UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-23282
PFM MULTI-MANAGER SERIES TRUST
(Exact name of registrant as specified in charter)
213 Market Street, Harrisburg, Pennsylvania 17101-2141
(Address of principal executive offices) (zip code)
The Corporation Trust Company
1209 Orange Street
Wilmington, Delaware 19801
(Name and address of agent for service)
Copy to:
Jonathan Kopcsik, Esq.
Stradley Ronon Stevens & Young LLP
2005 Market Street, Suite 2600
Philadelphia, Pennsylvania, 19103-7018
Registrant’s telephone number, including area code: (883) 736-6678
Date of fiscal year end: September 30
Date of reporting period: September 30, 2021
Item 1. Reports to Stockholders.
(a) | The Reports to Shareholders are attached hereto. |
(b) | Not applicable. |
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call 1-833-736-6678 or visit us online at https://mmst.pfmam.com
PFM Asset Management LLC
November 2, 2021
| | | Fund Assets Managed As of 9/30/21 | | | |||||||||||
Investment Sub-Adviser | | | (%) | | | ($ Million) | | | Investment Strategy | | ||||||
Champlain Investment Partners, LLC | | | | | 9.2 | | | | | | 78.0 | | | | Active U.S. Mid-Cap | |
Jacobs Levy Equity Management, Inc. | | | | | 3.1 | | | | | | 25.8 | | | | Active U.S. Small-Cap | |
Nuance Investments, LLC | | | | | 10.0 | | | | | | 84.9 | | | | Active U.S. All-Cap | |
Vaughan Nelson Investment Management, L.P. | | | | | 12.8 | | | | | | 108.2 | | | | Active U.S. All-Cap | |
Sector Diversification | | | % | | |||
Communication Services | | | | | 8.6 | | |
Consumer Discretionary | | | | | 10.0 | | |
Consumer Staples | | | | | 6.1 | | |
Energy | | | | | 2.3 | | |
Financials | | | | | 12.6 | | |
Health Care | | | | | 15.4 | | |
Industrials | | | | | 10.6 | | |
Information Technology | | | | | 24.9 | | |
Materials | | | | | 2.4 | | |
Real Estate | | | | | 3.4 | | |
Utilities | | | | | 2.9 | | |
Cash Equivalents and Other | | | | | 0.9 | | |
Initial Investment of $10,000
Performance as of 9/30/2021 | | | One Year | | | Since Inception(1) | | ||||||
PFM Multi-Manager Domestic Equity Fund | | | | | 33.08% | | | | | | 14.76% | | |
Russell 3000 Index(2) | | | | | 31.86% | | | | | | 15.45% | | |
| | | Fund Assets Managed As of 9/30/21 | | | |||||||||||
Investment Sub-Adviser | | | (%) | | | ($ Million) | | | Investment Strategy | | ||||||
Acadian Asset Management | | | | | 11.8 | | | | | | 80.1 | | | | Active International Developed Markets | |
Aristotle Capital Management, LLC | | | | | 12.2 | | | | | | 82.9 | | | | Active International Developed Markets | |
Kayne Anderson Rudnick Investment Management | | | | | 6.0 | | | | | | 40.8 | | | | Active International Small-Cap | |
Lazard Asset Management LLC | | | | | 5.7 | | | | | | 38.6 | | | | Active Total International Markets | |
Schroder Investment Management N.A. | | | | | 7.2 | | | | | | 49.1 | | | | Global Emerging Markets | |
WCM Investment Management | | | | | 15.2 | | | | | | 103.2 | | | | Active Total International Markets | |
Region Diversification | | | % | | |||
Europe & Middle East ex U.K. | | | | | 35.7 | | |
U.K. | | | | | 7.7 | | |
Pacific ex Japan | | | | | 9.7 | | |
North America | | | | | 8.5 | | |
Japan | | | | | 13.3 | | |
EM Europe, Middle East & Africa | | | | | 2.9 | | |
EM Asia | | | | | 17.2 | | |
EM Latin America | | | | | 2.8 | | |
Cash Equivalents and Other | | | | | 2.2 | | |
Sector Diversification | | | % | | |||
Communication Services | | | | | 5.0 | | |
Consumer Discretionary | | | | | 13.4 | | |
Consumer Staples | | | | | 8.5 | | |
Energy | | | | | 3.4 | | |
Financials | | | | | 13.9 | | |
Health Care | | | | | 11.6 | | |
Industrials | | | | | 15.4 | | |
Information Technology | | | | | 17.4 | | |
Materials | | | | | 6.5 | | |
Real Estate | | | | | 1.7 | | |
Utilities | | | | | 1.6 | | |
Cash Equivalents and Other | | | | | 1.6 | | |
Initial Investment of $10,000
Performance as of 9/30/2021 | | | One Year | | | Since Inception(1) | | ||||||
PFM Multi-Manager International Equity Fund | | | | | 24.86% | | | | | | 6.07% | | |
MSCI All Country World ex-U.S. Index(2) | | | | | 23.91% | | | | | | 5.58% | | |
| | | Fund Assets Managed As of 9/30/21 | | | |||||||||||
Investment Sub-Adviser | | | (%) | | | ($ Million) | | | Investment Strategy | | ||||||
Brown Brothers Harriman & Co. | | | | | 9.1 | | | | | | 74.7 | | | | Active Securitized Assets | |
PineBridge Investment LLC | | | | | 5.1 | | | | | | 41.9 | | | | Active Investment Grade Credit | |
PGIM, Inc. | | | | | 39.7 | | | | | | 325.9 | | | | Active Investment Grade Core | |
Teachers Advisors, LLC | | | | | 36.7 | | | | | | 301.5 | | | | Active Investment Grade Core | |
Sector Diversification | | | % | | |||
US Government & Related | | | | | 12.3 | | |
Municipal / Local Authority | | | | | 1.5 | | |
Asset Backed Securities | | | | | 9.5 | | |
Collateralized Loan Obligations | | | | | 6.6 | | |
Mortgage-Related | | | | | 26.9 | | |
Investment Grade Corporates | | | | | 28.7 | | |
High Yield Corporates | | | | | 7.0 | | |
Emerging Markets Debt | | | | | 6.1 | | |
Cash Equivalents and Other | | | | | 1.5 | | |
Credit Quality Diversification | | | % | | |||
AAA | | | | | 42.1 | | |
AA | | | | | 5.9 | | |
A | | | | | 15.6 | | |
BBB | | | | | 20.8 | | |
BB | | | | | 5.7 | | |
B | | | | | 3.2 | | |
Below B | | | | | 0.8 | | |
Cash & Not Rated | | | | | 5.9 | | |
Initial Investment of $10,000
Performance as of 9/30/2021 | | | One Year | | | Since Inception(1) | | ||||||
PFM Multi-Manager Fixed Income Fund | | | | | 1.23% | | | | | | 4.71% | | |
Bloomberg U.S. Aggregate Index(2) | | | | | -0.90% | | | | | | 3.84% | | |
Investments | | | Shares | | | Value | | | | ||||||||||
COMMON STOCKS – 34.2% | | | | ||||||||||||||||
COMMUNICATION SERVICES – 2.0% | | | | ||||||||||||||||
Alphabet, Inc., Class A(a) | | | | | 2,734 | | | | | $ | 7,309,403 | | | | | ||||
ATN International, Inc. | | | | | 968 | | | | | | 45,351 | | | | | ||||
Cogent Communications Holdings, Inc. | | | | | 45,497 | | | | | | 3,223,007 | | | | | ||||
comScore, Inc.(a) | | | | | 6,480 | | | | | | 25,272 | | | | | ||||
Consolidated Communications Holdings, Inc.(a) | | | | | 494 | | | | | | 4,540 | | | | | ||||
Cumulus Media, Inc., Class A(a) | | | | | 395 | | | | | | 4,839 | | | | | ||||
DHI Group, Inc.(a) | | | | | 5,047 | | | | | | 24,024 | | | | | ||||
Facebook, Inc., Class A(a) | | | | | 17,750 | | | | | | 6,024,172 | | | | | ||||
Marchex, Inc., Class B(a) | | | | | 1,741 | | | | | | 5,197 | | | | | ||||
Ooma, Inc.(a) | | | | | 1,421 | | | | | | 26,445 | | | | | ||||
Travelzoo(a) | | | | | 2,763 | | | | | | 32,051 | | | | | ||||
WideOpenWest, Inc.(a) | | | | | 3,118 | | | | | | 61,269 | | | | | ||||
Yelp, Inc.(a) | | | | | 2,221 | | | | | | 82,710 | | | | | ||||
Total Communication Services | | | | | 16,868,280 | | | | | | | ||||||||
CONSUMER DISCRETIONARY – 2.0% | | | | | | | | ||||||||||||
Aaron’s Co., Inc. (The) | | | | | 7,315 | | | | | | 201,455 | | | | | ||||
Abercrombie & Fitch Co., Class A(a) | | | | | 6,214 | | | | | | 233,833 | | | | | ||||
Advance Auto Parts, Inc. | | | | | 9,600 | | | | | | 2,005,344 | | | | | ||||
Amazon.com, Inc.(a) | | | | | 1,678 | | | | | | 5,512,297 | | | | | ||||
American Axle & Manufacturing Holdings, Inc.(a) | | | | | 20,885 | | | | | | 183,997 | | | | | ||||
American Public Education, Inc.(a) | | | | | 5,097 | | | | | | 130,534 | | | | | ||||
Cooper-Standard Holdings, Inc.(a) | | | | | 1,226 | | | | | | 26,862 | | | | | ||||
Crocs, Inc.(a) | | | | | 8,455 | | | | | | 1,213,124 | | | | | ||||
Dillard’s, Inc., Class A | | | | | 291 | | | | | | 50,203 | | | | | ||||
Genesco, Inc.(a) | | | | | 2,909 | | | | | | 167,937 | | | | | ||||
Group 1 Automotive, Inc. | | | | | 1,772 | | | | | | 332,923 | | | | | ||||
Hibbett Sports, Inc. | | | | | 2,432 | | | | | | 172,040 | | | | | ||||
Kontoor Brands, Inc. | | | | | 3,533 | | | | | | 176,473 | | | | | ||||
Leslie’s, Inc.(a) | | | | | 47,845 | | | | | | 982,736 | | | | | ||||
Lumber Liquidators Holdings, Inc.(a) | | | | | 3,261 | | | | | | 60,916 | | | | | ||||
Luminar Technologies, Inc.(a) | | | | | 54,710 | | | | | | 853,476 | | | | | ||||
MarineMax, Inc.(a) | | | | | 6,075 | | | | | | 294,759 | | | | | ||||
ODP Corp. (The)(a) | | | | | 3,502 | | | | | | 140,640 | | | | | ||||
Perdoceo Education Corp.(a) | | | | | 17,039 | | | | | | 179,932 | | | | | ||||
Planet Fitness, Inc., Class A(a) | | | | | 7,000 | | | | | | 549,850 | | | | | ||||
PlayAGS, Inc.(a) | | | | | 2,715 | | | | | | 21,394 | | | | | ||||
Red Robin Gourmet Burgers, Inc.(a) | | | | | 6,648 | | | | | | 153,303 | | | | | ||||
Shoe Carnival, Inc. | | | | | 3,777 | | | | | | 122,450 | | | | | ||||
Signet Jewelers Ltd. | | | | | 3,193 | | | | | | 252,119 | | | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
CONSUMER DISCRETIONARY – (continued) | | ||||||||||||
Standard Motor Products, Inc. | | | | | 1,940 | | | | | $ | 84,797 | | |
Strattec Security Corp.(a) | | | | | 560 | | | | | | 21,784 | | |
Tenneco, Inc., Class A(a) | | | | | 7,712 | | | | | | 110,050 | | |
Terminix Global Holdings, Inc.(a) | | | | | 24,000 | | | | | | 1,000,080 | | |
Tractor Supply Co. | | | | | 4,865 | | | | | | 985,698 | | |
Ulta Beauty, Inc.(a) | | | | | 2,150 | | | | | | 775,978 | | |
Unifi, Inc.(a) | | | | | 2,044 | | | | | | 44,825 | | |
Universal Electronics, Inc.(a) | | | | | 1,157 | | | | | | 56,982 | | |
Universal Technical Institute, Inc.(a) | | | | | 5,514 | | | | | | 37,275 | | |
Total Consumer Discretionary | | | | | 17,136,066 | | | ||||||
CONSUMER STAPLES – 2.7% | | ||||||||||||
Andersons, Inc. (The) | | | | | 4,679 | | | | | | 144,254 | | |
Beiersdorf AG, ADR | | | | | 127,510 | | | | | | 2,773,342 | | |
BellRing Brands, Inc., Class A(a) | | | | | 4,678 | | | | | | 143,849 | | |
Boston Beer Co., Inc. (The), Class A(a) | | | | | 1,300 | | | | | | 662,675 | | |
Cal-Maine Foods, Inc. | | | | | 59,439 | | | | | | 2,149,314 | | |
Calavo Growers, Inc. | | | | | 4,645 | | | | | | 177,625 | | |
Church & Dwight Co., Inc. | | | | | 10,700 | | | | | | 883,499 | | |
Clorox Co. (The) | | | | | 33,785 | | | | | | 5,595,134 | | |
Coca-Cola Consolidated, Inc. | | | | | 601 | | | | | | 236,902 | | |
Farmer Bros Co.(a) | | | | | 1,700 | | | | | | 14,297 | | |
Fresh Del Monte Produce, Inc. | | | | | 4,839 | | | | | | 155,913 | | |
Freshpet, Inc.(a) | | | | | 3,200 | | | | | | 456,608 | | |
Hershey Co. (The) | | | | | 6,400 | | | | | | 1,083,200 | | |
Hormel Foods Corp. | | | | | 19,900 | | | | | | 815,900 | | |
JM Smucker Co. (The) | | | | | 11,100 | | | | | | 1,332,333 | | |
Kimberly-Clark Corp. | | | | | 1,585 | | | | | | 209,917 | | |
Lamb Weston Holdings, Inc. | | | | | 12,900 | | | | | | 791,673 | | |
Landec Corp.(a) | | | | | 4,363 | | | | | | 40,227 | | |
McCormick & Co., Inc., NVDR | | | | | 14,500 | | | | | | 1,174,935 | | |
Medifast, Inc. | | | | | 938 | | | | | | 180,696 | | |
Molson Coors Brewing Co., Class B | | | | | 18,700 | | | | | | 867,306 | | |
Sanderson Farms, Inc. | | | | | 16,020 | | | | | | 3,014,964 | | |
USANA Health Sciences, Inc.(a) | | | | | 1,944 | | | | | | 179,237 | | |
Total Consumer Staples | | | | | 23,083,800 | | | ||||||
ENERGY – 0.5% | | ||||||||||||
Arch Resources, Inc.(a) | | | | | 473 | | | | | | 43,871 | | |
Dorian LPG Ltd. | | | | | 7,006 | | | | | | 86,945 | | |
HollyFrontier Corp. | | | | | 5,107 | | | | | | 169,195 | | |
Kosmos Energy Ltd.(a) | | | | | 645,830 | | | | | | 1,911,657 | | |
Nabors Industries Ltd.(a) | | | | | 440 | | | | | | 42,451 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
ENERGY – (continued) | | ||||||||||||
Par Pacific Holdings, Inc.(a) | | | | | 11,945 | | | | | $ | 187,775 | | |
TechnipFMC PLC(a) | | | | | 222,180 | | | | | | 1,673,015 | | |
Total Energy | | | | | 4,114,909 | | | ||||||
FINANCIALS – 4.9% | | ||||||||||||
Alleghany Corp.(a) | | | | | 2,398 | | | | | | 1,497,335 | | |
Allegiance Bancshares, Inc. | | | | | 2,268 | | | | | | 86,524 | | |
American Equity Investment Life Holding Co. | | | | | 6,764 | | | | | | 200,011 | | |
Aon PLC, Class A | | | | | 15,340 | | | | | | 4,383,712 | | |
Arthur J Gallagher & Co. | | | | | 12,200 | | | | | | 1,813,530 | | |
Banc of California, Inc. | | | | | 9,934 | | | | | | 183,680 | | |
BankUnited, Inc. | | | | | 4,402 | | | | | | 184,092 | | |
Bankwell Financial Group, Inc. | | | | | 944 | | | | | | 27,782 | | |
Banner Corp. | | | | | 4,093 | | | | | | 225,975 | | |
BCB Bancorp, Inc. | | | �� | | 1,623 | | | | | | 23,955 | | |
Blucora, Inc.(a) | | | | | 15,260 | | | | | | 237,903 | | |
Charles Schwab Corp. (The) | | | | | 9,320 | | | | | | 678,869 | | |
Chubb Ltd. | | | | | 2,436 | | | | | | 422,597 | | |
Cullen/Frost Bankers, Inc. | | | | | 8,000 | | | | | | 948,960 | | |
Customers Bancorp, Inc.(a) | | | | | 3,689 | | | | | | 158,701 | | |
Donegal Group, Inc., Class A | | | | | 4,171 | | | | | | 60,438 | | |
Elevate Credit, Inc.(a) | | | | | 13,944 | | | | | | 57,589 | | |
Employers Holdings, Inc. | | | | | 8,111 | | | | | | 320,303 | | |
Enova International, Inc.(a) | | | | | 6,478 | | | | | | 223,815 | | |
Everest Re Group Ltd. | | | | | 14,860 | | | | | | 3,726,591 | | |
EZCORP, Inc., Class A(a) | | | | | 3,640 | | | | | | 27,555 | | |
First Bancorp L.C. | | | | | 22,621 | | | | | | 297,466 | | |
First Bancorp | | | | | 2,652 | | | | | | 114,063 | | |
First Business Financial Services, Inc. | | | | | 621 | | | | | | 17,829 | | |
First Internet Bancorp | | | | | 1,142 | | | | | | 35,608 | | |
FS Bancorp, Inc. | | | | | 634 | | | | | | 21,943 | | |
Genworth Financial, Inc., Class A(a) | | | | | 54,126 | | | | | | 202,972 | | |
Greenhill & Co., Inc. | | | | | 8,307 | | | | | | 121,448 | | |
Hallmark Financial Services, Inc.(a) | | | | | 148 | | | | | | 540 | | |
Hanmi Financial Corp. | | | | | 3,917 | | | | | | 78,575 | | |
Hartford Financial Services Group, Inc. (The) | | | | | 16,279 | | | | | | 1,143,600 | | |
Hilltop Holdings, Inc. | | | | | 5,844 | | | | | | 190,923 | | |
Home Bancorp, Inc. | | | | | 283 | | | | | | 10,946 | | |
HomeStreet, Inc. | | | | | 6,413 | | | | | | 263,895 | | |
Independent Bank Corp. | | | | | 2,785 | | | | | | 212,078 | | |
Intercontinental Exchange, Inc. | | | | | 19,065 | | | | | | 2,189,043 | | |
James River Group Holdings Ltd. | | | | | 6,280 | | | | | | 236,944 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
FINANCIALS – (continued) | | ||||||||||||
Level One Bancorp, Inc. | | | | | 506 | | | | | $ | 14,887 | | |
Meridian Corp. | | | | | 905 | | | | | | 25,946 | | |
MetLife, Inc. | | | | | 18,300 | | | | | | 1,129,659 | | |
National Bank Holdings Corp., Class A | | | | | 4,816 | | | | | | 194,952 | | |
NBT Bancorp, Inc. | | | | | 612 | | | | | | 22,105 | | |
Northeast Bank | | | | | 789 | | | | | | 26,605 | | |
Northern Trust Corp. | | | | | 40,671 | | | | | | 4,384,741 | | |
Northfield Bancorp, Inc. | | | | | 4,379 | | | | | | 75,144 | | |
Northrim BanCorp, Inc. | | | | | 891 | | | | | | 37,876 | | |
Piper Sandler Cos. | | | | | 2,714 | | | | | | 375,780 | | |
Popular, Inc. | | | | | 14,100 | | | | | | 1,095,147 | | |
Preferred Bank | | | | | 2,202 | | | | | | 146,829 | | |
ProAssurance Corp. | | | | | 6,201 | | | | | | 147,460 | | |
Prosperity Bancshares, Inc. | | | | | 10,900 | | | | | | 775,317 | | |
Reinsurance Group of America, Inc. | | | | | 8,399 | | | | | | 934,473 | | |
S&T Bancorp, Inc. | | | | | 615 | | | | | | 18,124 | | |
Safety Insurance Group, Inc. | | | | | 1,023 | | | | | | 81,073 | | |
SiriusPoint Ltd.(a) | | | | | 10,370 | | | | | | 96,026 | | |
South Plains Financial, Inc. | | | | | 156 | | | | | | 3,803 | | |
Stewart Information Services Corp. | | | | | 4,060 | | | | | | 256,836 | | |
StoneX Group, Inc.(a) | | | | | 2,045 | | | | | | 134,765 | | |
SVB Financial Group(a) | | | | | 1,850 | | | | | | 1,196,728 | | |
Towne Bank | | | | | 22,578 | | | | | | 702,402 | | |
Tradeweb Markets, Inc., Class A | | | | | 17,000 | | | | | | 1,373,260 | | |
Travelers Cos., Inc. (The) | | | | | 26,638 | | | | | | 4,049,242 | | |
TrustCo Bank Corp. | | | | | 38 | | | | | | 1,215 | | |
UMB Financial Corp. | | | | | 2,510 | | | | | | 242,742 | | |
United Fire Group, Inc. | | | | | 3,334 | | | | | | 77,015 | | |
United Insurance Holdings Corp. | | | | | 4,164 | | | | | | 15,115 | | |
Universal Insurance Holdings, Inc. | | | | | 4,543 | | | | | | 59,241 | | |
Valley National Bancorp | | | | | 53,092 | | | | | | 706,655 | | |
Veritex Holdings, Inc. | | | | | 6,598 | | | | | | 259,697 | | |
Western New England Bancorp, Inc. | | | | | 1,603 | | | | | | 13,674 | | |
White Mountains Insurance Group Ltd. | | | | | 996 | | | | | | 1,065,332 | | |
WR Berkley Corp. | | | | | 15,092 | | | | | | 1,104,433 | | |
Total Financials | | | | | 41,472,089 | | | ||||||
HEALTH CARE – 6.5% | | ||||||||||||
Abcam PLC, ADR(a) | | | | | 14,000 | | | | | | 283,780 | | |
Accuray, Inc.(a) | | | | | 3,051 | | | | | | 12,051 | | |
Align Technology, Inc.(a) | | | | | 2,450 | | | | | | 1,630,304 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
HEALTH CARE – (continued) | | ||||||||||||
Allscripts Healthcare Solutions, Inc.(a) | | | | | 16,357 | | | | | $ | 218,693 | | |
Amphastar Pharmaceuticals, Inc.(a) | | | | | 7,431 | | | | | | 141,263 | | |
Baxter International, Inc. | | | | | 50,906 | | | | | | 4,094,370 | | |
Becton Dickinson and Co. | | | | | 9,209 | | | | | | 2,263,756 | | |
Bio-Rad Laboratories, Inc., Class A(a) | | | | | 1,480 | | | | | | 1,104,006 | | |
Bio-Techne Corp. | | | | | 2,350 | | | | | | 1,138,740 | | |
Bioventus, Inc., Class A(a) | | | | | 15,893 | | | | | | 225,045 | | |
Castlight Health, Inc., Class B(a) | | | | | 34,124 | | | | | | 53,575 | | |
Catalent, Inc.(a) | | | | | 7,300 | | | | | | 971,411 | | |
Cidara Therapeutics, Inc.(a) | | | | | 6,300 | | | | | | 14,112 | | |
Computer Programs & Systems, Inc.(a) | | | | | 946 | | | | | | 33,545 | | |
Cooper Cos., Inc. (The) | | | | | 2,500 | | | | | | 1,033,275 | | |
Cutera, Inc.(a) | | | | | 5,589 | | | | | | 260,447 | | |
CytomX Therapeutics, Inc.(a) | | | | | 9,941 | | | | | | 50,600 | | |
Danaher Corp. | | | | | 16,575 | | | | | | 5,046,093 | | |
DENTSPLY SIRONA, Inc. | | | | | 48,561 | | | | | | 2,818,966 | | |
Edwards Lifesciences Corp.(a) | | | | | 18,000 | | | | | | 2,037,780 | | |
Enanta Pharmaceuticals, Inc.(a) | | | | | 2,008 | | | | | | 114,075 | | |
Endo International PLC(a) | | | | | 24,159 | | | | | | 78,275 | | |
HealthStream, Inc.(a) | | | | | 6,488 | | | | | | 185,427 | | |
ICU Medical, Inc.(a) | | | | | 16,998 | | | | | | 3,966,993 | | |
Inogen, Inc.(a) | | | | | 4,393 | | | | | | 189,294 | | |
Integra LifeSciences Holdings Corp.(a) | | | | | 16,300 | | | | | | 1,116,224 | | |
Intersect ENT, Inc.(a) | | | | | 8,126 | | | | | | 221,027 | | |
Invacare Corp.(a) | | | | | 3,727 | | | | | | 17,741 | | |
Johnson & Johnson | | | | | 10,402 | | | | | | 1,679,923 | | |
Lannett Co., Inc.(a) | | | | | 18,543 | | | | | | 55,629 | | |
Maravai LifeSciences Holdings, Inc., Class A(a) | | | | | 19,150 | | | | | | 939,882 | | |
Masimo Corp.(a) | | | | | 23,145 | | | | | | 6,265,583 | | |
Moderna, Inc.(a) | | | | | 5,360 | | | | | | 2,062,850 | | |
Natus Medical, Inc.(a) | | | | | 1,298 | | | | | | 32,554 | | |
NextGen Healthcare, Inc.(a) | | | | | 11,503 | | | | | | 162,192 | | |
Orthofix Medical, Inc.(a) | | | | | 2,420 | | | | | | 92,250 | | |
Puma Biotechnology, Inc.(a) | | | | | 6,190 | | | | | | 43,392 | | |
Radius Health, Inc.(a) | | | | | 2,067 | | | | | | 25,652 | | |
Smith & Nephew PLC, ADR | | | | | 111,832 | | | | | | 3,840,311 | | |
STERIS PLC | | | | | 6,065 | | | | | | 1,238,958 | | |
Surmodics, Inc.(a) | | | | | 889 | | | | | | 49,428 | | |
Tandem Diabetes Care, Inc.(a) | | | | | 8,800 | | | | | | 1,050,544 | | |
Universal Health Services, Inc., Class B | | | | | 10,409 | | | | | | 1,440,293 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
HEALTH CARE – (continued) | | ||||||||||||
Varex Imaging Corp.(a) | | | | | 5,499 | | | | | $ | 155,072 | | |
Veeva Systems, Inc., Class A(a) | | | | | 3,700 | | | | | | 1,066,229 | | |
Waters Corp.(a) | | | | | 5,750 | | | | | | 2,054,475 | | |
Zimmer Biomet Holdings, Inc. | | | | | 23,058 | | | | | | 3,374,769 | | |
Total Health Care | | | | | 54,950,854 | | | ||||||
INDUSTRIALS – 4.7% | | ||||||||||||
3M Co. | | | | | 19,119 | | | | | | 3,353,855 | | |
AAR Corp.(a) | | | | | 2,750 | | | | | | 89,182 | | |
ABM Industries, Inc. | | | | | 8,392 | | | | | | 377,724 | | |
Aerojet Rocketdyne Holdings, Inc. | | | | | 15,289 | | | | | | 665,836 | | |
Allegiant Travel Co.(a) | | | | | 2,396 | | | | | | 468,370 | | |
AMETEK, Inc. | | | | | 16,800 | | | | | | 2,083,368 | | |
Apogee Enterprises, Inc. | | | | | 4,051 | | | | | | 152,966 | | |
ArcBest Corp. | | | | | 3,997 | | | | | | 326,835 | | |
Arcosa, Inc. | | | | | 254 | | | | | | 12,743 | | |
Argan, Inc. | | | | | 247 | | | | | | 10,786 | | |
Astec Industries, Inc. | | | | | 3,333 | | | | | | 179,349 | | |
Astronics Corp.(a) | | | | | 3,784 | | | | | | 53,203 | | |
Atlas Air Worldwide Holdings, Inc.(a) | | | | | 4,909 | | | | | | 400,967 | | |
Barrett Business Services, Inc. | | | | | 359 | | | | | | 27,377 | | |
Boise Cascade Co. | | | | | 5,406 | | | | | | 291,816 | | |
Clarivate Analytics PLC(a) | | | | | 48,900 | | | | | | 1,070,910 | | |
CoreCivic, Inc.(a) | | | | | 2,045 | | | | | | 18,201 | | |
CoStar Group, Inc.(a) | | | | | 9,500 | | | | | | 817,570 | | |
Encore Wire Corp. | | | | | 3,370 | | | | | | 319,577 | | |
Forrester Research, Inc.(a) | | | | | 1,787 | | | | | | 88,028 | | |
Fortive Corp. | | | | | 32,590 | | | | | | 2,299,876 | | |
Generac Holdings, Inc.(a) | | | | | 4,700 | | | | | | 1,920,749 | | |
Graco, Inc. | | | | | 9,500 | | | | | | 664,715 | | |
Granite Construction, Inc. | | | | | 5,535 | | | | | | 218,909 | | |
Heidrick & Struggles International, Inc. | | | | | 2,819 | | | | | | 125,812 | | |
HNI Corp. | | | | | 4,280 | | | | | | 157,162 | | |
Hub Group, Inc., Class A(a) | | | | | 3,502 | | | | | | 240,762 | | |
Hyster-Yale Materials Handling, Inc. | | | | | 444 | | | | | | 22,315 | | |
IDEX Corp. | | | | | 4,350 | | | | | | 900,232 | | |
Interface, Inc. | | | | | 4,365 | | | | | | 66,130 | | |
Kelly Services, Inc., Class A | | | | | 3,282 | | | | | | 61,964 | | |
LSI Industries, Inc. | | | | | 4,409 | | | | | | 34,170 | | |
Manitowoc Co., Inc. (The)(a) | | | | | 387 | | | | | | 8,290 | | |
ManpowerGroup, Inc. | | | | | 486 | | | | | | 52,624 | | |
Matthews International Corp., Class A | | | | | 3,831 | | | | | | 132,897 | | |
Meritor, Inc.(a) | | | | | 797 | | | | | | 16,984 | | |
Mistras Group, Inc.(a) | | | | | 1,680 | | | | | | 17,069 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
INDUSTRIALS – (continued) | | ||||||||||||
Moog, Inc., Class A | | | | | 2,894 | | | | | $ | 220,610 | | |
Mueller Water Products, Inc., Class A | | | | | 124,594 | | | | | | 1,896,321 | | |
MYR Group, Inc.(a) | | | | | 3,364 | | | | | | 334,718 | | |
Nordson Corp. | | | | | 5,500 | | | | | | 1,309,825 | | |
Northrop Grumman Corp. | | | | | 8,676 | | | | | | 3,124,661 | | |
NOW, Inc.(a) | | | | | 16,735 | | | | | | 128,023 | | |
Powell Industries, Inc. | | | | | 830 | | | | | | 20,393 | | |
Primoris Services Corp. | | | | | 205 | | | | | | 5,020 | | |
Quanex Building Products Corp. | | | | | 3,909 | | | | | | 83,692 | | |
Raytheon Technologies Corp. | | | | | 2,691 | | | | | | 231,318 | | |
Resources Connection, Inc. | | | | | 7,561 | | | | | | 119,313 | | |
REV Group, Inc. | | | | | 5,704 | | | | | | 97,881 | | |
Rockwell Automation, Inc. | | | | | 4,030 | | | | | | 1,184,981 | | |
Saia, Inc.(a) | | | | | 19,555 | | | | | | 4,654,677 | | |
Tennant Co. | | | | | 1,993 | | | | | | 147,382 | | |
Titan International, Inc.(a) | | | | | 14,804 | | | | | | 105,997 | | |
Toro Co. (The) | | | | | 15,080 | | | | | | 1,468,943 | | |
TrueBlue, Inc.(a) | | | | | 2,728 | | | | | | 73,874 | | |
Union Pacific Corp. | | | | | 24,990 | | | | | | 4,898,290 | | |
Verisk Analytics, Inc. | | | | | 4,100 | | | | | | 821,107 | | |
Veritiv Corp.(a) | | | | | 1,275 | | | | | | 114,189 | | |
Wabash National Corp. | | | | | 12,188 | | | | | | 184,404 | | |
Werner Enterprises, Inc. | | | | | 18,854 | | | | | | 834,667 | | |
Total Industrials | | | | | 39,809,609 | | | ||||||
INFORMATION TECHNOLOGY – 7.6% | | ||||||||||||
ADTRAN, Inc. | | | | | 5,874 | | | | | | 110,196 | | |
Amphenol Corp., Class A | | | | | 50,272 | | | | | | 3,681,419 | | |
Anaplan, Inc.(a) | | | | | 19,500 | | | | | | 1,187,355 | | |
Apple, Inc. | | | | | 37,515 | | | | | | 5,308,372 | | |
Arlo Technologies, Inc.(a) | | | | | 12,554 | | | | | | 80,471 | | |
Asana, Inc., Class A(a) | | | | | 23,000 | | | | | | 2,388,320 | | |
AstroNova, Inc.(a) | | | | | 1,366 | | | | | | 20,558 | | |
Avnet, Inc. | | | | | 2,034 | | | | | | 75,197 | | |
Bel Fuse, Inc., Class B | | | | | 1,352 | | | | | | 16,805 | | |
Benchmark Electronics, Inc. | | | | | 1,379 | | | | | | 36,833 | | |
BM Technologies, Inc.(a) | | | | | 1,101 | | | | | | 9,799 | | |
CalAmp Corp.(a) | | | | | 3,798 | | | | | | 37,790 | | |
Ciena Corp.(a) | | | | | 4,624 | | | | | | 237,442 | | |
CommScope Holding Co., Inc.(a) | | | | | 2,587 | | | | | | 35,157 | | |
Comtech Telecommunications Corp. | | | | | 4,771 | | | | | | 122,185 | | |
CSG Systems International, Inc. | | | | | 4,912 | | | | | | 236,758 | | |
Daktronics, Inc.(a) | | | | | 3,276 | | | | | | 17,789 | | |
Diebold Nixdorf, Inc.(a) | | | | | 2,972 | | | | | | 30,047 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
INFORMATION TECHNOLOGY – (continued) | | ||||||||||||
Entegris, Inc. | | | | | 31,340 | | | | | $ | 3,945,706 | | |
Extreme Networks, Inc.(a) | | | | | 10,652 | | | | | | 104,922 | | |
Infinera Corp.(a) | | | | | 5,003 | | | | | | 41,625 | | |
Insight Enterprises, Inc.(a) | | | | | 1,006 | | | | | | 90,620 | | |
Jack Henry & Associates, Inc. | | | | | 21,920 | | | | | | 3,596,195 | | |
Mastercard, Inc., Class A | | | | | 16,220 | | | | | | 5,639,370 | | |
Medallia, Inc.(a) | | | | | 10,165 | | | | | | 344,289 | | |
Microsoft Corp. | | | | | 19,845 | | | | | | 5,594,702 | | |
Monolithic Power Systems, Inc. | | | | | 7,920 | | | | | | 3,838,666 | | |
Motorola Solutions, Inc. | | | | | 18,240 | | | | | | 4,237,517 | | |
NeoPhotonics Corp.(a) | | | | | 2,911 | | | | | | 25,355 | | |
NETGEAR, Inc.(a) | | | | | 6,390 | | | | | | 203,905 | | |
New Relic, Inc.(a) | | | | | 7,635 | | | | | | 547,964 | | |
Nutanix, Inc., Class A(a) | | | | | 31,100 | | | | | | 1,172,470 | | |
NVIDIA Corp. | | | | | 28,780 | | | | | | 5,962,065 | | |
Okta, Inc.(a) | | | | | 5,500 | | | | | | 1,305,370 | | |
OneSpan, Inc.(a) | | | | | 5,243 | | | | | | 98,464 | | |
Palo Alto Networks, Inc.(a) | | | | | 4,200 | | | | | | 2,011,800 | | |
PC Connection, Inc. | | | | | 3,478 | | | | | | 153,136 | | |
Photronics, Inc.(a) | | | | | 13,297 | | | | | | 181,238 | | |
Plantronics, Inc.(a) | | | | | 4,600 | | | | | | 118,266 | | |
Progress Software Corp. | | | | | 3,443 | | | | | | 169,361 | | |
Pure Storage, Inc., Class A(a) | | | | | 49,620 | | | | | | 1,248,439 | | |
Sanmina Corp.(a) | | | | | 6,244 | | | | | | 240,644 | | |
ScanSource, Inc.(a) | | | | | 3,502 | | | | | | 121,835 | | |
ServiceNow, Inc.(a) | | | | | 900 | | | | | | 560,043 | | |
SMART Global Holdings, Inc.(a) | | | | | 2,339 | | | | | | 104,086 | | |
Smartsheet, Inc., Class A(a) | | | | | 10,600 | | | | | | 729,492 | | |
Super Micro Computer, Inc.(a) | | | | | 926 | | | | | | 33,864 | | |
Synopsys, Inc.(a) | | | | | 3,050 | | | | | | 913,201 | | |
Unisys Corp.(a) | | | | | 4,199 | | | | | | 105,563 | | |
Unity Software, Inc.(a) | | | | | 13,590 | | | | | | 1,715,737 | | |
Veeco Instruments, Inc.(a) | | | | | 8,135 | | | | | | 180,678 | | |
Workday, Inc., Class A(a) | | | | | 8,400 | | | | | | 2,099,076 | | |
Xerox Holdings Cop. | | | | | 1,256 | | | | | | 25,334 | | |
Zendesk, Inc.(a) | | | | | 11,800 | | | | | | 1,373,402 | | |
Zscaler, Inc.(a) | | | | | 5,800 | | | | | | 1,520,876 | | |
Total Information Technology | | | | | 63,987,769 | | | ||||||
MATERIALS – 0.7% | | ||||||||||||
AdvanSix, Inc.(a) | | | | | 2,630 | | | | | | 104,542 | | |
American Vanguard Corp. | | | | | 3,039 | | | | | | 45,737 | | |
AptarGroup, Inc. | | | | | 12,398 | | | | | | 1,479,701 | | |
Clearwater Paper Corp.(a) | | | | | 2,769 | | | | | | 106,136 | | |
GCP Applied Technologies, Inc.(a) | | | | | 9,127 | | | | | | 200,064 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
MATERIALS – (continued) | | ||||||||||||
Hawkins, Inc. | | | | | 1,552 | | | | | $ | 54,134 | | |
Olin Corp. | | | | | 3,476 | | | | | | 167,717 | | |
Rayonier Advanced Materials, Inc.(a) | | | | | 8,245 | | | | | | 61,838 | | |
Stepan Co. | | | | | 1,746 | | | | | | 197,193 | | |
SunCoke Energy, Inc. | | | | | 36,034 | | | | | | 226,294 | | |
Trinseo S.A. | | | | | 5,992 | | | | | | 323,448 | | |
Verso Corp., Class A | | | | | 1,585 | | | | | | 32,889 | | |
Wheaton Precious Metals Corp. | | | | | 87,930 | | | | | | 3,304,409 | | |
Total Materials | | | | | 6,304,102 | | | ||||||
REAL ESTATE – 1.2% | | ||||||||||||
Armada Hoffler Properties, Inc. | | | | | 8,302 | | | | | | 110,998 | | |
Boston Properties, Inc. | | | | | 1,966 | | | | | | 213,016 | | |
Community Healthcare Trust, Inc. | | | | | 4,249 | | | | | | 192,012 | | |
Cousins Properties, Inc. | | | | | 28,822 | | | | | | 1,074,772 | | |
Diversified Healthcare Trust | | | | | 34,633 | | | | | | 117,406 | | |
Equity Commonwealth(a) | | | | | 161,186 | | | | | | 4,187,612 | | |
Forestar Group, Inc.(a) | | | | | 3,895 | | | | | | 72,564 | | |
Four Corners Property Trust, Inc. | | | | | 7,881 | | | | | | 211,684 | | |
Franklin Street Properties Corp. | | | | | 10,234 | | | | | | 47,486 | | |
Healthcare Realty Trust, Inc. | | | | | 73,236 | | | | | | 2,180,968 | | |
Industrial Logistics Properties Trust | | | | | 13,981 | | | | | | 355,257 | | |
Mack-Cali Realty Corp.(a) | | | | | 5,484 | | | | | | 93,886 | | |
Monmouth Real Estate Investment Corp. | | | | | 23,794 | | | | | | 443,758 | | |
NexPoint Residential Trust, Inc. | | | | | 2,724 | | | | | | 168,561 | | |
RE/MAX Holdings, Inc., Class A | | | | | 2,485 | | | | | | 77,433 | | |
Realogy Holdings Corp.(a) | | | | | 15,458 | | | | | | 271,133 | | |
RPT Realty | | | | | 8,258 | | | | | | 105,372 | | |
Whitestone REIT | | | | | 10,078 | | | | | | 98,563 | | |
Total Real Estate | | | | | 10,022,481 | | | ||||||
UTILITIES – 1.4% | | ||||||||||||
Avista Corp. | | | | | 20,934 | | | | | | 818,938 | | |
California Water Service Group | | | | | 6,835 | | | | | | 402,786 | | |
Essential Utilities, Inc. | | | | | 13,321 | | | | | | 613,832 | | |
IDACORP, Inc. | | | | | 2,063 | | | | | | 213,273 | | |
NextEra Energy, Inc. | | | | | 54,225 | | | | | | 4,257,747 | | |
Northwest Natural Holding Co. | | | | | 6,199 | | | | | | 285,092 | | |
SJW Group | | | | | 41,032 | | | | | | 2,710,574 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
UTILITIES – (continued) | | ||||||||||||
United Utilities Group PLC, ADR | | | | | 102,775 | | | | | $ | 2,742,037 | | |
Total Utilities | | | | | 12,044,279 | | | ||||||
TOTAL COMMON STOCKS (Cost: $251,008,782) | | | | | 289,794,238 | | | ||||||
EXCHANGE-TRADED FUND – 64.6% | | ||||||||||||
Vanguard Total Stock Market ETF (Cost: $428,263,596) | | | | | 2,463,117 | | | | | | 546,959,761 | | |
SHORT-TERM INVESTMENTS – 1.3% | | ||||||||||||
State Street Institutional Treasury Money Market Fund – Investor Class Shares, 0.06%(b) (Cost: $11,106,564) | | | | | 11,106,564 | | | | | | 11,106,564 | | |
TOTAL INVESTMENTS – 100.1% (Cost: $690,378,942) | | | | | 847,860,563 | | | ||||||
OTHER ASSETS AND LIABILITIES, NET – (0.1)% | | | | | (844,884) | | | ||||||
NET ASSETS – 100.0% | | | | | | | | | | $ | 847,015,679 | | |
|
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | 289,794,238 | | | | | $ | — | | | | | $ | — | | | | | $ | 289,794,238 | | |
Exchange-Traded Fund | | | | | 546,959,761 | | | | | | — | | | | | | — | | | | | | 546,959,761 | | |
Money Market Fund | | | | | 11,106,564 | | | | | | — | | | | | | — | | | | | | 11,106,564 | | |
Total | | | | $ | 847,860,563 | | | | | $ | — | | | | | $ | — | | | | | $ | 847,860,563 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – 56.7% | | ||||||||||||
ARGENTINA – 0.5% | | ||||||||||||
MercadoLibre, Inc.(a) | | | | | 2,166 | | | | | $ | 3,637,580 | | |
AUSTRALIA – 2.0% | | ||||||||||||
Ardent Leisure Group Ltd.(a) | | | | | 266,249 | | | | | | 313,224 | | |
Atlassian Corp. PLC, Class A(a) | | | | | 8,766 | | | | | | 3,431,188 | | |
Australian Clinical Labs Ltd.(a) | | | | | 5,244 | | | | | | 17,007 | | |
Australian Vintage Ltd. | | | | | 23,052 | | | | | | 13,383 | | |
BHP Group PLC | | | | | 20,845 | | | | | | 519,526 | | |
BlueScope Steel Ltd. | | | | | 45,419 | | | | | | 658,919 | | |
Champion Iron Ltd.(a) | | | | | 27,847 | | | | | | 95,601 | | |
CSL Ltd. | | | | | 16,250 | | | | | | 3,426,755 | | |
CSR Ltd. | | | | | 23,515 | | | | | | 94,222 | | |
