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
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PFM Multi-manager series trust
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(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: September 30, 2020
Item 1. Reports to Stockholders.
ANNUAL REPORT
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call 1-833-736-6678 or visit us online at www.pfm.com/multiassetfunds
PFM Asset Management LLC
November 2, 2020
| | | Fund Assets Managed As of 9/30/20 | | | |||||||||||
Investment Sub-Adviser | | | (%) | | | ($ Million) | | | Investment Strategy | | ||||||
Champlain Investment Partners, LLC | | | | | 12.8 | | | | | | 92.4 | | | | Active U.S. Mid-Cap | |
Jacobs Levy Equity Management, Inc. | | | | | 2.0 | | | | | | 14.5 | | | | Active U.S. Small-Cap | |
Nuance Investments, LLC | | | | | 4.8 | | | | | | 34.9 | | | | Active U.S. All-Cap | |
Vaughan Nelson Investment Management, L.P. | | | | | 19.1 | | | | | | 137.8 | | | | Active U.S. All-Cap | |
Sector Diversification | | | % | | |||
Communication Services | | | | | 8.9 | | |
Consumer Discretionary | | | | | 10.4 | | |
Consumer Staples | | | | | 6.4 | | |
Energy | | | | | 1.8 | | |
Financials | | | | | 10.4 | | |
Health Care | | | | | 16.4 | | |
Industrials | | | | | 9.9 | | |
Information Technology | | | | | 26.1 | | |
Materials | | | | | 4.2 | | |
Real Estate | | | | | 2.5 | | |
Utilities | | | | | 2.1 | | |
Cash Equivalents and Other | | | | | 0.9 | | |
Initial Investment of $10,000
Performance as of 9/30/2020 | | | One Year | | | Since Inception(1) | | ||||||
PFM Multi-Manager Domestic Equity Fund | | | | | 13.43% | | | | | | 8.76% | | |
Russell 3000 Index(2) | | | | | 15.00% | | | | | | 10.02% | | |
| | | Fund Assets Managed As of 9/30/20 | | | |||||||||||
Investment Sub-Adviser | | | (%) | | | ($ Million) | | | Investment Strategy | | ||||||
Acadian Asset Management | | | | | 9.7 | | | | | | 37.7 | | | | Active International Developed Markets | |
Aristotle Capital Management, LLC | | | | | 10.3 | | | | | | 40.0 | | | | Active International Developed Markets | |
JO Hambro Capital Management | | | | | 4.1 | | | | | | 15.9 | | | | Active International Small-Cap | |
Lazard Asset Management LLC | | | | | 7.7 | | | | | | 29.7 | | | | Active Total International Markets | |
Schroder Investment Management N.A. | | | | | 10.6 | | | | | | 41.0 | | | | Global Emerging Markets | |
WCM Investment Management | | | | | 16.8 | | | | | | 65.0 | | | | Active Total International Markets | |
Region Diversification | | | % | | |||
Europe & Middle East ex U.K. | | | | | 38.2 | | |
U.K. | | | | | 5.9 | | |
Pacific ex Japan | | | | | 7.2 | | |
North America | | | | | 6.4 | | |
Japan | | | | | 13.9 | | |
EM Europe, Middle East & Africa | | | | | 3.0 | | |
EM Asia | | | | | 20.2 | | |
EM Latin America | | | | | 3.1 | | |
Cash Equivalents and Other | | | | | 2.1 | | |
Sector Diversification | | | % | | |||
Communication Services | | | | | 8.0 | | |
Consumer Discretionary | | | | | 14.0 | | |
Consumer Staples | | | | | 7.8 | | |
Energy | | | | | 2.7 | | |
Financials | | | | | 13.4 | | |
Health Care | | | | | 11.8 | | |
Industrials | | | | | 14.1 | | |
Information Technology | | | | | 15.3 | | |
Materials | | | | | 7.0 | | |
Real Estate | | | | | 2.1 | | |
Utilities | | | | | 2.0 | | |
Cash Equivalents and Other | | | | | 1.8 | | |
Initial Investment of $10,000
Performance as of 9/30/2020 | | | One Year | | | Since Inception(1) | | ||||||
PFM Multi-Manager International Equity Fund | | | | | 5.09% | | | | | | -0.02% | | |
MSCI All Country World ex-U.S. Index(2) | | | | | 3.00% | | | | | | -0.37% | | |
| | | Fund Assets Managed As of 9/30/20 | | | |||||||||||
Investment Sub-Adviser | | | (%) | | | ($ Million) | | | Investment Strategy | | ||||||
Brown Brothers Harriman & Co. | | | | | 7.4 | | | | | | 50.3 | | | | Active Securitized Assets | |
PineBridge Investment LLC | | | | | 7.6 | | | | | | 51.8 | | | | Active Investment Grade Credit | |
PGIM, Inc. | | | | | 38.5 | | | | | | 263.6 | | | | Active Investment Grade Core | |
Teachers Advisors, LLC | | | | | 38.1 | | | | | | 260.5 | | | | Active Investment Grade Core | |
Sector Diversification | | | % | | |||
US Government & Related | | | | | 13.1 | | |
Municipal / Local Authority | | | | | 1.5 | | |
Asset Backed Securities | | | | | 8.8 | | |
Collateralized Loan Obligations | | | | | 3.3 | | |
Mortgages | | | | | 27.6 | | |
Investment Grade Corporates | | | | | 32.6 | | |
High Yield Corporates | | | | | 6.5 | | |
Emerging Market Debt | | | | | 5.3 | | |
Cash Equivalents and Other | | | | | 1.3 | | |
Credit Quality Diversification | | | % | | |||
AAA | | | | | 42.6 | | |
AA | | | | | 5.7 | | |
A | | | | | 17.9 | | |
BBB | | | | | 20.9 | | |
BB | | | | | 5.8 | | |
B | | | | | 2.5 | | |
Below B | | | | | 0.6 | | |
Cash & Not Rated | | | | | 4.0 | | |
Initial Investment of $10,000
Performance as of 9/30/2020 | | | One Year | | | Since Inception(1) | | ||||||
PFM Multi-Manager Fixed Income Fund | | | | | 6.21% | | | | | | 6.00% | | |
Bloomberg Barclays U.S. Aggregate Index(2) | | | | | 6.98% | | | | | | 5.62% | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – 37.2% | | ||||||||||||
COMMUNICATION SERVICES – 2.7% | | ||||||||||||
Alphabet, Inc., Class A(a) | | | | | 1,114 | | | | | $ | 1,632,678 | | |
Cogent Communications Holdings, Inc. | | | | | 38,069 | | | | | | 2,286,043 | | |
comScore, Inc.(a) | | | | | 5,131 | | | | | | 10,467 | | |
Electronic Arts, Inc.(a) | | | | | 55,200 | | | | | | 7,198,632 | | |
Facebook, Inc., Class A(a) | | | | | 30,885 | | | | | | 8,088,782 | | |
John Wiley & Sons, Inc., Class A | | | | | 8,485 | | | | | | 269,059 | | |
Marchex, Inc., Class B(a) | | | | | 4,207 | | | | | | 8,919 | | |
Ooma, Inc.(a) | | | | | 1,537 | | | | | | 20,058 | | |
Scholastic Corp. | | | | | 4,000 | | | | | | 83,960 | | |
Yelp, Inc.(a) | | | | | 2,675 | | | | | | 53,741 | | |
Total Communication Services | | | | | 19,652,339 | | | ||||||
CONSUMER DISCRETIONARY – 3.7% | | ||||||||||||
Advance Auto Parts, Inc. | | | | | 13,500 | | | | | | 2,072,250 | | |
Amazon.com, Inc.(a) | | | | | 2,480 | | | | | | 7,808,850 | | |
American Axle & Manufacturing Holdings, Inc.(a) | | | | | 19,309 | | | | | | 111,413 | | |
American Public Education, Inc.(a) | | | | | 2,343 | | | | | | 66,049 | | |
Asbury Automotive Group, Inc.(a) | | | | | 364 | | | | | | 35,472 | | |
Brinker International, Inc. | | | | | 742 | | | | | | 31,698 | | |
Cooper-Standard Holdings, Inc.(a) | | | | | 1,335 | | | | | | 17,635 | | |
Core-Mark Holding Co., Inc. | | | | | 4,791 | | | | | | 138,604 | | |
Dine Brands Global, Inc. | | | | | 1,424 | | | | | | 77,736 | | |
Dunkin’ Brands Group, Inc. | | | | | 16,600 | | | | | | 1,359,706 | | |
Fossil Group, Inc.(a) | | | | | 5,592 | | | | | | 32,098 | | |
Goodyear Tire & Rubber Co. (The) | | | | | 5,495 | | | | | | 42,147 | | |
GoPro, Inc., Class A(a) | | | | | 18,482 | | | | | | 83,723 | | |
Haverty Furniture Cos., Inc. | | | | | 3,843 | | | | | | 80,472 | | |
Hibbett Sports, Inc.(a) | | | | | 2,687 | | | | | | 105,384 | | |
Home Depot, Inc. (The) | | | | | 23,525 | | | | | | 6,533,128 | | |
Leaf Group Ltd.(a) | | | | | 2,493 | | | | | | 12,515 | | |
LKQ Corp.(a) | | | | | 110,425 | | | | | | 3,062,085 | | |
MarineMax, Inc.(a) | | | | | 2,158 | | | | | | 55,396 | | |
Modine Manufacturing Co.(a) | | | | | 9,230 | | | | | | 57,688 | | |
Perdoceo Education Corp.(a) | | | | | 8,521 | | | | | | 104,297 | | |
PlayAGS, Inc.(a) | | | | | 5,501 | | | | | | 19,474 | | |
Rent-A-Center, Inc. | | | | | 4,833 | | | | | | 144,458 | | |
Sonos, Inc.(a) | | | | | 1,033 | | | | | | 15,681 | | |
Sturm Ruger & Co., Inc. | | | | | 1,851 | | | | | | 113,207 | | |
Superior Industries International, Inc.(a) | | | | | 4,471 | | | | | | 5,589 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
CONSUMER DISCRETIONARY – (continued) | | ||||||||||||
Tenneco, Inc., Class A(a) | | | | | 2,215 | | | | | $ | 15,372 | | |
Tractor Supply Co. | | | | | 15,150 | | | | | | 2,171,601 | | |
Tupperware Brands Corp. | | | | | 3,612 | | | | | | 72,818 | | |
Ulta Beauty, Inc.(a) | | | | | 10,250 | | | | | | 2,295,795 | | |
Unifi, Inc.(a) | | | | | 4,142 | | | | | | 53,183 | | |
Universal Electronics, Inc.(a) | | | | | 1,740 | | | | | | 65,668 | | |
Vera Bradley, Inc.(a) | | | | | 5,192 | | | | | | 31,723 | | |
Vista Outdoor, Inc.(a) | | | | | 8,332 | | | | | | 168,140 | | |
ZAGG, Inc.(a) | | | | | 4,085 | | | | | | 11,438 | | |
Total Consumer Discretionary | | | | | 27,072,493 | | | ||||||
CONSUMER STAPLES – 2.4% | | ||||||||||||
Beiersdorf AG, ADR | | | | | 3,943 | | | | | | 89,979 | | |
Brown-Forman Corp., Class B | | | | | 7,950 | | | | | | 598,794 | | |
Cal-Maine Foods, Inc.(a) | | | | | 32,124 | | | | | | 1,232,598 | | |
Campbell Soup Co. | | | | | 12,400 | | | | | | 599,788 | | |
Central Garden & Pet Co., Class A(a) | | | | | 1,561 | | | | | | 56,414 | | |
Church & Dwight Co., Inc. | | | | | 5,600 | | | | | | 524,776 | | |
Coca-Cola Consolidated, Inc. | | | | | 651 | | | | | | 156,683 | | |
Diageo PLC, ADR | | | | | 10,095 | | | | | | 1,389,678 | | |
Henkel AG & Co. KGaA, ADR | | | | | 3,754 | | | | | | 87,042 | | |
Hershey Co. (The) | | | | | 15,100 | | | | | | 2,164,434 | | |
JM Smucker Co. (The) | | | | | 18,400 | | | | | | 2,125,568 | | |
Lamb Weston Holdings, Inc. | | | | | 74,100 | | | | | | 4,910,607 | | |
Lifevantage Corp.(a) | | | | | 1,570 | | | | | | 18,950 | | |
Medifast, Inc. | | | | | 887 | | | | | | 145,867 | | |
Molson Coors Brewing Co., Class B | | | | | 19,100 | | | | | | 640,996 | | |
Sanderson Farms, Inc. | | | | | 11,006 | | | | | | 1,298,378 | | |
TreeHouse Foods, Inc.(a) | | | | | 20,150 | | | | | | 816,679 | | |
USANA Health Sciences, Inc.(a) | | | | | 2,114 | | | | | | 155,696 | | |
Total Consumer Staples | | | | | 17,012,927 | | | ||||||
ENERGY – 0.6% | | ||||||||||||
Arch Resources, Inc. | | | | | 958 | | | | | | 40,696 | | |
Bonanza Creek Energy, Inc.(a) | | | | | 3,466 | | | | | | 65,161 | | |
Chevron Corp. | | | | | 44,400 | | | | | | 3,196,800 | | |
CONSOL Energy, Inc.(a) | | | | | 1,413 | | | | | | 6,260 | | |
Dorian LPG Ltd.(a) | | | | | 6,971 | | | | | | 55,838 | | |
Exterran Corp.(a) | | | | | 5,193 | | | | | | 21,603 | | |
Green Plains, Inc.(a) | | | | | 2,812 | | | | | | 43,530 | | |
Kosmos Energy Ltd. | | | | | 1,015,000 | | | | | | 990,234 | | |
Matrix Service Co.(a) | | | | | 2,551 | | | | | | 21,301 | | |
Nabors Industries Ltd. | | | | | 483 | | | | | | 11,804 | | |
Newpark Resources, Inc.(a) | | | | | 12,471 | | | | | | 13,094 | | |
Par Pacific Holdings, Inc.(a) | | | | | 8,742 | | | | | | 59,183 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
ENERGY – (continued) | | ||||||||||||
Patterson-UTI Energy, Inc. | | | | | 10,883 | | | | | $ | 31,016 | | |
Talos Energy, Inc.(a) | | | | | 3,660 | | | | | | 23,607 | | |
Total Energy | | | | | 4,580,127 | | | ||||||
FINANCIALS – 4.1% | | ||||||||||||
Alleghany Corp. | | | | | 176 | | | | | | 91,599 | | |
American Equity Investment Life Holding Co. | | | | | 5,520 | | | | | | 121,385 | | |
Aon PLC, Class A | | | | | 20,640 | | | | | | 4,258,032 | | |
Arthur J Gallagher & Co. | | | | | 23,000 | | | | | | 2,428,340 | | |
Axos Financial, Inc.(a) | | | | | 6,337 | | | | | | 147,715 | | |
Blucora, Inc.(a) | | | | | 4,721 | | | | | | 44,472 | | |
Brightsphere Investment Group, Inc. | | | | | 11,230 | | | | | | 144,867 | | |
CBTX, Inc. | | | | | 2,146 | | | | | | 35,066 | | |
Central Valley Community Bancorp | | | | | 622 | | | | | | 7,682 | | |
Charles Schwab Corp. (The) | | | | | 32,337 | | | | | | 1,171,569 | | |
Chubb Ltd. | | | | | 9,848 | | | | | | 1,143,550 | | |
Commerce Bancshares, Inc. | | | | | 7,700 | | | | | | 433,433 | | |
Cullen/Frost Bankers, Inc. | | | | | 15,500 | | | | | | 991,225 | | |
Eagle Bancorp, Inc. | | | | | 3,687 | | | | | | 98,775 | | |
Employers Holdings, Inc. | | | | | 3,896 | | | | | | 117,854 | | |
Enova International, Inc.(a) | | | | | 5,826 | | | | | | 95,488 | | |
Everest Re Group Ltd. | | | | | 11,591 | | | | | | 2,289,686 | | |
EZCORP, Inc., Class A(a) | | | | | 9,310 | | | | | | 46,829 | | |
Flagstar Bancorp, Inc. | | | | | 564 | | | | | | 16,711 | | |
Green Dot Corp., Class A(a) | | | | | 3,755 | | | | | | 190,040 | | |
Hanmi Financial Corp. | | | | | 7,938 | | | | | | 65,171 | | |
HBT Financial, Inc. | | | | | 958 | | | | | | 10,749 | | |
HCI Group, Inc. | | | | | 1,649 | | | | | | 81,279 | | |
Home Bancorp, Inc. | | | | | 298 | | | | | | 7,197 | | |
HomeStreet, Inc. | | | | | 4,543 | | | | | | 117,028 | | |
James River Group Holdings Ltd. | | | | | 4,493 | | | | | | 200,073 | | |
LendingClub Corp.(a) | | | | | 628 | | | | | | 2,958 | | |
MetLife, Inc. | | | | | 15,704 | | | | | | 583,718 | | |
Morgan Stanley | | | | | 67,225 | | | | | | 3,250,329 | | |
Morningstar, Inc. | | | | | 3,000 | | | | | | 481,830 | | |
MVB Financial Corp. | | | | | 565 | | | | | | 9,023 | | |
National Bank Holdings Corp., Class A | | | | | 3,886 | | | | | | 102,007 | | |
Northern Trust Corp. | | | | | 31,813 | | | | | | 2,480,460 | | |
Northrim BanCorp, Inc. | | | | | 136 | | | | | | 3,467 | | |
Preferred Bank | | | | | 2,396 | | | | | | 76,959 | | |
ProAssurance Corp. | | | | | 5,903 | | | | | | 92,323 | | |
Prosperity Bancshares, Inc. | | | | | 18,000 | | | | | | 932,940 | | |
Raymond James Financial, Inc. | | | | | 1,218 | | | | | | 88,622 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
FINANCIALS – (continued) | | ||||||||||||
Reinsurance Group of America, Inc. | | | | | 924 | | | | | $ | 87,956 | | |
Southern First Bancshares, Inc.(a) | | | | | 753 | | | | | | 18,185 | | |
Stewart Information Services Corp. | | | | | 3,189 | | | | | | 139,455 | | |
SVB Financial Group(a) | | | | | 4,050 | | | | | | 974,511 | | |
TD Ameritrade Holding Corp. | | | | | 4,599 | | | | | | 180,051 | | |
Towne Bank | | | | | 5,282 | | | | | | 86,625 | | |
Tradeweb Markets, Inc., Class A | | | | | 30,400 | | | | | | 1,763,200 | | |
Travelers Cos., Inc. (The) | | | | | 15,149 | | | | | | 1,638,970 | | |
Triumph Bancorp, Inc.(a) | | | | | 2,892 | | | | | | 90,057 | | |
UMB Financial Corp. | | | | | 1,790 | | | | | | 87,728 | | |
United Community Banks, Inc. | | | | | 4,897 | | | | | | 82,906 | | |
United Insurance Holdings Corp. | | | | | 2,641 | | | | | | 16,004 | | |
Universal Insurance Holdings, Inc. | | | | | 4,919 | | | | | | 68,079 | | |
Valley National Bancorp | | | | | 37,819 | | | | | | 259,060 | | |
Virtu Financial, Inc., Class A | | | | | 58,000 | | | | | | 1,334,580 | | |
Waddell & Reed Financial, Inc., Class A | | | | | 9,529 | | | | | | 141,506 | | |
Total Financials | | | | | 29,429,324 | | | ||||||
HEALTH CARE – 7.1% | | ||||||||||||
Acorda Therapeutics, Inc.(a) | | | | | 18,159 | | | | | | 9,352 | | |
Adamas Pharmaceuticals, Inc.(a) | | | | | 2,907 | | | | | | 11,977 | | |
Aldeyra Therapeutics, Inc.(a) | | | | | 1,524 | | | | | | 11,293 | | |
Align Technology, Inc.(a) | | | | | 4,850 | | | | | | 1,587,696 | | |
Allscripts Healthcare Solutions, Inc.(a) | | | | | 17,727 | | | | | | 144,298 | | |
AMAG Pharmaceuticals, Inc.(a) | | | | | 6,510 | | | | | | 61,194 | | |
Amphastar Pharmaceuticals, Inc.(a) | | | | | 5,579 | | | | | | 104,606 | | |
AngioDynamics, Inc.(a) | | | | | 6,503 | | | | | | 78,426 | | |
Assertio Holdings, Inc.(a) | | | | | 15,207 | | | | | | 10,123 | | |
Baxter International, Inc. | | | | | 2,142 | | | | | | 172,260 | | |
Becton Dickinson and Co. | | | | | 1,161 | | | | | | 270,141 | | |
Bio-Rad Laboratories, Inc., Class A(a) | | | | | 1,970 | | | | | | 1,015,456 | | |
Bio-Techne Corp. | | | | | 8,750 | | | | | | 2,167,637 | | |
Bluebird Bio, Inc.(a) | | | | | 153 | | | | | | 8,254 | | |
Cantel Medical Corp. | | | | | 18,650 | | | | | | 819,481 | | |
Cara Therapeutics, Inc.(a) | | | | | 507 | | | | | | 6,452 | | |
Cardiovascular Systems, Inc.(a) | | | | | 3,151 | | | | | | 123,992 | | |
Castlight Health, Inc., Class B(a) | | | | | 10,312 | | | | | | 11,653 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
HEALTH CARE – (continued) | | ||||||||||||
Catalent, Inc.(a) | | | | | 23,550 | | | | | $ | 2,017,293 | | |
Computer Programs & Systems, Inc. | | | | | 1,024 | | | | | | 28,273 | | |
Cooper Cos., Inc. (The) | | | | | 5,100 | | | | | | 1,719,312 | | |
Corcept Therapeutics, Inc.(a) | | | | | 8,324 | | | | | | 144,879 | | |
Cross Country Healthcare, Inc.(a) | | | | | 5,104 | | | | | | 33,125 | | |
CytomX Therapeutics, Inc.(a) | | | | | 3,806 | | | | | | 25,310 | | |
DENTSPLY SIRONA, Inc. | | | | | 81,714 | | | | | | 3,573,353 | | |
Eagle Pharmaceuticals, Inc.(a) | | | | | 1,934 | | | | | | 82,156 | | |
Edwards Lifesciences Corp.(a) | | | | | 26,500 | | | | | | 2,115,230 | | |
Enanta Pharmaceuticals, Inc.(a) | | | | | 2,179 | | | | | | 99,755 | | |
Endo International PLC(a) | | | | | 12,826 | | | | | | 42,326 | | |
Envista Holdings Corp.(a) | | | | | 27,346 | | | | | | 674,899 | | |
Globus Medical, Inc., Class A(a) | | | | | 15,758 | | | | | | 780,336 | | |
Hanger, Inc.(a) | | | | | 100 | | | | | | 1,582 | | |
HCA Healthcare, Inc. | | | | | 22,800 | | | | | | 2,842,704 | | |
HealthStream, Inc.(a) | | | | | 2,428 | | | | | | 48,730 | | |
Homology Medicines, Inc.(a) | | | | | 584 | | | | | | 6,249 | | |
ICU Medical, Inc.(a) | | | | | 6,712 | | | | | | 1,226,685 | | |
Integra LifeSciences Holdings Corp.(a) | | | | | 32,250 | | | | | | 1,522,845 | | |
Intercept Pharmaceuticals, Inc.(a) | | | | | 350 | | | | | | 14,511 | | |
Johnson & Johnson | | | | | 5,416 | | | | | | 806,334 | | |
Lannett Co., Inc.(a) | | | | | 3,599 | | | | | | 21,990 | | |
Magellan Health, Inc.(a) | | | | | 2,192 | | | | | | 166,110 | | |
Masimo Corp.(a) | | | | | 20,465 | | | | | | 4,830,968 | | |
Medtronic PLC | | | | | 1,663 | | | | | | 172,819 | | |
Merit Medical Systems, Inc.(a) | | | | | 38,068 | | | | | | 1,655,958 | | |
Minerva Neurosciences, Inc.(a) | | | | | 2,334 | | | | | | 7,422 | | |
Myriad Genetics, Inc.(a) | | | | | 10,371 | | | | | | 135,238 | | |
Natus Medical, Inc.(a) | | | | | 4,064 | | | | | | 69,616 | | |
Neuronetics, Inc.(a) | | | | | 3,850 | | | | | | 18,711 | | |
NextGen Healthcare, Inc.(a) | | | | | 8,458 | | | | | | 107,755 | | |
Orthofix Medical, Inc.(a) | | | | | 2,617 | | | | | | 81,493 | | |
Owens & Minor, Inc. | | | | | 3,755 | | | | | | 94,288 | | |
Pieris Pharmaceuticals, Inc.(a) | | | | | 1,611 | | | | | | 3,335 | | |
Radius Health, Inc.(a) | | | | | 2,227 | | | | | | 25,254 | | |
Recro Pharma, Inc.(a) | | | | | 5,267 | | | | | | 11,061 | | |
Retrophin, Inc.(a) | | | | | 3,169 | | | | | | 58,500 | | |
Smith & Nephew PLC, ADR | | | | | 33,788 | | | | | | 1,321,111 | | |
Spectrum Pharmaceuticals, Inc.(a) | | | | | 11,320 | | | | | | 46,186 | | |
Supernus Pharmaceuticals, Inc.(a) | | | | | 7,694 | | | | | | 160,343 | | |
Surmodics, Inc.(a) | | | | | 1,801 | | | | | | 70,077 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
HEALTH CARE – (continued) | | ||||||||||||
Sutro Biopharma, Inc.(a) | | | | | 761 | | | | | $ | 7,648 | | |
Thermo Fisher Scientific, Inc. | | | | | 10,315 | | | | | | 4,554,279 | | |
United Therapeutics Corp.(a) | | | | | 1,065 | | | | | | 107,565 | | |
UnitedHealth Group, Inc. | | | | | 20,970 | | | | | | 6,537,817 | | |
Universal Health Services, Inc., Class B | | | | | 3,762 | | | | | | 402,609 | | |
Vanda Pharmaceuticals, Inc.(a) | | | | | 9,722 | | | | | | 93,914 | | |
Varex Imaging Corp.(a) | | | | | 3,420 | | | | | | 43,502 | | |
Varian Medical Systems, Inc.(a) | | | | | 4,634 | | | | | | 797,048 | | |
Veeva Systems, Inc., Class A(a) | | | | | 8,100 | | | | | | 2,277,639 | | |
Waters Corp.(a) | | | | | 7,800 | | | | | | 1,526,304 | | |
West Pharmaceutical Services, Inc. | | | | | 4,800 | | | | | | 1,319,520 | | |
Wright Medical Group N.V.(a) | | | | | 8,764 | | | | | | 267,653 | | |
Total Health Care | | | | | 51,413,911 | | | ||||||
INDUSTRIALS – 4.2% | | ||||||||||||
3M Co. | | | | | 9,955 | | | | | | 1,594,592 | | |
Aerojet Rocketdyne Holdings, Inc.(a) | | | | | 768 | | | | | | 30,636 | | |
Allegiant Travel Co. | | | | | 1,097 | | | | | | 131,421 | | |
AMETEK, Inc. | | | | | 27,600 | | | | | | 2,743,440 | | |
AO Smith Corp. | | | | | 1,674 | | | | | | 88,387 | | |
Apogee Enterprises, Inc. | | | | | 4,380 | | | | | | 93,601 | | |
ArcBest Corp. | | | | | 3,508 | | | | | | 108,958 | | |
Arcosa, Inc. | | | | | 4,073 | | | | | | 179,579 | | |
Astec Industries, Inc. | | | | | 3,549 | | | | | | 192,533 | | |
Astronics Corp.(a) | | | | | 5,130 | | | | | | 39,604 | | |
Barrett Business Services, Inc. | | | | | 384 | | | | | | 20,137 | | |
Clarivate Analytics PLC(a) | | | | | 73,900 | | | | | | 2,290,161 | | |
DXP Enterprises, Inc.(a) | | | | | 2,553 | | | | | | 41,180 | | |
Echo Global Logistics, Inc.(a) | | | | | 4,074 | | | | | | 104,987 | | |
Fortive Corp. | | | | | 37,900 | | | | | | 2,888,359 | | |
Graco, Inc. | | | | | 1,469 | | | | | | 90,123 | | |
Heidrick & Struggles International, Inc. | | | | | 2,455 | | | | | | 48,241 | | |
IDEX Corp. | | | | | 9,050 | | | | | | 1,650,810 | | |
Insperity, Inc. | | | | | 257 | | | | | | 16,831 | | |
Interface, Inc. | | | | | 10,658 | | | | | | 65,227 | | |
Knight-Swift Transportation Holdings, Inc. | | | | | 66,400 | | | | | | 2,702,480 | | |
Lindsay Corp. | | | | | 5,495 | | | | | | 531,257 | | |
Lydall, Inc.(a) | | | | | 3,038 | | | | | | 50,249 | | |
Manitowoc Co., Inc. (The)(a) | | | | | 1,240 | | | | | | 10,428 | | |
Meritor, Inc.(a) | | | | | 650 | | | | | | 13,611 | | |
Moog, Inc., Class A | | | | | 959 | | | | | | 60,925 | | |
Mueller Water Products, Inc., Class A | | | | | 56,808 | | | | | | 590,235 | | |
MYR Group, Inc.(a) | | | | | 2,847 | | | | | | 105,851 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
INDUSTRIALS – (continued) | | ||||||||||||
Nordson Corp. | | | | | 3,000 | | | | | $ | 575,460 | | |
NOW, Inc.(a) | | | | | 19,528 | | | | | | 88,657 | | |
Powell Industries, Inc. | | | | | 1,681 | | | | | | 40,563 | | |
Quanex Building Products Corp. | | | | | 4,254 | | | | | | 78,444 | | |
Raytheon Technologies Corp. | | | | | 2,856 | | | | | | 164,334 | | |
Resideo Technologies, Inc.(a) | | | | | 4,394 | | | | | | 48,334 | | |
Rockwell Automation, Inc. | | | | | 6,930 | | | | | | 1,529,312 | | |
Roper Technologies, Inc. | | | | | 5,000 | | | | | | 1,975,550 | | |
Schneider Electric SE, ADR | | | | | 3,589 | | | | | | 89,402 | | |
SkyWest, Inc. | | | | | 3,905 | | | | | | 116,603 | | |
Team, Inc.(a) | | | | | 6,480 | | | | | | 35,640 | | |
Tennant Co. | | | | | 1,477 | | | | | | 89,152 | | |
Titan International, Inc. | | | | | 11,312 | | | | | | 32,692 | | |
Toro Co. (The) | | | | | 16,800 | | | | | | 1,410,360 | | |
Triumph Group, Inc. | | | | | 4,348 | | | | | | 28,305 | | |
TrueBlue, Inc.(a) | | | | | 5,528 | | | | | | 85,629 | | |
Union Pacific Corp. | | | | | 36,400 | | | | | | 7,166,068 | | |
Veritiv Corp.(a) | | | | | 2,584 | | | | | | 32,713 | | |
Total Industrials | | | | | 30,071,061 | �� | | ||||||
INFORMATION TECHNOLOGY – 9.1% | | ||||||||||||
A10 Networks, Inc.(a) | | | | | 5,289 | | | | | | 33,691 | | |
Accenture PLC, Class A | | | | | 12,500 | | | | | | 2,824,875 | | |
ADTRAN, Inc. | | | | | 7,164 | | | | | | 73,467 | | |
Agilysys, Inc.(a) | | | | | 4,067 | | | | | | 98,259 | | |
Amphenol Corp., Class A | | | | | 15,547 | | | | | | 1,683,274 | | |
Amtech Systems, Inc.(a) | | | | | 2,152 | | | | | | 10,523 | | |
Applied Materials, Inc. | | | | | 4,813 | | | | | | 286,133 | | |
Arlo Technologies, Inc.(a) | | | | | 7,308 | | | | | | 38,440 | | |
AstroNova, Inc. | | | | | 1,223 | | | | | | 9,808 | | |
Avaya Holdings Corp.(a) | | | | | 548 | | | | | | 8,330 | | |
Aviat Networks, Inc.(a) | | | | | 875 | | | | | | 19,215 | | |
Avid Technology, Inc.(a) | | | | | 4,101 | | | | | | 35,105 | | |
Axcelis Technologies, Inc.(a) | | | | | 6,341 | | | | | | 139,502 | | |
Bel Fuse, Inc., Class B | | | | | 776 | | | | | | 8,288 | | |
Benchmark Electronics, Inc. | | | | | 2,794 | | | | | | 56,299 | | |
Benefitfocus, Inc.(a) | | | | | 1,334 | | | | | | 14,941 | | |
Broadridge Financial Solutions, Inc. | | | | | 25,600 | | | | | | 3,379,200 | | |
CalAmp Corp.(a) | | | | | 5,317 | | | | | | 38,229 | | |
Casa Systems, Inc.(a) | | | | | 2,385 | | | | | | 9,611 | | |
CommScope Holding Co., Inc.(a) | | | | | 1,914 | | | | | | 17,226 | | |
Comtech Telecommunications Corp. | | | | | 5,161 | | | | | | 72,254 | | |
CSG Systems International, Inc. | | | | | 4,125 | | | | | | 168,919 | | |
Daktronics, Inc. | | | | | 6,639 | | | | | | 26,290 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
INFORMATION TECHNOLOGY – (continued) | | ||||||||||||
Diebold Nixdorf, Inc.(a) | | | | | 2,317 | | | | | $ | 17,702 | | |
DSP Group, Inc.(a) | | | | | 3,788 | | | | | | 49,926 | | |
Endurance International Group Holdings, Inc.(a) | | | | | 10,531 | | | | | | 60,448 | | |
Entegris, Inc. | | | | | 29,450 | | | | | | 2,189,313 | | |
Extreme Networks, Inc.(a) | | | | | 24,484 | | | | | | 98,426 | | |
Harmonic, Inc.(a) | | | | | 12,071 | | | | | | 67,356 | | |
Infinera Corp.(a) | | | | | 5,456 | | | | | | 33,609 | | |
Kulicke & Soffa Industries, Inc. | | | | | 6,461 | | | | | | 144,726 | | |
Mastercard, Inc., Class A | | | | | 18,640 | | | | | | 6,303,489 | | |
Medallia, Inc.(a) | | | | | 61,600 | | | | | | 1,689,072 | | |
Microsoft Corp. | | | | | 40,000 | | | | | | 8,413,200 | | |
MicroStrategy, Inc., Class A(a) | | | | | 1,095 | | | | | | 164,863 | | |
MobileIron, Inc.(a) | | | | | 4,775 | | | | | | 33,473 | | |
Motorola Solutions, Inc. | | | | | 26,400 | | | | | | 4,139,784 | | |
MTS Systems Corp. | | | | | 3,013 | | | | | ��� | 57,578 | | |
NeoPhotonics Corp.(a) | | | | | 3,185 | | | | | | 19,397 | | |
NETGEAR, Inc.(a) | | | | | 4,121 | | | | | | 127,009 | | |
New Relic, Inc.(a) | | | | | 15,650 | | | | | | 882,034 | | |
Nutanix, Inc., Class A(a) | | | | | 20,050 | | | | | | 444,709 | | |
Okta, Inc.(a) | | | | | 7,700 | | | | | | 1,646,645 | | |
ON Semiconductor Corp.(a) | | | | | 267,549 | | | | | | 5,803,138 | | |
Palo Alto Networks, Inc.(a) | | | | | 8,000 | | | | | | 1,958,000 | | |
PC Connection, Inc. | | | | | 1,917 | | | | | | 78,712 | | |
Pixelworks, Inc.(a) | | | | | 6,718 | | | | | | 13,772 | | |
Plantronics, Inc. | | | | | 8,289 | | | | | | 98,142 | | |
Progress Software Corp. | | | | | 3,745 | | | | | | 137,367 | | |
Proofpoint, Inc.(a) | | | | | 9,700 | | | | | | 1,023,835 | | |
Pure Storage, Inc., Class A(a) | | | | | 90,900 | | | | | | 1,398,951 | | |
Q2 Holdings, Inc.(a) | | | | | 6,150 | | | | | | 561,249 | | |
Quantum Corp.(a) | | | | | 2,329 | | | | | | 10,713 | | |
Ribbon Communications, Inc.(a) | | | | | 3,341 | | | | | | 12,930 | | |
ScanSource, Inc.(a) | | | | | 3,810 | | | | | | 75,552 | | |
SeaChange International, Inc.(a) | | | | | 10,886 | | | | | | 9,475 | | |
ServiceNow, Inc.(a) | | | | | 3,000 | | | | | | 1,455,000 | | |
SMART Global Holdings, Inc.(a) | | | | | 2,189 | | | | | | 59,847 | | |
Smartsheet, Inc., Class A(a) | | | | | 36,400 | | | | | | 1,798,888 | | |
Splunk, Inc.(a) | | | | | 11,250 | | | | | | 2,116,462 | | |
Super Micro Computer, Inc.(a) | | | | | 1,014 | | | | | | 26,770 | | |
Synaptics, Inc.(a) | | | | | 1,210 | | | | | | 97,308 | | |
Synchronoss Technologies, Inc.(a) | | | | | 5,832 | | | | | | 17,554 | | |
Synopsys, Inc.(a) | | | | | 4,750 | | | | | | 1,016,405 | | |
Telenav, Inc.(a) | | | | | 1,459 | | | | | | 5,252 | | |
Teradata Corp.(a) | | | | | 761 | | | | | | 17,275 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
INFORMATION TECHNOLOGY – (continued) | | ||||||||||||
Texas Instruments, Inc. | | | | | 48,000 | | | | | $ | 6,853,920 | | |
Veeco Instruments, Inc.(a) | | | | | 5,146 | | | | | | 60,054 | | |
Workday, Inc., Class A(a) | | | | | 14,100 | | | | | | 3,033,333 | | |
Zendesk, Inc.(a) | | | | | 7,875 | | | | | | 810,495 | | |
Zscaler, Inc.(a) | | | | | 13,500 | | | | | | 1,899,315 | | |
Total Information Technology | | | | | 66,084,352 | | | ||||||
MATERIALS – 2.5% | | ||||||||||||
AdvanSix, Inc.(a) | | | | | 5,329 | | | | | | 68,637 | | |
AptarGroup, Inc. | | | | | 16,758 | | | | | | 1,897,006 | | |
Boise Cascade Co. | | | | | 4,764 | | | | | | 190,179 | | |
Clearwater Paper Corp.(a) | | | | | 2,993 | | | | | | 113,554 | | |
Hawkins, Inc. | | | | | 1,119 | | | | | | 51,586 | | |
Innospec, Inc. | | | | | 2,652 | | | | | | 167,925 | | |
Kraton Corp.(a) | | | | | 4,926 | | | | | | 87,781 | | |
Martin Marietta Materials, Inc. | | | | | 794 | | | | | | 186,876 | | |
Myers Industries, Inc. | | | | | 4,457 | | | | | | 58,966 | | |
Nutrien Ltd. | | | | | 76,425 | | | | | | 2,998,153 | | |
Ryerson Holding Corp.(a) | | | | | 1,138 | | | | | | 6,521 | | |
Sherwin-Williams Co. (The) | | | | | 10,165 | | | | | | 7,082,362 | | |
Stepan Co. | | | | | 1,896 | | | | | | 206,664 | | |
TimkenSteel Corp.(a) | | | | | 7,761 | | | | | | 27,551 | | |
Trinseo S.A. | | | | | 4,358 | | | | | | 111,739 | | |
Wheaton Precious Metals Corp. | | | | | 93,225 | | | | | | 4,574,551 | | |
Total Materials | | | | | 17,830,051 | | | ||||||
REAL ESTATE – 0.4% | | ||||||||||||
Armada Hoffler Properties, Inc. | | | | | 8,132 | | | | | | 75,302 | | |
AvalonBay Communities, Inc. | | | | | 1,757 | | | | | | 262,390 | | |
Boston Properties, Inc. | | | | | 3,118 | | | | | | 250,376 | | |
CBRE Group, Inc., Class A(a) | | | | | 3,667 | | | | | | 172,239 | | |
Equity Commonwealth | | | | | 56,713 | | | | | | 1,510,267 | | |
Four Corners Property Trust, Inc. | | | | | 8,063 | | | | | | 206,332 | | |
Front Yard Residential Corp. | | | | | 1,459 | | | | | | 12,752 | | |
Healthcare Realty Trust, Inc. | | | | | 6,219 | | | | | | 187,316 | | |
Investors Real Estate Trust | | | | | 1,163 | | | | | | 75,793 | | |
Retail Opportunity Investments Corp. | | | | | 15,553 | | | | | | 161,985 | | |
Summit Hotel Properties, Inc. | | | | | 7,875 | | | | | | 40,793 | | |
Xenia Hotels & Resorts, Inc. | | | | | 1,953 | | | | | | 17,147 | | |
Total Real Estate | | | | | 2,972,692 | | | ||||||
|
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
UTILITIES – 0.4% | | ||||||||||||
Avista Corp. | | | | | 3,975 | | | | | $ | 135,627 | | |
California Water Service Group | | | | | 8,571 | | | | | | 372,410 | | |
Essential Utilities, Inc. | | | | | 18,050 | | | | | | 726,512 | | |
Middlesex Water Co. | | | | | 2,878 | | | | | | 178,868 | | |
SJW Group | | | | | 20,870 | | | | | | 1,270,148 | | |
Total Utilities | | | | | 2,683,565 | | | ||||||
TOTAL COMMON STOCKS (Cost: $239,996,329) | | | | | 268,802,842 | | | ||||||
EXCHANGE-TRADED FUND – 60.6% | | ||||||||||||
Vanguard Total Stock Market ETF (Cost: $405,988,524) | | | | | 2,569,491 | | | | | | 437,610,012 | | |
SHORT-TERM INVESTMENTS – 2.2% | | ||||||||||||
State Street Institutional Treasury Money Market Fund – Investor Class Shares, 0.14%(b) (Cost: $15,831,252) | | | | | 15,831,252 | | | | | | 15,831,252 | | |
TOTAL INVESTMENTS – 100.0% (Cost: $661,816,105) | | | | | 722,244,106 | | | ||||||
OTHER ASSETS AND LIABILITIES, NET – 0.0%(c) | | | ��� | | 255,352 | | | ||||||
NET ASSETS – 100.0% | | | | | | | | | | $ | 722,499,458 | | |
|
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | 268,802,842 | | | | | $ | — | | | | | $ | — | | | | | $ | 268,802,842 | | |
Exchange-Traded Fund | | | | | 437,610,012 | | | | | | — | | | | | | — | | | | | | 437,610,012 | | |
