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 811-23235
Morningstar Funds Trust
(Exact name of registrant as specified in charter)
Morningstar Funds Trust
22 W. Washington Street
Chicago, IL 60602
(Address of principal executive offices) (Zip code)
D. Scott Schilling
Morningstar Funds Trust
22 W. Washington Street
Chicago, IL 60602
With a copy to:
Eric S. Purple
Stradley Ronon Stevens & Young, LLP
2000 K Street N.W., Suite 700
Washington, District of Columbia, 20006
(Name and address of agent for service)
Registrant’s telephone number, including area code: (312) 696-6000
Date of fiscal year end: April 30
Date of reporting period: October 31, 2020
Item 1. Reports to Stockholders.
S E M I - A N N U A L R E P O R T
| October 31, 2020 (unaudited) | |||||
Morningstar Funds Trust |
Morningstar U.S. Equity Fund
Morningstar International Equity Fund
Morningstar Global Income Fund
Morningstar Total Return Bond Fund
Morningstar Municipal Bond Fund
Morningstar Defensive Bond Fund
Morningstar Multisector Bond Fund
Morningstar Unconstrained Allocation Fund
Morningstar Alternatives Fund | |||||
Important Notice Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from your financial intermediary (e.g., custodian, financial adviser through which you invest or sponsor of the investment advisory program). Instead, the reports will be made available on a website (http://connect.rightprospectus.com/Morningstar), and you will be notified by mail or by such other manner as you have agreed upon with your financial intermediary each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund on your financial intermediary electronically by contacting your financial intermediary.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary (including through an investment advisory program sponsored by Morningstar Investment Services LLC or another financial institution), you can contact your financial intermediary to inform it that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will to apply to all Morningstar Funds held with your financial intermediary. | ||||||
Morningstar Funds Trust October 31, 2020 (unaudited)
Introduction
Morningstar Investment Management LLC launched an open-end management investment company consisting of nine separate portfolios (each a fund) that span the investment opportunity set1. Most of these Funds were designed to provide exposure to a broad asset class, such as U.S. equities, while our active management of each Fund’s asset allocation and active managers (known as “subadvisers”) will adjust exposures to subasset classes (such as small-cap value) based on our valuation views and those of the subadvisers.
Concept and Structure
We created the Morningstar Funds Trust using an open architecture, multimanager approach, hiring as active subadvisers both institutional managers and other managers whose mutual funds were previously used in Morningstar® Managed PortfoliosSM. Our analysts and portfolio managers continually use research, data, and analysis from Morningstar, Inc. and its affiliates to study the subadvisers and their investments closely and determine which fit best with our investment philosophy and the investment objectives of each Morningstar Fund2. We have selected managers we believed were independent, skilled investors in their respective asset classes.
Consistent with our investment approach, our asset allocation process for the Morningstar Funds is based on fundamentals and driven by valuations. We look for asset classes and sub-asset classes around the globe that, in our view, offer fundamental value relative to price. Allocations within each Fund are in line with what we believe to reflect the best risk-adjusted opportunities.
How to Read This Report
This report outlines the structure and performance of the assets comprised by the Morningstar Funds Trust from May 1, 2020 through October 31, 2020. Included are fund holdings and positioning that may aid understanding of returns for the period.
Statements made within this report are not guarantees of future performance or investment results and should not be taken as investment advice. Investment decisions reflect a variety of factors, and we reserve the right to change views about individual holdings, sectors, and markets at any time. As a result, the views expressed should not be relied upon as a forecast of the Morningstar Funds’ future investment intent.
1All references to “we” or “our” in this report, including the funds’ performance summaries, refer to Morningstar Investment Management LLC.
2 Morningstar Funds Trust is an open-end management investment company registered under the Investment Company Act of 1940 (as amended). Use of the term “Morningstar Funds” hereafter refers to Morningstar Funds Trust, or its individual series, as applicable.
Morningstar Funds Trust October 31, 2020 (unaudited)
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Morningstar Funds Trust October 31, 2020 (unaudited)
Statement of Shareholder Rights
It is important to note that as a shareholder, you have certain rights and protections, chief among them an independent Board of Trustees (the “Trustees”), whose main role is to represent your interests.
The Trustees are responsible for the overall management of the Trust, including general supervision and review of the investment activities of each Fund. The Trustees, in turn, elect the officers of the Trust, who are responsible for administering the day-to-day operations of the Trust and its separate series, including the Funds.
The “Independent Trustees” are Trustees who are not “interested persons” of the Trust, as that term is defined in the Investment Company Act of 1940 (e.g. not a Morningstar employee).
More information about the Trustees is available at
https://www.morningstar.com/company/morningstar-funds-governance.
The Board of Trustees for the Morningstar Funds Trust is committed to representing your interests as well as implementing and maintaining sound fund governance principles. If you have comments or questions with respect to your investment in the Morningstar Funds, you may direct them to the Board of Trustees in the following ways:
By email: BoardofTrustees.MorningstarFundsTrust@morningstar.com
By mail: Chair of the Board of Trustees of Morningstar Funds Trust
c/o D. Scott Schilling, Chief Compliance Officer
22 West Washington Street
Chicago, IL 60602
1
Morningstar Funds Trust October 31, 2020 (unaudited)
Dear Shareholders:
We are delighted to provide the semi-annual report for the Morningstar Funds Trust. This report features data for the six months ended October 31, 2020.
We offer the Morningstar Funds for use within our Morningstar® Managed PortfoliosSM lineup. We designed the funds to reduce the overall costs of our portfolios and to allow our investment team greater control of asset allocation. Both these benefits show our commitment to putting investors first and empowering investor success.
The nine Morningstar Funds power a suite of multi-asset managed portfolios, from a traditional Asset Allocation series designed to align with a client’s risk tolerance, to our Outcome-Based portfolios like the U.S. Real Return series or our Absolute Return portfolio. Our outcome-based series is designed to fit with financial advisors who help their clients develop a goals-based financial plan. To learn more about the managed portfolios program, visit mp.morningstar.com.
As an investment management subsidiary of Morningstar, Inc., a leader in fund manager research for more than 35 years, we know we are held to the same high standards that Morningstar has set. We aim to do that in every way we handle the funds, in the composition of the funds’ board of trustees, in the transparency the funds provide by reporting sub-accounting fees in their prospectuses and in my letters accompanying the funds’ annual reports. We hope you’ll agree that the Morningstar Funds Trust offers mutual funds the Morningstar way.
Thank you for your trust in these funds. We look forward to staying focused on helping investors reach their financial goals.
Sincerely,
Daniel Needham
President & Chief Investment Officer
Morningstar Investment Management LLC
2
Morningstar Funds Trust October 31, 2020 (unaudited)
|
General Information | ||||
Net Asset Value Per Share | $10.33 | |||
Total Net Assets (millions) | $1,255 | |||
Net Expense Ratio(a) | 0.81% | |||
Gross Expense Ratio(a) | 0.87% | |||
Portfolio Turnover Rate | 31% | |||
Number of Companies | 296 | |||
Fund Inception | November 2, 2018 | |||
No sales charges or distribution fees |
| |||
Portfolio Characteristics | ||||
Weighted Average Market Capitalization (billions) | $34.46 | |||
Price-to-Earnings Ratio(b) | 20.79 | |||
Ten Largest Equities (%)(c)(d)(e) | ||||
Amazon.com, Inc. | 2.0 | |||
Facebook, Inc., Class A | 1.3 | |||
Apple, Inc. | 1.2 | |||
Thermo Fisher Scientific, Inc. | 1.1 | |||
Archer-Daniels-Midland Co. | 1.1 | |||
Microsoft Corp. | 1.1 | |||
Johnson & Johnson | 1.0 | |||
JPMorgan Chase & Co. | 1.0 | |||
Comcast Corp., Class A | 1.0 | |||
Visa, Inc., Class A | 0.9 |
Asset Allocation(c)
Sector Diversification (%)(c)(d) | ||||
Consumer, Noncyclical | 17.5 | |||
Financial | 17.5 | |||
Technology | 12.3 | |||
Industrial | 9.6 | |||
Consumer, Cyclical | 9.0 | |||
Communications | 7.5 | |||
Utilities | 3.2 | |||
Basic Materials | 3.0 | |||
Energy | 0.9 |
* Includes, if any, cash, short-term investments, receivables, payables and investments rounding to less than 0.05%.
(a) Net expense ratio reflects fee waivers and/or expense reimbursements, if any, pursuant to an agreement that is in effect to cap the expenses whereas the gross expense ratio does not. The Adviser has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding taxes, interest, brokerage commissions, trading costs, acquired fund fees and expenses (AFFE), short sale dividend and interest expenses, litigation expenses, and extraordinary expenses) do not exceed 0.85% (the Base Expense Limitation Agreement). In addition to the Base Limitation Agreement, Morningstar has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding the above listed expenses other than AFFE) do not exceed 0.85% (the Supplemental Expense Limitation Agreement).
(b) Price-to-earnings (P/E) ratio is calculated using 12-month forward earnings estimates from third-party sources deemed reliable.
(c) Percentages shown are based on Net Assets
(d) Excludes Investment Companies and Other.
(e) The Fund’s portfolio holdings are subject to change without notice. The mention of specific securities is not a recommendation to buy, sell, or hold any particular security and is not indicative of current or future trading activity.
3
Morningstar Funds Trust October 31, 2020 (unaudited)
Fund Information (continued)
Morningstar U.S. Equity Fund
Investment Objective
Morningstar U.S. Equity Fund seeks long-term capital appreciation.
Investment Strategies
In seeking long-term capital appreciation, the Fund will normally invest at least 80% of its assets in equity securities of U.S.-based companies, and may invest up to 100% of its assets in such securities. The Fund seeks to provide broad U.S. equity exposure across market capitalizations and investment styles and has the flexibility to invest in large-cap, mid-cap, and small-cap common stocks across the growth and value style spectrum. The Fund may also invest in real estate investment trusts (REITs) and non-U.S. companies. The Fund may invest in derivatives, including futures and forward foreign currency contracts, for risk management purposes or as part of its investment strategies. The Fund may also invest in investment companies such as mutual funds and exchange traded funds (ETFs), which could represent a significant percentage of assets. The Fund employs a multimanager, subadvised structure.
Investment Subadvisers:
ClearBridge Investments, LLC
Diversified large-cap growth equity across stable, cyclical and select growth companies.
Diamond Hill Capital Management, Inc.
Targeted exposure to U.S. mid-cap value companies.
Levin Easterly Partners LLC
Provides large-cap blend U.S equity exposure.
Massachusetts Financial Services Company, d/b/a MFS Investment Management
Provides large-cap value exposure, favoring higher-quality, value companies with stronger balance sheets and more consistent profitability.
Wasatch Advisors, Inc.
Small-/mid-cap growth companies with the potential to deliver more stable profits while avoiding earlier-stage companies that may lack a proven track record of revenues and earnings.
Westwood Management Corp.
Provides small-cap equity with an emphasis on value.
4
Morningstar Funds Trust October 31, 2020 (unaudited)
Fund Information
Morningstar International Equity Fund
|
General Information | ||
Net Asset Value Per Share | $9.76 | |
Total Net Assets (millions) | $814 | |
Net Expense Ratio(a) | 0.90% | |
Gross Expense Ratio(a) | 1.08% | |
Portfolio Turnover Rate | 18% | |
Number of Companies | 235 | |
Fund Inception | November 2, 2018 | |
No sales charges or distribution fees | ||
Portfolio Characteristics | ||
Weighted Average Market Capitalization (billions) | $32.56 | |
Price-to-Earnings Ratio(b) | 18.13 | |
Countries Represented | 41 | |
Emerging Markets(c)(d) | 24.5% | |
Ten Largest Equities (%)(c)(d)(e) | ||
Lloyds Banking Group PLC | 1.4 | |
Tencent Holdings Ltd. | 1.4 | |
Glencore PLC | 1.4 | |
BNP Paribas S.A. | 1.4 | |
Allianz S.E. | 1.3 | |
Samsung Electronics Co. Ltd. | 1.3 | |
Intesa Sanpaolo S.p.A. | 1.2 | |
Daimler A.G. | 1.2 | |
CNH Industrial N.V. | 1.1 | |
Credit Suisse Group A.G. | 1.1 |
Asset Allocation(c)
Sector Diversification (%)(c)(d) | ||
Financial | 17.1 | |
Consumer, Noncyclical | 12.9 | |
Consumer, Cyclical | 10.0 | |
Communications | 8.1 | |
Industrial | 8.0 | |
Technology | 7.7 | |
Basic Materials | 4.6 | |
Energy | 1.4 | |
Utilities | 0.2 | |
Diversified | 0.1 | |
Region Diversification (%)(c)(d) | ||
Europe (excluding United Kingdom) | 28.7 | |
Pacific (excluding Japan) | 22.4 | |
United Kingdom | 8.3 | |
Japan | 4.3 | |
Latin America | 2.8 | |
Africa | 1.8 | |
Canada | 1.1 | |
Middle East | 0.5 | |
United States | 0.2 |
* Includes, if any, cash, short-term investments, receivables, payables, derivatives and investments rounding to less than 0.05%.
(a) Net expense ratio reflects fee waivers and/or expense reimbursements, if any, pursuant to an agreement that is in effect to cap the expenses whereas the gross expense ratio does not. The Adviser has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding taxes, interest, brokerage commissions, trading costs, acquired fund fees and expenses (AFFE), short sale dividend and interest expenses, litigation expenses, and extraordinary expenses) do not exceed 1.00% (the Base Expense Limitation Agreement). In addition to the Base Limitation Agreement, Morningstar has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding the above listed expenses other than AFFE) do not exceed 1.00% (the Supplemental Expense Limitation Agreement).
(b) Price-to-earnings (P/E) ratio is calculated using 12-month forward earnings estimates from third-party sources deemed reliable.
(c) Percentages shown are based on Net Assets.
(d) Excludes Investment Companies and Other.
(e) The Fund’s portfolio holdings are subject to change without notice. The mention of specific securities is not a recommendation to buy, sell, or hold any particular security and is not indicative of current or future trading activity.
5
Morningstar Funds Trust October 31, 2020 (unaudited)
Fund Information (continued)
Morningstar International Equity Fund
Investment Objective
Morningstar International Equity Fund seeks long-term capital appreciation.
Investment Strategies
In seeking long-term capital appreciation, the Fund will normally invest at least 80% of its assets in equity securities. Under normal circumstances, the Fund will invest approximately 80-100% of its assets in securities of issuers domiciled outside of the United States. The Fund may invest in developed and emerging markets and will typically invest in a minimum of 10 countries. The Fund seeks to provide broad international equity exposure across market capitalizations and investment styles and has the flexibility to invest in large-cap, mid-cap, and small-cap common stocks across the growth and value style spectrum. The Fund may also invest in derivatives, including futures and forward foreign currency contracts, for risk management purposes or as part of its investment strategies. The Fund may also invest in investment companies such as mutual funds and exchange traded funds (ETFs), which could represent a significant percentage of assets. The Fund employs a multimanager, subadvised structure.
Investment Subadvisers:
Harding Loevner L.P.
Provides growth-leaning exposure to non-U.S. developed equity markets.
Harris Associates L.P.
Provides exposure to value-leaning, non-U.S. developed equity markets.
Lazard Asset Management LLC
Provides active equity exposure to emerging-markets value companies.
T. Rowe Price Associates, Inc.
Provides active exposure to emerging-markets growth companies.
6
Morningstar Funds Trust October 31, 2020 (unaudited)
Fund Information
Morningstar Global Income Fund
|
General Information | ||
Net Asset Value Per Share | $9.91 | |
Total Net Assets (millions) | $243 | |
Net Expense Ratio(a) | 0.61% | |
Gross Expense Ratio(a) | 0.62% | |
Portfolio Turnover Rate | 36% | |
Fund Inception | November 2, 2018 | |
No sales charges or distribution fees
| ||
Equity Portfolio (42.2%) |
Number of Common Stocks | 37 | |||
Five Largest Sectors (%)(b)(c) | ||||
Financial | 9.7 | |||
Consumer, Noncyclical | 6.8 | |||
Utilities | 6.3 | |||
Industrial | 5.2 | |||
Basic Materials | 4.3 | |||
Ten Largest Equities (%)(b)(c)(d) | ||||
Toyota Motor Corp. ADR | 1.9 | |||
NextEra Energy, Inc. | 1.7 | |||
Duke Energy Corp. | 1.7 | |||
Xinyi Glass Holdings Ltd. | 1.7 | |||
JPMorgan Chase & Co. | 1.6 | |||
Iberdrola S.A. | 1.6 | |||
Johnson Controls International PLC | 1.5 | |||
Taiwan Semiconductor Manufacturing Co. Ltd. | 1.5 | |||
Smurfit Kappa Group PLC | 1.5 | |||
PLA Administradora Industrial S. de R.L. de C.V. | 1.4 |
Asset Allocation(b)
* Includes, if any, cash, short-term investments, receivables, payables, derivatives and investments rounding to less than 0.05%.
(a) Net expense ratio reflects fee waivers and/or expense reimbursements, if any, pursuant to an agreement that is in effect to cap the expenses whereas the gross expense ratio does not.The Adviser has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding taxes, interest, brokerage commissions, trading costs, acquired fund fees and expenses (AFFE), short sale dividend and interest expenses, litigation expenses, and extraordinary expenses) do not exceed 0.89% (the Base Expense Limitation Agreement). In addition to the Base Limitation Agreement, Morningstar has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding the above listed expenses other than AFFE) do not exceed 0.75% (the Supplemental Expense Limitation Agreement).
(b) Percentages shown are based on Net Assets.
(c) Excludes Investment Companies and Other.
(d) The Fund’s portfolio holdings are subject to change without notice. The mention of specific securities is not a recommendation to buy, sell, or hold any particular security and is not indicative of current or future trading activity.
7
Morningstar Funds Trust October 31, 2020 (unaudited)
Fund Information (continued)
Morningstar Global Income Fund
Investment Objective
Morningstar Global Income Fund seeks current income and long-term capital appreciation.
Investment Strategies
In seeking current income and long-term capital appreciation, the Fund has significant flexibility and invests across asset classes and geographies, according to the adviser’s assessment of their valuations, fundamental characteristics, and income levels. The Fund invests in investment companies such as open-, closed-end or ETFs which could represent a significant percentage of the Fund’s assets. The Fund may invest at least 20% (or, if market conditions are unfavorable, at least 10%) of assets in securities of issuers domiciled outside of the United States and may invest up to 100% assets in such securities.
The Fund invests in income-generating equity securities, which may include common stocks, convertible securities, preferred stocks, real estate investment trusts (REITs), and master limited partnerships (MLPs). The Fund may invest in companies of any size from any country, including emerging markets.
The Fund also invests in fixed-income securities of varying maturity, duration, and quality. These may include U.S. and non-U.S. corporate debt securities, U.S. and non-U.S. government debt securities, emerging-market debt securities, mortgage-backed and asset-backed securities, and floating-rate notes. The Fund may invest without limit in fixed-income securities that are rated below investment grade (commonly known as junk bonds) or, if unrated, are determined by the Fund’s subadviser(s) to be of comparable quality.
The Fund may also invest in derivatives, including options, futures, swaps, and forward foreign currency contracts, for risk management purposes or as part of its investment strategies. The Fund employs a multimanager, subadvised structure.
Investment Subadviser:
Schafer Cullen Capital Management, Inc.
Global income that seeks exposure to attractively priced, high-quality, dividend-paying companies in the U.S. and international markets, including emerging markets.
8
Morningstar Funds Trust October 31, 2020 (unaudited)
Fund Information
Morningstar Total Return Bond Fund
|
General Information | ||
Net Asset Value Per Share | $11.20 | |
Total Net Assets (millions) | $608 | |
Net Expense Ratio(a) | 0.52% | |
Gross Expense Ratio(a) | 0.75% | |
Portfolio Turnover Rate | 226% | |
Number of Issuers | 683 | |
Fund Inception | November 2, 2018 | |
No sales charges or distribution fees |
Portfolio Characteristics | ||
Effective Duration (years)(b) | 6.3 | |
Non-USD Exposure(c)(d)(e) | 1.0% | |
Five Largest Issuers (%)(c)(d)(f) | ||
U.S. Treasury | 14.0 | |
Federal National Mortgage Association | 10.6 | |
Government National Mortgage Association | 6.7 | |
Federal Home Loan Mortgage Corporation | 4.3 | |
Bank of America Corp. | 1.3 | |
Credit Quality (%)(c)(d)(g) | ||
U.S. Treasury | 14.0 | |
U.S. Agency | 23.0 | |
AAA | 5.6 | |
AA | 3.4 | |
A | 15.6 | |
BBB | 18.8 | |
BB | 2.0 | |
B | 0.7 | |
CCC | 0.4 | |
CC | 0.1 | |
Not Rated | 1.9 |
Asset Allocation(c)
Sector Diversification (%)(c)(d) | ||
Mortgage Securities | 27.3 | |
Government | 18.4 | |
Financial | 10.5 | |
Consumer, Noncyclical | 5.6 | |
Asset Backed Securities | 5.0 | |
Energy | 4.2 | |
Communications | 3.8 | |
Industrial | 3.2 | |
Technology | 2.5 | |
Consumer, Cyclical | 2.0 | |
Utilities | 1.7 | |
Basic Materials | 1.3 | |
Region Diversification (%)(c)(d) | ||
United States | 70.9 | |
Latin America | 6.3 | |
Europe (excluding United Kingdom) | 4.0 | |
Pacific (excluding Japan) | 1.3 | |
United Kingdom | 1.3 | |
Middle East | 0.9 | |
Canada | 0.3 | |
Japan | 0.3 | |
Africa | 0.2 |
* Includes, if any, cash, short-term investments, receivables, payables, derivatives and investments rounding to less than 0.05%.
(a) Net expense ratio reflects fee waivers and/or expense reimbursements, if any, pursuant to an agreement that is in effect to cap the expenses whereas the gross expense ratio does not. The Adviser has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding taxes, interest, brokerage commissions, trading costs, acquired fund fees and expenses (AFFE), short sale dividend and interest expenses, litigation expenses, and extraordinary expenses) do not exceed 0.53% (the Base Expense Limitation Agreement). In addition to the Base Limitation Agreement, Morningstar has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding the above listed expenses other than AFFE) do not exceed 0.54% (the Supplemental Expense Limitation Agreement).
9
Morningstar Funds Trust October 31, 2020 (unaudited)
Fund Information (continued)
Morningstar Total Return Bond Fund
(b) Effective duration is a measure of a Fund’s interest-rate sensitivity—the longer a Fund’s duration, the more sensitive the Fund is to shifts in interest rates. Duration is determined by a formula that includes coupon rates and bond maturities. Small coupons tend to increase duration, while shorter maturities and higher coupons shorten duration.
(c) Percentages shown are based on Net Assets.
(d) Excludes Investment Companies and Other.
(e) Non-USD currency exposure for the Fund reflects the value of the portfolio’s non-U.S. dollar denominated investments, as well as the impact of currency derivatives.
(f) The Fund’s portfolio holdings are subject to change without notice. The mention of specific securities is not a recommendation to buy, sell, or hold any particular security and is not indicative of current or future trading activity.
(g) Credit quality ratings are based on the conservative average of Moody’s, S&P Global and Fitch ratings. If ratings from all three rating agencies disagree, the model assigns the middle rating to the security. If two of the three agree, the model assigns the rating from those two to the security. If none of these three rating agencies has assigned a rating, the Fund will assign a rating of not rated. The ratings, expressed in S&P Global’s nomenclature, range from AAA (extremely strong capacity to meet its financial commitment) to D (in default). Short-term ratings, expressed in S&P Global’s nomenclature, range from A1 to D (in default). The ratings represent the rating agencies’ opinions of the quality of the securities they rate. Ratings are relative and subjective and are not absolute standards of quality.
10
Morningstar Funds Trust October 31, 2020 (unaudited)
Fund Information (continued)
Morningstar Total Return Bond Fund
Investment Objective
Morningstar Total Return Bond Fund seeks to maximize total return while also generating income and preserving capital.
Investment Strategies
In seeking to maximize total return while also generating income and preserving capital, the Fund will normally invest at least 80% of its assets in debt securities (commonly referred to as “bonds”) of varying maturity, duration, and quality.
The Fund invests primarily in investment-grade fixed-income securities. These may include U.S. and non-U.S. investment-grade corporate debt securities, U.S. government debt securities including Treasury Inflation Protected Bond Securities and zero-coupon securities, non-U.S. government debt securities, emerging-market debt securities, and mortgage-backed and asset-backed securities. The Fund may also invest up to 20% of its assets in fixed-income securities that are rated below investment grade (commonly known as junk bonds), or if unrated, are determined by the Fund’s subadviser(s) to be of comparable quality.
In addition, the Fund may invest up to 15% of its assets in collateralized debt obligations (CDOs), of which 10% (as a percentage of the Fund’s assets) may be in collateralized loan obligations (CLOs). CDOs are types of asset-backed securities. CLOs are ordinarily issued by a trust or other special purpose entity and are typically collateralized by a pool of loans, which may include, among others, domestic and non-U.S. senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans, held by such issuer.
The Fund may invest up to 20% of its assets in securities denominated in foreign currencies. The Fund may also invest in securities acquired in a private placement, such as Rule 144A securities, as well as derivatives, including options, futures, swaps, and forward foreign currency contracts, for risk management purposes or as part of its investment strategies. The Fund may also enter into reverse repurchase agreements and dollar rolls. The Fund may also invest in investment companies such as mutual funds and exchange traded funds (ETFs). The Fund employs a multimanager, subadvised structure.
Investment Subadvisers:
BlackRock Financial Management, Inc.
Core-plus total return objective; aims to primarily invest in investment-grade, domestic fixed-income securities with opportunistic, out-of-benchmark allocations and derivatives.
Western Asset Management Company
Provides core-bond exposure seeking exposure to investment-grade, domestic fixed-income securities.
11
Morningstar Funds Trust October 31, 2020 (unaudited)
Fund Information
Morningstar Municipal Bond Fund
|
General Information | ||
Net Asset Value Per Share | $10.57 | |
Total Net Assets (millions) | $353 | |
Net Expense Ratio(a) | 0.58% | |
Gross Expense Ratio(a) | 0.66% | |
Portfolio Turnover Rate | 36% | |
Number of Issuers | 363 | |
Fund Inception | November 2, 2018 | |
No sales charges or distribution fees |
Portfolio Characteristics | ||
Effective Duration (years)(b) | 4.5 | |
Five Largest Issuers (%)(c)(d)(e) | ||
New York State Dormitory Authority | 1.7 | |
Metropolitan Transportation Authority | 1.4 | |
Illinois Finance Authority | 1.3 | |
Washington State General Obligation Unlimited Bonds | 1.2 | |
California Infrastructure & Economic Development Bank | 1.1 | |
Credit Quality (%)(c)(d)(f) | ||
AAA | 6.2 | |
AA | 30.1 | |
A | 38.1 | |
BBB | 13.1 | |
BB | 2.2 | |
B | 0.1 | |
CCC | 0.2 | |
C | 0.2 | |
A1+ (Short Term) | 0.2 | |
A1 (Short Term) | 1.4 | |
A2 (Short Term) | 1.3 | |
Not Rated | 3.0 |
Asset Allocation(c)
Sector Diversification (%)(c)(d) | ||
Medical | 16.9 | |
General | 13.1 | |
Transportation | 11.7 | |
General Obligation | 8.4 | |
Airport | 7.5 | |
Development | 6.3 | |
Multifamily Housing | 6.1 | |
Higher Education | 5.4 | |
Education | 4.1 | |
Power | 3.5 | |
School District | 3.4 | |
Water | 3.1 | |
Nursing Home | 1.8 | |
Utilities | 1.3 | |
Bond Banks | 0.8 | |
Tobacco Settlement | 0.7 | |
Housing | 0.6 | |
Single Family Housing | 0.5 | |
Pollution | 0.4 | |
Student Loan | 0.4 | |
Facilities | 0.1 |
* Includes, if any, cash, short-term investments, receivables, payables, derivatives and investments rounding to less than 0.05%.
(a) Net expense ratio reflects fee waivers and/or expense reimbursements, if any, pursuant to an agreement that is in effect to cap the expenses whereas the gross expense ratio does not. The Adviser has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding taxes, interest, brokerage commissions, trading costs, acquired fund fees and expenses (AFFE), short sale dividend and interest expenses, litigation expenses, and extraordinary expenses) do not exceed 0.59% (the Base Expense Limitation Agreement). In addition to the Base Limitation Agreement, Morningstar has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding the above listed expenses other than AFFE) do not exceed 0.59% (the Supplemental Expense Limitation Agreement).
(b) Effective duration is a measure of a Fund’s interest-rate sensitivity—the longer a Fund’s duration, the more sensitive the Fund is to shifts in interest rates. Duration is determined by a formula that includes coupon rates and bond maturities. Small coupons tend to increase duration, while shorter maturities and higher coupons shorten duration.
(c) Percentages shown are based on Net Assets.
(d) Excludes Investment Companies and Other.
(e) The Fund’s portfolio holdings are subject to change without notice. The mention of specific securities is not a recommendation to buy, sell, or hold any particular security and is not indicative of current or future trading activity.
12
Morningstar Funds Trust October 31, 2020 (unaudited)
Fund Information (continued)
Morningstar Municipal Bond Fund
(f) Credit quality ratings are based on the conservative average of Moody’s, S&P Global and Fitch ratings. If ratings from all three rating agencies disagree, the model assigns the middle rating to the security. If two of the three agree, the model assigns the rating from those two to the security. If none of these three rating agencies has assigned a rating, the Fund will assign a rating of not rated. The ratings, expressed in S&P Global’s nomenclature, range from AAA (extremely strong capacity to meet its financial commitment) to D (in default). Short-term ratings, expressed in S&P Global’s nomenclature, range from A1 to D (in default). The ratings represent the rating agencies’ opinions of the quality of the securities they rate. Ratings are relative and subjective and are not absolute standards of quality.
13
Morningstar Funds Trust October 31, 2020 (unaudited)
Fund Information (continued)
Morningstar Municipal Bond Fund
Investment Objective
Morningstar Municipal Bond Fund seeks to generate income exempt from federal income taxes as well as capital preservation.
Investment Strategies
In seeking income exempt from federal income taxes as well as capital preservation, the Fund will normally invest at least 80% of its assets in debt securities (commonly referred to as “bonds”) from municipal issuers within the United States or its territories.
The Fund’s dividends are generally exempt from federal income tax, although a portion may be an item of tax preference for purposes of the federal alternative minimum tax (“Tax Preference Item”). A portion of the dividends may also be exempt from state and local income taxes, depending on where you live. Under normal market conditions, the Fund is not considered an optimal investment for tax-advantaged retirement accounts, such as 401(k) plan accounts or individual retirement accounts, or for investors in low tax brackets, because such investors may not take advantage of the tax benefits of the Fund.
The Fund intends to invest primarily in investment-grade municipal securities, but may invest up to 35% of assets in high-yield fixed-income securities that are rated below investment grade (commonly known as junk bonds) or, if unrated, are determined by the Fund’s subadviser(s) to be of comparable quality. The Fund may also invest in derivatives, including options, futures, swaps, and inverse floating-rate debt instruments (inverse floaters), for risk management purposes or as part of its investment strategies. The Fund may also invest in investment companies such as mutual funds and exchange traded funds (ETFs). The Fund employs a multimanager, subadvised structure.
Investment Subadvisers:
T. Rowe Price Associates, Inc.
Core-plus exposure to intermediate and long-term municipal bonds and derivatives, including both investment-grade and below-investment-grade securities.
Wells Capital Management, Inc.
Exposure to intermediate and short-term municipal bonds and derivatives, including investment-grade and below-investment-grade securities.
14
Morningstar Funds Trust October 31, 2020 (unaudited)
Fund Information
Morningstar Defensive Bond Fund
|
General Information | ||
Net Asset Value Per Share | $10.31 | |
Total Net Assets (millions) | $225 | |
Net Expense Ratio(a) | 0.48% | |
Gross Expense Ratio(a) | 0.62% | |
Portfolio Turnover Rate | 22% | |
Number of Issuers | 135 | |
Fund Inception | November 2, 2018 | |
No sales charges or distribution fees |
Asset Allocation(c)
Portfolio Characteristics | ||
Effective Duration (years)(b) | 2.3 | |
Non-USD Exposure(c)(d)(e) | 0.0% |
Five Largest Issuers (%)(c)(d)(f) | ||
Cerberus | 1.8 | |
PFS Financing Corp. | 1.5 | |
Fortress Credit Opportunities | 1.3 | |
Verizon Owner Trust | 1.2 | |
Federal Home Loan Mortgage Corporation | 1.0 |
Credit Quality (%)(c)(d)(g) | ||
U.S. Agency | 2.3 | |
AAA | 19.6 | |
AA | 5.1 | |
A | 3.3 | |
BBB | 1.5 | |
BB | 2.9 | |
B | 1.4 | |
CCC | 0.5 | |
Not Rated | 5.7 |
Sector Diversification (%)(c)(d) | ||
Asset Backed Securities | 31.0 | |
Mortgage Securities | 7.3 | |
Communications | 1.5 | |
Consumer, Cyclical | 1.1 | |
Consumer, Noncyclical | 0.7 | |
Financial | 0.3 | |
Industrial | 0.2 | |
Energy | 0.2 |
Region Diversification (%)(c)(d) | ||
United States | 33.2 | |
Latin America | 8.5 | |
Canada | 0.5 | |
Europe (excluding United Kingdom) | 0.1 |
* Includes, if any, cash, short-term investments, receivables, payables, derivatives and investments rounding to less than 0.05%.
(a) Net expense ratio reflects fee waivers and/or expense reimbursements, if any, pursuant to an agreement that is in effect to cap the expenses whereas the gross expense ratio does not.The Adviser has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding taxes, interest, brokerage commissions, trading costs, acquired fund fees and expenses (AFFE), short sale dividend and interest expenses, litigation expenses, and extraordinary expenses) do not exceed 0.48% (the Base Expense Limitation Agreement). In addition to the Base Limitation Agreement, Morningstar has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding the above listed expenses other than AFFE) do not exceed 0.55% (the Supplemental Expense Limitation Agreement).
(b) Effective duration is a measure of a Fund’s interest-rate sensitivity—the longer a Fund’s duration, the more sensitive the Fund is to shifts in interest rates. Duration is determined by a formula that includes coupon rates and bond maturities. Small coupons tend to increase duration, while shorter maturities and higher coupons shorten duration.
(c) Percentages shown are based on Net Assets.
15
Morningstar Funds Trust October 31, 2020 (unaudited)
Fund Information (continued)
Morningstar Defensive Bond Fund
(d) Excludes Investment Companies and Other.
(e) Non-USD currency exposure for the Fund reflects the value of the portfolio’s non-U.S. dollar denominated investments, as well as the impact of currency derivatives.
(f) The Fund’s portfolio holdings are subject to change without notice. The mention of specific securities is not a recommendation to buy, sell, or hold any particular security and is not indicative of current or future trading activity.
(g) Credit quality ratings are based on the conservative average of Moody’s, S&P Global and Fitch ratings. If ratings from all three rating agencies disagree, the model assigns the middle rating to the security. If two of the three agree, the model assigns the rating from those two to the security. If none of these three rating agencies has assigned a rating, the Fund will assign a rating of not rated. The ratings, expressed in S&P Global’s nomenclature, range from AAA (extremely strong capacity to meet its financial commitment) to D (in default). Short-term ratings, expressed in S&P Global’s nomenclature, range from A1 to D (in default). The ratings represent the rating agencies’ opinions of the quality of the securities they rate. Ratings are relative and subjective and are not absolute standards of quality.
16
Morningstar Funds Trust October 31, 2020 (unaudited)
Fund Information (continued)
Morningstar Defensive Bond Fund
Investment Objective
Morningstar Defensive Bond Fund seeks capital preservation.
Investment Strategies
In seeking capital preservation, the Fund will normally invest at least 80% of its assets in a diversified portfolio of debt securities (commonly referred to as “bonds”) of varying maturity, duration, and quality. Under normal conditions, the Fund intends to pursue a defensive strategy of limiting its interest-rate sensitivity by maintaining a portfolio duration of three years or less.
The Fund invests primarily in short- and intermediate-term investment-grade fixed-income securities. These may include U.S. and non-U.S. investment-grade corporate debt securities, U.S. and non-U.S. government debt securities, and mortgage-backed and asset-backed securities. In most market environments, the Fund will not invest more than 20% of assets in fixed-income securities that are rated below investment grade (commonly known as junk bonds), or if unrated, are determined by the Fund’s subadviser(s) to be of comparable quality.
In addition, the Fund may invest a significant portion of its assets in collateralized debt obligations (CDOs), including collateralized loan obligations (CLOs). CDOs are types of asset-backed securities. CLOs are ordinarily issued by a trust or other special purpose entity and are typically collateralized by a pool of loans, which may include, among others, domestic and non-U.S. senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans, held by such issuer.
The Fund may also invest in investment companies such as mutual funds and exchange traded funds (ETFs), which could represent a significant percentage of assets. The Fund employs a multimanager, subadvised structure.
Investment Subadviser:
First Pacific Advisors, LP
Diversified portfolio of short-duration, fixed-income securities designed to anchor a portfolio of defensive assets.
17
Morningstar Funds Trust October 31, 2020 (unaudited)
Fund Information
Morningstar Multisector Bond Fund
|
General Information | ||
Net Asset Value Per Share | $10.06 | |
Total Net Assets (millions) | $254 | |
Net Expense Ratio(a) | 0.79% | |
Gross Expense Ratio(a) | 0.91% | |
Portfolio Turnover Rate | 54% | |
Number of Issuers | 405 | |
Fund Inception | November 2, 2018 | |
No sales charges or distribution fees |
Asset Allocation(c)
Portfolio Characteristics | ||
Effective Duration (years)(b) | 5.4 | |
Emerging Markets(c)(d) | 43.1% | |
Non-USD Exposure(c)(d)(e) | 34.6% |
Five Largest Issuers (%)(c)(d)(f) | ||
Mexican Bonos Desarollo | 4.3 | |
Government of Indonesia | 3.2 | |
Japan Treasury Discount Bill | 3.1 | |
Korea Treasury Bond | 2.3 | |
Brazil Notas do Tesouro Nacional | 2.2 |
Credit Quality (%)(c)(d)(g) | ||
AAA | 0.7 | |
AA | 2.6 | |
A | 5.8 | |
BBB | 19.1 | |
BB | 27.0 | |
B | 15.2 | |
CCC | 6.4 | |
Not Rated | 13.6 |
Sector Diversification (%)(c)(d) | ||
Government | 45.8 | |
Communications | 8.1 | |
Financial | 7.4 | |
Energy | 7.3 | |
Consumer, Cyclical | 6.1 | |
Consumer, Noncyclical | 6.0 | |
Industrial | 4.3 | |
Basic Materials | 2.9 | |
Utilities | 1.7 | |
Technology | 0.7 | |
Mortgage Securities | 0.1 |
Region Diversification (%)(c)(d) | ||
United States | 28.2 | |
Latin America | 18.9 | |
Pacific (excluding Japan) | 15.5 | |
Europe (excluding United Kingdom) | 10.0 | |
Africa | 7.3 | |
Middle East | 5.9 | |
Japan | 3.1 | |
Canada | 1.1 | |
United Kingdom | 0.4 |
* Includes, if any, cash, short-term investments, receivables, payables, derivatives and investments rounding to less than 0.05%.
(a) Net expense ratio reflects fee waivers and/or expense reimbursements, if any, pursuant to an agreement that is in effect to cap the expenses whereas the gross expense ratio does not. The Adviser has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding taxes, interest, brokerage commissions, trading costs, acquired fund fees and expenses (AFFE), short sale dividend and interest expenses, litigation expenses, and extraordinary expenses) do not exceed 0.80% (the Base Expense Limitation Agreement). In addition to the Base Limitation Agreement, Morningstar has contractually agreed, through at least August 31, 2021, to waive all or a portion of its
18
Morningstar Funds Trust October 31, 2020 (unaudited)
Fund Information (continued)
Morningstar Multisector Bond Fund
advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding the above listed expenses other than AFFE) do not exceed 0.80% (the Supplemental Expense Limitation Agreement).
(b) Effective duration is a measure of a Fund’s interest-rate sensitivity—the longer a Fund’s duration, the more sensitive the Fund is to shifts in interest rates. Duration is determined by a formula that includes coupon rates and bond maturities. Small coupons tend to increase duration, while shorter maturities and higher coupons shorten duration.
(c) Percentages shown are based on Net Assets.
(d) Excludes Common Stocks, Convertible Preferred Stocks, and Other.
(e) Non-USD currency exposure for the Fund reflects the value of the portfolio’s non-U.S. dollar denominated investments, as well as the impact of currency derivatives.
(f) The Fund’s portfolio holdings are subject to change without notice. The mention of specific securities is not a recommendation to buy, sell, or hold any particular security and is not indicative of current or future trading activity.
(g) Credit quality ratings are based on the conservative average of Moody’s, S&P Global and Fitch ratings. If ratings from all three rating agencies disagree, the model assigns the middle rating to the security. If two of the three agree, the model assigns the rating from those two to the security. If none of these three rating agencies has assigned a rating, the Fund will assign a rating of not rated. The ratings, expressed in S&P Global’s nomenclature, range from AAA (extremely strong capacity to meet its financial commitment) to D (in default). Short-term ratings, expressed in S&P Global’s nomenclature, range from A1 to D (in default). The ratings represent the rating agencies’ opinions of the quality of the securities they rate. Ratings are relative and subjective and are not absolute standards of quality.
19
Morningstar Funds Trust October 31, 2020 (unaudited)
Fund Information (continued)
Morningstar Multisector Bond Fund
Investment Objective
Morningstar Multisector Bond Fund seeks total return through a combination of current income and capital appreciation.
Investment Strategies
In seeking total return through a combination of current income and capital appreciation, the Fund will normally invest at least 80% of its assets in debt securities (commonly referred to as “bonds”) of varying maturity, duration, and quality across various sectors of the fixed-income market. These may include U.S. and non-U.S. corporate debt securities, U.S. and non-U.S. government debt securities, emerging-market debt securities, mortgage-backed and asset-backed securities, municipal securities, and floating-rate notes.
The Fund may invest without limit in fixed-income securities that are rated below investment grade (commonly known as junk bonds), or if unrated, are determined by the Fund’s subadviser(s) to be of comparable quality. The Fund may invest without limit in securities denominated in foreign currencies and in U.S. dollar-denominated securities of foreign issuers.
The Fund may invest in securities acquired in a private placement, such as Rule 144A securities, as well as derivatives, including options, futures, swaps, and forward foreign currency contracts, for risk management purposes or as part of its investment strategies. Due to the opportunistic nature of its strategy, the Fund may also invest up to 20% of its assets in equity securities, including common stocks and convertible securities. The Fund may also invest in investment companies such as mutual funds and exchange traded funds (ETFs). The Fund employs a multimanager, subadvised structure.
Investment Subadvisers:
Franklin Advisers, Inc.
Benchmark-agnostic investment strategy with opportunistic exposure to interest rates, credit and currencies across both developed and emerging bond markets.
Loomis, Sayles & Company, L.P.
High-yield bond exposure with opportunistic bond allocations to bank loans, convertible bonds, investment-grade credit, agency and non-agency mortgage-backed securities.
TCW Investment Management Company LLC
Diversified, emerging-markets bond exposure across hard-currency, local-currency, and corporate emerging-markets debt.
20
Morningstar Funds Trust October 31, 2020 (unaudited)
Fund Information
Morningstar Unconstrained Allocation Fund
|
General Information | ||
Net Asset Value Per Share | $9.93 | |
Total Net Assets (millions) | $160 | |
Net Expense Ratio(a) | 0.73% | |
Gross Expense Ratio(a) | 0.75% | |
Portfolio Turnover Rate | 25% | |
Fund Inception | November 2, 2018 | |
No sales charges or distribution fees |
Asset Allocation(b)
Equity Portfolio (15.8%) |
Number of Common Stocks | 25 |
Five Largest Sectors (%)(b)(c) | ||
Consumer, Noncyclical | 7.7 | |
Communications | 2.4 | |
Utilities | 1.6 | |
Technology | 1.5 | |
Industrial | 1.3 |
Ten Largest Equities (%)(b)(c)(d) | ||
H&R Block, Inc. | 1.2 | |
SES S.A. | 1.0 | |
Tapestry, Inc. | 1.0 | |
Stericycle, Inc. | 0.9 | |
McKesson Corp. | 0.9 | |
CVS Health Corp. | 0.8 | |
Omnicom Group, Inc. | 0.8 | |
Nielsen Holdings PLC | 0.8 | |
National Grid PLC | 0.7 | |
Bureau Veritas S.A. | 0.7 |
Fixed Income Portfolio (13.0%) |
Number of Issuers | 48 |
Sector Diversification (%)(b)(c) | ||
Government | 9.0 | |
Financial | 1.1 | |
Energy | 0.9 | |
Industrial | 0.6 | |
Technology | 0.6 | |
Consumer, Cyclical | 0.4 | |
Consumer, Noncyclical | 0.3 | |
Mortgage Securities | 0.1 |
Five Largest Issuers (%)(b)(c)(d) | ||
U.S. Treasury | 4.2 | |
Mexican Bonos Desarollo | 1.5 | |
Malaysia Government | 0.6 | |
Titulos De Tesoreria | 0.6 | |
Australia Government | 0.5 |
Credit Quality (%)(b)(c)(e) | ||
U.S. Treasury | 4.2 | |
AAA | 0.6 | |
AA | 0.5 | |
A | 2.1 | |
BBB | 4.1 | |
BB | 1.5 |
* Includes, if any, cash, short-term investments, receivables, payables, derivatives and investments rounding to less than 0.05%.
(a) Net expense ratio reflects fee waivers and/or expense reimbursements, if any, pursuant to an agreement that is in effect to cap the expenses whereas the gross expense ratio does not. The Adviser has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding taxes, interest, brokerage commissions, trading costs, acquired fund fees and expenses (AFFE), short sale dividend and interest expenses, litigation expenses, and extraordinary expenses) do not exceed 1.00% (the Base Expense Limitation Agreement). In addition to the Base Limitation Agreement, Morningstar has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding the above listed expenses other than AFFE) do not exceed 0.93% (the Supplemental Expense Limitation Agreement).
(b) Percentages shown are based on Net Assets.
(c) Excludes Investment Companies and Other.
21
Morningstar Funds Trust October 31, 2020 (unaudited)
Fund Information (continued)
Morningstar Unconstrained Allocation Fund
(d) The Fund’s portfolio holdings are subject to change without notice. The mention of specific securities is not a recommendation to buy, sell, or hold any particular security and is not indicative of current or future trading activity.
(e) Credit quality ratings are based on the conservative average of Moody’s, S&P Global and Fitch ratings. If ratings from all three rating agencies disagree, the model assigns the middle rating to the security. If two of the three agree, the model assigns the rating from those two to the security. If none of these three rating agencies has assigned a rating, the Fund will assign a rating of not rated. The ratings, expressed in S&P Global’s nomenclature, range from AAA (extremely strong capacity to meet its financial commitment) to D (in default). Short-term ratings, expressed in S&P Global’s nomenclature, range from A1 to D (in default). The ratings represent the rating agencies’ opinions of the quality of the securities they rate. Ratings are relative and subjective and are not absolute standards of quality.
22
Morningstar Funds Trust October 31, 2020 (unaudited)
Fund Information (continued)
Morningstar Unconstrained Allocation Fund
Investment Objective
Morningstar Unconstrained Allocation Fund seeks long-term capital appreciation over a full market cycle.
Investment Strategies
In seeking long-term capital appreciation over a full market cycle, the Fund has significant flexibility and invests across asset classes and geographies according to the portfolio management team’s assessment of their valuations and fundamental characteristics.
The Fund invests in equity securities, which may include common stocks and real estate investment trusts (REITs). The Fund may invest in companies of any size from any country, including emerging markets.
To meet its objective, the Fund may also invest in fixed-income securities of varying maturity, duration, and quality. These may include U.S. and non-U.S. corporate debt securities, U.S. government debt securities including Treasury Inflation Protected Bond Securities and zero-coupon securities, non-U.S. government debt securities, emerging-market debt securities, and mortgage-backed and asset-backed securities. The Fund may invest without limit in fixed-income securities that are rated below investment grade (commonly known as junk bonds) or, if unrated, are determined by the Fund’s subadviser(s) to be of comparable quality.
The Fund may also invest in derivatives, including options, futures, swaps, and forward foreign currency contracts, for risk management purposes or as part of its investment strategies. The Fund may also invest in investment companies such as mutual funds and exchange traded funds (ETFs), which could represent a significant percentage of assets. The Fund employs a multimanager, subadvised structure.
Investment Subadviser:
Lazard Asset Management LLC
Anchor global equity exposure focused on quality, attractively valued stocks, which have appeal throughout a market cycle.
Brandywine Global Investment Management, LLC
Global fixed income strategy designed to serve as an anchor position.
23
Morningstar Funds Trust October 31, 2020 (unaudited)
Fund Information
Morningstar Alternatives Fund |
General Information | ||
Net Asset Value Per Share | $10.57 | |
Total Net Assets (millions) | $225 | |
Net Expense Ratio(a) | 1.27% | |
Gross Expense Ratio(a) | 1.37% | |
Portfolio Turnover Rate | 179% | |
Fund Inception | November 2, 2018 | |
No sales charges or distribution fees |
Asset Allocation(b)
Allocation Strategy Type (%)(b) | ||
Global Macro | 50.4 | |
Convertible Arbitrage | 20.2 | |
Merger Arbitrage | 13.3 | |
Short-term investments and ETFs | 16.1 |
Region Diversification (%)(b)(c) | ||
United States | 72.9 | |
United Kingdom | 1.3 | |
Canada | 1.1 | |
Pacific (excluding Japan) | 0.9 | |
Europe (excluding United Kingdom) | 0.9 | |
Japan | 0.6 | |
Latin America | 0.3 | |
Middle East | 0.1 |
* Includes, if any, cash, short-term investments, receivables, payables, derivatives and investments rounding to less than 0.05%.
(a) Net expense ratio reflects fee waivers and/or expense reimbursements, if any, pursuant to an agreement that is in effect to cap the expenses whereas the gross expense ratio does not. The Adviser has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding taxes, interest, brokerage commissions, trading costs, acquired fund fees and expenses (AFFE), short sale dividend and interest expenses, litigation expenses, and extraordinary expenses) do not exceed 1.29% (the Base Expense Limitation Agreement). In addition to the Base Limitation Agreement, Morningstar has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding the above listed expenses other than AFFE) do not exceed 1.20% (the Supplemental Expense Limitation Agreement).
(b) Percentages shown are based on Net Assets.
(c) Excludes Investment Companies and Other.
24
Morningstar Funds Trust October 31, 2020 (unaudited)
Fund Information (continued)
Morningstar Alternatives Fund
Investment Objective
Morningstar Alternatives Fund seeks long-term capital appreciation and low sensitivity to traditional U.S. asset classes.
Investment Strategies
In seeking long-term capital appreciation and low sensitivity to traditional U.S. asset classes, the Fund allocates assets to strategies that provide alternative sources of return including (i) long/short macro strategies; (ii) long/short alpha strategies; (iii) merger arbitrage strategy; and (iv) convertible arbitrage strategy. The Fund will normally invest in both U.S. and non-U.S. securities, including securities of companies located in emerging markets. The Fund may invest in non-U.S. dollar denominated investments, including investments denominated in European and Asian currencies and in other non-U.S. and emerging market currencies. The Fund may also seek returns through core allocation across fixed income and equity markets.
In particular, the Fund has the latitude to invest in the following alternative strategies:
Long-Short Equity—Combines long equity positions with short equity positions (selling borrowed securities). Since the strategy is both long and short, total net exposure is typically less than 100%.
Convertible Arbitrage—Includes the purchase of convertible securities and the sale of the underlying common stock. These securities tend to be convertible bonds or convertible preferred stocks that may be converted into the stock of the same company.
Merger Arbitrage—Seeks to profit from the successful completion of corporate re-organizations. The process typically involves purchasing shares of an announced acquisition target company at a discount to their expected value upon completion of the acquisition. Hedging strategies may be used to reduce market exposure and volatility.
Credit Arbitrage—Seeks to exploit the mispricing of different classes of securities that are usually of the same company, and may include investments in investment-grade and/or non-investment-grade corporate debt (otherwise known as junk bonds), credit derivatives, loans, equities, credit index securities, and private debt.
Global Macro—Establishes long (number of contracts bought exceeds number sold) with a short (number of contracts sold exceeds number bought) exposures around the globe to take advantage of what the subadvisers believe to be attractive opportunities. This strategy may include investments in fixed-income and equity securities and a wide variety of derivative instruments. Such investments will likely have significant exposure to foreign investments and may be concentrated in a geographic region or country.
Hedged Equity—Seeks to limit investment loss by creating a transaction that offsets an existing position in a contract that provides the right to buy or sell shares of a security at a specific price for a certain time. Specifically, this strategy attempts to reduce the systematic risk created by factors such as exposures to sectors, market-cap ranges, investment styles, currencies, and/or countries; the strategy strives to achieve this by matching short positions within each area against long positions. This strategy may be managed as beta neutral, dollar-neutral, or sector-neutral in order to achieve low beta exposures to certain market indexes.
25
Morningstar Funds Trust October 31, 2020 (unaudited)
Fund Information (continued)
Morningstar Alternatives Fund
Market Neutral—Attempts to significantly reduce the systematic risk created by factors such as exposures to sectors, market-cap ranges, investment styles, currencies, and/or countries. This strategy seeks to achieve this by matching short positions within each area against long positions, and the strategy may be managed as beta-neutral, dollar-neutral, or sector-neutral. In attempting to significantly reduce systematic risk, issue selection may be emphasized, with profits dependent on the ability to sell short and buy long the chosen securities.
Nontraditional Bond—Pursues strategies that diverge in one or more ways from conventional practice in the broader bond-fund universe. In pursuing this strategy, the Fund may seek to avoid losses and produce returns uncorrelated with the overall bond market and may employ a variety of methods to achieve those aims, including investing tactically across a wide swath of individual sectors, including high-yield and foreign debt.
Debt Securities—Investment in debt securities may include U.S. Government and agency securities, foreign government and supranational debt securities, corporate bonds, mortgage-related securities and asset-backed securities, mortgage to-be-announced (“TBA”) securities, emerging market debt securities, preferred securities, structured products, credit-linked notes, mezzanine securities, senior secured floating rate and fixed rate loans or debt, second lien or other subordinated or unsecured floating rate and fixed rate loans or debt, convertible debt securities, and derivatives with similar economic characteristics. These debt securities may be of any credit quality, which may include investment grade securities and high yield securities, including unrated securities (commonly called “junk bonds”). The Fund may invest in fixed, variable and floating rate instruments, including participation and assignments, of any duration or maturity.
Equity Securities—Investment in equity securities may include common stock, preferred stock, securities convertible into common stock, including contingent convertible bonds which are securities convertible into equity if a pre-specified trigger event occurs, and non-convertible preferred stock.
Derivatives—Exposure to equity securities may be done through derivatives which at times may be significant. Types of derivatives include, but are not limited to, swaps, (including total return some of which may be referred to as contracts for difference), credit default, index and interest rate swaps; options; forward contracts; futures; options on futures and swaps; and foreign exchange transactions, for hedging purposes, as well as to enhance returns. Use of derivatives may be to maintain a portion of its portfolio long and short positions. Investments in indexed and inverse securities may also be made to provide a potential return based on a particular index of value or interest rates. This strategy may also include investments in repurchase agreements, reverse repurchase agreements and dollar rolls.
Short Sales—Short sales may be used for hedging purposes or to enhance total return. Short sales “against the box” may also be used. In this type of short sale, at the time of the sale, the Fund owns or has the immediate and unconditional right to acquire the identical security at no additional cost.
Currency—The Fund may invest in non-U.S. dollar denominated investments, including investments denominated in European and Asian currencies and in other non-U.S. and emerging market currencies. As a result, the Fund may have significant exposure to foreign currencies and investments in non-U.S. dollar-based assets may be made on a currency hedged or unhedged basis.
26
Morningstar Funds Trust October 31, 2020 (unaudited)
Fund Information (continued)
Morningstar Alternatives Fund
The Fund may invest in derivatives, which at times may be significant, including swaps (including total return which may be referred to as contracts for difference), credit default, index and interest rate swaps; options, forward contracts, futures, options of futures and swaps, and foreign exchange transactions, for hedging purposes, as well as to enhance returns. The Fund may also invest in investment companies such as mutual funds and exchange traded funds (ETFs), which could represent a significant percentage of assets. The Fund employs a multi-manager, subadvised structure.
Investment Subadvisers:
BlackRock Financial Management, Inc.
Seeks to deliver equity upside participation, balanced returns through defensive alpha and diversified fixed income exposure. The systematic, credit-oriented approach can offer downside protection.
SSI Investment Management, LLC
Short-term cash exposure that pursues minimal correlation to broad markets and bond-like volatility through an unlevered convertible arbitrage strategy.
Water Island Capital, LLC
Seeks to provide cash-plus returns while remaining broadly uncorrelated to equity markets.