Data#3 Ltd. | | | | | 5,021 | | | | | | 17,289 | | |
DGL Group Ltd.(a) | | | | | 14,632 | | | | | | 30,253 | | |
Enero Group Ltd. | | | | | 4,876 | | | | | | 10,604 | | |
Hansen Technologies Ltd. | | | | | 71,436 | | | | | | 285,299 | | |
Healthia Ltd. | | | | | 9,923 | | | | | | 13,394 | | |
Incitec Pivot Ltd. | | | | | 242,158 | | | | | | 511,217 | | |
Macmahon Holdings Ltd. | | | | | 136,065 | | | | | | 19,601 | | |
Mineral Resources Ltd. | | | | | 18,006 | | | | | | 574,220 | | |
MotorCycle Holdings Ltd. | | | | | 4,504 | | | | | | 9,645 | | |
New Hope Corp. Ltd. | | | | | 84,470 | | | | | | 146,491 | | |
Nufarm Ltd.(a) | | | | | 4,508 | | | | | | 15,489 | | |
OZ Minerals Ltd. | | | | | 13,813 | | | | | | 219,936 | | |
Pact Group Holdings Ltd. | | | | | 17,018 | | | | | | 46,597 | | |
Redbubble Ltd.(a) | | | | | 303,548 | | | | | | 972,163 | | |
Ridley Corp. Ltd.(a) | | | | | 19,693 | | | | | | 18,999 | | |
Seven West Media Ltd.(a) | | | | | 288,302 | | | | | | 84,625 | | |
Sigma Healthcare Ltd. | | | | | 40,393 | | | | | | 18,134 | | |
Sonic Healthcare Ltd. | | | | | 15,588 | | | | | | 457,660 | | |
South32 Ltd. | | | | | 289,221 | | | | | | 734,120 | | |
Technology One Ltd. | | | | | 19,838 | | | | | | 161,745 | | |
Wagners Holding Co., Ltd.(a) | | | | | 12,951 | | | | | | 16,721 | | |
Whitehaven Coal Ltd.(a) | | | | | 277,752 | | | | | | 631,995 | | |
WiseTech Global Ltd. | | | | | 7,743 | | | | | | 298,322 | | |
Zimplats Holdings Ltd. | | | | | 950 | | | | | | 14,047 | | |
Total Australia | | | | | | | | | | | 13,878,391 | | |
AUSTRIA – 0.3% | | ||||||||||||
ANDRITZ AG | | | | | 11,012 | | | | | | 601,817 | | |
Erste Group Bank AG | | | | | 39,700 | | | | | | 1,733,773 | | |
Total Austria | | | | | | | | | | | 2,335,590 | | |
BELGIUM – 0.0%(b) | | ||||||||||||
Ackermans & van Haaren N.V. | | | | | 990 | | | | | | 170,512 | | |
Deceuninck N.V. | | | | | 5,252 | | | | | | 21,964 | | |
Econocom Group S.A. | | | | | 1,184 | | | | | | 4,550 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
BELGIUM – (continued) | | ||||||||||||
EVS Broadcast Equipment S.A. | | | | | 1,170 | | | | | $ | 26,161 | | |
Total Belgium | | | | | | | | | | | 223,187 | | |
BRAZIL – 1.0% | | ||||||||||||
B3 S.A. – Brasil Bolsa Balcao | | | | | 124,909 | | | | | | 292,217 | | |
Banco Bradesco S.A., ADR | | | | | 142,141 | | | | | | 544,400 | | |
Boa Vista Servicos S.A. | | | | | 345,560 | | | | | | 805,878 | | |
Cia de Saneamento Basico do Estado de Sao Paulo | | | | | 43,300 | | | | | | 306,676 | | |
Dexco S.A. | | | | | 46,619 | | ��� | | | | 145,274 | | |
Hapvida Participacoes e Investimentos S.A.(c) | | | | | 58,628 | | | | | | 146,307 | | |
Itau Unibanco Holding S.A., ADR | | | | | 179,353 | | | | | | 945,190 | | |
Klabin S.A., (Unit)(a) | | | | | 31,433 | | | | | | 139,741 | | |
Lojas Renner S.A. | | | | | 118,506 | | | | | | 749,020 | | |
Magazine Luiza S.A. | | | | | 518,877 | | | | | | 1,366,331 | | |
Pagseguro Digital Ltd., Class A(a) | | | | | 4,783 | | | | | | 247,377 | | |
Raia Drogasil S.A. | | | | | 64,014 | | | | | | 274,711 | | |
Vale S.A., ADR | | | | | 20,408 | | | | | | 284,692 | | |
WEG S.A. | | | | | 38,800 | | | | | | 282,357 | | |
YDUQS Participacoes SA | | | | | 23,685 | | | | | | 103,338 | | |
Total Brazil | | | | | | | | | | | 6,633,509 | | |
BRITAIN – 5.0% | | ||||||||||||
3i Group PLC | | | | | 29,448 | | | | | | 507,240 | | |
Anglo American PLC | | | | | 34,655 | | | | | | 1,195,420 | | |
Aptitude Software Group PLC | | | | | 3,430 | | | | | | 31,402 | | |
Ascential PLC(a) | | | | | 191,757 | | | | | | 1,059,848 | | |
Ashtead Group PLC | | | | | 43,500 | | | | | | 3,299,764 | | |
Auto Trader Group PLC(c) | | | | | 183,658 | | | | | | 1,457,049 | | |
Barclays PLC | | | | | 114,142 | | | | | | 291,106 | | |
BP PLC, ADR | | | | | 51,309 | | | | | | 1,402,275 | | |
Cerillion PLC | | | | | 7,141 | | | | | | 75,527 | | |
Close Brothers Group PLC | | | | | 73,900 | | | | | | 1,527,036 | | |
CNH Industrial N.V. | | | | | 58,913 | | | | | | 997,529 | | |
Coca-Cola European Partners PLC | | | | | 52,112 | | | | | | 2,881,273 | | |
Croda International PLC | | | | | 2,150 | | | | | | 245,520 | | |
FDM Group Holdings PLC | | | | | 37,557 | | | | | | 639,638 | | |
Ferguson PLC | | | | | 3,707 | | | | | | 513,875 | | |
Gear4Music Holdings PLC(a) | | | | | 5,112 | | | | | | 64,556 | | |
GlaxoSmithKline PLC | | | | | 109,200 | | | | | | 2,061,206 | | |
Greggs PLC | | | | | 2,313 | | | | | | 90,844 | | |
Gulf Keystone Petroleum Ltd. | | | | | 25,883 | | | | | | 70,060 | | |
Hargreaves Services PLC | | | | | 6,908 | | | | | | 40,137 | | |
Kainos Group PLC | | | | | 2,007 | | | | | | 50,081 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
BRITAIN – (continued) | | ||||||||||||
Keystone Law Group PLC | | | | | 2,569 | | | | | $ | 28,727 | | |
M&G PLC | | | | | 91,036 | | | | | | 249,149 | | |
Moneysupermarket.com Group PLC | | | | | 164,390 | | | | | | 471,793 | | |
Mortgage Advice Bureau Holdings Ltd. | | | | | 73,763 | | | | | | 1,133,026 | | |
Numis Corp. PLC | | | | | 77,538 | | | | | | 375,064 | | |
Prudential PLC | | | | | 25,107 | | | | | | 487,394 | | |
Reckitt Benckiser Group PLC | | | | | 17,200 | | | | | | 1,346,233 | | |
RELX PLC | | | | | 31,115 | | | | | | 896,655 | | |
Rentokil Initial PLC | | | | | 292,000 | | | | | | 2,287,678 | | |
Rightmove PLC | | | | | 166,434 | | | | | | 1,532,546 | | |
Rio Tinto PLC | | | | | 1,787 | | | | | | 117,989 | | |
Rio Tinto PLC, ADR | | | | | 11,500 | | | | | | 768,430 | | |
Rotork PLC | | | | | 108,225 | | | | | | 508,629 | | |
Sabre Insurance Group PLC(c) | | | | | 261,796 | | | | | | 772,509 | | |
Schroders PLC | | | | | 16,875 | | | | | | 810,470 | | |
St James’s Place PLC | | | | | 3,500 | | | | | | 70,906 | | |
Tesco PLC | | | | | 148,615 | | | | | | 504,057 | | |
Unilever PLC | | | | | 8,631 | | | | | | 466,575 | | |
Unilever PLC | | | | | 31,500 | | | | | | 1,699,029 | | |
UP Global Sourcing Holdings PLC | | | | | 4,984 | | | | | | 12,632 | | |
Victorian Plumbing Group PLC(a) | | | | | 321,844 | | | | | | 1,088,468 | | |
WPP PLC | | | | | 17,028 | | | | | | 228,808 | | |
Total Britain | | | | | | | | | | | 34,358,153 | | |
CANADA – 3.8% | | ||||||||||||
Alimentation Couche-Tard, Inc., Class B | | | | | 10,400 | | | | | | 397,903 | | |
Apollo Healthcare Corp.(a) | | | | | 8,900 | | | | | | 12,929 | | |
Bonterra Energy Corp.(a) | | | | | 2,050 | | | | | | 9,290 | | |
Brookfield Asset Management, Inc., Class A | | | | | 63,800 | | | | | | 3,418,685 | | |
BRP, Inc. | | | | | 6,080 | | | | | | 562,782 | | |
CAE, Inc.(a) | | | | | 61,473 | | | | | | 1,836,522 | | |
Cameco Corp. | | | | | 64,800 | | | | | | 1,407,939 | | |
Canadian Pacific Railway Ltd. | | | | | 52,200 | | | | | | 3,396,654 | | |
Canfor Corp.(a) | | | | | 3,200 | | | | | | 70,286 | | |
Capstone Mining Corp.(a) | | | | | 98,500 | | | | | | 383,393 | | |
Cardinal Energy Ltd.(a) | | | | | 10,800 | | | | | | 35,642 | | |
Cogeco Communications, Inc. | | | | | 3,479 | | | | | | 309,171 | | |
Cogeco, Inc. | | | | | 800 | | | | | | 56,971 | | |
Computer Modelling Group Ltd. | | | | | 118,904 | | | | | | 444,975 | | |
Crew Energy, Inc.(a) | | | | | 25,300 | | | | | | 62,121 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
CANADA – (continued) | | ||||||||||||
Descartes Systems Group, Inc. (The)(a) | | | | | 5,600 | | | | | $ | 455,835 | | |
E-L Financial Corp. Ltd. | | | | | 45 | | | | | | 33,219 | | |
Empire Co., Ltd., Class A | | | | | 2,924 | | | | | | 89,110 | | |
Gildan Activewear, Inc. | | | | | 10,800 | | | | | | 394,619 | | |
Guardian Capital Group Ltd., Class A | | | | | 1,100 | | | | | | 29,832 | | |
Intertape Polymer Group, Inc. | | | | | 2,600 | | | | | | 56,553 | | |
Lassonde Industries, Inc., Class A | | | | | 200 | | | | | | 28,686 | | |
Linamar Corp. | | | | | 1,800 | | | | | | 93,468 | | |
Lululemon Athletica, Inc.(a) | | | | | 7,850 | | | | | | 3,176,895 | | |
Magna International, Inc. | | | | | 41,300 | | | | | | 3,108,097 | | |
Martinrea International, Inc. | | | | | 10,900 | | | | | | 96,814 | | |
Melcor Developments Ltd. | | | | | 2,000 | | | | | | 23,922 | | |
Neo Performance Materials, Inc. | | | | | 3,000 | | | | | | 41,639 | | |
Pason Systems, Inc. | | | | | 124,152 | | | | | | 844,931 | | |
Peyto Exploration & Development Corp. | | | | | 9,800 | | | | | | 76,289 | | |
PFB Corp. | | | | | 700 | | | | | | 10,512 | | |
PHX Energy Services Corp. | | | | | 5,600 | | | | | | 21,134 | | |
Pine Cliff Energy Ltd.(a) | | | | | 45,000 | | | | | | 25,580 | | |
Richelieu Hardware Ltd. | | | | | 1,200 | | | | | | 39,469 | | |
Shopify, Inc., Class A(a) | | | | | 2,500 | | | | | | 3,389,450 | | |
Stelco Holdings, Inc. | | | | | 14,400 | | | | | | 422,018 | | |
Suncor Energy, Inc. | | | | | 30,778 | | | | | | 638,110 | | |
TMX Group Ltd. | | | | | 3,778 | | | | | | 407,419 | | |
Winpak Ltd. | | | | | 6,100 | | | | | | 197,217 | | |
Total Canada | | | | | | | | | | | 26,106,081 | | |
CHILE – 0.0%(b) | | ||||||||||||
Banco Santander Chile, ADR | | | | | 11,002 | | | | | | 217,510 | | |
CHINA – 3.5% | | ||||||||||||
Alibaba Group Holding Ltd.(a) | | | | | 50,288 | | | | | | 935,357 | | |
Alibaba Group Holding Ltd., ADR(a) | | | | | 4,146 | | | | | | 613,815 | | |
Anhui Gujing Distillery Co., Ltd., Class B | | | | | 5,000 | | | | | | 65,122 | | |
Autohome, Inc., ADR | | | | | 7,651 | | | | | | 359,061 | | |
Baidu, Inc., ADR(a) | | | | | 1,625 | | | | | | 249,844 | | |
Baidu, Inc., Class A(a) | | | | | 7,888 | | | | | | 151,960 | | |
Centre Testing International Group Co., Ltd., Class A | | | | | 70,800 | | | | | | 277,760 | | |
China Longyuan Power Group Corp. Ltd., Class H | | | | | 368,000 | | | | | | 899,216 | | |
China Pacific Insurance Group Co., Ltd., Class H | | | | | 106,600 | | | | | | 313,482 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
CHINA – (continued) | | ||||||||||||
ENN Energy Holdings Ltd. | | | | | 42,600 | | | | | $ | 697,611 | | |
Great Wall Motor Co., Ltd., Class H | | | | | 146,000 | | | | | | 530,668 | | |
Haitian International Holdings Ltd. | | | | | 227,000 | | | | | | 701,297 | | |
Huazhu Group Ltd., ADR(a) | | | | | 5,620 | | | | | | 257,733 | | |
Innovent Biologics, Inc.(c) | | | | | 18,000 | | | | | | 174,150 | | |
JD.com, Inc., ADR(a) | | | | | 11,388 | | | | | | 822,669 | | |
JD.com, Inc., Class A(a) | | | | | 23,472 | | | | | | 852,980 | | |
Kinetic Mines and Energy Ltd. | | | | | 182,000 | | | | | | 16,811 | | |
Li Ning Co., Ltd. | | | | | 228,500 | | | | | | 2,635,958 | | |
LONGi Green Energy Technology Co., Ltd., Class A | | | | | 20,860 | | | | | | 264,923 | | |
Midea Group Co., Ltd., Class A | | | | | 69,100 | | | | | | 744,494 | | |
PICC Property & Casualty Co., Ltd., Class H | | | | | 388,000 | | | | | | 374,367 | | |
Ping An Insurance Group Co. of China Ltd., Class H | | | | | 38,500 | | | | | | 261,243 | | |
Shenzhou International Group Holdings Ltd. | | | | | 117,900 | | | | | | 2,464,377 | | |
SITC International Holdings Co., Ltd. | | | | | 122,000 | | | | | | 434,950 | | |
Tencent Holdings Ltd. | | | | | 66,900 | | | | | | 3,922,629 | | |
Weichai Power Co., Ltd., Class A | | | | | 98,695 | | | | | | 262,157 | | |
Wuxi Biologics Cayman, Inc.(c) | | | | | 203,424 | | | | | | 3,287,996 | | |
Yum China Holdings, Inc. | | | | | 15,230 | | | | | | 885,015 | | |
Zhejiang Supor Co., Ltd., Class A | | | | | 20,661 | | | | | | 148,728 | | |
Total China | | | | | | | | | | | 23,606,373 | | |
CZECH – 0.0%(b) | | ||||||||||||
Avast PLC(c) | | | | | 27,004 | | | | | | 206,492 | | |
DENMARK – 0.1% | | ||||||||||||
Columbus A/S | | | | | 45,513 | | | | | | 66,551 | | |
North Media A/S | | | | | 518 | | | | | | 9,437 | | |
ROCKWOOL International A/S, Class B | | | | | 328 | | | | | | 140,247 | | |
Vestas Wind Systems A/S | | | | | 11,238 | | | | | | 449,931 | | |
Total Denmark | | | | | | | | | | | 666,166 | | |
EGYPT – 0.0%(b) | | ||||||||||||
Commercial International Bank Egypt SAE, GDR(a) | | | | | 49,636 | | | | | | 132,528 | | |
FINLAND – 0.6% | | ||||||||||||
Alma Media Oyj | | | | | 1,354 | | | | | | 15,494 | | |
Digia Oyj | | | | | 375 | | | | | | 2,785 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
FINLAND – (continued) | | ||||||||||||
Enento Group Oyj(c) | | | | | 17,680 | | | | | $ | 722,931 | | |
Fiskars Oyj Abp | | | | | 3,395 | | | | | | 75,269 | | |
Fortum Oyj | | | | | 22,204 | | | | | | 675,271 | | |
Kesko Oyj, Class A | | | | | 1,720 | | | | | | 53,287 | | |
Kesko Oyj, Class B | | | | | 8,270 | | | | | | 285,464 | | |
Kone Oyj, Class B | | | | | 13,313 | | | | | | 933,528 | | |
Marimekko Oyj | | | | | 466 | | | | | | 36,885 | | |
Nordea Bank Abp | | | | | 46,684 | | | | | | 599,135 | | |
Orion Oyj, Class B | | | | | 12,527 | | | | | | 495,833 | | |
Ponsse Oyj | | | | | 449 | | | | | | 20,596 | | |
Rapala VMC Oyj(a) | | | | | 2,205 | | | | | | 23,365 | | |
Scanfil Oyj | | | | | 5,613 | | | | | | 51,254 | | |
Total Finland | | | | | | | | | | | 3,991,097 | | |
FRANCE – 3.9% | | ||||||||||||
Air Liquide S.A. | | | | | 3,918 | | | | | | 626,908 | | |
Alstom S.A. | | | | | 8,999 | | | | | | 341,435 | | |
Alten S.A. | | | | | 8,253 | | | | | | 1,214,601 | | |
Amundi S.A.(c) | | | | | 22,400 | | | | | | 1,888,925 | | |
Capgemini SE | | | | | 2,809 | | | | | | 584,188 | | |
CBo Territoria | | | | | 4,714 | | | | | | 19,297 | | |
Cie de Saint-Gobain | | | | | 17,119 | | | | | | 1,153,000 | | |
Cie Generale des Etablissements Michelin SCA | | | | | 15,100 | | | | | | 2,317,408 | | |
Dassault Systemes SE | | | | | 60,400 | | | | | | 3,166,573 | | |
Engie S.A. | | | | | 42,424 | | | | | | 556,794 | | |
Haulotte Group S.A.(a) | | | | | 5,851 | | | | | | 37,972 | | |
Infotel S.A. | | | | | 299 | | | | | | 17,165 | | |
Jacquet Metal S.A. | | | | | 6,216 | | | | | | 156,673 | | |
LVMH Moet Hennessy Louis Vuitton SE | | | | | 7,480 | | | | | | 5,348,679 | | |
Manitou BF S.A. | | | | | 1,138 | | | | | | 38,147 | | |
Pernod Ricard S.A. | | | | | 11,282 | | | | | | 2,467,227 | | |
Publicis Groupe S.A. | | | | | 17,907 | | | | | | 1,205,923 | | |
Rexel S.A.(a) | | | | | 1,627 | | | | | | 31,307 | | |
Safran S.A. | | | | | 13,300 | | | | | | 1,667,555 | | |
Sanofi | | | | | 7,475 | | | | | | 719,578 | | |
Sartorius Stedim Biotech | | | | | 867 | | | | | | 483,944 | | |
Societe Generale S.A. | | | | | 25,243 | | | | | | 792,555 | | |
Somfy S.A. | | | | | 380 | | | | | | 68,772 | | |
Synergie SE | | | | | 667 | | | | | | 29,751 | | |
TOTAL S.A. | | | | | 33,400 | | | | | | 1,600,497 | | |
Vente-Unique.Com S.A. | | | | | 625 | | | | | | 11,408 | | |
Wendel SE | | | | | 373 | | | | | | 51,721 | | |
Total France | | | | | | | | | | | 26,598,003 | | |
|
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
GERMANY – 3.8% | | ||||||||||||
Ad Pepper Media International N.V.(a) | | | | | 2,199 | | | | | $ | 15,253 | | |
adidas AG | | | | | 902 | | | | | | 284,226 | | |
ADVA Optical Networking SE(a) | | | | | 3,827 | | | | | | 54,772 | | |
AP Moller – Maersk A/S, Class B | | | | | 323 | | | | | | 873,705 | | |
BASF SE | | | | | 13,231 | | | | | | 1,008,106 | | |
Bastei Luebbe AG | | | | | 1,032 | | | | | | 8,288 | | |
BioNTech SE, ADR(a) | | | | | 478 | | | | | | 130,489 | | |
Brockhaus Capital Management AG(c) | | | | | 11,357 | | | | | | 290,734 | | |
Carl Zeiss Meditec AG | | | | | 1,254 | | | | | | 241,053 | | |
Carlsberg A/S, Class B | | | | | 3,025 | | | | | | 492,093 | | |
Continental AG(a) | | | | | 2,851 | | | | | | 312,558 | | |
Deutsche Bank AG(a) | | | | | 51,955 | | | | | | 666,337 | | |
Deutsche Post AG | | | | | 18,343 | | | | | | 1,156,095 | | |
DSV PANALPINA A/S | | | | | 21,265 | | | | | | 5,076,940 | | |
Genmab A/S(a) | | | | | 2,807 | | | | | | 1,226,335 | | |
Hawesko Holding AG | | | | | 889 | | | | | | 55,274 | | |
Infineon Technologies AG | | | | | 6,999 | | | | | | 287,723 | | |
Krones AG | | | | | 336 | | | | | | 32,881 | | |
KSB SE & Co. KGaA | | | | | 32 | | | | | | 16,148 | | |
Merck KGaA | | | | | 8,186 | | | | | | 1,780,119 | | |
MTU Aero Engines AG | | | | | 1,686 | | | | | | 381,225 | | |
Mutares SE & Co. KGaA | | | | | 1,366 | | | | | | 37,798 | | |
Nemetschek SE | | | | | 28,800 | | | | | | 3,026,994 | | |
New Work SE | | | | | 3,316 | | | | | | 814,311 | | |
Novo Nordisk A/S, Class B | | | | | 20,025 | | | | | | 1,926,106 | | |
Pandora A/S | | | | | 2,226 | | | | | | 269,947 | | |
ProSiebenSat.1 Media SE | | | | | 20,301 | | | | | | 373,571 | | |
Roche Holding AG | | | | | 6,980 | | | | | | 2,547,028 | | |
Surteco Group SE | | | | | 1,111 | | | | | | 47,868 | | |
Symrise AG | | | | | 14,300 | | | | | | 1,886,490 | | |
Technotrans SE | | | | | 399 | | | | | | 12,803 | | |
Vitesco Technologies Group AG, Class A(a) | | | | | 0 | | | | | | 12 | | |
Vonovia SE | | | | | 4,437 | | | | | | 266,722 | | |
Total Germany | | | | | | | | | | | 25,600,004 | | |
GIBRALTAR – 0.0%(b) | | ||||||||||||
888 Holdings PLC | | | | | 11,183 | | | | | | 64,603 | | |
GREECE – 0.1% | | ||||||||||||
Alpha Bank AE(a) | | | | | 92,861 | | | | | | 116,377 | | |
Eurobank Ergasias S.A.(a) | | | | | 115,435 | | | | | | 108,090 | | |
Hellenic Telecommunications Organization S.A. | | | | | 8,272 | | | | | | 154,602 | | |
Total Greece | | | | | | | | | | | 379,069 | | |
|
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
HONG KONG – 1.4% | | ||||||||||||
AIA Group Ltd. | | | | | 538,700 | | | | | $ | 6,202,668 | | |
Chen Hsong Holdings | | | | | 44,000 | | | | | | 13,163 | | |
China Mengniu Dairy Co., Ltd.(a) | | | | | 106,000 | | | | | | 681,907 | | |
ESR Cayman Ltd.(c) | | | | | 208,200 | | | | | | 628,513 | | |
Guotai Junan International Holdings Ltd. | | | | | 590,000 | | | | | | 93,620 | | |
Hang Lung Properties Ltd. | | | | | 72,000 | | | | | | 163,669 | | |
Kerry Logistics Network Ltd. | | | | | 182,804 | | | | | | 390,665 | | |
Luk Fook Holdings International Ltd. | | | | | 24,000 | | | | | | 61,485 | | |
Pico Far East Holdings Ltd. | | | | | 298,000 | | | | | | 46,148 | | |
Singamas Container Holdings Ltd. | | | | | 306,000 | | | | | | 34,852 | | |
Techtronic Industries Co., Ltd. | | | | | 17,500 | | | | | | 343,060 | | |
Texhong Textile Group Ltd. | | | | | 131,500 | | | | | | 189,807 | | |
Value Partners Group Ltd. | | | | | 231,000 | | | | | | 116,210 | | |
Xinyi Glass Holdings Ltd. | | | | | 136,000 | | | | | | 403,986 | | |
Total Hong Kong | | | | | | | | | | | 9,369,753 | | |
HUNGARY – 0.1% | | ||||||||||||
OTP Bank Nyrt(a) | | | | | 10,292 | | | | | | 603,359 | | |
Richter Gedeon Nyrt | | | | | 10,555 | | | | | | 287,305 | | |
Total Hungary | | | | | | | | | | | 890,664 | | |
ICELAND – 0.2% | | ||||||||||||
Marel HF(c) | | | | | 168,747 | | | | | | 1,153,262 | | |
INDIA – 1.0% | | ||||||||||||
Cipla Ltd., GDR | | | | | 15,934 | | | | | | 211,922 | | |
Dr Reddy’s Laboratories Ltd., ADR | | | | | 2,929 | | | | | | 190,795 | | |
HDFC Bank Ltd., ADR | | | | | 27,759 | | | | | | 2,028,906 | | |
ICICI Bank Ltd., ADR | | | | | 101,468 | | | | | | 1,914,701 | | |
Infosys Ltd., ADR | | | | | 49,637 | | | | | | 1,104,423 | | |
Reliance Industries Ltd., GDR(c) | | | | | 5,478 | | | | | | 373,052 | | |
Reliance Industries Ltd., GDR(c) | | | | | 16,552 | | | | | | 1,118,842 | | |
Total India | | | | | | | | | | | 6,942,641 | | |
INDONESIA – 0.2% | | ||||||||||||
Bank Mandiri Persero Tbk PT | | | | | 1,613,700 | | | | | | 685,756 | | |
Bank Rakyat Indonesia Persero Tbk PT | | | | | 776,069 | | | | | | 206,258 | | |
Bumitama Agri Ltd. | | | | | 60,200 | | | | | | 21,693 | | |
Telkom Indonesia Persero Tbk PT, ADR | | | | | 15,580 | | | | | | 395,732 | | |
Total Indonesia | | | | | | | | | | | 1,309,439 | | |
|
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
IRELAND – 2.8% | | ||||||||||||
Accenture PLC, Class A | | | | | 21,700 | | | | | $ | 6,942,264 | | |
Experian PLC | | | | | 128,550 | | | | | | 5,340,075 | | |
Fineos Corp. Ltd.(a) | | | | | 202,277 | | | | | | 633,203 | | |
ICON PLC(a) | | | | | 14,108 | | | | | | 3,696,578 | | |
James Hardie Industries PLC | | | | | 29,148 | | | | | | 1,045,507 | | |
Medtronic PLC | | | | | 6,175 | | | | | | 774,036 | | |
Ryanair Holdings PLC, ADR(a) | | | | | 2,995 | | | | | | 329,630 | | |
Total Ireland | | | | | | | | | | | 18,761,293 | | |
ISRAEL – 0.5% | | ||||||||||||
Bank Hapoalim BM | | | | | 2,039 | | | | | | 17,901 | | |
Bank Leumi Le-Israel BM | | | | | 113,790 | | | | | | 965,907 | | |
Check Point Software Technologies Ltd.(a) | | | | | 4,523 | | | | | | 511,280 | | |
First International Bank Of Israel Ltd. | | | | | 1,742 | | | | | | 63,635 | | |
Max Stock Ltd. | | | | | 170,198 | | | | | | 610,273 | | |
Mizrahi Tefahot Bank Ltd. | | | | | 10,003 | | | | | | 336,780 | | |
Neto ME Holdings Ltd. | | | | | 160 | | | | | | 7,545 | | |
NR Spuntech Industries Ltd. | | | | | 8,850 | | | | | | 23,508 | | |
Plus500 Ltd. | | | | | 14,738 | | | | | | 274,532 | | |
ZIM Integrated Shipping Services Ltd. | | | | | 8,162 | | | | | | 413,814 | | |
Total Israel | | | | | | | | | | | 3,225,175 | | |
ITALY – 0.9% | | ||||||||||||
Cerved Group SpA(a) | | | | | 56,845 | | | | | | 672,950 | | |
DiaSorin SpA | | | | | 3,898 | | | | | | 818,106 | | |
Enel SpA | | | | | 66,689 | | | | | | 512,007 | | |
Ferrari N.V. | | | | | 13,020 | | | | | | 2,725,628 | | |
Fine Foods & Pharmaceuticals NTM | | | | | 3,315 | | | | | | 64,742 | | |
Gruppo MutuiOnline SpA | | | | | 21,885 | | | | | | 1,083,733 | | |
Hera SpA | | | | | 53,068 | | | | | | 216,765 | | |
Recordati Industria Chimica e Farmaceutica SpA | | | | | 3,003 | | | | | | 174,678 | | |
Total Italy | | | | | | | | | | | 6,268,609 | | |
JAPAN – 6.7% | | ||||||||||||
Aeon Delight Co., Ltd. | | | | | 900 | | | | | | 28,607 | | |
AEON Financial Service Co., Ltd. | | | | | 26,100 | | | | | | 333,425 | | |
AGC, Inc. | | | | | 2,700 | | | | | | 138,192 | | |
ASAHI YUKIZAI Corp. | | | | | 1,500 | | | | | | 19,868 | | |
Atled Corp. | | | | | 4,243 | | | | | | 95,119 | | |
BayCurrent Consulting, Inc. | | | | | 500 | | | | | | 251,118 | | |
Brother Industries Ltd. | | | | | 37,000 | | | | | | 814,102 | | |
Canon, Inc. | | | | | 44,200 | | | | | | 1,087,193 | | |
Capcom Co., Ltd. | | | | | 10,700 | | | | | | 297,198 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
JAPAN – (continued) | | ||||||||||||
Chiba Kogyo Bank Ltd. (The) | | | | | 12,800 | | | | | $ | 32,165 | | |
Creek & River Co., Ltd. | | | | | 1,800 | | | | | | 29,636 | | |
Daiichi Jitsugyo Co., Ltd. | | | | | 900 | | | | | | 40,075 | | |
Daiken Corp. | | | | | 3,500 | | | | | | 73,572 | | |
Daiseki Co., Ltd. | | | | | 1,100 | | | | | | 48,075 | | |
Daiwa House Industry Co., Ltd. | | | | | 18,400 | | | | | | 614,497 | | |
DeNA Co., Ltd. | | | | | 5,000 | | | | | | 92,806 | | |
Disco Corp. | | | | | 2,400 | | | | | | 671,804 | | |
FANUC Corp. | | | | | 9,700 | | | | | | 2,123,462 | | |
First Brothers Co., Ltd. | | | | | 2,000 | | | | | | 19,120 | | |
Fujitsu Ltd. | | | | | 8,500 | | | | | | 1,543,690 | | |
Funai Soken Holdings, Inc. | | | | | 3,500 | | | | | | 95,192 | | |
GLOBERIDE, Inc. | | | | | 10,000 | | | | | | 351,324 | | |
Glory Ltd. | | | | | 2,800 | | | | | | 62,400 | | |
GungHo Online Entertainment, Inc. | | | | | 4,400 | | | | | | 80,794 | | |
Himaraya Co., Ltd. | | | | | 2,700 | | | | | | 29,391 | | |
Hitachi Ltd. | | | | | 10,500 | | | | | | 622,585 | | |
I-NE Co., Ltd.(a) | | | | | 1,800 | | | | | | 79,270 | | |
I-O Data Device, Inc. | | | | | 1,500 | | | | | | 12,871 | | |
Ichikoh Industries Ltd. | | | | | 5,500 | | | | | | 29,666 | | |
Ichimasa Kamaboko Co., Ltd. | | | | | 1,600 | | | | | | 13,463 | | |
Ichiyoshi Securities Co., Ltd. | | | | | 5,300 | | | | | | 32,619 | | |
Iida Group Holdings Co., Ltd. | | | | | 21,800 | | | | | | 561,097 | | |
IMAGICA GROUP, Inc.(a) | | | | | 3,500 | | | | | | 16,380 | | |
Imura Envelope Co., Inc. | | | | | 3,300 | | | | | | 28,884 | | |
Internet Initiative Japan, Inc. | | | | | 3,500 | | | | | | 121,809 | | |
Isolite Insulating Products Co., Ltd. | | | | | 2,400 | | | | | | 17,062 | | |
IwaiCosmo Holdings, Inc. | | | | | 9,000 | | | | | | 110,538 | | |
Iwaki Co., Ltd. | | | | | 1,700 | | | | | | 14,501 | | |
JAC Recruitment Co., Ltd. | | | | | 1,800 | | | | | | 34,954 | | |
Japan Post Insurance Co. Ltd. | | | | | 900 | | | | | | 16,288 | | |
Japan Tobacco, Inc. | | | | | 9,100 | | | | | | 178,673 | | |
JUTEC Holdings Corp. | | | | | 1,000 | | | | | | 10,656 | | |
Kanamoto Co., Ltd. | | | | | 6,400 | | | | | | 150,190 | | |
KDDI Corp. | | | | | 61,700 | | | | | | 2,039,031 | | |
Keyence Corp. | | | | | 5,500 | | | | | | 3,295,518 | | |
Kobe Bussan Co., Ltd. | | | | | 9,300 | | | | | | 303,629 | | |
Konica Minolta, Inc. | | | | | 24,400 | | | | | | 131,617 | | |
Kubota Corp. | | | | | 80,500 | | | | | | 1,717,323 | | |
Kuriyama Holdings Corp. | | | | | 2,100 | | | | | | 19,116 | | |
Kyokuto Securities Co., Ltd. | | | | | 7,500 | | | | | | 54,584 | | |
Lasertec Corp. | | | | | 13,500 | | | | | | 3,066,504 | | |
Macbee Planet, Inc.(a) | | | | | 800 | | | | | | 63,933 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
JAPAN – (continued) | | ||||||||||||
Makita Corp. | | | | | 14,000 | | | | | $ | 764,002 | | |
Makiya Co., Ltd. | | | | | 1,100 | | | | | | 8,473 | | |
MarkLines Co., Ltd. | | | | | 17,400 | | | | | | 487,785 | | |
Marui Group Co., Ltd. | | | | | 74,700 | | | | | | 1,444,245 | | |
Marusan Securities Co., Ltd. | | | | | 8,000 | | | | | | 45,707 | | |
Mazda Motor Corp.(a) | | | | | 64,200 | | | | | | 559,061 | | |
Megachips Corp. | | | | | 1,200 | | | | | | 35,941 | | |
Meitec Corp. | | | | | 11,100 | | | | | | 617,359 | | |
Mercari, Inc.(a) | | | | | 16,800 | | | | | | 929,853 | | |
Mercuria Holdings Co., Ltd. | | | | | 2,100 | | | | | | 14,330 | | |
Mito Securities Co., Ltd. | | | | | 30,100 | | | | | | 81,776 | | |
Mitsubishi Electric Corp. | | | | | 56,400 | | | | | | 784,434 | | |
Mitsubishi Paper Mills Ltd.(a) | | | | | 6,100 | | | | | | 20,294 | | |
MORESCO Corp. | | | | | 1,400 | | | | | | 15,381 | | |
Morito Co., Ltd. | | | | | 1,900 | | | | | | 12,045 | | |
Nakanishi, Inc. | | | | | 19,400 | | | | | | 443,274 | | |
Natori Co., Ltd. | | | | | 1,700 | | | | | | 29,820 | | |
Nexon Co., Ltd. | | | | | 11,900 | | | | | | 191,993 | | |
NGK Insulators Ltd. | | | | | 5,500 | | | | | | 93,400 | | |
Nichias Corp. | | | | | 1,500 | | | | | | 36,563 | | |
Nidec Corp. | | | | | 19,300 | | | | | | 2,141,050 | | |
Nihon Kohden Corp. | | | | | 13,700 | | | | | | 465,716 | | |
Nikon Corp. | | | | | 10,800 | | | | | | 120,490 | | |
Nippon Coke & Engineering Co., Ltd. | | | | | 30,500 | | | | | | 38,298 | | |
Nippon Concept Corp. | | | | | 900 | | | | | | 15,613 | | |
Nippon Seisen Co., Ltd. | | | | | 600 | | | | | | 25,945 | | |
Nishimoto Co., Ltd. | | | | | 400 | | | | | | 13,207 | | |
OBIC Business Consultants Co., Ltd. | | | | | 1,400 | | | | | | 71,133 | | |
Okuwa Co., Ltd. | | | | | 2,800 | | | | | | 29,739 | | |
Olympus Corp. | | | | | 7,100 | | | | | | 155,925 | | |
Oricon, Inc. | | | | | 2,400 | | | | | | 21,824 | | |
Otsuka Holdings Co., Ltd. | | | | | 35,600 | | | | | | 1,517,582 | | |
Pan Pacific International Holdings Corp. | | | | | 117,400 | | | | | | 2,433,156 | | |
Persol Holdings Co., Ltd. | | | | | 2,700 | | | | | | 67,654 | | |
Pickles Corp. | | | | | 1,600 | | | | | | 26,381 | | |
Premium Group Co., Ltd. | | | | | 4,500 | | | | | | 140,320 | | |
Recruit Holdings Co., Ltd. | | | | | 10,100 | | | | | | 615,851 | | |
Rohm Co., Ltd. | | | | | 5,300 | | | | | | 499,291 | | |
Ryohin Keikaku Co., Ltd. | | | | | 24,800 | | | | | | 551,754 | | |
Sangetsu Corp. | | | | | 2,600 | | | | | | 35,364 | | |
Sanyo Special Steel Co., Ltd. | | | | | 2,000 | | | | | | 32,148 | | |
Seiko Epson Corp. | | | | | 34,300 | | | | | | 692,015 | | |
Shibaura Electronics Co., Ltd. | | | | | 600 | | | | | | 33,115 | | |
Shimamura Co., Ltd. | | | | | 2,300 | | | | | | 215,964 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
JAPAN – (continued) | | ||||||||||||
Shimano, Inc. | | | | | 1,900 | | | | | $ | 553,508 | | |
Shin Maint Holdings Co., Ltd. | | | | | 1,500 | | | | | | 16,839 | | |
Sigma Koki Co., Ltd. | | | | | 900 | | | | | | 14,899 | | |
SIGMAXYZ, Inc. | | | | | 3,100 | | | | | | 73,698 | | |
Soliton Systems KK | | | | | 2,400 | | | | | | 32,656 | | |
Sony Corp. | | | | | 32,600 | | | | | | 3,630,383 | | |
Sumitomo Bakelite Co., Ltd. | | | | | 1,400 | | | | | | 64,823 | | |
Sumitomo Mitsui Financial Group, Inc. | | | | | 11,800 | | | | | | 412,828 | | |
Sunday Co., Ltd. | | | | | 700 | | | | | | 8,865 | | |
Takasho Co., Ltd. | | | | | 3,100 | | | | | | 24,983 | | |
Techno Medica Co., Ltd. | | | | | 1,900 | | | | | | 29,166 | | |
Tokai Tokyo Financial Holdings, Inc. | | | | | 33,800 | | | | | | 122,970 | | |
Tokyo Electron Ltd. | | | | | 1,400 | | | | | | 617,123 | | |
Tokyo Keiki, Inc. | | | | | 2,400 | | | | | | 22,326 | | |
Transcosmos, Inc. | | | | | 2,800 | | | | | | 91,715 | | |
Trend Micro, Inc. | | | | | 500 | | | | | | 27,893 | | |
Tsugami Corp. | | | | | 2,200 | | | | | | 33,114 | | |
VisasQ, Inc.(a) | | | | | 1,000 | | | | | | 57,063 | | |
Visional, Inc.(a) | | | | | 1,600 | | | | | | 102,563 | | |
Wacom Co., Ltd. | | | | | 9,500 | | | | | | 60,681 | | |
Wantedly, Inc.(a) | | | | | 600 | | | | | | 13,320 | | |
Yamada Holdings Co., Ltd. | | | | | 92,200 | | | | | | 388,069 | | |
Yamaha Corp. | | | | | 11,100 | | | | | | 697,837 | | |
Yamaha Motor Co., Ltd. | | | | | 12,600 | | | | | | 350,844 | | |
Yonex Co., Ltd. | | | | | 5,400 | | | | | | 37,139 | | |
Zeon Corp. | | | | | 1,300 | | | | | | 18,290 | | |
Total Japan | | | | | | | | | | | 45,794,452 | | |
KAZAKHSTAN – 0.2% | | ||||||||||||
Kaspi.KZ JSC, GDR(c) | | | | | 10,647 | | | | | | 1,118,366 | | |
LUXEMBOURG – 0.3% | | ||||||||||||
ArcelorMittal S.A. | | | | | 13,173 | | | | | | 397,478 | | |
Eurofins Scientific SE | | | | | 8,935 | | | | | | 1,145,797 | | |
RTL Group S.A.(a) | | | | | 491 | | | | | | 29,351 | | |
Ternium S.A., ADR | | | | | 3,168 | | | | | | 134,007 | | |
Total Luxembourg | | | | | | | | | | | 1,706,633 | | |
MACAU – 0.0%(b) | | ||||||||||||
HAL Trust | | | | | 1 | | | | | | 176 | | |
MALAYSIA – 0.2% | | ||||||||||||
CIMB Group Holdings Bhd | | | | | 156,300 | | | | | | 178,080 | | |
Heineken Malaysia Bhd | | | | | 158,702 | | | | | | 875,676 | | |
Lynas Rare Earths Ltd.(a) | | | | | 96,757 | | | | | | 467,718 | | |
Total Malaysia | | | | | | | | | | | 1,521,474 | | |
|
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
MEXICO – 0.4% | | ||||||||||||
Arca Continental S.A.B. de C.V. | | | | | 83,300 | | | | | $ | 507,189 | | |
Cemex S.A.B. de C.V., (Unit), Series CPO(a) | | | | | 179,244 | | | | | | 129,473 | | |
Corp. Moctezuma S.A.B. de C.V., Series* | | | | | 144,930 | | | | | | 490,578 | | |
Fomento Economico Mexicano S.A.B. de C.V., ADR | | | | | 4,069 | | | | | | 352,864 | | |
Grupo Financiero Banorte S.A.B. de C.V., Class O | | | | | 160,015 | | | | | | 1,025,525 | | |
Total Mexico | | | | | | | | | | | 2,505,629 | | |
NETHERLANDS – 2.5% | | ||||||||||||
Adyen N.V.(c) | | | | | 930 | | | | | | 2,585,921 | | |
Akzo Nobel N.V. | | | | | 22,935 | | | | | | 2,497,411 | | |
ASML Holding N.V. | | | | | 3,305 | | | | | | 2,438,007 | | |
ASML Holding N.V. | | | | | 5,350 | | | | | | 3,986,339 | | |
Heineken N.V. | | | | | 19,500 | | | | | | 2,027,078 | | |
Koninklijke DSM N.V. | | | | | 2,814 | | | | | | 562,459 | | |
Nedap N.V. | | | | | 450 | | | | | | 30,373 | | |
Ordina N.V. | | | | | 42,586 | | | | | | 162,002 | | |
Randstad N.V. | | | | | 11,668 | | | | | | 779,778 | | |
Royal Dutch Shell PLC, Class A | | | | | 7,357 | | | | | | 163,856 | | |
Wolters Kluwer N.V. | | | | | 13,666 | | | | | | 1,444,535 | | |
Total Netherlands | | | | | | | | | | | 16,677,759 | | |
NEW ZEALAND – 0.1% | | ||||||||||||
Eroad Ltd.(a) | | | | | 4,854 | | | | | | 19,253 | | |
Fletcher Building Ltd. | | | | | 68,140 | | | | | | 336,072 | | |
New Zealand Refining Co., Ltd. (The)(a) | | | | | 101,742 | | | | | | 62,428 | | |
NZME Ltd. | | | | | 15,783 | | | | | | 11,160 | | |
NZX Ltd. | | | | | 16,197 | | | | | | 18,937 | | |
Tourism Holdings Ltd.(a) | | | | | 10,954 | | | | | | 19,542 | | |
Total New Zealand | | | | | | | | | | | 467,392 | | |
NORWAY – 0.3% | | ||||||||||||
2020 Bulkers Ltd. | | | | | 2,370 | | | | | | 35,898 | | |
Bouvet ASA | | | | | 148,498 | | | | | | 1,003,944 | | |
Equinor ASA | | | | | 30,243 | | | | | | 770,694 | | |
Pareto Bank ASA | | | | | 4,528 | | | | | | 28,067 | | |
Stolt-Nielsen Ltd. | | | | | 1,217 | | | | | | 17,053 | | |
Telenor ASA | | | | | 22,847 | | | | | | 383,748 | | |
Total Norway | | | | | | | | | | | 2,239,404 | | |
PERU – 0.2% | | ||||||||||||
Credicorp Ltd. | | | | | 14,200 | | | | | | 1,575,348 | | |
|
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
POLAND – 0.1% | | ||||||||||||
KGHM Polska Miedz S.A. | | | | | 2,258 | | | | | $ | 89,393 | | |
Powszechna Kasa Oszczednosci Bank Polski S.A.(a) | | | | | 26,472 | | | | | | 280,878 | | |
