising L.P., Series 2018-1, Class A, 4.81%, 11/15/48(a) | | | | | 1,436,697 | | | | | | 1,433,227 | | |
Americredit Automobile Receivables Trust, Series 2018-2, Class C, 3.59%, 6/18/24 | | | | | 500,000 | | | | | | 509,242 | | |
Americredit Automobile Receivables Trust, Series 2018-3, Class C, 3.74%, 10/18/24 | | | | | 500,000 | | | | | | 499,583 | | |
Americredit Automobile Receivables Trust, Series 2019-1, Class B, 3.13%, 2/18/25 | | | | | 100,000 | | | | | | 100,193 | | |
Americredit Automobile Receivables Trust, Series 2019-1, Class C, 3.36%, 2/18/25 | | | | | 100,000 | | | | | | 100,598 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
Americredit Automobile Receivables Trust, Series 2019-2, Class C, 2.74%, 4/18/25 | | | | $ | 300,000 | | | | | $ | 290,687 | | |
Americredit Automobile Receivables Trust, Series 2019-3, Class C, 2.32%, 7/18/25 | | | | | 500,000 | | | | | | 491,045 | | |
AmeriCredit Automobile Receivables Trust, Series 2020-1, Class B, ABS, 1.48%, 1/21/25 | | | | | 300,000 | | | | | | 283,039 | | |
Anchorage Capital CLO Ltd., Series 2019-11A, Class A, 3.19%, 7/22/32 (3 month USD LIBOR + 1.39%)(a)(c) | | | | | 500,000 | | | | | | 468,288 | | |
Asset Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE5, Class M1, 1.85%, 8/25/34 (1 month USD LIBOR + 0.90%)(c) | | | | | 6,683 | | | | | | 6,290 | | |
Atlas Senior Loan Fund XI Ltd., Series 2018-11A, Class A1L, 2.89%, 7/26/31 (3 month USD LIBOR + 1.10%)(a)(c) | | | | | 1,000,000 | | | | | | 942,222 | | |
Avis Budget Rental Car Funding AESOP LLC, Series 2018-2A, Class A, 4.00%, 3/20/25(a) | | | | | 200,000 | | | | | | 197,343 | | |
Avis Budget Rental Car Funding AESOP LLC, Series 2019-1A, Class A, 3.45%, 3/20/23(a) | | | | | 300,000 | | | | | | 295,208 | | |
Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.35%, 9/22/25(a) | | | | | 400,000 | | | | | | 378,325 | | |
Avis Budget Rental Car Funding AESOP LLC, Series 2019-3A, Class A, 2.36%, 3/20/26(a) | | | | | 500,000 | | | | | | 437,883 | | |
Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class A, ABS, 2.33%, 8/20/26(a) | | | | | 300,000 | | | | | | 264,115 | | |
Bain Capital Credit CLO Ltd., Series 2016-2A, Class CR, 4.38%, 1/15/29 (3 month USD LIBOR + 2.55%)(a)(c) | | | | | 660,000 | | | | | | 583,525 | | |
Ballyrock CLO Ltd., Series 2016-1A, Class AR, 3.18%, 10/15/28 (3 month USD LIBOR + 1.35%)(a)(c) | | | | | 500,000 | | | | | | 484,915 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
Battalion CLO VII Ltd., Series 2014-7A, Class A1RR, 2.88%, 7/17/28 (3 month USD LIBOR + 1.04%)(a)(c) | | | | $ | 1,250,000 | | | | | $ | 1,214,432 | | |
Battalion CLO XI Ltd., Series 2017-11A, Class A, 3.05%, 10/24/29 (3 month USD LIBOR + 1.25%)(a)(c) | | | | | 500,000 | | | | | | 480,236 | | |
Business Jet Securities LLC, Series 2018-2, Class B, 5.44%, 6/15/33(a) | | | | | 902,447 | | | | | | 661,730 | | |
Capital Automotive REIT, Series 2014-1A, Class A, 3.66%, 10/15/44(a) | | | | | 953,212 | | | | | | 859,970 | | |
CARS-DB4 L.P., Series 2020-1A, Class B1, ABS, 4.17%, 2/15/50(a) | | | | | 540,000 | | | | | | 489,312 | | |
Catamaran CLO Ltd., Series 2014-1A, Class A1AR, 3.06%, 4/22/30 (3 month USD LIBOR + 1.26%)(a)(c) | | | | | 1,000,000 | | | | | | 924,989 | | |
Cazenovia Creek Funding II LLC, Series 2018-1A, Class A, 3.56%, 7/15/30(a) | | | | | 520,169 | | | | | | 498,200 | | |
CFG Investments Ltd., Series 2019-1, Class A, 5.56%, 8/15/29(a) | | | | | 450,000 | | | | | | 348,031 | | |
CFMT 2019-HB1 LLC, Series 2019-HB1, Class A, 2.39%, 12/25/29(a)(c) | | | | | 1,306,556 | | | | | | 1,290,940 | | |
Chase Funding Loan Acquisition Trust, Series 2004-OPT1, 1.80%, 6/25/34 (1 month USD LIBOR +0.855%)(c) | | | | | 50,016 | | | | | | 42,678 | | |
CIFC Funding Ltd., Series 2014-5A, Class A1R2, 3.04%, 10/17/31 (3 month USD LIBOR + 1.20%)(a)(c) | | | | | 1,000,000 | | | | | | 942,232 | | |
Citibank Credit Card Issuance Trust, Series 2018-A7, Class A7, 3.96%, 10/13/30 | | | | | 600,000 | | | | | | 700,968 | | |
Commonbond Student Loan Trust, Series 2018-CGS, Class A1, 3.87%, 2/25/46(a) | | | | | 132,635 | | | | | | 136,659 | | |
Credit Acceptance Auto Loan Trust, Series 2019-3A, Class A, 2.38%, 11/15/28(a) | | | | | 250,000 | | | | | | 241,845 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
CSMC Trust, Series 2006-CF2, Class M3, 1.60%, 5/25/36 (1 month USD LIBOR + 0.65%)(a)(c) | | | | $ | 25,000 | | | | | $ | 23,558 | | |
CSMC Trust, Series 2018-RPL8, Class A1, 4.13%, 7/25/58(a)(c) | | | | | 159,386 | | | | | | 146,452 | | |
Dorchester Park CLO DAC, Series 2015-1A, Class AR, 2.72%, 4/20/28 (3 month USD LIBOR + 0.90%)(a)(c) | | | | | 1,000,000 | | | | | | 973,944 | | |
Drive Auto Receivables Trust, Series 2019-3, Class B, 2.65%, 2/15/24 | | | | | 200,000 | | | | | | 197,447 | | |
Elevation CLO Ltd., Series 2014-2A, Class A1R, 3.06%, 10/15/29 (3 month USD LIBOR + 1.23%)(a)(c) | | | | | 500,000 | | | | | | 472,091 | | |
Ellington Loan Acquisition Trust, Series 2007-2, Class A2C, 2.05%, 5/25/37 (1 month USD LIBOR + 1.10%)(a)(c) | | | | | 21,143 | | | | | | 20,174 | | |
Elm Trust, Series 2018-2A, Class A2, 4.61%, 10/20/27(a) | | | | | 1,200,000 | | | | | | 1,192,011 | | |
Elm Trust, Series 2018-2A, Class B, 5.58%, 10/20/27(a) | | | | | 200,000 | | | | | | 200,336 | | |
FCI Funding LLC, Series 2019-1A, Class A, 3.63%, 2/18/31(a) | | | | | 352,400 | | | | | | 351,810 | | |
Ford Credit Auto Owner Trust, Series 2017-2, Class A, 2.36%, 3/15/29(a) | | | | | 400,000 | | | | | | 397,420 | | |
Ford Credit Auto Owner Trust, Series 2018-1, Class A, 3.19%, 7/15/31(a) | | | | | 500,000 | | | | | | 547,858 | | |
Ford Credit Auto Owner Trust, Series 2018-2, Class A, 3.47%, 1/15/30(a) | | | | | 400,000 | | | | | | 401,693 | | |
Ford Credit Auto Owner Trust, Series 2019-1, Class A, 3.52%, 7/15/30(a) | | | | | 700,000 | | | | | | 721,455 | | |
Ford Credit Auto Owner Trust, Series 2020-REV1, 2.04%, 8/15/31(a) | | | | | 600,000 | | | | | | 555,315 | | |
Ford Credit Floorplan Master Owner Trust, Series 2019-2, Class A, 3.06%, 4/15/26 | | | | | 200,000 | | | | | | 192,538 | | |
FREED ABS TRUST, Series 2018-1, Class A, 3.61%, 7/18/24(a) | | | | | 137,166 | | | | | | 134,390 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
FREED ABS TRUST, Series 2018-1, Class B, 4.56%, 7/18/24(a) | | | | $ | 190,000 | | | | | $ | 180,472 | | |
GM Financial Consumer Automobile Receivables Trust, Series 2018-4, Class C, 3.62%, 6/17/24 | | | | | 100,000 | | | | | | 102,019 | | |
GMF Floorplan Owner Revolving Trust, Series 2019-2, Class A, 2.90%, 4/15/26(a) | | | | | 800,000 | | | | | | 733,046 | | |
GoldentTree Loan Management US CLO 1 Ltd., Series 2017-1A, Class AR, ABS, (3 month USD LIBOR + 0.950%), 2.60%, 4/20/29(a)(c) | | | | | 1,410,000 | | | | | | 1,360,649 | | |
Hercules Capital Funding Trust, Series 2018-1A, Class A, 4.61%, 11/22/27(a) | | | | | 1,470,000 | | | | | | 1,463,210 | | |
HERO Funding Trust, Series 2016-1A, Class A, 4.05%, 9/20/41(a) | | | | | 737,682 | | | | | | 765,537 | | |
HERO Funding Trust, Series 2016-3A, Class A1, 3.08%, 9/20/42(a) | | | | | 339,878 | | | | | | 344,787 | | |
HERO Funding Trust, Series 2020-1A, Class A, ABS, 2.59%, 9/20/57(a) | | | | | 1,000,000 | | | | | | 922,781 | | |
Home Equity Asset Trust, Series 2003-1, Class M1, 2.45%, 6/25/33 (1 month USD LIBOR + 1.50%)(c) | | | | | 6,178 | | | | | | 5,802 | | |
HPS Loan Management Ltd., Series 15A-19, Class A1, 3.12%, 7/22/32 (3 month USD LIBOR + 1.32%)(a)(c) | | | | | 500,000 | | | | | | 467,976 | | |
KREF Ltd., Series 2018-FL1, Class A, 1.90%, 6/15/36 (1 month USD LIBOR + 1.10%)(a)(c) | | | | | 1,450,000 | | | | | | 1,348,998 | | |
Laurel Road Prime Student Loan Trust, Series 2019-A, Class A2FX, 2.73%, 10/25/48(a) | | | | | 200,000 | | | | | | 200,786 | | |
Legacy Mortgage Asset Trust, Series 2019-GS1, Class A1, 4.00%, 1/25/59(a) | | | | | 80,423 | | | | | | 72,548 | | |
Legacy Mortgage Asset Trust, Series 2019-GS2, Class A1, 3.75%, 1/25/59(a) | | | | | 85,610 | | | | | | 71,912 | | |
Legacy Mortgage Asset Trust, Series 2019-GS4, Class A1, 3.44%, 5/25/59(a) | | | | | 181,888 | | | | | | 183,511 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
Legacy Mortgage Asset Trust, Series 2019-SL1, Class A, 4.00%, 12/28/54(a)(c) | | | | $ | 68,395 | | | | | $ | 68,305 | | |
LIAS Administration Fee Issuer LLC, Series 2018-1A, Class A, 5.96%, 7/25/48 | | | | | 1,234,568 | | | | | | 1,327,030 | | |
LTCG Securitization Issuer LLC, Series 2018-A, Class A, 4.59%, 6/15/48(a) | | | | | 914,322 | | | | | | 929,258 | | |
Madison Park Funding XIX Ltd, 2.37%, 1/22/28 (3 month USD LIBOR +1.500%)(a)(c) | | | | | 1,150,000 | | | | | | 1,091,200 | | |
Mariner Finance Issuance Trust, Series 2018-AA, Class A, 4.20%, 11/20/30(a) | | | | | 1,000,000 | | | | | | 934,760 | | |
MCA Fund II Holding LLC, Series 2017-1, Class A, 3.56%, 8/15/28 (3 month USD LIBOR + 1.65%)(a)(c) | | | | | 297,537 | | | | | | 296,115 | | |
MelTel Land Funding LLC, Series 2019-1A, Class A, 3.77%, 4/15/49(a) | | | | | 540,000 | | | | | | 427,865 | | |
Midocean Credit CLO IX, Series 2018-9A, Class A1, 2.97%, 7/20/31 (3 month USD LIBOR + 1.15%)(a)(c) | | | | | 500,000 | | | | | | 464,456 | | |
MMAF Equipment Finance LLC, Series 2018-A, Class A5, 3.61%, 3/10/42(a) | | | | | 100,000 | | | | | | 100,497 | | |
MMAF Equipment Finance LLC, Series 2019-A, Class A5, 3.08%, 11/12/41(a) | | | | | 300,000 | | | | | | 283,653 | | |
MMAF Equipment Finance LLC, Series 2019-B, Class A5, 2.29%, 11/12/41(a) | | | | | 300,000 | | | | | | 285,059 | | |
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-HE6, Class M1, 1.77%, 8/25/34 (1 month USD LIBOR + 0.83%)(c) | | | | | 7,327 | | | | | | 7,003 | | |
Mountain View CLO Ltd., Series 2015-9A, Class A1R, 2.95%, 7/15/31 (3 month USD LIBOR + 1.12%)(a)(c) | | | | | 1,000,000 | | | | | | 916,952 | | |
Mountain View CLO LLC, Series 2017-2A, Class A, 3.05%, 1/16/31 (3 month USD LIBOR + 1.21%)(a)(c) | | | | | 260,000 | | | | | | 241,088 | | |
NADG NNN Operating L.P., Series 2019-1, Class A, 3.37%, 12/28/49(a) | | | | | 389,513 | | | | | | 311,380 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
Nassau CFO LLC, Series 2019-1, Class A, 3.98%, 8/15/34(a) | | | | $ | 1,307,215 | | | | | $ | 1,227,608 | | |
Nationstar HECM Loan Trust, Series 2018-2A, Class M1, 3.55%, 7/25/28(a)(c) | | | | | 1,300,000 | | | | | | 1,298,747 | | |
Navient Private Education Refi Loan Trust, Series 2018-CA, Class A2, 3.52%, 6/16/42(a) | | | | | 200,000 | | | | | | 202,591 | | |
Navient Private Education Refi Loan Trust, Series 2019-CA, Class A2, 3.13%, 2/15/68(a) | | | | | 300,000 | | | | | | 295,315 | | |
Navient Private Education Refi Loan Trust, Series 2019-EA, Class A2A, 2.64%, 5/15/68(a) | | | | | 300,000 | | | | | | 305,596 | | |
Navient Private Education Refi Loan Trust, Series 2019-FA, Class A2, 2.60%, 8/15/68(a) | | | | | 400,000 | | | | | | 404,298 | | |
Navient Private Education Refi Loan Trust, Series 2020-B, Class A2, 2.12%, 1/15/69(a) | | | | | 300,000 | | | | | | 301,006 | | |
Navient Student Loan Trust, Series 2018-EA, Class A2, 4.00%, 12/15/59(a) | | | | | 200,000 | | | | | | 206,914 | | |
Newtek Small Business Loan Trust, Series 2018-1, Class A, 2.65%, 2/25/44 (1 month USD LIBOR + 1.70%)(a)(c) | | | | | 619,314 | | | | | | 597,752 | | |
Newtek Small Business Loan Trust, Series 2018-1, Class B, 3.95%, 2/25/44 (1 month USD LIBOR + 3.00%)(a)(c) | | | | | 298,045 | | | | | | 288,904 | | |
NRZ Advance Receivables Trust, Series 2019-T1, Class AT1, 2.59%, 7/15/52(a) | | | | | 870,000 | | | | | | 830,318 | | |
Oaktree CLO Ltd., Series 2015-1A, Class A1R, 2.69%, 10/20/27 (3 month USD LIBOR + 0.87%)(a)(c) | | | | | 2,000,000 | | | | | | 1,921,478 | | |
OnDeck Asset Securitization Trust LLC, Series 2018-1A, Class A, 3.50%, 4/18/22(a) | | | | | 1,100,000 | | | | | | 1,095,751 | | |
OneMain Direct Auto Receivables Trust, Series 2018-1A, Class A, 3.43%, 12/16/24(a) | | | | | 500,000 | | | | | | 497,637 | | |
OneMain Direct Auto Receivables Trust, Series 2019-1A, Class A, 3.63%, 9/14/27(a) | | | | | 600,000 | | | | | | 585,169 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
OneMain Financial Issuance Trust, Series 2019-1A, Class A, 3.48%, 2/14/31(a) | | | | $ | 630,000 | | | | | $ | 592,392 | | |
Oportun Funding IX LLC, Series 2018-B, Class A, 3.91%, 7/8/24(a) | | | | | 750,000 | | | | | | 705,759 | | |
Oportun Funding IX LLC, Series 2018-B, Class B, 4.50%, 7/8/24(a) | | | | | 490,000 | | | | | | 461,861 | | |
Oportun Funding X LLC, Series 2018-C, Class A, 4.10%, 10/8/24(a) | | | | | 200,000 | | | | | | 184,379 | | |
Oportun Funding XII LLC, Series 2018-D, Class A, 4.15%, 12/9/24(a) | | | | | 100,000 | | | | | | 92,349 | | |
Oxford Finance Funding LLC, Series 2019-1A, Class A2, 4.46%, 2/15/27(a) | | | | | 750,000 | | | | | | 756,611 | | |