27
Morningstar Funds Trust October 31, 2020 (unaudited)
Morningstar U.S. Equity Fund |
Number
| Value
| |||||||
Common Stocks – 80.5% |
| |||||||
Aerospace/Defense – 1.8% | ||||||||
Barnes Group, Inc. | 41,677 | $ | 1,529,546 | |||||
Kaman Corp. | 40,842 | 1,619,794 | ||||||
Lockheed Martin Corp. | 7,280 | 2,548,946 | ||||||
Moog, Inc., Class A | 28,642 | 1,786,974 | ||||||
Northrop Grumman Corp. | 17,168 | 4,975,630 | ||||||
Raytheon Technologies Corp. | 184,739 | 10,035,023 | ||||||
22,495,913 | ||||||||
Agriculture – 1.2% | ||||||||
Archer-Daniels-Midland Co. | 291,738 | 13,489,965 | ||||||
Philip Morris International, Inc. | 15,654 | 1,111,747 | ||||||
14,601,712 | ||||||||
Airlines – 0.3% | ||||||||
Alaska Air Group, Inc. | 80,513 | 3,050,637 | ||||||
Allegiant Travel Co. | 9,339 | 1,258,524 | ||||||
4,309,161 | ||||||||
Apparel – 0.7% | ||||||||
Carter’s, Inc. | 16,802 | 1,368,523 | ||||||
Hanesbrands, Inc. | 189,776 | 3,049,700 | ||||||
Oxford Industries, Inc. | 42,850 | 1,764,135 | ||||||
VF Corp. | 33,145 | 2,227,344 | ||||||
8,409,702 | ||||||||
Auto Manufacturers – 0.7% | ||||||||
General Motors Co. | 254,342 | 8,782,429 | ||||||
Auto Parts & Equipment – 0.6% | ||||||||
Aptiv PLC | 34,341 | 3,313,563 | ||||||
BorgWarner, Inc. | 127,206 | 4,449,666 | ||||||
7,763,229 | ||||||||
Banks – 5.8% | ||||||||
Bank OZK | 154,839 | 3,836,910 | ||||||
BankUnited, Inc. | 95,391 | 2,408,623 | ||||||
BOK Financial Corp. | 37,576 | 2,207,214 | ||||||
Citigroup, Inc. | 203,291 | 8,420,313 | ||||||
City Union Bank Ltd. (India) | 374,347 | 744,785 | ||||||
Columbia Banking System, Inc. | 37,566 | 1,067,250 | ||||||
Eagle Bancorp, Inc. | 19,096 | 571,352 | ||||||
First Republic Bank | 42,327 | 5,339,128 | ||||||
Goldman Sachs Group (The), Inc. | 31,955 | 6,040,773 | ||||||
Great Western Bancorp, Inc. | 131,235 | 1,704,743 | ||||||
Hilltop Holdings, Inc. | 83,662 | 1,908,330 | ||||||
International Bancshares Corp. | 31,876 | 882,328 |
Number
| Value
| |||||||
Banks (Continued) | ||||||||
JPMorgan Chase & Co. | 123,757 | $ | 12,133,136 | |||||
Morgan Stanley | 141,228 | 6,800,128 | ||||||
PNC Financial Services Group (The), Inc. | 21,034 | 2,353,284 | ||||||
Renasant Corp. | 63,419 | 1,808,076 | ||||||
Sandy Spring Bancorp, Inc. | 70,316 | 1,782,510 | ||||||
State Street Corp. | 22,564 | 1,329,020 | ||||||
SVB Financial Group* | 12,861 | 3,738,693 | ||||||
Truist Financial Corp. | 55,122 | 2,321,739 | ||||||
Trustmark Corp. | 42,271 | 988,719 | ||||||
U.S. Bancorp | 87,488 | 3,407,657 | ||||||
Webster Financial Corp. | 36,461 | 1,174,409 | ||||||
72,969,120 | ||||||||
Beverages – 1.7% | ||||||||
Anheuser-Busch InBev | ||||||||
S.A./N.V. ADR (Belgium) | 42,007 | 2,180,583 | ||||||
Diageo PLC (United Kingdom) | 96,166 | 3,107,881 | ||||||
Farmer Bros Co.* | 269,218 | 934,187 | ||||||
Molson Coors Beverage Co., Class B | 59,820 | 2,109,253 | ||||||
Monster Beverage Corp.* | 50,112 | 3,837,076 | ||||||
PepsiCo, Inc. | 13,012 | 1,734,370 | ||||||
Primo Water Corp. | 607,083 | 7,606,750 | ||||||
21,510,100 | ||||||||
Biotechnology – 1.1% | ||||||||
Alexion Pharmaceuticals, Inc.* | 32,166 | 3,703,593 | ||||||
Amgen, Inc. | 27,591 | 5,985,592 | ||||||
BioMarin Pharmaceutical, Inc.* | 31,588 | 2,351,095 | ||||||
Ligand Pharmaceuticals, Inc.* | 14,578 | 1,201,956 | ||||||
13,242,236 | ||||||||
Building Materials – 0.8% | ||||||||
Johnson Controls International PLC | 64,428 | 2,719,506 | ||||||
Masco Corp. | 42,042 | 2,253,451 | ||||||
Trex Co., Inc.* | 38,551 | 2,680,837 | ||||||
UFP Industries, Inc. | 34,734 | 1,733,574 | ||||||
9,387,368 | ||||||||
Chemicals – 2.5% | ||||||||
Ashland Global Holdings, Inc. | 54,187 | 3,780,627 | ||||||
Balchem Corp. | 11,467 | 1,146,127 | ||||||
DuPont de Nemours, Inc. | 135,762 | 7,722,143 | ||||||
Ecolab, Inc. | 19,531 | 3,585,696 | ||||||
Innospec, Inc. | 18,724 | 1,238,405 | ||||||
PPG Industries, Inc. | 33,487 | 4,343,934 |
See accompanying Notes to Financial Statements
28
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar U.S. Equity Fund
Number
| Value
| |||||||
Chemicals (Continued) |
| |||||||
Sherwin-Williams | ||||||||
(The) Co. | 4,433 | $ | 3,049,815 | |||||
Stepan Co. | 14,424 | 1,679,531 | ||||||
Valvoline, Inc. | 124,447 | 2,447,872 | ||||||
W.R. Grace & Co. | 48,421 | 2,105,829 | ||||||
31,099,979 | ||||||||
Commercial Services – 2.0% | ||||||||
Avalara, Inc.* | 15,198 | 2,265,262 | ||||||
Cimpress PLC (Ireland)* | 10,941 | 803,069 | ||||||
Equifax, Inc. | 13,174 | 1,799,569 | ||||||
Euronet Worldwide, Inc.* | 20,704 | 1,839,343 | ||||||
HealthEquity, Inc.* | 29,087 | 1,497,690 | ||||||
IHS Markit Ltd. | 63,510 | 5,136,054 | ||||||
Monro, Inc. | 78,645 | 3,307,809 | ||||||
Moody’s Corp. | 5,190 | 1,364,451 | ||||||
Paylocity Holding Corp.* | 17,406 | 3,229,161 | ||||||
Repay Holdings Corp.* | 74,376 | 1,675,691 | ||||||
Terminix Global Holdings, Inc.* | 22,099 | 1,040,642 | ||||||
WEX, Inc.* | 6,893 | 872,309 | ||||||
24,831,050 | ||||||||
Computers – 2.9% | ||||||||
Accenture PLC, Class A | 27,193 | 5,898,434 | ||||||
Apple, Inc. | 134,773 | 14,671,389 | ||||||
Check Point Software Technologies Ltd. (Israel)* | 36,547 | 4,150,277 | ||||||
Cognizant Technology Solutions Corp., Class A | 45,210 | 3,228,898 | ||||||
CyberArk Software Ltd.* | 17,684 | 1,753,369 | ||||||
EPAM Systems, Inc.* | 6,595 | 2,037,525 | ||||||
International Business Machines Corp. | 46,108 | 5,148,419 | ||||||
36,888,311 | ||||||||
Cosmetics/Personal Care – 0.0%(a) |
| |||||||
Colgate-Palmolive Co. | 7,009 | 552,940 | ||||||
Distribution/Wholesale – 1.1% | ||||||||
Avient Corp. | 57,959 | 1,800,786 | ||||||
Pool Corp. | 10,032 | 3,509,495 | ||||||
SiteOne Landscape Supply, Inc.* | 7,051 | 842,524 | ||||||
W.W. Grainger, Inc. | 12,469 | 4,364,399 | ||||||
WESCO International, Inc.* | 64,782 | 2,671,610 | ||||||
13,188,814 | ||||||||
Diversified Financial Services – 3.1% |
| |||||||
Aaron’s Holdings Co., Inc. | 34,072 | 1,780,603 | ||||||
American Express Co. | 55,452 | 5,059,440 | ||||||
BlackRock, Inc. | 5,416 | 3,245,321 | ||||||
Cohen & Steers, Inc. | 22,435 | 1,263,315 |
Number
| Value
| |||||||
Diversified Financial Services (Continued) |
| |||||||
Discover Financial Services | 37,396 | $ | 2,431,114 | |||||
Franklin Resources, Inc. | 40,844 | 765,825 | ||||||
Hamilton Lane, Inc., Class A | 38,307 | 2,669,998 | ||||||
Moelis & Co., Class A | 48,030 | 1,786,716 | ||||||
Mr. Cooper Group, Inc.* | 90,477 | 1,907,255 | ||||||
Nasdaq, Inc. | 28,299 | 3,423,896 | ||||||
Piper Sandler Cos. | 22,699 | 1,894,231 | ||||||
T. Rowe Price Group, Inc. | 10,557 | 1,337,150 | ||||||
Visa, Inc., Class A | 64,708 | 11,758,091 | ||||||
39,322,955 | ||||||||
Electric – 2.5% | ||||||||
American Electric | ||||||||
Power Co., Inc. | 25,864 | 2,325,949 | ||||||
Avista Corp. | 52,005 | 1,727,606 | ||||||
CenterPoint Energy, Inc. | 409,443 | 8,651,531 | ||||||
Dominion Energy, Inc. | 44,579 | 3,581,477 | ||||||
Duke Energy Corp. | 64,348 | 5,927,094 | ||||||
NorthWestern Corp. | 33,222 | 1,731,863 | ||||||
PNM Resources, Inc. | 35,470 | 1,773,500 | ||||||
Southern (The) Co. | 79,642 | 4,575,433 | ||||||
Xcel Energy, Inc. | 22,404 | 1,568,952 | ||||||
31,863,405 | ||||||||
Electrical Component & Equipment – 0.2% |
| |||||||
Novanta, Inc.* | 27,269 | 2,964,686 | ||||||
Electronics – 0.9% | ||||||||
Avnet, Inc. | 37,674 | 929,418 | ||||||
Honeywell | ||||||||
International, Inc. | 37,161 | 6,129,707 | ||||||
Sensata Technologies | ||||||||
Holding PLC* | 102,268 | 4,470,134 | ||||||
11,529,259 | ||||||||
Engineering & Construction – 0.1% |
| |||||||
Comfort Systems USA, Inc. | 35,008 | 1,603,366 | ||||||
Entertainment – 0.7% | ||||||||
Red Rock Resorts, Inc., Class A | 249,968 | 4,779,388 | ||||||
Vail Resorts, Inc. | 19,710 | 4,573,509 | ||||||
9,352,897 | ||||||||
Environmental Control – 0.2% | ||||||||
Stericycle, Inc.* | 48,516 | 3,022,547 | ||||||
Food – 1.8% | ||||||||
Danone S.A. (France) | 13,866 | 769,081 | ||||||
Flowers Foods, Inc. | 67,878 | 1,600,563 | ||||||
Hostess Brands, Inc.* | 144,680 | 1,828,755 | ||||||
J&J Snack Foods Corp. | 13,185 | 1,787,490 | ||||||
JM Smucker (The) Co. | 6,207 | 696,425 |
See accompanying Notes to Financial Statements
29
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar U.S. Equity Fund
Number
| Value
| |||||||
Food (Continued) |
| |||||||
Nestle S.A. (Switzerland)(b) | 40,501 | $ | 4,555,469 | |||||
Post Holdings, Inc.* | 81,374 | 6,990,027 | ||||||
TreeHouse Foods, Inc.* | 97,159 | 3,773,656 | ||||||
22,001,466 | ||||||||
Forest Products & Paper – 0.5% |
| |||||||
International Paper Co. | 134,909 | 5,902,269 | ||||||
Gas – 0.7% | ||||||||
South Jersey Industries, Inc. | 214,722 | 4,137,693 | ||||||
UGI Corp. | 122,865 | 3,973,454 | ||||||
8,111,147 | ||||||||
Hand/Machine Tools – 0.6% | ||||||||
Colfax Corp.* | 145,982 | 3,969,250 | ||||||
Stanley Black & Decker, Inc. | 17,958 | 2,984,620 | ||||||
6,953,870 | ||||||||
Healthcare – Products – 3.4% | ||||||||
Abbott Laboratories | 37,970 | 3,991,027 | ||||||
Alcon, Inc. (Switzerland)* | 55,914 | 3,178,152 | ||||||
Boston Scientific Corp.* | 152,551 | 5,227,923 | ||||||
CONMED Corp. | 22,359 | 1,743,331 | ||||||
Danaher Corp. | 22,040 | 5,059,062 | ||||||
Medtronic PLC | 66,711 | 6,709,125 | ||||||
Merit Medical Systems, Inc.* | 33,936 | 1,698,497 | ||||||
Patterson Cos., Inc. | 35,561 | 884,580 | ||||||
Thermo Fisher Scientific, Inc. | 29,330 | 13,876,609 | ||||||
42,368,306 | ||||||||
Healthcare – Services – 1.6% | ||||||||
Ensign Group (The), Inc. | 45,499 | 2,677,161 | ||||||
ICON PLC (Ireland)* | 15,472 | 2,789,602 | ||||||
Magellan Health, Inc.* | 24,411 | 1,764,183 | ||||||
Medpace Holdings, Inc.* | 23,445 | 2,600,988 | ||||||
Pennant Group (The), Inc.* | 28,243 | 1,176,604 | ||||||
UnitedHealth Group, Inc. | 28,688 | 8,753,856 | ||||||
19,762,394 | ||||||||
Home Builders – 0.6% | ||||||||
Century | ||||||||
Communities, Inc.* | 45,353 | 1,761,510 | ||||||
Installed Building Products, Inc.* | 13,291 | 1,203,367 | ||||||
NVR, Inc.* | 1,252 | 4,949,269 | ||||||
7,914,146 | ||||||||
Household Products/Wares – 0.4% |
| |||||||
Central Garden & Pet Co., Class A* | 48,342 | 1,710,823 |
Number
| Value
| |||||||
Household Products/Wares (Continued) |
| |||||||
Kimberly-Clark Corp. | 16,366 | $ | 2,169,968 | |||||
Reckitt Benckiser Group PLC (United Kingdom) | 13,638 | 1,201,352 | ||||||
5,082,143 | ||||||||
Insurance – 5.4% | ||||||||
American International Group, Inc. | 346,906 | 10,924,070 | ||||||
Aon PLC, Class A | 29,271 | 5,386,157 | ||||||
Argo Group International Holdings Ltd. | 50,106 | 1,787,782 | ||||||
Berkshire Hathaway, Inc., Class B* | 44,744 | 9,033,814 | ||||||
Brighthouse Financial, Inc.* | 56,306 | 1,863,729 | ||||||
Chubb Ltd. | 37,248 | 4,838,888 | ||||||
Enstar Group Ltd.* | 7,702 | 1,323,743 | ||||||
Hartford Financial Services Group (The), Inc. | 65,378 | 2,518,360 | ||||||
James River Group Holdings Ltd. | 33,877 | 1,583,072 | ||||||
Loews Corp. | 187,818 | 6,513,528 | ||||||
Marsh & McLennan Cos., Inc. | 42,850 | 4,433,261 | ||||||
Mercury General Corp. | 23,012 | 936,818 | ||||||
Reinsurance Group of America, Inc. | 13,096 | 1,322,958 | ||||||
RenaissanceRe Holdings Ltd. | 13,813 | 2,233,838 | ||||||
Travelers (The) Cos., Inc. | 35,473 | 4,281,946 | ||||||
Voya Financial, Inc. | 164,400 | 7,879,692 | ||||||
Willis Towers Watson PLC | 6,387 | 1,165,500 | ||||||
68,027,156 | ||||||||
Internet – 5.0% | ||||||||
1-800-Flowers.com, Inc., Class A* | 97,654 | 1,936,479 | ||||||
Alibaba Group Holding Ltd. ADR (China)* | 17,614 | 5,366,809 | ||||||
Amazon.com, Inc.* | 8,121 | 24,656,574 | ||||||
Booking Holdings, Inc.* | 1,840 | 2,985,400 | ||||||
Facebook, Inc., Class A* | 62,017 | 16,317,293 | ||||||
Open Lending Corp., Class A* | 32,920 | 854,603 | ||||||
Palo Alto Networks, Inc.* | 16,169 | 3,576,421 | ||||||
Proofpoint, Inc.* | 19,070 | 1,825,762 | ||||||
Q2 Holdings, Inc.* | 20,150 | 1,838,486 | ||||||
Uber Technologies, Inc.* | 113,219 | 3,782,647 | ||||||
63,140,474 | ||||||||
Leisure Time – 0.4% | ||||||||
Callaway Golf Co. | 94,012 | 1,456,246 | ||||||
Camping World Holdings, Inc., Class A | 37,577 | 993,536 |
See accompanying Notes to Financial Statements
30
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar U.S. Equity Fund
Number
| Value
| |||||||
Leisure Time (Continued) | ||||||||
Planet Fitness, Inc., Class A* | 17,823 | $ | 1,056,369 | |||||
YETI Holdings, Inc.* | 36,986 | 1,830,067 | ||||||
5,336,218 | ||||||||
Lodging – 0.1% | ||||||||
Marriott International, Inc., Class A | 7,706 | 715,733 | ||||||
Machinery – Diversified – 0.7% | ||||||||
Alamo Group, Inc. | 7,250 | 872,393 | ||||||
Altra Industrial Motion Corp. | 107,782 | 4,608,758 | ||||||
Columbus McKinnon Corp. | 29,573 | 1,002,229 | ||||||
Kadant, Inc. | 17,176 | 1,977,301 | ||||||
Otis Worldwide Corp. | 12,429 | 761,649 | ||||||
9,222,330 | ||||||||
Media – 1.4% | ||||||||
Comcast Corp., Class A | 284,018 | 11,996,920 | ||||||
Liberty Media Corp.-Liberty Formula One, Class C* | 56,089 | 2,026,496 | ||||||
Walt Disney (The) Co. | 32,810 | 3,978,212 | ||||||
18,001,628 | ||||||||
Metal Fabricate/Hardware – 0.3% |
| |||||||
Helios Technologies, Inc. | 36,177 | 1,513,646 | ||||||
RBC Bearings, Inc.* | 14,021 | 1,669,200 | ||||||
3,182,846 | ||||||||
Miscellaneous Manufacturing – 2.4% |
| |||||||
Eaton Corp. PLC | 91,382 | 9,484,538 | ||||||
Fabrinet (Thailand)* | 38,727 | 2,324,394 | ||||||
Federal Signal Corp. | 60,111 | 1,723,983 | ||||||
Illinois Tool Works, Inc. | 24,629 | 4,824,328 | ||||||
Parker-Hannifin Corp. | 21,833 | 4,549,124 | ||||||
Textron, Inc. | 115,952 | 4,151,082 | ||||||
Trane Technologies PLC | 20,333 | 2,699,206 | ||||||
29,756,655 | ||||||||
Office Furnishings – 0.1% | ||||||||
Knoll, Inc. | 139,056 | 1,593,582 | ||||||
Oil & Gas – 0.9% | ||||||||
Chevron Corp. | 48,525 | 3,372,488 | ||||||
Cimarex Energy Co. | 66,858 | 1,696,187 | ||||||
ConocoPhillips | 42,549 | 1,217,752 | ||||||
EOG Resources, Inc. | 22,346 | 765,127 | ||||||
Hess Corp. | 84,711 | 3,152,943 | ||||||
PDC Energy, Inc.* | 74,606 | 889,304 | ||||||
Pioneer Natural Resources Co. | 9,434 | 750,569 | ||||||
11,844,370 |
Number
| Value
| |||||||
Pharmaceuticals – 4.5% | ||||||||
AbbVie, Inc. | 127,543 | $ | 10,853,909 | |||||
Cigna Corp. | 36,851 | 6,153,011 | ||||||
Johnson & Johnson | 95,817 | 13,137,469 | ||||||
McKesson Corp. | 14,287 | 2,107,190 | ||||||
Merck & Co., Inc. | 42,182 | 3,172,508 | ||||||
Neogen Corp.* | 17,334 | 1,208,873 | ||||||
Pfizer, Inc. | 309,921 | 10,995,997 | ||||||
Roche Holding A.G. (Genusschein) (Switzerland) | 3,640 | 1,169,647 | ||||||
Zoetis, Inc. | 45,470 | 7,209,269 | ||||||
56,007,873 | ||||||||
Real Estate – 0.1% | ||||||||
Jones Lang LaSalle, Inc. | 11,221 | 1,266,402 | ||||||
Real Estate Investment Trusts – 2.5% |
| |||||||
American Campus Communities, Inc. | 33,960 | 1,272,142 | ||||||
Columbia Property Trust, Inc. | 123,157 | 1,303,001 | ||||||
CubeSmart | 180,733 | 6,132,271 | ||||||
Douglas Emmett, Inc. | 81,009 | 1,911,812 | ||||||
Easterly Government Properties, Inc. | 84,391 | 1,763,772 | ||||||
Equinix, Inc. | 6,789 | 4,964,388 | ||||||
Mid-America Apartment Communities, Inc. | 15,267 | 1,780,590 | ||||||
Monmouth Real Estate Investment Corp. | 121,321 | 1,680,296 | ||||||
National Storage Affiliates Trust | 107,312 | 3,636,804 | ||||||
PotlatchDeltic Corp. | 40,638 | 1,688,509 | ||||||
Public Storage | 4,108 | 941,020 | ||||||
Summit Hotel Properties, Inc. | 151,166 | 798,156 | ||||||
Terreno Realty Corp. | 15,718 | 884,609 | ||||||
UDR, Inc. | 24,424 | 763,006 | ||||||
Weyerhaeuser Co. | 64,087 | 1,748,934 | ||||||
31,269,310 | ||||||||
Retail – 3.6% | ||||||||
Advance Auto Parts, Inc. | 38,231 | 5,630,662 | ||||||
Bloomin’ Brands, Inc. | 125,505 | 1,754,560 | ||||||
Costco Wholesale Corp. | 12,975 | 4,640,119 | ||||||
Five Below, Inc.* | 18,558 | 2,474,524 | ||||||
Floor & Decor Holdings, Inc., Class A* | 33,276 | 2,429,148 | ||||||
Home Depot (The), Inc. | 19,832 | 5,289,393 | ||||||
Lowe’s Cos., Inc. | 48,122 | 7,608,088 | ||||||
National Vision Holdings, Inc.* | 37,294 | 1,504,067 |
See accompanying Notes to Financial Statements
31
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar U.S. Equity Fund
Number
| Value
| |||||||
Retail (Continued) | ||||||||
Ollie’s Bargain Outlet Holdings, Inc.* | 16,946 | $ | 1,475,827 | |||||
Papa John’s International, Inc. | 23,363 | 1,789,606 | ||||||
TJX (The) Cos., Inc. | 67,088 | 3,408,070 | ||||||
Ulta Beauty, Inc.* | 19,308 | 3,992,315 | ||||||
Walmart, Inc. | 24,256 | 3,365,520 | ||||||
45,361,899 | ||||||||
Savings & Loans – 0.5% | ||||||||
Provident Financial Services, Inc. | 64,619 | 876,880 | ||||||
Sterling Bancorp | 273,945 | 3,665,384 | ||||||
Washington Federal, Inc. | 85,438 | 1,818,975 | ||||||
6,361,239 | ||||||||
Semiconductors – 4.3% | ||||||||
Amkor Technology, Inc.* | 157,637 | 1,867,998 | ||||||
Analog Devices, Inc. | 14,067 | 1,667,361 | ||||||
ASML Holding N.V. (Netherlands)(b) | 5,470 | 1,975,819 | ||||||
Intel Corp. | 258,236 | 11,434,690 | ||||||
Lattice Semiconductor Corp.* | 57,717 | 2,014,323 | ||||||
Monolithic Power Systems, Inc. | 8,937 | 2,856,265 | ||||||
NVIDIA Corp. | 14,807 | 7,423,638 | ||||||
NXP Semiconductors N.V. (Netherlands) | 59,755 | 8,074,096 | ||||||
QUALCOMM, Inc. | 56,167 | 6,928,761 | ||||||
Texas Instruments, Inc. | 66,191 | 9,570,557 | ||||||
53,813,508 | ||||||||
Software – 5.1% | ||||||||
Adobe, Inc.* | 19,526 | 8,730,075 | ||||||
Akamai Technologies, Inc.* | 48,608 | 4,623,593 | ||||||
Clarivate PLC (United Kingdom)* | 44,724 | 1,241,091 | ||||||
Fidelity National Information Services, Inc. | 55,966 | 6,972,804 | ||||||
Fiserv, Inc.* | 33,914 | 3,237,770 | ||||||
Five9, Inc.* | 17,612 | 2,672,093 | ||||||
Guidewire Software, Inc.* | 13,971 | 1,342,753 | ||||||
HubSpot, Inc.* | 7,460 | 2,163,922 | ||||||
Medallia, Inc.* | 52,083 | 1,481,761 | ||||||
Microsoft Corp. | 65,477 | �� | 13,257,128 | |||||
Nutanix, Inc., Class A* | 62,849 | 1,529,745 | ||||||
salesforce.com, Inc.* | 34,798 | 8,082,531 | ||||||
Splunk, Inc.* | 26,587 | 5,265,289 | ||||||
VMware, Inc., Class A* | 26,248 | 3,378,905 | ||||||
63,979,460 |
Number
| Value
| |||||||
Telecommunications – 1.0% | ||||||||
CommScope Holding Co., Inc.* | 110,178 | $ | 980,584 | |||||
Juniper Networks, Inc. | 67,722 | 1,335,478 | ||||||
Verizon Communications, Inc. | 60,160 | 3,428,518 | ||||||
Viavi Solutions, Inc.* | 148,759 | 1,837,174 | ||||||
Vodafone Group PLC ADR (United Kingdom) | 362,998 | 4,904,103 | ||||||
12,485,857 | ||||||||
Textiles – 0.1% | ||||||||
UniFirst Corp. | 4,753 | 778,589 | ||||||
Transportation – 1.6% | ||||||||
C.H. Robinson Worldwide, Inc. | 11,166 | 987,409 | ||||||
Canadian National Railway Co. (Canada) | 15,898 | 1,581,056 | ||||||
Hub Group, Inc., Class A* | 33,588 | 1,683,767 | ||||||
Kirby Corp.* | 88,628 | 3,411,292 | ||||||
Old Dominion Freight Line, Inc. | 7,033 | 1,338,872 | ||||||
Union Pacific Corp. | 20,027 | 3,548,584 | ||||||
United Parcel Service, Inc., Class B | 46,955 | 7,377,100 | ||||||
19,928,080 | ||||||||
Total Common Stocks | 1,009,860,129 | |||||||
Investment Companies – 17.7% |
| |||||||
Energy Select Sector SPDR Fund | 862,436 | 24,769,162 | ||||||
Global X MLP & Energy Infrastructure ETF | 2,948,106 | 66,450,309 | ||||||
Vanguard Consumer Staples ETF | 258,012 | 41,158,074 | ||||||
Vanguard Financials ETF | 667,313 | 39,331,428 | ||||||
Vanguard Health Care ETF | 253,829 | 50,296,217 | ||||||
Total Investment Companies | 222,005,190 | |||||||
Short-Term Investments – 1.8% |
| |||||||
U.S. Government Agencies – 0.0%(a)(c) |
| |||||||
Federal Home Loan Bank Discount Notes, 0.00%, 11/2/20(d) | 683,000 | 683,000 |
See accompanying Notes to Financial Statements
32
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar U.S. Equity Fund
Number
| Value
| |||||||
Money Market Fund – 1.8% | ||||||||
Northern Institutional Funds - Treasury Portfolio (Premier), 0.00%(e) | 22,291,162 | $ | 22,291,162 | |||||
Total Short-Term Investments | 22,974,162 | |||||||
Total Investments – 100.0% | 1,254,839,481 | |||||||
Liabilities less Other Assets – (0.0)%(a) | (171,975 | ) | ||||||
NET ASSETS – 100.0% | $ | 1,254,667,506 |
Percentages shown are based on Net Assets.
All securities are United States companies, unless noted otherwise in parentheses.
(a) | Amount rounds to less than 0.05%. |
(b) | Security sold outside United States without registration under the Securities Act of 1933. |
(c) | The obligations of certain U.S. government-sponsored entities are neither issued nor guaranteed by the United States Treasury. |
(d) | Zero coupon bond. |
(e) | 7-day current yield as of October 31, 2020 is disclosed. |
* | Non-Income Producing Security |
Abbreviations: | ||
ADR | American Depositary Receipt | |
ETF | Exchange-Traded Fund | |
MLP | Master Limited Partnership | |
PLC | Public Limited Company | |
SPDR | Standard & Poor’s Depositary Receipt |
Valuation Hierarchy
The following is a summary of the inputs used, as of October 31, 2020, in valuing the Fund’s investments carried at fair value:
Morningstar U.S. Equity Fund | Level 1 | Level 2 | Level 3 | Totals | ||||||||||||
Investments | ||||||||||||||||
Common Stocks | $ 998,311,914 | $11,548,215 | $— | 1,009,860,129 | ||||||||||||
Investment Companies | 222,005,190 | — | — | 222,005,190 | ||||||||||||
Short-Term Investments | 22,291,162 | 683,000 | — | 22,974,162 | ||||||||||||
Total Investments | $1,242,608,266 | $12,231,215 | $— | $1,254,839,481 |
See accompanying Notes to Financial Statements
33
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments
Morningstar International Equity Fund
|
Number of Shares
| Value
| |||||||
Common Stocks – 68.7% |
| |||||||
Advertising – 1.2% |
| |||||||
Publicis Groupe S.A. (France) | 153,836 | $ | 5,344,614 | |||||
WPP PLC (United Kingdom) | 514,400 | 4,108,661 | ||||||
9,453,275 | ||||||||
Aerospace/Defense – 0.1% | ||||||||
Rolls-Royce Holdings PLC (United Kingdom)* | 908,216 |
| 840,615 |
| ||||
Agriculture – 0.1% | ||||||||
KT&G Corp. (South Korea) | 9,675 | 690,835 | ||||||
Airlines – 0.6% | ||||||||
Ryanair Holdings PLC (Ireland)* | 14,200 | 195,666 | ||||||
Ryanair Holdings PLC ADR (Ireland)* | 54,691 | 4,408,095 | ||||||
4,603,761 | ||||||||
Apparel – 0.4% | ||||||||
adidas A.G. (Germany)* | 10,373 | 3,081,871 | ||||||
Auto Manufacturers – 3.1% | ||||||||
Bayerische Motoren Werke A.G. (Germany) | 120,320 | 8,222,522 | ||||||
Daimler A.G. (Germany)(a) | 186,490 | 9,639,389 | ||||||
Maruti Suzuki India Ltd. (India) | 2,788 | 261,860 | ||||||
Toyota Motor Corp. (Japan) | 52,500 | 3,446,462 | ||||||
Volvo AB, Class B (Sweden)* | 198,100 | 3,850,509 | ||||||
25,420,742 | ||||||||
Auto Parts & Equipment – 1.5% |
| |||||||
Continental A.G. (Germany) | 71,875 | 7,636,788 | ||||||
Hyundai Mobis Co. Ltd. (South Korea) | 6,318 | 1,265,897 | ||||||
Valeo S.A. (France) | 95,594 | 2,891,855 | ||||||
Weichai Power Co. Ltd., Class H (China) | 456,000 | 864,705 | ||||||
12,659,245 | ||||||||
Banks – 10.9% | ||||||||
Al Rajhi Bank (Saudi Arabia) | 18,277 | 320,675 | ||||||
Axis Bank Ltd. (India)* | 909,762 | 6,030,472 | ||||||
Banco Bilbao Vizcaya Argentaria S.A. (Spain) | 719,129 | 2,074,798 | ||||||
Banco do Brasil S.A. (Brazil)* | 274,300 | 1,422,185 | ||||||
Banco Santander Chile ADR (Chile) | 32,485 | 450,892 | ||||||
Bank Central Asia Tbk PT (Indonesia) | 267,500 | 526,348 |
Number of Shares
| Value
| |||||||
Banks (Continued) | ||||||||
Bank Mandiri Persero Tbk PT (Indonesia) | 12,332,900 | $ | 4,804,046 | |||||
BNP Paribas S.A. (France)* | 316,205 | 11,027,581 | ||||||
China Construction Bank Corp., Class H (China) | 3,652,000 | 2,516,642 | ||||||
China Merchants Bank Co. Ltd., Class H (China) | 373,613 | 1,946,126 | ||||||
Commercial International Bank Egypt S.A.E. GDR (Egypt)(a) | 240,111 | 926,201 | ||||||
Credicorp Ltd. (Peru) | 4,727 | 542,092 | ||||||
Credit Suisse Group A.G. (Switzerland)(a) | 935,400 | 8,822,112 | ||||||
DBS Group Holdings Ltd. (Singapore) | 249,300 | 3,713,538 | ||||||
First Abu Dhabi Bank PJSC (United Arab Emirates) | 167,795 | 517,043 | ||||||
FirstRand Ltd. (South Africa) | 134,675 | 312,625 | ||||||
Grupo Financiero Banorte S.A.B. de C.V., Class O (Mexico)* | 113,523 | 506,295 | ||||||
HDFC Bank Ltd. (India)* | 58,876 | 940,246 | ||||||
HDFC Bank Ltd. ADR (India)* | 41,560 | 2,387,206 | ||||||
ICICI Bank Ltd. ADR (India)* | 208,083 | 2,195,276 | ||||||
Intesa Sanpaolo S.p.A. (Italy)* | 5,839,100 | 9,693,519 | ||||||
Kasikornbank PCL (Thailand)(a) | 244,200 | 595,940 | ||||||
Komercni banka A.S. (Czech Republic)* | 8,246 | 167,444 | ||||||
Kotak Mahindra Bank Ltd. (India)* | 9,895 | 206,494 | ||||||
Lloyds Banking Group PLC (United Kingdom)* | 31,360,800 | 11,418,691 | ||||||
National Bank of Kuwait S.A.K.P. (Kuwait) | 37,561 | 103,784 | ||||||
Natwest Group PLC (United Kingdom)* | 2,777,353 | 4,478,087 | ||||||
Nedbank Group Ltd. (South Africa) | 100,513 | 594,595 | ||||||
OTP Bank Nyrt. (Hungary)* | 75,154 | 2,344,396 | ||||||
Sberbank of Russia PJSC (Russia) | 346,405 | 876,085 | ||||||
Sberbank of Russia PJSC (Russia) | 438,799 | 1,112,118 | ||||||
Sberbank of Russia PJSC ADR (Russia) | 160,098 | 1,617,219 | ||||||
Shinhan Financial Group Co. Ltd. (South Korea) | 51,694 | 1,402,576 |
See accompanying Notes to Financial Statements
34
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar International Equity Fund
Number of Shares
| Value
| |||||||
Banks (Continued) | ||||||||
Standard Bank Group Ltd. (South Africa) | 101,589 | $ | 664,279 | |||||
Standard Chartered PLC (United Kingdom)* | 247,068 | 1,129,054 | ||||||
88,386,680 | ||||||||
Beverages – 1.3% | ||||||||
Ambev S.A. ADR (Brazil)* | 872,752 | 1,867,689 | ||||||
Anheuser-Busch InBev S.A./N.V. (Belgium) | 55,015 | 2,845,718 | ||||||
China Resources Beer Holdings Co. Ltd. (China) | 88,000 | 546,003 | ||||||
Diageo PLC (United Kingdom) | 81,260 | 2,626,151 | ||||||
Fomento Economico Mexicano S.A.B. de C.V. ADR (Mexico) | 31,500 | 1,693,755 | ||||||
Kweichow Moutai Co. Ltd., Class A (China) | 3,100 | 774,960 | ||||||
10,354,276 | ||||||||
Building Materials – 0.6% | ||||||||
Anhui Conch Cement Co. Ltd., Class H (China) | 356,500 | 2,230,083 | ||||||
LafargeHolcim Ltd. (Switzerland)(a)* | 58,005 | 2,489,554 | ||||||
4,719,637 | ||||||||
Chemicals – 1.3% | ||||||||
Air Liquide S.A. (France) | 13,214 | 1,932,393 | ||||||
Linde PLC (United Kingdom) | 13,051 | 2,860,324 | ||||||
Novozymes A/S, Class B (Denmark) | 32,201 | 1,936,607 | ||||||
Symrise A.G. (Germany) | 26,040 | 3,211,004 | ||||||
UPL Ltd. (India) | 142,042 | 867,832 | ||||||
10,808,160 | ||||||||
Coal – 0.2% | ||||||||
China Shenhua Energy Co. Ltd., Class H (China) | 587,500 | 1,017,927 | ||||||
Coal India Ltd. (India) | 253,247 | 389,826 | ||||||
1,407,753 | ||||||||
Commercial Services – 2.8% | ||||||||
Adyen N.V. (Netherlands)(b)* | 2,970 | 4,991,810 | ||||||
Amadeus IT Group S.A. (Spain) | 73,200 | 3,487,700 | ||||||
Ashtead Group PLC (United Kingdom) | 95,650 | 3,456,536 | ||||||
Bidvest Group (The) Ltd. (South Africa) | 90,971 | 748,053 | ||||||
Brambles Ltd. (Australia) | 279,500 | 1,885,037 |
Number of Shares
| Value
| |||||||
Commercial Services (Continued) |
| |||||||
Bureau Veritas S.A. (France)* | 79,745 | $ | 1,748,676 | |||||
CCR S.A. (Brazil) | 374,360 | 726,152 | ||||||
G4S PLC (United Kingdom)* | 1,090,500 | 2,875,565 | ||||||
SGS S.A. (Switzerland)(a) | 683 | 1,706,006 | ||||||
StoneCo Ltd., Class A (Brazil)* | 7,301 | 383,595 | ||||||
TAL Education Group ADR (China)* | 9,784 | 650,245 | ||||||
22,659,375 | ||||||||
Computers – 0.8% | ||||||||
Check Point Software Technologies Ltd. (Israel)* | 24,534 | 2,786,081 | ||||||
Infosys Ltd. (India) | 67,978 | 973,931 | ||||||
Infosys Ltd. ADR (India) | 92,676 | 1,322,486 | ||||||
Tata Consultancy Services Ltd. (India) | 33,519 | 1,208,041 | ||||||
6,290,539 | ||||||||
Cosmetics/Personal Care – 2.2% |
| |||||||
LG Household & Health Care Ltd. (South Korea) | 1,602 | 2,124,059 | ||||||
L’Oreal S.A. (France) | 18,624 | 6,019,008 | ||||||
Unicharm Corp. (Japan) | 109,000 | 5,043,528 | ||||||
Unilever N.V. (United Kingdom) | 29,183 | 1,645,155 | ||||||
Unilever PLC (United Kingdom) | 49,736 | 2,834,399 | ||||||
17,666,149 | ||||||||
Distribution/Wholesale – 0.3% | ||||||||
Bunzl PLC (United Kingdom) | 46,300 | 1,439,296 | ||||||
Ferguson PLC* | 11,985 | 1,190,362 | ||||||
2,629,658 | ||||||||
Diversified Financial Services – 1.0% |
| |||||||
B3 S.A. - Brasil Bolsa Balcao (Brazil) | 53,700 | 475,518 | ||||||
Capitec Bank Holdings Ltd. (South Africa)* | 4,746 | 333,547 | ||||||
Hong Kong Exchanges & Clearing Ltd. (Hong Kong) | 5,100 | 244,386 | ||||||
Housing Development Finance Corp. Ltd. (India) | 48,510 | 1,258,507 | ||||||
KB Financial Group, Inc. (South Korea) | 42,103 | 1,506,016 | ||||||
Network International Holdings PLC (United Arab Emirates)(b)* | 62,225 | 178,549 | ||||||
Pagseguro Digital Ltd., Class A (Brazil)* | 8,433 | 308,732 |
See accompanying Notes to Financial Statements
35
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar International Equity Fund
Number of Shares
| Value
| |||||||
Diversified Financial Services (Continued) |
| |||||||
Schroders PLC (United Kingdom) | 103,700 | $ | 3,513,096 | |||||
XP, Inc., Class A (Brazil)* | 7,140 | 286,171 | ||||||
8,104,522 | ||||||||
Electric – 0.1% | ||||||||
Engie Brasil Energia S.A. (Brazil) | 25,299 | 175,437 | ||||||
Power Grid Corp. of India Ltd. (India) | 283,362 | 653,886 | ||||||
829,323 | ||||||||
Electrical Component & Equipment – 0.6% |
| |||||||
Schneider Electric S.E. (France) | 38,167 | 4,637,539 | ||||||
Electronics – 0.3% | ||||||||
AAC Technologies Holdings, Inc. (China) | 124,153 | 652,596 | ||||||
Hangzhou Hikvision Digital Technology Co. Ltd., Class A (China) | 97,430 | 655,281 | ||||||
Hon Hai Precision Industry Co. Ltd. (Taiwan) | 425,000 | 1,152,655 | ||||||
2,460,532 | ||||||||
Engineering & Construction – 0.1% |
| |||||||
Airports of Thailand PCL (Thailand)(a) | 126,600 | 210,205 | ||||||
Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR (Mexico)* | 3,238 | 373,503 | ||||||
Shanghai International Airport Co. Ltd., Class A (China) | 23,000 | 227,664 | ||||||
811,372 | ||||||||
Food – 1.1% | ||||||||
BIM Birlesik Magazalar A.S. (Turkey) | 23,962 | 189,455 | ||||||
China Mengniu Dairy Co. Ltd. (China)* | 301,000 | 1,419,009 | ||||||
Magnit PJSC GDR (Russia)(a) | 46,057 | 635,695 | ||||||
Nestle S.A. ADR (Switzerland) | 37,565 | 4,217,423 | ||||||
Shoprite Holdings Ltd. (South Africa) | 149,366 | 1,183,180 | ||||||
Uni-President Enterprises Corp. (Taiwan) | 48,000 | 102,891 | ||||||
Universal Robina Corp. (Philippines) | 132,140 | 375,808 | ||||||
X5 Retail Group N.V. GDR (Russia)(a) | 14,055 | 494,027 | ||||||
8,617,488 |
Number of Shares
| Value
| |||||||
Food Service – 0.3% | ||||||||
Compass Group PLC (United Kingdom) | 207,800 | $ | 2,844,314 | |||||
Forest Products & Paper – 0.4% |
| |||||||
Mondi PLC (United Kingdom) | 28,851 | 546,822 | ||||||
UPM-Kymmene OYJ (Finland) | 106,000 | 2,995,452 | ||||||
3,542,274 | ||||||||
Gas – 0.1% | ||||||||
ENN Energy Holdings Ltd. (China) | 73,200 | 926,427 | ||||||
Healthcare – Products – 1.4% | ||||||||
Alcon, Inc. (Switzerland)* | 45,293 | 2,574,454 | ||||||
EssilorLuxottica S.A. (France)* | 16,785 | 2,072,259 | ||||||
Hengan International Group Co. Ltd. (China) | 139,000 | 969,602 | ||||||
Sonova Holding A.G. (Switzerland)(a)* | 11,035 | 2,619,356 | ||||||
Sysmex Corp. (Japan) | 33,100 | 3,109,042 | ||||||
11,344,713 | ||||||||
Healthcare – Services – 1.1% | ||||||||
Fresenius Medical Care A.G. & Co. KGaA (Germany) | 39,000 | 2,978,124 | ||||||
Life Healthcare Group Holdings Ltd. (South Africa) | 565,817 | 566,382 | ||||||
Lonza Group A.G. (Switzerland)(a) | 9,246 | 5,602,246 | ||||||
9,146,752 | ||||||||
Holding Companies – Diversified – 0.1% |
| |||||||
Siam Cement (The) PCL (Thailand)(a) | 50,100 | 533,095 | ||||||
Home Furnishings – 0.2% | ||||||||
Coway Co. Ltd. (South Korea)* | 17,121 | 1,048,362 | ||||||
Gree Electric Appliances, Inc. of Zhuhai, Class A (China) | 57,500 | 504,386 | ||||||
Midea Group Co. Ltd., Class A (China) | 33,300 | 388,836 | ||||||
1,941,584 |
See accompanying Notes to Financial Statements
36
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar International Equity Fund
Number of Shares
| Value
| |||||||
Household Products/Wares – 0.2% |
| |||||||
Henkel A.G. & Co. KGaA (Germany) | 8,300 | $ | 750,352 | |||||
Kimberly-Clark de Mexico S.A.B. de C.V., Series A (Mexico) | 384,700 | 574,561 | ||||||
1,324,913 | ||||||||
Insurance – 4.0% | ||||||||
AIA Group Ltd. (Hong Kong) | 784,800 | 7,469,080 | ||||||
Allianz S.E. (Germany)(a) | 61,066 | 10,757,059 | ||||||
AMP Ltd. (Australia) | 2,780,700 | 2,992,290 | ||||||
BB Seguridade Participacoes S.A. (Brazil) | 229,000 | 945,860 | ||||||
Ping An Insurance Group Co. of China Ltd., Class H (China) | 526,000 | 5,438,668 | ||||||
Porto Seguro S.A. (Brazil) | 14,300 | 119,625 | ||||||
Prudential PLC (United Kingdom) | 350,500 | 4,286,791 | ||||||
Sanlam Ltd. (South Africa) | 234,483 | 683,966 | ||||||
32,693,339 | ||||||||
Internet – 5.2% | ||||||||
Alibaba Group Holding Ltd. (China)* | 82,856 | 3,139,735 | ||||||
Alibaba Group Holding Ltd. ADR (China) | 25,205 | 7,679,711 | ||||||
Baidu, Inc. ADR (China)* | 28,422 | 3,781,547 | ||||||
Meituan, Class B (China)* | 7,400 | 275,866 | ||||||
MercadoLibre, Inc. (Argentina)* | 594 | 721,146 | ||||||
Naspers Ltd., Class N (South Africa)* | 34,611 | 6,757,021 | ||||||
NAVER Corp. (South Korea) | 14,761 | 3,776,912 | ||||||
Prosus N.V. (China)* | 2,885 | 288,027 | ||||||
Tencent Holdings Ltd. (China) | 147,500 | 11,269,834 | ||||||
Tencent Music Entertainment Group ADR (China)* | 14,546 | 216,444 | ||||||
Trip.com Group Ltd. ADR (China)* | 73,137 | 2,103,420 | ||||||
Yandex N.V., Class A (Russia)* | 34,321 | 1,975,860 | ||||||
41,985,523 | ||||||||
Investment Management Companies – 0.7% |
| |||||||
EXOR N.V. (Netherlands) | 103,400 | 5,379,576 | ||||||
Iron/Steel – 0.4% | ||||||||
Novolipetsk Steel PJSC GDR (Russia) | 11,721 | 272,261 |
Number of Shares
| Value
| |||||||
Iron/Steel (Continued) | ||||||||
Ternium S.A. ADR (Mexico)* | 35,349 | $ | 707,687 | |||||
thyssenkrupp A.G. (Germany)* | 548,300 | 2,617,175 | ||||||
3,597,123 | ||||||||
Leisure Time – 0.2% | ||||||||
Bajaj Auto Ltd. (India) | 18,853 | 734,431 | ||||||
Hero MotoCorp Ltd. (India) | 18,653 | 703,733 | ||||||
1,438,164 | ||||||||
Lodging – 0.6% | ||||||||
Accor S.A. (France)* | 206,035 | 5,251,409 | ||||||
Machinery - Construction & Mining – 1.0% |
| |||||||
Epiroc AB, Class A (Sweden) | 160,632 | 2,398,495 | ||||||
Komatsu Ltd. (Japan) | 262,900 | 5,927,205 | ||||||
8,325,700 | ||||||||
Machinery - Diversified – 3.0% |
| |||||||
Atlas Copco AB, Class A (Sweden) | 137,273 | 6,059,394 | ||||||
CNH Industrial N.V. (United Kingdom)* | 1,139,886 | 8,838,309 | ||||||
FANUC Corp. (Japan) | 9,300 | 1,964,391 | ||||||
Keyence Corp. (Japan) | 9,800 | 4,447,461 | ||||||
Kubota Corp. (Japan) | 179,600 | 3,121,101 | ||||||
24,430,656 | ||||||||
Media – 0.8% | ||||||||
Grupo Televisa S.A.B. ADR (Mexico)* | 355,700 | 2,262,252 | ||||||
Liberty Global PLC, Class A (United Kingdom)* | 166,600 | 3,162,068 | ||||||
Liberty Global PLC, Class C (United Kingdom)* | 58,773 | 1,096,704 | ||||||
6,521,024 | ||||||||
Metal Fabricate/Hardware – 0.6% |
| |||||||
Catcher Technology Co. Ltd. (Taiwan) | 99,000 | 625,830 | ||||||
SKF AB, Class B (Sweden) | 182,800 | 3,742,095 | ||||||
Tenaris S.A. ADR | 17,750 | 169,690 | ||||||
4,537,615 | ||||||||
Mining – 2.2% | ||||||||
Alrosa PJSC (Russia) | 280,422 | 252,397 | ||||||
Alrosa PJSC (Russia) | 758,669 | 681,669 | ||||||
Anglo American PLC (South Africa) | 32,953 | 773,182 | ||||||
Glencore PLC (Australia)* | 5,551,089 | 11,197,862 | ||||||
Grupo Mexico S.A.B. de C.V., Series B (Mexico) | 419,523 | 1,196,179 |
See accompanying Notes to Financial Statements
37
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar International Equity Fund
Number of Shares
| Value
| |||||||
Mining (Continued) | ||||||||
Rio Tinto PLC (Australia) | 63,591 | $ | 3,596,798 | |||||
Southern Copper Corp. (Peru) | 7,200 | 376,848 | ||||||
18,074,935 | ||||||||
Miscellaneous Manufacturing – 1.3% |
| |||||||
Alfa Laval AB (Sweden)* | 104,559 | 2,123,781 | ||||||
CRRC Corp. Ltd., Class H (China) | 2,362,000 | 916,175 | ||||||
Largan Precision Co. Ltd. (Taiwan) | 10,000 | 1,061,989 | ||||||
Orica Ltd. (Australia) | 383,120 | 4,112,707 | ||||||
Smiths Group PLC (United Kingdom) | 121,000 | 2,084,831 | ||||||
Sunny Optical Technology Group Co. Ltd. (China) | 13,500 | 224,142 | ||||||
10,523,625 | ||||||||
Oil & Gas – 1.3% | ||||||||
Bharat Petroleum Corp. Ltd. (India) | 127,853 | 611,204 | ||||||
Cenovus Energy, Inc. (Canada) | 877,300 | 2,870,996 | ||||||
CNOOC Ltd. (China) | 984,217 | 900,515 | ||||||
Galp Energia SGPS S.A. (Portugal) | 80,680 | 655,218 | ||||||
LUKOIL PJSC ADR (Russia) | 25,643 | 1,311,974 | ||||||
LUKOIL PJSC ADR (Russia) | 32,860 | 1,678,820 | ||||||
Oil & Natural Gas Corp. Ltd. (India) | 714,671 | 625,704 | ||||||
Royal Dutch Shell PLC, Class B (Netherlands) | 147,928 | 1,783,914 | ||||||
10,438,345 | ||||||||
Pharmaceuticals – 2.7% | ||||||||
Bayer A.G. (Germany)(a) | 149,860 | 7,042,003 | ||||||
Chugai Pharmaceutical Co. Ltd. (Japan) | 92,500 | 3,570,500 | ||||||
CSPC Pharmaceutical Group Ltd. (China) | 316,160 | 335,739 | ||||||
Jiangsu Hengrui Medicine Co. Ltd., Class A (China) | 20,100 | 267,490 | ||||||
Novartis A.G. (Switzerland)(a) | 28,100 | 2,189,625 | ||||||
Roche Holding A.G. (Genusschein) (Switzerland) | 17,945 | 5,766,294 | ||||||
Shionogi & Co. Ltd. (Japan) | 32,200 | 1,518,872 | ||||||
Sino Biopharmaceutical Ltd. (Hong Kong) | 365,500 | 370,250 | ||||||
Sinopharm Group Co. Ltd., Class H (China) | 368,323 | 846,202 | ||||||
21,906,975 |
Number of Shares
| Value
| |||||||
Real Estate – 0.1% | ||||||||
China Vanke Co. Ltd., Class H (China) | 229,200 | $ | 711,429 | |||||
Greentown Service Group Co. Ltd. (China) | 130,000 | 142,715 | ||||||
854,144 | ||||||||
Retail – 2.6% | ||||||||
Alimentation Couche-Tard, Inc., Class B (Canada) | 65,173 | 2,007,091 | ||||||
Astra International Tbk PT (Indonesia) | 3,207,500 | 1,171,293 | ||||||
Cie Financiere Richemont S.A. (Switzerland)(a) | 54,680 | 3,417,708 | ||||||
Clicks Group Ltd. (South Africa) | 23,391 | 339,142 | ||||||
CP ALL PCL (Thailand)(a) | 502,800 | 865,842 | ||||||
Hennes & Mauritz AB, Class B (Sweden) | 295,400 | 4,802,736 | ||||||
Lojas Renner S.A. (Brazil) | 47,093 | 307,527 | ||||||
Nitori Holdings Co. Ltd. (Japan) | 11,600 | 2,384,457 | ||||||
President Chain Store Corp. (Taiwan) | 51,000 | 460,318 | ||||||
Raia Drogasil S.A. (Brazil) | 164,140 | 690,550 | ||||||
SM Investments Corp. (Philippines) | 39,460 | 773,854 | ||||||
Swatch Group (The) A.G. (Bearer) (Switzerland) | 14,350 | 3,038,913 | ||||||
Wal-Mart de Mexico S.A.B. de C.V. (Mexico) | 196,401 | 475,551 | ||||||
Yifeng Pharmacy Chain Co. Ltd., Class A (China) | 30,328 | 462,190 | ||||||
Yum China Holdings, Inc. (China) | 2,400 | 127,752 | ||||||
21,324,924 | ||||||||
Semiconductors – 5.0% | ||||||||
ASM Pacific Technology Ltd. (Hong Kong) | 93,500 | 942,884 | ||||||
Globalwafers Co. Ltd. (Taiwan) | 74,000 | 1,077,609 | ||||||
Infineon Technologies A.G. (Germany) | 238,378 | 6,636,726 | ||||||
MediaTek, Inc. (Taiwan) | 12,000 | 285,243 | ||||||
Novatek Microelectronics Corp. (Taiwan) | 106,000 | 990,585 | ||||||
Samsung Electronics Co. Ltd. (South Korea) | 186,575 | 9,378,310 | ||||||
Samsung Electronics Co. Ltd. GDR (South Korea)(a) | 2,385 | 3,008,847 | ||||||
SK Hynix, Inc. (South Korea) | 49,485 | 3,510,608 |
See accompanying Notes to Financial Statements
38
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar International Equity Fund
Number
| Value
| |||||||
Semiconductors (Continued) |
| |||||||
Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan) | 451,945 | $ | 6,837,781 | |||||
Taiwan Semiconductor Manufacturing Co. Ltd. ADR (Taiwan) | 97,628 | 8,188,060 | ||||||
Vanguard International Semiconductor Corp. (Taiwan) | 88,000 | 287,500 | ||||||
41,144,153 | ||||||||
Software – 1.4% | ||||||||
Dassault Systemes S.E. (France) | 17,429 | 2,971,827 | ||||||
HCL Technologies Ltd. (India) | 90,269 | 1,027,045 | ||||||
Mail.Ru Group Ltd. GDR (Russia)(a)* | 13,072 | 342,357 | ||||||
Open Text Corp. (Canada) | 61,900 | 2,274,266 | ||||||
SAP S.E. ADR (Germany) | 41,915 | 4,477,779 | ||||||
11,093,274 | ||||||||
Telecommunications – 1.0% |
| |||||||
America Movil S.A.B. de C.V., Series L ADR (Mexico) | 133,875 | 1,595,790 | ||||||
Bharti Infratel Ltd. (India) | 251,814 | 630,075 | ||||||
China Mobile Ltd. ADR (China) | 109,472 | 3,364,074 | ||||||
Mobile TeleSystems PJSC ADR (Russia) | 146,619 | 1,146,561 | ||||||
Telekomunikasi Indonesia Persero Tbk PT ADR (Indonesia) | 62,675 | 1,071,116 | ||||||
Vodacom Group Ltd. (South Africa) | 82,534 | 621,975 | ||||||
8,429,591 | ||||||||
Transportation – 0.2% | ||||||||
Canadian National Railway Co. (Canada) | 21,014 | 2,089,842 | ||||||
Total Common Stocks | 558,777,356 | |||||||
Preferred Stocks – 1.2% |
| |||||||
Banks – 0.5% | ||||||||
Itau Unibanco Holding S.A., 0.77% (Brazil)(c) | 359,856 | 1,473,177 | ||||||
Itau Unibanco Holding S.A. ADR, 0.78% (Brazil)(c) | 600,501 | 2,456,049 | ||||||
3,929,226 | ||||||||
Chemicals – 0.1% | ||||||||
FUCHS PETROLUB S.E., 2.19% (Germany)(c) | 21,984 | 1,131,546 |
Number
| Value
| |||||||
Household Products/Wares – 0.1% |
| |||||||
Henkel A.G. & Co. KGaA, 2.18% (Germany)(c) | 10,500 | $ | 1,021,761 | |||||
Semiconductors – 0.5% | ||||||||
Samsung Electronics Co. Ltd., 2.73% (South Korea)(c) | 14,245 | 633,688 | ||||||
Samsung Electronics Co. Ltd. GDR, 2.63% (South Korea)(a)(c) | 2,972 | 3,336,907 | ||||||
3,970,595 | ||||||||
Total Preferred Stocks | 10,053,128 | |||||||
Investment Companies – 28.4% |
| |||||||
iShares Global Energy ETF | 1,665,295 | 25,911,990 | ||||||
iShares MSCI Mexico ETF | 469,972 | 16,054,244 | ||||||
iShares MSCI South Korea ETF | 100,958 | 6,552,174 | ||||||
iShares MSCI United Kingdom ETF | 2,426,983 | 59,072,766 | ||||||
JPMorgan BetaBuilders Japan ETF | 4,095,585 | 99,604,627 | ||||||
Xtrackers MSCI Europe Hedged Equity ETF | 913,944 | 23,780,823 | ||||||
Total Investment Companies | 230,976,624 | |||||||
Short-Term Investments – 1.3% |
| |||||||
Money Market Fund – 1.3% | ||||||||
Northern Institutional Funds - Treasury Portfolio (Premier), 0.00%(d) | 10,612,548 | 10,612,548 | ||||||
Total Short-Term Investments | 10,612,548 | |||||||
Rights – 0.2% |
| |||||||
Aerospace/Defense – 0.2% |
| |||||||
Rolls-Royce Holdings PLC (United Kingdom) | 3,144,666 | 1,587,198 | ||||||
Total Rights | 1,587,198 | |||||||
Total Investments – 99.8% | 812,006,854 | |||||||
Other Assets less Liabilities – 0.2%(e) |
| 1,855,526 | ||||||
NET ASSETS – 100.0% | $ | 813,862,380 |
See accompanying Notes to Financial Statements
39
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar International Equity Fund
Percentages shown are based on Net Assets.
All securities are United States companies, unless noted otherwise in parentheses.
(a) | Security sold outside United States without registration under the Securities Act of 1933. |
(b) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees of Morningstar Funds Trust. |
(c) | Current yield is disclosed. Dividends are calculated based on a percentage of the issuer’s net income. |
(d) | 7-day current yield as of October 31, 2020 is disclosed. |
(e) | Includes appreciation/ (depreciation) on forward foreign currency exchange contracts. |
* | Non-Income Producing Security |
Abbreviations: | ||
ADR | American Depositary Receipt | |
ETF | Exchange-Traded Fund | |
GDR | Global Depositary Receipt | |
MSCI | Morgan Stanley Capital International | |
PCL | Public Company Limited | |
PJSC | Public Joint Stock Company | |
PLC | Public Limited Company |
Concentration by Currency (%) |
| |||
U.S. Dollar | 39.5 | |||
Euro | 19.0 | |||
British Pound | 8.5 | |||
Hong Kong Dollar | 5.7 | |||
All other currencies less than 5% | 27.3 | |||
Total | 100.0 |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2020:
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
| ||||||||||||||||||||||||
12/16/20 | U.S. Dollars | 2,455,466 | Swiss Francs | 2,317,000 | Northern Trust | $(75,202 | ) | |||||||||||||||||
| ||||||||||||||||||||||||
Net Unrealized Depreciation |
| $(75,202 | ) | |||||||||||||||||||||
|
See accompanying Notes to Financial Statements
40
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar International Equity Fund
Valuation Hierarchy
The following is a summary of the inputs used, as of October 31, 2020, in valuing the Fund’s investments carried at fair value:
| ||||||||||||||||
Morningstar International Equity Fund | Level 1 | Level 2 | Level 3 | Totals | ||||||||||||
| ||||||||||||||||
Investments | ||||||||||||||||
Assets: | ||||||||||||||||
Common Stocks | $ 90,766,413 | $468,010,943 | $— | $558,777,356 | ||||||||||||
Preferred Stocks | 3,929,226 | 6,123,902 | — | 10,053,128 | ||||||||||||
Investment Companies | 230,976,624 | — | �� | — | 230,976,624 | |||||||||||
Short-Term Investments | 10,612,548 | — | — | 10,612,548 | ||||||||||||
| ||||||||||||||||
Rights | — | 1,587,198 | — | 1,587,198 | ||||||||||||
| ||||||||||||||||
Total Investments | $336,284,811 | $475,722,043 | $— | $812,006,854 | ||||||||||||
| ||||||||||||||||
| ||||||||||||||||
Morningstar International Equity Fund | Level 1 | Level 2 | Level 3 | Totals | ||||||||||||
| ||||||||||||||||
Derivative Financial Instruments | ||||||||||||||||
Liabilities: | ||||||||||||||||
Forward foreign currency exchange contracts | $— | $(75,202 | ) | $— | $(75,202 | ) | ||||||||||
| ||||||||||||||||
Total Derivative Financial Instruments | $— | $(75,202 | ) | $— | $(75,202 | ) | ||||||||||
|
See accompanying Notes to Financial Statements
41
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments
Morningstar Global Income Fund
|
Number of Shares
| Value
| |||||||
Common Stocks – 42.2% |
| |||||||
Aerospace/Defense – 1.2% | ||||||||
Raytheon Technologies Corp. | 53,000 | $ | 2,878,960 | |||||
Agriculture – 1.0% | ||||||||
British American Tobacco PLC ADR (United Kingdom) | 79,200 | 2,524,896 | ||||||
Auto Manufacturers – 1.9% | ||||||||
Toyota Motor Corp. ADR (Japan) | 34,920 | 4,584,647 | ||||||
Auto Parts & Equipment – 1.2% | ||||||||
Cie Generale des Etablissements Michelin S.C.A. (France) | 27,924 | 3,015,821 | ||||||
Banks – 2.4% | ||||||||
BNP Paribas S.A. (France)* | 53,051 | 1,850,142 | ||||||
JPMorgan Chase & Co. | 40,200 | 3,941,208 | ||||||
5,791,350 | ||||||||
Building Materials – 3.2% | ||||||||
Johnson Controls International PLC | 87,625 | 3,698,651 | ||||||
Xinyi Glass Holdings Ltd. (Hong Kong) | 1,847,765 | 4,057,761 | ||||||
7,756,412 | ||||||||
Computers – 0.5% | ||||||||
Quanta Computer, Inc. (Taiwan) | 470,000 | 1,185,933 | ||||||
Cosmetics/Personal Care – 1.2% |
| |||||||
Unilever N.V. (United Kingdom)(a) | 50,568 | 2,860,126 | ||||||
Electric – 6.3% | ||||||||
Duke Energy Corp. | 44,692 | 4,116,580 | ||||||
Enel S.p.A. (Italy) | 399,850 | 3,179,010 | ||||||
Iberdrola S.A. (Spain) | 321,410 | 3,795,074 | ||||||
NextEra Energy, Inc. | 56,520 | 4,137,829 | ||||||
15,228,493 | ||||||||
Forest Products & Paper – 2.7% |
| |||||||
Smurfit Kappa Group PLC (Ireland) | 95,800 | 3,609,659 | ||||||
UPM-Kymmene OYJ (Finland) | 104,130 | 2,942,608 | ||||||
6,552,267 | ||||||||
Healthcare - Services – 1.2% | ||||||||
Sonic Healthcare Ltd. (Australia) | 121,580 | 2,977,864 |
Number of Shares
| Value
| |||||||
Home Builders – 0.7% | ||||||||
Persimmon PLC (United Kingdom) | 57,750 | $ | 1,748,469 | |||||
Insurance – 2.0% | ||||||||
Ping An Insurance Group Co. of China Ltd., Class H (China) | 182,500 | 1,886,990 | ||||||
Zurich Insurance Group A.G. (Switzerland) | 9,075 | 3,014,222 | ||||||
4,901,212 | ||||||||
Iron/Steel – 1.4% | ||||||||
Vale S.A. (Brazil) | 318,050 | 3,345,152 | ||||||
Mining – 0.2% | ||||||||
MMC Norilsk Nickel PJSC ADR (Russia) | 18,389 | 436,739 | ||||||
Oil & Gas – 0.1% | ||||||||
LUKOIL PJSC ADR (Russia) | 4,485 | 229,139 | ||||||
Pharmaceuticals – 3.4% | ||||||||
GlaxoSmithKline PLC (United Kingdom) | 139,300 | 2,326,101 | ||||||
Novartis A.G. ADR (Switzerland) | 35,180 | 2,746,854 | ||||||
Sanofi ADR (France) | 67,970 | 3,079,041 | ||||||
8,151,996 | ||||||||
Real Estate – 1.3% | ||||||||
Times China Holdings Ltd. (China) | 2,354,000 | 3,144,743 | ||||||
Real Estate Investment Trusts – 4.0% |
| |||||||
Ascendas Real Estate Investment Trust (Singapore) | 1,333,550 | 2,813,953 | ||||||
Embassy Office Parks REIT (India) | 552,800 | 2,566,927 | ||||||
Healthpeak Properties, Inc. | 34,950 | 942,602 | ||||||
PLA Administradora Industrial S. de R.L. de C.V. (Mexico) | 2,529,160 | 3,481,671 | ||||||
9,805,153 | ||||||||
Semiconductors – 1.5% | ||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan) | 241,055 | 3,647,084 | ||||||
Telecommunications – 4.0% | ||||||||
AT&T, Inc. | 101,330 | 2,737,937 | ||||||
BCE, Inc. (Canada) | 73,305 | 2,948,327 | ||||||
Cisco Systems, Inc. | 64,870 | 2,328,833 | ||||||
Softbank Corp. (Japan) | 152,195 | 1,771,165 | ||||||
9,786,262 |
See accompanying Notes to Financial Statements
42
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Global Income Fund
Number of Shares
| Value
| |||||||
Transportation – 0.8% | ||||||||
Globaltrans Investment PLC GDR (Russia)(a) | 334,640 | $ | 1,892,895 | |||||
Total Common Stocks | 102,445,613 | |||||||
Investment Companies – 53.3% |
| |||||||
Global X MLP & Energy Infrastructure ETF | 488,956 | 11,021,068 | ||||||
Global X U.S. Preferred ETF | 318,829 | 7,881,453 | ||||||
iShares Broad USD High Yield Corporate Bond ETF | 831,553 | 32,862,975 | ||||||
iShares MSCI United Kingdom ETF | 495,461 | 12,059,521 | ||||||
iShares STOXX Europe 600 Telecommunications UCITS ETF DE (Germany) | 704,063 | 14,087,377 | ||||||
SPDR Bloomberg Barclays Convertible Securities ETF | 109,429 | 7,540,752 | ||||||
Vanguard Intermediate-Term Corporate Bond ETF | 107,138 | 10,227,394 |
Number of Shares
| Value
| |||||||
Vanguard Long-Term Corporate Bond ETF | 167,274 | $ | 17,677,516 | |||||
Vanguard Long-Term Treasury ETF | 167,687 | 16,138,197 | ||||||
Total Investment Companies | 129,496,253 | |||||||
Short-Term Investments – 4.1% |
| |||||||
Money Market Fund – 4.1% | ||||||||
Northern Institutional Funds - Treasury Portfolio (Premier), 0.00%(b) | 9,993,995 | 9,993,995 | ||||||
Total Short-Term Investments | 9,993,995 | |||||||
Total Investments – 99.6% | 241,935,861 | |||||||
Other Assets less Liabilities – 0.4% | 1,050,022 | |||||||
NET ASSETS – 100.0% | $ | 242,985,883 |
Percentages shown are based on Net Assets.
All securities are United States companies, unless noted otherwise in parentheses.