Total Poland | | | | | | | | | | | 370,271 | | |
PORTUGAL – 0.1% | | ||||||||||||
CTT-Correios de Portugal S.A. | | | | | 7,661 | | | | | | 40,911 | | |
Galp Energia SGPS S.A. | | | | | 40,127 | | | | | | 454,436 | | |
Total Portugal | | | | | | | | | | | 495,347 | | |
RUSSIA – 0.9% | | ||||||||||||
Evraz PLC | | | | | 69,018 | | | | | | 550,683 | | |
HeadHunter Group PLC, ADR | | | | | 45,036 | | | | | | 2,197,757 | | |
LUKOIL PJSC, ADR | | | | | 5,578 | | | | | | 528,014 | | |
Magnit PJSC, GDR | | | | | 16,284 | | | | | | 274,385 | | |
Novatek PJSC, GDR | | | | | 3,006 | | | | | | 793,885 | | |
Polyus PJSC, GDR | | | | | 1,978 | | | | | | 161,871 | | |
Polyus PJSC, GDR | | | | | 9 | | | | | | 740 | | |
Rosneft Oil Co. PJSC, GDR | | | | | 63,956 | | | | | | 540,428 | | |
Sberbank of Russia PJSC, ADR | | | | | 39,852 | | | | | | 740,459 | | |
Sberbank of Russia PJSC, ADR | | | | | 3,973 | | | | | | 74,494 | | |
X5 Retail Group N.V., GDR | | | | | 3,875 | | | | | | 125,821 | | |
Yandex N.V., Class A(a) | | | | | 5,102 | | | | | | 406,578 | | |
Total Russia | | | | | | | | | | | 6,395,115 | | |
SINGAPORE – 0.5% | | ||||||||||||
DBS Group Holdings Ltd. | | | | | 102,800 | | | | | | 2,282,767 | | |
Great Eastern Holdings Ltd. | | | | | 900 | | | | | | 14,116 | | |
Haw Par Corp. Ltd. | | | | | 137,000 | | | | | | 1,164,369 | | |
HRnetgroup Ltd. | | | | | 69,700 | | | | | | 39,451 | | |
IGG, Inc. | | | | | 94,000 | | | | | | 88,084 | | |
Propnex Ltd. | | | | | 60,300 | | | | | | 75,653 | | |
Raffles Medical Group Ltd. | | | | | 16,900 | | | | | | 18,024 | | |
Total Singapore | | | | | | | | | | | 3,682,464 | | |
SOUTH AFRICA – 0.4% | | ||||||||||||
Aspen Pharmacare Holdings Ltd. | | | | | 14,501 | | | | | | 260,728 | | |
AVI Ltd. | | | | | 22,491 | | | | | | 127,763 | | |
Bid Corp. Ltd.(a) | | | | | 7,064 | | | | | | 151,919 | | |
FirstRand Ltd. | | | | | 214,954 | | | | | | 911,653 | | |
Foschini Group Ltd. (The)(a) | | | | | 16,101 | | | | | | 145,623 | | |
Gold Fields Ltd. | | | | | 31,134 | | | | | | 253,579 | | |
Impala Platinum Holdings Ltd. | | | | | 27,512 | | | | | | 307,811 | | |
Mr Price Group Ltd. | | | | | 21,167 | | | | | | 282,757 | | |
Nedbank Group Ltd. | | | | | 11,504 | | | | | | 132,779 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
SOUTH AFRICA – (continued) | | ||||||||||||
Shoprite Holdings Ltd. | | | | | 19,663 | | | | | $ | 232,842 | | |
Total South Africa | | | | | | | | | | | 2,807,454 | | |
SOUTH KOREA – 1.8% | | ||||||||||||
Hana Financial Group, Inc. | | | | | 9,080 | | | | | | 350,477 | | |
KB Financial Group, Inc. | | | | | 11,386 | | | | | | 529,427 | | |
Kia Motors Corp. | | | | | 4,221 | | | | | | 285,194 | | |
Korea Zinc Co., Ltd. | | | | | 646 | | | | | | 271,600 | | |
LG Chem Ltd. | | | | | 979 | | | | | | 639,481 | | |
LG Household & Health Care Ltd. | | | | | 472 | | | | | | 530,552 | | |
LG Uplus Corp. | | | | | 20,702 | | | | | | 259,910 | | |
NAVER Corp. | | | | | 2,093 | | | | | | 681,992 | | |
Osstem Implant Co., Ltd. | | | | | 2,418 | | | | | | 270,907 | | |
S-1 Corp. | | | | | 11,571 | | | | | | 817,006 | | |
Samsung Electronics Co., Ltd. | | | | | 46,793 | | | | | | 2,912,340 | | |
Samsung Electronics Co., Ltd., GDR | | | | | 1,864 | | | | | | 2,897,457 | | |
Samsung Fire & Marine Insurance Co., Ltd. | | | | | 1,559 | | | | | | 307,617 | | |
Samsung SDI Co., Ltd. | | | | | 1,124 | | | | | | 676,155 | | |
SK Hynix, Inc. | | | | | 11,587 | | | | | | 999,153 | | |
Total South Korea | | | | | | | | | | | 12,429,268 | | |
SPAIN – 0.3% | | ||||||||||||
Abertis Infraestructuras S.A.(a) | | | | | 3,711 | | | | | | 12,896 | | |
Amadeus IT Group S.A.(a) | | | | | 32,775 | | | | | | 2,153,072 | | |
Naturhouse Health SAU | | | | | 7,581 | | | | | | 17,371 | | |
Total Spain | | | | | | | | | | | 2,183,339 | | |
SWEDEN – 1.7% | | ||||||||||||
Assa Abloy AB, Class B | | | | | 60,300 | | | | | | 1,748,411 | | |
Atlas Copco AB, Class A | | | | | 43,100 | | | | | | 2,614,459 | | |
Betsson AB, Class B(a) | | | | | 14,579 | | | | | | 120,944 | | |
BTS Group AB, Class B | | | | | 13,747 | | | | | | 570,018 | | |
Doro AB(a) | | | | | 2,049 | | | | | | 14,760 | | |
Elanders AB, Class B | | | | | 6,002 | | | | | | 100,155 | | |
Evolution Gaming Group AB(c) | | | | | 13,400 | | | | | | 2,036,914 | | |
Ferronordic AB | | | | | 5,332 | | | | | | 144,023 | | |
FM Mattsson Mora Group AB | | | | | 1,574 | | | | | | 44,588 | | |
G5 Entertainment AB | | | | | 481 | | | | | | 21,859 | | |
Getinge AB, Class B | | | | | 22,707 | | | | | | 902,975 | | |
GHP Specialty Care AB | | | | | 4,242 | | | | | | 12,399 | | |
Husqvarna AB, Class B | | | | | 895 | | | | | | 10,677 | | |
Inwido AB | | | | | 6,669 | | | | | | 111,453 | | |
Karnov Group AB | | | | | 49,672 | | | | | | 303,556 | | |
Kinnevik AB, Class B(a) | | | | | 10,954 | | | | | | 386,225 | | |
New Wave Group AB, Class B(a) | | | | | 9,514 | | | | | | 142,037 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
SWEDEN – (continued) | | ||||||||||||
Nordnet AB publ | | | | | 52,174 | | | | | $ | 938,064 | | |
Ratos AB, Class A | | | | | 2,265 | | | | | | 14,211 | | |
Sandvik AB | | | | | 18,316 | | | | | | 418,010 | | |
VNV Global AB(a) | | | | | 59,002 | | | | | | 708,342 | | |
Total Sweden | | | | | | | | | | | 11,364,080 | | |
SWITZERLAND – 3.8% | | ||||||||||||
ABB Ltd. | | | | | 26,433 | | | | | | 881,069 | | |
Adecco Group AG | | | | | 4,462 | | | | | | 223,461 | | |
Alcon, Inc. | | | | | 67,021 | | | | | | 5,429,346 | | |
Burkhalter Holding AG | | | | | 263 | | | | | | 18,634 | | |
Cie Financiere Richemont S.A. | | | | | 2,549 | | | | | | 262,836 | | |
Geberit AG | | | | | 1,645 | | | | | | 1,208,684 | | |
Glencore PLC(a) | | | | | 91,767 | | | | | | 433,376 | | |
Kuehne + Nagel International AG | | | | | 3,665 | | | | | | 1,245,358 | | |
Logitech International S.A. | | | | | 6,701 | | | | | | 593,467 | | |
Lonza Group AG | | | | | 3,900 | | | | | | 2,921,845 | | |
Nestle S.A. | | | | | 21,819 | | | | | | 2,625,238 | | |
Novartis AG | | | | | 17,700 | | | | | | 1,452,112 | | |
Rieter Holding AG(a) | | | | | 266 | | | | | | 57,968 | | |
Sika AG | | | | | 9,750 | | | | | | 3,083,876 | | |
Sonova Holding AG | | | | | 2,206 | | | | | | 831,990 | | |
STMicroelectronics N.V. | | | | | 22,100 | | | | | | 963,504 | | |
Straumann Holding AG | | | | | 678 | | | | | | 1,213,285 | | |
Swatch Group AG (The) | | | | | 3,412 | | | | | | 894,410 | | |
UBS Group AG | | | | | 71,788 | | | | | | 1,147,171 | | |
Zehnder Group AG | | | | | 1,028 | | | | | | 108,745 | | |
Total Switzerland | | | | | | | | | | | 25,596,375 | | |
TAIWAN – 1.9% | | ||||||||||||
Accton Technology Corp. | | | | | 27,000 | | | | | | 253,852 | | |
ASE Technology Holding Co., Ltd. | | | | | 71,000 | | | | | | 276,379 | | |
ASE Technology Holding Co., Ltd., ADR | | | | | 34,988 | | | | | | 274,656 | | |
CTBC Financial Holding Co., Ltd. | | | | | 356,000 | | | | | | 290,296 | | |
Hon Hai Precision Industry Co., Ltd. | | | | | 186,000 | | | | | | 695,115 | | |
Hon Hai Precision Industry Co., Ltd., GDR | | | | | 11,031 | | | | | | 83,284 | | |
Kerry TJ Logistics Co., Ltd. | | | | | 363,000 | | | | | | 605,206 | | |
Lumax International Corp. Ltd. | | | | | 119,000 | | | | | | 295,146 | | |
MediaTek, Inc. | | | | | 40,000 | | | | | | 1,289,332 | | |
Sea Ltd., ADR(a) | | | | | 608 | | | | | | 193,788 | | |
Taiwan Semiconductor Manufacturing Co., Ltd. | | | | | 150,000 | | | | | | 3,093,157 | | |
Investments | | | Shares | | | Value | | ||||||
COMMON STOCKS – (continued) | | ||||||||||||
TAIWAN – (continued) | | ||||||||||||
Taiwan Semiconductor Manufacturing Co., Ltd., ADR | | | | | 41,831 | | | | | $ | 4,670,431 | | |
Uni-President Enterprises Corp. | | | | | 88,000 | | | | | | 214,019 | | |
Voltronic Power Technology Corp. | | | | | 9,000 | | | | | | 552,395 | | |
Total Taiwan | | | | | | | | | | | 12,787,056 | | |
THAILAND – 0.1% | | ||||||||||||
Kasikornbank PCL, NVDR | | | | | 102,200 | | | | | | 403,242 | | |
TURKEY – 0.0%(b) | | ||||||||||||
BIM Birlesik Magazalar A/S | | | | | 20,303 | | | | | | 145,933 | | |
KOC Holding A/S | | | | | 32,073 | | | | | | 81,413 | | |
Total Turkey | | | | | | | | | | | 227,346 | | |
UNITED ARAB EMIRATES – 0.1% | | ||||||||||||
Emaar Properties PJSC | | | | | 314,465 | | | | | | 348,891 | | |
UNITED STATES – 2.4% | | ||||||||||||
Aon PLC, Class A | | | | | 10,613 | | | | | | 3,032,877 | | |
Baltic Classifieds Group(a) | | | | | 452,845 | �� | | | | | 1,198,971 | | |
Carnival PLC(a) | | | | | 32,800 | | | | | | 741,630 | | |
EPAM Systems, Inc.(a) | | | | | 4,650 | | | | | | 2,652,732 | | |
Hamilton Thorne Ltd.(a) | | | | | 9,700 | | | | | | 13,862 | | |
Mettler-Toledo International, Inc.(a) | | | | | 2,000 | | | | | | 2,754,720 | | |
ResMed, Inc. | | | | | 14,900 | | | | | | 3,926,895 | | |
STERIS PLC | | | | | 10,950 | | | | | | 2,236,866 | | |
Total United States | | | | | | | | | | | 16,558,553 | | |
TOTAL COMMON STOCKS (Cost: $338,389,146) | | | | | | | | | | | 385,810,606 | | |
EXCHANGE-TRADED FUNDS – 38.2% | | ||||||||||||
iShares Core MSCI Total International Stock ETF (Cost: $232,300,189) | | | | | 3,663,093 | | | | | | 260,079,603 | | |
MUTUAL FUNDS – 3.5% | | ||||||||||||
Artisan International Small-Mid Fund (Cost: $23,500,000) | | | | | 1,114,781 | | | | | | 23,923,208 | | |
RIGHTS – 0.0%(b) | | ||||||||||||
AUSTRALIA – 0.0%(b) | | ||||||||||||
Healthia Ltd.(a) | | | | | 2,307 | | | | | | 117 | | |
GERMANY – 0.0%(b) | | ||||||||||||
Mutares SE & Co. KgaA(a) | | | | | 1,366 | | | | | | 2,326 | | |
TOTAL RIGHTS | | | | | | | | | | | 2,443 | | |
|
Investments | | | Shares | | | Value | | ||||||
PREFERRED STOCKS – 0.1% | | ||||||||||||
Brazil – 0.0%(b) | | ||||||||||||
Gerdau S.A., 0.30% | | | | | 47,761 | | | | | $ | 237,676 | | |
GERMANY – 0.1% | | ||||||||||||
Jungheinrich AG, (Preference Shares) | | | | | 844 | | | | | | 39,237 | | |
Volkswagen AG, 3.53% | | | | | 2,528 | | | | | | 566,309 | | |
Total Germany | | | | | | | | | | | 605,546 | | |
TOTAL PREFERRED STOCKS (Cost: $725,616) | | | | | | | | | | | 843,222 | | |
SHORT-TERM INVESTMENTS – 1.4% | | ||||||||||||
State Street Institutional Treasury Money Market Fund – Investor Class Shares, 0.06%(d) (Cost $9,559,117) | | | | | 9,559,117 | | | | | | 9,559,117 | | |
TOTAL INVESTMENTS – 99.9% | | ||||||||||||
(Cost: $604,474,068) | | | | | | | | | | | 680,218,199 | | |
OTHER ASSETS AND LIABILITIES, NET – 0.1% | | | | | | | | | | | 574,008 | | |
NET ASSETS – 100.0% | | | | | | | | | | $ | 680,792,207 | | |
|
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | | | | | | | | | | |
Argentina | | | | $ | 3,637,580 | | | | | $ | — | | | | | $ | — | | | | | $ | 3,637,580 | | |
Australia | | | | | 4,403,351 | | | | | | 9,475,040 | | | | | | — | | | | | | 13,878,391 | | |
Austria | | | | | — | | | | | | 2,335,590 | | | | | | — | | | | | | 2,335,590 | | |
Belgium | | | | | — | | | | | | 223,187 | | | | | | — | | | | | | 223,187 | | |
Brazil | | | | | 6,633,509 | | | | | | — | | | | | | — | | | | | | 6,633,509 | | |
Britain | | | | | 14,090,548 | | | | | | 20,267,605 | | | | | | — | | | | | | 34,358,153 | | |
Canada | | | | | 26,106,081 | | | | | | — | | | | | | — | | | | | | 26,106,081 | | |
Chile | | | | | 217,510 | | | | | | — | | | | | | — | | | | | | 217,510 | | |
China | | | | | 3,954,556 | | | | | | 19,651,817 | | | | | | — | | | | | | 23,606,373 | | |
Czech Republic | | | | | — | | | | | | 206,492 | | | | | | — | | | | | | 206,492 | | |
Denmark | | | | | — | | | | | | 666,166 | | | | | | — | | | | | | 666,166 | | |
Egypt | | | | | 132,528 | | | | | | — | | | | | | — | | | | | | 132,528 | | |
Finland | | | | | 722,931 | | | | | | 3,268,166 | | | | | | — | | | | | | 3,991,097 | | |
France | | | | | — | | | | | | 26,598,003 | | | | | | — | | | | | | 26,598,003 | | |
Germany | | | | | 1,235,546 | | | | | | 24,364,458 | | | | | | — | | | | | | 25,600,004 | | |
Gibraltar | | | | | — | | | | | | 64,603 | | | | | | — | | | | | | 64,603 | | |
Greece | | | | | — | | | | | | 379,069 | | | | | | — | | | | | | 379,069 | | |
Hong Kong | | | | | — | | | | | | 9,369,753 | | | | | | — | | | | | | 9,369,753 | | |
Hungary | | | | | — | | | | | | 890,664 | | | | | | — | | | | | | 890,664 | | |
Iceland | | | | | 1,153,262 | | | | | | — | | | | | | — | | | | | | 1,153,262 | | |
India | | | | | 5,823,799 | | | | | | 1,118,842 | | | | | | — | | | | | | 6,942,641 | | |
Indonesia | | | | | 395,732 | | | | | | 913,707 | | | | | | — | | | | | | 1,309,439 | | |
Ireland | | | | | 12,375,711 | | | | | | 6,385,582 | | | | | | — | | | | | | 18,761,293 | | |
Israel | | | | | 1,535,367 | | | | | | 1,689,808 | | | | | | — | | | | | | 3,225,175 | | |
Italy | | | | | 1,756,683 | | | | | | 4,511,926 | | | | | | — | | | | | | 6,268,609 | | |
Japan | | | | | 2,573,390 | | | | | | 43,221,062 | | | | | | — | | | | | | 45,794,452 | | |
Kazakhstan | | | | | — | | | | | | 1,118,366 | | | | | | — | | | | | | 1,118,366 | | |
Luxembourg | | | | | 134,007 | | | | | | 1,572,626 | | | | | | — | | | | | | 1,706,633 | | |
Macau | | | | | — | | | | | | 176 | | | | | | — | | | | | | 176 | | |
Malaysia | | | | | 875,676 | | | | | | 645,798 | | | | | | — | | | | | | 1,521,474 | | |
Mexico | | | | | 2,505,629 | | | | | | — | | | | | | — | | | | | | 2,505,629 | | |
Netherlands | | | | | 3,986,339 | | | | | | 12,691,420 | | | | | | — | | | | | | 16,677,759 | | |
New Zealand | | | | | — | | | | | | 467,392 | | | | | | — | | | | | | 467,392 | | |
Norway | | | | | 1,003,944 | | | | | | 1,235,460 | | | | | | — | | | | | | 2,239,404 | | |
Peru | | | | | 1,575,348 | | | | | | — | | | | | | — | | | | | | 1,575,348 | | |
Poland | | | ��� | | — | | | | | | 370,271 | | | | | | — | | | | | | 370,271 | | |
Portugal | | | | | — | | | | | | 495,347 | | | | | | — | | | | | | 495,347 | | |
Russia | | | | | 4,942,102 | | | | | | 1,453,013 | | | | | | — | | | | | | 6,395,115 | | |
Singapore | | | | | 1,164,369 | | | | | | 2,518,095 | | | | | | — | | | | | | 3,682,464 | | |
South Africa | | | | | — | | | | | | 2,807,454 | | | | | | — | | | | | | 2,807,454 | | |
South Korea | | | | | 817,006 | | | | | | 11,612,262 | | | | | | — | | | | | | 12,429,268 | | |
Spain | | | | | — | | | | | | 2,183,339 | | | | | | — | | | | | | 2,183,339 | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Sweden | | | | | 2,519,980 | | | | | | 8,844,100 | | | | | | — | | | | | | 11,364,080 | | |
Switzerland | | | | | — | | | | | | 25,596,375 | | | | | | — | | | | | | 25,596,375 | | |
Taiwan | | | | | 6,674,906 | | | | | | 6,112,150 | | | | | | — | | | | | | 12,787,056 | | |
Thailand | | | | | 403,242 | | | | | | — | | | | | | — | | | | | | 403,242 | | |
Turkey | | | | | — | | | | | | 227,346 | | | | | | — | | | | | | 227,346 | | |
United Arab Emirates | | ��� | | | — | | | | | | 348,891 | | | | | | — | | | | | | 348,891 | | |
United States | | | | | 15,816,923 | | | | | | 741,630 | | | | | | — | | | | | | 16,558,553 | | |
Total Common Stocks | | | | | 129,167,555 | | | | | | 256,643,051 | | | | | | — | | | | | | 385,810,606 | | |
Exchange-Traded Funds | | | | | 260,079,603 | | | | | | — | | | | | | — | | | | | | 260,079,603 | | |
Mutual Funds | | | | | 23,923,208 | | | | | | — | | | | | | — | | | | | | 23,923,208 | | |
Rights* | | | | | — | | | | | | 2,443 | | | | | | — | | | | | | 2,443 | | |
Preferred Stocks* | | | | | 237,676 | | | | | | 605,546 | | | | | | — | | | | | | 843,222 | | |
Money Market Fund | | | | | 9,559,117 | | | | | | — | | | | | | — | | | | | | 9,559,117 | | |
Total Investments in Securities | | | | $ | 422,967,159 | | | | | $ | 257,251,040 | | | | | $ | — | | | | | $ | 680,218,199 | | |
|
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – 25.7% | | ||||||||||||
BASIC MATERIALS – 0.8% | | ||||||||||||
Celanese US Holdings LLC, 1.40%, 8/5/26 | | | | $ | 47,000 | | | | | $$ | 46,661 | | |
CF Industries, Inc., 5.38%, 3/15/44 | | | | | 59,000 | | | | | | 74,891 | | |
CNAC HK Finbridge Co., Ltd., 3.50%, 7/19/22(a) | | | | | 340,000 | | | | | | 346,259 | | |
Domtar Corp., 6.75%, 2/15/44 | | | | | 185,000 | | | | | | 194,783 | | |
Ecolab, Inc., 2.75%, 8/18/55(b) | | | | | 434,000 | | | | | | 417,005 | | |
Georgia-Pacific LLC, 0.95%, 5/15/26(b) | | | | | 356,000 | | | | | | 351,435 | | |
Glencore Funding LLC, 2.63%, 9/23/31(b) | | | | | 136,000 | | | | | | 133,185 | | |
International Flavors & Fragrances, Inc., 2.30%, 11/1/30(b) | | | | | 1,000,000 | | | | | | 991,468 | | |
International Paper Co., Senior Bond, 4.35%, 8/15/48 | | | | | 532,000 | | | | | | 651,198 | | |
Inversiones CMPC S.A., 3.00%, 4/6/31(b) | | | | | 200,000 | | | | | | 198,530 | | |
Inversiones CMPC S.A., 4.38%, 4/4/27(b) | | | | | 500,000 | | | | | | 551,750 | | |
LYB International Finance III LLC, 4.20%, 5/1/50 | | | | | 330,000 | | | | | | 375,856 | | |
Newmont Corp., 2.25%, 10/1/30 | | | | | 1,475,000 | | | | | | 1,467,238 | | |
RPM International, Inc., 4.55%, 3/1/29 | | | | | 113,000 | | | | | | 129,105 | | |
SASOL Financing USA LLC, 5.88%, 3/27/24 | | | | | 200,000 | | | | | | 210,800 | | |
Southern Copper Corp., Senior Bond, 5.25%, 11/8/42 | | | | | 100,000 | | | | | | 124,250 | | |
Westlake Chemical Corp., 3.38%, 8/15/61 | | | | | 97,000 | | | | | | 91,228 | | |
Total Basic Materials | | | | | | | | | | | 6,355,642 | | |
COMMUNICATIONS – 2.0% | | ||||||||||||
Amazon.com, Inc., 2.88%, 5/12/41 | | | | | 440,000 | | | | | | 453,825 | | |
AT&T, Inc., 3.50%, 9/15/53 | | | | | 1,305,000 | | | | | | 1,291,585 | | |
AT&T, Inc., 3.55%, 9/15/55 | | | | | 27,000 | | | | | | 26,626 | | |
AT&T, Inc., 3.65%, 9/15/59 | | | | | 28,000 | | | | | | 27,914 | | |
AT&T, Inc., 4.30%, 2/15/30 | | | | | 25,000 | | | | | | 28,689 | | |
AT&T, Inc., 4.85%, 7/15/45 | | | | | 205,000 | | | | | | 248,162 | | |
AT&T, Inc., Senior Bond, 4.50%, 5/15/35 | | | | | 79,000 | | | | | | 92,481 | | |
AT&T, Inc., Senior Bond, 4.75%, 5/15/46 | | | | | 181,000 | | | | | | 216,503 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
COMMUNICATIONS – (continued) | | ||||||||||||
AT&T, Inc., Senior Bond, 4.90%, 8/15/37 | | | | $ | 112,000 | | | | | $ | 135,920 | | |
Charter Communications Operating LLC/Charter Communications Operating Capital, 3.50%, 6/1/41 | | | | | 33,000 | | | | | | 32,404 | | |
Charter Communications Operating LLC/Charter Communications Operating Capital, 3.85%, 4/1/61 | | | | | 32,000 | | | | | | 30,518 | | |
Charter Communications Operating LLC/Charter Communications Operating Capital, 3.50%, 3/1/42 | | | | | 430,000 | | | | | | 420,721 | | |
Charter Communications Operating LLC/Charter Communications Operating Capital, 3.70%, 4/1/51 | | | | | 230,000 | | | | | | 223,933 | | |
Charter Communications Operating LLC/Charter Communications Operating Capital, 4.80%, 3/1/50 | | | | | 310,000 | | | | | | 347,884 | | |
Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Bond, 5.38%, 4/1/38 | | | | | 20,000 | | | | | | 24,134 | | |
Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Bond, 5.38%, 5/1/47 | | | | | 400,000 | | | | | | 478,918 | | |
Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Bond, 6.38%, 10/23/35 | | | | | 552,000 | | | | | | 725,823 | | |
Comcast Corp., 3.30%, 2/1/27 | | | | | 102,000 | | | | | | 111,314 | | |
Comcast Corp., 3.90%, 3/1/38 | | | | | 43,000 | | | | | | 48,828 | | |
Comcast Corp., 4.00%, 3/1/48 | | | | | 600,000 | | | | | | 686,459 | | |
Comcast Corp., 4.25%, 10/15/30 | | | | | 90,000 | | | | | | 104,834 | | |
Comcast Corp., 4.60%, 10/15/38 | | | | | 110,000 | | | | | | 134,468 | | |
Corning, Inc., 5.45%, 11/15/79 | | | | | 146,000 | | | | | | 198,168 | | |
Cox Communications, Inc., 2.60%, 6/15/31(b) | | | | | 625,000 | | | | | | 632,595 | | |
Cox Communications, Inc., 3.50%, 8/15/27(b) | | | | | 600,000 | | | | | | 656,986 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
COMMUNICATIONS – (continued) | | ||||||||||||
CSC Holdings LLC, 5.50%, 4/15/27(b) | | | | $ | 250,000 | | | | | $ | 260,275 | | |
CSC Holdings LLC, 6.75%, 11/15/21 | | | | | 275,000 | | | | | | 275,688 | | |
Discovery Communications LLC, 4.00%, 9/15/55 | | | | | 608,000 | | | | | | 635,785 | | |
Discovery Communications LLC, 5.20%, 9/20/47 | | | | | 197,000 | | | | | | 245,446 | | |
Discovery Communications LLC, 5.30%, 5/15/49 | | | | | 52,000 | | | | | | 64,960 | | |
Expedia Group, Inc., 2.95%, 3/15/31 | | | | | 109,000 | | | | | | 110,151 | | |
Level 3 Financing, Inc., 3.40%, 3/1/27(b) | | | | | 500,000 | | | | | | 526,675 | | |
Level 3 Financing, Inc., 5.38%, 5/1/25 | | | | | 200,000 | | | | | | 204,313 | | |
Sprint Corp., 7.88%, 9/15/23 | | | | | 275,000 | | | | | | 307,271 | | |
T-Mobile USA, Inc., 3.00%, 2/15/41 | | | | | 562,000 | | | | | | 543,753 | | |
T-Mobile USA, Inc., 3.30%, 2/15/51 | | | | | 65,000 | | | | | | 62,846 | | |
T-Mobile USA, Inc., 3.60%, 11/15/60 | | | | | 65,000 | | | | | | 63,906 | | |
T-Mobile USA, Inc., 3.60%, 11/15/60(b) | | | | | 81,000 | | | | | | 79,637 | | |
T-Mobile USA, Inc., 4.00%, 4/15/22 | | | | | 275,000 | | | | | | 278,209 | | |
T-Mobile USA, Inc., 4.38%, 4/15/40 | | | | | 475,000 | | | | | | 547,279 | | |
Time Warner Cable LLC, 6.55%, 5/1/37 | | | | | 4,000 | | | | | | 5,397 | | |
Verizon Communications, Inc., 0.84%, 3/20/26 (SOFR + 0.790%)(c) | | | | | 1,000,000 | | | | | | 1,016,920 | | |
Verizon Communications, Inc., 1.68%, 10/30/30 | | | | | 94,000 | | | | | | 89,388 | | |
Verizon Communications, Inc., 2.55%, 3/21/31 | | | | | 710,000 | | | | | | 718,726 | | |
Verizon Communications, Inc., 2.99%, 10/30/56 | | | | | 276,000 | | | | | | 254,849 | | |
Verizon Communications, Inc., 3.55%, 3/22/51 | | | | | 1,152,000 | | | | | | 1,214,896 | | |
Verizon Communications, Inc., 3.70%, 3/22/61 | | | | | 124,000 | | | | | | 130,935 | | |
Verizon Communications, Inc., Senior Bond, 4.27%, 1/15/36 | | | | | 44,000 | | | | | | 51,687 | | |
Verizon Communications, Inc., Senior Bond, 4.40%, 11/1/34 | | | | | 45,000 | | | | | | 53,292 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
COMMUNICATIONS – (continued) | | ||||||||||||
Verizon Communications, Inc., Senior Bond, 4.86%, 8/21/46 | | | | $ | 385,000 | | | | | $ | 490,295 | | |
ViacomCBS, Inc., 4.38%, 3/15/43 | | | | | 472,000 | | | | | | 539,949 | | |
ViacomCBS, Inc., Senior Bond, 5.85%, 9/1/43 | | | | | 125,000 | | | | | | 170,347 | | |
Total Communications | | | | | | | | | | | 16,322,567 | | |
CONSUMER, CYCLICAL – 1.6% | | ||||||||||||
AutoNation, Inc., 2.40%, 8/1/31 | | | | | 1,150,000 | | | | | | 1,120,781 | | |
AutoZone, Inc., 1.65%, 1/15/31 | | | | | 460,000 | | | | | | 436,940 | | |
AutoZone, Inc., 3.75%, 4/18/29 | | | | | 360,000 | | | | | | 399,852 | | |
BMW US Capital LLC, 3.90%, 4/9/25(b) | | | | | 113,000 | | | | | | 123,464 | | |
Brunswick Corp., 2.40%, 8/18/31 | | | | | 85,000 | | | | | | 82,185 | | |
Dana, Inc., 5.38%, 11/15/27 | | | | | 75,000 | | | | | | 79,031 | | |
Delta Air Lines Pass Through Trust, Series 2015-1A, 3.88%, 1/30/29 | | | | | 412,435 | | | | | | 430,483 | | |
Delta Air Lines Pass Through Trust, Series 2019-1A, 3.40%, 10/25/25 | | | | | 150,000 | | | | | | 153,871 | | |
Delta Air Lines Pass Through Trust, Series 2020-A, 2.50%, 12/10/29 | | | | | 545,785 | | | | | | 548,549 | | |
Delta Air Lines Pass Through Trust, Series 2020-AA, 2.00%, 12/10/29 | | | | | 470,103 | | | | | | 467,669 | | |
Ford Motor Co., 5.29%, 12/8/46 | | | | | 400,000 | | | | | | 445,500 | | |
Ford Motor Co., 7.45%, 7/16/31 | | | | | 175,000 | | | | | | 228,349 | | |
Ford Motor Co., Senior Bond, 4.75%, 1/15/43 | | | | | 100,000 | | | | | | 104,813 | | |
Gap, Inc. (The), 3.63%, 10/1/29(b) | | | | | 50,000 | | | | | | 50,125 | | |
Gap, Inc. (The), 3.88%, 10/1/31(b) | | | | | 50,000 | | | | | | 50,000 | | |
General Motors Co., Senior Bond, 6.25%, 10/2/43 | | | | | 205,000 | | | | | | 276,124 | | |
General Motors Financial Co., Inc., 2.70%, 6/10/31 | | | | | 49,000 | | | | | | 48,850 | | |
Home Depot, Inc. (The), 1.38%, 3/15/31 | | | | | 475,000 | | | | | | 450,470 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
CONSUMER, CYCLICAL – (continued) | | ||||||||||||
Home Depot, Inc. (The), 2.50%, 4/15/27 | | | | $ | 475,000 | | | | | $ | 504,118 | | |
Hyundai Capital America, 3.40%, 6/20/24(b) | | | | | 123,000 | | | | | | 130,300 | | |
Kohl’s Corp., 5.55%, 7/17/45 | | | | | 208,000 | | | | | | 249,066 | | |
Kohls Corp., 3.38%, 5/1/31 | | | | | 49,000 | | | | | | 50,425 | | |
Lowe’s Cos., Inc., 2.80%, 9/15/41 | | | | | 1,250,000 | | | | | | 1,215,954 | | |
Marriott International, Inc., Series FF, 4.63%, 6/15/30 | | | | | 178,000 | | | | | | 203,359 | | |
Marriott International, Inc., Series GG, 3.50%, 10/15/32 | | | | | 530,000 | | | | | | 563,095 | | |
Marriott International, Inc., Series HH, 2.85%, 4/15/31 | | | | | 149,000 | | | | | | 150,904 | | |
McDonald’s Corp., 3.63%, 9/1/49 | | | | | 52,000 | | | | | | 56,700 | | |
Nissan Motor Acceptance Corp., Senior Note, 2.65%, 7/13/22(b) | | | | | 6,000 | | | | | | 6,091 | | |
Nordstrom, Inc., 5.00%, 1/15/44 | | | | | 62,000 | | | | | | 60,799 | | |
PACCAR Financial Corp., 0.80%, 6/8/23 | | | | | 72,000 | | | | | | 72,412 | | |
Sally Holdings LLC/Sally Capital, Inc., 5.63%, 12/1/25 | | | | | 200,000 | | | | | | 204,902 | | |
Starbucks Corp., Senior Note, 2.45%, 6/15/26 | | | | | 500,000 | | | | | | 525,385 | | |
Stellantis Finance US, Inc., 2.69%, 9/15/31(b) | | | | | 385,000 | | | | | | 381,263 | | |
Taylor Morrison Communities, Inc., 5.13%, 8/1/30(b) | | | | | 150,000 | | | | | | 161,441 | | |
Taylor Morrison Communities, Inc., 6.63%, 7/15/27(b) | | | | | 100,000 | | | | | | 105,500 | | |
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc., 5.63%, 3/1/24(b) | | | | | 150,000 | | | | | | 161,747 | | |
Toyota Motor Credit Corp., 1.90%, 4/6/28 | | | | | 115,000 | | | | | | 116,516 | | |
United Airlines, Inc., 4.38%, 4/15/26(b) | | | | | 185,000 | | | | | | 189,856 | | |
United Airlines, Inc., 4.63%, 4/15/29(b) | | | | | 35,000 | | | | | | 36,171 | | |
Volkswagen Group of America Finance LLC, 4.00%, 11/12/21(b) | | | | | 215,000 | | | | | | 215,845 | | |
Walmart, Inc., 1.80%, 9/22/31 | | | | | 1,175,000 | | | | | | 1,164,907 | | |
Whirlpool Corp., 2.40%, 5/15/31 | | | | | 1,000,000 | | | | | | 999,814 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
CONSUMER, CYCLICAL – (continued) | | ||||||||||||
William Carter Co. (The), 5.63%, 3/15/27(b) | | | | $ | 250,000 | | | | | $ | 259,162 | | |
Wolverine World Wide, Inc., 4.00%, 8/15/29(b) | | | | | 150,000 | | | | | | 151,500 | | |
Total Consumer, Cyclical | | | | | | | | | | | 13,434,288 | | |
CONSUMER, NON-CYCLICAL – 4.6% | | ||||||||||||
AbbVie, Inc., 4.05%, 11/21/39 | | | | | 31,000 | | | | | | 35,625 | | |
AbbVie, Inc., 4.25%, 11/21/49 | | | | | 718,000 | | | | | | 850,437 | | |
AbbVie, Inc., 4.55%, 3/15/35 | | | | | 380,000 | | | | | | 455,396 | | |
AbbVie, Inc., 4.75%, 3/15/45 | | | | | 150,000 | | | | | | 187,314 | | |
AbbVie, Inc., Senior Bond, 4.50%, 5/14/35 | | | | | 200,000 | | | | | | 239,072 | | |
Allina Health System, 3.89%, 4/15/49 | | | | | 90,000 | | | | | | 104,962 | | |
AmerisourceBergen Corp., Senior Bond, 4.30%, 12/15/47 | | | | | 100,000 | | | | | | 116,098 | | |
Amgen, Inc., 2.20%, 2/21/27 | | | | | 585,000 | | | | | | 605,285 | | |
Amgen, Inc., 2.80%, 8/15/41 | | | | | 610,000 | | | | | | 589,417 | | |
Amgen, Inc., 3.00%, 1/15/52 | | | | | 1,000,000 | | | | | | 959,319 | | |
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 2/1/46 | | | | | 193,000 | | | | | | 237,238 | | |
Anheuser-Busch InBev Worldwide, Inc., 4.38%, 4/15/38 | | | | | 110,000 | | | | | | 128,400 | | |
Anheuser-Busch InBev Worldwide, Inc., 4.60%, 4/15/48 | | | | | 144,000 | | | | | | 171,911 | | |
Anheuser-Busch InBev Worldwide, Inc., 5.45%, 1/23/39 | | | | | 200,000 | | | | | | 259,041 | | |
Anheuser-Busch InBev Worldwide, Inc., 5.55%, 1/23/49 | | | | | 355,000 | | | | | | 480,791 | | |
Ascension Health, 2.53%, 11/15/29 | | | | | 630,000 | | | | | | 660,267 | | |
Ascension Health, 3.11%, 11/15/39 | | | | | 120,000 | | | | | | 129,238 | | |
BAT Capital Corp., 2.73%, 3/25/31 | | | | | 620,000 | | | | | | 610,555 | | |
Block Financial LLC, 2.50%, 7/15/28 | | | | | 103,000 | | | | | | 104,459 | | |
Bristol-Myers Squibb Co., 0.75%, 11/13/25 | | | | | 130,000 | | | | | | 128,812 | | |
Bristol-Myers Squibb Co., 3.90%, 2/20/28 | | | | | 400,000 | | | | | | 452,226 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
CONSUMER, NON-CYCLICAL – (continued) | | ||||||||||||
Bristol-Myers Squibb Co., 4.13%, 6/15/39 | | | | $ | 40,000 | | | | | $ | 48,040 | | |
Bristol-Myers Squibb Co., 5.00%, 8/15/45 | | | | | 65,000 | | | | | | 87,386 | | |
Bush Foundation, 2.75%, 10/1/50 | | | | | 300,000 | | | | | | 293,606 | | |
Cardinal Health, Inc., Senior Bond, 4.60%, 3/15/43 | | | | | 150,000 | | | | | | 174,781 | | |
Cigna Corp., 2.40%, 3/15/30 | | | | | 1,125,000 | | | | | | 1,143,664 | | |
Cigna Corp., 3.40%, 3/15/51 | | | | | 49,000 | | | | | | 50,368 | | |
Cigna Corp., 4.38%, 10/15/28 | | | | | 190,000 | | | | | | 219,567 | | |
Conagra Brands, Inc., 7.00%, 10/1/28 | | | | | 83,000 | | | | | | 108,116 | | |
CVS Health Corp., 5.13%, 7/20/45 | | | | | 390,000 | | | | | | 502,604 | | |
CVS Health Corp., Senior Bond, 4.78%, 3/25/38 | | | | | 420,000 | | | | | | 514,980 | | |
Duke University Health System, Inc., Senior Bond, 3.92%, 6/1/47 | | | | | 70,000 | | | | | | 82,468 | | |
ERAC USA Finance LLC, 4.20%, 11/1/46(b) | | | | | 325,000 | | | | | | 381,817 | | |
Ford Foundation (The), 2.82%, 6/1/70 | | | | | 776,000 | | | | | | 768,612 | | |
Gilead Sciences, Inc., 1.20%, 10/1/27 | | | | | 1,550,000 | | | | | | 1,517,233 | | |
Gilead Sciences, Inc., 2.60%, 10/1/40 | | | | | 1,075,000 | | | | | | 1,023,463 | | |
Gilead Sciences, Inc., 2.80%, 10/1/50 | | | | | 1,000,000 | | | | | | 942,695 | | |
GlaxoSmithKline Capital, Inc., 3.38%, 5/15/23 | | | | | 88,000 | | | | | | 92,375 | | |
HCA, Inc., 3.50%, 9/1/30 | | | | | 25,000 | | | | | | 26,485 | | |
HCA, Inc., 3.50%, 7/15/51 | | | | | 77,000 | | | | | | 76,329 | | |
HCA, Inc., 5.88%, 2/1/29 | | | | | 125,000 | | | | | | 150,211 | | |
HCA, Inc., 7.75%, 7/15/36 | | | | | 150,000 | | | | | | 211,500 | | |
Hormel Foods Corp., 0.65%, 6/3/24 | | | | | 84,000 | | | | | | 84,081 | | |
Humana, Inc., 1.35%, 2/3/27 | | | | | 47,000 | | | | | | 46,370 | | |
Kimberly-Clark Corp., 2.88%, 2/7/50 | | | | | 450,000 | | | | | | 456,010 | | |
Kimberly-Clark Corp., Senior Note, 3.95%, 11/1/28 | | | | | 400,000 | | | | | | 458,608 | | |
Kraft Heinz Foods Co., 4.88%, 10/1/49 | | | | | 195,000 | | | | | | 237,333 | | |
Massachusetts Institute of Technology, 3.89%, 7/1/2116 | | | | | 75,000 | | | | | | 90,748 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
CONSUMER, NON-CYCLICAL – (continued) | | ||||||||||||
Massachusetts Institute of Technology, 4.68%, 7/1/2114 | | | | $ | 150,000 | | | | | $ | 217,610 | | |
Mather Foundation, Series 2021, 2.68%, 10/1/31 | | | | | 750,000 | | | | | | 750,000 | | |
Mylan, Inc., 3.13%, 1/15/23(b) | | | | | 480,000 | | | | | | 495,842 | | |
Mylan, Inc., 5.20%, 4/15/48 | | | | | 275,000 | | | | | | 338,556 | | |
Mylan, Inc., 5.40%, 11/29/43 | | | | | 180,000 | | | | | | 222,541 | | |
NBM US Holdings, Inc., 6.63%, 8/6/29(b) | | | | | 800,000 | | | | | | 878,408 | | |
Nestle Holdings, Inc., 3.50%, 9/24/25(b) | | | | | 547,000 | | | | | | 595,960 | | |
Organon & Co./Organon Foreign Debt Co-Issuer B.V., 4.13%, 4/30/28(b) | | | | | 275,000 | | | | | | 280,500 | | |
Orlando Health Obligated Group, 4.09%, 10/1/48 | | | | | 50,000 | | | | | | 60,068 | | |
PepsiCo, Inc., 2.25%, 3/19/25 | | | | | 103,000 | | | | | | 107,472 | | |
PepsiCo, Inc., 2.88%, 10/15/49 | | | | | 1,000,000 | | | | | | 1,018,656 | | |
Pilgrim’s Pride Corp., 5.88%, 9/30/27(b) | | | | | 300,000 | | | | | | 318,975 | | |
President & Fellows of Harvard College, 5.63%, 10/1/38 | | | | | 515,000 | | | | | | 731,791 | | |
President & Fellows of Harvard College, 3.62%, 10/1/37 | | | | | 50,000 | | | | | | 57,595 | | |
President & Fellows of Harvard College, 6.50%, 1/15/39(b) | | | | | 105,000 | | | | | | 164,397 | | |
Procter & Gamble Co. (The), 1.20%, 10/29/30 | | | | | 1,150,000 | | | | | | 1,093,996 | | |
Providence St Joseph Health Obligated Group, Series 19A, 2.53%, 10/1/29 | | | | | 110,000 | | | | | | 114,805 | | |
Roche Holdings, Inc., 0.29%, 3/5/24 (SOFR + 0.240%)(b)(c) | | | | | 1,075,000 | | | | | | 1,077,556 | | |
Shire Acquisitions Investments Ireland DAC, 2.88%, 9/23/23 | | | | | 450,000 | | | | | | 469,124 | | |
Smithfield Foods, Inc., 4.25%, 2/1/27(b) | | | | | 63,000 | | | | | | 68,876 | | |
Smithfield Foods, Inc., 5.20%, 4/1/29(b) | | | | | 85,000 | | | | | | 97,600 | | |
Stanford Health Care, 3.03%, 8/15/51 | | | | | 1,000,000 | | | | | | 1,036,068 | | |
Sutter Health, 4.09%, 8/15/48 | | | | | 125,000 | | | | | | 148,612 | | |
Sysco Corp., 4.45%, 3/15/48 | | | | | 153,000 | | | | | | 181,802 | | |
Sysco Corp., 4.50%, 4/1/46 | | | | | 87,000 | | | | | | 104,360 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