Money Market Fund | | | | | 15,831,252 | | | | | | — | | | | | | — | | | | | | 15,831,252 | | |
Total | | | | $ | 722,244,106 | | | | | $ | — | | | | | $ | — | | | | | $ | 722,244,106 | | |
Investments | | | Shares | | | Value | | | | ||||||||||
COMMON STOCKS – 57.6% | | | | | | | | ||||||||||||
ARGENTINA – 0.9% | | | | | | | | ||||||||||||
MercadoLibre, Inc.(a) | | | | | 3,107 | | | | | $ | 3,363,265 | | | | | ||||
AUSTRALIA – 1.4% | | | | | | | | ||||||||||||
Adairs Ltd. | | | | | 17,842 | | | | | | 41,533 | | | | | ||||
Atlassian Corp. PLC, Class A(a) | | | | | 1,606 | | | | | | 291,955 | | | | | ||||
Australian Pharmaceutical Industries Ltd. | | | | | 20,477 | | | | | | 15,400 | | | | | ||||
BHP Group PLC | | | | | 14,566 | | | | | | 310,836 | | | | | ||||
BlueScope Steel Ltd. | | | | | 34,305 | | | | | | 312,051 | | | | | ||||
CSL Ltd. | | | | | 14,335 | | | | | | 2,946,755 | | | | | ||||
Fortescue Metals Group Ltd. | | | | | 55,572 | | | | | | 648,796 | | | | | ||||
GWA Group Ltd. | | | | | 139,775 | | | | | | 278,316 | | | | | ||||
Lycopodium Ltd. | | | | | 2,746 | | | | | | 8,202 | | | | | ||||
Newcrest Mining Ltd. | | | | | 10,488 | | | | | | 234,676 | | | | | ||||
Regis Healthcare Ltd. | | | | | 8,804 | | | | | | 6,558 | | | | | ||||
Servcorp Ltd. | | | | | 3,197 | | | | | | 5,564 | | | | | ||||
Sigma Healthcare Ltd.(a) | | | | | 151,826 | | | | | | 64,160 | | | | | ||||
South32 Ltd. | | | | | 241,304 | | | | | | 352,581 | | | | | ||||
Total Australia | | | | | | | | | | | 5,517,383 | | | | | ||||
AUSTRIA – 0.2% | | | | | | | | ||||||||||||
Erste Group Bank AG(a) | | | | | 25,500 | | | | | | 534,417 | | | | | ||||
Kapsch TrafficCom AG(a) | | | | | 455 | | | | | | 6,588 | | | | | ||||
Raiffeisen Bank International AG(a) | | | | | 6,086 | | | | | | 93,262 | | | | | ||||
Total Austria | | | | | | | | | | | 634,267 | | | | | ||||
BELGIUM – 0.2% | | | | | | | | ||||||||||||
Ageas SA | | | | | 12,064 | | | | | | 493,075 | | | | | ||||
Barco N.V. | | | | | 7,247 | | | | | | 152,092 | | | | | ||||
bpost S.A.(a) | | | | | 11,623 | | | | | | 102,410 | | | | | ||||
D’ieteren S.A. | | | | | 2,523 | | | | | | 157,074 | | | | | ||||
Deceuninck N.V.(a) | | | | | 5,252 | | | | | | 9,175 | | | | | ||||
Econocom Group S.A.(a) | | | | | 9,336 | | | | | | 28,186 | | | | | ||||
Total Belgium | | | | | | | | | | | 942,012 | | | | | ||||
BRAZIL – 0.8% | | | | | | | | ||||||||||||
B3 S.A. — Brasil Bolsa Balcao | | | | | 24,161 | | | | | | 236,667 | | | | | ||||
Cia de Saneamento Basico do Estado de Sao Paulo | | | | | 21,800 | | | | | | 181,670 | | | | | ||||
Duratex S.A. | | | | | 35,410 | | | | | | 113,054 | | | | | ||||
Equatorial Energia S.A. | | | | | 61,097 | | | | | | 230,423 | | | | | ||||
Itau Unibanco Holding S.A., ADR | | | | | 145,935 | | | | | | 580,821 | | | | | ||||
Klabin S.A., (Unit) | | | | | 30,205 | | | | | | 128,008 | | | | | ||||
Lojas Renner S.A. | | | | | 74,381 | | | | | | 525,153 | | | | | ||||
Pagseguro Digital Ltd., Class A(a) | | | | | 3,386 | | | | | | 127,686 | | | | | ||||
Petroleo Brasileiro S.A., ADR | | | | | 2,241 | | | | | | 15,956 | | | | | ||||
Raia Drogasil S.A. | | | | | 70,740 | | | | | | 295,007 | | | | |
Investments | | | Shares | | | Value | | | | ||||||||||
COMMON STOCKS – (continued) | | | | ||||||||||||||||
BRAZIL – (continued) | | | | ||||||||||||||||
Vale S.A., ADR | | | | | 24,718 | | | | | $ | 261,516 | | | | | ||||
WEG S.A. | | | | | 22,262 | | | | | | 260,442 | | | | | ||||
Total Brazil | | | | | | | | | | | 2,956,403 | | | | | ||||
BRITAIN – 4.5% | | | | | | | | ||||||||||||
3i Group PLC | | | | | 3,779 | | | | | | 48,597 | | | | | ||||
Anglo American PLC | | | | | 809 | | | | | | 19,581 | | | | | ||||
Aptitude Software Group PLC | | | | | 3,430 | | | | | | 20,005 | | | | | ||||
Ashtead Group PLC | | | | | 35,600 | | | | | | 1,286,220 | | | | | ||||
Barratt Developments PLC | | | | | 33,058 | | | | | | 202,959 | | | | | ||||
Bloomsbury Publishing PLC | | | | | 76,171 | | | | | | 195,591 | | | | | ||||
Brickability Group PLC | | | | | 15,725 | | | | | | 9,131 | | | | | ||||
Bunzl PLC | | | | | 2,430 | | | | | | 78,608 | | | | | ||||
Close Brothers Group PLC | | | | | 47,500 | | | | | | 625,787 | | | | | ||||
Coca-Cola European Partners PLC | | | | | 27,683 | | | | | | 1,074,377 | | | | | ||||
Codemasters Group Holdings PLC(a) | | | | | 19,027 | | | | | | 89,613 | | | | | ||||
Compass Group PLC | | | | | 54,000 | | | | | | 814,546 | | | | | ||||
Dixons Carphone PLC | | | | | 189,657 | | | | | | 228,327 | | | | | ||||
Ferguson PLC | | | | | 8,760 | | | | | | 883,026 | | | | | ||||
First Derivatives PLC | | | | | 7,368 | | | | | | 315,167 | | | | | ||||
Gamma Communications PLC | | | | | 12,420 | | | | | | 264,431 | | | | | ||||
Gateley Holdings PLC(a) | | | | | 5,363 | | | | | | 8,546 | | | | | ||||
Gear4Music Holdings PLC(a) | | | | | 3,472 | | | | | | 27,329 | | | | | ||||
Genus PLC | | | | | 5,008 | | | | | | 249,048 | | | | | ||||
Informa PLC(a) | | | | | 47,253 | | | | | | 229,563 | | | | | ||||
International Personal Finance PLC(a) | | | | | 15,822 | | | | | | 9,473 | | | | | ||||
JET2 PLC | | | | | 21,399 | | | | | | 185,416 | | | | | ||||
Judges Scientific PLC | | | | | 276 | | | | | | 17,308 | | | | | ||||
Keystone Law Group PLC | | | | | 2,569 | | | | | | 16,160 | | | | | ||||
Legal & General Group PLC | | | | | 79,295 | | | | | | 192,716 | | | | | ||||
M&G PLC | | | | | 133,580 | | | | | | 274,922 | | | | | ||||
Nexus Infrastructure PLC | | | | | 5,820 | | | | | | 10,213 | | | | | ||||
Paragon Banking Group PLC | | | | | 59,716 | | | | | | 256,591 | | | | | ||||
Porvair PLC | | | | | 36,187 | | | | | | 238,139 | | | | | ||||
Prudential PLC | | | | | 22,861 | | | | | | 327,140 | | | | | ||||
Reach PLC | | | | | 137,702 | | | | | | 136,994 | | | | | ||||
Reckitt Benckiser Group PLC | | | | | 11,100 | | | | | | 1,082,809 | | | | | ||||
RELX PLC | | | | | 25,737 | | | | | | 573,200 | | | | | ||||
Rentokil Initial PLC(a) | | | | | 187,400 | | | | | | 1,295,142 | | | | | ||||
Rio Tinto Ltd. | | | | | 8,806 | | | | | | 594,904 | | | | | ||||
Rio Tinto PLC | | | | | 306 | | | | | | 18,382 | | | | | ||||
Rio Tinto PLC, ADR | | | | | 7,344 | | | | | | 443,504 | | | | | ||||
RSA Insurance Group PLC | | | | | 45,578 | | | | | | 265,652 | | | | | ||||
Smith & Nephew PLC | | | | | 92,493 | | | | | | 1,809,917 | | | | |
Investments | | | Shares | | | Value | | | | ||||||||||
COMMON STOCKS – (continued) | | | | ||||||||||||||||
BRITAIN – (continued) | | | | ||||||||||||||||
Spirent Communications PLC | | | | | 77,078 | | | | | $ | 284,449 | | | | | ||||
St James’s Place PLC | | | | | 8,151 | | | | | | 97,919 | | | | | ||||
SThree PLC | | | | | 37,329 | | | | | | 115,602 | | | | | ||||
Telit Communications PLC(a) | | | | | 12,541 | | | | | | 22,008 | | | | | ||||
Tesco PLC | | | | | 178,981 | | | | | | 490,765 | | | | | ||||
Unilever N.V. | | | | | 20,300 | | | | | | 1,225,738 | | | | | ||||
Unilever PLC | | | | | 8,168 | | | | | | 503,370 | | | | | ||||
Vodafone Group PLC | | | | | 120,232 | | | | | | 159,299 | | | | | ||||
Total Britain | | | | | | | | | | | 17,318,184 | | | | | ||||
CANADA – 2.8% | | | | | | | | ||||||||||||
5N Plus, Inc.(a) | | | | | 6,300 | | | | | | 8,469 | | | | | ||||
Brookfield Asset Management, Inc., Class A | | | | | 41,000 | | | | | | 1,356,660 | | | | | ||||
Cameco Corp. | | | | | 41,700 | | | | | | 421,212 | | | | | ||||
Canadian National Railway Co. | | | | | 3,218 | | | | | | 342,717 | | | | | ||||
Canadian Pacific Railway Ltd. | | | | | 5,740 | | | | | | 1,747,428 | | | | | ||||
Constellation Software, Inc. | | | | | 300 | | | | | | 333,363 | | | | | ||||
DREAM Unlimited Corp., Class A | | | | | 17,350 | | | | | | 253,432 | | | | | ||||
Heroux-Devtek, Inc.(a) | | | | | 20,878 | | | | | | 144,878 | | | | | ||||
Laurentian Bank of Canada | | | | | 5,236 | | | | | | 107,547 | | | | | ||||
Linamar Corp. | | | | | 8,397 | | | | | | 249,788 | | | | | ||||
Lululemon Athletica, Inc.(a) | | | | | 6,095 | | | | | | 2,007,510 | | | | | ||||
Magna International, Inc. | | | | | 20,500 | | | | | | 938,053 | | | | | ||||
Points International Ltd.(a) | | | | | 5,300 | | | | | | 50,908 | | | | | ||||
Shopify, Inc., Class A(a) | | | | | 2,105 | | | | | | 2,153,352 | | | | | ||||
Sun Life Financial, Inc. | | | | | 800 | | | | | | 32,600 | | | | | ||||
Suncor Energy, Inc. | | | | | 23,246 | | | | | | 283,865 | | | | | ||||
TMX Group Ltd. | | | | | 2,998 | | | | | | 308,322 | | | | | ||||
Total Canada | | | | | | | | | | | 10,740,104 | | | | | ||||
CHILE – 0.0%(c) | | | | | | | | ||||||||||||
Banco Santander Chile, ADR | | | | | 13,722 | | | | | | 190,187 | | | | | ||||
CHINA – 5.1% | | | | | | | | ||||||||||||
51job, Inc., ADR(a) | | | | | 1,309 | | | | | | 102,089 | | | | | ||||
Alibaba Group Holding Ltd.(a) | | | | | 2,400 | | | | | | 85,347 | | | | | ||||
Alibaba Group Holding Ltd., ADR(a) | | | | | 10,988 | | | | | | 3,230,252 | | | | | ||||
Anhui Conch Cement Co., Ltd., Class H | | | | | 17,000 | | | | | | 116,915 | | | | | ||||
Autohome, Inc., ADR | | | | | 5,132 | | | | | | 492,672 | | | | | ||||
Centre Testing International Group Co. Ltd., Class A | | | | | 53,500 | | | | | | 191,907 | | | | | ||||
China Pacific Insurance Group Co., Ltd., Class H | | | | | 58,200 | | | | | | 164,461 | | | | | ||||
CNOOC Ltd. | | | | | 468,000 | | | | | | 449,881 | | | | |
Investments | | | Shares | | | Value | | | | ||||||||||
COMMON STOCKS – (continued) | | | | ||||||||||||||||
CHINA – (continued) | | | | ||||||||||||||||
ENN Energy Holdings Ltd. | | | | | 61,000 | | | | | $ | 664,305 | | | | | ||||
Greatview Aseptic Packaging Co., Ltd. | | | | | 93,000 | | | | | | 35,760 | | | | | ||||
Huayu Automotive Systems Co., Ltd., Class A | | | | | 78,900 | | | | | | 288,464 | | | | | ||||
JD.com, Inc., ADR(a) | | | | | 17,814 | | | | | | 1,382,544 | | | | | ||||
Li Ning Co., Ltd. | | | | | 70,000 | | | | | | 325,159 | | | | | ||||
Midea Group Co., Ltd., Class A | | | | | 70,800 | | | | | | 754,718 | | | | | ||||
Modern Land China Co., Ltd. | | | | | 216,000 | | | | | | 31,773 | | | | | ||||
New Oriental Education & Technology Group, Inc., ADR(a) | | | | | 2,402 | | | | | | 359,099 | | | | | ||||
Oppein Home Group, Inc., Class A | | | | | 14,700 | | | | | | 232,611 | | | | | ||||
Ping An Insurance Group Co. of China Ltd., Class H | | | | | 164,000 | | | | | | 1,682,312 | | | | | ||||
Shenzhou International Group Holdings Ltd. | | | | | 36,500 | | | | | | 614,609 | | | | | ||||
SITC International Holdings Co. Ltd. | | | | | 208,000 | | | | | | 287,172 | | | | | ||||
Tencent Holdings Ltd. | | | | | 102,100 | | | | | | 6,738,556 | | | | | ||||
Tencent Music Entertainment Group, ADR(a) | | | | | 29,079 | | | | | | 429,497 | | | | | ||||
Weichai Power Co. Ltd. | | | | | 70,095 | | | | | | 155,410 | | | | | ||||
Wuxi Biologics Cayman, Inc.(a)(b) | | | | | 18,000 | | | | | | 438,036 | | | | | ||||
Yum China Holdings, Inc. | | | | | 4,105 | | | | | | 217,360 | | | | | ||||
Zhejiang Supor Co., Ltd., Class A | | | | | 18,100 | | | | | | 209,952 | | | | | ||||
Total China | | | | | | | | | | | 19,680,861 | | | | | ||||
COLOMBIA – 0.0%(c) | | | | | | | | ||||||||||||
Bancolombia S.A., ADR | | | | | 2,538 | | | | | | 64,846 | | | | | ||||
DENMARK – 0.0%(c) | | | | | | | | ||||||||||||
Norden A/S | | | | | 2,826 | | | | | | 45,929 | | | | | ||||
EGYPT – 0.0%(c) | | | | | | | | ||||||||||||
Commercial International Bank Egypt SAE, GDR | | | | | 39,540 | | | | | | 170,022 | | | | | ||||
FINLAND – 0.7% | | | | | | | | ||||||||||||
Alma Media Oyj | | | | | 1,354 | | | | | | 11,811 | | | | | ||||
Digia Oyj | | | | | 3,508 | | | | | | 24,513 | | | | | ||||
Fiskars Oyj Abp | | | | | 3,395 | | | | | | 46,173 | | | | | ||||
Harvia Oyj | | | | | 2,767 | | | | | | 57,746 | | | | | ||||
Kamux Corp. | | | | | 2,265 | | | | | | 26,715 | | | | | ||||
Kone Oyj, Class B | | | | | 8,519 | | | | | | 749,707 | | | | | ||||
Nokia Oyj(a) | | | | | 116,429 | | | | | | 457,299 | | | | | ||||
Nokia Oyj, ADR(a) | | | | | 2,660 | | | | | | 10,401 | | | | |
Investments | | | Shares | | | Value | | | | ||||||||||
COMMON STOCKS – (continued) | | | | ||||||||||||||||
FINLAND – (continued) | | | | ||||||||||||||||
Nordea Bank Abp(a) | | | | | 34,564 | | | | | $ | 263,634 | | | | | ||||
Orion Oyj, Class B | | | | | 12,527 | | | | | | 567,957 | | | | | ||||
Sampo Oyj, Class A | | | | | 5,584 | | | | | | 221,222 | | | | | ||||
Scanfil Oyj | | | | | 4,281 | | | | | | 27,204 | | | | | ||||
Titanium Oyj | | | | | 496 | | | | | | 5,990 | | | | | ||||
Vaisala Oyj, Class A | | | | | 6,807 | | | | | | 294,893 | | | | | ||||
Total Finland | | | | | | | | | | | 2,765,265 | | | | | ||||
FRANCE – 4.4% | | | | | | | | ||||||||||||
ABC arbitrage | | | | | 5,749 | | | | | | 49,677 | | | | | ||||
Air Liquide S.A. | | | | | 3,020 | | | | | | 479,778 | | | | | ||||
Alstom S.A.(a) | | | | | 5,613 | | | | | | 279,822 | | | | | ||||
Amundi S.A.(a)(b) | | | | | 14,400 | | | | | | 1,016,373 | | | | | ||||
Axway Software S.A.(a) | | | | | 398 | | | | | | 8,866 | | | | | ||||
BioMerieux | | | | | 622 | | | | | | 97,575 | | | | | ||||
BNP Paribas S.A.(a) | | | | | 10,746 | | | | | | 390,258 | | | | | ||||
CBo Territoria | | | | | 4,714 | | | | | | 18,792 | | | | | ||||
CNP Assurances(a) | | | | | 18,146 | | | | | | 227,220 | | | | | ||||
Coface S.A.(a) | | | | | 29,784 | | | | | | 208,474 | | | | | ||||
Dassault Systemes SE | | | | | 7,750 | | | | | | 1,451,566 | | | | | ||||
Engie S.A.(a) | | | | | 50,351 | | | | | | 674,168 | | | | | ||||
EssilorLuxottica S.A.(a) | | | | | 9,397 | | | | | | 1,279,684 | | | | | ||||
Eutelsat Communications S.A. | | | | | 21,112 | | | | | | 205,943 | | | | | ||||
Infotel S.A. | | | | | 299 | | | | | | 12,936 | | | | | ||||
IPSOS | | | | | 9,456 | | | | | | 236,701 | | | | | ||||
Jacquet Metal Service S.A. | | | | | 684 | | | | | | 6,656 | | | | | ||||
Lectra | | | | | 9,884 | | | | | | 234,088 | | | | | ||||
LVMH Moet Hennessy Louis Vuitton SE | | | | | 7,690 | | | | | | 3,601,046 | | | | | ||||
Neurones | | | | | 427 | | | | | | 12,015 | | | | | ||||
Nexans S.A.(a) | | | | | 5,298 | | | | | | 307,600 | | | | | ||||
Pernod Ricard S.A. | | | | | 8,315 | | | | | | 1,327,315 | | | | | ||||
Publicis Groupe S.A. | | | | | 3,494 | | | | | | 112,983 | | | | | ||||
Rexel S.A.(a) | | | | | 23,330 | | | | | | 293,774 | | | | | ||||
Robertet S.A. | | | | | 241 | | | | | | 274,649 | | | | | ||||
Safran S.A.(a) | | | | | 12,523 | | | | | | 1,239,798 | | | | | ||||
Sanofi | | | | | 10,326 | | | | | | 1,033,066 | | | | | ||||
Somfy S.A. | | | | | 380 | | | | | | 53,553 | | | | | ||||
Synergie S.A.(a) | | | | | 364 | | | | | | 10,306 | | | | | ||||
TOTAL S.A. | | | | | 21,500 | | | | | | 736,064 | | | | | ||||
Ubisoft Entertainment S.A.(a) | | | | | 2,954 | | | | | | 266,891 | | | | | ||||
Vilmorin & Cie S.A. | | | | | 882 | | | | | | 51,602 | | | | | ||||
Vinci S.A. | | | | | 2,945 | | | | | | 246,949 | | | | | ||||
Vivendi S.A. | | | | | 29,419 | | | | | | 820,917 | | | | | ||||
Total France | | | | | | | | | | | 17,267,105 | | | | | ||||
GERMANY – 3.7% | | | | | | | | ||||||||||||
ADVA Optical Networking SE(a) | | | | | 3,827 | | | | | | 27,191 | | | | |
Investments | | | Shares | | | Value | | | | ||||||||||
COMMON STOCKS – (continued) | | | | ||||||||||||||||
GERMANY – (continued) | | | | ||||||||||||||||
BASF SE | | | | | 8,700 | | | | | $ | 530,212 | | | | | ||||
Bayer AG | | | | | 7,651 | | | | | | 478,213 | | | | | ||||
Bayerische Motoren Werke AG | | | | | 6,076 | | | | | | 441,605 | | | | | ||||
Carlsberg A/S, Class B | | | | | 5,219 | | | | | | 703,549 | | | | | ||||
Coloplast A/S, Class B | | | | | 71 | | | | | | 11,220 | | | | | ||||
Continental AG | | | | | 2,157 | | | | | | 233,880 | | | | | ||||
Daimler AG | | | | | 669 | | | | | | 36,108 | | | | | ||||
Deutsche EuroShop AG(a) | | | | | 2,876 | | | | | | 35,743 | | | | | ||||
DSV PANALPINA A/S | | | | | 19,525 | | | | | | 3,190,158 | | | | | ||||
Fresenius Medical Care AG & Co. KGaA | | | | | 3,517 | | | | | | 296,975 | | | | | ||||
Fresenius SE & Co. KGaA | | | | | 3,079 | | | | | | 140,175 | | | | | ||||
Genmab A/S(a) | | | | | 241 | | | | | | 87,293 | | | | | ||||
Gerresheimer AG | | | | | 2,392 | | | | | | 267,690 | | | | | ||||
Hawesko Holding AG | | | | | 303 | | | | | | 13,997 | | | | | ||||
HelloFresh SE(a) | | | | | 6,069 | | | | | | 338,560 | | | | | ||||
Hornbach Holding AG & Co. KGaA | | | | | 853 | | | | | | 99,610 | | | | | ||||
Infineon Technologies AG | | | | | 8,532 | | | | | | 241,231 | | | | | ||||
KWS Saat SE & Co. KGaA | | | | | 3,336 | | | | | | 281,613 | | | | | ||||
Merck KGaA | | | | | 1,700 | | | | | | 248,249 | | | | | ||||
Novo Nordisk A/S, Class B | | | | | 16,444 | | | | | | 1,137,761 | | | | | ||||
ProSiebenSat.1 Media SE(a) | | | | | 12,932 | | | | | | 169,892 | | | | | ||||
Roche Holding AG | | | | | 4,194 | | | | | | 1,435,035 | | | | | ||||
SAP SE | | | | | 5,637 | | | | | | 877,424 | | | | | ||||
Siemens AG | | | | | 5,215 | | | | | | 659,613 | | | | | ||||
Surteco Group SE(a) | | | | | 1,111 | | | | | | 27,745 | | | | | ||||
Symrise AG | | | | | 11,700 | | | | | | 1,618,684 | | | | | ||||
Vestas Wind Systems A/S | | | | | 2,130 | | | | | | 345,501 | | | | | ||||
Vonovia SE | | | | | 4,194 | | | | | | 288,053 | | | | | ||||
zooplus AG(a) | | | | | 123 | | | | | | 22,872 | | | | | ||||
Total Germany | | | | | | | | | | | 14,285,852 | | | | | ||||
GREECE – 0.0%(c) | | | | | | | | ||||||||||||
Hellenic Telecommunications Organization S.A. | | | | | 7,504 | | | | | | 108,304 | | | | | ||||
HONG KONG – 1.8% | | | | | | | | ||||||||||||
AIA Group Ltd. | | | | | 414,500 | | | | | | 4,059,400 | | | | | ||||
Bosideng International Holdings Ltd. | | | | | 282,000 | | | | | | 87,328 | | | | | ||||
Chen Hsong Holdings | | | | | 44,000 | | | | | | 9,708 | | | | | ||||
China Mengniu Dairy Co., Ltd.(a) | | | | | 160,000 | | | | | | 749,415 | | | | | ||||
China Mobile Ltd. | | | | | 56,500 | | | | | | 360,504 | | | | | ||||
China Resources Beer Holdings Co., Ltd. | | | | | 54,000 | | | | | | 330,269 | | | | | ||||
ESR Cayman Ltd.(a)(b) | | | | | 169,200 | | | | | | 525,062 | | | | | ||||
Hang Lung Properties Ltd. | | | | | 60,000 | | | | | | 151,586 | | | | |
Investments | | | Shares | | | Value | | | | ||||||||||
COMMON STOCKS – (continued) | | | | ||||||||||||||||
HONG KONG – (continued) | | | | ||||||||||||||||
Mandarin Oriental International Ltd.(a) | | | | | 120,707 | | | | | $ | 217,273 | | | | | ||||
Pico Far East Holdings Ltd. | | | | | 1,032,000 | | | | | | 122,508 | | | | | ||||
SmarTone Telecommunications Holdings Ltd. | | | | | 224,000 | | | | | | 118,791 | | | | | ||||
Vinda International Holdings Ltd. | | | | | 62,000 | | | | | | 203,199 | | | | | ||||
Total Hong Kong | | | | | | | | | | | 6,935,043 | | | | | ||||
HUNGARY – 0.1% | | | | | | | | ||||||||||||
MOL Hungarian Oil & Gas PLC(a) | | | | | 7,546 | | | | | | 41,160 | | | | | ||||
OTP Bank Nyrt(a) | | | | | 7,280 | | | | | | 219,330 | | | | | ||||
Richter Gedeon Nyrt | | | | | 9,655 | | | | | | 203,992 | | | | | ||||
Total Hungary | | | | | | | | | | | 464,482 | | | | | ||||
INDIA – 1.0% | | | | | | | | ||||||||||||
HDFC Bank Ltd., ADR(a) | | | | | 38,361 | | | | | | 1,916,515 | | | | | ||||
ICICI Bank Ltd., ADR(a) | | | | | 69,840 | | | | | | 686,527 | | | | | ||||
Infosys Ltd., ADR | | | | | 41,317 | | | | | | 570,588 | | | | | ||||
Reliance Industries Ltd., GDR(b) | | | | | 9,767 | | | | | | 593,834 | | | | | ||||
Reliance Industries Ltd., GDR(b) | | | | | 301 | | | | | | 18,301 | | | | | ||||
Total India | | | | | | | | | | | 3,785,765 | | | | | ||||
INDONESIA – 0.1% | | | | | | | | ||||||||||||
Bank Mandiri Persero Tbk PT | | | | | 722,600 | | | | | | 240,866 | | | | | ||||
Telekomunikasi Indonesia Persero Tbk PT, ADR | | | | | 14,748 | | | | | | 256,173 | | | | | ||||
Total Indonesia | | | | | | | | | | | 497,039 | | | | | ||||
IRELAND – 2.9% | | | | | | | | ||||||||||||
Accenture PLC, Class A | | | | | 19,095 | | | | | | 4,315,279 | | | | | ||||
Experian PLC | | | | | 109,030 | | | | | | 4,108,054 | | | | | ||||
Grafton Group PLC, (Unit)(a) | | | | | 26,299 | | | | | | 229,230 | | | | | ||||
ICON PLC(a) | | | | | 8,243 | | | | | | 1,575,155 | | | | | ||||
Irish Continental Group PLC, (Unit) | | | | | 56,105 | | | | | | 204,577 | | | | | ||||
Medtronic PLC | | | | | 5,791 | | | | | | 601,801 | | | | | ||||
Ryanair Holdings PLC, ADR(a) | | | | | 2,865 | | | | | | 234,242 | | | | | ||||
Total Ireland | | | | | | | | | | | 11,268,338 | | | | | ||||
ISRAEL – 0.4% | | | | | | | | ||||||||||||
Check Point Software Technologies Ltd.(a) | | | | | 6,169 | | | | | | 742,377 | | | | | ||||
Electra Consumer Products 1970 Ltd. | | | | | 1,007 | | | | | | 27,632 | | | | | ||||
Mizrahi Tefahot Bank Ltd. | | | | | 17,397 | | | | | | 308,461 | | | | | ||||
Neto ME Holdings Ltd. | | | | | 160 | | | | | | 6,721 | | | | | ||||
Nice Ltd., ADR(a) | | | | | 1,737 | | | | | | 394,351 | | | | |
Investments | | | Shares | | | Value | | | | ||||||||||
COMMON STOCKS – (continued) | | | | ||||||||||||||||
ISRAEL – (continued) | | | | ||||||||||||||||
NR Spuntech Industries Ltd. | | | | | 4,768 | | | | | $ | 16,145 | | | | | ||||
Total Israel | | | | | | | | | | | 1,495,687 | | | | | ||||
ITALY – 0.5% | | | | | | | | ||||||||||||
El.En. SpA(a) | | | | | 5,356 | | | | | | 136,268 | | | | | ||||
Enel SpA | | | | | 64,514 | | | | | | 561,093 | | | | | ||||
Ferrari N.V. | | | | | 7,240 | | | | | | 1,329,729 | | | | | ||||
Newlat Food SpA(a) | | | | | 1,450 | | | | | | 8,705 | | | | | ||||
Sanlorenzo SpA(a) | | | | | 1,199 | | | | | | 23,842 | | | | | ||||
SIT SpA | | | | | 1,600 | | | | | | 8,423 | | | | | ||||
Total Italy | | | | | | | | | | | 2,068,060 | | | | | ||||
JAPAN – 6.7% | | | | | | | | ||||||||||||
Ariake Japan Co., Ltd. | | | | | 3,500 | | | | | | 236,619 | | | | | ||||
Brother Industries Ltd. | | | | | 22,500 | | | | | | 355,426 | | | | | ||||
Capcom Co. Ltd. | | | | | 2,000 | | | | | | 111,127 | | | | | ||||
Daiseki Co., Ltd. | | | | | 9,400 | | | | | | 233,607 | | | | | ||||
Daiwa House Industry Co., Ltd. | | | | | 17,500 | | | | | | 447,601 | | | | | ||||
EPS Holdings, Inc. | | | | | 4,100 | | | | | | 40,431 | | | | | ||||
FANUC Corp. | | | | | 6,200 | | | | | | 1,182,800 | | | | | ||||
Fujitsu Ltd. | | | | | 5,700 | | | | | | 775,025 | | | | | ||||
Furuno Electric Co., Ltd. | | | | | 21,400 | | | | | | 202,302 | | | | | ||||
Glory Ltd. | | | | | 500 | | | | | | 11,132 | | | | | ||||
Hino Motors Ltd. | | | | | 17,400 | | | | | | 112,024 | | | | | ||||
Hitachi Ltd. | | | | | 15,000 | | | | | | 503,911 | | | | | ||||
I-O Data Device, Inc. | | | | | 3,000 | | | | | | 30,607 | | | | | ||||
Infocom Corp. | | | | | 2,800 | | | | | | 107,258 | | | | | ||||
Iwatani Corp. | | | | | 7,800 | | | | | | 291,765 | | | | | ||||
JUTEC Holdings Corp. | | | | | 1,000 | | | | | | 9,861 | | | | | ||||
Kao Corp. | | | | | 2,800 | | | | | | 209,393 | | | | | ||||
KDDI Corp. | | | | | 64,500 | | | | | | 1,624,349 | | | | | ||||
Keyence Corp. | | | | | 4,800 | | | | | | 2,229,214 | | | | | ||||
Kintetsu World Express, Inc. | | | | | 13,500 | | | | | | 285,194 | | | | | ||||
Kubota Corp. | | | | | 51,700 | | | | | | 920,369 | | | | | ||||
Kurita Water Industries Ltd. | | | | | 9,100 | | | | | | 298,545 | | | | | ||||
Kuriyama Holdings Corp. | | | | | 2,700 | | | | | | 13,287 | | | | | ||||
Macnica Fuji Electronics Holdings, Inc. | | | | | 6,600 | | | | | | 119,841 | | | | | ||||
Makita Corp. | | | | | 10,900 | | | | | | 518,826 | | | | | ||||
Makiya Co. Ltd. | | | | | 1,100 | | | | | | 13,642 | | | | | ||||
Mani, Inc. | | | | | 8,800 | | | | | | 239,223 | | | | | ||||
Marui Group Co., Ltd. | | | | | 48,000 | | | | | | 915,261 | | | | | ||||
MIMAKI ENGINEERING Co., Ltd.(a) | | | | | 2,700 | | | | | | 13,543 | | | | | ||||
Mitsubishi Electric Corp. | | | | | 16,500 | | | | | | 222,394 | | | | | ||||
MS&AD Insurance Group Holdings, Inc. | | | | | 21,500 | | | | | | 575,698 | | | | |
Investments | | | Shares | | | Value | | | | ||||||||||
COMMON STOCKS – (continued) | | | | ||||||||||||||||
JAPAN – (continued) | | | | ||||||||||||||||
Nexon Co., Ltd. | | | | | 28,300 | | | | | $ | 703,576 | | | | | ||||
Nichiha Corp. | | | | | 900 | | | | | | 26,966 | | | | | ||||
Nidec Corp. | | | | | 18,900 | | | | | | 1,757,119 | | | | | ||||
Nintendo Co., Ltd. | | | | | 2,999 | | | | | | 1,696,490 | | | | | ||||
Nippon Telegraph & Telephone Corp. | | | | | 33,500 | | | | | | 682,928 | | | | | ||||
Nitori Holdings Co. Ltd. | | | | | 3,000 | | | | | | 621,533 | | | | | ||||
NTT DOCOMO, Inc. | | | | | 26,100 | | | | | | 961,442 | | | | | ||||
Oki Electric Industry Co., Ltd. | | | | | 17,400 | | | | | | 186,432 | | | | | ||||
ORIX Corp. | | | | | 49,900 | | | | | | 617,451 | | | | | ||||
Otsuka Holdings Co., Ltd. | | | | | 22,900 | | | | | | 965,810 | | | | | ||||
Rion Co., Ltd. | | | | | 11,900 | | | | | | 271,139 | | | | | ||||
Rohto Pharmaceutical Co. Ltd. | | | | | 6,200 | | | | | | 203,110 | | | | | ||||
Sakata Seed Corp. | | | | | 8,200 | | | | | | 293,121 | | | | | ||||
Sekisui House Ltd. | | | | | 15,100 | | | | | | 265,948 | | | | | ||||
SHO-BOND Holdings Co., Ltd. | | | | | 5,800 | | | | | | 287,072 | | | | | ||||
Softbank Corp. | | | | | 9,300 | | | | | | 103,833 | | | | | ||||
Sony Corp. | | | | | 21,000 | | | | | | 1,599,317 | | | | | ||||
Square Enix Holdings Co. Ltd. | | | | | 1,500 | | | | | | 98,990 | | | | | ||||
Sumitomo Mitsui Financial Group, Inc. | | | | | 10,200 | | | | | | 282,165 | | | | | ||||
T&D Holdings, Inc. | | | | | 30,600 | | | | | | 299,428 | | | | | ||||
Tayca Corp. | | | | | 3,100 | | | | | | 42,356 | | | | | ||||
Tomen Devices Corp. | | | | | 700 | | | | | | 27,014 | | | | | ||||
Transcosmos, Inc. | | | | | 9,200 | | | | | | 249,137 | | | | | ||||
Yamada Denki Co., Ltd. | | | | | 55,500 | | | | | | 275,750 | | | | | ||||
Yamaha Corp. | | | | | 7,900 | | | | | | 376,030 | | | | | ||||
Z Holdings Corp. | | | | | 41,535 | | | | | | 275,285 | | | | | ||||
Total Japan | | | | | | | | | | | 26,019,717 | | | | | ||||
LUXEMBOURG – 0.1% | | | | | | | | ||||||||||||
ArcelorMittal S.A.(a) | | | | | 14,672 | | | | | | 195,830 | | | | | ||||
Ternium S.A., ADR(a) | | | | | 8,514 | | | | | | 160,318 | | | | | ||||
Total Luxembourg | | | | | | | | | | | 356,148 | | | | | ||||
MEXICO – 0.3% | | | | | | | | ||||||||||||
Arca Continental S.A.B. de C.V. | | | | | 78,200 | | | | | | 337,076 | | | | | ||||
Fomento Economico Mexicano S.A.B. de C.V., ADR | | | | | 1,896 | | | | | | 106,536 | | | | | ||||
Genomma Lab Internacional S.A.B. de C.V., Class B(a) | | | | | 276,100 | | | | | | 268,464 | | | | | ||||
Grupo Financiero Banorte S.A.B. de C.V., Class O(a) | | | | | 83,100 | | | | | | 287,091 | | | | | ||||
Total Mexico | | | | | | | | | | | 999,167 | | | | | ||||
NETHERLANDS – 3.0% | | | | | | | | ||||||||||||
Adyen N.V.(a)(b) | | | | | 785 | | | | | | 1,447,287 | | | | |
Investments | | | Shares | | | Value | | | | ||||||||||
COMMON STOCKS – (continued) | | | | ||||||||||||||||
NETHERLANDS – (continued) | | | | ||||||||||||||||
Akzo Nobel N.V. | | | | | 13,100 | | | | | $ | 1,327,333 | | | | | ||||
ASML Holding N.V. | | | | | 246 | | | | | | 90,767 | | | | | ||||
ASML Holding N.V. | | | | | 6,025 | | | | | | 2,224,852 | | | | | ||||
Corbion N.V. | | | | | 6,726 | | | | | | 309,521 | | | | | ||||
Heineken N.V. | | | | | 12,500 | | | | | | 1,112,069 | | | | | ||||
Hunter Douglas N.V.(a) | | | | | 641 | | | | | | 37,351 | | | | | ||||
JDE Peet’s B.V.(a) | | | | | 7,100 | | | | | | 289,106 | | | | | ||||
Koninklijke Ahold Delhaize N.V. | | | | | 29,914 | | | | | | 885,585 | | | | | ||||
Koninklijke DSM N.V. | | | | | 3,339 | | | | | | 550,422 | | | | | ||||
Koninklijke Philips N.V.(a) | | | | | 16,182 | | | | | | 762,698 | | | | | ||||
Nedap N.V.(a) | | | | | 450 | | | | | | 22,423 | | | | | ||||
Ordina N.V.(a) | | | | | 187,986 | | | | | | 500,317 | | | | | ||||
QIAGEN N.V.(a) | | | | | 1,080 | | | | | | 56,095 | | | | | ||||
QIAGEN N.V.(a) | | | | | 2,395 | | | | | | 125,163 | | | | | ||||
Randstad N.V.(a) | | | | | 11,668 | | | | | | 609,177 | | | | | ||||
Sligro Food Group N.V.(a) | | | | | 12,209 | | | | | | 218,438 | | | | | ||||
Wolters Kluwer N.V. | | | | | 14,314 | | | | | | 1,222,433 | | | | | ||||
Total Netherlands | | | | | | | | | | | 11,791,037 | | | | | ||||
NEW ZEALAND – 0.0%(c) | | | | | | | | ||||||||||||
EBOS Group Ltd. | | | | | 5,686 | | | | | | 91,933 | | | | | ||||
Fisher & Paykel Healthcare Corp. Ltd. | | | | | 680 | | | | | | 14,967 | | | | | ||||
Fisher & Paykel Healthcare Corp. Ltd. | | | | | 557 | | | | | | 12,192 | | | | | ||||
New Zealand Refining Co., Ltd. (The)(a) | | | | | 59,212 | | | | | | 23,895 | | | | | ||||
NZX Ltd. | | | | | 16,197 | | | | | | 17,358 | | | | | ||||
Total New Zealand | | | | | | | | | | | 160,345 | | | | | ||||
NORWAY – 0.3% | | | | | | | | ||||||||||||
Borregaard ASA | | | | | 20,157 | | | | | | 308,595 | | | | | ||||
Equinor ASA | | | | | 16,649 | | | | | | 237,040 | | | | | ||||
Norway Royal Salmon ASA | | | | | 8,788 | | | | | | 201,622 | | | | | ||||
Sparebanken Vest | | | | | 5,346 | | | | | | 36,108 | | | | | ||||
Stolt-Nielsen Ltd. | | | | | 1,217 | | | | | | 10,673 | | | | | ||||
Telenor ASA | | | | | 21,640 | | | | | | 362,967 | | | | | ||||
Wallenius Wilhelmsen ASA(a) | | | | | 7,686 | | | | | | 11,767 | | | | | ||||
Total Norway | | | | | | | | | | | 1,168,772 | | | | | ||||
PERU – 0.1% | | | | | | | | ||||||||||||
Credicorp Ltd. | | | | | 1,740 | | | | | | 215,743 | | | | | ||||
POLAND – 0.0%(c) | | | | | | | | ||||||||||||
KGHM Polska Miedz S.A.(a) | | | | | 5,185 | | | | | | 158,284 | | | | | ||||
PORTUGAL – 0.0%(c) | | | | | | | | ||||||||||||
Galp Energia SGPS S.A. | | | | | 11,732 | | | | | | 108,831 | | | | | ||||
|
Investments | | | Shares | | | Value | | | | ||||||||||
COMMON STOCKS – (continued) | | | | ||||||||||||||||
RUSSIA – 0.9% | | | | | | | | ||||||||||||
Evraz PLC | | | | | 70,584 | | | | | $ | 313,855 | | | | | ||||
Gazprom PJSC, ADR | | | | | 78,066 | | | | | | 340,368 | | | | | ||||
LUKOIL PJSC, ADR | | | | | 7,734 | | | | | | 444,009 | | | | | ||||
Magnit PJSC, GDR | | | | | 11,687 | | | | | | 174,370 | | | | | ||||
Novatek PJSC, GDR | | | | | 3,419 | | | | | | 468,403 | | | | | ||||
Polyus PJSC, GDR | | | | | 2,643 | | | | | | 278,572 | | | | | ||||
Sberbank of Russia PJSC, ADR(a) | | | | | 66,498 | | | | | | 777,029 | | | | | ||||
Sberbank of Russia PJSC, ADR(a) | | | | | 8,687 | | | | | | 101,377 | | | | | ||||
X5 Retail Group N.V., GDR | | | | | 4,132 | | | | | | 152,884 | | | | | ||||
Yandex N.V., Class A(a) | | | | | 4,603 | | | | | | 300,346 | | | | | ||||
Total Russia | | | | | | | | | | | 3,351,213 | | | | | ||||
SINGAPORE – 0.3% | | | | | | | | ||||||||||||
DBS Group Holdings Ltd. | | | | | 71,500 | | | | | | 1,042,866 | | | | | ||||
Great Eastern Holdings Ltd. | | | | | 1,000 | | | | | | 13,282 | | | | | ||||
Kimly Ltd. | | | | | 65,800 | | | | | | 12,292 | | | | | ||||
Olam International Ltd. | | | | | 88,800 | | | | | | 81,966 | | | | | ||||
Sunningdale Tech Ltd. | | | | | 16,900 | | | | | | 17,952 | | | | | ||||
Total Singapore | | | | | | | | | | | 1,168,358 | | | | | ||||
SOUTH AFRICA – 0.6% | | | | | | | | ||||||||||||