(a) | Security sold outside United States without registration under the Securities Act of 1933. |
(b) | 7-day current yield as of October 31, 2020 is disclosed. |
* | Non-Income Producing Security |
Abbreviations: | ||
ADR | American Depositary Receipt | |
ETF | Exchange-Traded Fund | |
GDR | Global Depositary Receipt | |
MLP | Master Limited Partnership | |
MSCI | Morgan Stanley Capital International | |
PJSC | Public Joint Stock Company | |
PLC | Public Limited Company | |
REIT | Real Estate Investment Trust | |
SPDR | Standard & Poor’s Depositary Receipt | |
UCITS | Undertakings for Collective Investment in Transferable Securities | |
USD | United States Dollar |
Concentration by Currency (%) | ||||
U.S. Dollar | 66.5 | |||
Euro | 13.4 | |||
All other currencies less than 5% | 20.1 | |||
Total | 100.0 |
Country Diversification (%) |
| |||
United States | 57.7 | |||
Germany | 5.8 | |||
All other countries less than 5% | 36.5 | |||
Total | 100.0 |
See accompanying Notes to Financial Statements
43
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Global Income Fund
Valuation Hierarchy
The following is a summary of the inputs used, as of October 31, 2020, in valuing the Fund’s investments carried at fair value:
Morningstar Global Income Fund | Level 1 | Level 2 | Level 3 | Totals | ||||||||||||
Investments | ||||||||||||||||
Common Stocks | $ 51,019,192 | $51,426,421 | $— | $102,445,613 | ||||||||||||
Investment Companies | 129,496,253 | — | — | 129,496,253 | ||||||||||||
Short-Term Investments | 9,993,995 | — | — | 9,993,995 | ||||||||||||
Total Investments | $190,509,440 | $51,426,421 | $— | $241,935,861 |
See accompanying Notes to Financial Statements
44
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments
Morningstar Total Return Bond Fund
|
Par(a)
| Value
| |||||||
Long Positions – 109.9% | ||||||||
Asset-Backed Securities – 9.6% |
| |||||||
Automobile – 0.2% | ||||||||
Avis Budget Rental Car Funding AESOP LLC, | ||||||||
Series 2019-2A, Class A, 3.35%, 9/22/25(b) | $ | 740,000 | $ | 781,772 | ||||
Series 2020-2A, Class A, 2.02%, 2/20/27(b) | 730,000 | 736,795 | ||||||
1,518,567 | ||||||||
Commercial Mortgage-Backed Securities – 3.0% |
| |||||||
245 Park Avenue Trust, Series 2017-245P, Class E, 3.66%, 6/05/37(b)(c) | 880,000 | 808,947 | ||||||
AOA Mortgage Trust, Series 2015-1177, Class C, 3.01%, 12/13/29(b)(c) | 113,000 | 112,403 | ||||||
BANK, | ||||||||
Series 2017-BNK7, Class A5, 3.44%, 9/15/60 | 100,000 | 112,121 | ||||||
Series 2018-BN13, Class A5, 4.22%, 8/15/61 | 480,000 | 561,934 | ||||||
Bayview Commercial Asset Trust, Series 2006-1A, Class A1, (1M USD LIBOR + 0.27%), 0.42%, 4/25/36(b)(d) | 397,673 | 367,198 | ||||||
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-T26, Class AM, 5.43%, 1/12/45(c) | 92,516 | 92,355 | ||||||
Benchmark Mortgage Trust, | ||||||||
Series 2020-IG1, Class AS, 2.91%, 9/15/43 | 720,000 | 760,613 | ||||||
Series 2018-B2, Class A5, 3.88%, 2/15/51 | 390,000 | 447,571 | ||||||
Series 2019-B9, Class XA, 1.04%, 3/15/52(c) | 2,885,110 | 203,487 | ||||||
Series 2019-B10, Class A4, 3.72%, 3/15/62 | 500,000 | 574,900 | ||||||
BHMS, Series 2018-ATLS, Class A, (1M USD LIBOR + 1.25%, 1.25% Floor), 1.40%, 7/15/35(b)(d) | 1,190,000 | 1,135,007 |
Par(a)
| Value
| |||||||
Commercial Mortgage-Backed Securities (Continued) |
| |||||||
BX Commercial Mortgage Trust, Series 2020-FOX, Class A, (1M USD LIBOR + 1.00%, 1.00% Floor), 11/15/32(b)(d)(e) | $ | 1,020,000 | $ | 1,020,000 | ||||
BXP Trust, Series 2017-GM, Class D, 3.42%, 6/13/39(b)(c) | 370,000 | 380,820 | ||||||
CAMB Commercial Mortgage Trust, | ||||||||
Series 2019-LIFE, Class A, (1M USD LIBOR + 1.07%, 1.07% Floor), 1.22%, 12/15/37(b)(d) | 590,000 | 588,881 | ||||||
Series 2019-LIFE, Class D, (1M USD LIBOR + 1.75%, 1.75% Floor), 1.90%, 12/15/37(b)(d) | 100,000 | 99,912 | ||||||
CFK Trust, Series 2019-FAX, Class D, 4.64%, 1/15/39(b)(c) | 100,000 | 103,039 | ||||||
Citigroup Commercial Mortgage Trust, | ||||||||
Series 2019-SMRT, Class D, 4.74%, 1/10/36(b)(c) | 500,000 | 510,562 | ||||||
Series 2019-SMRT, Class E, 4.74%, 1/10/36(b)(c) | 500,000 | 500,272 | ||||||
Series 2019-SST2, Class A, (1M USD LIBOR + 0.92%, 0.92% Floor), 1.07%, 12/15/36(b)(d) | 300,000 | 294,838 | ||||||
Series 2016-P3, Class D, 2.80%, 4/15/49(b) | 62,515 | 38,557 | ||||||
Series 2016-C1, Class D, 4.95%, 5/10/49(b)(c) | 250,000 | 212,334 | ||||||
Series 2017-C4, Class A4, 3.47%, 10/12/50 | 420,000 | 469,014 | ||||||
Commercial Mortgage Trust, Series 2020-CX, Class A, 11/10/46(b)(e) | 290,000 | 298,705 | ||||||
CSMC OA LLC, Series 2014-USA, Class B, 4.18%, 9/15/37(b) | 530,000 | 480,102 | ||||||
DBGS Mortgage Trust, Series 2019-1735, Class X, 0.29%, 4/10/37(b)(c) | 13,945,000 | 339,184 | ||||||
Exantas Capital Corp. Ltd., Series 2019-RSO7, Class AS, (1M USD LIBOR + 1.50%, 1.50% Floor), 1.65%, 4/15/36(b)(d)(f) | 500,000 | 490,237 |
See accompanying Notes to Financial Statements
45
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par(a)
| Value
| |||||||
Commercial Mortgage-Backed Securities (Continued) |
| |||||||
GRACE Mortgage Trust, Series 2014-GRCE, Class F, 3.59%, 6/10/28(b)(c) | $ | 100,000 | $ | 99,637 | ||||
GS Mortgage Securities Corp. Trust, | ||||||||
Series 2017-500K, Class E, (1M USD LIBOR + 1.50%, 1.75% Floor), 1.75%, 7/15/32(b)(d) | 110,000 | 107,649 | ||||||
Series 2020-DUNE, Class A, (1M USD LIBOR + 1.10%, 1.10% Floor), 1.25%, 12/15/36(b)(d) | 960,000 | 926,883 | ||||||
Series 2019-BOCA, Class A, (1M USD LIBOR + 1.20%, 1.20% Floor), 1.35%, 6/15/38(b)(d) | 100,000 | 97,760 | ||||||
Series 2019-BOCA, Class B, (1M USD LIBOR + 1.50%, 1.50% Floor), 1.65%, 6/15/38(b)(d) | 620,000 | 581,975 | ||||||
Series 2019-BOCA, Class C, (1M USD LIBOR + 1.73%, 1.73% Floor), 1.88%, 6/15/38(b)(d) | 530,000 | 492,188 | ||||||
GS Mortgage Securities Trust, | ||||||||
Series 2017-GS7, Class E, 3.00%, 8/10/50(b) | 70,000 | 51,543 | ||||||
Series 2017-GS8, Class A4, 3.47%, 11/10/50 | 240,000 | 269,836 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
Series 2020-MKST, Class D, (1M USD LIBOR + 1.50%, 1.50% Floor), 1.65%, 12/15/36(b)(d) | 710,000 | 633,436 | ||||||
Series 2017-JP6, Class A5, 3.49%, 7/15/50 | 235,000 | 263,211 | ||||||
LSTAR Commercial Mortgage Trust, Series 2015-3, Class AS, 3.20%, 4/20/48(b)(c) | 330,883 | 334,342 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class A5, 3.63%, 10/15/48 | 450,000 | 496,537 |
Par(a)
| Value
| |||||||
Commercial Mortgage-Backed Securities (Continued) |
| |||||||
Morgan Stanley Capital I Trust, | ||||||||
Series 2019-BPR, Class A, (1M USD LIBOR + 1.40%, 1.40% Floor), 1.55%, 5/15/36(b)(d) | $ | 410,000 | $ | 392,684 | ||||
Series 2019-L2, Class XA, 1.03%, 3/15/52(c) | 2,561,470 | 182,028 | ||||||
PFP Ltd., Series 2019-5, Class A, (1M USD LIBOR + 0.97%, 0.97% Floor), 1.12%, 4/14/36(b)(d)(f) | 245,165 | 241,212 | ||||||
Rosslyn Portfolio Trust, Series 2017-ROSS, Class A, (1M USD LIBOR + 0.95%, 1.94% Floor), 1.94%, 6/15/33(b)(d) | 1,273,773 | 1,269,778 | ||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||
Series 2015-C28, Class A4, 3.54%, 5/15/48 | 240,000 | 262,906 | ||||||
Series 2015-P2, Class D, 3.24%, 12/15/48(b) | 250,000 | 193,942 | ||||||
Series 2017-C38, Class A5, 3.45%, 7/15/50 | 315,000 | 352,486 | ||||||
18,253,026 | ||||||||
Home Equity – 0.1% | ||||||||
GSAA Home Equity Trust, Series 2006-4, Class 1A1, 3.52%, 3/25/36(c) | 64,033 | 50,866 | ||||||
Option One Mortgage Loan Trust, Series 2004-3, Class M1, (1M USD LIBOR + 0.78%, 0.52% Floor), 0.93%, 11/25/34(d) | 327,512 | 325,588 | ||||||
Renaissance Home Equity Loan Trust, Series 2005-2, Class AV3, (1M USD LIBOR + 0.37%, 0.37% Floor, 14.00% Cap), 0.52%, 8/25/35(d) | 369,591 | 348,035 | ||||||
724,489 | ||||||||
Other – 4.3% | ||||||||
AGL CLO 6 Ltd., Series 2020-6A, Class A1, (3M USD LIBOR + 1.95%, 1.95% Floor), 2.20%, 7/20/31(b)(d) | 290,000 | 284,630 | ||||||
AGL Core CLO 8 Ltd., Series 2020-8A, Class A1, (3M USD LIBOR + 1.50%, 1.50% Floor), 1.72%, 10/20/31(b)(d) | 180,000 | 177,674 |
See accompanying Notes to Financial Statements
46
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par(a)
| Value
| |||||||
Other (Continued) |
| |||||||
Ajax Mortgage Loan Trust, | ||||||||
Series 2018-G, Class A, 4.37%, | $ | 66,273 | $ | 66,272 | ||||
Series 2019-A, Class A, 3.75%, 8/25/57(b)(c) | 332,701 | 338,329 | ||||||
Series 2018-F, Class A, 4.37%, | 165,790 | 172,713 | ||||||
Series 2019-B, Class A, 3.75%, 1/25/59(b)(c) | 409,521 | 416,423 | ||||||
Allegro CLO IV Ltd., Series 2016-1A, Class AR, (3M USD LIBOR + 1.15%), 1.39%, 1/15/30(b)(d) | 247,282 | 246,060 | ||||||
Allegro CLO XI Ltd., Series 2019-2A, Class A1A, (3M USD LIBOR + 1.39%, 1.39% Floor), 1.61%, 1/19/33(b)(d) | 250,000 | 248,121 | ||||||
ALM VII Ltd., Series 2012-7A, Class A1A2, (3M USD LIBOR + 1.17%, 1.17% Floor), 1.41%, 7/15/29(b)(d) | 250,000 | 247,904 | ||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-R7, Class M2, (1M USD LIBOR + 0.50%, 0.50% Floor), 0.65%, 9/25/35(d) | 284,766 | 284,238 | ||||||
AMMC CLO Ltd., Series 2017-21A, Class A, (3M USD LIBOR + 1.25%), 1.46%, 11/02/30(b)(d) | 250,000 | 247,097 | ||||||
Anchorage Capital CLO Ltd., Series 2013-1A, Class A1R, (3M USD LIBOR + 1.25%), 1.51%, 10/13/30(b)(d) | 500,000 | 496,915 | ||||||
Apex Credit CLO Ltd., Series 2017-1A, Class A1, (3M USD LIBOR + 1.47%, 1.47% Floor), 1.68%, 4/24/29(b)(d) | 97,941 | 96,954 | ||||||
Applebee’s Funding LLC/IHOP Funding LLC, Series 2019-1A, Class A2I, 4.19%, | 380,000 | 370,025 | ||||||
Atrium IX, (3M USD LIBOR + 1.24%), 1.49%, 5/28/30(b)(d) | 500,000 | 495,193 | ||||||
Avery Point IV CLO Ltd., Series 2014-1A, Class AR, (3M USD LIBOR + 1.10%), 1.31%, 4/25/26(b)(d) | 51,569 | 51,507 |
Par(a)
| Value
| |||||||
Other (Continued) |
| |||||||
Babson CLO Ltd., Series 2015-IA, Class AR, (3M USD LIBOR + 0.99%, 0.99% Floor), 1.21%, 1/20/31(b)(d) | $ | 250,000 | $ | 242,906 | ||||
Ballyrock CLO Ltd., | ||||||||
Series 2019-2A, Class A1B, (3M USD | 250,000 | 247,696 | ||||||
Series 2018-1A, Class A1, (3M USD LIBOR + 1.00%), 1.22%, 4/20/31(b)(d) | 250,000 | 246,297 | ||||||
Battalion CLO X Ltd., | ||||||||
Series 2016-10A, Class A1R, (3M USD LIBOR + 1.25%, 1.25% Floor), 1.46%, 1/24/29(b)(d) | 310,000 | 310,000 | ||||||
Series 2016-10A, Class A2R, (3M USD LIBOR + 1.80%, 1.80% Floor), 2.01%, 1/24/29(b)(d) | 260,000 | 260,000 | ||||||
Bayview Commercial Asset Trust, Series 2007-4A, Class A1, (1M USD LIBOR + 0.45%, 0.45% Floor), 0.60%, 9/25/37(b)(d) | 455,421 | 422,020 | ||||||
BCC Funding Corp. XVI LLC, Series 2019-1A, Class A2, 2.46%, 8/20/24(b) | 424,302 | 429,085 | ||||||
Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class A2R, (3M USD LIBOR + 1.75%), 1.99%, 7/15/29(b)(d) | 500,000 | 496,988 | ||||||
Benefit Street Partners CLO IV Ltd., Series 2014-IVA, Class A1RR, (3M USD LIBOR + 1.25%, 1.25% Floor), 1.47%, 1/20/29(b)(d) | 500,000 | 497,485 | ||||||
BlueMountain CLO Ltd., | ||||||||
Series 2013-1A, Class A1R2, (3M USD LIBOR + 1.23%, 1.23% Floor), 1.45%, 1/20/29(b)(d) | 489,384 | 487,830 | ||||||
Series 2015-3A, Class A1R, (3M USD | 250,000 | 246,593 |
See accompanying Notes to Financial Statements
47
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par(a)
| Value
| |||||||
Other (Continued) | ||||||||
California Street CLO XII Ltd., Series 2013-12A, Class AR, (3M USD LIBOR + 1.03%), 1.27%, 10/15/25(b)(d) | $ | 84,798 | $ | 84,425 | ||||
Carlyle Global Market Strategies CLO Ltd., Series 2015-3A, Class A1R, (3M USD LIBOR + 1.00%), 1.22%, 7/28/28(b)(d) | 250,000 | 248,281 | ||||||
Series 2014-2RA, Class A1, (3M USD LIBOR + 1.05%), 1.33%, 5/15/31(b)(d) | 729,370 | 717,535 | ||||||
Series 2014-3RA, Class A1A, (3M USD LIBOR + 1.05%), 1.26%, 7/27/31(b)(d) | 247,958 | 244,282 | ||||||
Cerberus Loan Funding XXVIII L.P., Series 2020-1A, Class A, (3M USD LIBOR + 1.85%, 1.85% Floor), 2.06%, 10/15/31(b)(d) | 125,000 | 123,961 | ||||||
CIFC Funding Ltd., Series 2020-2A, Class A1, (3M USD LIBOR + 1.65%, 1.65% Floor), 1.93%, 8/24/32(b)(d) | 250,000 | 245,435 | ||||||
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH4, Class M3A, (1M USD LIBOR + 2.50%, 2.50% Floor), 2.65%, 7/25/37(d) | 500,000 | 506,225 | ||||||
Columbia Cent CLO 29 Ltd., Series 2020-29A, Class A1N, (3M USD LIBOR + 1.70%, 1.70% Floor), 1.92%, 7/20/31(b)(d) | 260,000 | 258,877 | ||||||
Cumberland Park CLO Ltd., Series 2015-2A, Class BR, (3M USD LIBOR + 1.40%), 1.62%, 7/20/28(b)(d) | 350,000 | 342,517 | ||||||
Cutwater Ltd., Series 2014-1A, Class A1AR, (3M USD LIBOR + 1.25%), 1.49%, | 119,596 | 119,409 | ||||||
Dryden XXV Senior Loan Fund, Series 2012-25A, Class ARR, (3M USD LIBOR + 0.90%), 1.14%, 10/15/27(b)(d) | 420,708 | 416,445 |
Par(a)
| Value
| |||||||
Other (Continued) | ||||||||
Elm CLO Ltd., | ||||||||
Series 2014-1A, Class ARR, (3M USD LIBOR + 1.17%), 1.39%, 1/17/29(b)(d) | $ | 250,000 | $ | 248,063 | ||||
Series 2014-1A, Class BRR, (3M USD LIBOR + 1.75%), 1.97%, 1/17/29(b)(d) | 250,000 | 248,462 | ||||||
First Franklin Mortgage Loan Trust, | ||||||||
Series 2003-FF4, Class M1, (1M USD LIBOR + 1.80%, 1.20% Floor), 1.95%, 10/25/33(d) | 395,365 | 396,857 | ||||||
Series 2006-FF13, Class A1, (1M USD LIBOR + 0.12%, 0.12% Floor), 0.27%, 10/25/36(d) | 32,646 | 25,747 | ||||||
Flatiron CLO 17 Ltd., Series 2017-1A, Class A, (3M USD LIBOR + 1.25%), 1.53%, | 300,000 | 298,053 | ||||||
Hildene Community Funding CDO Ltd., Series 2015-1A, Class AR, 11/01/35(b)(e) | 150,000 | 150,001 | ||||||
Home Equity Asset Trust, Series 2006-4, Class 2A4, (1M USD LIBOR + 0.28%, 0.28% Floor), 0.43%, 8/25/36(d) | 708,020 | 697,544 | ||||||
ICG U.S. CLO Ltd., Series 2015-2RA, Class A1, (3M USD LIBOR + 1.37%, 1.37% Floor), 1.60%, 1/16/33(b)(d) | 500,000 | 491,871 | ||||||
JFIN CLO Ltd., Series 2014-1A, Class AR, (3M USD LIBOR + 0.95%), 1.17%, 4/21/25(b)(d) | 68,183 | 68,036 | ||||||
KKR CLO 16 Ltd., | ||||||||
Series 16, Class A2R, (3M USD LIBOR + 1.80%, 1.80% Floor), 2.02%, 1/20/29(b)(d) | 250,000 | 247,168 | ||||||
Series 16, Class A1R, (3M USD LIBOR + 1.25%, 1.25% Floor), 1.47%, 1/20/29(b)(d) | 250,000 | 248,601 | ||||||
KKR CLO Ltd., Series 21, Class A, (3M USD LIBOR + 1.00%), 1.24%, 4/15/31(b)(d) | 250,000 | 244,745 |
See accompanying Notes to Financial Statements
48
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par(a)
| Value
| |||||||
Other (Continued) | ||||||||
LCM Loan Income Fund I Income Note Issuer Ltd., Series 27A, Class A1, (3M USD LIBOR + 1.08%), 1.31%, 7/16/31(b)(d) | $ | 250,000 | $ | 245,990 | ||||
LCM XXIV Ltd., Series 24A, Class A, (3M USD LIBOR + 1.31%, 1.31% Floor), 1.53%, 3/20/30(b)(d) | 750,000 | 745,506 | ||||||
Legacy Mortgage Asset Trust, | ||||||||
Series 2019-SL1, Class A, 4.00%, | 223,417 | 225,518 | ||||||
Series 2019-GS5, Class A1, (Step to 6.20% on 8/25/22), 3.20%, 5/25/59(b)(g) | 865,180 | 873,022 | ||||||
Long Beach Mortgage Loan Trust, Series 2006-6, Class 2A3, (1M USD LIBOR + 0.15%, 0.15% Floor), 0.30%, 7/25/36(d) | 853,840 | 440,148 | ||||||
Madison Park Funding XI Ltd., Series 2013-11A, Class AR, (3M USD LIBOR + 1.16%), 1.37%, 7/23/29(b)(d) | 500,000 | 495,737 | ||||||
Madison Park Funding XIII Ltd., Series 2014-13A, Class AR2, (3M USD LIBOR + 0.95%, 0.95% Floor), 1.17%, 4/19/30(b)(d) | 500,000 | 493,804 | ||||||
Madison Park Funding XVI Ltd., Series 2015-16A, Class A1R, (3M USD LIBOR + 1.33%), 1.55%, 4/20/26(b)(d) | 265,913 | 265,218 | ||||||
Mariner CLO Ltd., Series 2017-4A, Class A, (3M USD LIBOR + 1.21%), 1.42%, | 250,000 | 248,302 | ||||||
Myers Park CLO Ltd., Series 2018-1A, Class B1, (3M USD LIBOR + 1.60%, 1.60% Floor), 1.82%, 10/20/30(b)(d) | 250,000 | 243,588 | ||||||
Oaktree CLO Ltd., Series 2015-1A, Class A1R, (3M USD LIBOR + 0.87%), 1.09%, | 385,631 | 383,525 | ||||||
Ocean Trails CLO IX, Series 2020-9A, Class A1, (3M USD LIBOR + 1.87%, 1.87% Floor), 2.15%, 10/15/29(b)(d) | 490,000 | 484,469 |
Par(a)
| Value
| |||||||
Other (Continued) | ||||||||
OFSI Fund VI Ltd., Series 2014-6A, Class BR, (3M USD LIBOR + 1.50%), 1.74%, | $ | 178,362 | $ | 176,683 | ||||
OHA Credit Funding 7 Ltd., Series 2020-7A, Class A, (3M USD LIBOR + 1.25%, 1.25% Floor), 10/19/32(b)(d)(e) | 150,000 | 150,000 | ||||||
Owl Rock CLO III Ltd., Series 2020-3A, Class A1L, (3M USD LIBOR + 1.80%), 2.07%, 4/20/32(b)(d) | 270,000 | 265,719 | ||||||
Palmer Square CLO Ltd., Series 2018-2A, Class A1A, (3M USD LIBOR + 1.10%), 1.33%, 7/16/31(b)(d) | 500,000 | 493,683 | ||||||
Riserva CLO Ltd., Series 2016-3A, Class AR, (3M USD LIBOR + 1.14%), 1.36%, | 250,000 | 249,160 | ||||||
RR 3 Ltd., Series 2018-3A, Class A1R2, (3M USD LIBOR + 1.09%, 1.09% Floor), 1.33%, 1/15/30(b)(d) | 250,000 | 247,636 | ||||||
SBA Small Business Investment Cos., Series 2019-10A, Class 1, 3.11%, 3/10/29 | 87,801 | 93,186 | ||||||
Silver Rock CLO I Ltd., Series 2020-1A, Class A, (3M USD LIBOR + 1.65%), | 440,000 | 439,954 | ||||||
Sound Point CLO XXIII, Series 2019-2A, Class A1, (3M USD LIBOR + 1.40%, 1.40% Floor), 1.64%, 4/15/32(b)(d) | 250,000 | 248,893 | ||||||
Thacher Park CLO Ltd., Series 2014-1A, Class AR, (3M USD LIBOR + 1.16%), 1.38%, 10/20/26(b)(d) | 83,163 | 83,038 | ||||||
Towd Point Mortgage Trust, Series 2019-SJ2, Class M1, 4.50%, 11/25/58(b) | 500,000 | 519,779 | ||||||
United States Small Business Administration, | ||||||||
Series 2019-20D, Class 1, 2.98%, 4/01/39 | 46,319 | 48,785 | ||||||
Series 2019-25G, Class 1, 2.69%, 7/01/44 | 77,206 | 83,260 |
See accompanying Notes to Financial Statements
49
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par(a)
| Value
| |||||||
Other (Continued) | ||||||||
Venture 31 CLO Ltd., Series 2018-31A, Class A1, (3M USD LIBOR + 1.03%, 1.03% Floor), 1.25%, 4/20/31(b)(d) | $ | 410,000 | $ | 403,519 | ||||
Vericrest Opportunity Loan Trust, Series 2019-NPL2, Class A1, (Step to 6.97% on 3/25/22), 3.97%, 2/25/49(b)(g) | 78,738 | 78,865 | ||||||
Voya CLO Ltd., Series 2018-3A, Class A1A, (3M USD LIBOR + 1.15%, 1.15% Floor), 1.39%, 10/15/31(b)(d) | 290,000 | 287,146 | ||||||
Wellfleet CLO Ltd., Series 2020-2A, Class A, (3M USD LIBOR + 1.85%, 1.85% Floor), 2.05%, 7/15/31(b)(d) | 260,000 | 259,381 | ||||||
Westcott Park CLO Ltd., Series 2016-1A, Class AR, (3M USD LIBOR + 1.21%), 1.43%, 7/20/28(b)(d) | 500,000 | 497,767 | ||||||
Whitebox CLO II Ltd., Series 2020-2A, Class A1, (3M USD LIBOR + 1.75%, 1.75% Floor), 1.99%, 10/24/31(b)(d) | 280,000 | 279,995 | ||||||
York CLO-3 Ltd., Series 2016-1A, Class BR, (3M USD LIBOR + 1.75%), 1.97%, 10/20/29(b)(d) | 500,000 | 491,530 | ||||||
Zais CLO 13 Ltd., Series 2019-13A, Class A1A, (3M USD LIBOR + 1.49%), 1.73%, 7/15/32(b)(d) | 250,000 | 240,387 | ||||||
Zais CLO 5 Ltd., Series 2016-2A, Class A1, (3M USD LIBOR + 1.53%), 1.77%, 10/15/28(b)(d) | 488,192 | 483,831 | ||||||
| 26,066,519
|
| ||||||
| ||||||||
Student Loan – 0.4% | ||||||||
Navient Private Education Refinancing Loan Trust, Series 2019-CA, Class A2, 3.13%, 2/15/68(b) | 510,000 | 524,102 | ||||||
Navient Student Loan Trust, | ||||||||
Series 2017-1A, Class A3, (1M USD LIBOR + 1.15%), 1.30%, 7/26/66(b)(d) | 260,000 | 260,457 |
Par(a)
| Value
| |||||||
Student Loan (Continued) | ||||||||
Navient Student Loan Trust, | ||||||||
Series 2017-2A, Class A, (1M USD LIBOR + 1.05%), 1.20%, 12/27/66(b)(d) | $ | 117,298 | $ | 116,754 | ||||
SLM Student Loan Trust, Series 2006-10, Class A6, (3M USD LIBOR + 0.15%), 0.36%, 3/25/44(d) | 289,564 | 273,777 | ||||||
Sofi Professional Loan Program LLC, Series 2019-A, Class A2FX, 3.69%, 6/15/48(b) | 660,000 | 696,574 | ||||||
Sofi Professional Loan Program Trust, | ||||||||
Series 2018-B, Class A2FX, 3.34%, | 239,474 | 245,970 | ||||||
Series 2018-D, Class A2FX, 3.60%, | 200,000 | 208,291 | ||||||
| 2,325,925
|
| ||||||
| ||||||||
Whole Loan – 1.6% | ||||||||
Adjustable Rate Mortgage Trust, Series 2005-9, Class 5A1, (1M USD LIBOR + 0.54%, 0.27% Floor, 11.00% Cap), 0.69%, 11/25/35(d) | 287,890 | 284,264 | ||||||
CSMC, Series 2019-NQM1, Class A2, (Step to 3.86% on 12/25/23), 2.86%, 10/25/59(b)(g) | 568,391 | 579,634 | ||||||
CSMC Trust, Series 2019-RPL8, Class A1, 3.32%, 10/25/58(b)(c) | 545,580 | 549,682 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2014-DN3, Class M3, (1M USD LIBOR + 4.00%), 4.15%, 8/25/24(d) | 116,011 | 116,886 | ||||||
FNMA Connecticut Avenue Securities, | ||||||||
Series 2014-C04, Class 1M2, (1M USD LIBOR + 4.90%), 5.05%, 11/25/24(d) | 172,836 | 179,118 | ||||||
Series 2016-C02, Class 1M2, (1M USD LIBOR + 6.00%), 6.15%, 9/25/28(d) | 362,451 | 381,368 | ||||||
Series 2016-C03, Class 1M2, (1M USD LIBOR + 5.30%), 5.45%, 10/25/28(d) | 322,997 | 340,841 |
See accompanying Notes to Financial Statements
50
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par(a)
| Value
| |||||||
Whole Loan (Continued) | ||||||||
FNMA Connecticut Avenue Securities, | ||||||||
Series 2016-C04, Class 1M2, (1M USD LIBOR + 4.25%), 4.40%, 1/25/29(d) | $ | 178,733 | $ | 184,729 | ||||
GSR Mortgage Loan Trust, Series 2007-1F, Class 2A4, 5.50%, 1/25/37 | 421,588 | 474,587 | ||||||
Impac CMB Trust, Series 2007-A, Class A, (1M USD LIBOR + 0.50%, 0.25% Floor, 11.50% Cap), 0.65%, 5/25/37(b)(d) | 309,253 | 303,177 | ||||||
MASTR Asset Securitization Trust, | ||||||||
Series 2007-1, Class 1A4, 6.50%, 11/25/37 | 725,618 | 388,136 | ||||||
Series 2007-2, Class A2, 6.25%, 1/25/38 | 476,439 | 367,558 | ||||||
MCM Trust, | ||||||||
Series 2018-NPL2, Class A, (Step to 7.00% on 1/25/22), 4.00%, 10/25/28(b)(g) | 63,162 | 62,373 | ||||||
Series 2018-NPL2, Class B, 7.12%, 10/25/28(b)(h) | 511,405 | 227,929 | ||||||
Merrill Lynch Mortgage Investors Trust, Series 2004-A1, Class 2A2, 3.14%, 2/25/34(c) | 372,166 | 373,315 | ||||||
Morgan Stanley Resecuritization Trust, Series 2015-R2, Class 2A1, (12MTA + 1.09%, 1.09% Floor), 3.06%, 12/26/46(b)(d) | 224,005 | 224,410 | ||||||
New Residential Mortgage Loan Trust, | ||||||||
Series 2018-RPL1, Class M2, 3.50%, 12/25/57(b) | 280,000 | 288,575 | ||||||
Series 2018-3A, Class A1, 4.50%, 5/25/58(b)(c) | 1,083,450 | 1,171,083 | ||||||
Series 2019-NQM4, Class A1, 2.49%, 9/25/59(b) | 430,331 | 437,445 | ||||||
Series 2019-6A, Class A1B, 3.50%, 9/25/59(b)(c) | 548,871 | 578,907 | ||||||
Residential Mortgage Loan Trust, | ||||||||
Series 2019-2, Class A1, 2.91%, 5/25/59(b) | 423,734 | 431,274 | ||||||
Series 2020-2, Class A1, 1.66%, 5/25/60(b) | 586,963 | 590,657 |
Par(a)
| Value
| |||||||
Whole Loan (Continued) | ||||||||
Thornburg Mortgage Securities Trust, Series 2004-2, Class A4, (1M USD LIBOR + 0.68%, 0.34% Floor, 11.50% Cap), 0.83%, 6/25/44(d) | $ | 519,223 | $ | 505,115 | ||||
Voyager OPTONE Delaware Trust, Series 2009-1, Class SAA7, 3.96%, 2/25/38(b)(c) | 196,395 | 67,053 | ||||||
WaMu Mortgage Pass-Through Certificates, Series 2006-AR13, Class 1A, (12MTA + 0.88%, 0.88% Floor), 1.76%, 10/25/46(d) | 389,964 | 352,893 | ||||||
| 9,461,009
|
| ||||||
| ||||||||
Total Asset-Backed Securities
|
| 58,349,535
|
| |||||
| ||||||||
Corporate Bonds – 27.4% | ||||||||
Advertising – 0.0%(i) | ||||||||
Lamar Media Corp., | ||||||||
5.75%, 2/01/26 | 29,000 | 30,006 | ||||||
3.75%, 2/15/28 | 5,000 | 4,980 | ||||||
Omnicom Group, Inc., 2.45%, 4/30/30 | 62,000 | 63,431 | ||||||
Outfront Media Capital LLC/Outfront Media Capital Corp., | ||||||||
5.00%, 8/15/27(b) | 56,000 | 53,061 | ||||||
4.63%, 3/15/30(b) | 5,000 | 4,594 | ||||||
| 156,072
|
| ||||||
| ||||||||
Aerospace/Defense – 1.4% | ||||||||
Boeing (The) Co., | ||||||||
4.51%, 5/01/23 | 50,000 | 52,968 | ||||||
4.87%, 5/01/25 | 431,000 | 468,687 | ||||||
3.10%, 5/01/26 | 40,000 | 40,546 | ||||||
2.70%, 2/01/27 | 30,000 | 29,199 | ||||||
2.80%, 3/01/27 | 40,000 | 38,957 | ||||||
3.20%, 3/01/29 | 130,000 | 127,183 | ||||||
5.15%, 5/01/30 | 170,000 | 187,872 | ||||||
3.25%, 2/01/35 | 290,000 | 269,383 | ||||||
5.70%, 5/01/40 | 140,000 | 162,395 | ||||||
3.75%, 2/01/50 | 50,000 | 44,711 | ||||||
5.80%, 5/01/50 | 330,000 | 388,644 | ||||||
5.93%, 5/01/60 | 210,000 | 248,992 | ||||||
General Dynamics Corp., | ||||||||
3.75%, 5/15/28 | 34,000 | 39,568 | ||||||
3.63%, 4/01/30 | 171,000 | 203,016 | ||||||
4.25%, 4/01/40 | 10,000 | 12,705 | ||||||
4.25%, 4/01/50 | 382,000 | 496,303 |
See accompanying Notes to Financial Statements
51
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par(a)
| Value
| |||||||||||
Aerospace/Defense (Continued) |
| |||||||||||
L3Harris Technologies, Inc., | ||||||||||||
3.95%, 5/28/24 | $ | 115,000 | $ | 126,022 | ||||||||
3.85%, 12/15/26 | 145,000 | 164,972 | ||||||||||
4.40%, 6/15/28 | 377,000 | 445,227 | ||||||||||
5.05%, 4/27/45 | 20,000 | 26,625 | ||||||||||
Lockheed Martin Corp., | ||||||||||||
3.55%, 1/15/26 | 120,000 | 135,663 | ||||||||||
3.60%, 3/01/35 | 222,000 | 264,147 | ||||||||||
6.15%, 9/01/36 | 22,000 | 32,253 | ||||||||||
3.80%, 3/01/45 | 63,000 | 75,184 | ||||||||||
4.70%, 5/15/46 | 12,000 | 16,183 | ||||||||||
2.80%, 6/15/50 | 135,000 | 139,514 | ||||||||||
Northrop Grumman Corp., | ||||||||||||
2.93%, 1/15/25 | 149,000 | 161,317 | ||||||||||
3.25%, 1/15/28 | 844,000 | 943,104 | ||||||||||
4.03%, 10/15/47 | 88,000 | 106,066 | ||||||||||
5.25%, 5/01/50 | 550,000 | 789,989 | ||||||||||
Raytheon Technologies Corp., | ||||||||||||
3.65%, 8/16/23 | 8,000 | 8,643 | ||||||||||
3.15%, 12/15/24(b) | 105,000 | 113,534 | ||||||||||
7.20%, 8/15/27(b) | 26,000 | 34,735 | ||||||||||
7.00%, 11/01/28(b) | 90,000 | 123,297 | ||||||||||
4.13%, 11/16/28 | 122,000 | 143,064 | ||||||||||
7.50%, 9/15/29 | 15,000 | 21,455 | ||||||||||
2.15%, 5/18/30 | EUR | 130,000 | 170,697 | |||||||||
2.25%, 7/01/30 | 417,000 | 434,993 | ||||||||||
5.40%, 5/01/35 | 22,000 | 29,595 | ||||||||||
4.50%, 6/01/42 | 30,000 | 37,606 | ||||||||||
4.20%, 12/15/44(b) | 35,000 | 39,157 | ||||||||||
4.15%, 5/15/45 | 191,000 | 227,951 | ||||||||||
4.63%, 11/16/48 | 62,000 | 80,937 | ||||||||||
3.13%, 7/01/50 | 190,000 | 200,770 | ||||||||||
TransDigm, Inc., | ||||||||||||
8.00%, 12/15/25(b) | 140,000 | 151,592 | ||||||||||
6.25%, 3/15/26(b) | 346,000 | 360,702 | ||||||||||
| 8,416,123
|
| ||||||||||
| ||||||||||||
Agriculture – 0.6% | ||||||||||||
Altria Group, Inc., | ||||||||||||
3.49%, 2/14/22 | 100,000 | 103,803 | ||||||||||
2.85%, 8/09/22 | 70,000 | 72,872 | ||||||||||
4.00%, 1/31/24 | 80,000 | 87,690 | ||||||||||
3.80%, 2/14/24 | 40,000 | 43,527 | ||||||||||
2.35%, 5/06/25 | 30,000 | 31,638 | ||||||||||
4.40%, 2/14/26 | 533,000 | 613,330 | ||||||||||
4.80%, 2/14/29 | 458,000 | 537,937 | ||||||||||
3.12%, 6/15/31 | EUR | 105,000 | 143,116 | |||||||||
5.80%, 2/14/39 | 313,000 | 398,554 | ||||||||||
5.95%, 2/14/49 | 285,000 | 378,202 | ||||||||||
6.20%, 2/14/59 | 60,000 | 81,305 |
Par(a)
| Value
| |||||||||||
Agriculture (Continued) | ||||||||||||
Cargill, Inc., 1.38%, 7/23/23(b) | $ | 110,000 | $ | 112,520 | ||||||||
Darling Ingredients, Inc., 5.25%, 4/15/27(b) | 23,000 | 24,380 | ||||||||||
Philip Morris International, Inc., | ||||||||||||
2.50%, 8/22/22 | 330,000 | 342,921 | ||||||||||
1.13%, 5/01/23 | 70,000 | 71,229 | ||||||||||
2.10%, 5/01/30 | 70,000 | 71,499 | ||||||||||
1.45%, 8/01/39 | EUR | 200,000 | 233,389 | |||||||||
4.50%, 3/20/42 | 60,000 | 73,745 | ||||||||||
| 3,421,657
|
| ||||||||||
| ||||||||||||
Airlines – 0.3% | ||||||||||||
Alaska Airlines Pass Through Trust, Series 2020-1, Class A, 4.80%, 8/15/27(b) | 305,000 | 317,200 | ||||||||||
American Airlines Pass Through Trust, | ||||||||||||
Series 2015-2, Class B, 4.40%, 9/22/23 | 17,973 | 12,440 | ||||||||||
Series 2016-1, Class B, 5.25%, 1/15/24 | 108,273 | 70,836 | ||||||||||
Series 2017-1, Class B, 4.95%, 2/15/25 | 15,323 | 10,623 | ||||||||||
Series 2016-3, Class B, 3.75%, 10/15/25 | 1,470 | 1,027 | ||||||||||
Series 2015-2, Class AA, 3.60%, 9/22/27 |
| 14,163 | 13,649 | |||||||||
Series 2016-1, Class AA, 3.58%, 1/15/28 | 80,937 | 77,285 | ||||||||||
Series 2019-1, Class B, 3.85%, 2/15/28 | 75,194 | 47,084 | ||||||||||
Series 2016-2, Class AA, 3.20%, 6/15/28 | 24,960 | 23,006 | ||||||||||
Series 2016-3, Class AA, 3.00%, 10/15/28 |
| 39,449 | 36,543 | |||||||||
Series 2017-1, Class AA, 3.65%, 2/15/29 |
| 21,548 | 20,326 | |||||||||
Series 2019-1, Class AA, 3.15%, 2/15/32 |
| 72,392 | 66,365 | |||||||||
Delta Air Lines Pass Through Trust, Series 2019-1, Class AA, 3.20%, 4/25/24 | 164,000 | 163,327 | ||||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd., | ||||||||||||
4.50%, 10/20/25(b) | 220,000 | 223,288 | ||||||||||
4.75%, 10/20/28(b) | 210,000 | 214,664 | ||||||||||
JetBlue Pass Through Trust, Series 2020-1, Class A, 4.00%, 11/15/32 | 145,000 | 148,824 |
See accompanying Notes to Financial Statements
52
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par(a)
| Value
| |||||||||||
Airlines (Continued) | ||||||||||||
United Airlines Pass Through Trust, | ||||||||||||
Series 2014-2, Class B, 4.62%, 9/03/22 | $ | 4,818 | $ | 4,586 | ||||||||
Series 2016-2, Class B, 3.65%, 10/07/25 | 2,972 | 2,292 | ||||||||||
Series 2016-1, Class B, 3.65%, 1/07/26 | 9,431 | 7,566 | ||||||||||
Series 2014-1, Class A, 4.00%, 4/11/26 | 97,529 | 93,596 | ||||||||||
Series 2020-1, Class A, 5.87%, 10/15/27 | 135,000 | 134,831 | ||||||||||
Series 2015-1, Class AA, 3.45%, 12/01/27 | 807 | 781 | ||||||||||
Series 2019-2, Class B, 3.50%, 5/01/28 | 58,315 | 46,698 | ||||||||||
Series 2016-1, Class AA, 3.10%, 7/07/28 | 2,525 | 2,424 | ||||||||||
Series 2016-2, Class AA, 2.88%, 10/07/28 | 18,511 | 17,495 | ||||||||||
Series 2018-1, Class AA, 3.50%, 3/01/30 | 16,348 | 15,618 | ||||||||||
Series 2019-2, Class AA, 2.70%, 5/01/32 | 59,114 | 55,342 | ||||||||||
| 1,827,716
|
| ||||||||||
| ||||||||||||
Apparel – 0.2% | ||||||||||||
Hanesbrands, Inc., | ||||||||||||
4.63%, 5/15/24(b) | 39,000 | 40,620 | ||||||||||
4.87%, 5/15/26(b) | 8,000 | 8,600 | ||||||||||
NIKE, Inc., | ||||||||||||
2.40%, 3/27/25 | 60,000 | 64,434 | ||||||||||
2.75%, 3/27/27 | 396,000 | 436,097 | ||||||||||
2.85%, 3/27/30 | 100,000 | 111,948 | ||||||||||
3.25%, 3/27/40 | 70,000 | 79,067 | ||||||||||
3.38%, 3/27/50 | 240,000 | 275,976 | ||||||||||
Under Armour, Inc., 3.25%, 6/15/26 | 5,000 | 4,831 | ||||||||||
William Carter (The) Co., 5.62%, 3/15/27(b) | 23,000 | 24,136 | ||||||||||
| 1,045,709
|
| ||||||||||
| ||||||||||||
Auto Manufacturers – 0.4% | ||||||||||||
General Motors Co., | ||||||||||||
4.87%, 10/02/23 | 210,000 | 229,174 | ||||||||||
5.95%, 4/01/49 | 70,000 | 85,472 | ||||||||||
General Motors Financial Co., Inc., | ||||||||||||
5.20%, 3/20/23 | 349,000 | 378,707 | ||||||||||
3.70%, 5/09/23 | 68,000 | 71,456 | ||||||||||
5.10%, 1/17/24 | 169,000 | 185,533 | ||||||||||
3.50%, 11/07/24 | 32,000 | 33,875 | ||||||||||
4.00%, 1/15/25 | 185,000 | 198,444 | ||||||||||
2.90%, 2/26/25 | 84,000 | 87,239 |
Par(a)
| Value
| |||||||||||
Auto Manufacturers (Continued) |
| |||||||||||
General Motors Financial Co., Inc., | ||||||||||||
2.75%, 6/20/25 | $ | 47,000 | $ | 48,513 | ||||||||
0.85%, 2/26/26 | EUR | 210,000 | 234,318 | |||||||||
Hyundai Capital America, |
| |||||||||||
3.95%, 2/01/22(b) | 247,000 | 255,963 | ||||||||||
2.38%, 2/10/23(b) | 245,000 | 251,899 | ||||||||||
Toyota Motor Credit Corp., |
| |||||||||||
2.15%, 2/13/30 | 100,000 | 105,014 | ||||||||||
| 2,165,607
|
| ||||||||||
| ||||||||||||
Auto Parts & Equipment – 0.0%(i) |
| |||||||||||
American Axle & Manufacturing, Inc., 6.25%, 4/01/25
|
| 27,000
|
|
| 27,363
|
| ||||||
| ||||||||||||
Banks – 5.8% | ||||||||||||
Bank of America Corp., | ||||||||||||
(3M USD LIBOR + 0.37%), 2.74%, |
| 281,000 | 282,463 | |||||||||
(3M USD LIBOR + 0.63%), 3.50%, |
| 50,000 | 50,824 | |||||||||
3.30%, 1/11/23 | 270,000 | 286,247 | ||||||||||
(3M USD LIBOR + 1.02%), 2.88%, |
| 10,000 | 10,329 | |||||||||
(3M USD LIBOR + 0.79%), 3.00%, |
| 141,000 | 147,814 | |||||||||
(3M USD LIBOR + 0.94%), 3.86%, |
| 195,000 | 211,242 | |||||||||
4.20%, 8/26/24 | 60,000 | 66,862 | ||||||||||
3.95%, 4/21/25 | 160,000 | 178,593 | ||||||||||
(3M USD LIBOR + 0.87%), |
| 206,000 | 217,567 | |||||||||
4.45%, 3/03/26 | 176,000 | 202,488 | ||||||||||
(SOFR + 1.15%), 1.32%, 6/19/26(j) |
| 70,000 | 70,351 | |||||||||
4.25%, 10/22/26 | 340,000 | 393,300 | ||||||||||
(3M USD LIBOR + 1.06%), |
| 156,000 | 173,932 | |||||||||
(3M USD LIBOR + 1.58%), 3.82%, 1/20/28(j) | 294,000 | 332,067 | ||||||||||
(3M USD LIBOR + 2.93%), 5.87%, 3/15/28(j)(k) | 131,000 | 140,989 | ||||||||||
(3M USD LIBOR + 1.51%), 3.71%, 4/24/28(j) | 391,000 | 439,362 | ||||||||||
(3M USD LIBOR + 1.37%), 3.59%, 7/21/28(j) | 239,000 | 267,195 | ||||||||||
(3M USD LIBOR + 1.04%), 3.42%, 12/20/28(j) | 911,000 | 1,012,048 | ||||||||||
(3M USD LIBOR + 1.07%), | 266,000 | 305,524 | ||||||||||
(3M USD LIBOR + 1.21%), | 960,000 | 1,108,061 | ||||||||||
(3M USD LIBOR + 1.18%), 3.19%, 7/23/30(j) | 103,000 | 113,122 |
See accompanying Notes to Financial Statements
53
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par(a)
| Value
| |||||||
Banks (Continued) | ||||||||
Bank of America Corp., | ||||||||
(3M USD LIBOR + 1.19%), 2.88%, 10/22/30(j) | $ | 21,000 | $ | 22,571 | ||||
(SOFR + 2.15%), 2.59%, 4/29/31(j) | 467,000 | 487,655 | ||||||
(3M USD LIBOR + 1.32%), 4.08%, 4/23/40(j) | 27,000 | 32,462 | ||||||
(SOFR + 1.93%), 2.68%, 6/19/41(j) | 265,000 | 267,555 | ||||||
5.00%, 1/21/44 | 170,000 | 232,019 | ||||||
(3M USD LIBOR + 1.52%), 4.33%, 3/15/50(j) | 30,000 | 37,932 | ||||||
(3M USD LIBOR + 3.15%), 4.08%, 3/20/51(j) | 450,000 | 548,895 | ||||||
Bank of New York Mellon (The) Corp., 1.60%, 4/24/25 | 60,000 | 62,098 | ||||||
(3M USD LIBOR + 3.13%), 4.63%, 9/20/26(j)(k) | 136,000 | 141,100 | ||||||
(3M USD LIBOR + 1.07%), 3.44%, 2/07/28(j) | 89,000 | 101,066 | ||||||
Citigroup, Inc., | ||||||||
(SOFR + 1.67%), 1.68%, 5/15/24(j) | 120,000 | 122,896 | ||||||
4.40%, 6/10/25 | 196,000 | 221,781 | ||||||
5.50%, 9/13/25 | 120,000 | 142,254 | ||||||
(SOFR + 2.75%), 3.11%, 4/08/26(j) | 80,000 | 86,119 | ||||||
3.40%, 5/01/26 | 135,000 | 150,079 | ||||||
(3M USD LIBOR + 1.39%), 3.67%, 7/24/28(j) | 381,000 | 426,787 | ||||||
(3M USD LIBOR + 1.15%), 3.52%, 10/27/28(j) | 390,000 | 433,316 | ||||||
(3M USD LIBOR + 1.19%), 4.08%, 4/23/29(j) | 368,000 | 423,234 | ||||||
(3M USD LIBOR + 1.34%), 3.98%, 3/20/30(j) | 550,000 | 630,919 | ||||||
(SOFR + 1.42%), 2.98%, 11/05/30(j) | 361,000 | 388,121 | ||||||
(SOFR + 1.15%), 2.67%, 1/29/31(j) | 101,000 | 105,971 | ||||||
(SOFR + 3.91%), 4.41%, 3/31/31(j) | 319,000 | 378,765 | ||||||
(SOFR + 2.11%), 2.57%, 6/03/31(j) | 458,000 | 477,278 | ||||||
8.12%, 7/15/39 | 580,000 | 1,007,081 | ||||||
4.65%, 7/23/48 | 30,000 | 38,886 | ||||||
Citizens Financial Group, Inc., 3.25%, 4/30/30 | 58,000 | 63,285 | ||||||
Goldman Sachs Group (The), Inc., | ||||||||
(3M USD LIBOR + 0.82%), 2.88%, | 230,000 | 235,450 | ||||||
3.20%, 2/23/23 | 40,000 | 42,328 |
Par(a)
| Value
| |||||||
Banks (Continued) | ||||||||
Goldman Sachs Group (The), Inc., | ||||||||
3.63%, 2/20/24 | $ | 120,000 | $ | 130,338 | ||||
3.85%, 7/08/24 | 30,000 | 32,879 | ||||||
3.50%, 1/23/25 | 217,000 | 237,211 | ||||||
3.50%, 4/01/25 | 706,000 | 777,903 | ||||||
3.50%, 11/16/26 | 40,000 | 44,286 | ||||||
3.85%, 1/26/27 | 213,000 | 239,707 | ||||||
(3M USD LIBOR + 1.51%), 3.69%, 6/05/28(j) | 484,000 | 545,740 | ||||||
(3M USD LIBOR + 1.30%), 4.22%, 5/01/29(j) | 1,530,000 | 1,785,317 | ||||||
5.15%, 5/22/45 | 110,000 | 146,391 | ||||||
4.75%, 10/21/45 | 460,000 | 605,303 | ||||||
JPMorgan Chase & Co., (SOFR + 1.46%), 1.51%, 6/01/24(j) | 310,000 | 316,722 | ||||||
(3M USD LIBOR + 1.00%), 4.02%, 12/05/24(j) | 1,156,000 | 1,273,280 | ||||||
(3M USD LIBOR + 1.16%), 3.22%, 3/01/25(j) | 40,000 | 43,061 | ||||||
3.90%, 7/15/25 | 112,000 | 126,670 | ||||||
(SOFR + 1.59%), 2.01%, 3/13/26(j) | 423,000 | 438,485 | ||||||
(SOFR + 1.85%), 2.08%, 4/22/26(j) | 360,000 | 376,438 | ||||||
2.95%, 10/01/26 | 95,000 | 104,681 | ||||||
(3M USD LIBOR + 1.25%), 3.96%, 1/29/27(j) | 464,000 | 528,709 | ||||||
(3M USD LIBOR + 1.34%), 3.78%, 2/01/28(j) | 636,000 | 722,787 | ||||||
(3M USD LIBOR + 1.38%), 3.54%, 5/01/28(j) | 387,000 | 434,548 | ||||||
(SOFR + 1.89%), 2.18%, 6/01/28(j) | 181,000 | 188,752 | ||||||
(3M USD LIBOR + 1.12%), 4.01%, 4/23/29(j) | 52,000 | 60,338 | ||||||
(3M USD LIBOR + 1.33%), 4.45%, 12/05/29(j) | 961,000 | 1,149,932 | ||||||
(SOFR + 3.79%), 4.49%, 3/24/31(j) | 42,000 | 50,805 | ||||||
(SOFR + 2.04%), 2.52%, 4/22/31(j) | 310,000 | 325,828 | ||||||
4.95%, 6/01/45 | 220,000 | 294,715 | ||||||
(SOFR + 2.44%), 3.11%, 4/22/51(j) | 240,000 | 253,532 | ||||||
KeyCorp, | ||||||||
4.15%, 10/29/25 | 18,000 | 20,690 | ||||||
4.10%, 4/30/28 | 2,000 | 2,333 | ||||||
Morgan Stanley, | ||||||||
3.88%, 4/29/24 | 273,000 | 301,702 | ||||||
3.70%, 10/23/24 | 41,000 | 45,563 | ||||||
(SOFR + 1.15%), 2.72%, 7/22/25(j) | 130,000 | 138,443 |
See accompanying Notes to Financial Statements
54
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par(a)
| Value
| |||||||
Banks (Continued) | ||||||||
Morgan Stanley, | ||||||||
3.88%, 1/27/26 | $ | 274,000 | $ | 311,436 | ||||
(SOFR + 1.99%), 2.19%, 4/28/26(j) | 688,000 | 720,626 | ||||||
3.63%, 1/20/27 | 543,000 | 616,781 | ||||||
(3M USD LIBOR + 1.34%), 3.59%, 7/22/28(j) | 23,000 | 25,875 | ||||||
(3M USD LIBOR + 1.14%), 3.77%, 1/24/29(j) | 258,000 | 293,914 | ||||||
(3M USD LIBOR + 1.63%), 4.43%, 1/23/30(j) | 416,000 | 498,507 | ||||||
(SOFR + 1.14%), 2.70%, 1/22/31(j) | 410,000 | 436,965 | ||||||
(SOFR + 3.12%), 3.62%, 4/01/31(j) | 457,000 | 523,088 | ||||||
(SOFR + 4.84%), 5.60%, 3/24/51(j) | 40,000 | 60,547 | ||||||
National Securities Clearing Corp., 1.20%, 4/23/23(b) | 250,000 | 254,766 | ||||||
Northern Trust Corp., 1.95%, 5/01/30 | 43,000 | 44,331 | ||||||
State Street Corp., | ||||||||
(3M USD LIBOR + 2.54%), 5.62%, | 292,000 | 298,739 | ||||||
2.65%, 5/19/26 | 18,000 | 19,645 | ||||||
(SOFR + 2.65%), 3.15%, 3/30/31(b)(j) | 3,000 | 3,399 | ||||||
U.S. Bancorp, 1.45%, 5/12/25 | 250,000 | 257,655 | ||||||
Wells Fargo & Co., | ||||||||
3.75%, 1/24/24 | 160,000 | 173,690 | ||||||
3.55%, 9/29/25 | 148,000 | 164,733 | ||||||
(3M USD LIBOR + 0.83%), 2.41%, | 56,000 | 59,070 | ||||||
(3M USD LIBOR + 0.75%), 2.16%, 2/11/26(j) | 61,000 | 63,379 | ||||||
3.00%, 4/22/26 | 212,000 | 230,913 | ||||||
(SOFR + 2.00%), 2.19%, 4/30/26(j) | 200,000 | 207,939 | ||||||
3.00%, 10/23/26 | 81,000 | 88,410 | ||||||
4.30%, 7/22/27 | 270,000 | 309,921 | ||||||
(3M USD LIBOR + 1.31%), 3.58%, | 424,000 | 470,712 | ||||||
(SOFR + 2.10%), 2.39%, 6/02/28(j) | 363,000 | 377,271 | ||||||
4.15%, 1/24/29 | 820,000 | 955,344 | ||||||
(3M USD LIBOR + 1.17%), 2.88%, | 399,000 | 424,658 | ||||||
(3M USD LIBOR + 3.77%), 4.48%, | 300,000 | 359,873 | ||||||
(SOFR + 2.53%), 3.07%, 4/30/41(j) | 310,000 | 320,733 | ||||||
4.40%, 6/14/46 | 40,000 | 47,087 |
Par(a)
| Value
| |||||||
Banks (Continued) | ||||||||
Wells Fargo & Co., 4.75%, 12/07/46 | $ | 370,000 | $ | 455,318 | ||||
(3M USD LIBOR + 4.24%), 5.01%, 4/04/51(j) | 1,000,000 | 1,352,884 | ||||||
| 35,489,581
|
| ||||||
| ||||||||
Beverages – 0.2% | ||||||||
Coca-Cola (The) Co., 2.95%, 3/25/25 | 40,000 | 43,962 | ||||||
3.38%, 3/25/27 | 280,000 | 319,669 | ||||||
1.45%, 6/01/27 | 120,000 | 123,147 | ||||||
2.50%, 6/01/40 | 127,000 | 133,795 | ||||||
2.60%, 6/01/50 | 80,000 | 80,216 | ||||||
2.50%, 3/15/51 | 60,000 | 59,131 | ||||||
2.75%, 6/01/60 | 115,000 | 115,392 | ||||||
Keurig Dr. Pepper, Inc., 3.20%, 5/01/30 | 105,000 | 117,117 | ||||||
PepsiCo, Inc., | ||||||||
0.75%, 5/01/23 | 120,000 | 121,203 | ||||||
2.25%, 3/19/25 | 10,000 | 10,655 | ||||||
2.63%, 3/19/27 | 10,000 | 10,954 | ||||||
1.63%, 5/01/30 | 110,000 | 112,132 | ||||||
3.37%, 7/29/49 | 38,000 | 43,732 | ||||||
2.88%, 10/15/49 | 40,000 | 42,782 | ||||||
3.62%, 3/19/50 | 20,000 | 24,177 | ||||||
3.87%, 3/19/60 | 30,000 | 37,656 | ||||||
| 1,395,720
|
| ||||||
| ||||||||
Biotechnology – 0.2% | ||||||||
Amgen, Inc., | ||||||||
2.45%, 2/21/30 | 71,000 | 74,836 | ||||||
4.40%, 5/01/45 | 201,000 | 245,281 | ||||||
Baxalta, Inc., 5.25%, 6/23/45 | 9,000 | 11,992 | ||||||
Biogen, Inc., 2.25%, 5/01/30 | 139,000 | 140,069 | ||||||
Gilead Sciences, Inc., | ||||||||
1.20%, 10/01/27 | 25,000 | 24,874 | ||||||
4.80%, 4/01/44 | 25,000 | 31,775 | ||||||
4.50%, 2/01/45 | 77,000 | 95,124 | ||||||
4.75%, 3/01/46 | 207,000 | 262,975 | ||||||
| 886,926
|
| ||||||
| ||||||||
Building Materials – 0.2% | ||||||||
Carrier Global Corp., | ||||||||
1.92%, 2/15/23(b) | 186,000 | 191,517 | ||||||
2.24%, 2/15/25(b) | 545,000 | 568,373 | ||||||
2.49%, 2/15/27(b) | 20,000 | 21,012 | ||||||
2.72%, 2/15/30(b) | 170,000 | 177,432 | ||||||
2.70%, 2/15/31(b) | 50,000 | 52,421 | ||||||
3.38%, 4/05/40(b) | 160,000 | 169,121 | ||||||
3.58%, 4/05/50(b) | 60,000 | 64,790 |
See accompanying Notes to Financial Statements
55
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par(a)
| Value
| |||||||
Building Materials (Continued) | ||||||||
Johnson Controls International PLC, 4.63%, 7/02/44 | $ | 20,000 | $ | 24,516 | ||||
Masonite International Corp., 5.38%, 2/01/28(b) | 23,000 | 24,380 | ||||||
Owens Corning, 3.95%, 8/15/29 | 16,000 | 17,921 | ||||||
Standard Industries, Inc., | ||||||||
5.00%, 2/15/27(b) | 23,000 | 23,719 | ||||||
4.75%, 1/15/28(b) | 9,000 | 9,405 | ||||||
U.S. Concrete, Inc., 6.37%, 6/01/24 | 6,000 | 6,150 | ||||||
| 1,350,757
|
| ||||||
| ||||||||
Chemicals – 0.2% | ||||||||
Dow Chemical (The) Co., | ||||||||
4.55%, 11/30/25 | 26,000 | 30,103 | ||||||
3.63%, 5/15/26 | 93,000 | 103,737 | ||||||