CONSUMER, NON-CYCLICAL – (continued) | | ||||||||||||
Sysco Corp., 5.95%, 4/1/30 | | | | $ | 20,000 | | | | | $ | 25,440 | | |
Sysco Corp., 6.60%, 4/1/50 | | | | | 51,000 | | | | | | 80,226 | | |
Takeda Pharmaceutical Co., Ltd., 2.05%, 3/31/30 | | | | | 1,000,000 | | | | | | 984,315 | | |
Tenet Healthcare Corp., 4.63%, 7/15/24 | | | | | 123,000 | | | | | | 124,845 | | |
Trustees of Boston College, 3.13%, 7/1/52 | | | | | 169,000 | | | | | | 177,051 | | |
Trustees of Princeton University (The), 2.52%, 7/1/50 | | | | | 90,000 | | | | | | 88,891 | | |
Trustees of Princeton University (The), 5.70%, 3/1/39 | | | | | 495,000 | | | | | | 720,308 | | |
Unilever Capital Corp., 1.38%, 9/14/30 | | | | | 1,175,000 | | | | | | 1,123,066 | | |
Unilever Capital Corp., 2.00%, 7/28/26 | | | | | 1,000,000 | | | | | | 1,037,896 | | |
Unilever Capital Corp., 2.13%, 9/6/29 | | | | | 675,000 | | | | | | 689,926 | | |
Unilever Capital Corp., Series 30Y, 2.63%, 8/12/51 | | | | | 1,000,000 | | | | | | 963,973 | | |
United Rentals North America, Inc., 3.75%, 1/15/32 | | | | | 50,000 | | | | | | 50,562 | | |
United Rentals North America, Inc., 5.25%, 1/15/30 | | | | | 70,000 | | | | | | 76,650 | | |
United Rentals North America, Inc., 5.50%, 5/15/27 | | | | | 375,000 | | | | | | 393,611 | | |
UnitedHealth Group, Inc., 1.25%, 1/15/26 | | | | | 125,000 | | | | | | 125,784 | | |
UnitedHealth Group, Inc., Senior Note, 3.75%, 7/15/25 | | | | | 237,000 | | | | | | 261,051 | | |
UnitedHealth Group, Inc., Senior Note, 3.85%, 6/15/28 | | | | | 610,000 | | | | | | 690,146 | | |
University of Chicago (The), 0, 2.76%, 4/1/45 | | | | | 100,000 | | | | | | 101,953 | | |
Vector Group Ltd., 5.75%, 2/1/29(b) | | | | | 250,000 | | | | | | 250,000 | | |
Viatris, Inc., 3.85%, 6/22/40(b) | | | | | 100,000 | | | | | | 107,250 | | |
Viatris, Inc., 4.00%, 6/22/50(b) | | | | | 198,000 | | | | | | 210,447 | | |
Wisconsin Alumni Research Foundation, 3.56%, 10/1/49 | | | | | 1,300,000 | | | | | | 1,424,131 | | |
Total Consumer, Non-cyclical | | | | | 37,634,005 | | | ||||||
ENERGY – 2.0% | | ||||||||||||
Antero Resources Corp., 5.00%, 3/1/25 | | | | | 200,000 | | | | | | 204,850 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
ENERGY – (continued) | | ||||||||||||
BP Capital Markets America, Inc., 2.77%, 11/10/50 | | | | $ | 150,000 | | | | | $ | 138,398 | | |
BP Capital Markets America, Inc., 3.38%, 2/8/61 | | | | | 97,000 | | | | | | 96,530 | | |
BP Capital Markets America, Inc., 3.54%, 4/6/27 | | | | | 240,000 | | | | | | 264,389 | | |
Canadian Natural Resources Ltd., Senior Bond, 6.25%, 3/15/38 | | | | | 200,000 | | | | | | 265,976 | | |
Cenovus Energy, Inc., Senior Bond, 5.25%, 6/15/37 | | | | | 205,000 | | | | | | 244,308 | | |
Chaparral Energy, Inc., 9.00%, 2/14/25 | | | | | 6,958 | | | | | | 6,401 | | |
Chevron Corp., 1.55%, 5/11/25 | | | | | 140,000 | | | | | | 143,140 | | |
Chevron USA, Inc., 4.20%, 10/15/49 | | | | | 52,000 | | | | | | 63,326 | | |
Chevron USA, Inc., 5.05%, 11/15/44 | | | | | 50,000 | | | | | | 66,533 | | |
Chevron USA, Inc., 5.25%, 11/15/43 | | | | | 143,000 | | | | | | 192,833 | | |
Colonial Enterprises, Inc., 3.25%, 5/15/30(b) | | | | | 510,000 | | | | | | 549,350 | | |
ConocoPhillips, 4.30%, 8/15/28(b) | | | | | 90,000 | | | | | | 103,635 | | |
Continental Resources, Inc., 3.80%, 6/1/24 | | | | | 775,000 | | | | | | 814,370 | | |
Diamondback Energy, Inc., 2.88%, 12/1/24 | | | | | 675,000 | | | | | | 708,751 | | |
Diamondback Energy, Inc., 3.50%, 12/1/29 | | | | | 69,000 | | | | | | 73,791 | | |
Diamondback Energy, Inc., 4.40%, 3/24/51 | | | | | 72,000 | | | | | | 81,668 | | |
Ecopetrol S.A., Senior Note, 4.13%, 1/16/25 | | | | | 200,000 | | | | | | 208,176 | | |
Enable Midstream Partners L.P., Senior Note, 4.95%, 5/15/28 | | | | | 87,000 | | | | | | 97,729 | | |
Energy Transfer Operating L.P., 4.90%, 3/15/35 | | | | | 120,000 | | | | | | 137,560 | | |
Energy Transfer Operating L.P., 4.95%, 6/15/28 | | | | | 115,000 | | | | | | 131,946 | | |
Energy Transfer Operating L.P., 5.00%, 5/15/50 | | | | | 505,000 | | | | | | 582,631 | | |
Energy Transfer Operating L.P., 5.30%, 4/15/47 | | | | | 110,000 | | | | | | 128,864 | | |
Energy Transfer Operating L.P., 6.13%, 12/15/45 | | | | | 134,000 | | | | | | 170,502 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
ENERGY – (continued) | | ||||||||||||
EnLink Midstream Partners L.P., Senior Bond, 5.05%, 4/1/45 | | | | $ | 4,000 | | | | | $ | 3,650 | | |
Enterprise Products Operating LLC, 3.70%, 1/31/51 | | | | | 45,000 | | | | | | 47,601 | | |
Enterprise Products Operating LLC, 4.25%, 2/15/48 | | | | | 34,000 | | | | | | 38,511 | | |
Enterprise Products Operating LLC, 4.85%, 8/15/42 | | | | | 200,000 | | | | | | 241,599 | | |
Enterprise Products Operating LLC, Series E, 5.25%, 8/16/77 (5.25% fixed rate until 8/16/27; 3.03% + 3 month USD LIBOR thereafter)(c) | | | | | 66,000 | | | | | | 69,055 | | |
EQT Corp., 6.63%, 2/1/25 | | | | | 425,000 | | | | | | 486,434 | | |
Florida Gas Transmission Co. LLC, 2.30%, 10/1/31(b) | | | | | 355,000 | | | | | | 348,566 | | |
Gray Oak Pipeline LLC, 2.00%, 9/15/23(b) | | | | | 126,000 | | | | | | 128,412 | | |
Gray Oak Pipeline LLC, 3.45%, 10/15/27(b) | | | | | 76,000 | | | | | | 80,110 | | |
Halliburton Co., 4.75%, 8/1/43 | | | | | 51,000 | | | | | | 58,390 | | |
Halliburton Co., Senior Bond, 4.85%, 11/15/35 | | | | | 90,000 | | | | | | 106,151 | | |
Hanwha Energy USA Holdings Corp., 2.38%, 7/30/22(b) | | | | | 1,000,000 | | | | | | 1,013,911 | | |
Helmerich & Payne, Inc., 2.90%, 9/29/31(b) | | | | | 375,000 | | | | | | 375,866 | | |
Hess Corp., 6.00%, 1/15/40 | | | | | 261,000 | | | | | | 335,059 | | |
Marathon Oil Corp., 6.80%, 3/15/32 | | | | | 78,000 | | | | | | 101,917 | | |
Marathon Oil Corp., Senior Bond, 6.60%, 10/1/37 | | | | | 117,000 | | | | | | 154,777 | | |
MPLX L.P., Senior Bond, 4.70%, 4/15/48 | | | | | 150,000 | | | | | | 173,186 | | |
MPLX L.P., Senior Bond, 5.50%, 2/15/49 | | | | | 85,000 | | | | | | 107,745 | | |
Murray Energy Corp., Secured Note, 12.00%, 4/15/24(b)(c)(d) | | | | | 180,991 | | | | | | 18 | | |
ONEOK Partners L.P., 6.65%, 10/1/36 | | | | | 83,000 | | | | | | 111,363 | | |
ONEOK, Inc., 3.10%, 3/15/30 | | | | | 1,810,000 | | | | | | 1,889,297 | | |
ONEOK, Inc., 4.45%, 9/1/49 | | | | | 350,000 | | | | | | 391,208 | | |
ONEOK, Inc., 4.50%, 3/15/50 | | | | | 250,000 | | | | | | 277,189 | | |
ONEOK, Inc., 4.95%, 7/13/47 | | | | | 150,000 | | | | | | 177,318 | | |
Ovintiv, Inc., Senior Bond, 7.38%, 11/1/31 | | | | | 231,000 | | | | | | 313,341 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
ENERGY – (continued) | | ||||||||||||
Petroleos Mexicanos, 6.50%, 3/13/27 | | | | $ | 200,000 | | | | | $ | 211,222 | | |
Petroleos Mexicanos, 6.75%, 9/21/47 | | | | | 400,000 | | | | | | 348,866 | | |
Plains All American Pipeline L.P./PAA Finance Corp., 4.70%, 6/15/44 | | | | | 420,000 | | | | | | 450,744 | | |
Plains All American Pipeline L.P./PAA Finance Corp., 6.65%, 1/15/37 | | | | | 103,000 | | | | | | 135,190 | | |
Qatar Petroleum, 2.25%, 7/12/31(b) | | | | | 200,000 | | | | | | 198,080 | | |
Sanchez Energy Corp, 7.75%, 6/15/21(d) | | | | | 150,000 | | | | | | 4,500 | | |
Sanchez Energy Corp., 6.13%, 1/15/23(d) | | | | | 100,000 | | | | | | 3,000 | | |
Schlumberger Holdings Corp., 3.90%, 5/17/28(b) | | | | | 49,000 | | | | | | 54,015 | | |
Tallgrass Energy Partners L.P./Tallgrass Energy Finance Corp., 6.00%, 12/31/30(b) | | | | | 175,000 | | | | | | 179,287 | | |
Topaz Solar Farms LLC, 4.88%, 9/30/39(b) | | | | | 343,740 | | | | | | 370,564 | | |
Transcontinental Gas Pipe Line Co. LLC, 3.95%, 5/15/50 | | | | | 230,000 | | | | | | 257,908 | | |
Valero Energy Corp., 2.85%, 4/15/25 | | | | | 195,000 | | | | | | 205,367 | | |
Valero Energy Corp., 4.00%, 4/1/29 | | | | | 45,000 | | | | | | 49,472 | | |
Valero Energy Partners L.P., 4.38%, 12/15/26 | | | | | 61,000 | | | | | | 68,288 | | |
Valero Energy Partners L.P., Senior Note, 4.50%, 3/15/28 | | | | | 350,000 | | | | | | 395,114 | | |
Venture Global Calcasieu Pass LLC, 3.88%, 8/15/29(b) | | | | | 25,000 | | | | | | 25,751 | | |
Venture Global Calcasieu Pass LLC, 4.13%, 8/15/31(b) | | | | | 25,000 | | | | | | 26,063 | | |
Western Midstream Operating L.P., 4.00%, 7/1/22 | | | | | 450,000 | | | | | | 456,853 | | |
Western Midstream Operating L.P., 5.30%, 3/1/48 | | | | | 10,000 | | | | | | 11,525 | | |
Williams Cos., Inc. (The), 5.75%, 6/24/44 | | | | | 183,000 | | | | | | 241,037 | | |
Williams Cos., Inc. (The), Senior Bond, 4.90%, 1/15/45 | | | | | 200,000 | | | | | | 239,363 | | |
Total Energy | | | | | | | | | | | 16,438,540 | | |
|
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – 9.7% | | ||||||||||||
American Express Co., 3.40%, 2/22/24 | | | | $ | 72,000 | | | | | $ | 76,628 | | |
American Express Co., Senior Note, 4.20%, 11/6/25 | | | | | 60,000 | | | | | | 67,460 | | |
American International Group, Inc., Senior Bond, 3.88%, 1/15/35 | | | | | 6,000 | | | | | | 6,779 | | |
Americo Life, Inc., 3.45%, 4/15/31(b) | | | | | 59,000 | | | | | | 59,422 | | |
Ameriprise Financial, Inc., 3.00%, 3/22/22 | | | | | 84,000 | | | | | | 85,061 | | |
Athene Global Funding, 1.00%, 4/16/24(b) | | | | | 127,000 | | | | | | 127,440 | | |
Athene Global Funding, 2.67%, 6/7/31(b) | | | | | 103,000 | | | | | | 103,830 | | |
Bank of America Corp., 1.49%, 5/19/24 (SOFR + 1.460%)(c) | | | | | 224,000 | | | | | | 227,319 | | |
Bank of America Corp., 2.46%, 10/22/25 (2.46% fixed rate until 10/22/24; 0.87% + 3 month USD LIBOR thereafter)(c) | | | | | 917,000 | | | | | | 957,834 | | |
Bank of America Corp., 3.19%, 7/23/30 (3.19% fixed rate until 7/23/29; 1.18% + 3 month USD LIBOR thereafter)(c) | | | | | 45,000 | | | | | | 47,882 | | |
Bank of America Corp., 3.71%, 4/24/28 (3.71% fixed rate until 4/24/27; 1.51% + 3 month USD LIBOR thereafter)(c) | | | | | 113,000 | | | | | | 124,183 | | |
Bank of America Corp., 4.45%, 3/3/26 | | | | | 1,525,000 | | | | | | 1,707,588 | | |
Bank of America Corp., (3 month USD LIBOR + 1.320%), 4.08%, 4/23/40(c) | | | | | 108,000 | | | | | | 124,336 | | |
Bank of America Corp., (3 month USD LIBOR + 2.664%), 4.30%, 1/28/25(c)(e) | | | | | 475,000 | | | | | | 483,312 | | |
Bank of America Corp., (SOFR + 0.910%), 0.98%, 9/25/25(c) | | | | | 1,000,000 | | | | | | 1,001,380 | | |
Bank of America Corp., (SOFR + 0.910%), 1.02%, 7/22/27(c) | | | | | 1,000,000 | | | | | | 1,019,163 | | |
Bank of America Corp., (SOFR + 1.320%), 2.69%, 4/22/32(c) | | | | | 1,000,000 | | | | | | 1,018,270 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
Bank of America Corp., (SOFR + 1.560%), 2.97%, 7/21/52(c) | | | | $ | 42,000 | | | | | $ | 41,115 | | |
Bank of America Corp., (SOFR + 1.580%), 3.31%, 4/22/42(c) | | | | | 82,000 | | | | | | 86,041 | | |
Bank of America Corp., Senior Bond, 3.82%, 1/20/28 (3.82% fixed rate until 1/20/27; 1.58% + 3 month USD LIBOR thereafter)(c) | | | | | 2,225,000 | | | | | | 2,455,399 | | |
Bank of America Corp., Senior Bond, 3.97%, 3/5/29 (3.97% fixed rate until 3/5/28; 1.07% + 3 month USD LIBOR thereafter)(c) | | | | | 610,000 | | | | | | 678,418 | | |
Bank of America Corp., Series JJ, 5.13%, 6/20/24 (5.13% fixed rate until 6/20/24; 3.29% + 3 month USD LIBOR thereafter)(c)(e) | | | | | 290,000 | | | | | | 307,596 | | |
Bank of America Corp., Subordinated Note, Series L, 4.18%, 11/25/27 | | | | | 285,000 | | | | | | 317,705 | | |
BankUnited, Inc., 4.88%, 11/17/25 | | | | | 254,000 | | | | | | 286,728 | | |
BankUnited, Inc., 5.13%, 6/11/30 | | | | | 158,000 | | | | | | 182,337 | | |
BOC Aviation USA Corp., 1.63%, 4/29/24(b) | | | | | 200,000 | | | | | | 201,537 | | |
Boston Properties L.P., 2.55%, 4/1/32 | | | | | 44,000 | | | | | | 43,937 | | |
Brandywine Operating Partnership L.P., 3.95%, 2/15/23 | | | | | 500,000 | | | | | | 518,658 | | |
Brighthouse Financial Global Funding, 0.60%, 6/28/23(b) | | | | | 95,000 | | | | | | 95,067 | | |
Brixmor Operating Partnership L.P., 2.50%, 8/16/31 | | | | | 48,000 | | | | | | 47,293 | | |
Brixmor Operating Partnership L.P., 3.65%, 6/15/24 | | | | | 500,000 | | | | | | 533,563 | | |
Brixmor Operating Partnership L.P., 4.05%, 7/1/30 | | | | | 625,000 | | | | | | 697,904 | | |
Brixmor Operating Partnership L.P., Senior Note, 3.90%, 3/15/27 | | | | | 500,000 | | | | | | 548,582 | | |
Broadstone Net Lease LLC, 2.60%, 9/15/31 | | | | | 515,000 | | | | | | 508,753 | | |
Charles Schwab Corp. (The), Series H, (1 year CMT + 3.079%), 4.00%, 12/1/30(c)(e) | | | | | 1,000,000 | | | | | | 1,031,500 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
Citigroup, Inc., 1.12%, 1/28/27 (SOFR + 0.765%)(c) | | | | $ | 820,000 | | | | | $ | 808,548 | | |
Citigroup, Inc., 1.68%, 5/15/24 (SOFR + 1.667%)(c) | | | | | 1,000,000 | | | | | | 1,019,452 | | |
Citigroup, Inc., 4.70%, 1/30/25 (SOFR + 3.234%)(c)(e) | | | | | 55,000 | | | | | | 56,238 | | |
Citigroup, Inc., 5.88%, 2/22/33 | | | | | 119,000 | | | | | | 152,791 | | |
Citigroup, Inc., (SOFR + 0.669%), 0.98%, 5/1/25(c) | | | | | 71,000 | | | | | | 71,230 | | |
Citigroup, Inc., (SOFR + 0.686%), 0.78%, 10/30/24(c) | | | | | 1,000,000 | | | | | | 1,003,835 | | |
Citigroup, Inc., (SOFR + 1.167%), 2.56%, 5/1/32(c) | | | | | 300,000 | | | | | | 302,951 | | |
Citigroup, Inc., (SOFR + 1.422%), 2.98%, 11/5/30(c) | | | | | 160,000 | | | | | | 168,222 | | |
Citigroup, Inc., Senior Bond, 3.67%, 7/24/28 (3.67% fixed rate until 7/24/27; 1.39% + 3 month USD LIBOR thereafter)(c) | | | | | 44,000 | | | | | | 48,365 | | |
Citigroup, Inc., Senior Bond, 4.08%, 4/23/29 (4.08% fixed rate until 4/23/28; 1.19% + 3 month USD LIBOR thereafter)(c) | | | | | 700,000 | | | | | | 784,478 | | |
Citigroup, Inc., Series U, 5.00%, 9/12/24 (SOFR + 3.813%)(c)(e) | | | | | 225,000 | | | | | | 235,007 | | |
Citigroup, Inc., Subordinated Bond, 6.00%, 10/31/33 | | | | | 240,000 | | | | | | 314,091 | | |
Citigroup, Inc., Subordinated Note, 4.45%, 9/29/27 | | | | | 1,504,000 | | | | | | 1,710,332 | | |
Citizens Financial Group, Inc., 2.64%, 9/30/32 | | | | | 227,000 | | | | | | 227,939 | | |
Citizens Financial Group, Inc., 3.25%, 4/30/30 | | | | | 34,000 | | | | | | 36,418 | | |
CNA Financial Corp., 3.95%, 5/15/24 | | | | | 365,000 | | | | | | 392,266 | | |
Columbia Property Trust Operating Partnership L.P., 4.15%, 4/1/25 | | | | | 195,000 | | | | | | 210,289 | | |
Community Preservation Corp. (The), Series 2020, 2.87%, 2/1/30 | | | | | 1,000,000 | | | | | | 1,036,660 | | |
Drawbridge Special Opportunities Fund L.P./Drawbridge Special Opportunities Finance, 3.88%, 2/15/26(b) | | | | | 970,000 | | | | | | 996,669 | | |
Duke Realty L.P., 2.88%, 11/15/29 | | | | | 1,000,000 | | | | | | 1,053,573 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
Empower Finance 2020 L.P., 1.36%, 9/17/27(b) | | | | $ | 1,125,000 | | | | | $ | 1,104,653 | | |
Empower Finance 2020 L.P., 1.78%, 3/17/31(b) | | | | | 1,000,000 | | | | | | 961,360 | | |
Equinix, Inc., 1.80%, 7/15/27 | | | | | 1,000,000 | | | | | | 1,004,808 | | |
Equitable Financial Life Global Funding, 0.50%, 4/6/23(b) | | | | | 158,000 | | | | | | 158,175 | | |
Equitable Financial Life Global Funding, 1.30%, 7/12/26(b) | | | | | 97,000 | | | | | | 96,137 | | |
Everest Reinsurance Holding, Inc., 3.13%, 10/15/52 | | | | | 590,000 | | | | | | 575,175 | | |
F&G Global Funding, 0.90%, 9/20/24(b) | | | | | 88,000 | | | | | | 87,838 | | |
Federal Realty Investment Trust, 1.25%, 2/15/26 | | | | | 1,187,000 | | | | | | 1,176,814 | | |
First Horizon Bank, 5.75%, 5/1/30 | | | | | 250,000 | | | | | | 305,407 | | |
Five Corners Funding Trust, Senior Note, 4.42%, 11/15/23(b) | | | | | 600,000 | | | | | | 647,901 | | |
Five Corners Funding Trust II, 2.85%, 5/15/30(b) | | | | | 1,000,000 | | | | | | 1,045,290 | | |
FS KKR Capital Corp., 4.13%, 2/1/25 | | | | | 1,550,000 | | | | | | 1,656,180 | | |
GE Capital International Funding Co. Unlimited Co., 4.42%, 11/15/35 | | | | | 480,000 | | | | | | 576,025 | | |
GLP Capital L.P./GLP Financing II, Inc., 5.38%, 4/15/26 | | | | | 150,000 | | | | | | 170,543 | | |
Goldman Sachs Group, Inc. (The), 0.86%, 2/12/26 (SOFR + 0.609%)(c) | | | | | 1,000,000 | | | | | | 990,369 | | |
Goldman Sachs Group, Inc. (The), 3.50%, 11/16/26 | | | | | 201,000 | | | | | | 217,204 | | |
Goldman Sachs Group, Inc. (The), (3 month USD LIBOR + 1.158%), 3.81%, 4/23/29(c) | | | | | 925,000 | | | | | | 1,023,669 | | |
Goldman Sachs Group, Inc. (The), (SOFR + 0.818%), 1.54%, 9/10/27(c) | | | | | 99,000 | | | | | | 98,604 | | |
Goldman Sachs Group, Inc. (The), (SOFR + 1.248%), 2.38%, 7/21/32(c) | | | | | 69,000 | | | | | | 68,318 | | |
Goldman Sachs Group, Inc. (The), (SOFR + 1.281%), 2.62%, 4/22/32(c) | | | | | 770,000 | | | | | | 779,309 | | |
Goldman Sachs Group, Inc. (The), (SOFR + 1.513%), 3.21%, 4/22/42(c) | | | | | 69,000 | | | | | | 71,328 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
Goldman Sachs Group, Inc. (The), Senior Bond, 4.22%, 5/1/29 (4.22% fixed rate until 5/1/28; 1.30% + 3 month USD LIBOR thereafter)(c) | | | | $ | 410,000 | | | | | $ | 463,350 | | |
Goldman Sachs Group, Inc. (The), Subordinated Bond, 6.75%, 10/1/37 | | | | | 206,000 | | | | | | 295,051 | | |
HAT Holdings I LLC/HAT Holdings II LLC, 3.75%, 9/15/30(b) | | | | | 1,000,000 | | | | | | 1,010,000 | | |
HNA 2015 LLC, 2.37%, 9/18/27 | | | | | 325,341 | | | | | | 340,087 | | |
Host Hotels & Resorts L.P., Series I, 3.50%, 9/15/30 | | | | | 112,000 | | | | | | 116,346 | | |
HSBC Holdings PLC, Senior Bond, 4.58%, 6/19/29 (4.58% fixed rate until 6/19/28; 1.53% + 3 month USD LIBOR thereafter)(c) | | | | | 200,000 | | | | | | 227,073 | | |
JPMorgan Chase & Co., 0.56%, 2/16/25 (SOFR + 0.420%)(c) | | | | | 950,000 | | | | | | 946,055 | | |
JPMorgan Chase & Co., 2.01%, 3/13/26 (SOFR + 1.585%)(c) | | | | | 320,000 | | | | | | 327,771 | | |
JPMorgan Chase & Co., 4.00%, 4/1/25 (SOFR + 2.745%)(c)(e) | | | | | 975,000 | | | | | | 979,144 | | |
JPMorgan Chase & Co., 4.60%, 2/1/25 (SOFR + 3.125%)(c)(e) | | | | | 165,000 | | | | | | 168,713 | | |
JPMorgan Chase & Co., (3 month USD LIBOR + 1.337%), 3.78%, 2/1/28(c) | | | | | 1,525,000 | | | | | | 1,680,407 | | |
JPMorgan Chase & Co., (SOFR + 0.600%), 0.65%, 9/16/24(c) | | | | | 147,000 | | | | | | 147,367 | | |
JPMorgan Chase & Co., (SOFR + 1.015%), 2.07%, 6/1/29(c) | | | | | 63,000 | | | | | | 63,142 | | |
JPMorgan Chase & Co., (SOFR + 1.250%), 2.58%, 4/22/32(c) | | | | | 405,000 | | | | | | 410,617 | | |
JPMorgan Chase & Co., (SOFR + 1.510%), 2.53%, 11/19/41(c) | | | | | 304,000 | | | | | | 287,882 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
JPMorgan Chase & Co., Junior Subordinated Bond, Series U, 6.13%, 4/30/24 (6.13% fixed rate until 4/30/24; 3.33% + 3 month USD LIBOR thereafter)(c)(e) | | | | $ | 142,000 | | | | | $ | 152,828 | | |
JPMorgan Chase & Co., Senior Bond, 4.01%, 4/23/29 (4.01% fixed rate until 4/23/28; 1.12% + 3 month USD LIBOR thereafter)(c) | | | | | 1,240,000 | | | | | | 1,385,620 | | |
JPMorgan Chase & Co., Series KK, (5 year CMT + 2.850%), 3.65%, 6/1/26(c)(e) | | | | | 1,000,000 | | | | | | 1,005,000 | | |
KeyBank NA, Subordinated Note, 3.40%, 5/20/26 | | | | | 500,000 | | | | | | 543,591 | | |
Kimco Realty Corp., 2.25%, 12/1/31 | | | | | 1,100,000 | | | | | | 1,074,590 | | |
Landwirtschaftliche Rentenbank, 0.88%, 9/3/30 | | | | | 1,000,000 | | | | | | 942,442 | | |
Liberty Mutual Group, Inc., 3.95%, 5/15/60(b) | | | | | 85,000 | | | | | | 94,384 | | |
Liberty Mutual Group, Inc., 3.95%, 10/15/50(b) | | | | | 120,000 | | | | | | 133,174 | | |
Liberty Mutual Group, Inc., 4.57%, 2/1/29(b) | | | | | 700,000 | | | | | | 813,688 | | |
Life Storage L.P., 3.88%, 12/15/27 | | | | | 1,000,000 | | | | | | 1,121,676 | | |
Low Income Investment Fund, 3.39%, 7/1/26 | | | | | 1,000,000 | | | | | | 1,053,806 | | |
LPL Holdings, Inc., 4.38%, 5/15/31(b) | | | | | 325,000 | | | | | | 339,219 | | |
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)(b)(c) | | | | | 4,000 | | | | | | 4,379 | | |
Mastercard, Inc., 1.90%, 3/15/31 | | | | | 1,000,000 | | | | | | 1,003,386 | | |
Mastercard, Inc., 2.00%, 3/3/25 | | | | | 119,000 | | | | | | 123,694 | | |
Morgan Stanley, 3.63%, 1/20/27 | | | | | 294,000 | | | | | | 324,087 | | |
Morgan Stanley, 3.95%, 4/23/27 | | | | | 950,000 | | | | | | 1,056,502 | | |
Morgan Stanley, 4.43%, 1/23/30 (4.43% fixed rate until 1/23/29; 1.63% + 3 month USD LIBOR thereafter)(c) | | | | | 440,000 | | | | | | 508,055 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
Morgan Stanley, (SOFR + 0.525%), 0.79%, 5/30/25(c) | | | | $ | 30,000 | | | | | $ | 29,908 | | |
Morgan Stanley, (SOFR + 0.858%), 1.51%, 7/20/27(c) | | | | | 94,000 | | | | | | 93,553 | | |
Morgan Stanley, (SOFR + 1.178%), 2.24%, 7/21/32(c) | | | | | 35,000 | | | | | | 34,398 | | |
Morgan Stanley, (SOFR + 1.360%), 2.48%, 9/16/36(c) | | | | | 1,313,000 | | | | | | 1,285,068 | | |
Morgan Stanley, (SOFR + 1.485%), 3.22%, 4/22/42(c) | | | | | 177,000 | | | | | | 185,163 | | |
Morgan Stanley, Senior Bond, 3.77%, 1/24/29 (3.77% fixed rate until 1/24/28; 1.14% + 3 month USD LIBOR thereafter)(c) | | | | | 1,155,000 | | | | | | 1,278,026 | | |
Morgan Stanley, Subordinated Note, 5.00%, 11/24/25 | | | | | 25,000 | | | | | | 28,578 | | |
Mozart Debt Merger Sub, Inc., 3.88%, 4/1/29 | | | | | 175,000 | | | | | | 175,000 | | |
MPT Operating Partnership L.P./MPT Finance Corp., 3.50%, 3/15/31 | | | | | 225,000 | | | | | | 229,500 | | |
National Health Investors, Inc., 3.00%, 2/1/31 | | | | | 54,000 | | | | | | 52,499 | | |
New York Community Bancorp, Inc., Subordinated Note, 5.90%, 11/6/28 (5.90% fixed rate until 11/6/23; 2.78% + 3 month USD LIBOR thereafter)(c) | | | | | 128,000 | | | | | | 137,862 | | |
Nuveen Finance LLC, 4.13%, 11/1/24(b) | | | | | 400,000 | | | | | | 439,529 | | |
Office Properties Income Trust, 3.45%, 10/15/31 | | | | | 52,000 | | | | | | 50,868 | | |
OFS Capital Corp., 4.75%, 2/10/26 | | | | | 1,300,000 | | | | | | 1,319,710 | | |
Ohio National Financial Services, Inc., 5.80%, 1/24/30(b) | | | | | 200,000 | | | | | | 228,926 | | |
Old Republic International Corp., 3.85%, 6/11/51 | | | | | 71,000 | | | | | | 76,711 | | |
Omega Healthcare Investors, Inc., 3.25%, 4/15/33 | | | | | 144,000 | | | | | | 142,701 | | |
Omega Healthcare Investors, Inc., 3.38%, 2/1/31 | | | | | 81,000 | | | | | | 82,472 | | |
OneMain Finance Corp., 6.63%, 1/15/28 | | | | | 225,000 | | | | | | 258,750 | | |
OneMain Finance Corp., 8.25%, 10/1/23 | | | | | 125,000 | | | | | | 139,691 | | |
Owl Rock Capital Corp., 5.25%, 4/15/24 | | | | | 955,000 | | | | | | 1,040,462 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
Penn Mutual Life Insurance Co. (The), 3.80%, 4/29/61(b) | | | | $ | 37,000 | | | | | $ | 38,490 | | |
Principal Life Global Funding II, 0.50%, 1/8/24(b) | | | | | 92,000 | | | | | | 91,880 | | |
Progressive Corp. (The), Senior Bond, 3.70%, 1/26/45 | | | | | 500,000 | | | | | | 567,505 | | |
Prudential Financial, Inc., 1.50%, 3/10/26 | | | | | 1,232,000 | | | | | | 1,250,359 | | |
Prudential Financial, Inc., 5.70%, 9/15/48 (5.70% fixed rate until 9/15/28; 2.67% + 3 month USD LIBOR thereafter)(c) | | | | | 36,000 | | | | | | 42,134 | | |
Prudential Financial, Inc., Junior Subordinated Bond, 5.63%, 6/15/43 (5.63% fixed rate until 6/15/23; 3.92% + 3 month USD LIBOR thereafter)(c) | | | | | 97,000 | | | | | | 103,240 | | |
Realty Income Corp., 3.25%, 1/15/31 | | | | | 285,000 | | | | | | 309,271 | | |
Regency Centers L.P., 3.75%, 6/15/24 | | | | | 500,000 | | | | | | 532,887 | | |
Regions Financial Corp., Subordinated Bond, 7.38%, 12/10/37 | | | | | 178,000 | | | | | | 270,967 | | |
Reinvestment Fund, Inc. (The), 3.88%, 2/15/27 | | | | | 500,000 | | | | | | 547,824 | | |
Rexford Industrial Realty L.P., 2.15%, 9/1/31 | | | | | 47,000 | | | | | | 45,294 | | |
SBA Tower Trust, 1.88%, 7/15/50(b) | | | | | 1,210,000 | | | | | | 1,225,157 | | |
SBL Holdings, Inc., 5.00%, 2/18/31(b) | | | | | 67,000 | | | | | | 71,481 | | |
Security Benefit Global Funding, 1.25%, 5/17/24(b) | | | | | 48,000 | | | | | | 48,322 | | |
Signature Bank, 4.00%, 10/15/30(c) | | | | | 150,000 | | | | | | 160,989 | | |
SVB Financial Group, 1.80%, 2/2/31 | | | | | 1,150,000 | | | | | | 1,103,523 | | |
SVB Financial Group, 2.10%, 5/15/28 | | | | | 1,121,000 | | | | | | 1,131,644 | | |
Synchrony Financial, 4.50%, 7/23/25 | | | | | 374,000 | | | | | | 412,988 | | |
Tanger Properties L.P., 2.75%, 9/1/31 | | | | | 47,000 | | | | | | 45,465 | | |
Teachers Insurance & Annuity Association of America, 3.30%, 5/15/50(b) | | | | | 210,000 | | | | | | 220,719 | | |
Investments | | | Principal Amount | | | Value | | | | ||||||||||
CORPORATE BONDS – (continued) | | | | ||||||||||||||||
FINANCIAL – (continued) | | | | ||||||||||||||||
Truist Financial Corp., Senior Note, 4.00%, 5/1/25 | | | | $ | 187,000 | | | | | $ | 205,693 | | | | | ||||
USAA Capital Corp., 2.13%, 5/1/30(b) | | | | | 1,000,000 | | | | | | 1,007,299 | | | | | ||||
Valley National Bancorp, (SOFR + 2.360%), 3.00%, 6/15/31(c) | | | | | 138,000 | | | | | | 139,363 | | | | | ||||
VEREIT Operating Partnership L.P., 2.85%, 12/15/32 | | | | | 550,000 | | | | | | 571,373 | | | | | ||||
Visa, Inc., 0.75%, 8/15/27 | | | | | 42,000 | | | | | | 40,887 | | | | | ||||
Visa, Inc., 1.90%, 4/15/27 | | | | | 1,000,000 | | | | | | 1,032,429 | | | | | ||||
Vornado Realty L.P., 2.15%, 6/1/26 | | | | | 595,000 | | | | | | 604,329 | | | | | ||||
Voya Financial, Inc., 4.70%, 1/23/48 (4.70% fixed rate until 1/23/28; 2.08% + 3 month USD LIBOR thereafter)(c) | | | | | 61,000 | | | | | | 64,060 | | | | | ||||
Wells Fargo & Co., 3.07%, 4/30/41 (SOFR + 2.530%)(c) | | | | | 772,000 | | | | | | 793,302 | | | | | ||||
Wells Fargo & Co., 4.30%, 7/22/27 | | | | | 476,000 | | | | | | 540,825 | | | | | ||||
Wells Fargo & Co., 5.61%, 1/15/44 | | | | | 44,000 | | | | | | 59,405 | | | | | ||||
Wells Fargo & Co., (3 month USD LIBOR + 1.000%), 2.57%, 2/11/31(c) | | | | | 670,000 | | | | | | 684,593 | | | | | ||||
Western & Southern Life Insurance Co. (The), 3.75%, 4/28/61(b) | | | | | 38,000 | | | | | | 41,001 | | | | | ||||
WR Berkley Corp., 4.00%, 5/12/50 | | | | | 160,000 | | | | | | 184,285 | | | | | ||||
Zions Bancorp NA, 3.25%, 10/29/29 | | | | | 271,000 | | | | | | 281,718 | | | | | ||||
Total Financial | | | | | | | | | | | 80,187,683 | | | | | ||||
INDUSTRIAL – 1.0% | | | | | | | | ||||||||||||
AECOM, 5.13%, 3/15/27 | | | | | 200,000 | | | | | | 221,500 | | | | | ||||
Amcor Flexibles North America, Inc., 2.69%, 5/25/31 | | | | | 65,000 | | | | | | 66,687 | | | | | ||||
Amsted Industries, Inc., 5.63%, 7/1/27(b) | | | | | 200,000 | | | | | | 208,704 | | | | | ||||
Berry Global, Inc., 1.57%, 1/15/26(b) | | | | | 1,010,000 | | | | | | 1,009,737 | | | | | ||||
Boeing Co. (The), 2.20%, 2/4/26 | | | | | 1,150,000 | | | | | | 1,158,478 | | | | | ||||
Boeing Co. (The), 3.75%, 2/1/50 | | | | | 525,000 | | | | | | 529,897 | | | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
INDUSTRIAL – (continued) | | ||||||||||||
Carlisle Cos., Inc., 2.20%, 3/1/32 | | | | $ | 985,000 | | | | | $ | 956,307 | | |
Carrier Global Corp., 3.38%, 4/5/40 | | | | | 132,000 | | | | | | 138,502 | | |
Caterpillar Financial Services Corp., 0.65%, 7/7/23 | | | | | 149,000 | | | | | | 149,909 | | |
CNH Industrial Capital LLC, 4.20%, 1/15/24 | | | | | 58,000 | | | | | | 62,248 | | |
Emerson Electric Co., 0.88%, 10/15/26 | | | | | 93,000 | | | | | | 91,325 | | |
Flowserve Corp., 2.80%, 1/15/32 | | | | | 245,000 | | | | | | 242,452 | | |
General Electric Co., 4.35%, 5/1/50 | | | | | 41,000 | | | | | | 49,505 | | |
Illinois Tool Works, Inc., 3.50%, 3/1/24 | | | | | 75,000 | | | | | | 79,863 | | |
John Deere Capital Corp., 0.63%, 9/10/24 | | | | | 60,000 | | | | | | 60,027 | | |
Kansas City Southern, 4.30%, 5/15/43 | | | | | 663,000 | | | | | | 780,065 | | |
Kansas City Southern, 4.70%, 5/1/48 | | | | | 38,000 | | | | | | 47,106 | | |
Masco Corp., 3.13%, 2/15/51 | | | | | 34,000 | | | | | | 33,342 | | |
Nature Conservancy (The), 1.21%, 2/1/24 (3 month USD LIBOR + 1.08%)(c) | | | | | 520,000 | | | | | | 522,420 | | |
Nature Conservancy (The), Series A, 1.51%, 7/1/29 | | | | | 300,000 | | | | | | 291,738 | | |
Owens Corning, 4.30%, 7/15/47 | | | | | 98,000 | | | | | | 112,868 | | |
Penske Truck Leasing Co. L.P./PTL Finance Corp., 3.40%, 11/15/26(b) | | | | | 139,000 | | | | | | 150,939 | | |
Penske Truck Leasing Co. L.P./PTL Finance Corp., Senior Note, 4.13%, 8/1/23(b) | | | | | 330,000 | | | | | | 349,728 | | |
Standard Industries, Inc., 4.38%, 7/15/30(b) | | | | | 175,000 | | | | | | 178,500 | | |
Standard Industries, Inc., Senior Note, 4.75%, 1/15/28(b) | | | | | 125,000 | | | | | | 129,687 | | |
Stanley Black & Decker, Inc., (5 year CMT + 2.657%), 4.00%, 3/15/60(c) | | | | | 148,000 | | | | | | 158,475 | | |
Trimble, Inc., 4.75%, 12/1/24 | | | | | 13,000 | | | | | | 14,382 | | |
Trimble, Inc., Senior Note, 4.15%, 6/15/23 | | | | | 250,000 | | | | | | 263,570 | | |
Union Pacific Corp., 2.97%, 9/16/62 | | | | | 225,000 | | | | | | 216,962 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
INDUSTRIAL – (continued) | | ||||||||||||
United Parcel Service, Inc., 3.90%, 4/1/25 | | | | $ | 65,000 | | | | | $ | 71,176 | | |
Vontier Corp., 2.95%, 4/1/31(b) | | | | | 47,000 | | | | | | 46,704 | | |
Xylem, Inc., 2.25%, 1/30/31 | | | | | 250,000 | | | | | | 250,199 | | |
Total Industrial | | | | | | | | | | | 8,643,002 | | |
TECHNOLOGY – 0.7% | | ||||||||||||
Apple, Inc., 1.40%, 8/5/28 | | | | | 97,000 | | | | | | 95,438 | | |
Apple, Inc., Senior Bond, 3.85%, 8/4/46 | | | | | 325,000 | | | | | | 380,027 | | |
Apple, Inc., Senior Note, 3.00%, 6/20/27 | | | | | 500,000 | | | | | | 547,372 | | |
Broadcom, Inc., 3.14%, 11/15/35 | | | | | 434,000 | | | | | | 432,635 | | |
Broadcom, Inc., 3.19%, 11/15/36 | | | | | 4,000 | | | | | | 3,982 | | |
Broadcom, Inc., 3.42%, 4/15/33(b) | | | | | 809,000 | | | | | | 837,454 | | |
Broadcom, Inc., 3.50%, 2/15/41(b) | | | | | 101,000 | | | | | | 99,797 | | |
Broadcom, Inc., 4.11%, 9/15/28 | | | | | 224,000 | | | | | | 249,230 | | |
Broadcom, Inc., 4.15%, 11/15/30 | | | | | 79,000 | | | | | | 87,530 | | |
CDW LLC/CDW Finance Corp., 5.50%, 12/1/24 | | | | | 350,000 | | | | | | 385,438 | | |
Dell International LLC/EMC Corp., 8.10%, 7/15/36 | | | | | 103,000 | | | | | | 156,186 | | |
Hewlett Packard Enterprise Co., 1.75%, 4/1/26 | | | | | 203,000 | | | | | | 205,953 | | |
Hewlett Packard Enterprise Co., 6.35%, 10/15/45 | | | | | 80,000 | | | | | | 107,414 | | |
HP, Inc., 2.65%, 6/17/31(b) | | | | | 1,000,000 | | | | | | 990,095 | | |
Microsoft Corp., 2.68%, 6/1/60 | | | | | 56,000 | | | | | | 54,290 | | |
Microsoft Corp., 3.04%, 3/17/62 | | | | | 269,000 | | | | | | 284,152 | | |
Oracle Corp., 2.30%, 3/25/28 | | | | | 229,000 | | | | | | 234,146 | | |
Oracle Corp., 4.10%, 3/25/61 | | | | | 80,000 | | | | | | 85,170 | | |
Oracle Corp., Senior Bond, 3.80%, 11/15/37 | | | | | 156,000 | | | | | | 168,344 | | |
Roper Technologies, Inc., 1.40%, 9/15/27 | | | | | 500,000 | | | | | | 493,769 | | |
Total Technology | | | | | | | | | | | 5,898,422 | | |
UTILITIES – 3.3% | | ||||||||||||
AEP Transmission Co. LLC, 4.25%, 9/15/48 | | | | | 425,000 | | | | | | 517,965 | | |
AES Corp. (The), 1.38%, 1/15/26 | | | | | 1,175,000 | | | | | | 1,159,574 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
UTILITIES – (continued) | | ||||||||||||
AES Corp. (The), 2.45%, 1/15/31 | | | | $ | 1,000,000 | | | | | $ | 986,243 | | |
Alabama Power Co., 3.75%, 3/1/45 | | | | | 170,000 | | | | | | 190,646 | | |
Alexander Funding Trust, 1.84%, 11/15/23(b) | | | | | 555,000 | | | | | | 565,671 | | |
Alliant Energy Finance LLC, 3.75%, 6/15/23(b) | | | | | 300,000 | | | | | | 314,530 | | |
American Electric Power Co., Inc., Senior Note, 3.20%, 11/13/27 | | | | | 77,000 | | | | | | 82,774 | | |
AmeriGas Partners L.P./AmeriGas Finance Corp., 5.88%, 8/20/26 | | | | | 225,000 | | | | | | 254,250 | | |
Appalachian Power Co., 3.70%, 5/1/50 | | | | | 100,000 | | | | | | 108,845 | | |
Atmos Energy Corp., 3.38%, 9/15/49 | | | | | 320,000 | | | | | | 335,704 | | |
Avangrid, Inc., 3.20%, 4/15/25 | | | | | 236,000 | | | | | | 251,347 | | |
Brooklyn Union Gas Co. (The), 4.49%, 3/4/49(b) | | | | | 1,000,000 | | | | | | 1,165,426 | | |
Calpine Corp., 3.75%, 3/1/31(b) | | | | | 450,000 | | | | | | 433,125 | | |
Clearway Energy Operating LLC, 3.75%, 2/15/31(b) | | | | | 925,000 | | | | | | 927,312 | | |
CMS Energy Corp., (5 year CMT + 4.116%), 4.75%, 6/1/50(c) | | | | | 63,000 | | | | | | 70,869 | | |
Commonwealth Edison Co., 3.70%, 8/15/28 | | | | | 820,000 | | | | | | 923,230 | | |
Connecticut Light & Power Co. (The), 4.00%, 4/1/48 | | | | | 105,000 | | | | | | 125,339 | | |
Consolidated Edison Co. of New York, Inc., 3.60%, 6/15/61 | | | | | 144,000 | | | | | | 150,461 | | |
Consolidated Edison Co. of New York, Inc., 0, 3.95%, 4/1/50 | | | | | 23,000 | | | | | | 26,245 | | |