Oxford Finance Funding LLC, Series 2020-1A, Class A2, ABS, 3.10%, 2/15/28(a) | | | | | 800,000 | | | | | | 767,672 | | |
OZLM XXIV Ltd., Series 2019-24A, Class A1A, 3.21%, 7/20/32 (3 month USD LIBOR + 1.39%)(a)(c) | | | | | 500,000 | | | | | | 468,250 | | |
Palmer Square Loan Funding Ltd., Series 2019-2A, Class B, 4.07%, 4/20/27 (3 month USD LIBOR + 2.25%)(a)(c) | | | | | 835,000 | | | | | | 754,927 | | |
Palmer Square Loan Funding Ltd., Series 2019-3A, Class B, 3.80%, 8/20/27 (3 month USD LIBOR + 2.10%)(a)(c) | | | | | 950,000 | | | | | | 862,347 | | |
ReadyCap Lending Small Business Loan Trust, Series 2019-2, Class A, 2.75%, 12/27/44(a)(c) | | | | | 502,833 | | | | | | 446,410 | | |
Regional Management Issuance Trust, Series 2018-1, Class A, 3.83%, 7/15/27(a) | | | | | 750,000 | | | | | | 718,704 | | |
Regional Management Issuance Trust, Series 2018-1, Class B, 4.28%, 7/15/27(a) | | | | | 510,000 | | | | | | 474,127 | | |
Renew, Series 2018-1, Class A, 3.95%, 9/20/53(a) | | | | | 342,469 | | | | | | 356,916 | | |
Republic FInance Issuance Trust, Series 2019-A, Class A, 3.43%, 11/22/27(a) | | | | | 570,000 | | | | | | 496,932 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
RMF Buyout Issuance Trust, Series 2018-1, Class M1, 3.91%, 11/25/28(a)(c) | | | | $ | 1,470,000 | | | | | $ | 1,468,532 | | |
Santander Drive Auto Receivables Trust, Series 2019-1, Class C, 3.42%, 4/15/25 | | | | | 300,000 | | | | | | 297,432 | | |
Santander Drive Auto Receivables Trust, Series 2019-2, Class C, 2.90%, 10/15/24 | | | | | 500,000 | | | | | | 484,453 | | |
Santander Drive Auto Receivables Trust, Series 2019-3, Class B, 2.28%, 9/15/23 | | | | | 700,000 | | | | | | 683,473 | | |
Santander Drive Auto Receivables Trust, Series 2019-3, Class C, 2.49%, 10/15/25 | | | | | 300,000 | | | | | | 289,490 | | |
Santander Revolving Auto Loan Trust, Series 2019-A, Class A, 2.51%, 1/26/32(a) | | | | | 1,060,000 | | | | | | 1,015,024 | | |
Sierra Timeshare Receivables Funding LLC, Series 2015-3A, Class B, 3.08%, 9/20/32(a) | | | | | 241,208 | | | | | | 239,272 | | |
Sierra Timeshare Receivables Funding LLC, Series 2018-2A, Class A, 3.50%, 6/20/35(a) | | | | | 128,525 | | | | | | 123,918 | | |
Sierra Timeshare Receivables Funding LLC, Series 2019-1A, Class A, 3.20%, 1/20/36(a) | | | | | 114,953 | | | | | | 114,061 | | |
Sierra Timeshare Receivables Funding LLC, Series 2019-2A, Class A, 2.59%, 5/20/36(a) | | | | | 277,607 | | | | | | 273,279 | | |
SoFi Consumer Loan Program Trust, Series 2020-1, Class 1A, 2.02%, 1/25/29(a) | | | | | 571,565 | | | | | | 531,461 | | |
Sofi Professional Loan Program LLC, Series 2019-A, Class A2FX, 3.69%, 6/15/48(a) | | | | | 400,000 | | | | | | 387,040 | | |
Sofi Professional Loan Program LLC, Series 2019-C, Class A2FX, 2.37%, 11/16/48(a) | | | | | 300,000 | | | | | | 299,856 | | |
Sofi Professional Loan Program Trust, Series 2018-C, Class A2FX, 3.59%, 1/25/48(a) | | | | | 700,000 | | | | | | 703,902 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
Sofi Professional Loan Program Trust, Series 2018-D, Class A2FX, 3.60%, 2/25/48(a) | | | | $ | 900,000 | | | | | $ | 902,050 | | |
SoFi Professional Loan Program Trust, Series 2020-A, Class A2FX, 2.54%, 5/15/46(a) | | | | | 400,000 | | | | | | 387,006 | | |
Sound Point CLO II Ltd., Series 2013-1A, Class A1R, 2.86%, 1/26/31 (3 month USD LIBOR + 1.07%)(a)(c) | | | | | 250,000 | | | | | | 231,379 | | |
Springleaf Funding Trust, Series 2017-AA, Class A, 2.68%, 7/15/30(a) | | | | | 600,000 | | | | | | 574,863 | | |
Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.54%, 2/25/44(a) | | | | | 1,256,242 | | | | | | 1,230,631 | | |
Store Master Funding I-VII, Series 2019-1, Class A1, 2.82%, 11/20/49(a) | | | | | 1,042,796 | | | | | | 984,336 | | |
STWD Ltd., Series 2019-FL1, Class B, 2.31%, 7/15/38 (1 month USD LIBOR + 1.60%)(a)(c) | | | | | 470,000 | | | | | | 401,328 | | |
STWD Ltd., Series 2019-FL1, Class C, 2.66%, 7/15/38 (1 month USD LIBOR + 1.95%)(a)(c) | | | | | 280,000 | | | | | | 226,213 | | |
Sunrun Athena Issuer LLC, Series 2018-1, Class A, 5.31%, 4/30/49(a) | | | | | 240,999 | | | | | | 212,266 | | |
Sunrun Xanadu Issuer LLC, Series 2019-1A, Class A, 3.98%, 6/30/54(a) | | | | | 463,693 | | | | | | 352,043 | | |
SWC Funding LLC, Series 2018-1A, Class A, 4.75%, 8/15/33(a) | | | | | 1,300,000 | | | | | | 1,294,078 | | |
Taco Bell Funding LLC, Series 2016-1A, Class A2II, 4.38%, 5/25/46(a) | | | | | 486,250 | | | | | | 469,722 | | |
Taco Bell Funding LLC, Series 2018-1A, Class A2I, 4.32%, 11/25/48(a) | | | | | 493,750 | | | | | | 481,411 | | |
Tesla Auto Lease Trust, Series 2019-A, Class A3, ABS, 2.16%, 10/20/22(a) | | | | | 1,000,000 | | | | | | 1,002,653 | | |
Tesla Auto Lease Trust, Series 2019-A, Class A4, 2.20%, 11/21/22(a) | | | | | 500,000 | | | | | | 489,132 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
TH Msrissuer Trust, Series 2019-FT1, Class A, 3.75%, 6/25/24 (1 month USD LIBOR + 2.80%)(a)(c) | | | | $ | 450,000 | | | | | $ | 409,631 | | |
THL Credit Wind River CLO Ltd., Series 2012-1A, Class AR2, 2.71%, 1/15/26 (3 month USD LIBOR + 0.88%)(a)(c) | | | | | 299,502 | | | | | | 296,780 | | |
TICP CLO IX Ltd., Series 2017-9A, Class A, 2.96%, 1/20/31 (3 month USD LIBOR + 1.14%)(a)(c) | | | | | 1,000,000 | | | | | | 944,393 | | |
Towd Point Mortgage Trust, Series 2018-2, Class A1, 3.25%, 3/25/58(a)(c) | | | | | 145,071 | | | | | | 146,664 | | |
Towd Point Mortgage Trust, Series 2018-3, Class A1, 3.75%, 5/25/58(a)(c) | | | | | 224,708 | | | | | | 224,456 | | |
Towd Point Mortgage Trust, Series 2018-5, Class A1, 3.25%, 7/25/58(a)(c) | | | | | 81,668 | | | | | | 82,410 | | |
Towd Point Mortgage Trust, Series 2018-6, Class A1A, 3.75%, 3/25/58(a)(c) | | | | | 195,248 | | | | | | 200,396 | | |
Toyota Auto Loan Extended Note Trust, Series 2019-1A, Class A, 2.56%, 11/25/31(a) | | | | | 400,000 | | | | | | 405,228 | | |
Trafigura Securitisation Finance PLC, Series 2017-1A, Class A2, 2.47%, 12/15/20(a) | | | | | 1,250,000 | | | | | | 1,248,387 | | |
Trafigura Securitisation Finance PLC, Series 2018-1A, Class A2, 3.73%, 3/15/22(a) | | | | | 200,000 | | | | | | 204,410 | | |
Trimaran Cavu Ltd., Series 2019-1A, Class A1, 3.28%, 7/20/32 (3 month USD LIBOR + 1.46%)(a)(c) | | | | | 500,000 | | | | | | 461,267 | | |
Trinitas CLO VI Ltd., Series 2017-6A, Class AR, 2.96%, 7/25/29 (3 month USD LIBOR + 1.17%)(a)(c) | | | | | 1,250,000 | | | | | | 1,188,389 | | |
Vantage Data Centers Issuer LLC, Series 2019-1A, Class A2, 3.19%, 7/15/44(a) | | | | | 840,071 | | | | | | 791,930 | | |
Vivint Solar Financing V LLC, Series 2018-1A, Class A, 4.73%, 4/30/48(a) | | | | | 245,211 | | | | | | 200,013 | | |
Vivint Solar Financing V LLC, Series 2018-1A, Class B, 7.37%, 4/30/48(a) | | | | | 847,567 | | | | | | 559,540 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
Wellfleet CLO Ltd., Series 2018-1A, Class A, 2.94%, 7/17/31 (3 month USD LIBOR + 1.10%)(a)(c) | | | | $ | 1,000,000 | | | | | $ | 934,040 | | |
Wendy’s Funding LLC, Series 2015-1A, Class A23, 4.50%, 6/15/45(a) | | | | | 477,500 | | | | | | 455,941 | | |
Wendy’s Funding LLC, Series 2019-1A, Class A2I, 3.78%, 6/15/49(a) | | | | | 493,750 | | | | | | 469,769 | | |
World Omni Select Auto Trust, Series 2018-1A, Class B, 3.68%, 7/15/23(a) | | | | | 210,000 | | | | | | 208,762 | | |
World Omni Select Auto Trust, Series 2018-1A, Class C, 3.86%, 1/15/25(a) | | | | | 300,000 | | | | | | 298,526 | | |
World Omni Select Auto Trust, Series 2019-A, Class B, 2.17%, 12/15/25 | | | | | 400,000 | | | | | | 382,104 | | |
World Omni Select Auto Trust, Series 2019-A, Class C, 2.38%, 12/15/25 | | | | | 100,000 | | | | | | 95,175 | | |
York CLO-6 Ltd., Series 2019-1A, Class A1, 3.15%, 7/22/32 (3 month USD LIBOR + 1.35%)(a)(c) | | | | | 500,000 | | | | | | 465,431 | | |
Zais CLO 9 Ltd., Series 2018-2A, Class A, 3.17%, 7/20/31 (3 month USD LIBOR + 1.20%)(a)(c) | | | | | 1,000,000 | | | | | | 906,117 | | |
TOTAL ASSET-BACKED SECURITIES (Cost: $88,881,015) | | | | | 84,963,880 | | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 10.5% | | ||||||||||||
20 Times Square Trust, Series 2018-20TS, Class E, 3.10%, 5/15/35(a)(c) | | | | | 600,000 | | | | | | 502,619 | | |
225 Liberty Street Trust, Series 2016-225L, Class A, 3.60%, 2/10/36(a) | | | | | 1,000,000 | | | | | | 1,034,414 | | |
BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class A, 1.56%, 9/15/34 (1 month USD LIBOR + 0.85%)(a)(c) | | | | | 400,000 | | | | | | 340,074 | | |
Banc of America Commercial Mortgage Trust, Series 2015-UBS7, Class C, 4.36%, 9/15/48(c) | | | | | 500,000 | | | | | | 422,050 | | |
BANK, Series 2018-BN15, Class A3, 4.14%, 11/15/61 | | | | | 575,000 | | | | | | 646,451 | | |
BANK, Series 2019-BN23, Class AS, 3.20%, 12/15/52 | | | | | 500,000 | | | | | | 468,099 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
BBCMS Trust, Series 2015-SRCH, Class C, 4.80%, 8/10/35(a) | | | | $ | 500,000 | | | | | $ | 450,634 | | |
BBCMS Trust, Series 2015-SRCH, Class D, 4.96%, 8/10/35(a)(c) | | | | | 780,000 | | | | | | 674,327 | | |
Bellemeade Re Ltd., Series 2019-3A, Class M1A, 2.05%, 7/25/29 (1 month USD LIBOR + 1.10%)(a)(c) | | | | | 84,391 | | | | | | 83,977 | | |
Bellemeade Re Ltd., Series 2019-3A, Class M1B, 2.55%, 7/25/29 (1 month USD LIBOR + 1.60%)(a)(c) | | | | | 150,000 | | | | | | 128,334 | | |
Benchmark 2019-B9 Mortgage Trust, Series 2019-B9, Class B, 4.47%, 3/15/52 | | | | | 150,000 | | | | | | 142,646 | | |
Benchmark Mortgage Trust, 2018B4, Class A3, 3.89%, 7/15/51 | | | | | 500,000 | | | | | | 531,009 | | |
Benchmark Mortgage Trust, Series 2018-B1, Class B, 4.06%, 1/15/51(c) | | | | | 850,000 | | | | | | 808,520 | | |
Benchmark Mortgage Trust, Series 2019-B10, Class 3CCA, 3.90%, 3/15/62(a)(c) | | | | | 500,000 | | | | | | 340,407 | | |
Benchmark Mortgage Trust, Series 2019-B10, Class A3, 3.46%, 3/15/62 | | | | | 850,000 | | | | | | 931,431 | | |
BX Commercial Mortgage Trust, Series 2020-BXLP, Class A, 1.51%, 12/15/36 (1 month USD LIBOR +0.800%)(a)(c) | | | | | 700,000 | | | | | | 649,184 | | |
BXMT 2020-FL2 Ltd., Series 2020-FL2, Class A, 1.70%, 2/16/37 (1 month USD LIBOR +0.900%)(a)(c) | | | | | 840,000 | | | | | | 718,523 | | |
Cantor Commercial Real Estate Lending, Series 2019-CF3, Class A3, 2.75%, 1/15/53 | | | | | 800,000 | | | | | | 784,262 | | |
CD Mortgage Trust, Series 2016-CD2, Class B, 3.88%, 11/10/49(c) | | | | | 500,000 | | | | | | 473,441 | | |
CD Mortgage Trust, Series 2019-CD8, Class A3, 2.66%, 8/15/57 | | | | | 900,000 | | | | | | 909,045 | | |
Century Plaza Towers, Series 2019-CPT, Class A, 2.87%, 11/13/39(a) | | | | | 250,000 | | | | | | 244,891 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
Century Plaza Towers, Series 2019-CPT, Class E, 3.00%, 11/13/39(a)(c) | | | | $ | 400,000 | | | | | $ | 304,844 | | |
CGMS Commercial Mortgage Trust, Series 2017-MDRB, Class B, 2.46%, 7/15/30 (1 month USD LIBOR + 1.75%)(a)(c) | | | | | 1,300,000 | | | | | | 1,227,312 | | |
CIM Trust, Series 2017-2, Class A1, 3.58%, 12/25/57 (1 month USD LIBOR + 2.00%)(a)(c) | | | | | 83,577 | | | | | | 86,080 | | |
CIM Trust, Series 2017-3, Class A1, 3.58%, 1/25/57 (1 month USD LIBOR + 2.00%)(a)(c) | | | | | 71,880 | | | | | | 71,028 | | |
CIM Trust, Series 2017-6, Class A1, 3.02%, 6/25/57(a)(c) | | | | | 193,383 | | | | | | 179,465 | | |
Citigroup Commercial Mortgage Trust, Series 2014-GC25, Class A3, 3.37%, 10/10/47 | | | | | 114,286 | | | | | | 117,054 | | |
Citigroup Commercial Mortgage Trust, Series 2016-P4, Class A3, 2.65%, 7/10/49 | | | | | 114,286 | | | | | | 112,976 | | |
Citigroup Commercial Mortgage Trust, Series 2018-C6, Class A3, 4.15%, 11/10/51 | | | | | 750,000 | | | | | | 816,914 | | |
Citigroup Commercial Mortgage Trust, Series 2019-C7, Class A3, 2.86%, 12/15/72 | | | | | 1,100,000 | | | | | | 1,117,788 | | |
Citigroup Commercial Mortgage Trust, Series 2019-GC43, Class C, 3.62%, 11/10/52(c) | | | | | 450,000 | | | | | | 317,244 | | |
COMM 2013-LC13 Mortgage Trust, Series 2013-LC13, Class D, 5.29%, 8/10/46(a)(c) | | | | | 1,000,000 | | | | | | 883,036 | | |
COMM Mortgage Trust, Series 2014-CR19, Class C, 4.73%, 8/10/47(c) | | | | | 233,000 | | | | | | 206,324 | | |
COMM Mortgage Trust, Series 2015-CR22, Class C, 4.11%, 3/10/48(c) | | | | | 500,000 | | | | | | 433,082 | | |
COMM Mortgage Trust, Series 2015-DC1, Class A5, 3.35%, 2/10/48 | | | | | 700,000 | | | | | | 718,322 | | |
COMM Mortgage Trust, Series 2016-CR28, Class B, 4.65%, 2/10/49(c) | | | | | 500,000 | | | | | | 501,929 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
COMM Mortgage Trust, Series 2019-GC44, Class AM, 3.26%, 8/15/57 | | | | $ | 500,000 | | | | | $ | 503,678 | | |
Connecticut Avenue Securities Trust, Series 2020-R01, 1.75%, 1/25/40 (1 month USD LIBOR +0.800%)(a)(c) | | | | | 98,954 | | | | | | 94,615 | | |