DuPont de Nemours, Inc., 4.49%, 11/15/25 | 214,000 | 247,030 | ||||||
Eastman Chemical Co., 4.50%, 12/01/28 | 16,000 | 18,670 | ||||||
Ecolab, Inc., 4.80%, 3/24/30 | 105,000 | 133,304 | ||||||
LYB International Finance III LLC, 4.20%, 5/01/50 | 48,000 | 52,318 | ||||||
RPM International, Inc., 4.25%, 1/15/48 | 3,000 | 3,126 | ||||||
Sherwin-Williams (The) Co., | ||||||||
4.20%, 1/15/22 | 205,000 | 212,319 | ||||||
2.30%, 5/15/30 | 101,000 | 104,986 | ||||||
4.00%, 12/15/42 | 18,000 | 19,930 | ||||||
| 925,523
|
| ||||||
| ||||||||
Commercial Services – 0.2% | ||||||||
Cintas Corp. No. 2, | ||||||||
2.90%, 4/01/22 | 20,000 | 20,691 | ||||||
3.70%, 4/01/27 | 20,000 | 22,837 | ||||||
Claremont Mckenna College, 3.38%, 1/01/50 | 15,000 | 16,259 | ||||||
Global Payments, Inc., | ||||||||
4.80%, 4/01/26 | 189,000 | 220,810 | ||||||
4.45%, 6/01/28 | 45,000 | 52,214 | ||||||
3.20%, 8/15/29 | 95,000 | 102,812 | ||||||
Herc Holdings, Inc., 5.50%, 7/15/27(b) | 50,000 | 51,381 | ||||||
Moody’s Corp., | ||||||||
4.87%, 2/15/24 | 78,000 | 87,989 | ||||||
3.25%, 1/15/28 | 50,000 | 56,635 | ||||||
Nielsen (The) Co. Luxembourg S.a.r.l., 5.00%, 2/01/25(b) | 20,000 | 20,544 |
Par(a)
| Value
| |||||||
Commercial Services (Continued) | ||||||||
PayPal Holdings, Inc., | ||||||||
1.35%, 6/01/23 | $ | 90,000 | $ | 91,922 | ||||
2.40%, 10/01/24 | 35,000 | 37,146 | ||||||
1.65%, 6/01/25 | 155,000 | 160,148 | ||||||
United Rentals North America, Inc., | ||||||||
5.87%, 9/15/26 | 44,000 | 46,304 | ||||||
5.50%, 5/15/27 | 44,000 | 46,777 | ||||||
3.88%, 11/15/27 | 7,000 | 7,254 | ||||||
4.88%, 1/15/28 | 71,000 | 74,550 | ||||||
5.25%, 1/15/30 | 7,000 | 7,586 | ||||||
| 1,123,859
|
| ||||||
| ||||||||
Computers – 0.5% | ||||||||
Apple, Inc., | ||||||||
1.13%, 5/11/25 | 260,000 | 264,928 | ||||||
2.45%, 8/04/26 | 100,000 | 108,481 | ||||||
2.90%, 9/12/27 | 250,000 | 278,572 | ||||||
3.85%, 5/04/43 | 231,000 | 283,425 | ||||||
3.75%, 11/13/47 | 33,000 | 39,913 | ||||||
2.55%, 8/20/60 | 90,000 | 86,686 | ||||||
Dell International LLC/EMC Corp., | ||||||||
4.90%, 10/01/26(b) | 36,000 | 40,995 | ||||||
6.10%, 7/15/27(b) | 92,000 | 109,417 | ||||||
8.10%, 7/15/36(b) | 80,000 | 108,060 | ||||||
DXC Technology Co., | ||||||||
4.00%, 4/15/23 | 117,000 | 123,916 | ||||||
4.13%, 4/15/25 | 20,000 | 21,534 | ||||||
Hewlett Packard Enterprise Co., | ||||||||
4.40%, 10/15/22 | 30,000 | 31,967 | ||||||
4.65%, 10/01/24 | 239,000 | 269,764 | ||||||
HP, Inc., 6.00%, 9/15/41 | 10,000 | 12,187 | ||||||
International Business Machines Corp., | ||||||||
3.00%, 5/15/24 | 270,000 | 291,860 | ||||||
3.30%, 5/15/26 | 260,000 | 291,712 | ||||||
3.50%, 5/15/29 | 100,000 | 114,321 | ||||||
1.95%, 5/15/30 | 277,000 | 281,357 | ||||||
2.85%, 5/15/40 | 100,000 | 103,260 | ||||||
Leidos, Inc., 4.37%, 5/15/30(b) | 181,000 | 210,610 | ||||||
Seagate HDD Cayman, 4.09%, 6/01/29(b) | 70,000 | 75,425 | ||||||
| 3,148,390
|
| ||||||
| ||||||||
Cosmetics/Personal Care – 0.0%(i) | ||||||||
Procter & Gamble (The) Co., | ||||||||
2.80%, 3/25/27 | 20,000 | 22,217 | ||||||
3.00%, 3/25/30 | 60,000 | 69,009 | ||||||
| 91,226
|
| ||||||
|
See accompanying Notes to Financial Statements
56
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par(a)
| Value
| |||||||
Distribution/Wholesale – 0.0%(i) | ||||||||
American Builders & Contractors Supply Co., Inc., | ||||||||
5.87%, 5/15/26(b) | $ | 25,000 | $ | 25,938 | ||||
4.00%, 1/15/28(b) | 33,000 | 33,495 | ||||||
H&E Equipment Services, Inc., 5.62%, 9/01/25 | 81,000 | 84,037 | ||||||
HD Supply, Inc., 5.38%, 10/15/26(b) | 25,000 | 26,151 | ||||||
KAR Auction Services, Inc., 5.13%, 6/01/25(b) | 40,000 | 40,300 | ||||||
Performance Food Group, Inc., 5.50%, 10/15/27(b) | 44,000 | 45,100 | ||||||
| 255,021
|
| ||||||
| ||||||||
Diversified Financial Services – 0.6% |
| |||||||
Air Lease Corp., 3.38%, 7/01/25 | 70,000 | 71,062 | ||||||
American Express Co., | ||||||||
2.50%, 7/30/24 | 410,000 | 434,906 | ||||||
4.20%, 11/06/25 | 164,000 | 189,218 | ||||||
Capital One Financial Corp., | ||||||||
3.50%, 6/15/23 | 40,000 | 42,783 | ||||||
3.90%, 1/29/24 | 79,000 | 86,167 | ||||||
Charles Schwab (The) Corp., 3.20%, 3/02/27 | 44,000 | 48,883 | ||||||
Discover Financial Services, 4.50%, 1/30/26 | 7,000 | 8,013 | ||||||
GE Capital International Funding Co. Unlimited Co., 4.42%, 11/15/35 | 200,000 | 216,267 | ||||||
Intercontinental Exchange, Inc., | ||||||||
3.75%, 9/21/28 | 99,000 | 114,408 | ||||||
2.10%, 6/15/30 | 69,000 | 70,845 | ||||||
1.85%, 9/15/32 | 89,000 | 88,113 | ||||||
International Lease Finance Corp., 5.87%, 8/15/22 | 230,000 | 245,424 | ||||||
Mastercard, Inc., | ||||||||
2.95%, 6/01/29 | 153,000 | 171,633 | ||||||
3.35%, 3/26/30 | 202,000 | 234,356 | ||||||
3.85%, 3/26/50 | 300,000 | 373,443 | ||||||
Nationstar Mortgage Holdings, Inc., 9.12%, 7/15/26(b) | 33,000 | 35,289 | ||||||
Navient Corp., | ||||||||
6.50%, 6/15/22 | 36,000 | 36,720 | ||||||
7.25%, 9/25/23 | 22,000 | 23,073 | ||||||
5.87%, 10/25/24 | 20,000 | 19,850 |
Par(a)
| Value
| |||||||
Diversified Financial Services (Continued) |
| |||||||
Navient Corp., | ||||||||
6.75%, 6/25/25 | $ | 21,000 | $ | 21,315 | ||||
6.75%, 6/15/26 | 20,000 | 20,150 | ||||||
Nuveen LLC, 4.00%, 11/01/28(b) | 100,000 | 117,760 | ||||||
Quicken Loans LLC, 5.25%, 1/15/28(b) | 44,000 | 45,991 | ||||||
Synchrony Financial, 4.50%, 7/23/25 | 2,000 | 2,223 | ||||||
USAA Capital Corp., 2.13%, 5/01/30(b) | 150,000 | 156,210 | ||||||
Vanguard Group (The), Inc., 3.05%, | 170,000 | 154,869 | ||||||
Visa, Inc., | ||||||||
3.15%, 12/14/25 | 230,000 | 255,846 | ||||||
4.15%, 12/14/35 | 159,000 | 203,236 | ||||||
4.30%, 12/14/45 | 170,000 | 222,382 | ||||||
| 3,710,435
|
| ||||||
| ||||||||
Electric – 1.6% | ||||||||
AEP Texas, Inc., | ||||||||
3.95%, 6/01/28 | 163,000 | 188,820 | ||||||
3.45%, 1/15/50 | 28,000 | 30,064 | ||||||
AEP Transmission Co. LLC, | ||||||||
3.75%, 12/01/47 | 54,000 | 63,479 | ||||||
3.80%, 6/15/49 | 65,000 | 77,056 | ||||||
3.15%, 9/15/49 | 40,000 | 43,209 | ||||||
3.65%, 4/01/50 | 66,000 | 76,789 | ||||||
Alabama Power Co., | ||||||||
3.55%, 12/01/23 | 10,000 | 10,900 | ||||||
3.75%, 3/01/45 | 106,000 | 122,435 | ||||||
3.70%, 12/01/47 | 25,000 | 28,949 | ||||||
4.30%, 7/15/48 | 52,000 | 65,380 | ||||||
Ameren Illinois Co., | ||||||||
3.80%, 5/15/28 | 46,000 | 53,377 | ||||||
3.25%, 3/15/50 | 60,000 | 66,608 | ||||||
Baltimore Gas and Electric Co., | ||||||||
3.50%, 8/15/46 | 49,000 | 54,910 | ||||||
3.75%, 8/15/47 | 62,000 | 71,605 | ||||||
3.20%, 9/15/49 | 40,000 | 42,617 | ||||||
CenterPoint Energy Houston Electric LLC, | ||||||||
3.55%, 8/01/42 | 23,000 | 26,128 | ||||||
4.50%, 4/01/44 | 8,000 | 10,293 | ||||||
4.25%, 2/01/49 | 2,000 | 2,538 | ||||||
Commonwealth Edison Co., | ||||||||
2.95%, 8/15/27 | 11,000 | 12,142 | ||||||
4.60%, 8/15/43 | 5,000 | 6,351 | ||||||
Consolidated Edison Co. of New York, Inc., 3.35%, 4/01/30 | 50,000 | 57,382 |
See accompanying Notes to Financial Statements
57
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par(a)
| Value
| |||||||
Electric (Continued) |
| |||||||
Consolidated Edison Co. of New York, Inc., 3.95%, 4/01/50 | $ | 20,000 | $ | 23,614 | ||||
Consumers Energy Co., | ||||||||
3.75%, 2/15/50 | 53,000 | 63,909 | ||||||
3.10%, 8/15/50 | 107,000 | 116,356 | ||||||
3.50%, 8/01/51 | 75,000 | 87,792 | ||||||
Dayton Power & Light (The) Co., 3.95%, 6/15/49 | 81,000 | 85,550 | ||||||
DTE Electric Co., | ||||||||
4.05%, 5/15/48 | 10,000 | 12,443 | ||||||
3.95%, 3/01/49 | 98,000 | 120,903 | ||||||
Duke Energy Carolinas LLC, | ||||||||
3.95%, 11/15/28 | 28,000 | 33,334 | ||||||
2.45%, 8/15/29 | 75,000 | 80,628 | ||||||
2.45%, 2/01/30 | 74,000 | 78,800 | ||||||
3.75%, 6/01/45 | 34,000 | 39,883 | ||||||
3.87%, 3/15/46 | 26,000 | 30,874 | ||||||
3.95%, 3/15/48 | 27,000 | 32,866 | ||||||
3.20%, 8/15/49 | 105,000 | 114,910 | ||||||
Duke Energy Florida LLC, | ||||||||
3.80%, 7/15/28 | 40,000 | 46,851 | ||||||
2.50%, 12/01/29 | 325,000 | 350,494 | ||||||
1.75%, 6/15/30 | 122,000 | 123,538 | ||||||
3.85%, 11/15/42 | 53,000 | 61,387 | ||||||
3.40%, 10/01/46 | 10,000 | 11,233 | ||||||
Duke Energy Ohio, Inc., | ||||||||
3.65%, 2/01/29 | 224,000 | 258,489 | ||||||
2.13%, 6/01/30 | 14,000 | 14,540 | ||||||
Duke Energy Progress LLC, | ||||||||
3.70%, 9/01/28 | 159,000 | 184,736 | ||||||
3.45%, 3/15/29 | 84,000 | 96,212 | ||||||
4.10%, 5/15/42 | 113,000 | 137,727 | ||||||
4.20%, 8/15/45 | 22,000 | 26,996 | ||||||
Edison International, 3.13%, 11/15/22 | 15,000 | 15,475 | ||||||
Entergy Louisiana LLC, | ||||||||
5.40%, 11/01/24 | 18,000 | 21,234 | ||||||
4.20%, 9/01/48 | 96,000 | 120,244 | ||||||
Exelon Corp., 5.10%, 6/15/45 | 29,000 | 37,670 | ||||||
FirstEnergy Corp., | ||||||||
4.25%, 3/15/23 | 110,000 | 115,915 | ||||||
2.05%, 3/01/25 | 22,000 | 22,022 | ||||||
1.60%, 1/15/26 | 40,000 | 38,948 | ||||||
3.90%, 7/15/27 | 340,000 | 363,134 | ||||||
2.65%, 3/01/30 | 111,000 | 108,135 | ||||||
2.25%, 9/01/30 | 56,000 | 52,863 | ||||||
7.37%, 11/15/31 | 410,000 | 550,054 | ||||||
4.85%, 7/15/47 | 90,000 | 97,842 |
Par(a)
| Value
| |||||||
Electric (Continued) |
| |||||||
FirstEnergy Transmission LLC, | ||||||||
4.35%, 1/15/25(b) | $ | 285,000 | $ | 311,139 | ||||
4.55%, 4/01/49(b) | 126,000 | 138,060 | ||||||
Florida Power & Light Co., | ||||||||
5.25%, 2/01/41 | 5,000 | 6,956 | ||||||
3.70%, 12/01/47 | 98,000 | 118,319 | ||||||
3.95%, 3/01/48 | 80,000 | 100,627 | ||||||
3.99%, 3/01/49 | 29,000 | 36,754 | ||||||
3.15%, 10/01/49 | 70,000 | 78,154 | ||||||
ITC Holdings Corp., 2.70%, 11/15/22 | 65,000 | 67,771 | ||||||
MidAmerican Energy Co., | ||||||||
3.65%, 4/15/29 | 389,000 | 457,172 | ||||||
4.25%, 7/15/49 | 55,000 | 70,496 | ||||||
3.15%, 4/15/50 | 40,000 | 44,019 | ||||||
Northern States Power Co., | ||||||||
3.40%, 8/15/42 | 78,000 | 87,967 | ||||||
2.90%, 3/01/50 | 50,000 | 52,685 | ||||||
NRG Energy, Inc., | ||||||||
7.25%, 5/15/26 | 44,000 | 46,508 | ||||||
6.62%, 1/15/27 | 54,000 | 56,835 | ||||||
5.75%, 1/15/28 | 36,000 | 38,824 | ||||||
5.25%, 6/15/29(b) | 32,000 | 34,680 | ||||||
NSTAR Electric Co., | ||||||||
3.20%, 5/15/27 | 7,000 | 7,784 | ||||||
3.95%, 4/01/30 | 28,000 | 33,674 | ||||||
Ohio Power Co., | ||||||||
6.60%, 2/15/33 | 60,000 | 82,481 | ||||||
4.15%, 4/01/48 | 14,000 | 17,282 | ||||||
4.00%, 6/01/49 | 31,000 | 37,308 | ||||||
Oncor Electric Delivery Co. LLC, | ||||||||
3.70%, 11/15/28 | 75,000 | 87,634 | ||||||
5.75%, 3/15/29 | 44,000 | 57,410 | ||||||
5.30%, 6/01/42 | 16,000 | 22,318 | ||||||
3.80%, 6/01/49 | 20,000 | 24,191 | ||||||
3.10%, 9/15/49 | 34,000 | 37,295 | ||||||
5.35%, 10/01/52(b) | 27,000 | 40,099 | ||||||
Pacific Gas and Electric Co., | ||||||||
1.75%, 6/16/22 | 160,000 | 160,015 | ||||||
2.10%, 8/01/27 | 50,000 | 48,274 | ||||||
2.50%, 2/01/31 | 60,000 | 56,728 | ||||||
3.30%, 8/01/40 | 20,000 | 18,206 | ||||||
3.50%, 8/01/50 | 20,000 | 18,076 | ||||||
Progress Energy, Inc., 7.75%, 3/01/31 | 180,000 | 262,722 | ||||||
Public Service Electric and Gas Co., | ||||||||
2.25%, 9/15/26 | 82,000 | 88,203 |
See accompanying Notes to Financial Statements
58
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par(a)
| Value
| |||||||||
Electric (Continued) | ||||||||||
Public Service Electric and Gas Co., | ||||||||||
3.65%, 9/01/28 | $ | 3,000 | $ | 3,497 | ||||||
3.20%, 5/15/29 | 80,000 | 90,899 | ||||||||
2.05%, 8/01/50 | 25,000 | 22,377 | ||||||||
Southern California Edison Co., | ||||||||||
1.85%, 2/01/22 | 24,643 | 24,659 | ||||||||
3.70%, 8/01/25 | 165,000 | 182,340 | ||||||||
4.20%, 3/01/29 | 16,000 | 18,314 | ||||||||
2.25%, 6/01/30 | 150,000 | 151,400 | ||||||||
3.60%, 2/01/45 | 23,000 | 23,072 | ||||||||
Tampa Electric Co., | ||||||||||
4.35%, 5/15/44 | 75,000 | 92,826 | ||||||||
4.45%, 6/15/49 | 17,000 | 22,021 | ||||||||
Trans-Allegheny Interstate Line Co., 3.85%, 6/01/25(b) | 299,000 | 329,084 | ||||||||
Virginia Electric and Power Co., | ||||||||||
3.45%, 9/01/22 | 62,000 | 64,844 | ||||||||
2.75%, 3/15/23 | 90,000 | 94,327 | ||||||||
3.50%, 3/15/27 | 29,000 | 32,908 | ||||||||
6.00%, 5/15/37 | 37,000 | 52,927 | ||||||||
4.00%, 1/15/43 | 30,000 | 36,187 | ||||||||
4.45%, 2/15/44 | 105,000 | 135,625 | ||||||||
Vistra Operations Co. LLC, | ||||||||||
5.50%, 9/01/26(b) | 44,000 | 45,540 | ||||||||
5.62%, 2/15/27(b) | 58,000 | 60,465 | ||||||||
5.00%, 7/31/27(b) | 56,000 | 58,520 | ||||||||
4.30%, 7/15/29(b) | 219,000 | 237,344 | ||||||||
| 9,514,475
|
| ||||||||
Electronics – 0.1% | ||||||||||
Agilent Technologies, Inc., | ||||||||||
3.05%, 9/22/26 | 152,000 | 165,954 | ||||||||
2.10%, 6/04/30 | 30,000 | 30,718 | ||||||||
Honeywell International, Inc., | ||||||||||
1.35%, 6/01/25 | 70,000 | 71,867 | ||||||||
0.75%, 3/10/32 | EUR | 105,000 | 125,351 | |||||||
Roper Technologies, Inc., 2.95%, 9/15/29 | 76,000 | 83,147 | ||||||||
| 477,037
|
| ||||||||
Entertainment – 0.1% | ||||||||||
Caesars Resort | ||||||||||
Collection LLC/CRC | ||||||||||
Finco, Inc., 5.25%, | 68,000 | 64,580 | ||||||||
Cedar Fair L.P., 5.25%, 7/15/29 | 45,000 | 40,837 |
Par(a)
| Value
| |||||||
Entertainment (Continued) | ||||||||
Cedar Fair L.P./Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC, |
| |||||||
5.50%, 5/01/25(b) | $ | 27,000 | $ | 27,337 | ||||
5.37%, 4/15/27 | 43,000 | 39,829 | ||||||
Churchill Downs, Inc., | ||||||||
5.50%, 4/01/27(b) | 50,000 | 51,781 | ||||||
4.75%, 1/15/28(b) | 25,000 | 25,375 | ||||||
Scientific Games International, Inc., 5.00%, 10/15/25(b) | 43,000 | 43,161 | ||||||
Six Flags Entertainment Corp., | ||||||||
4.88%, 7/31/24(b) | 44,000 | 40,887 | ||||||
5.50%, 4/15/27(b) | 25,000 | 23,258 | ||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, 10/01/29(b) | 37,000 | 35,427 | ||||||
| 392,472
|
| ||||||
Environmental Control – 0.1% | ||||||||
Clean Harbors, Inc., 4.88%, 7/15/27(b) | 23,000 | 24,035 | ||||||
Republic Services, Inc., 2.50%, 8/15/24 | 70,000 | 74,364 | ||||||
2.90%, 7/01/26 | 41,000 | 45,010 | ||||||
3.95%, 5/15/28 | 178,000 | 206,996 | ||||||
2.30%, 3/01/30 | 82,000 | 86,464 | ||||||
Waste Management, Inc., 3.50%, 5/15/24 | 70,000 | 76,132 | ||||||
3.90%, 3/01/35 | 20,000 | 24,340 | ||||||
4.15%, 7/15/49 | 60,000 | 75,975 | ||||||
Waste Pro USA, Inc., 5.50%, 2/15/26(b) | 20,000 | 20,200 | ||||||
| 633,516
|
| ||||||
Food – 0.3% | ||||||||
Albertsons Cos, Inc./Safeway, Inc./New Albertsons L.P./Albertsons LLC, | ||||||||
3.50%, 2/15/23(b) | 33,000 | 33,525 | ||||||
5.75%, 3/15/25 | 84,000 | 86,572 | ||||||
7.50%, 3/15/26(b) | 55,000 | 60,940 | ||||||
4.63%, 1/15/27(b) | 12,000 | 12,374 | ||||||
5.87%, 2/15/28(b) | 39,000 | 41,242 | ||||||
4.88%, 2/15/30(b) | 9,000 | 9,559 | ||||||
Hershey (The) Co., 0.90%, 6/01/25 | 30,000 | 30,310 | ||||||
JBS USA LUX S.A./JBS USA Finance, Inc., 5.75%, 6/15/25(b) | 35,000 | 35,980 |
See accompanying Notes to Financial Statements
59
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par(a)
| Value
| |||||||
Food (Continued) |
| |||||||
JBS USA LUX S.A./JBS USA Finance, Inc., 6.75%, 2/15/28(b) | $ | 43,000 | $ | 47,293 | ||||
JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., | ||||||||
6.50%, 4/15/29(b) | 66,000 | 74,176 | ||||||
5.50%, 1/15/30(b) | 11,000 | 11,963 | ||||||
Kraft Heinz Foods Co., 3.00%, 6/01/26 | 110,000 | 111,779 | ||||||
Lamb Weston Holdings, Inc., |
| |||||||
4.63%, 11/01/24(b) | 37,000 | 38,202 | ||||||
4.87%, 11/01/26(b) | 37,000 | 38,429 | ||||||
Mars, Inc., |
| |||||||
2.70%, 4/01/25(b) | 90,000 | 97,055 | ||||||
3.20%, 4/01/30(b) | 180,000 | 206,003 | ||||||
Mondelez International, Inc., |
| |||||||
2.13%, 4/13/23 | 20,000 | 20,730 | ||||||
1.50%, 5/04/25 | 250,000 | 256,738 | ||||||
2.75%, 4/13/30 | 77,000 | 82,996 | ||||||
Pilgrim’s Pride Corp., 5.87%, 9/30/27(b) | 73,000 | 77,116 | ||||||
Post Holdings, Inc., |
| |||||||
5.00%, 8/15/26(b) | 60,000 | 62,220 | ||||||
5.75%, 3/01/27(b) | 55,000 | 57,624 | ||||||
5.62%, 1/15/28(b) | 40,000 | 42,200 | ||||||
5.50%, 12/15/29(b) | 32,000 | 34,600 | ||||||
Simmons Foods, Inc., 5.75%, 11/01/24(b) | 21,000 | 20,764 | ||||||
| 1,590,390
|
| ||||||
Food Service – 0.0%(i) |
| |||||||
Aramark Services, Inc., |
| |||||||
4.75%, 6/01/26 | 22,000 | 21,862 | ||||||
5.00%, 2/01/28(b) | 51,000 | 51,452 | ||||||
| 73,314
|
| ||||||
Forest Products & Paper – 0.1% |
| |||||||
Georgia-Pacific LLC, |
| |||||||
3.60%, 3/01/25(b) | 14,000 | 15,599 | ||||||
7.38%, 12/01/25 | 45,000 | 57,289 | ||||||
2.10%, 4/30/27(b) | 6,000 | 6,251 | ||||||
7.75%, 11/15/29 | 18,000 | 26,480 | ||||||
2.30%, 4/30/30(b) | 69,000 | 72,286 | ||||||
8.87%, 5/15/31 | 13,000 | 20,837 | ||||||
International Paper Co., |
| |||||||
6.00%, 11/15/41 | 38,000 | 52,225 | ||||||
4.40%, 8/15/47 | 31,000 | 38,071 | ||||||
| 289,038
|
|
Par(a)
| Value
| |||||||||
Gas – 0.0%(i) | ||||||||||
Atmos Energy Corp., 4.13%, 10/15/44 | $ | 5,000 | $ | 6,126 | ||||||
CenterPoint Energy Resources Corp., 1.75%, 10/01/30 | 140,000 | 140,584 | ||||||||
Dominion Energy Gas Holdings LLC, 4.80%, 11/01/43 | 39,000 | 47,567 | ||||||||
Piedmont Natural Gas Co., Inc., 3.35%, 6/01/50 | 20,000 | 21,378 | ||||||||
| 215,655
|
| ||||||||
Hand/Machine Tools – 0.0%(i) |
| |||||||||
Colfax Corp., 6.00%, 2/15/24(b) | 27,000 |
| 28,086
|
| ||||||
Healthcare - Products – 0.2% |
| |||||||||
Abbott Laboratories, | ||||||||||
3.75%, 11/30/26 | 390,000 | 452,700 | ||||||||
4.90%, 11/30/46 | 10,000 | 14,078 | ||||||||
Avantor, Inc., 6.00%, | 53,000 | 55,380 | ||||||||
Boston Scientific Corp., | ||||||||||
4.00%, 3/01/29 | 96,000 | 110,964 | ||||||||
2.65%, 6/01/30 | 30,000 | 31,532 | ||||||||
DH Europe Finance II S.a.r.l., | ||||||||||
1.35%, 9/18/39 | EUR | 135,000 | 163,383 | |||||||
1.80%, 9/18/49 | 100,000 | 125,418 | ||||||||
Medtronic Global Holdings SCA, | ||||||||||
1.50%, 7/02/39 | 100,000 | 124,241 | ||||||||
1.75%, 7/02/49 | 100,000 | 126,024 | ||||||||
Teleflex, Inc., 4.62%, 11/15/27 | 23,000 | 24,254 | ||||||||
Thermo Fisher Scientific, Inc., | ||||||||||
2.60%, 10/01/29 | 29,000 | 31,515 | ||||||||
4.50%, 3/25/30 | 75,000 | 92,994 | ||||||||
1.88%, 10/01/49 | EUR | 100,000 | 124,901 | |||||||
| 1,477,384
|
| ||||||||
Healthcare - Services – 0.7% |
| |||||||||
Aetna, Inc., | ||||||||||
2.80%, 6/15/23 | 90,000 | 94,529 | ||||||||
4.50%, 5/15/42 | 44,000 | 52,240 | ||||||||
4.75%, 3/15/44 | 2,000 | 2,433 | ||||||||
Anthem, Inc., | ||||||||||
2.95%, 12/01/22 | 30,000 | 31,433 | ||||||||
3.65%, 12/01/27 | 150,000 | 169,593 | ||||||||
4.10%, 3/01/28 | 81,000 | 93,355 | ||||||||
Centene Corp., | ||||||||||
5.37%, 6/01/26(b) | 78,000 | 82,072 | ||||||||
5.37%, 8/15/26(b) | 32,000 | 33,840 |
See accompanying Notes to Financial Statements
60
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par(a)
| Value
| |||||||
Healthcare - Services (Continued) |
| |||||||
Centene Corp., | ||||||||
4.25%, 12/15/27 | $ | 108,000 | $ | 113,692 | ||||
4.63%, 12/15/29 | 32,000 | 34,840 | ||||||
Charles River Laboratories International, Inc., 4.25%, 5/01/28(b) | 5,000 | 5,225 | ||||||
Charles River Laboratories, Inc., | 18,000 | 18,810 | ||||||
Encompass Health Corp., | ||||||||
4.50%, 2/01/28 | 20,000 | 20,482 | ||||||
4.75%, 2/01/30 | 20,000 | 20,832 | ||||||
HCA, Inc., 4.75%, 5/01/23 | 35,000 | 38,195 | ||||||
5.00%, 3/15/24 | 306,000 | 342,371 | ||||||
5.37%, 2/01/25 | 24,000 | 26,576 | ||||||
5.25%, 4/15/25 | 359,000 | 415,811 | ||||||
5.87%, 2/15/26 | 14,000 | 15,820 | ||||||
5.37%, 9/01/26 | 9,000 | 10,114 | ||||||
5.62%, 9/01/28 | 14,000 | 16,295 | ||||||
5.87%, 2/01/29 | 9,000 | 10,588 | ||||||
Humana, Inc., | ||||||||
4.50%, 4/01/25 | 43,000 | 49,273 | ||||||
3.95%, 3/15/27 | 140,000 | 159,470 | ||||||
3.13%, 8/15/29 | 120,000 | 131,561 | ||||||
4.88%, 4/01/30 | 67,000 | 83,188 | ||||||
Molina Healthcare, Inc., 5.37%, 11/15/22 | 30,000 | 31,174 | ||||||
Select Medical Corp., 6.25%, 8/15/26(b) | 23,000 | 24,265 | ||||||
Tenet Healthcare Corp., | ||||||||
4.63%, 7/15/24 | 62,000 | 63,048 | ||||||
4.63%, 9/01/24(b) | 25,000 | 25,594 | ||||||
5.12%, 5/01/25 | 117,000 | 115,795 | ||||||
4.88%, 1/01/26(b) | 90,000 | 91,299 | ||||||
6.25%, 2/01/27(b) | 129,000 | 133,941 | ||||||
5.12%, 11/01/27(b) | 14,000 | 14,416 | ||||||
UnitedHealth Group, Inc., 2.38%, 10/15/22 | 20,000 | 20,783 | ||||||
3.50%, 6/15/23 | 30,000 | 32,424 | ||||||
3.75%, 7/15/25 | 50,000 | 56,772 | ||||||
1.25%, 1/15/26 | 40,000 | 40,807 | ||||||
2.95%, 10/15/27 | 25,000 | 27,733 | ||||||
3.85%, 6/15/28 | 254,000 | 297,608 | ||||||
3.88%, 12/15/28 | 110,000 | 130,303 | ||||||
2.00%, 5/15/30 | 40,000 | 41,624 | ||||||
3.50%, 8/15/39 | 175,000 | 200,759 | ||||||
2.75%, 5/15/40 | 90,000 | 94,222 | ||||||
4.75%, 7/15/45 | 98,000 | 132,921 | ||||||
4.25%, 6/15/48 | 77,000 | 98,412 | ||||||
4.45%, 12/15/48 | 20,000 | 26,536 | ||||||
3.70%, 8/15/49 | 130,000 | 155,522 |
Par(a)
| Value
| |||||||
Healthcare – Services (Continued) |
| |||||||
UnitedHealth Group, Inc., | ||||||||
2.90%, 5/15/50 | $ | 100,000 | $ | 104,569 | ||||
3.88%, 8/15/59 | 70,000 | 85,141 | ||||||
3.13%, 5/15/60 | 20,000 | 21,484 | ||||||
| 4,139,790
|
| ||||||
Home Builders – 0.0%(i) | ||||||||
Century Communities, Inc., 6.75%, 6/01/27 | 22,000 | 23,430 | ||||||
Lennar Corp., | ||||||||
4.13%, 1/15/22 | 19,000 | 19,451 | ||||||
4.50%, 4/30/24 | 23,000 | 24,785 | ||||||
4.75%, 5/30/25 | 5,000 | 5,486 | ||||||
4.75%, 11/29/27 | 8,000 | 9,160 | ||||||
PulteGroup, Inc., | ||||||||
5.50%, 3/01/26 | 6,000 | 6,930 | ||||||
5.00%, 1/15/27 | 5,000 | 5,725 | ||||||
Taylor Morrison Communities, Inc., | 5,000 | 5,525 | ||||||
| 100,492
|
| ||||||
Home Furnishings – 0.0%(i) | ||||||||
Tempur Sealy International, Inc., | 50,000 | 51,999 | ||||||
Household Products/Wares – 0.0%(i) |
| |||||||
Clorox (The) Co., 3.10%, 10/01/27 | 15,000 | 16,751 | ||||||
Kimberly-Clark Corp., 3.10%, 3/26/30 | 30,000 | 34,200 | ||||||
Spectrum Brands, Inc., 5.75%, 7/15/25 | 36,000 | 37,035 | ||||||
| 87,986
|
| ||||||
Housewares – 0.0%(i) | ||||||||
Newell Brands, Inc., | ||||||||
4.35%, 4/01/23 | 68,000 | 70,973 | ||||||
4.70%, 4/01/26 | 18,000 | 19,170 | ||||||
| 90,143
|
| ||||||
Insurance – 0.3% | ||||||||
American International Group, Inc., | ||||||||
2.50%, 6/30/25 | 60,000 | 64,324 | ||||||
4.20%, 4/01/28 | 40,000 | 46,568 | ||||||
3.40%, 6/30/30 | 90,000 | 100,069 | ||||||
Aon Corp., | ||||||||
4.50%, 12/15/28 | 202,000 | 242,665 | ||||||
3.75%, 5/02/29 | 133,000 | 153,305 | ||||||
2.80%, 5/15/30 | 40,000 | 42,807 | ||||||
Aon PLC, | ||||||||
4.00%, 11/27/23 | 2,000 | 2,180 |
See accompanying Notes to Financial Statements
61
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par(a)
| Value
| |||||||||
Insurance (Continued) | ||||||||||
Aon PLC, 4.60%, 6/14/44 | $ | 15,000 | $ | 19,158 | ||||||
Berkshire Hathaway Finance Corp., 4.25%, 1/15/49 | 150,000 | 190,585 | ||||||||
Guardian Life Global Funding, 1.10%, 6/23/25(b) | 50,000 | 50,516 | ||||||||
Hartford Financial Services Group (The), Inc., 5.95%, 10/15/36 | 20,000 | 26,851 | ||||||||
Marsh & McLennan Cos., Inc., | ||||||||||
4.37%, 3/15/29 | 45,000 | 54,143 | ||||||||
1.98%, 3/21/30 | EUR | 120,000 | 158,484 | |||||||
2.25%, 11/15/30 | 32,000 | 33,247 | ||||||||
MassMutual Global Funding II, 0.85%, 6/09/23(b) | 330,000 | 333,168 | ||||||||
MetLife, Inc., 6.40%, 12/15/36 | 100,000 | 124,097 | ||||||||
Metropolitan Life Global Funding I, 0.90%, 6/08/23(b) | 250,000 | 252,720 | ||||||||
New York Life Global Funding, 0.95%, 6/24/25(b) | 80,000 | 80,453 | ||||||||
Principal Life Global Funding II, 1.25%, 6/23/25(b) | 40,000 | 40,672 | ||||||||
Trinity Acquisition PLC, 4.40%, 3/15/26 | 9,000 | 10,382 | ||||||||
Willis North America, Inc., | ||||||||||
3.60%, 5/15/24 | 42,000 | 45,826 | ||||||||
5.05%, 9/15/48 | 19,000 | 25,685 | ||||||||
| 2,097,905
|
| ||||||||
Internet – 0.4% | ||||||||||
Alphabet, Inc., | ||||||||||
0.45%, 8/15/25 | 30,000 | 29,821 | ||||||||
0.80%, 8/15/27 | 50,000 | 49,473 | ||||||||
1.10%, 8/15/30 | 60,000 | 58,620 | ||||||||
2.05%, 8/15/50 | 110,000 | 99,192 | ||||||||
Amazon.com, Inc., | ||||||||||
0.80%, 6/03/25 | 130,000 | 130,967 | ||||||||
1.20%, 6/03/27 | 160,000 | 161,659 | ||||||||
3.15%, 8/22/27 | 140,000 | 158,709 | ||||||||
1.50%, 6/03/30 | 150,000 | 151,738 | ||||||||
3.88%, 8/22/37 | 130,000 | 159,448 | ||||||||
4.05%, 8/22/47 | 140,000 | 179,592 | ||||||||
2.50%, 6/03/50 | 390,000 | 386,513 | ||||||||
4.25%, 8/22/57 | 240,000 | 317,619 | ||||||||
Booking Holdings, Inc., | ||||||||||
4.10%, 4/13/25 | 197,000 | 220,753 |
Par(a)
| Value
| |||||||
Internet (Continued) | ||||||||
E*TRADE Financial Corp., 3.80%, 8/24/27 | $ | 10,000 | $ | 11,322 | ||||
Expedia Group, Inc., | ||||||||
6.25%, 5/01/25(b) | 73,000 | 80,276 | ||||||
3.80%, 2/15/28 | 55,000 | 55,283 | ||||||
3.25%, 2/15/30 | 55,000 | 53,417 | ||||||
Netflix, Inc., | ||||||||
5.50%, 2/15/22 | 24,000 | 25,215 | ||||||
4.87%, 4/15/28 | 14,000 | 15,746 | ||||||
6.37%, 5/15/29 | 7,000 | 8,575 | ||||||
5.38%, 11/15/29(b) | 8,000 | 9,370 | ||||||
4.88%, 6/15/30(b) | 9,000 | 10,271 | ||||||
| 2,373,579
|
| ||||||
Iron/Steel – 0.0%(i) | ||||||||
Nucor Corp., 3.95%, 5/01/28 | 24,000 | 27,766 | ||||||
Steel Dynamics, Inc., 2.80%, 12/15/24 | 50,000 | 53,054 | ||||||
| 80,820
|
| ||||||
Lodging – 0.1% | ||||||||
Boyd Gaming Corp., | ||||||||
6.37%, 4/01/26 | 27,000 | 28,015 | ||||||
6.00%, 8/15/26 | 25,000 | 25,617 | ||||||
Hilton Domestic Operating Co., Inc., | ||||||||
5.12%, 5/01/26 | 53,000 | 53,662 | ||||||
4.88%, 1/15/30 | 9,000 | 9,259 | ||||||
Hilton Worldwide | ||||||||
Finance LLC/Hilton Worldwide Finance Corp., | ||||||||
4.63%, 4/01/25 | 39,000 | 39,361 | ||||||
4.88%, 4/01/27 | 25,000 | 25,291 | ||||||
Hyatt Hotels Corp., 5.37%, 4/23/25 | 23,000 | 24,944 | ||||||
Las Vegas Sands Corp., | ||||||||
3.20%, 8/08/24 | 100,000 | 101,147 | ||||||
2.90%, 6/25/25 | 10,000 | 9,918 | ||||||
Marriott Ownership Resorts, Inc./ILG LLC, 6.50%, 9/15/26 | 33,000 | 33,990 | ||||||
MGM Resorts International, | ||||||||
5.75%, 6/15/25 | 6,000 | 6,234 | ||||||
4.63%, 9/01/26 | 4,000 | 3,931 | ||||||
5.50%, 4/15/27 | 6,000 | 6,058 | ||||||
Station Casinos LLC, 5.00%, 10/01/25(b) | 22,000 | 21,890 | ||||||
Wyndham Hotels & Resorts, Inc., 5.37%, 4/15/26(b) | 23,000 | 23,288 |
See accompanying Notes to Financial Statements
62
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par(a)
| Value
| |||||||
Lodging (Continued) | ||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., | ||||||||
5.50%, 3/01/25(b) | $ | 91,000 | $ | 87,132 | ||||
5.25%, 5/15/27(b) | 45,000 | 41,850 | ||||||
| 541,587
|
| ||||||
Machinery – Construction & Mining – 0.0%(i) |
| |||||||
Terex Corp., 5.63%, 2/01/25(b) |
| 49,000
|
|
| 49,735
|
| ||
Machinery – Diversified – 0.1% | ||||||||
Deere & Co., | ||||||||
3.10%, 4/15/30 | 30,000 | 34,028 | ||||||
3.75%, 4/15/50 | 310,000 | 383,966 | ||||||
Otis Worldwide Corp., | ||||||||
2.06%, 4/05/25 | 50,000 | 52,509 | ||||||
2.29%, 4/05/27 | 70,000 | 74,246 | ||||||
2.56%, 2/15/30 | 210,000 | 223,549 | ||||||
| 768,298
|
| ||||||
Media – 1.5% | ||||||||
AMC Networks, Inc., | ||||||||
5.00%, 4/01/24 | 44,000 | 44,206 | ||||||
4.75%, 8/01/25 | 33,000 | 32,918 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp., | ||||||||
5.75%, 2/15/26(b) | 83,000 | 86,043 | ||||||
5.50%, 5/01/26(b) | 49,000 | 50,960 | ||||||
5.87%, 5/01/27(b) | 27,000 | 28,171 | ||||||
5.13%, 5/01/27(b) | 108,000 | 113,400 | ||||||
5.00%, 2/01/28(b) | 83,000 | 87,191 | ||||||
5.38%, 6/01/29(b) | 51,000 | 55,207 | ||||||
4.75%, 3/01/30(b) | 60,000 | 63,111 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, | ||||||||
4.91%, 7/23/25 | 290,000 | 334,107 | ||||||
4.20%, 3/15/28 | 90,000 | 101,689 | ||||||
5.05%, 3/30/29 | 480,000 | 572,572 | ||||||
5.38%, 4/01/38 | 120,000 | 143,478 | ||||||
6.48%, 10/23/45 | 316,000 | 426,224 | ||||||
5.37%, 5/01/47 | 88,000 | 104,997 | ||||||
5.75%, 4/01/48 | 169,000 | 210,947 | ||||||
5.13%, 7/01/49 | 91,000 | 106,386 | ||||||
4.80%, 3/01/50 | 30,000 | 34,176 | ||||||
Clear Channel Worldwide Holdings, Inc., 5.13%, 8/15/27(b) | 51,000 | 49,470 | ||||||
Comcast Corp., | ||||||||
3.10%, 4/01/25 | 10,000 | 10,984 | ||||||
3.95%, 10/15/25 | 160,000 | 183,332 | ||||||
3.15%, 3/01/26 | 50,000 | 55,469 |
Par(a)
| Value
| |||||||
Media (Continued) | ||||||||
Comcast Corp., | ||||||||
3.30%, 4/01/27 | $ | 50,000 | $ | 56,095 | ||||
4.15%, 10/15/28 | 525,000 | 624,362 | ||||||
2.65%, 2/01/30 | 250,000 | 269,570 | ||||||
3.40%, 4/01/30 | 520,000 | 595,045 | ||||||
4.25%, 10/15/30 | 560,000 | 683,275 | ||||||
1.95%, 1/15/31 | 300,000 | 305,741 | ||||||
4.60%, 10/15/38 | 43,000 | 54,800 | ||||||
3.25%, 11/01/39 | 42,000 | 46,696 | ||||||
3.75%, 4/01/40 | 241,000 | 280,517 | ||||||
4.75%, 3/01/44 | 9,000 | 11,840 | ||||||
4.60%, 8/15/45 | 66,000 | 86,432 | ||||||
3.40%, 7/15/46 | 20,000 | 22,055 | ||||||
4.00%, 8/15/47 | 22,000 | 26,338 | ||||||
3.97%, 11/01/47 | 116,000 | 139,003 | ||||||
4.00%, 3/01/48 | 20,000 | 24,179 | ||||||
4.70%, 10/15/48 | 30,000 | 40,031 | ||||||
4.00%, 11/01/49 | 210,000 | 253,133 | ||||||
3.45%, 2/01/50 | 90,000 | 100,462 | ||||||
4.95%, 10/15/58 | 28,000 | 40,411 | ||||||
Cox Communications, Inc., | ||||||||
3.25%, 12/15/22(b) | 40,000 | 42,117 | ||||||
3.15%, 8/15/24(b) | 206,000 | 221,949 | ||||||
3.85%, 2/01/25(b) | 90,000 | 99,304 | ||||||
Diamond Sports Group LLC/Diamond Sports Finance Co., 5.38%, 8/15/26(b) | 28,000 | 16,363 | ||||||
Discovery Communications LLC, 4.00%, 9/15/55(b) | 71,000 | 72,162 | ||||||
Fox Corp., 5.48%, 1/25/39 | 450,000 | 599,356 | ||||||
Gray Television, Inc., | ||||||||
5.87%, 7/15/26(b) | 29,000 | 30,184 | ||||||
7.00%, 5/15/27(b) | 33,000 | 35,599 | ||||||
iHeartCommunications, Inc., | ||||||||
6.37%, 5/01/26 | 36,000 | 37,485 | ||||||
5.25%, 8/15/27(b) | 32,000 | 31,586 | ||||||
4.75%, 1/15/28(b) | 5,000 | 4,775 | ||||||
Meredith Corp., 6.87%, 2/01/26 | 53,000 | 43,924 | ||||||
NBCUniversal Media LLC, 5.95%, 4/01/41 | 35,000 | 51,961 | ||||||
Nexstar Broadcasting, Inc., 5.63%, 7/15/27(b) | 47,000 | 48,997 | ||||||
Sirius XM Radio, Inc., | ||||||||
3.88%, 8/01/22(b) | 35,000 | 35,262 | ||||||
4.63%, 7/15/24(b) | 64,000 | 65,997 | ||||||
5.37%, 7/15/26(b) | 35,000 | 36,451 | ||||||
5.00%, 8/01/27(b) | 67,000 | 70,182 | ||||||
5.50%, 7/01/29(b) | 54,000 | 58,776 |
See accompanying Notes to Financial Statements
63
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par(a)
| Value
| |||||||
Media (Continued) | ||||||||
TEGNA, Inc., | ||||||||
4.63%, 3/15/28(b) | $ | 9,000 | $ | 8,875 | ||||
5.00%, 9/15/29 | 10,000 | 10,125 | ||||||
Time Warner Cable LLC, | ||||||||
6.55%, 5/01/37 | 60,000 | 78,391 | ||||||
5.87%, 11/15/40 | 130,000 | 160,892 | ||||||
Time Warner Entertainment Co. L.P., 8.37%, 7/15/33 | 170,000 | 259,883 | ||||||
TWDC Enterprises 18 Corp., 3.70%, 12/01/42 | 153,000 | 172,591 | ||||||
ViacomCBS, Inc., | ||||||||
6.87%, 4/30/36 | 56,000 | 76,172 | ||||||
4.38%, 3/15/43 | 55,000 | 59,503 | ||||||
5.85%, 9/01/43 | 30,000 | 37,834 | ||||||
Walt Disney (The) Co., | ||||||||
4.75%, 9/15/44 | 25,000 | 31,726 | ||||||
3.60%, 1/13/51 | 54,000 | 60,249 | ||||||
| 9,113,694
|
| ||||||
Mining – 0.0%(i) | ||||||||
Freeport-McMoRan, Inc., | ||||||||
5.00%, 9/01/27 | 5,000 | 5,214 | ||||||
5.25%, 9/01/29 | 5,000 | 5,400 | ||||||
Newmont Corp., 2.25%, 10/01/30 | 51,000 | 52,604 | ||||||
| 63,218
|
| ||||||
Miscellaneous Manufacturing – 0.5% |
| |||||||
3M Co., | ||||||||
3.38%, 3/01/29 | 12,000 | 13,778 | ||||||
2.38%, 8/26/29 | 310,000 | 332,121 | ||||||
3.05%, 4/15/30 | 70,000 | 78,958 | ||||||
3.70%, 4/15/50 | 230,000 | 272,547 | ||||||
Eaton Corp., | ||||||||
2.75%, 11/02/22 | 40,000 | 41,855 | ||||||
4.15%, 11/02/42 | 30,000 | 36,827 | ||||||
General Electric Co., | ||||||||
3.10%, 1/09/23 | 240,000 | 251,580 | ||||||
3.45%, 5/01/27 | 20,000 | 21,210 | ||||||
3.63%, 5/01/30 | 40,000 | 42,242 | ||||||
6.75%, 3/15/32 | 20,000 | 25,764 | ||||||
5.87%, 1/14/38 | 202,000 | 243,293 | ||||||
6.87%, 1/10/39 | 800,000 | 1,059,392 | ||||||
4.25%, 5/01/40 | 60,000 | 63,243 | ||||||
4.35%, 5/01/50 | 60,000 | 63,923 | ||||||
Parker-Hannifin Corp., | ||||||||
2.70%, 6/14/24 | 66,000 | 70,565 | ||||||
3.25%, 6/14/29 | 48,000 | 53,908 | ||||||
Textron, Inc., | ||||||||
3.87%, 3/01/25 | 40,000 | 43,936 | ||||||
3.65%, 3/15/27 | 40,000 | 43,449 |
Par(a)
| Value
| |||||||
Miscellaneous Manufacturing (Continued) |
| |||||||
Textron, Inc., | ||||||||
3.90%, 9/17/29 | $ | 122,000 | $ | 136,219 | ||||
2.45%, 3/15/31 | 57,000 | 56,593 | ||||||
| 2,951,403
|
| ||||||
Oil & Gas – 1.5% | ||||||||
Apache Corp., | ||||||||
4.38%, 10/15/28 | 540,000 | 493,830 | ||||||
4.75%, 4/15/43 | 100,000 | 88,500 | ||||||
4.25%, 1/15/44 | 380,000 | 322,050 | ||||||
BP Capital Markets America, Inc., | ||||||||
2.94%, 4/06/23 | 10,000 | 10,567 | ||||||
3.22%, 11/28/23 | 70,000 | 75,003 | ||||||
3.79%, 2/06/24 | 30,000 | 32,706 | ||||||
3.41%, 2/11/26 | 20,000 | 22,121 | ||||||
3.12%, 5/04/26 | 276,000 | 302,260 | ||||||
3.94%, 9/21/28 | 240,000 | 275,007 | ||||||
3.63%, 4/06/30 | 80,000 | 90,079 | ||||||
3.00%, 2/24/50 | 290,000 | 272,000 | ||||||
Chevron Corp., | ||||||||
1.55%, 5/11/25 | 130,000 | 134,169 | ||||||
2.00%, 5/11/27 | 40,000 | 41,996 | ||||||
2.98%, 5/11/40 | 250,000 | 265,049 | ||||||
3.08%, 5/11/50 | 140,000 | 145,141 | ||||||
Chevron USA, Inc., 2.34%, 8/12/50 | 55,000 | 50,033 | ||||||
Cimarex Energy Co., | ||||||||
3.90%, 5/15/27 | 270,000 | 283,668 | ||||||
4.38%, 3/15/29 | 160,000 | 172,416 | ||||||
Citgo Holding, Inc., 9.25%, 8/01/24(b) | 41,000 | 34,338 | ||||||
Concho Resources, Inc., | ||||||||
3.75%, 10/01/27 | 375,000 | 415,575 | ||||||
4.30%, 8/15/28 | 210,000 | 241,082 | ||||||
Continental Resources, Inc., | ||||||||
4.50%, 4/15/23 | 90,000 | 85,562 | ||||||
3.80%, 6/01/24 | 130,000 | 121,063 | ||||||
4.38%, 1/15/28 | 160,000 | 144,000 | ||||||
CrownRock L.P./CrownRock Finance, Inc., 5.62%, 10/15/25(b) | 24,000 | 23,601 | ||||||
Devon Energy Corp., | ||||||||
5.85%, 12/15/25 | 90,000 | 100,460 | ||||||
5.60%, 7/15/41 | 180,000 | 185,210 | ||||||
5.00%, 6/15/45 | 150,000 | 145,023 | ||||||
Diamondback Energy, Inc., | ||||||||
2.88%, 12/01/24 | 50,000 | 50,620 | ||||||
5.37%, 5/31/25 | 30,000 | 31,041 | ||||||
3.50%, 12/01/29 | 264,000 | 262,511 |
See accompanying Notes to Financial Statements
64
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par(a)
| Value
| |||||||||
Oil & Gas (Continued) | ||||||||||
EOG Resources, Inc., | ||||||||||
4.15%, 1/15/26 | $ | 208,000 | $ | 238,671 | ||||||
4.38%, 4/15/30 | 270,000 | 317,721 | ||||||||
3.90%, 4/01/35 | 188,000 | 210,321 | ||||||||
4.95%, 4/15/50 | 170,000 | 211,017 | ||||||||
Exxon Mobil Corp., | ||||||||||
1.57%, 4/15/23 | 10,000 | 10,275 | ||||||||
2.99%, 3/19/25 | 300,000 | 326,304 | ||||||||
3.04%, 3/01/26 | 70,000 | 77,141 | ||||||||
2.44%, 8/16/29 | 240,000 | 254,864 | ||||||||
3.48%, 3/19/30 | 120,000 | 135,640 | ||||||||
1.41%, 6/26/39 | EUR | 130,000 | 151,278 | |||||||
4.11%, 3/01/46 | 20,000 | 23,003 | ||||||||
4.33%, 3/19/50 | 10,000 | 12,069 | ||||||||
3.45%, 4/15/51 | 130,000 | 136,191 | ||||||||
Marathon Petroleum Corp., | ||||||||||
4.50%, 5/01/23 | 31,000 | 33,361 | ||||||||
4.75%, 9/15/44 | 61,000 | 60,013 | ||||||||
Matador Resources Co., 5.87%, 9/15/26 | 10,000 | 8,050 | ||||||||
Noble Energy, Inc., | ||||||||||
3.85%, 1/15/28 | 240,000 | 274,249 | ||||||||
6.00%, 3/01/41 | 70,000 | 98,330 | ||||||||
4.95%, 8/15/47 | 20,000 | 26,179 | ||||||||
Occidental Petroleum Corp., | ||||||||||
2.70%, 8/15/22 | 100,000 | 92,475 | ||||||||
6.95%, 7/01/24 | 200,000 | 189,000 | ||||||||
2.90%, 8/15/24 | 180,000 | 149,814 | ||||||||
5.55%, 3/15/26 | 160,000 | 139,200 | ||||||||
3.00%, 2/15/27 | 220,000 | 166,100 | ||||||||
7.87%, 9/15/31 | 210,000 | 191,100 | ||||||||
4.50%, 7/15/44 | 80,000 | 54,633 | ||||||||
6.60%, 3/15/46 | 150,000 | 124,187 | ||||||||
4.10%, 2/15/47 | 50,000 | 32,671 | ||||||||
4.20%, 3/15/48 | 230,000 | 149,500 | ||||||||
SM Energy Co., 10.00%, 1/15/25(b) | 7,000 | 6,663 | ||||||||
Sunoco L.P./Sunoco Finance Corp., | ||||||||||
4.87%, 1/15/23 | 20,000 | 20,150 | ||||||||
5.50%, 2/15/26 | 16,000 | 16,030 | ||||||||
6.00%, 4/15/27 | 12,000 | 12,405 | ||||||||
| 8,865,286
|
| ||||||||
Oil & Gas Services – 0.0%(i) | ||||||||||
Halliburton Co., 3.80%, 11/15/25 |
| 5,000
|
|
| 5,420
|
| ||||
Packaging & Containers – 0.0%(i) |
| |||||||||
Ball Corp., 5.25%, 7/01/25 | 9,000 | 10,179 |
Par(a)
| Value
| |||||||
Packaging & Containers (Continued) |
| |||||||
Ball Corp., 4.88%, 3/15/26 | $ | 7,000 | $ | 7,787 | ||||
Owens-Brockway Glass Container, Inc., 5.87%, 8/15/23(b) | 29,000 | 30,512 | ||||||
| 48,478
|
| ||||||
Pharmaceuticals – 2.1% | ||||||||
AbbVie, Inc., | ||||||||
3.45%, 3/15/22(b) | 100,000 | 103,527 | ||||||
2.30%, 11/21/22(b) | 555,000 | 575,066 | ||||||
3.75%, 11/14/23 | 20,000 | 21,784 | ||||||
2.60%, 11/21/24(b) | 1,142,000 | 1,214,568 | ||||||
3.80%, 3/15/25(b) | 510,000 | 566,049 | ||||||
3.60%, 5/14/25 | 40,000 | 44,270 | ||||||
2.95%, 11/21/26(b) | 100,000 | 109,208 | ||||||
3.20%, 11/21/29(b) | 847,000 | 926,722 | ||||||
4.55%, 3/15/35(b) | 6,000 | 7,278 | ||||||
4.50%, 5/14/35 | 173,000 | 210,283 | ||||||
4.30%, 5/14/36 | 47,000 | 55,650 | ||||||
4.70%, 5/14/45 | 135,000 | 163,864 | ||||||
4.45%, 5/14/46 | 30,000 | 35,778 | ||||||
4.25%, 11/21/49(b) | 20,000 | 23,358 | ||||||
Allergan Funding SCS, 3.45%, 3/15/22 | 200,000 | 203,981 | ||||||
Bausch Health Americas, Inc., | ||||||||
9.25%, 4/01/26(b) | 57,000 | 62,842 | ||||||
8.50%, 1/31/27(b) | 67,000 | 73,259 | ||||||
Bausch Health Cos., Inc., | ||||||||
5.50%, 11/01/25(b) | 63,000 | 64,720 | ||||||
9.00%, 12/15/25(b) | 57,000 | 62,284 | ||||||
5.75%, 8/15/27(b) | 18,000 | 19,305 | ||||||
7.00%, 1/15/28(b) | 28,000 | 29,610 | ||||||
7.25%, 5/30/29(b) | 28,000 | 30,119 | ||||||
Becton Dickinson and Co., | ||||||||
3.36%, 6/06/24 | 190,000 | 204,818 | ||||||
4.68%, 12/15/44 | 16,000 | 19,577 | ||||||
Bristol-Myers Squibb Co., | ||||||||
2.60%, 5/16/22 | 110,000 | 113,800 | ||||||
2.90%, 7/26/24 | 300,000 | 323,746 | ||||||
3.88%, 8/15/25 | 170,000 | 193,345 | ||||||
3.20%, 6/15/26 | 160,000 | 179,102 | ||||||
3.40%, 7/26/29 | 360,000 | 416,856 | ||||||
5.00%, 8/15/45 | 144,000 | 198,338 | ||||||
Cigna Corp., | ||||||||
3.75%, 7/15/23 | 187,000 | 202,305 | ||||||
4.12%, 11/15/25 | 20,000 | 22,875 | ||||||
4.37%, 10/15/28 | 840,000 | 996,008 | ||||||
4.90%, 12/15/48 | 100,000 | 129,253 | ||||||
CVS Health Corp., 4.10%, 3/25/25 | 159,000 | 179,260 |
See accompanying Notes to Financial Statements
65
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par(a)
| Value
| |||||||
Pharmaceuticals (Continued) | ||||||||
CVS Health Corp., | ||||||||
3.63%, 4/01/27 | $ | 40,000 | $ | 44,796 | ||||
4.30%, 3/25/28 | 990,000 | 1,146,414 | ||||||
3.25%, 8/15/29 | 309,000 | 338,390 | ||||||
3.75%, 4/01/30 | 339,000 | 384,379 | ||||||
4.78%, 3/25/38 | 200,000 | 241,562 | ||||||
4.12%, 4/01/40 | 40,000 | 45,399 | ||||||
5.12%, 7/20/45 | 233,000 | 294,917 | ||||||
5.05%, 3/25/48 | 320,000 | 405,850 | ||||||
Elanco Animal Health, Inc., | ||||||||
5.27%, 8/28/23 | 32,000 | 34,593 | ||||||
5.90%, 8/28/28 | 7,000 | 8,148 | ||||||
Johnson & Johnson, | ||||||||
0.55%, 9/01/25 | 80,000 | 80,523 | ||||||
0.95%, 9/01/27 | 150,000 | 149,606 | ||||||
3.63%, 3/03/37 | 70,000 | 83,486 | ||||||
2.10%, 9/01/40 | 100,000 | 97,287 | ||||||
3.70%, 3/01/46 | 36,000 | 44,554 | ||||||
Merck & Co., Inc., | ||||||||
0.75%, 2/24/26 | 120,000 | 119,670 | ||||||
3.40%, 3/07/29 | 4,000 | 4,620 | ||||||
1.45%, 6/24/30 | 163,000 | 163,197 | ||||||
Pfizer, Inc., | ||||||||
0.80%, 5/28/25 | 160,000 | 160,590 | ||||||
3.45%, 3/15/29 | 43,000 | 50,004 | ||||||
2.63%, 4/01/30 | 110,000 | 121,000 | ||||||
1.70%, 5/28/30 | 321,000 | 328,764 | ||||||
2.70%, 5/28/50 | 470,000 | 479,882 | ||||||
Shire Acquisitions Investments Ireland DAC, 2.88%, 9/23/23 | 59,000 | 62,564 | ||||||
Wyeth LLC, 5.95%, 4/01/37 | 44,000 | 64,613 | ||||||
| 12,737,616
|
| ||||||
Pipelines – 1.7% | ||||||||
Boardwalk Pipelines L.P., 4.80%, 5/03/29 | 20,000 | 21,361 | ||||||
Buckeye Partners L.P., 3.95%, 12/01/26 | 5,000 | 4,638 | ||||||
Cameron LNG LLC, | ||||||||
2.90%, 7/15/31(b) | 40,000 | 43,321 | ||||||
3.30%, 1/15/35(b) | 540,000 | 600,451 | ||||||
3.40%, 1/15/38(b) | 129,000 | 139,018 | ||||||
Cheniere Corpus Christi Holdings LLC, | ||||||||
5.87%, 3/31/25 | 184,000 | 208,237 | ||||||
5.13%, 6/30/27 | 190,000 | 212,898 | ||||||
Cheniere Energy Partners L.P., | ||||||||
5.25%, 10/01/25 | 30,000 | 30,516 | ||||||
5.62%, 10/01/26 | 22,000 | 22,585 |
Par(a)
| Value
| |||||||
Pipelines (Continued) | ||||||||
Cheniere Energy Partners L.P., 4.50%, 10/01/29 | $ | 14,000 | $ | 14,273 | ||||
DCP Midstream Operating L.P., | ||||||||
5.38%, 7/15/25 | 7,000 | 7,350 | ||||||
5.13%, 5/15/29 | 5,000 | 4,974 | ||||||
Energy Transfer Operating L.P., | ||||||||
3.60%, 2/01/23 | 108,000 | 111,286 | ||||||
4.20%, 9/15/23 | 58,000 | 61,123 | ||||||
4.50%, 4/15/24 | 113,000 | 119,911 | ||||||
4.05%, 3/15/25 | 120,000 | 126,248 | ||||||
2.90%, 5/15/25 | 412,000 | 414,588 | ||||||
4.95%, 6/15/28 | 20,000 | 21,492 | ||||||
5.25%, 4/15/29 | 60,000 | 65,004 | ||||||
3.75%, 5/15/30 | 370,000 | 363,059 | ||||||
6.50%, 2/01/42 | 92,000 | 98,125 | ||||||
6.25%, 4/15/49 | 20,000 | 21,119 | ||||||
Energy Transfer Partners L.P./Regency Energy Finance Corp., | ||||||||