Dominion Energy South Carolina, Inc., 5.10%, 6/1/65 | | | | | 101,000 | | | | | | 144,980 | | |
Dominion Energy, Inc., Junior Subordinated Bond, 5.75%, 10/1/54 (5.75% fixed rate until 10/1/24; 3.06% + 3 month USD LIBOR thereafter)(c) | | | | | 42,000 | | | | | | 46,052 | | |
Dominion Energy, Inc., Senior Note, 4.25%, 6/1/28 | | | | | 270,000 | | | | | | 306,749 | | |
DTE Electric Co., 3.95%, 3/1/49 | | | | | 1,199,000 | | | | | | 1,415,678 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
UTILITIES – (continued) | | ||||||||||||
Duke Energy Florida LLC, 2.50%, 12/1/29 | | | | $ | 1,000,000 | | | | | $ | 1,034,281 | | |
Duke Energy Florida LLC, 3.80%, 7/15/28 | | | | | 550,000 | | | | | | 614,179 | | |
Duke Energy Florida LLC, 4.20%, 7/15/48 | | | | | 50,000 | | | | | | 60,170 | | |
Electricite de France S.A., Senior Note, 3.63%, 10/13/25(b) | | | | | 1,000,000 | | | | | | 1,087,062 | | |
Emera US Finance L.P., 3.55%, 6/15/26 | | | | | 400,000 | | | | | | 432,357 | | |
Emera US Finance L.P., 4.75%, 6/15/46 | | | | | 102,000 | | | | | | 120,358 | | |
Entergy Louisiana LLC, 4.20%, 9/1/48 | | | | | 310,000 | | | | | | 371,517 | | |
Entergy Mississippi LLC, 3.50%, 6/1/51 | | | | | 37,000 | | | | | | 40,399 | | |
Entergy Texas, Inc., 4.50%, 3/30/39 | | | | | 204,000 | | | | | | 240,042 | | |
Essential Utilities, Inc., 3.35%, 4/15/50 | | | | | 58,000 | | | | | | 59,523 | | |
FirstEnergy Corp., Senior Bond, Series C, 7.38%, 11/15/31 | | | | | 114,000 | | | | | | 155,731 | | |
Georgia Power Co., Series A, 3.25%, 3/15/51 | | | | | 92,000 | | | | | | 92,607 | | |
Interstate Power & Light Co., 3.50%, 9/30/49 | | | | | 64,000 | | | | | | 69,618 | | |
Israel Electric Corp. Ltd., Senior Secured Note, 6.88%, 6/21/23(b) | | | | | 400,000 | | | | | | 439,696 | | |
Jersey Central Power & Light Co., 2.75%, 3/1/32(b) | | | | | 35,000 | | | | | | 35,854 | | |
Liberty Utilities Finance GP 1, 2.05%, 9/15/30(b) | | | | | 64,000 | | | | | | 61,922 | | |
MidAmerican Energy Co., 3.10%, 5/1/27 | | | | | 624,000 | | | | | | 678,521 | | |
National Fuel Gas Co., 5.50%, 1/15/26 | | | | | 1,225,000 | | | | | | 1,411,015 | | |
National Rural Utilities Cooperative Finance Corp., 2.85%, 1/27/25 | | | | | 329,000 | | | | | | 347,445 | | |
New York State Electric & Gas Corp., 2.15%, 10/1/31(b) | | | | | 1,225,000 | | | | | | 1,208,632 | | |
NextEra Energy Operating Partners L.P., 4.25%, 7/15/24(b) | | | | | 575,000 | | | | | | 608,781 | | |
Oncor Electric Delivery Co. LLC, 3.70%, 11/15/28 | | | | | 720,000 | | | | | | 813,968 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
UTILITIES – (continued) | | ||||||||||||
Pacific Gas and Electric Co., 3.95%, 12/1/47 | | | | $ | 107,000 | | | | | $ | 102,970 | | |
Pacific Gas and Electric Co., 4.30%, 3/15/45 | | | | | 81,000 | | | | | | 79,914 | | |
PacifiCorp, 4.13%, 1/15/49 | | | | | 135,000 | | | | | | 158,909 | | |
Pattern Energy Operations L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(b) | | | | | 425,000 | | | | | | 443,062 | | |
PPL Electric Utilities Corp., 4.15%, 6/15/48 | | | | | 85,000 | | | | | | 103,560 | | |
PSEG Power LLC, 3.85%, 6/1/23 | | | | | 310,000 | | | | | | 326,098 | | |
Public Service Co. of Colorado, 2.70%, 1/15/51 | | | | | 179,000 | | | | | | 173,307 | | |
Public Service Co. of Colorado, 3.70%, 6/15/28 | | | | | 85,000 | | | | | | 94,613 | | |
Public Service Co. of Colorado, 4.10%, 6/15/48 | | | | | 182,000 | | | | | | 219,851 | | |
Public Service Co. of Oklahoma, Series J, 2.20%, 8/15/31 | | | | | 109,000 | | | | | | 107,510 | | |
Public Service Electric & Gas Co., 2.70%, 5/1/50 | | | | | 420,000 | | | | | | 404,428 | | |
San Diego Gas & Electric Co., Series WWW, 2.95%, 8/15/51 | | | | | 1,375,000 | | | | | | 1,362,626 | | |
Southern California Edison Co., 1.10%, 4/1/24 | | | | | 206,000 | | | | | | 206,995 | | |
Southern California Edison Co., Series C, 4.13%, 3/1/48 | | | | | 110,000 | | | | | | 119,862 | | |
Southern California Gas Co., Series VV, 4.30%, 1/15/49 | | | | | 75,000 | | | | | | 92,702 | | |
Southern Power Co., Senior Note, 4.15%, 12/1/25 | | | | | 500,000 | | | | | | 553,987 | | |
Southwestern Public Service Co., 3.75%, 6/15/49 | | | | | 360,000 | | | | | | 408,830 | | |
Star Energy Geothermal Wayang Windu Ltd., Senior Secured Bond, 6.75%, 4/24/33(b) | | | | | 443,350 | | | | | | 507,636 | | |
Tucson Electric Power Co., 1.50%, 8/1/30 | | | | | 525,000 | | | | | | 496,669 | | |
Union Electric Co., 2.95%, 6/15/27 | | | | | 86,000 | | | | | | 91,888 | | |
Vistra Operations Co. LLC, 3.55%, 7/15/24(b) | | | | | 305,000 | | | | | | 320,807 | | |
Investments | | | Principal Amount | | | Value | | ||||||
CORPORATE BONDS – (continued) | | ||||||||||||
UTILITIES – (continued) | | ||||||||||||
Vistra Operations Co. LLC, 5.00%, 7/31/27(b) | | | | $ | 100,000 | | | | | $ | 103,250 | | |
Total Utilities | | | | | | | | | | | 26,966,167 | | |
TOTAL CORPORATE BONDS (Cost: $204,859,866) | | | | | 211,880,316 | | | ||||||
ASSET-BACKED SECURITIES – 16.1% | | ||||||||||||
ABPCI Direct Lending Fund ABS I Ltd., Series 2020-1A, Class A, ABS, 3.20%, 12/20/30(b) | | | | | 1,620,000 | | | | | | 1,622,728 | | |
Adams Outdoor Advertising L.P., Series 2018-1, Class A, 4.81%, 11/15/48(b) | | | | | 1,366,600 | | | | | | 1,435,611 | | |
Americredit Automobile Receivables Trust, Series 2019-1, Class B, 3.13%, 2/18/25 | | | | | 100,000 | | | | | | 101,274 | | |
Americredit Automobile Receivables Trust, Series 2019-1, Class C, 3.36%, 2/18/25 | | | | | 100,000 | | | | | | 102,743 | | |
Americredit Automobile Receivables Trust, Series 2019-2, Class C, 2.74%, 4/18/25 | | | | | 300,000 | | | | | | 308,210 | | |
Americredit Automobile Receivables Trust, Series 2019-3, Class C, 2.32%, 7/18/25 | | | | | 500,000 | | | | | | 511,046 | | |
AmeriCredit Automobile Receivables Trust, Series 2020-1, Class B, 1.48%, 1/21/25 | | | | | 300,000 | | | | | | 303,424 | | |
AmeriCredit Automobile Receivables Trust, Series 2020-3, Class C, ABS, 1.06%, 8/18/26 | | | | | 200,000 | | | | | | 201,332 | | |
AmeriCredit Automobile Receivables Trust, Series 2021-1, Class C, ABS, 0.89%, 10/19/26 | | | | | 1,100,000 | | | | | | 1,102,016 | | |
AmeriCredit Automobile Receivables Trust, Series 2021-2, Class C, ABS, 1.01%, 1/19/27 | | | | | 300,000 | | | | | | 298,940 | | |
AMSR 2019-SFR1 Trust, Series 2019-SFR1, Class D, ABS, 3.25%, 1/19/39(b) | | | | | 100,000 | | | | | | 103,464 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
Antares CLO 2019-1 Ltd., Series 2019-1A, Class B, ABS, (3 month USD LIBOR + 2.550%), 2.68%, 7/20/31(b)(c) | | | | $ | 1,940,000 | | | | | $ | 1,940,578 | | |
Apres Static CLO Ltd., Series 2019-1A, Class A1R, ABS, (3 month USD LIBOR + 1.070%), 1.20%, 10/15/28(b)(c) | | | | | 1,050,891 | | | | | | 1,050,933 | | |
Atlas Senior Loan Fund XI Ltd., Series 2018-11A, Class A1L, 1.23%, 7/26/31 (3 month USD LIBOR + 1.10%)(b)(c) | | | | | 1,000,000 | | | | | | 1,000,084 | | |
Avis Budget Rental Car Funding AESOP LLC, Series 2018-2A, Class A, 4.00%, 3/20/25(b) | | | | | 200,000 | | | | | | 214,323 | | |
Avis Budget Rental Car Funding AESOP LLC, Series 2019-1A, Class A, 3.45%, 3/20/23(b) | | | | | 300,000 | | | | | | 302,373 | | |
Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.35%, 9/22/25(b) | | | | | 400,000 | | | | | | 426,364 | | |
Avis Budget Rental Car Funding AESOP LLC, Series 2019-3A, Class A, 2.36%, 3/20/26(b) | | | | | 500,000 | | | | | | 520,063 | | |
Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class A, 2.33%, 8/20/26(b) | | | | | 300,000 | | | | | | 311,832 | | |
Avis Budget Rental Car Funding AESOP LLC, Series 2021-1A, Class A, ABS, 1.38%, 8/20/27(b) | | | | | 800,000 | | | | | | 798,250 | | |
Bain Capital Credit Clo Ltd., Series 2016-2A, Class CRR, ABS, (3 month USD LIBOR + 2.000%), 2.13%, 1/15/29(b)(c) | | | | | 660,000 | | | | | | 660,011 | | |
Bain Capital Credit CLO Ltd., Series 2019-2A, Class AR, ABS, (3 month USD LIBOR + 1.100%), 1.00%, 10/17/32(b)(c) | | | | | 1,250,000 | | | | | | 1,250,000 | | |
Balboa Bay Loan Funding Ltd., Series 2021-1A, Class A, ABS, (3 month USD LIBOR + 1.200%), 1.00%, 7/20/34(b)(c) | | | | | 1,000,000 | | | | | | 1,000,705 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
Barings CLO Ltd. 2020-II, 1.42%, 10/15/33 (3 month USD LIBOR + 1.29%)(b)(c) | | | | $ | 1,000,000 | | | | | $ | 1,000,085 | | |
Battalion CLO VII Ltd., Series 2014-7A, Class A1RR, 1.17%, 7/17/28 (3 month USD LIBOR + 1.04%)(b)(c) | | | | | 462,719 | | | | | | 462,827 | | |
Blackrock Rainier CLO VI Ltd., Series 2021-6A, Class A, ABS, (3 month USD LIBOR + 1.700%), 1.83%, 4/20/33(b)(c) | | | | | 2,000,000 | | | | | | 2,001,540 | | |
Business Jet Securities LLC, Series 2020-1A, Class A, ABS, 2.98%, 11/15/35(b) | | | | | 154,418 | | | | | | 156,419 | | |
California Street CLO IX L.P., Series 2012-9A, Class CR3, ABS, (3 month USD LIBOR + 2.500%), 1.00%, 7/16/32(b)(c) | | | | | 1,840,000 | | | | | | 1,840,191 | | |
Carlyle Global Market Strategies, Series 2012-4A, Class A1R3, ABS, (3 month USD LIBOR + 1.080%), 1.22%, 4/22/32(b)(c) | | | | | 1,250,000 | | | | | | 1,250,132 | | |
Carlyle Global Market Strategies, Series 2015-5A, Class A1RR, ABS, (3 month USD LIBOR + 1.080%), 1.00%, 1/20/32(b)(c) | | | | | 2,250,000 | | | | | | 2,250,238 | | |
Carlyle Global Market Strategies, Series 2021-5A, Class A1, ABS, (3 month USD LIBOR + 1.120%), 1.00%, 7/20/34(b)(c) | | | | | 1,500,000 | | | | | | 1,501,078 | | |
Carmax Auto Owner Trust, Series 2021-1, Class C, ABS, 0.94%, 12/15/26 | | | | | 400,000 | | | | | | 398,138 | | |
CarMax Auto Owner Trust, Series 2021-2, Class C, ABS, 1.34%, 2/16/27 | | | | | 200,000 | | | | | | 199,521 | | |
CarMax Auto Owner Trust, Series 2021-3, Class C, ABS, 1.25%, 5/17/27 | | | | | 190,000 | | | | | | 188,684 | | |
CarMax Auto Owner Trust, Series 2021-4, Class C, ABS, 1.38%, 7/15/27 | | | | | 200,000 | | | | | | 198,725 | | |
CARS-DB4 L.P., Series 2020-1A, Class B1, 4.17%, 2/15/50(b) | | | | | 540,000 | | | | | | 556,484 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
CBAM Ltd., Series 2020-12A, Class AR, ABS, (3 month USD LIBOR + 1.180%), 1.31%, 7/20/34(b)(c) | | | | $ | 1,750,000 | | | | | $ | 1,750,941 | | |
CF Hippolyta LLC, Series 2020-1, Class B1, 2.28%, 7/15/60(b) | | | | | 368,972 | | | | | | 374,359 | | |
CFG Investments Ltd., Series 2021-1, Class A, ABS, 4.70%, 5/20/32(b) | | | | | 510,000 | | | | | | 524,790 | | |
Chase Funding Loan Acquisition Trust, Series 2004-OPT1, 0.94%, 6/25/34 (1 month USD LIBOR +0.855%)(c) | | | | | 42,656 | | | | | | 41,993 | | |
CIFC Funding Ltd., Series 2014-5A, Class A1R2, 1.33%, 10/17/31 (3 month USD LIBOR + 1.20%)(b)(c) | | | | | 1,000,000 | | | | | | 1,000,043 | | |
Citibank Credit Card Issuance Trust, Series 2018-A7, Class A7, 3.96%, 10/13/30 | | | | | 600,000 | | | | | | 695,403 | | |
Commonbond Student Loan Trust, Series 2018-CGS, Class A1, 3.87%, 2/25/46(b) | | | | | 54,683 | | | | | | 56,420 | | |
Commonbond Student Loan Trust, Series 2020-AGS, Class A, 1.98%, 8/25/50(b) | | | | | 311,062 | | | | | | 315,920 | | |
CSMC Trust, Series 2006-CF2, Class M3, 1.24%, 5/25/36 (1 month USD LIBOR + 0.65%)(b)(c) | | | | | 13,929 | | | | | | 13,946 | | |
Diamond CLO Ltd., Series 2019-1A, Class DR, ABS, (3 month USD LIBOR + 3.400%), 3.53%, 4/25/29(b)(c) | | | | | 1,300,000 | | | | | | 1,295,225 | | |
DigitalBridge Issuer LLC, Series 2020-1A, Class A2, 3.93%, 9/25/51(b) | | | | | 1,020,000 | | | | | | 1,019,775 | | |
Dorchester Park CLO DAC, Series 2015-1A, Class AR, 1.03%, 4/20/28 (3 month USD LIBOR + 0.90%)(b)(c) | | | | | 438,550 | | | | | | 438,638 | | |
Drive Auto Receivables Trust, Series 2019-3, Class B, 2.65%, 2/15/24 | | | | | 16,606 | | | | | | 16,623 | | |
Drive Auto Receivables Trust, Series 2021-1, Class B, ABS, 0.65%, 7/15/25 | | | | | 200,000 | | | | | | 200,549 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
Dryden 72 CLO Ltd., Series 2019-72A, Class AR, ABS, (3 month USD LIBOR + 1.080%), 1.21%, 5/15/32(b)(c) | | | | $ | 1,510,000 | | | | | $ | 1,510,566 | | |
Elevation CLO Ltd., Series 2014-2A, Class A1R, 1.36%, 10/15/29 (3 month USD LIBOR + 1.23%)(b)(c) | | | | | 500,000 | | | | | | 500,018 | | |
Elevation CLO Ltd., Series 2021-13A, Class A1, ABS, (3 month USD LIBOR + 1.190%), 1.34%, 7/15/34(b)(c) | | | | | 1,000,000 | | | | | | 1,000,344 | | |
Ellington Loan Acquisition Trust, Series 2007-2, Class A2C, 1.19%, 5/25/37 (1 month USD LIBOR + 1.10%)(b)(c) | | | | | 11,614 | | | | | | 11,630 | | |
FCI Funding LLC, Series 2019-1A, Class A, 3.63%, 2/18/31(b) | | | | | 103,955 | | | | | | 105,116 | | |
Ford Credit Auto Owner Trust, Series 2018-1, Class A, 3.19%, 7/15/31(b) | | | | | 500,000 | | | | | | 535,367 | | |
Ford Credit Auto Owner Trust, Series 2019-1, Class A, 3.52%, 7/15/30(b) | | | | | 1,000,000 | | | | | | 1,064,646 | | |
Ford Credit Auto Owner Trust, Series 2020-2, Class A, ABS, 1.06%, 4/15/33(b) | | | | | 800,000 | | | | | | 797,000 | | |
Ford Credit Auto Owner Trust, Series 2020-REV1, 2.04%, 8/15/31(b) | | | | | 800,000 | | | | | | 827,229 | | |
Ford Credit Auto Owner Trust, Series 2021-1, Class B, ABS, 1.61%, 10/17/33(b) | | | | | 120,000 | | | | | | 119,884 | | |
Ford Credit Floorplan Master Owner Trust A, Series 2020-2, Class A, 1.06%, 9/15/27 | | | | | 600,000 | | | | | | 598,652 | | |
Global SC Finance VII Srl, Series 2020-1A, Class A, 2.17%, 10/17/40(b) | | | | | 505,181 | | | | | | 511,168 | | |
Global SC Finance VII Srl, Series 2020-2A, Class A, 2.26%, 11/19/40(b) | | | | | 270,391 | | | | | | 274,346 | | |
Global SC Finance VII Srl, Series 2020-2A, Class B, 3.32%, 11/19/40(b) | | | | | 225,324 | | | | | | 228,152 | | |
GM Financial Consumer Automobile Receivables Trust, Series 2018-4, Class C, 3.62%, 6/17/24 | | | | | 100,000 | | | | | | 103,021 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
GM Financial Revolving Receivables Trust, Series 2021-1, Class B, ABS, 1.49%, 6/12/34(b) | | | | $ | 100,000 | | | | | $ | 99,105 | | |
Golub Capital Partners ABS Funding Ltd., Series 2020-1A, Class A2, ABS, 3.21%, 1/22/29(b) | | | | | 800,000 | | | | | | 805,822 | | |
Golub Capital Partners TALF LLC, Series 2020-2A, Class C, ABS, (3 month USD LIBOR + 3.650%), 3.77%, 2/5/30(b)(c) | | | | | 650,000 | | | | | | 653,667 | | |
GoodLeap Sustainable Home Solutions Trust, Series 2021-3CS, Class A, ABS, 2.10%, 5/20/48(b) | | | | | 384,303 | | | | | | 382,731 | | |
Hercules Capital Funding Trust, Series 2018-1A, Class A, 4.61%, 11/22/27(b) | | | | | 847,994 | | | | | | 851,971 | | |
HERO Funding Trust, Series 2016-1A, Class A, 4.05%, 9/20/41(b) | | | | | 417,235 | | | | | | 436,496 | | |
HERO Funding Trust, Series 2016-3A, Class A1, 3.08%, 9/20/42(b) | | | | | 193,216 | | | | | | 198,324 | | |
HERO Funding Trust, Series 2020-1A, Class A, 2.59%, 9/20/57(b) | | | | | 708,817 | | | | | | 720,999 | | |
Hertz Vehicle Financing III L.P., Series 2021-2A, Class A, ABS, 1.68%, 12/27/27(b) | | | | | 400,000 | | | | | | 400,421 | | |
Hertz Vehicle Financing LLC, Series 2021-1A, Class A, ABS, 1.21%, 12/26/25(b) | | | | | 400,000 | | | | | | 401,273 | | |
Home Equity Asset Trust, Series 2003-1, Class M1, 1.59%, 6/25/33 (1 month USD LIBOR + 1.50%)(c) | | | | | 4,163 | | | | | | 4,202 | | |
HPS Loan Management Ltd., Series 10A-16, Class A1RR, ABS, (3 month USD LIBOR + 1.140%), 1.27%, 4/20/34(b)(c) | | | | | 1,000,000 | | | | | | 1,000,620 | | |
HPS Loan Management Ltd., Series 15A-19, Class A1, 1.46%, 7/22/32 (3 month USD LIBOR + 1.32%)(b)(c) | | | | | 500,000 | | | | | | 500,314 | | |
Jamestown CLO XIV Ltd., Series 2019-14A, Class A1AR, ABS, (3 month USD LIBOR + 1.200%), 1.00%, 10/20/34(b)(c) | | | | | 1,125,000 | | | | | | 1,124,719 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
KKR Clo 32 Ltd., Series 32A, Class A1, ABS, (3 month USD LIBOR + 1.320%), 1.45%, 1/15/32(b)(c) | | | | $ | 1,500,000 | | | | | $ | 1,504,365 | | |
KVK CLO Ltd., Series 2016-1A, Class A1R2, ABS, (3 month USD LIBOR + 1.210%), 1.00%, 10/15/34(b)(c) | | | | | 750,000 | | | | | | 749,812 | | |
Laurel Road Prime Student Loan Trust, Series 2019-A, Class A2FX, 2.73%, 10/25/48(b) | | | | | 82,279 | | | | | | 83,694 | | |
Legacy Mortgage Asset Trust, Series 2019-GS1, Class A1, 4.00%, 1/25/59(b) | | | | | 47,788 | | | | | | 47,843 | | |
Legacy Mortgage Asset Trust, Series 2019-GS2, Class A1, 3.75%, 1/25/59(b) | | | | | 58,249 | | | | | | 58,297 | | |
Legacy Mortgage Asset Trust, Series 2019-GS4, Class A1, 3.44%, 5/25/59(b) | | | | | 142,097 | | | | | | 142,238 | | |
Lendmark Funding Trust, Series 2019-2A, Class A, ABS, 2.78%, 4/20/28(b) | | | | | 300,000 | | | | | | 306,429 | | |
LIAS Administration Fee Issuer LLC, Series 2018-1A, Class A, 5.96%, 7/25/48 | | | | | 1,151,911 | | | | | | 1,304,128 | | |
Loanpal Solar Loan 2021-1 Ltd., Series 2021-1GS, Class A, ABS, 2.29%, 1/20/48(b) | | | | | 830,586 | | | | | | 839,220 | | |
Loanpal Solar Loan 2021-2 Ltd., Series 2021-2GS, Class A, ABS, 2.22%, 3/20/48(b) | | | | | 443,406 | | | | | | 443,431 | | |
Logan CLO I Ltd., Series 2021-1A, Class A, ABS, (3 month USD LIBOR + 1.160%), 1.31%, 7/20/34(b)(c) | | | | | 1,000,000 | | | | | | 1,000,523 | | |
Madison Park Funding X Ltd., Series 2012-10A, Class AR3, ABS, (3 month USD LIBOR + 1.010%), 1.14%, 1/20/29(b)(c) | | | | | 2,826,171 | | | | | | 2,826,465 | | |
MCA Fund Holding LLC, Series 2020-1, Class A, ABS, 3.25%, 11/15/35(b) | | | | | 707,210 | | | | | | 719,051 | | |
Midocean Credit CLO IX, Series 2018-9A, Class A1, 1.28%, 7/20/31 (3 month USD LIBOR + 1.15%)(b)(c) | | | | | 500,000 | | | | | | 500,055 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
MMAF Equipment Finance LLC, Series 2018-A, Class A5, 3.61%, 3/10/42(b) | | | | $ | 100,000 | | | | | $ | 105,760 | | |
MMAF Equipment Finance LLC, Series 2019-A, Class A5, 3.08%, 11/12/41(b) | | | | | 300,000 | | | | | | 315,501 | | |
MMAF Equipment Finance LLC, Series 2019-B, Class A5, 2.29%, 11/12/41(b) | | | | | 300,000 | | | | | | 313,003 | | |
Monroe Capital ABS Funding Ltd., Series 2021-1A, Class A2, ABS, 2.82%, 4/22/31(b) | | | | | 2,200,000 | | | | | | 2,191,468 | | |
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-HE6, Class M1, 0.91%, 8/25/34 (1 month USD LIBOR + 0.83%)(c) | | | | | 7,718 | | | | | | 7,661 | | |
Mosaic Solar Loan Trust, Series 2020-1A, Class A, 2.10%, 4/20/46(b) | | | | | 684,267 | | | | | | 693,021 | | |
Mosaic Solar Loan Trust, Series 2020-2A, Class A, 1.44%, 8/20/46(b) | | | | | 778,540 | | | | | | 767,325 | | |
Mosaic Solar Loan Trust, Series 2021-1A, Class B, ABS, 2.05%, 12/20/46(b) | | | | | 857,570 | | | | | | 857,911 | | |
Mosaic Solar Loan Trust, Series 2021-3A, Class A, ABS, 1.44%, 6/20/52(b) | | | | | 1,680,000 | | | | | | 1,644,199 | | |
Mountain View CLO IX Ltd., Series 2015-9A, Class A1R, 1.25%, 7/15/31 (3 month USD LIBOR + 1.12%)(b)(c) | | | | | 1,000,000 | | | | | | 1,000,002 | | |
NADG NNN Operating L.P., Series 2019-1, Class A, 3.37%, 12/28/49(b) | | | | | 386,588 | | | | | | 396,035 | | |
Nassau CFO LLC, Series 2019-1, Class A, 3.98%, 8/15/34(b) | | | | | 1,127,316 | | | | | | 1,139,355 | | |
Navient Private Education Refi Loan Trust, Series 2018-CA, Class A2, 3.52%, 6/16/42(b) | | | | | 83,275 | | | | | | 84,927 | | |
Navient Private Education Refi Loan Trust, Series 2019-CA, Class A2, 3.13%, 2/15/68(b) | | | | | 213,348 | | | | | | 218,593 | | |
Navient Private Education Refi Loan Trust, Series 2020-B, Class A2, 2.12%, 1/15/69(b) | | | | | 253,872 | | | | | | 257,546 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
Navient Private Education Refi Loan Trust, Series 2020-DA, Class A, 1.69%, 5/15/69(b) | | | | $ | 206,342 | | | | | $ | 208,412 | | |
New Residential Advance Receivables Trust Advance Receivables Backed Notes, Series 2020-APT1, Class AT1, ABS, 1.04%, 12/16/52(b) | | | | | 540,000 | | | | | | 539,850 | | |
Newtek Small Business Loan Trust, Series 2018-1, Class A, 2.70%, 2/25/44 (1 month USD LIBOR + 1.70%)(b)(c) | | | | | 451,147 | | | | | | 444,487 | | |
Newtek Small Business Loan Trust, Series 2018-1, Class B, 4.00%, 2/25/44 (1 month USD LIBOR + 3.00%)(b)(c) | | | | | 217,114 | | | | | | 210,197 | | |
Northwoods Capital XV Ltd., Series 2017-15A, Class A1R, ABS, (3 month USD LIBOR + 1.210%), 1.33%, 6/20/34(b)(c) | | | | | 2,000,000 | | | | | | 2,001,374 | | |
NRZ Advance Receivables Trust, Series 2020-T2, Class AT2, 1.48%, 9/15/53(b) | | | | | 510,000 | | | | | | 510,597 | | |
NRZ Advance Receivables Trust, Series 2020-T3, Class AT3, ABS, 1.32%, 10/15/52(b) | | | | | 300,000 | | | | | | 300,220 | | |
NXT Capital CLO LLC, Series 2020-1A, Class C, ABS, (3 month USD LIBOR + 3.350%), 3.48%, 1/20/31(b)(c) | | | | | 1,620,000 | | | | | | 1,622,480 | | |
Oaktree CLO Ltd., Series 2015-1A, Class A1R, 1.00%, 10/20/27 (3 month USD LIBOR + 0.87%)(b)(c) | | | | | 791,504 | | | | | | 791,547 | | |
Ocean Trails CLO V, Series 2014-5A, Class ARR, (3 month USD LIBOR + 1.280%), 1.41%, 10/13/31(b)(c) | | | | | 1,474,373 | | | | | | 1,474,376 | | |
Octagon Investment Partners, Ltd., Series 2017-1A, Class AR, ABS, (3 month USD LIBOR + 1.050%), 1.18%, 7/20/30(b)(c) | | | | | 875,000 | | | | | | 874,599 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES ��� (continued) | | ||||||||||||
OnDeck Asset Securitization Trust III LLC, Series 2021-1A, Class B, ABS, 2.28%, 5/17/27(b) | | | | $ | 2,050,000 | | | | | $ | 2,062,568 | | |
OneMain Direct Auto Receivables Trust, Series 2018-1A, Class A, 3.43%, 12/16/24(b) | | | | | 69,927 | | | | | | 70,085 | | |
OneMain Direct Auto Receivables Trust, Series 2019-1A, Class A, 3.63%, 9/14/27(b) | | | | | 900,000 | | | | | | 964,666 | | |
OneMain Financial Issuance Trust, Series 2020-1A, Class A, 3.84%, 5/14/32(b) | | | | | 200,000 | | | | | | 206,719 | | |
OneMain Financial Issuance Trust, Series 2020-2A, Class A, 1.75%, 9/14/35(b) | | | | | 400,000 | | | | | | 405,261 | | |
OneMain Financial Issuance Trust, Series 2021-1A, Class A2, ABS, (SOFR30A + 0.760%), 0.81%, 6/16/36(b)(c) | | | | | 600,000 | | | | | | 604,365 | | |
Oportun Funding XIV LLC, Series 2021-A, Class A, ABS, 1.21%, 3/8/28(b) | | | | | 1,400,000 | | | | | | 1,403,739 | | |
Oportun Issuance Trust, Series 2021-B, Class C, ABS, 3.65%, 5/8/31(b) | | | | | 1,290,000 | | | | | | 1,295,865 | | |
Oxford Finance Funding LLC, Series 2019-1A, Class A2, 4.46%, 2/15/27(b) | | | | | 617,272 | | | | | | 634,759 | | |
Oxford Finance Funding LLC, Series 2020-1A, Class A2, 3.10%, 2/15/28(b) | | | | | 800,000 | | | | | | 820,207 | | |
Palmer Square CLO Ltd., Series 2015-1A, Class A1A4, ABS, (3 month USD LIBOR + 1.130%), 1.26%, 5/21/34(b)(c) | | | | | 1,500,000 | | | | | | 1,501,228 | | |
Palmer Square Loan Funding 2020-4 Ltd., Series 2020-4A, Class B, (3 month USD LIBOR + 2.300%), 2.43%, 11/25/28 Zero Coupon,(b)(c) | | | | | 730,000 | | | | | | 730,663 | | |
Pawnee Equipment Receivables LLC, Series 2020-1, Class A, 1.37%, 11/17/25(b) | | | | | 326,617 | | | | | | 328,088 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
Pennsylvania Higher Education Assistance Agency, Series 2021-1A, Class A, ABS, (1 month USD LIBOR + 0.530%), 0.65%, 5/25/70(b)(c) | | | | $ | 550,000 | | | | | $ | 550,849 | | |
Progress Residential Trust, Series 2021-SFR8, Class D, ABS, 2.08%, 10/17/38(b) | | | | | 100,000 | | | | | | 99,172 | | |
ReadyCap Lending Small Business Loan Trust, Series 2019-2, Class A (PRIME + 0.50%), 2.75%, 12/27/44(b)(c) | | | | | 357,129 | | | | | | 341,979 | | |
Regatta VII Funding Ltd., Series 2016-4A, Class A1, ABS, (3 month USD LIBOR + 1.150%), 1.27%, 6/20/34(b)(c) | | | | | 1,500,000 | | | | | | 1,499,623 | | |
Regional Management Issuance Trust, Series 2020-1, Class A, 2.34%, 10/15/30(b) | | | | | 320,000 | | | | | | 326,467 | | |
Regional Management Issuance Trust, Series 2021-1, Class A, ABS, 1.68%, 3/17/31(b) | | | | | 1,870,000 | | | | | | 1,870,447 | | |
Renew, Series 2018-1, Class A, 3.95%, 9/20/53(b) | | | | | 226,084 | | | | | | 238,969 | | |
Renew, Series 2021-1, Class A, ABS, Reg S, 2.06%, 11/20/56(b) | | | | | 918,543 | | | | | | 918,509 | | |
Republic FInance Issuance Trust, Series 2019-A, Class A, 3.43%, 11/22/27(b) | | | | | 920,000 | | | | | | 927,823 | | |
Republic Finance Issuance Trust, Series 2020-A, Class B, ABS, 3.54%, 11/20/30(b) | | | | | 600,000 | | | | | | 618,257 | | |
Rockford Tower CLO 2020-1 Ltd., Series 2020-1A, Class A, ABS, (3 month USD LIBOR + 1.280%), 1.41%, 1/20/32(b)(c) | | | | | 1,250,000 | | | | | | 1,258,630 | | |
Sabey Data Center Issuer LLC, Series 2020-1, Class A2, 3.81%, 4/20/45(b) | | | | | 740,000 | | | | | | 778,766 | | |
Santander Drive Auto Receivables Trust, Series 2019-2, Class C, 2.90%, 10/15/24 | | | | | 414,471 | | | | | | 417,378 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
Santander Drive Auto Receivables Trust, Series 2019-3, Class C, 2.49%, 10/15/25 | | | | $ | 255,105 | | | | | $ | 256,761 | | |
Santander Drive Auto Receivables Trust, Series 2020-3, Class C, 1.12%, 1/15/26 | | | | | 400,000 | | | | | | 402,488 | | |
Santander Drive Auto Receivables Trust, Series 2020-4, Class C, ABS, 1.01%, 1/15/26 | | | | | 300,000 | | | | | | 301,939 | | |
Santander Drive Auto Receivables Trust, Series 2021-1, Class C, ABS, 0.75%, 2/17/26 | | | | | 600,000 | | | | | | 602,455 | | |
Santander Drive Auto Receivables Trust, Series 2021-2, Class C, ABS, 0.90%, 6/15/26 | | | | | 500,000 | | | | | | 501,755 | | |
Santander Drive Auto Receivables Trust, Series 2021-2, Class D, ABS, 1.35%, 7/15/27 | | | | | 600,000 | | | | | | 602,251 | | |
Santander Drive Auto Receivables Trust, Series 2021-3, Class C, ABS, 0.95%, 9/15/27 | | | | | 600,000 | | | | | | 601,085 | | |
Sixth Street CLO XVI Ltd., Series 2020-16A, Class A1A, ABS, (3 month USD LIBOR + 1.320%), 1.45%, 10/20/32(b)(c) | | | | | 1,750,000 | | | | | | 1,750,122 | | |
SoFi Consumer Loan Program Trust, Series 2020-1, Class 1A, 2.02%, 1/25/29(b) | | | | | 119,415 | | | | | | 120,160 | | |
SoFi Professional Loan Program Trust, Series 2020-C, Class AFX, 1.95%, 2/15/46(b) | | | | | 219,560 | | | | | | 223,157 | | |
Sofi Professional Loan Program LLC, Series 2019-A, Class A2FX, 3.69%, 6/15/48(b) | | | | | 134,006 | | | | | | 138,346 | | |
Sofi Professional Loan Program LLC, Series 2019-C, Class A2FX, 2.37%, 11/16/48(b) | | | | | 263,463 | | | | | | 268,301 | | |
SoFi Professional Loan Program Trust, Series 2020-A, Class A2FX, 2.54%, 5/15/46(b) | | | | | 400,000 | | | | | | 410,528 | | |
SolarCity FTE, Series 2016-A, Class A, 4.80%, 9/20/48(b) | | | | | 236,421 | | | | | | 240,468 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
Sound Point CLO II Ltd., Series 2013-1A, Class A1R, 1.20%, 1/26/31 (3 month USD LIBOR + 1.07%)(b)(c) | | | | $ | 250,000 | | | | | $ | 250,155 | | |
Springleaf Funding Trust, Series 2017-AA, Class A, 2.68%, 7/15/30(b) | | | | | 89,156 | | | | | | 89,274 | | |
Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.54%, 2/25/44(b) | | | | | 1,237,192 | | | | | | 1,301,075 | | |
Store Master Funding I-VII, Series 2019-1, Class A1, 2.82%, 11/20/49(b) | | | | | 1,010,378 | | | | | | 1,050,705 | | |
STWD Ltd., Series 2019-FL1, Class B, 1.77%, 7/15/38 (SOFR + 1.71%)(SOFR + 1.71%)(SOFR + 1.71%)(SOFR + 1.71)3(b)(c) | | | | | 470,000 | | | | | | 470,000 | | |
STWD Ltd., Series 2019-FL1, Class C, 2.12%, 7/15/38 (SOFR + 1.06%)(SOFR + 1.06%)(SOFR + 1.06%)1(b)(c) | | | | | 280,000 | | | | | | 280,000 | | |
Summit Issuer LLC, Series 2020-1A, Class A2, ABS, 2.29%, 12/20/50(b) | | | | | 1,620,000 | | | | | | 1,619,335 | | |
Sunrun Athena Issuer LLC, Series 2018-1, Class A, 5.31%, 4/30/49(b) | | | | | 234,292 | | | | | | 259,094 | | |
Sunrun Demeter Issuer, Series 2021-2A, Class A, ABS, 2.27%, 1/30/57(b) | | | | | 1,280,000 | | | | | | 1,279,119 | | |
Sunrun Xanadu Issuer LLC, Series 2019-1A, Class A, 3.98%, 6/30/54(b) | | | | | 410,547 | | | | | | 438,347 | | |
SWC Funding LLC, Series 2018-1A, Class A, 4.75%, 8/15/33(b) | | | | | 1,181,470 | | | | | | 1,210,037 | | |
TCW CLO 2017-1A Ltd., Series 2017-1A, Class A1RR, ABS, (3 month USD LIBOR + 1.180%), 1.00%, 10/29/34(b)(c) | | | | | 750,000 | | | | | | 750,000 | | |
Tesla Auto Lease Trust, Series 2019-A, Class A3, 2.16%, 10/20/22(b) | | | | | 1,000,000 | | | | | | 1,008,760 | | |
Tesla Auto Lease Trust, Series 2019-A, Class A4, 2.20%, 11/21/22(b) | | | | | 500,000 | | | | | | 507,777 | | |
Tesla Auto Lease Trust, Series 2021-A, Class A3, ABS, 0.56%, 3/20/25(b) | | | | | 1,000,000 | | | | | | 1,002,037 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
Tesla Auto Lease Trust, Series 2021-B, Class A3, ABS, 0.60%, 9/22/25(b) | | | | $ | 1,200,000 | | | | | $ | 1,197,747 | | |
TH Msrissuer Trust, Series 2019-FT1, Class A, 2.89%, 6/25/24 (1 month USD LIBOR + 2.80%)(b)(c) | | | | | 450,000 | | | | | | 445,402 | | |
TICP CLO IX Ltd., Series 2017-9A, Class A, 1.27%, 1/20/31 (3 month USD LIBOR + 1.14%)(b)(c) | | | | | 1,000,000 | | | | | | 1,001,758 | | |
Towd Point Mortgage Trust, Series 2020-4, Class A1, ABS, 1.75%, 10/25/60(b) | | | | | 196,393 | | | | | | 198,842 | | |
Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.35%, 5/25/33(b) | | | | | 300,000 | | | | | | 304,002 | | |
Toyota Auto Receivables Owner Trust, Series 2021-B, Class A2, ABS, 0.14%, 1/16/24 | | | | | 2,000,000 | | | | | | 1,998,934 | | |
Trimaran Cavu Ltd., Series 2019-1A, Class A1, 1.59%, 7/20/32 (3 month USD LIBOR + 1.46%)(b)(c) | | | | | 500,000 | | | | | | 500,807 | | |
Vantage Data Centers Issuer LLC, Series 2019-1A, Class A2, 3.19%, 7/15/44(b) | | | | | 827,396 | | | | | | 854,498 | | |
VB-S1 Issuer LLC, Series 2020-1A, Class C2, 3.03%, 6/15/50(b) | | | | | 700,000 | | | | | | 729,719 | | |
VCP RRL ABS I Ltd., Series 2021-1A, Class A, ABS, 2.15%, 10/20/31(b) | | | | | 900,000 | | | | | | 898,670 | | |
Vivint Solar Financing V LLC, Series 2018-1A, Class A, 4.73%, 4/30/48(b) | | | | | 237,422 | | | | | | 256,011 | | |
Vivint Solar Financing V LLC, Series 2018-1A, Class B, 7.37%, 4/30/48(b) | | | | | 769,090 | | | | | | 813,505 | | |
Wellfleet CLO Ltd., Series 2018-1A, Class A, 1.23%, 7/17/31 (3 month USD LIBOR + 1.10%)(b)(c) | | | | | 1,000,000 | | | | | | 997,139 | | |
Wendy’s Funding LLC, Series 2019-1A, Class A2I, 3.78%, 6/15/49(b) | | | | | 466,250 | | | | | | 492,743 | | |
World Omni Select Auto Trust, Series 2018-1A, Class C, 3.86%, 1/15/25(b) | | | | | 118,195 | | | | | | 118,603 | | |
World Omni Select Auto Trust, Series 2019-A, Class B, 2.17%, 12/15/25 | | | | | 400,000 | | | | | | 405,698 | | |
Investments | | | Principal Amount | | | Value | | ||||||
ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
World Omni Select Auto Trust, Series 2019-A, Class C, 2.38%, 12/15/25 | | | | $ | 100,000 | | | | | $ | 102,364 | | |
World Omni Select Auto Trust, Series 2021-A, Class C, ABS, 1.09%, 11/15/27 | | | | | 100,000 | | | | | | 99,663 | | |
York CLO-6 Ltd., Series 2019-1A, Class A1, 1.49%, 7/22/32 (3 month USD LIBOR + 1.35%)(b)(c) | | | | | 500,000 | | | | | | 500,235 | | |
Zais CLO 9 Ltd., Series 2018-2A, Class A, 1.33%, 7/20/31 (3 month USD LIBOR + 1.20%)(b)(c) | | | | | 970,261 | | | | | | 959,923 | | |
TOTAL ASSET-BACKED SECURITIES (Cost: $130,981,883) | | | | | 132,265,667 | | | ||||||
U.S. GOVERNMENT AGENCIES – 15.8% | | ||||||||||||
Federal Home Loan Mortgage Corp., 0.25%, 8/24/23 | | | | | 1,050,000 | | | | | | 1,049,580 | | |
Federal Home Loan Mortgage Corp., 1.50%, 11/1/50 | | | | | 477,775 | | | | | | 464,508 | | |
Federal Home Loan Mortgage Corp., 2.00%, 1/1/32 | | | | | 141,622 | | | | | | 146,417 | | |
Federal Home Loan Mortgage Corp., 2.00%, 9/1/50 | | | | | 2,873,953 | | | | | | 2,883,845 | | |
Federal Home Loan Mortgage Corp., 2.50%, 6/1/28 | | | | | 99,039 | | | | | | 104,154 | | |
Federal Home Loan Mortgage Corp., 2.50%, 3/1/51 | | | | | 381,083 | | | | | | 398,211 | | |
Federal Home Loan Mortgage Corp., 2.50%, 4/1/51 | | | | | 3,089,285 | | | | | | 3,189,293 | | |
Federal Home Loan Mortgage Corp., 2.50%, 5/1/51 | | | | | 298,628 | | | | | | 308,277 | | |
Federal Home Loan Mortgage Corp., 3.00%, 1/1/32 | | | | | 220,909 | | | | | | 235,938 | | |
Federal Home Loan Mortgage Corp., 3.00%, 12/1/37 | | | | | 338,952 | | | | | | 357,743 | | |
Federal Home Loan Mortgage Corp., 3.00%, 1/1/43 | | | | | 601,604 | | | | | | 642,586 | | |
Federal Home Loan Mortgage Corp., 3.00%, 8/1/45 | | | | | 267,956 | | | | | | 283,535 | | |
Federal Home Loan Mortgage Corp., 3.00%, 9/1/46 | | | | | 62,999 | | | | | | 66,571 | | |
Federal Home Loan Mortgage Corp., 3.00%, 1/1/47 | | | | | 922,367 | | | | | | 979,539 | | |
Federal Home Loan Mortgage Corp., 3.00%, 4/1/47 | | | | | 343,676 | | | | | | 362,420 | | |
Federal Home Loan Mortgage Corp., 3.00%, 10/1/49 | | | | | 93,056 | | | | | | 97,427 | | |
Federal Home Loan Mortgage Corp., 3.00%, 2/1/50 | | | | | 487,402 | | | | | | 511,291 | | |
Investments | | | Principal Amount | | | Value | | ||||||
U.S. GOVERNMENT AGENCIES – (continued) | | ||||||||||||
Federal Home Loan Mortgage Corp., 3.50%, 10/1/41 | | | | $ | 88,794 | | | | | $ | 96,410 | | |