CSAIL Commercial Mortgage Trust, Series 2015-C2, Class A3, 3.23%, 6/15/57 | | | | | 136,599 | | | | | | 139,905 | | |
CSAIL Commercial Mortgage Trust, Series 2016-C5, Class B, 4.46%, 11/15/48(c) | | | | | 300,000 | | | | | | 294,660 | | |
CSAIL Commercial Mortgage Trust, Series 2018-C14, Class A3, 4.15%, 11/15/51 | | | | | 700,000 | | | | | | 759,804 | | |
CSMC Trust, Series 2018-RPL9, Class A, 3.85%, 9/25/57(a)(c) | | | | | 396,962 | | | | | | 399,998 | | |
DBJPM Mortgage Trust, Series 2016-C3, Class A4, 2.63%, 8/10/49 | | | | | 1,100,000 | | | | | | 1,123,266 | | |
DBUBS Mortgage Trust, Series 2011-LC1A, Class D, 5.69%, 11/10/46(a)(c) | | | | | 500,000 | | | | | | 485,110 | | |
Federal Home Loan Mortgage Corp., Series 2017-DNA2, Class M1, 2.15%, 10/25/29 (1 month USD LIBOR + 1.20%)(c) | | | | | 118,029 | | | | | | 114,923 | | |
Federal Home Loan Mortgage Corp., Series 2017-DNA3, Class M1, 1.70%, 3/25/30 (1 month USD LIBOR + 0.75%)(c) | | | | | 99,234 | | | | | | 97,613 | | |
Federal Home Loan Mortgage Corp., Series 2018-SPI1, Class M1, 3.73%, 2/25/48(a)(c) | | | | | 11,007 | | | | | | 10,936 | | |
Federal Home Loan Mortgage Corp., Series 2018-SPI2, Class M1, 3.81%, 5/25/48(a)(c) | | | | | 4,335 | | | | | | 4,194 | | |
Federal Home Loan Mortgage Corp., Series 2018-SPI3, Class M1, 4.15%, 8/25/48(a)(c) | | | | | 23,574 | | | | | | 23,018 | | |
Federal Home Loan Mortgage Corp., Series 2018-SPI4, Class M2, 4.46%, 11/25/48(a)(c) | | | | | 9,138 | | | | | | 7,515 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
Federal Home Loan Mortgage Corp., Series 2020-DNA2, Class M2, CMO, REMIC, 2.80%, 2/25/50 (1 month USD LIBOR + 1.850%)(a)(c) | | | | $ | 10,000 | | | | | $ | 6,352 | | |
Federal Home Loan Mortgage Corp., Series 2020-HQA2, Class M2, CMO, REMIC, 3.91%, 3/25/50 (1 month USD LIBOR + 3.100%)(a)(c) | | | | | 14,000 | | | | | | 9,009 | | |
Federal Home Loan Mortgage Corp., Series 4661, Class BV, CMO, REMIC, 3.50%, 12/15/36 | | | | | 1,000,000 | | | | | | 1,083,073 | | |
Federal Home Loan Mortgage Corp., Series 4835, Class AS, 8.71%, 10/15/48 (1 month USD LIBOR + 9.84%)(c) | | | | | 207,196 | | | | | | 261,182 | | |
Federal Home Loan Mortgage Corp., Series K063, Class AM, 3.51%, 1/25/27(c) | | | | | 500,000 | | | | | | 560,517 | | |
Federal Home Loan Mortgage Corp., Series K067, Class A2, 3.19%, 7/25/27 | | | | | 383,000 | | | | | | 430,531 | | |
Federal Home Loan Mortgage Corp., Series K067, Class AM, 3.28%, 8/25/27 | | | | | 1,000,000 | | | | | | 1,124,703 | | |
Federal Home Loan Mortgage Corp., Series K069, Class AM, 3.25%, 9/25/27(c) | | | | | 875,000 | | | | | | 978,415 | | |
Federal Home Loan Mortgage Corp., Series K076, Class A2, 3.90%, 4/25/28 | | | | | 550,000 | | | | | | 646,022 | | |
Federal Home Loan Mortgage Corp., Series K076, Class AM, 3.90%, 4/25/28 | | | | | 325,000 | | | | | | 379,922 | | |
Federal Home Loan Mortgage Corp., Series K077, Class A2, 3.85%, 5/25/28(c) | | | | | 770,000 | | | | | | 901,511 | | |
Federal Home Loan Mortgage Corp., Series K077, Class AM, 3.85%, 5/25/28(c) | | | | | 150,000 | | | | | | 174,994 | | |
Federal Home Loan Mortgage Corp., Series K083, Class A2, 4.05%, 9/25/28(c) | | | | | 875,000 | | | | | | 1,047,911 | | |
Federal Home Loan Mortgage Corp., Series K083, Class AM, 4.03%, 10/25/28(c) | | | | | 350,000 | | | | | | 417,146 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
Federal Home Loan Mortgage Corp., Series K086, Class A2, 3.86%, 11/25/28(c) | | | | $ | 600,000 | | | | | $ | 710,987 | | |
Federal Home Loan Mortgage Corp., Series K086, Class AM, 3.92%, 12/25/28(c) | | | | | 100,000 | | | | | | 118,545 | | |
Federal Home Loan Mortgage Corp., Series K088, Class AM, 3.76%, 1/25/29(c) | | | | | 360,000 | | | | | | 422,819 | | |
Federal Home Loan Mortgage Corp., Series K090, Class AM, 3.49%, 3/25/29(c) | | | | | 700,000 | | | | | | 807,364 | | |
Federal Home Loan Mortgage Corp., Series K091, Class AM, 3.57%, 3/25/29 | | | | | 750,000 | | | | | | 871,559 | | |
Federal Home Loan Mortgage Corp., Series K157, Class A2, 3.99%, 5/25/33(c) | | | | | 600,000 | | | | | | 708,403 | | |
Federal Home Loan Mortgage Corp., Series KC03, Class A2, 3.50%, 1/25/26 | | | | | 450,000 | | | | | | 500,272 | | |
Federal Home Loan Mortgage Corp., Series W5FX, Class AFX, 3.09%, 4/25/28(c) | | | | | 1,580,000 | | | | | | 1,758,680 | | |
Federal National Mortgage Association, Series 2014-C02, Class 1M2, 3.55%, 5/25/24 (1 month USD LIBOR + 2.60%)(c) | | | | | 123,786 | | | | | | 111,065 | | |
Federal National Mortgage Association, Series 2014-C03, Class 1M2, 3.95%, 7/25/24 (1 month USD LIBOR + 3.00%)(c) | | | | | 165,572 | | | | | | 151,499 | | |
Federal National Mortgage Association, Series 2015-C04, Class 1M2, CMO, 6.65%, 4/25/28 (1 month USD LIBOR +5.700%)(c) | | | | | 24,272 | | | | | | 23,999 | | |
Federal National Mortgage Association, Series 2015-C04, Class 2M2, CMO, 6.50%, 4/25/28 (1 month USD LIBOR +5.550%)(c) | | | | | 15,179 | | | | | | 14,057 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
Federal National Mortgage Association, Series 2016-C01, Class 1M2, CMO, 7.70%, 8/25/28 (1 month USD LIBOR +6.750%)(c) | | | | $ | 29,623 | | | | | $ | 28,287 | | |
Federal National Mortgage Association, Series 2016-C01, Class 2M2, CMO, 7.90%, 8/25/28 (1 month USD LIBOR +6.950%)(c) | | | | | 43,866 | | | | | | 43,815 | | |
Federal National Mortgage Association, Series 2016-C03, Class 2M2, CMO, 6.85%, 10/25/28 (1 month USD LIBOR +5.900%)(c) | | | | | 55,951 | | | | | | 54,552 | | |
Federal National Mortgage Association, Series 2017-C02, Class 2ED4, 1.80%, 9/25/29 (1 month USD LIBOR + 0.85%)(c) | | | | | 145,000 | | | | | | 116,675 | | |
Federal National Mortgage Association, Series 2017-C05, Class 1M2A, 3.15%, 1/25/30 (1 month USD LIBOR + 2.20%)(c) | | | | | 37,104 | | | | | | 35,889 | | |
Federal National Mortgage Association, Series 2018-C02, Class 2EA2, 1.85%, 8/25/30(c) | | | | | 52,795 | | | | | | 49,273 | | |
Federal National Mortgage Association, Series 2018-C03, Class 1EA2, 1.80%, 10/25/30 (1 month USD LIBOR + 0.85%)(c) | | | | | 200,000 | | | | | | 189,209 | | |
Federal National Mortgage Association, Series 2018-M10, Class A1, 3.38%, 7/25/28(c) | | | | | 210,843 | | | | | | 230,940 | | |
Federal National Mortgage Association, Series 2018-M10, Class A2, 3.38%, 7/25/28(c) | | | | | 1,225,000 | | | | | | 1,361,428 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
Federal National Mortgage Association, Series 2018-M14, Class A2, 3.58%, 8/25/28(c) | | | | $ | 550,000 | | | | | $ | 620,616 | | |
Federal National Mortgage Association, Series 2018-M8, Class A2, 3.33%, 6/25/28(c) | | | | | 500,000 | | | | | | 574,173 | | |
Federal National Mortgage Association, Series 2019-M21, Class 3A1, 2.10%, 6/25/34 | | | | | 990,290 | | | | | | 1,002,586 | | |
Federal National Mortgage Association, Series 2019-M22, Class A1, 2.10%, 8/25/29 | | | | | 947,565 | | | | | | 968,149 | | |
Federal National Mortgage Association, Series 2019-M25, Class AV1, 2.05%, 12/25/26 | | | | | 1,064,596 | | | | | | 1,094,171 | | |
Freddie Mac STACR Trust, Series 2019-HRP1, Class M1, 1.70%, 2/25/49 (1 month USD LIBOR + 0.75%)(a)(c) | | | | | 56,454 | | | | | | 55,348 | | |
Government National Mortgage Association, 3.50%, 1/20/49 | | | | | 394,349 | | | | | | 430,393 | | |
Government National Mortgage Association, Series 2013-99, Class AX, 3.00%, 7/20/43 | | | | | 363,499 | | | | | | 385,419 | | |
Government National Mortgage Association, Series 2015-143, Class WA, 4.00%, 10/20/45 | | | | | 425,309 | | | | | | 464,131 | | |
Government National Mortgage Association, Series 2017-101, Class AB, 2.50%, 7/20/47 | | | | | 446,591 | | | | | | 467,942 | | |
Government National Mortgage Association, Series 2018-76, Class IO, 4.00%, 6/20/46(h) | | | | | 116,416 | | | | | | 13,861 | | |
GS Mortgage Securities Corp. II, Series 2018-GS10, Class A3, 4.26%, 7/10/51(c) | | | | | 800,000 | | | | | | 850,970 | | |
GS Mortgage Securities Trust, Series 2010-C2, Class D, 5.18%, 12/10/43(a)(c) | | | | | 500,000 | | | | | | 484,760 | | |
GS Mortgage Securities Trust, Series 2015-GC34, Class A3, 3.24%, 10/10/48 | | | | | 1,100,000 | | | | | | 1,144,566 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
GS Mortgage Securities Trust, Series 2019-GC39, Class A3, 3.31%, 5/10/52 | | | | $ | 1,000,000 | | | | | $ | 1,027,220 | | |
GS Mortgage Securities Trust, Series 2019-GC42, Class A3, 2.75%, 9/1/52 | | | | | 1,100,000 | | | | | | 1,119,345 | | |
HarborView Mortgage Loan Trust, Series 2005-11, Class 2A1A, 1.37%, 8/19/45 (1 month USD LIBOR + 0.62%)(c) | | | | | 60,146 | | | | | | 50,746 | | |
Hudsons Bay Simon JV Trust, Series 2015-HB10, Class C10, 5.45%, 8/5/34(a)(c) | | | | | 900,000 | | | | | | 867,856 | | |
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP4, Class A3, 3.39%, 12/15/49 | | | | | 1,071,000 | | | | | | 1,129,208 | | |
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class A, 1.71%, 9/15/29 (1 month USD LIBOR + 1.00%)(a)(c) | | | | | 400,000 | | | | | | 371,749 | | |
JP Morgan Mortgage Trust, Series 2017-2, Class A13, 3.50%, 5/25/47(a)(c) | | | | | 33,052 | | | | | | 33,047 | | |
JP Morgan Mortgage Trust, Series 2017-3, Class 1A5, 3.50%, 8/25/47(a)(c) | | | | | 277,063 | | | | | | 275,894 | | |
JP Morgan Mortgage Trust, Series 2018-5, Class A13, 3.50%, 10/25/48(a)(c) | | | | | 33,823 | | | | | | 32,877 | | |
JP Morgan Mortgage Trust, Series 2018-7FRB, Class A2, 2.38%, 4/25/46 (1 month USD LIBOR + 0.75%)(a)(c) | | | | | 55,687 | | | | | | 51,371 | | |
JP Morgan Mortgage Trust, Series 2018-8, Class A13, 4.00%, 1/25/49(a)(c) | | | | | 22,888 | | | | | | 22,612 | | |
JP Morgan Mortgage Trust, Series 2018-9, Class A13, 4.00%, 2/25/49(a)(c) | | | | | 16,741 | | | | | | 17,064 | | |
JP Morgan Mortgage Trust, Series 2019-1, Class A15, 4.00%, 5/25/49(a)(c) | | | | | 51,339 | | | | | | 50,515 | | |
JP Morgan Mortgage Trust, Series 2019-2, Class A4, CMO, 4.00%, 8/25/49(a)(c) | | | | | 10,069 | | | | | | 9,959 | | |
JP Morgan Mortgage Trust, Series 2020-1, Class B2, 3.90%, 6/25/50(a)(c) | | | | | 34,886 | | | | | | 27,696 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class AS, 4.20%, 9/15/47(c) | | | | $ | 860,000 | | | | | $ | 891,488 | | |
JPMBB Commercial Mortgage Securities Trust, Series 2014-C24, Class D, 3.91%, 11/15/47(a)(c) | | | | | 470,000 | | | | | | 375,550 | | |
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A4A1, 3.41%, 11/15/47 | | | | | 320,000 | | | | | | 333,787 | | |
JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class A4, 3.55%, 7/15/48 | | | | | 114,286 | | | | | | 120,214 | | |
JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class A3, 3.50%, 12/15/48 | | | | | 1,098,975 | | | | | | 1,157,482 | | |
JPMCC Commercial Mortgage Securities Trust, Series 2017-JP5, Class A4, 3.46%, 3/15/50 | | | | | 690,000 | | | | | | 732,251 | | |
JPMDB Commercial Mortgage Securities Trust, Series 2016-C2, Class A3A, 2.88%, 6/15/49 | | | | | 1,100,000 | | | | | | 1,134,791 | | |
JPMDB Commercial Mortgage Securities Trust, Series 2017-C7, Class A3, 3.05%, 10/15/50 | | | | | 1,000,000 | | | | | | 1,025,821 | | |
Ladder Capital Commercial Mortgage Mortgage Trust, Series 2013-GCP, Class A2, 3.99%, 2/15/36(a) | | | | | 767,193 | | | | | | 747,445 | | |
LSTAR Securities Investment Trust, Series 2019-2, Class A1, 3.08%, 4/1/24 (1 month USD LIBOR + 1.50%)(a)(c) | | | | | 81,842 | | | | | | 79,327 | | |
MBRT, Series 2019-MBR, Class A, 1.56%, 11/15/36 (1 month USD LIBOR + 0.85%)(a)(c) | | | | | 420,000 | | | | | | 356,389 | | |
Mill City Mortgage Loan Trust, Series 2019-1, Class A1, 3.25%, 10/25/69(a)(c) | | | | | 129,925 | | | | | | 131,060 | | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class C, 4.91%, 11/15/46(c) | | | | | 375,000 | | | | | | 340,319 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A3, 3.45%, 7/15/50 | | | | $ | 171,496 | | | | | $ | 179,427 | | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C29, Class A3, 3.06%, 5/15/49 | | | | | 257,286 | | | | | | 260,329 | | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C29, Class D, 3.00%, 5/15/49(a) | | | | | 400,000 | | | | | | 282,132 | | |
Morgan Stanley Capital I Trust, Series 2018-H3, Class A3, 3.92%, 7/15/51 | | | | | 600,000 | | | | | | 635,396 | | |
Morgan Stanley Capital I Trust, Series 2018-H3, Class A5, 4.18%, 7/15/51 | | | | | 250,000 | | | | | | 274,701 | | |
Morgan Stanley Capital I Trust, Series 2019-BPR, Class A, 2.11%, 5/15/36 (1 month USD LIBOR + 1.40%)(a)(c) | | | | | 1,000,000 | | | | | | 908,390 | | |
Morgan Stanley Capital I Trust, Series 2019-H6, Class A3, 3.16%, 6/15/52 | | | | | 1,000,000 | | | | | | 1,036,155 | | |
MSCG Trust, Series 2015-ALDR, Class A1, 2.61%, 6/7/35(a) | | | | | 120,376 | | | | | | 116,241 | | |