AVI Ltd. | | | | | 19,653 | | | | | | 87,189 | | | | | ||||
FirstRand Ltd. | | | | | 233,265 | | | | | | 574,180 | | | | | ||||
Foschini Group Ltd. (The) | | | | | 16,304 | | | | | | 79,817 | | | | | ||||
Gold Fields Ltd., ADR | | | | | 11,539 | | | | | | 141,814 | | | | | ||||
Impala Platinum Holdings Ltd. | | | | | 32,618 | | | | | | 283,280 | | | | | ||||
Mr Price Group Ltd. | | | | | 26,512 | | | | | | 208,946 | | | | | ||||
MultiChoice Group Ltd. | | | | | 17,074 | | | | | | 98,744 | | | | | ||||
Naspers Ltd., Class N | | | | | 4,201 | | | | | | 742,386 | | | | | ||||
Total South Africa | | | | | | | | | | | 2,216,356 | | | | | ||||
SOUTH KOREA – 2.6% | | | | | | | | ||||||||||||
Binggrae Co. Ltd. | | | | | 3,768 | | | | | | 190,091 | | | | | ||||
Choong Ang Vaccine Laboratory | | | | | 12,344 | | | | | | 188,406 | | | | | ||||
Hana Financial Group, Inc. | | | | | 11,109 | | | | | | 266,920 | | | | | ||||
Hyundai Mobis Co., Ltd. | | | | | 2,679 | | | | | | 526,866 | | | | | ||||
Koh Young Technology, Inc. | | | | | 2,792 | | | | | | 213,667 | | | | | ||||
Korea Zinc Co., Ltd. | | | | | 702 | | | | | | 225,996 | | | | | ||||
LG Chem Ltd. | | | | | 765 | | | | | | 427,798 | | | | | ||||
LG Electronics, Inc. | | | | | 2,661 | | | | | | 208,648 | | | | | ||||
LG Household & Health Care Ltd. | | | | | 218 | | | | | | 269,914 | | | | | ||||
NAVER Corp. | | | | | 2,363 | | | | | | 599,085 | | | | | ||||
Samsung Electronics Co., Ltd. | | | | | 19,042 | | | | | | 947,622 | | | | | ||||
Samsung Electronics Co., Ltd., GDR | | | | | 1,666 | | | | | | 2,110,822 | | | | |
Investments | | | Shares | | | Value | | | | ||||||||||
COMMON STOCKS – (continued) | | | | ||||||||||||||||
SOUTH KOREA – (continued) | | | | ||||||||||||||||
Samsung Electronics Co., Ltd., GDR | | | | | 792 | | | | | $ | 1,003,464 | | | | | ||||
Samsung Fire & Marine Insurance Co., Ltd. | | | | | 1,532 | | | | | | 238,413 | | | | | ||||
Samsung SDI Co., Ltd. | | | | | 1,178 | | | | | | 436,651 | | | | | ||||
Samwha Capacitor Co., Ltd. | | | | | 4,122 | | | | | | 193,147 | | | | | ||||
SK Hynix, Inc. | | | | | 23,878 | | | | | | 1,715,051 | | | | | ||||
SK Materials Co., Ltd. | | | | | 1,476 | | | | | | 287,123 | | | | | ||||
Total South Korea | | | | | | | | | | | 10,049,684 | | | | | ||||
SPAIN – 0.5% | | | | | | | | ||||||||||||
Abertis Infraestructuras S.A.(a) | | | | | 3,711 | | | | | | 28,151 | | | | | ||||
Amadeus IT Group S.A. | | | | | 17,975 | | | | | | 1,002,949 | | | | | ||||
Cia de Distribucion Integral Logista Holdings S.A. | | | | | 8,199 | | | | | | 140,348 | | | | | ||||
Faes Farma S.A. | | | | | 87,170 | | | | | | 351,576 | | | | | ||||
Naturhouse Health SAU | | | | | 7,581 | | | | | | 10,933 | | | | | ||||
Siemens Gamesa Renewable Energy S.A. | | | | | 11,630 | | | | | | 314,846 | | | | | ||||
Total Spain | | | | | | | | | | | 1,848,803 | | | | | ||||
SWEDEN – 2.2% | | | | | | | | ||||||||||||
AAK AB(a) | | | | | 13,478 | | | | | | 251,550 | | | | | ||||
Ahlstrom-Munksjo Oyj | | | | | 16,909 | | | | | | 356,453 | | | | | ||||
Assa Abloy AB, Class B | | | | | 38,700 | | | | | | 907,884 | | | | | ||||
Atlas Copco AB, Class A | | | | | 38,050 | | | | | | 1,821,808 | | | | | ||||
Avanza Bank Holding AB | | | | | 13,012 | | | | | | 255,421 | | | | | ||||
Betsson AB(a) | | | | | 14,579 | | | | | | 112,323 | | | | | ||||
BioGaia AB, Class B | | | | | 4,420 | | | | | | 287,236 | | | | | ||||
Cloetta AB, Class B(a) | | | | | 68,216 | | | | | | 198,040 | | | | | ||||
Doro AB(a) | | | | | 3,661 | | | | | | 19,417 | | | | | ||||
Elanders AB, Class B(a) | | | | | 6,002 | | | | | | 46,175 | | | | | ||||
G5 Entertainment AB | | | | | 5,179 | | | | | | 217,087 | | | | | ||||
Getinge AB, Class B | | | | | 22,707 | | | | | | 495,678 | | | | | ||||
GHP Specialty Care AB(a) | | | | | 12,103 | | | | | | 28,379 | | | | | ||||
Haldex AB(a) | | | | | 6,658 | | | | | | 31,075 | | | | | ||||
Hexagon AB, Class B(a) | | | | | 4,482 | | | | | | 339,208 | | | | | ||||
Husqvarna AB, Class B | | | | | 895 | | | | | | 9,866 | | | | | ||||
IAR Systems Group AB(a) | | | | | 12,739 | | | | | | 229,010 | | | | | ||||
Inwido AB(a) | | | | | 6,669 | | | | | | 67,987 | | | | | ||||
NCC AB, Class B | | | | | 33,556 | | | | | | 613,355 | | | | | ||||
New Wave Group AB, Class B(a) | | | | | 9,514 | | | | | | 50,195 | | | | | ||||
Ratos AB, Class B(a) | | | | | 9,216 | | | | | | 34,514 | | | | | ||||
RaySearch Laboratories AB(a) | | | | | 4,874 | | | | | | 47,674 | | | | | ||||
Sandvik AB(a) | | | | | 14,418 | | | | | | 283,181 | | | | | ||||
SKF AB, Class B | | | | | 18,665 | | | | | | 387,020 | | | | | ||||
SwedenCare AB | | | | | 500 | | | | | | 11,389 | | | | |
Investments | | | Shares | | | Value | | | | ||||||||||
COMMON STOCKS – (continued) | | | | ||||||||||||||||
SWEDEN – (continued) | | | | ||||||||||||||||
Swedish Match AB | | | | | 8,155 | | | | | $ | 667,272 | | | | | ||||
Telefonaktiebolaget LM Ericsson, ADR | | | | | 4,546 | | | | | | 49,506 | | | | | ||||
Telefonaktiebolaget LM Ericsson, Class B | | | | | 34,926 | | | | | | 383,272 | | | | | ||||
Thule Group AB(b) | | | | | 8,927 | | | | | | 295,844 | | | | | ||||
Volvo AB, Class B(a) | | | | | 4,508 | | | | | | 87,106 | | | | | ||||
Total Sweden | | | | | | | | | | | 8,584,925 | | | | | ||||
SWITZERLAND – 4.1% | | | | | | | | ||||||||||||
ABB Ltd. | | | | | 22,710 | | | | | | 578,198 | | | | | ||||
Adecco Group AG | | | | | 4,462 | | | | | | 235,829 | | | | | ||||
Alcon, Inc.(a) | | | | | 50,063 | | | | | | 2,842,728 | | | | | ||||
Bobst Group S.A. | | | | | 3,403 | | | | | | 211,891 | | | | | ||||
Cavotec S.A.(a) | | | | | 6,710 | | | | | | 15,134 | | | | | ||||
Credit Suisse Group AG | | | | | 34,728 | | | | | | 348,543 | | | | | ||||
Gurit Holding AG | | | | | 151 | | | | | | 321,001 | | | | | ||||
Huber + Suhner AG | | | | | 3,270 | | | | | | 245,681 | | | | | ||||
Investis Holding S.A. | | | | | 135 | | | | | | 13,045 | | | | | ||||
LEM Holding S.A. | | | | | 168 | | | | | | 314,823 | | | | | ||||
Logitech International S.A. | | | | | 2,506 | | | | | | 195,028 | | | | | ||||
Lonza Group AG | | | | | 3,295 | | | | | | 2,034,132 | | | | | ||||
Nestle S.A. | | | | | 18,465 | | | | | | 2,192,023 | | | | | ||||
Novartis AG | | | | | 33,306 | | | | | | 2,889,618 | | | | | ||||
Orell Fuessli AG | | | | | 121 | | | | | | 12,139 | | | | | ||||
Phoenix Mecano AG | | | | | 42 | | | | | | 16,918 | | | | | ||||
Siemens Energy AG(a) | | | | | 2,607 | | | | | | 70,301 | | | | | ||||
Sika AG | | | | | 8,600 | | | | | | 2,113,002 | | | | | ||||
STMicroelectronics N.V. | | | | | 3,502 | | | | | | 107,821 | | | | | ||||
UBS Group AG | | | | | 63,500 | | | | | | 710,113 | | | | | ||||
Valiant Holding AG | | | | | 1,923 | | | | | | 162,016 | | | | | ||||
Valora Holding AG(a) | | | | | 1,240 | | | | | | 231,023 | | | | | ||||
Zehnder Group AG | | | | | 1,028 | | | | | | 49,779 | | | | | ||||
Total Switzerland | | | | | | | | | | | 15,910,786 | | | | | ||||
TAIWAN – 2.4% | | | | | | | | ||||||||||||
Accton Technology Corp. | | | | | 27,000 | | | | | | 207,427 | | | | | ||||
ASE Technology Holding Co., Ltd., ADR | | | | | 56,298 | | | | | | 229,696 | | | | | ||||
ASPEED Technology, Inc. | | | | | 2,000 | | | | | | 78,379 | | | | | ||||
CTBC Financial Holding Co., Ltd. | | | | | 367,000 | | | | | | 233,161 | | | | | ||||
Delta Electronics, Inc. | | | | | 85,000 | | | | | | 554,692 | | | | | ||||
Hon Hai Precision Industry Co., Ltd., GDR | | | | | 97,925 | | | | | | 528,795 | | | | | ||||
MediaTek, Inc. | | | | | 21,000 | | | | | | 440,128 | | | | | ||||
Merida Industry Co., Ltd. | | | | | 29,000 | | | | | | 233,306 | | | | | ||||
Sinmag Equipment Corp. | | | | | 15,000 | | | | | | 39,569 | | | | |
Investments | | | Shares | | | Value | | | | ||||||||||
COMMON STOCKS – (continued) | | | | ||||||||||||||||
TAIWAN – (continued) | | | | ||||||||||||||||
Taiwan Semiconductor Manufacturing Co., Ltd., ADR | | | | | 75,687 | | | | | $ | 6,135,945 | | | | | ||||
Tong Yang Industry Co., Ltd. | | | | | 197,000 | | | | | | 243,512 | | | | | ||||
TOPBI International Holdings Ltd. | | | | | 48,380 | | | | | | 57,130 | | | | | ||||
Uni-President Enterprises Corp. | | | | | 95,000 | | | | | | 205,010 | | | | | ||||
Walsin Technology Corp. | | | | | 28,000 | | | | | | 149,368 | | | | | ||||
Zhen Ding Technology Holding Ltd. | | | | | 31,000 | | | | | | 134,866 | | | | | ||||
Total Taiwan | | | | | | | | | | | 9,470,984 | | | | | ||||
THAILAND – 0.0%(c) | | | | | | | | ||||||||||||
Kasikornbank PCL | | | | | 35,500 | | | | | | 86,264 | | | | | ||||
TURKEY – 0.1% | | | | | | | | ||||||||||||
BIM Birlesik Magazalar A/S | | | | | 16,264 | | | | | | 146,577 | | | | | ||||
KOC Holding A/S | | | | | 56,144 | | | | | | 106,650 | | | | | ||||
Total Turkey | | | | | | | | | | | 253,227 | | | | | ||||
UNITED ARAB EMIRATES – 0.1% | | | | | | | | ||||||||||||
Emaar Properties PJSC(a) | | | | | 256,067 | | | | | | 194,500 | | | | | ||||
UNITED STATES – 1.8% | | | | | | | | ||||||||||||
Aon PLC, Class A | | | | | 9,136 | | | | | | 1,884,757 | | | | | ||||
Carnival PLC | | | | | 21,000 | | | | | | 270,702 | | | | | ||||
Mettler-Toledo International, Inc.(a) | | | | | 1,745 | | | | | | 1,685,234 | | | | | ||||
ResMed, Inc. | | | | | 8,160 | | | | | | 1,398,869 | | | | | ||||
STERIS PLC | | | | | 9,685 | | | | | | 1,706,400 | | | | | ||||
Total United States | | | | | | | | | | | 6,945,962 | | | | | ||||
TOTAL COMMON STOCKS (Cost: $199,064,915) | | | | | | | | | | | 223,623,509 | | | | | ||||
EXCHANGE-TRADED FUND — 40.3% | | | | ||||||||||||||||
iShares Core MSCI Total International Stock ETF (Cost: $147,274,651) | | | | | 2,679,766 | | | | | | 156,337,549 | | | | | ||||
RIGHTS — 0.0%(c) | | | | | | | | | | | | | | | | ||||
CHINA – 0.0%(c) | | | | | | | | ||||||||||||
Legend Holdings Corp., Class H(a) (Cost: $0) | | | | | 284 | | | | | | 0 | | | | | ||||
PREFERRED STOCKS – 0.2% | | | | ||||||||||||||||
BRAZIL – 0.1% | | | | | | | | ||||||||||||
Gerdau S.A., 0.30% | | | | | 29,720 | | | | | | 110,076 | | | | | ||||
Lojas Americanas S.A., 0.66% | | | | | 35,053 | | | | | | 177,203 | | | | | ||||
Total Brazil | | | | | | | | | | | 287,279 | | | | | ||||
|
Investments | | | Shares | | | Value | | | | ||||||||||
PREFERRED STOCKS – (continued) | | | | ||||||||||||||||
GERMANY – 0.1% | | | | | | | | ||||||||||||
Maschinenfabrik Berthold Hermle AG, 2.69% | | | | | 31 | | | | | $ | 8,032 | | | | | ||||
Volkswagen AG, 3.53% | | | | | 3,031 | | | | | | 488,278 | | | | | ||||
Total Germany | | | | | | | | | | | 496,310 | | | | | ||||
TOTAL PREFERRED STOCKS (Cost: $804,833) | | | | | 783,589 | | | | | ||||||||||
SHORT-TERM INVESTMENTS – 1.7% | | | | ||||||||||||||||
State Street Institutional Treasury Money Market Fund – Investor Class Shares, 0.14%(d) (Cost $6,762,510) | | | | | 6,762,510 | | | | | | 6,762,510 | | | | | ||||
TOTAL INVESTMENTS – 99.8% | | | | ||||||||||||||||
(Cost: $353,906,909) | | | | | | | | | | | 387,507,157 | | | | | ||||
OTHER ASSETS AND LIABILITIES, NET – 0.2% | | | | | | | | | | | 675,275 | | | | | ||||
NET ASSETS – 100.0% | | | | | | | | | | $ | 388,182,432 | | | | | ||||
|
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | | | | | | | | | | |
Argentina | | | | $ | 3,363,265 | | | | | $ | — | | | | | $ | — | | | | | $ | 3,363,265 | | |
Australia | | | | | 5,206,547 | | | | | | — | | | | | | — | | | | | | 5,206,547 | | |
United Kingdom | | | | | 23,632,504 | | | | | | — | | | | | | — | | | | | | 23,632,504 | | |
Austria | | | | | 634,267 | | | | | | — | | | | | | — | | | | | | 634,267 | | |
Belgium | | | | | 942,012 | | | | | | — | | | | | | — | | | | | | 942,012 | | |
Brazil | | | | | 2,956,403 | | | | | | — | | | | | | — | | | | | | 2,956,403 | | |
Canada | | | | | 10,740,104 | | | | | | — | | | | | | — | | | | | | 10,740,104 | | |
Chile | | | | | 190,187 | | | | | | — | | | | | | — | | | | | | 190,187 | | |
China | | | | | 19,393,689 | | | | | | — | | | | | | — | | | | | | 19,393,689 | | |
Hong Kong | | | | | 6,697,153 | | | | | | — | | | | | | — | | | | | | 6,697,153 | | |
Colombia | | | | | 64,846 | | | | | | — | | | | | | — | | | | | | 64,846 | | |
Germany | | | | | 14,331,781 | | | | | | — | | | | | | — | | | | | | 14,331,781 | | |
Egypt | | | | | 170,022 | | | | | | — | | | | | | — | | | | | | 170,022 | | |
Finland | | | | | 2,765,265 | | | | | | — | | | | | | — | | | | | | 2,765,265 | | |
France | | | | | 17,267,105 | | | | | | — | | | | | | — | | | | | | 17,267,105 | | |
Greece | | | | | 108,304 | | | | | | — | | | | | | — | | | | | | 108,304 | | |
Cayman Islands | | | | | 525,062 | | | | | | — | | | | | | — | | | | | | 525,062 | | |
Hungary | | | | | 464,482 | | | | | | — | | | | | | — | | | | | | 464,482 | | |
India | | | | | 3,785,765 | | | | | | — | | | | | | — | | | | | | 3,785,765 | | |
Indonesia | | | | | 497,039 | | | | | | — | | | | | | — | | | | | | 497,039 | | |
Ireland | | | | | 8,866,684 | | | | | | — | | | | | | — | | | | | | 8,866,684 | | |
Israel | | | | | 1,495,687 | | | | | | — | | | | | | — | | | | | | 1,495,687 | | |
Italy | | | | | 2,068,060 | | | | | | — | | | | | | — | | | | | | 2,068,060 | | |
Japan | | | | | 26,019,717 | | | | | | — | | | | | | — | | | | | | 26,019,717 | | |
Luxembourg | | | | | 356,148 | | | | | | — | | | | | | — | | | | | | 356,148 | | |
Mexico | | | | | 999,167 | | | | | | — | | | | | | — | | | | | | 999,167 | | |
Netherlands | | | | | 11,791,037 | | | | | | — | | | | | | — | | | | | | 11,791,037 | | |
New Zealand | | | | | 160,345 | | | | | | — | | | | | | — | | | | | | 160,345 | | |
Norway | | | | | 1,158,099 | | | | | | — | | | | | | — | | | | | | 1,158,099 | | |
Peru | | | | | 215,743 | | | | | | — | | | | | | — | | | | | | 215,743 | | |
Poland | | | | | 158,284 | | | | | | — | | | | | | — | | | | | | 158,284 | | |
Portugal | | | | | 108,831 | | | | | | — | | | | | | — | | | | | | 108,831 | | |
Russia | | | | | 3,351,213 | | | | | | — | | | | | | — | | | | | | 3,351,213 | | |
Singapore | | | | | 1,168,358 | | | | | | — | | | | | | — | | | | | | 1,168,358 | | |
South Africa | | | | | 2,216,356 | | | | | | — | | | | | | — | | | | | | 2,216,356 | | |
South Korea | | | | | 10,049,684 | | | | | | — | | | | | | — | | | | | | 10,049,684 | | |
Spain | | | | | 1,820,652 | | | | | | 28,151 | | | | | | — | | | | | | 1,848,803 | | |
Sweden | | | | | 8,584,925 | | | | | | — | | | | | | — | | | | | | 8,584,925 | | |
Switzerland | | | | | 15,910,786 | | | | | | — | | | | | | — | | | | | | 15,910,786 | | |
Taiwan | | | | | 9,470,984 | | | | | | — | | | | | | — | | | | | | 9,470,984 | | |
Thailand | | | | | 86,264 | | | | | | — | | | | | | — | | | | | | 86,264 | | |
Turkey | | | | | 253,227 | | | | | | — | | | | | | — | | | | | | 253,227 | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
United Arab Emirates | | | | | 194,500 | | | | | | — | | | | | | — | | | | | | 194,500 | | |
United States | | | | | 3,354,805 | | | | | | — | | | | | | — | | | | | | 3,354,805 | | |
Total Common Stocks | | | | | 223,595,358 | | | | | | 28,151 | | | | | | — | | | | | | 223,623,509 | | |
Exchange-Traded Fund | | | | | 156,337,549 | | | | | | — | | | | | | — | | | | | | 156,337,549 | | |
Rights | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Preferred Stocks* | | | | | 783,589 | | | | | | — | | | | | | — | | | | | | 783,589 | | |
Money Market Fund | | | | | 6,762,510 | | | | | | — | | | | | | — | | | | | | 6,762,510 | | |
Total Investments in Securities | | | | $ | 387,479,006 | | | | | $ | 28,151 | | | | | $ | — | | | | | $ | 387,507,157 | | |
|
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – 30.2% | | ||||||||||||
BASIC MATERIALS – 1.2% | | ||||||||||||
Anglo American Capital PLC, 5.38%, 4/1/25(a) | | | | $ | 400,000 | | | | | $ | 459,716 | | |
Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. L.P., Senior Note, 3.30%, 5/1/23(a) | | | | | 88,000 | | | | | | 93,368 | | |
CNAC HK Finbridge Co., Ltd., 3.50%, 7/19/22(b) | | | | | 340,000 | | | | | | 348,750 | | |
Domtar Corp., 6.75%, 2/15/44 | | | | | 181,000 | | | | | | 209,744 | | |
DuPont de Nemours, Inc., Senior Note, 3.77%, 11/15/20 | | | | | 65,000 | | | | | | 65,267 | | |
Ecolab, Inc., Senior Note, 2.38%, 8/10/22 | | | | | 145,000 | | | | | | 150,162 | | |
Georgia-Pacific LLC, 2.30%, 4/30/30(a) | | | | | 127,000 | | | | | | 134,664 | | |
Georgia-Pacific LLC, 5.40%, 11/1/20(a) | | | | | 322,000 | | | | | | 323,266 | | |
Huntsman International LLC, 4.50%, 5/1/29 | | | | | 160,000 | | | | | | 179,875 | | |
International Paper Co., Senior Bond, 4.35%, 8/15/48 | | | | | 1,000,000 | | | | | | 1,221,367 | | |
Inversiones CMPC S.A., 4.38%, 4/4/27(a) | | | | | 500,000 | | | | | | 556,880 | | |
LYB International Finance III LLC, 4.20%, 5/1/50 | | | | | 330,000 | | | | | | 366,442 | | |
Newmont Corp., 2.25%, 10/1/30 | | | | | 1,475,000 | | | | | | 1,521,142 | | |
Nutrition & Biosciences, Inc., 1.83%, 10/15/27(a) | | | | | 1,000,000 | | | | | | 1,004,258 | | |
Nutrition & Biosciences, Inc., 3.27%, 11/15/40(a) | | | | | 375,000 | | | | | | 377,114 | | |
SASOL Financing USA LLC, 5.88%, 3/27/24 | | | | | 200,000 | | | | | | 192,500 | | |
Southern Copper Corp., Senior Bond, 5.25%, 11/8/42 | | | | | 100,000 | | | | | | 125,894 | | |
Steel Dynamics, Inc., 2.40%, 6/15/25 | | | | | 500,000 | | | | | | 521,578 | | |
Steel Dynamics, Inc., 3.45%, 4/15/30 | | | | | 112,000 | | | | | | 123,404 | | |
Teck Resources Ltd., Senior Bond, 6.13%, 10/1/35 | | | | | 149,000 | | | | | | 177,965 | | |
Westlake Chemical Corp., 3.38%, 6/15/30 | | | | | 152,000 | | | | | | 162,916 | | |
Total Basic Materials | | | | | | | | | | | 8,316,272 | | |
COMMUNICATIONS – 1.9% | | ||||||||||||
Alphabet, Inc., 0.45%, 8/15/25 | | | | | 675,000 | | | | | | 670,924 | | |
Alphabet, Inc., 1.10%, 8/15/30 | | | | | 142,000 | | | | | | 140,595 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
COMMUNICATIONS – (continued) | | ||||||||||||
Alphabet, Inc., 2.05%, 8/15/50 | | | | $ | 133,000 | | | | | $ | 123,597 | | |
Amazon.com, Inc., 4.80%, 12/5/34 | | | | | 61,000 | | | | | | 84,052 | | |
AT&T, Inc., 1.65%, 2/1/28 | | | | | 35,000 | | | | | | 35,038 | | |
AT&T, Inc., 3.50%, 9/15/53(a) | | | | | 1,640,000 | | | | | | 1,597,747 | | |
AT&T, Inc., 3.65%, 9/15/59(a) | | | | | 28,000 | | | | | | 27,039 | | |
AT&T, Inc., 4.30%, 2/15/30 | | | | | 50,000 | | | | | | 59,197 | | |
AT&T, Inc., 4.85%, 7/15/45 | | | | | 249,000 | | | | | | 297,334 | | |
AT&T, Inc., Senior Bond, 4.50%, 5/15/35 | | | | | 97,000 | | | | | | 114,416 | | |
AT&T, Inc., Senior Bond, 4.50%, 3/9/48 | | | | | 150,000 | | | | | | 171,247 | | |
AT&T, Inc., Senior Bond, 4.75%, 5/15/46 | | | | | 234,000 | | | | | | 273,827 | | |
AT&T, Inc., Senior Bond, 4.90%, 8/15/37 | | | | | 136,000 | | | | | | 164,097 | | |
CenturyLink, Inc., 4.00%, 2/15/27(a) | | | | | 185,000 | | | | | | 187,943 | | |
Charter Communications Operating LLC/Charter Communications Operating Capital, 3.70%, 4/1/51 | | | | | 32,000 | | | | | | 31,626 | | |
Charter Communications Operating LLC/Charter Communications Operating Capital, 4.80%, 3/1/50 | | | | | 324,000 | | | | | | 370,314 | | |
Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Bond, 5.38%, 4/1/38 | | | | | 22,000 | | | | | | 26,737 | | |
Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Bond, 5.38%, 5/1/47 | | | | | 400,000 | | | | | | 474,037 | | |
Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Bond, 6.38%, 10/23/35 | | | | | 564,000 | | | | | | 768,989 | | |
Comcast Corp., 2.45%, 8/15/52 | | | | | 108,000 | | | | | | 100,964 | | |
Comcast Corp., 3.30%, 2/1/27 | | | | | 125,000 | | | | | | 140,926 | | |
Comcast Corp., 3.75%, 4/1/40 | | | | | 54,000 | | | | | | 62,992 | | |
Comcast Corp., 3.90%, 3/1/38 | | | | | 51,000 | | | | | | 60,383 | | |
Comcast Corp., 4.00%, 3/1/48 | | | | | 600,000 | | | | | | 725,289 | | |
Comcast Corp., 4.15%, 10/15/28 | | | | | 260,000 | | | | | | 313,723 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
COMMUNICATIONS – (continued) | | ||||||||||||
Comcast Corp., 4.25%, 10/15/30 | | | | $ | 90,000 | | | | | $ | 110,475 | | |
Comcast Corp., 4.60%, 10/15/38 | | | | | 83,000 | | | | | | 105,673 | | |
Corning, Inc., 5.45%, 11/15/79 | | | | | 218,000 | | | | | | 277,770 | | |
Cox Communications, Inc., 3.50%, 8/15/27(a) | | | | | 600,000 | | | | | | 671,670 | | |
Cox Communications, Inc., Senior Bond, 4.60%, 8/15/47(a) | | | | | 150,000 | | | | | | 187,170 | | |
Discovery Communications LLC, 4.00%, 9/15/55(a) | | | | | 608,000 | | | | | | 613,690 | | |
Discovery Communications LLC, 5.20%, 9/20/47 | | | | | 197,000 | | | | | | 236,175 | | |
Discovery Communications LLC, 5.30%, 5/15/49 | | | | | 64,000 | | | | | | 78,405 | | |
Level 3 Financing, Inc., 3.40%, 3/1/27(a) | | | | | 500,000 | | | | | | 538,389 | | |
Omnicom Group, Inc., 2.45%, 4/30/30 | | | | | 99,000 | | | | | | 102,168 | | |
Omnicom Group, Inc., 4.20%, 6/1/30 | | | | | 28,000 | | | | | | 32,757 | | |
T-Mobile USA, Inc., 3.00%, 2/15/41(a) | | | | | 77,000 | | | | | | 76,017 | | |
T-Mobile USA, Inc., 3.30%, 2/15/51(a) | | | | | 65,000 | | | | | | 64,067 | | |
T-Mobile USA, Inc., 3.88%, 4/15/30(a) | | | | | 186,000 | | | | | | 211,488 | | |
T-Mobile USA, Inc., 4.38%, 4/15/40(a) | | | | | 475,000 | | | | | | 556,781 | | |
Telefonica Emisiones S.A., 5.21%, 3/8/47 | | | | | 270,000 | | | | | | 320,202 | | |
Time Warner Cable LLC, 6.55%, 5/1/37 | | | | | 6,000 | | | | | | 7,966 | | |
Verizon Communications, Inc., 1.50%, 9/18/30 | | | | | 204,000 | | | | | | 203,147 | | |
Verizon Communications, Inc., Senior Bond, 4.27%, 1/15/36 | | | | | 54,000 | | | | | | 66,509 | | |
Verizon Communications, Inc., Senior Bond, 4.40%, 11/1/34 | | | | | 56,000 | | | | | | 69,867 | | |
Verizon Communications, Inc., Senior Bond, 4.86%, 8/21/46 | | | | | 400,000 | | | | | | 547,177 | | |
Verizon Communications, Inc., Senior Bond, 5.25%, 3/16/37 | | | | | 156,000 | | | | | | 215,709 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
COMMUNICATIONS – (continued) | | ||||||||||||
ViacomCBS, Inc., 4.38%, 3/15/43 | | | | $ | 513,000 | | | | | $ | 543,717 | | |
ViacomCBS, Inc., Senior Bond, 5.85%, 9/1/43 | | | | | 125,000 | | | | | | 156,615 | | |
Walt Disney Co. (The), 2.75%, 9/1/49 | | | | | 160,000 | | | | | | 154,061 | | |
Total Communications | | | | | | | | | | | 13,170,698 | | |
CONSUMER, CYCLICAL – 1.9% | | ||||||||||||
Advance Auto Parts, Inc., 1.75%, 10/1/27 | | | | | 88,000 | | | | | | 87,637 | | |
Advance Auto Parts, Inc., 3.90%, 4/15/30 | | | | | 117,000 | | | | | | 131,751 | | |
AutoNation, Inc., 4.75%, 6/1/30 | | | | | 48,000 | | | | | | 56,806 | | |
AutoZone, Inc., 3.75%, 4/18/29 | | | | | 360,000 | | | | | | 416,100 | | |
Cummins, Inc., 0.75%, 9/1/25 | | | | | 90,000 | | | | | | 90,589 | | |
Dana Financing Luxembourg Sarl, 6.50%, 6/1/26(a) | | | | | 75,000 | | | | | | 78,187 | | |
Dana, Inc., 5.38%, 11/15/27 | | | | | 75,000 | | | | | | 76,875 | | |
Darden Restaurants, Inc., 4.55%, 2/15/48 | | | | | 126,000 | | | | | | 125,193 | | |
Delta Air Lines 2020-1 Class A Pass Through Trust, Series 2020-A, 2.50%, 6/10/28 | | | | | 600,000 | | | | | | 538,899 | | |
Delta Air Lines 2020-1 Class AA Pass Through Trust, Series 2020-AA, 2.00%, 6/10/28 | | | | | 500,000 | | | | | | 483,092 | | |
Delta Air Lines Pass Through Trust, Series 2015-1A, 3.88%, 7/30/27 | | | | | 436,893 | | | | | | 409,707 | | |
Delta Air Lines Pass Through Trust, Series 2019-1A, 3.40%, 4/25/24 | | | | | 150,000 | | | | | | 144,724 | | |
Ford Motor Credit Co. LLC, 3.35%, 11/1/22 | | | | | 675,000 | | | | | | 664,875 | | |
General Motors Co., 6.80%, 10/1/27 | | | | | 101,000 | | | | | | 122,743 | | |
General Motors Co., Senior Bond, 6.25%, 10/2/43 | | | | | 205,000 | | | | | | 242,520 | | |
Harley-Davidson Financial Services, Inc., 3.35%, 6/8/25(a) | | | | | 1,500,000 | | | | | | 1,568,828 | | |
Home Depot, Inc. (The), 2.50%, 4/15/27 | | | | | 475,000 | | | | | | 516,028 | | |
Home Depot, Inc. (The), 2.70%, 4/15/30 | | | | | 475,000 | | | | | | 528,458 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
CONSUMER, CYCLICAL – (continued) | | ||||||||||||
Hyundai Capital America, 3.40%, 6/20/24(a) | | | | $ | 150,000 | | | | | $ | 158,916 | | |
Kohl’s Corp., 5.55%, 7/17/45 | | | | | 124,000 | | | | | | 113,844 | | |
L Brands, Inc., 5.63%, 10/15/23 | | | | | 75,000 | | | | | | 78,375 | | |
Lear Corp., 5.25%, 5/15/49 | | | | | 89,000 | | | | | | 96,184 | | |
Lowe’s Cos., Inc., 5.00%, 4/15/40 | | | | | 1,000,000 | | | | | | 1,309,993 | | |
McDonald’s Corp., 3.63%, 9/1/49 | | | | | 64,000 | | | | | | 71,488 | | |
McDonald’s Corp., 4.20%, 4/1/50 | | | | | 67,000 | | | | | | 81,359 | | |
Nissan Motor Acceptance Corp., Senior Note, 2.65%, 7/13/22(a) | | | | | 9,000 | | | | | | 9,093 | | |
PACCAR Financial Corp., 0.80%, 6/8/23 | | | | | 89,000 | | | | | | 89,623 | | |
Ross Stores, Inc., 5.45%, 4/15/50 | | | | | 117,000 | | | | | | 152,431 | | |
Sally Holdings LLC/Sally Capital, Inc., 5.63%, 12/1/25 | | | | | 200,000 | | | | | | 202,674 | | |
Starbucks Corp., Senior Note, 2.45%, 6/15/26 | | | | | 500,000 | | | | | | 541,759 | | |
Target Corp., 2.25%, 4/15/25 | | | | | 800,000 | | | | | | 854,096 | | |
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc., 5.63%, 3/1/24(a) | | | | | 150,000 | | | | | | 159,750 | | |
TJX Cos., Inc. (The), 3.75%, 4/15/27 | | | | | 111,000 | | | | | | 127,187 | | |
Toyota Motor Credit Corp., 2.15%, 2/13/30 | | | | | 1,075,000 | | | | | | 1,132,178 | | |
VF Corp., 2.80%, 4/23/27 | | | | | 800,000 | | | | | | 873,431 | | |
Volkswagen Group of America Finance LLC, 3.88%, 11/13/20(a) | | | | | 215,000 | | | | | | 215,829 | | |
Volkswagen Group of America Finance LLC, 4.00%, 11/12/21(a) | | | | | 215,000 | | | | | | 223,002 | | |
Walgreens Boots Alliance, Inc., 4.10%, 4/15/50 | | | | | 64,000 | | | | | | 64,491 | | |
Total Consumer, Cyclical | | | | | | | | | | | 12,838,715 | | |
CONSUMER, NON-CYCLICAL – 5.1% | | ||||||||||||
AbbVie, Inc., 4.05%, 11/21/39(a) | | | | | 40,000 | | | | | | 45,684 | | |
AbbVie, Inc., 4.25%, 11/21/49(a) | | | | | 750,000 | | | | | | 885,863 | | |
AbbVie, Inc., 4.55%, 3/15/35(a) | | | | | 380,000 | | | | | | 464,469 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
CONSUMER, NON-CYCLICAL – (continued) | | ||||||||||||
AbbVie, Inc., 4.75%, 3/15/45(a) | | | | $ | 150,000 | | | | | $ | 180,890 | | |
AbbVie, Inc., Senior Bond, 4.50%, 5/14/35 | | | | | 200,000 | | | | | | 242,340 | | |
Allina Health System, 3.89%, 4/15/49 | | | | | 90,000 | | | | | | 108,406 | | |
AmerisourceBergen Corp., Senior Bond, 4.30%, 12/15/47 | | | | | 100,000 | | | | | | 116,121 | | |
Amgen, Inc., 2.20%, 2/21/27 | | | | | 585,000 | | | | | | 617,120 | | |
Amgen, Inc., 3.15%, 2/21/40 | | | | | 447,000 | | | | | | 474,283 | | |
Amgen, Inc., 3.38%, 2/21/50 | | | | | 82,000 | | | | | | 88,564 | | |
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 2/1/46 | | | | | 235,000 | | | | | | 291,303 | | |
Anheuser-Busch InBev Worldwide, Inc., 4.38%, 4/15/38 | | | | | 110,000 | | | | | | 127,956 | | |
Anheuser-Busch InBev Worldwide, Inc., 4.60%, 4/15/48 | | | | | 176,000 | | | | | | 209,431 | | |
Anheuser-Busch InBev Worldwide, Inc., 5.45%, 1/23/39 | | | | | 200,000 | | | | | | 258,524 | | |
Anheuser-Busch InBev Worldwide, Inc., 5.55%, 1/23/49 | | | | | 355,000 | | | | | | 481,761 | | |
Ascension Health, 2.53%, 11/15/29 | | | | | 630,000 | | | | | | 682,658 | | |
Ascension Health, 3.11%, 11/15/39 | | | | | 120,000 | | | | | | 128,574 | | |
BAT Capital Corp., 2.73%, 3/25/31 | | | | | 620,000 | | | | | | 614,064 | | |
Baxter International, Inc., 3.75%, 10/1/25(a) | | | | | 250,000 | | | | | | 283,546 | | |
Bayer US Finance II LLC, 3.50%, 6/25/21(a) | | | | | 200,000 | | | | | | 204,011 | | |
Bristol-Myers Squibb Co., 3.63%, 5/15/24 | | | | | 184,000 | | | | | | 202,737 | | |
Bristol-Myers Squibb Co., 3.90%, 2/20/28 | | | | | 400,000 | | | | | | 473,918 | | |
Bristol-Myers Squibb Co., 4.13%, 6/15/39 | | | | | 40,000 | | | | | | 50,256 | | |
Bristol-Myers Squibb Co., 4.25%, 10/26/49 | | | | | 145,000 | | | | | | 190,429 | | |
Bristol-Myers Squibb Co., 4.63%, 5/15/44 | | | | | 125,000 | | | | | | 167,456 | | |
Bristol-Myers Squibb Co., 5.00%, 8/15/45 | | | | | 85,000 | | | | | | 118,672 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
CONSUMER, NON-CYCLICAL – (continued) | | ||||||||||||
Cardinal Health, Inc., Senior Bond, 4.60%, 3/15/43 | | | | $ | 150,000 | | | | | $ | 164,171 | | |
Cigna Corp., 2.40%, 3/15/30 | | | | | 1,125,000 | | | | | | 1,163,240 | | |
Cigna Corp., 4.38%, 10/15/28 | | | | | 190,000 | | | | | | 225,654 | | |
Coca-Cola Co. (The), 2.50%, 3/15/51 | | | | | 120,000 | | | | | | 119,121 | | |
Conagra Brands, Inc., 7.00%, 10/1/28 | | | | | 117,000 | | | | | | 156,580 | | |
CVS Health Corp., 4.25%, 4/1/50 | | | | | 57,000 | | | | | | 66,847 | | |
CVS Health Corp., 5.13%, 7/20/45 | | | | | 390,000 | | | | | | 490,941 | | |
CVS Health Corp., Senior Bond, 4.78%, 3/25/38 | | | | | 79,000 | | | | | | 95,605 | | |
CVS Health Corp., Senior Bond, 5.05%, 3/25/48 | | | | | 103,000 | | | | | | 130,986 | | |
Duke University Health System, Inc., Senior Bond, 3.92%, 6/1/47 | | | | | 70,000 | | | | | | 87,764 | | |
ERAC USA Finance LLC, 4.20%, 11/1/46(a) | | | | | 325,000 | | | | | | 372,899 | | |
Ford Foundation (The), 2.82%, 6/1/70 | | | | | 1,100,000 | | | | | | 1,143,761 | | |
General Mills, Inc., 2.88%, 4/15/30 | | | | | 400,000 | | | | | | 438,603 | | |
Gilead Sciences, Inc., 1.20%, 10/1/27 | | | | | 1,550,000 | | | | | | 1,552,507 | | |
Gilead Sciences, Inc., 2.60%, 10/1/40 | | | | | 1,075,000 | | | | | | 1,072,550 | | |
Gilead Sciences, Inc., 2.80%, 10/1/50 | | | | | 1,000,000 | | | | | | 986,411 | | |
GlaxoSmithKline Capital, Inc., 3.38%, 5/15/23 | | | | | 107,000 | | | | | | 115,194 | | |
HCA, Inc., 5.38%, 2/1/25 | | | | | 25,000 | | | | | | 27,375 | | |
HCA, Inc., 5.88%, 2/1/29 | | | | | 125,000 | | | | | | 145,625 | | |
Humana, Inc., 4.88%, 4/1/30 | | | | | 7,000 | | | | | | 8,743 | | |
Kimberly-Clark Corp., 2.88%, 2/7/50 | | | | | 450,000 | | | | | | 498,874 | | |
Kimberly-Clark Corp., Senior Note, 3.95%, 11/1/28 | | | | | 400,000 | | | | | | 480,432 | | |
Kraft Heinz Foods Co., 4.88%, 10/1/49(a) | | | | | 195,000 | | | | | | 205,376 | | |
Mars, Inc., 2.38%, 7/16/40(a) | | | | | 73,000 | | | | | | 72,856 | | |
Mars, Inc., 3.95%, 4/1/49(a) | | | | | 205,000 | | | | | | 247,600 | | |
Massachusetts Institute of Technology, 3.89%, 7/1/2116 | | | | | 75,000 | | | | | | 94,114 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
CONSUMER, NON-CYCLICAL – (continued) | | ||||||||||||
Massachusetts Institute of Technology, 4.68%, 7/1/2114 | | | | $ | 150,000 | | | | | $ | 215,995 | | |
MEDNAX, Inc., 5.25%, 12/1/23(a) | | | | | 200,000 | | | | | | 201,906 | | |
Mondelez International Senior Unsecured Bond, 1.88%, 10/15/32 | | | | | 69,000 | | | | | | 68,838 | | |
Mylan, Inc., 3.13%, 1/15/23(a) | | | | | 480,000 | | | | | | 505,151 | | |
Mylan, Inc., 4.55%, 4/15/28 | | | | | 100,000 | | | | | | 116,430 | | |
Mylan, Inc., 5.20%, 4/15/48 | | | | | 275,000 | | | | | | 340,284 | | |
NBM US Holdings, Inc., 6.63%, 8/6/29(a) | | | | | 1,000,000 | | | | | | 1,071,250 | | |
Nestle Holdings, Inc., 3.50%, 9/24/25(a) | | | | | 247,000 | | | | | | 279,328 | | |
Orlando Health Obligated Group, 4.09%, 10/1/48 | | | | | 50,000 | | | | | | 56,261 | | |