Federal Home Loan Mortgage Corp., 3.50%, 10/1/42 | | | | | 408,228 | | | | | | 443,463 | | |
Federal Home Loan Mortgage Corp., 3.50%, 7/1/43 | | | | | 177,919 | | | | | | 192,720 | | |
Federal Home Loan Mortgage Corp., 3.50%, 1/1/45 | | | | | 246,466 | | | | | | 267,532 | | |
Federal Home Loan Mortgage Corp., 3.50%, 7/1/45 | | | | | 169,481 | | | | | | 182,229 | | |
Federal Home Loan Mortgage Corp., 3.50%, 8/1/46 | | | | | 594,102 | | | | | | 648,622 | | |
Federal Home Loan Mortgage Corp., 3.50%, 1/1/47 | | | | | 204,915 | | | | | | 221,092 | | |
Federal Home Loan Mortgage Corp., 3.50%, 11/1/47 | | | | | 174,768 | | | | | | 185,940 | | |
Federal Home Loan Mortgage Corp., 4.00%, 3/1/41 | | | | | 111,883 | | | | | | 123,369 | | |
Federal Home Loan Mortgage Corp., 4.00%, 6/1/42 | | | | | 5,274 | | | | | | 5,761 | | |
Federal Home Loan Mortgage Corp., 4.00%, 6/1/42 | | | | | 221,366 | | | | | | 243,987 | | |
Federal Home Loan Mortgage Corp., 4.00%, 10/1/47 | | | | | 96,430 | | | | | | 106,649 | | |
Federal Home Loan Mortgage Corp., 4.00%, 6/1/48 | | | | | 994,253 | | | | | | 1,090,254 | | |
Federal Home Loan Mortgage Corp., 4.00%, 7/1/48 | | | | | 53,115 | | | | | | 58,488 | | |
Federal Home Loan Mortgage Corp., 4.00%, 7/1/48 | | | | | 2,617,514 | | | | | | 2,881,404 | | |
Federal Home Loan Mortgage Corp., 4.50%, 6/1/47 | | | | | 329,859 | | | | | | 359,471 | | |
Federal Home Loan Mortgage Corp., 4.50%, 6/1/47 | | | | | 35,122 | | | | | | 39,320 | | |
Federal Home Loan Mortgage Corp., 4.50%, 7/1/47 | | | | | 71,201 | | | | | | 77,665 | | |
Federal Home Loan Mortgage Corp., 4.50%, 7/1/47 | | | | | 73,081 | | | | | | 79,659 | | |
Federal Home Loan Mortgage Corp., 4.50%, 2/1/48 | | | | | 183,663 | | | | | | 199,770 | | |
Federal Home Loan Mortgage Corp., 4.50%, 8/1/48 | | | | | 177,669 | | | | | | 198,437 | | |
Federal Home Loan Mortgage Corp., 5.00%, 2/1/42 | | | | | 146,630 | | | | | | 167,561 | | |
Federal National Mortgage Association, 0.63%, 4/22/25 | | | | | 1,000,000 | | | | | | 998,016 | | |
Federal National Mortgage Association, 0.88%, 8/5/30 | | | | | 1,615,000 | | | | | | 1,520,287 | | |
Investments | | | Principal Amount | | | Value | | ||||||
U.S. GOVERNMENT AGENCIES – (continued) | | ||||||||||||
Federal National Mortgage Association, 1.50%, 10/1/36(f) | | | | $ | 300,000 | | | | | $ | 302,965 | | |
Federal National Mortgage Association, 1.50%, 10/1/50 | | | | | 443,806 | | | | | | 431,516 | | |
Federal National Mortgage Association, 1.50%, 12/1/50 | | | | | 961,453 | | | | | | 934,781 | | |
Federal National Mortgage Association, 1.63%, 1/7/25 | | | | | 770,000 | | | | | | 796,337 | | |
Federal National Mortgage Association, 2.00%, 10/1/36(f) | | | | | 2,700,000 | | | | | | 2,780,684 | | |
Federal National Mortgage Association, 2.00%, 12/1/40 | | | | | 610,217 | | | | | | 614,572 | | |
Federal National Mortgage Association, 2.00%, 2/1/41 | | | | | 497,157 | | | | | | 504,080 | | |
Federal National Mortgage Association, 2.00%, 5/1/41 | | | | | 966,963 | | | | | | 982,223 | | |
Federal National Mortgage Association, 2.00%, 10/1/50 | | | | | 1,822,314 | | | | | | 1,828,586 | | |
Federal National Mortgage Association, 2.00%, 11/1/50 | | | | | 460,045 | | | | | | 461,629 | | |
Federal National Mortgage Association, 2.00%, 1/1/51 | | | | | 1,419,787 | | | | | | 1,426,819 | | |
Federal National Mortgage Association, 2.00%, 10/1/51(f) | | | | | 8,950,000 | | | | | | 8,974,123 | | |
Federal National Mortgage Association, 2.00%, 11/1/51(f) | | | | | 5,700,000 | | | | | | 5,705,121 | | |
Federal National Mortgage Association, 2.50%, 4/1/31 | | | | | 516,690 | | | | | | 544,509 | | |
Federal National Mortgage Association, 2.50%, 10/1/36(f) | | | | | 1,500,000 | | | | | | 1,562,637 | | |
Federal National Mortgage Association, 2.50%, 9/1/41 | | | | | 3,485,013 | | | | | | 3,610,048 | | |
Federal National Mortgage Association, 2.50%, 5/1/43 | | | | | 242,268 | | | | | | 251,781 | | |
Federal National Mortgage Association, 2.50%, 8/1/46 | | | | | 612,268 | | | | | | 634,363 | | |
Federal National Mortgage Association, 2.50%, 9/1/46 | | | | | 47,770 | | | | | | 49,500 | | |
Federal National Mortgage Association, 2.50%, 10/1/46 | | | | | 149,953 | | | | | | 154,905 | | |
Investments | | | Principal Amount | | | Value | | ||||||
U.S. GOVERNMENT AGENCIES – (continued) | | ||||||||||||
Federal National Mortgage Association, 2.50%, 8/1/50 | | | | $ | 744,208 | | | | | $ | 767,992 | | |
Federal National Mortgage Association, 2.50%, 10/1/50 | | | | | 401,083 | | | | | | 413,901 | | |
Federal National Mortgage Association, 2.50%, 11/1/50 | | | | | 413,550 | | | | | | 426,766 | | |
Federal National Mortgage Association, 2.50%, 4/1/51 | | | | | 480,273 | | | | | | 495,621 | | |
Federal National Mortgage Association, 2.50%, 8/1/51 | | | | | 395,521 | | | | | | 408,161 | | |
Federal National Mortgage Association, 2.50%, 10/1/51(f) | | | | | 8,540,000 | | | | | | 8,805,207 | | |
Federal National Mortgage Association, 2.50%, 11/1/51(f) | | | | | 1,500,000 | | | | | | 1,543,652 | | |
Federal National Mortgage Association, 2.63%, 9/6/24 | | | | | 1,000,000 | | | | | | 1,062,510 | | |
Federal National Mortgage Association, 3.00%, 5/1/30 | | | | | 159,031 | | | | | | 168,870 | | |
Federal National Mortgage Association, 3.00%, 5/1/32 | | | | | 523,005 | | | | | | 555,316 | | |
Federal National Mortgage Association, 3.00%, 10/1/32 | | | | | 419,714 | | | | | | 443,463 | | |
Federal National Mortgage Association, 3.00%, 5/1/40 | | | | | 310,741 | | | | | | 326,684 | | |
Federal National Mortgage Association, 3.00%, 5/1/43 | | | | | 449,978 | | | | | | 480,235 | | |
Federal National Mortgage Association, 3.00%, 9/1/46 | | | | | 153,058 | | | | | | 163,901 | | |
Federal National Mortgage Association, 3.00%, 11/1/46 | | | | | 1,724,023 | | | | | | 1,825,263 | | |
Federal National Mortgage Association, 3.00%, 1/1/47 | | | | | 278,648 | | | | | | 294,501 | | |
Federal National Mortgage Association, 3.00%, 2/1/47 | | | | | 1,371,900 | | | | | | 1,463,716 | | |
Federal National Mortgage Association, 3.00%, 2/25/47 | | | | | 452,119 | | | | | | 473,973 | | |
Federal National Mortgage Association, 3.00%, 11/1/47 | | | | | 24,787 | | | | | | 25,553 | | |
Federal National Mortgage Association, 3.00%, 12/1/49 | | | | | 495,063 | | | | | | 518,422 | | |
Federal National Mortgage Association, 3.00%, 2/1/50 | | | | | 1,236,961 | | | | | | 1,294,816 | | |
Investments | | | Principal Amount | | | Value | | ||||||
U.S. GOVERNMENT AGENCIES – (continued) | | ||||||||||||
Federal National Mortgage Association, 3.00%, 7/1/50 | | | | $ | 5,376,548 | | | | | $ | 5,759,702 | | |
Federal National Mortgage Association, 3.00%, 10/1/51 | | | | | 500,000 | | | | | | 523,408 | | |
Federal National Mortgage Association, 3.00%, 11/1/51(f) | | | | | 1,500,000 | | | | | | 1,567,594 | | |
Federal National Mortgage Association, 3.50%, 12/1/30 | | | | | 43,846 | | | | | | 46,997 | | |
Federal National Mortgage Association, 3.50%, 1/1/35 | | | | | 161,153 | | | | | | 173,955 | | |
Federal National Mortgage Association, 3.50%, 5/1/40 | | | | | 106,282 | | | | | | 112,942 | | |
Federal National Mortgage Association, 3.50%, 1/1/41 | | | | | 249,852 | | | | | | 270,355 | | |
Federal National Mortgage Association, 3.50%, 8/1/42 | | | | | 197,176 | | | | | | 214,092 | | |
Federal National Mortgage Association, 3.50%, 11/1/42 | | | | | 294,515 | | | | | | 318,906 | | |
Federal National Mortgage Association, 3.50%, 8/1/43 | | | | | 125,243 | | | | | | 136,327 | | |
Federal National Mortgage Association, 3.50%, 12/1/45 | | | | | 609,822 | | | | | | 655,590 | | |
Federal National Mortgage Association, 3.50%, 8/1/46 | | | | | 229,459 | | | | | | 249,728 | | |
Federal National Mortgage Association, 3.50%, 12/1/46 | | | | | 241,825 | | | | | | 260,367 | | |
Federal National Mortgage Association, 3.50%, 1/1/47 | | | | | 136,614 | | | | | | 145,664 | | |
Federal National Mortgage Association, 3.50%, 4/1/47 | | | | | 397,284 | | | | | | 425,169 | | |
Federal National Mortgage Association, 3.50%, 9/1/47 | | | | | 189,286 | | | | | | 201,629 | | |
Federal National Mortgage Association, 3.50%, 11/1/47 | | | | | 6,369 | | | | | | 6,948 | | |
Federal National Mortgage Association, 3.50%, 11/1/47 | | | | | 59,649 | | | | | | 63,494 | | |
Federal National Mortgage Association, 3.50%, 3/1/48 | | | | | 1,986,890 | | | | | | 2,113,300 | | |
Federal National Mortgage Association, 3.50%, 6/1/48 | | | | | 212,818 | | | | | | 229,394 | | |
Federal National Mortgage Association, 3.50%, 11/1/48 | | | | | 290,833 | | | | | | 309,680 | | |
Investments | | | Principal Amount | | | Value | | ||||||
U.S. GOVERNMENT AGENCIES – (continued) | | ||||||||||||
Federal National Mortgage Association, 4.00%, 9/1/40 | | | | $ | 176,740 | | | | | $ | 195,475 | | |
Federal National Mortgage Association, 4.00%, 3/1/41 | | | | | 327,351 | | | | | | 361,448 | | |
Federal National Mortgage Association, 4.00%, 9/1/42 | | | | | 37,984 | | | | | | 41,477 | | |
Federal National Mortgage Association, 4.00%, 1/1/44 | | | | | 10,070 | | | | | | 11,146 | | |
Federal National Mortgage Association, 4.00%, 1/1/45 | | | | | 14,740 | | | | | | 16,095 | | |
Federal National Mortgage Association, 4.00%, 6/1/45 | | | | | 4,950 | | | | | | 5,448 | | |
Federal National Mortgage Association, 4.00%, 12/1/45 | | | | | 12,728 | | | | | | 14,079 | | |
Federal National Mortgage Association, 4.00%, 12/1/45 | | | | | 347,105 | | | | | | 380,662 | | |
Federal National Mortgage Association, 4.00%, 7/1/46 | | | | | 374,507 | | | | | | 406,090 | | |
Federal National Mortgage Association, 4.00%, 3/1/47 | | | | | 170,367 | | | | | | 186,005 | | |
Federal National Mortgage Association, 4.00%, 9/1/47 | | | | | 580,082 | | | | | | 625,442 | | |
Federal National Mortgage Association, 4.00%, 10/1/47 | | | | | 131,126 | | | | | | 140,716 | | |
Federal National Mortgage Association, 4.00%, 12/1/47 | | | | | 338,677 | | | | | | 367,038 | | |
Federal National Mortgage Association, 4.00%, 1/1/48 | | | | | 311,148 | | | | | | 334,512 | | |
Federal National Mortgage Association, 4.00%, 2/1/48 | | | | | 111,578 | | | | | | 119,930 | | |
Federal National Mortgage Association, 4.00%, 4/1/48 | | | | | 539,390 | | | | | | 577,259 | | |
Federal National Mortgage Association, 4.00%, 3/1/49 | | | | | 2,029,450 | | | | | | 2,173,804 | | |
Federal National Mortgage Association, 4.50%, 9/1/40 | | | | | 182,874 | | | | | | 204,276 | | |
Federal National Mortgage Association, 4.50%, 2/1/41 | | | | | 346,283 | | | | | | 386,882 | | |
Federal National Mortgage Association, 4.50%, 9/1/42 | | | | | 3,324 | | | | | | 3,665 | | |
Federal National Mortgage Association, 4.50%, 12/1/43 | | | | | 19,060 | | | | | | 21,176 | | |
Federal National Mortgage Association, 4.50%, 7/1/46 | | | | | 140,774 | | | | | | 154,050 | | |
Federal National Mortgage Association, 4.50%, 11/1/47 | | | | | 59,041 | | | | | | 65,738 | | |
Investments | | | Principal Amount | | | Value | | ||||||
U.S. GOVERNMENT AGENCIES – (continued) | | ||||||||||||
Federal National Mortgage Association, 4.50%, 1/1/48 | | | | $ | 160,074 | | | | | $ | 178,231 | | |
Federal National Mortgage Association, 4.50%, 2/1/48 | | | | | 28,541 | | | | | | 31,771 | | |
Federal National Mortgage Association, 4.50%, 3/1/48 | | | | | 230,399 | | | | | | 253,122 | | |
Federal National Mortgage Association, 4.50%, 5/1/48 | | | | | 200,722 | | | | | | 222,147 | | |
Federal National Mortgage Association, 5.00%, 9/1/40 | | | | | 148,570 | | | | | | 167,976 | | |
Federal National Mortgage Association, 5.00%, 2/1/41 | | | | | 98,903 | | | | | | 112,983 | | |
Federal National Mortgage Association, 5.00%, 7/1/44 | | | | | 253,392 | | | | | | 292,369 | | |
Federal National Mortgage Association, 5.00%, 5/1/48 | | | | | 74,821 | | | | | | 82,817 | | |
Federal National Mortgage Association, 5.00%, 8/1/48 | | | | | 25,792 | | | | | | 28,726 | | |
Federal National Mortgage Association, 5.50%, 2/1/42 | | | | | 60,332 | | | | | | 69,778 | | |
Government National Mortgage Association, 2.00%, 3/20/51 | | | | | 476,547 | | | | | | 483,822 | | |
Government National Mortgage Association, 2.00%, 10/1/51(f) | | | | | 2,465,000 | | | | | | 2,500,531 | | |
Government National Mortgage Association, 2.00%, 11/1/51(f) | | | | | 1,300,000 | | | | | | 1,316,250 | | |
Government National Mortgage Association, 2.50%, 12/20/46 | | | | | 114,586 | | | | | | 118,991 | | |
Government National Mortgage Association, 2.50%, 10/20/50 | | | | | 1,960,515 | | | | | | 2,031,361 | | |
Government National Mortgage Association, 2.50%, 8/20/51 | | | | | 400,539 | | | | | | 413,511 | | |
Government National Mortgage Association, 2.50%, 10/1/51(f) | | | | | 8,000,000 | | | | | | 8,258,438 | | |
Government National Mortgage Association, 3.00%, 12/20/42 | | | | | 242,455 | | | | | | 256,733 | | |
Government National Mortgage Association, 3.00%, 12/20/45 | | | | | 80,108 | | | | | | 84,420 | | |
Government National Mortgage Association, 3.00%, 9/20/46 | | | | | 124,703 | | | | | | 131,270 | | |
Investments | | | Principal Amount | | | Value | | ||||||
U.S. GOVERNMENT AGENCIES – (continued) | | ||||||||||||
Government National Mortgage Association, 3.00%, 10/20/46 | | | | $ | 258,662 | | | | | $ | 272,281 | | |
Government National Mortgage Association, 3.00%, 2/20/47 | | | | | 289,196 | | | | | | 304,724 | | |
Government National Mortgage Association, 3.00%, 4/20/47 | | | | | 197,216 | | | | | | 207,792 | | |
Government National Mortgage Association, 3.00%, 12/20/47 | | | | | 92,375 | | | | | | 97,027 | | |
Government National Mortgage Association, 3.00%, 1/20/48 | | | | | 191,891 | | | | | | 201,600 | | |
Government National Mortgage Association, 3.00%, 9/20/49 | | | | | 159,780 | | | | | | 167,135 | | |
Government National Mortgage Association, 3.00%, 12/20/49 | | | | | 316,680 | | | | | | 331,259 | | |
Government National Mortgage Association, 3.00%, 4/15/50 | | | | | 336,808 | | | | | | 351,718 | | |
Government National Mortgage Association, 3.00%, 8/20/50 | | | | | 1,374,709 | | | | | | 1,480,010 | | |
Government National Mortgage Association, 3.00%, 10/20/50 | | | | | 747,919 | | | | | | 791,956 | | |
Government National Mortgage Association, 3.00%, 10/1/51(f) | | | | | 850,000 | | | | | | 888,051 | | |
Government National Mortgage Association, 3.00%, 11/1/51(f) | | | | | 500,000 | | | | | | 521,504 | | |
Government National Mortgage Association, 3.50%, 2/20/42 | | | | | 200,033 | | | | | | 216,303 | | |
Government National Mortgage Association, 3.50%, 7/20/42 | | | | | 295,204 | | | | | | 319,246 | | |
Government National Mortgage Association, 3.50%, 11/20/42 | | | | | 134,632 | | | | | | 145,554 | | |
Government National Mortgage Association, 3.50%, 8/20/45 | | | | | 56,640 | | | | | | 60,389 | | |
Government National Mortgage Association, 3.50%, 9/20/45 | | | | | 56,787 | | | | | | 60,544 | | |
Investments | | | Principal Amount | | | Value | | ||||||
U.S. GOVERNMENT AGENCIES – (continued) | | ||||||||||||
Government National Mortgage Association, 3.50%, 4/20/46 | | | | $ | 83,222 | | | | | $ | 88,254 | | |
Government National Mortgage Association, 3.50%, 12/20/46 | | | | | 466,667 | | | | | | 495,902 | | |
Government National Mortgage Association, 3.50%, 1/20/47 | | | | | 298,800 | | | | | | 317,431 | | |
Government National Mortgage Association, 3.50%, 11/20/47 | | | | | 164,883 | | | | | | 174,657 | | |
Government National Mortgage Association, 3.50%, 1/20/48 | | | | | 173,624 | | | | | | 184,346 | | |
Government National Mortgage Association, 3.50%, 11/20/48 | | | | | 672,568 | | | | | | 709,405 | | |
Government National Mortgage Association, 3.50%, 8/20/50 | | | | | 447,664 | | | | | | 489,516 | | |
Government National Mortgage Association, 3.50%, 8/20/50 | | | | | 253,701 | | | | | | 269,961 | | |
Government National Mortgage Association, 3.50%, 10/20/50 | | | | | 93,905 | | | | | | 101,336 | | |
Government National Mortgage Association, 4.00%, 11/20/40 | | | | | 102,381 | | | | | | 112,228 | | |
Government National Mortgage Association, 4.00%, 2/20/46 | | | | | 228,825 | | | | | | 248,787 | | |
Government National Mortgage Association, 4.00%, 3/20/46 | | | | | 87,524 | | | | | | 93,780 | | |
Government National Mortgage Association, 4.00%, 5/20/47 | | | | | 135,963 | | | | | | 145,660 | | |
Government National Mortgage Association, 4.00%, 8/20/47 | | | | | 69,772 | | | | | | 74,743 | | |
Government National Mortgage Association, 4.00%, 9/20/47 | | | | | 1,075,144 | | | | | | 1,151,758 | | |
Government National Mortgage Association, 4.50%, 9/20/39 | | | | | 106,772 | | | | | | 118,143 | | |
Government National Mortgage Association, 4.50%, 7/20/41 | | | | | 59,665 | | | | | | 66,679 | | |
Investments | | | Principal Amount | | | Value | | ||||||
U.S. GOVERNMENT AGENCIES – (continued) | | ||||||||||||
Government National Mortgage Association, 4.50%, 2/20/47 | | | | $ | 41,842 | | | | | $ | 45,835 | | |
Government National Mortgage Association, 4.50%, 8/20/47 | | | | | 67,553 | | | | | | 73,182 | | |
Government National Mortgage Association, 4.50%, 1/20/48 | | | | | 227,773 | | | | | | 245,845 | | |
Government National Mortgage Association, 4.50%, 3/20/48 | | | | | 43,934 | | | | | | 47,248 | | |
Government National Mortgage Association, 4.50%, 7/20/48 | | | | | 94,454 | | | | | | 100,957 | | |
Government National Mortgage Association, 4.50%, 6/20/49 | | | | | 259,444 | | | | | | 277,277 | | |
Government National Mortgage Association, 5.00%, 7/20/45 | | | | | 154,761 | | | | | | 175,490 | | |
Tennessee Valley Authority, 1.50%, 9/15/31 | | | | | 145,000 | | | | | | 142,857 | | |
United States Department of Housing and Urban Development, Series 2019, 2.87%, 8/1/27 | | | | | 1,000,000 | | | | | | 1,081,956 | | |
United States International Development Finance Corp., Series 1, 1.65%, 4/15/28 | | | | | 1,000,000 | | | | | | 1,018,853 | | |
United States International Development Finance Corp., Series 3, 1.05%, 10/15/29 | | | | | 927,948 | | | | | | 926,565 | | |
TOTAL U.S. GOVERNMENT AGENCIES (Cost: $128,923,521) | | | | | 129,987,788 | | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 11.7% | | ||||||||||||
Alen Mortgage Trust, Series 2021-ACEN, Class C, (1 month USD LIBOR + 2.250%), 2.33%, 4/15/34(b)(c) | | | | | 1,000,000 | | | | | | 1,002,508 | | |
BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class A, 0.93%, 9/15/34 (1 month USD LIBOR + 0.85%)(b)(c) | | | | | 400,000 | | | | | | 399,752 | | |
BANK, Series 2018-BN15, Class A3, 4.14%, 11/15/61 | | | | | 575,000 | | | | | | 645,685 | | |
BANK, Series 2019-BN23, Class AS, 3.20%, 12/15/52 | | | | | 500,000 | | | | | | 534,916 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
BANK, Series 2020-BN28, Class A3, 1.58%, 3/15/63 | | | | $ | 1,200,000 | | | | | $ | 1,158,188 | | |
BANK, Series 2020-BN29, Class A3, 1.74%, 11/15/53 | | | | | 500,000 | | | | | | 486,762 | | |
Bellemeade Re Ltd., Series 2019-3A, Class M1A, 1.19%, 7/25/29 (1 month USD LIBOR + 1.10%)(b)(c) | | | | | 33,643 | | | | | | 33,656 | | |
Bellemeade Re Ltd., Series 2019-3A, Class M1B, 1.69%, 7/25/29 (1 month USD LIBOR + 1.60%)(b)(c) | | | | | 150,000 | | | | | | 150,433 | | |
Bellemeade Re Ltd., Series 2021-1A, Class M1A, CMO, 1.80%, 3/25/31(b)(c) | | | | | 300,000 | | | | | | 301,119 | | |
Bellemeade Re Ltd., Series 2021-2A, Class M1A, CMO, (SOFR30A + 1.200%), 1.25%, 6/25/31(b)(c) | | | | | 605,000 | | | | | | 606,331 | | |
Bellemeade Re Ltd., Series 2021-3A, Class M1A, CMO, (SOFR + 1.000%), 1.05%, 9/25/31(b)(c) | | | | | 300,000 | | | | | | 300,000 | | |
Benchmark Mortgage Trust, 2018B4, Class A3, 3.89%, 7/15/51 | | | | | 500,000 | | | | | | 526,693 | | |
Benchmark Mortgage Trust, Series 2019-B10, Class 3CCA, 4.03%, 3/15/62(b)(c) | | | | | 250,000 | | | | | | 265,689 | | |
Benchmark Mortgage Trust, Series 2019-B10, Class A3, 3.46%, 3/15/62 | | | | | 850,000 | | | | | | 925,423 | | |
Benchmark Mortgage Trust, Series 2020-B19, Class A4, 1.55%, 9/15/53 | | | | | 1,200,000 | | | | | | 1,165,440 | | |
Benchmark Mortgage Trust, Series 2020-B20, Class A4, 1.75%, 10/15/53 | | | | | 1,300,000 | | | | | | 1,272,652 | | |
Benchmark Mortgage Trust, Series 2020-B21, Class A4, 1.70%, 12/17/53 | | | | | 500,000 | | | | | | 481,500 | | |
Benchmark Mortgage Trust, Series 2020-IG3, Class A2, 2.48%, 9/15/48(b) | | | | | 1,500,000 | | | | | | 1,548,229 | | |
Benchmark Mortgage Trust, Series 2021-B24, Class A3, 2.01%, 3/15/54 | | | | | 550,000 | | | | | | 556,087 | | |
Benchmark Mortgage Trust, Series 2021-B24, Class A4, 2.26%, 3/15/54 | | | | | 600,000 | | | | | | 607,129 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
Benchmark Mortgage Trust, Series 2021-B25, Class A3, 1.91%, 4/15/54 | | | | $ | 1,200,000 | | | | | $ | 1,204,324 | | |
Benchmark Mortgage Trust, Series 2021-B25, Class A4, 2.27%, 4/15/54 | | | | | 800,000 | | | | | | 813,141 | | |
BX Commercial Mortgage Trust, Series 2020-BXLP, Class A, 0.88%, 12/15/36 (1 month USD LIBOR + 0.800%)(b)(c) | | | | | 645,117 | | | | | | 645,724 | | |
BXMT Ltd., Series 2020-FL2, Class A, (SOFR + 1.014%), 1.07%, 2/15/38(b)(c) | | | | | 840,000 | | | | | | 838,685 | | |
Cantor Commercial Real Estate Lending, Series 2019-CF3, Class A3, 2.75%, 1/15/53 | | | | | 800,000 | | | | | | 836,371 | | |
CD Mortgage Trust, Series 2016-CD2, Class B, 3.88%, 11/10/49(c) | | | | | 500,000 | | | | | | 528,834 | | |
CD Mortgage Trust, Series 2019-CD8, Class A3, 2.66%, 8/15/57 | | | | | 900,000 | | | | | | 934,205 | | |
Century Plaza Towers, Series 2019-CPT, Class A, 2.87%, 11/13/39(b) | | | | | 250,000 | | | | | | 263,530 | | |
Century Plaza Towers, Series 2019-CPT, Class E, 3.10%, 11/13/39(b)(c) | | | | | 488,000 | | | | | | 477,070 | | |
CFCRE Commercial Mortgage Trust, Series 2016-C7, Class A2, 3.59%, 12/10/54 | | | | | 2,317,417 | | | | | | 2,486,677 | | |
CGMS Commercial Mortgage Trust, Series 2017-MDRB, Class B, 1.83%, 7/15/30 (1 month USD LIBOR + 1.75%)(b)(c) | | | | | 1,300,000 | | | | | | 1,282,795 | | |
Citigroup Commercial Mortgage Trust, Series 2014-GC25, Class A3, 3.37%, 10/10/47 | | | | | 103,132 | | | | | | 108,806 | | |
Citigroup Commercial Mortgage Trust, Series 2016-P4, Class A3, 2.65%, 7/10/49 | | | | | 114,286 | | | | | | 118,774 | | |
Citigroup Commercial Mortgage Trust, Series 2018-C6, Class A3, 4.15%, 11/10/51 | | | | | 750,000 | | | | | | 848,042 | | |
Citigroup Commercial Mortgage Trust, Series 2019-C7, Class A3, 2.86%, 12/15/72 | | | | | 860,000 | | | | | | 908,823 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
COMM Mortgage Trust, Series 2013-LC13, Class D, 5.44%, 8/10/46(b)(c) | | | | $ | 500,000 | | | | | $ | 477,673 | | |
COMM Mortgage Trust, Series 2016-CR28, Class B, 4.79%, 2/10/49(c) | | | | | 500,000 | | | | | | 546,220 | | |
CSAIL Commercial Mortgage Trust, Series 2015-C2, Class A3, 3.23%, 6/15/57 | | | | | 135,894 | | | | | | 142,571 | | |
CSAIL Commercial Mortgage Trust, Series 2018-C14, Class A3, 4.15%, 11/15/51 | | | | | 700,000 | | | | | | 780,117 | | |
CSAIL Commercial Mortgage Trust, Series 2021-C20, Class A2, 2.49%, 3/15/54 | | | | | 1,250,000 | | | | | | 1,278,640 | | |
CSMC, Series 2020, 0.00%, 4/28/38 | | | | | 184,061 | | | | | | 186,513 | | |
CSMC Trust, Series 2018-RPL9, Class A, 3.85%, 9/25/57(b)(c) | | | | | 172,621 | | | | | | 181,696 | | |
CSMC Trust, Series 2020-RPL6, Class A1, CMO, 2.69%, 3/25/59(b)(c) | | | | | 166,748 | | | | | | 168,659 | | |
DBJPM Mortgage Trust, Series 2016-C3, Class A4, 2.63%, 8/10/49 | | | | | 1,100,000 | | | | | | 1,155,954 | | |
Eagle RE Ltd., Series 2021-1, Class M1A, CMO, (SOFR30A + 1.700%), 1.75%, 10/25/33(b)(c) | | | | | 935,000 | | | | | | 938,579 | | |
Federal Home Loan Mortgage Corp., Series 2016-HQA3, Class M2, CMO, (1 month USD LIBOR + 1.350%), 1.44%, 3/25/29(c) | | | | | 8,795 | | | | | | 8,799 | | |
Federal Home Loan Mortgage Corp., Series 2017-DNA2, Class M1, 1.29%, 10/25/29 (1 month USD LIBOR + 1.20%)(c) | | | | | 17,879 | | | | | | 17,885 | | |
Federal Home Loan Mortgage Corp., Series 2018-HQA1, Class M2, CMO, (1 month USD LIBOR + 2.300%), 2.39%, 9/25/30(c) | | | | | 46,187 | | | | | | 46,772 | | |
Federal Home Loan Mortgage Corp., Series 2020-HQA3, Class M2, CMO, REMIC, (1 month USD LIBOR + 3.600%), 3.69%, 7/25/50(b)(c) | | | | | 124,234 | | | | | | 125,394 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
Federal Home Loan Mortgage Corp., Series 2021-DNA3, Class M2, CMO, REMIC, (SOFR30A + 2.100%), 2.15%, 10/25/33(b)(c) | | | | $ | 639,000 | | | | | $ | 651,979 | | |
Federal Home Loan Mortgage Corp., Series 2021-DNA5, Class M1, CMO, REMIC, (SOFR +0.650%), 0.70%, 1/25/34(b)(c) | | | | | 272,348 | | | | | | 272,515 | | |
Federal Home Loan Mortgage Corp., Series 2021-DNA5, Class M2, CMO, REMIC, (SOFR +1.650%), 1.70%, 1/25/34(b)(c) | | | | | 175,000 | | | | | | 176,430 | | |
Federal Home Loan Mortgage Corp., Series 2021-HQA3, Class M1, CMO, REMIC, (SOFR +0.850%), 0.90%, 9/25/41(b)(c) | | | | | 1,550,000 | | | | | | 1,550,485 | | |
Federal Home Loan Mortgage Corp., Series 2021-P011, Class A1, 1.20%, 9/25/31 | | | | | 1,000,000 | | | | | | 992,474 | | |
Federal Home Loan Mortgage Corp., Series 326, Class 350, CMO, STRIPS, 3.50%, 3/15/44 | | | | | 243,415 | | | | | | 257,795 | | |
Federal Home Loan Mortgage Corp., Series 4640, Class CZ, CMO, REMIC, 3.50%, 12/15/46 | | | | | 1,020,023 | | | | | | 1,091,049 | | |
Federal Home Loan Mortgage Corp., Series 4661, Class BV, CMO, REMIC, 3.50%, 12/15/36 | | | | $ | 1,000,000 | | | | | | 1,017,377 | | |
Federal Home Loan Mortgage Corp., Series 4710, Class KZ, CMO, REMIC, 3.50%, 8/15/47 | | | | | 1,098,031 | | | | | | 1,180,083 | | |
Federal Home Loan Mortgage Corp., Series 4835, Class AS, 9.71%, 10/15/48 (1 month USD LIBOR + 9.84%)(c) | | | | | 107,574 | | | | | | 128,298 | | |
Federal Home Loan Mortgage Corp., Series 5027, Class AI, CMO, IO, REMIC, 2.00%, 9/25/50(g) | | | | | 539,155 | | | | | | 63,130 | | |
Federal Home Loan Mortgage Corp., Series 5034, Class IJ, CMO, IO, REMIC, 2.50%, 11/25/50(g) | | | | | 1,623,358 | | | | | | 269,542 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
Federal Home Loan Mortgage Corp., Series K088, Class AM, 3.76%, 1/25/29(c) | | | | $ | 360,000 | | | | | $ | 413,108 | | |
Federal Home Loan Mortgage Corp., Series K091, Class AM, 3.57%, 3/25/29 | | | | | 750,000 | | | | | | 853,971 | | |
Federal Home Loan Mortgage Corp., Series K157, Class A2, 3.99%, 5/25/33(c) | | | | | 600,000 | | | | | | 706,270 | | |
Federal Home Loan Mortgage Corp., Series KC03, Class A2, 3.50%, 1/25/26 | | | | | 450,000 | | | | | | 475,481 | | |
Federal Home Loan Mortgage Corp., Series W5FX, Class AFX, 3.34%, 4/25/28(c) | | | | | 830,000 | | | | | | 916,334 | | |
Federal National Mortgage Association, Series 2014-C02, Class 1M2, 2.69%, 5/25/24 (1 month USD LIBOR + 2.60%)(c) | | | | | 67,421 | | | | | | 68,236 | | |
Federal National Mortgage Association, Series 2014-C03, Class 1M2, 3.09%, 7/25/24 (1 month USD LIBOR + 3.00%)(c) | | | | | 87,144 | | | | | | 88,652 | | |
Federal National Mortgage Association, Series 2016-C01, Class 2M2, CMO, (1 month USD LIBOR + 6.950%), 7.04%, 8/25/28(c) | | | | | 26,250 | | | | | | 27,849 | | |
Federal National Mortgage Association, Series 2016-C03, Class 2M2, CMO, (1 month USD LIBOR + 5.900%), 5.99%, 10/25/28(c) | | | | | 35,391 | | | | | | 37,174 | | |
Federal National Mortgage Association, Series 2017-C02, Class 2ED4, 0.94%, 9/25/29 (1 month USD LIBOR + 0.85%)(c) | | | | | 86,979 | | | | | | 84,991 | | |
Federal National Mortgage Association, Series 2017-C05, Class 1M2A, 2.29%, 1/25/30 (1 month USD LIBOR + 2.20%)(c) | | | | | 3,317 | | | | | | 3,320 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
Federal National Mortgage Association, Series 2018-C03, Class 1EA2, 0.94%, 10/25/30 (1 month USD LIBOR + 0.85%)(c) | | | | $ | 34,002 | | | | | $ | 33,903 | | |
Federal National Mortgage Association, Series 2018-C04, Class 2M2, CMO, (1 month USD LIBOR + 2.550%), 2.64%, 12/25/30(c) | | | | | 7,172 | | | | | | 7,298 | | |
Federal National Mortgage Association, Series 2018-M10, Class A1, 3.48%, 7/25/28(c) | | | | | 123,144 | | | | | | 133,119 | | |
Federal National Mortgage Association, Series 2018-M8, Class A2, 3.44%, 6/25/28(c) | | | | | 500,000 | | | | | | 555,613 | | |
Federal National Mortgage Association, Series 2019-78, Class ZB, CMO, REMIC, 3.00%, 1/25/50 | | | | | 364,626 | | | | | | 381,379 | | |
Federal National Mortgage Association, Series 2019-M21, Class 3A1, 2.10%, 6/25/34 | | | | | 875,514 | | | | | | 901,879 | | |
Federal National Mortgage Association, Series 2019-M22, Class A1, 2.10%, 8/25/29 | | | | | 938,245 | | | | | | 977,301 | | |
Federal National Mortgage Association, Series 2020-56, Class LI, CMO, IO, REMIC, 2.00%, 8/25/50(g) | | | | | 436,892 | | | | | | 51,362 | | |
Federal National Mortgage Association, Series 2020-75, Class LI, CMO, IO, REMIC, 2.50%, 11/25/50(g) | | | | | 689,336 | | | | | | 97,211 | | |
Federal National Mortgage Association, Series 2021-M1G, Class A2, 1.56%, 11/25/30(c) | | | | | 1,000,000 | | | | | | 988,295 | | |
Federal National Mortgage Association, Series 2021-M3G, Class A2, 1.25%, 1/25/31(c) | | | | | 1,000,000 | | | | | | 965,882 | | |
Flagstar Mortgage Trust, Series 2021-10IN, Class A1, CMO, 3.00%, 10/25/51(b)(c) | | | | | 200,000 | | | | | | 207,389 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
Flagstar Mortgage Trust, Series 2021-4, Class A21, CMO, 2.50%, 6/1/51(b)(c) | | | | $ | 236,606 | | | | | $ | 237,517 | | |
GMSC, 1.00%, 10/15/36 | | | | | 1,720,000 | | | | | | 1,720,000 | | |
Government National Mortgage Association, Series 2013-99, Class AX, 3.00%, 7/20/43 | | | | | 204,820 | | | | | | 217,142 | | |
Government National Mortgage Association, Series 2015-143, Class WA, 4.00%, 10/20/45 | | | | | 242,451 | | | | | | 264,177 | | |
Government National Mortgage Association, Series 2017-101, Class AB, 2.50%, 7/20/47 | | | | | 299,784 | | | | | | 312,833 | | |
Government National Mortgage Association, Series 2018-76, Class IO, 4.00%, 6/20/46(g) | | | | | 59,229 | | | | | | 7,236 | | |
Government National Mortgage Association, Series 2019-M25, Class AB, 3.50%, 1/20/49 | | | | | 227,420 | | | | | | 246,587 | | |
GS Mortgage Securities Corp., Series 2021-RENT, Class A, (1 month USD LIBOR + 0.700%), 0.78%, 11/21/35(b)(c) | | | | | 300,000 | | | | | | 300,194 | | |
GS Mortgage Securities Corp. II, Series 2018-GS10, Class A3, 4.26%, 7/10/51(c) | | | | | 800,000 | | | | | | 871,229 | | |
GS Mortgage Securities Trust, Series 2015-GC34, Class A3, 3.24%, 10/10/48 | | | | | 1,080,543 | | | | | | 1,129,731 | | |
GS Mortgage Securities Trust, Series 2016-GS4, Class C, 4.09%, 11/10/49(c) | | | | | 500,000 | | | | | | 497,650 | | |
GS Mortgage Securities Trust, Series 2019-GC39, Class A3, 3.31%, 5/10/52 | | | | | 1,000,000 | | | | | | 1,079,001 | | |
GS Mortgage Securities Trust, Series 2019-GC42, Class A3, 2.75%, 9/1/52 | | | | | 1,100,000 | | | | | | 1,146,467 | | |
GS Mortgage Securities Trust, Series 2020-GC47, Class A4, 2.13%, 5/12/53 | | | | | 1,400,000 | | | | | | 1,402,489 | | |
GS Mortgage Securities Trust, Series 2020-GSA2, Class A4, 1.72%, 12/12/53 | | | | | 1,100,000 | | | | | | 1,066,211 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
GS Mortgage-Backed Securities Corp. Trust, Series 2020-PJ2, Class A4, CMO, 3.50%, 7/25/50(b)(c) | | | | $ | 31,343 | | | | | $ | 31,802 | | |
GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ5, Class A4, CMO, 2.50%, 10/25/51(b)(c) | | | | | 97,886 | | | | | | 98,077 | | |
GS Mortgage-Backed Securities Trust, Series 2021-PJ2, Class A4, CMO, 2.50%, 7/25/51(b)(c) | | | | | 92,067 | | | | | | 92,016 | | |
GS Mortgage-Backed Securities Trust, Series 2021-PJ6, Class A4, CMO, 2.50%, 11/25/51(b)(c) | | | | | 279,092 | | | | | | 279,804 | | |
GS Mortgage-Backed Securities Trust, Series 2021-PJ7, Class A4, CMO, 2.50%, 1/25/52(b)(c) | | | | | 446,611 | | | | | | 447,885 | | |
GS Mortgage-Backed Securities Trust, Series 2021-PJ8, Class A4, CMO, 2.50%, 1/25/52(b)(c) | | | | | 212,425 | | | | | | 213,031 | | |
HarborView Mortgage Loan Trust, Series 2005-11, Class 2A1A, 0.71%, 8/19/45 (1 month USD LIBOR + 0.62%)(c) | | | | | 37,999 | | | | | | 38,449 | | |
Home RE 2021-2 Ltd., Series 2021-2, Class M1A, CMO, (SOFR + 1.250%), 1.30%, 1/25/34(b)(c) | | | | | 260,000 | | | | | | 260,000 | | |
Hudsons Bay Simon JV Trust, Series 2015-HB10, Class C10, 5.63%, 8/5/34(b)(c) | | | | | 900,000 | | | | | | 742,271 | | |
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP4, Class A3, 3.39%, 12/15/49 | | | | | 1,071,000 | | | | | | 1,152,600 | | |
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class A, 1.08%, 9/15/29 (1 month USD LIBOR + 1.00%)(b)(c) | | | | | 400,000 | | | | | | 400,595 | | |
JP Morgan Mortgage Trust, Series 2017-2, Class A13, 3.50%, 5/25/47(b)(c) | | | | | 10,479 | | | | | | 10,640 | | |