Natixis Commercial Mortgage Securities Trust, Series 2018-850T, Class A, 1.49%, 7/15/33 (1 month USD LIBOR + 0.78%)(a)(c) | | | | | 1,000,000 | | | | | | 955,107 | | |
Natixis Commercial Mortgage Securities Trust, Series 2019-MILE, Class F, 4.96%, 7/15/36 (1 month USD LIBOR + 4.25%)(a)(c) | | | | | 2,000,000 | | | | | | 1,650,701 | | |
New Residential Mortgage Loan Trust, Series 2018-4A, Class A1S, 1.70%, 1/25/48 (1 month USD LIBOR + 0.75%)(a)(c) | | | | | 118,639 | | | | | | 110,210 | | |
New Residential Mortgage Loan Trust, Series 2018-RPL1, Class A1, 3.50%, 12/25/57(a)(c) | | | | | 489,263 | | | | | | 488,915 | | |
One Bryant Park Trust, Series 2019-OBP, Class A, 2.52%, 9/15/54(a) | | | | | 350,000 | | | | | | 348,650 | | |
One Market Plaza Trust, Series 2017-1MKT, Class C, 4.02%, 2/10/32(a) | | | | | 1,000,000 | | | | | | 920,185 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
RETL, Series 2019-RVP, Class A, 1.86%, 3/15/36 (1 month USD LIBOR + 1.15%)(a)(c) | | | | $ | 87,399 | | | | | $ | 79,864 | | |
Seasoned Credit Risk Transfer Trust, Series 2019-2, Class MA, 3.50%, 8/25/58 | | | | | 474,270 | | | | | | 502,505 | | |
Sequoia Mortgage Trust, Series 2015-2, Class A1, 3.50%, 5/25/45(a)(c) | | | | | 43,718 | | | | | | 44,553 | | |
Sequoia Mortgage Trust, Series 2019-2, Class A1, 4.00%, 6/25/49(a)(c) | | | | | 64,913 | | | | | | 64,544 | | |
Sequoia Mortgage Trust, Series 2019-5, Class A1, 3.50%, 12/25/49(a)(c) | | | | | 95,847 | | | | | | 97,564 | | |
Sequoia Mortgage Trust, Series 2020-3, Class A19, CMO, 3.00%, 4/25/50(a)(c) | | | | | 150,000 | | | | | | 151,138 | | |
Shellpoint Co-Originator Trust, Series 2016-1, Class 1A10, 3.50%, 11/25/46(a)(c) | | | | | 336,362 | | | | | | 336,797 | | |
STACR Trust, Series 2018-DNA3, Class M1, 1.70%, 9/25/48 (1 month USD LIBOR + 0.75%)(a)(c) | | | | | 55,579 | | | | | | 54,728 | | |
Station Place Securitization Trust, Series 2019-WL1, Class A, 1.60%, 8/25/52 (1 month USD LIBOR + 0.65%)(a)(c) | | | | | 83,333 | | | | | | 82,987 | | |
Station Place Securitization Trust, Series 2020-3, Class A, CMO, 1.88%, 4/24/21 (1 month USD LIBOR +0.950%)(a)(c) | | | | | 770,000 | | | | | | 770,000 | | |
UBS Commercial Mortgage Trust, Series 2017-C4, Class A3, 3.30%, 10/15/50 | | | | | 600,000 | | | | | | 615,132 | | |
UBS Commercial Mortgage Trust, Series 2017-C4, Class A4, 3.56%, 10/15/50 | | | | | 148,558 | | | | | | 154,711 | | |
UBS Commercial Mortgage Trust, Series 2017-C7, Class A3, 3.42%, 12/15/50 | | | | | 305,000 | | | | | | 315,049 | | |
UBS Commercial Mortgage Trust, Series 2018-C10, Class A3, 4.05%, 5/15/51 | | | | | 1,100,000 | | | | | | 1,191,856 | | |
UBS Commercial Mortgage Trust, Series 2018-C10, Class A3, 4.31%, 6/15/51 | | | | | 500,000 | | | | | | 544,871 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
UBS-BAMLL Trust, Series 2012-WRM, Class A, 3.66%, 6/10/30(a) | | | | $ | 1,300,000 | | | | | $ | 1,325,348 | | |
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class D, 4.11%, 3/10/46(a)(c) | | | | | 225,000 | | | | | | 195,845 | | |
VNDO 2013-PENN Mortgage Trust, Series 2013-PENN, Class A, 3.81%, 12/13/29(a) | | | | | 1,000,000 | | | | | | 997,815 | | |
Wells Fargo Commercial Mortgage Trust, Series 2012-LC5, Class AS, 3.54%, 10/15/45 | | | | | 140,000 | | | | | | 140,746 | | |
Wells Fargo Commercial Mortgage Trust, Series 2017-C40, Class A3, 3.32%, 10/15/50 | | | | | 450,000 | | | | | | 464,730 | | |
Wells Fargo Commercial Mortgage Trust, Series 2017-RB1, Class C, 4.31%, 3/15/50(c) | | | | | 500,000 | | | | | | 401,327 | | |
Wells Fargo Commercial Mortgage Trust, Series 2019-C50, Class A4, 3.47%, 5/15/52 | | | | | 950,000 | | | | | | 988,688 | | |
Wells Fargo Commercial Mortgage Trust, Series 2020-SDAL, Class C, 3.39%, 2/15/37 (1 month USD LIBOR +1.740%)(a)(c) | | | | | 1,295,000 | | | | | | 966,093 | | |
Wells Fargo Mortgage Backed Securities Trust, Series 2019-2, Class A17, 4.00%, 4/25/49(a)(c) | | | | | 50,193 | | | | | | 50,568 | | |
WFRBS Commercial Mortgage Trust, Series 2013-C13, Class D, 4.14%, 5/15/45(a)(c) | | | | | 225,000 | | | | | | 193,583 | | |
WFRBS Commercial Mortgage Trust, Series 2013-C18, Class C, 4.69%, 12/15/46(c) | | | | | 350,000 | | | | | | 315,303 | | |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost: $78,588,858) | | | | | 79,050,628 | | | ||||||
FOREIGN CORPORATE BONDS – 5.4% | | ||||||||||||
BASIC MATERIALS – 0.4% | | ||||||||||||
Albemarle Wodgina Pty Ltd., 3.45%, 11/15/29(a) | | | | | 76,000 | | | | | | 74,585 | | |
Braskem Netherlands Finance B.V., 4.50%, 1/31/30(a) | | | | | 207,000 | | | | | | 161,253 | | |
Investments | | | Principal Amount | | | Value | | ||||||
FOREIGN CORPORATE BONDS – (continued) | | ||||||||||||
BASIC MATERIALS – (continued) | | ||||||||||||
Celulosa Arauco y Constitucion S.A., 5.15%, 1/29/50(a) | | | | $ | 700,000 | | | | | $ | 550,900 | | |
Constellium SE, 6.63%, 3/1/25(a) | | | | | 250,000 | | | | | | 225,000 | | |
IAMGOLD Corp., 7.00%, 4/15/25(a) | | | | | 25,000 | | | | | | 23,250 | | |
LG Chem Ltd., 3.25%, 10/15/24(a) | | | | | 660,000 | | | | | | 683,401 | | |
LG Chem Ltd., 3.63%, 4/15/29(a) | | | | | 1,000,000 | | | | | | 986,237 | | |
Mineral Resources Ltd., 8.13%, 5/1/27(a) | | | | | 75,000 | | | | | | 70,265 | | |
NOVA Chemicals Corp., 4.88%, 6/1/24(a) | | | | | 200,000 | | | | | | 175,500 | | |
Nufarm Australia Ltd./Nufarm Americas, Inc., 5.75%, 4/30/26(a) | | | | | 25,000 | | | | | | 21,838 | | |
Total Basic Materials | | | | | | | | | | | 2,972,229 | | |
COMMUNICATIONS – 0.2% | | ||||||||||||
Altice Financing S.A., 5.00%, 1/15/28(a) | | | | | 200,000 | | | | | | 177,000 | | |
Altice France S.A., 8.13%, 2/1/27(a) | | | | | 200,000 | | | | | | 208,500 | | |
Deutsche Telekom AG, 3.63%, 1/21/50(a) | | | | | 247,000 | | | | | | 243,614 | | |
Digicel Group One Ltd., 8.25%, 12/30/22(a) | | | | | 68,000 | | | | | | 32,300 | | |
Digicel Group Two Ltd., 8.25%, 9/30/22(a) | | | | | 98,000 | | | | | | 15,190 | | |
Intelsat Connect Finance S.A., 9.50%, 2/15/23(a) | | | | | 150,000 | | | | | | 55,125 | | |
Intelsat Jackson Holdings S.A., 8.50%, 10/15/24(a) | | | | | 100,000 | | | | | | 62,970 | | |
Intelsat Luxembourg S.A., 8.13%, 6/1/23 | | | | | 50,000 | | | | | | 10,250 | | |
Telecom Italia Capital S.A., 6.00%, 9/30/34 | | | | | 125,000 | | | | | | 123,750 | | |
Telecom Italia SpA, 5.30%, 5/30/24(a) | | | | | 25,000 | | | | | | 25,127 | | |
Telesat Canada/Telesat LLC, 4.88%, 6/1/27(a) | | | | | 25,000 | | | | | | 23,870 | | |
Vodafone Group PLC, 4.88%, 6/19/49 | | | | | 65,000 | | | | | | 71,808 | | |
Vodafone Group PLC, 5.25%, 5/30/48 | | | | | 96,000 | | | | | | 115,849 | | |
Investments | | | Principal Amount | | | Value | | ||||||
FOREIGN CORPORATE BONDS – (continued) | | ||||||||||||
COMMUNICATIONS – (continued) | | ||||||||||||
Vodafone Group PLC, (USD 5 year swap rate + 4.873%), 7.00%, 4/4/79 (7.00% fixed rate until 1/4/29; 4.87% + USD 5 year Swap Rate thereafter)(c) | | | | $ | 75,000 | | | | | $ | 80,187 | | |
Total Communications | | | | | | | | | | | 1,245,540 | | |
CONSUMER, CYCLICAL – 0.1% | | ||||||||||||
1011778 BC ULC/New Red Finance, Inc., 4.38%, 1/15/28(a) | | | | | 25,000 | | | | | | 23,097 | | |
Aptiv PLC, 5.40%, 3/15/49 | | | | | 575,000 | | | | | | 532,318 | | |
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 4.88%, 2/15/30(a) | | | | | 50,000 | | | | | | 37,985 | | |
Gateway Casinos & Entertainment Ltd., Secured Note, 8.25%, 3/1/24(a) | | | | | 100,000 | | | | | | 87,000 | | |
Mattamy Group Corp., 4.63%, 3/1/30(a) | | | | | 50,000 | | | | | | 43,000 | | |
Panther BF Aggregator 2 L.P./Panther Finance Co., Inc., 8.50%, 5/15/27(a) | | | | | 75,000 | | | | | | 65,430 | | |
Virgin Australia Holdings Ltd., 8.13%, 11/15/24(a) | | | | | 25,000 | | | | | | 11,263 | | |
Total Consumer, Cyclical | | | | | | | | | | | 800,093 | | |
CONSUMER, NON-CYCLICAL – 0.1% | | ||||||||||||
Avon International Capital PLC, 6.50%, 8/15/22(a) | | | | | 25,000 | | | | | | 22,125 | | |
Bausch Health Cos., Inc., 5.00%, 1/30/28(a) | | | | | 75,000 | | | | | | 71,002 | | |
Bausch Health Cos., Inc., 5.25%, 1/30/30(a) | | | | | 50,000 | | | | | | 46,750 | | |
Bausch Health Cos., Inc., 5.75%, 8/15/27(a) | | | | | 25,000 | | | | | | 25,740 | | |
Bausch Health Cos., Inc., 7.00%, 1/15/28(a) | | | | | 25,000 | | | | | | 25,925 | | |
Bausch Health Cos., Inc., 7.25%, 5/30/29(a) | | | | | 75,000 | | | | | | 77,835 | | |
DH Europe Finance II Sarl, 3.25%, 11/15/39 | | | | | 146,000 | | | | | | 142,374 | | |
Garda World Security Corp., 4.63%, 2/15/27(a) | | | | | 25,000 | | | | | | 22,375 | | |
GlaxoSmithKline Capital PLC, 3.13%, 5/14/21 | | | | | 163,000 | | | | | | 165,214 | | |
IHS Markit Ltd., 4.13%, 8/1/23 | | | | | 210,000 | | | | | | 218,501 | | |
Investments | | | Principal Amount | | | Value | | ||||||
FOREIGN CORPORATE BONDS – (continued) | | ||||||||||||
CONSUMER, NON-CYCLICAL – (continued) | | ||||||||||||
JBS USA LUX S.A./JBS USA Finance, Inc., 5.75%, 6/15/25(a) | | | | $ | 25,000 | | | | | $ | 25,250 | | |
JBS USA LUX S.A./JBS USA Finance, Inc., 5.88%, 7/15/24(a) | | | | | 25,000 | | | | | | 25,313 | | |
JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 5.50%, 1/15/30(a) | | | | | 75,000 | | | | | | 77,437 | | |
JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 6.50%, 4/15/29(a) | | | | | 50,000 | | | | | | 53,635 | | |
Teva Pharmaceutical Finance Netherlands III B.V., 4.10%, 10/1/46 | | | | | 100,000 | | | | | | 73,000 | | |
Total Consumer, Non-cyclical | | | | | 1,072,476 | | | ||||||
DIVERSIFIED – 0.0%(j) | | ||||||||||||
VistaJet Malta Finance PLC/XO Management Holding, Inc., 10.50%, 6/1/24(a) | | | | | 50,000 | | | | | | 40,438 | | |
ENERGY – 0.9% | | ||||||||||||
Azure Power Solar Energy Pvt Ltd., 5.65%, 12/24/24(a) | | | | | 475,000 | | | | | | 403,750 | | |
BP Capital Markets PLC, 3.51%, 3/17/25 | | | | | 365,000 | | | | | | 379,912 | | |
CNOOC Finance 2013 Ltd., 2.88%, 9/30/29 | | | | | 300,000 | | | | | | 303,286 | | |
Ensign Drilling, Inc., 9.25%, 4/15/24(a) | | | | | 75,000 | | | | | | 27,562 | | |
Equinor ASA, 3.25%, 11/18/49 | | | | | 1,000,000 | | | | | | 984,739 | | |
MEG Energy Corp., 7.13%, 2/1/27(a) | | | | | 50,000 | | | | | | 24,875 | | |
Nabors Industries Ltd., 7.25%, 1/15/26(a) | | | | | 50,000 | | | | | | 17,000 | | |
Nabors Industries Ltd., 7.50%, 1/15/28(a) | | | | | 25,000 | | | | | | 8,000 | | |
Parkland Fuel Corp., 5.88%, 7/15/27(a) | | | | | 75,000 | | | | | | 70,305 | | |
Petroleos Mexicanos, 6.35%, 2/12/48 | | | | | 54,000 | | | | | | 33,750 | | |
Petroleos Mexicanos, 6.49%, 1/23/27(a) | | | | | 262,000 | | | | | | 193,225 | | |
Petroleos Mexicanos, 7.69%, 1/23/50(a) | | | | | 121,000 | | | | | | 84,095 | | |
Sinopec Group Overseas Development 2018 Ltd., 3.68%, 8/8/49(a) | | | | | 200,000 | | | | | | 212,163 | | |
Investments | | | Principal Amount | | | Value | | ||||||
FOREIGN CORPORATE BONDS – (continued) | | ||||||||||||
ENERGY – (continued) | | ||||||||||||
Suncor Energy, Inc., 5.95%, 5/15/35 | | | | $ | 71,000 | | | | | $ | 65,465 | | |
Total Capital International S.A., 2.75%, 6/19/21 | | | | | 1,200,000 | | | | | | 1,208,675 | | |
Total Capital International S.A., 3.46%, 7/12/49 | | | | | 58,000 | | | | | | 59,212 | | |
Total Capital International S.A., 3.75%, 4/10/24 | | | | | 1,000,000 | | | | | | 1,048,738 | | |
Total Capital S.A., 4.45%, 6/24/20 | | | | | 1,400,000 | | | | | | 1,399,502 | | |
Transocean Pontus Ltd., 6.13%, 8/1/25(a) | | | | | 73,480 | | | | | | 59,519 | | |
Transocean Poseidon Ltd., 6.88%, 2/1/27(a) | | | | | 50,000 | | | | | | 40,500 | | |
Transocean Sentry Ltd., 5.38%, 5/15/23(a) | | | | | 50,000 | | | | | | 42,000 | | |
Transocean, Inc., 7.25%, 11/1/25(a) | | | | | 25,000 | | | | | | 12,570 | | |
Transocean, Inc., 7.50%, 4/15/31 | | | | | 25,000 | | | | | | 6,371 | | |
Transocean, Inc., 8.00%, 2/1/27(a) | | | | | 100,000 | | | | | | 47,500 | | |
Transocean, Inc., 9.35%, 12/15/41 | | | | | 25,000 | | | | | | 5,993 | | |
Total Energy | | | | | | | | | | | 6,738,707 | | |
FINANCIAL – 3.0% | | ||||||||||||
Altice France Holding S.A., 6.00%, 2/15/28(a) | | | | | 200,000 | | | | | | 175,936 | | |
Australia & New Zealand Banking Group Ltd., (5 year CMT + 1.288%), 2.95%, 7/22/30(a)(c) | | | | | 200,000 | | | | | | 189,507 | | |
Banco Santander S.A., 2.71%, 6/27/24 | | | | | 200,000 | | | | | | 198,070 | | |
Bank of Montreal, 2.05%, 11/1/22 | | | | | 355,000 | | | | | | 355,080 | | |
Bank of Nova Scotia (The), 2.70%, 8/3/26 | | | | | 1,250,000 | | | | | | 1,260,645 | | |
Banque Federative du Credit Mutuel S.A., 3.75%, 7/20/23(a) | | | | | 490,000 | | | | | | 499,081 | | |
BNP Paribas S.A., 4.71%, 1/10/25 (4.71% fixed rate until 1/10/24; 2.24% + 3 month USD LIBOR thereafter)(a)(c) | | | | | 380,000 | | | | | | 395,956 | | |