5.87%, 3/01/22 | 160,000 | 167,222 | ||||||
5.00%, 10/01/22 | 170,000 | 179,154 | ||||||
4.50%, 11/01/23 | 90,000 | 95,074 | ||||||
Enterprise Products Operating LLC, | ||||||||
4.15%, 10/16/28 | 270,000 | 311,351 | ||||||
3.13%, 7/31/29 | 40,000 | 43,126 | ||||||
2.80%, 1/31/30 | 550,000 | 576,077 | ||||||
6.87%, 3/01/33 | 2,000 | 2,659 | ||||||
7.55%, 4/15/38 | 10,000 | 14,151 | ||||||
4.85%, 8/15/42 | 49,000 | 55,922 | ||||||
4.45%, 2/15/43 | 26,000 | 27,992 | ||||||
4.85%, 3/15/44 | 14,000 | 15,818 | ||||||
5.10%, 2/15/45 | 131,000 | 154,054 | ||||||
4.80%, 2/01/49 | 10,000 | 11,586 | ||||||
4.20%, 1/31/50 | 30,000 | 32,438 | ||||||
3.70%, 1/31/51 | 70,000 | 69,231 | ||||||
3.95%, 1/31/60 | 60,000 | 58,805 | ||||||
Kinder Morgan Energy Partners L.P., | ||||||||
4.25%, 9/01/24 | 100,000 | 110,383 | ||||||
6.95%, 1/15/38 | 85,000 | 109,506 | ||||||
5.50%, 3/01/44 | 56,000 | 64,345 | ||||||
Kinder Morgan, Inc., | ||||||||
4.30%, 6/01/25 | 90,000 | 101,045 | ||||||
4.30%, 3/01/28 | 60,000 | 67,803 | ||||||
5.55%, 6/01/45 | 80,000 | 93,664 | ||||||
5.05%, 2/15/46 | 40,000 | 44,920 | ||||||
5.20%, 3/01/48 | 60,000 | 69,374 |
See accompanying Notes to Financial Statements
66
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par(a)
| Value
| |||||||
Pipelines (Continued) | ||||||||
MPLX L.P., | ||||||||
3.38%, 3/15/23 | $ | 43,000 | $ | 45,255 | ||||
4.88%, 12/01/24 | 73,000 | 81,751 | ||||||
4.00%, 3/15/28 | 200,000 | 217,022 | ||||||
4.80%, 2/15/29 | 30,000 | 33,902 | ||||||
2.65%, 8/15/30 | 110,000 | 105,860 | ||||||
4.50%, 4/15/38 | 90,000 | 91,164 | ||||||
5.20%, 3/01/47 | 17,000 | 17,870 | ||||||
4.70%, 4/15/48 | 119,000 | 117,870 | ||||||
5.50%, 2/15/49 | 90,000 | 99,749 | ||||||
NGPL PipeCo LLC, | ||||||||
4.38%, 8/15/22(b) | 64,000 | 66,375 | ||||||
4.88%, 8/15/27(b) | 210,000 | 228,544 | ||||||
7.77%, 12/15/37(b) | 20,000 | 24,761 | ||||||
Northwest Pipeline LLC, 4.00%, 4/01/27 | 186,000 | 204,251 | ||||||
Sabine Pass Liquefaction LLC, | ||||||||
5.62%, 4/15/23 | 100,000 | 109,215 | ||||||
5.75%, 5/15/24 | 300,000 | 337,841 | ||||||
5.62%, 3/01/25 | 652,000 | 746,490 | ||||||
5.87%, 6/30/26 | 54,000 | 63,450 | ||||||
5.00%, 3/15/27 | 112,000 | 125,737 | ||||||
4.20%, 3/15/28 | 47,000 | 51,027 | ||||||
Southern Natural Gas Co. LLC, 8.00%, 3/01/32 | 80,000 | 111,949 | ||||||
Sunoco Logistics Partners Operations L.P., | ||||||||
4.25%, 4/01/24 | 171,000 | 179,661 | ||||||
5.95%, 12/01/25 | 40,000 | 45,938 | ||||||
5.30%, 4/01/44 | 10,000 | 9,398 | ||||||
Targa Resources Partners L.P./Targa Resources Partners Finance Corp., | ||||||||
5.13%, 2/01/25 | 22,000 | 22,055 | ||||||
5.87%, 4/15/26 | 44,000 | 44,880 | ||||||
5.38%, 2/01/27 | 23,000 | 23,115 | ||||||
6.50%, 7/15/27 | 36,000 | 37,710 | ||||||
5.00%, 1/15/28 | 7,000 | 6,913 | ||||||
6.87%, 1/15/29 | 36,000 | 38,610 | ||||||
5.50%, 3/01/30(b) | 9,000 | 9,047 | ||||||
Tennessee Gas Pipeline Co. LLC, 2.90%, 3/01/30(b) | 380,000 | 387,523 | ||||||
Texas Eastern Transmission L.P., | ||||||||
3.50%, 1/15/28(b) | 107,000 | 115,464 | ||||||
4.15%, 1/15/48(b) | 36,000 | 37,529 | ||||||
Transcontinental Gas Pipe Line Co. LLC, | ||||||||
7.85%, 2/01/26 | 582,000 | 746,240 | ||||||
4.00%, 3/15/28 | 113,000 | 126,333 |
Par(a)
| Value
| |||||||||
Pipelines (Continued) | ||||||||||
Transcontinental Gas Pipe Line Co. LLC, | ||||||||||
3.25%, 5/15/30(b) | $ | 14,000 | $ | 14,988 | ||||||
4.60%, 3/15/48 | 43,000 | 47,163 | ||||||||
3.95%, 5/15/50(b) | 68,000 | 69,397 | ||||||||
Western Midstream Operating L.P., | ||||||||||
(3M USD LIBOR + 1.85%), 2.07%, 1/13/23(d) | 40,000 | 37,213 | ||||||||
4.10%, 2/01/25 | 50,000 | 47,106 | ||||||||
4.65%, 7/01/26 | 90,000 | 86,400 | ||||||||
Williams (The) Cos., Inc., | ||||||||||
3.60%, 3/15/22 | 150,000 | 155,083 | ||||||||
4.85%, 3/01/48 | 110,000 | 120,373 | ||||||||
| 10,475,499
|
| ||||||||
Real Estate – 0.0%(i) | ||||||||||
Howard Hughes (The) Corp., 5.38%, 3/15/25(b) | 44,000 | 44,055 | ||||||||
Real Estate Investment Trusts – 0.4% |
| |||||||||
American Tower Corp., | ||||||||||
5.00%, 2/15/24 | 126,000 | 142,438 | ||||||||
3.38%, 5/15/24 | 50,000 | 54,032 | ||||||||
2.40%, 3/15/25 | 163,000 | 172,484 | ||||||||
1.30%, 9/15/25 | 72,000 | 72,598 | ||||||||
3.95%, 3/15/29 | 53,000 | 60,506 | ||||||||
3.80%, 8/15/29 | 58,000 | 66,000 | ||||||||
1.88%, 10/15/30 | 48,000 | 47,338 | ||||||||
Crown Castle International Corp., | ||||||||||
3.15%, 7/15/23 | 140,000 | 148,787 | ||||||||
1.35%, 7/15/25 | 93,000 | 93,926 | ||||||||
3.70%, 6/15/26 | 2,000 | 2,229 | ||||||||
3.10%, 11/15/29 | 245,000 | 263,272 | ||||||||
3.30%, 7/01/30 | 60,000 | 65,382 | ||||||||
2.25%, 1/15/31 | 19,000 | 19,095 | ||||||||
5.20%, 2/15/49 | 20,000 | 25,852 | ||||||||
Digital Dutch Finco B.V., | ||||||||||
1.50%, 3/15/30 | EUR | 130,000 | 160,166 | |||||||
1.00%, 1/15/32 | 100,000 | 116,670 | ||||||||
Equinix, Inc., | ||||||||||
2.63%, 11/18/24 | 30,000 | 31,888 | ||||||||
1.25%, 7/15/25 | 56,000 | 56,359 | ||||||||
1.00%, 9/15/25 | 202,000 | 201,142 | ||||||||
ESH Hospitality, Inc., | ||||||||||
5.25%, 5/01/25(b) | 55,000 | 55,000 | ||||||||
4.62%, 10/01/27(b) | 7,000 | 6,860 |
See accompanying Notes to Financial Statements
67
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par(a)
| Value
| |||||||||||
Real Estate Investment Trusts (Continued) |
| |||||||||||
MGM Growth Properties Operating Partnership L.P./MGP Finance Co-Issuer, Inc., | ||||||||||||
5.62%, 5/01/24 | $ | 92,000 | $ | 96,848 | ||||||||
4.50%, 9/01/26 | 25,000 | 25,625 | ||||||||||
5.75%, 2/01/27 | 40,000 | 43,165 | ||||||||||
MPT Operating Partnership L.P./MPT Finance Corp., | ||||||||||||
5.25%, 8/01/26 | 5,000 | 5,188 | ||||||||||
5.00%, 10/15/27 | 62,000 | 64,880 | ||||||||||
4.62%, 8/01/29 | 8,000 | 8,376 | ||||||||||
Prologis Euro Finance LLC, | ||||||||||||
1.50%, 9/10/49 | EUR | 105,000 | 129,635 | |||||||||
Realty Income Corp., | ||||||||||||
4.12%, 10/15/26 | 35,000 | 40,705 | ||||||||||
3.00%, 1/15/27 | 15,000 | 16,204 | ||||||||||
3.25%, 1/15/31 | 50,000 | 54,693 | ||||||||||
RHP Hotel Properties L.P./RHP Finance Corp., | ||||||||||||
4.75%, 10/15/27 | 34,000 | 31,420 | ||||||||||
Service Properties Trust, 4.35%, 10/01/24 | 20,000 | 17,700 | ||||||||||
VICI Properties L.P./VICI Note Co., Inc., | ||||||||||||
3.50%, 2/15/25(b) | 32,000 | 32,118 | ||||||||||
4.25%, 12/01/26(b) | 11,000 | 11,185 | ||||||||||
3.75%, 2/15/27(b) | 7,000 | 7,018 | ||||||||||
4.62%, 12/01/29(b) | 9,000 | 9,351 | ||||||||||
4.13%, 8/15/30(b) | 9,000 | 9,112 | ||||||||||
| 2,465,247
|
| ||||||||||
Retail – 0.7% | ||||||||||||
Beacon Roofing Supply, Inc., 4.87%, 11/01/25(b) | 50,000 | 49,050 | ||||||||||
Costco Wholesale Corp., | ||||||||||||
1.38%, 6/20/27 | 190,000 | 193,606 | ||||||||||
1.60%, 4/20/30 | 120,000 | 121,220 | ||||||||||
1.75%, 4/20/32 | 90,000 | 91,647 | ||||||||||
Dollar General Corp., | ||||||||||||
3.25%, 4/15/23 | 10,000 | 10,603 | ||||||||||
Home Depot (The), Inc., | ||||||||||||
2.50%, 4/15/27 | 60,000 | 64,973 | ||||||||||
3.90%, 12/06/28 | 10,000 | 11,906 | ||||||||||
2.95%, 6/15/29 | 275,000 | 309,331 | ||||||||||
2.70%, 4/15/30 | 80,000 | 88,315 | ||||||||||
3.30%, 4/15/40 | 60,000 | 68,229 | ||||||||||
3.90%, 6/15/47 | 20,000 | 24,248 | ||||||||||
3.35%, 4/15/50 | 230,000 | 259,900 | ||||||||||
Lowe’s Cos., Inc., | ||||||||||||
4.00%, 4/15/25 | 168,000 | 190,316 | ||||||||||
3.65%, 4/05/29 | 140,000 | 161,397 |
Par(a)
| Value
| |||||||||||
Retail (Continued) | ||||||||||||
Lowe’s Cos., Inc., | ||||||||||||
4.50%, 4/15/30 | $ | 50,000 | $ | 61,384 | ||||||||
McDonald’s Corp., | ||||||||||||
3.30%, 7/01/25 | 70,000 | 77,422 | ||||||||||
1.45%, 9/01/25 | 140,000 | 144,231 | ||||||||||
3.70%, 1/30/26 | 60,000 | 67,723 | ||||||||||
3.50%, 3/01/27 | 30,000 | 33,736 | ||||||||||
3.50%, 7/01/27 | 60,000 | 67,956 | ||||||||||
3.80%, 4/01/28 | 270,000 | 311,940 | ||||||||||
2.13%, 3/01/30 | 230,000 | 238,612 | ||||||||||
3.60%, 7/01/30 | 200,000 | 230,753 | ||||||||||
4.87%, 12/09/45 | 35,000 | 45,486 | ||||||||||
4.45%, 9/01/48 | 32,000 | 39,781 | ||||||||||
3.62%, 9/01/49 | 4,000 | 4,456 | ||||||||||
4.20%, 4/01/50 | 187,000 | 226,545 | ||||||||||
Starbucks Corp., | ||||||||||||
2.25%, 3/12/30 | 79,000 | 81,108 | ||||||||||
2.55%, 11/15/30 | 146,000 | 154,048 | ||||||||||
Target Corp., 2.25%, 4/15/25 | 110,000 | 117,418 | ||||||||||
TJX (The) Cos., Inc., | ||||||||||||
3.50%, 4/15/25 | 70,000 | 77,698 | ||||||||||
3.75%, 4/15/27 | 20,000 | 23,068 | ||||||||||
Walmart, Inc., | ||||||||||||
3.40%, 6/26/23 | 40,000 | 43,143 | ||||||||||
3.55%, 6/26/25 | 30,000 | 33,890 | ||||||||||
3.70%, 6/26/28 | 380,000 | 444,733 | ||||||||||
| 4,169,872
|
| ||||||||||
Semiconductors – 1.1% | ||||||||||||
Analog Devices, Inc., 3.90%, 12/15/25 | 16,000 | 18,238 | ||||||||||
Applied Materials, Inc., | ||||||||||||
1.75%, 6/01/30 | 300,000 | 306,862 | ||||||||||
5.85%, 6/15/41 | 17,000 | 25,349 | ||||||||||
2.75%, 6/01/50 | 80,000 | 81,648 | ||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 1/15/27 | 116,000 | 128,050 | ||||||||||
Broadcom, Inc., | ||||||||||||
2.25%, 11/15/23 | 322,000 | 334,890 | ||||||||||
4.70%, 4/15/25 | 566,000 | 643,602 | ||||||||||
3.15%, 11/15/25 | 220,000 | 237,112 | ||||||||||
4.25%, 4/15/26 | 364,000 | 409,194 | ||||||||||
3.46%, 9/15/26 | 37,000 | 40,322 | ||||||||||
4.11%, 9/15/28 | 105,000 | 116,945 | ||||||||||
4.75%, 4/15/29 | 141,000 | 163,623 | ||||||||||
4.15%, 11/15/30 | 60,000 | 67,216 | ||||||||||
Intel Corp., | ||||||||||||
3.70%, 7/29/25 | 20,000 | 22,592 | ||||||||||
4.60%, 3/25/40 | 50,000 | 65,685 | ||||||||||
3.73%, 12/08/47 | 34,000 | 39,965 |
See accompanying Notes to Financial Statements
68
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par(a)
| Value
| |||||||||||
Semiconductors (Continued) |
| |||||||||||
Intel Corp., | ||||||||||||
4.75%, 3/25/50 | $ | 553,000 | $ | 754,279 | ||||||||
4.95%, 3/25/60 | 120,000 | 174,139 | ||||||||||
KLA Corp., | ||||||||||||
4.10%, 3/15/29 | 125,000 | 148,187 | ||||||||||
3.30%, 3/01/50 | 181,000 | 190,114 | ||||||||||
Lam Research Corp., | ||||||||||||
3.75%, 3/15/26 | 161,000 | 184,867 | ||||||||||
4.87%, 3/15/49 | 112,000 | 155,622 | ||||||||||
Micron Technology, Inc., 2.50%, 4/24/23 | 100,000 | 104,073 | ||||||||||
NVIDIA Corp., | ||||||||||||
3.20%, 9/16/26 | 117,000 | 131,467 | ||||||||||
2.85%, 4/01/30 | 252,000 | 279,235 | ||||||||||
3.50%, 4/01/40 | 150,000 | 173,832 | ||||||||||
3.50%, 4/01/50 | 634,000 | 736,239 | ||||||||||
3.70%, 4/01/60 | 100,000 | 116,814 | ||||||||||
QUALCOMM, Inc., | ||||||||||||
4.80%, 5/20/45 | 50,000 | 67,314 | ||||||||||
4.30%, 5/20/47 | 94,000 | 119,695 | ||||||||||
Texas Instruments, Inc., | ||||||||||||
2.90%, 11/03/27 | 390,000 | 433,216 | ||||||||||
1.75%, 5/04/30 | 91,000 | 92,892 | ||||||||||
| 6,563,278
|
| ||||||||||
Shipbuilding – 0.0%(i) | ||||||||||||
Huntington Ingalls Industries, Inc., | ||||||||||||
3.84%, 5/01/25(b) | 75,000 | 82,526 | ||||||||||
4.20%, 5/01/30(b) | 105,000 | 121,090 | ||||||||||
| 203,616
|
| ||||||||||
Software – 0.8% | ||||||||||||
Activision Blizzard, Inc., | ||||||||||||
1.35%, 9/15/30 | 108,000 | 104,367 | ||||||||||
2.50%, 9/15/50 | 75,000 | 67,562 | ||||||||||
Adobe, Inc., 2.30%, 2/01/30 | 360,000 | 385,961 | ||||||||||
Autodesk, Inc., | ||||||||||||
3.50%, 6/15/27 | 226,000 | 254,405 | ||||||||||
2.85%, 1/15/30 | 3,000 | 3,298 | ||||||||||
Fidelity National Information Services, Inc., | ||||||||||||
3.00%, 8/15/26 | 27,000 | 29,858 | ||||||||||
1.00%, 12/03/28 | EUR | 105,000 | 127,339 | |||||||||
2.95%, 5/21/39 | 100,000 | 146,999 | ||||||||||
Fiserv, Inc., | ||||||||||||
3.20%, 7/01/26 | 26,000 | 28,786 | ||||||||||
3.50%, 7/01/29 | 191,000 | 214,415 | ||||||||||
2.65%, 6/01/30 | 194,000 | 206,057 | ||||||||||
1.63%, 7/01/30 | EUR | 105,000 | 132,928 |
Par(a)
| Value
| |||||||||||
Software (Continued) |
| |||||||||||
Microsoft Corp., | ||||||||||||
2.40%, 8/08/26 | $ | 60,000 | $ | 65,103 | ||||||||
3.30%, 2/06/27 | 900,000 | 1,022,460 | ||||||||||
4.20%, 11/03/35 | 66,000 | 86,135 | ||||||||||
3.45%, 8/08/36 | 40,000 | 48,108 | ||||||||||
3.70%, 8/08/46 | 144,000 | 176,966 | ||||||||||
2.53%, 6/01/50 | 45,000 | 45,862 | ||||||||||
Oracle Corp., | ||||||||||||
3.85%, 7/15/36 | 170,000 | 198,408 | ||||||||||
3.80%, 11/15/37 | 151,000 | 174,444 | ||||||||||
3.60%, 4/01/40 | 28,000 | 31,233 | ||||||||||
5.37%, 7/15/40 | 43,000 | 59,245 | ||||||||||
4.50%, 7/08/44 | 87,000 | 106,758 | ||||||||||
4.12%, 5/15/45 | 284,000 | 333,492 | ||||||||||
salesforce.com, Inc., | ||||||||||||
3.70%, 4/11/28 | 430,000 | 505,028 | ||||||||||
| 4,555,217
|
| ||||||||||
Telecommunications – 1.6% | ||||||||||||
AT&T, Inc., | ||||||||||||
3.80%, 2/15/27 | 469,000 | 527,597 | ||||||||||
2.30%, 6/01/27 | 224,000 | 233,296 | ||||||||||
1.65%, 2/01/28 | 430,000 | 426,248 | ||||||||||
4.30%, 2/15/30(b) | 105,000 | 122,506 | ||||||||||
2.25%, 2/01/32 | 117,000 | 114,692 | ||||||||||
4.50%, 5/15/35 | 208,000 | 242,605 | ||||||||||
3.15%, 9/04/36 | EUR | 100,000 | 141,929 | |||||||||
3.10%, 2/01/43 | 450,000 | 430,085 | ||||||||||
4.80%, 6/15/44 | 95,000 | 110,374 | ||||||||||
3.50%, 9/15/53(b) | 173,000 | 165,393 | ||||||||||
3.55%, 9/15/55(b) | 541,000 | 512,471 | ||||||||||
Corning, Inc., | ||||||||||||
3.70%, 11/15/23 | 9,000 | 9,698 | ||||||||||
4.37%, 11/15/57 | 32,000 | 37,255 | ||||||||||
Level 3 Financing, Inc., | ||||||||||||
5.25%, 3/15/26 | 33,000 | 34,069 | ||||||||||
4.62%, 9/15/27(b) | 9,000 | 9,180 | ||||||||||
Motorola Solutions, Inc., | ||||||||||||
4.60%, 5/23/29 | 140,000 | 164,584 | ||||||||||
2.30%, 11/15/30 | 24,000 | 23,869 | ||||||||||
5.50%, 9/01/44 | 105,000 | 123,719 | ||||||||||
Sprint Corp., | ||||||||||||
7.62%, 2/15/25 | 65,000 | 76,700 | ||||||||||
7.62%, 3/01/26 | 66,000 | 80,320 | ||||||||||
T-Mobile USA, Inc., | ||||||||||||
3.50%, 4/15/25(b) | 461,000 | 505,076 | ||||||||||
3.75%, 4/15/27(b) | 391,000 | 436,610 | ||||||||||
2.05%, 2/15/28(b) | 30,000 | 30,450 | ||||||||||
3.88%, 4/15/30(b) | 445,000 | 499,895 | ||||||||||
2.55%, 2/15/31(b) | 148,000 | 150,827 | ||||||||||
2.25%, 11/15/31(b) | 175,000 | 172,853 |
See accompanying Notes to Financial Statements
69
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par(a)
| Value
| |||||||||||
Telecommunications (Continued) |
| |||||||||||
T-Mobile USA, Inc., | ||||||||||||
3.00%, 2/15/41(b) | $ | 90,000 | $ | 87,287 | ||||||||
3.30%, 2/15/51(b) | 20,000 | 19,269 | ||||||||||
Verizon Communications, Inc., | ||||||||||||
3.38%, 2/15/25 | 190,000 | 211,052 | ||||||||||
2.63%, 8/15/26 | 10,000 | 10,869 | ||||||||||
4.13%, 3/16/27 | 368,000 | 432,126 | ||||||||||
3.00%, 3/22/27 | 222,000 | 244,680 | ||||||||||
4.33%, 9/21/28 | 250,000 | 300,091 | ||||||||||
3.88%, 2/08/29 | 420,000 | 491,548 | ||||||||||
4.02%, 12/03/29 | 85,000 | 100,531 | ||||||||||
3.15%, 3/22/30 | 90,000 | 100,124 | ||||||||||
1.50%, 9/18/30 | 60,000 | 58,913 | ||||||||||
4.50%, 8/10/33 | 1,125,000 | 1,398,075 | ||||||||||
4.40%, 11/01/34 | 85,000 | 104,994 | ||||||||||
4.27%, 1/15/36 | 176,000 | 215,133 | ||||||||||
2.88%, 1/15/38 | EUR | 100,000 | 149,025 | |||||||||
4.81%, 3/15/39 | 61,000 | 79,215 | ||||||||||
3.85%, 11/01/42 | 60,000 | 71,028 | ||||||||||
4.12%, 8/15/46 | 70,000 | 84,680 | ||||||||||
4.86%, 8/21/46 | 87,000 | 115,616 | ||||||||||
4.52%, 9/15/48 | 40,000 | 51,426 | ||||||||||
4.00%, 3/22/50 | 190,000 | 228,934 | ||||||||||
2.99%, 10/30/56(b) | 53,741 | 54,433 | ||||||||||
| 9,991,350
|
| ||||||||||
Toys/Games/Hobbies – 0.0%(i) |
| |||||||||||
Hasbro, Inc., 2.60%, 11/19/22 | 175,000 | 181,375 | ||||||||||
Transportation – 0.6% | ||||||||||||
Burlington Northern Santa Fe LLC, | ||||||||||||
5.75%, 5/01/40 | 27,000 | 38,273 | ||||||||||
5.40%, 6/01/41 | 10,000 | 13,874 | ||||||||||
4.40%, 3/15/42 | 92,000 | 114,537 | ||||||||||
CSX Corp., | ||||||||||||
4.25%, 3/15/29 | 159,000 | 189,814 | ||||||||||
6.15%, 5/01/37 | 5,000 | 7,085 | ||||||||||
4.75%, 5/30/42 | 44,000 | 55,634 | ||||||||||
4.30%, 3/01/48 | 33,000 | 40,432 | ||||||||||
4.75%, 11/15/48 | 76,000 | 99,571 | ||||||||||
FedEx Corp., | ||||||||||||
3.90%, 2/01/35 | 54,000 | 62,949 | ||||||||||
3.88%, 8/01/42 | 14,000 | 15,479 | ||||||||||
4.10%, 4/15/43 | 32,000 | 36,324 | ||||||||||
4.55%, 4/01/46 | 31,000 | 37,560 | ||||||||||
5.25%, 5/15/50 | 83,000 | 111,707 | ||||||||||
Norfolk Southern Corp., | ||||||||||||
2.90%, 6/15/26 | 193,000 | 212,233 | ||||||||||
2.55%, 11/01/29 | 5,000 | 5,367 |
Par(a)
| Value
| |||||||||||
Transportation (Continued) |
| |||||||||||
Norfolk Southern Corp., | ||||||||||||
3.40%, 11/01/49 | $ | 50,000 | $ | 55,025 | ||||||||
4.05%, 8/15/52 | 53,000 | 64,199 | ||||||||||
Ryder System, Inc., 4.62%, 6/01/25 | 315,000 | 362,341 | ||||||||||
Union Pacific Corp., | ||||||||||||
3.25%, 1/15/25 | 105,000 | 114,945 | ||||||||||
3.25%, 8/15/25 | 27,000 | 29,719 | ||||||||||
2.75%, 3/01/26 | 53,000 | 57,418 | ||||||||||
2.15%, 2/05/27 | 120,000 | 127,071 | ||||||||||
3.95%, 9/10/28 | 220,000 | 257,854 | ||||||||||
2.40%, 2/05/30 | 220,000 | 234,268 | ||||||||||
3.38%, 2/01/35 | 23,000 | 26,099 | ||||||||||
3.55%, 8/15/39 | 41,000 | 46,043 | ||||||||||
3.95%, 8/15/59 | 38,000 | 43,661 | ||||||||||
3.84%, 3/20/60 | 220,000 | 248,655 | ||||||||||
4.37%, 11/15/65 | 42,000 | 50,895 | ||||||||||
3.75%, 2/05/70 | 130,000 | 142,368 | ||||||||||
United Parcel Service, Inc., | ||||||||||||
3.40%, 3/15/29 | 52,000 | 59,597 | ||||||||||
2.50%, 9/01/29 | 28,000 | 30,273 | ||||||||||
4.45%, 4/01/30 | 202,000 | 250,752 | ||||||||||
5.20%, 4/01/40 | 134,000 | 182,320 | ||||||||||
XPO Logistics, Inc., | ||||||||||||
6.12%, 9/01/23(b) | 18,000 | 18,225 | ||||||||||
6.75%, 8/15/24(b) | 46,000 | 48,677 | ||||||||||
| 3,491,244
|
| ||||||||||
Trucking & Leasing – 0.0%(i) | ||||||||||||
Penske Truck Leasing Co. L.P./PTL Finance Corp., | ||||||||||||
4.25%, 1/17/23(b) | 4,000 | 4,304 | ||||||||||
2.70%, 3/14/23(b) | 10,000 | 10,438 | ||||||||||
2.70%, 11/01/24(b) | 25,000 | 26,560 | ||||||||||
3.95%, 3/10/25(b) | 30,000 | 33,452 | ||||||||||
4.00%, 7/15/25(b) | 94,000 | 106,031 | ||||||||||
4.45%, 1/29/26(b) | 10,000 | 11,383 | ||||||||||
3.40%, 11/15/26(b) | 21,000 | 23,067 | ||||||||||
3.35%, 11/01/29(b) | 20,000 | 21,347 | ||||||||||
236,582 | ||||||||||||
Total Corporate Bonds | 166,673,836 | |||||||||||
Foreign Issuer Bonds – 11.4% |
| |||||||||||
Argentina – 0.0%(i) | ||||||||||||
YPF S.A., 7.00%, 12/15/47(b) | 45,000 | 22,725 | ||||||||||
Australia – 0.2% | ||||||||||||
BHP Billiton Finance USA Ltd., 5.00%, 9/30/43 | 20,000 | 27,743 |
See accompanying Notes to Financial Statements
70
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par(a)
| Value
| |||||||
Australia (Continued) | ||||||||
FMG Resources (August 2006) Pty. Ltd., | ||||||||
4.75%, 5/15/22(b) | $ | 32,000 | $ | 32,745 | ||||
5.12%, 3/15/23(b) | 23,000 | 24,006 | ||||||
4.50%, 9/15/27(b) | 5,000 | 5,355 | ||||||
Glencore Funding LLC, | ||||||||
4.12%, 3/12/24(b) | 400,000 | 432,429 | ||||||
4.00%, 3/27/27(b) | 380,000 | 413,886 | ||||||
3.88%, 10/27/27(b) | 80,000 | 87,032 | ||||||
| 1,023,196
|
| ||||||
Bahrain – 0.0%(i) | ||||||||
Bahrain Government International Bond, 7.38%, 5/14/30 | 200,000 |
| 221,849
|
| ||||
Belgium – 0.6% | ||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., | ||||||||
3.65%, 2/01/26 | 80,000 | 89,858 | ||||||
4.70%, 2/01/36 | 447,000 | 549,213 | ||||||
Anheuser-Busch InBev Worldwide, Inc., | ||||||||
4.15%, 1/23/25 | 200,000 | 226,852 | ||||||
4.00%, 4/13/28 | 160,000 | 184,302 | ||||||
4.75%, 1/23/29 | 809,000 | 979,719 | ||||||
3.50%, 6/01/30 | 300,000 | 339,646 | ||||||
4.90%, 1/23/31 | 242,000 | 303,828 | ||||||
4.35%, 6/01/40 | 130,000 | 153,097 | ||||||
4.95%, 1/15/42 | 26,000 | 31,630 | ||||||
5.55%, 1/23/49 | 220,000 | 296,679 | ||||||
4.50%, 6/01/50 | 230,000 | 271,696 | ||||||
| 3,426,520
|
| ||||||
Brazil – 0.5% | ||||||||
Banco Votorantim S.A., 4.00%, 9/24/22(b) | 200,000 | 204,500 | ||||||
Brazilian Government International Bond, 3.88%, 6/12/30 | 461,000 | 466,763 | ||||||
Embraer Netherlands Finance B.V., 5.40%, 2/01/27 | 13,000 | 12,364 | ||||||
Embraer Overseas Ltd., 5.70%, 9/16/23 | 19,000 | 19,319 | ||||||
Gol Finance S.A., 7.00%, 1/31/25(b) | 102,000 | 75,482 | ||||||
Petrobras Global Finance B.V., | ||||||||
5.09%, 1/15/30 | 40,000 | 41,889 | ||||||
5.60%, 1/03/31 | 86,000 | 92,824 | ||||||
7.25%, 3/17/44 | 40,000 | 46,543 | ||||||
6.90%, 3/19/49 | 47,000 | 53,187 | ||||||
6.75%, 6/03/50 | 15,000 | 16,460 |
Par(a)
| Value
| |||||||
Brazil (Continued) | ||||||||
Rumo Luxembourg S.a.r.l., 5.87%, 1/18/25(b) | $ | 200,000 | $ | 209,252 | ||||
Suzano Austria GmbH, 6.00%, 1/15/29 | 720,000 | 834,847 | ||||||
Vale Overseas Ltd., | ||||||||
6.25%, 8/10/26 | 650,000 | 775,580 | ||||||
3.75%, 7/08/30 | 40,000 | 42,120 | ||||||
| 2,891,130
|
| ||||||
Canada – 0.3% | ||||||||
1011778 B.C. ULC/New Red Finance, Inc., | ||||||||
5.00%, 10/15/25(b) | 58,000 | 59,473 | ||||||
3.88%, 1/15/28(b) | 7,000 | 7,052 | ||||||
Air Canada Pass Through Trust, | ||||||||
Series 2015-2, Class B, 5.00%, 12/15/23(b) | 11,280 | 9,307 | ||||||
Series 2017-1, Class AA, 3.30%, 1/15/30(b) | 16,157 | 15,188 | ||||||
Alimentation Couche-Tard, Inc., 3.55%, 7/26/27(b) | 223,000 | 247,675 | ||||||
Bank of Montreal, 1.85%, 5/01/25 | 210,000 | 219,024 | ||||||
(5Y USD Swap Rate + 1.43%), 3.80%, 12/15/32(j) | 40,000 | 44,307 | ||||||
Bank of Nova Scotia (The), 1.30%, 6/11/25 | 120,000 | 122,258 | ||||||
Barrick North America Finance LLC, 5.75%, 5/01/43 | 190,000 | 273,377 | ||||||
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp., 6.25%, 9/15/27(b) | �� | 51,000 | 52,260 | |||||
Canadian Imperial Bank of Commerce, 0.95%, 6/23/23 | 100,000 | 101,141 | ||||||
Enbridge, Inc., 2.90%, 7/15/22 | 36,000 | 37,290 | ||||||
Magna International, Inc., 2.45%, 6/15/30 | 32,000 | 33,601 | ||||||
Mattamy Group Corp., 5.25%, 12/15/27(b) | 5,000 | 5,287 | ||||||
Royal Bank of Canada, | ||||||||
1.60%, 4/17/23 | 190,000 | 195,390 | ||||||
1.15%, 6/10/25 | 100,000 | 101,615 | ||||||
Suncor Energy, Inc., | ||||||||
6.80%, 5/15/38 | 30,000 | 37,924 | ||||||
6.50%, 6/15/38 | 16,000 | 20,050 | ||||||
6.85%, 6/01/39 | 43,000 | 55,232 | ||||||
Teck Resources Ltd., 6.12%, 10/01/35 | 10,000 | 11,592 |
See accompanying Notes to Financial Statements
71
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par(a)
| Value
| |||||||||||
Canada (Continued) | ||||||||||||
Toronto-Dominion Bank (The), | ||||||||||||
0.75%, 6/12/23 | $ | 210,000 | $ | 211,418 | ||||||||
1.15%, 6/12/25 | 110,000 | 111,686 | ||||||||||
TransCanada PipeLines Ltd., | ||||||||||||
4.63%, 3/01/34 | 42,000 | 48,526 | ||||||||||
5.85%, 3/15/36 | 22,000 | 28,603 | ||||||||||
| 2,049,276
|
| ||||||||||
Chile – 0.3% | ||||||||||||
Chile Government International Bond, | ||||||||||||
2.45%, 1/31/31 | 200,000 | 207,750 | ||||||||||
3.86%, 6/21/47 | 270,000 | 313,697 | ||||||||||
Corp. Nacional del Cobre de Chile, | ||||||||||||
3.63%, 8/01/27(b) | 330,000 | 360,125 | ||||||||||
3.70%, 1/30/50(b) | 260,000 | 271,500 | ||||||||||
Empresa Nacional de Telecomunicaciones S.A., 4.75%, 8/01/26(b) | 200,000 | 220,985 | ||||||||||
Kenbourne Invest S.A., 6.87%, 11/26/24(b) | 200,000 | 208,750 | ||||||||||
| 1,582,807
|
| ||||||||||
China – 0.2% | ||||||||||||
CNOOC Finance 2015 USA LLC, 3.50%, 5/05/25 | 410,000 | 448,278 | ||||||||||
Sinopec Group Overseas Development 2014 Ltd., 4.37%, 4/10/24(b) | 290,000 | 319,362 | ||||||||||
Tencent Holdings Ltd., 3.60%, 1/19/28(b) | 220,000 | 240,499 | ||||||||||
| 1,008,139
|
| ||||||||||
Colombia – 0.6% | ||||||||||||
Colombia Government International Bond, | ||||||||||||
3.88%, 4/25/27 | 615,000 | 665,123 | ||||||||||
4.50%, 3/15/29 | 300,000 | 336,642 | ||||||||||
3.13%, 4/15/31 | 258,000 | 264,837 | ||||||||||
5.00%, 6/15/45 | 610,000 | 712,480 | ||||||||||
5.20%, 5/15/49 | 460,000 | 552,906 | ||||||||||
Colombian TES, | ||||||||||||
6.25%, 11/26/25 | COP | 171,000,000 | 48,126 | |||||||||
7.25%, 10/18/34 | COP | 479,200,000 | 133,216 | |||||||||
Ecopetrol S.A., | ||||||||||||
5.37%, 6/26/26 | 151,000 | 166,290 | ||||||||||
6.87%, 4/29/30 | 30,000 | 36,072 | ||||||||||
5.87%, 5/28/45 | 510,000 | 556,257 | ||||||||||
| 3,471,949
|
|
Par(a)
| Value
| |||||||
Denmark – 0.3% | ||||||||
Danske Bank A/S, | ||||||||
5.00%, 1/12/22(b) | $ | 400,000 | $ | 418,868 | ||||
3.88%, 9/12/23(b) | 400,000 | 430,042 | ||||||
(1Y US Treasury CMT + 1.03%), 1.17%, 12/08/23(b)(j) | 200,000 | 200,296 | ||||||
5.37%, 1/12/24(b) | 400,000 | 448,987 | ||||||
5.37%, 1/12/24 | 200,000 | 224,494 | ||||||
1.23%, 6/22/24(b) | 200,000 | 201,997 | ||||||
| 1,924,684
|
| ||||||
Dominican Republic – 0.1% | ||||||||
Dominican Republic International Bond, | ||||||||
4.50%, 1/30/30 | 343,000 | 345,576 | ||||||
4.88%, 9/23/32(b) | 171,500 | 174,074 | ||||||
5.87%, 1/30/60 | 200,000 | 191,000 | ||||||
| 710,650
|
| ||||||
Finland – 0.0%(i) | ||||||||
Nordea Bank Abp, 1.00%, 6/09/23(b) | 210,000 | 212,850 | ||||||
France – 0.4% | ||||||||
BNP Paribas S.A., | ||||||||
3.50%, 3/01/23(b) | 293,000 | 311,453 | ||||||
(3M USD LIBOR + 2.24%), 4.70%, | 200,000 | 220,837 | ||||||
(3M USD LIBOR + 1.11%), 2.82%, | 214,000 | 226,401 | ||||||
(SOFR + 2.07%), 2.22%, 6/09/26(b)(j) | 600,000 | 620,452 | ||||||
(SOFR + 1.51%), 3.05%, 1/13/31(b)(j) | 200,000 | 211,975 | ||||||
BPCE S.A., 2.70%, 10/01/29(b) | 250,000 | 266,039 | ||||||
Credit Agricole S.A., (SOFR + 1.68%), 1.91%, 6/16/26(b)(j) | 250,000 | 256,092 | ||||||
Danone S.A., 2.95%, 11/02/26(b) | 200,000 | 219,548 | ||||||
| 2,332,797
|
| ||||||
Hungary – 0.0%(i) | ||||||||
Hungary Government International Bond, 5.38%, 3/25/24 | 122,000 | 139,847 | ||||||
India – 0.0%(i) | ||||||||
Export-Import Bank of India, 3.38%, 8/05/26(b) | 200,000 | 210,868 | ||||||
Indonesia – 0.6% | ||||||||
Indonesia Government International Bond, 4.10%, 4/24/28 | 200,000 | 227,001 |
See accompanying Notes to Financial Statements
72
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par(a)
| Value
| |||||||||||
Indonesia (Continued) |
| |||||||||||
Indonesia Government International Bond, | ||||||||||||
2.85%, 2/14/30 | $ | 421,000 | $ | 442,617 | ||||||||
3.85%, 10/15/30 | 200,000 | 227,898 | ||||||||||
4.35%, 1/11/48 | 850,000 | 982,443 | ||||||||||
3.70%, 10/30/49 | 330,000 | 350,994 | ||||||||||
Indonesia Treasury Bond, | ||||||||||||
7.00%, 5/15/27 | IDR | 1,238,000,000 | 87,698 | |||||||||
7.00%, 9/15/30 | IDR | 547,000,000 | 38,542 | |||||||||
6.50%, 2/15/31 | IDR | 2,970,000,000 | 201,980 | |||||||||
6.63%, 5/15/33 | IDR | 357,000,000 | 23,520 | |||||||||
7.50%, 6/15/35 | IDR | 1,047,000,000 | 73,881 | |||||||||
8.37%, 4/15/39 | IDR | 1,676,000,000 | 124,373 | |||||||||
7.37%, 5/15/48 | IDR | 1,091,000,000 | 74,613 | |||||||||
Pertamina Persero PT, 6.00%, 5/03/42(b) | 280,000 | 341,582 | ||||||||||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, 5.45%, 5/21/28(b) | 480,000 | 562,200 | ||||||||||
| 3,759,342
|
| ||||||||||
Israel – 0.1% | ||||||||||||
Israel Government International Bond, | ||||||||||||
2.75%, 7/03/30 | 200,000 | 218,600 | ||||||||||
4.50%, 4/03/20(m) | 220,000 | 286,106 | ||||||||||
Leviathan Bond Ltd., 5.75%, 6/30/23(b) | 44,000 | 45,065 | ||||||||||
| 549,771
|
| ||||||||||
Italy – 0.4% | ||||||||||||
Intesa Sanpaolo S.p.A., 3.13%, 7/14/22(b) | 840,000 | 864,813 | ||||||||||
Italy Buoni Poliennali Del Tesoro, 1.80%, | EUR | 1,363,000 | 1,706,116 | |||||||||
| 2,570,929
|
| ||||||||||
Japan – 0.3% | ||||||||||||
Mitsubishi UFJ Financial Group, Inc., | ||||||||||||
3.45%, 3/02/23 | 204,000 | 217,919 | ||||||||||
2.19%, 2/25/25 | 205,000 | 214,906 | ||||||||||
Mizuho Financial Group, Inc., | ||||||||||||
(3M USD LIBOR + 0.98%), 2.84%, | 200,000 | 211,581 | ||||||||||
(3M USD LIBOR + 1.27%), 1.98%, | 200,000 | 197,693 | ||||||||||
Nissan Motor Co. Ltd., 4.81%, 9/17/30(b) | 400,000 | 401,284 | ||||||||||
Sumitomo Mitsui Financial Group, Inc., 2.35%, 1/15/25 | 400,000 | 422,246 |
Par(a)
| Value
| |||||||||||
Japan (Continued) | ||||||||||||
Takeda Pharmaceutical Co. Ltd., | ||||||||||||
2.05%, 3/31/30 | $ | 200,000 | $ | 201,300 | ||||||||
2.00%, 7/09/40 | EUR | 110,000 | 139,718 | |||||||||
| 2,006,647
|
| ||||||||||
Kazakhstan – 0.1% | ||||||||||||
Kazakhstan Government International Bond, 4.88%, 10/14/44 | 200,000 | 266,515 | ||||||||||
KazMunayGas National Co. JSC, 6.37%, 10/24/48(b) | 220,000 | 292,282 | ||||||||||
| 558,797
|
| ||||||||||
Kuwait – 0.1% | ||||||||||||
Equate Petrochemical B.V., 4.25%, 11/03/26(b) | 210,000 | 224,465 | ||||||||||
Kuwait International Government Bond, 3.50%, 3/20/27(b) | 210,000 | 237,321 | ||||||||||
MEGlobal Canada ULC, 5.00%, 5/18/25(b) | 200,000 | 217,690 | ||||||||||
| 679,476
|
| ||||||||||
Luxembourg – 0.1% | ||||||||||||
ArcelorMittal S.A., | ||||||||||||
3.60%, 7/16/24 | 110,000 | 114,498 | ||||||||||
4.55%, 3/11/26 | 360,000 | 387,569 | ||||||||||
| 502,067
|
| ||||||||||
Macau – 0.1% | ||||||||||||
Sands China Ltd., 5.13%, 8/08/25 | 300,000 | 323,166 | ||||||||||
Malaysia – 0.0%(i) | ||||||||||||
Petronas Capital Ltd., 3.50%, 4/21/30(b) | 200,000 | 222,560 | ||||||||||
Mexico – 0.7% | ||||||||||||
America Movil S.A.B. de C.V., | ||||||||||||
3.13%, 7/16/22 | 200,000 | 207,117 | ||||||||||
2.88%, 5/07/30 | 200,000 | 214,972 | ||||||||||
Comision Federal de Electricidad, 4.75%, 2/23/27(b) | 200,000 | 218,000 | ||||||||||
Fomentico Economico Mexicano S.A.B. de C.V., 3.50%, 1/16/50 | 150,000 | 156,356 | ||||||||||
Industrias Penoles S.A.B.de C.V., 4.15%, 9/12/29(b) | 200,000 | 219,000 | ||||||||||
Mexico Government International Bond, 4.15%, 3/28/27 | 467,000 | 520,126 | ||||||||||
3.25%, 4/16/30 | 445,000 | 459,810 |
See accompanying Notes to Financial Statements
73
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par(a)
| Value
| |||||||
Mexico (Continued) | ||||||||
Mexico Government International Bond, | ||||||||
4.75%, 3/08/44 | $ | 1,060,000 | $ | 1,171,311 | ||||
4.50%, 1/31/50 | 220,000 | 237,327 | ||||||
Petroleos Mexicanos, | ||||||||
(3M USD LIBOR + 3.65%), 3.90%, 3/11/22(d) | 31,000 | 30,457 | ||||||
4.25%, 1/15/25 | 14,000 | 13,031 | ||||||
5.62%, 1/23/46 | 640,000 | 472,800 | ||||||
6.35%, 2/12/48 | 106,000 | 80,957 | ||||||
6.95%, 1/28/60 | 209,000 | 163,438 | ||||||
| 4,164,702
|
| ||||||
Morocco – 0.0%(i) | ||||||||
OCP S.A., 4.50%, 10/22/25(b) | 200,000 | 211,475 | ||||||
Netherlands – 0.7% | ||||||||
Cooperatieve Rabobank U.A., | ||||||||
4.62%, 12/01/23 | 250,000 | 277,929 | ||||||
4.37%, 8/04/25 | 440,000 | 497,777 | ||||||
(1Y US Treasury CMT + 1.00%), 1.34%, 6/24/26(b)(j) | 250,000 | 251,721 | ||||||
ING Groep N.V., 4.10%, 10/02/23 | 400,000 | 439,136 | ||||||
(1Y US Treasury CMT + 1.10%), 1.40%, 7/01/26(b)(j) | 200,000 | 201,576 | ||||||
NXP B.V./NXP Funding LLC, 4.62%, 6/01/23(b) | 245,000 | 268,623 | ||||||
NXP B.V./NXP Funding LLC/NXP USA, Inc., | ||||||||
2.70%, 5/01/25(b) | 80,000 | 85,011 | ||||||
3.15%, 5/01/27(b) | 7,000 | 7,578 | ||||||
4.30%, 6/18/29(b) | 46,000 | 53,350 | ||||||
3.40%, 5/01/30(b) | 251,000 | 275,670 | ||||||
Shell International Finance B.V., | ||||||||
3.50%, 11/13/23 | 170,000 | 184,898 | ||||||
2.88%, 5/10/26 | 140,000 | 154,625 | ||||||
3.88%, 11/13/28 | 49,000 | 56,747 | ||||||
2.38%, 11/07/29 | 556,000 | 583,073 | ||||||
2.75%, 4/06/30 | 100,000 | 107,835 | ||||||
4.37%, 5/11/45 | 56,000 | 66,958 | ||||||
4.00%, 5/10/46 | 80,000 | 91,320 | ||||||
3.25%, 4/06/50 | 300,000 | 309,329 | ||||||
| 3,913,156
|
| ||||||
Panama – 0.3% | ||||||||
Panama Government International Bond, 3.87%, 3/17/28 | 400,000 | 453,004 |
Par(a)
| Value
| |||||||||||
Panama (Continued) | ||||||||||||
Panama Government International Bond, | ||||||||||||
6.70%, 1/26/36 | $ | 580,000 | $ | 838,106 | ||||||||
4.30%, 4/29/53 | 400,000 | 483,004 | ||||||||||
| 1,774,114
|
| ||||||||||
Peru – 0.4% | ||||||||||||
Banco de Credito del Peru, (5Y US Treasury CMT + 3.00%), 3.13%, 7/01/30(b)(j) | 45,000 | 45,495 | ||||||||||
Banco Internacional del Peru S.A.A. Interbank, 3.25%, 10/04/26(b) | 33,000 | 34,774 | ||||||||||
Peru Government Bond, | ||||||||||||
5.94%, 2/12/29 | PEN | 205,000 | 67,709 | |||||||||
6.95%, 8/12/31 | PEN | 205,000 | 70,014 | |||||||||
6.15%, 8/12/32 | PEN | 205,000 | 65,400 | |||||||||
Peruvian Government International Bond, | ||||||||||||
4.13%, 8/25/27 | 152,000 | 176,701 | ||||||||||
2.78%, 1/23/31 | 147,000 | 158,907 | ||||||||||
6.55%, 3/14/37 | 130,000 | 196,626 | ||||||||||
5.62%, 11/18/50 | 270,000 | 431,325 | ||||||||||
Petroleos del Peru S.A., | ||||||||||||
4.75%, 6/19/32(b) | 500,000 | 545,100 | ||||||||||
Southern Copper Corp., | ||||||||||||
5.25%, 11/08/42 | 600,000 | 762,142 | ||||||||||
| 2,554,193
|
| ||||||||||
Philippines – 0.2% | ||||||||||||
Philippine Government International Bond, | ||||||||||||
4.20%, 1/21/24 | 400,000 | 443,766 | ||||||||||
3.00%, 2/01/28 | 200,000 | 219,330 | ||||||||||
3.75%, 1/14/29 | 200,000 | 231,506 | ||||||||||
| 894,602
|
| ||||||||||
Poland – 0.1% | ||||||||||||
Republic of Poland Government International Bond, 4.00%, 1/22/24 | �� | 500,000 | 556,170 | |||||||||
Qatar – 0.2% | ||||||||||||
Qatar Government International Bond, | ||||||||||||
3.87%, 4/23/23(b) | 200,000 | 214,500 | ||||||||||
3.75%, 4/16/30 | 200,000 | 232,629 | ||||||||||
4.82%, 3/14/49(b) | 520,000 | 692,458 | ||||||||||
| 1,139,587
|
| ||||||||||
Romania – 0.0%(i) | ||||||||||||
Romanian Government International Bond, 3.00%, 2/14/31(b) | 122,000 | 126,333 |
See accompanying Notes to Financial Statements
74
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par(a)
| Value
| |||||||||||
Russia – 0.3% | ||||||||||||
Russian Federal Bond - OFZ, | ||||||||||||
7.75%, 9/16/26 | RUB | $ | 21,548,000 | $ | 301,888 | |||||||
8.15%, 2/03/27 | RUB | 7,757,000 | 110,664 | |||||||||
6.00%, 10/06/27 | RUB | 4,390,000 | 55,995 | |||||||||
6.90%, 5/23/29 | RUB | 9,054,000 | 121,182 | |||||||||
8.50%, 9/17/31 | RUB | 9,560,000 | 141,413 | |||||||||
Russian Foreign Bond - Eurobond, | ||||||||||||
4.38%, 3/21/29 | 400,000 | 457,263 | ||||||||||
5.62%, 4/04/42(b) | 600,000 | 788,228 | ||||||||||
| 1,976,633
|
| ||||||||||
Saudi Arabia – 0.1% | ||||||||||||
Saudi Government International Bond, 3.25%, 10/22/30 | 455,000 | 496,928 | ||||||||||
South Africa – 0.1% | ||||||||||||
Anglo American Capital PLC, | ||||||||||||
4.00%, 9/11/27(b) | 400,000 | 442,350 | ||||||||||
5.63%, 4/01/30(b) | 200,000 | 245,819 | ||||||||||
| 688,169
|
| ||||||||||
Spain – 0.2% | ||||||||||||
Banco Santander S.A., | ||||||||||||
2.75%, 5/28/25 | 400,000 | 421,705 | ||||||||||
4.38%, 4/12/28 | 200,000 | 227,491 | ||||||||||
3.30%, 6/27/29 | 200,000 | 218,175 | ||||||||||
Telefonica Emisiones S.A., 4.10%, 3/08/27 | 150,000 | 169,910 | ||||||||||
| 1,037,281
|
| ||||||||||
Sweden – 0.0%(i) | ||||||||||||
Swedbank AB, 1.30%, | ||||||||||||
6/02/23(b) | 200,000 | 203,569 | ||||||||||
Switzerland – 0.8% | ||||||||||||
Credit Suisse A.G., | ||||||||||||
1.00%, 5/05/23 | 670,000 | 678,277 | ||||||||||
2.95%, 4/09/25 | 250,000 | 272,920 | ||||||||||
Credit Suisse Group A.G., | ||||||||||||
(SOFR + 1.56%), 2.59%, | 250,000 | 262,044 | ||||||||||
(SOFR + 3.73%), 4.19%, | 250,000 | 286,728 | ||||||||||
Credit Suisse Group Funding Guernsey Ltd., 3.80%, 9/15/22 | 435,000 | 459,972 | ||||||||||
Tyco Electronics Group S.A., 3.13%, 8/15/27 | 18,000 | 19,803 | ||||||||||
UBS A.G., 1.75%, 4/21/22(b) | 200,000 | 203,589 |
Par(a)
| Value
| |||||||
Switzerland (Continued) | ||||||||
UBS Group A.G., | ||||||||
(3M USD LIBOR + 0.95%), 2.86%, 8/15/23(b)(j) | $ | 400,000 | $ | 414,428 | ||||
(5Y USD Swap Rate + 4.34%), 7.00%, 1/31/24(b)(j)(k) | 200,000 | 215,250 | ||||||
4.12%, 9/24/25(b) | 200,000 | 227,334 | ||||||
4.13%, 4/15/26(b) | 200,000 | 229,334 | ||||||
4.25%, 3/23/28(b) | 770,000 | 890,456 | ||||||
(3M USD LIBOR + 1.47%), | ||||||||
3.13%, 8/13/30(b)(j) | 470,000 | 516,243 | ||||||
| 4,676,378
|
| ||||||
Taiwan – 0.0%(i) | ||||||||
TSMC Global Ltd., 0.75%, 9/28/25(b) | 200,000 | 198,431 | ||||||
Ukraine – 0.1% | ||||||||
Ukraine Government International Bond, | ||||||||
9.75%, 11/01/28 | 200,000 | 218,492 | ||||||
7.37%, 9/25/32 | 200,000 | 192,282 | ||||||
| 410,774
|
| ||||||
United Arab Emirates – 0.4% | ||||||||
Abu Dhabi Government International Bond, | ||||||||
2.50%, 10/11/22(b) | 610,000 | 631,188 | ||||||
3.13%, 9/30/49(b) | 710,000 | 747,985 | ||||||
DP World PLC, 5.62%, 9/25/48(b) | 500,000 | 570,625 | ||||||
MDGH - GMTN B.V., 2.88%, 11/07/29(b) | 200,000 | 212,695 | ||||||
| 2,162,493
|
| ||||||
United Kingdom – 1.3% | ||||||||
AstraZeneca PLC, 1.38%, 8/06/30 | 239,000 | 232,576 | ||||||
BAE Systems Holdings, Inc., 3.85%, 12/15/25(b) | 195,000 | 220,206 | ||||||
BAE Systems PLC, 3.40%, 4/15/30(b) | 234,000 | 260,296 | ||||||
Barclays Bank PLC, 1.70%, 5/12/22 | 200,000 | 203,754 | ||||||
Barclays PLC, | ||||||||
(3M USD LIBOR + 1.90%), 4.97%, | 200,000 | 234,260 | ||||||
(1Y US Treasury CMT + 1.90%), 2.65%, | 231,000 | 231,840 | ||||||
BAT Capital Corp., | ||||||||
3.22%, 8/15/24 | 204,000 | 218,884 | ||||||
3.56%, 8/15/27 | 300,000 | 323,763 | ||||||
3.46%, 9/06/29 | 61,000 | 65,376 |
See accompanying Notes to Financial Statements
75
Morningstar Funds Trust ��October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par(a)
| Value
| |||||||
United Kingdom (Continued) | ||||||||
BAT Capital Corp., | ||||||||
4.54%, 8/15/47 | $ | 254,000 | $ | 267,345 | ||||
5.28%, 4/02/50 | 55,000 | 64,223 | ||||||
BP Capital Markets PLC, | ||||||||
3.81%, 2/10/24 | 116,000 | 127,126 | ||||||
3.12%, 5/04/26 | 79,000 | 85,870 | ||||||
GlaxoSmithKline Capital, Inc., 3.88%, 5/15/28 | 26,000 | 30,563 | ||||||
HSBC Holdings PLC, | ||||||||
(SOFR + 1.93%), 2.10%, 6/04/26(j) | 200,000 | 204,250 | ||||||
(3M USD LIBOR + 1.55%), 4.04%, 3/13/28(j) | 235,000 | 262,479 | ||||||
(3M USD LIBOR + 1.53%), 4.58%, 6/19/29(j) | 900,000 | 1,040,092 | ||||||
(3M USD LIBOR + 1.61%), 3.97%, 5/22/30(j) | 550,000 | 616,860 | ||||||
Lloyds Banking Group PLC, | ||||||||
(3M USD LIBOR + 0.81%), | ||||||||
2.91%, 11/07/23(j) | 270,000 | 280,840 | ||||||
3.75%, 1/11/27 | 200,000 | 221,718 | ||||||
4.38%, 3/22/28 | 290,000 | 336,417 | ||||||
Natwest Group PLC, | ||||||||
(3M USD LIBOR + 1.76%), 4.27%, 3/22/25(j) | 400,000 | 438,104 | ||||||
(3M USD LIBOR + 1.91%), 5.08%, 1/27/30(j) | 200,000 | 239,240 | ||||||
RELX Capital, Inc., | ||||||||
3.50%, 3/16/23 | 197,000 | 209,742 | ||||||
4.00%, 3/18/29 | 225,000 | 260,915 | ||||||
3.00%, 5/22/30 | 124,000 | 133,940 | ||||||
Reynolds American, Inc., | ||||||||
4.45%, 6/12/25 | 215,000 | 242,811 | ||||||
6.15%, 9/15/43 | 18,000 | 22,205 | ||||||
5.85%, 8/15/45 | 150,000 | 183,048 | ||||||
Santander UK Group Holdings PLC, (1Y US Treasury CMT + 1.25%), | ||||||||
1.53%, 8/21/26(j) | 305,000 | 302,992 | ||||||
Vodafone Group PLC, | ||||||||
4.37%, 5/30/28 | 190,000 | 224,777 | ||||||
4.37%, 2/19/43 | 128,000 | 150,913 | ||||||
5.25%, 5/30/48 | 84,000 | 108,779 | ||||||
5.12%, 6/19/59 | 1,000 | 1,267 | ||||||
| 8,047,471
|
| ||||||
Uruguay – 0.2% | ||||||||
Uruguay Government International Bond, 4.37%, 10/27/27 | 237,000 | 276,996 |
Par(a)
| Value
| |||||||
Uruguay (Continued) | ||||||||
Uruguay Government International Bond, | ||||||||
4.38%, 1/23/31 | $ | 313,500 | $ | 378,554 | ||||
5.10%, 6/18/50 | 560,000 | 748,166 | ||||||
1,403,716 | ||||||||
Total Foreign Issuer Bonds |
| 69,038,217
|
| |||||
Term Loans – 0.0%(d)(i) | ||||||||
Distribution/Wholesale – 0.0%(i) | ||||||||
KAR Auction Services, Inc., | ||||||||
Tranche B-6 Term Loan, | ||||||||
(ICE LIBOR USD 1M + | ||||||||
2.25%), 2.44%, 9/19/26(b) | 14,676 | 14,052 | ||||||
Total Term Loans | 14,052 | |||||||
Par
| Value
| |||||||
Mortgage-Backed Securities – 29.1% |
| |||||||
Federal Home Loan Mortgage Corporation – 2.8% |
| |||||||
Multiclass Certificates, Series 2020-RR07, Class BX, 2.61%, 10/27/28 | 4,160,000 | 726,846 | ||||||
Multifamily Structured Pass Through Certificates, | ||||||||
Series K736, Class X1, 1.31%, 7/25/26(c) | 1,999,315 | 124,150 | ||||||
Series K095, Class XAM, 1.24%, 6/25/29(c) | 500,000 | 49,153 | ||||||
Series K099, Class X1, 0.89%, 9/25/29(c) | 1,088,180 | 73,700 | ||||||
Series K-1517, Class X1, 1.33%, 7/25/35(c) | 339,972 | 49,211 | ||||||
Pool, | ||||||||
#ZT1408, 2.00%, 10/01/32 | 163,146 | 169,141 | ||||||
#ZS8673, 3.00%, 10/01/32 | 52,334 | 54,837 | ||||||
#ZA2471, 3.00%, 9/01/37 | 16,533 | 17,320 | ||||||
#ZM1677, 3.00%, 9/01/46 | 1,016,796 | 1,115,734 | ||||||
#ZS4697, 3.00%, 1/01/47 | 58,428 | 61,374 | ||||||
#ZM2846, 3.50%, 3/01/47 | 50,086 | 53,124 | ||||||
#ZM5146, 4.00%, 12/01/47 | 270,229 | 289,420 | ||||||
#ZA5318, 3/01/48(e) | 56,308 | 60,237 | ||||||
#ZS4774, 4.50%, 5/01/48 | 293,862 | 317,894 | ||||||
#ZA5454, 4.00%, 6/01/48 | 288,481 | 310,034 |
See accompanying Notes to Financial Statements
76
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par | Value | |||||||
Federal Home Loan Mortgage Corporation (Continued) |
| |||||||
Pool, | ||||||||
#ZM6880, 4.50%, 6/01/48 | $ | 42,176 | $ | 45,651 | ||||
#ZA5568, 4.50%, 7/01/48 | 76,069 | 82,250 | ||||||
#ZA5950, 4.50%, 11/01/48 | 907,092 | 979,790 | ||||||
#ZA5947, 4.50%, 11/01/48 | 714,671 | 772,374 | ||||||
#ZN2699, 4.50%, 1/01/49 | 893,908 | 966,080 | ||||||