JP Morgan Mortgage Trust, Series 2017-5, Class A2, CMO, 3.09%, 10/26/48(b)(c) | | | | | 47,902 | | | | | | 49,835 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
JP Morgan Mortgage Trust, Series 2018-5, Class A13, 3.50%, 10/25/48(b)(c) | | | | $ | 32,764 | | | | | $ | 33,473 | | |
JP Morgan Mortgage Trust, Series 2018-7FRB, Class A2, 0.84%, 4/25/46 (1 month USD LIBOR + 0.75%)(b)(c) | | | | | 30,372 | | | | | | 30,304 | | |
JP Morgan Mortgage Trust, Series 2018-8, Class A13, 4.00%, 1/25/49(b)(c) | | | | | 4,010 | | | | | | 4,046 | | |
JP Morgan Mortgage Trust, Series 2018-9, Class A13, 4.00%, 2/25/49(b)(c) | | | | | 3,019 | | | | | | 3,052 | | |
JP Morgan Mortgage Trust, Series 2019-1, Class A15, 4.00%, 5/25/49(b)(c) | | | | | 10,061 | | | | | | 10,200 | | |
JP Morgan Mortgage Trust, Series 2019-INV1, Class A11, CMO, 1.04%, 10/25/49 (1 month USD LIBOR + 0.950%)(b)(c) | | | | | 31,930 | | | | | | 32,097 | | |
JP Morgan Mortgage Trust, Series 2020-1, Class B2, 3.87%, 6/25/50(b)(c) | | | | | 33,817 | | | | | | 34,687 | | |
JP Morgan Mortgage Trust, Series 2021-11, Class A15, CMO, 2.50%, 1/25/52(b)(c) | | | | | 213,070 | | | | | | 213,486 | | |
JP Morgan Mortgage Trust, Series 2021-6, Class A15, CMO, 2.50%, 10/25/51(b)(c) | | | | | 208,832 | | | | | | 209,240 | | |
JP Morgan Mortgage Trust, Series 2021-7, Class A15, CMO, 2.50%, 11/25/51(b)(c) | | | | | 184,372 | | | | | | 185,193 | | |
JP Morgan Mortgage Trust, Series 2021-8, Class A15, CMO, 2.50%, 12/25/51(b)(c) | | | | | 136,785 | | | | | | 137,479 | | |
JP Morgan Trust, Series 2015-1, Class B1, CMO, 2.10%, 12/25/44(b)(c) | | | | | 117,180 | | | | | | 119,397 | | |
JPMBB Commercial Mortgage Securities Trust, Series 2014-C24, Class D, 4.05%, 11/15/47(b)(c) | | | | | 470,000 | | | | | | 310,073 | | |
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A4A1, 3.41%, 11/15/47 | | | | | 286,398 | | | | | | 302,461 | | |
JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class A4, 3.55%, 7/15/48 | | | | | 114,286 | | | | | | 122,331 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class A3, 3.50%, 12/15/48 | | | | $ | 1,069,194 | | | | | $ | 1,143,543 | | |
JPMDB Commercial Mortgage Securities Trust, Series 2017-C7, Class A3, 3.05%, 10/15/50 | | | | | 1,000,000 | | | | | | 1,044,949 | | |
Manhattan West 2020-1MW Mortgage Trust, Series 2020-1MW, Class C, 2.41%, 9/10/39(b)(c) | | | | | 500,000 | | | | | | 503,213 | | |
MBRT, Series 2019-MBR, Class A, 0.93%, 11/15/36 (1 month USD LIBOR + 0.85%)(b)(c) | | | | | 420,000 | | | | | | 420,245 | | |
Mello Warehouse Securitization Trust, Series 2021-1, Class A, CMO, (1 month USD LIBOR + 0.700%), 0.78%, 2/25/55(b)(c) | | | | | 500,000 | | | | | | 501,145 | | |
MFA 2021-RPL1 Trust, Series 2021-RPL1, Class A1, CMO, 1.13%, 7/25/60(b)(c) | | | | | 777,126 | | | | | | 773,661 | | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class C, 5.06%, 11/15/46(c) | | | | | 375,000 | | | | | | 382,502 | | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A3, 3.45%, 7/15/50 | | | | | 166,820 | | | | | | 178,724 | | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C29, Class A3, 3.06%, 5/15/49 | | | | | 257,286 | | | | | | 271,939 | | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C29, Class D, 3.00%, 5/15/49(b) | | | | | 400,000 | | | | | | 348,165 | | |
Morgan Stanley Capital I Trust, Series 2018-H3, Class A3, 3.92%, 7/15/51 | | | | | 600,000 | | | | | | 627,640 | | |
Morgan Stanley Capital I Trust, Series 2019-BPR, Class A, 1.48%, 5/15/36 (1 month USD LIBOR + 1.40%)(b)(c) | | | | | 1,000,000 | | | | | | 990,537 | | |
Morgan Stanley Capital I Trust, Series 2019-H6, Class A3, 3.16%, 6/15/52 | | | | | 1,000,000 | | | | | | 1,067,316 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
Morgan Stanley Residential Mortgage Loan Trust, Series 2021-5, Class A9, CMO, 2.50%, 8/25/51(b)(c) | | | | $ | 178,779 | | | | | $ | 179,240 | | |
Mortgage Repurchase Agreement Financing Trust, Series 2021-1, Class A2, CMO, (1 month USD LIBOR + 0.500%), 0.59%, 3/10/22(b)(c) | | | | | 700,000 | | | | | | 700,227 | | |
Mortgage Repurchase Agreement Financing Trust, Series 2021-S1, Class A1, CMO, (1 month USD LIBOR + 0.500%), 1.00%, 9/10/22(b)(c) | | | | | 900,000 | | | | | | 900,000 | | |
Mortgage Trust, Series 2020-P1, Class A1, 2.84%, 4/15/25(b)(c) | | | | | 842,582 | | | | | | 846,276 | | |
MSCG Trust, Series 2015-ALDR, Class A1, 2.61%, 6/7/35(b) | | | | | 88,198 | | | | | | 89,642 | | |
MSG III Securitization Trust, Series 2021-1, Class A, CMO, (1 month USD LIBOR + 0.750%), 0.84%, 6/25/54(b)(c) | | | | | 525,000 | | | | | | 524,829 | | |
Natixis Commercial Mortgage Securities Trust, Series 2019-MILE, Class D, (1 month USD LIBOR + 2.750%), 2.83%, 7/15/36(b)(c) | | | | | 1,000,000 | | | | | | 999,701 | | |
Natixis Commercial Mortgage Securities Trust, Series 2019-MILE, Class F, 4.33%, 7/15/36 (1 month USD LIBOR + 4.25%)(b)(c) | | | | | 750,000 | | | | | | 745,390 | | |
New Residential Mortgage Loan Trust, Series 2015-1A, Class A3, CMO, 3.75%, 5/28/52(b)(c) | | | | | 59,017 | | | | | | 62,007 | | |
New Residential Mortgage Loan Trust, Series 2018-4A, Class A1S, 0.84%, 1/25/48 (1 month USD LIBOR + 0.75%)(b)(c) | | | | | 72,927 | | | | | | 73,035 | | |
New Residential Mortgage Loan Trust, Series 2019-NQM4, Class M1, CMO, 2.99%, 9/25/59(b)(c) | | | | | 100,000 | | | | | | 100,213 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
OBX Trust, Series 2018-1, Class A2, CMO, (1 month USD LIBOR + 0.650%), 0.74%, 6/25/57(b)(c) | | | | $ | 23,197 | | | | | $ | 23,201 | | |
One Bryant Park Trust, Series 2019-OBP, Class A, 2.52%, 9/15/54(b) | | | | | 350,000 | | | | | | 360,216 | | |
PFP Ltd., Series 2021-8, Class A, (1 month USD LIBOR + 1.000%), 1.10%, 8/9/37(b)(c) | | | | | 1,620,000 | | | | | | 1,618,847 | | |
PMT Credit Risk Transfer Trust, Series 2020-2R, Class A, CMO, (1 month USD LIBOR + 3.815%), 3.90%, 12/25/22(b)(c) | | | | | 185,347 | | | | | | 188,141 | | |
PMT Credit Risk Transfer Trust, Series 2021-1R, Class A, CMO, (1 month USD LIBOR + 2.900%), 3.00%, 2/27/24(b)(c) | | | | | 787,619 | | | | | | 803,891 | | |
Provident Funding Mortgage Warehouse Securitization Trust, Series 2021-1, Class A, CMO, (1 month USD LIBOR + 0.700%), 0.79%, 2/25/55(b)(c) | | | | | 660,000 | | | | | | 657,342 | | |
RESIMAC Premier, Series 2020-1A, Class A1A, CMO, (1 month USD LIBOR + 1.050%), 1.13%, 2/7/52 Zero Coupon,(b)(c) | | | | | 246,349 | | | | | | 247,286 | | |
Seasoned Credit Risk Transfer Trust, Series 2019-2, Class MA, 3.50%, 8/25/58 | | | | | 344,268 | | | | | | 361,411 | | |
Sequoia Mortgage Trust, Series 2015-2, Class A1, 3.50%, 5/25/45(b)(c) | | | | | 13,970 | | | | | | 14,215 | | |
Sequoia Mortgage Trust, Series 2017-6, Class A19, CMO, 3.50%, 9/25/47(b)(c) | | | | | 17,605 | | | | | | 17,865 | | |
Sequoia Mortgage Trust, Series 2019-2, Class A1, 4.00%, 6/25/49(b)(c) | | | | | 31,127 | | | | | | 31,597 | | |
Sequoia Mortgage Trust, Series 2019-5, Class A1, 3.50%, 12/25/49(b)(c) | | | | | 34,300 | | | | | | 34,775 | | |
Sequoia Mortgage Trust, Series 2020-3, Class A19, CMO, 3.00%, 4/25/50(b)(c) | | | | | 75,772 | | | | | | 77,161 | | |
Sequoia Mortgage Trust, Series 2021-4, Class A19, CMO, 2.50%, 6/25/51(b)(c) | | | | | 98,443 | | | | | | 98,758 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
Shellpoint Co-Originator Trust, Series 2016-1, Class 1A10, 3.50%, 11/25/46(b)(c) | | | | $ | 13,912 | | | | | $ | 13,907 | | |
SLG Office Trust, Series 2021-OVA, Class A, 2.59%, 7/15/41(b) | | | | | 960,000 | | | | | | 992,307 | | |
STACR Trust, Series 2018-DNA3, Class M1, 0.84%, 9/25/48 (1 month USD LIBOR + 0.75%)(b)(c) | | | | | 378 | | | | | | 378 | | |
Station Place Securitization Trust, Series 2021-4, Class A, CMO, (1 month USD LIBOR + 0.900%), 0.98%, 4/11/22(b)(c) | | | | | 700,000 | | | | | | 699,340 | | |
Station Place Securitization Trust, Series 2021-8, Class A, CMO, (3 month USD LIBOR + 0.800%), 0.88%, 6/20/22(b)(c) | | | | | 610,000 | | | | | | 610,619 | | |
Station Place Securitization Trust, Series 2021-WL1, Class A, CMO, (1 month USD LIBOR + 0.650%), 0.74%, 1/26/54(b)(c) | | | | | 520,000 | | | | | | 520,134 | | |
UBS Commercial Mortgage Trust, Series 2017-C4, Class A3, 3.30%, 10/15/50 | | | | | 600,000 | | | | | | 637,001 | | |
UBS Commercial Mortgage Trust, Series 2017-C4, Class A4, 3.56%, 10/15/50 | | | | | 148,558 | | | | | | 162,326 | | |
UBS Commercial Mortgage Trust, Series 2017-C7, Class A3, 3.42%, 12/15/50 | | | | | 305,000 | | | | | | 330,799 | | |
UBS Commercial Mortgage Trust, Series 2018-C10, Class A3, 4.05%, 5/15/51 | | | | | 1,100,000 | | | | | | 1,223,622 | | |
UBS Commercial Mortgage Trust, Series 2018-C10, Class A3, 4.31%, 6/15/51 | | | | | 500,000 | | | | | | 531,469 | | |
UBS-BAMLL Trust, Series 2012-WRM, Class A, 3.66%, 6/10/30(b) | | | | | 1,300,000 | | | | | | 1,306,158 | | |
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class D, 4.22%, 3/10/46(b)(c) | | | | | 225,000 | | | | | | 194,381 | | |
Verus Securitization Trust, Series 2019-4, Class M1, CMO, 3.21%, 11/25/59(b)(c) | | | | | 100,000 | | | | | | 101,542 | | |
VNDO Trust, Series 2016-350P, Class A, 3.81%, 1/10/35(b) | | | | | 600,000 | | | | | | 657,990 | | |
Investments | | | Principal Amount | | | Value | | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
Wells Fargo Commercial Mortgage Trust, Series 2012-LC5, Class AS, 3.54%, 10/15/45 | | | | $ | 140,000 | | | | | $ | 143,233 | | |
Wells Fargo Commercial Mortgage Trust, Series 2017-C40, Class A3, 3.32%, 10/15/50 | | | | | 450,000 | | | | | | 482,818 | | |
Wells Fargo Commercial Mortgage Trust, Series 2019-C50, Class A4, 3.47%, 5/15/52 | | | | | 950,000 | | | | | | 1,028,227 | | |
Wells Fargo Commercial Mortgage Trust, Series 2020-SDAL, Class C, 1.82%, 2/15/37 (1 month USD LIBOR +1.740%)(b)(c) | | | | | 1,295,000 | | | | | | 1,290,076 | | |
Wells Fargo Commercial Mortgage Trust, Series 2021-SAVE, Class A, (1 month USD LIBOR + 1.150%), 1.23%, 2/15/40(b)(c) | | | | | 1,999,848 | | | | | | 2,011,020 | | |
Wells Fargo Mortgage Backed Securities Trust, Series 2019-2, Class A17, 4.00%, 4/25/49(b)(c) | | | | | 6,541 | | | | | | 6,566 | | |
Wells Fargo Mortgage Backed Securities Trust, Series 2021-2, Class A17, CMO, 2.50%, 6/25/51(b)(c) | | | | | 360,000 | | | | | | 360,197 | | |
WFRBS Commercial Mortgage Trust, Series 2013-C13, Class D, 4.28%, 5/15/45(b)(c) | | | | | 225,000 | | | | | | 222,136 | | |
WFRBS Commercial Mortgage Trust, Series 2013-C18, Class C, 5.03%, 12/15/46(c) | | | | | 350,000 | | | | | | 357,582 | | |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost: $94,150,296) | | | | | 95,902,300 | | | ||||||
FOREIGN CORPORATE BONDS – 7.8% | | ||||||||||||
BASIC MATERIALS – 0.5% | | ||||||||||||
Anglo American Capital PLC, 2.63%, 9/10/30(b) | | | | | 200,000 | | | | | | 198,662 | | |
Braskem Netherlands Finance B.V., 4.50%, 1/31/30(b) | | | | | 207,000 | | | | | | 220,248 | | |
Celulosa Arauco y Constitucion S.A., 5.15%, 1/29/50(b) | | | | | 700,000 | | | | | | 792,757 | | |
Kinross Gold Corp., 4.50%, 7/15/27 | | | | | 595,000 | | | | | | 683,900 | | |
Investments | | | Principal Amount | | | Value | | ||||||
FOREIGN CORPORATE BONDS – (continued) | | ||||||||||||
BASIC MATERIALS – (continued) | | ||||||||||||
LG Chem Ltd., 3.25%, 10/15/24(b) | | | | $ | 660,000 | | | | | $ | 704,626 | | |
NOVA Chemicals Corp., 4.88%, 6/1/24(b) | | | | | 200,000 | | | | | | 209,000 | | |
Suzano Austria GmbH, 3.13%, 1/15/32 | | | | | 58,000 | | | | | | 56,014 | | |
Suzano Austria GmbH, 3.75%, 1/15/31 | | | | | 110,000 | | | | | | 112,998 | | |
Teck Resources Ltd., 3.90%, 7/15/30 | | | | | 1,000,000 | | | | | | 1,085,788 | | |
Teck Resources Ltd., 6.25%, 7/15/41 | | | | | 224,000 | | | | | | 298,919 | | |
Total Basic Materials | | | | | | | | | | | 4,362,912 | | |
COMMUNICATIONS – 0.1% | | ||||||||||||
NTT Finance Corp., 1.16%, 4/3/26(b) | | | | | 203,000 | | | | | | 201,837 | | |
Telefonica Emisiones S.A., 4.90%, 3/6/48 | | | | | 150,000 | | | | | | 180,335 | | |
Vodafone Group PLC, 4.88%, 6/19/49 | | | | | 44,000 | | | | | | 54,861 | | |
Vodafone Group PLC, 5.25%, 5/30/48 | | | | | 68,000 | | | | | | 88,017 | | |
Total Communications | | | | | | | | | | | 525,050 | | |
CONSUMER, CYCLICAL – 0.5% | | ||||||||||||
1011778 BC ULC/New Red Finance, Inc., 3.88%, 1/15/28(b) | | | | | 200,000 | | | | | | 201,970 | | |
Denso Corp., 1.24%, 9/16/26(b) | | | | | 2,175,000 | | | | | | 2,159,158 | | |
Falabella S.A., 4.38%, 1/27/25(b) | | | | | 400,000 | | | | | | 432,004 | | |
Hyundai Capital Services, Inc., 1.25%, 2/8/26(b) | | | | | 1,050,000 | | | | | | 1,033,836 | | |
Kia Corp., 1.00%, 4/16/24(b) | | | | | 91,000 | | | | | | 91,032 | | |
Total Consumer, Cyclical | | | | | | | | | | | 3,918,000 | | |
CONSUMER, NON-CYCLICAL – 0.4% | | ||||||||||||
Coca-Cola Europacific Partners PLC, 1.50%, 1/15/27(b) | | | | | 1,200,000 | | | | | | 1,191,155 | | |
IHS Markit Ltd., 4.13%, 8/1/23 | | | | | 210,000 | | | | | | 222,642 | | |
JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 6.50%, 4/15/29(b) | | | | | 150,000 | | | | | | 167,625 | | |
Royalty Pharma PLC, 2.15%, 9/2/31 | | | | | 114,000 | | | | | | 109,774 | | |
STERIS Irish FinCo Unlimited Co., 3.75%, 3/15/51 | | | | | 292,000 | | | | | | 315,163 | | |
Investments | | | Principal Amount | | | Value | | ||||||
FOREIGN CORPORATE BONDS – (continued) | | ||||||||||||
CONSUMER, NON-CYCLICAL – (continued) | | ||||||||||||
Triton Container International Ltd., 1.15%, 6/7/24(b) | | | | $ | 1,000,000 | | | | | $ | 998,377 | | |
Triton Container International Ltd., 3.15%, 6/15/31(b) | | | | | 418,000 | | | | | | 421,918 | | |
Viterra Finance B.V., 3.20%, 4/21/31(b) | | | | | 200,000 | | | | | | 203,159 | | |
Total Consumer, Non-cyclical | | | | | 3,629,813 | | | ||||||
ENERGY – 1.2% | | ||||||||||||
Aker BP ASA, 2.88%, 1/15/26(b) | | | | | 1,000,000 | | | | | | 1,056,849 | | |
Azure Power Solar Energy Pvt Ltd., 5.65%, 12/24/24(b) | | | | | 475,000 | | | | | | 500,555 | | |
BP Capital Markets PLC, (5 year CMT + 4.398%), 4.88%, 3/22/30(c)(e) | | | | | 108,000 | | | | | | 118,720 | | |
Cenovus Energy, Inc., 2.65%, 1/15/32 | | | | | 500,000 | | | | | | 490,548 | | |
Cenovus Energy, Inc., 3.75%, 2/15/52 | | | | | 1,265,000 | | | | | | 1,229,258 | | |
CNOOC Finance 2013 Ltd., 2.88%, 9/30/29 | | | | | 300,000 | | | | | | 309,541 | | |
Continuum Energy Levanter Pte Ltd., 4.50%, 2/9/27(b) | | | | | 967,688 | | | | | | 1,001,556 | | |
Equinor ASA, 3.25%, 11/18/49 | | | | | 1,000,000 | | | | | | 1,059,634 | | |
Lundin Energy Finance B.V., 3.10%, 7/15/31(b) | | | | | 200,000 | | | | | | 202,789 | | |
Noble Finance Co., PIK, 11.00%, 2/15/28(b)(h) | | | | | 1,034 | | | | | | 1,137 | | |
Noble Finance Co., PIK, 11.00%, 2/15/28(h) | | | | | 7,489 | | | | | | 8,238 | | |
Petroleos Mexicanos, 6.35%, 2/12/48 | | | | | 54,000 | | | | | | 45,628 | | |
Petroleos Mexicanos, 6.49%, 1/23/27 | | | | | 262,000 | | | | | | 276,882 | | |
Qatar Petroleum, 1.38%, 9/12/26(b) | | | | | 400,000 | | | | | | 397,040 | | |
Santos Finance Ltd., 3.65%, 4/29/31(b) | | | | | 1,185,000 | | | | | | 1,206,758 | | |
Sinopec Group Overseas Development 2018 Ltd., 3.68%, 8/8/49(b) | | | | | 200,000 | | | | | | 214,884 | | |
Suncor Energy, Inc., 5.95%, 5/15/35 | | | | | 49,000 | | | | | | 63,682 | | |
Total Capital International S.A., 3.13%, 5/29/50 | | | | | 375,000 | | | | | | 377,057 | | |
UEP Penonome II S.A., 6.50%, 10/1/38(b) | | | | | 1,005,690 | | | | | | 1,048,442 | | |
Total Energy | | | | | | | | | | | 9,609,198 | | |
|
Investments | | | Principal Amount | | | Value | | ||||||
FOREIGN CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – 4.0% | | ||||||||||||
Banco Santander S.A., 2.71%, 6/27/24 | | | | $ | 200,000 | | | | | $ | 210,357 | | |
Bank of Montreal, 2.05%, 11/1/22 | | | | | 120,000 | | | | | | 122,301 | | |
Bank of Nova Scotia (The), 0.40%, 9/15/23 | | | | | 217,000 | | | | | | 216,946 | | |
Banque Federative du Credit Mutuel S.A., 3.75%, 7/20/23(b) | | | | | 490,000 | | | | | | 518,427 | | |
Barclays PLC, (5 year CMT + 2.900%), 3.56%, 9/23/35(c) | | | | | 200,000 | | | | | | 207,495 | | |
Barclays PLC, (5 year CMT + 3.410%), 4.38%, 3/15/28(c)(e) | | | | | 1,000,000 | | | | | | 999,300 | | |
BNP Paribas S.A., 1.32%, 1/13/27 (SOFR + 1.004%)(b)(c) | | | | | 730,000 | | | | | | 717,743 | | |
BNP Paribas S.A., (5 year CMT + 2.050%), 2.59%, 8/12/35(b)(c) | | | | | 900,000 | | | | | | 872,747 | | |
BNP Paribas S.A., (SOFR + 0.912%), 1.68%, 6/30/27(b)(c) | | | | | 640,000 | | | | | | 637,133 | | |
BNP Paribas S.A., (SOFR + 1.387%), 2.87%, 4/19/32(b)(c) | | | | | 406,000 | | | | | | 414,633 | | |
BNP Paribas S.A., (USD 5 year swap rate + 1.483%), 4.38%, 3/1/33(b)(c) | | | | | 200,000 | | | | | | 219,264 | | |
Bpce S.A., 1.65%, 10/6/26 (SOFR + 1.520%)(b)(c) | | | | | 1,225,000 | | | | | | 1,226,455 | | |
Canadian Imperial Bank of Commerce, 0.50%, 12/14/23 | | | | | 85,000 | | | | | | 84,906 | | |
Canadian Imperial Bank of Commerce, 0.95%, 10/23/25 | | | | | 64,000 | | | | | | 63,494 | | |
Canadian Imperial Bank of Commerce, 2.25%, 1/28/25 | | | | | 150,000 | | | | | | 155,813 | | |
Cooperatieve Rabobank UA, 3.75%, 7/21/26 | | | | | 1,000,000 | | | | | | 1,102,104 | | |
Cooperatieve Rabobank UA, (1 year CMT + 0.730%), 1.00%, 9/24/26(b)(c) | | | | | 261,000 | | | | | | 257,483 | | |
Credit Agricole S.A., 1.25%, 1/26/27 (SOFR + 0.892%)(b)(c) | | | | | 295,000 | | | | | | 290,831 | | |
Credit Agricole S.A., 1.91%, 6/16/26 (SOFR + 1.676%)(b)(c) | | | | | 250,000 | | | | | | 254,756 | | |
Credit Agricole S.A., 2.81%, 1/11/41(b) | | | | | 250,000 | | | | | | 238,562 | | |
Investments | | | Principal Amount | | | Value | | ||||||
FOREIGN CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
Credit Suisse Group AG, 1.31%, 2/2/27 (SOFR + 0.980%)(b)(c) | | | | $ | 950,000 | | | | | $ | 928,393 | | |
Credit Suisse Group AG, (SOFR + 1.730%), 3.09%, 5/14/32(b)(c) | | | | | 985,000 | | | | | | 1,007,188 | | |
Danske Bank A/S, 3.24%, 12/20/25 (3.24% fixed rate until 12/20/24; 1.59% + 3 month USD LIBOR thereafter)(b)(c) | | | | | 651,000 | | | | | | 691,595 | | |
Deutsche Bank AG, Series D, 5.00%, 2/14/22 | | | | | 450,000 | | | | | | 457,360 | | |
Enstar Group Ltd., 4.95%, 6/1/29 | | | | | 214,000 | | | | | | 243,113 | | |
HSBC Holdings PLC, (SOFR + 1.290%), 1.59%, 5/24/27(c) | | | | | 200,000 | | | | | | 198,653 | | |
ING Groep N.V., (1 year CMT + 1.100%), 1.40%, 7/1/26(b)(c) | | | | | 1,280,000 | | | | | | 1,283,262 | | |
Intesa Sanpaolo SpA, 4.95%, 6/1/42(b) | | | | | 400,000 | | | | | | 414,540 | | |
Intesa Sanpaolo SpA, Series XR, 4.00%, 9/23/29(b) | | | | | 600,000 | | | | | | 654,922 | | |
Kookmin Bank, 2.50%, 11/4/30(b) | | | | | 950,000 | | | | | | 940,424 | | |
Mizuho Financial Group, Inc., 2.56%, 9/13/25 (2.56% fixed rate until 9/13/24; 1.10% + 3 month USD LIBOR thereafter)(c) | | | | | 481,000 | | | | | | 503,411 | | |
National Bank of Canada, (1 year CMT + 0.400%), 0.55%, 11/15/24(c) | | | | | 250,000 | | | | | | 249,501 | | |
Natwest Group PLC, 5.08%, 1/27/30 (5.77% fixed rate until 7/24/37; 1.905% + 3 month USD LIBOR thereafter)(c) | | | | | 210,000 | | | | | | 247,976 | | |
NatWest Markets PLC, 0.80%, 8/12/24(b) | | | | | 1,000,000 | | | | | | 997,890 | | |
NatWest Markets PLC, 1.60%, 9/29/26(b) | | | | | 2,000,000 | | | | | | 1,998,909 | | |
NatWest Markets PLC, 3.63%, 9/29/22(b) | | | | | 450,000 | | | | | | 464,845 | | |
Nederlandse Waterschapsbank N.V., Senior Note, 2.38%, 3/24/26(b) | | | | | 500,000 | | | | | | 529,962 | | |
Nomura Holdings, Inc., 2.61%, 7/14/31 | | | | | 200,000 | | | | | | 199,274 | | |
Investments | | | Principal Amount | | | Value | | ||||||
FOREIGN CORPORATE BONDS – (continued) | | ||||||||||||
FINANCIAL – (continued) | | ||||||||||||
Owl Rock Technology Finance Corp., 6.75%, 6/30/25(b) | | | | $ | 670,000 | | | | | $ | 768,286 | | |
Societe Generale S.A., 3.88%, 3/28/24(b) | | | | | 350,000 | | | | | | 373,883 | | |
Societe Generale S.A., (1 year CMT + 1.000%), 1.79%, 6/9/27(b)(c) | | | | | 1,915,000 | | | | | | 1,904,608 | | |
Societe Generale S.A., (1 year CMT + 1.300%), 2.89%, 6/9/32(b)(c) | | | | | 950,000 | | | | | | 955,377 | | |
Standard Chartered PLC, (5 year CMT + 2.300%), 3.27%, 2/18/36(b)(c) | | | | | 200,000 | | | | | | 198,421 | | |
State Bank of India, 4.38%, 1/24/24(b) | | | | | 205,000 | | | | | | 219,289 | | |
Swiss Re Finance Luxembourg S.A., 5.00%, 4/2/49 (5 year CMT + 3.582%)(b)(c) | | | | | 1,000,000 | | | | | | 1,146,440 | | |
Temasek Financial I Ltd., 2.75%, 8/2/61(b) | | | | | 417,000 | | | | | | 412,827 | | |
UBS AG, (SOFR + 0.450%), 0.50%, 8/9/24(b)(c) | | | | | 600,000 | | | | | | 604,440 | | |
UBS Group AG, (1 year CMT + 0.850%), 1.49%, 8/10/27(b)(c) | | | | | 1,075,000 | | | | | | 1,062,552 | | |
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)(b)(c) | | | | | 200,000 | | | | | | 222,445 | | |
UniCredit SpA, (1 year CMT + 1.550%), 3.13%, 6/3/32(b)(c) | | | | | 200,000 | | | | | | 202,653 | | |
UniCredit SpA, (1 year CMT + 2.300%), 2.57%, 9/22/26(b)(c) | | | | | 1,000,000 | | | | | | 1,016,745 | | |
UniCredit SpA, (3 month USD LIBOR + 3.900%), 4.03%, 1/14/22(b)(c) | | | | | 500,000 | | | | | | 504,713 | | |
United Overseas Bank Ltd., (5 year CMT + 1.230%), 2.00%, 10/14/31(b)(c) | | | | | 1,000,000 | | | | | | 999,870 | | |
Washington Aircraft 2 Co. DAC, (3 month USD LIBOR + 0.430%), 0.56%, 6/26/24(c) | | | | | 617,124 | | | | | | 618,147 | | |
WLB Asset II B Pte Ltd., 3.95%, 12/10/24(b) | | | | | 1,000,000 | | | | | | 997,086 | | |
WLB Asset II Pte Ltd., 4.00%, 1/14/24(b) | | | | | 250,000 | | | | | | 256,737 | | |
Total Financial | | | | | | | | | | | 33,286,487 | | |
|
Investments | | | Principal Amount | | | Value | | ||||||
FOREIGN CORPORATE BONDS – (continued) | | ||||||||||||
INDUSTRIAL – 0.6% | | ||||||||||||
Embraer Netherlands Finance B.V., 5.05%, 6/15/25 | | | | $ | 138,000 | | | | | $ | 145,245 | | |
Embraer Overseas Ltd., 5.70%, 9/16/23(b) | | | | | 135,000 | | | | | | 143,101 | | |
Johnson Controls International PLC, 6.00%, 1/15/36 | | | | | 250,000 | | | | | | 347,020 | | |
Johnson Controls International PLC/Tyco Fire & Security Finance SCA, 1.75%, 9/15/30 | | | | | 1,050,000 | | | | | | 1,019,156 | | |
Masonite International Corp., 3.50%, 2/15/30(b) | | | | | 200,000 | | | | | | 198,500 | | |
Mexico City Airport Trust, 3.88%, 4/30/28(b) | | | | | 200,000 | | | | | | 206,102 | | |
Mexico City Airport Trust, 5.50%, 7/31/47(b) | | | | | 200,000 | | | | | | 204,324 | | |
Siemens Financieringsmaatschappij N.V., 0.48%, 3/11/24 (SOFR + 0.430%)(b)(c) | | | | | 425,000 | | | | | | 428,595 | | |
Waste Connections, Inc., 2.20%, 1/15/32 | | | | | 1,000,000 | | | | | | 985,835 | | |
Waste Connections, Inc., 2.95%, 1/15/52 | | | | | 1,000,000 | | | | | | 978,453 | | |
Total Industrial | | | | | | | | | | | 4,656,331 | | |
TECHNOLOGY – 0.1% | | ||||||||||||
SK Hynix, Inc., 2.38%, 1/19/31(b) | | | | | 1,075,000 | | | | | | 1,043,418 | | |
TSMC Global Ltd., 0.75%, 9/28/25(b) | | | | | 200,000 | | | | | | 195,095 | | |
Total Technology | | | | | | | | | | | 1,238,513 | | |
UTILITIES – 0.4% | | ||||||||||||
Abu Dhabi National Energy Co. PJSC, 2.00%, 4/29/28(b) | | | | | 200,000 | | | | | | 201,000 | | |
AES Gener S.A., (5 year CMT + 4.917%), 6.35%, 10/7/79(b)(c) | | | | | 1,000,000 | | | | | | 1,057,770 | | |
Alfa Desarrollo SpA, 4.55%, 9/27/51(b) | | | | | 200,000 | | | | | | 195,100 | | |
Consorcio Transmantaro S.A., 4.70%, 4/16/34(b) | | | | | 430,000 | | | | | | 476,762 | | |
Enel Finance International N.V., 2.88%, 7/12/41(b) | | | | | 200,000 | | | | | | 194,848 | | |
Engie Energia Chile S.A., 3.40%, 1/28/30(b) | | | | | 209,000 | | | | | | 214,748 | | |
India Cleantech Energy, 4.70%, 8/10/26(b) | | | | | 900,000 | | | | | | 910,575 | | |
Total Utilities | | | | | | | | | | | 3,250,803 | | |
|
Investments | | | Principal Amount | | | Value | | ||||||
FOREIGN CORPORATE BONDS – (continued) | | ||||||||||||
UTILITIES – (continued) | | ||||||||||||
TOTAL FOREIGN CORPORATE BONDS (Cost: $63,500,838) | | | | $ | 64,477,107 | | | ||||||
U.S. GOVERNMENT OBLIGATIONS – 7.8% | | ||||||||||||
U.S. Treasury Bonds, 1.38%, 8/15/50 | | | | | 94,000 | | | | | | 79,320 | | |
U.S. Treasury Bonds, 1.75%, 8/15/41 | | | | | 1,475,000 | | | | | | 1,410,008 | | |
U.S. Treasury Bonds, 1.88%, 2/15/41 | | | | | 350,000 | | | | | | 342,344 | | |
U.S. Treasury Bonds, 2.25%, 5/15/41 | | | | | 6,155,000 | | | | | | 6,400,238 | | |
U.S. Treasury Bonds, 2.38%, 5/15/51 | | | | | 7,450,000 | | | | | | 7,950,547 | | |
U.S. Treasury Bonds, 2.50%, 2/15/46 | | | | | 210,000 | | | | | | 227,112 | | |
U.S. Treasury Bonds, 2.50%, 5/15/46 | | | | | 1,125,000 | | | | | | 1,217,329 | | |
U.S. Treasury Bonds, 2.75%, 8/15/47 | | | | | 185,000 | | | | | | 209,982 | | |
U.S. Treasury Bonds, 2.88%, 5/15/43(k) | | | | | 960,000 | | | | | | 1,101,713 | | |
U.S. Treasury Bonds, 3.00%, 5/15/45 | | | | | 550,000 | | | | | | 647,109 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 5/15/44 | | | | | 205,000 | | | | | | 124,542 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 8/15/44 | | | | | 975,000 | | | | | | 587,979 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 2/15/45 | | | | | 355,000 | | | | | | 211,987 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 11/15/40 | | | | | 1,485,000 | | | | | | 985,842 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 5/15/41 | | | | | 6,745,000 | | | | | | 4,419,596 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 5/15/42 | | | | | 80,000 | | | | | | 51,005 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 11/15/42 | | | | | 820,000 | | | | | | 515,167 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 2/15/43 | | | | | 650,000 | | | | | | 405,285 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 8/15/43 | | | | | 565,000 | | | | | | 348,124 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 11/15/43, | | | | | 485,000 | | | | | | 297,495 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 2/15/44 | | | | | 1,670,000 | | | | | | 1,020,979 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 11/15/44 | | | | | 490,000 | | | | | | 294,225 | | |
U.S. Treasury Coupon STRIP, Zero Coupon, 11/15/45 | | | | | 560,000 | | | | | | 328,335 | | |
Investments | | | Principal Amount | | | Value | | ||||||
U.S. GOVERNMENT OBLIGATIONS – (continued) | | ||||||||||||
U.S. Treasury Coupon STRIP, Zero Coupon, 2/15/46 | | | | $ | 405,000 | | | | | $ | 236,604 | | |
U.S. Treasury Notes, 0.13%, 3/31/23 | | | | | 1,500,000 | | | | | | 1,498,535 | | |
U.S. Treasury Notes, 0.13%, 8/31/23 | | | | | 500,000 | | | | | | 498,672 | | |
U.S. Treasury Notes, 0.38%, 9/15/24 | | | | | 1,000,000 | | | | | | 995,703 | | |
U.S. Treasury Notes, 0.50%, 10/31/27 | | | | | 2,755,000 | | | | ��� | | 2,644,047 | | |
U.S. Treasury Notes, 0.63%, 11/30/27 | | | | | 250,000 | | | | | | 241,445 | | |
U.S. Treasury Notes, 0.75%, 8/31/26 | | | | | 9,547,000 | | | | | | 9,444,817 | | |
U.S. Treasury Notes, 0.88%, 11/15/30 | | | | | 228,000 | | | | | | 216,368 | | |
U.S. Treasury Notes, 1.13%, 8/31/28 | | | | | 1,000,000 | | | | | | 988,125 | | |
U.S. Treasury Notes, 1.25%, 5/31/28 | | | | | 2,450,000 | | | | | | 2,446,459 | | |
U.S. Treasury Notes, 1.25%, 8/15/31 | | | | | 5,910,000 | | | | | | 5,766,867 | | |
U.S. Treasury Notes, 1.38%, 9/30/23 | | | | | 750,000 | | | | | | 766,260 | | |
U.S. Treasury Notes, 2.13%, 5/15/25 | | | | | 4,750,000 | | | | | | 4,991,953 | | |
U.S. Treasury Notes, 2.88%, 5/31/25 | | | | | 3,860,000 | | | | | | 4,162,618 | | |
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $64,413,704) | | | | | 64,074,736 | | | ||||||
MUNICIPAL BONDS – 1.9% | | ||||||||||||
CALIFORNIA – 0.8% | | ||||||||||||
Bay Area Toll Authority, Revenue Bonds, San Francisco Bay Area Toll Bridge, Series F2, 6.26%, 4/1/49 | | | | | 150,000 | | | | | | 242,117 | | |
Bay Area Toll Authority, Revenue Bonds, San Francisco Bay Area Toll Bridge, Series F1, 2.57%, 4/1/31 | | | | | 215,000 | | | | | | 225,702 | | |
Chula Vista Municipal Financing Authority, Revenue Bonds, 4.28%, 12/1/48 | | | | | 1,000,000 | | | | | | 1,052,925 | | |
City of Los Angeles CA, General Obligation, 3.50%, 9/1/37 | | | | | 315,000 | | | | | | 336,893 | | |
Investments | | | Principal Amount | | | Value | | ||||||
MUNICIPAL BONDS – (continued) | | ||||||||||||
CALIFORNIA – (continued) | | ||||||||||||
City of San Francisco CA Public Utilities Commission Water Revenue, 3.30%, 11/1/39 | | | | $ | 1,230,000 | | | | | $ | 1,314,584 | | |
Los Angeles Community College District, 2.11%, 8/1/32 | | | | | 770,000 | | | | | | 774,407 | | |
State of California, General Obligation, 0.86%, 4/1/47 (1 month USD LIBOR + 0.00%)(c) | | | | | 1,000,000 | | | | | | 1,000,403 | | |
State of California, General Obligation, 4.60%, 4/1/38 | | | | | 500,000 | | | | | | 579,516 | | |
State of California, General Obligation, Build America Bonds, 7.35%, 11/1/39 | | | | | 275,000 | | | | | | 437,288 | | |
Upper Santa Clara Valley Joint Powers Authority, Revenue Bonds, Water Revenue, Series A, 3.88%, 8/1/48 | | | | | 500,000 | | | | | | 533,529 | | |
Total California | | | | | | | | | | | 6,497,364 | | |
CONNECTICUT – 0.1% | | ||||||||||||
Connecticut Housing Finance Authority, Revenue Bonds, 0.70%, 5/15/49 (SOFR + 0.00%)(c) | | | | | 500,000 | | | | | | 500,099 | | |
ILLINOIS – 0.1% | | ||||||||||||
Chicago Housing Authority, Revenue Bonds, Series B, 4.36%, 1/1/38 | | | | | 500,000 | | | | | | 588,072 | | |
State of Illinois, General Obligation, 5.00%, 10/1/22 | | | | | 210,000 | | | | | | 219,658 | | |
Total Illinois | | | | | | | | | | | 807,730 | | |
MICHIGAN – 0.4% | | ||||||||||||
City of Detroit MI, General Obligation, Series B, 2.51%, 4/1/25 | | | | | 650,000 | | | | | | 651,282 | | |
Great Lakes Water Authority Sewage Disposal System Revenue, 3.06%, 7/1/39 | | | | | 940,000 | | | | | | 995,608 | | |
Great Lakes Water Authority Water Supply System Revenue, 3.47%, 7/1/41 | | | | | 1,330,000 | | | | | | 1,419,652 | | |
Total Michigan | | | | | | | | | | | 3,066,542 | | |
NEW JERSEY – 0.1% | | ||||||||||||
Morris County Improvement Authority, 1.05%, 6/15/26 | | | | | 200,000 | | | | | | 199,817 | | |
Investments | | | Principal Amount | | | Value | | ||||||
MUNICIPAL BONDS – (continued) | | ||||||||||||
NEW JERSEY – (continued) | | ||||||||||||
New Jersey Turnpike Authority, Revenue Bonds, Build America Bonds, Series F, 7.41%, 1/1/40 | | | | $ | 300,000 | | ��� | | | $ | 489,744 | | |
Total New Jersey | | | | | | | | | | | 689,561 | | |
NEW YORK – 0.3% | | ||||||||||||
Freddie Mac Multifamily ML Certificates, Revenue Bonds, 1.88%, 7/25/37 | | | | | 994,412 | | | | | | 992,724 | | |
Metropolitan Transportation Authority, 5.18%, 11/15/49 | | | | | 670,000 | | | | | | 914,426 | | |
New York Transportation Development Corp., 1.36%, 12/1/21 | | | | | 400,000 | | | | | | 400,574 | | |
Total New York | | | | | | | | | | | 2,307,724 | | |
OHIO – 0.1% | | ||||||||||||
Ohio Water Development Authority Water Pollution Control Loan Fund, 4.88%, 12/1/34 | | | | | 1,000,000 | | | | | | 1,187,968 | | |
OREGON – 0.0%(i) | | ||||||||||||
Oregon State Business Development Commission, Revenue Bonds, Economic Development Revenue, 6.50%, 4/1/31(b) | | | | | 500,000 | | | | | | 107,500 | | |
TEXAS – 0.0%(i) | | ||||||||||||
Texas Private Activity Bond Surface Transportation Corp., 3.92%, 12/31/49 | | | | | 80,000 | | | | | | 89,434 | | |
TOTAL MUNICIPAL BONDS (Cost: $14,686,840) | | | | | | | | | | | 15,253,922 | | |
SUPRANATIONAL BONDS – 0.8% | | ||||||||||||
African Development Bank, 0.75%, 4/3/23 | | | | | 1,165,000 | | | | | | 1,173,611 | | |
Arab Petroleum Invstment Corp., 1.48%, 10/6/26 | | | | | 1,200,000 | | | | | | 1,200,418 | | |
Asian Development Bank, 3.13%, 9/26/28 | | | | | 500,000 | | | | | | 560,594 | | |
Asian Infrastructure Investment Bank (The), 0.50%, 10/30/24 | | | | | 158,000 | | | | | | 157,416 | | |
European Bank for Reconstruction & Development, 1.50%, 2/13/25 | | | | | 172,000 | | | | | | 176,691 | | |
European Investment Bank, 0.63%, 10/21/27 | | | | | 700,000 | | | | | | 676,404 | | |
Investments | | | Principal Amount | | | Value | | ||||||
SUPRANATIONAL BONDS – (continued) | | ||||||||||||
European Investment Bank, 2.38%, 5/24/27 | | | | $ | 500,000 | | | | | $ | 533,648 | | |
European Investment Bank, 2.50%, 10/15/24 | | | | | 1,000,000 | | | | | | 1,057,580 | | |
Inter-American Development Bank, 1.13%, 7/20/28 | | | | | 187,000 | | | | | | 183,989 | | |
International Bank for Reconstruction & Development, 0.75%, 11/24/27 | | | | | 174,000 | | | | | | 168,852 | | |
International Bank for Reconstruction & Development, Senior Note, 3.13%, 11/20/25 | | | | | 598,000 | | | | | | 654,650 | | |
International Finance Corp., 0.50%, 3/20/23 | | | | | 187,000 | | | | | | 187,739 | | |
TOTAL SUPRANATIONAL BONDS (Cost: $6,587,278) | | | | | 6,731,592 | | | ||||||
FOREIGN GOVERNMENT OBLIGATIONS – 0.8% | | ||||||||||||