BNP Paribas S.A., 3.05%, 1/13/31 (SOFR + 1.507%)(a)(c) | | | | | 330,000 | | | | | | 312,705 | | |
Investments | | | Principal Amount | | | Value | | ||||||
FOREIGN CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
Canadian Imperial Bank of Commerce, 0.82%, 3/17/23 (SOFR + 0.800%)(c) | | | | $ | 575,000 | | | | | $ | 548,108 | | |
Canadian Imperial Bank of Commerce, 2.25%, 1/28/25 | | | | | 224,000 | | | | | | 221,386 | | |
Commonwealth Bank of Australia, 3.74%, 9/12/39(a) | | | | | 600,000 | | | | | | 506,544 | | |
Credit Agricole Corporate & Investment Bank S.A., (3 month USD LIBOR + 0.625%), 2.53%, 10/3/21(c) | | | | | 500,000 | | | | | | 492,274 | | |
Credit Suisse Group AG, 4.19%, 4/1/31 (SOFR + 3.730%)(a)(c) | | | | | 250,000 | | | | | | 256,096 | | |
Danske Bank A/S, 3.24%, 12/20/25 (3.24% fixed rate until 12/20/24; 1.59% + 3 month USD LIBOR thereafter)(a)(c) | | | | | 451,000 | | | | | | 419,229 | | |
DBS Group Holdings Ltd., 2.85%, 4/16/22(a) | | | | | 203,000 | | | | | | 208,329 | | |
Deutsche Bank AG, Senior Note, 4.25%, 2/4/21 | | | | | 151,000 | | | | | | 145,003 | | |
Deutsche Bank AG, Series D, 5.00%, 2/14/22 | | | | | 450,000 | | | | | | 443,772 | | |
Enstar Group Ltd., 4.95%, 6/1/29 | | | | | 316,000 | | | | | | 297,911 | | |
Fairstone Financial, Inc., 7.88%, 7/15/24(a) | | | | | 75,000 | | | | | | 70,500 | | |
Global Aircraft Leasing Co., Ltd., Senior Note, PIK (6.500% Cash or 7.250% PIK), 6.50%, 9/15/24(a)(d) | | | | | 275,000 | | | | | | 177,100 | | |
HSBC Holdings PLC, 3.40%, 3/8/21 | | | | | 268,000 | | | | | | 269,474 | | |
HSBC Holdings PLC, 4.95%, 3/31/30 | | | | | 1,175,000 | | | | | | 1,295,837 | | |
ING Groep N.V., Senior Note, 4.63%, 1/6/26(a) | | | | | 775,000 | | | | | | 816,818 | | |
Intesa Sanpaolo SpA, Series XR, 4.00%, 9/23/29(a) | | | | | 600,000 | | | | | | 547,142 | | |
Intesa Sanpaolo SpA, Series XR, 4.70%, 9/23/49(a) | | | | | 475,000 | | | | | | 408,440 | | |
Manulife Financial Corp., 4.06%, 2/24/32 (4.06% fixed rate until 2/24/27; 1.65% + USD 5 year Swap Rate thereafter)(c) | | | | | 173,000 | | | | | | 166,838 | | |
Investments | | | Principal Amount | | | Value | | ||||||
FOREIGN CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
Mitsubishi UFJ Financial Group, Inc., 2.19%, 2/25/25 | | | | $ | 245,000 | | | | | $ | 242,582 | | |
Mitsubishi UFJ Financial Group, Inc., 3.00%, 2/22/22 | | | | | 285,000 | | | | | | 290,553 | | |
Mizuho Financial Group, Inc., 2.56%, 9/13/25 (2.56% fixed rate until 9/13/24; 1.10% + 3 month USD LIBOR thereafter)(c) | | | | | 364,000 | | | | | | 359,535 | | |
National Australia Bank Ltd., 3.93%, 8/2/34 (5 year CMT + 1.888%)(a)(c) | | | | | 200,000 | | | | | | 196,805 | | |
National Bank of Canada, 2.15%, 10/7/22(a) | | | | | 761,000 | | | | | | 753,995 | | |
NatWest Markets PLC, 3.63%, 9/29/22(a) | | | | | 702,000 | | | | | | 693,479 | | |
Nederlandse Waterschapsbank N.V., 0, 1.75%, 1/15/25(a) | | | | | 1,000,000 | | | | | | 1,047,256 | | |
Nederlandse Waterschapsbank N.V., Senior Note, 2.38%, 3/24/26(a) | | | | | 500,000 | | | | | | 544,538 | | |
Nederlandse Waterschapsbank N.V., Senior Note, 3.13%, 12/5/22(a) | | | | | 500,000 | | | | | | 532,476 | | |
Nomura Holdings, Inc., 3.10%, 1/16/30 | | | | | 200,000 | | | | | | 188,115 | | |
Royal Bank of Scotland Group PLC, 4.45%, 5/8/30 (4.45% fixed rate until 5/8/29; 1.87% + 3 month USD LIBOR thereafter)(c) | | | | | 210,000 | | | | | | 220,122 | | |
Royal Bank of Scotland Group PLC, 4.52%, 6/25/24 (4.52% fixed rate until 6/25/23; 1.55% + 3 month USD LIBOR thereafter)(c) | | | | | 380,000 | | | | | | 382,607 | | |
Safina Ltd., 2.00%, 12/30/23 | | | | | 264,170 | | | | | | 264,571 | | |
Shinhan Bank Co., Ltd., 4.00%, 4/23/29(a) | | | | | 200,000 | | | | | | 199,521 | | |
Societe Generale S.A., 3.88%, 3/28/24(a) | | | | | 350,000 | | | | | | 356,481 | | |
Standard Chartered PLC, (5 year CMT + 3.850%), 4.64%, 4/1/31(a)(c) | | | | | 1,150,000 | | | | | | 1,179,256 | | |
State Bank of India, 4.38%, 1/24/24(a) | | | | | 205,000 | | | | | | 202,091 | | |
Investments | | | Principal Amount | | | Value | | ||||||
FOREIGN CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
Swiss Re Finance Luxembourg S.A., 5.00%, 4/2/49 (5 year CMT + 3.582%)(a)(c) | | | | $ | 400,000 | | | | | $ | 407,600 | | |
Toronto-Dominion Bank (The), 1.10%, 9/17/20 (3 month USD LIBOR + 0.26%)(c) | | | | | 1,200,000 | | | | | | 1,192,102 | | |
UniCredit SpA, 5.86%, 6/19/32 (5.86% fixed rate until 6/19/27; 3.70% + USD 5 year Mid-Market Swap Rate thereafter)(a)(c) | | | | | 400,000 | | | | | | 361,834 | | |
VCK Lease S.A., 2.59%, 7/24/26 | | | | | 580,381 | | | | | | 603,962 | | |
Washington Aircraft 2 Co. DAC, (3 month USD LIBOR + 0.430%), 1.66%, 6/26/24(c) | | | | | 954,053 | | | | | | 939,777 | | |
WLB Asset II Pte Ltd., 4.00%, 1/14/24(a) | | | | | 250,000 | | | | | | 254,037 | | |
Total Financial | | | | | | | | | | | 22,091,076 | | |
INDUSTRIAL – 0.4% | | ||||||||||||
ARD Finance S.A., Senior Note, PIK (6.500% Cash or 7.250% PIK), 6.50%, 6/30/27(a)(d) | | | | | 200,000 | | | | | | 171,780 | | |
Bombardier, Inc., 7.50%, 12/1/24(a) | | | | | 25,000 | | | | | | 16,563 | | |
Bombardier, Inc., 7.88%, 4/15/27(a) | | | | | 175,000 | | | | | | 120,750 | | |
Canadian National Railway Co., 2.85%, 12/15/21 | | | | | 101,000 | | | | | | 99,120 | | |
Canadian Pacific Railway Co., 2.05%, 3/5/30 | | | | | 1,037,000 | | | | | | 962,910 | | |
Cascades, Inc./Cascades USA, Inc., 5.13%, 1/15/26(a) | | | | | 25,000 | | | | | | 24,187 | | |
Cascades, Inc./Cascades USA, Inc., 5.38%, 1/15/28(a) | | | | | 25,000 | | | | | | 23,875 | | |
Embraer Netherlands Finance B.V., 5.05%, 6/15/25 | | | | | 138,000 | | | | | | 121,785 | | |
Embraer Overseas Ltd., 5.70%, 9/16/23(a) | | | | | 135,000 | | | | | | 115,425 | | |
GFL Environmental, Inc., 5.13%, 12/15/26(a) | | | | | 25,000 | | | | | | 24,375 | | |
Husky III Holding Ltd., PIK, 13.00%, 2/15/25(a)(d) | | | | | 50,000 | | | | | | 36,724 | | |
Ingersoll-Rand Luxembourg Finance S.A., 3.50%, 3/21/26 | | | | | 300,000 | | | | | | 300,124 | | |
Investments | | | Principal Amount | | | Value | | ||||||
FOREIGN CORPORATE BONDS – (continued) | | ||||||||||||
INDUSTRIAL – (continued) | | ||||||||||||
Johnson Controls International PLC, 6.00%, 1/15/36 | | | | $ | 250,000 | | | | | $ | 293,659 | | |
Masonite International Corp., 5.38%, 2/1/28(a) | | | | | 25,000 | | | | | | 24,570 | | |
Masonite International Corp., 5.75%, 9/15/26(a) | | | | | 75,000 | | | | | | 73,500 | | |
Mexico City Airport Trust, 3.88%, 4/30/28(a) | | | | | 200,000 | | | | | | 168,083 | | |
Mexico City Airport Trust, 5.50%, 7/31/47(a) | | | | | 200,000 | | | | | | 168,778 | | |
Siemens Financieringsmaatschappij N.V., 3.25%, 5/27/25(a) | | | | | 260,000 | | | | | | 271,008 | | |
Titan Acquisition Ltd./Titan Co-Borrower LLC, 7.75%, 4/15/26(a) | | | | | 50,000 | | | | | | 41,750 | | |
Waste Connections, Inc., 2.60%, 2/1/30 | | | | | 131,000 | | | | | | 122,120 | | |
Total Industrial | | | | | | | | | | | 3,181,086 | | |
TECHNOLOGY – 0.0%(j) | | ||||||||||||
Camelot Finance S.A., 4.50%, 11/1/26(a) | | | | | 75,000 | | | | | | 72,750 | | |
Open Text Corp., 3.88%, 2/15/28(a) | | | | | 50,000 | | | | | | 47,000 | | |
Open Text Corp., 5.88%, 6/1/26(a) | | | | | 100,000 | | | | | | 104,890 | | |
Total Technology | | | | | | | | | | | 224,640 | | |
UTILITIES – 0.3% | | ||||||||||||
AES Gener S.A., (5 year CMT + 4.917%), 6.35%, 10/7/79 (6.35% fixed rate until 4/7/25; 4.92% + 5 year CMT thereafter)(a)(c) | | | | | 1,000,000 | | | | | | 760,000 | | |
Consorcio Transmantaro S.A., 4.70%, 4/16/34(a) | | | | | 430,000 | | | | | | 402,592 | | |
Electricite de France S.A., 5.00%, 9/21/48(a) | | | | | 250,000 | | | | | | 282,378 | | |
Enel Finance International N.V., 3.50%, 4/6/28(a) | | | | | 170,000 | | | | | | 170,717 | | |
Enel Finance International N.V., 3.63%, 5/25/27(a) | | | | | 80,000 | | | | | | 81,212 | | |
Enel Finance International N.V., 4.63%, 9/14/25(a) | | | | | 200,000 | | | | | | 211,366 | | |
Engie Energia Chile S.A., 3.40%, 1/28/30(a) | | | | | 209,000 | | | | | | 178,695 | | |
Total Utilities | | | | | | | | | | | 2,086,960 | | |
TOTAL FOREIGN CORPORATE BONDS (Cost: $42,221,949) | | | | | 40,453,245 | | | ||||||
|
Investments | | | Principal Amount | | | Value | | ||||||
MUNICIPAL BONDS – 2.8% | | ||||||||||||
CALIFORNIA – 1.1% | | ||||||||||||
Bay Area Toll Authority, Revenue Bonds, San Francisco Bay Area Toll Bridge, Series F2, 6.26%, 4/1/49 | | | | $ | 150,000 | | | | | $ | 228,867 | | |
Bay Area Toll Authority, Revenue Bonds, San Francisco Bay Area Toll Bridge, Series F1, 2.57%, 4/1/31 | | | | | 215,000 | | | | | | 218,569 | | |
California Health Facilities Financing Authority General Obligation, 1.90%, 6/1/21 | | | | | 1,000,000 | | | | | | 999,520 | | |
Chula Vista Municipal Financing Authority, Revenue Bonds, 4.28%, 12/1/48 | | | | | 1,000,000 | | | | | | 1,060,520 | | |
City of Los Angeles CA, General Obligation, 3.50%, 9/1/37 | | | | | 315,000 | | | | | | 328,800 | | |
City of Oakland CA, General Obligation, 1.73%, 1/15/26 | | | | | 1,020,000 | | | | | | 1,006,750 | | |
City of San Francisco CA Public Utilities Commission Water Revenue, 3.30%, 11/1/39 | | | | | 1,230,000 | | | | | | 1,149,435 | | |
State of California, General Obligation, 2.25%, 10/1/23 | | | | | 1,000,000 | | | | | | 1,024,560 | | |
State of California, General Obligation, 2.30%, 4/1/47 (1 month USD LIBOR + 0.00%)(c) | | | | | 1,000,000 | | | | | | 1,007,680 | | |
State of California, General Obligation, 4.60%, 4/1/38 | | | | | 500,000 | | | | | | 550,535 | | |
State of California, General Obligation, Build America Bonds, 7.35%, 11/1/39 | | | | | 275,000 | | | | | | 425,065 | | |
Upper Santa Clara Valley Joint Powers Authority, Revenue Bonds, Water Revenue, Series A, 3.88%, 8/1/48 | | | | | 500,000 | | | | | | 522,265 | | |
Total California | | | | | | | | | | | 8,522,566 | | |
Connecticut – 0.1% | | ||||||||||||
Connecticut Housing Finance Authority, 0.66%, 5/15/49 (SOFR + 0.00%)(c) | | | | | 500,000 | | | | | | 494,310 | | |
HAWAII – 0.3% | | ||||||||||||
City & County of Honolulu, HI, General Obligation, Green Bond, Series D, 2.14%, 10/1/23 | | | | | 550,000 | | | | | | 562,419 | | |
Investments | | | Principal Amount | | | Value | | ||||||
MUNICIPAL BONDS – (continued) | | ||||||||||||
HAWAII – (continued) | | ||||||||||||
City & County of Honolulu, HI, General Obligation, Series F-GREEN BOND, 3.94%, 9/1/34 | | | | $ | 500,000 | | | | | $ | 537,550 | | |
City & County of Honolulu, HI, General Obligation, 3.75%, 9/1/30 | | | | | 1,000,000 | | | | | | 1,093,620 | | |
Honolulu City & County Board of Water Supply, 0, 1.93%, 7/1/26 | | | | | 185,000 | | | | | | 190,302 | | |
Total Hawaii | | | | | | | | | | | 2,383,891 | | |
ILLINOIS – 0.1% | | ||||||||||||
Chicago Housing Authority, Revenue Bonds, Series B, 4.36%, 1/1/38 | | | | | 500,000 | | | | | | 577,620 | | |
State of Illinois, General Obligation, 5.00%, 10/1/22 | | | | | 210,000 | | | | | | 216,149 | | |
State of Illinois, General Obligation, 5.10%, 6/1/33 | | | | | 150,000 | | | | | | 148,894 | | |
Total Illinois | | | | | | | | | | | 942,663 | | |
New Jersey – 0.1% | | ||||||||||||
New Jersey Turnpike Authority, Revenue Bonds, Build America Bonds, Series F, 7.41%, 1/1/40 | | | | | 300,000 | | | | | | 439,200 | | |
New York – 0.1% | | ||||||||||||
City of New York NY, General Obligation, Series C, 3.25%, 12/1/23 | | | | | 580,000 | | | | | | 614,098 | | |
Ohio – 0.2% | | ||||||||||||
Ohio Water Development Authority Water Pollution Control Loan Fund, 4.88%, 12/1/34 | | | | | 1,000,000 | | | | | | 1,117,730 | | |
Oregon – 0.0%(j) | | ||||||||||||
Oregon State Business Development Commission, Revenue Bonds, Economic Development Revenue, 6.50%, 4/1/31(a) | | | | | 500,000 | | | | | | 346,890 | | |
Rhode Island – 0.1% | | ||||||||||||
Narragansett Bay Commission, 1.60%, 9/1/25 | | | | | 1,000,000 | | | | | | 989,300 | | |
TEXAS – 0.4% | | ||||||||||||
City of Austin TX Electric Utility Revenue, 2.68%, 11/15/25 | | | | | 1,450,000 | | | | | | 1,503,215 | | |
Investments | | | Principal Amount | | | Value | | ||||||
MUNICIPAL BONDS – (continued) | | ||||||||||||
TEXAS – (continued) | | ||||||||||||
Texas Private Activity Bond Surface Transportation Corp., 3.92%, 12/31/49 | | | | $ | 80,000 | | | | | $ | 79,066 | | |
Texas Water Development Board, Revenue Bonds, 4.19%, 10/15/43 | | | | | 500,000 | | | | | | 545,650 | | |
Texas Water Development Board, Revenue Bonds, State Water Implementation Funds, 3.70%, 10/15/47 | | | | | 1,000,000 | | | | | | 1,043,340 | | |
Total Texas | | | | | | | | | | | 3,171,271 | | |
Washington – 0.1% | | ||||||||||||
Grant County Public Utility District No 2 Priest Rapids Hydroelectric Project, 2.38%, 1/1/28 | | | | | 675,000 | | | | | | 696,668 | | |