PepsiCo, Inc., 2.25%, 3/19/25 | | | | | 126,000 | | | | | | 134,899 | | |
PepsiCo, Inc., 2.88%, 10/15/49 | | | | | 1,102,000 | | | | | | 1,181,687 | | |
Pernod Ricard International Finance LLC, 2.75%, 10/1/50(a) | | | | | 151,000 | | | | | | 147,157 | | |
President & Fellows of Harvard College, 5.63%, 10/1/38 | | | | | 515,000 | | | | | | 760,353 | | |
President & Fellows of Harvard College, 3.62%, 10/1/37 | | | | | 50,000 | | | | | | 60,579 | | |
President & Fellows of Harvard College, 6.50%, 1/15/39(a) | | | | | 105,000 | | | | | | 171,289 | | |
Procter & Gamble Co. (The), 2.80%, 3/25/27 | | | | | 450,000 | | | | | | 504,785 | | |
Procter & Gamble Co. (The), 3.55%, 3/25/40 | | | | | 450,000 | | | | | | 546,996 | | |
Providence St Joseph Health Obligated Group, Series 19A, 2.53%, 10/1/29 | | | | | 110,000 | | | | | | 117,019 | | |
Quanta Services, Inc., 2.90%, 10/1/30 | | | | | 121,000 | | | | | | 123,522 | | |
S&P Global, Inc., 2.30%, 8/15/60 | | | | | 36,000 | | | | | | 32,238 | | |
Shire Acquisitions Investments Ireland DAC, 2.88%, 9/23/23 | | | | | 450,000 | | | | | | 477,645 | | |
Smithfield Foods, Inc., 4.25%, 2/1/27(a) | | | | | 76,000 | | | | | | 83,006 | | |
Smithfield Foods, Inc., 5.20%, 4/1/29(a) | | | | | 104,000 | | | | | | 121,594 | | |
Sutter Health, 4.09%, 8/15/48 | | | | | 125,000 | | | | | | 147,776 | | |
Sysco Corp., 2.40%, 2/15/30 | | | | | 108,000 | | | | | | 108,867 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
CONSUMER, NON-CYCLICAL – (continued) | | ||||||||||||
Sysco Corp., 5.95%, 4/1/30 | | | | $ | 90,000 | | | | | $ | 113,575 | | |
Sysco Corp., 6.60%, 4/1/40 | | | | | 101,000 | | | | | | 136,037 | | |
Sysco Corp., 6.60%, 4/1/50 | | | | | 67,000 | | | | | | 93,499 | | |
Takeda Pharmaceutical Co., Ltd., 2.05%, 3/31/30 | | | | | 1,000,000 | | | | | | 1,012,774 | | |
Trustees of Boston College, 3.13%, 7/1/52 | | | | | 169,000 | | | | | | 189,191 | | |
Trustees of Princeton University (The), 2.52%, 7/1/50 | | | | | 90,000 | | | | | | 94,144 | | |
Trustees of Princeton University (The), 5.70%, 3/1/39 | | | | | 495,000 | | | | | | 757,017 | | |
Tyson Foods, Inc., 5.10%, 9/28/48 | | | | | 310,000 | | | | | | 426,432 | | |
Unilever Capital Corp., 1.38%, 9/14/30 | | | | | 1,175,000 | | | | | | 1,182,415 | | |
Unilever Capital Corp., 2.00%, 7/28/26 | | | | | 1,000,000 | | | | | | 1,068,790 | | |
Unilever Capital Corp., 2.13%, 9/6/29 | | | | | 675,000 | | | | | | 713,771 | | |
United Rentals North America, Inc., 5.25%, 1/15/30 | | | | | 70,000 | | | | | | 76,388 | | |
United Rentals North America, Inc., 5.50%, 5/15/27 | | | | | 375,000 | | | | | | 398,906 | | |
UnitedHealth Group, Inc., 1.25%, 1/15/26 | | | | | 153,000 | | | | | | 156,616 | | |
UnitedHealth Group, Inc., 3.13%, 5/15/60 | | | | | 75,000 | | | | | | 80,256 | | |
UnitedHealth Group, Inc., Senior Note, 3.75%, 7/15/25 | | | | | 250,000 | | | | | | 285,283 | | |
UnitedHealth Group, Inc., Senior Note, 3.85%, 6/15/28 | | | | | 610,000 | | | | | | 717,882 | | |
University of Chicago (The), 0, 2.76%, 4/1/45 | | | | | 100,000 | | | | | | 102,043 | | |
Upjohn, Inc., 3.85%, 6/22/40(a) | | | | | 250,000 | | | | | | 269,154 | | |
Upjohn, Inc., 4.00%, 6/22/50(a) | | | | | 75,000 | | | | | | 79,846 | | |
Vector Group Ltd., 6.13%, 2/1/25(a) | | | | | 225,000 | | | | | | 224,438 | | |
Wisconsin Alumni Research Foundation, 3.56%, 10/1/49 | | | | | 1,300,000 | | | | | | 1,422,714 | | |
Total Consumer, Non-cyclical | | | | | 35,048,891 | | | ||||||
ENERGY – 2.3% | | ||||||||||||
Antero Resources Corp., 5.00%, 3/1/25 | | | | | 200,000 | | | | | | 125,000 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
ENERGY – (continued) | | ||||||||||||
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc., 4.49%, 5/1/30 | | | | $ | 47,000 | | | | | $ | 53,475 | | |
BP Capital Markets America, Inc., 2.77%, 11/10/50 | | | | | 184,000 | | | | | | 168,245 | | |
BP Capital Markets America, Inc., 3.54%, 4/6/27 | | | | | 292,000 | | | | | | 327,172 | | |
Canadian Natural Resources Ltd., Senior Bond, 6.25%, 3/15/38 | | | | | 200,000 | | | | | | 237,185 | | |
Cenovus Energy, Inc., Senior Bond, 5.25%, 6/15/37 | | | | | 205,000 | | | | | | 177,807 | | |
Chaparral Energy, Inc., Senior Note, 8.75%, 7/15/23(a)(c) | | | | | 50,000 | | | | | | 3,000 | | |
Cheniere Corpus Christi Holdings LLC, 3.70%, 11/15/29(a) | | | | | 125,000 | | | | | | 129,844 | | |
Chevron Corp., 1.55%, 5/11/25 | | | | | 233,000 | | | | | | 241,392 | | |
Chevron USA, Inc., 1.02%, 8/12/27 | | | | | 81,000 | | | | | | 80,816 | | |
Colonial Enterprises, Inc., 3.25%, 5/15/30(a) | | | | | 557,000 | | | | | | 624,630 | | |
Concho Resources, Inc., 4.30%, 8/15/28 | | | | | 90,000 | | | | | | 99,491 | | |
Continental Resources, Inc., 3.80%, 6/1/24 | | | | | 775,000 | | | | | | 718,510 | | |
Ecopetrol S.A., Senior Note, 4.13%, 1/16/25 | | | | | 200,000 | | | | | | 209,752 | | |
Enable Midstream Partners L.P., Senior Note, 4.95%, 5/15/28 | | | | | 105,000 | | | | | | 102,904 | | |
Energy Transfer Operating L.P., 4.90%, 3/15/35 | | | | | 147,000 | | | | | | 143,572 | | |
Energy Transfer Operating L.P., 4.95%, 6/15/28 | | | | | 115,000 | | | | | | 121,725 | | |
Energy Transfer Operating L.P., 5.00%, 5/15/50 | | | | | 505,000 | | | | | | 463,575 | | |
Energy Transfer Operating L.P., 5.30%, 4/15/47 | | | | | 110,000 | | | | | | 101,980 | | |
Energy Transfer Operating L.P., 5.50%, 6/1/27 | | | | | 40,000 | | | | | | 43,625 | | |
Energy Transfer Operating L.P., 6.13%, 12/15/45 | | | | | 104,000 | | | | | | 104,193 | | |
EnLink Midstream Partners L.P., Senior Bond, 5.05%, 4/1/45 | | | | | 6,000 | | | | | | 3,822 | | |
Enterprise Products Operating LLC, 4.25%, 2/15/48 | | | | | 90,000 | | | | | | 95,424 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
ENERGY – (continued) | | ||||||||||||
Enterprise Products Operating LLC, 4.85%, 8/15/42 | | | | $ | 200,000 | | | | | $ | 226,252 | | |
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)(d) | | | | | 89,000 | | | | | | 84,841 | | |
EOG Resources, Inc., 4.38%, 4/15/30 | | | | | 70,000 | | | | | | 82,428 | | |
EOG Resources, Inc., 4.95%, 4/15/50 | | | | | 77,000 | | | | | | 94,411 | | |
EP Energy LLC/Everest Acquisition Finance, Inc., 9.38%, 5/1/20(c) | | | | | 150,000 | | | | | | 15 | | |
EQT Corp., 7.88%, 2/1/25 | | | | | 425,000 | | | | | | 471,091 | | |
Gray Oak Pipeline LLC, 2.00%, 9/15/23(a) | | | | | 170,000 | | | | | | 170,925 | | |
Gray Oak Pipeline LLC, 3.45%, 10/15/27(a) | | | | | 101,000 | | | | | | 103,343 | | |
Halliburton Co., 2.92%, 3/1/30 | | | | | 130,000 | | | | | | 127,541 | | |
Hanwha Energy USA Holdings Corp., 2.38%, 7/30/22(a) | | | | | 1,000,000 | | | | | | 1,027,783 | | |
Kinder Morgan, Inc., 3.25%, 8/1/50 | | | | | 125,000 | | | | | | 112,885 | | |
Magellan Midstream Partners L.P., 3.25%, 6/1/30 | | | | | 430,000 | | | | | | 461,169 | | |
Marathon Oil Corp., 6.80%, 3/15/32 | | | | | 100,000 | | | | | | 107,117 | | |
Marathon Oil Corp., Senior Bond, 6.60%, 10/1/37 | | | | | 100,000 | | | | | | 102,831 | | |
MPLX L.P., Senior Bond, 4.70%, 4/15/48 | | | | | 150,000 | | | | | | 151,696 | | |
MPLX L.P., Senior Bond, 5.50%, 2/15/49 | | | | | 85,000 | | | | | | 94,971 | | |
Murray Energy Corp., Secured Note, 12.00%, 4/15/24(a)(c) | | | | | 180,991 | | | | | | 9 | | |
Noble Energy, Inc., 4.20%, 10/15/49 | | | | | 70,000 | | | | | | 83,399 | | |
Noble Energy, Inc., 5.05%, 11/15/44 | | | | | 50,000 | | | | | | 64,759 | | |
Noble Energy, Inc., 5.25%, 11/15/43 | | | | | 175,000 | | | | | | 231,583 | | |
Noble Holding International Ltd., 7.88%, 2/1/26(a)(c) | | | | | 75,000 | | | | | | 18,108 | | |
ONEOK, Inc., 3.10%, 3/15/30 | | | | | 719,000 | | | | | | 691,747 | | |
ONEOK, Inc., 4.45%, 9/1/49 | | | | | 350,000 | | | | | | 307,906 | | |
ONEOK, Inc., 4.50%, 3/15/50 | | | | | 250,000 | | | | | | 220,848 | | |
ONEOK, Inc., 4.95%, 7/13/47 | | | | | 150,000 | | | | | | 142,388 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
ENERGY – (continued) | | ||||||||||||
ONEOK, Inc., 6.35%, 1/15/31 | | | | $ | 1,000,000 | | | | | $ | 1,163,298 | | |
ONEOK, Inc., 7.15%, 1/15/51 | | | | | 54,000 | | | | | | 64,056 | | |
Ovintiv, Inc., Senior Bond, 7.38%, 11/1/31 | | | | | 231,000 | | | | | | 230,709 | | |
Petroleos Mexicanos, 5.50%, 1/21/21 | | | | | 30,000 | | | | | | 30,262 | | |
Petroleos Mexicanos, 6.38%, 2/4/21 | | | | | 100,000 | | | | | | 101,150 | | |
Petroleos Mexicanos, 6.50%, 3/13/27 | | | | | 200,000 | | | | | | 186,500 | | |
Petroleos Mexicanos, 6.75%, 9/21/47 | | | | | 400,000 | | | | | | 308,000 | | |
Phillips 66, 2.15%, 12/15/30 | | | | | 125,000 | | | | | | 121,471 | | |
Sabine Pass Liquefaction LLC, 4.50%, 5/15/30(a) | | | | | 83,000 | | | | | | 93,415 | | |
SANCHEZ ENERGY Corp., 6.13%, 1/15/23(c) | | | | | 100,000 | | | | | | 500 | | |
SANCHEZ ENERGY Corp., 7.75%, 6/15/21(c) | | | | | 150,000 | | | | | | 750 | | |
Schlumberger Holdings Corp., 4.00%, 12/21/25(a) | | | | | 129,000 | | | | | | 144,249 | | |
SESI LLC, 7.13%, 12/15/21(a) | | | | | 25,000 | | | | | | 6,250 | | |
Topaz Solar Farms LLC, 4.88%, 9/30/39(a) | | | | | 347,767 | | | | | | 384,469 | | |
Transcontinental Gas Pipe Line Co. LLC, 3.25%, 5/15/30(a) | | | | | 83,000 | | | | | | 89,653 | | |
Transcontinental Gas Pipe Line Co. LLC, 3.95%, 5/15/50(a) | | | | | 230,000 | | | | | | 237,294 | | |
Valero Energy Corp., 2.15%, 9/15/27 | | | | | 77,000 | | | | | | 76,482 | | |
Valero Energy Corp., 2.85%, 4/15/25 | | | | | 195,000 | | | | | | 204,258 | | |
Valero Energy Corp., 4.00%, 4/1/29 | | | | | 45,000 | | | | | | 49,385 | | |
Valero Energy Corp., (3 month USD LIBOR + 1.150%), 1.40%, 9/15/23(d) | | | | | 1,000,000 | | | | | | 996,570 | | |
Valero Energy Partners L.P., Senior Note, 4.50%, 3/15/28 | | | | | 350,000 | | | | | | 391,829 | | |
Western Midstream Operating L.P., 4.00%, 7/1/22 | | | | | 450,000 | | | | | | 452,666 | | |
Western Midstream Operating L.P., 5.30%, 3/1/48 | | | | | 10,000 | | | | | | 8,050 | | |
Williams Cos., Inc. (The), 5.75%, 6/24/44 | | | | | 224,000 | | | | | | 263,743 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
ENERGY – (continued) | | ||||||||||||
Williams Cos., Inc. (The), Senior Bond, 4.90%, 1/15/45 | | | | $ | 200,000 | | | | | $ | 213,494 | | |
Total Energy | | | | | | | | | | | 15,375,688 | | |
FINANCIAL – 10.5% | | ||||||||||||
AIA Group Ltd., 3.38%, 4/7/30(a) | | | | | 350,000 | | | | | | 392,383 | | |
Alexandria Real Estate Equities, Inc., 4.00%, 1/15/24 | | | | | 400,000 | | | | | | 439,835 | | |
American Express Co., 3.40%, 2/22/24 | | | | | 89,000 | | | | | | 96,683 | | |
American Express Co., Senior Note, 4.20%, 11/6/25 | | | | | 69,000 | | | | | | 79,873 | | |
American International Group, Inc., Senior Bond, 3.88%, 1/15/35 | | | | | 9,000 | | | | | | 10,344 | | |
Ameriprise Financial, Inc., 3.00%, 3/22/22 | | | | | 114,000 | | | | | | 118,286 | | |
Athene Holding Ltd., 6.15%, 4/3/30 | | | | | 101,000 | | | | | | 119,703 | | |
Bank of America Corp., 1.49%, 5/19/24 (SOFR + 1.460%)(d) | | | | | 272,000 | | | | | | 276,656 | | |
Bank of America Corp., 2.46%, 10/22/25 (2.46% fixed rate until 10/22/24; 0.87% + 3 month USD LIBOR thereafter)(d) | | | | | 945,000 | | | | | | 996,515 | | |
Bank of America Corp., 3.19%, 7/23/30 (3.19% fixed rate until 7/23/29; 1.18% + 3 month USD LIBOR thereafter)(d) | | | | | 45,000 | | | | | | 49,717 | | |
Bank of America Corp., 3.71%, 4/24/28 (3.71% fixed rate until 4/24/27; 1.51% + 3 month USD LIBOR thereafter)(d) | | | | | 138,000 | | | | | | 155,819 | | |
Bank of America Corp., 4.45%, 3/3/26 | | | | | 1,525,000 | | | | | | 1,750,943 | | |
Bank of America Corp., (3 month USD LIBOR + 2.664%), 4.30%, 1/28/25(d)(e) | | | | | 475,000 | | | | | | 460,750 | | |
Bank of America Corp., (3 month USD LIBOR + 3.150%), 4.08%, 3/20/51(d) | | | | | 64,000 | | | | | | 79,079 | | |
Bank of America Corp., (SOFR + 0.910%), 0.98%, 9/25/25(d) | | | | | 1,000,000 | | | | | | 999,757 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
Bank of America Corp., (SOFR + 1.530%), 1.90%, 7/23/31(d) | | | | $ | 114,000 | | | | | $ | 113,498 | | |
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)(d) | | | | | 2,225,000 | | | | | | 2,520,977 | | |
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)(d) | | | | | 610,000 | | | | | | 699,484 | | |
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)(d)(e) | | | | | 290,000 | | | | | | 297,376 | | |
Bank of America Corp., Subordinated Note, Series L, 4.18%, 11/25/27 | | | | | 82,000 | | | | | | 94,043 | | |
Bank of New York Mellon Corp. (The), Subordinated Bond, 3.30%, 8/23/29 | | | | | 500,000 | | | | | | 572,800 | | |
BankUnited, Inc., 4.88%, 11/17/25 | | | | | 495,000 | | | | | | 561,812 | | |
BankUnited, Inc., 5.13%, 6/11/30 | | | | | 35,000 | | | | | | 38,462 | | |
Boston Properties L.P., 3.25%, 1/30/31 | | | | | 1,000,000 | | | | | | 1,077,015 | | |
Brandywine Operating Partnership L.P., 3.95%, 2/15/23 | | | | | 500,000 | | | | | | 517,113 | | |
Brighthouse Financial, Inc., 5.63%, 5/15/30 | | | | | 141,000 | | | | | | 164,424 | | |
Brighthouse Financial, Inc., Senior Bond, 4.70%, 6/22/47 | | | | | 120,000 | | | | | | 114,752 | | |
Brixmor Operating Partnership L.P., 3.65%, 6/15/24 | | | | | 500,000 | | | | | | 526,120 | | |
Brixmor Operating Partnership L.P., 4.05%, 7/1/30 | | | | | 74,000 | | | | | | 79,391 | | |
Brixmor Operating Partnership L.P., Senior Note, 3.90%, 3/15/27 | | | | | 500,000 | | | | | | 528,856 | | |
Chubb INA Holdings, Inc., 1.38%, 9/15/30 | | | | | 1,074,000 | | | | | | 1,058,626 | | |
Citigroup, Inc., 1.68%, 5/15/24 (SOFR + 1.667%)(d) | | | | | 1,000,000 | | | | | | 1,024,349 | | |
Citigroup, Inc., 4.65%, 7/23/48 | | | | | 70,000 | | | | | | 91,833 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
Citigroup, Inc., 4.70%, 1/30/25 (SOFR + 3.234%)(d)(e) | | | | $ | 55,000 | | | | | $ | 53,144 | | |
Citigroup, Inc., 5.88%, 2/22/33 | | | | | 117,000 | | | | | | 154,014 | | |
Citigroup, Inc., (SOFR + 1.146%), 2.67%, 1/29/31(d) | | | | | 117,000 | | | | | | 123,058 | | |
Citigroup, Inc., Senior Bond, 3.67%, 7/24/28 (3.67% fixed rate until 7/24/27; 1.39% + 3 month USD LIBOR thereafter)(d) | | | | | 54,000 | | | | | | 60,614 | | |
Citigroup, Inc., Senior Bond, 4.08%, 4/23/29 (4.08% fixed rate until 4/23/28; 1.19% + 3 month USD LIBOR thereafter)(d) | | | | | 700,000 | | | | | | 804,742 | | |
Citigroup, Inc., Series U, 5.00%, 9/12/24 (SOFR + 3.813%)(d)(e) | | | | | 225,000 | | | | | | 223,875 | | |
Citigroup, Inc., Subordinated Bond, 4.75%, 5/18/46 | | | | | 70,000 | | | | | | 88,131 | | |
Citigroup, Inc., Subordinated Bond, 6.00%, 10/31/33 | | | | | 190,000 | | | | | | 256,456 | | |
Citigroup, Inc., Subordinated Note, 4.45%, 9/29/27 | | | | | 1,527,000 | | | | | | 1,768,758 | | |
Citizens Financial Group, 2.64%, 9/30/32(a) | | | | | 65,000 | | | | | | 64,761 | | |
Citizens Financial Group, Inc., 2.50%, 2/6/30 | | | | | 35,000 | | | | | | 37,084 | | |
Citizens Financial Group, Inc., 3.25%, 4/30/30 | | | | | 1,247,000 | | | | | | 1,375,580 | | |
CNA Financial Corp., 3.95%, 5/15/24 | | | | | 365,000 | | | | | | 404,378 | | |
Columbia Property Trust Operating Partnership L.P., 4.15%, 4/1/25 | | | | | 256,000 | | | | | | 268,014 | | |
Danske Bank A/S, Senior Note, 3.88%, 9/12/23(a) | | | | | 200,000 | | | | | | 215,316 | | |
Drawbridge Special Opportunities Fund L.P./Drawbridge Special Opportunities Fin, Senior Note, 5.00%, 8/1/21(a) | | | | | 1,200,000 | | | | | | 1,214,886 | | |
Empower Finance 2020 L.P., 1.36%, 9/17/27(a) | | | | | 1,125,000 | | | | | | 1,121,195 | | |
Empower Finance 2020 L.P., 1.78%, 3/17/31(a) | | | | | 1,150,000 | | | | | | 1,149,291 | | |
Equinix, Inc., 1.00%, 9/15/25 | | | | | 1,050,000 | | | | | | 1,040,165 | | |
Equinix, Inc., 1.80%, 7/15/27 | | | | | 1,000,000 | | | | | | 1,008,769 | | |
Equitable Financial Life Global Funding, 1.40%, 8/27/27(a) | | | | | 1,125,000 | | | | | | 1,128,524 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
Equitable Holdings, Inc., 5.00%, 4/20/48 | | | | $ | 1,000,000 | | | | | $ | 1,179,652 | | |
Equitable Holdings, Inc., Series B, (5 year CMT + 4.736%), 4.95%, 9/15/25(d)(e) | | | | | 910,000 | | | | | | 928,200 | | |
First Horizon Bank, 5.75%, 5/1/30 | | | | | 250,000 | | | | | | 282,254 | | |
First Niagara Financial Group, Inc., Subordinated Note, 7.25%, 12/15/21 | | | | | 75,000 | | | | | | 80,883 | | |
Five Corners Funding Trust, Senior Note, 4.42%, 11/15/23(a) | | | | | 600,000 | | | | | | 666,654 | | |
Five Corners Funding Trust II, 2.85%, 5/15/30(a) | | | | | 1,325,000 | | | | | | 1,429,159 | | |
FS KKR Capital Corp., 4.13%, 2/1/25 | | | | | 1,550,000 | | | | | | 1,539,994 | | |
GE Capital International Funding Co. Unlimited Co., 4.42%, 11/15/35 | | | | | 561,000 | | | | | | 592,888 | | |
GLP Capital L.P./GLP Financing II, Inc., 5.38%, 4/15/26 | | | | | 150,000 | | | | | | 166,245 | | |
Goldman Sachs Group, Inc. (The), 2.35%, 11/15/21 | | | | | 7,000 | | | | | | 7,016 | | |
Goldman Sachs Group, Inc. (The), 3.50%, 11/16/26 | | | | | 245,000 | | | | | | 270,722 | | |
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)(d) | | | | | 925,000 | | | | | | 1,037,054 | | |
Goldman Sachs Group, Inc. (The), 3.80%, 3/15/30 | | | | | 113,000 | | | | | | 130,889 | | |
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)(d) | | | | | 515,000 | | | | | | 599,809 | | |
Goldman Sachs Group, Inc. (The), Subordinated Bond, 6.75%, 10/1/37 | | | | | 250,000 | | | | | | 361,739 | | |
HAT Holdings I LLC/HAT Holdings II LLC, 3.75%, 9/15/30(a) | | | | | 1,000,000 | | | | | | 1,002,500 | | |
HNA 2015 LLC, 2.37%, 9/18/27 | | | | | 375,596 | | | | | | 397,730 | | |
Host Hotels & Resorts L.P., Series H, 3.38%, 12/15/29 | | | | | 1,000,000 | | | | | | 934,500 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
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)(d) | | | | $ | 200,000 | | | | | $ | 229,881 | | |
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)(d) | | | | | 500,000 | | | | | | 521,536 | | |
JPMorgan Chase & Co., 2.01%, 3/13/26 (SOFR + 1.585%)(d) | | | | | 389,000 | | | | | | 403,882 | | |
JPMorgan Chase & Co., 2.96%, 5/13/31 (SOFR + 2.515%)(d) | | | | | 44,000 | | | | | | 47,032 | | |
JPMorgan Chase & Co., 3.11%, 4/22/51 (SOFR + 2.440%)(d) | | | | | 50,000 | | | | | | 52,913 | | |
JPMorgan Chase & Co., 3.62%, 4/1/31 (SOFR + 3.120%)(d) | | | | | 61,000 | | | | | | 69,650 | | |
JPMorgan Chase & Co., 4.00%, 4/1/25 (SOFR + 2.745%)(d)(e) | | | | | 975,000 | | | | | | 921,375 | | |
JPMorgan Chase & Co., 4.60%, 2/1/25 (SOFR + 3.125%)(d)(e) | | | | | 165,000 | | | | | | 161,700 | | |
JPMorgan Chase & Co., (3 month USD LIBOR + 0.945%), 3.51%, 1/23/29(d) | | | | | 174,000 | | | | | | 195,613 | | |
JPMorgan Chase & Co., (3 month USD LIBOR + 1.337%), 3.78%, 2/1/28(d) | | | | | 1,525,000 | | | | | | 1,724,027 | | |
JPMorgan Chase & Co., (SOFR + 0.600%), 0.65%, 9/16/24(d) | | | | | 170,000 | | | | | | 170,051 | | |
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)(d)(e) | | | | | 172,000 | | | | | | 178,642 | | |
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)(d) | | | | | 64,000 | | | | | | 75,340 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
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)(d) | | | | $ | 1,240,000 | | | | | $ | 1,435,585 | | |
KeyBank NA, Subordinated Note, 3.40%, 5/20/26 | | | | | 500,000 | | | | | | 560,367 | | |
Landwirtschaftliche Rentenbank, 0.88%, 9/3/30 | | | | | 1,000,000 | | | | | | 999,510 | | |
Liberty Mutual Group, Inc., 3.95%, 5/15/60(a) | | | | | 85,000 | | | | | | 93,095 | | |
Liberty Mutual Group, Inc., 3.95%, 10/15/50(a) | | | | | 120,000 | | | | | | 133,655 | | |
Liberty Mutual Group, Inc., 4.57%, 2/1/29(a) | | | | | 700,000 | | | | | | 846,045 | | |
Low Income Investment Fund, 3.39%, 7/1/26 | | | | | 1,000,000 | | | | | | 1,065,976 | | |
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)(d) | | | | | 4,000 | | | | | | 4,361 | | |
Manufacturers & Traders Trust Co., Subordinated Note, 3.40%, 8/17/27 | | | | | 500,000 | | | | | | 559,180 | | |
Mastercard, Inc., 2.00%, 3/3/25 | | | | | 136,000 | | | | | | 144,770 | | |
Morgan Stanley, 2.19%, 4/28/26 (SOFR + 1.990%)(d) | | | | | 650,000 | | | | | | 680,405 | | |
Morgan Stanley, 3.63%, 1/20/27 | | | | | 358,000 | | | | | | 404,402 | | |
Morgan Stanley, 3.95%, 4/23/27 | | | | | 950,000 | | | | | | 1,073,228 | | |
Morgan Stanley, 4.43%, 1/23/30 (4.43% fixed rate until 1/23/29; 1.63% + 3 month USD LIBOR thereafter)(d) | | | | | 440,000 | | | | | | 526,298 | | |
Morgan Stanley, Senior Bond, 3.77%, 1/24/29 (3.77% fixed rate until 1/24/28; 1.14% + 3 month USD LIBOR thereafter)(d) | | | | | 1,155,000 | | | | | | 1,315,246 | | |
Morgan Stanley, Subordinated Note, 5.00%, 11/24/25 | | | | | 28,000 | | | | | | 32,843 | | |
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)(d) | | | | | 231,000 | | | | | | 235,276 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
Nuveen Finance LLC, 4.13%, 11/1/24(a) | | | | $ | 400,000 | | | | | $ | 451,013 | | |
Owl Rock Capital Corp., 5.25%, 4/15/24 | | | | | 955,000 | | | | | | 990,673 | | |
Pacific LifeCorp, 3.35%, 9/15/50(a) | | | | | 55,000 | | | | | | 55,120 | | |
People’s United Bank NA, Subordinated Note, 4.00%, 7/15/24 | | | | | 500,000 | | | | | | 534,246 | | |
PNC Bank NA, Senior Note, 3.10%, 10/25/27 | | | | | 500,000 | | | | | | 557,068 | | |
Progressive Corp. (The), Senior Bond, 3.70%, 1/26/45 | | | | | 500,000 | | | | | | 595,061 | | |
Prologis L.P., 1.25%, 10/15/30 | | | | | 66,000 | | | | | | 64,363 | | |
Prologis L.P., 2.13%, 10/15/50 | | | | | 50,000 | | | | | | 44,899 | | |
Prologis L.P., 3.00%, 4/15/50 | | | | | 101,000 | | | | | | 107,926 | | |
Prudential Financial, Inc., 1.50%, 3/10/26 | | | | | 282,000 | | | | | | 293,696 | | |
Prudential Financial, Inc., 5.70%, 9/15/48 (5.70% fixed rate until 9/15/28; 2.67% + 3 month USD LIBOR thereafter)(d) | | | | | 48,000 | | | | | | 54,222 | | |
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)(d) | | | | | 131,000 | | | | | | 139,129 | | |
Realty Income Corp., 3.25%, 1/15/31 | | | | | 285,000 | | | | | | 314,103 | | |
Regency Centers L.P., 3.75%, 6/15/24 | | | | | 500,000 | | | | | | 531,499 | | ��� |
Regions Financial Corp., Subordinated Bond, 7.38%, 12/10/37 | | | | | 225,000 | | | | | | 337,576 | | |
Reinvestment Fund, Inc. (The), 3.88%, 2/15/27 | | | | | 500,000 | | | | | | 530,616 | | |
Sabra Health Care L.P./Sabra Capital Corp., 4.80%, 6/1/24 | | | | | 83,000 | | | | | | 87,200 | | |
SBA Tower Trust, 1.88%, 1/15/26(a) | | | | | 1,460,000 | | | | | | 1,492,172 | | |
Simon Property Group L.P., 3.25%, 9/13/49 | | | | | 96,000 | | | | | | 87,840 | | |
State Street Corp., Senior Note, 2.65%, 5/19/26 | | | | | 500,000 | | | | | | 547,413 | | |
SVB Financial Group, 3.13%, 6/5/30 | | | | | 1,000,000 | | | | | | 1,115,814 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
SVB Financial Group, Senior Note, 3.50%, 1/29/25 | | | | $ | 500,000 | | | | | $ | 537,987 | | |
Synchrony Financial, 4.50%, 7/23/25 | | | | | 456,000 | | | | | | 503,277 | | |
Teachers Insurance & Annuity Association of America, 3.30%, 5/15/50(a) | | | | | 210,000 | | | | | | 216,212 | | |
Travelers Cos., Inc. (The), 2.55%, 4/27/50 | | | | | 600,000 | | | | | | 587,272 | | |
Truist Bank, (5 year CMT + 1.150%), 2.64%, 9/17/29(d) | | | | | 257,000 | | | | | | 266,615 | | |
Truist Financial Corp., Senior Note, 4.00%, 5/1/25 | | | | | 212,000 | | | | | | 240,992 | | |
Unum Group, 4.50%, 3/15/25 | | | | | 50,000 | | | | | | 55,539 | | |
USAA Capital Corp., 2.13%, 5/1/30(a) | | | | | 1,000,000 | | | | | | 1,052,865 | | |
Visa, Inc., 0.75%, 8/15/27 | | | | | 49,000 | | | | | | 48,600 | | |
Visa, Inc., 1.90%, 4/15/27 | | | | | 1,000,000 | | | | | | 1,060,977 | | |
Voya Financial, Inc., 4.70%, 1/23/48 (4.70% fixed rate until 1/23/28; 2.08% + 3 month USD LIBOR thereafter)(d) | | | | | 82,000 | | | | | | 82,077 | | |
Wells Fargo & Co., 3.07%, 4/30/41 (SOFR + 2.530%)(d) | | | | | 845,000 | | | | | | 876,727 | | |
Wells Fargo & Co., 4.30%, 7/22/27 | | | | | 548,000 | | | | | | 626,613 | | |
Wells Fargo & Co., 5.95%, 12/15/36 | | | | | 51,000 | | | | | | 66,691 | | |
Wells Fargo & Co., (3 month USD LIBOR + 1.000%), 2.57%, 2/11/31(d) | | | | | 670,000 | | | | | | 700,517 | | |
Wells Fargo & Co., (3 month USD LIBOR + 4.240%), 5.01%, 4/4/51(d) | | | | | 79,000 | | | | | | 107,312 | | |
Welltower, Inc., 2.75%, 1/15/31 | | | | | 86,000 | | | | | | 88,310 | | |
Willis North America, Inc., 3.88%, 9/15/49 | | | | | 76,000 | | | | | | 87,022 | | |
Willis North America, Inc., 5.05%, 9/15/48 | | | | | 34,000 | | | | | | 45,616 | | |
WR Berkley Corp., 4.00%, 5/12/50 | | | | | 160,000 | | | | | | 190,058 | | |
Zions Bancorp NA, 3.25%, 10/29/29 | | | | | 271,000 | | | | | | 271,035 | | |
Total Financial | | | | | | | | | | | 71,781,764 | | |
INDUSTRIAL – 1.8% | | ||||||||||||
3M Co., 3.05%, 4/15/30 | | | | | 1,000,000 | | | | | | 1,143,864 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
INDUSTRIAL – (continued) | | ||||||||||||
ABB Finance USA, Inc., 3.38%, 4/3/23 | | | | $ | 169,000 | | | | | $ | 180,837 | | |
AECOM, 5.13%, 3/15/27 | | | | | 200,000 | | | | | | 216,024 | | |
Amsted Industries, Inc., 5.63%, 7/1/27(a) | | | | | 200,000 | | | | | | 212,764 | | |
Arrow Electronics, Inc., 4.00%, 4/1/25 | | | | | 61,000 | | | | | | 66,337 | | |
Boeing Co. (The), 3.75%, 2/1/50 | | | | | 525,000 | | | | | | 480,350 | | |
Carrier Global Corp., 2.72%, 2/15/30(a) | | | | | 66,000 | | | | | | 68,918 | | |
Carrier Global Corp., 3.38%, 4/5/40(a) | | | | | 160,000 | | | | | | 166,992 | | |
Carrier Global Corp., 3.58%, 4/5/50(a) | | | | | 70,000 | | | | | | 73,856 | | |
Caterpillar Financial Services Corp., 0.65%, 7/7/23 | | | | | 182,000 | | | | | | 182,738 | | |
Caterpillar Financial Services Corp., 1.10%, 9/14/27 | | | | | 135,000 | | | | | | 135,416 | | |
CNH Industrial Cap LLC Co., 1.88%, 1/15/26 | | | | | 121,000 | | | | | | 120,807 | | |
CNH Industrial Capital LLC, 4.20%, 1/15/24 | | | | | 468,000 | | | | | | 502,759 | | |
Crowley Conro LLC, 4.18%, 8/15/43 | | | | | 449,298 | | | | | | 537,843 | | |
Emerson Electric Co., 0.88%, 10/15/26 | | | | | 114,000 | | | | | | 113,470 | | |
GATX Corp., 4.00%, 6/30/30 | | | | | 1,063,000 | | | | | | 1,223,698 | | |
General Electric Co., 4.35%, 5/1/50 | | | | | 48,000 | | | | | | 48,838 | | |
Honeywell International, Inc., 0.48%, 8/19/22 | | | | | 90,000 | | | | | | 90,142 | | |
Huntington Ingalls Industries, Inc., 4.20%, 5/1/30(a) | | | | | 120,000 | | | | | | 137,604 | | |
Illinois Tool Works, Inc., 3.50%, 3/1/24 | | | | | 91,000 | | | | | | 99,689 | | |
John Deere Capital Corp., 2.95%, 4/1/22 | | | | | 197,000 | | | | | | 204,709 | | |
John Deere Capital Corp., Senior Note, 3.65%, 10/12/23 | | | | | 64,000 | | | | | | 70,319 | | |
Kansas City Southern, 2.88%, 11/15/29 | | | | | 75,000 | | | | | | 79,451 | | |
Kansas City Southern, 4.30%, 5/15/43 | | | | | 663,000 | | | | | | 699,235 | | |
Kansas City Southern, 4.70%, 5/1/48 | | | | | 47,000 | | | | | | 52,150 | | |
Kirby Corp., Senior Note, 4.20%, 3/1/28 | | | | | 114,000 | | | | | | 118,271 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
INDUSTRIAL – (continued) | | ||||||||||||
Martin Marietta Materials, Inc., 3.50%, 12/15/27 | | | | $ | 106,000 | | | | | $ | 119,077 | | |
Masco Corp., 2.00%, 10/1/30 | | | | | 128,000 | | | | | | 127,815 | | |
Nature Conservancy (The), 1.33%, 2/1/24 (3 month USD LIBOR + 1.08%)(d) | | | | | 520,000 | | | | | | 516,283 | | |
Owens Corning, 4.30%, 7/15/47 | | | | | 224,000 | | | | | | 245,718 | | |
Penske Truck Leasing Co. L.P./PTL Finance Corp., 3.35%, 11/1/29(a) | | | | | 27,000 | | | | | | 28,686 | | |
Penske Truck Leasing Co. L.P./PTL Finance Corp., 3.40%, 11/15/26(a) | | | | | 250,000 | | | | | | 273,444 | | |
Penske Truck Leasing Co. L.P./PTL Finance Corp., 4.20%, 4/1/27(a) | | | | | 90,000 | | | | | | 100,854 | | |
Penske Truck Leasing Co. L.P./PTL Finance Corp., Senior Note, 4.13%, 8/1/23(a) | | | | | 330,000 | | | | | | 358,422 | | |
Rockwell Automation, Inc., Senior Note, 2.88%, 3/1/25 | | | | | 600,000 | | | | | | 654,064 | | |
Sonoco Products Co., 3.13%, 5/1/30 | | | | | 170,000 | | | | | | 184,147 | | |
Standard Industries, Inc., 4.38%, 7/15/30(a) | | | | | 175,000 | | | | | | 179,421 | | |
Standard Industries, Inc., Senior Note, 4.75%, 1/15/28(a) | | | | | 125,000 | | | | | | 129,687 | | |
Stanley Black & Decker, Inc., 3.40%, 3/1/26 | | | | | 89,000 | | | | | | 99,725 | | |
Stanley Black & Decker, Inc., (5 year CMT + 2.657%), 4.00%, 3/15/60(d) | | | | | 180,000 | | | | | | 187,078 | | |
Trimble, Inc., 4.75%, 12/1/24 | | | | | 15,000 | | | | | | 16,613 | | |
Trimble, Inc., Senior Note, 4.15%, 6/15/23 | | | | | 250,000 | | | | | | 269,401 | | |
Trimble, Inc., Senior Note, 4.90%, 6/15/28 | | | | | 231,000 | | | | | | 272,450 | | |
Union Pacific Corp., 2.97%, 9/16/62(a) | | | | | 225,000 | | | | | | 220,160 | | |
United Parcel Service, Inc., 3.90%, 4/1/25 | | | | | 79,000 | | | | | | 89,962 | | |
US Concrete, Inc., 6.38%, 6/1/24 | | | | | 38,000 | | | | | | 39,187 | | |
Xylem, Inc., 1.95%, 1/30/28 | | | | | 721,000 | | | | | | 750,793 | | |
Xylem, Inc., 2.25%, 1/30/31 | | | | | 250,000 | | | | | | 264,867 | | |
Total Industrial | | | | | | | | | | | 12,154,935 | | |
|
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
TECHNOLOGY – 0.8% | | ||||||||||||
Apple, Inc., 2.05%, 9/11/26 | | | | $ | 93,000 | | | | | $ | 99,409 | | |
Apple, Inc., Senior Bond, 3.85%, 8/4/46 | | | | | 325,000 | | | | | | 405,695 | | |
Apple, Inc., Senior Note, 3.00%, 6/20/27 | | | | | 500,000 | | | | | | 563,803 | | |
Broadcom, Inc., 3.15%, 11/15/25 | | | | | 1,055,000 | | | | | | 1,137,892 | | |
Broadcom, Inc., 3.46%, 9/15/26 | | | | | 123,000 | | | | | | 134,760 | | |
Broadcom, Inc., 4.11%, 9/15/28 | | | | | 289,000 | | | | | | 323,178 | | |
Broadcom, Inc., 4.15%, 11/15/30 | | | | | 92,000 | | | | | | 103,287 | | |
Broadcom, Inc., 5.00%, 4/15/30 | | | | | 56,000 | | | | | | 66,051 | | |
Dell International LLC/EMC Corp., Senior Secured Bond, 8.10%, 7/15/36(a) | | | | | 126,000 | | | | | | 165,492 | | |
Hewlett Packard Enterprise Co., 1.75%, 4/1/26 | | | | | 274,000 | | | | | | 275,950 | | |
Hewlett Packard Enterprise Co., 4.65%, 10/1/24 | | | | | 117,000 | | | | | | 132,281 | | |
Hewlett Packard Enterprise Co., Senior Bond, 6.20%, 10/15/35 | | | | | 87,000 | | | | | | 108,802 | | |
IBM Credit LLC, Senior Note, 3.00%, 2/6/23 | | | | | 512,000 | | | | | | 544,114 | | |
Leidos, Inc., 4.38%, 5/15/30(a) | | | | | 34,000 | | | | | | 39,790 | | |
Microsoft Corp., 2.68%, 6/1/60 | | | | | 56,000 | | | | | | 58,637 | | |
Microsoft Corp., Senior Bond, 3.95%, 8/8/56 | | | | | 269,000 | | | | | | 354,817 | | |
NVIDIA Corp., 3.70%, 4/1/60 | | | | | 105,000 | | | | | | 124,827 | | |
Oracle Corp., Senior Note, 2.95%, 11/15/24 | | | | | 164,000 | | | | | | 177,838 | | |
Texas Instruments, Inc., 3.88%, 3/15/39 | | | | | 525,000 | | | | | | 648,079 | | |
VMware, Inc., 4.70%, 5/15/30 | | | | | 111,000 | | | | | | 131,320 | | |
Total Technology | | | | | | | | | | | 5,596,022 | | |
UTILITIES – 4.7% | | ||||||||||||
AEP Texas, Inc., Series G, 4.15%, 5/1/49 | | | | | 65,000 | | | | | | 77,883 | | |
AEP Transmission Co. LLC, 4.25%, 9/15/48 | | | | | 425,000 | | | | | | 538,874 | | |
Alabama Power Co., 3.75%, 3/1/45 | | | | | 170,000 | | | | | | 196,099 | | |