BERMUDA – 0.0%(i) | | ||||||||||||
Bermuda Government International Bond, Series 144A, 2.38%, 8/20/30(b) | | | | | 200,000 | | | | | | 198,000 | | |
CHILE – 0.2% | | ||||||||||||
Chile Government International Bond, 3.10%, 5/7/41 | | | | | 215,000 | | | | | | 207,479 | | |
Chile Government International Bond, 3.50%, 1/25/50 | | | | | 1,000,000 | | | | | | 998,500 | | |
Total Chile | | | | | | | | | | | 1,205,979 | | |
GUATEMALA – 0.1% | | ||||||||||||
Guatemala Government Bond, 5.38%, 4/24/32(b) | | | | | 350,000 | | | | | | 397,250 | | |
HUNGARY – 0.0%(i) | | ||||||||||||
Hungary Government International Bond, Series 144A, 3.13%, 9/21/51(b) | | | | | 200,000 | | | | | | 196,938 | | |
INDONESIA – 0.2% | | ||||||||||||
Indonesia Government International Bond, 2.95%, 1/11/23 | | | | | 200,000 | | | | | | 205,823 | | |
Indonesia Government International Bond, 3.50%, 1/11/28 | | | | | 280,000 | | | | | | 303,541 | | |
Indonesia Government International Bond, 4.13%, 1/15/25(b) | | | | | 400,000 | | | | | | 437,424 | | |
Investments | | | Principal Amount | | | Value | | ||||||
FOREIGN GOVERNMENT OBLIGATIONS – (continued) | | ||||||||||||
INDONESIA – (continued) | | ||||||||||||
Perusahaan Penerbit SBSN Indonesia III, 3.75%, 3/1/23(b) | | | | $ | 300,000 | | | | | $ | 312,876 | | |
Perusahaan Penerbit SBSN Indonesia III, 3.90%, 8/20/24(b) | | | | | 250,000 | | | | | | 270,038 | | |
Total Indonesia | | | | | | | | | | | 1,529,702 | | |
IRAQ – 0.1% | | ||||||||||||
Iraq Government AID Bond, 2.15%, 1/18/22 | | | | | 500,000 | | | | | | 502,848 | | |
ITALY – 0.1% | | ||||||||||||
Republic of Italy Government International Bond, 4.00%, 10/17/49 | | | | | 1,000,000 | | | | | | 1,100,798 | | |
MEXICO – 0.1% | | ||||||||||||
Mexico Government International Bond, 4.28%, 8/14/41 | | | | | 251,000 | | | | | | 256,095 | | |
Mexico Government International Bond, 4.75%, 3/8/44 | | | | | 80,000 | | | | | | 85,137 | | |
Total Mexico | | | | | | | | | | | 341,232 | | |
PANAMA – 0.0%(i) | | ||||||||||||
Panama Government International Bond, Senior Bond, 6.70%, 1/26/36 | | | | | 100,000 | | | | | | 132,909 | | |
QATAR – 0.0%(i) | | ||||||||||||
Qatar Government International Bond, 4.50%, 4/23/28(b) | | | | | 200,000 | | | | | | 233,108 | | |
ROMANIA – 0.0%(i) | | ||||||||||||
Romanian Government International Bond, 5.13%, 6/15/48(b) | | | | | 50,000 | | | | | | 59,125 | | |
SAUDI ARABIA – 0.0%(i) | | ||||||||||||
Saudi Government International Bond, 4.00%, 4/17/25(b) | | | | | 300,000 | | | | | | 328,122 | | |
UNITED ARAB EMIRATES – 0.0%(i) | | ||||||||||||
Abu Dhabi Government International Bond, 3.13%, 10/11/27(b) | | | | | 250,000 | | | | | | 271,000 | | |
URUGUAY – 0.0%(i) | | ||||||||||||
Uruguay Government International Bond, 4.98%, 4/20/55 | | | | | 150,000 | | | | | | 187,647 | | |
|
Investments | | | Principal Amount | | | Value | | ||||||
FOREIGN GOVERNMENT OBLIGATIONS – (continued) | | ||||||||||||
URUGUAY – (continued) | | ||||||||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost: $6,346,305) | | | | $ | 6,684,658 | | | ||||||
FOREIGN GOVERNMENT AGENCIES – 0.5% | | ||||||||||||
CANADA – 0.4% | | ||||||||||||
CDP Financial, Inc., Series 144A, 1.00%, 5/26/26(b) | | | | | 1,000,000 | | | | | | 997,875 | | |
Province of Quebec Canada, 1.90%, 4/21/31 | | | | | 1,000,000 | | | | | | 1,014,017 | | |
Province of Quebec Canada, 2.75%, 4/12/27 | | | | | 1,000,000 | | | | | | 1,079,599 | | |
Total Canada | | | | | | | | | | | 3,091,491 | | |
EGYPT – 0.0%(i) | | ||||||||||||
Arab Republic of Egypt, 5.25%, 10/6/25(b) | | | | | 300,000 | | | | | | 306,060 | | |
NORWAY – 0.1% | | ||||||||||||
Kommunalbanken A/S, 2.13%, 2/11/25(b) | | | | | 500,000 | | | | | | 523,245 | | |
SOUTH KOREA – 0.0%(i) | | ||||||||||||
Korea Hydro & Nuclear Power Co., Ltd., 3.75%, 7/25/23(b) | | | | | 200,000 | | | | | | 211,436 | | |
TOTAL FOREIGN GOVERNMENT AGENCIES (Cost: $3,953,592) | | | | | 4,132,232 | | | ||||||
BANK LOANS – 0.1% | | ||||||||||||
UTILITIES – 0.1% | | ||||||||||||
Exgen Renewables IV LLC 2020 Term Loan, 0.00%, 12/15/27 (Cost: $972,975) | | | | | 977,496 | | | | | | 976,274 | | |
|
Investments | | | Shares | | | Value | | ||||||
PREFERRED STOCK – 0.2% | | ||||||||||||
Financial – 0.2% | | ||||||||||||
Gladstone Investment Corp., 4.88%, 11/1/28 (Cost: $1,830,000) | | | | | 73,200 | | | | | $ | 1,959,564 | | |
EXCHANGE-TRADED FUNDS – 4.1% | | ||||||||||||
| | | | | | | | | | | | | |
iShares Core U.S. Aggregate Bond ETF | | | | | 58,669 | | | | | | 6,736,961 | | |
Investments | | | Shares | | | Value | | | ||||||||
EXCHANGE-TRADED FUNDS – (continued) | | | ||||||||||||||
iShares JP Morgan USD Emerging Markets Bond ETF | | | | | 248,148 | | | | | $ | 27,311,169 | | | | ||
TOTAL EXCHANGE-TRADED FUNDS (Cost: $34,276,532) | | | | $ | 34,048,130 | | | | ||||||||
MUTUAL FUNDS – 5.1% | | | ||||||||||||||
Brandywine Global High Yield Fund | | | | | 1,832,721 | | | | | | 20,966,324 | | | | ||
MainStay MacKay High Yield Corporate Bond Fund | | | | | 3,680,289 | | | | | | 20,830,437 | | | | ||
TOTAL MUTUAL FUNDS (Cost: $41,749,348) | | | | | | | | | | | 41,796,761 | | | | ||
COMMON STOCKS – 0.0%(i) | | | ||||||||||||||
DIVERSIFIED FINANCIAL SERVICES – 0.0%(i) | | | ||||||||||||||
Bruin Blocker LLC | | | | | 4,367 | | | | | | 3,930 | | | | ||
OIL, GAS & CONSUMABLE FUELS – 0.0%(i) | | | ||||||||||||||
Noble Corp. | | | | | 76 | | | | | | 1,024 | | | | ||
TOTAL COMMON STOCKS (Cost: $3,930) | | | | | | | | | | | 4,954 | | | | ||
SHORT-TERM INVESTMENTS – 8.0% | | | ||||||||||||||
State Street Institutional Treasury Money Market Fund – Investor Class Shares, 0.06%(j) (Cost: $65,958,978) | | | | | 65,958,978 | | | | | | 65,958,978 | | | | ||
TOTAL INVESTMENTS – 106.4% (Cost: $863,195,886) | | | | | 876,134,979 | | | | ||||||||
OTHER ASSETS AND LIABILITIES, NET – (6.4)% | | | | | (52,811,619) | | | | | | ||||||
NET ASSETS – 100.0% | | | | | | | | | | $ | 823,323,360 | | | | ||
|
Description | | | Type | | | Contracts | | | Expiration Date | | | Notional Amount | | | Value / Net Unrealized Appreciation (Depreciation) | | |||||||||||||||
CONTRACTS PURCHASED – 6.4% | | ||||||||||||||||||||||||||||||
U.S. Treasury Ultra Bonds | | | | | Long | | | | | | 7,200,000 | | | | | | 12/21/2021 | | | | | $ | 13,756,500 | | | | | $ | (499,559) | | |
U.S. Treasury 2-Year Notes | | | | | Long | | | | | | 20,800,000 | | | | | | 12/31/2021 | | | | | | 22,885,687 | | | | | | (11,529) | | |
U.S. Treasury 5-Year Notes | | | | | Long | | | | | | 13,100,000 | | | | | | 12/31/2021 | | | | | | 16,079,227 | | | | | | (91,212) | | |
Total | | | | | | | | | | | | | | | | | | | | | | $ | 52,721,414 | | | | | $ | (602,300) | | |
CONTRACTS SOLD – (0.9)% | | | | | | | |||||||||||||||||||||||||
U.S. Treasury Long-Term Bonds | | | | | Short | | | | | | (2,300,000) | | | | | | 12/21/2021 | | | | | $ | (3,662,031) | | | | | $ | 67,179 | | |
U.S. Treasury 10-Year Notes | | | | | Short | | | | | | (1,100,000) | | | | | | 12/21/2021 | | | | | | (1,447,703) | | | | | | 1,167 | | |
U.S. Treasury 10-Year Ultra Notes | | | | | Short | | | | | | (1,500,000) | | | | | | 12/21/2021 | | | | | | (2,178,750) | | | | | | 41,574 | | |
Total | | | | | | | | | | | | | | | | | | | | | | $ | (7,288,484) | | | | | $ | 109,920 | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Bonds* | | | | $ | — | | | | | $ | 211,880,316 | | | | | $ | — | | | | | $ | 211,880,316 | | |
U.S. Government Agencies | | | | | — | | | | | | 129,987,788 | | | | | | — | | | | | | 129,987,788 | | |
Asset-Backed Securities | | | | | — | | | | | | 132,265,667 | | | | | | — | | | | | | 132,265,667 | | |
Commercial Mortgage-Backed Securities | | | | | — | | | | | | 95,902,300 | | | | | | — | | | | | | 95,902,300 | | |
Foreign Corporate Bonds* | | | | | — | | | | | | 64,477,107 | | | | | | — | | | | | | 64,477,107 | | |
Exchange-Traded Funds | | | | | 34,048,130 | | | | | | — | | | | | | — | | | | | | 34,048,130 | | |
U.S. Government Obligations | | | | | — | | | | | | 64,074,736 | | | | | | — | | | | | | 64,074,736 | | |
Mutual Funds | | | | | 41,796,761 | | | | | | — | | | | | | — | | | | | | 41,796,761 | | |
Municipal Bonds* | | | | | — | | | | | | 15,253,922 | | | | | | — | | | | | | 15,253,922 | | |
Supranational Bonds | | | | | — | | | | | | 6,731,592 | | | | | | — | | | | | | 6,731,592 | | |
Foreign Government Obligations* | | | | | — | | | | | | 6,684,658 | | | | | | — | | | | | | 6,684,658 | | |
Foreign Government Agencies* | | | | | — | | | | | | 4,132,232 | | | | | | — | | | | | | 4,132,232 | | |
Preferred Stock* | | | | | 1,959,564 | | | | | | — | | | | | | — | | | | | | 1,959,564 | | |
Bank Loans* | | | | | — | | | | | | 976,274 | | | | | | — | | | | | | 976,274 | | |
Common Stocks | | | | | | | | | | | | | ��� | | | | | | | | | | | | |
Financial | | | | | — | | | | | | 3,930 | | | | | | — | | | | | | 3,930 | | |
Energy | | | | | — | | | | | | 1,024 | | | | | | — | | | | | | 1,024 | | |
Money Market Fund | | | | | 65,958,978 | | | | | | — | | | | | | — | | | | | | 65,958,978 | | |
Total Investments in Securities | | | | $ | 143,763,433 | | | | | $ | 732,371,546 | | | | | $ | — | | | | | $ | 876,134,979 | | |
Other Financial Instruments Futures Contracts(a) | | | | $ | 109,920 | | | | | $ | — | | | | | $ | — | | | | | $ | 109,920 | | |
Liabilities: | | | | | | ||||||||||||||||||||
Other Financial Instruments Futures Contracts(a) | | | | $ | (602,300) | | | | | $ | — | | | | | $ | — | | | | | $ | (602,300) | | |
| | | 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 $690,378,942, $604,474,068 and $863,195,886, respectively) | | | | $ | 847,860,563 | | | | | $ | 680,218,199 | | | | | $ | 876,134,979 | | |
Foreign Currency, at Value (Cost $–, $753,876 and $–, respectively) | | | | | — | | | | | | 753,532 | | | | | | — | | |
Cash | | | | | 930 | | | | | | 62,207 | | | | | | 43,649 | | |
Receivables: | | | | | | | | | | | | | | | | | | | |
Investment Securities Sold | | | | | 3,024,468 | | | | | | 258,936 | | | | | | 8,126,989 | | |
Dividends | | | | | 176,904 | | | | | | 505,950 | | | | | | 178,210 | | |
Interest | | | | | — | | | | | | — | | | | | | 3,342,464 | | |
Foreign Tax Reclaims | | | | | 5,177 | | | | | | 418,077 | | | | | | 3,705 | | |
Prepaid Expenses | | | | | 10,496 | | | | | | 7,138 | | | | | | 6,623 | | |
Total Assets | | | | | 851,078,538 | | | | | | 682,224,039 | | | | | | 887,836,619 | | |
Liabilities: | | | | | | | | | | | | | | | | | | | |
Payables:(1) | | | | | | | | | | | | | | | | | | | |
Investment Securities Purchased | | | | | 3,687,611 | | | | | | 907,050 | | | | | | 64,027,357 | | |
Advisory Fees Payable | | | | | 222,634 | | | | | | 302,736 | | | | | | 300,275 | | |
Other Accrued Expenses | | | | | 152,614 | | | | | | 222,046 | | | | | | 178,244 | | |
Net Variation Margin on Futures Contracts | | | | | — | | | | | | — | | | | | | 7,383 | | |
Total Liabilities | | | | | 4,062,859 | | | | | | 1,431,832 | | | | | | 64,513,259 | | |
Net Assets | | | | $ | 847,015,679 | | | | | $ | 680,792,207 | | | | | $ | 823,323,360 | | |
Net Assets Consists of: | | | | | | | | | | | | | | | | | | | |
Paid-In Capital | | | | $ | 581,761,796 | | | | | $ | 577,613,535 | | | | | $ | 806,043,809 | | |
Total Distributable Earnings | | | | | 265,253,883 | | | | | | 103,178,672 | | | | | | 17,279,551 | | |
Net Assets | | | | $ | 847,015,679 | | | | | $ | 680,792,207 | | | | | $ | 823,323,360 | | |
Capital Shares Outstanding (no par value, unlimited shares authorized; all shares outstanding are of each Fund’s Institutional Class) | | | | | 60,563,989 | | | | | | 56,729,207 | | | | | | 79,243,741 | | |
Net Asset Value, Offering Price and Redemption Price per Share | | | | $ | 13.99 | | | | | $ | 12.00 | | | | | $ | 10.39 | | |
| | | 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 $19,917, $685,322 and $–, respectively) | | | | $ | 9,466,623 | | | | | $ | 10,853,857 | | | | | $ | 3,742,846 | | |
Non-Cash Dividends | | | | | 656,228 | | | | | | — | | | | | | — | | |
Interest (net of taxes withheld of $–, $– and $11, respectively) | | | | | — | | | | | | — | | | | | | 15,678,687 | | |
Total Investment Income | | | | | 10,122,851 | | | | | | 10,853,857 | | | | | | 19,421,533 | | |
Expenses: | | | | | | | | | | | | | | | | | | | |
Advisory Fees (Note 4) | | | | | 2,276,030 | | | | | | 2,756,915 | | | | | | 3,048,532 | | |
Accounting Fees | | | | | 91,928 | | | | | | 119,471 | | | | | | 255,987 | | |
Administration Fees | | | | | 87,516 | | | | | | 74,896 | | | | | | 98,044 | | |
Audit and Tax Fees | | | | | 62,530 | | | | | | 108,824 | | | | | | 90,188 | | |
Custodian Fees | | | | | 54,598 | | | | | | 254,978 | | | | | | 96,840 | | |
Insurance Premiums | | | | | 43,598 | | | | | | 23,262 | | | | | | 41,050 | | |
Interest Expense | | | | | — | | | | | | 9,567 | | | | | | — | | |
Legal Fees | | | | | 129,482 | | | | | | 93,473 | | | | | | 161,256 | | |
Registration Fees | | | | | 23,306 | | | | | | 17,500 | | | | | | 21,445 | | |
Transfer Agent Fees | | | | | 45,522 | | | | | | 44,390 | | | | | | 48,395 | | |
Trustees Fees | | | | | 79,983 | | | | | | 51,206 | | | | | | 75,811 | | |
Other Expenses | | | | | 11,014 | | | | | | 7,199 | | | | | | 3,036 | | |
Total Expenses | | | | | 2,905,507 | | | | | | 3,561,681 | | | | | | 3,940,584 | | |
Expenses Recouped | | | | | 81,433 | | | | | | 50,643 | | | | | | 228,982 | | |
Net Expenses | | | | | 2,986,940 | | | | | | 3,612,324 | | | | | | 4,169,566 | | |
Net Investment Income | | | | | 7,135,911 | | | | | | 7,241,533 | | | | | | 15,251,967 | | |
Net Realized and Unrealized Gain (Loss) on investments: | | | | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) From: | | | | | | | | | | | | | | | | | | | |
Investments | | | | | 110,416,034 | | | | | | 52,286,479 | | | | | | 5,970,674 | | |
Futures Contracts | | | | | — | | | | | | — | | | | | | 560,021 | | |
Foreign Currency Related Transactions | | | | | — | | | | | | (309,712) | | | | | | — | | |
Net Realized Gain | | | | | 110,416,034 | | | | | | 51,976,767 | | | | | | 6,530,695 | | |
Net Increase (Decrease) in Unrealized Appreciation/Depreciation From: | | | | | | | | | | | | | | | | | | | |
Investments | | | | | 97,053,620 | | | | | | 42,143,883 | | | | | | (13,624,776) | | |
Futures Contracts | | | | | — | | | | | | — | | | | | | (535,592) | | |
Translation of Assets and Liabilities Denominated in Foreign Currencies | | | | | — | | | | | | (30,368) | | | | | | — | | |
Net Increase (Decrease) in Unrealized Appreciation/Depreciation | | | | | 97,053,620 | | | | | | 42,113,515 | | | | | | (14,160,368) | | |
Net Increase in Net Assets Resulting from Operations | | | | $ | 214,605,565 | | | | | $ | 101,331,815 | | | | | $ | 7,622,294 | | |
| | | PFM Multi-Manager Domestic Equity Fund | | | PFM Multi-Manager International Equity Fund | | ||||||||||||||||||
| | | For the Year Ended September 30, 2021 | | | For the Year Ended September 30, 2020 | | | For the Year Ended September 30, 2021 | | | For the Year Ended September 30, 2020 | | ||||||||||||
Increase in Net Assets Resulting From Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | $ | 7,135,911 | | | | | $ | 9,290,303 | | | | | $ | 7,241,533 | | | | | $ | 3,439,034 | | |
Net Realized Gain (Loss) | | | | | 110,416,034 | | | | | | 81,231,078 | | | | | | 51,976,767 | | | | | | (23,769,475) | | |
Net Increase in Unrealized Appreciation/Depreciation | | | | | 97,053,620 | | | | | | 15,269,245 | | | | | | 42,113,515 | | | | | | 50,466,890 | | |
Net Increase in Net Assets Resulting from Operations | | | | | 214,605,565 | | | | | | 105,790,626 | | | | | | 101,331,815 | | | | | | 30,136,449 | | |
Distributions from: | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributable Earnings | | | | | (94,960,269) | | | | | | (21,779,371) | | | | | | (4,833,251) | | | | | | (8,764,112) | | |
Capital Share Transactions: | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from Sale of Shares | | | | | 130,166,499 | | | | | | 201,624,395 | | | | | | 227,546,770 | | | | | | 119,008,892 | | |
Reinvestment of Distributions | | | | | 94,960,269 | | | | | | 21,779,371 | | | | | | 4,833,251 | | | | | | 8,764,112 | | |
Cost of Shares Redeemed | | | | | (220,255,843) | | | | | | (315,372,784) | | | | | | (36,268,810) | | | | | | (158,929,672) | | |
Net Increase (Decrease) in Net Assets Resulting from Capital Share Transactions | | | | | 4,870,925 | | | | | | (91,969,018) | | | | | | 196,111,211 | | | | | | (31,156,668) | | |
Net Increase (Decrease) in Net Assets | | | | | 124,516,221 | | | | | | (7,957,763) | | | | | | 292,609,775 | | | | | | (9,784,331) | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of Year | | | | $ | 722,499,458 | | | | | $ | 730,457,221 | | | | | $ | 388,182,432 | | | | | $ | 397,966,763 | | |
End of Year | | | | $ | 847,015,679 | | | | | $ | 722,499,458 | | | | | $ | 680,792,207 | | | | | $ | 388,182,432 | | |
Shares Subscribed and Redeemed: | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares Outstanding, Beginning of Year | | | | | 59,485,338 | | | | | | 66,394,828 | | | | | | 40,027,375 | | | | | | 42,308,199 | | |
Shares Subscribed | | | | | 9,566,281 | | | | | | 19,086,341 | | | | | | 19,296,669 | | | | | | 13,822,275 | | |
Shares Issued from Reinvestment of Distributions | | | | | 7,933,189 | | | | | | 1,869,474 | | | | | | 429,241 | | | | | | 873,790 | | |
Shares Redeemed | | | | | (16,420,819) | | | | | | (27,865,305) | | | | | | (3,024,078) | | | | | | (16,976,889) | | |
Shares Outstanding, End of Year | | | | | 60,563,989 | | | | | | 59,485,338 | | | | | | 56,729,207 | | | | | | 40,027,375 | | |
| | | PFM Multi-Manager Fixed-Income Fund | | |||||||||
| | | For the Year Ended September 30, 2021 | | | For the Year Ended September 30, 2020 | | ||||||
Increase in Net Assets Resulting From Operations: | | | | | | | | | | | | | |
Net Investment Income | | | | $ | 15,251,967 | | | | | $ | 18,283,092 | | |
Net Realized Gain | | | | | 6,530,695 | | | | | | 23,944,435 | | |
Net Increase (Decrease) in Unrealized Appreciation/Depreciation | | | | | (14,160,368) | | | | | | 313,683 | | |
Net Increase in Net Assets Resulting from Operations | | | | | 7,622,294 | | | | | | 42,541,210 | | |
Distributions from: | | | | | | | | | | | | | |
Distributable Earnings | | | | | (39,290,469) | | | | | | (24,343,015) | | |
Capital Share Transactions: | | | | | | | | | | | | | |
Proceeds from Sale of Shares | | | | | 276,446,503 | | | | | | 277,703,038 | | |
Reinvestment of Distributions | | | | | 39,290,469 | | | | | | 24,343,015 | | |
Cost of Shares Redeemed | | | | | (144,963,301) | | | | | | (238,548,732) | | |
Net Increase in Net Assets Resulting from Capital Share Transactions | | | | | 170,773,671 | | | | | | 63,497,321 | | |
Net Increase in Net Assets | | | | | 139,105,496 | | | | | | 81,695,516 | | |
NET ASSETS: | | | | | | | | | | | | | |
Beginning of Year | | | | $ | 684,217,864 | | | | | $ | 602,522,348 | | |
End of Year | | | | $ | 823,323,360 | | | | | $ | 684,217,864 | | |
Shares Subscribed and Redeemed: | | | | | | | | | | | | | |
Shares Outstanding, Beginning of Year | | | | | 63,306,790 | | | | | | 57,124,202 | | |
Shares Subscribed | | | | | 26,172,225 | | | | | | 26,117,899 | | |
Shares Issued from Reinvestment of Distributions | | | | | 3,723,737 | | | | | | 2,307,531 | | |
Shares Redeemed | | | | | (13,959,011) | | | | | | (22,242,842) | | |
Shares Outstanding, End of Year | | | | | 79,243,741 | | | | | | 63,306,790 | | |
| | | For the Year Ended September 30, 2021 | | | For the Year Ended September 30, 2020 | | | For the Year Ended September 30, 2019 | | | For the Period Ended September 30, 2018(1) | | ||||||||||||
Net Asset Value, Beginning of Year | | | | $ | 12.15 | | | | | $ | 11.00 | | | | | $ | 10.76 | | | | | $ | 10.00 | | |
Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income(2) | | | | | 0.12 | | | | | | 0.14 | | | | | | 0.17 | | | | | | 0.12 | | |
Net Realized and Unrealized Gain(3) | | | | | 3.58 | | | | | | 1.32 | | | | | | 0.17 | | | | | | 0.64 | | |
Total from Investment Operations | | | | | 3.70 | | | | | | 1.46 | | | | | | 0.34 | | | | | | 0.76 | | |
Distributions from: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | | (0.15) | | | | | | (0.16) | | | | | | (0.08) | | | | | | — | | |
Capital Gains | | | | | (1.71) | | | | | | (0.15) | | | | | | (0.02) | | | | | | — | | |
Total Distributions to Shareholders | | | | | (1.86) | | | | | | (0.31) | | | | | | (0.10) | | | | | | — | | |
Net Asset Value, End of Year | | | | $ | 13.99 | | | | | $ | 12.15 | | | | | $ | 11.00 | | | | | $ | 10.76 | | |
Total Return(4),(5) | | | | | 33.08% | | | | | | 13.43% | | | | | | 3.26% | | | | | | 7.60% | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Year (000’s omitted) | | | | $ | 847,016 | | | | | $ | 722,499 | | | | | $ | 730,457 | | | | | $ | 594,994 | | |
Ratios to Average Net Assets of:(6) | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, Net of Expense Waived/Reimbursed/Recouped(7) | | | | | 0.38% | | | | | | 0.39% | | | | | | 0.38% | | | | | | 0.38% | | |
Expenses, Prior to Expense Waived/Reimbursed/Recouped(7) | | | | | 0.37% | | | | | | 0.39% | | | | | | 0.41% | | | | | | 0.55% | | |
Net Investment Income | | | | | 0.91% | | | | | | 1.25% | | | | | | 1.59% | | | | | | 1.54% | | |
Portfolio Turnover Rate | | | | | 60% | | | | | | 141%(8) | | | | | | 24% | | | | | | 13% | | |
| | | For the Year Ended September 30, 2021 | | | For the Year Ended September 30, 2020 | | | For the Year Ended September 30, 2019 | | | For the Period Ended September 30, 2018(1) | | ||||||||||||
Net Asset Value, Beginning of Year | | | | $ | 9.70 | | | | | $ | 9.41 | | | | | $ | 9.69 | | | | | $ | 10.00 | | |
Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income(2) | | | | | 0.15 | | | | | | 0.08 | | | | | | 0.23 | | | | | | 0.15 | | |
Net Realized and Unrealized Gain (Loss)(3) | | | | | 2.25 | | | | | | 0.41 | | | | | | (0.42) | | | | | | (0.46) | | |
Total from Investment Operations | | | | | 2.40 | | | | | | 0.49 | | | | | | (0.19) | | | | | | (0.31) | | |
Distributions from: | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions From Net Investment Income | | | | | (0.10) | | | | | | (0.20) | | | | | | (0.09) | | | | | | — | | |
Net Asset Value, End of Year | | | | $ | 12.00 | | | | | $ | 9.70 | | | | | $ | 9.41 | | | | | $ | 9.69 | | |
Total Return(4),(5) | | | | | 24.86% | | | | | | 5.09% | | | | | | (1.87)% | | | | | | (3.10)% | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | ��� | | | | | | | | | |
Net Assets, End of Year (000’s omitted) | | | | $ | 680,792 | | | | | $ | 388,182 | | | | | $ | 397,967 | | | | | $ | 314,739 | | |
Ratios to Average Net Assets of:(6) | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, Net of Expense Waived/Reimbursed/Recouped(7) | | | | | 0.66% | | | | | | 0.74% | | | | | | 0.63% | | | | | | 0.63% | | |
Expenses, Prior to Expense Waived/Reimbursed/Recouped(7) | | | | | 0.65% | | | | | | 0.76% | | | | | | 0.75% | | | | | | 1.09% | | |
Net Investment Income | | | | | 1.31% | | | | | | 0.87% | | | | | | 2.54% | | | | | | 2.08% | | |
Portfolio Turnover Rate | | | | | 52% | | | | | | 157%(8) | | | | | | 13% | | | | | | 21% | | |
| | | For the Year Ended September 30, 2021 | | | For the Year Ended September 30, 2020 | | | For the Year Ended September 30, 2019 | | | For the Period Ended September 30, 2018(1) | | ||||||||||||
Net Asset Value, Beginning of Year | | | | $ | 10.81 | | | | | $ | 10.55 | | | | | $ | 10.02 | | | | | $ | 10.00 | | |
Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income(2) | | | | | 0.21 | | | | | | 0.27 | | | | | | 0.35 | | | | | | 0.23 | | |
Net Realized and Unrealized Gain (Loss)(3) | | | | | (0.08) | | | | | | 0.37 | | | | | | 0.55 | | | | | | (0.10) | | |
Total from Investment Operations | | | | | 0.13 | | | | | | 0.64 | | | | | | 0.90 | | | | | | 0.13 | | |
Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | | (0.22) | | | | | | (0.29) | | | | | | (0.35) | | | | | | (0.11) | | |
Capital gains | | | | | (0.33) | | | | | | (0.09) | | | | | | (0.02) | | | | | | — | | |
Total Distributions to Shareholders | | | | | (0.55) | | | | | | (0.38) | | | | | | (0.37) | | | | | | (0.11) | | |
Net Asset Value, End of Year | | | | $ | 10.39 | | | | | $ | 10.81 | | | | | $ | 10.55 | | | | | $ | 10.02 | | |
Total Return(4),(5) | | | | | 1.23% | | | | | | 6.21% | | | | | | 9.17% | | | | | | 1.27% | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Year (000’s omitted) | | | | $ | 823,323 | | | | | $ | 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% | | | | | | 0.55% | | |
Expenses, Prior to Expense Waived/Reimbursed/Recouped(7) | | | | | 0.52% | | | | | | 0.54% | | | | | | 0.55% | | | | | | 0.73% | | |
Net Investment Income | | | | | 2.00% | | | | | | 2.60% | | | | | | 3.46% | | | | | | 3.00% | | |
Portfolio Turnover Rate | | | | | 107% | | | | | | 174%(8) | | | | | | 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 | | | | $ | 65,809,380 | | | | | $ | 47,984,329 | | | | | $ | — | | | | | $ | (66,590) | | | | | $ | 151,526,764 | | | | | $ | 265,253,883 | | |
PFM Multi-Manager International Equity Fund | | | | | 11,052,376 | | | | | | 19,570,671 | | | | | | — | | | | | | (66,590) | | | | | | 72,622,215 | | | | | | 103,178,672 | | |
PFM Multi-Manager Fixed-Income Fund | | | | | 2,166,375 | | | | | | 2,706,291 | | | | | | — | | | | | | (266,285) | | | | | | 12,673,170 | | | | | | 17,279,551 | | |
| | | Ordinary Income | | | Long-term Capital Gains | | | Total Distributions | | |||||||||
PFM Multi-Manager Domestic Equity Fund | | | | $ | 20,262,448 | | | | | $ | 74,697,821 | | | | | $ | 94,960,269 | | |
PFM Multi-Manager International Equity Fund | | | | | 4,833,251 | | | | | | — | | | | | | 4,833,251 | | |
PFM Multi-Manager Fixed-Income Fund | | | | | 28,977,962 | | | | | | 10,312,507 | | | | | | 39,290,469 | | |
| | | 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 | | |
| | | PFM Multi- Manager Domestic Equity Fund | | | PFM Multi- Manager International Equity Fund | | | PFM Multi- Manager Fixed- Income Fund | | |||||||||
Cost of investments | | | | $ | 696,333,799 | | | | | $ | 607,596,319 | | | | | $ | 863,461,809 | | |
Unrealized appreciation | | | | $ | 157,098,996 | | | | | $ | 84,325,685 | | | | | $ | 17,914,021 | | |
Unrealized depreciation | | | | | (5,572,232) | | | | | | (11,703,805) | | | | | | (5,240,851) | | |
Net unrealized appreciation (depreciation) | | | | $ | 151,526,764 | | | | | $ | 72,621,880 | | | | | $ | 12,673,170 | | |
Fund | | | % | | |||
Domestic Equity Fund | | | | | 0.29% | | |
International Equity Fund | | | | | 0.50% | | |
Fixed-Income Fund | | | | | 0.40% | | |
Fund | | | Sub-Advisers | |
PFM Multi-Manager Domestic Equity Fund | | | Aristotle Atlantic Partners, LLC* Champlain Investment Partners, LLC Jacobs Levy Equity Management, Inc. Nuance Investments, LLC Vaughan Nelson Investment Management, L.P. | |
PFM Multi-Manager International Equity Fund** | | | Acadian Asset Management LLC Aristotle Capital Management, LLC Kayne Anderson Rudnick Investment Management, LLC Lazard Asset Management LLC Ninety One North America, Inc.* 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, 2022 | | | | $ | 319,569 | | | | | $ | 497,715 | | | | | $ | — | | |
September 30, 2023 | | | | | 129,416 | | | | | | 141,724 | | | | | | — | | |
Total | | | | $ | 448,985 | | | | | $ | 639,439 | | | | | $ | — | | |
| | | PFM Multi- Manager Domestic Equity Fund | | | PFM Multi- Manager International Equity Fund | | ||||||
Non-U.S. Government Purchases | | | | $ | 454,465,144 | | | | | $ | 474,753,848 | | |
Non-U.S. Government Sales | | | | $ | 531,849,764 | | | | | $ | 279,313,249 | | |
| | | PFM Multi- Manager Fixed- Income Fund | | |||
U.S. Government Purchases | | | | $ | 441,882,481 | | |
Non-U.S. Government Purchases | | | | $ | 417,790,762 | | |
U.S. Government Sales | | | | $ | 443,567,893 | | |
Non-U.S. Government Sales | | | | $ | 313,002,780 | | |
| | | Asset Derivatives | | | Liability Derivatives | | ||||||||||||
Interest Rate Contracts | | | Net Variation Margin on Futures Contracts* | | | | $ | 109,920 | | | | Net Variation Margin on Futures Contracts* | | | | $ | (602,300) | | |
| | | | | | | | | | | | | | | | | | | |
| | | Net Realized Gain (Loss) | | | Net Change in Unrealized Appreciation (Depreciation) | | ||||||||||||
Interest Rate Contracts Risk | | | Futures Contracts | | | | $ | 560,021 | | | | Futures Contracts | | | | $ | (535,592) | | |
| | | Futures Contracts – Long | | | Futures Contracts – Short | | ||||||
PFM Multi-Manager Domestic Equity Fund | | | | $ | — | | | | | $ | — | | |
PFM Multi-Manager International Equity Fund | | | | $ | — | | | | | $ | — | | |
PFM Multi-Manager Fixed-Income Fund | | | | $ | 41,280,287 | | | | | $ | 9,381,233 | | |
November 24, 2021
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 | | | Acadian Asset Management LLC | |
| | | Aristotle Capital Management, LLC | |
| | | Lazard Asset Management LLC | |
| | | Schroders Investment Management North America Inc. | |
| | | WCM Investment Management, LLC | |
Fixed-Income Fund | | | Brown Brothers Harriman & Co. | |
| | | PineBridge Investments LLC | |
| | | PGIM, Inc. | |
| | | Teachers Advisors, LLC | |
INVESTMENT ADVISORY AGREEMENTS
PFM Multi-Manager International Equity Fund
PFM Multi-Manager Fixed-Income Fund
(each a “Fund”)
INVESTMENT SUBADVISORY AGREEMENTS
PFM Multi-Manager International Equity Fund
(each a “Fund”)
| | | Beginning Account Value 4/1/21 | | | Ending Account Value 9/30/21 | | | Annualized Expense Ratio Based on the Period | | | Expenses Paid per $1,000 During the Period(1),(2) 4/1/21 to 9/30/21 | | ||||||||||||
PFM Multi-Manager Domestic Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | $ | 1,000.00 | | | | | $ | 1,080.30 | | | | | | 0.38% | | | | | $ | 1.98 | | |
Hypothetical (5% return before expenses) | | | | $ | 1,000.00 | | | | | $ | 1,023.16 | | | | | | 0.38% | | | | | $ | 1.93 | | |
PFM Multi-Manager International Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | $ | 1,000.00 | | | | | $ | 1,034.50 | | | | | | 0.65% | | | | | $ | 3.32 | | |
Hypothetical (5% return before expenses) | | | | $ | 1,000.00 | | | | | $ | 1,021.81 | | | | | | 0.65% | | | | | $ | 3.29 | | |
PFM Multi-Manager Fixed-Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | $ | 1,000.00 | | | | | $ | 1,021.90 | | | | | | 0.54% | | | | | $ | 2.74 | | |
Hypothetical (5% return before expenses) | | | | $ | 1,000.00 | | | | | $ | 1,022.36 | | | | | | 0.54% | | | | | $ | 2.74 | | |
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, Senior Managing Director, Chief Investment Strategist, Envestnet Retirement Solutions (financial technology) (2009 – 2020) Founder, Chief Executive Officer and Managing Member, PRISM Global Advisors, LLC (personal family office and financial advisory firm) (2004 – Present) | | | 3 | | | Board Member, Fay Financial, Inc. (mortgage servicer) (2009 – Present); Board Chairman and Co-founder, Guitars Over Guns Organization (nonprofit) (2010 to Present). | |
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 − Present). | |
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); Board member | | | 3 | | | Advisory Board, St. Rose of Lima Parish (2008 − Present); Director, Magee Rehabilitation Hospital (2008 – Present); Board Member, Greater Philadelphia Chamber of Commerce Advisory Board (2004 – Present); Investment Committee, Thomas Jefferson Health System (2018 to 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); Investment Committee, Thomas Jefferson Health System (2018 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 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 $185,370 for the fiscal year ended September 30, 2021 and $188,850 for the fiscal year ended September 30, 2020. |
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 $0 for the fiscal year ended September 30, 2021 and $31,300 for the fiscal year ended September 30, 2020. |
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 $75,685 for the fiscal year ended September 30, 2021 and $86,880 for the for the fiscal year ended September 30, 2020. |
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, 2021 and $0 for the fiscal year ended September 30, 2020. |
(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 $75,685 for the fiscal year ended September 30, 2021 and $118,180 for the fiscal year ended September 30, 2020. |
(h) | Not applicable. |
(i) | Not applicable. |
(j) | 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 this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) | Not applicable. |
(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 6, 2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ John Spagnola |
John Spagnola
President (Principal Executive Officer)
Date: | December 6, 2021 |
By: | /s/ Daniel Hess |
Daniel Hess
Treasurer (Principal Financial Officer)
Date: | December 6, 2021 |