Wisconsin – 0.2% | | ||||||||||||
City of Kaukauna WI Electric System, Revenue Bonds, AGM, 2.70%, 12/15/31 | | | | | 1,400,000 | | | | | | 1,436,078 | | |
TOTAL MUNICIPAL BONDS (Cost: $20,752,495) | | | | | | | | | | | 21,154,665 | | |
SUPRANATIONAL BONDS – 1.3% | | ||||||||||||
African Development Bank, 0.75%, 4/3/23 | | | | | 1,242,000 | | | | | | 1,241,925 | | |
Asian Development Bank, 3.13%, 9/26/28 | | | | | 500,000 | | | | | | 585,665 | | |
European Bank for Reconstruction & Development, 1.50%, 2/13/25 | | | | | 251,000 | | | | | | 261,133 | | |
European Investment Bank, 1.63%, 8/14/20 | | | | | 382,000 | | | | | | 383,112 | | |
European Investment Bank, 2.38%, 5/24/27 | | | | | 500,000 | | | | | | 551,321 | | |
European Stability Mechanism, Senior Note, 2.13%, 11/3/22(a) | | | | | 1,000,000 | | | | | | 1,038,618 | | |
Inter-American Development Bank, 1.01%, 10/9/20 (1 month USD LIBOR + 0.00%)(c) | | | | | 1,000,000 | | | | | | 999,300 | | |
International Bank for Reconstruction & Development, Senior Note, 3.13%, 11/20/25 | | | | | 654,000 | | | | | | 738,541 | | |
Investments | | | Principal Amount | | | Value | | ||||||
SUPRANATIONAL BONDS – (continued) | | ||||||||||||
International Development Association, 2.75%, 4/24/23(a) | | | | $ | 500,000 | | | | | $ | 534,809 | | |
International Finance Corp., 0.50%, 3/20/23 | | | | | 1,293,000 | | | | | | 1,287,232 | | |
Kreditanstalt fuer Wiederaufbau, 1.88%, 11/30/20 | | | | | 1,000,000 | | | | | | 1,007,949 | | |
North American Development Bank, 2.40%, 10/26/22 | | | | | 1,000,000 | | | | | | 1,014,981 | | |
TOTAL SUPRANATIONAL BONDS (Cost: $9,232,578) | | | | | 9,644,586 | | | ||||||
FOREIGN GOVERNMENT OBLIGATIONS – 0.9% | | ||||||||||||
Chile – 0.1% | | ||||||||||||
Chile Government International Bond, 3.50%, 1/25/50 | | | | | 1,000,000 | | | | | | 1,035,000 | | |
Colombia – 0.0%(j) | | ||||||||||||
Colombia Government International Bond, 5.00%, 6/15/45 | | | | | 200,000 | | | | | | 205,000 | | |
INDONESIA – 0.2% | | ||||||||||||
Indonesia Government International Bond, 2.95%, 1/11/23 | | | | | 200,000 | | | | | | 198,141 | | |
Indonesia Government International Bond, 4.13%, 1/15/25(a) | | | | | 400,000 | | | | | | 410,763 | | |
Indonesia Government International Bond, Senior Note, 4.45%, 2/11/24 | | | | | 200,000 | | | | | | 207,219 | | |
Perusahaan Penerbit SBSN Indonesia III, 3.75%, 3/1/23(a) | | | | | 300,000 | | | | | | 298,788 | | |
Perusahaan Penerbit SBSN Indonesia III, 3.90%, 8/20/24(a) | | | | | 250,000 | | | | | | 251,823 | | |
Total Indonesia | | | | | | | | | | | 1,366,734 | | |
Iraq – 0.1% | | ||||||||||||
Iraq Government AID Bond, 2.15%, 1/18/22 | | | | | 500,000 | | | | | | 516,054 | | |
Italy – 0.2% | | ||||||||||||
Republic of Italy Government International Bond, 4.00%, 10/17/49 | | | | | 1,268,000 | | | | | | 1,187,275 | | |
MEXICO – 0.1% | | ||||||||||||
Mexico Government International Bond, 4.50%, 4/22/29 | | | | | 207,000 | | | | | | 212,177 | | |
Investments | | | Principal Amount | | | Value | | ||||||
FOREIGN GOVERNMENT OBLIGATIONS – (continued) | | ||||||||||||
MEXICO – (continued) | | ||||||||||||
Mexico Government International Bond, 4.75%, 3/8/44 | | | | $ | 112,000 | | | | | $ | 113,400 | | |
Total Mexico | | | | | | | | | | | 325,577 | | |
Panama – 0.0%(j) | | ||||||||||||
Panama Government International Bond, Senior Bond, 6.70%, 1/26/36 | | | | | 100,000 | | | | | | 128,376 | | |
Qatar – 0.0%(j) | | ||||||||||||
Qatar Government International Bond, 4.50%, 4/23/28(a) | | | | | 200,000 | | | | | | 218,888 | | |
Romania – 0.0%(j) | | ||||||||||||
Romanian Government International Bond, 5.13%, 6/15/48(a) | | | | | 50,000 | | | | | | 51,500 | | |
Saudi Arabia – 0.0%(j) | | ||||||||||||
Saudi Government International Bond, 4.00%, 4/17/25(a) | | | | | 300,000 | | | | | | 311,514 | | |
Tunisia – 0.0%(j) | | ||||||||||||
Tunisia Government AID Bonds, 1.42%, 8/5/21 | | | | | 200,000 | | | | | | 200,360 | | |
Ukraine – 0.2% | | ||||||||||||
Ukraine Government AID Bonds, 1.47%, 9/29/21 | | | | | 1,120,000 | | | | | | 1,138,124 | | |
United Arab Emirates – 0.0%(j) | | ||||||||||||
Abu Dhabi Government International Bond, 3.13%, 10/11/27(a) | | | | | 250,000 | | | | | | 254,385 | | |
Uruguay – 0.0%(j) | | ||||||||||||
Uruguay Government International Bond, 4.98%, 4/20/55 | | | | | 150,000 | | | | | | 169,877 | | |
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost: $7,043,428) | | | | | 7,108,664 | | | ||||||
FOREIGN GOVERNMENT AGENCIES – 0.4% | | ||||||||||||
CANADA – 0.3% | | ||||||||||||
OMERS Finance Trust, 2.50%, 5/2/24(a) | | | | | 1,000,000 | | | | | | 1,069,428 | | |
Province of Quebec Canada, 2.75%, 4/12/27 | | | | | 1,000,000 | | | | | | 1,109,146 | | |
Total Canada | | | | | | | | | | | 2,178,574 | | |
|
Investments | | | Principal Amount | | | Value | | ||||||
FOREIGN GOVERNMENT AGENCIES – (continued) | | ||||||||||||
Norway – 0.1% | | ||||||||||||
Kommunalbanken A/S, 2.13%, 2/11/25(a) | | | | $ | 500,000 | | | | | $ | 532,198 | | |
South Korea – 0.0%(j) | | ||||||||||||
Korea Hydro & Nuclear Power Co., Ltd., 3.75%, 7/25/23(a) | | | | | 200,000 | | | | | | 212,080 | | |
TOTAL FOREIGN GOVERNMENT AGENCIES (Cost: $2,637,245) | | | | | 2,922,852 | | | ||||||
BANK LOANS – 0.2% | | ||||||||||||
BASIC MATERIALS – 0.0%(j) | | ||||||||||||
Aleris International, Inc. 2018 Term Loan, 5.74%, 2/27/23 (1 month USD LIBOR + 4.75%)(c) | | | | | 49,125 | | | | | | 43,599 | | |
Arconic Rolled Products Corp., 3.24%, 2/4/27(k) | | | | | 25,000 | | | | | | 22,500 | | |
UFC Holdings LLC 2019 Term Loan, 4.25%, 4/29/26 (1 month USD LIBOR + 3.25%)(c) | | | | | 24,807 | | | | | | 21,582 | | |
Total Basic Materials | | | | | | | | | | | 87,681 | | |
COMMUNICATIONS – 0.1% | | ||||||||||||
Altice France S.A. 2018 Term Loan B13, 4.70%, 8/14/26 (1 month USD LIBOR + 4.00%)(c) | | | | | 123,438 | | | | | | 116,957 | | |
Banijay Group U.S Holding, Inc., Zero Coupon, 3/4/25(k) | | | | | 25,000 | | | | | | 22,000 | | |
Diamond Sports Group LLC Term Loan, 4.18%, 8/24/26 (1 month USD LIBOR + 3.25%)(c) | | | | | 49,750 | | | | | | 38,308 | | |
Nexstar Broadcasting, Inc. 2019 Term Loan B4, 4.33%, 9/18/26 (1 month USD LIBOR + 2.75%)(c) | | | | | 72,047 | | | | | | 66,787 | | |
Sinclair Television Group, Inc. Term Loan B2B, 3.21%, 9/30/26 (1 month USD LIBOR + 2.50%)(c) | | | | | 49,750 | | | | | | 46,765 | | |
Staples, Inc. 7 Year Term Loan, 6.52%, 4/16/26 (1 month USD LIBOR + 5.00%)(c) | | | | | 74,438 | | | | | | 58,433 | | |
Total Communications | | | | | | | | | | | 349,250 | | |
|
Investments | | | Principal Amount | | | Value | | ||||||
BANK LOANS – (continued) | | ||||||||||||
CONSUMER, CYCLICAL – 0.1% | | ||||||||||||
Allen Media LLC 2020 Term Loan B, 7.23%, 2/10/27 (3 month USD LIBOR + 5.50%)(c) | | | | $ | 75,000 | | | | | $ | 62,250 | | |
ASP Unifrax Holdings, Inc. Term Loan B, 4.82%, 12/12/25 (3 month USD LIBOR + 3.75%)(c) | | | | | 24,688 | | | | | | 19,503 | | |
Boyd Gaming Corp. Term Loan B3, 2.93%, 9/15/23 (1 Week USD LIBOR + 2.25%)(c) | | | | | 16,787 | | | | | | 14,442 | | |
HD Supply, Inc. Term Loan B5, 2.74%, 10/17/23 (1 month USD LIBOR + 1.75%)(c) | | | | | 49,373 | | | | | | 45,794 | | |
Hilton Worldwide Finance LLC 2019 Term Loan B2, 2.70%, 6/22/26 (1 month USD LIBOR + 1.75%)(c) | | | | | 50,000 | | | | | | 47,250 | | |
KAR Auction Services, Inc. 2019 Term Loan B6, 3.19%, 9/19/26 (1 month USD LIBOR + 2.25%)(c) | | | | | 24,875 | | | | | | 22,885 | | |
Life Time, Inc. 2017 Term Loan B, 4.36%, 6/10/22 (3 month USD LIBOR + 2.75%)(c) | | | | | 122,487 | | | | | | 89,875 | | |
Panther BF Aggregator 2 L.P. USD Term Loan B, 4.44%, 4/30/26 (1 month USD LIBOR + 3.50%)(c) | | | | | 124,313 | | | | | | 113,124 | | |
Total Consumer, Cyclical | | | | | | | | | | | 415,123 | | |
CONSUMER, NON-CYCLICAL – 0.0%(j) | | ||||||||||||
MRO Holdings, Inc. 2019 Term Loan B, 6.45%, 6/4/26 (3 month USD LIBOR + 5.00%)(c) | | | | | 74,438 | | | | | | 58,744 | | |
National Intergovernmental Purchase 1st Lien Term Loan, 5.20%, 5/23/25 (3 month USD LIBOR + 3.75%)(c) | | | | | 74,246 | | | | | | 63,108 | | |
RegionalCare Hospital Partners Holding, Inc. 2018 Term Loan B, 4.74%, 11/17/25 (1 month USD LIBOR + 3.75%)(c) | | | | | 41,924 | | | | | | 38,701 | | |
Total Consumer, Non-cyclical | | | | | 160,553 | | | ||||||
|
Investments | | | Principal Amount | | | Value | | ||||||
BANK LOANS – (continued) | | ||||||||||||
ENERGY – 0.0%(j) | | ||||||||||||
Citgo Holding, Inc. 2019 Term Loan B, 8.00%, 8/1/23 (1 month USD LIBOR + 7.00%)(c) | | | | $ | 74,625 | | | | | $ | 60,198 | | |
Consolidated Energy Finance S.A. Term Loan B, 3.20%, 5/7/25 (3 month USD LIBOR + 2.50%)(c) | | | | | 73,688 | | | | | | 51,581 | | |
Prairie ECI Acquiror L.P. Term Loan B, 6.20%, 3/11/26 (3 month USD LIBOR + 4.75%)(c) | | | | | 47,421 | | | | | | 24,256 | | |
Total Energy | | | | | | | | | | | 136,035 | | |
FINANCIAL – 0.0%(j) | | ||||||||||||
Financial & Risk US Holdings, Inc. 2018 USD Term Loan, 4.24%, 10/1/25 (1 month USD LIBOR + 3.25%)(c) | | | | | 49,312 | | | | | | 47,134 | | |
Hub International Ltd. 2018 Term Loan B, 4.55%, 4/25/25 (3 month USD LIBOR + 2.75%)(c) | | | | | 24,563 | | | | | | 22,819 | | |
Motion Finco S.a.r.l. Delayed Draw Term Loan B2, 4.32%, 11/4/26(k) | | | | | 2,904 | | | | | | 2,323 | | |
Motion Finco S.a.r.l. USD Term Loan B1, 4.32%, 11/13/26(k) | | | | | 22,096 | | | | | | 17,677 | | |
Total Financial | | | | | | | | | | | 89,953 | | |
Health Care – 0.0%(j) | | ||||||||||||
MPH Acquisition Holdings LLC 2016 Term Loan B, 4.20%, 6/7/23 (3 month USD LIBOR + 2.75%)(c) | | | | | 23,202 | | | | | | 20,437 | | |
INDUSTRIAL – 0.0%(j) | | ||||||||||||
Altra Industrial Motion Corp. 2018 Term Loan B, 2.99%, 10/1/25 (1 month USD LIBOR + 2.00%)(c) | | | | | 22,090 | | | | | | 19,197 | | |
Berry Global, Inc. Term Loan Y, 2.86%, 7/1/26 (1 month USD LIBOR + 2.00%)(c) | | | | | 173,688 | | | | | | 164,135 | | |
Vertiv Group Corp, Term Loan B, 4.58%, 3/2/27 (1 month USD LIBOR + 3.00%)(c) | | | | | 100,000 | | | | | | 86,000 | | |
Total Industrial | | | | | | | | | | | 269,332 | | |
|
Investments | | | Principal Amount | | | Value | | ||||||
BANK LOANS – (continued) | | ||||||||||||
TECHNOLOGY – 0.0%(j) | | ||||||||||||
Camelot U.S. Acquisition 1 Co. Term Loan B, 4.24%, 10/31/26(k) | | | | $ | 50,000 | | | | | | 47,000 | | |
Iqvia, Inc. 2018 USD Term Loan B3, 3.20%, 6/11/25 (3 month USD LIBOR + 1.75%)(c) | | | | | 24,686 | | | | | | 23,452 | | |
Total Technology | | | | | | | | | | | 70,452 | | |
TOTAL BANK LOANS (Cost: $1,850,835) | | | | | 1,598,816 | | | ||||||
|
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – 0.0%(j) | | ||||||||||||
CHEMICALS – 0.0%(j) | | ||||||||||||
Hexion Holdings Corp., Class B(l) | | | | | 6,374 | | | | | | 60,553 | | |
ENERGY EQUIPMENT & SERVICES – 0.0%(j) | | ||||||||||||
Jones Energy II, Inc.(l) | | | | | 3,046 | | | | | | 42,492 | | |
TOTAL COMMON STOCKS (Cost: $141,589) | | | | | 103,045 | | | ||||||
SHORT-TERM INVESTMENTS – 2.5% | | ||||||||||||
State Street Institutional Treasury Money Market Fund – Investor Class Shares, 0.50%(m) (Cost: $18,855,266) | | | | | 18,855,266 | | | | | | 18,855,266 | | |
TOTAL INVESTMENTS – 100.4% (Cost: $756,510,716) | | | | | 753,963,796 | | | ||||||
OTHER ASSETS, LESS LIABILITIES – (0.4)% | | | | | | | | | | | (3,356,717) | | |
NET ASSETS – 100.0% | | | | | | | | | | $ | 750,607,079 | | |
Description | | | Type | | | Contracts | | | Expiration Date | | | Notional Amount | | | Value/Net Unrealized Appreciation (Depreciation) | | |||||||||||||||
CONTRACTS PURCHASED – 2.3% | | ||||||||||||||||||||||||||||||
U.S. Treasury 2-Year Notes | | | | | Long | | | | | | 2,600,000 | | | | | | 06/30/2020 | | | | | $ | 2,864,977 | | | | | $ | 681 | | |
U.S. Treasury 5-Year Notes | | | | | Long | | | | | | 5,800,000 | | | | | | 06/30/2020 | | | | | | 7,270,844 | | | | | | 112,967 | | |
U.S. Treasury 10-Year Notes | | | | | Long | | | | | | 100,000 | | | | | | 06/19/2020 | | | | | | 138,687 | | | | | | (111) | | |
U.S. Treasury Ultra Long-Term Bonds | | | | | Long | | | | | | 3,100,000 | | | | | | 06/19/2020 | | | | | | 6,878,125 | | | | | | 788,424 | | |
Total | | | | | | | | | | | | | | | | | | | | | | $ | 17,152,633 | | | | | $ | 901,961 | | |
CONTRACTS SOLD – (2.7)% | | ||||||||||||||||||||||||||||||
U.S. Treasury Long-Term Bonds | | | | | Short | | | | | | (5,400,000) | | | | | | 06/19/2020 | | | | | $ | (9,669,375) | | | | | $ | (516,171) | | |
U.S. Treasury 10-Year Ultra Long-Term | | | | | Short | | | | | | (6,600,000) | | | | | | 06/19/2020 | | | | | | (10,298,063) | | | | | | (736,056) | | |
Total | | | | | | | | | | | | | | | | | | | | | | $ | (19,967,438) | | | | | $ | (1,252,227) | | |