#ZT1857, 4.50%, 3/01/49 | 1,675,607 | 1,892,858 | ||||||
#QA0639, 4.00%, 6/01/49 | 456,787 | 495,210 | ||||||
#RA1103, 3.00%, 7/01/49 | 154,059 | 164,125 | ||||||
#RA1084, 4.50%, 7/01/49 | 134,914 | 148,314 | ||||||
#RA1293, 3.00%, 9/01/49 | 257,004 | 278,643 | ||||||
#RA1341, 3.00%, 9/01/49 | 52,109 | 55,854 | ||||||
#SD8044, 3.00%, 2/01/50 | 99,991 | 104,379 | ||||||
#QA7238, 3.50%, 2/01/50 | 89,712 | 97,186 | ||||||
#RA2141, 4.00%, 2/01/50 | 78,572 | 84,476 | ||||||
#RA2362, 3.50%, 3/01/50 | 186,196 | 197,307 | ||||||
#RA2313, 3.50%, 3/01/50 | 452,695 | 482,174 | ||||||
#RA2358, 4.00%, 3/01/50 | 82,337 | 88,251 | ||||||
#RA2353, 4.50%, 3/01/50 | 91,412 | 98,729 | ||||||
#SD0291, 5.00%, 3/01/50 | 347,125 | 380,867 | ||||||
#QA8791, 3.50%, 4/01/50 | 94,862 | 102,766 | ||||||
#RA2389, 4.50%, 4/01/50 | 177,267 | 191,831 | ||||||
#SD8059, 4.50%, 4/01/50 | 349,162 | 379,005 | ||||||
#SD8062, 3.00%, 5/01/50 | 299,971 | 313,164 | ||||||
#RA2658, 3.50%, 5/01/50 | 95,385 | 103,332 | ||||||
#RA2608, 5/01/50(e) | 81,802 | 88,696 | ||||||
#RA3175, 3.00%, 7/01/50 | 395,522 | 419,396 | ||||||
#SD8084, 3.00%, 8/01/50 | 1,430,880 | 1,499,316 | ||||||
#RA3282, 3.00%, 8/01/50 | 515,158 | 558,371 |
Par | Value | |||||||
Federal Home Loan Mortgage Corporation (Continued) |
| |||||||
Pool, | ||||||||
#RA3313, 3.00%, 8/01/50 | $ | 135,383 | $ | 144,340 | ||||
#RA3324, 3.00%, 8/01/50 | 181,325 | 194,430 | ||||||
#RA3388, 3.00%, 8/01/50 | 130,665 | 140,108 | ||||||
#RA3474, 3.00%, 9/01/50 | 1,489,385 | 1,579,286 | ||||||
Real Estate Mortgage Investment Conduits, | ||||||||
Series 2019-RR01, Class X, 1.53%, 6/25/28 | 2,500,000 | 259,250 | ||||||
Series 4940, Class PI, 4.00%, 7/25/49 | 85,593 | 8,307 | ||||||
Series 4999, Class QI, 4.00%, 5/25/50 | 92,841 | 11,943 | ||||||
Series 4995, Class BI, 4.50%, 6/25/50 | 86,599 | 12,129 | ||||||
Series 5010, Class IK, 2.50%, 9/25/50 | 99,196 | 11,761 | ||||||
Series 5010, Class JI, 2.50%, 9/25/50 | 298,141 | 40,561 | ||||||
Series 5013, Class IN, 2.50%, 9/25/50 | 99,621 | 14,444 | ||||||
Series 5014, Class DI, 4.00%, 9/25/50 | 94,403 | 12,154 | ||||||
Series 5029, Class GI, 2.00%, 10/25/50 | 99,785 | 9,534 | ||||||
Series 5018, Class MI, 2.00%, 10/25/50 | 199,364 | 25,400 | ||||||
| 17,006,217
|
| ||||||
Federal Home Loan Mortgage Corporation Gold – 1.7% |
| |||||||
Pool, | ||||||||
#Q41209, 3.50%, 6/01/46 | 53,389 | 58,382 | ||||||
#G61813, 3.00%, 7/01/46 | 403,632 | 440,985 | ||||||
#G61677, 4.50%, 4/01/47 | 114,050 | 126,931 | ||||||
#G60972, 4.50%, 5/01/47 | 43,141 | 48,281 | ||||||
#Q48752, 3.50%, 6/01/47 | 54,921 | 59,349 | ||||||
#G61047, 4.50%, 7/01/47 | 181,173 | 202,759 | ||||||
#G61079, 4.50%, 7/01/47 | 54,734 | 60,858 | ||||||
#G08779, 3.50%, 9/01/47 | 570,248 | 604,139 | ||||||
#G08791, 3.00%, 12/01/47 | 36,148 | 37,754 | ||||||
#Q53534, 3.00%, 1/01/48 | 27,065 | 28,274 | ||||||
#G61374, 4.50%, 4/01/48 | 165,190 | 181,405 | ||||||
#V84260, 3.50%, 6/01/48 | 246,015 | 263,623 | ||||||
#G67713, 4.00%, 6/01/48 | 1,604,843 | 1,764,230 | ||||||
#Q59918, 4.50%, 7/01/48 | 349,828 | 391,425 | ||||||
#Q57853, 4.50%, 8/01/48 | 135,450 | 151,035 | ||||||
#G67715, 4.50%, 8/01/48 | 255,768 | 281,956 | ||||||
#G61739, 3.00%, 9/01/48 | 377,850 | 412,572 |
See accompanying Notes to Financial Statements
77
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par
| Value
| |||||||
Federal Home Loan Mortgage Corporation Gold (Continued) |
| |||||||
Pool, | ||||||||
#G61989, 3.50%, 4/01/49 | $ | 4,550,340 | $ | 5,090,373 | ||||
#G67721, 4.50%, 4/01/49 | 200,792 | 221,323 | ||||||
10,425,654 | ||||||||
Federal National Mortgage Association – 10.4% |
| |||||||
Alternative Credit Enhancement Securities, | ||||||||
Series 2019-M6, Class A2, | 210,000 | 240,282 | ||||||
Series 2019-M5, Class A2, | 100,000 | 114,073 | ||||||
Series 2019-M4, Class A2, | 100,000 | 117,630 | ||||||
Series 2019-M23, Class 3A3, | 99,978 | 105,988 | ||||||
Series 2020-M36, Class X1, | 599,191 | 64,943 | ||||||
Series 2019-M27, Class A2, | 100,000 | 114,191 | ||||||
Series 2013-M6, Class 1AC, | 84,233 | 94,869 | ||||||
Pool, | ||||||||
#AL6613, 2.50%, 6/01/28 | 67,786 | 71,056 | ||||||
#AS0496, 3.00%, 9/01/28 | 25,116 | 26,690 | ||||||
#BL2454, 3.16%, 5/01/29 | 58,925 | 66,927 | ||||||
#AW1281, 3.00%, 7/01/29 | 9,751 | 10,335 | ||||||
#AW4229, 3.00%, 7/01/29 | 48,087 | 51,637 | ||||||
#BL3540, 2.79%, 8/01/29 | 300,000 | 333,860 | ||||||
#AX6435, 3.00%, 1/01/30 | 33,087 | 35,343 | ||||||
#BL5850, 2.26%, 4/01/30 | 198,047 | 212,351 | ||||||
#890696, 3.00%, 9/01/30 | 152,101 | 162,476 | ||||||
#BM5304, 3.00%, 9/01/32 | 47,640 | 51,729 | ||||||
#BH9243, 3.00%, 1/01/33 | 327,926 | 343,380 | ||||||
#BM4614, 3.00%, 3/01/33 | 57,515 | 61,820 | ||||||
#FM1680, 2.50%, 12/01/33 | 205,059 | 213,364 | ||||||
#CA3022, 3.50%, 1/01/34 | 154,864 | 170,191 | ||||||
#BM6019, 3.50%, 5/01/34 | 321,532 | 353,251 | ||||||
#CA6849, 3.00%, 8/01/35 | 140,046 | 149,955 |
Par
| Value
| |||||||
Federal National Mortgage Association (Continued) |
| |||||||
Pool, | ||||||||
#CA6876, 3.00%, 8/01/35 | $ | 143,503 | $ | 154,278 | ||||
#CA7253, 2.50%, 10/01/35 | 251,917 | 269,323 | ||||||
#CA7255, 2.50%, 10/01/35 | 253,241 | 269,248 | ||||||
#MA2832, 3.00%, 12/01/36 | 108,981 | 114,436 | ||||||
#FM2814, 3.00%, 3/01/38 | 136,026 | 143,537 | ||||||
#FM4266, 3.00%, 4/01/38 | 59,538 | 62,975 | ||||||
#FM3881, 3.00%, 6/01/38 | 97,041 | 101,415 | ||||||
#BM1948, 6.00%, 7/01/41 | 54,065 | 65,499 | ||||||
#AK6740, 4.00%, 3/01/42 | 1,393,621 | 1,566,508 | ||||||
#AL3311, 3.50%, 3/01/43 | 2,172,515 | 2,431,295 | ||||||
#BM4751, 3.50%, 3/01/43 | 137,578 | 149,350 | ||||||
#AU6873, 4.50%, 11/01/43 | 130,793 | 152,279 | ||||||
#AL5597, 4.50%, 6/01/44 | 222,396 | 248,920 | ||||||
#AS2947, 4.00%, 7/01/44 | 651,794 | 719,993 | ||||||
#AY6181, 3.50%, 4/01/45 | 68,253 | 72,885 | ||||||
#AS5480, 4.50%, 7/01/45 | 68,193 | 77,322 | ||||||
#AL9475, 4.50%, 11/01/45 | 85,185 | 95,335 | ||||||
#AS7313, 3.50%, 6/01/46 | 545,110 | 595,934 | ||||||
#AS7488, 3.00%, 7/01/46 | 1,001,433 | 1,109,851 | ||||||
#BM1922, 4.50%, 7/01/46 | 176,072 | 204,713 | ||||||
#AS7726, 3.00%, 8/01/46 | 685,931 | 752,675 | ||||||
#BC1509, 3.00%, 8/01/46 | 125,126 | 134,047 | ||||||
#AS7844, 3.00%, 9/01/46 | 172,550 | 184,870 | ||||||
#BC2817, 3.00%, 9/01/46 | 237,840 | 253,303 | ||||||
#AL9397, 3.00%, 10/01/46 | 186,532 | 199,911 | ||||||
#AL9546, 3.50%, 11/01/46 | 140,667 | 152,503 | ||||||
#BM4897, 3.50%, 12/01/46 | 142,736 | 153,686 | ||||||
#BM4226, 3.00%, 1/01/47 | 2,188,065 | 2,409,352 | ||||||
#BM5520, 3.50%, 2/01/47 | 728,569 | 773,032 |
See accompanying Notes to Financial Statements
78
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par
| Value
| |||||||
Federal National Mortgage Association (Continued) |
| |||||||
Pool, | ||||||||
#BM4696, 3.00%, 3/01/47 | $ | 1,096,369 | $ | 1,177,287 | ||||
#FM1349, 3.50%, 3/01/47 | 457,202 | 499,633 | ||||||
#AS9453, 4.00%, 4/01/47 | 831,834 | 906,424 | ||||||
#FM3347, 3.50%, 5/01/47 | 345,633 | 369,821 | ||||||
#MA3088, 4.00%, 8/01/47 | 383,478 | 411,889 | ||||||
#CA0148, 4.50%, 8/01/47 | 76,463 | 82,673 | ||||||
#890843, 3.00%, 9/01/47 | 72,344 | 78,366 | ||||||
#MA3149, 4.00%, 10/01/47 | 138,034 | 148,020 | ||||||
#BE2735, 4.50%, 10/01/47 | 16,484 | 18,444 | ||||||
#BH5764, 4.50%, 11/01/47 | 62,929 | 69,955 | ||||||
#BM3208, 4.50%, 11/01/47 | 99,433 | 110,065 | ||||||
#CA0717, 4.50%, 11/01/47 | 210,262 | 227,386 | ||||||
#MA3210, 3.50%, 12/01/47 | 809,085 | 857,492 | ||||||
#CA0858, 3.50%, 12/01/47 | 19,520 | 20,671 | ||||||
#FM1002, 3.50%, 1/01/48 | 995,036 | 1,077,434 | ||||||
#CA1021, 4.50%, 1/01/48 | 149,360 | 166,035 | ||||||
#BM5526, 3.50%, 2/01/48 | 181,672 | 192,439 | ||||||
#BM5073, 3.00%, 4/01/48 | 981,120 | 1,055,345 | ||||||
#FM3753, 3.50%, 4/01/48 | 180,075 | 194,774 | ||||||
#CA1565, 4/01/48(e) | 59,641 | 64,699 | ||||||
#BJ9172, 4.50%, 5/01/48 | 300,863 | 333,661 | ||||||
#BM5896, 4.50%, 5/01/48 | 157,258 | 176,439 | ||||||
#BJ2763, 4.50%, 5/01/48 | 294,353 | 319,887 | ||||||
#CA1909, 6/01/48(e) | 45,400 | 49,117 | ||||||
#BJ9257, 4.50%, 6/01/48 | 63,477 | 70,352 | ||||||
#CA1907, 4.50%, 6/01/48 | 323,495 | 349,840 | ||||||
#BK0922, 7/01/48(e) | 153,222 | 165,722 | ||||||
#CA2055, 4.50%, 7/01/48 | 40,386 | 43,612 | ||||||
#CA2047, 4.50%, 7/01/48 | 181,233 | 200,992 | ||||||
#CA2057, 4.50%, 7/01/48 | 194,610 | 210,213 |
Par
| Value
| |||||||
Federal National Mortgage Association (Continued) |
| |||||||
Pool, | ||||||||
#FM3469, 3.50%, 8/01/48 | $ | 333,657 | $ | 356,499 | ||||
#BN0691, 4.50%, 8/01/48 | 60,878 | 66,854 | ||||||
#BM4351, 4.50%, 8/01/48 | 112,641 | 126,008 | ||||||
#CA2207, 4.50%, 8/01/48 | 35,921 | 38,811 | ||||||
#CA2199, 4.50%, 8/01/48 | 232,880 | 255,541 | ||||||
#CA2205, 4.50%, 8/01/48 | 1,004,739 | 1,086,376 | ||||||
#CA2209, 4.50%, 8/01/48 | 678,263 | 733,246 | ||||||
#BK6566, 4.50%, 8/01/48 | 400,000 | 432,406 | ||||||
#MA3448, 5.00%, 8/01/48 | 300,000 | 329,486 | ||||||
#CA2251, 5.00%, 8/01/48 | 39,813 | 43,753 | ||||||
#BK4814, 4.50%, 9/01/48 | 47,729 | 51,588 | ||||||
#CA2471, 4.00%, 10/01/48 | 1,677,102 | 1,800,159 | ||||||
#BK7603, 4.50%, 10/01/48 | 60,197 | 65,725 | ||||||
#CA2482, 4.50%, 10/01/48 | 245,946 | 271,988 | ||||||
#CA2489, 4.50%, 10/01/48 | 121,077 | 130,896 | ||||||
#FM3141, 3.50%, 11/01/48 | 403,510 | 429,258 | ||||||
#FM3773, 3.50%, 11/01/48 | 478,726 | 511,185 | ||||||
#FM3158, 4.00%, 11/01/48 | 84,209 | 92,009 | ||||||
#BN1628, 4.50%, 11/01/48 | 819,959 | 886,178 | ||||||
#BN1623, 4.50%, 11/01/48 | 228,077 | 252,777 | ||||||
#CA2729, 4.50%, 11/01/48 | 879,219 | 950,191 | ||||||
#CA2588, 4.50%, 11/01/48 | 3,012 | 3,255 | ||||||
#MA3527, 5.00%, 11/01/48 | 250,208 | 274,971 | ||||||
#CA2855, 4.50%, 12/01/48 | 39,965 | 43,191 | ||||||
#CA2803, 4.50%, 12/01/48 | 1,423 | 1,538 | ||||||
#CA2805, 4.50%, 12/01/48 | 19,911 | 21,513 | ||||||
#BN0302, 4.50%, 12/01/48 | 321,663 | 351,204 | ||||||
#FM1518, 4.50%, 12/01/48 | 189,846 | 205,348 |
See accompanying Notes to Financial Statements
79
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par
| Value
| |||||||
Federal National Mortgage Association (Continued) |
| |||||||
Pool, | ||||||||
#BN0341, 5.00%, 12/01/48 | $ | 233,079 | $ | 255,764 | ||||
#BM5317, 4.50%, 1/01/49 | 110,036 | 120,138 | ||||||
#FM1977, 4.50%, 1/01/49 | 75,174 | 81,236 | ||||||
#BN3960, 4.50%, 1/01/49 | 929,627 | 1,004,683 | ||||||
#CA2963, 4.50%, 1/01/49 | 691,014 | 747,004 | ||||||
#BM5862, 4.50%, 2/01/49 | 321,768 | 358,705 | ||||||
#CA3094, 4.50%, 2/01/49 | 600,617 | 698,161 | ||||||
#BM5629, 4.50%, 2/01/49 | 60,040 | 65,939 | ||||||
#FM2214, 4.50%, 4/01/49 | 577,571 | 623,964 | ||||||
#BN6625, 3.50%, 5/01/49 | 682,067 | 763,692 | ||||||
#CA3516, 4.50%, 5/01/49 | 533,290 | 619,904 | ||||||
#FM1637, 4.50%, 5/01/49 | 256,022 | 281,174 | ||||||
#FM1991, 4.50%, 5/01/49 | 15,926 | 17,216 | ||||||
#CA3645, 3.50%, 6/01/49 | 1,384,667 | 1,546,153 | ||||||
#BN6688, 4.00%, 6/01/49 | 347,861 | 386,263 | ||||||
#BO0968, 4.00%, 6/01/49 | 69,395 | 74,170 | ||||||
#CA3809, 3.00%, 7/01/49 | 154,059 | 164,654 | ||||||
#FM1263, 4.50%, 7/01/49 | 59,403 | 64,513 | ||||||
#FM1241, 3.50%, 8/01/49 | 73,513 | 79,378 | ||||||
#CA4033, 4.50%, 8/01/49 | 136,599 | 148,794 | ||||||
#FM1468, 5.00%, 8/01/49 | 556,835 | 611,312 | ||||||
#CA4133, 3.00%, 9/01/49 | 258,352 | 279,831 | ||||||
#BN7753, 3.00%, 9/01/49 | 458,084 | 489,600 | ||||||
#FM3572, 4.50%, 9/01/49 | 673,049 | 748,031 | ||||||
#FM1539, 9/01/49(e) | 55,632 | 60,114 | ||||||
#FM1727, 5.00%, 9/01/49 | 487,410 | 548,531 | ||||||
#BO2252, 3.50%, 10/01/49 | 88,055 | 95,382 | ||||||
#FM3002, 4.50%, 11/01/49 | 78,477 | 85,678 |
Par
| Value
| |||||||
Federal National Mortgage Association (Continued) |
| |||||||
Pool, | ||||||||
#CA4823, 4.00%, 12/01/49 | $ | 156,729 | $ | 167,473 | ||||
#CA4819, 4.00%, 12/01/49 | 175,447 | 191,856 | ||||||
#FM3155, 5.00%, 12/01/49 | 76,466 | 83,873 | ||||||
#BO8932, 3.00%, 1/01/50 | 79,367 | 84,440 | ||||||
#CA4979, 3.00%, 1/01/50 | 553,045 | 577,953 | ||||||
#FM2378, 4.50%, 1/01/50 | 136,024 | 147,724 | ||||||
#CA5225, 3.00%, 2/01/50 | 742,759 | 804,944 | ||||||
#FM2333, 3.50%, 2/01/50 | 255,304 | 271,928 | ||||||
#FM0062, 2/01/50(e) | 563,210 | 603,769 | ||||||
#BO7302, 4.50%, 2/01/50 | 285,229 | 309,609 | ||||||
#BO7625, 3.00%, 3/01/50 | 186,064 | 196,697 | ||||||
#CA5364, 4.00%, 3/01/50 | 459,062 | 501,992 | ||||||
#FM2745, 4.50%, 3/01/50 | 83,585 | 90,965 | ||||||
#CA5379, 4.50%, 3/01/50 | 370,917 | 412,246 | ||||||
#FM3957, 5.00%, 3/01/50 | 192,632 | 211,687 | ||||||
#CA5522, 4.00%, 4/01/50 | 634,739 | 694,100 | ||||||
#FM3948, 4.00%, 4/01/50 | 653,904 | 715,062 | ||||||
#BP2389, 4.50%, 4/01/50 | 99,277 | 107,284 | ||||||
#FM2934, 3.00%, 5/01/50 | 35,498 | 38,440 | ||||||
#FM2965, 3.00%, 5/01/50 | 48,500 | 52,568 | ||||||
#CA6000, 3.00%, 6/01/50 | 194,553 | 208,020 | ||||||
#CA6053, 3.00%, 6/01/50 | 278,398 | 297,668 | ||||||
#BP9421, 3.00%, 7/01/50 | 99,468 | 105,472 | ||||||
#BP7009, 3.00%, 8/01/50 | 99,452 | 105,396 | ||||||
#CA6606, 3.00%, 8/01/50 | 625,138 | 686,166 | ||||||
#CA6607, 3.00%, 8/01/50 | 370,448 | 404,915 | ||||||
#CA6608, 3.00%, 8/01/50 | 279,581 | 303,034 | ||||||
#CA6609, 3.00%, 8/01/50 | 369,443 | 396,144 | ||||||
#MA4097, 3.00%, 8/01/50 | 2,838,683 | 2,979,642 |
See accompanying Notes to Financial Statements
80
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par
| Value
| |||||||
Federal National Mortgage Association (Continued) |
| |||||||
Pool, | ||||||||
#BQ1402, 3.00%, 8/01/50 | $ | 95,134 | $ | 100,876 | ||||
#CA6734, 3.00%, 8/01/50 | 589,672 | 632,291 | ||||||
#FM4281, 3.50%, 8/01/50 | 1,181,538 | 1,279,977 | ||||||
#MA4121, 3.00%, 9/01/50 | 405,594 | 425,120 | ||||||
#CA7070, 4.00%, 9/01/50 | 76,148 | 84,556 | ||||||
#CA7073, 4.00%, 9/01/50 | 35,305 | 38,278 | ||||||
#CA7227, 2.50%, 10/01/50 | 313,726 | 337,061 | ||||||
#CA7241, 2.50%, 10/01/50 | 355,497 | 376,938 | ||||||
#CA7619, 11/01/50(e) | 335,084 | 357,664 | ||||||
#CA7620, 11/01/50(e) | 367,986 | 389,511 | ||||||
Real Estate Mortgage Investment Conduits, | ||||||||
Series 2020-47, Class GZ, 2.00%, 7/25/50 | 100,668 | 99,620 | ||||||
Series 2020-56, Class DI, | 197,557 | 27,535 | ||||||
Series 2020-73, Class AI, | 99,700 | 10,637 | ||||||
| 63,176,572
|
| ||||||
Government National Mortgage Association – 3.1% |
| |||||||
Pool TBA, | ||||||||
11/01/50(e) | 9,975,000 | 10,493,843 | ||||||
12/01/50(e) | 5,300,000 | 5,545,548 | ||||||
Series 2013-107, Class AD, | 173,945 | 183,486 | ||||||
Series 2014-17, Class AM, | 50,599 | 53,043 | ||||||
Series 2014-H20, Class FA, (1M USD LIBOR + 0.43%, 0.43% Floor), 0.59%, 10/20/64(d) | 256,325 | 256,479 | ||||||
Series 2019-123, Class A, | 67,882 | 69,884 | ||||||
Series 2020-123, Class IL, | 99,628 | 13,890 | ||||||
Series 2020-123, Class NI, | 199,237 | 28,220 | ||||||
Series 2020-127, Class IN, | 99,626 | 13,404 | ||||||
Series 2020-129, Class IE, | 99,463 | 13,606 | ||||||
Series 2020-144, Class IO, | 199,611 | 22,957 | ||||||
Series 2020-151, Class MI, | 600,000 | 72,573 |
Par
| Value
| |||||||
Government National Mortgage Association (Continued) |
| |||||||
Series 2020-160, Class IH, | $ | 100,000 | $ | 13,766 | ||||
Series 2020-160, Class YI, | 300,000 | 42,187 | ||||||
Series 2020-47, Class MI, | 389,273 | 65,988 | ||||||
Series 2020-47, Class NI, | 97,297 | 16,821 | ||||||
Series 2020-H04, Class FP, (1M USD LIBOR + 0.50%, 0.50% Floor), 0.66%, 6/20/69(d) | 280,791 | 281,858 | ||||||
Series 2020-H09, Class FL, (1M USD LIBOR + 1.15%, 1.15% Floor), 1.30%, 5/20/70(d) | 199,944 | 209,650 | ||||||
Series 2020-H13, Class FA, (1M USD LIBOR + 0.45%, 0.45% Floor, 7.50% Cap), 0.60%, 7/20/70(d) | 996,365 | 996,365 | ||||||
Series 2020-H13, Class FM, (1M USD LIBOR + 0.40%, 0.40% Floor, 11.00% Cap), 0.55%, 8/20/70(d) | 290,625 | 290,625 | ||||||
| 18,684,193
|
| ||||||
Government National Mortgage Association I – 0.1% |
| |||||||
Pool, | ||||||||
#AB2892, 3.00%, 9/15/42 | 203,027 | 211,591 | ||||||
#AB9108, 3.00%, 10/15/42 | 132,560 | 138,072 | ||||||
#784571, 3.50%, 6/15/48 | 129,929 | 139,093 | ||||||
#BS8439, 3.50%, 5/15/50 | 99,256 | 105,819 | ||||||
| 594,575
|
| ||||||
Government National Mortgage Association II – 3.5% |
| |||||||
Pool, | ||||||||
#MA2677, 3.00%, 3/20/45 | 441,126 | 467,773 | ||||||
#MA2678, 3.50%, 3/20/45 | 24,839 | 26,576 | ||||||
#MA2753, 3.00%, 4/20/45 | 1,201,682 | 1,276,587 | ||||||
#MA2754, 3.50%, 4/20/45 | 17,361 | 18,576 | ||||||
#MA3173, 3.50%, 10/20/45 | 18,117 | 19,434 | ||||||
#MA3310, 3.50%, 12/20/45 | 90,458 | 96,966 | ||||||
#MA3376, 3.50%, 1/20/46 | 18,470 | 19,795 | ||||||
#MA3596, 3.00%, 4/20/46 | 77,339 | 81,621 |
See accompanying Notes to Financial Statements
81
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par
| Value
| |||||||
Government National Mortgage Association II (Continued) |
| |||||||
Pool, | ||||||||
#MA3663, 3.50%, 5/20/46 | $ | 720,221 | $ | 771,170 | ||||
#MA3736, 3.50%, 6/20/46 | 951,582 | 1,029,110 | ||||||
#MA3802, 3.00%, 7/20/46 | 16,620 | 17,539 | ||||||
#MA3873, 3.00%, 8/20/46 | 8,294 | 8,754 | ||||||
#MA3937, 3.50%, 9/20/46 | 85,065 | 91,306 | ||||||
#MA4003, 3.00%, 10/20/46 | 24,098 | 25,496 | ||||||
#MA4068, 3.00%, 11/20/46 | 166,636 | 175,869 | ||||||
#MA4126, 3.00%, 12/20/46 | 295,083 | 311,384 | ||||||
#MA4195, 3.00%, 1/20/47 | 84,344 | 89,026 | ||||||
#MA4261, 3.00%, 2/20/47 | 51,002 | 53,651 | ||||||
#MA4384, 4.50%, 4/20/47 | 341,076 | 372,915 | ||||||
#MA4451, 3.50%, 5/20/47 | 895,164 | 952,633 | ||||||
#MA4511, 4.00%, 6/20/47 | 511,196 | 552,355 | ||||||
#784577, 4.00%, 7/20/47 | 1,020,778 | 1,097,278 | ||||||
#MA4837, 3.50%, 11/20/47 | 632,722 | 674,314 | ||||||
#MA4838, 4.00%, 11/20/47 | 368,621 | 398,213 | ||||||
#MA4899, 3.00%, 12/20/47 | 118,217 | 124,541 | ||||||
#MA4900, 3.50%, 12/20/47 | 133,392 | 142,194 | ||||||
#MA4901, 4.00%, 12/20/47 | 157,302 | 170,420 | ||||||
#MA5019, 3.50%, 2/20/48 | 317,468 | 338,225 | ||||||
#MA5020, 4.00%, 2/20/48 | 90,983 | 98,136 | ||||||
#MA5078, 4.00%, 3/20/48 | 469,090 | 504,857 | ||||||
#784674, 3.50%, 4/20/48 | 150,292 | 164,365 | ||||||
#MA5137, 4.00%, 4/20/48 | 79,793 | 85,742 | ||||||
#MA5193, 4.50%, 5/20/48 | 329,599 | 357,058 | ||||||
#MA5265, 4.50%, 6/20/48 | 207,353 | 224,288 | ||||||
#MA5331, 4.50%, 7/20/48 | 110,515 | 119,951 | ||||||
#MA5467, 4.50%, 9/20/48 | 260,830 | 282,387 |
Par
| Value
| |||||||
Government National Mortgage Association II (Continued) |
| |||||||
Pool, | ||||||||
#MA5529, 4.50%, 10/20/48 | $ | 231,962 | $ | 251,092 | ||||
#MA5530, 5.00%, 10/20/48 | 327,409 | 357,531 | ||||||
#MA5596, 4.50%, 11/20/48 | 931,836 | 1,011,615 | ||||||
#MA5652, 4.50%, 12/20/48 | 68,484 | 73,942 | ||||||
#MA5711, 4.50%, 1/20/49 | 497,549 | 535,302 | ||||||
#MA5712, 5.00%, 1/20/49 | 512,585 | 556,470 | ||||||
#MA5762, 3.50%, 2/20/49 | 135,781 | 143,721 | ||||||
#MA5877, 4.50%, 4/20/49 | 91,768 | 99,614 | ||||||
#BM7486, 3.50%, 7/20/49 | 470,275 | 496,640 | ||||||
#784825, 3.50%, 10/20/49 | 113,283 | 116,831 | ||||||
#BM9743, 4.00%, 11/20/49 | 387,595 | 419,701 | ||||||
#784905, 3.00%, 1/20/50 | 97,427 | 101,809 | ||||||
#BM7534, 3.50%, 2/20/50 | 97,885 | 103,884 | ||||||
#BS1742, 4.00%, 2/20/50 | 97,302 | 105,601 | ||||||
#MA6477, 4.50%, 2/20/50 | 174,408 | 186,953 | ||||||
#MA6544, 4.50%, 3/20/50 | 226,089 | 242,068 | ||||||
#BS8420, 4.00%, 4/20/50 | 197,432 | 214,476 | ||||||
#MA6602, 4.50%, 4/20/50 | 189,401 | 203,320 | ||||||
#MA6658, 4.00%, 5/20/50 | 26,141 | 27,888 | ||||||
#MA6766, 3.00%, 7/20/50 | 3,228,534 | 3,395,819 | ||||||
#MA6820, 3.00%, 8/20/50 | 522,376 | 549,746 | ||||||
#MA6823, 4.50%, 8/20/50 | 25,673 | 27,708 | ||||||
#MA6866, 3.00%, 9/20/50 | 597,753 | 626,104 | ||||||
#MA6932, 3.00%, 10/20/50 | 400,000 | 422,813 | ||||||
| 21,511,153
|
| ||||||
Uniform Mortgage-Backed Securities – 7.5% |
| |||||||
Pool TBA, 11/01/35(e) | 9,801,600 | 10,174,699 |
See accompanying Notes to Financial Statements
82
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par
| Value
| |||||||
Uniform Mortgage-Backed Securities (Continued) |
| |||||||
Pool TBA, | ||||||||
11/01/50(e) | $ | 16,141,000 | $ | 16,872,830 | ||||
12/01/50(e) | 17,493,000 | 18,389,988 | ||||||
45,437,517 | ||||||||
Total Mortgage-Backed Securities |
| 176,835,881 | ||||||
Municipal Bonds – 0.4% |
| |||||||
California – 0.1% | ||||||||
Bay Area Toll Authority Toll Bridge Subordinate Revenue Bonds, Series S1, Build America Bonds, 7.04%, 4/01/50 | 80,000 | 139,199 | ||||||
California State Taxable GO Unlimited Refunding Bonds, 4.60%, 4/01/38 | 215,000 | 252,444 | ||||||
California State Various Purpose Taxable GO Unlimited Bonds, Build America Bonds, | ||||||||
7.50%, 4/01/34 | 35,000 | 56,828 | ||||||
7.55%, 4/01/39 | 20,000 | 34,358 | ||||||
Los Angeles Community College District GO Unlimited Bonds, Build America Bonds, 6.60%, 8/01/42 | 45,000 | 74,797 | ||||||
Los Angeles Unified School District GO Unlimited Bonds, Series RY, Build America Bonds, 6.76%, 7/01/34 | 115,000 | 166,692 | ||||||
San Jose Redevelopment Agency Successor Agency Senior Tax Allocation Taxable Refunding Bonds, Series A-T, 3.17%, 8/01/26 | 30,000 | 32,659 | ||||||
University of California Taxable General Revenue Bonds, Series AD, 4.86%, 5/15/12(n) | 15,000 | 19,896 | ||||||
| 776,873
|
| ||||||
Florida – 0.0%(i) | ||||||||
Broward County Airport System Taxable Revenue Refunding Bonds, Series C, 2.91%, 10/01/32 | 20,000 | 19,954 | ||||||
Georgia – 0.0%(i) | ||||||||
Municipal Electric Authority of Georgia Taxable Revenue Bonds, Build America Bonds, 6.64%, 4/01/57 | 21,000 | 30,260 |
Par
| Value
| |||||||
Hawaii – 0.0%(i) | ||||||||
Hawaii Taxable GO Unlimited Bonds, Series FZ, 1.70%, 8/01/32 | $ | 5,000 | $ | 4,874 | ||||
Illinois – 0.1% | ||||||||
Illinois State Taxable GO Unlimited Pension Bonds, 5.10%, 6/01/33 | 200,000 | 200,296 | ||||||
Missouri – 0.0%(i) | ||||||||
Missouri State Health & Educational Facilities Authority Educational Facilities Taxable Revenue Refunding Bonds, The Washington University, 3.23%, 5/15/50 | 100,000 | 110,213 | ||||||
New Jersey – 0.0%(i) | ||||||||
New Jersey State Transportation Trust Fund Authority Taxable Revenue Bonds, Series C, Build America Bonds, 5.75%, 12/15/28 | 20,000 | 22,586 | ||||||
New Jersey State Turnpike Authority Taxable Revenue Bonds, Build America Bonds, 7.42%, 1/01/40 | 35,000 | 57,354 | ||||||
Rutgers State University Taxable Revenue Refunding Bonds, Series S, 2.68%, 5/01/46 | 60,000 | 54,696 | ||||||
134,636 | ||||||||
New York – 0.1% | ||||||||
Metropolitan Transportation Authority Revenue Bonds, Build America Bonds, 5.87%, 11/15/39 | 25,000 | 27,483 | ||||||
New York City Municipal Water Finance Authority Water & Sewer System Second General Resolution Taxable Revenue Bonds, 5.88%, 6/15/44 | 15,000 | 23,183 | ||||||
New York City Municipal Water Finance Authority Water & Sewer System Taxable Revenue Bonds, Build America Bonds, 6.01%, 6/15/42 | 15,000 | 23,214 |
See accompanying Notes to Financial Statements
83
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par
| Value
| |||||||
New York (Continued) | ||||||||
New York City Transitional Finance Authority Taxable Future Tax Secured Revenue Bonds, 3.35%, 11/01/30 | $ | 85,000 | $ | 92,419 | ||||
New York State Dormitory Authority Personal Income TRB, Build America Bonds, 5.39%, 3/15/40 | 30,000 | 40,902 | ||||||
Port Authority of New York & New Jersey Consolidated 164th Taxable Revenue Bonds, 5.65%, 11/01/40 | 20,000 | 27,512 | ||||||
Port Authority of New York & New Jersey Consolidated 168th Revenue Bonds, 4.93%, 10/01/51 | 30,000 | 39,123 | ||||||
Port Authority of New York & New Jersey Consolidated Taxable Revenue Bonds, Series 181, 4.96%, 8/01/46 | 60,000 | 77,395 | ||||||
351,231 | ||||||||
Ohio – 0.0%(i) | ||||||||
American Municipal Power-Ohio, Inc., Taxable Revenue Bonds, Series B, Combined Hydroelectric Projects, 8.08%, 2/15/50 | 40,000 | 72,342 | ||||||
Texas – 0.0%(i) | ||||||||
San Antonio Electric & Gas Revenue Bonds, Junior Lien, Build America Bonds, 5.81%, 2/01/41 | 40,000 | 58,185 | ||||||
Texas State Taxable GO Unlimited Bonds, Build America Bonds, 5.51%, 4/01/39 | 60,000 | 87,742 | ||||||
145,927 | ||||||||
Washington – 0.1% | ||||||||
Seattle Municipal Light & Power Improvement Revenue Bonds, 5.00%, 4/01/44 | 275,000 | 344,008 | ||||||
Total Municipal Bonds | 2,190,614 | |||||||
U.S. Government Obligations – 14.5% |
| |||||||
U.S. Treasury Bonds – 4.4% | ||||||||
4.25%, 5/15/39 | 51,000 | 76,289 | ||||||
4.50%, 8/15/39 | 51,000 | 78,630 | ||||||
4.37%, 11/15/39 | 51,000 | 77,681 |
Par
| Value
| |||||||
U.S. Treasury Bonds (Continued) |
| |||||||
4.62%, 2/15/40 | $ | 370,000 | $ | 580,741 | ||||
3.87%, 8/15/40 | 370,000 | 533,465 | ||||||
4.25%, 11/15/40 | 370,000 | 559,697 | ||||||
3.13%, 2/15/43 | 198,000 | 261,051 | ||||||
2.88%, 5/15/43 | 198,000 | 251,514 | ||||||
3.62%, 8/15/43 | 198,000 | 280,967 | ||||||
3.75%, 11/15/43 | 198,000 | 286,334 | ||||||
2.50%, 2/15/45 | 1,325,000 | 1,584,772 | ||||||
2.88%, 11/15/46(o) | 193,000 | 247,500 | ||||||
2.75%, 11/15/47 | 1,325,000 | 1,667,740 | ||||||
3.00%, 2/15/48(o) | 1,518,000 | 1,998,305 | ||||||
2.25%, 8/15/49(o) | 1,070,000 | 1,227,616 | ||||||
2.38%, 11/15/49 | 477,000 | 561,705 | ||||||
2.00%, 2/15/50 | 5,591,000 | 6,086,328 | ||||||
1.25%, 5/15/50(o) | 8,760,000 | 7,957,912 | ||||||
1.38%, 8/15/50 | 2,871,000 | 2,694,254 | ||||||
27,012,501 | ||||||||
U.S. Treasury Inflation-Indexed Bonds – 3.2% |
| |||||||
0.63%, 4/15/23 | 8,167,000 | 8,886,876 | ||||||
2.12%, 2/15/40 | 430,000 | 780,525 | ||||||
2.12%, 2/15/41 | 220,000 | 398,984 | ||||||
1.38%, 2/15/44 | 940,000 | 1,465,564 | ||||||
0.75%, 2/15/45 | 590,000 | 812,422 | ||||||
1.00%, 2/15/46 | 500,000 | 724,377 | ||||||
1.00%, 2/15/48 | 580,000 | 823,275 | ||||||
1.00%, 2/15/49 | 2,550,000 | 3,584,603 | ||||||
0.25%, 2/15/50 | 1,698,900 | 1,971,505 | ||||||
19,448,131 | ||||||||
U.S. Treasury Notes – 6.9% | ||||||||
1.50%, 1/31/22 | 764,000 | 776,893 | ||||||
1.75%, 4/30/22(o) | 727,000 | 744,380 | ||||||
1.75%, 7/15/22 | 1,857,000 | 1,907,415 | ||||||
1.50%, 9/15/22 | 75,000 | 76,881 | ||||||
1.38%, 10/15/22 | 84,000 | 85,992 | ||||||
2.12%, 12/31/22(o) | 392,000 | 408,599 | ||||||
0.50%, 3/15/23 | 1,857,000 | 1,871,363 | ||||||
0.25%, 4/15/23 | 1,857,000 | 1,860,554 | ||||||
2.75%, 5/31/23 | 392,000 | 417,863 | ||||||
2.12%, 7/31/24(o) | 392,000 | 419,164 | ||||||
1.75%, 7/31/24 | 662,000 | 698,513 | ||||||
1.50%, 9/30/24 | 384,000 | 402,195 | ||||||
1.50%, 10/31/24(o) | 1,651,000 | 1,730,325 | ||||||
2.25%, 11/15/24 | 1,540,000 | 1,660,734 | ||||||
1.75%, 12/31/24(o) | 2,538,000 | 2,689,685 | ||||||
2.00%, 2/15/25 | 487,000 | 521,851 | ||||||
0.50%, 3/31/25 | 1,540,000 | 1,551,610 | ||||||
0.38%, 4/30/25 | 3,191,000 | 3,196,609 | ||||||
2.12%, 5/15/25 | 420,000 | 453,698 | ||||||
0.25%, 5/31/25 | 11,430,000 | 11,383,119 | ||||||
0.25%, 9/30/25 | 30,000 | 29,817 |
See accompanying Notes to Financial Statements
84
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par
| Value
| |||||||
U.S. Treasury Notes (Continued) |
| |||||||
1.50%, 8/15/26 | $ | 558,000 | $ | 590,020 | ||||
0.63%, 3/31/27 | 621,000 | 623,159 | ||||||
0.50%, 4/30/27 | 621,000 | 617,895 | ||||||
2.37%, 5/15/27 | 614,000 | 684,922 | ||||||
0.50%, 5/31/27 | 1,235,000 | 1,228,005 | ||||||
2.25%, 8/15/27 | 1,006,000 | 1,116,306 | ||||||
0.38%, 9/30/27 | 2,110,000 | 2,074,394 | ||||||
2.87%, 8/15/28(o) | 122,000 | 142,092 | ||||||
3.12%, 11/15/28(o) | 122,000 | 144,927 | ||||||
1.63%, 8/15/29 | 890,000 | 954,351 | ||||||
1.75%, 11/15/29 | 453,000 | 490,974 | ||||||
1.50%, 2/15/30 | 321,000 | 340,762 | ||||||
0.63%, 8/15/30(o) | 50,000 | 48,906 | ||||||
41,943,973 | ||||||||
Total U.S. Government Obligations |
| 88,404,605 | ||||||
Number of Shares | Value | |||||||
Investment Companies – 11.7% |
| |||||||
BlackRock Allocation Target Shares - BATS, Series A | 3,135,536 | 31,010,449 | ||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 58,493 | 7,822,269 | ||||||
Schwab U.S. TIPS ETF | 247,213 | 15,092,353 | ||||||
Vanguard Intermediate-Term Corporate Bond ETF | 87,500 | 8,352,750 | ||||||
Vanguard Long-Term Treasury ETF | 92,028 | 8,856,775 | ||||||
Total Investment Companies | 71,134,596 | |||||||
Par | Value | |||||||
Short-Term Investments – 5.7% |
| |||||||
Borrowed Bond Agreements – 0.5% |
| |||||||
BofA Securities, Inc., 0.03%, Open (Purchased on 10/30/20 to be repurchased at $1,332,131, collateralized by U.S. Treasury Bonds, 1.25%, due 5/15/50, par and fair value of $1,446,000 and $1,332,128, respectively)(p) | 1,332,127 | 1,332,127 |
Par
| Value
| |||||||
Borrowed Bond Agreements (Continued) |
| |||||||
BofA Securities, Inc., 0.06%, Open (Purchased on 10/30/20 to be repurchased at $1,580,967, collateralized by U.S. Treasury Notes, 0.63%, due 5/15/30, par and fair value of $1,603,000 and $1,580,959, respectively)(p) | $ | 1,580,959 | $ | 1,580,959 | ||||
BofA Securities, Inc., 0.06%, Open (Purchased on 10/30/20 to be repurchased at $251,521, collateralized by U.S. Treasury Notes, 0.63%, due 8/15/30, par and fair value of $256,000 and $251,520, respectively)(p) | 251,520 | 251,520 | ||||||
3,164,606 | ||||||||
Corporate Bonds – 0.3% | ||||||||
Bank of New York Mellon (The) Corp., (3M USD LIBOR + 3.42%), 3.65%, 12/20/20(d)(k) | 105,000 | 103,824 | ||||||
Capital One Financial Corp., 4.75%, 7/15/21 | 22,000 | 22,681 | ||||||
Cigna Corp., 3.40%, 9/17/21 | 20,000 | 20,532 | ||||||
Citizens Financial Group, Inc., 2.38%, 7/28/21 | 10,000 | 10,128 | ||||||
CNH Industrial Capital LLC, 4.37%, 11/06/20 | 200,000 | 200,000 | ||||||
CVS Health Corp., 3.35%, 3/09/21 | 75,000 | 75,779 | ||||||
Elanco Animal Health, Inc., 4.91%, 8/27/21 | 17,000 | 17,383 | ||||||
Evernorth Health, Inc., 2.60%, 11/30/20 | 45,000 | 45,076 | ||||||
Ford Motor Credit Co. LLC, 3.34%, 3/18/21 | 245,000 | 245,000 | ||||||
General Motors Financial Co., Inc., 2.45%, 11/06/20 | 235,000 | 235,015 | ||||||
Huntington National Bank (The), 3.25%, 5/14/21 | 250,000 | 253,359 | ||||||
Lennar Corp., 4.75%, 4/01/21 | 17,000 | 17,149 | ||||||
Navient Corp., | 23,000 | 23,230 | ||||||
6.62%, 7/26/21 | 27,000 | 27,540 |
See accompanying Notes to Financial Statements
85
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Par
| Value
| |||||||||||
Corporate Bonds (Continued) |
| |||||||||||
NBCUniversal Enterprise, Inc., 5.25%, 3/19/21(b)(k) | $ | 430,000 | $ | 435,375 | ||||||||
Southern California Edison Co., 2.90%, 3/01/21 | 30,000 | 30,234 | ||||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 9/20/21(b) | 50,000 | 50,468 | ||||||||||
State Street Corp., (3M USD LIBOR + 3.60%), 3.85%, 12/15/20(d)(k) | 80,000 | 79,696 | ||||||||||
Time Warner Cable LLC, 4.13%, 2/15/21 | 113,000 | 113,234 | ||||||||||
2,005,703 | ||||||||||||
Foreign Issuer Bonds – 0.1% |
| |||||||||||
Royal Bank of Canada, 3.20%, 4/30/21 | 220,000 | 223,185 | ||||||||||
Santander UK Group Holdings PLC, 3.12%, 1/08/21 | 50,000 | 50,237 | ||||||||||
Sumitomo Mitsui Financial Group, Inc., 2.06%, 7/14/21 | 70,000 | 70,859 | ||||||||||
Toronto-Dominion Bank (The), 3.25%, 6/11/21 | 220,000 | 224,073 | ||||||||||
568,354 | ||||||||||||
Money Market Fund – 3.2% |
| |||||||||||
Northern Institutional Funds - Treasury Portfolio (Premier), 0.00%(q) | 19,199,746 | 19,199,746 | ||||||||||
U.S. Government Obligations – 0.2% |
| |||||||||||
U.S. Treasury Notes, 1.13%, 7/31/21 | 860,000 | 866,316 | ||||||||||
1.75%, 7/31/21(o) | 461,000 | 466,546 | ||||||||||
1,332,862 | ||||||||||||
U.S. Treasury Bills – 1.4% |
| |||||||||||
U.S. Treasury Bill, | 90,000 | 89,993 | ||||||||||
0.10%, 12/08/20(h) | 570,000 | 569,950 | ||||||||||
0.09%, 2/18/21(h) | 1,360,000 | 1,359,605 | ||||||||||
0.10%, 3/18/21(h) | 1,370,000 | 1,369,508 | ||||||||||
0.11%, 4/29/21(h) | 4,230,000 | 4,227,752 | ||||||||||
United States Cash Management Bill, 0.10%, 1/05/21(h) | 600,000 | 599,904 | ||||||||||
8,216,712 | ||||||||||||
Total Short-Term Investments |
| 34,487,983 |
Number of Contracts | Notional Amount | Value | ||||||||||
Purchased Options – 0.1% |
| |||||||||||
Call Options - Exchange Traded – 0.0%(i) |
| |||||||||||
10-Year U.S. Treasury Note Future Expiring 12/20, Strike Price $138.50, Expires 11/20/20 | 5 | $ | 691,094 | $ | 2,656 | |||||||
U.S. Treasury Long Bond Future Expiring 12/20, Strike Price $173.00, Expires 11/20/20 | 6 | 1,034,813 | 11,532 | |||||||||
14,188 | ||||||||||||
Call Options - Over the Counter – 0.0%(i) |
| |||||||||||
Chinese Yuan vs. U.S. Dollar, Strike Price CNH 6.90, Expires 11/25/20, Counterparty: Standard Chartered Bank | 2 | 14,000 | 1,665 | |||||||||
Chinese Yuan vs. U.S. Dollar, Strike Price CNH 6.99, Expires 11/25/20, Counterparty: Bank of America | 2 | 14,000 | 1,588 | |||||||||
Mexican Peso vs. U.S. Dollar, Strike Price MXN 21.30, Expires 11/02/20, Counterparty: Morgan Stanley | 1 | 1,380,000 | — | * | ||||||||
South African Rand vs. U.S. Dollar, Strike Price ZAR 16.58, Expires 11/02/20, Counterparty: BNP Paribas | 1 | 646,000 | — | * | ||||||||
South African Rand vs. U.S. Dollar, Strike Price ZAR 17.03, Expires 11/02/20, Counterparty: Bank of America | 1 | 734,000 | 6 | |||||||||
South Korean Won vs. U.S. Dollar, Strike Price KRW 1,180.00, Expires 1/11/21, Counterparty: JPMorgan Chase | 4 | 294,000 | 1,542 | |||||||||
Swiss Franc vs. Euro, Strike Price CHF 1.10, Expires 1/12/21, Counterparty: UBS | 1 | 1,870,000 | (r) | 2,158 | ||||||||
Taiwan New Dollar vs. U.S. Dollar, Strike Price TWD 30.00, Expires 11/03/20, Counterparty: JPMorgan Chase | 1 | 183,000 | — | * | ||||||||
Turkish Lira vs. U.S. Dollar, Strike Price TRY 7.70, Expires 11/06/20, Counterparty: Citibank | 1 | 94,000 | 7,891 | |||||||||
U.S. Dollar vs. Australian Dollar, Strike Price $0.72, Expires 11/25/20, Counterparty: Barclays Bank PLC | 1 | 165,000 | (s) | 582 |
See accompanying Notes to Financial Statements
86
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Number of Contracts | Notional Amount | Value | ||||||||||
Call Options - Over the Counter (Continued) |
| |||||||||||
U.S. Dollar vs. Australian Dollar, Strike Price $0.72, Expires 11/30/20, Counterparty: Bank of America | 2 | $ | 334,000 | (s) | $ | 1,520 | ||||||
U.S. Dollar vs. Australian Dollar, Strike Price $0.75, Expires 1/12/21, Counterparty: BNP Paribas | 1 | 3,100,000 | (s) | 4,559 | ||||||||
21,511 | ||||||||||||
Put Options - Exchange Traded – 0.1% |
| |||||||||||
2-Year Mid Curve Future Expiring 12/20, Strike Price $996.25, Expires 12/11/20 | 837 | 208,549,012 | 68,006 | |||||||||
3-Year Mid Curve Future Expiring 6/21, Strike Price $992.50, Expires 6/11/21 | 592 | 147,704,000 | 192,400 | |||||||||
260,406 | ||||||||||||
Put Options - Over the Counter – 0.0%(i) |
| |||||||||||
Brazilian Real vs. U.S. Dollar, Strike Price BRL 5.25, Expires 2/11/21, Counterparty: Morgan Stanley | 1 | 733,000 | 5,666 | |||||||||
British Pound vs. Euro, Strike Price GBP 0.89, Expires 11/19/20, Counterparty: Citibank | 1 | 1,890,000 | (r) | 10,782 | ||||||||
British Pound vs. Euro, Strike Price GBP 0.89, Expires 11/25/20, Counterparty: Bank of America | 1 | 1,820,000 | (r) | 10,398 | ||||||||
British Pound vs. Euro, Strike Price GBP 0.89, Expires 11/25/20, Counterparty: Deutsche Bank | 1 | 3,740,000 | (r) | 21,367 | ||||||||
British Pound vs. Euro, Strike Price GBP 0.90, Expires 11/25/20, Counterparty: HSBC Bank | 1 | 2,480,000 | (r) | 31,590 | ||||||||
Colombian Pesos vs. U.S. Dollar, Strike Price COP 3,760.00, Expires 2/12/21, Counterparty: Morgan Stanley | 1 | 440,000 | 6,236 | |||||||||
Indian Rupee vs. U.S. Dollar, Strike Price INR 74.20, Expires 12/01/20, Counterparty: Bank of America | 1 | 147,000 | 987 | |||||||||
Japanese Yen vs. U.S. Dollar, Strike Price JPY 104.50, Expires 11/12/20, Counterparty: Standard Chartered Bank | 2 | 294,000 | 1,892 |
Number of Contracts | Notional Amount | Value | ||||||||||
Put Options - Over the Counter (Continued) |
| |||||||||||
Mexican Peso vs. U.S. Dollar, Strike Price MXN 20.60, Expires 2/12/21, Counterparty: Goldman Sachs | 1 | $ | 733,000 | $ | 13,596 | |||||||
Mexican Peso vs. U.S. Dollar, Strike Price MXN 20.70, Expires 11/25/20, Counterparty: Morgan Stanley | 1 | 117,000 | 1,242 | |||||||||
Mexican Peso vs. U.S. Dollar, Strike Price MXN 21.30, Expires 11/17/20, Counterparty: Bank of America | 2 | 234,000 | 5,026 | |||||||||
Mexican Peso vs. U.S. Dollar, Strike Price MXN 21.40, Expires 12/03/20, Counterparty: Morgan Stanley | 2 | 352,000 | 9,876 | |||||||||
Mexican Peso vs. U.S. Dollar, Strike Price MXN 21.90, Expires 11/20/20, Counterparty: Morgan Stanley | 1 | 147,000 | 6,045 | |||||||||
Polish Zloty vs. U.S. Dollar, Strike Price PLN 3.82, Expires 12/22/20, Counterparty: Goldman Sachs | 2 | 294,000 | 1,713 | |||||||||
Polish Zloty vs. U.S. Dollar, Strike Price PLN 3.88, Expires 12/29/20, Counterparty: Goldman Sachs | 2 | 294,000 | 3,189 | |||||||||
Russian Ruble vs. U.S. Dollar, Strike Price RUB 75.00, Expires 11/09/20, Counterparty: Citibank | 2 | 234,000 | 69 | |||||||||
Russian Ruble vs. U.S. Dollar, Strike Price RUB 75.50, Expires 2/12/21, Counterparty: Deutsche Bank | 1 | 441,000 | 5,026 | |||||||||
Russian Ruble vs. U.S. Dollar, Strike Price RUB 78.50, Expires 11/27/20, Counterparty: BNP Paribas | 2 | 234,000 | 3,182 | |||||||||
South Korean Won vs. U.S. Dollar, Strike Price KRW 1,140.00, Expires 1/11/21, Counterparty: JPMorgan Chase | 4 | 294,000 | 5,142 | |||||||||
143,024 |
See accompanying Notes to Financial Statements
87
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Number of Contracts | Notional Amount | Value | ||||||||||
Put Swaptions - Over the Counter – 0.0%(i) |
| |||||||||||
Pay 0.58% (Semi-Annually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 04/07/2026, Strike Price $0.58, Expires 4/05/21, Counterparty: Bank of America | 1 | $ | 33,351,827 | $ | 135,665 | |||||||
Pay 0.61% (Semi-Annually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 04/08/2026, Strike Price $0.61, Expires 4/06/21, Counterparty: Goldman Sachs | 1 | 10,847,863 | 38,803 | |||||||||
174,468 | ||||||||||||
| ||||||||||||
Total Purchased Options |
| 613,597 | ||||||||||
| ||||||||||||
Total Long Positions –109.9% |
| 667,742,916 | ||||||||||
| ||||||||||||
Par | Value | |||||||||||
| ||||||||||||
Short Positions – (6.9)% |
| |||||||||||
Mortgage-Backed Securities – (6.4)% |
| |||||||||||
Uniform Mortgage-Backed Securities - (6.4)% |
| |||||||||||
Pool TBA, 11/01/50(e) | (9,169,000 | ) | (9,750,068 | ) | ||||||||
Pool TBA, 12/01/50(e) | (19,381,571 | ) | (20,181,387 | ) | ||||||||
Pool TBA, 1/01/51(e) | (8,177,000 | ) | (8,497,372 | ) | ||||||||
Total Mortgage-Backed Securities |
| (38,428,827 | ) | |||||||||
|
Par | Value | |||||||||||
U.S. Government Obligations – (0.5)% |
| |||||||||||
U.S. Treasury Bonds – (0.2)% |
| |||||||||||
1.25%, 5/15/50(o) | $ | (1,446,000 | ) | $ | (1,313,601 | ) | ||||||
| ||||||||||||
U.S. Treasury Notes – (0.3)% | ||||||||||||
0.62%, 5/15/30(o) | (1,603,000 | ) | (1,571,691 | ) | ||||||||
0.63%, 8/15/30(o) | (256,000 | ) | (250,400 | ) | ||||||||
(1,822,091 | ) | |||||||||||
| ||||||||||||
Total U.S. Government Obligations |
| (3,135,692 | ) | |||||||||
| ||||||||||||
Total Short Positions – (6.9)% |
| (41,564,519 | ) | |||||||||
| ||||||||||||
Total Written Options – (0.0)%(i) |
| (218,672 | ) | |||||||||
| ||||||||||||
Liabilities less Other Assets – (3.0)%(t) |
| (18,371,967 | ) | |||||||||
| ||||||||||||
NET ASSETS – 100.0% |
| $ | 607,587,758 | |||||||||
| ||||||||||||
Percentages shown are based on Net Assets. |
|
(a) | Par value is in USD unless otherwise indicated. |
(b) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees of Morningstar Funds Trust. |
(c) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate as of October 31, 2020 is disclosed. |
(d) | Variable rate security. Rate as of October 31, 2020 is disclosed. |
(e) | When-Issued Security. Coupon rate was not yet in effect at October 31, 2020. |
(f) | Restricted security that has been deemed illiquid. At October 31, 2020, the value of these restricted illiquid securities amounted to $731,450 or 0.12% of net assets. Additional information on these restricted illiquid securities is as follows: |
Security | Acquisition Date | Acquisition Cost | ||||||
Exantas Capital Corp. Ltd., 1.65%, 4/15/36 | 4/4//19 | $ | 500,000 |
Security | Acquisition Date | Acquisition Cost | ||||||
PFP Ltd., 1.12%, 4/14/36 | 4/11/19 | $ | 245,165 |
(g) | Step coupon bond. Rate as of October 31, 2020 is disclosed. |
(h) | Discount rate at the time of purchase. |
(i) | Amount rounds to less than 0.05%. |
See accompanying Notes to Financial Statements
88
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
(j) | Variable rate security. Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate as of October 31, 2020 is disclosed. |
(k) | Perpetual bond. Maturity date represents next call date. |
(l) | This is a Level 3 asset. The fair value price of $91.10 is based on a broker pricing matrix that adjusts for change in yields of various U.S. Treasury securities. During the fiscal period, the Fund purchased $170,000 of this security. |
(m) | Century bond maturing in 2120. |
(n) | Century bond maturing in 2112. |
(o) | All or a portion of the security was held as collateral for open futures, options, securities sold short and/or swap agreements. |