Alabama Power Co., Senior Bond, Series A, 4.30%, 7/15/48 | | | | | 125,000 | | | | | | 159,835 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
UTILITIES – (continued) | | ||||||||||||
Alliant Energy Finance LLC, 3.75%, 6/15/23(a) | | | | $ | 300,000 | | | | | $ | 322,096 | | |
American Electric Power Co., Inc., Senior Note, 3.20%, 11/13/27 | | | | | 103,000 | | | | | | 113,279 | | |
American Water Capital Corp., 2.80%, 5/1/30 | | | | | 450,000 | | | | | | 492,569 | | |
American Water Capital Corp., 3.45%, 5/1/50 | | | | | 54,000 | | | | | | 60,400 | | |
AmeriGas Partners L.P./AmeriGas Finance Corp., 5.88%, 8/20/26 | | | | | 225,000 | | | | | | 247,327 | | |
Appalachian Power Co., 3.70%, 5/1/50 | | | | | 122,000 | | | | | | 138,545 | | |
Atmos Energy Corp., 3.38%, 9/15/49 | | | | | 320,000 | | | | | | 361,976 | | |
Avangrid, Inc., 3.20%, 4/15/25 | | | | | 287,000 | | | | | | 315,813 | | |
Brooklyn Union Gas Co. (The), 4.49%, 3/4/49(a) | | | | | 1,000,000 | | | | | | 1,282,372 | | |
Bruce Mansfield Unit, 8.88%, 8/1/23(c) | | | | | 100,000 | | | | | | 125 | | |
CenterPoint Energy Houston Electric LLC, 2.90%, 7/1/50 | | | | | 1,000,000 | | | | | | 1,070,791 | | |
Clearway Energy Operating LLC, 5.75%, 10/15/25 | | | | | 475,000 | | | | | | 499,938 | | |
CMS Energy Corp., (5 year CMT + 4.116%), 4.75%, 6/1/50(d) | | | | | 83,000 | | | | | | 87,910 | | |
Commonwealth Edison Co., 3.70%, 8/15/28 | | | | | 820,000 | | | | | | 952,785 | | |
Connecticut Light & Power Co. (The), 4.00%, 4/1/48 | | | | | 605,000 | | | | | | 764,271 | | |
Consolidated Edison Co. of New York, Inc., 0, 3.95%, 4/1/50 | | | | | 27,000 | | | | | | 32,665 | | |
Dominion Energy South Carolina, Inc., 5.10%, 6/1/65 | | | | | 130,000 | | | | | | 193,850 | | |
Dominion Energy, Inc., 3.07%, 8/15/24 | | | | | 850,000 | | | | | | 913,863 | | |
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)(d) | | | | | 56,000 | | | | | | 59,350 | | |
Dominion Energy, Inc., Senior Note, 4.25%, 6/1/28 | | | | | 270,000 | | | | | | 317,791 | | |
DTE Electric Co., 3.95%, 3/1/49 | | | | | 1,242,000 | | | | | | 1,563,505 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
UTILITIES – (continued) | | ||||||||||||
Duke Energy Florida LLC, 3.80%, 7/15/28 | | | | $ | 550,000 | | | | | $ | 644,187 | | |
Duke Energy Florida LLC, 4.20%, 7/15/48 | | | | | 50,000 | | | | | | 63,613 | | |
East Ohio Gas Co. (The), 2.00%, 6/15/30(a) | | | | | 875,000 | | | | | | 905,559 | | |
Electricite de France S.A., Senior Note, 2.35%, 10/13/20(a) | | | | | 14,000 | | | | | | 14,009 | | |
Electricite de France S.A., Senior Note, 3.63%, 10/13/25(a) | | | | | 1,000,000 | | | | | | 1,119,704 | | |
Emera US Finance L.P., 3.55%, 6/15/26 | | | | | 400,000 | | | | | | 446,242 | | |
Emera US Finance L.P., 4.75%, 6/15/46 | | | | | 125,000 | | | | | | 150,357 | | |
Entergy Louisiana LLC, 4.20%, 9/1/48 | | | | | 310,000 | | | | | | 395,808 | | |
Entergy Texas, Inc., 4.50%, 3/30/39 | | | | | 266,000 | | | | | | 330,918 | | |
Essential Utilities, Inc., 3.35%, 4/15/50 | | | | | 70,000 | | | | | | 74,645 | | |
Exelon Corp., 4.70%, 4/15/50 | | | | | 102,000 | | | | | | 129,656 | | |
FirstEnergy Corp., Senior Bond, Series C, 4.85%, 7/15/47 | | | | | 100,000 | | | | | | 120,221 | | |
FirstEnergy Corp., Senior Bond, Series C, 7.38%, 11/15/31 | | | | | 351,000 | | | | | | 491,791 | | |
FirstEnergy Transmission LLC, 4.55%, 4/1/49(a) | | | | | 90,000 | | | | | | 105,575 | | |
Florida Power & Light Co., 2.85%, 4/1/25 | | | | | 950,000 | | | | | | 1,041,730 | | |
Interstate Power & Light Co., 3.50%, 9/30/49 | | | | | 77,000 | | | | | | 84,151 | | |
Israel Electric Corp. Ltd., Senior Secured Note, 6.88%, 6/21/23(a) | | | | | 400,000 | | | | | | 457,970 | | |
Kentucky Utilities Co., 3.30%, 6/1/50 | | | | | 50,000 | | | | | | 54,486 | | |
Liberty Utilities Finance GP 1, 2.05%, 9/15/30(a) | | | | | 74,000 | | | | | | 72,963 | | |
MidAmerican Energy Co., 3.10%, 5/1/27 | | | | | 624,000 | | | | | | 699,216 | | |
MidAmerican Energy Co., 3.65%, 4/15/29 | | | | | 1,000,000 | | | | | | 1,190,735 | | |
National Fuel Gas Co., 5.50%, 1/15/26 | | | | | 1,225,000 | | | | | | 1,336,962 | | |
NATIONAL RURAL UTIL COOP, 1.35%, 3/15/31 | | | | | 148,000 | | | | | | 147,252 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
UTILITIES – (continued) | | ||||||||||||
National Rural Utilities Cooperative Finance Corp., 2.85%, 1/27/25 | | | | $ | 402,000 | | | | | $ | 437,636 | | |
NextEra Energy Operating Partners L.P., 4.25%, 7/15/24(a) | | | | | 575,000 | | | | | | 599,552 | | |
NextEra Energy Operating Partners L.P., 4.25%, 9/15/24(a) | | | | | 250,000 | | | | | | 260,625 | | |
NiSource, Inc., Senior Bond, 5.65%, 2/1/45 | | | | | 108,000 | | | | | | 149,047 | | |
NorthWestern Corp., 4.18%, 11/15/44 | | | | | 500,000 | | | | | | 586,519 | | |
NSTAR Electric Co., 3.95%, 4/1/30 | | | | | 124,000 | | | | | | 149,897 | | |
Oklahoma Gas & Electric Co., 3.25%, 4/1/30 | | | | | 725,000 | | | | | | 811,922 | | |
Oncor Electric Delivery Co. LLC, 3.70%, 11/15/28 | | | | | 720,000 | | | | | | 846,835 | | |
Pacific Gas and Electric Co., 3.95%, 12/1/47 | | | | | 107,000 | | | | | | 98,776 | | |
PacifiCorp, 4.13%, 1/15/49 | | | | | 135,000 | | | | | | 168,194 | | |
Pattern Energy Operations L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(a) | | | | | 425,000 | | | | | | 440,938 | | |
PECO Energy Co., 3.00%, 9/15/49 | | | | | 91,000 | | | | | | 96,908 | | |
PPL Electric Utilities Corp., 4.15%, 6/15/48 | | | | | 85,000 | | | | | | 106,908 | | |
PSEG Power LLC, 3.85%, 6/1/23 | | | | | 1,110,000 | | | | | | 1,194,171 | | |
Public Service Co. of Colorado, 2.70%, 1/15/51 | | | | | 217,000 | | | | | | 219,987 | | |
Public Service Co. of Colorado, 3.70%, 6/15/28 | | | | | 104,000 | | | | | | 121,307 | | |
Public Service Co. of Colorado, 4.10%, 6/15/48 | | | | | 200,000 | | | | | | 256,456 | | |
Public Service Electric & Gas Co., 2.70%, 5/1/50 | | | | | 420,000 | | | | | | 437,428 | | |
Sempra Energy, Senior Bond, 3.80%, 2/1/38 | | | | | 500,000 | | | | | | 557,995 | | |
Southern California Edison Co., 3.65%, 2/1/50 | | | | | 8,000 | | | | | | 8,311 | | |
Southern California Edison Co., Series C, 4.13%, 3/1/48 | | | | | 110,000 | | | | | | 120,244 | | |
Southern California Gas Co., Series VV, 4.30%, 1/15/49 | | | | | 75,000 | | | | | | 95,335 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
UTILITIES – (continued) | | ||||||||||||
Southern Power Co., Senior Note, 4.15%, 12/1/25 | | | | $ | 500,000 | | | | | $ | 573,218 | | |
Southwest Gas Corp., 2.20%, 6/15/30 | | | | | 675,000 | | | | | | 705,642 | | |
Southwestern Public Service Co., 3.75%, 6/15/49 | | | | | 360,000 | | | | | | 423,979 | | |
Star Energy Geothermal Wayang Windu Ltd., Senior Secured Bond, 6.75%, 4/24/33(a) | | | | | 453,500 | | | | | | 498,888 | | |
Tucson Electric Power Co., 1.50%, 8/1/30 | | | | | 525,000 | | | | | | 520,005 | | |
Union Electric Co., 2.95%, 6/15/27 | | | | | 117,000 | | | | | | 128,958 | | |
Vistra Operations Co. LLC, 3.55%, 7/15/24(a) | | | | | 305,000 | | | | | | 324,861 | | |
Vistra Operations Co. LLC, 5.00%, 7/31/27(a) | | | | | 100,000 | | | | | | 105,146 | | |
Total Utilities | | | | | | | | | | | 31,887,350 | | |
TOTAL CORPORATE BONDS (Cost: $192,936,845) | | | | | | | | | | | 206,170,335 | | |
U.S. GOVERNMENT AGENCIES – 17.3% | | ||||||||||||
Federal Home Loan Mortgage Corp., 0.25%, 8/24/23 | | | | | 1,050,000 | | | | | | 1,050,091 | | |
Federal Home Loan Mortgage Corp., 0.25%, 9/8/23 | | | | | 1,300,000 | | | | | | 1,300,815 | | |
Federal Home Loan Mortgage Corp., 2.00%, 1/1/32 | | | | | 202,937 | | | | | | 211,960 | | |
Federal Home Loan Mortgage Corp., 2.50%, 2/1/28 | | | | | 151,612 | | | | | | 159,749 | | |
Federal Home Loan Mortgage Corp., 2.50%, 6/1/28 | | | | | 134,709 | | | | | | 142,694 | | |
Federal Home Loan Mortgage Corp., 3.00%, 1/1/32 | | | | | 281,819 | | | | | | 306,318 | | |
Federal Home Loan Mortgage Corp., 3.00%, 12/1/37 | | | | | 597,731 | | | | | | 626,028 | | |
Federal Home Loan Mortgage Corp., 3.00%, 1/1/43 | | | | | 814,700 | | | | | | 869,175 | | |
Federal Home Loan Mortgage Corp., 3.00%, 8/1/45 | | | | | 470,841 | | | | | | 496,281 | | |
Federal Home Loan Mortgage Corp., 3.00%, 9/1/46 | | | | | 115,808 | | | | | | 121,800 | | |
Federal Home Loan Mortgage Corp., 3.00%, 1/1/47 | | | | | 1,976,426 | | | | | | 2,081,558 | | |
Federal Home Loan Mortgage Corp., 3.00%, 4/1/47 | | | | | 583,729 | | | | | | 612,392 | | |
Federal Home Loan Mortgage Corp., 3.50%, 11/1/28 | | | | | 365,154 | | | | | | 397,054 | | |
Investments | | | Principal Amount | | | Value | | ||||||
U.S. GOVERNMENT AGENCIES – (continued) | | ||||||||||||
Federal Home Loan Mortgage Corp., 3.50%, 10/1/41 | | | | $ | 156,054 | | | | | $ | 168,425 | | |
Federal Home Loan Mortgage Corp., 3.50%, 10/1/42 | | | | | 619,273 | | | | | | 671,927 | | |
Federal Home Loan Mortgage Corp., 3.50%, 7/1/43 | | | | | 281,253 | | | | | | 305,216 | | |
Federal Home Loan Mortgage Corp., 3.50%, 1/1/45 | | | | | 385,193 | | | | | | 416,760 | | |
Federal Home Loan Mortgage Corp., 3.50%, 7/1/45 | | | | | 319,403 | | | | | | 338,974 | | |
Federal Home Loan Mortgage Corp., 3.50%, 8/1/46 | | | | | 840,424 | | | | | | 926,084 | | |
Federal Home Loan Mortgage Corp., 3.50%, 1/1/47 | | | | | 310,601 | | | | | | 339,850 | | |
Federal Home Loan Mortgage Corp., 3.50%, 11/1/47 | | | | | 310,690 | | | | | | 328,948 | | |
Federal Home Loan Mortgage Corp., 3.50%, 3/1/48 | | | | | 3,394,945 | | | | | | 3,711,816 | | |
Federal Home Loan Mortgage Corp., 4.00%, 3/1/41 | | | | | 174,822 | | | | | | 192,511 | | |
Federal Home Loan Mortgage Corp., 4.00%, 6/1/42 | | | | | 340,018 | | | | | | 375,798 | | |
Federal Home Loan Mortgage Corp., 4.00%, 10/1/47 | | | | | 143,806 | | | | | | 159,170 | | |
Federal Home Loan Mortgage Corp., 4.00%, 3/1/48 | | | | | 511,085 | | | | | | 568,836 | | |
Federal Home Loan Mortgage Corp., 4.00%, 6/1/48 | | | | | 1,689,631 | | | | | | 1,848,748 | | |
Federal Home Loan Mortgage Corp., 4.00%, 7/1/48 | | | | | 84,578 | | | | | | 93,063 | | |
Federal Home Loan Mortgage Corp., 4.00%, 7/1/48 | | | | | 361,995 | | | | | | 398,217 | | |
Federal Home Loan Mortgage Corp., 4.50%, 6/1/47 | | | | | 609,689 | | | | | | 659,939 | | |
Federal Home Loan Mortgage Corp., 4.50%, 6/1/47 | | | | | 43,996 | | | | | | 49,104 | | |
Federal Home Loan Mortgage Corp., 4.50%, 7/1/47 | | | | | 133,144 | | | | | | 144,257 | | |
Federal Home Loan Mortgage Corp., 4.50%, 7/1/47 | | | | | 133,949 | | | | | | 145,838 | | |
Federal Home Loan Mortgage Corp., 4.50%, 2/1/48 | | | | | 320,214 | | | | | | 347,770 | | |
Federal Home Loan Mortgage Corp., 4.50%, 8/1/48 | | | | | 278,156 | | | | | | 307,604 | | |
Federal Home Loan Mortgage Corp., 5.00%, 2/1/42 | | | | | 190,849 | | | | | | 219,620 | | |
Federal National Mortgage Association, 0.63%, 4/22/25 | | | | | 1,000,000 | | | | | | 1,013,332 | | |
Federal National Mortgage Association, 0.88%, 8/5/30 | | | | | 1,615,000 | | | | | | 1,588,278 | | |
Investments | | | Principal Amount | | | Value | | ||||||
U.S. GOVERNMENT AGENCIES – (continued) | | ||||||||||||
Federal National Mortgage Association, 1.63%, 1/7/25 | | | | $ | 770,000 | | | | | $ | 811,246 | | |
Federal National Mortgage Association, 2.00%, 8/1/35 | | | | | 2,068,030 | | | | | | 2,150,057 | | |
Federal National Mortgage Association, 2.00%, 10/1/35(f) | | | | | 500,000 | | | | | | 519,531 | | |
Federal National Mortgage Association, 2.00%, 10/1/35 | | | | | 993,514 | | | | | | 1,032,939 | | |
Federal National Mortgage Association, 2.00%, 10/1/50 | | | | | 4,750,000 | | | | | | 4,911,236 | | |
Federal National Mortgage Association, 2.00%, 11/1/50(f) | | | | | 5,000,000 | | | | | | 5,156,395 | | |
Federal National Mortgage Association, 2.50%, 4/1/31 | | | | | 673,455 | | | | | | 719,204 | | |
Federal National Mortgage Association, 2.50%, 7/1/35 | | | | | 2,921,135 | | | | | | 3,057,164 | | |
Federal National Mortgage Association, 2.50%, 9/1/46 | | | | | 80,352 | | | | | | 85,009 | | |
Federal National Mortgage Association, 2.50%, 10/1/46 | | | | | 222,917 | | | | | | 237,390 | | |
Federal National Mortgage Association, 2.50%, 10/1/50 | | | | | 5,610,000 | | | | | | 5,888,587 | | |
Federal National Mortgage Association, 2.50%, 10/1/50 | | | | | 1,500,000 | | | | | | 1,574,489 | | |
Federal National Mortgage Association, 2.63%, 9/6/24 | | | | | 1,000,000 | | | | | | 1,091,690 | | |
Federal National Mortgage Association, 3.00%, 5/1/30 | | | | | 226,104 | | | | | | 242,592 | | |
Federal National Mortgage Association, 3.00%, 5/1/32 | | | | | 729,861 | | | | | | 782,156 | | |
Federal National Mortgage Association, 3.00%, 10/1/32 | | | | | 721,044 | | | | | | 756,495 | | |
Federal National Mortgage Association, 3.00%, 5/1/40 | | | | | 524,615 | | | | | | 550,582 | | |
Federal National Mortgage Association, 3.00%, 5/1/43 | | | | | 724,248 | | | | | | 771,440 | | |
Federal National Mortgage Association, 3.00%, 9/1/46 | | | | | 222,828 | | | | | | 238,946 | | |
Federal National Mortgage Association, 3.00%, 11/1/46 | | | | | 2,692,934 | | | | | | 2,830,723 | | |
Federal National Mortgage Association, 3.00%, 11/1/46 | | | | | 320,410 | | | | | | 342,627 | | |
Investments | | | Principal Amount | | | Value | | ||||||
U.S. GOVERNMENT AGENCIES – (continued) | | ||||||||||||
Federal National Mortgage Association, 3.00%, 1/1/47 | | | | $ | 481,896 | | | | | $ | 506,561 | | |
Federal National Mortgage Association, 3.00%, 2/25/47 | | | | | 627,348 | | | | | | 668,658 | | |
Federal National Mortgage Association, 3.00%, 11/1/47 | | | | | 54,559 | | | | | | 56,193 | | |
Federal National Mortgage Association, 3.00%, 5/1/50 | | | | | 2,074,875 | | | | | | 2,173,549 | | |
Federal National Mortgage Association, 3.00%, 7/1/50 | | | | | 4,306,882 | | | | | | 4,527,909 | | |
Federal National Mortgage Association, 3.00%, 9/1/50 | | | | | 2,489,655 | | | | | | 2,615,973 | | |
Federal National Mortgage Association, 3.00%, 10/1/50(f) | | | | | 500,000 | | | | | | 523,770 | | |
Federal National Mortgage Association, 3.00%, 11/1/50(f) | | | | | 500,000 | | | | | | 523,887 | | |
Federal National Mortgage Association, 3.50%, 12/1/30 | | | | | 65,435 | | | | | | 69,580 | | |
Federal National Mortgage Association, 3.50%, 5/1/40 | | | | | 188,327 | | | | | | 199,633 | | |
Federal National Mortgage Association, 3.50%, 1/1/41 | | | | | 417,289 | | | | | | 451,246 | | |
Federal National Mortgage Association, 3.50%, 8/1/42 | | | | | 324,541 | | | | | | 348,821 | | |
Federal National Mortgage Association, 3.50%, 11/1/42 | | | | | 478,471 | | | | | | 519,112 | | |
Federal National Mortgage Association, 3.50%, 8/1/43 | | | | | 176,805 | | | | | | 192,946 | | |
Federal National Mortgage Association, 3.50%, 12/1/45 | | | | | 649,639 | | | | | | 694,542 | | |
Federal National Mortgage Association, 3.50%, 12/1/45 | | | | | 440,162 | | | | | | 469,437 | | |
Federal National Mortgage Association, 3.50%, 8/1/46 | | | | | 326,723 | | | | | | 360,316 | | |
Federal National Mortgage Association, 3.50%, 12/1/46 | | | | | 199,841 | | | | | | 212,266 | | |
Federal National Mortgage Association, 3.50%, 12/1/46 | | | | | 195,950 | | | | | | 212,326 | | |
Federal National Mortgage Association, 3.50%, 1/1/47 | | | | | 263,161 | | | | | | 278,607 | | |
Federal National Mortgage Association, 3.50%, 4/1/47 | | | | | 771,036 | | | | | | 819,294 | | |
Investments | | | Principal Amount | | | Value | | ||||||
U.S. GOVERNMENT AGENCIES – (continued) | | ||||||||||||
Federal National Mortgage Association, 3.50%, 8/1/47 | | | | $ | 16,942 | | | | | $ | 18,111 | | |
Federal National Mortgage Association, 3.50%, 9/1/47 | | | | | 404,946 | | | | | | 428,675 | | |
Federal National Mortgage Association, 3.50%, 11/1/47 | | | | | 123,687 | | | | | | 130,769 | | |
Federal National Mortgage Association, 3.50%, 11/1/47 | | | | | 8,684 | | | | | | 9,595 | | |
Federal National Mortgage Association, 3.50%, 3/1/48 | | | | | 1,421,527 | | | | | | 1,503,322 | | |
Federal National Mortgage Association, 3.50%, 4/1/48 | | | | | 373,572 | | | | | | 394,922 | | |
Federal National Mortgage Association, 3.50%, 6/1/48 | | | | | 322,240 | | | | | | 349,061 | | |
Federal National Mortgage Association, 3.50%, 11/1/48 | | | | | 616,277 | | | | | | 652,273 | | |
Federal National Mortgage Association, 4.00%, 9/1/40 | | | | | 289,178 | | | | | | 318,321 | | |
Federal National Mortgage Association, 4.00%, 3/1/41 | | | | | 506,542 | | | | | | 559,092 | | |
Federal National Mortgage Association, 4.00%, 9/1/42 | | | | | 37,518 | | | | | | 41,105 | | |
Federal National Mortgage Association, 4.00%, 1/1/44 | | | | | 14,332 | | | | | | 15,957 | | |
Federal National Mortgage Association, 4.00%, 1/1/45 | | | | | 9,547 | | | | | | 10,437 | | |
Federal National Mortgage Association, 4.00%, 6/1/45 | | | | | 7,356 | | | | | | 8,116 | | |
Federal National Mortgage Association, 4.00%, 12/1/45 | | | | | 547,680 | | | | | | 595,804 | | |
Federal National Mortgage Association, 4.00%, 12/1/45 | | | | | 17,677 | | | | | | 19,669 | | |
Federal National Mortgage Association, 4.00%, 7/1/46 | | | | | 738,575 | | | | | | 795,841 | | |
Federal National Mortgage Association, 4.00%, 3/1/47 | | | | | 281,477 | | | | | | 308,880 | | |
Federal National Mortgage Association, 4.00%, 9/1/47 | | | | | 1,104,266 | | | | | | 1,182,263 | | |
Federal National Mortgage Association, 4.00%, 9/1/47 | | | | | 46,915 | | | | | | 50,318 | | |
Federal National Mortgage Association, 4.00%, 10/1/47 | | | | | 115,258 | | | | | | 122,997 | | |
Federal National Mortgage Association, 4.00%, 12/1/47 | | | | | 526,737 | | | | | | 564,364 | | |
Investments | | | Principal Amount | | | Value | | ||||||
U.S. GOVERNMENT AGENCIES – (continued) | | ||||||||||||
Federal National Mortgage Association, 4.00%, 12/1/47 | | | | $ | 95,108 | | | | | $ | 105,869 | | |
Federal National Mortgage Association, 4.00%, 1/1/48 | | | | | 587,261 | | | | | | 626,288 | | |
Federal National Mortgage Association, 4.00%, 2/1/48 | | | | | 219,411 | | | | | | 234,417 | | |
Federal National Mortgage Association, 4.00%, 4/1/48 | | | | | 1,114,512 | | | | | | 1,190,032 | | |
Federal National Mortgage Association, 4.50%, 9/1/40 | | | | | 294,274 | | | | | | 330,192 | | |
Federal National Mortgage Association, 4.50%, 2/1/41 | | | | | 499,732 | | | | | | 562,315 | | |
Federal National Mortgage Association, 4.50%, 9/1/42 | | | | | 5,758 | | | | | | 6,404 | | |
Federal National Mortgage Association, 4.50%, 12/1/43 | | | | | 26,499 | | | | | | 29,567 | | |
Federal National Mortgage Association, 4.50%, 7/1/46 | | | | | 259,169 | | | | | | 283,642 | | |
Federal National Mortgage Association, 4.50%, 11/1/47 | | | | | 82,869 | | | | | | 93,085 | | |
Federal National Mortgage Association, 4.50%, 1/1/48 | | | | | 243,989 | | | | | | 274,612 | | |
Federal National Mortgage Association, 4.50%, 2/1/48 | | | | | 41,031 | | | | | | 46,156 | | |
Federal National Mortgage Association, 4.50%, 3/1/48 | | | | | 181,092 | | | | | | 203,313 | | |
Federal National Mortgage Association, 4.50%, 3/1/48 | | | | | 212,160 | | | | | | 229,608 | | |
Federal National Mortgage Association, 4.50%, 5/1/48 | | | | | 180,800 | | | | | | 202,986 | | |
Federal National Mortgage Association, 4.50%, 5/1/48 | | | | | 130,555 | | | | | | 145,711 | | |
Federal National Mortgage Association, 5.00%, 9/1/40 | | | | | 247,865 | | | | | | 285,492 | | |
Federal National Mortgage Association, 5.00%, 2/1/41 | | | | | 134,178 | | | | | | 154,487 | | |
Federal National Mortgage Association, 5.00%, 7/1/44 | | | | | 350,301 | | | | | | 402,876 | | |
Federal National Mortgage Association, 5.00%, 5/1/48 | | | | | 132,360 | | | | | | 146,116 | | |
Federal National Mortgage Association, 5.00%, 8/1/48 | | | | | 39,844 | | | | | | 45,165 | | |
Federal National Mortgage Association, 5.50%, 2/1/42 | | | | | 87,282 | | | | | | 100,376 | | |
Government National Mortgage Association, 2.00%, 9/20/50 | | | | | 2,842,169 | | | | | | 2,954,660 | | |
Investments | | | Principal Amount | | | Value | | ||||||
U.S. GOVERNMENT AGENCIES – (continued) | | ||||||||||||
Government National Mortgage Association, 2.50%, 12/20/46 | | | | $ | 189,929 | | | | | $ | 200,061 | | |
Government National Mortgage Association, 2.50%, 6/20/50 | | | | | 3,085 | | | | | | 3,230 | | |
Government National Mortgage Association, 2.50%, 7/20/50 | | | | | 2,038 | | | | | | 2,134 | | |
Government National Mortgage Association, 2.50%, 8/20/50 | | | | | 6,173 | | | | | | 6,464 | | |
Government National Mortgage Association, 2.50%, 9/20/50 | | | | | 498,731 | | | | | | 524,156 | | |
Government National Mortgage Association, 2.50%, 10/20/50 | | | | | 2,985,000 | | | | | | 3,138,021 | | |
Government National Mortgage Association, 2.50%, 11/1/50(f) | | | | | 1,500,000 | | | | | | 1,572,129 | | |
Government National Mortgage Association, 3.00%, 12/20/42 | | | | | 354,648 | | | | | | 375,171 | | |
Government National Mortgage Association, 3.00%, 12/20/45 | | | | | 141,048 | | | | | | 148,072 | | |
Government National Mortgage Association, 3.00%, 9/20/46 | | | | | 225,731 | | | | | | 238,813 | | |
Government National Mortgage Association, 3.00%, 10/20/46 | | | | | 463,477 | | | | | | 488,620 | | |
Government National Mortgage Association, 3.00%, 2/20/47 | | | | | 492,106 | | | | | | 515,715 | | |
Government National Mortgage Association, 3.00%, 4/20/47 | | | | | 333,956 | | | | | | 353,148 | | |
Government National Mortgage Association, 3.00%, 12/20/47 | | | | | 175,052 | | | | | | 184,423 | | |
Government National Mortgage Association, 3.00%, 1/20/48 | | | | | 366,774 | | | | | | 387,367 | | |
Government National Mortgage Association, 3.00%, 5/20/50 | | | | | 1,649,248 | | | | | | 1,733,272 | | |
Government National Mortgage Association, 3.00%, 8/20/50 | | | | | 1,097,415 | | | | | | 1,159,696 | | |
Investments | | | Principal Amount | | | Value | | ||||||
U.S. GOVERNMENT AGENCIES – (continued) | | ||||||||||||
Government National Mortgage Association, 3.00%, 8/20/50 | | | | $ | 558,782 | | | | | $ | 614,590 | | |
Government National Mortgage Association, 3.00%, 8/20/50 | | | | | 908,366 | | | | | | 994,011 | | |
Government National Mortgage Association, 3.00%, 8/20/50 | | | | | 399,293 | | | | | | 433,224 | | |
Government National Mortgage Association, 3.50%, 2/20/42 | | | | | 299,065 | | | | | | 324,499 | | |
Government National Mortgage Association, 3.50%, 7/20/42 | | | | | 442,112 | | | | | | 479,858 | | |
Government National Mortgage Association, 3.50%, 11/20/42 | | | | | 196,397 | | | | | | 213,166 | | |
Government National Mortgage Association, 3.50%, 8/20/45 | | | | | 96,565 | | | | | | 103,134 | | |
Government National Mortgage Association, 3.50%, 9/20/45 | | | | | 98,525 | | | | | | 105,381 | | |
Government National Mortgage Association, 3.50%, 4/20/46 | | | | | 145,088 | | | | | | 155,222 | | |
Government National Mortgage Association, 3.50%, 12/20/46 | | | | | 771,755 | | | | | | 820,860 | | |
Government National Mortgage Association, 3.50%, 1/20/47 | | | | | 526,456 | | | | | | 562,086 | | |
Government National Mortgage Association, 3.50%, 11/20/47 | | | | | 323,421 | | | | | | 345,158 | | |
Government National Mortgage Association, 3.50%, 1/20/48 | | | | | 348,018 | | | | | | 370,228 | | |
Government National Mortgage Association, 3.50%, 11/20/48 | | | | | 1,324,644 | | | | | | 1,396,140 | | |
Government National Mortgage Association, 3.50%, 8/20/50 | | | | | 254,596 | | | | | | 282,989 | | |
Government National Mortgage Association, 3.50%, 8/20/50 | | | | | 289,565 | | | | | | 321,142 | | |
Government National Mortgage Association, 3.50%, 8/20/50 | | | | | 377,391 | | | | | | 414,798 | | |
Investments | | | Principal Amount | | | Value | | ||||||
U.S. GOVERNMENT AGENCIES – (continued) | | ||||||||||||
Government National Mortgage Association, 4.00%, 11/20/40 | | | | $ | 153,606 | | | | | $ | 167,648 | | |
Government National Mortgage Association, 4.00%, 2/20/46 | | | | | 370,986 | | | | | | 399,573 | | |
Government National Mortgage Association, 4.00%, 3/20/46 | | | | | 141,175 | ��� | | | | | 152,138 | | |
Government National Mortgage Association, 4.00%, 5/20/47 | | | | | 262,605 | | | | | | 282,504 | | |
Government National Mortgage Association, 4.00%, 8/20/47 | | | | | 130,435 | | | | | | 140,458 | | |
Government National Mortgage Association, 4.00%, 9/20/47 | | | | | 2,050,874 | | | | | | 2,200,889 | | |
Government National Mortgage Association, 4.50%, 9/20/39 | | | | | 154,609 | | | | | | 171,624 | | |
Government National Mortgage Association, 4.50%, 7/20/41 | | | | | 85,548 | | | | | | 94,991 | | |
Government National Mortgage Association, 4.50%, 2/20/47 | | | | | 67,770 | | | | | | 74,554 | | |
Government National Mortgage Association, 4.50%, 8/20/47 | | | | | 125,660 | | | | | | 137,156 | | |
Government National Mortgage Association, 4.50%, 1/20/48 | | | | | 415,858 | | | | | | 450,138 | | |
Government National Mortgage Association, 4.50%, 3/20/48 | | | | | 87,664 | | | | | | 94,511 | | |
Government National Mortgage Association, 4.50%, 7/20/48 | | | | | 203,833 | | | | | | 221,019 | | |
Government National Mortgage Association, 4.50%, 6/20/49 | | | | | 534,726 | | | | | | 572,676 | | |
Government National Mortgage Association, 5.00%, 7/20/45 | | | | | 201,167 | | | | | | 229,865 | | |
United States Department of Housing and Urban Development, 2.87%, 8/1/27 | | | | | 1,000,000 | | | | | | 1,130,610 | | |
United States International Development Finance Corp., 1.05%, 10/15/29 | | | | | 1,000,000 | | | | | | 1,012,240 | | |
Investments | | | Principal Amount | | | Value | | ||||||
U.S. GOVERNMENT AGENCIES – (continued) | | ||||||||||||
United States International Development Finance Corp., 1.79%, 10/15/29 | | | | $ | 1,000,000 | | | | | $ | 1,054,576 | | |
TOTAL U.S. GOVERNMENT AGENCIES (Cost: $115,083,024) | | | | | 118,158,533 | | | ||||||
ASSET-BACKED SECURITIES – 12.4% | | ||||||||||||
ACC Trust, Series 2020-A, Class A, 6.00%, 3/20/23(a) | | | | | 416,239 | | | | | | 427,758 | | |
Adams Outdoor Advertising L.P., Series 2018-1, Class A, 4.81%, 11/15/48(a) | | | | | 1,418,311 | | | | | | 1,475,540 | | |
Americredit Automobile Receivables Trust, Series 2018-2, Class C, 3.59%, 6/18/24 | | | | | 500,000 | | | | | | 525,399 | | |
Americredit Automobile Receivables Trust, Series 2018-3, Class C, 3.74%, 10/18/24 | | | | | 500,000 | | | | | | 528,925 | | |
Americredit Automobile Receivables Trust, Series 2019-1, Class B, 3.13%, 2/18/25 | | | | | 100,000 | | | | | | 103,799 | | |
Americredit Automobile Receivables Trust, Series 2019-1, Class C, 3.36%, 2/18/25 | | | | | 100,000 | | | | | | 105,528 | | |
Americredit Automobile Receivables Trust, Series 2019-2, Class C, 2.74%, 4/18/25 | | | | | 300,000 | | | | | | 312,939 | | |
Americredit Automobile Receivables Trust, Series 2019-3, Class C, 2.32%, 7/18/25 | | | | | 500,000 | | | | | | 515,726 | | |
AmeriCredit Automobile Receivables Trust, Series 2020-1, Class B, 1.48%, 1/21/25 | | | | | 300,000 | | | | | | 305,093 | | |
Anchorage Capital CLO 9 Ltd., Series 2016-9A, Class AR, (3 month USD LIBOR + 1.370%), 1.65%, 7/15/32(a)(d) | | | | | 1,000,000 | | | | | | 999,495 | | |
Anchorage Capital CLO Ltd., Series 2019-11A, Class A, 1.65%, 7/22/32 (3 month USD LIBOR + 1.39%)(a)(d) | | | | | 500,000 | | | | | | 500,080 | | |
Antares CLO 2020-1 Ltd., Series 2020-1A, Class B, Zero Coupon, 10/23/31,(a) | | | | | 345,000 | | | | | | 345,000 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
Asset Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE5, Class M1, 1.05%, 8/25/34 (1 month USD LIBOR + 0.90%)(d) | | | | $ | 6,157 | | | | | $ | 6,064 | | |
Atlas Senior Loan Fund XI Ltd., Series 2018-11A, Class A1L, 1.35%, 7/26/31 (3 month USD LIBOR + 1.10%)(a)(d) | | | | | 1,000,000 | | | | | | 980,065 | | |
Avis Budget Rental Car Funding AESOP LLC, Series 2018-2A, Class A, 4.00%, 3/20/25(a) | | | | | 200,000 | | | | | | 213,899 | | |
Avis Budget Rental Car Funding AESOP LLC, Series 2019-1A, Class A, 3.45%, 3/20/23(a) | | | | | 300,000 | | | | | | 306,982 | | |
Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.35%, 9/22/25(a) | | | | | 400,000 | | | | | | 422,346 | | |
Avis Budget Rental Car Funding AESOP LLC, Series 2019-3A, Class A, 2.36%, 3/20/26(a) | | | | | 500,000 | | | | | | 510,541 | | |
Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class A, 2.33%, 8/20/26(a) | | | | | 300,000 | | | | | | 308,920 | | |
BABSON CLO Ltd., Zero Coupon, 10/15/33,(a) | | | | | 1,000,000 | | | | | | 1,000,000 | | |
Bain Capital Credit CLO Ltd., Series 2016-2A, Class CR, 2.83%, 1/15/29 (3 month USD LIBOR + 2.55%)(a)(d) | | | | | 660,000 | | | | | | 649,700 | | |
Ballyrock CLO Ltd., Series 2016-1A, Class AR, 1.63%, 10/15/28 (3 month USD LIBOR + 1.35%)(a)(d) | | | | | 500,000 | | | | | | 498,142 | | |
Battalion CLO VII Ltd., Series 2014-7A, Class A1RR, 1.31%, 7/17/28 (3 month USD LIBOR + 1.04%)(a)(d) | | | | | 1,250,000 | | | | | | 1,241,936 | | |
Battalion CLO XI Ltd., Series 2017-11A, Class A, 1.51%, 10/24/29 (3 month USD LIBOR + 1.25%)(a)(d) | | | | | 500,000 | | | | | | 498,945 | | |
Business Jet Securities LLC, Series 2018-2, Class B, 5.44%, 6/15/33(a) | | | | | 837,579 | | | | | | 842,275 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
Capital Automotive REIT, Series 2014-1A, Class A, 3.66%, 10/15/44(a) | | | | $ | 944,776 | | | | | $ | 947,606 | | |
Capital Automotive REIT, Series 2020-1A, Class B1, 4.17%, 2/15/50(a) | | | | | 540,000 | | | | | | 554,062 | | |
Catamaran CLO Ltd., Series 2014-1A, Class A1AR, 1.52%, 4/22/30 (3 month USD LIBOR + 1.26%)(a)(d) | | | | | 994,896 | | | | | | 979,694 | | |
Cazenovia Creek Funding II LLC, Series 2018-1A, Class A, 3.56%, 7/15/30(a) | | | | | 376,253 | | | | | | 377,430 | | |
CF Hippolyta LLC, Series 2020-1, Class B1, 2.28%, 7/15/60(a) | | | | | 390,000 | | | | | | 396,742 | | |
CFG Investments Ltd., Series 2019-1, Class A, 5.56%, 8/15/29(a) | | | | | 450,000 | | | | | | 454,057 | | |
Chase Funding Loan Acquisition Trust, Series 2004-OPT1, 1.00%, 6/25/34 (1 month USD LIBOR +0.855%)(d) | | | | | 48,609 | | | | | | 47,472 | | |
CIFC Funding Ltd., Series 2014-5A, Class A1R2, 1.47%, 10/17/31 (3 month USD LIBOR + 1.20%)(a)(d) | | | | | 1,000,000 | | | | | | 993,665 | | |
Citibank Credit Card Issuance Trust, Series 2018-A7, Class A7, 3.96%, 10/13/30 | | | | | 600,000 | | | | | | 724,933 | | |
Commonbond Student Loan Trust, Series 2018-CGS, Class A1, 3.87%, 2/25/46(a) | | | | | 99,120 | | | | | | 103,227 | | |
Commonbond Student Loan Trust, Series 2020-AGS, Class A, 1.98%, 8/25/50(a) | | | | | 541,749 | | | | | | 553,220 | | |
CSMC Trust, Series 2006-CF2, Class M3, 0.80%, 5/25/36 (1 month USD LIBOR + 0.65%)(a)(d) | | | | | 25,000 | | | | | | 24,947 | | |
CSMC Trust, Series 2018-RPL8, Class A1, 4.13%, 7/25/58(a)(d) | | | | | 147,819 | | | | | | 148,402 | | |
Dorchester Park CLO DAC, Series 2015-1A, Class AR, 1.17%, 4/20/28 (3 month USD LIBOR + 0.90%)(a)(d) | | | | | 980,346 | | | | | | 973,745 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
Drive Auto Receivables Trust, Series 2019-3, Class B, 2.65%, 2/15/24 | | | | $ | 200,000 | | | | | $ | 203,623 | | |
Elevation CLO Ltd., Series 2014-2A, Class A1R, 1.51%, 10/15/29 (3 month USD LIBOR + 1.23%)(a)(d) | | | | | 500,000 | | | | | | 493,368 | | |