Description | | | Interest Rate | | | Maturity Date(a) | | | Settlement Date | | | Principal Amount | | | Value | | |||||||||||||||
To Be Announced Securities – (0.4)% | | ||||||||||||||||||||||||||||||
Uniform Mortgage-Backed Securities | | | | | 4.00% | | | | | | TBA-30yr | | | | | | 4/15/20 | | | | | $ | (500,000) | | | | | $ | (533,856) | | |
Total (Proceeds Receivable: $524,316) | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (533,856) | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Securities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Bonds* | | | | $ | — | | | | | $ | 271,773,299 | | | | | $ | — | | | | | $ | 271,773,299 | | |
U.S. Government Obligations | | | | | — | | | | | | 120,534,505 | | | | | | — | | | | | | 120,534,505 | | |
U.S. Government Agencies | | | | | — | | | | | | 95,800,345 | | | | | | — | | | | | | 95,800,345 | | |
Asset-Backed Securities | | | | | — | | | | | | 84,963,880 | | | | | | — | | | | | | 84,963,880 | | |
Commercial Mortgage-Backed Securities | | | | | — | | | | | | 79,050,628 | | | | | | — | | | | | | 79,050,628 | | |
Foreign Corporate Bonds* | | | | | — | | | | | | 40,420,945 | | | | | | — | | | | | | 40,420,945 | | |
Municipal Bonds* | | | | | — | | | | | | 21,154,665 | | | | | | — | | | | | | 21,154,665 | | |
Supranational Bonds | | | | | — | | | | | | 9,676,886 | | | | | | — | | | | | | 9,676,886 | | |
Foreign Government Obligations* | | | | | — | | | | | | 7,108,664 | | | | | | — | | | | | | 7,108,664 | | |
Foreign Government Agencies* | | | | | — | | | | | | 2,922,852 | | | | | | — | | | | | | 2,922,852 | | |
Bank Loans* | | | | | — | | | | | | 1,598,816 | | | | | | — | | | | | | 1,598,816 | | |
Common Stocks | | | | | | | | | | | | | | | | | | | | | | | | | |
Chemicals | | | | | 60,553 | | | | | | — | | | | | | — | | | | | | — | | |
Energy Equipment & Services | | | | | — | | | | | | 42,492 | | | | | | — | | | | | | — | | |
Money Market Fund* | | | | | 18,855,266 | | | | | | — | | | | | | — | | | | | | 18,855,266 | | |
Total Investments in Securities | | | | $ | 18,915,819 | | | | | $ | 735,047,977 | | | | | $ | — | | | | | $ | 753,963,796 | | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | |
Future Contracts(a) | | | | $ | 902,072 | | | | | $ | — | | | | | $ | — | | | | | $ | 902,072 | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Sales Contracts at Value | | | | $ | — | | | | | $ | (533,856) | | | | | $ | — | | | | | $ | (533,856) | | |
Future Contracts(a) | | | | | (1,252,338) | | | | | | — | | | | | | — | | | | | | (1,252,338) | | |
Total – Other Financial Instruments | | | | $ | (1,252,338) | | | | | $ | (533,856) | | | | | $ | — | | | | | $ | (1,786,194) | | |
| | | PFM Multi- Manager Domestic Equity Fund | | | PFM Multi- Manager International Equity Fund | | | PFM Multi- Manager Fixed-Income Fund | | |||||||||
Assets: | | | | | | | | | | | | | | | | | | | |
Investments in Securities, at Value (Cost $712,709,450, $394,865,280 and $756,510,716, respectively) | | | | $ | 601,402,456 | | | | | $ | 327,578,179 | | | | | $ | 753,963,796 | | |
Foreign Currency, at Value (Cost $–, $201,550 and $–, respectively) | | | | | — | | | | | | 197,839 | | | | | | — | | |
Cash | | | | | 98,697 | | | | | | — | | | | | | — | | |
Receivables: | | | | | | | | | | | | | | | | | | | |
Investment Securities Sold | | | | | 2,928,598 | | | | | | 699,795 | | | | | | 19,112,057 | | |
Dividends | | | | | 203,374 | | | | | | 847,188 | | | | | | 35,394 | | |
Interest | | | | | — | | | | | | — | | | | | | 4,263,711 | | |
Capital Shares Sold | | | | | 143,560 | | | | | | 85,360 | | | | | | — | | |
Foreign Tax Reclaims | | | | | 5,625 | | | | | | 289,867 | | | | | | 2,373 | | |
Prepaid Expenses | | | | | 33,595 | | | | | | 17,956 | | | | | | 31,695 | | |
Net Variation Margin on Futures Contracts | | | | | — | | | | | | — | | | | | | 7,440 | | |
Total Assets | | | | | 604,815,905 | | | | | | 329,716,184 | | | | | | 777,416,466 | | |
Liabilities: | | | | | | | | | | | | | | | | | | | |
Due to Custodian | | | | | — | | | | | | — | | | | | | 923,268 | | |
Forward Sales Contracts, at Value (proceeds receivable $–, $– and $524,316) | | | | | — | | | | | | — | | | | | | 533,856 | | |
Payables: | | | | | | | | | | | | | | | | | | | |
Investment Securities Purchased | | | | | 5,255,819 | | | | | | 1,519,278 | | | | | | 24,815,842 | | |
Advisory Fees Payable | | | | | 146,172 | | | | | | 135,766 | | | | | | 267,397 | | |
Trustees’ Fees and Expenses | | | | | 30,982 | | | | | | 17,105 | | | | | | 22,894 | | |
Interest on Securities Sold Short | | | | | — | | | | | | — | | | | | | 778 | | |
Other Accrued Expenses | | | | | 152,951 | | | | | | 271,209 | | | | | | 245,352 | | |
Total Liabilities | | | | | 5,585,924 | | | | | | 1,943,358 | | | | | | 26,809,387 | | |
Net Assets | | | | $ | 599,229,981 | | | | | $ | 327,772,826 | | | | | $ | 750,607,079 | | |
Net Assets Consists of: | | | | | | | | | | | | | | | | | | | |
Paid-In Capital | | | | $ | 639,442,771 | | | | | $ | 408,770,974 | | | | | $ | 749,694,894 | | |
Total Distributable Earnings (Loss) | | | | | (40,212,790) | | | | | | (80,998,148) | | | | | | 912,185 | | |
Net Assets | | | | $ | 599,229,981 | | | | | $ | 327,772,826 | | | | | $ | 750,607,079 | | |
Capital shares outstanding (no par value, unlimited shares authorized, all shares outstanding are of each Fund’s Institutional Class) | | | | | 64,408,131 | | | | | | 42,955,788 | | | | | | 73,729,796 | | |
Net asset value, offering price and redemption price per share | | | | $ | 9.30 | | | | | $ | 7.63 | | | | | $ | 10.18 | | |
| | | PFM Multi- Manager Domestic Equity Fund | | | PFM Multi- Manager International Equity Fund | | | PFM Multi- Manager Fixed-Income Fund | | |||||||||
Investment Income: | | | | | | | | | | | | | | | | | | | |
Dividends (net of foreign withholding taxes of $9,207, $289,323 and $–, respectively) | | | | $ | 6,835,422 | | | | | $ | 2,905,738 | | | | | $ | 128,449 | | |
Interest | | | | | 2,205 | | | | | | 1,249 | | | | | | 11,166,527 | | |
Total Investment Income | | | | | 6,837,627 | | | | | | 2,906,987 | | | | | | 11,294,976 | | |
Expenses: | | | | | | | | | | | | | | | | | | | |
Advisory Fees (Note 4) | | | | | 1,112,527 | | | | | | 1,042,785 | | | | | | 1,291,202 | | |
Administration Fees | | | | | 59,503 | | | | | | 52,093 | | | | | | 56,186 | | |
Accounting Fees | | | | | 33,597 | | | | | | 27,539 | | | | | | 120,912 | | |
Audit and Tax Fees | | | | | 37,205 | | | | | | 75,731 | | | | | | 38,969 | | |
Custodian Fees | | | | | 23,518 | | | | | | 110,372 | | | | | | 46,318 | | |
Insurance Premiums | | | | | 21,131 | | | | | | 11,261 | | | | | | 18,047 | | |
Legal Fees | | | | | 100,288 | | | | | | 61,678 | | | | | | 85,682 | | |
Registration Fees | | | | | 13,884 | | | | | | 12,787 | | | | | | 12,597 | | |
Transfer Agent Fees | | | | | 23,841 | | | | | | 23,716 | | | | | | 24,245 | | |
Trustees Fees | | | | | 33,912 | | | | | | 18,569 | | | | | | 27,718 | | |
Other Expenses | | | | | 8,221 | | | | | | 9,528 | | | | | | 6,997 | | |
Total Expenses | | | | | 1,467,627 | | | | | | 1,446,059 | | | | | | 1,728,873 | | |
Less: Advisory Fees Waived | | | | | (129,416) | | | | | | (141,724) | | | | | | — | | |
Expenses Recouped | | | | | 141,569 | | | | | | 86,014 | | | | | | 46,680 | | |
Net Expenses | | | | | 1,479,780 | | | | | | 1,390,349 | | | | | | 1,775,553 | | |
Net Investment Income | | | | | 5,357,847 | | | | | | 1,516,638 | | | | | | 9,519,423 | | |
Net Realized and Unrealized Gain (Loss) on investments: | | | | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) From: | | | | | | | | | | | | | | | | | | | |
Investments | | | | | 70,380,318 | | | | | | (8,654,628) | | | | | | 4,727,021 | | |
Futures Contracts | | | | | 696,760 | | | | | | 519,978 | | | | | | 373,619 | | |
Foreign Currency Related Transactions | | | | | 74 | | | | | | (456,304) | | | | | | — | | |
Net Realized Gain (Loss) | | | | | 71,077,152 | | | | | | (8,590,954) | | | | | | 5,100,640 | | |
Net Increase (Decrease) in Unrealized Appreciation/Depreciation From: | | | | | | | | | | | | | | | | | | | |
Investments | | | | | (156,579,849) | | | | | | (50,554,094) | | | | | | (28,800,242) | | |
Futures Contracts | | | | | 114,099 | | | | | | 91,236 | | | | | | (399,882) | | |
Translation of Assets and Liabilities Denominated in Foreign Currencies | | | | | — | | | | | | (4,633) | | | | | | — | | |
Net Decrease in Unrealized Appreciation/Depreciation | | | | | (156,465,750) | | | | | | (50,467,491) | | | | | | (29,200,124) | | |
Net Decrease in Net Assets Resulting from Operations | | | | $ | (80,030,751) | | | | | $ | (57,541,807) | | | | | $ | (14,580,061) | | |
| | | PFM Multi-Manager Domestic Equity Fund | | | PFM Multi-Manager International Equity Fund | | ||||||||||||||||||
| | | For the Six Months Ended March 31, 2020 (unaudited) | | | For the Year Ended September 30, 2019 | | | For the Six Months Ended March 31, 2020 (unaudited) | | | For the Year Ended September 30, 2019 | | ||||||||||||
Increase (Decrease) in Net Assets Resulting From Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | $ | 5,357,847 | | | | | $ | 10,178,405 | | | | | $ | 1,516,638 | | | | | $ | 8,665,588 | | |
Net Realized Gain (Loss) | | | | | 71,077,152 | | | | | | 7,906,772 | | | | | | (8,590,954) | | | | | | (3,637,531) | | |
Net Increase (Decrease) in Unrealized Appreciation/Depreciation | | | | | (156,465,750) | | | | | | 11,847,349 | | | | | | (50,467,491) | | | | | | (7,304,476) | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | | (80,030,751) | | | | | | 29,932,526 | | | | | | (57,541,807) | | | | | | (2,276,419) | | |
Distributions from: | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributable Earnings | | | | | (21,779,371) | | | | | | (5,444,237) | | | | | | (8,764,112) | | | | | | (3,046,850) | | |
Capital Share Transactions: | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from Sale of Shares | | | | | 120,582,631 | | | | | | 156,019,062 | | | | | | 74,400,927 | | | | | | 91,456,842 | | |
Reinvestment of Distributions | | | | | 21,779,371 | | | | | | 5,444,237 | | | | | | 8,764,112 | | | | | | 3,046,850 | | |
Cost of Shares Redeemed | | | | | (171,779,120) | | | | | | (50,488,010) | | | | | | (87,053,057) | | | | | | (5,952,900) | | |
Net Increase (Decrease) in Net Assets Resulting from Capital Share Transactions | | | | | (29,417,118) | | | | | | 110,975,289 | | | | | | (3,888,018) | | | | | | 88,550,792 | | |
Net Increase (Decrease) in Net Assets | | | | | (131,227,240) | | | | | | 135,463,578 | | | | | | (70,193,937) | �� | | | | | 83,227,523 | | |
Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | | 730,457,221 | | | | | | 594,993,643 | | | | | | 397,966,763 | | | | | | 314,739,240 | | |
End of period | | | | $ | 599,229,981 | | | | | $ | 730,457,221 | | | | | $ | 327,772,826 | | | | | $ | 397,966,763 | | |
Shares Subscribed and Redeemed: | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares Outstanding, Beginning of Period | | | | | 66,394,828 | | | | | | 55,313,427 | | | | | | 42,308,199 | | | | | | 32,469,106 | | |
Shares Subscribed | | | | | 11,940,490 | | | | | | 15,346,114 | | | | | | 9,168,118 | | | | | | 10,131,391 | | |
Shares Issued from Reinvestment of Distributions | | | | | 1,869,474 | | | | | | 596,302 | | | | | | 873,790 | | | | | | 366,208 | | |
Shares Redeemed | | | | | (15,796,661) | | | | | | (4,861,015) | | | | | | (9,394,319) | | | | | | (658,506) | | |
Shares Outstanding, End of Period | | | | | 64,408,131 | | | | | | 66,394,828 | | | | | | 42,955,788 | | | | | | 42,308,199 | | |
| | | PFM Multi-Manager Fixed-Income Fund | | |||||||||
| | | For the Six Months Ended March 31, 2020 (unaudited) | | | For the Year Ended September 30, 2019 | | ||||||
Increase in Net Assets Resulting From Operations: | | | | | | | | | | | | | |
Net investment income | | | | $ | 9,519,423 | | | | | $ | 19,555,683 | | |
Net Realized Gain | | | | | 5,100,640 | | | | | | 4,394,447 | | |
Net Increase (Decrease) in Unrealized Appreciation/Depreciation | | | | | (29,200,124) | | | | | | 27,579,823 | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | | (14,580,061) | | | | | | 51,529,953 | | |
Distributions from: | | | | | | | | | | | | | |
Distributable Earnings | | | | | (15,257,285) | | | | | | (20,444,903) | | |
Capital Share Transactions: | | | | | | | | | | | | | |
Proceeds from Sale of Shares | | | | | 190,550,538 | | | | | | 123,972,169 | | |
Reinvestment of Distributions | | | | | 15,257,285 | | | | | | 20,444,903 | | |
Cost of Shares Redeemed | | | | | (27,885,746) | | | | | | (63,107,100) | | |
Net Increase in Net Assets Resulting from Capital Share Transactions | | | | | 177,922,077 | | | | | | 81,309,972 | | |
Net Increase in Net Assets | | | | | 148,084,731 | | | | | | 112,395,022 | | |