(p) | The amount to be repurchased assumes the maturity will be the day after the period end. |
(q) | 7-day current yield as of October 31, 2020 is disclosed. |
(r) | The notional amount is EUR. |
(s) | The notional amount is AUD. |
(t) | Includes appreciation/ (depreciation) on forward foreign currency exchange, futures and swap contracts. |
* | Amount rounds to less than one dollar. |
Abbreviations:
12MTA | 12 Month Treasury Average | |
1M | 1 Month | |
1Y | 1 Year | |
3M | 3 Month | |
5Y | 5 Year | |
BATS | Better Alternative Trading System | |
CDO | Collaterlized Debt Obligation | |
CLO | Collateralized Loan Obligation | |
CMT | Constant Maturity | |
ETF | Exchange-Traded Fund | |
FHLMC | Federal Home Loan Mortgage Corporation | |
FNMA | Federal National Mortgage Association | |
GMTN | Global Medium Term Note | |
GO | Government Obligation | |
ICE | Intercontinental Exchange | |
IO | Interest Only | |
LIBOR | London Interbank Offered Rate | |
LLC | Limited Liability Company | |
PLC | Public Limited Company | |
SOFR | United States Secured Overnight Financing Rate | |
TBA | To be announced | |
TIPS | Treasury Inflation Protected Securities | |
TRB | Tax Revenue Bonds | |
USD | United States Dollar | |
EUR | Euro | |
COP | Colombian Peso | |
IDR | Indonesian Rupiah | |
PEN | Peruvian Nuevo Sole | |
RUB | Russian Ruble | |
CNH | Chinese Yuan Renminbi | |
MXN | Mexican Peso | |
ZAR | South African Rand | |
KRW | South Korean Won | |
CHF | Swiss Franc | |
TWD | Taiwan Dollar | |
TRY | Turkish Lira | |
BRL | Brazilian Real | |
GBP | British Pound |
See accompanying Notes to Financial Statements
89
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
INR | Indian Rupee | |
JPY | Japanese Yen | |
PLN | Polish Zloty |
Futures Contracts outstanding at October 31, 2020:
Exchange Traded
Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||
| ||||||||||||||||||||
Long Contracts | ||||||||||||||||||||
Short Euro-BTP | 2 | 12/08/2020 | EUR | 264,841 | $ 47 | |||||||||||||||
10-Year U.S. Treasury Note | 79 | 12/21/2020 | USD | 10,919,281 | (41,592 | ) | ||||||||||||||
U.S. Treasury Long Bond | 22 | 12/21/2020 | USD | 3,794,313 | (35,583 | ) | ||||||||||||||
U.S. Ultra Bond | 155 | 12/21/2020 | USD | 33,325,000 | (891,948 | ) | ||||||||||||||
2-Year U.S. Treasury Note | 76 | 12/31/2020 | USD | 16,784,125 | (1,822 | ) | ||||||||||||||
5-Year U.S. Treasury Note | 277 | 12/31/2020 | USD | 34,791,633 | (58,028 | ) | ||||||||||||||
| ||||||||||||||||||||
Total Long Contracts | $(1,028,926 | ) | ||||||||||||||||||
| ||||||||||||||||||||
Short Contracts | ||||||||||||||||||||
Euro Bund | (16 | ) | 12/08/2020 | EUR | 3,282,450 | $ (4,859 | ) | |||||||||||||
Short Euro-BTP | (1 | ) | 12/08/2020 | EUR | 132,421 | (27 | ) | |||||||||||||
90-Day Eurodollar | (268 | ) | 12/14/2020 | USD | 66,839,200 | (2,275 | ) | |||||||||||||
3-Month SOFR | (109 | ) | 12/15/2020 | USD | 27,227,519 | 3,414 | ||||||||||||||
10-Year U.S. Treasury Note | (11 | ) | 12/21/2020 | USD | 1,520,406 | (109 | ) | |||||||||||||
U.S. Treasury Long Bond | (82 | ) | 12/21/2020 | USD | 14,142,437 | 224,469 | ||||||||||||||
Ultra 10-Year U.S. Treasury Note | (124 | ) | 12/21/2020 | USD | 19,502,875 | 127,690 | ||||||||||||||
2-Year U.S. Treasury Note | (158 | ) | 12/31/2020 | USD | 34,893,312 | 3,658 | ||||||||||||||
30-Year Euro Buxl | (8 | ) | 12/31/2020 | EUR | 2,131,403 | (42,137 | ) | |||||||||||||
90-Day Eurodollar | (122 | ) | 3/15/2021 | USD | 30,437,475 | (38,900 | ) | |||||||||||||
90-Day Eurodollar | (113 | ) | 6/14/2021 | USD | 28,193,500 | (287,964 | ) | |||||||||||||
90-Day Eurodollar | (154 | ) | 12/13/2021 | USD | 38,409,525 | (201,816 | ) | |||||||||||||
90-Day Eurodollar | (60 | ) | 6/17/2024 | USD | 14,904,000 | 10,500 | ||||||||||||||
| ||||||||||||||||||||
Total Short Contracts | $ (208,356 | ) | ||||||||||||||||||
| ||||||||||||||||||||
$(1,237,282 | ) | |||||||||||||||||||
|
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2020:
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
| ||||||||||||||||||||||||
12/16/20 | British Pounds | 5,929,746 | Euro | 6,510,000 | BNP | $ 94,268 | ||||||||||||||||||
12/16/20 | U.S. Dollars | 3,438,908 | Euro | 2,900,000 | BNP | 57,550 | ||||||||||||||||||
12/16/20 | U.S. Dollars | 3,437,148 | Euro | 2,903,994 | Citibank | 51,133 | ||||||||||||||||||
12/16/20 | U.S. Dollars | 5,409,333 | Euro | 4,606,006 | JPMorgan Chase | 38,798 | ||||||||||||||||||
12/04/20 | U.S. Dollars | 762,926 | Russian Rubles | 57,750,858 | Citibank | 38,796 | ||||||||||||||||||
12/16/20 | U.S. Dollars | 1,342,766 | Euro | 1,132,000 | UBS | 22,871 |
See accompanying Notes to Financial Statements
90
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
12/16/20 | U.S. Dollars | 1,680,893 | Euro | 1,422,602 | Morgan Stanley | $ 22,160 | ||||||||||||||||||
11/04/20 | U.S. Dollars | 1,487,283 | Euro | 1,266,500 | Goldman Sachs | 12,123 | ||||||||||||||||||
11/18/20 | Japanese Yen | 30,331,581 | Australian Dollars | 397,000 | JPMorgan Chase | 10,696 | ||||||||||||||||||
12/29/20 | U.S. Dollars | 146,000 | Turkish Lira | 1,171,927 | JPMorgan Chase | 10,373 | ||||||||||||||||||
12/04/20 | U.S. Dollars | 204,507 | Colombian Pesos | 758,403,402 | Barclays | 8,876 | ||||||||||||||||||
11/04/20 | U.S. Dollars | 1,483,990 | Euro | 1,266,500 | UBS | 8,830 | ||||||||||||||||||
12/03/20 | U.S. Dollars | 1,687,142 | Euro | 1,440,500 | Goldman Sachs | 8,202 | ||||||||||||||||||
12/16/20 | British Pounds | 680,414 | Euro | 750,000 | Citibank | 7,314 | ||||||||||||||||||
12/16/20 | British Pounds | 679,365 | Euro | 750,000 | UBS | 5,954 | ||||||||||||||||||
12/04/20 | U.S. Dollars | 203,626 | Russian Rubles | 15,771,785 | HSBC | 5,866 | ||||||||||||||||||
11/18/20 | U.S. Dollars | 176,000 | Russian Rubles | 13,564,496 | Bank of America | 5,599 | ||||||||||||||||||
11/04/20 | U.S. Dollars | 354,884 | Euro | 300,000 | Barclays | 5,459 | ||||||||||||||||||
12/16/20 | British Pounds | 256,019 | Euro | 280,000 | JPMorgan Chase | 5,319 | ||||||||||||||||||
11/04/20 | U.S. Dollars | 139,000 | Brazilian Reals | 772,696 | BNP | 4,363 | ||||||||||||||||||
12/03/20 | U.S. Dollars | 1,683,195 | Euro | 1,440,500 | UBS | 4,255 | ||||||||||||||||||
11/05/20 | Chilean Pesos | 108,812,250 | U.S. Dollars | 137,000 | Citibank | 3,707 | ||||||||||||||||||
12/16/20 | U.S. Dollars | 808,123 | Euro | 690,000 | Deutsche Bank | 3,593 | ||||||||||||||||||
12/04/20 | U.S. Dollars | 109,720 | Russian Rubles | 8,495,645 | Morgan Stanley | 3,194 | ||||||||||||||||||
12/16/20 | U.S. Dollars | 1,091,814 | British Pounds | 840,000 | HSBC | 3,190 | ||||||||||||||||||
12/16/20 | British Pounds | 570,000 | U.S. Dollars | 735,543 | JPMorgan Chase | 3,166 | ||||||||||||||||||
12/16/20 | U.S. Dollars | 365,445 | British Pounds | 280,000 | Citibank | 2,570 | ||||||||||||||||||
11/18/20 | South Korean Won | 136,750,200 | U.S. Dollars | 118,000 | Standard Chartered Bank | 2,358 | ||||||||||||||||||
12/16/20 | British Pounds | 560,000 | U.S. Dollars | 723,887 | HSBC | 1,861 | ||||||||||||||||||
11/04/20 | U.S. Dollars | 251,844 | British Pounds | 193,000 | UBS | 1,806 | ||||||||||||||||||
11/18/20 | U.S. Dollars | 58,000 | Russian Rubles | 4,477,020 | BNP | 1,759 | ||||||||||||||||||
11/04/20 | U.S. Dollars | 184,389 | British Pounds | 141,000 | State Street | 1,719 | ||||||||||||||||||
11/18/20 | Chilean Pesos | 46,919,750 | U.S. Dollars | 59,000 | Citibank | 1,668 | ||||||||||||||||||
02/17/21 | U.S. Dollars | 125,000 | Colombian Pesos | 481,000,000 | Morgan Stanley | 1,372 | ||||||||||||||||||
12/16/20 | U.S. Dollars | 383,006 | Euro | 327,398 | Bank of America | 1,265 | ||||||||||||||||||
11/04/20 | U.S. Dollars | 56,840 | Euro | 48,000 | Bank of America | 932 | ||||||||||||||||||
11/18/20 | U.S. Dollars | 117,416 | Euro | 100,000 | Bank of America | 904 | ||||||||||||||||||
12/04/20 | U.S. Dollars | 165,123 | Indonesian Rupiahs | 2,435,733,291 | UBS | 872 | ||||||||||||||||||
11/18/20 | South Korean Won | 132,756,200 | U.S. Dollars | 116,000 | Bank of America | 842 | ||||||||||||||||||
11/18/20 | U.S. Dollars | 146,000 | Canadian Dollars | 193,555 | Citibank | 713 | ||||||||||||||||||
11/18/20 | Mexican Pesos | 7,789,432 | U.S. Dollars | 366,000 | Citibank | 481 | ||||||||||||||||||
11/18/20 | U.S. Dollars | 120,000 | Polish Zloty | 473,141 | Bank of America | 473 | ||||||||||||||||||
11/04/20 | U.S. Dollars | 118,000 | Japanese Yen | 12,309,794 | Morgan Stanley | 417 | ||||||||||||||||||
12/16/20 | U.S. Dollars | 363,200 | British Pounds | 280,000 | JPMorgan Chase | 326 | ||||||||||||||||||
11/18/20 | Mexican Pesos | 1,453,907 | U.S. Dollars | 68,089 | Barclays | 315 | ||||||||||||||||||
12/03/20 | U.S. Dollars | 116,686 | Japanese Yen | 12,184,000 | Barclays | 263 | ||||||||||||||||||
12/04/20 | U.S. Dollars | 37,370 | Indonesian Rupiahs | 550,497,518 | JPMorgan Chase | 248 | ||||||||||||||||||
11/18/20 | U.S. Dollars | 35,000 | Colombian Pesos | 134,645,000 | Citibank | 242 | ||||||||||||||||||
11/04/20 | U.S. Dollars | 17,808 | Australian Dollars | 25,000 | Bank of America | 235 | ||||||||||||||||||
12/16/20 | Euro | 330,000 | U.S. Dollars | 384,592 | JPMorgan Chase | 183 |
See accompanying Notes to Financial Statements
91
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
| ||||||||||||||||||||||||
11/18/20 | U.S. Dollars | 26,000 | Polish Zloty | 102,298 | Goldman Sachs | $ 157 | ||||||||||||||||||
11/18/20 | U.S. Dollars | 265,000 | South African Rand | 4,319,799 | Bank of America | 112 | ||||||||||||||||||
11/18/20 | U.S. Dollars | 35,000 | Colombian Pesos | 135,297,400 | JPMorgan Chase | 74 | ||||||||||||||||||
11/18/20 | U.S. Dollars | 73,164 | Australian Dollars | 104,000 | Bank of America | 56 | ||||||||||||||||||
11/18/20 | U.S. Dollars | 116,559 | Euro | 100,000 | Barclays | 48 | ||||||||||||||||||
11/18/20 | U.S. Dollars | 24,089 | Mexican Pesos | 511,246 | Citibank | 36 | ||||||||||||||||||
| ||||||||||||||||||||||||
Total Unrealized Appreciation |
| $469,962 | ||||||||||||||||||||||
| ||||||||||||||||||||||||
11/18/20 | Japanese Yen | 6,070,702 | U.S. Dollars | 58,000 | UBS | $ (3 | ) | |||||||||||||||||
11/18/20 | South African Rand | 2,869,355 | U.S. Dollars | 176,000 | Deutsche Bank | (52 | ) | |||||||||||||||||
12/02/20 | U.S. Dollars | 44,000 | Brazilian Reals | 253,163 | UBS | (53 | ) | |||||||||||||||||
11/04/20 | U.S. Dollars | 44,000 | Brazilian Reals | 252,912 | UBS | (68 | ) | |||||||||||||||||
01/20/21 | Kazakhstan Tenge | 8,589,273 | U.S. Dollars | 19,570 | Citibank | (137 | ) | |||||||||||||||||
12/16/20 | U.S. Dollars | 738,559 | British Pounds | 570,000 | JPMorgan Chase | (150 | ) | |||||||||||||||||
11/18/20 | Australian Dollars | 104,000 | U.S. Dollars | 73,282 | Bank of America | (174 | ) | |||||||||||||||||
11/18/20 | Mexican Pesos | 1,547,600 | U.S. Dollars | 73,000 | Citibank | (188 | ) | |||||||||||||||||
11/04/20 | Japanese Yen | 12,184,000 | U.S. Dollars | 116,649 | Barclays | (268 | ) | |||||||||||||||||
11/18/20 | Russian Rubles | 4,658,640 | U.S. Dollars | 59,000 | Citibank | (477 | ) | |||||||||||||||||
11/18/20 | U.S. Dollars | 102,000 | Mexican Pesos | 2,178,148 | HSBC | (479 | ) | |||||||||||||||||
12/04/20 | U.S. Dollars | 68,313 | Mexican Pesos | 1,464,934 | Deutsche Bank | (486 | ) | |||||||||||||||||
12/04/20 | Russian Rubles | 1,024,675 | U.S. Dollars | 13,345 | Goldman Sachs | (497 | ) | |||||||||||||||||
12/16/20 | British Pounds | 280,000 | U.S. Dollars | 363,466 | Citibank | (592 | ) | |||||||||||||||||
11/18/20 | U.S. Dollars | 83,000 | Japanese Yen | 8,750,714 | UBS | (600 | ) | |||||||||||||||||
11/18/20 | Russian Rubles | 2,259,390 | U.S. Dollars | 29,000 | Bank of America | (617 | ) | |||||||||||||||||
11/18/20 | U.S. Dollars | 59,000 | Chilean Pesos | 46,129,150 | JPMorgan Chase | (646 | ) | |||||||||||||||||
12/16/20 | Norwegian Kroner | 4,200,000 | U.S. Dollars | 440,630 | Citibank | (756 | ) | |||||||||||||||||
11/18/20 | Australian Dollars | 161,000 | U.S. Dollars | 113,936 | Barclays | (759 | ) | |||||||||||||||||
12/04/20 | Russian Rubles | 1,818,265 | U.S. Dollars | 23,637 | Bank of America | (838 | ) | |||||||||||||||||
11/18/20 | Colombian Pesos | 267,820,000 | U.S. Dollars | 70,000 | Citibank | (863 | ) | |||||||||||||||||
11/18/20 | Euro | 48,000 | U.S. Dollars | 56,797 | Barclays | (872 | ) | |||||||||||||||||
11/18/20 | Russian Rubles | 2,238,807 | U.S. Dollars | 29,000 | UBS | (876 | ) | |||||||||||||||||
12/04/20 | Indonesian Rupiahs | 2,689,000,000 | U.S. Dollars | 182,305 | | Standard Chartered Bank | | (975 | ) | |||||||||||||||
11/18/20 | Australian Dollars | 49,000 | U.S. Dollars | 35,489 | BNP | (1,043 | ) | |||||||||||||||||
11/18/20 | U.S. Dollars | 59,000 | South African Rand | 979,654 | BNP | (1,072 | ) | |||||||||||||||||
11/18/20 | Euro | 100,000 | U.S. Dollars | 117,742 | JPMorgan Chase | (1,231 | ) | |||||||||||||||||
12/16/20 | British Pounds | 280,000 | U.S. Dollars | 364,178 | HSBC | (1,303 | ) | |||||||||||||||||
02/17/21 | Colombian Pesos | 481,000,000 | U.S. Dollars | 125,000 | Citibank | (1,372 | ) | |||||||||||||||||
11/18/20 | U.S. Dollars | 118,000 | South Korean Won | 135,670,500 | JPMorgan Chase | (1,407 | ) | |||||||||||||||||
11/18/20 | U.S. Dollars | 148,000 | Japanese Yen | 15,647,514 | Barclays | (1,489 | ) | |||||||||||||||||
11/18/20 | U.S. Dollars | 220,000 | Mexican Pesos | 4,708,682 | Citibank | (1,537 | ) | |||||||||||||||||
12/16/20 | British Pounds | 280,000 | U.S. Dollars | 364,677 | Morgan Stanley | (1,802 | ) | |||||||||||||||||
12/16/20 | Euro | 355,582 | U.S. Dollars | 417,337 | Deutsche Bank | (2,733 | ) | |||||||||||||||||
11/18/20 | Polish Zloty | 226,658 | U.S. Dollars | 60,000 | State Street | (2,740 | ) |
See accompanying Notes to Financial Statements
92
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
| ||||||||||||||||||||||||
11/18/20 | Polish Zloty | 456,052 | U.S. Dollars | 118,000 | Bank of America | $ (2,789 | ) | |||||||||||||||||
11/04/20 | Brazilian Reals | 488,180 | U.S. Dollars | 88,000 | BNP | (2,938 | ) | |||||||||||||||||
11/04/20 | Brazilian Reals | 528,200 | U.S. Dollars | 95,000 | Citibank | (2,964 | ) | |||||||||||||||||
11/18/20 | U.S. Dollars | 245,142 | South African Rand | 4,051,963 | Bank of America | (3,323 | ) | |||||||||||||||||
11/18/20 | Russian Rubles | 13,743,840 | U.S. Dollars | 176,000 | BNP | (3,346 | ) | |||||||||||||||||
11/18/20 | Australian Dollars | 187,000 | U.S. Dollars | 134,843 | JPMorgan Chase | (3,388 | ) | |||||||||||||||||
11/05/20 | U.S. Dollars | 137,000 | Chilean Pesos | 108,812,250 | Deutsche Bank | (3,707 | ) | |||||||||||||||||
11/09/20 | Turkish Lira | 588,522 | U.S. Dollars | 74,000 | Bank of America | (4,087 | ) | |||||||||||||||||
12/04/20 | Russian Rubles | 9,324,485 | U.S. Dollars | 121,046 | Barclays | (4,127 | ) | |||||||||||||||||
11/04/20 | Euro | 1,440,500 | U.S. Dollars | 1,682,144 | UBS | (4,318 | ) | |||||||||||||||||
12/29/20 | Turkish Lira | 591,483 | U.S. Dollars | 73,000 | Citibank | (4,548 | ) | |||||||||||||||||
12/16/20 | Euro | 310,000 | U.S. Dollars | 366,091 | RBS | (4,636 | ) | |||||||||||||||||
12/04/20 | Russian Rubles | 9,220,052 | U.S. Dollars | 120,372 | HSBC | (4,763 | ) | |||||||||||||||||
12/29/20 | Turkish Lira | 587,723 | U.S. Dollars | 73,000 | JPMorgan Chase | (4,983 | ) | |||||||||||||||||
12/16/20 | Euro | 490,000 | U.S. Dollars | 576,826 | Barclays | (5,493 | ) | |||||||||||||||||
11/04/20 | Euro | 1,440,500 | U.S. Dollars | 1,686,105 | Goldman Sachs | (8,279 | ) | |||||||||||||||||
12/16/20 | Euro | 800,000 | U.S. Dollars | 944,117 | HSBC | (11,329 | ) | |||||||||||||||||
12/04/20 | U.S. Dollars | 562,521 | Indonesian Rupiahs | 8,515,438,617 | Standard Chartered Bank | (11,709 | ) | |||||||||||||||||
12/16/20 | Euro | 1,065,000 | British Pounds | 968,111 | Deutsche Bank | (12,878 | ) | |||||||||||||||||
12/16/20 | Euro | 1,263,694 | U.S. Dollars | 1,487,907 | Morgan Stanley | (14,458 | ) | |||||||||||||||||
12/16/20 | Euro | 1,310,724 | U.S. Dollars | 1,542,780 | Bank of America | (14,495 | ) | |||||||||||||||||
12/16/20 | Euro | 1,910,000 | U.S. Dollars | 2,241,734 | JPMorgan Chase | (14,702 | ) | |||||||||||||||||
12/16/20 | Euro | 1,420,000 | U.S. Dollars | 1,686,666 | BNP | (30,967 | ) | |||||||||||||||||
12/16/20 | Euro | 1,295,000 | British Pounds | 1,190,447 | Citibank | (32,845 | ) | |||||||||||||||||
12/16/20 | Euro | 2,510,000 | British Pounds | 2,284,315 | Barclays | (33,803 | ) | |||||||||||||||||
12/16/20 | Euro | 3,420,000 | British Pounds | 3,111,450 | BNP | (44,707 | ) | |||||||||||||||||
12/16/20 | Euro | 4,660,000 | U.S. Dollars | 5,501,901 | Citibank | (68,409 | ) | |||||||||||||||||
| ||||||||||||||||||||||||
Total Unrealized Depreciation |
| $(387,146 | ) | |||||||||||||||||||||
| ||||||||||||||||||||||||
Net Unrealized Appreciation |
| $ 82,816 | ||||||||||||||||||||||
|
Written Call Option Contracts outstanding at October 31, 2020:
Exchange Traded
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||||||||
10-Year U.S. Treasury Note Future, Expires 1/21 | 19 | USD | 2,618,734 | 139.50 | 12/24/2020 | $ | (5,344 | ) | ||||||||||||||||
10-Year U.S. Treasury Note Future, Expires 1/21 | 6 | USD | 826,969 | 140.00 | 12/24/2020 | (1,125 | ) | |||||||||||||||||
10-Year U.S. Treasury Note Future, Expires 11/20 | 2 | USD | 276,438 | 138.50 | 10/30/2020 | — | * | |||||||||||||||||
10-Year U.S. Treasury Note Future, Expires 12/20 | 2 | USD | 276,438 | 138.75 | 11/6/2020 | (531 | ) | |||||||||||||||||
10-Year U.S. Treasury Note Future, Expires 12/20 | 14 | USD | 1,935,062 | 139.00 | 11/20/2020 | (4,594 | ) | |||||||||||||||||
10-Year U.S. Treasury Note Future, Expires 12/20 | 10 | USD | 1,382,187 | 139.50 | 11/20/2020 | (1,875 | ) | |||||||||||||||||
10-Year U.S. Treasury Note Future, Expires 12/20 | 6 | USD | 829,313 | 139.75 | 11/20/2020 | (844 | ) | |||||||||||||||||
10-Year U.S. Treasury Note Future, Expires 12/20 | 4 | USD | 552,875 | 140.00 | 11/20/2020 | (437 | ) |
See accompanying Notes to Financial Statements
93
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||||||||
| ||||||||||||||||||||||||
5-Year U.S. Treasury Note Future, Expires 12/20 | 2 | USD | 251,203 | 125.75 | 11/6/2020 | $ | (234 | ) | ||||||||||||||||
5-Year U.S. Treasury Note Future, Expires 12/20 | 24 | USD | 3,014,437 | 125.75 | 11/20/2020 | (4,125 | ) | |||||||||||||||||
5-Year U.S. Treasury Note Future, Expires 12/20 | 2 | USD | 251,203 | 126.00 | 11/20/2020 | (172 | ) | |||||||||||||||||
U.S. Treasury Long Bond Future, Expires 1/21 | 2 | USD | 196,875 | 179.00 | 12/24/2020 | (1,969 | ) | |||||||||||||||||
U.S. Treasury Long Bond Future, Expires 11/20 | 3 | USD | 517,406 | 173.00 | 10/30/2020 | — | * | |||||||||||||||||
U.S. Treasury Long Bond Future, Expires 12/20 | 16 | USD | 2,759,500 | 175.00 | 11/20/2020 | (17,750 | ) | |||||||||||||||||
U.S. Treasury Long Bond Future, Expires 12/20 | 14 | USD | 2,414,562 | 176.00 | 11/20/2020 | (11,375 | ) | |||||||||||||||||
U.S. Treasury Long Bond Future, Expires 12/20 | 13 | USD | 2,242,094 | 177.00 | 11/20/2020 | (7,516 | ) | |||||||||||||||||
U.S. Treasury Long Bond Future, Expires 12/20 | 10 | USD | 1,724,687 | 178.00 | 11/20/2020 | (3,906 | ) | |||||||||||||||||
U.S. Treasury Long Bond Future, Expires 12/20 | 6 | USD | 1,034,813 | 179.00 | 11/20/2020 | (1,594 | ) | |||||||||||||||||
U.S. Treasury Long Bond Future, Expires 12/20 | 6 | USD | 1,034,813 | 174.00 | 11/20/2020 | (8,812 | ) | |||||||||||||||||
U.S. Treasury Long Bond Future, Expires 12/20 | 3 | USD | 517,406 | 180.00 | 11/20/2020 | (516 | ) | |||||||||||||||||
| ||||||||||||||||||||||||
Total Written Call Options Contracts (Premiums Received $ 112,800) |
| $ | (72,719 | ) | ||||||||||||||||||||
|
*Amount rounds to less than one dollar.
Written Put Option Contracts outstanding at October 31, 2020:
Exchange Traded
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||||||||
| ||||||||||||||||||||||||
10-Year U.S. Treasury Note Future, Expires 1/21 | 6 | USD | 829,313 | 137.50 | 12/24/2020 | $ | (4,688 | ) | ||||||||||||||||
10-Year U.S. Treasury Note Future, Expires 12/20 | 5 | USD | 691,094 | 139.00 | 11/20/2020 | (5,547 | ) | |||||||||||||||||
10-Year U.S. Treasury Note Future, Expires 12/21 | 5 | USD | 691,094 | 138.50 | 11/20/2020 | (4,062 | ) | |||||||||||||||||
3-Year Mid Curve Future, Expires 6/21 | 326 | USD | 81,337,000 | 987.50 | 6/11/2021 | (20,375 | ) | |||||||||||||||||
5-Year U.S. Treasury Note Future, Expires 12/20 | 6 | USD | 753,609 | 125.50 | 11/20/2020 | (1,219 | ) | |||||||||||||||||
| ||||||||||||||||||||||||
Total Written Put Options Contracts (Premiums Received $37,124) |
| $ | (35,891 | ) | ||||||||||||||||||||
|
Written Call Option Contracts outstanding at October 31, 2020:
Over the Counter
Description | Counterparty | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||
Brazilian Real vs. U.S. Dollar | Morgan Stanley | 1 | USD | 220,000 | BRL | 5.70 | 11/30/2020 | $ | (6,053 | ) | ||||||||||||||||||||
Colombian Pesos vs. U.S. Dollar | Morgan Stanley | 1 | USD | 132,000 | COP | 3,950.00 | 2/12/2021 | (3,135 | ) | |||||||||||||||||||||
Japanese Yen vs. U.S. Dollar | Standard Chartered Bank | 2 | USD | 148,000 | JPY | 106.00 | 11/12/2020 | (357 | ) | |||||||||||||||||||||
Mexican Peso vs. U.S. Dollar | Morgan Stanley | 1 | USD | 59,000 | MXN | 21.30 | 11/25/2020 | (1,311 | ) | |||||||||||||||||||||
Mexican Peso vs. U.S. Dollar | Goldman Sachs |
| 1 |
| USD | 220,000 | MXN | 22.35 | 2/12/2021 | (5,262 | ) |
See accompanying Notes to Financial Statements
94
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Description | Counterparty | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||
Polish Zloty vs. U.S. Dollar | Goldman Sachs | 2 | USD | 146,000 | PLN | 4.00 | 12/22/2020 | $ | (2,120 | ) | ||||||||||||||||||||
Russian Ruble vs. U.S. Dollar | Deutsche Bank | 1 | USD | 94,400 | RUB | 81.00 | 2/12/2021 | (3,153 | ) | |||||||||||||||||||||
South Korean Won vs. U.S. Dollar | JPMorgan Chase | 4 | USD | 294,000 | KRW | 1,160.00 | 1/11/2021 | (2,577 | ) | |||||||||||||||||||||
Swiss Franc vs. Euro | UBS | 1 | EUR | 1,870,000 | CHF | 1.14 | 1/12/2021 | (214 | ) | |||||||||||||||||||||
U.S. Dollar vs. Australian Dollar | Barclays Bank PLC | 1 | AUD | 248,000 | USD | 0.74 | 12/23/2020 | (414 | ) | |||||||||||||||||||||
| ||||||||||||||||||||||||||||||
Total Written OTC Call Options Contracts (Premiums Received $ 23,845) |
| $ | (24,596 | ) | ||||||||||||||||||||||||||
|
Written Put Option Contracts outstanding at October 31, 2020:
Over the Counter
Description | Counterparty | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||
Brazilian Real vs. U.S. Dollar | Morgan Stanley | 1 | USD | 954,000 | BRL | 4.95 | 2/11/2021 | $ | (1,846 | ) | ||||||||||||||||||||
Colombian Pesos vs. U.S. Dollar | Morgan Stanley | 1 | USD | 572,000 | COP | 3,600.00 | 2/12/2021 | (2,481 | ) | |||||||||||||||||||||
Indian Rupee vs. U.S. Dollar | Bank of America | 1 | USD | 220,000 | INR | 72.70 | 12/1/2020 | (314 | ) | |||||||||||||||||||||
Mexican Peso vs. U.S. Dollar | Bank of America | 2 | USD | 352,000 | MXN | 20.70 | 11/17/2020 | (3,096 | ) | |||||||||||||||||||||
Mexican Peso vs. U.S. Dollar | Morgan Stanley | 1 | USD | 147,000 | MXN | 21.40 | 11/20/2020 | (3,692 | ) | |||||||||||||||||||||
Mexican Peso vs. U.S. Dollar | Morgan Stanley | 2 | USD | 352,000 | MXN | 20.80 | 12/3/2020 | (4,947 | ) | |||||||||||||||||||||
Mexican Peso vs. U.S. Dollar | Goldman Sachs | 1 | USD | 954,000 | MXN | 19.50 | 2/12/2021 | (5,473 | ) | |||||||||||||||||||||
Polish Zloty vs. U.S. Dollar | Goldman Sachs | 2 | USD | 440,000 | PLN | 3.78 | 12/29/2020 | (1,958 | ) | |||||||||||||||||||||
Russian Ruble vs. U.S. Dollar | BNP Paribas | 2 | USD | 352,000 | RUB | 76.20 | 11/27/2020 | (1,646 | ) | |||||||||||||||||||||
Russian Ruble vs. U.S. Dollar | Deutsche Bank | 1 | USD | 573,000 | RUB | 72.50 | 2/12/2021 | (2,470 | ) | |||||||||||||||||||||
Turkish Lira vs. U.S. Dollar | Citibank | 1 | USD | 94,000 | TRY | 7.25 | 11/6/2020 | (2 | ) | |||||||||||||||||||||
U.S. Dollar vs. Australian Dollar | Bank of America | 2 | AUD | 166,000 | USD | 0.69 | 11/30/2020 | (830 | ) | |||||||||||||||||||||
| ||||||||||||||||||||||||||||||
Total Written OTC Put Options Contracts (Premiums Received $39,761) |
| $ | (28,755 | ) | ||||||||||||||||||||||||||
|
See accompanying Notes to Financial Statements
95
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Written Put Interest Rate Swaption Contracts outstanding at October 31, 2020:
Over the Counter
Description | Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Counterparty | Expiration Date | Exercise Rate | Notional Amount | Value | |||||||||||||||
| ||||||||||||||||||||||
Interest Rate | 0.83% Semi-Annually | 3M USD LIBOR Quarterly | Bank of America | 4/5/2021 | 0.83 | % | 33,351,827 | $ | (44,021 | ) | ||||||||||||
Interest Rate | 0.86% Semi-Annually | 3M USD LIBOR Quarterly | Bank of America | 4/6/2021 | 0.86 | 10,847,863 | (12,690 | ) | ||||||||||||||
| ||||||||||||||||||||||
Total Written OTC Put Swaptions Contracts (Premiums Received $40,282) |
| $ | (56,711 | ) | ||||||||||||||||||
|
Interest Rate Swap Contracts outstanding at October 31, 2020:
Exchange Traded
Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Maturity Date | Notional Amount | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
1-Day U.S. Federal Funds Rate (Annually) | 0.00% (Annually) | 6/15/2022 | USD | 48,310,000 | $ | (48,232 | ) | $ | (8,096 | ) | $ | (40,136 | ) | |||||||||||||||
3M USD LIBOR (Quarterly) | 0.19% (Semi-Annually) | 6/15/2022 | USD | 6,485,000 | (3,952 | ) | (25 | ) | (3,927 | ) | ||||||||||||||||||
28-Day MXN-TIIE-BANXICO (Monthly) | 4.51% (Monthly) | 9/29/2022 | MXN | 20,228,698 | (642 | ) | — | (642 | ) | |||||||||||||||||||
28-Day MXN-TIIE-BANXICO (Monthly) | 4.50% (Monthly) | 9/30/2022 | MXN | 12,411,302 | (563 | ) | — | (563 | ) | |||||||||||||||||||
1-Day U.S. Federal Funds Rate (Annually) | 0.05% (Annually) | 9/19/2023 | USD | 28,829,000 | (19,125 | ) | — | (19,125 | ) | |||||||||||||||||||
1-Day U.S. Federal Funds Rate (Annually) | 0.07% (Annually) | 10/6/2023 | USD | 14,730,000 | (7,892 | ) | — | (7,892 | ) | |||||||||||||||||||
1-Day Canadian Overnight Repo Rate Average (At Maturity) | 0.48% (At Maturity) | 10/7/2023 | CAD | 6,495,734 | 1,020 | — | 1,020 | |||||||||||||||||||||
3M CAD CIDOR (Quarterly) | 0.76% (Semi-Annually) | 10/7/2023 | CAD | 15,595,000 | (2,174 | ) | (344 | ) | (1,830 | ) | ||||||||||||||||||
1-Day GBP Sterling Overnight Index Average Rate (At Maturity) | (0.06)% (At Maturity) | 10/10/2023 | GBP | 3,390,000 | (694 | ) | — | (694 | ) | |||||||||||||||||||
3M CAD CIDOR (Quarterly) | 0.75% (Semi-Annually) | 10/24/2023 | CAD | 11,067,000 | (3,334 | ) | — | (3,334 | ) | |||||||||||||||||||
1-Day GBP Sterling Overnight Index Average Rate (At Maturity) | (0.03)% (At Maturity) | 10/26/2023 | GBP | 5,030,000 | 543 | 1,009 | (466 | ) | ||||||||||||||||||||
3M CAD CIDOR (Quarterly) | 0.74% (Semi-Annually) | 10/26/2023 | CAD | 8,320,000 | (3,239 | ) | — | (3,239 | ) | |||||||||||||||||||
1-Day GBP Sterling Overnight Index Average Rate (At Maturity) | (0.05)% (At Maturity) | 10/27/2023 | GBP | 5,080,000 | (604 | ) | 770 | (1,374 | ) | |||||||||||||||||||
1-Day GBP Sterling Overnight Index Average Rate (At Maturity) | (0.09)% (At Maturity) | 10/28/2023 | GBP | 6,650,000 | (4,144 | ) | — | (4,144 | ) | |||||||||||||||||||
28-Day MXN-TIIE-BANXICO (Monthly) | 6.67% (Monthly) | 8/12/2024 | MXN | 3,513,241 | 10,393 | — | 10,393 | |||||||||||||||||||||
28-Day MXN-TIIE-BANXICO (Monthly) | 6.72% (Monthly) | 8/13/2024 | MXN | 3,023,000 | 9,167 | — | 9,167 | |||||||||||||||||||||
3M USD LIBOR (Quarterly) | 0.42% (Semi-Annually) | 8/31/2024 | USD | 23,260,000 | 73,092 | (3,984 | ) | 77,076 |
See accompanying Notes to Financial Statements
96
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Maturity Date | Notional Amount | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
28-Day MXN-TIIE-BANXICO (Monthly) | 6.59% (Monthly) | 11/8/2024 | MXN | 2,592,058 | $ | 7,471 | $ — | $ 7,471 | ||||||||||||||||||||
0.40% (Annually) | 1-Day U.S. Federal Funds Rate (Annually) | 9/18/2025 | USD | 28,829,000 | 46,685 | — | 46,685 | |||||||||||||||||||||
0.41% (Annually) | 1-Day U.S. Federal Funds Rate (Annually) | 10/7/2025 | USD | 14,730,000 | 23,809 | — | 23,809 | |||||||||||||||||||||
0.45% (Semi-Annually) | 3M USD LIBOR (Quarterly) | 5/15/2027 | USD | 10,533,000 | 100,536 | (6,173) | 106,709 | |||||||||||||||||||||
0.80% (Semi-Annually) | 3M USD LIBOR (Quarterly) | 11/15/2045 | USD | 8,645,000 | 931,081 | 79,845 | 851,236 | |||||||||||||||||||||
1.20% (Semi-Annually) | 3M USD LIBOR (Quarterly) | 10/7/2050 | USD | 1,437,000 | 39,615 | 7,135 | 32,480 | |||||||||||||||||||||
Total |
| 289,184,033 | $ | 1,148,817 | $70,137 | $1,078,680 |
Interest Rate Swap Contracts outstanding at October 31, 2020:
Over the Counter
Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Counterparty | Maturity Date | Notional Amount | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
1-Day Brazil CETIP Interbank Deposit Rate (Annually) | 3.10% (Annually) | Citibank | 1/3/2022 | BRL | 3,075,311 | $ | (1,400 | ) | $— | $(1,400 | ) | |||||||||||||||||||||
1-Day Brazil CETIP Interbank Deposit Rate (At Maturity) | 4.52% (At Maturity) | BNP Paribas | 1/2/2023 | BRL | 3,374,520 | (4,265 | ) | — | (4,265 | ) | ||||||||||||||||||||||
1-Day Brazil CETIP Interbank Deposit Rate (At Maturity) | 5.13% (At Maturity) | | JPMorgan Chase | | 1/2/2023 | BRL | 809,926 | 2,558 | — | 2,558 | ||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Total | 7,259,757 | $ | (3,107 | ) | $— | $(3,107 | ) | |||||||||||||||||||||||||
|
Credit Default Swap Contracts outstanding - Sell Protection as of October 31, 2020:
Exchange Traded
Reference Obligation | Implied Credit Spread | Fixed Deal Receive Rate | Maturity Date | Notional Amount(1) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||
Markit CDX North America Investment Grade Index Series 34 (Receive Quarterly) | 0.91% | 1.00 | % | 6/20/2025 | USD | 36,740,000 | $195,622 | $419,659 | $(224,037) | |||||||||||||||||||||||
Markit CDX North America Investment Grade Index Series 35 (Receive Quarterly) | 0.66% | 1.00 | % | 12/20/2025 | USD | 820,000 | 15,023 | 15,014 | 9 | |||||||||||||||||||||||
Markit iTraxx Europe Crossover Index Series 34 (Receive Quarterly) | 3.67% | 5.00 | % | 12/20/2025 | EUR | 1,710,000 | 128,842 | 142,144 | (13,302) |
See accompanying Notes to Financial Statements
97
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Reference Obligation | Implied Credit Spread | Fixed Deal Receive Rate | Maturity Date | Notional Amount(1) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Markit iTraxx Europe Main Index Series 34 (Receive Quarterly) | 0.65% | 1.00 | % | 12/20/2025 | EUR | 2,450,000 | $ 53,322 | $ 54,185 | $ (863 | ) | ||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Total | 41,720,000 | $392,809 | $631,002 | $(238,193 | ) | |||||||||||||||||||||||||||
|
(1) The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement.
Credit Default Swap Contracts outstanding - Buy Protection at October 31, 2020:
Over the Counter
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||
Federal Republic of Brazil, 4.25%, Due: 1/7/2025 (Pay Quarterly) | 1.00% | 12/20/2025 | Barclays | USD | 593,000 | $32,879 | $35,036 | $(2,157) | ||||||||||||||||||||||||
Republic of Chile, 3.24%, Due: 2/6/2028 (Pay Quarterly) | 1.00% | 12/20/2025 | Citibank | USD | 79,000 | (1,811 | ) | (1,068 | ) | (743) | ||||||||||||||||||||||
Republic of Colombia, 10.38%, Due: 1/28/2033 (Pay Quarterly) | 1.00% | 12/20/2025 | Citibank | USD | 670,000 | 7,797 | 12,780 | (4,983) | ||||||||||||||||||||||||
Republic of Colombia, 10.38%, Due: 1/28/2033 (Pay Quarterly) | 1.00% | 12/20/2025 | Goldman Sachs | USD | 159,000 | 1,850 | 3,125 | (1,275) | ||||||||||||||||||||||||
Republic of Colombia, 10.38%, Due: 1/28/2033 (Pay Quarterly) | 1.00% | 12/20/2025 | Barclays | USD | 70,000 | 814 | 1,150 | (336) | ||||||||||||||||||||||||
Republic of Colombia, 10.38%, Due: 1/28/2033 (Pay Quarterly) | 1.00% | 12/20/2025 | Morgan Stanley | USD | 40,000 | 465 | 625 | (160) | ||||||||||||||||||||||||
Republic of Indonesia, 3.70%, Due: 1/8/2022 (Pay Quarterly) | 1.00% | 12/20/2025 | Citibank | USD | 100,000 | (176 | ) | (32 | ) | (144) | ||||||||||||||||||||||
Republic of Indonesia, 3.70%, Due: 1/8/2022 (Pay Quarterly) | 1.00% | 12/20/2025 | JPMorgan Chase | USD | 59,000 | (105 | ) | 116 | (221) | |||||||||||||||||||||||
Republic of Indonesia, 4.13%, Due: 1/15/2025 (Pay Quarterly) | 1.00% | 12/20/2025 | Citibank | USD | 311,000 | (542 | ) | 307 | (849) | |||||||||||||||||||||||
Republic of Philippines, 10.63%, Due: 3/16/2025 (Pay Quarterly) | 1.00% | 12/20/2025 | Goldman Sachs | USD | 198,269 | (5,550 | ) | (4,601 | ) | (949) | ||||||||||||||||||||||
Republic of South Africa, 5.88%, Due: 9/16/2025 (Pay Quarterly) | 1.00% | 12/20/2025 | Morgan Stanley | USD | 993,132 | 83,308 | 93,528 | (10,220) | ||||||||||||||||||||||||
Republic of South Africa, 5.88%, Due: 9/16/2025 (Pay Quarterly) | 1.00% | 12/20/2025 | Goldman Sachs | USD | 126,720 | 10,631 | 11,811 | (1,180) | ||||||||||||||||||||||||
Russian Federation, 7.50%, Due: 3/31/2030 (Pay Quarterly) | 1.00% | 12/20/2025 | Bank of America | USD | 415,304 | 659 | 2,935 | (2,276) |
See accompanying Notes to Financial Statements
98
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Russian Federation, 7.50%, Due: 3/31/2030 (Pay Quarterly) | 1.00% | 12/20/2025 | Citibank | USD | 54,696 | $ 87 | $ 360 | $ (273 | ) | |||||||||||||||||||||||
United Mexican States, 4.15% Due: 3/28/2027 (Pay Quarterly) | 1.00% | 12/20/2025 | Morgan Stanley | USD | 59,000 | 737 | 863 | (126 | ) | |||||||||||||||||||||||
United Mexican States, 4.15%, Due: 3/28/2027 (Pay Quarterly) | 1.00% | 12/20/2025 | Barclays | USD | 529,000 | 6,606 | 9,279 | (2,673 | ) | |||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Total | 4,457,121 | $137,649 | $166,214 | $(28,565 | ) | |||||||||||||||||||||||||||
|
Inflation Swap Contracts outstanding at October 31, 2020:
Exchange Traded
Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Maturity Date | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
| ||||||||||||||||||||||||||||
0.72% (At Maturity) | | 1-Day Eurostat Eurozone HICP Ex Tobacco (At Maturity) | | 9/15/2025 | EUR | 1,015,000 | $(7,923 | ) | $— | $(7,923 | ) | |||||||||||||||||
0.73% (At Maturity) | | 1-Day Eurostat Eurozone HICP Ex Tobacco (At Maturity) | | 9/15/2025 | EUR | 1,015,000 | (8,550 | ) | — | (8,550 | ) | |||||||||||||||||
0.67% (At Maturity) | | 1-Day Eurostat Eurozone HICP Ex Tobacco (At Maturity) | | 10/15/2025 | EUR | 1,825,000 | (9,725 | ) | — | (9,725 | ) | |||||||||||||||||
0.68% (At Maturity) | | 1-Day Eurostat Eurozone HICP Ex Tobacco (At Maturity) | | 10/15/2025 | EUR | 770,000 | (4,721 | ) | — | (4,721 | ) | |||||||||||||||||
1-Day UK RPI (At Maturity) | 3.51% (At Maturity) | 10/15/2025 | GBP | 1,740,000 | 485 | — | 485 | |||||||||||||||||||||
1-Day UK RPI (At Maturity) | 3.50% (At Maturity) | 10/15/2025 | GBP | 860,000 | (559 | ) | — | (559 | ) | |||||||||||||||||||
1-Day Eurostat Eurozone HICP Ex Tobacco (At Maturity) | 0.98% (At Maturity) | 9/15/2030 | EUR | 1,015,000 | 16,784 | — | 16,784 | |||||||||||||||||||||
1-Day Eurostat Eurozone HICP Ex Tobacco (At Maturity) | 0.96% (At Maturity) | 9/15/2030 | EUR | 1,015,000 | 14,724 | — | 14,724 | |||||||||||||||||||||
1-Day Eurostat Eurozone HICP Ex Tobacco (At Maturity) | 0.92% (At Maturity) | 10/15/2030 | EUR | 1,825,000 | 15,758 | — | 15,758 | |||||||||||||||||||||
1-Day Eurostat Eurozone HICP Ex Tobacco (At Maturity) | 0.93% (At Maturity) | 10/15/2030 | EUR | 770,000 | 7,723 | — | 7,723 | |||||||||||||||||||||
| ||||||||||||||||||||||||||||
Total | 11,850,000 | $23,996 | $— | $23,996 | ||||||||||||||||||||||||
|
Total Return Swap Contracts outstanding as of October 31, 2020:
Over The Counter
Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Counterparty | Maturity Date | Notional Amount | Market Value | Upfront (Received) | Unrealized (Depreciation) | |||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
3M USD LIBOR (At Maturity) | | Markit iBoxx USD Liquid High Yield Index (At Maturity) |
| BNP Paribas | 12/21/2020 | USD | 1,470,000 | $(2,067 | ) | $(326 | ) | $(1,741 | ) |
See accompanying Notes to Financial Statements
99
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Counterparty | Maturity Date | Notional Amount | Market Value | Upfront (Received) | Unrealized (Depreciation) | |||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
3M USD LIBOR (Quarterly) | | Markit iBoxx USD Liquid High Yield Index (At Maturity) | | BNP Paribas | 12/21/2020 | USD | 740,000 | (7,807 | ) | $(250 | ) | $(7,557 | ) | |||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Total | 2,210,000 | $(9,874 | ) | $(576 | ) | $(9,298 | ) | |||||||||||||||||||||||||
|
See accompanying Notes to Financial Statements
100
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Valuation Hierarchy
The following is a summary of the inputs used, as of October 31, 2020, in valuing the Fund’s investments carried at fair value:
| ||||||||||||||||
Morningstar Total Return Bond Fund | Level 1 | Level 2 | Level 3 | Totals | ||||||||||||
| ||||||||||||||||
Investments | ||||||||||||||||
Assets: | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 58,349,535 | $ — | $ | 58,349,535 | |||||||||
Corporate Bonds | — | 166,518,967 | 154,869 | 166,673,836 | ||||||||||||
Foreign Issuer Bonds | — | 69,038,217 | — | 69,038,217 | ||||||||||||
Term Loans | — | 14,052 | — | 14,052 | ||||||||||||
Mortgage-Backed Securities | — | 176,835,881 | — | 176,835,881 | ||||||||||||
Municipal Bonds | — | 2,190,614 | — | 2,190,614 | ||||||||||||
U.S. Government Obligations | — | 88,404,605 | — | 88,404,605 | ||||||||||||
Investment Companies | 71,134,596 | — | — | 71,134,596 | ||||||||||||
Short-Term Investments | 19,199,746 | 15,288,237 | — | 34,487,983 | ||||||||||||
Purchased Options | 274,594 | 339,003 | — | 613,597 | ||||||||||||
| ||||||||||||||||
Total Assets – Investments at value | $ | 90,608,936 | $ | 576,979,111 | $154,869 | $ | 667,742,916 | |||||||||
| ||||||||||||||||
Liabilities: | ||||||||||||||||
U.S. Government Obligations | $ | — | $ | (3,135,692 | ) | $ — | $ | (3,135,692 | ) | |||||||
Mortgage-Backed Securities | — | (38,428,827 | ) | — | (38,428,827 | ) | ||||||||||
| ||||||||||||||||
Total Liabilities – Investments at value | $ | — | $ | (41,564,519 | ) | $ — | $ | (41,564,519 | ) | |||||||
| ||||||||||||||||
Net Investments | $ | 90,608,936 | $ | 535,414,592 | $154,869 | $ | 626,178,397 | |||||||||
| ||||||||||||||||
| ||||||||||||||||
Morningstar Total Return Bond Fund | Level 1 | Level 2 | Level 3 | Totals | ||||||||||||
| ||||||||||||||||
Derivative Financial Instruments | ||||||||||||||||
Assets: | ||||||||||||||||
Futures contracts | $ | 369,778 | $ | — | $— | $ | 369,778 | |||||||||
Forward foreign currency exchange contracts | — | 469,962 | — | 469,962 | ||||||||||||
Swap agreements at fair value | — | 1,840,086 | — | 1,840,086 | ||||||||||||
| ||||||||||||||||
Total Assets - Derivative Financial Instruments | $ | 369,778 | $ | 2,310,048 | $— | $ | 2,679,826 | |||||||||
| ||||||||||||||||
Liabilities: | ||||||||||||||||
Futures contracts | $ | (1,607,060 | ) | $ | — | $— | $ | (1,607,060 | ) | |||||||
Forward foreign currency exchange contracts | — | (387,146 | ) | — | (387,146 | ) | ||||||||||
Written Options | (108,610 | ) | (110,062 | ) | — | (218,672 | ) | |||||||||
Swap agreements at fair value | — | (149,796 | ) | — | (149,796 | ) | ||||||||||
| ||||||||||||||||
Total Liabilities - Derivative Financial Instruments | $ | (1,715,670 | ) | $ | (647,004 | ) | $— | $ | (2,362,674 | ) | ||||||
| ||||||||||||||||
Net Derivative Financial Instruments | $ | (1,345,892 | ) | $ | 1,663,044 | $— | $ | 317,152 | ||||||||
|
Investments classified within Level 3 of the fair value hierarchy are valued by the Morningstar Investment Management LLC (“MIM”) in good faith under procedures adopted by authority of the Fund’s Board of Trustees. MIM employs various methods to determine fair valuations including regular review of key inputs and
See accompanying Notes to Financial Statements
101
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
assumptions, and review of related market activity, if any. However, there are generally no observable trade activities in these securities. MIM reports to the Board of Trustees at their regularly scheduled quarterly meetings, or more often if warranted. The report includes a summary of the results of the process, the key inputs and assumptions noted, and any changes to the inputs and assumptions used. When appropriate, MIM will recommend changes to the procedures and process employed. The value determined for an investment using the fair value procedures may differ significantly from the value realized upon the sale of such investment.