Ellington Loan Acquisition Trust, Series 2007-2, Class A2C, 1.25%, 5/25/37 (1 month USD LIBOR + 1.10%)(a)(d) | | | | | 18,294 | | | | | | 18,248 | | |
Elm Trust, Series 2018-2A, Class A2, 4.61%, 10/20/27(a) | | | | | 1,200,000 | | | | | | 1,199,589 | | |
Elm Trust, Series 2018-2A, Class B, 5.58%, 10/20/27(a) | | | | | 200,000 | | | | | | 198,915 | | |
FCI Funding LLC, Series 2019-1A, Class A, 3.63%, 2/18/31(a) | | | | | 285,655 | | | | | | 290,641 | | |
Ford Credit Auto Owner Trust, Series 2018-1, Class A, 3.19%, 7/15/31(a) | | | | | 500,000 | | | | | | 550,754 | | |
Ford Credit Auto Owner Trust, Series 2019-1, Class A, 3.52%, 7/15/30(a) | | | | | 1,000,000 | | | | | | 1,093,143 | | |
Ford Credit Auto Owner Trust, Series 2020-REV1, 2.04%, 8/15/31(a) | | | | | 800,000 | | | | | | 838,107 | | |
Ford Credit Floorplan Master Owner Trust A, Series 2020-2, Class A, 1.06%, 9/15/27 | | | | | 600,000 | | | | | | 601,053 | | |
FREED ABS TRUST, Series 2018-1, Class A, 3.61%, 7/18/24(a) | | | | | 23,878 | | | | | | 23,897 | | |
FREED ABS TRUST, Series 2018-1, Class B, 4.56%, 7/18/24(a) | | | | | 190,000 | | | | | | 190,502 | | |
Global SC Finance VII Srl, Series 2020-1A, Class A, 2.17%, 10/17/40(a) | | | | | 570,000 | | | | | | 569,460 | | |
Global SC Finance VII Srl, Series 2020-2A, Class A, 2.26%, 11/19/40(a) | | | | | 300,000 | | | | | | 299,886 | | |
Global SC Finance VII Srl, Series 2020-2A, Class B, 3.32%, 11/19/40(a) | | | | | 250,000 | | | | | | 249,932 | | |
GM Financial Consumer Automobile Receivables Trust, Series 2018-4, Class C, 3.62%, 6/17/24 | | | | | 100,000 | | | | | | 105,733 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
GMF Floorplan Owner Revolving Trust, Series 2019-2, Class A, 2.90%, 4/15/26(a) | | | | $ | 800,000 | | | | | $ | 858,410 | | |
Hercules Capital Funding Trust, Series 2018-1A, Class A, 4.61%, 11/22/27(a) | | | | | 1,470,000 | | | | | | 1,482,967 | | |
HERO Funding Trust, Series 2016-1A, Class A, 4.05%, 9/20/41(a) | | | | | 613,406 | | | | | | 635,939 | | |
HERO Funding Trust, Series 2016-3A, Class A1, 3.08%, 9/20/42(a) | | | | | 281,508 | | | | | | 285,397 | | |
HERO Funding Trust, Series 2020-1A, Class A, 2.59%, 9/20/57(a) | | | | | 935,000 | | | | | | 936,620 | | |
Home Equity Asset Trust, Series 2003-1, Class M1, 1.65%, 6/25/33 (1 month USD LIBOR + 1.50%)(d) | | | | | 5,720 | | | | | | 5,714 | | |
HPS Loan Management Ltd., Series 15A-19, Class A1, 1.58%, 7/22/32 (3 month USD LIBOR + 1.32%)(a)(d) | | | | | 500,000 | | | | | | 495,507 | | |
Invitation Homes Trust, Series 2018-SFR3, Class A, (1 month USD LIBOR + 1.000%), 1.15%, 7/17/37(a)(d) | | | | | 91,881 | | | | | | 91,895 | | |
KREF Ltd., Series 2018-FL1, Class A, 1.25%, 6/15/36 (1 month USD LIBOR + 1.10%)(a)(d) | | | | | 1,450,000 | | | | | | 1,439,764 | | |
Laurel Road Prime Student Loan Trust, Series 2019-A, Class A2FX, 2.73%, 10/25/48(a) | | | | | 174,274 | | | | | | 178,204 | | |
Legacy Mortgage Asset Trust, Series 2019-GS1, Class A1, 4.00%, 1/25/59(a) | | | | | 71,208 | | | | | | 72,442 | | |
Legacy Mortgage Asset Trust, Series 2019-GS2, Class A1, 3.75%, 1/25/59(a) | | | | | 78,976 | | | | | | 80,288 | | |
Legacy Mortgage Asset Trust, Series 2019-GS4, Class A1, 3.44%, 5/25/59(a) | | | | | 173,632 | | | | | | 174,006 | | |
Legacy Mortgage Asset Trust, Series 2019-SL1, Class A, 4.00%, 12/28/54(a)(d) | | | | | 53,216 | | | | | | 53,714 | | |
LIAS Administration Fee Issuer LLC, Series 2018-1A, Class A, 5.96%, 7/25/48 | | | | | 1,208,953 | | | | | | 1,367,280 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
LTCG Securitization Issuer LLC, Series 2018-A, Class A, 4.59%, 6/15/48(a) | | | | $ | 830,810 | | | | | $ | 833,396 | | |
MCA Fund II Holding LLC, Series 2017-1, Class A, 1.93%, 8/15/28 (3 month USD LIBOR + 1.65%)(a)(d) | | | | | 250,826 | | | | | | 250,391 | | |
MelTel Land Funding LLC, Series 2019-1A, Class A, 3.77%, 4/15/49(a) | | | | | 536,971 | | | | | | 549,634 | | |
Midocean Credit CLO IX, Series 2018-9A, Class A1, 1.42%, 7/20/31 (3 month USD LIBOR + 1.15%)(a)(d) | | | | | 500,000 | | | | | | 491,030 | | |
MMAF Equipment Finance LLC, Series 2018-A, Class A5, 3.61%, 3/10/42(a) | | | | | 100,000 | | | | | | 107,556 | | |
MMAF Equipment Finance LLC, Series 2019-A, Class A5, 3.08%, 11/12/41(a) | | | | | 300,000 | | | | | | 325,895 | | |
MMAF Equipment Finance LLC, Series 2019-B, Class A5, 2.29%, 11/12/41(a) | | | | | 300,000 | | | | | | 321,364 | | |
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-HE6, Class M1, 0.97%, 8/25/34 (1 month USD LIBOR + 0.83%)(d) | | | | | 6,432 | | | | | | 6,388 | | |
Mosaic Solar Loan Trust, Series 2020-1A, Class A, 2.10%, 4/20/46(a) | | | | | 950,254 | | | | | | 970,801 | | |
Mosaic Solar Loans LLC, 1.44%, 8/20/46(a) | | | | | 1,000,000 | | | | | | 992,469 | | |
Mountain View CLO LLC, Series 2017-2A, Class A, 1.48%, 1/16/31 (3 month USD LIBOR + 1.21%)(a)(d) | | | | | 260,000 | | | | | | 255,024 | | |
Mountain View CLO IX Ltd., Series 2015-9A, Class A1R, 1.40%, 7/15/31 (3 month USD LIBOR + 1.12%)(a)(d) | | | | | 1,000,000 | | | | | | 974,559 | | |
NADG NNN Operating L.P., Series 2019-1, Class A, 3.37%, 12/28/49(a) | | | | | 388,538 | | | | | | 399,068 | | |
Nassau CFO LLC, Series 2019-1, Class A, 3.98%, 8/15/34(a) | | | | | 1,232,430 | | | | | | 1,254,411 | | |
Nationstar HECM Loan Trust 2020-1, Series 2020-1A, Class A1, 1.27%, 9/25/30(a)(d) | | | | | 660,000 | | | | | | 659,306 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
Navient Private Education Refi Loan Trust, Series 2018-CA, Class A2, 3.52%, 6/16/42(a) | | | | $ | 186,688 | | | | | $ | 191,945 | | |
Navient Private Education Refi Loan Trust, Series 2019-CA, Class A2, 3.13%, 2/15/68(a) | | | | | 300,000 | | | | | | 309,768 | | |
Navient Private Education Refi Loan Trust, Series 2019-EA, Class A2A, 2.64%, 5/15/68(a) | | | | | 300,000 | | | | | | 313,262 | | |
Navient Private Education Refi Loan Trust, Series 2019-FA, Class A2, 2.60%, 8/15/68(a) | | | | | 400,000 | | | | | | 413,953 | | |
Navient Private Education Refi Loan Trust, Series 2020-B, Class A2, 2.12%, 1/15/69(a) | | | | | 300,000 | | | | | | 308,047 | | |
Navient Private Education Refi Loan Trust, Series 2020-DA, Class A, 1.69%, 5/15/69(a) | | | | | 644,161 | | | | | | 652,339 | | |
Navient Student Loan Trust, Series 2018-EA, Class A2, 4.00%, 12/15/59(a) | | | | | 200,000 | | | | | | 207,850 | | |
Newtek Small Business Loan Trust, Series 2018-1, Class A, 1.85%, 2/25/44 (1 month USD LIBOR + 1.70%)(a)(d) | | | | | 563,397 | | | | | | 549,327 | | |
Newtek Small Business Loan Trust, Series 2018-1, Class B, 3.15%, 2/25/44 (1 month USD LIBOR + 3.00%)(a)(d) | | | | | 271,135 | | | | | | 246,426 | | |
NRZ Advance Receivables Trust 2015-ON1, Series 2020-T2, Class AT2, 1.48%, 9/15/53(a) | | | | | 510,000 | | | | | | 510,735 | | |
Oaktree CLO Ltd., Series 2015-1A, Class A1R, 1.14%, 10/20/27 (3 month USD LIBOR + 0.87%)(a)(d) | | | | | 1,688,638 | | | | | | 1,677,316 | | |
Ocean Trails CLO V, Series 2014-5A, Class ARR, (3 month USD LIBOR + 1.280%), 1.55%, 10/13/31(a)(d) | | | | | 1,483,681 | | | | | | 1,461,369 | | |
OnDeck Asset Securitization Trust LLC, Series 2018-1A, Class A, 3.50%, 4/18/22(a) | | | | | 118,681 | | | | | | 118,806 | | |
OneMain Direct Auto Receivables Trust, Series 2018-1A, Class A, 3.43%, 12/16/24(a) | | | | | 418,615 | | | | | | 423,892 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
OneMain Direct Auto Receivables Trust, Series 2019-1A, Class A, 3.63%, 9/14/27(a) | | | | $ | 600,000 | | | | | $ | 655,341 | | |
OneMain Financial Issuance Trust 2020-2, Series 2020-2A, Class A, 1.75%, 9/14/35(a) | | | | | 400,000 | | | | | | 402,916 | | |
OneMain Financial Issuance Trust 2020-A, Series 2020-1A, Class A, 3.84%, 5/14/32(a) | | | | | 200,000 | | | | | | 210,338 | | |
Oportun Funding IX LLC, Series 2018-B, Class A, 3.91%, 7/8/24(a) | | | | | 750,000 | | | | | | 762,677 | | |
Oportun Funding IX LLC, Series 2018-B, Class B, 4.50%, 7/8/24(a) | | | | | 490,000 | | | | | | 492,978 | | |
Oportun Funding X LLC, Series 2018-C, Class A, 4.10%, 10/8/24(a) | | | | | 200,000 | | | | | | 203,499 | | |
Oportun Funding XII LLC, Series 2018-D, Class A, 4.15%, 12/9/24(a) | | | | | 100,000 | | | | | | 101,860 | | |
Oxford Finance Funding LLC, Series 2019-1A, Class A2, 4.46%, 2/15/27(a) | | | | | 750,000 | | | | | | 772,620 | | |
Oxford Finance Funding LLC, Series 2020-1A, Class A2, 3.10%, 2/15/28(a) | | | | | 800,000 | | | | | | 812,528 | | |
OZLM XXIV Ltd., Series 2019-24A, Class A1A, 1.66%, 7/20/32 (3 month USD LIBOR + 1.39%)(a)(d) | | | | | 500,000 | | | | | | 495,803 | | |
Palmer Square Loan Funding 2020-4 Ltd., Series 2020-4A, Class B, Zero Coupon, 11/25/28,(a) | | | | | 730,000 | | | | | | 730,000 | | |
Pawnee Equipment Receivables, Series 2020-1, Class A, 1.37%, 11/17/25(a) | | | | | 650,000 | | | | | | 648,830 | | |
ReadyCap Lending Small Business Loan Trust, Series 2019-2, Class A (PRIME + 0.50%), 2.75%, 12/27/44(a)(d) | | | | | 455,665 | | | | | | 424,611 | | |
Regional Management Issuance Trust 2020-1, Series 2020-1, Class A, 2.34%, 10/15/30(a) | | | | | 220,000 | | | | | | 219,909 | | |
Renew, Series 2018-1, Class A, 3.95%, 9/20/53(a) | | | | | 298,027 | | | | | | 320,418 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
Republic FInance Issuance Trust, Series 2019-A, Class A, 3.43%, 11/22/27(a) | | | | $ | 570,000 | | | | | $ | 579,439 | | |
Sabey Data Center Issuer LLC, Series 2020-1, Class A2, 3.81%, 4/20/45(a) | | | | | 740,000 | | | | | | 765,865 | | |
Santander Drive Auto Receivables Trust, Series 2019-2, Class C, 2.90%, 10/15/24 | | | | | 500,000 | | | | | | 514,027 | | |
Santander Drive Auto Receivables Trust, Series 2019-3, Class B, 2.28%, 9/15/23 | | | | | 700,000 | | | | | | 708,501 | | |
Santander Drive Auto Receivables Trust, Series 2019-3, Class C, 2.49%, 10/15/25 | | | | | 300,000 | | | | | | 306,316 | | |
Santander Drive Auto Receivables Trust 2020-3, Series 2020-3, Class C, 1.12%, 1/15/26 | | | | | 400,000 | | | | | | 400,355 | | |
Sierra Timeshare Receivables Funding LLC, Series 2015-3A, Class B, 3.08%, 9/20/32(a) | | | | | 202,975 | | | | | | 202,872 | | |
Sierra Timeshare Receivables Funding LLC, Series 2018-2A, Class A, 3.50%, 6/20/35(a) | | | | | 106,223 | | | | | | 110,406 | | |
Sierra Timeshare Receivables Funding LLC, Series 2019-1A, Class A, 3.20%, 1/20/36(a) | | | | | 94,213 | | | | | | 97,458 | | |
Sierra Timeshare Receivables Funding LLC, Series 2019-2A, Class A, 2.59%, 5/20/36(a) | | | | | 222,437 | | | | | | 228,511 | | |
SoFi Consumer Loan Program Trust, Series 2020-1, Class 1A, 2.02%, 1/25/29(a) | | | | | 391,629 | | | | | | 395,804 | | |
SoFi Professional Loan Program Trust, Series 2020-C, Class AFX, 1.95%, 2/15/46(a) | | | | | 367,244 | | | | | | 375,557 | | |
Sofi Professional Loan Program LLC, Series 2019-A, Class A2FX, 3.69%, 6/15/48(a) | | | | | 400,000 | | | | | | 422,896 | | |
Sofi Professional Loan Program LLC, Series 2019-C, Class A2FX, 2.37%, 11/16/48(a) | | | | | 300,000 | | | | | | 308,335 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
SoFi Professional Loan Program Trust, Series 2020-A, Class A2FX, 2.54%, 5/15/46(a) | �� | | | $ | 400,000 | | | | | $ | 415,261 | | |
SolarCity FTE, Series 2016-A, Class A, 4.80%, 9/20/48(a) | | | | | 369,935 | | | | | | 383,554 | | |
Sound Point CLO II Ltd., Series 2013-1A, Class A1R, 1.32%, 1/26/31 (3 month USD LIBOR + 1.07%)(a)(d) | | | | | 250,000 | | | | | | 245,780 | | |
Springleaf Funding Trust, Series 2017-AA, Class A, 2.68%, 7/15/30(a) | | | | | 492,968 | | | | | | 493,609 | | |
Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.54%, 2/25/44(a) | | | | | 1,249,892 | | | | | | 1,346,635 | | |
Starwood Waypoint Homes Trust, Series 2017-1, Class A, (1 month USD LIBOR + 0.950%), 1.10%, 1/17/35(a)(d) | | | | | 90,172 | | | | | | 90,068 | | |
Store Master Funding I-VII, Series 2019-1, Class A1, 2.82%, 11/20/49(a) | | | | | 1,031,990 | | | | | | 1,041,416 | | |
STWD Ltd., Series 2019-FL1, Class B, 1.75%, 7/15/38 (1 month USD LIBOR + 1.60%)(a)(d) | | | | | 470,000 | | | | | | 462,691 | | |
STWD Ltd., Series 2019-FL1, Class C, 2.10%, 7/15/38 (1 month USD LIBOR + 1.95%)(a)(d) | | | | | 280,000 | | | | | | 273,195 | | |
Sunrun Athena Issuer LLC, Series 2018-1, Class A, 5.31%, 4/30/49(a) | | | | | 239,179 | | | | | | 261,195 | | |
Sunrun Xanadu Issuer LLC, Series 2019-1A, Class A, 3.98%, 6/30/54(a) | | | | | 446,153 | | | | | | 457,211 | | |
SWC Funding LLC, Series 2018-1A, Class A, 4.75%, 8/15/33(a) | | | | | 1,300,000 | | | | | | 1,324,796 | | |
Taco Bell Funding LLC, Series 2016-1A, Class A2II, 4.38%, 5/25/46(a) | | | | | 483,750 | | | | | | 485,704 | | |
Taco Bell Funding LLC, Series 2018-1A, Class A2I, 4.32%, 11/25/48(a) | | | | | 491,250 | | | | | | 501,620 | | |
Tesla Auto Lease Trust, Series 2019-A, Class A3, 2.16%, 10/20/22(a) | | | | | 1,000,000 | | | | | | 1,024,905 | | |
Tesla Auto Lease Trust, Series 2019-A, Class A4, 2.20%, 11/21/22(a) | | | | | 500,000 | | | | | | 513,882 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
TH Msrissuer Trust, Series 2019-FT1, Class A, 2.95%, 6/25/24 (1 month USD LIBOR + 2.80%)(a)(d) | | | | $ | 450,000 | | | | | $ | 424,413 | | |
TICP CLO IX Ltd., Series 2017-9A, Class A, 1.41%, 1/20/31 (3 month USD LIBOR + 1.14%)(a)(d) | | | | | 1,000,000 | | | | | | 991,998 | | |
Toyota Auto Loan Extended Note Trust, Series 2019-1A, Class A, 2.56%, 11/25/31(a) | | | | | 200,000 | | | | | | 213,391 | | |
Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.35%, 5/25/33(a) | | | | | 500,000 | | | | | | 513,111 | | |
Trafigura Securitisation Finance PLC, Series 2018-1A, Class A2, 3.73%, 3/15/22(a) | | | | | 200,000 | | | | | | 202,189 | | |
Trimaran Cavu Ltd., Series 2019-1A, Class A1, 1.73%, 7/20/32 (3 month USD LIBOR + 1.46%)(a)(d) | | | | | 500,000 | | | | | | 496,359 | | |
Trinitas CLO VI Ltd., Series 2017-6A, Class AR, 1.42%, 7/25/29 (3 month USD LIBOR + 1.17%)(a)(d) | | | | | 1,250,000 | | | | | | 1,234,923 | | |
Vantage Data Centers Issuer LLC, Series 2019-1A, Class A2, 3.19%, 7/15/44(a) | | | | | 835,846 | | | | | | 852,874 | | |
VB-S1 Issuer LLC, Series 2020-1A, Class C2, 3.03%, 6/15/50(a) | | | | | 700,000 | | | | | | 729,475 | | |
Vivint Solar Financing V LLC, Series 2018-1A, Class A, 4.73%, 4/30/48(a) | | | | | 241,947 | | | | | | 248,872 | | |
Vivint Solar Financing V LLC, Series 2018-1A, Class B, 7.37%, 4/30/48(a) | | | | | 841,733 | | | | | | 854,148 | | |
Wellfleet CLO Ltd., Series 2018-1A, Class A, 1.37%, 7/17/31 (3 month USD LIBOR + 1.10%)(a)(d) | | | | | 1,000,000 | | | | | | 981,504 | | |
Wendy’s Funding LLC, Series 2015-1A, Class A23, 4.50%, 6/15/45(a) | | | | | 475,000 | | | | | | 484,928 | | |
Wendy’s Funding LLC, Series 2019-1A, Class A2I, 3.78%, 6/15/49(a) | | | | | 488,750 | | | | | | 518,246 | | |
World Omni Select Auto Trust, Series 2018-1A, Class B, 3.68%, 7/15/23(a) | | | | | 210,000 | | | | | | 213,884 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
World Omni Select Auto Trust, Series 2018-1A, Class C, 3.86%, 1/15/25(a) | | | | $ | 300,000 | | | | | $ | 308,620 | | |
World Omni Select Auto Trust, Series 2019-A, Class B, 2.17%, 12/15/25 | | | | | 400,000 | | | | | | 411,331 | | |
World Omni Select Auto Trust, Series 2019-A, Class C, 2.38%, 12/15/25 | | | | | 100,000 | | | | | | 103,157 | | |
York CLO-6 Ltd., Series 2019-1A, Class A1, 1.61%, 7/22/32 (3 month USD LIBOR + 1.35%)(a)(d) | | | | | 500,000 | | | | | | 495,023 | | |
Zais CLO 9 Ltd., Series 2018-2A, Class A, 1.47%, 7/20/31 (3 month USD LIBOR + 1.20%)(a)(d) | | | | | 984,038 | | | | | | 962,571 | | |
TOTAL ASSET-BACKED SECURITIES (Cost: $83,627,771) | | | | | 84,998,833 | | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 10.4% | | ||||||||||||
Mortgage Trust, Series 2020-P1, Class A1, 2.84%, 4/15/25(a)(d) | | | | | 847,876 | | | | | | 863,980 | | |
Angel Oak Mortgage Trust I LLC, Series 2017-1, Class A3, CMO, 3.64%, 1/25/47(a)(d) | | | | | 36,105 | | | | | | 36,097 | | |
BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class A, 1.00%, 9/15/34 (1 month USD LIBOR + 0.85%)(a)(d) | | | | | 400,000 | | | | | | 388,580 | | |
Banc of America Commercial Mortgage Trust, Series 2015-UBS7, Class C, 4.51%, 9/15/48(d) | | | | | 500,000 | | | | | | 483,396 | | |
BANK, Series 2018-BN15, Class A3, 4.14%, 11/15/61 | | | | | 575,000 | | | | | | 673,085 | | |
BANK, Series 2019-BN23, Class AS, 3.20%, 12/15/52 | | | | | 500,000 | | | | | | 553,920 | | |
BANK 2020-BNK28, Series 2020-BN28, Class A3, 1.58%, 3/15/63 | | | | | 1,200,000 | | | | | | 1,207,020 | | |
Bellemeade Re Ltd., Series 2019-3A, Class M1A, 1.25%, 7/25/29 (1 month USD LIBOR + 1.10%)(a)(d) | | | | | 33,643 | | | | | | 33,575 | | |
Bellemeade Re Ltd., Series 2019-3A, Class M1B, 1.75%, 7/25/29 (1 month USD LIBOR + 1.60%)(a)(d) | | | | | 150,000 | | | | | | 146,679 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
Bellemeade Re Ltd., Series 2020-1A, Class M1A, CMO, (1 month USD LIBOR + 2.650%), 2.80%, 6/25/30(a)(d) | | | | $ | 170,000 | | | | | $ | 170,349 | | |
Bellemeade Re Ltd., Series 2020-1A, Class M1B, CMO, (1 month USD LIBOR + 3.400%), 3.55%, 6/25/30(a)(d) | | | | | 150,000 | | | | | | 152,045 | | |
Benchmark 2020-B19 Mortgage Trust, Series 2020-B19, Class A4, 1.55%, 9/15/53 | | | | | 1,200,000 | | | | | | 1,208,725 | | |
Benchmark Mortgage Trust, 2018B4, Class A3, 3.89%, 7/15/51 | | | | | 500,000 | | | | | | 543,309 | | |
Benchmark Mortgage Trust, Series 2019-B10, Class 3CCA, 4.03%, 3/15/62(a)(d) | | | | | 250,000 | | | | | | 258,200 | | |
Benchmark Mortgage Trust, Series 2019-B10, Class A3, 3.46%, 3/15/62 | | | | | 850,000 | | | | | | 967,075 | | |
Benchmark Mortgage Trust, Series 2020-IG3, Class A2, 2.48%, 9/15/48(a) | | | | | 1,500,000 | | | | | | 1,583,843 | | |
BX Commercial Mortgage Trust, Series 2020-BXLP, Class A, 0.95%, 12/15/36 (1 month USD LIBOR +0.800%)(a)(d) | | | | | 699,360 | | | | | | 698,517 | | |
BXMT 2020-FL2 Ltd., Series 2020-FL2, Class A, (1 month USD LIBOR + 0.900%), 1.05%, 2/16/37(a)(d) | | | | | 840,000 | | | | | | 824,775 | | |
Cantor Commercial Real Estate Lending, Series 2019-CF3, Class A3, 2.75%, 1/15/53 | | | | | 800,000 | | | | | | 879,127 | | |
CD Mortgage Trust, Series 2016-CD2, Class B, 3.88%, 11/10/49(d) | | | | | 500,000 | | | | | | 542,414 | | |
CD Mortgage Trust, Series 2019-CD8, Class A3, 2.66%, 8/15/57 | | | | | 900,000 | | | | | | 978,651 | | |
Century Plaza Towers, Series 2019-CPT, Class A, 2.87%, 11/13/39(a) | | | | | 250,000 | | | | | | 272,130 | | |
Century Plaza Towers, Series 2019-CPT, Class E, 3.10%, 11/13/39(a)(d) | | | | | 400,000 | | | | | | 376,889 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
CGMS Commercial Mortgage Trust, Series 2017-MDRB, Class B, 1.90%, 7/15/30 (1 month USD LIBOR + 1.75%)(a)(d) | | | | $ | 1,300,000 | | | | | $ | 1,234,095 | | |
CIM Trust, Series 2017-3, Class A1, 2.16%, 1/25/57 (1 month USD LIBOR + 2.00%)(a)(d) | | | | | 62,917 | | | | | | 63,268 | | |
CIM Trust, Series 2017-5, Class A3, CMO, 4.00%, 5/25/57(a)(d) | | | | | 500,000 | | | | | | 499,675 | | |
CIM Trust, Series 2017-6, Class A1, 3.02%, 6/25/57(a)(d) | | | | | 175,999 | | | | | | 177,692 | | |
Citigroup Commercial Mortgage Trust, Series 2014-GC25, Class A3, 3.37%, 10/10/47 | | | | | 114,286 | | | | | | 123,523 | | |
Citigroup Commercial Mortgage Trust, Series 2016-P4, Class A3, 2.65%, 7/10/49 | | | | | 114,286 | | | | | | 121,171 | | |
Citigroup Commercial Mortgage Trust, Series 2018-C6, Class A3, 4.15%, 11/10/51 | | | | | 750,000 | | | | | | 869,476 | | |
Citigroup Commercial Mortgage Trust, Series 2019-C7, Class A3, 2.86%, 12/15/72 | | | | | 1,100,000 | | | | | | 1,219,814 | | |
Citigroup Commercial Mortgage Trust, Series 2019-GC43, Class C, 3.74%, 11/10/52(d) | | | | | 450,000 | | | | | | 454,281 | | |
COMM 2013-LC13 Mortgage Trust, Series 2013-LC13, Class D, 5.46%, 8/10/46(a)(d) | | | | | 1,000,000 | | | | | | 817,160 | | |
COMM Mortgage Trust, Series 2016-CR28, Class B, 4.79%, 2/10/49(d) | | | | | 500,000 | | | | | | 540,767 | | |
Connecticut Avenue Securities Trust, Series 2020-R01, 0.95%, 1/25/40 (1 month USD LIBOR +0.800%)(a)(d) | | | | | 59,509 | | | | | | 59,262 | | |
Connecticut Avenue Securities Trust 2019-R06, Series 2019-R06, Class 2M2, CMO, (1 month USD LIBOR + 2.100%), 2.25%, 9/25/39(a)(d) | | | | | 8,660 | | | | | | 8,590 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
Connecticut Avenue Securities Trust 2020-R02, Series 2020-R02, Class 2M2, CMO, (1 month USD LIBOR + 2.000%), 2.15%, 1/25/40(a)(d) | | | | $ | 40,000 | | | | | $ | 38,965 | | |
CSAIL Commercial Mortgage Trust, Series 2015-C2, Class A3, 3.23%, 6/15/57 | | | | | 136,599 | | | | | | 148,311 | | |
CSAIL Commercial Mortgage Trust, Series 2018-C14, Class A3, 4.15%, 11/15/51 | | | | | 700,000 | | | | | | 824,155 | | |
CSMC Trust, Series 2018-RPL9, Class A, 3.85%, 9/25/57(a)(d) | | | | | 232,249 | | | | | | 254,690 | | |
DBJPM Mortgage Trust, Series 2016-C3, Class A4, 2.63%, 8/10/49 | | | | | 1,100,000 | | | | | | 1,180,348 | | |
Federal Home Loan Mortgage Corp., Series 2016-HQA3, Class M2, CMO, (1 month USD LIBOR + 1.350%), 1.50%, 3/25/29(d) | | | | | 24,759 | | | | | | 24,759 | | |
Federal Home Loan Mortgage Corp., Series 2017-DNA2, Class M1, 1.35%, 10/25/29 (1 month USD LIBOR + 1.20%)(d) | | | | | 25,400 | | | | | | 25,400 | | |
Federal Home Loan Mortgage Corp., Series 2018-DNA1, Class M2, CMO, (1 month USD LIBOR + 1.800%), 1.95%, 7/25/30(d) | | | | | 8,720 | | | | | | 8,567 | | |
Federal Home Loan Mortgage Corp., Series 2018-HQA1, Class M2, CMO, (1 month USD LIBOR + 2.300%), 2.45%, 9/25/30(d) | | | | | 47,725 | | | | | | 46,945 | | |
Federal Home Loan Mortgage Corp., Series 2018-SPI4, Class M2, 4.47%, 11/25/48(a)(d) | | | | | 73,608 | | | | | | 73,182 | | |
Federal Home Loan Mortgage Corp., Series 2018-SPI1, Class M1, 3.72%, 2/25/48(a)(d) | | | | | 2,302 | | | | | | 2,315 | | |
Federal Home Loan Mortgage Corp., Series 2019-HQA4, Class M2, CMO, REMIC, (1 month USD LIBOR + 2.050%), 2.20%, 11/25/49(a)(d) | | | | | 47,041 | | | | | | 46,426 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
Federal Home Loan Mortgage Corp., Series 2020-DNA2, Class M2, CMO, REMIC, (1 month USD LIBOR + 1.850%), 2.00%, 2/25/50(a)(d) | | | | $ | 10,000 | | | | | $ | 9,735 | | |
Federal Home Loan Mortgage Corp., Series 2020-HQA2, Class M2, CMO, REMIC, (1 month USD LIBOR + 3.100%), 3.25%, 3/25/50(a)(d) | | | | | 14,000 | | | | | | 13,790 | | |
Federal Home Loan Mortgage Corp., Series 2020-HQA3, Class M2, CMO, REMIC, (1 month USD LIBOR + 3.600%), 3.75%, 7/25/50(a)(d) | | | | | 280,000 | | | | | | 281,402 | | |
Federal Home Loan Mortgage Corp., Series 326, Class 350, CMO, STRIPS, 3.50%, 3/15/44 | | | | | 117,157 | | | | | | 128,409 | | |
Federal Home Loan Mortgage Corp., Series 4661, Class BV, CMO, REMIC, 3.50%, 12/15/36 | | | | | 1,000,000 | | | | | | 1,056,363 | | |
Federal Home Loan Mortgage Corp., Series 4835, Class AS, 9.60%, 10/15/48 (1 month USD LIBOR + 9.84%)(d) | | | | | 171,296 | | | | | | 217,865 | | |
Federal Home Loan Mortgage Corp., Series K063, Class AM, 3.51%, 1/25/27(d) | | | | | 500,000 | | | | | | 577,927 | | |
Federal Home Loan Mortgage Corp., Series K067, Class AM, 3.28%, 8/25/27 | | | | | 1,000,000 | | | | | | 1,140,640 | | |
Federal Home Loan Mortgage Corp., Series K069, Class AM, 3.25%, 9/25/27(d) | | | | | 875,000 | | | | | | 999,562 | | |
Federal Home Loan Mortgage Corp., Series K076, Class AM, 3.90%, 4/25/28 | | | | | 1,940,000 | | | | | | 2,322,667 | | |
Federal Home Loan Mortgage Corp., Series K077, Class AM, 3.85%, 5/25/28(d) | | | | | 150,000 | | | | | | 178,707 | | |
Federal Home Loan Mortgage Corp., Series K088, Class AM, 3.76%, 1/25/29(d) | | | | | 360,000 | | | | | | 429,985 | | |
Federal Home Loan Mortgage Corp., Series K083, Class AM, 4.03%, 10/25/28(d) | | | | | 350,000 | | | | | | 426,091 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
Federal Home Loan Mortgage Corp., Series K086, Class AM, 3.92%, 12/25/28(d) | | | | $ | 100,000 | | | | | $ | 120,461 | | |
Federal Home Loan Mortgage Corp., Series K090, Class AM, 3.49%, 3/25/29(d) | | | | | 700,000 | | | | | | 825,082 | | |
Federal Home Loan Mortgage Corp., Series K091, Class AM, 3.57%, 3/25/29 | | | | | 750,000 | | | | | | 887,243 | | |
Federal Home Loan Mortgage Corp., Series K157, Class A2, 3.99%, 5/25/33(d) | | | | | 600,000 | | | | | | 745,600 | | |
Federal Home Loan Mortgage Corp., Series KC03, Class A2, 3.50%, 1/25/26 | | | | | 450,000 | | | | | | 491,219 | | |
Federal Home Loan Mortgage Corp., Series W5FX, Class AFX, 3.34%, 4/25/28(d) | | | | | 1,580,000 | | | | | | 1,788,289 | | |
Federal National Mortgage Association, Series 2014-C02, Class 1M2, 2.75%, 5/25/24 (1 month USD LIBOR + 2.60%)(d) | | | | | 106,686 | | | | | | 93,381 | | |
Federal National Mortgage Association, Series 2014-C03, Class 1M2, 3.15%, 7/25/24 (1 month USD LIBOR + 3.00%)(d) | | | | | 140,310 | | | | | | 122,604 | | |
Federal National Mortgage Association, Series 2015-C04, Class 1M2, CMO, (1 month USD LIBOR + 5.700%), 5.85%, 4/25/28(d) | | | | | 18,626 | | | | | | 19,280 | | |
Federal National Mortgage Association, Series 2015-C04, Class 2M2, CMO, (1 month USD LIBOR + 5.550%), 5.70%, 4/25/28(d) | | | | | 11,039 | | | | | | 11,330 | | |
Federal National Mortgage Association, Series 2016-C01, Class 1M2, CMO, (1 month USD LIBOR + 6.750%), 6.90%, 8/25/28(d) | | | | | 60,884 | | | | | | 63,181 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
Federal National Mortgage Association, Series 2016-C01, Class 2M2, CMO, (1 month USD LIBOR + 6.950%), 7.10%, 8/25/28(d) | | | | $ | 27,741 | | | | | $ | 29,701 | | |
Federal National Mortgage Association, Series 2016-C02, Class 1M2, CMO, (1 month USD LIBOR + 6.000%), 6.15%, 9/25/28(d) | | | | | 133,126 | | | | | | 140,880 | | |
Federal National Mortgage Association, Series 2017-C02, Class 2ED4, 1.00%, 9/25/29 (1 month USD LIBOR + 0.85%)(d) | | | | | 92,936 | | | | | | 90,678 | | |
Federal National Mortgage Association, Series 2016-C03, Class 2M2, CMO, (1 month USD LIBOR + 5.900%), 6.05%, 10/25/28(d) | | | | | 37,219 | | | | | | 39,319 | | |
Federal National Mortgage Association, Series 2017-C05, Class 1M2A, 2.35%, 1/25/30 (1 month USD LIBOR + 2.20%)(d) | | | | | 7,441 | | | | | | 7,860 | | |
Federal National Mortgage Association, Series 2018-C02, Class 2M2, CMO, (1 month USD LIBOR + 2.200%), 2.35%, 8/25/30(d) | | | | | 13,152 | | | | | | 12,723 | | |
Federal National Mortgage Association, Series 2018-C03, Class 1EA2, 1.00%, 10/25/30 (1 month USD LIBOR + 0.85%)(d) | | | | | 48,875 | | | | | | 48,592 | | |
Federal National Mortgage Association, Series 2018-C04, Class 2M2, CMO, (1 month USD LIBOR + 2.550%), 2.70%, 12/25/30(d) | | | | | 7,381 | | | | | | 7,249 | | |
Federal National Mortgage Association, Series 2018-M10, Class A1, 3.48%, 7/25/28(d) | | | | | 135,383 | | | | | | 149,100 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
Federal National Mortgage Association, Series 2018-M10, Class A2, 3.48%, 7/25/28(d) | | | | $ | 1,225,000 | | | | | $ | 1,423,797 | | |
Federal National Mortgage Association, Series 2018-M14, Class A2, 3.70%, 8/25/28(d) | | | | | 550,000 | | | | | | 648,923 | | |
Federal National Mortgage Association, Series 2018-M8, Class A2, 3.44%, 6/25/28(d) | | | | | 500,000 | | | | | | 579,022 | | |
Federal National Mortgage Association, Series 2019-M21, Class 3A1, 2.10%, 6/25/34 | | | | | 978,655 | | | | | | 1,014,195 | | |
Federal National Mortgage Association, Series 2019-M22, Class A1, 2.10%, 8/25/29 | | | | | 944,644 | | | | | | 1,001,521 | | |
Federal National Mortgage Association, Series 2019-M25, Class AV1, 2.05%, 12/25/26 | | | | | 530,359 | | | | | | 542,763 | | |
Government National Mortgage Association, Series 2017-101, Class AB, 2.50%, 7/20/47 | | | | | 402,205 | | | | | | 422,265 | | |
Government National Mortgage Association, Series 2013-99, Class AX, 3.00%, 7/20/43 | | | | | 306,472 | | | | | | 327,225 | | |
Government National Mortgage Association, Series 2015-143, Class WA, 4.00%, 10/20/45 | | | | | 352,278 | | | | | | 387,121 | | |
Government National Mortgage Association, Series 2018-76, Class IO, 4.00%, 6/20/46(g) | | | | | 99,962 | | | | | | 11,667 | | |
Government National Mortgage Association, Series 2019-M25, Class AB, 3.50%, 1/20/49 | | | | | 332,888 | | | | | | 364,688 | | |
GS Mortgage Securities Corp. II, Series 2018-GS10, Class A3, 4.26%, 7/10/51(d) | | | | | 800,000 | | | | | | 891,639 | | |
GS Mortgage Securities Trust, Series 2015-GC34, Class A3, 3.24%, 10/10/48 | | | | | 1,100,000 | | | | | | 1,173,013 | | |
GS Mortgage Securities Trust, Series 2019-GC39, Class A3, 3.31%, 5/10/52 | | | | | 1,000,000 | | | | | | 1,126,946 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
GS Mortgage Securities Trust, Series 2019-GC42, Class A3, 2.75%, 9/1/52 | | | | $ | 1,100,000 | | | | | $ | 1,199,171 | | |
GS Mortgage Securities Trust, Series 2020-GC47, Class A4, 2.13%, 5/12/53 | | | | | 1,400,000 | | | | | | 1,467,963 | | |
GS Mortgage-Backed Securities Corp. Trust, Series 2020-PJ2, Class A4, CMO, 3.50%, 7/25/50(a)(d) | | | | | 84,499 | | | | | | 85,789 | | |
HarborView Mortgage Loan Trust, Series 2005-11, Class 2A1A, 0.78%, 8/19/45 (1 month USD LIBOR + 0.62%)(d) | | | | | 52,320 | | | | | | 50,405 | | |
Hudsons Bay Simon JV Trust, Series 2015-HB10, Class C10, 5.63%, 8/5/34(a)(d) | | | | | 900,000 | | | | | | 598,261 | | |
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP4, Class A3, 3.39%, 12/15/49 | | | | | 1,071,000 | | | | | | 1,199,277 | | |
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class A, 1.15%, 9/15/29 (1 month USD LIBOR + 1.00%)(a)(d) | | | | | 400,000 | | | | | | 390,368 | | |
JP Morgan Mortgage Trust, Series 2016-1, Class A5, CMO, 3.50%, 5/25/46(a)(d) | | | | | 46,223 | | | | | | 46,496 | | |
JP Morgan Mortgage Trust, Series 2017-2, Class A13, 3.50%, 5/25/47(a)(d) | | | | | 24,891 | | | | | | 25,490 | | |
JP Morgan Mortgage Trust, Series 2017-3, Class 1A5, 3.50%, 8/25/47(a)(d) | | | | | 111,423 | | | | | | 111,854 | | |
JP Morgan Mortgage Trust, Series 2018-5, Class A13, 3.50%, 10/25/48(a)(d) | | | | | 33,481 | | | | | | 35,005 | | |
JP Morgan Mortgage Trust, Series 2018-7FRB, Class A2, 0.90%, 4/25/46 (1 month USD LIBOR + 0.75%)(a)(d) | | | | | 47,829 | | | | | | 47,614 | | |
JP Morgan Mortgage Trust, Series 2018-8, Class A13, 4.00%, 1/25/49(a)(d) | | | | | 14,017 | | | | | | 14,369 | | |
JP Morgan Mortgage Trust, Series 2018-9, Class A13, 4.00%, 2/25/49(a)(d) | | | | | 10,253 | | | | | | 10,509 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
JP Morgan Mortgage Trust, Series 2019-1, Class A15, 4.00%, 5/25/49(a)(d) | | | | $ | 32,592 | | | | | $ | 33,434 | | |
JP Morgan Mortgage Trust, Series 2019-2, Class A4, CMO, 4.00%, 8/25/49(a)(d) | | | | | 950 | | | | | | 950 | | |
JP Morgan Mortgage Trust, Series 2020-1, Class B2, 3.88%, 6/25/50(a)(d) | | | | | 34,537 | | | | | | 36,376 | | |
JP Morgan Mortgage Trust 2019-INV1, Series 2019-INV1, Class A11, CMO, 1.10%, 10/25/49(a)(d) | | | | | 85,754 | | | | | | 85,651 | | |
JPMBB Commercial Mortgage Securities Trust, Series 2014-C24, Class D, 4.05%, 11/15/47(a)(d) | | | | | 470,000 | | | | | | 351,010 | | |
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A4A1, 3.41%, 11/15/47 | | | | | 303,954 | | | | | | 327,426 | | |
JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class A4, 3.55%, 7/15/48 | | | | | 114,286 | | | | | | 125,387 | | |
JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class A3, 3.50%, 12/15/48 | | | | | 1,073,695 | | | | | | 1,193,509 | | |
JPMDB Commercial Mortgage Securities Trust, Series 2017-C7, Class A3, 3.05%, 10/15/50 | | | | | 1,000,000 | | | | | | 1,061,380 | | |
LSTAR Securities Investment Trust, Series 2019-2, Class A1, 1.66%, 4/1/24 (1 month USD LIBOR + 1.50%)(a)(d) | | | | | 74,745 | | | | | | 77,018 | | |
Manhattan West, Series 2020-1MW, Class C, 2.41%, 9/10/39(a)(d) | | | | | 500,000 | | | | | | 498,518 | | |
MBRT, Series 2019-MBR, Class A, 1.00%, 11/15/36 (1 month USD LIBOR + 0.85%)(a)(d) | | | | | 420,000 | | | | | | 406,438 | | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class C, 5.06%, 11/15/46(d) | | | | | 375,000 | | | | | | 367,922 | | |
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 | | | | $ | 166,820 | | | | | $ | 182,522 | | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C29, Class A3, 3.06%, 5/15/49 | | | | | 257,286 | | | | | | 280,453 | | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C29, Class D, 3.00%, 5/15/49(a) | | | | | 400,000 | | | | | | 300,733 | | |
Morgan Stanley Capital I Trust, Series 2018-H3, Class A3, 3.92%, 7/15/51 | | | | | 600,000 | | | | | | 669,327 | | |
Morgan Stanley Capital I Trust, Series 2019-BPR, Class A, 1.55%, 5/15/36 (1 month USD LIBOR + 1.40%)(a)(d) | | | | | 1,000,000 | | | | | | 956,647 | | |
Morgan Stanley Capital I Trust, Series 2019-H6, Class A3, 3.16%, 6/15/52 | | | | | 1,000,000 | | | | | | 1,117,072 | | |
Mortgage Repurchase Agreement Financing Trust, Series 2020-3, Class A1, CMO, (1 month USD LIBOR + 1.250%), 1.41%, 1/23/23(a)(d) | | | | | 100,000 | | | | | | 100,004 | | |
Mortgage Repurchase Agreement Financing Trust, Series 2020-4, Class A1, CMO, (1 month USD LIBOR + 1.350%), 1.51%, 4/23/23(a)(d) | | | | | 100,000 | | | | | | 100,016 | | |
Mortgage Repurchase Agreement Financing Trust, Series 2020-4, Class A2, CMO, (1 month USD LIBOR + 1.350%), 1.51%, 4/23/23(a)(d) | | | | | 185,000 | | | | | | 185,029 | | |
MSCG Trust, Series 2015-ALDR, Class A1, 2.61%, 6/7/35(a) | | | | | 109,923 | | | | | | 107,799 | | |
Natixis Commercial Mortgage Securities Trust, Series 2019-MILE, Class F, 4.40%, 7/15/36 (1 month USD LIBOR + 4.25%)(a)(d) | | | | | 750,000 | | | | | | 690,794 | | |
New Residential Mortgage Loan Trust, Series 2015-1A, Class A3, CMO, 3.75%, 5/28/52(a)(d) | | | | | 92,487 | | | | | | 98,912 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
New Residential Mortgage Loan Trust, Series 2018-4A, Class A1S, 0.90%, 1/25/48 (1 month USD LIBOR + 0.75%)(a)(d) | | | | $ | 102,367 | | | | | $ | 102,139 | | |
Oaktown Re IV Ltd., Series 2020-1A, Class M1B, CMO, (1 month USD LIBOR + 4.750%), 4.90%, 7/25/30(a)(d) | | | | | 150,000 | | | | | | 150,028 | | |
OBX 2018-1 Trust, Series 2018-1, Class A2, CMO, (1 month USD LIBOR + 0.650%), 0.80%, 6/25/57(a)(d) | | | | | 33,321 | | | | | | 33,271 | | |
One Bryant Park Trust, Series 2019-OBP, Class A, 2.52%, 9/15/54(a) | | | | | 350,000 | | | | | | 372,175 | | |
RESIMAC Premier, Series 2020-1A, Class A1A, CMO, Zero Coupon, 2/7/52,(a) | | | | | 330,000 | | | | | | 330,000 | | |
RETL, Series 2019-RVP, Class A, 1.30%, 3/15/36 (1 month USD LIBOR + 1.15%)(a)(d) | | | | | 45,863 | | | | | | 45,864 | | |
Seasoned Credit Risk Transfer Trust, Series 2019-2, Class MA, 3.50%, 8/25/58 | | | | | 441,004 | | | | | | 480,035 | | |
Sequoia Mortgage Trust, Series 2015-2, Class A1, 3.50%, 5/25/45(a)(d) | | | | | 32,452 | | | | | | 33,572 | | |
Sequoia Mortgage Trust, Series 2019-2, Class A1, 4.00%, 6/25/49(a)(d) | | | | | 85,451 | | | | | | 87,132 | | |
Sequoia Mortgage Trust, Series 2019-5, Class A1, 3.50%, 12/25/49(a)(d) | | | | | 79,443 | | | | | | 81,616 | | |
Sequoia Mortgage Trust, Series 2020-3, Class A19, CMO, 3.00%, 4/25/50(a)(d) | | | | | 136,849 | | | | | | 139,959 | | |
Sequoia Mortgage Trust 2017-6, Series 2017-6, Class A19, CMO, 3.50%, 9/25/47(a)(d) | | | | | 46,424 | | | | | | 47,398 | | |
Shellpoint Co-Originator Trust, Series 2016-1, Class 1A10, 3.50%, 11/25/46(a)(d) | | | | | 228,528 | | | | | | 231,734 | | |
STACR Trust, Series 2018-DNA3, Class M1, 0.90%, 9/25/48 (1 month USD LIBOR + 0.75%)(a)(d) | | | | | 378 | | | | | | 377 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
UBS Commercial Mortgage Trust, Series 2017-C4, Class A3, 3.30%, 10/15/50 | | | | $ | 600,000 | | | | | $ | 665,724 | | |
UBS Commercial Mortgage Trust, Series 2017-C4, Class A4, 3.56%, 10/15/50 | | | | | 148,558 | | | | | | 167,431 | | |
UBS Commercial Mortgage Trust, Series 2017-C7, Class A3, 3.42%, 12/15/50 | | | | | 305,000 | | | | | | 341,992 | | |
UBS Commercial Mortgage Trust, Series 2018-C10, Class A3, 4.05%, 5/15/51 | | | | | 1,100,000 | | | | | | 1,273,661 | | |
UBS Commercial Mortgage Trust, Series 2018-C10, Class A3, 4.31%, 6/15/51 | | | | | 500,000 | | | | | | 559,465 | | |
UBS-BAMLL Trust, Series 2012-WRM, Class A, 3.66%, 6/10/30(a) | | | | | 1,300,000 | | | | | | 1,316,602 | | |
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class D, 4.23%, 3/10/46(a)(d) | | | | | 225,000 | | | | | | 117,883 | | |
VNDO 2013-PENN Mortgage Trust, Series 2013-PENN, Class A, 3.81%, 12/13/29(a) | | | | | 500,000 | | | | | | 499,670 | | |
Wells Fargo Commercial Mortgage Trust, Series 2012-LC5, Class AS, 3.54%, 10/15/45 | | | | | 140,000 | | | | | | 145,475 | | |
Wells Fargo Commercial Mortgage Trust, Series 2017-C40, Class A3, 3.32%, 10/15/50 | | | | | 450,000 | | | | | | 498,567 | | |
Wells Fargo Commercial Mortgage Trust, Series 2019-C50, Class A4, 3.47%, 5/15/52 | | | | | 950,000 | | | | | | 1,062,016 | | |
Wells Fargo Commercial Mortgage Trust, Series 2020-SDAL, Class C, 1.89%, 2/15/37 (1 month USD LIBOR +1.740%)(a)(d) | | | | | 1,295,000 | | | | | | 1,146,708 | | |
Wells Fargo Mortgage Backed Securities Trust, Series 2019-2, Class A17, 4.00%, 4/25/49(a)(d) | | | | | 28,413 | | | | | | 28,797 | | |
WFRBS Commercial Mortgage Trust, Series 2013-C13, Class D, 4.28%, 5/15/45(a)(d) | | | | | 225,000 | | | | | | 209,311 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
WFRBS Commercial Mortgage Trust, Series 2013-C18, Class C, 4.85%, 12/15/46(d) | | | | $ | 350,000 | | | | | $ | 326,823 | | |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost: $67,555,059) | | | | | 71,229,241 | | | ||||||
U.S. GOVERNMENT OBLIGATIONS – 6.7% | | ||||||||||||
U.S. Treasury Bonds, 1.25%, 5/15/50 | | | | | 1,278,000 | | | | | | 1,211,105 | | |
U.S. Treasury Bonds, 3.00%, 11/15/44 | | | | | 3,520,000 | | | | | | 4,703,187 | | |
U.S. Treasury Bonds, 3.00%, 5/15/45 | | | | | 700,000 | | | | | | 937,180 | | |
U.S. Treasury Bonds, 3.75%, 11/15/43 | | | | | 3,515,000 | | | | | | 5,221,423 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 2/15/36, | | | | | 365,000 | | | | | | 304,086 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 5/15/36, | | | | | 350,000 | | | | | | 290,207 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 5/15/37(h) | | | | | 1,330,000 | | | | | | 1,082,106 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 5/15/41 | | | | | 2,120,000 | | | | | | 1,586,129 | | |
U.S. Treasury Coupon STRIP, Zero Coupon,, 2/15/43 | | | | | 650,000 | | | | | | 472,680 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 8/15/43 | | | | | 565,000 | | | | | | 401,024 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 11/15/43 | | | | | 485,000 | | | | | | 342,283 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 2/15/44 | | | | | 1,670,000 | | | | | | 1,172,179 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 11/15/44 | | | | | 1,775,000 | | | | | | 1,230,482 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 11/15/45 | | | | | 560,000 | | | | | | 379,209 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 2/15/46 | | | | | 405,000 | | | | | | 272,892 | | |
U.S. Treasury Notes, 0.13%, 8/31/22 | | | | | 1,755,000 | | | | | | 1,754,520 | | |
U.S. Treasury Notes, 0.13%, 9/15/23 | | | | | 1,365,000 | | | | | | 1,363,720 | | |
U.S. Treasury Notes, 0.25%, 8/31/25 | | | | | 1,200,000 | | | | | | 1,198,781 | | |
U.S. Treasury Notes, 0.25%, 9/30/25 | | | | | 2,882,000 | | | | | | 2,878,172 | | |
U.S. Treasury Notes, 0.50%, 8/31/27 | | | | | 705,000 | | | | | | 706,652 | | |
U.S. Treasury Notes, 0.63%, 8/15/30 | | | | | 5,535,000 | | | | | | 5,503,001 | | |
U.S. Treasury Notes, 1.88%, 8/31/22 | | | | | 2,960,000 | | | | | | 3,058,166 | | |
Investments | | | Principal Amount | | | Value | | ||||||
U.S. GOVERNMENT OBLIGATIONS – (continued) | | ||||||||||||
U.S. Treasury Notes, 2.25%, 11/15/25 | | | | $ | 5,015,000 | | | | | $ | 5,511,602 | | |
U.S. Treasury Notes, 2.88%, 5/31/25 | | | | | 3,860,000 | | | | | | 4,328,025 | | |
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $44,139,310) | | | | | 45,908,811 | | | ||||||
FOREIGN CORPORATE BONDS – 6.2% | | ||||||||||||
BASIC MATERIALS – 0.5% | | ||||||||||||
Albemarle Wodgina Pty Ltd., 3.45%, 11/15/29 | | | | | 65,000 | | | | | | 65,921 | | |
Braskem Netherlands Finance B.V., 4.50%, 1/31/30(a) | | | | | 207,000 | | | | | | 193,286 | | |
Celulosa Arauco y Constitucion S.A., 5.15%, 1/29/50(a) | | | | | 700,000 | | | | | | 741,300 | | |
LG Chem Ltd., 3.25%, 10/15/24(a) | | | | | 660,000 | | | | | | 710,479 | | |
NOVA Chemicals Corp., 4.88%, 6/1/24(a) | | | | | 200,000 | | | | | | 198,565 | | |
Nutrien Ltd., 3.95%, 5/13/50 | | | | | 124,000 | | | | | | 141,447 | | |
Suzano Austria GmbH, 3.75%, 1/15/31 | | | | | 53,000 | | | | | | 53,130 | | |
Teck Resources Ltd., 3.90%, 7/15/30(a) | | | | | 1,085,000 | | | | | | 1,134,522 | | |
Teck Resources Ltd., 6.25%, 7/15/41 | | | | | 56,000 | | | | | | 64,727 | | |
Yara International ASA, 3.15%, 6/4/30(a) | | | | | 52,000 | | | | | | 55,607 | | |
Total Basic Materials | | | | | | | | | | | 3,358,984 | | |
COMMUNICATIONS – 0.0% (i) | | ||||||||||||
Vodafone Group PLC, 4.88%, 6/19/49 | | | | | 54,000 | | | | | | 66,949 | | |
Vodafone Group PLC, 5.25%, 5/30/48 | | | | | 79,000 | | | | | | 101,846 | | |
Total Communications | | | | | | | | | | | 168,795 | | |
Consumer, Cyclical – 0.1% | | ||||||||||||
Aptiv PLC, 5.40%, 3/15/49 | | | | | 575,000 | | | | | | 649,939 | | |
CONSUMER, NON-CYCLICAL – 0.3% | | ||||||||||||
Coca-Cola Femsa S.A.B. de C.V., 1.85%, 9/1/32 | | | | | 153,000 | | | | | | 153,337 | | |
DH Europe Finance II Sarl, 3.25%, 11/15/39 | | | | | 121,000 | | | | | | 134,076 | | |
Diageo Capital PLC, 2.13%, 4/29/32 | | | | | 233,000 | | | | | | 241,524 | | |
IHS Markit Ltd., 4.13%, 8/1/23 | | | | | 210,000 | | | | | | 228,375 | | |
Takeda Pharmaceutical Co. Ltd., 3.18%, 7/9/50 | | | | | 1,300,000 | | | | | | 1,330,682 | | |
Total Consumer, Non-cyclical | | | | | 2,087,994 | | | ||||||
|
Investments | | | Principal Amount | | | Value | | ||||||
FOREIGN CORPORATE BONDS – (continued) | | ||||||||||||
ENERGY – 0.8% | | ||||||||||||
Aker BP ASA, 2.88%, 1/15/26(a) | | | | $ | 2,000,000 | | | | | $ | 1,980,224 | | |
Azure Power Solar Energy Pvt Ltd., 5.65%, 12/24/24(a) | | | | | 475,000 | | | | | | 493,457 | | |
BP Capital Markets PLC, (5 year CMT + 4.398%), 4.88%, 3/22/30(d)(e) | | | | | 137,000 | | | | | | 146,590 | | |
Canadian Natural Resources Ltd., 2.95%, 7/15/30 | | | | | 90,000 | | | | | | 90,544 | | |
CNOOC Finance 2013 Ltd., 2.88%, 9/30/29 | | | | | 300,000 | | | | | | 319,663 | | |
Equinor ASA, 1.75%, 1/22/26 | | | | | 69,000 | | | | | | 71,565 | | |
Equinor ASA, 3.25%, 11/18/49 | | | | | 1,075,000 | | | | | | 1,143,451 | | |
Petroleos Mexicanos, 6.35%, 2/12/48 | | | | | 54,000 | | | | | | 40,432 | | |
Petroleos Mexicanos, 6.49%, 1/23/27(a) | | | | | 262,000 | | | | | | 245,494 | | |
Petroleos Mexicanos, 7.69%, 1/23/50(a) | | | | | 85,000 | | | | | | 70,167 | | |
Sinopec Group Overseas Development 2018 Ltd., 3.68%, 8/8/49(a) | | | | | 200,000 | | | | | | 230,358 | | |
Suncor Energy, Inc., 5.95%, 5/15/35 | | | | | 60,000 | | | | | | 74,121 | | |
Total Capital International S.A., 3.13%, 5/29/50 | | | | | 375,000 | | | | | | 387,325 | | |
Total Capital International S.A., 3.46%, 7/12/49 | | | | | 49,000 | | | | | | 53,397 | | |
Total Energy | | | | | | | | | | | 5,346,788 | | |
FINANCIAL – 3.2% | | ||||||||||||
AIA Group Ltd., 3.20%, 9/16/40(a) | | | | | 400,000 | | | | | | 413,052 | | |
Banco Santander S.A., 2.71%, 6/27/24 | | | | | 200,000 | | | | | | 211,786 | | |
Bank of Montreal, 2.05%, 11/1/22 | | | | | 295,000 | | | | | | 305,094 | | |
Banque Federative du Credit Mutuel S.A., 3.75%, 7/20/23(a) | | | | | 490,000 | | | | | | 531,497 | | |
BNP Paribas S.A., 2.22%, 6/9/26 (SOFR + 2.074%)(a)(d) | | | | | 650,000 | | | | | | 670,324 | | |
BNP Paribas S.A., 3.05%, 1/13/31 (SOFR + 1.507%)(a)(d) | | | | | 330,000 | | | | | | 354,456 | | |
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)(d) | | | | | 380,000 | | | | | | 420,641 | | |
Investments | | | Principal Amount | | | Value | | ||||||
FOREIGN CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
BNP Paribas S.A., (5 year CMT + 2.050%), 2.59%, 8/12/35(a)(d) | | | | $ | 900,000 | | | | | $ | 873,364 | | |
BNP Paribas S.A., (SOFR + 1.609%), 1.90%, 9/30/28(a)(d) | | | | | 535,000 | | | | | | 532,548 | | |
Bpce S.A., 1.65%, 10/6/26 (SOFR + 1.400%)(a)(d) | | | | | 1,225,000 | | | | | | 1,225,207 | | |
Canadian Imperial Bank of Commerce, 0.88%, 3/17/23 (SOFR + 0.800%)(d) | | | | | 575,000 | | | | | | 579,255 | | |
Canadian Imperial Bank of Commerce, 2.25%, 1/28/25 | | | | | 184,000 | | | | | | 194,025 | | |
Cooperatieve Rabobank UA, 3.95%, 11/9/22 | | | | | 1,000,000 | | | | | | 1,062,503 | | |
Cooperatieve Rabobank UA, (1 year CMT + 0.730%), 1.00%, 9/24/26(a)(d) | | | | | 261,000 | | | | | | 259,342 | | |
Credit Agricole S.A., 1.91%, 6/16/26 (SOFR + 1.676%)(a)(d) | | | | | 250,000 | | | | | | 255,621 | | |
Credit Suisse Group AG, 4.19%, 4/1/31 (SOFR + 3.730%)(a)(d) | | | | | 250,000 | | | | | | 288,434 | | |
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)(d) | | | | | 451,000 | | | | | | 479,908 | | |
DBS Group Holdings Ltd., 2.85%, 4/16/22(a) | | | | | 203,000 | | | | | | 209,424 | | |
Deutsche Bank AG, (SOFR + 2.159%), 2.22%, 9/18/24(d) | | | | | 150,000 | | | | | | 150,985 | | |
Deutsche Bank AG, Series D, 5.00%, 2/14/22 | | | | | 450,000 | | | | | | 470,723 | | |
Enstar Group Ltd., 4.95%, 6/1/29 | | | | | 247,000 | | | | | | 276,619 | | |
ING Groep N.V., (1 year CMT + 1.100%), 1.40%, 7/1/26(a)(d) | | | | | 1,280,000 | | | | | | 1,294,315 | | |
Intesa Sanpaolo SpA, Series XR, 4.00%, 9/23/29(a) | | | | | 600,000 | | | | | | 653,509 | | |
Intesa Sanpaolo SpA, Series XR, 4.70%, 9/23/49(a) | | | | | 475,000 | | | | | | 530,987 | | |
Manulife Financial Corp., 4.06%, 2/24/32 (4.06% fixed rate until 2/24/27; 1.65% + USD 5 year Swap Rate thereafter)(d) | | | | | 144,000 | | | | | | 155,806 | | |
Investments | | | Principal Amount | | | Value | | ||||||
FOREIGN CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
Mizuho Financial Group, Inc., 2.56%, 9/13/25 (2.56% fixed rate until 9/13/24; 1.10% + 3 month USD LIBOR thereafter)(d) | | | | $ | 564,000 | | | | | $ | 592,665 | | |
National Bank of Canada, 2.15%, 10/7/22(a) | | | | | 500,000 | | | | | | 515,575 | | |
NatWest Markets PLC, 2.38%, 5/21/23(a) | | | | | 252,000 | | | | | | 259,434 | | |
NatWest Markets PLC, 3.63%, 9/29/22(a) | | | | | 450,000 | | | | | | 472,316 | | |
Nederlandse Waterschapsbank N.V., Senior Note, 2.38%, 3/24/26(a) | | | | | 500,000 | | | | | | 547,376 | | |
Owl Rock Technology Finance Corp., 6.75%, 6/30/25(a) | | | | | 670,000 | | | | | | 723,599 | | |
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)(d) | | | | | 210,000 | | | | | | 242,874 | | |
Scentre Group Trust 2, (5 year CMT + 4.685%), 5.13%, 9/24/80(a)(d) | | | | | 1,000,000 | | | | | | 981,748 | | |
Shinhan Bank Co., Ltd., 4.00%, 4/23/29(a) | | | | | 200,000 | | | | | | 224,478 | | |
Societe Generale S.A., 3.88%, 3/28/24(a) | | | | | 350,000 | | | | | | 376,131 | | |
State Bank of India, 4.38%, 1/24/24(a) | | | | | 205,000 | | | | | | 218,762 | | |
Swiss Re Finance Luxembourg S.A., 5.00%, 4/2/49 (5 year CMT + 3.582%)(a)(d) | | | | | 400,000 | | | | | | 455,110 | | |
Toronto-Dominion Bank (The), (SOFR + 0.450%), 0.53%, 9/28/23(d) | | | | | 1,000,000 | | | | | | 1,000,298 | | |
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)(d) | | | | | 400,000 | | | | | | 425,824 | | |
UniCredit SpA, (1 year CMT + 2.300%), 2.57%, 9/22/26(a)(d) | | | | | 1,100,000 | | | | | | 1,086,453 | | |
Washington Aircraft 2 Co. DAC, (3 month USD LIBOR + 0.430%), 0.66%, 6/26/24(d) | | | | | 842,978 | | | | | | 831,666 | | |
Investments | | | Principal Amount | | | Value | | ||||||
FOREIGN CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
WLB Asset II Pte Ltd., 4.00%, 1/14/24(a) | | | | $ | 250,000 | | | | | $ | 248,868 | | |
Total Financial | | | | | | | | | | | 21,602,602 | | |
INDUSTRIAL – 0.7% | | ||||||||||||
BAE Systems PLC, 3.40%, 4/15/30(a) | | | | | 206,000 | | | | | | 230,514 | | |
Canadian Pacific Railway Co., 2.05%, 3/5/30 | | | | | 1,000,000 | | | | | | 1,041,997 | | |
Embraer Netherlands Finance B.V., 5.05%, 6/15/25 | | | | | 138,000 | | | | | | 132,480 | | |
Embraer Overseas Ltd., 5.70%, 9/16/23(a) | | | | | 135,000 | | | | | | 136,688 | | |
Johnson Controls International PLC, 6.00%, 1/15/36 | | | | | 250,000 | | | | | | 330,765 | | |
Johnson Controls International PLC/Tyco Fire & Security Finance SCA, 1.75%, 9/15/30 | | | | | 1,080,000 | | | | | | 1,089,080 | | |
Mexico City Airport Trust, 3.88%, 4/30/28(a) | | | | | 200,000 | | | | | | 171,002 | | |
Mexico City Airport Trust, 5.50%, 7/31/47(a) | | | | | 200,000 | | | | | | 163,110 | | |
Siemens Financieringsmaatschappij N.V., 2.35%, 10/15/26(a) | | | | | 1,000,000 | | | | | | 1,072,637 | | |
Siemens Financieringsmaatschappij N.V., 3.25%, 5/27/25(a) | | | | | 260,000 | | | | | | 288,832 | | |
Trane Technologies Luxembourg Finance S.A, 3.50%, 3/21/26 | | | | | 300,000 | | | | | | 335,515 | | |
Total Industrial | | | | | | | | | | | 4,992,620 | | |
TECHNOLOGY – 0.2% | | ||||||||||||
NXP B.V./NXP Funding LLC/NXP USA, Inc., 3.40%, 5/1/30(a) | | | | | 1,100,000 | | | | | | 1,203,313 | | |
TSMC Global Ltd., 0.75%, 9/28/25(a) | | | | | 200,000 | | | | | | 198,175 | | |
TSMC Global Ltd., 1.38%, 9/28/30(a) | | | | | 200,000 | | | | | | 196,210 | | |
Total Technology | | | | | | | | | | | 1,597,698 | | |
UTILITIES – 0.4% | | ||||||||||||
AES Gener S.A., (5 year CMT + 4.917%), 6.35%, 10/7/79(a)(d) | | | | | 1,000,000 | | | | | | 1,008,750 | | |
Consorcio Transmantaro S.A., 4.70%, 4/16/34(a) | | | | | 430,000 | | | | | | 508,475 | | |
Electricite de France S.A., 5.00%, 9/21/48(a) | | | | | 250,000 | | | | | | 322,991 | | |
Investments | | | Principal Amount | | | Value | | ||||||
FOREIGN CORPORATE BONDS – (continued) | | ||||||||||||
UTILITIES – (continued) | | ||||||||||||
Enel Finance International N.V., 3.50%, 4/6/28(a) | | | | $ | 170,000 | | | | | $ | 189,331 | | |
Enel Finance International N.V., 3.63%, 5/25/27(a) | | | | | 80,000 | | | | | | 88,914 | | |
Enel Finance International N.V., 4.63%, 9/14/25(a) | | | | | 200,000 | | | | | | 231,683 | | |
Engie Energia Chile S.A., 3.40%, 1/28/30(a) | | | | | 209,000 | | | | | | 225,720 | | |
ENN Energy Holdings Ltd., 2.63%, 9/17/30(a) | | | | | 280,000 | | | | | | 279,798 | | |
Total Utilities | | | | | | | | | | | 2,855,662 | | |
TOTAL FOREIGN CORPORATE BONDS (Cost: $41,126,182) | | | | | 42,661,082 | | | ||||||
MUNICIPAL BONDS – 1.8% | | ||||||||||||
CALIFORNIA – 0.8% | | ||||||||||||
Bay Area Toll Authority, Revenue Bonds, San Francisco Bay Area Toll Bridge, Series F2, 6.26%, 4/1/49 | | | | | 150,000 | | | | | | 255,555 | | |
Bay Area Toll Authority, Revenue Bonds, San Francisco Bay Area Toll Bridge, Series F1, 2.57%, 4/1/31 | | | | | 215,000 | | | | | | 233,245 | | |
Chula Vista Municipal Financing Authority, Revenue Bonds, 4.28%, 12/1/48 | | | | | 1,000,000 | | | | | | 1,071,390 | | |
City of Los Angeles CA, General Obligation, 3.50%, 9/1/37 | | | | | 315,000 | | | | | | 345,788 | | |
City of San Francisco CA Public Utilities Commission Water Revenue, 3.30%, 11/1/39 | | | | | 1,230,000 | | | | | | 1,328,474 | | |
State of California, General Obligation, 0.94%, 4/1/47 (1 month USD LIBOR + 0.00%)(d) | | | | | 1,000,000 | | | | | | 999,390 | | |
State of California, General Obligation, 4.60%, 4/1/38 | | | | | 500,000 | | | | | | 595,510 | | |
State of California, General Obligation, Build America Bonds, 7.35%, 11/1/39 | | | | | 275,000 | | | | | | 454,415 | | |
Upper Santa Clara Valley Joint Powers Authority, Revenue Bonds, Water Revenue, Series A, 3.88%, 8/1/48 | | | | | 500,000 | | | | | | 534,735 | | |
Total California | | | | | | | | | | | 5,818,502 | | |
|
Investments | | | Principal Amount | | | Value | | ||||||
MUNICIPAL BONDS – (continued) | | ||||||||||||
Connecticut – 0.1% | | ||||||||||||
Connecticut Housing Finance Authority, 0.73%, 5/15/49 (SOFR + 0.00%)(d) | | | | $ | 500,000 | | | | | $ | 499,835 | | |
ILLINOIS – 0.1% | | ||||||||||||
Chicago Housing Authority, Revenue Bonds, Series B, 4.36%, 1/1/38 | | | | | 500,000 | | | | | | 574,110 | | |
State of Illinois, General Obligation, 5.00%, 10/1/22 | | | | | 210,000 | | | | | | 219,914 | | |
State of Illinois, General Obligation, 5.10%, 6/1/33 | | | | | 150,000 | | | | | | 151,589 | | |
Total Illinois | | | | | | | | | | | 945,613 | | |
MICHIGAN – 0.4% | | ||||||||||||
Great Lakes Water Authority Sewage Disposal System Revenue, 3.06%, 7/1/39 | | | | | 940,000 | | | | | | 1,006,815 | | |
Great Lakes Water Authority Water Supply System Revenue, 3.47%, 7/1/41 | | | | | 1,330,000 | | | | | | 1,449,261 | | |
Total Michigan | | | | | | | | | | | 2,456,076 | | |
New Jersey – 0.1% | | ||||||||||||
New Jersey Turnpike Authority, Revenue Bonds, Build America Bonds, Series F, 7.41%, 1/1/40 | | | | | 300,000 | | | | | | 508,875 | | |
New York – 0.1% | | ||||||||||||
Metropolitan Transportation Authority, 5.18%, 11/15/49 | | | | | 670,000 | | | | | | 731,513 | | |
Ohio – 0.2% | | ||||||||||||
Ohio Water Development Authority Water Pollution Control Loan Fund, 4.88%, 12/1/34 | | | | | 1,000,000 | | | | | | 1,199,140 | | |
Oregon – 0.0%(i) | | ||||||||||||
Oregon State Business Development Commission, Revenue Bonds, Economic Development Revenue, 6.50%, 4/1/31(a) | | | | | 500,000 | | | | | | 324,245 | | |
Texas – 0.0%(i) | | ||||||||||||
Texas Private Activity Bond Surface Transportation Corp., 3.92%, 12/31/49 | | | | | 80,000 | | | | | | 90,555 | | |
TOTAL MUNICIPAL BONDS (Cost: $11,827,965) | | | | | | | | | | | 12,574,354 | | |
|
Investments | | | Principal Amount | | | Value | | ||||||
FOREIGN GOVERNMENT OBLIGATIONS – 1.0% | | ||||||||||||
Bermuda – 0.0%(i) | | ||||||||||||
Bermuda Government International Bond, Series 144A, 2.38%, 8/20/30(a) | | | | $ | 200,000 | | | | | $ | 202,250 | | |
Chile – 0.2% | | ||||||||||||
Chile Government International Bond, 3.50%, 1/25/50 | | | | | 1,000,000 | | | | | | 1,140,000 | | |
Colombia – 0.0%(i) | | ||||||||||||
Colombia Government International Bond, 5.00%, 6/15/45 | | | | | 200,000 | | | | | | 233,000 | | |
Guatemala – 0.1% | | ||||||||||||
Guatemala Government Bond, 5.38%, 4/24/32(a) | | | | | 350,000 | | | | | | 401,450 | | |
INDONESIA – 0.2% | | ||||||||||||
Indonesia Government International Bond, 2.95%, 1/11/23 | | | | | 200,000 | | | | | | 208,194 | | |
Indonesia Government International Bond, 4.13%, 1/15/25(a) | | | | | 400,000 | | | | | | 446,394 | | |
Indonesia Government International Bond, Senior Note, 4.45%, 2/11/24 | | | | | 200,000 | | | | | | 221,401 | | |
Perusahaan Penerbit SBSN Indonesia III, 3.75%, 3/1/23(a) | | | | | 300,000 | | | | | | 318,390 | | |
Perusahaan Penerbit SBSN Indonesia III, 3.90%, 8/20/24(a) | | | | | 250,000 | | | | | | 274,575 | | |
Total Indonesia | | | | | | | | | | | 1,468,954 | | |
Iraq – 0.1% | | ||||||||||||
Iraq Government AID Bond, 2.15%, 1/18/22 | | | | | 500,000 | | | | | | 512,698 | | |
Italy – 0.2% | | ||||||||||||
Republic of Italy Government International Bond, 4.00%, 10/17/49 | | | | | 1,268,000 | | | | | | 1,358,797 | | |
MEXICO – 0.1% | | ||||||||||||
Mexico Government International Bond, 4.50%, 4/22/29 | | | | | 207,000 | | | | | | 231,737 | | |
Mexico Government International Bond, 4.75%, 3/8/44 | | | | | 91,000 | | | | | | 99,281 | | |
Total Mexico | | | | | | | | | | | 331,018 | | |
|
Investments | | | Principal Amount | | | Value | | ||||||
FOREIGN GOVERNMENT OBLIGATIONS – (continued) | | ||||||||||||
Panama – 0.0%(i) | | ||||||||||||
Panama Government International Bond, Senior Bond, 6.70%, 1/26/36 | | | | $ | 100,000 | | | | | $ | 145,125 | | |
Qatar – 0.0%(i) | | ||||||||||||
Qatar Government International Bond, 4.50%, 4/23/28(a) | | | | | 200,000 | | | | | | 239,000 | | |
Romania – 0.0%(i) | | ||||||||||||
Romanian Government International Bond, 5.13%, 6/15/48(a) | | | | | 50,000 | | | | | | 60,916 | | |
Saudi Arabia – 0.1% | | ||||||||||||
Saudi Government International Bond, 4.00%, 4/17/25(a) | | | | | 300,000 | | | | | | 333,300 | | |
United Arab Emirates – 0.0%(i) | | ||||||||||||
Abu Dhabi Government International Bond, 3.13%, 10/11/27(a) | | | | | 250,000 | | | | | | 277,814 | | |
Uruguay – 0.0%(i) | | ||||||||||||
Uruguay Government International Bond, 4.98%, 4/20/55 | | | | | 150,000 | | | | | | 199,500 | | |
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost: $6,284,596) | | | | | 6,903,822 | | | ||||||
SUPRANATIONAL BONDS – 0.7% | | ||||||||||||
African Development Bank, 0.75%, 4/3/23 | | | | | 1,201,000 | | | | | | 1,215,637 | | |
Asian Development Bank, 3.13%, 9/26/28 | | | | | 500,000 | | | | | | 593,421 | | |
European Bank for Reconstruction & Development, 1.50%, 2/13/25 | | | | | 209,000 | | | | | | 217,535 | | |
European Investment Bank, 2.38%, 5/24/27 | | | | | 500,000 | | | | | | 557,133 | | |
International Bank for Reconstruction & Development, Senior Note, 3.13%, 11/20/25 | | | | | 634,000 | | | | | | 719,309 | | |
International Finance Corp., 0.50%, 3/20/23 | | | | | 244,000 | | | | | | 245,230 | | |
North American Development Bank, 2.40%, 10/26/22 | | | | | 1,000,000 | | | | | | 1,034,295 | | |
TOTAL SUPRANATIONAL BONDS (Cost: $4,285,967) | | | | | 4,582,560 | | | ||||||
|
Investments | | | Principal Amount | | | Value | | ||||||
FOREIGN GOVERNMENT AGENCIES – 0.5% | | ||||||||||||
Canada – 0.2% | | ||||||||||||
Province of Quebec Canada, 2.75%, 4/12/27 | | | | $ | 1,000,000 | | | | | $ | 1,119,716 | | |
Egypt – 0.0%(i) | | ||||||||||||
Arab Republic of Egypt, 5.25%, 10/6/25(a) | | | | | 300,000 | | | | | | 299,310 | | |
France – 0.1% | | ||||||||||||
Caisse d’Amortissement de la Dette Sociale, Series 144A, 0.38%, 9/23/25(a) | | | | | 1,000,000 | | | | | | 993,080 | | |
Norway – 0.1% | | ||||||||||||
Kommunalbanken A/S, 2.13%, 2/11/25(a) | | | | | 500,000 | | | | | | 536,110 | | |
SOUTH KOREA – 0.1% | | ||||||||||||
Industrial Bank of Korea, 1.04%, 6/22/25(a) | | | | | 367,000 | | | | | | 369,385 | | |
Korea Hydro & Nuclear Power Co., Ltd., 3.75%, 7/25/23(a) | | | | | 200,000 | | | | | | 216,836 | | |
Total South Korea | | | | | | | | | | | 586,221 | | |
TOTAL FOREIGN GOVERNMENT AGENCIES (Cost: $3,307,872) | | | | | | | | | | | 3,534,437 | | |
Investments | | | Shares | | | Value | | ||||||
EXCHANGE-TRADED FUNDS – 10.0% | | ||||||||||||
iShares Core U.S. Aggregate Bond ETF | | | | | 174,962 | | | | | | 20,656,014 | | |
iShares iBoxx High Yield Corporate Bond ETF | | | | | 295,900 | | | | | | 24,826,010 | | |
iShares JP Morgan USD Emerging Markets Bond ETF | | | | | 205,307 | | | | | | 22,766,493 | | |
TOTAL EXCHANGE-TRADED FUNDS (Cost: $68,131,613) | | | | | 68,248,517 | | | ||||||
MUTUAL FUNDS – 1.5% | | ||||||||||||
Diamond Hill High Yield Fund, Class Y (Cost: $10,551,534) | | | | | 924,814 | | | | | | 10,450,394 | | |
COMMON STOCKS – 0.0%(i) | | ||||||||||||
Entertainment – 0.0%(i) | | ||||||||||||
AMC Entertainment Holdings, Inc., Class A (Cost: $0) | | | | | 200 | | | | | | 942 | | |
|
Investments | | | Shares | | | Value | | ||||||
SHORT-TERM INVESTMENTS – 4.7% | | ||||||||||||
State Street Institutional Treasury Money Market Fund – Investor Class Shares, 0.14%(j) (Cost: $32,118,249) | | | | | 32,118,249 | | | | | | 32,118,249 | | |
TOTAL INVESTMENTS – 103.4% (Cost: $680,975,987) | | | | $ | 707,540,110 | | | ||||||
OTHER ASSETS AND LIABILITIES, NET – (3.4)% | | | | | | | | | | | (23,322,246) | | |
NET ASSETS – 100.0% | | | | | | | | | | $ | 684,217,864 | | |
Description | | | Type | | | Contracts | | | Expiration Date | | | Notional Amount | | | Value / Net Unrealized Appreciation (Depreciation) | | |||||||||||||||
CONTRACTS PURCHASED – 5.0% | | ||||||||||||||||||||||||||||||
U.S. Treasury Long-Term Bonds | | | | | Long | | | | | | 1,600,000 | | | | | | 12/21/2020 | | | | | $ | 3,549,000 | | | | | $ | (10,568) | | |
U.S. Treasury 2-Year Notes | | | | | Long | | | | | | 16,400,000 | | | | | | 12/31/2020 | | | | | | 18,118,797 | | | | | | 5,101 | | |
U.S. Treasury 5-Year Notes | | | | | Long | | | | | | 9,900,000 | | | | | | 12/31/2020 | | | | | | 12,477,094 | | | | | | 8,314 | | |
Total | | | | | | | | | | | | | | | | | | | | | | $ | 34,144,891 | | | | | $ | 2,847 | | |
CONTRACTS SOLD – (2.3)% | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Long-Term Bonds | | | | | Short | | | | | | (2,600,000) | | | | | | 12/21/2020 | | | | | $ | (4,583,313) | | | | | $ | 27,003 | | |
U.S. Treasury 10-Year Ultra Notes | | | | | Short | | | | | | (3,700,000) | | | | | | 12/21/2020 | | | | | | (5,917,109) | | | | | | 7,756 | | |
U.S. Treasury 10-Year Notes | | | | | Short | | | | | | (3,800,000) | | | | | | 12/21/2020 | | | | | | (5,302,188) | | | | | | 5,606 | | |
Total | | | | | | | | | | | | | | | | | | | | | | $ | (15,802,610) | | | | | $ | 40,365 | | |
Description | | | Interest Rate | | | Maturity Date(a) | | | Settlement Date | | | Principal Amount | | | Value | | |||||||||||||||
To Be Announced Securities – (0.1)% | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Uniform Mortgage-Backed Securities | | | | | 3.00 | | | | | | TBA-30yr | | | | | | 10/14/20 | | | | | | (500,000) | | | | | | (523,770) | | |
Total (Proceeds Receivable: $523,516) | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (523,770) | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Securities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Bonds* | | | | $ | — | | | | | $ | 206,170,335 | | | | | $ | — | | | | | $ | 206,170,335 | | |
U.S. Government Agencies | | | | | — | | | | | | 118,158,533 | | | | | | — | | | | | | 118,158,533 | | |
Asset-Backed Securities | | | | | — | | | | | | 84,998,833 | | | | | | — | | | | | | 84,998,833 | | |
Exchange-Traded Funds | | | | | 68,248,517 | | | | | | — | | | | | | — | | | | | | 68,248,517 | | |
Mutual Fund | | | | | 10,450,394 | | | | | | — | | | | | | | | | | | | 10,450,394 | | |
Commercial Mortgage-Backed Securities | | | | | — | | | | | | 71,229,241 | | | | | | — | | | | | | 71,229,241 | | |
U.S. Government Obligations | | | | | — | | | | | | 45,908,811 | | | | | | — | | | | | | 45,908,811 | | |
Foreign Corporate Bonds* | | | | | — | | | | | | 42,661,082 | | | | | | — | | | | | | 42,661,082 | | |
Municipal Bonds* | | | | | — | | | | | | 12,574,354 | | | | | | — | | | | | | 12,574,354 | | |
Foreign Government Obligations* | | | | | — | | | | | | 6,903,822 | | | | | | — | | | | | | 6,903,822 | | |