Net Assets: | | | | | | | | | | | | | |
Beginning of period | | | | | 602,522,348 | | | | | | 490,127,326 | | |
End of period | | | | $ | 750,607,079 | | | | | $ | 602,522,348 | | |
Shares Subscribed and Redeemed: | | | | | | | | | | | | | |
Shares Outstanding, Beginning of Period | | | | | 57,124,202 | | | | | | 48,908,529 | | |
Shares Subscribed | | | | | 17,845,069 | | | | | | 12,213,071 | | |
Shares Issued from Reinvestment of Distributions | | | | | 1,458,540 | | | | | | 2,004,585 | | |
Shares Redeemed | | | | | (2,698,015) | | | | | | (6,001,983) | | |
Shares Outstanding, End of Period | | | | | 73,729,796 | | | | | | 57,124,202 | | |
| | | For the Six Months Ended March 31, 2020 (unaudited) | | | For the Year Ended September 30, 2019 | | | For the Year Ended September 30, 2018(1) | | |||||||||
Net Asset Value, Beginning of Period | | | | $ | 11.00 | | | | | $ | 10.76 | | | | | $ | 10.00 | | |
Investment Operations: | | | | | | | | | | | | | | | | | | | |
Net Investment Income(2) | | | | | 0.08 | | | | | | 0.17 | | | | | | 0.12 | | |
Net Realized and Unrealized Gain (Loss)(3) | | | | | (1.47) | | | | | | 0.17 | | | | | | 0.64 | | |
Total from Investment Operations | | | | | (1.39) | | | | | | 0.34 | | | | | | 0.76 | | |
Distributions From: | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | | (0.16) | | | | | | (0.08) | | | | | | — | | |
Net Realized Gains | | | | | (0.15) | | | | | | (0.02) | | | | | | — | | |
Total Distributions to Shareholders | | | | | (0.31) | | | | | | (0.10) | | | | | | — | | |
Net Asset Value, End of Period | | | | $ | 9.30 | | | | | $ | 11.00 | | | | | $ | 10.76 | | |
Total Return(4),(5) | | | | | (13.18)% | | | | | | 3.26% | | | | | | 7.60% | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | |
Net Assets, End of period (000’s omitted) | | | | $ | 599,230 | | | | | $ | 730,457 | | | | | $ | 594,994 | | |
Ratios to Average Net Assets of:(6) | | | | | | | | | | | | | | | | | | | |
Expenses, Net of Expense Waived/Reimbursed/Recouped(7) | | | | | 0.39% | | | | | | 0.38% | | | | | | 0.38% | | |
Expenses, Prior to Expense Waived/Reimbursed/Recouped(7) | | | | | 0.38% | | | | | | 0.41% | | | | | | 0.55% | | |
Net Investment Income | | | | | 1.40% | | | | | | 1.59% | | | | | | 1.54% | | |
Portfolio Turnover Rate | | | | | 112%(8) | | | | | | 24% | | | | | | 13% | | |
| | | For the Six Months Ended March 31, 2020 (unaudited) | | | For the Year Ended September 30, 2019 | | | For the Year Ended September 30, 2018(1) | | |||||||||
Net Asset Value, Beginning of Period | | | | $ | 9.41 | | | | | $ | 9.69 | | | | | $ | 10.00 | | |
Investment Operations: | | | | | | | | | | | | | | | | | | | |
Net Investment Income(2) | | | | | 0.03 | | | | | | 0.23 | | | | | | 0.15 | | |
Net Realized and Unrealized Gain (Loss)(3) | | | | | (1.61) | | | | | | (0.42) | | | | | | (0.46) | | |
Total from Investment Operations | | | | | (1.58) | | | | | | (0.19) | | | | | | (0.31) | | |
Distributions from net investment income | | | | | (0.20) | | | | | | (0.09) | | | | | | — | | |
Net Asset Value, End of Period | | | | $ | 7.63 | | | | | $ | 9.41 | | | | | $ | 9.69 | | |
Total Return(4),(5) | | | | | (17.33)% | | | | | | (1.87)% | | | | | | (3.10)% | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | |
Net Assets, End of period (000’s omitted) | | | | $ | 327,773 | | | | | $ | 397,967 | | | | | $ | 314,739 | | |
Ratios to Average Net Assets of:(6) | | | | | | | | | | | | | | | | | | | |
Expenses, Net of Expense Waived/Reimbursed/Recouped(7) | | | | | 0.66% | | | | | | 0.63% | | | | | | 0.63% | | |
Expenses, Prior to Expense Waived/Reimbursed/Recouped(7) | | | | | 0.69% | | | | | | 0.75% | | | | | | 1.09% | | |
Net Investment Income | | | | | 0.73% | | | | | | 2.54% | | | | | | 2.08% | | |
Portfolio Turnover Rate | | | | | 103%(8) | | | | | | 13% | | | | | | 21% | | |
| | | For the Six Months Ended March 31, 2020 (unaudited) | | | For the Year Ended September 30, 2019 | | | For the Year Ended September 30, 2018(1) | | |||||||||
Net Asset Value, Beginning of Period | | | | $ | 10.55 | | | | | $ | 10.02 | | | | | $ | 10.00 | | |
Investment Operations: | | | | | | | | | | | | | | | | | | | |
Net Investment Income(2) | | | | | 0.15 | | | | | | 0.35 | | | | | | 0.23 | | |
Net Realized and Unrealized Gain (Loss)(3) | | | | | (0.27) | | | | | | 0.55 | | | | | | (0.10) | | |
Total from Investment Operations | | | | | (0.12) | | | | | | 0.90 | | | | | | 0.13 | | |
Distributions From: | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | | (0.16) | | | | | | (0.35) | | | | | | (0.11) | | |
Capital gains | | | | | (0.09) | | | | | | (0.02) | | | | | | — | | |
Total Distributions to Shareholders | | | | | (0.25) | | | | | | (0.37) | | | | | | (0.11) | | |
Net Asset Value, End of Period | | | | $ | 10.18 | | | | | $ | 10.55 | | | | | $ | 10.02 | | |
Total Return(4),(5) | | | | | (1.18)% | | | | | | 9.17% | | | | | | 1.27% | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | |
Net Assets, End of period (000’s omitted) | | | | $ | 750,607 | | | | | $ | 602,522 | | | | | $ | 490,127 | | |
Ratios to Average Net Assets of:(6) | | | | | | | | | | | | | | | | | | | |
Expenses, Net of Expense Waived/Reimbursed/Recouped(7) | | | | | 0.55% | | | | | | 0.55% | | | | | | 0.55% | | |
Expenses, Prior to Expense Waived/Reimbursed/Recouped(7) | | | | | 0.54% | | | | | | 0.55% | | | | | | 0.73% | | |
Net Investment Income | | | | | 2.95% | | | | | | 3.46% | | | | | | 3.00% | | |
Portfolio Turnover Rate | | | | | 50% | | | | | | 84% | | | | | | 218% | | |
March 31, 2020 (unaudited)
March 31, 2020 (unaudited)
March 31, 2020 (unaudited)
March 31, 2020 (unaudited)
| | | Unlimited Short Term Losses | | | Unlimited Long Term Losses | | ||||||
PFM Multi-Manager Domestic Equity Fund | | | | $ | — | | | | | $ | — | | |
PFM Multi-Manager International Equity Fund | | | | | 4,860,160 | | | | | | 518,703 | | |
PFM Multi-Manager Fixed-Income Fund | | | | | — | | | | | | — | | |
| | | PFM Multi- Manager Domestic Equity Fund | | | PFM Multi- Manager International Equity Fund | | | PFM Multi- Manager Fixed- Income Fund | | |||||||||
Cost of investments | | | | $ | 713,947,292 | | | | | $ | 395,263,346 | | | | | $ | 757,581,482 | | |
Unrealized appreciation | | | | $ | 4,553,584 | | | | | $ | 4,333,532 | | | | | $ | 23,543,225 | | |
Unrealized depreciation | | | | | (117,098,420) | | | | | | (72,018,699) | | | | | | (27,160,911) | | |
Net unrealized depreciation | | | | $ | (112,544,836) | | | | | $ | (67,685,167) | | | | | $ | (3,617,686) | | |
March 31, 2020 (unaudited)
Fund | | | % | | |||
Domestic Equity Fund | | | | | 0.29% | | |
International Equity Fund | | | | | 0.50% | | |
Fixed-Income Fund | | | | | 0.40% | | |
Fund | | | Sub-Advisers | |
PFM Multi-Manager Domestic Equity Fund* | | | Champlain Investment Partners, LLC Nuance Investments, LLC Vaughan Nelson Investment Management, L.P. Jacobs Levy Equity Management, Inc. | |
PFM Multi-Manager International Equity Fund* | | | Acadian Asset Management LLC Aristotle Capital Management, LLC J O Hambro Capital Management Limited Lazard Asset Management LLC Schroder Investment Management North America Inc. Schroder Investment Management North America Limited WCM Investment Management LLC | |
PFM Multi-Manager Fixed-Income Fund | | | Brown Brothers Harriman & Co. Nomura Corporate Research and Asset Management, Inc. PineBridge Investments LLC PGIM, Inc. Teachers Advisors, LLC | |
Fund | | | % | | |||
Domestic Equity Fund | | | | | 0.38% | | |
International Equity Fund | | | | | 0.63% | | |
Fixed-Income Fund | | | | | 0.55% | | |
March 31, 2020 (unaudited)
| | | PFM Multi- Manager Domestic Equity Fund | | | PFM Multi- Manager International Equity Fund | | | PFM Multi- Manager Fixed- Income Fund | | |||||||||
Advisory fees waived and expenses reimbursed not restored to the Advisor become unrecoverable in fiscal year-end: | | | | | | | | | | | | | | | | | | | |
September 30, 2021 | | | | $ | 148,488 | | | | | $ | 414,890 | | | | | $ | 265,650 | | |
September 30, 2022 | | | | | 319,569 | | | | | | 497,715 | | | | | | 57,576 | | |
September 30, 2023 | | | | | 129,416 | | | | | | 141,724 | | | | | | — | | |
Total | | | | $ | 597,473 | | | | | $ | 1,054,329 | | | | | $ | 323,226 | | |
| | | PFM Multi- Manager Domestic Equity Fund | | | PFM Multi- Manager International Equity Fund | | ||||||
Non-U.S. Government Purchases | | | | $ | 829,893,457 | | | | | $ | 408,462,735 | | |
Non-U.S. Government Sales | | | | $ | 869,754,257 | | | | | $ | 418,211,755 | | |
| | | PFM Multi- Manager Fixed- Income Fund | | |||
U.S. Government Purchases | | | | $ | 315,514,089 | | |
Non-U.S. Government Purchases | | | | $ | 196,416,617 | | |
March 31, 2020 (unaudited)
| | | PFM Multi- Manager Fixed- Income Fund | | |||
U.S. Government Sales | | | | $ | 212,677,871 | | |
Non-U.S. Government Sales | | | | $ | 135,345,724 | | |
| | | Asset Derivatives | | | Liability Derivatives | | ||||||||||||
Interest rate contracts | | | Net Variation Margin on Futures Contracts* | | | | $ | 902,072 | | | | Net Variation Margin on Futures Contracts* | | | | $ | (1,252,388) | | |
| | | Net Realized Gain (Loss) | | | Net Change in Unrealized Appreciation (Depreciation) | | ||||||||||||
Equity contracts risk | | | Futures Contracts | | | | $ | 696,760 | | | | Futures Contracts | | | | $ | 114,099 | | |
| | | Net Realized Gain (Loss) | | | Net Change in Unrealized Appreciation (Depreciation) | | ||||||||||||
Equity contracts risk | | | Futures Contracts | | | | $ | 519,978 | | | | Futures Contracts | | | | $ | 91,236 | | |
March 31, 2020 (unaudited)
| | | Net Realized Gain (Loss) | | | Net Change in Unrealized Appreciation (Depreciation) | | ||||||||||||
Interest rate contracts | | | Futures Contracts | | | | $ | 373,619 | | | | Futures Contracts | | | | $ | (399,882) | | |
| | | Futures Contracts – Long | | | Futures Contracts – Short | | ||||||
PFM Multi-Manager Domestic Equity Fund | | | | $ | 3,329,341 | | | | | $ | — | | |
PFM Multi-Manager International Equity Fund | | | | $ | 2,450,593 | | | | | $ | — | | |
PFM Multi-Manager Fixed-Income Fund | | | | $ | 22,537,321 | | | | | $ | 16,263,467 | | |
March 31, 2020 (unaudited)
| | | Beginning Account Value 10/1/19 | | | Ending Account Value 3/31/20 | | | Annualized Expense Ratio Based on the Period | | | Expenses Paid During the Period(1)(2) 10/1/19 to 3/31/20 | | ||||||||||||
PFM Multi-Manager Domestic Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | $ | 1,000.00 | | | | | $ | 868.20 | | | | | | 0.39% | | | | | $ | 1.82 | | |
Hypothetical (5% return before expenses) | | | | $ | 1,000.00 | | | | | $ | 1,023.05 | | | | | | 0.39% | | | | | $ | 1.97 | | |
PFM Multi-Manager International Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | $ | 1,000.00 | | | | | $ | 826.70 | | | | | | 0.67% | | | | | $ | 3.06 | | |
Hypothetical (5% return before expenses) | | | | $ | 1,000.00 | | | | | $ | 1,021.65 | | | | | | 0.67% | | | | | $ | 3.39 | | |
PFM Multi-Manager Fixed-Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | $ | 1,000.00 | | | | | $ | 988.20 | | | | | | 0.55% | | | | | $ | 2.73 | | |
Hypothetical (5% return before expenses) | | | | $ | 1,000.00 | | | | | $ | 1,022.25 | | | | | | 0.55% | | | | | $ | 2.78 | | |
Harrisburg, Pennsylvania 17101
Harrisburg, Pennsylvania 17101
Boston, Massachusetts 02111
Philadelphia, Pennsylvania 19103
Philadelphia, Pennsylvania 19103
Harrisburg, Pennsylvania 17101
1.833.736.6678
Item 2. Code of Ethics.
Not applicable to this filing.
Item 3. Audit Committee Financial Expert.
Not applicable to this filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to this filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable to the Registrant.
Item 6. Investments.
(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. |
(b) | Not applicable to the Registrant. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
During the period ended March 31, 2020, there were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.
Item 11. Controls and Procedures.
(a) | The Registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) | Not applicable to the Registrant. |
(b) | Not applicable to the Registrant. |
Item 13. Exhibits.
(a)(1) | Not applicable to this filing. |
(a)(3) | Not applicable to the Registrant. |
(a)(4) | Not applicable. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: | PFM Multi-Manager Series Trust | |
By: | /s/ John Spagnola | |
John Spagnola | ||
President (Principal Executive Officer) | ||
Date: | June 4, 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ John Spagnola | |
John Spagnola | ||
President (Principal Executive Officer) | ||
Date: | June 4, 2020 | |
By: | /s/ Daniel Hess | |
Daniel Hess | ||
Treasurer (Principal Financial Officer) | ||
Date: | June 4, 2020 |