Supranational Bonds | | | | | — | | | | | | 4,582,560 | | | | | | — | | | | | | 4,582,560 | | |
Foreign Government Agencies* | | | | | — | | | | | | 3,534,437 | | | | | | — | | | | | | 3,534,437 | | |
Common Stocks | | | | | | | | | | | | | | | | | | | | | | | | | |
Consumer, Cyclical | | | | | 942 | | | | | | — | | | | | | — | | | | | | 942 | | |
Money Market Fund | | | | | 32,118,249 | | | | | | — | | | | | | — | | | | | | 32,118,249 | | |
Total Investments in Securities | | | | $ | 110,818,102 | | | | | $ | 596,722,008 | | | | | $ | — | | | | | $ | 707,540,110 | | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures Contracts(a) | | | | $ | 53,780 | | | | | $ | — | | | | | $ | — | | | | | $ | 53,780 | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Sales Contracts at Value | | | | $ | — | | | | | $ | (523,770) | | | | | $ | — | | | | | | (523,770) | | |
Futures Contracts(a) | | | | | (10,568) | | | | | | — | | | | | | — | | | | | $ | (10,568) | | |
Total – Other Financial Instruments | | | | $ | (10,568) | | | | | $ | (523,770) | | | | | $ | — | | | | | $ | (534,338) | | |
| | | 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 $661,816,105, $353,906,909 and $680,975,987, respectively) | | | | $ | 722,244,106 | | | | | $ | 387,507,157 | | | | | $ | 707,540,110 | | |
Foreign Currency, at Value (Cost $–, $377,405 and $–, respectively) | | | | | — | | | | | | 390,185 | | | | | | — | | |
Receivables: | | | | | | | | | | | | | | | | | | | |
Investment Securities Sold | | | | | 1,057,190 | | | | | | 273,466 | | | | | | 12,703,803 | | |
Dividends | | | | | 426,562 | | | | | | 433,669 | | | | | | 372 | | |
Interest | | | | | — | | | | | | — | | | | | | 3,235,077 | | |
Foreign Tax Reclaims | | | | | 2,395 | | | | | | 388,143 | | | | | | 2,178 | | |
Prepaid Expenses | | | | | 826 | | | | | | 3,983 | | | | | | — | | |
Net Variation Margin on Futures Contracts | | | | | — | | | | | | — | | | | | | 13,273 | | |
Total Assets | | | | | 723,731,079 | | | | | | 388,996,603 | | | | | | 723,494,813 | | |
Liabilities: | | | | | | | | | | | | | | | | | | | |
Forward Sales Contracts, at value (proceeds receivable $–, $– and $523,516, respectively) | | | | | — | | | | | | — | | | | | | 523,770 | | |
Due to Custodian | | | | | — | | | | | | — | | | | | | 314,769 | | |
Payables: | | | | | | | | | | | | | | | | | | | |
Investment Securities Purchased | | | | | 833,678 | | | | | | 318,008 | | | | | | 37,902,056 | | |
Advisory Fees Payable | | | | | 202,389 | | | | | | 158,327 | | | | | | 262,721 | | |
Trustees’ Fees and Expenses | | | | | — | | | | | | — | | | | | | 1,728 | | |
Other Accrued Expenses | | | | | 195,554 | | | | | | 337,836 | | | | | | 271,905 | | |
Total Liabilities | | | | | 1,231,621 | | | | | | 814,171 | | | | | | 39,276,949 | | |
Net Assets | | | | $ | 722,499,458 | | | | | $ | 388,182,432 | | | | | $ | 684,217,864 | | |
Net Assets Consists of: | | | | | | | | | | | | | | | | | | | |
Paid-In Capital | | | | $ | 576,890,871 | | | | | $ | 381,502,324 | | | | | $ | 635,270,138 | | |
Total Distributable Earnings | | | | | 145,608,587 | | | | | | 6,680,108 | | | | | | 48,947,726 | | |
Net Assets | | | | $ | 722,499,458 | | | | | $ | 388,182,432 | | | | | $ | 684,217,864 | | |
Capital shares outstanding, no par value, unlimited shares authorized (all shares outstanding are of each Fund’s Institutional Class) | | | | | 59,485,338 | | | | | | 40,027,375 | | | | | | 63,306,790 | | |
Net asset value, offering price and redemption price per share | | | | $ | 12.15 | | | | | $ | 9.70 | | | | | $ | 10.81 | | |
| | | 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 $26,474, $622,772 and $– , respectively) | | | | $ | 12,211,322 | | | | | $ | 6,367,548 | | | | | $ | 933,293 | | |
Interest (net of taxes withheld of $– , $– and $1,027, respectively) | | | | | 2,205 | | | | | | 19,201 | | | | | | 21,248,560 | | |
Total Investment Income | | | | | 12,213,527 | | | | | | 6,386,749 | | | | | | 22,181,853 | | |
Expenses: | | | | | | | | | | | | | | | | | | | |
Advisory Fees (Note 4) | | | | | 2,152,340 | | | | | | 1,978,788 | | | | | | 2,813,213 | | |
Administration Fees | | | | | 102,200 | | | | | | 61,066 | | | | | | 92,614 | | |
Accounting Fees | | | | | 91,350 | | | | | | 140,009 | | | | | | 323,890 | | |
Audit and Tax Fees | | | | | 76,605 | | | | | | 164,117 | | | | | | 80,590 | | |
Custodian Fees | | | | | 74,702 | | | | | | 397,010 | | | | | | 129,942 | | |
Insurance Premiums | | | | | 45,153 | | | | | | 24,145 | | | | | | 41,266 | | |
Legal Fees | | | | | 210,199 | | | | | | 141,849 | | | | | | 176,651 | | |
Registration Fees | | | | | 20,655 | | | | | | 17,964 | | | | | | 20,541 | | |
Trustees Fees | | | | | 54,566 | | | | | | 29,513 | | | | | | 54,321 | | |
Transfer Agent Fees | | | | | 31,461 | | | | | | 31,013 | | | | | | 34,256 | | |
Other Expenses | | | | | 18,794 | | | | | | 17,951 | | | | | | 22,523 | | |
Total Expenses | | | | | 2,878,025 | | | | | | 3,003,425 | | | | | | 3,789,807 | | |
Less: Advisory Fees Waived | | | | | (129,416) | | | | | | (141,724) | | | | | | — | | |
Expenses Recouped | | | | | 174,615 | | | | | | 86,014 | | | | | | 108,954 | | |
Net Expenses | | | | | 2,923,224 | | | | | | 2,947,715 | | | | | | 3,898,761 | | |
Net Investment Income | | | | | 9,290,303 | | | | | | 3,439,034 | | | | | | 18,283,092 | | |
Net Realized and Unrealized Gain (Loss) on investments: | | | | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) From: | | | | | | | | | | | | | | | | | | | |
Investments | | | | | 80,534,203 | | | | | | (23,681,101) | | | | | | 23,735,420 | | |
Futures Contracts | | | | | 696,801 | | | | | | 519,944 | | | | | | 209,015 | | |
Foreign Currency Related Transactions | | | | | 74 | | | | | | (608,318) | | | | | | — | | |
Net Realized Gain (Loss) | | | | | 81,231,078 | | | | | | (23,769,475) | | | | | | 23,944,435 | | |
Net Increase (Decrease) in Unrealized Appreciation/Depreciation From: | | | | | | | | | | | | | | | | | | | |
Investments | | | | | 15,155,146 | | | | | | 50,333,255 | | | | | | 320,087 | | |
Futures Contracts | | | | | 114,099 | | | | | | 91,236 | | | | | | (6,404) | | |
Translation of Assets and Liabilities Denominated in Foreign Currencies | | | | | — | | | | | | 42,399 | | | | | | — | | |
Net Increase in Unrealized Appreciation/Depreciation | | | | | 15,269,245 | | | | | | 50,466,890 | | | | | | 313,683 | | |
Net Increase in Net Assets Resulting from Operations | | | | $ | 105,790,626 | | | | | $ | 30,136,449 | | | | | $ | 42,541,210 | | |
| | | PFM Multi-Manager Domestic Equity Fund | | | PFM Multi-Manager International Equity Fund | | ||||||||||||||||||
| | | For the Year Ended September 30, 2020 | | | For the Year Ended September 30, 2019 | | | For the Year Ended September 30, 2020 | | | For the Year Ended September 30, 2019 | | ||||||||||||
Increase in Net Assets Resulting From Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | $ | 9,290,303 | | | | | $ | 10,178,405 | | | | | $ | 3,439,034 | | | | | $ | 8,665,588 | | |
Net Realized Gain (Loss) | | | | | 81,231,078 | | | | | | 7,906,772 | | | | | | (23,769,475) | | | | | | (3,637,531) | | |
Net Increase (Decrease) in Unrealized Appreciation/Depreciation | | | | | 15,269,245 | | | | | | 11,847,349 | | | | | | 50,466,890 | | | | | | (7,304,476) | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | | 105,790,626 | | | | | | 29,932,526 | | | | | | 30,136,449 | | | | | | (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 | | | | | 201,624,395 | | | | | | 156,019,062 | | | | | | 119,008,892 | | | | | | 91,456,842 | | |
Reinvestment of Distributions | | | | | 21,779,371 | | | | | | 5,444,237 | | | | | | 8,764,112 | | | | | | 3,046,850 | | |
Cost of Shares Redeemed | | | | | (315,372,784) | | | | | | (50,488,010) | | | | | | (158,929,672) | | | | | | (5,952,900) | | |
Net Increase (Decrease) in Net Assets Resulting from Capital Share Transactions | | | | | (91,969,018) | | | | | | 110,975,289 | | | | | | (31,156,668) | | | | | | 88,550,792 | | |
Net Increase in Net Assets | | | | | (7,957,763) | | | | | | 135,463,578 | | | | | | (9,784,331) | | | | | | 83,227,523 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of year | | | | $ | 730,457,221 | | | | | $ | 594,993,643 | | | | | $ | 397,966,763 | | | | | $ | 314,739,240 | | |
End of year | | | | $ | 722,499,458 | | | | | $ | 730,457,221 | | | | | $ | 388,182,432 | | | | | $ | 397,966,763 | | |
Shares Subscribed and Redeemed: | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares Outstanding, Beginning of year | | | | | 66,394,828 | | | | | | 55,313,427 | | | | | | 42,308,199 | | | | | | 32,469,106 | | |
Shares Subscribed | | | | | 19,086,341 | | | | | | 15,346,114 | | | | | | 13,822,275 | | | | | | 10,131,391 | | |
Shares Issued from Reinvestment of Distributions | | | | | 1,869,474 | | | | | | 596,302 | | | | | | 873,790 | | | | | | 366,208 | | |
Shares Redeemed | | | | | (27,865,305) | | | | | | (4,861,015) | | | | | | (16,976,889) | | | | | | (658,506) | | |
Shares Outstanding, End of year | | | | | 59,485,338 | | | | | | 66,394,828 | | | | | | 40,027,375 | | | | | | 42,308,199 | | |
| | | PFM Multi-Manager Fixed-Income Fund | | |||||||||
| | | For the Year Ended September 30, 2020 | | | For the Year Ended September 30, 2019 | | ||||||
Increase in Net Assets Resulting From Operations: | | | | | | | | | | | | | |
Net investment income | | | | $ | 18,283,092 | | | | | $ | 19,555,683 | | |
Net Realized Gain | | | | | 23,944,435 | | | | | | 4,394,447 | | |
Net Increase in Unrealized Appreciation/Depreciation | | | | | 313,683 | | | | | | 27,579,823 | | |
Net Increase in Net Assets Resulting from Operations | | | | | 42,541,210 | | | | | | 51,529,953 | | |
Distributions from: | | | | | | | | | | | | | |
Distributable Earnings | | | | | (24,343,015) | | | | | | (20,444,903) | | |
Capital Share Transactions: | | | | | | | | | | | | | |
Proceeds from Sale of Shares | | | | | 277,703,038 | | | | | | 123,972,169 | | |
Reinvestment of Distributions | | | | | 24,343,015 | | | | | | 20,444,903 | | |
Cost of Shares Redeemed | | | | | (238,548,732) | | | | | | (63,107,100) | | |
Net Increase in Net Assets Resulting from Capital Share Transactions | | | | | 63,497,321 | | | | | | 81,309,972 | | |
Net Increase in Net Assets | | | | | 81,695,516 | | | | | | 112,395,022 | | |
NET ASSETS: | | | | | | | | | | | | | |
Beginning of year | | | | $ | 602,522,348 | | | | | $ | 490,127,326 | | |
End of year | | | | $ | 684,217,864 | | | | | $ | 602,522,348 | | |
Shares Subscribed and Redeemed: | | | | | | | | | | | | | |
Shares Outstanding, Beginning of year | | | | | 57,124,202 | | | | | | 48,908,529 | | |
Shares Subscribed | | | | | 26,117,899 | | | | | | 12,213,071 | | |
Shares Issued from Reinvestment of Distributions | | | | | 2,307,531 | | | | | | 2,004,585 | | |
Shares Redeemed | | | | | (22,242,842) | | | | | | (6,001,983) | | |
Shares Outstanding, End of year | | | | | 63,306,790 | | | | | | 57,124,202 | | |
| | | For the Year Ended September 30, 2020 | | | For the Year Ended September 30, 2019 | | | For the Year Ended September 30, 2018(1) | | |||||||||
Net Asset Value, Beginning of Year | | | | $ | 11.00 | | | | | $ | 10.76 | | | | | $ | 10.00 | | |
Investment Operations: | | | | | | | | | | | | | | | | | | | |
Net Investment Income(2) | | | | | 0.14 | | | | | | 0.17 | | | | | | 0.12 | | |
Net Realized and Unrealized Gain(3) | | | | | 1.32 | | | | | | 0.17 | | | | | | 0.64 | | |
Total from Investment Operations | | | | | 1.46 | | | | | | 0.34 | | | | | | 0.76 | | |
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 Year | | | | $ | 12.15 | | | | | $ | 11.00 | | | | | $ | 10.76 | | |
Total Return(4),(5) | | | | | 13.43% | | | | | | 3.26% | | | | | | 7.60% | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Year (000’s omitted) | | | | $ | 722,499 | | | | | $ | 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) | | | | | 0.39% | | | | | | 0.41% | | | | | | 0.55% | | |
Net Investment Income | | | | | 1.25% | | | | | | 1.59% | | | | | | 1.54% | | |
Portfolio Turnover Rate(8) | | | | | 141% | | | | | | 24% | | | | | | 13% | | |
| | | For the Year Ended September 30, 2020 | | | For the Year Ended September 30, 2019 | | | For the Year Ended September 30, 2018(1) | | |||||||||
Net Asset Value, Beginning of year | | | | $ | 9.41 | | | | | $ | 9.69 | | | | | $ | 10.00 | | |
Investment Operations: | | | | | | | | | | | | | | | | | | | |
Net Investment Income(2) | | | | | 0.08 | | | | | | 0.23 | | | | | | 0.15 | | |
Net Realized and Unrealized Gain (Loss)(3) | | | | | 0.41 | | | | | | (0.42) | | | | | | (0.46) | | |
Total from Investment Operations | | | | | 0.49 | | | | | | (0.19) | | | | | | (0.31) | | |
Distributions from net investment income | | | | | (0.20) | | | | | | (0.09) | | | | | | — | | |
Net Asset Value, End of year | | | | $ | 9.70 | | | | | $ | 9.41 | | | | | $ | 9.69 | | |
Total Return(4),(5) | | | | | 5.09% | | | | | | (1.87)% | | | | | | (3.10)% | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | |
Net Assets, End of year (000’s omitted) | | | | $ | 388,182 | | | | | $ | 397,967 | | | | | $ | 314,739 | | |
Ratios to average net assets of:(6) | | | | | | | | | | | | | | | | | | | |
Expenses, Net of Expense Waived/Reimbursed/Recouped(7) | | | | | 0.74% | | | | | | 0.63% | | | | | | 0.63% | | |
Expenses, Prior to Expense Waived/Reimbursed/Recouped(7) | | | | | 0.76% | | | | | | 0.75% | | | | | | 1.09% | | |
Net Investment Income | | | | | 0.87% | | | | | | 2.54% | | | | | | 2.08% | | |
Portfolio Turnover Rate(8) | | | | | 157% | | | | | | 13% | | | | | | 21% | | |
| | | For the Year Ended September 30, 2020 | | | For the Year Ended September 30, 2019 | | | For the Year Ended September 30, 2018(1) | | |||||||||
Net Asset Value, Beginning of year | | | | $ | 10.55 | | | | | $ | 10.02 | | | | | $ | 10.00 | | |
Investment Operations: | | | | | | | | | | | | | | | | | | | |
Net Investment Income(2) | | | | | 0.27 | | | | | | 0.35 | | | | | | 0.23 | | |
Net Realized and Unrealized Gain (Loss)(3) | | | | | 0.37 | | | | | | 0.55 | | | | | | (0.10) | | |
Total from Investment Operations | | | | | 0.64 | | | | | | 0.90 | | | | | | 0.13 | | |
Distributions From: | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | | (0.29) | | | | | | (0.35) | | | | | | (0.11) | | |
Capital gains | | | | | (0.09) | | | | | | (0.02) | | | | | | — | | |
Total Distributions to Shareholders | | | | | (0.38) | | | | | | (0.37) | | | | | | (0.11) | | |
Net Asset Value, End of year | | | | $ | 10.81 | | | | | $ | 10.55 | | | | | $ | 10.02 | | |
Total Return(4),(5) | | | | | 6.21% | | | | | | 9.17% | | | | | | 1.27% | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | |
Net Assets, End of year (000’s omitted) | | | | $ | 684,218 | | | | | $ | 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 | | | | | 2.60% | | | | | | 3.46% | | | | | | 3.00% | | |
Portfolio Turnover Rate(8) | | | | | 174% | | | | | | 84% | | | | | | 218% | | |
| | | Undistributed Ordinary Income | | | Undistributed Long-Term Capital Gains | | | Capital Loss Carryforward | | | Other Temporary Differences | | | Net Unrealized Appreciation (Depreciation) | | | Total Distributable Earnings (Loss) | | ||||||||||||||||||
PFM Multi-Manager Domestic Equity Fund | | | | $ | 17,739,051 | | | | | $ | 73,799,829 | | | | | $ | — | | | | | $ | (72,509) | | | | | $ | 54,142,216 | | | | | $ | 145,608,587 | | |
PFM Multi-Manager International Equity Fund | | | | | 2,627,036 | | | | | | — | | | | | | (23,287,615) | | | | | | (72,509) | | | | | | 27,413,196 | | | | | | 6,680,108 | | |
PFM Multi-Manager Fixed-Income Fund | | | | | 12,919,071 | | | | | | 10,312,017 | | | | | | — | | | | | | (72,509) | | | | | | 25,789,147 | | | | | | 48,947,726 | | |
| | | Ordinary Income | | | Long-term Capital Gains | | | Total Distributions | | |||||||||
PFM Multi-Manager Domestic Equity Fund | | | | $ | 18,295,172 | | | | | $ | 3,484,199 | | | | | $ | 21,779,371 | | |
PFM Multi-Manager International Equity Fund | | | | | 8,764,112 | | | | | | — | | | | | | 8,764,112 | | |
PFM Multi-Manager Fixed-Income Fund | | | | | 23,902,041 | | | | | | 440,974 | | | | | | 24,343,015 | | |
| | | Ordinary Income | | | Long-term Capital Gains | | | Total Distributions | | |||||||||
PFM Multi-Manager Domestic Equity Fund | | | | $ | 5,160,615 | | | | | $ | 283,622 | | | | | $ | 5,444,237 | | |
PFM Multi-Manager International Equity Fund | | | | | 3,046,850 | | | | | | — | | | | | | 3,046,850 | | |
PFM Multi-Manager Fixed-Income Fund | | | | | 20,444,903 | | | | | | — | | | | | | 20,444,903 | | |
| | | Unlimited Short Term Losses | | | Unlimited Long Term Losses | | ||||||
PFM Multi-Manager Domestic Equity Fund | | | | $ | — | | | | | $ | — | | |
PFM Multi-Manager International Equity Fund | | | | | 16,980,613 | | | | | | 6,307,002 | | |
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 | | | | $ | 668,101,890 | | | | | $ | 360,124,663 | | | | | $ | 681,750,709 | | |
Unrealized appreciation | | | | | 63,563,502 | | | | | | 37,827,103 | | | | | | 30,049,438 | | |
Unrealized depreciation | | | | | (9,421,286) | | | | | | (10,444,609) | | | | | | (4,260,291) | | |
Net unrealized appreciation | | | | $ | 54,142,216 | | | | | $ | 27,382,494 | | | | | $ | 25,789,147 | | |
Fund | | | % | | |||
Domestic Equity Fund | | | | | 0.29% | | |
International Equity Fund | | | | | 0.50% | | |
Fixed-Income Fund | | | | | 0.40% | | |
Fund | | | Sub-Advisers | |
PFM Multi-Manager Domestic Equity* | | | 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. PineBridge Investments LLC PGIM, Inc. Teachers Advisors, LLC | |
Fund | | | % | | |||
Domestic Equity Fund | | | | | 0.38% | | |
International Equity Fund | | | | | 0.63% | | |
Fixed-Income Fund | | | | | 0.55% | | |
| | | 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 | | | | $ | 115,442 | | | | | $ | 414,890 | | | | | $ | 203,376 | | |
September 30, 2022 | | | | | 319,569 | | | | | | 497,715 | | | | | | 57,576 | | |
September 30, 2023 | | | | | 129,416 | | | | | | 141,724 | | | | | | — | | |
Total | | | | $ | 564,427 | | | | | $ | 1,054,329 | | | | | $ | 260,952 | | |
| | | PFM Multi- Manager Domestic Equity Fund | | | PFM Multi- Manager International Equity Fund | | ||||||
Non-U.S. Government Purchases | | | | $ | 1,031,734,502 | | | | | $ | 604,224,800 | | |
Non-U.S. Government Sales | | | | $ | 1,128,833,321 | | | | | $ | 630,385,086 | | |
| | | PFM Multi- Manager Fixed- Income Fund | | |||
U.S. Government Purchases | | | | $ | 627,389,618 | | |
Non-U.S. Government Purchases | | | | $ | 610,768,091 | | |
U.S. Government Sales | | | | $ | 587,566,265 | | |
Non-U.S. Government Sales | | | | $ | 598,143,887 | | |
| | | Asset Derivatives | | | Liability Derivatives | | ||||||||||||
Interest rate contracts | | | Net Variation Margin on Futures Contracts* | | | | $ | 53,780 | | | | Net Variation Margin on Futures Contracts* | | | | $ | (10,568) | | |
| | | | | | | | | | | | | | | | | | | |
| | | Net Realized Gain (Loss) | | | Net Change in Unrealized Appreciation (Depreciation) | | ||||||||||||
Equity contracts risk | | | Futures Contracts | | | | $ | 696,801 | | | | Futures Contracts | | | | $ | 114,099 | | |
| | | Net Realized Gain (Loss) | | | Net Change in Unrealized Appreciation (Depreciation) | | ||||||||||||
Equity contracts risk | | | Futures Contracts | | | | $ | 519,944 | | | | Futures Contracts | | | | $ | 91,236 | | |
| | | | | | | | | | | | | | | | | | | |
| | | Net Realized Gain (Loss) | | | Net Change in Unrealized Appreciation (Depreciation) | | ||||||||||||
Interest rate contracts risk | | | Futures Contracts | | | | $ | 209,015 | | | | Futures Contracts | | | | $ | (6,404) | | |
| | | Futures Contracts – Long | | | Futures Contracts – Short | | ||||||
PFM Multi-Manager Domestic Equity Fund | | | | $ | 1,664,671 | | | | | $ | — | | |
PFM Multi-Manager International Equity Fund | | | | $ | 1,225,297 | | | | | $ | — | | |
PFM Multi-Manager Fixed-Income Fund | | | | $ | 26,456,297 | | | | | $ | 17,393,276 | | |
November 24, 2020
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS
PFM Multi-Manager International Equity Fund
PFM Multi-Manager Fixed-Income Fund
(each a Fund)
Fund | | | Sub-Adviser | |
Domestic Equity Fund | | | Champlain Investment Partners, LLC | |
| | | Jacobs Levy Equity Management, Inc. | |
| | | Nuance Investments, LLC | |
| | | Vaughan Nelson Investment Management, L.P. | |
International Equity Fund | | | Aristotle Capital Management, LLC | |
| | | J O Hambro Capital Management | |
| | | Lazard Asset Management LLC | |
Fixed-Income Fund | | | Brown Brothers Harriman & Co. | |
| | | PineBridge Investments LLC | |
| | | PGIM, Inc. | |
| | | Teachers Advisors, LLC | |
| | | Beginning Account Value 4/1/20 | | | Ending Account Value 9/30/20 | | | Annualized Expense Ratio Based on the Period | | | Expenses Paid per $1,000 During the Period(1),(2) 4/1/20 to 9/30/20 | | ||||||||||||
PFM Multi-Manager Domestic Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | $ | 1,000.00 | | | | | $ | 1,306.50 | | | | | | 0.40% | | | | | $ | 2.31 | | |
Hypothetical (5% return before expenses) | | | | $ | 1,000.00 | | | | | $ | 1,023.00 | | | | | | 0.40% | | | | | $ | 2.02 | | |
PFM Multi-Manager International Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | $ | 1,000.00 | | | | | $ | 1,271.30 | | | | | | 0.83% | | | | | $ | 4.71 | | |
Hypothetical (5% return before expenses) | | | | $ | 1,000.00 | | | | | $ | 1,020.85 | | | | | | 0.83% | | | | | $ | 4.19 | | |
PFM Multi-Manager Fixed-Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | $ | 1,000.00 | | | | | $ | 1074.80 | | | | | | 0.56% | | | | | $ | 2.90 | | |
Hypothetical (5% return before expenses) | | | | $ | 1,000.00 | | | | | $ | 1022.20 | | | | | | 0.56% | | | | | $ | 2.83 | | |
Name, Address, and Year of Birth | | | Position(s) held with Trust | | | Term of Office*and Length of Time Served | | | Principal Occupation During Past Five Years and Relevant Experience | | | Number of Funds in Fund Complex Overseen by Trustee | | | Other Directorships Held by Trustee | | | | | | | ||||||||||
Independent Trustees | | | | | | | | | | | | | | | | | |||||||||||||||
Bruce Aronow 213 Market Street Harrisburg, PA 17101 Year of birth: 1965 | | | Trustee and Chair of the Board and Chair of the Audit Committee | | | Since November 2017 | | | Chief Executive Officer, eLocalUSA LLC (advertising) (2008 – Present) | | | 3 | | | Trustee, Copeland Trust (2010 – Present). | | | | | | | ||||||||||
Robert Bernstein 213 Market Street Harrisburg, PA 17101 Year of birth: 1954 | | | Trustee | | | Since November 2017 | | | Co-Founder, Director Emeritus, Envestnet Retirement Solutions (financial technology) (2009 – Present); Managing Member, PRISM Global Advisors, LLC (personal family office and financial advisory firm) (2003-Present) | | | 3 | | | Board Member, Fay Financial, Inc. (mortgage servicer) (2012 – Present); Board Chairman and Treasurer, Guitars Over Guns Organization (nonprofit). | | | | | | | ||||||||||
Carmen A. Heredia-Lopez 213 Market Street Harrisburg, PA 17101 Year of birth: 1970 | | | Trustee and Chair of the Nominating and Governance Committee | | | Since November 2017 | | | Chief Investment Officer of Illinois Student Assistance Commission (2018 – Present); Director of Foundation Investments, W.K. Kellogg Foundation (private foundation) (2014 – 2017) | | | 3 | | | Trustee, Catholic United Investment Trust (2015 – Present); and Director, Prospanica (2013 – 2019). | | | | | | | ||||||||||
Interested Trustee | | | | | | | | | | | | | | | | | |||||||||||||||
John Spagnola1 1735 Market Street, 43rd Floor Philadelphia, PA 19103 Year of birth: 1957 | | | Trustee | | | Since November 2017 | | | Managing Director, PFM Asset Management LLC (2002 – Present) | | | 3 | | | Board Member, St. Rose of Lima Elementary School (2009 – Present); Director, Magee Rehabilitation Hospital (2008 – Present); and Board Member, Greater Philadelphia Chamber of Commerce Advisory Board (2004 – Present). | | | | | | |
| Name, Address, and Year of Birth | | | Position(s) held with Trust | | | Term of Office* and Length of Time Served | | | Principal Occupation During Past Five Years | |
| John Spagnola PFM Asset Management LLC 1735 Market Street, 43rd Floor Philadelphia, PA 19103 Year of birth: 1957 | | | President and Chief Executive Officer | | | Since November 2017 | | | Managing Director, PFM Asset Management LLC (2002 – present); Board member, Greater Philadelphia Chamber of Commerce (2004 to present); Board of Directors, Magee Rehabilitation Hospital (2008 to present); Advisory Board, St. Rose of Lima Parish (2008 to present). | |
| Valentine James Link, Jr. PFM Asset Management LLC 1735 Market Street, 43rd Floor Philadelphia, PA 19103 Year of birth: 1962 | | | Vice President | | | Since May 2019 | | | Managing Director, PFM Asset Management LLC (2006 – present). | |
| Daniel Hess PFM Asset Management LLC 213 Market Street, Harrisburg, PA, 17101-2141 Year of birth: 1974 | | | Treasurer | | | Since January 2019 | | | Managing Director, PFM Asset Management LLC (2001 – present). | |
| Marc Ammaturo PFM Asset Management LLC 1735 Market Street, 43rd Floor Philadelphia, PA 19103 Year of birth: 1973 | | | Assistant Treasurer and Secretary | | | Assistant Treasurer since March 2019; Secretary since November 2019 | | | Managing Director, PFM Asset Management LLC (2005 – present). | |
| Leo Karwejna PFM Asset Management LLC 213 Market Street, Harrisburg, PA 17101-2141 Year of birth: 1976 | | | Chief Compliance Officer | | | Since November 2017 | | | Managing Director, PFM Asset Management LLC (2011 – present). | |
| Maria De Ornelas State Street Bank & Trust Company One Lincoln Street, 8th Floor Boston, MA 02111 Year of birth: 1984 | | | Assistant Secretary | | | Since May 2019 | | | Assistant Vice President and Associate Counsel, State Street Bank and Trust Company (2015 – present). | |
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.
(a) | As of the end of the period covered by this report, PFM Multi-Manager Series Trust (the “Registrant”), has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party (the “Code of Ethics”). |
(c) | There have been no amendments, during the period covered by this report, to a provision of the Code of Ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party, and that relates to any element of the Code of Ethics description in paragraph (b) of Item 2 of Form N-CSR. |
(d) | The Registrant has not, during the period covered by this report, granted any waivers, including an implicit waiver, from a provision of the Code of Ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this Item’s instructions. |
(e) | Not applicable. |
(f) | The Code of Ethics is attached hereto as Exhibit 13(a)(1). |
Item 3. Audit Committee Financial Expert.
The Board of Trustees of the Registrant (the “Board”) has determined that the Registrant has three “audit committee financial experts,” as that term is defined under Item 3(b) and 3(c) of Form N-CSR, serving on its audit committee. The audit committee financial experts serving on the Registrant’s audit committee are Bruce Aronow, Robert Bernstein and Carmen Heredia-Lopez, who are “independent” trustees of the Registrant, as that term is defined under Item 3(a)(2) of Form N-CSR. The designation of Messrs. Aronow and Bernstein and Ms. Heredia-Lopez as “audit committee financial experts” pursuant to Item 3 of Form N-CSR does not (i) impose upon them any duties, obligations, or liabilities that are greater than the duties, obligations and liabilities imposed upon them as a member of the Registrant’s audit committee or Board in the absence of such designation; or (ii) affect the duties, obligations or liabilities of any other member of the Registrant’s audit committee or Board.
Item 4. Principal Accountant Fees and Services.
Audit Fees
(a) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by Ernst & Young LLP (“EY”), the Registrant’s principal accountant, for the audit of the Registrant's annual financial statements or services that are normally provided by EY in connection with the Registrant’s statutory and regulatory filings or engagements were $188,850 for the fiscal year ended September 30, 2020 and $178,500 for the fiscal year ended September 30, 2019. |
Audit-Related Fees
(b) | The aggregate fees billed for each of the last two fiscal years for assurance and related services by EY that are reasonably related to the performance of the audit of the Registrant's financial statements and are not reported under paragraph (a) of this Item were $31,300 for the fiscal year ended September 30, 2020 and $38,250 for the fiscal year ended September 30, 2019. |
Tax Fees
(c) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by EY to the Registrant for tax compliance, tax advice, tax planning and tax return preparation were $86,880 for the fiscal year ended September 30, 2020 and $51,350 for the for the fiscal year ended September 30, 2019. |
All Other Fees
(d) | The aggregate fees billed for each of the last two fiscal years for products and services provided by EY, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended September 30, 2020 and $0 for the fiscal year ended September 30, 2019. |
(e)(1) | The Registrant’s audit committee has adopted Pre-Approval Policies and Procedures that require the audit committee to pre-approve all audit and non-audit services of the Registrant, including non-audit services provided to the Registrant’s investment adviser(s) and to any affiliate of the investment adviser(s) that provides ongoing services to the Registrant, if the engagement relates directly to the operations and financial reporting of the Registrant. |
(e)(2) | The Registrant’s Audit committee has approved 100% of services described in each of Items 4(b) through (d) pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. |
(f) | Not applicable. |
(g) | The aggregate non-audit fees billed by the Registrant's accountant for services rendered to the Registrant, and rendered to the Registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant for each of the last two fiscal years were $118,180 for the fiscal year ended September 30, 2020 and $89,600 for the fiscal year ended September 30, 2019. |
(h) | Not applicable. |
Item 5. Audit Committee of Listed Registrants.
Not applicable.
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. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s Board, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The Registrant’s principal executive 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 Registrant’s last fiscal quarter of 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. |
(b) | Not applicable. |
Item 13. Exhibits.
(a)(1) | The Code of Ethics, or any amendment thereto, that is the subject of disclosure required by Item 2, is attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: | PFM Multi-Manager Series Trust | |
By: | /s/ John Spagnola | |
John Spagnola | ||
President (Principal Executive Officer) | ||
Date: | December 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: | December 4, 2020 | |
By: | /s/ Daniel Hess | |
Daniel Hess | ||
Treasurer (Principal Financial Officer) | ||
Date: | December 4, 2020 |