See accompanying Notes to Financial Statements
102
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments
Morningstar Municipal Bond Fund |
Par
| Value
| |||||||
Municipal Bonds – 96.1% | ||||||||
Alabama – 1.3% | ||||||||
Alabama Federal Aid Highway Finance Authority Special Obligation Revenue Bonds, Series A, Garvee, 5.00%, 6/01/37 | $ | 545,000 | $ | 672,802 | ||||
Black Belt Energy Gas District Gas Prepay Revenue Bonds, Series A-1, Project No. 4, 4.00%, 6/01/24 | 500,000 | 554,480 | ||||||
Black Belt Energy Gas District Gas Prepay Revenue Bonds, Series A-1, Project No. 5, 4.00%, 10/01/26(a)(b)(c) | 500,000 | 578,475 | ||||||
Jefferson County Sewer Revenue Bonds, Warrants Senior Lien, Series A (AGM Insured), 5.50%, 10/01/53 | 300,000 | 333,693 | ||||||
Lower Alabama Gas District Gas Project Revenue Bonds, 4.00%, 12/01/25(a)(b)(c) | 500,000 | 571,530 | ||||||
Mobile Industrial Development Board PCR Bonds, Alabama Power Company Barry Plant Project, 1.00%, 6/26/25(a)(b)(c) | 1,000,000 | 1,001,560 | ||||||
Tuscaloosa County IDA Gulf Opportunity Zone Revenue Refunding Bonds, Series A, Hunt Refining Project, 5.25%, 5/01/44(d) | 310,000 | 339,779 | ||||||
University of West Alabama University Revenue Refunding Bonds (AGM Insured), 5.00%, 1/01/27 | 505,000 | 619,797 | ||||||
4,672,116 | ||||||||
Arizona – 1.2% | ||||||||
Arizona Board of Regents Refunding COPS, Series C, University of Arizona, 5.00%, 6/01/28 | 400,000 | 425,632 | ||||||
Chandler IDA Industrial Development Variable Revenue Bonds (AMT), Intel Corp., Project, 2.70%, 8/14/23(a)(b)(c) | 500,000 | 525,170 |
Par
| Value
| |||||||
Arizona (Continued) | ||||||||
Maricopa County IDA Revenue Refunding Bonds, Banner Health Obligation Group, 5.00%, 1/01/27 | $ | 475,000 | $ | 589,038 | ||||
Phoenix Civic Improvement Corp., Airport Revenue Refunding Bonds (AMT), Senior Lien, 5.00%, 7/01/30 | 250,000 | 273,750 | ||||||
Pima County IDA Education Revenue Facility Revenue Bonds, Paideia Academies Project, 6.12%, 7/01/45(d) | 240,000 | 250,375 | ||||||
Salt River Project Agricultural Improvement & Power District Electric Revenue Bonds, Salt River Project, 5.00%, 1/01/32 | 400,000 | 535,252 | ||||||
Salt River Project Agricultural Improvement & Power District Electric Revenue Refunding Bonds, Series A, 5.00%, 12/01/28 | 300,000 | 315,195 | ||||||
Salt River Project Agricultural Improvement & Power District Electric System Revenue Refunding Bonds, Series A, 5.00%, 12/01/45 | 500,000 | 589,975 | ||||||
Yuma IDA Hospital Revenue Bonds, Series A, Yuma Regional Medical Center, 5.00%, 8/01/21 | 675,000 | 696,404 | ||||||
4,200,791 | ||||||||
California – 7.3% | ||||||||
Anaheim Housing & Public Improvement Authority Revenue Bonds, Series A, 5.00%, 10/01/50 | 900,000 | 1,046,250 | ||||||
Anaheim Public Financing Authority Lease Revenue Refunding Bonds, Series A, 5.00%, 5/01/46 | 250,000 | 270,228 | ||||||
Bay Area Toll Authority Toll Bridge Variable Revenue Bonds, San Francisco Bay Area, (SIFMA Municipal Swap Index Yield + 0.90%), 1.02%, 5/01/23(a)(c) | 700,000 | 706,153 | ||||||
California HFA Municipal Certificates Revenue Bonds, Series 2, Class A, 4.00%, 3/20/33 | 246,862 | 271,334 |
See accompanying Notes to Financial Statements
103
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
Par
| Value
| |||||||
California (Continued) | ||||||||
California PFA Revenue Refunding Bonds, Henry Mayo Newhall Hospital, 5.00%, 10/15/47 | $ | 400,000 | $ | 440,000 | ||||
California State GO Unlimited Refunding Bonds, | 300,000 | 357,027 | ||||||
4.00%, 11/01/37 | 1,400,000 | 1,685,334 | ||||||
California State Health Facilities Financing Authority Revenue Bonds, City of Hope Obligated Group, 5.00%, 11/15/49 | 500,000 | 583,175 | ||||||
California State Health Facilities Financing Authority Revenue Bonds, Series A, Sutter Health, Prerefunded, 5.00%, 11/15/25(e) | 500,000 | 613,375 | ||||||
California State Health Facilities Financing Authority Revenue Refunding Bonds, Marshall Medical Center (California Mortgage Insured), 4.00%, 11/01/40 | 750,000 | 859,605 | ||||||
California State Infrastructure & Economic Development Bank Revenue Refunding Bonds, Los Angeles County Museum of Natural History Foundation, 4.00%, 7/01/50 | 1,210,000 | 1,350,263 | ||||||
California State Infrastructure & Economic Development Bank Revenue Refunding Bonds, Series B, 5.00%, 11/01/29 | 1,250,000 | 1,619,975 | ||||||
California State Infrastructure & Economic Development Bank Variable Revenue Refunding Bonds, Series S, J. Paul Getty Trust, (1M USD LIBOR + 0.33%), 0.43%, 4/01/22(a)(c) | 1,000,000 | 1,001,020 | ||||||
California State Municipal Finance Authority Revenue Bonds, Charter School John Adams Academies-Lincoln Project, 5.00%, 10/01/57(d) | 330,000 | 338,907 |
Par
| Value
| |||||||
California (Continued) | ||||||||
California State Municipal Finance Authority Solid Waste Disposal Variable Revenue Bonds, Waste Management Inc. Project (AMT), 0.23%, 12/01/20(a)(b)(c) | $ | 500,000 | $ | 499,965 | ||||
California State Municipal Finance Authority Student Housing Revenue Bonds, Series A-P3, Claremont Colleges Project, 5.00%, 7/01/30(d) | 320,000 | 362,947 | ||||||
California State Municipal Finance Authority Student Housing Revenue Bonds, UCR North District Phase 1 (BAM Insured), 5.00%, 5/15/28 | 500,000 | 617,975 | ||||||
California State Pollution Control Finance Authority Solid Waste Disposal Variable Revenue Bonds, Republic Services, Inc. (AMT), 0.30%, 1/15/21(a)(b)(c)(d) | 250,000 | 249,970 | ||||||
California State Various Purpose Bid Group GO Unlimited Refunding Bonds, 5.00%, 8/01/30 | 600,000 | 775,206 | ||||||
California Statewide Communities Development Authority Revenue Bonds, Lancer Educational Standard Housing Project, 5.00%, 6/01/34(d) | 375,000 | 397,519 | ||||||
California Statewide Communities Development Authority Revenue Bonds, Loma Linda University Medical, 5.50%, 12/01/58(d) | 500,000 | 565,070 | ||||||
California Statewide Communities Development Authority Revenue Bonds, Series A, Loma Linda University Medical Center, 5.25%, 12/01/56(d) | 250,000 | 274,945 | ||||||
California Statewide Communities Development Authority Special Assessment Bonds, Statewide Community Infrastructure Program, 5.00%, 9/02/34 | 100,000 | 116,460 |
See accompanying Notes to Financial Statements
104
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
Par
| Value
| |||||||
California (Continued) | ||||||||
California Tobacco Securitization Agency Tobacco Settlement Senior Revenue Refunding Bonds, Series A, 4.00%, 6/01/34 | $ | 200,000 | $ | 236,810 | ||||
4.00%, 6/01/40 | 300,000 | 345,003 | ||||||
Fresno Airport Revenue Refunding Bonds, Series B (AMT) (BAM Insured), 5.00%, 7/01/28 | 390,000 | 426,945 | ||||||
Long Beach Harbor Revenue Notes, Series C, 4.00%, 7/15/21 | 600,000 | 615,468 | ||||||
Los Angeles County Metropolitan Transportation Authority Measure R Junior Subordinate Sales Tax Revenue Bonds, Green Bonds, 4.00%, 6/01/37 | 200,000 | 239,364 | ||||||
Los Angeles Department of Airports Airport Subordinate Revenue Bonds (AMT), Los Angeles International Airport, 5.00%, 5/15/34 | 510,000 | 592,202 | ||||||
Los Angeles Department of Airports Airport Subordinate Revenue Bonds, Series C (AMT), Los Angeles International Airport, 5.00%, 5/15/29 | 1,000,000 | 1,229,260 | ||||||
Los Angeles Harbor Department Revenue Refunding Bonds, Series A (AMT), 5.00%, 8/01/35 | 1,250,000 | 1,408,562 | ||||||
Mesa Water District COPS, 4.00%, 3/15/39 | 300,000 | 359,670 | ||||||
Rocklin Community Facilities District No. 10 Special Tax Bonds, 5.00%, 9/01/34 | 150,000 | 167,562 | ||||||
Sacramento County Airport System Revenue Refunding Bonds, Series B, 5.00%, 7/01/21 | 1,950,000 | 2,010,469 | ||||||
Sacramento County Sanitation Districts Financing Authority Variable Revenue Refunding Bonds, Series B, Sacramento County Regional (NATL Insured), (3M USD LIBOR + 0.53%), 0.70%, 12/01/35(c) | 100,000 | 90,537 |
Par
| Value
| |||||||
California (Continued) | ||||||||
San Diego County Regional Airport Authority Subordinate Revenue Refunding Bonds, Series A, 4.00%, 7/01/37 | $ | 300,000 | $ | 343,851 | ||||
San Francisco City & County Airports Commission International Airport Revenue Bonds, Series A (AMT), 5.00%, 5/01/44 | 250,000 | 296,130 | ||||||
San Francisco City & County Airports Community International Revenue Refunding Bonds, Second Series A (AMT), 5.00%, 5/01/28 | 500,000 | 531,300 | ||||||
Sierra View Local Health Care District Revenue Refunding Bonds, Tulare County, 4.00%, 7/01/21 | 225,000 | 229,736 | ||||||
Sunnyvale Financing Authority Lease Revenue Bonds, Green Bonds, Civic Center Project, 4/01/34(f) | 865,000 | 1,044,254 | ||||||
Susanville Natural Gas Revenue Refunding Bonds, Natural Gas Enterprise (AGM Insured), 3.00%, 6/01/26 | 595,000 | 655,815 | ||||||
Tobacco Securitization Authority of Southern California Tobacco Settlement Revenue Refunding Bonds, San Diego Asset Securities, 5.00%, 6/01/35 | 100,000 | 127,940 | ||||||
25,953,581 | ||||||||
Colorado – 3.2% | ||||||||
Aurora Crossroads Metropolitan District No. 2 GO Limited Bonds, Series A, Senior Lien, 5.00%, 12/01/40 | 500,000 | 513,360 | ||||||
Colorado Educational & Cultural Authority Revenue Refunding Bonds, Prospect Ridge Academy Project (Moral Obligation Insured), | 485,000 | 566,567 | ||||||
5.00%, 3/15/26 | 510,000 | 611,322 | ||||||
5.00%, 3/15/29 | 590,000 | 745,076 | ||||||
5.00%, 3/15/30 | 310,000 | 396,304 | ||||||
5.00%, 3/15/35 | 590,000 | 735,258 |
See accompanying Notes to Financial Statements
105
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
Par
| Value
| |||||||
Colorado (Continued) | ||||||||
Colorado High Performance Transportation Enterprise Revenue Bonds, C-470 Express Lane, 5.00%, 12/31/56 | $ | 1,000,000 | $ | 1,076,410 | ||||
Colorado State Bridge Enterprise Revenue Bonds, Central 70 Project (AMT), 4.00%, 12/31/24 | 630,000 | 705,266 | ||||||
Colorado State COPS, Series A, 4.00%, 12/15/35 | 1,250,000 | 1,507,975 | ||||||
Colorado State Health Facilities Authority Hospital Revenue Refunding Bonds, Sanford Health, Series A, 5.00%, 11/01/34 | 200,000 | 248,408 | ||||||
Colorado State Health Facilities Authority Revenue Bonds, Series A, Catholic Health, Prerefunded, 5.00%, 2/01/21(e) | 380,000 | 384,389 | ||||||
Denver City & County Airport System Subordinate Revenue Refunding Bonds, Series A (AMT), 5.25%, 12/01/43 | 500,000 | 597,910 | ||||||
Denver Convention Center Hotel Authority Senior Revenue Refunding Bonds, 5.00%, 12/01/40 | 250,000 | 264,132 | ||||||
E-470 Public Highway Authority Senior Revenue Refunding Bonds, Series A, 5.00%, 9/01/23 | 150,000 | 169,184 | ||||||
5.00%, 9/01/40 | 810,000 | 917,536 | ||||||
E-470 Public Highway Authority Senior Variable Revenue Refunding Bonds, Libor Index, (1M USD LIBOR + 0.42%), 0.52%, 9/01/21(a)(c) | 500,000 | 498,475 | ||||||
Park Creek Metropolitan District Revenue Refunding Bonds, Series A (NATL, IBC Insured), 5.00%, 12/01/45 | 500,000 | 575,730 | ||||||
Sand Creek Metropolitan District GO Limited Refunding Bonds, Series A (AGM Insured), | 150,000 | 152,367 | ||||||
4.00%, 12/01/22 | 125,000 | 133,686 |
Par
| Value
| |||||||
Colorado (Continued) | ||||||||
Sand Creek Metropolitan District GO Limited Refunding Bonds, Series A (AGM Insured), 4.00%, 12/01/23 | $ | 180,000 | $ | 198,014 | ||||
University of Colorado Enterprise Variable Revenue Bonds, Series C, Green Bond, 2.00%, 10/15/24(a)(b)(c) | 250,000 | 263,572 | ||||||
11,260,941 | ||||||||
Connecticut – 1.8% | ||||||||
Connecticut State GO Unlimited Bonds, Series A, 5.00%, 3/15/22 | 795,000 | 846,031 | ||||||
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Series B-1, 5.00%, 1/01/25(a)(b)(c) | 500,000 | 586,990 | ||||||
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Series F, Masonicare Issue, 5.00%, 7/01/27 | 220,000 | 240,108 | ||||||
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Series K, Sacred Heart University, 5.00%, 7/01/27 | 400,000 | 497,836 | ||||||
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Series R, Trinity College, 5.00%, 6/01/32 | 265,000 | 338,341 | ||||||
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, University of Hartford, | 240,000 | 259,807 | ||||||
5.00%, 7/01/25 | 260,000 | 285,584 | ||||||
5.00%, 7/01/31 | 500,000 | 553,785 | ||||||
4.00%, 7/01/39 | 120,000 | 118,650 | ||||||
Connecticut State Higher Education Supplemental Loan Authority Revenue Refunding Bonds, Series C, Chesla Loan Program, | 150,000 | 150,188 | ||||||
5.00%, 11/15/21 | 200,000 | 207,568 |
See accompanying Notes to Financial Statements
106
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
Par
| Value
| |||||||
Connecticut (Continued) | ||||||||
Connecticut State Special Tax Obligation Revenue Bonds, 5.00%, 5/01/32 | $ | 500,000 | $ | 647,245 | ||||
Hamden GO Unlimited Refunding Bonds, Series A (BAM Insured), 5.00%, 8/01/24 | 500,000 | 566,955 | ||||||
Hamden Revenue Refunding Bonds, Whitney Center Project, 5.00%, 1/01/40 | 125,000 | 125,676 | ||||||
Hartford County Metropolitan District GO Unlimited Bonds, 5.00%, 7/15/35 | 750,000 | 924,840 | ||||||
6,349,604 | ||||||||
Delaware – 0.4% | ||||||||
Delaware State Health Facilities Authority Revenue Refunding Bonds, Christiana Health Care System, 5.00%, 10/01/45 | 1,000,000 | 1,225,780 | ||||||
Kent County Student Housing & Dining Facilities Revenue Bonds, CHF-Dover LLC-Delaware State University Project, | 250,000 | 252,080 | ||||||
5.00%, 7/01/48 | 100,000 | 95,385 | ||||||
1,573,245 | ||||||||
District of Columbia – 2.1% | ||||||||
District of Columbia Revenue Bonds, Ingleside Rock Creek Project, 5.00%, 7/01/52 | 400,000 | 369,008 | ||||||
District of Columbia Revenue Bonds, KIPP DC Project, 4.00%, 7/01/39 | 100,000 | 107,524 | ||||||
District of Columbia Revenue Refunding Bonds, National Public Radio, Prerefunded, 4.00%, 4/01/26(e) | 250,000 | 295,773 | ||||||
District of Columbia University Revenue Refunding Bonds, Georgetown University, 5.00%, 4/01/29 | 350,000 | 429,114 | ||||||
District of Columbia Water & Sewer Authority Public Utility Revenue Bonds, Series B, 5.00%, 10/01/49 | 500,000 | 611,220 |
Par
| Value
| |||||||
District of Columbia (Continued) |
| |||||||
District of Columbia Water & Sewer Authority Public Utility Revenue Subordinate Lien Bonds, Series A, Prerefunded, 5.00%, 10/01/23(e) | $ | 650,000 | $ | 738,887 | ||||
District of Columbia Water & Sewer Authority Public Utility Revenue Subordinate Lien Bonds, Series B, 5.00%, 10/01/37 | 750,000 | 893,790 | ||||||
Metropolitan Washington Airports Authority Dulles Toll Road Revenue Refunding Bonds, Dulles Metrorail & Capital Improvement Projects, 5.00%, 10/01/53 | 750,000 | 781,065 | ||||||
Metropolitan Washington Airports Authority Dulles Toll Road Subordinate Lien Revenue Refunding Bonds, Dulles Metrorail & Capital Improvement Projects, Series B, 4.00%, 10/01/35 | 350,000 | 394,922 | ||||||
5.00%, 10/01/47 | 200,000 | 237,024 | ||||||
Metropolitan Washington Airports Authority System Revenue Refunding Bonds, Series A (AMT), 5.00%, 10/01/43 | 500,000 | 588,980 | ||||||
Washington Metropolitan Area Transit Authority Dedicated Revenue Bonds, Series A, 4.00%, 7/15/40 | 1,000,000 | 1,171,830 | ||||||
Washington Metropolitan Area Transit Authority Gross Revenue Bonds, 5.00%, 7/01/43 | 300,000 | 356,919 | ||||||
Washington Metropolitan Area Transit Authority Gross Revenue Bonds, Series B, 5.00%, 7/01/35 | 360,000 | 438,106 | ||||||
7,414,162 | ||||||||
Florida – 4.9% | ||||||||
Alachua County Health Facilities Authority Revenue Bonds, Shands Teaching Hospital & Clinics, | 500,000 | 565,560 | ||||||
4.00%, 12/01/49 | 1,000,000 | 1,095,190 |
See accompanying Notes to Financial Statements
107
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
Par
| Value
| |||||||
Florida (Continued) | ||||||||
Broward County Airport System Revenue Bonds, Series A (AMT), 5.00%, 10/01/36 | $ | 750,000 | $ | 919,237 | ||||
Broward County Port Facilities Subordinate Revenue Refunding Bonds, Series D (AMT), 5.00%, 9/01/21 | 750,000 | 774,787 | ||||||
Central Florida Expressway Authority Revenue Refunding Bonds, Senior Lien, 5.00%, 7/01/42 | 350,000 | 417,434 | ||||||
Davie Educational Facilities Revenue Bonds, Series B, Nova Southeastern University Project , Prerefunded, 5.00%, 4/01/23(e) | 250,000 | 278,078 | ||||||
Florida State Board of Education Public Education GO Unlimited Refunding Bonds, Capital Outlay, Series E, 5.00%, 6/01/31 | 1,000,000 | 1,200,320 | ||||||
Florida State Development Finance Corp., Educational Facilities Revenue Refunding Bonds, Nova Southeastern University Project, 5.00%, 4/01/21 | 345,000 | 350,630 | ||||||
5.00%, 4/01/22 | 350,000 | 369,463 | ||||||
Florida State Housing Finance Corp., Multi Family Mortgage Adjustable Revenue Bonds, Series A, Parrish Oaks, 1.25%, 2/01/22(a)(b)(c) | 1,000,000 | 1,010,860 | ||||||
Florida State Municipal Power Agency Revenue Refunding Bonds, Series A, 5.00%, 10/01/31 | 300,000 | 364,932 | ||||||
Greater Orlando Aviation Authority Airport Facilities Revenue Bonds, Series A (AMT), | 500,000 | 573,085 | ||||||
5.00%, 10/01/44 | 1,000,000 | 1,191,980 | ||||||
Hillsborough County Aviation Authority Subordinate Revenue Bonds, Series B, Tampa International Airport, 5.00%, 10/01/40 | 470,000 | 529,088 |
Par
| Value
| |||||||
Florida (Continued) | ||||||||
JEA Bulk Power Supply System Revenue Bonds, Scherer 4 Project, Series A, 3.00%, 10/01/22 | $ | 225,000 | $ | 225,396 | ||||
JEA Electric System Revenue Refunding Bonds, Series Three A, 4.00%, 10/01/37 | 1,395,000 | 1,642,040 | ||||||
Lee Memorial Health System Hospital Revenue Refunding Bonds, Series A-1, 5.00%, 4/01/44 | 600,000 | 714,894 | ||||||
Leon County School District Sales TRB, 4.00%, 9/01/26 | 800,000 | 873,592 | ||||||
Miami-Dade County Aviation Revenue Refunding Bonds, Series A (AMT), 5.00%, 10/01/33 | 500,000 | 559,235 | ||||||
Miami-Dade County Educational Facilities Authority Revenue Refunding Bonds, Series A, University of Miami, 5.00%, 4/01/30 | 250,000 | 283,938 | ||||||
Miami-Dade County HFA MFH Variable Revenue Bonds, 1.40%, 4/01/22(a)(b)(c) | 500,000 | 503,825 | ||||||
Orlando Community Redevelopment Agency Tax Increment Revenue Refunding Bonds, Republic Drive/Universal, 5.00%, 4/01/22 | 200,000 | 205,958 | ||||||
Osceola County Florida Transportation Revenue Refunding CABS, Series A-2, | 125,000 | 113,510 | ||||||
0.00%, 10/01/26(g) | 275,000 | 242,487 | ||||||
0.00%, 10/01/27(g) | 360,000 | 307,548 | ||||||
Tampa Capital Improvement Cigarette Tax Allocation Revenue CABS, Series A, 0.00%, 9/01/38(g) | 250,000 | 138,560 | ||||||
Tampa Hospital Revenue Bonds, H. Lee Moffitt Cancer Center, | 150,000 | 166,166 | ||||||
5.00%, 7/01/25 | 150,000 | 177,210 | ||||||
5.00%, 7/01/26 | 125,000 | 150,999 | ||||||
5.00%, 7/01/27 | 125,000 | 153,773 |
See accompanying Notes to Financial Statements
108
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
Par
| Value
| |||||||
Florida (Continued) | ||||||||
Village Community Development District No. 13 Special Assessment, Limited Offering, 2.62%, 5/01/24 | $ | 500,000 | $ | 506,080 | ||||
Volusia County Educational Facilities Authority Revenue Refunding Bonds, Embry-Riddle Aeronautical, 5.00%, 10/15/44 | 500,000 | 604,740 | ||||||
17,210,595 | ||||||||
Georgia – 3.1% | ||||||||
Atlanta Development Authority Revenue Bonds, Series A-1, Senior Lien, 5.00%, 7/01/30 | 200,000 | 221,812 | ||||||
Atlanta Urban Residential Finance Authority MFH Revenue Bonds, Creekside at Adamsville Place, 1.95%, 5/01/21(a)(b)(c) | 500,000 | 503,775 | ||||||
Bartow County Development Authority Revenue Bonds, Georgia Power Company Plant Bowen Project, 1.55%, 8/19/22(a)(b)(c) | 500,000 | 506,575 | ||||||
Bartow County Development Authority Revenue Refunding Bonds, Series B, Georgia Power Company Plant Bowen Project, 2.05%, 11/19/21(a)(b)(c) | 275,000 | 279,117 | ||||||
Bartow County Development Authority Variable Revenue Refunding Bonds, Georgia Power Company Plant Bowen Project, 2.75%, 3/15/23(a)(b)(c) | 500,000 | 522,205 | ||||||
Burke County Development Authority PCR Refunding Bonds, Georgia Power Company Plant Vogtle Project, 1.55%, 8/19/22(a)(b)(c) | 100,000 | 101,315 | ||||||
Fulton County Development Authority Transportation Corp., Toll Revenue Refunding Bonds, Robert W. Woodruff Arts Center, Inc., Project, 5.00%, 3/15/32 | 200,000 | 232,662 |
Par
| Value
| |||||||
Georgia (Continued) | ||||||||
Gainesville & Hall County Hospital Authority Revenue Refunding Bonds, Northeast Georgia Health System, Inc., Project, 5.00%, 2/15/37 | $ | 500,000 | $ | 590,560 | ||||
Gainesville & Hall County Hospital Authority Revenue Refunding Bonds, Series S, Northeast Georgia Health System, Inc., Project (County Gtd), 5.50%, 8/15/54 | 500,000 | 577,140 | ||||||
Glynn-Brunswick Memorial Hospital Authority Revenue Refunding Anticipation Certificates Bonds, Southeast Georgia Health System, 5.00%, 8/01/34 | 530,000 | 600,517 | ||||||
Griffin-Spalding County Hospital Authority Revenue Anticipation Certificates Bonds, Wellstar, 5.00%, 4/01/35 | 150,000 | 178,698 | ||||||
Main Street Natural Gas Inc., Gas Supply Variable Revenue Bonds, Series B, | 355,000 | 393,166 | ||||||
4.00%, 12/02/24(a)(b)(c) | 100,000 | 113,388 | ||||||
Main Street Natural Gas, Inc., Gas Supply Revenue Bonds, Series A, 5.00%, 5/15/21 | 750,000 | 766,650 | ||||||
4.00%, 9/01/23(a)(b)(c) | 350,000 | 381,563 | ||||||
Main Street Natural Gas, Inc., Gas Supply Revenue Bonds, Series C, 4.00%, 9/01/26(a)(b)(c) | 1,110,000 | 1,280,518 | ||||||
Main Street Natural Gas, Inc., Gas Supply Revenue Bonds, Subseries C, 4.00%, 12/01/23(a)(b)(c) | 500,000 | 548,615 | ||||||
Metropolitan Atlanta Rapid Transit Authority Sales Tax Revenue Refunding Bonds, Series A, Third Indenture Series, 4.00%, 7/01/44 | 300,000 | 321,237 | ||||||
Municipal Electric Authority of Georgia Power Revenue Refunding Bonds, Series HH, 5.00%, 1/01/29 | 500,000 | 626,035 |
See accompanying Notes to Financial Statements
109
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
Par
| Value
| |||||||
Georgia (Continued) | ||||||||
Northwest Georgia Housing Authority MFH Revenue Bonds, Charles Height Apartments Project (FHA 221(D4) Insured), 1.54%, 8/01/21(a)(b)(c) | $ | 400,000 | $ | 403,176 | ||||
Private Colleges & Universities Authority Revenue Refunding Bonds, Series B, Emory University, 4.00%, 9/01/40 | 1,500,000 | 1,770,315 | ||||||
10,919,039 | ||||||||
Hawaii – 0.1% | ||||||||
Hawaii State Airports System Revenue Refunding Bonds (AMT), 5.00%, 7/01/23 | 500,000 | 514,285 | ||||||
Illinois – 8.4% Barrington Alternative Revenue Source GO Unlimited Bonds, 4.50%, 12/15/34 | 235,000 | 276,553 | ||||||
Bensenville GO Unlimited Bonds, Series B (AGM Insured), 5.00%, 12/30/24 | 245,000 | 257,826 | ||||||
Chicago Board of Education GO Unlimited Refunding Bonds, Series C, 5.00%, 12/01/20 | 200,000 | 200,598 | ||||||
Chicago City Colleges Capital Appreciation GO Unlimited Bonds (NATL Insured), 0.00%, 1/01/30(g) | 750,000 | 556,898 | ||||||
Chicago GO Unlimited Bonds, Series A, 5.00%, 12/01/21 | 500,000 | 500,865 | ||||||
5.50%, 1/01/49 | 100,000 | 105,696 | ||||||
Chicago GO Unlimited Refunding Bonds, Project Series A, 5.00%, 1/01/35 | 350,000 | 355,835 | ||||||
Chicago GO Unlimited Refunding Bonds, Series A, | 300,000 | 307,755 | ||||||
5.00%, 1/01/23 | 400,000 | 414,580 | ||||||
Chicago Midway Airport Revenue Refunding Bonds, Series A (AMT), Second Lien, 5.00%, 1/01/31 | 1,045,000 | 1,144,954 |
Par
| Value
| |||||||
Illinois (Continued) | ||||||||
Chicago O’Hare International Airport Revenue Refunding Bonds, Senior Lien, Series A (AMT), 5.00%, 1/01/31 | $ | 250,000 | $ | 307,578 | ||||
Chicago Park District GO Limited Tax Refunding Bonds, Series B, 5.00%, 1/01/26 | 395,000 | 436,175 | ||||||
Chicago Wastewater Transmission Revenue Bonds, Second Lien, 5.00%, 1/01/39 | 500,000 | 544,930 | ||||||
Cook County Sales TRB, 5.00%, 11/15/37 | 500,000 | 541,125 | ||||||
Hillside Incremental Tax Allocation Revenue Refunding Bonds, 5.00%, 1/01/24 | 100,000 | 101,993 | ||||||
Illinois State Finance Authority Revenue Bonds, Series A, Carle Foundation, 5.00%, 8/15/21 | 500,000 | 516,280 | ||||||
Illinois State Finance Authority Revenue Refunding Bonds, DePaul University, Unrefunded Balance, | 450,000 | 459,851 | ||||||
5.50%, 10/01/25 | 545,000 | 556,930 | ||||||
Illinois State Finance Authority Revenue Refunding Bonds, Navistar International Corp., 4.75%, 8/01/30(a)(b)(c)(d) | 100,000 | 101,396 | ||||||
Illinois State Finance Authority Revenue Refunding Bonds, Series A, Lutheran Communities, 5.00%, 11/01/40 | 350,000 | 367,850 | ||||||
Illinois State Finance Authority Revenue Refunding Bonds, Series A, OSF Healthcare System, 5.00%, 11/15/21 | 1,100,000 | 1,147,212 | ||||||
Illinois State Finance Authority Revenue Refunding Bonds, Series C, Presence Health Network, 5.00%, 2/15/23 | 500,000 | 550,535 | ||||||
Illinois State Finance Authority Revenue Refunding Bonds, Southern Illinois Healthcare, 5.00%, 3/01/22 | 300,000 | 317,346 |
See accompanying Notes to Financial Statements
110
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
Par
| Value
| |||||||
Illinois (Continued) | ||||||||
Illinois State Finance Authority Variable Revenue Bonds, Series B-2, 5.00%, 11/15/26(a)(b)(c) | $ | 500,000 | $ | 605,060 | ||||
Illinois State GO Unlimited Bonds, 5.37%, 5/01/23 | 250,000 | 267,565 | ||||||
5.50%, 5/01/25 | 845,000 | 936,936 | ||||||
5.50%, 7/01/26 | 460,000 | 487,434 | ||||||
Illinois State GO Unlimited Refunding Bonds, 5.00%, 8/01/24 | 400,000 | 417,896 | ||||||
Illinois State GO Unlimited Refunding Bonds, Series A, 5.00%, 10/01/25 | 110,000 | 120,003 | ||||||
Illinois State GO Unlimited Refunding Bonds, Series B, 5.00%, 10/01/28 | 250,000 | 275,185 | ||||||
Illinois State Housing Development Authority MFH Variable Revenue Bonds, Marshall Field Garden (FNMA LOC), (SIFMA Municipal Swap Index Yield + 1.00%), 1.12%, 5/15/25(a)(c) | 500,000 | 505,425 | ||||||
Illinois State Sales Tax Junior Obligations Revenue Bonds, Series A (BAM Insured), 4.00%, 6/15/34 | 620,000 | 668,992 | ||||||
Illinois State Sales Tax Revenue Refunding Bonds, Subseries D (BAM Insured), 3.00%, 6/15/31 | 390,000 | 397,430 | ||||||
Illinois State Sales TRB, Build Illinois - Junior Obligation, 5.00%, 6/15/23 | 200,000 | 215,716 | ||||||
Illinois State Sports Facilities Authority State Tax Supported Revenue CABS (AMBAC Insured), | 410,000 | 404,235 | ||||||
0.00%, 6/15/25(g) | 95,000 | 83,960 | ||||||
Illinois State Sports Facilities Authority State Tax Supported Revenue Refunding Bonds (AGM Insured), 5.00%, 6/15/27 | 400,000 | 444,184 | ||||||
Illinois State Toll Highway Authority Senior Revenue Refunding Bonds, Series A, 5.00%, 1/01/31 | 505,000 | 644,052 |
Par
| Value
| |||||||
Illinois (Continued) | ||||||||
Kane, Cook & Dupage Counties, Illinois School District, GO Unlimited Refunding Bonds, Series D, 5.00%, 1/01/28 | $ | 215,000 | $ | 244,367 | ||||
Kane, McHenry, Cook & DeKalb Counties, Illinois School District, GO Unlimited Refunding Bonds, 4.25%, 1/01/23 | 500,000 | 502,675 | ||||||
Macon County School District No. 61 GO Unlimited Bonds, Series A (AGM Insured), 5.25%, 1/01/25 | 745,000 | 751,027 | ||||||
Madison, Macoupin Etc. Counties Community College District No. 536 GO Unlimited Refunding Bonds, Lewis & Clark Community (AGM Insured), | 675,000 | 686,650 | ||||||
4.00%, 5/01/23 | 700,000 | 757,722 | ||||||
Metropolitan Pier and Exposition Authority Revenue Refunding Bonds, McCormick Place Expansion Project, | 500,000 | 560,165 | ||||||
5.00%, 6/15/50 | 500,000 | 548,400 | ||||||
Moline GO Unlimited Refunding Bonds, Series F, 5.00%, 11/01/24 | 750,000 | 750,000 | ||||||
Peoria County School District No. 150 GO Unlimited Refunding Bonds, Series A (AGM Insured), 4.00%, 12/01/26 | 390,000 | 459,681 | ||||||
Regional Transportation Authority Revenue Bonds, Series A (AGM Insured), 5.75%, 6/01/34 | 750,000 | 1,028,797 | ||||||
Regional Transportation Authority Revenue Bonds, Series B (NATL Insured), 5.50%, 6/01/27 | 350,000 | 414,057 | ||||||
Sales Tax Securitization Corp., Revenue Refunding Bonds, Second Lien Series A, 4.00%, 1/01/38 | 250,000 | 270,855 |
See accompanying Notes to Financial Statements
111
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
Par
| Value
| |||||||
Illinois (Continued) | ||||||||
Sangamon Logan & Menard Counties Community Unit School District No. 15 GO Unlimited Bonds, Series B (BAM Insured), 5.00%, 12/01/25 | $ | 300,000 | $ | 358,116 | ||||
4.00%, 12/01/39 | 250,000 | 281,505 | ||||||
Southern Illinois State University Revenue Bonds, Series A, Housing & Auxiliary Facilities System (NATL Insured), 5.25%, 4/01/21 | 1,000,000 | 1,008,870 | ||||||
Waukegan City Lake County Water & Sewer System Revenue Refunding Bonds (AGM Insured), | 200,000 | 245,050 | ||||||
4.00%, 12/30/38 | 500,000 | 561,660 | ||||||
4.00%, 12/30/40 | 500,000 | 557,640 | ||||||
Waukegan GO Unlimited Bonds, Series A (AGM Insured), 5.00%, 12/30/32 | 250,000 | 291,213 | ||||||
Will County Community High School District No. 210 Lincoln-Way Refunding GO Unlimited Bonds (AGM Insured), | 975,000 | 999,141 | ||||||
4.00%, 1/01/34 | 650,000 | 710,313 | ||||||
Will County Community School District No. 161 Summit Hill Refunding GO Unlimited Bonds, 4.00%, 1/01/24 | 470,000 | 515,167 | ||||||
Winnebago Boone Etc. Counties Community College District No. 511 GO Unlimited Refunding Bonds, Series A, Rock Valley College (AGM Insured), 5.00%, 1/01/21 | 500,000 | 503,475 | ||||||
29,551,380 | ||||||||
Indiana – 2.1% | ||||||||
Clarksville Sewage Works Revenue BANS, 2.75%, 12/11/23 | 125,000 | 125,096 | ||||||
Indiana Bond Bank Revenue CABS, Hamilton Co., Projects, | 450,000 | 434,065 | ||||||
0.00%, 7/15/28(g) | 900,000 | 812,934 | ||||||
0.00%, 1/15/29(g) | 560,000 | 499,604 |
Par
| Value
| |||||||
Indiana (Continued) | ||||||||
Indiana Finance Authority Midwestern Disaster Relief Revenue Bonds, Series A, Ohio Valley Electric Corp., Project, 5.00%, 6/01/39 | $ | 100,000 | $ | 102,928 | ||||
Indiana State Finance Authority Hospital Revenue Bonds, Indiana University Health Obligated Group, 1.65%, 7/01/22(a)(b)(c) | 50,000 | 50,706 | ||||||
Indiana State Finance Authority Private Activity Revenue Bonds (AMT), Ohio River Bridges East End Crossing Project, 5.25%, 1/01/51 | 600,000 | 637,908 | ||||||
Indiana State Finance Authority Revenue Refunding Bonds, Valparaiso University Project, | 265,000 | 280,497 | ||||||
5.00%, 10/01/23 | 585,000 | 634,994 | ||||||
Indianapolis Local Public Improvement Bond Bank Revenue Notes, Series B, Fieldhouse Project, 1.45%, 6/01/21 | 1,000,000 | 999,880 | ||||||
Indianapolis MFH Revenue Bonds, Regency Park Apartments, Series A, 1.40%, 9/01/21(a)(b)(c) | 1,000,000 | 1,008,090 | ||||||
Knox Middle School Building Corp., Revenue Bonds (State Intercept), 5.00%, 1/15/27 | 440,000 | 548,544 | ||||||
Warrick County, Indiana Environmental Improvement Variable Revenue Bonds (AMT), Vectren Energy Delivery, 0.88%, 9/01/23(a)(b)(c) | 1,000,000 | 998,920 | ||||||
Whiting Environmental Facilities Revenue Refunding Bonds (AMT), BP Products North America, 5.00%, 6/05/26(a)(b)(c) | 275,000 | 334,642 | ||||||
7,468,808 | ||||||||
Iowa – 0.4% | ||||||||
Iowa State Finance Authority Midwestern Disaster Area Revenue Refunding Bonds, Iowa Fertilizer Company Project, 3.13%, 12/01/22 | 85,000 | 86,068 |
See accompanying Notes to Financial Statements
112
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
Par
| Value
| |||||||
Iowa (Continued) | ||||||||
Iowa State Finance Authority Midwestern Economic Development Variable Revenue Bonds, CJ Bio America Inc., Project (Korea Development Bank LOC), 0.32%, 11/10/20(a)(c)(h) | $ | 1,000,000 | $ | 1,000,000 | ||||
PEFA, Inc. Gas Project Revenue Bonds, 5.00%, 9/01/26(a)(b)(c) | 150,000 | 181,247 | ||||||
1,267,315 | ||||||||
Kentucky – 2.8% | ||||||||
Kenton County Airport Board Revenue Refunding Bonds, 5.00%, 1/01/32 | 400,000 | 464,776 | ||||||
Kentucky State Economic Development Finance Authority Health System Revenue Refunding Bonds, Norton Healthcare, Inc., Series B (NATL Insured), | 500,000 | 486,790 | ||||||
0.00%, 10/01/24(g) | 280,000 | 263,225 | ||||||
Kentucky State Economic Development Finance Authority Revenue Bonds, Owensboro Health, 5.25%, 6/01/50 | 250,000 | 267,458 | ||||||
Kentucky State Economic Development Finance Authority Revenue Refunding Bonds, Masonic Home Independent Living, 5.00%, 5/15/46 | 100,000 | 96,914 | ||||||
Kentucky State Economic Development Finance Authority Revenue Refunding Bonds, Series B, Owensboro Health, 5.00%, 6/01/40 | 300,000 | 327,453 | ||||||
Kentucky State Economic Development Finance Authority Solid Waste Revenue Refunding Bonds, Series A (AMT), Republic Services, Inc., Project, 0.28%, 12/01/20(a)(b)(c) | 250,000 | 250,065 | ||||||
Kentucky State Housing Corp., Revenue Bonds, City View Park Project, 1.16%, 8/01/22(a)(b)(c) | 2,000,000 | 2,022,740 |
Par
| Value
| |||||||
Kentucky (Continued) | ||||||||
Kentucky State Housing Corp., Variable Revenue Bonds, Beecher Phase I Project, 2.00%, 9/01/21(a)(b)(c) | $ | 480,000 | $ | 486,259 | ||||
Kentucky State Public Energy Authority Gas Supply Revenue Bonds, Series A, 4.00%, 4/01/24(a)(b)(c) | 475,000 | 522,543 | ||||||
Kentucky State Public Energy Authority Gas Supply Revenue Bonds, Series A-1, 4.00%, 6/01/25(a)(b)(c) | 250,000 | 281,975 | ||||||
Kentucky State Public Energy Authority Gas Supply Variable Revenue Bonds, Series C, Gas Supply, 4.00%, 2/01/28(a)(b)(c) | 500,000 | 583,490 | ||||||
Kentucky State Public Energy Authority Revenue Bonds, Series B, Gas Supply, 4.00%, 1/01/25(a)(b)(c) | 650,000 | 724,497 | ||||||
Lexington-Fayette Urban County Government Lease Revenue Bonds, Series A, 5.25%, 6/01/26 | 500,000 | 512,280 | ||||||
Louisville & Jefferson County Metropolitan Government Health System Variable Revenue Bonds, Norton Healthcare, Inc., 5.00%, 10/01/26(a)(b)(c) | 1,000,000 | 1,214,150 | ||||||
Louisville & Jefferson County Metropolitan Government Pollution Control Variable Revenue Refunding Bonds, Louisville Gas & Electric Company Project, 1.85%, 4/01/21(a)(b)(c) | 905,000 | 908,891 | ||||||
Louisville Regional Airport Authority Airport System Revenue Refunding Bonds, Series A (AMT), 5.00%, 7/01/23 | 500,000 | 554,160 | ||||||
9,967,666 | ||||||||
Louisiana – 1.0% | ||||||||
Louisiana State Housing Corp., MFH Variable Revenue Bonds, Hollywood Acres & Hollywood Heights Project, Series 2019, 1.44%, 12/01/21(a)(b)(c) | 1,000,000 | 1,011,370 |
See accompanying Notes to Financial Statements
113
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
Par
| Value
| |||||||
Louisiana (Continued) | ||||||||
Louisiana State Offshore Terminal Authority Deepwater Port Variable Revenue Bonds, Loop LLC Project, 2.00%, 10/01/22(a)(b)(c) | $ | 515,000 | $ | 519,738 | ||||
Louisiana State Public Facilities Authority Revenue Refunding CABS, Loyola University Project, 0.00%, 10/01/22(g) | 300,000 | 284,046 | ||||||
Saint James Parish Variable Revenue Bonds, Nustar Logistics, 5.85%, 6/01/25(a)(b)(c)(d) | 525,000 | 572,575 | ||||||
Saint James Parish Variable Revenue Bonds, Series A-1, Nucor Steel, 0.21%, 11/10/20(a)(c)(h) | 400,000 | 400,000 | ||||||
Saint John The Baptist Parish Revenue Refunding Bonds, Marathon Oil Corp., Project, 2.00%, 4/01/23(a)(b)(c) | 600,000 | 601,122 | ||||||
Saint John The Baptist Parish Variable Revenue Refunding Bonds, Marathon Oil Corp., Project, 2.38%, 7/01/26(a)(b)(c) | 125,000 | 126,224 | ||||||
3,515,075 | ||||||||
Maine – 0.5% | ||||||||
Maine Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Series A, 5.00%, 7/01/27 | 215,000 | 268,210 | ||||||
Maine Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Series A (State Aid Withholding), 5.00%, 7/01/28 | 650,000 | 801,067 | ||||||
Maine State Finance Authority Student Loan Revenue Refunding Bonds (AMT) (AGM Insured), 5.00%, 12/01/24 | 500,000 | 571,680 | ||||||
1,640,957 |
Par
| Value
| |||||||
Maryland – 2.6% | ||||||||
Baltimore Convention Center Hotel Revenue Refunding Bonds, Convention Center Hotel, 5.00%, 9/01/39 | $ | 500,000 | $ | 437,700 | ||||
Baltimore County GO Unlimited Bonds, 5.00%, 3/01/25 | 1,265,000 | 1,518,810 | ||||||
Maryland State & Local Facilities GO Unlimited Bonds, Loan of 2013-1, Prerefunded, 4.00%, 3/01/21(e) | 600,000 | 607,524 | ||||||
Maryland State Community Development Administration Department Housing & Community Development MFH Revenue Bonds, Series A, Bay Country Apartments, 2.52%, 2/01/21(d) | 1,000,000 | 1,003,050 | ||||||
Maryland State Department of Transportation Consolidated Transportation Revenue Bonds, 5.00%, 2/01/22 | 260,000 | 275,436 | ||||||
Maryland State Economic Development Corp., PCR Refunding Bonds, Potomac Electric Power Company, 1.70%, 9/01/22 | 500,000 | 509,245 | ||||||
Maryland State Economic Development Corp., Private Activity Revenue Bonds (AMT), Purple Line Light Rail Projects, 5.00%, 3/31/36 | 325,000 | 319,807 | ||||||
5.00%, 3/31/51 | 235,000 | 230,309 | ||||||
Maryland State Economic Development Corp., Revenue Bonds (AMT), Seagirt Marine Terminal Projects, 5.00%, 6/01/44 | 500,000 | 537,430 | ||||||
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, Adventist Healthcare Obligated, 5.50%, 1/01/31 | 300,000 | 349,866 | ||||||
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, Medstar Health Issue, Series A, 5.00%, 5/15/45 | 430,000 | 501,337 |
See accompanying Notes to Financial Statements
114
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
Par
| Value
| |||||||
Maryland (Continued) | ||||||||
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, Peninsula Regional Health System, | $ | 350,000 | $ | 398,706 | ||||
5.00%, 7/01/27 | 1,320,000 | 1,609,753 | ||||||
Maryland State Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Arundel Health Systems, 5.00%, 7/01/29 | 250,000 | 302,050 | ||||||
Maryland State Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Series A, Broadmead Issue, 4.00%, 7/01/35 | 185,000 | 193,059 | ||||||
Maryland State Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Series A, Mercy Medical Center, 4.00%, 7/01/42 | 120,000 | 126,164 | ||||||
Maryland State Health & Higher Educational Facilities Authority Variable Revenue Refunding Bonds, University of Maryland, 5.00%, 7/01/27(a)(b)(c) | 200,000 | 245,866 | ||||||
9,166,112 | ||||||||
Massachusetts – 1.4% | ||||||||
Massachusetts State Consolidated Loan GO Limited Bonds, Series E, 5.25%, 9/01/48 | 500,000 | 627,210 | ||||||
Massachusetts State Department of Transportation Metropolitan Highway System Variable Revenue Refunding Bonds, Series A, 5.00%, 1/01/23(a)(b)(c) | 500,000 | 547,515 | ||||||
Massachusetts State Development Finance Agency Revenue Refunding Bonds, Beth Israel Lahey Health, 5.00%, 7/01/38 | 100,000 | 122,988 |
Par
| Value
| |||||||
Massachusetts (Continued) | ||||||||
Massachusetts State Development Finance Agency Variable Revenue Refunding Bonds, Partners Healthcare, (SIFMA Municipal Swap Index Yield + 0.50%), 0.62%, 1/26/23(a)(c) | $ | 500,000 | $ | 499,620 | ||||
Massachusetts State Educational Financing Authority Revenue Bonds, Series J (AMT), 5.00%, 7/01/21 | 500,000 | 512,500 | ||||||
Massachusetts State GO Limited Refunding Bonds, Series B, 5.00%, 7/01/34 | 1,350,000 | 1,792,017 | ||||||
Massachusetts State HFA Revenue Bonds, Colonial Village Projects, 1.45%, 1/01/22(a)(b)(c) | 760,000 | 768,147 | ||||||
4,869,997 | ||||||||
Michigan – 1.5% | ||||||||
Detroit Downtown Development Authority Tax Allocation Increment Revenue Refunding Bonds, Series A, Catalyst Development Project (AGM Insured), | 500,000 | 535,960 | ||||||
5.00%, 7/01/43 | 100,000 | 111,361 | ||||||
5.00%, 7/01/48 | 200,000 | 222,046 | ||||||
Detroit GO Unlimited Bonds, 5.00%, 4/01/27 | 50,000 | 54,561 | ||||||
Great Lakes Water Authority Sewage Disposal System Revenue Refunding Bonds Second Lien, Series C, 5.00%, 7/01/36 | 370,000 | 442,032 | ||||||
Michigan State Finance Authority Local Government Loan Program Revenue Refunding Bonds, | 425,000 | 505,083 | ||||||
4.50%, 10/01/29 | 250,000 | 260,798 | ||||||
Michigan State Finance Authority Revenue Refunding Bonds, Michigan Health, 5.00%, 6/01/23 | 390,000 | 435,747 | ||||||
Michigan State Finance Authority Revenue Refunding Bonds, Trinity Health Corp., Prerefunded, 5.00%, 6/01/22(e) | 250,000 | 268,275 |
See accompanying Notes to Financial Statements
115
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
Par
| Value
| |||||||
Michigan (Continued) | ||||||||
Michigan State Finance Authority Revenue Refunding Bonds, Trinity Health Credit Group, 4.00%, 12/01/35 | $ | 515,000 | $ | 599,589 | ||||
Michigan State Finance Authority Variable Revenue Bonds, Bronson Healthcare Group, 3.50%, 11/15/22(a)(b)(c) | 250,000 | 264,212 | ||||||
Michigan State Hospital Finance Authority Revenue Refunding Bonds, Ascenion Senior, 5.00%, 11/15/47 | 420,000 | 494,012 | ||||||
Michigan State Strategic Fund Limited Obligation Adjustable Revenue Refunding Bonds, Detroit Edison Co., Pollution Control Bonds Project, 1.45%, 9/01/21(a)(b)(c) | 600,000 | 602,118 | ||||||
Michigan State Strategic Fund Limited Obligation Variable Revenue Bonds (AMT), Consumers Energy Co., 1.80%, 10/01/24(a)(b)(c) | 500,000 | 515,255 | ||||||
5,311,049 | ||||||||
Minnesota – 0.9% | ||||||||
Brooklyn Center MFH Development Variable Revenue Bonds, Sonder House Apartments Project, 1.35%, 7/01/22(a)(b)(c) | 1,500,000 | 1,502,370 | ||||||
City of Shakopee Senior Housing Revenue Bonds, Benedictine Living Community of Shakopee LLC Project, 5.85%, 11/01/25(a)(b)(c)(d) | 250,000 | 254,335 | ||||||
Goodhue County Education District No. 6051 COPS, 5.00%, 2/01/21 | 340,000 | 343,672 | ||||||
Minnesota State HFA Housing Bonds, White Oak Estates, Series F (HUD Sector 8 Program), 1.35%, 8/01/21 | 1,000,000 | 1,001,700 | ||||||
3,102,077 |
Par
| Value
| |||||||
Mississippi – 0.2% | ||||||||
Mississippi State Hospital Equipment & Facilities Authority Adjustable Revenue Refunding Bonds, North Mississippi Health, 5.00%, 3/01/27(a)(b)(c) | $ | 265,000 | $ | 318,583 | ||||
Mississippi State Hospital Equipment & Facilities Authority Revenue Refunding Bonds, Forrest Country General Hospital Project, 5.00%, 1/01/24 | 400,000 | 451,676 | ||||||
770,259 | ||||||||
Missouri – 0.7% | ||||||||
Missouri Joint Municipal Electric Utility Commission Power Project Revenue Refunding Bonds, Series A, Iatan 2 Project, 5.00%, 1/01/33 | 310,000 | 345,876 | ||||||
Missouri State Health & Educational Facilities Authority Educational Facilities Revenue Refunding Bonds, A.T. Still University Health Science, 5.00%, 10/01/22 | 725,000 | 780,760 | ||||||
Missouri State Health & Educational Facilities Authority Health Facilities Revenue Refunding Bonds, Series A, St. Luke’s Health System, Inc., | 150,000 | 170,460 | ||||||
5.00%, 11/15/30 | 250,000 | 297,243 | ||||||
RBC Municipal Products Inc., Trust Floater Certificates Revenue Bonds, Series C-16 for Missouri Health (Royal Bank of Canada LOC), 0.19%, 11/10/20(a)(c)(d)(h) | 500,000 | 500,000 | ||||||
Saint Louis County IDA Senior Living Facilities Revenue Refunding Bonds, Friendship Village St. Louis, 5.00%, 9/01/48 | 300,000 | 317,202 | ||||||
2,411,541 | ||||||||
Nebraska – 0.4% | ||||||||
Central Plains Energy Gas Project Revenue Bonds, Project No. 3, 5.00%, 9/01/22 | 500,000 | 539,310 |
See accompanying Notes to Financial Statements
116
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
Par
| Value
| |||||||
Nebraska (Continued) | ||||||||
Central Plains Energy Project Gas Supply Revenue Refunding Bonds, 4.00%, 8/01/25(a)(b)(c) | $ | 225,000 | $ | 257,643 | ||||
Douglas County Hospital Authority No. 2 Revenue Bonds, Children’s Hospital Obligated Group, 5.00%, 11/15/25(a)(b)(c) | 600,000 | 714,978 | ||||||
1,511,931 | ||||||||
Nevada – 2.1% | ||||||||
Clark County Passenger Facility Charge Revenue Refunding Bonds, Las Vegas Mccarran International, 5.00%, 7/01/22 | 200,000 | 214,592 | ||||||
Clark County School District GO Limited Bonds, Series A (AGM Insured), 4.00%, 6/15/38 | 500,000 | 580,765 | ||||||
Clark County School District GO Limited Refunding Bonds, Series C, Building, 5.00%, 6/15/23 | 500,000 | 555,750 | ||||||
Clark County School District GO Limited Refunding Bonds, Series D, 5.00%, 6/15/23 | 300,000 | 333,450 | ||||||
Clark County School District GO Limited Refunding Bonds, Series E, 5.00%, 6/15/25 | 1,330,000 | 1,582,421 | ||||||
Clark County Stadium Improvement GO Limited Bonds, Series A, 5.00%, 5/01/48 | 500,000 | 599,080 | ||||||
Las Vegas Convention & Visitors Authority Convention Center Expansion Revenue Bonds, Series B, 5.00%, 7/01/43 | 250,000 | 287,332 | ||||||
Las Vegas New Convention & Visitors Authority Revenue Bonds, Series B, 5.00%, 7/01/37 | 1,000,000 | 1,177,230 | ||||||
Las Vegas Special Improvement District No. 814 Summerlin Village 21 & 24A Special Assessment Bonds, 4.00%, 6/01/49 | 100,000 | 100,098 |
Par
| Value
| |||||||
Nevada (Continued) | ||||||||
Nevada State Housing Division Multi-Unit Holding Revenue Bonds, Silver Terrace Apartments, 1.19%, 4/01/21(a)(b)(c) | $ | 500,000 | $ | 501,580 | ||||
Reno Sales Tax Revenue Refunding Bonds, First Lien, Retrac-Reno Transportation Rail Access Corridor Project, 5.00%, 6/01/48 | 500,000 | 543,090 | ||||||
Sparks Nevada Tourism Improvement District No. 1 Revenue Refunding Bonds, Series A, Sales Tax Senior Lien, 2.50%, 6/15/24(d) | 300,000 | 297,123 | ||||||
Washoe County Water Facilities Variable Revenue Refunding Bonds (AMT), Sierra Pacific, 2.05%, 4/15/22(a)(b)(c) | 500,000 | 510,085 | ||||||
7,282,596 | ||||||||
New Hampshire – 0.3% | ||||||||
National Finance Authority Municipal Certificates Revenue Bonds, Series 1-A, 4.13%, 1/20/34 | 717,844 | 781,552 | ||||||
New Hampshire State Health & Education Facilities Authority Revenue Refunding Bonds, Kendal at Hanover Issue, 5.00%, 10/01/36 | 180,000 | 193,405 | ||||||
974,957 | ||||||||
New Jersey – 3.3% | ||||||||
Garden State Preservation Trust Open Space & Farmland Preservation Revenue Bonds, Series A (AGM Insured), 5.75%, 11/01/28 | 1,170,000 | 1,463,073 | ||||||
New Jersey State EDA Energy Facility Revenue Bonds, Series A (AMT), UMM Energy Partners, | 190,000 | 198,989 | ||||||
5.12%, 6/15/43 | 350,000 | 366,352 | ||||||
New Jersey State EDA Motor Vehicle Surcharge Revenue Refunding Bonds, Subseries A, 3.38%, 7/01/30 | 250,000 | 250,890 |
See accompanying Notes to Financial Statements
117
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
Par
| Value
| |||||||
New Jersey (Continued) | ||||||||
New Jersey State EDA Private Activity Revenue Bonds (AMT), The Goethals Project, | $ | 150,000 | $ | 167,025 | ||||
5.25%, 1/01/25 | 100,000 | 111,789 | ||||||
5.37%, 1/01/43 | 100,000 | 109,321 | ||||||
New Jersey State EDA Revenue Refunding Bonds, School Facilities Construction, Unrefunded Balance, 5.00%, 3/01/21 | 400,000 | 405,496 | ||||||
New Jersey State EDA Revenue Refunding Bonds, Series A, United Methodist Homes, 5.00%, 7/01/29 | 100,000 | 106,239 | ||||||
New Jersey State EDA Revenue Refunding Bonds, Series XX, 5.00%, 6/15/23 | 170,000 | 186,366 | ||||||
New Jersey State EDA Special Facility Revenue Refunding Bonds (AMT), Port Newark Container, 5.00%, 10/01/47 | 300,000 | 323,583 | ||||||
New Jersey State EDA Water Facilities Revenue Refunding Bonds (AMT), New Jersey American Water Co., Inc. Project, 2.20%, 12/03/29(a)(b)(c) | 775,000 | 814,385 | ||||||
New Jersey State Health Care Facilities Financing Authority Revenue Bonds, Valley Health System Obligated Group Series, | 500,000 | 629,000 | ||||||
5.00%, 7/01/33 | 1,000,000 | 1,251,300 | ||||||
New Jersey State Health Care Facilities Financing Authority Revenue Refunding Bonds, RWJ Barnajas Health Obligated Group, 5.00%, 7/01/26(a)(b)(c) | 400,000 | 489,884 | ||||||
New Jersey State Transportation Trust Fund Authority Revenue Bonds, Transportation Program, 5.25%, 6/15/43 | 625,000 | 709,475 | ||||||
New Jersey State Transportation Trust Fund Authority Transportation System Revenue Bonds, Series A, 5.25%, 12/15/22 | 1,000,000 | 1,090,050 |
Par
| Value
| |||||||
New Jersey (Continued) | ||||||||
New Jersey State Transportation Trust Fund Authority Transportation System Revenue Refunding Bonds, | $ | 100,000 | $ | 114,278 | ||||
New Jersey State Turnpike Authority Revenue Bonds, Series A, | 305,000 | 378,020 | ||||||
5.00%, 1/01/33 | 230,000 | 260,326 | ||||||
New Jersey State Turnpike Authority Turnpike Revenue Refunding Bonds, Series E, 5.00%, 1/01/31 | 255,000 | 314,109 | ||||||
Newark Housing Authority Port Newark Marine Terminal Rental Revenue Refunding Bonds, Additional Newark Redevelopment Project (NATL Insured), 5.25%, 1/01/24 | 500,000 | 546,325 | ||||||
Union County Utilities Authority Resource Recovery Facility Lease Revenue Refunding Bonds (AMT), Series A, Covanta Union, Inc., 5.25%, 12/01/31 | 1,500,000 | 1,570,620 | ||||||
11,856,895 | ||||||||
New Mexico – 0.3% | ||||||||
Farmington PCR Refunding Bonds, Public Service Company of New Mexico San Juan Project, 1.15%, 6/01/24(a)(b)(c) | 250,000 | 250,757 | ||||||
New Mexico State Hospital Equipment Loan Council Variable Revenue Bonds, Series B, 5.00%, | 500,000 | 583,270 | ||||||
New Mexico State Municipal Energy Acquisition Authority Gas Supply Revenue Refunding Bonds, | 275,000 | 325,306 | ||||||
1,159,333 | ||||||||
New York – 8.7% | ||||||||
Hempstead Town Local Develop Corp. Education Revenue Refunding Bonds, Academy Charter School Project, 5.66%, 2/01/44 | 250,000 | 255,570 |
See accompanying Notes to Financial Statements
118
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
Par
| Value
| |||||||
New York (Continued) | ||||||||
Hudson Yards Infrastructure Corp., Senior Revenue Bonds Fiscal 2012, 5.75%, 2/15/47 | $ | 300,000 | $ | 304,356 | ||||
Liberty Development Corp., Revenue Bonds, 5.50%, 10/01/37 | 110,000 | 156,925 | ||||||
Long Beach GO Limited Bonds, | 665,000 | 802,921 | ||||||
Metropolitan Transportation Authority Revenue BANS, Series A-1, 5.00%, 2/01/23 | 750,000 | 762,660 | ||||||
Metropolitan Transportation Authority Revenue BANS, Series A-2S, 4.00%, 2/01/22 | 750,000 | 749,242 | ||||||
Metropolitan Transportation Authority Revenue BANS, Series B-2A, 5.00%, 5/15/21 | 875,000 | 881,405 | ||||||
Metropolitan Transportation Authority Revenue Bonds, Series A-1-Group 1, Green Bond, 5.00%, 11/15/49 | 500,000 | 540,535 | ||||||
Metropolitan Transportation Authority Transportation Revenue Bonds, Series E, 4.00%, 11/15/23 | 535,000 | 542,704 | ||||||
Metropolitan Transportation Authority Transportation Revenue Refunding Bonds, Green Bonds, Climate, 4.00%, 11/15/22 | 730,000 | 737,453 | ||||||
Metropolitan Transportation Authority, New York Transportation Variable Rate Revenue Refunding Bonds, Subseries G-3, (SIFMA Municipal Swap Index Yield + 0.43%), 0.55%, 2/01/25(a)(c) | 1,000,000 | 888,870 | ||||||
Monroe County Industrial Development Agency School Facility Revenue Bonds, Rochester Schools Modernization Project (State Aid Withholding), 5.00%, 5/01/35 | 800,000 | 1,022,608 | ||||||
Monroe County Industrial Development Corp. Revenue Bonds, University of Rochester Project, 4.00%, 7/01/50 | 1,000,000 | 1,126,830 |
Par
| Value
| |||||||
New York (Continued) | ||||||||
Nassau County Local Economic Assistance Corp., Revenue Refunding Bonds, South Nassau Communities Hospital Project, 5.00%, 7/01/21 | $ | 715,000 | $ | 735,621 | ||||
New York City Housing Development Corp., MFH Revenue Bonds, Series C-2-A, 2.35%, 7/01/22 | 500,000 | 502,805 | ||||||
New York City Transitional Finance Authority Adjustable Future Tax Secured Subordinate Revenue Bonds, 0.10%, 11/03/20(a)(c)(h) | 500,000 | 500,000 | ||||||
New York City Transitional Finance Authority Future Tax Secured Subordinate Revenue Bonds, 4.00%, 11/01/40 | 400,000 | 452,520 | ||||||
New York City Transitional Finance Authority Future Tax Subordinate Revenue Bonds, 4.00%, 5/01/36 | 1,000,000 | 1,176,950 | ||||||
New York GO Unlimited Bonds, Series 1, 4.00%, 8/01/27 | 625,000 | 743,331 | ||||||
New York GO Unlimited Bonds, | 250,000 | 299,673 | ||||||
New York State Convention Center Development Corp., Revenue Refunding Bonds, Hotel Unit Fee Secured, 5.00%, 11/15/40 | 600,000 | 670,152 | ||||||
New York State Dormitory Authority Non State Supported Debt Revenue Bonds, Fordham University, 4.00%, 7/01/50 | 600,000 | 665,592 | ||||||
New York State Dormitory Authority Non State Supported Debt Revenue Bonds, Series A, 4.00%, 7/01/50 | 1,000,000 | 1,113,220 | ||||||
New York State Dormitory Authority Non State Supported Debt Revenue Refunding Bonds, Catholic Health System Obligated, 5.00%, 7/01/36 | 400,000 | 477,644 |
See accompanying Notes to Financial Statements
119
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
Par
| Value
| |||||||
New York (Continued) | ||||||||
New York State Dormitory Authority Non State Supported Debt Revenue Refunding Bonds, Series A, Barnard College, 4.00%, 7/01/49 | $ | 300,000 | $ | 330,207 | ||||
New York State Dormitory Authority Revenues Non State Supported Debt Revenue Bonds, Master Boces Program (State Aid Withholding), 5.00%, 8/15/26 | 455,000 | 554,135 | ||||||
New York State Dormitory Authority Revenues Non State Supported Debt Revenue Bonds, Northwell Health Obligated Group, | 1,250,000 | 1,408,800 | ||||||
New York State Dormitory Authority Revenues Non State Supported Debt Revenue Refunding Bonds, Memorial Sloan Kettering Cancer Center, 5.00%, 7/01/42 | 200,000 | 239,920 | ||||||
New York State Dormitory Authority Revenues Non State Supported Debt Revenue Refunding Bonds, Series A, Montefiore Obligated Group, 4.00%, 9/01/50 | 1,000,000 | 1,072,790 | ||||||
New York State Dormitory Authority State Personal Income Tax Revenue Refunding Bonds, Series D, 4.00%, 2/15/39 | 500,000 | 573,780 | ||||||
New York State Dormitory Authority State Personal Income Tax Revenue Refunding Bonds, Series E, Unrefunded Balance, 5.00%, 2/15/44 | 425,000 | 485,817 | ||||||
New York State Liberty Development Corp., Revenue Refunding Bonds, Class 2, 3 World Trade Center Project, | 500,000 | 518,575 | ||||||
5.37%, 11/15/40(d) | 150,000 | 155,069 | ||||||
New York State Mortgage Agency Homeowner Mortgage Revenue Refunding Bonds, Series 214 (AMT), | 360,000 | 369,936 | ||||||
2.90%, 10/01/22 | 140,000 | 145,330 |
Par
| Value
| |||||||
New York (Continued) | ||||||||
New York State Transportation Development Corp., Special Facility Revenue Refunding Bonds (AMT), John F. Kennedy International Airport Project, 5.38%, 8/01/36 | $ | 250,000 | $ | 258,505 | ||||
New York State Transportation Development Corporation Special Facilities Revenue Bonds (AMT), Delta Air Lines, Inc., Laguardia Airport Terminal C&D Redevelopment Project, 5.00%, 10/01/35 | 500,000 | 544,835 | ||||||
New York State Urban Development Corp., State Personal Income Tax Revenue Refunding Bonds, 4.00%, 3/15/45 | 500,000 | 563,825 | ||||||
Niagara Frontier Transportation Authority Revenue Refunding Bonds (AMT), Buffalo Niagara International Airport, 5.00%, 4/01/26 | 250,000 | 296,643 | ||||||
Onondaga County Trust Cultural Resource Revenue Refunding Bonds, Syracuse University Project, 4.00%, 12/01/47 | 500,000 | 569,905 | ||||||
Oyster Bay GO Limited BANS, Series C, 4.00%, 8/27/21 | 1,000,000 | 1,029,000 | ||||||
Port Authority of New York & New Jersey Consolidated 211th Revenue Refunding Bonds, 5.00%, 9/01/48 | 830,000 | 985,974 | ||||||
Port Authority of New York & New Jersey Consolidated Revenue Bonds, Series 218 (AMT), 5.00%, 11/01/31 | 1,065,000 | 1,339,472 | ||||||
Port Authority of New York & New Jersey Consolidated Revenue Bonds, Series 221 (AMT), 4.00%, 7/15/40 | 500,000 | 561,095 | ||||||
Sales Tax Asset Receivable Corp., Revenue Refunding Bonds, Series A, Fiscal 2015, 5.00%, 10/15/30 | 245,000 | 286,946 |
See accompanying Notes to Financial Statements
120
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
Par
| Value
| |||||||
New York (Continued) | ||||||||
Suffolk County GO Limited Refunding Bonds, Series D (BAM Insured), 5.00%, 10/15/24 | $ | 390,000 | $ | 455,274 | ||||
Triborough Bridge & Tunnel Authority General Revenue Bonds, Series A, MTA Bridges and Tunnels, 4.00%, 11/15/54 | 1,500,000 | 1,690,350 | ||||||
Yonkers Economic Development Corp., Educational Revenue Bonds, Charter School Educational Excellence Project, 5.00%, 10/15/49 | 100,000 | 107,537 | ||||||
30,653,307 | ||||||||
North Carolina – 1.1% | ||||||||
North Carolina Medical Care Commission Health Care Facilities Revenue Refunding Bonds, Deerfield Episcopal Retirement Community, 4.00%, 11/01/21 | 150,000 | 153,794 | ||||||
North Carolina State Medical Care Commission Health Care Facilities Revenue Refunding Bonds, Vidant Health, 5.00%, 6/01/45 | 500,000 | 567,970 | ||||||
North Carolina State Medical Care Commission Retirement Facilities Revenue Refunding Bonds, First Mortgage, 4.00%, 1/01/25 | 250,000 | 255,472 | ||||||
North Carolina State Medical Care Commission Retirement Facilities Revenue Refunding Bonds, First Mortgage, United Church Services, 5.00%, 9/01/37 | 155,000 | 156,710 | ||||||
North Carolina State Medical Care Commission Retirement Facilities Revenue Refunding Bonds, Series A, Sharon Towers, 5.00%, 7/01/49 | 100,000 | 105,530 | ||||||
North Carolina State Turnpike Authority Revenue Refunding Bonds, Senior Lien, 5.00%, 1/01/40 | 550,000 | 652,404 |
Par
| Value
| |||||||
North Carolina (Continued) | ||||||||
North Carolina State Turnpike Authority Senior Lien Revenue Bonds, Triangle Expressway, 4.00%, 1/01/55 | $ | 400,000 | $ | 434,856 | ||||
North Carolina State Turnpike Authority Senior Lien Revenue Bonds, Triangle Expressway (AGM Insured), 5.00%, 1/01/49 | 500,000 | 609,015 | ||||||
North Carolina Turnpike Authority Triangle Expressway System Revenue BANS, 5.00%, 2/01/24 | 200,000 | 225,954 | ||||||
Raleigh Durham Airport Authority Revenue Refunding Bonds, Series A (AMT), 5.00%, 5/01/36 | 500,000 | 624,005 | ||||||
3,785,710 | ||||||||
North Dakota – 0.4% | ||||||||
University of North Dakota COPS, Infrastructure Energy Improvement, 5.00%, 4/01/48 | 500,000 | 585,900 | ||||||
Watford City North Dakota State Aid Certificates Indebtedness Revenue Refunding Bonds (AGM Insured), 3.00%, 12/01/23 | 800,000 | 836,032 | ||||||
1,421,932 | ||||||||
Ohio – 3.5% | ||||||||
Akron Bath Copley Joint Township Hospital District Revenue Refunding Bonds, Summa Health Obligated Group Hospital, | 350,000 | 423,304 | ||||||
5.00%, 11/15/27 | 370,000 | 454,060 | ||||||
Allen County Ohio Hospital Facilities Revenue Refunding Bonds, Bon Secours Mercy Health, Inc., 5.00%, 12/01/28 | 400,000 | 517,696 | ||||||
American Municipal Power Ohio, Inc., Revenue BANS, Carey Village Project, Electric System (State Standby Note Purchase Insured), 2.25%, 12/03/20 | 765,000 | 766,239 |
See accompanying Notes to Financial Statements
121
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
Par
| Value
| |||||||
Ohio (Continued) | ||||||||
American Municipal Power-Ohio, Inc., Variable Revenue Refunding Bonds, Series A, 2.30%, 2/15/22(a)(b)(c) | $ | 1,250,000 | $ | 1,263,375 | ||||
Buckeye Tobacco Settlement Financing Authority Revenue Refunding Bonds, Senior-Class 2, Series B-2, | 650,000 | 752,966 | ||||||
5.00%, 6/01/55 | 850,000 | 909,372 | ||||||
Cleveland-Cuyahoga County Port Authority Cultural Facilities Revenue Refunding Bonds, Playhouse Square Foundation Project, 5.50%, 12/01/43 | 175,000 | 180,983 | ||||||
Cleveland-Cuyahoga County Port Authority Euclid Avenue Development Corp., Revenue Refunding Bonds, 5.00%, 8/01/23 | 370,000 | 403,185 | ||||||
Conotton Valley Union Local School District COPS, School Facilities Project (FHLMC Insured), 4.00%, 12/01/42 | 500,000 | 542,975 | ||||||
Franklin County Convention Facilities Authority Hotel Project Revenue Bonds, Greater Columbus Convention Center, | 170,000 | 171,532 | ||||||
5.00%, 12/01/35 | 525,000 | 529,505 | ||||||
5.00%, 12/01/36 | 305,000 | 307,513 | ||||||
Franklin County Revenue Bonds, Series A, 5.00%, 12/01/36 | 300,000 | 378,174 | ||||||
Marion County Health Care Facilities Revenue Refunding Bonds, United Church Homes, Inc., 5.12%, 12/01/49 | 100,000 | 101,702 | ||||||
Miami Valley Career Technology Center GO Unlimited Bonds, 4.00%, 12/01/37 | 250,000 | 288,603 | ||||||
Middleburg Heights Hospital Revenue Refunding Bonds, Southwest General Health Center, 8/01/41(f) | 500,000 | 541,615 |
Par
| Value
| |||||||
Ohio (Continued) | ||||||||
Ohio State Air Quality Development Authority Revenue Refunding Bonds (AMT), American Electric Power Company Project, 2.10%, | $ | 500,000 | $ | 516,365 | ||||
Ohio State Air Quality Development Authority Revenue Refunding Bonds, Ohio Valley Electric Corp., 3.25%, 9/01/29 | 50,000 | 50,409 | ||||||
Ohio State Higher Educational Facilities Commission Revenue Refunding Bonds, Xavier University 2020 Project, 5.00%, 5/01/35 | 880,000 | 1,105,641 | ||||||
Ohio State Hospital Revenue Refunding Bonds, Premier Health Partners Obligated Group, 5.00%, 11/15/26 | 145,000 | 172,134 | ||||||
Ohio State Hospital Revenue Refunding Bonds, Series A, 4.00%, 1/15/50 | 325,000 | 354,595 | ||||||
Ohio State Housing Finance Agency MFH Revenue Notes, Wesley Tower Apartments Project, 1.40%, | 1,500,000 | 1,508,475 | ||||||
12,240,418 | ||||||||
Oklahoma – 1.4% | ||||||||
Bryan County School Finance Authority Educational Facilities Lease Revenue Refunding Bonds, Durant Public Schools Project, 4.00%, 12/01/23 | 620,000 | 685,850 | ||||||
Carter County Public Facilities Authority Educational Facilities Lease Revenue Bonds, 5.00%, 9/01/27 | 500,000 | 594,540 | ||||||
Kingfisher Special Projects Authority Educational Facilities Lease Revenue Bonds, Kingfisher Public Schools Project, 4.00%, 3/01/24 | 600,000 | 668,106 | ||||||
Muskogee Industrial Trust Educational Lease Revenue Bonds, Muskogee Public Schools Project, 5.00%, 9/01/23 | 900,000 | 1,005,372 |
See accompanying Notes to Financial Statements
122
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
Par
| Value
| |||||||
Oklahoma (Continued) | ||||||||
Oklahoma County Finance Authority Revenue Refunding Bonds, Series A, Epworth Villa Project, 5.88%, 4/01/30 | $ | 50,000 | $ | 49,995 | ||||
Oklahoma State Development Finance Authority Revenue Refunding Bonds, Oklahoma City University Project, 5.00%, 8/01/24 | 590,000 | 650,121 | ||||||
Wagoner County School Development Authority Educational Facilities Lease Revenue Bonds, Wagoner Public Schools Project, 4.00%, 9/01/23 | 1,060,000 | 1,150,800 | ||||||
4,804,784 | ||||||||
Oregon – 1.3% | ||||||||
Medford Hospital Facilities Authority Revenue Refunding Bonds, Series A, Asante Projects, 5.00%, 8/15/45 | 500,000 | 607,275 | ||||||
Multnomah County Hospital Facilities Authority Revenue Refunding Bonds, Adventist Health System, 5.00%, 3/01/25(a)(b)(c) | 500,000 | 575,650 | ||||||
Multnomah County School District No. 1J Portland GO Unlimited Bonds (School Board Guaranty Program), 5.00%, 6/15/24 | 250,000 | 292,143 | ||||||
Oregon State Facilities Authority Revenue Refunding Bonds, Series A, Legacy Health Project, 5.00%, 6/01/46 | 1,000,000 | 1,139,130 | ||||||
Oregon State Housing & Community Services Department Housing Development Revenue Bonds, Series I, Ya Po Ah Terrace Project (HUD Sector 8 Program), 2.20%, 5/01/21(a)(b)(c) | 500,000 | 504,390 | ||||||
Port of Portland Airport Revenue Refunding Bonds, Portland International Airport, 5.00%, 7/01/40 | 615,000 | 758,885 | ||||||
Port of Portland Airport Revenue Refunding Bonds, Portland International Airport (AMT), 5.00%, 7/01/25 | 750,000 | 885,675 | ||||||
4,763,148 |
Par
| Value
| |||||||
Pennsylvania – 4.8% | ||||||||
Allegheny County Hospital Development Authority Revenue Refunding Bonds, University of Pittsburgh Medical Center, 5.00%, 7/15/21 | $ | 100,000 | $ | 103,154 | ||||
Allegheny County Sanitary Authority Revenue Bonds, Series B, 4.00%, 6/01/25 | 100,000 | 115,961 | ||||||
Berks County Municipal Authority Revenue Refunding Bonds, Series B, Tower Health Project, | 500,000 | 537,895 | ||||||
5.00%, 2/01/27(a)(b)(c) | 500,000 | 549,655 | ||||||
Commonwealth Financing Authority Taxable Revenue Refunding Bonds, Series B-1, 5.00%, 6/01/26 | 300,000 | 355,908 | ||||||
Cumberland County Municipal Authority Revenue Bonds, AICUP Financing Program-Messiah College Project, 3.75%, 4/30/22(a)(b)(c) | 500,000 | 503,045 | ||||||
Delaware Valley Regional Financial Authority Revenue Bonds, Series A (AMBAC Insured), 5.50%, 8/01/28 | 225,000 | 291,119 | ||||||
Doylestown Hospital Authority Revenue Bonds, Series A, Doylestown Hospital, 5.00%, 7/01/49 | 165,000 | 183,624 | ||||||
Lackawanna County IDA Revenue Refunding Bonds, University of Scranton, 5.00%, 11/01/21 | 375,000 | 390,874 | ||||||
Lancaster County GO Unlimited Refunding Bonds, Series A, 4.00%, 11/01/25 | 275,000 | 319,382 | ||||||
Lancaster County Hospital Authority Healthcare Facilities Revenue Bonds, Series B, Maravian Manors, Inc., Project, 2.87%, 12/15/23 | 250,000 | 246,000 | ||||||
Lehigh County General Purpose Authority Revenue Refunding Bonds, Muhlenberg College Project, (SIFMA Municipal Swap Index Yield + 0.58%), 0.70%, 11/01/24(a)(c) | 480,000 | 478,445 |
See accompanying Notes to Financial Statements
123
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
Par
| Value
| |||||||
Pennsylvania (Continued) | ||||||||
Lehigh County IDA Revenue Refunding Bonds, PPL Electric Utilities Corp., Project, 1.80%, 8/15/22(a)(b)(c) | $ | 330,000 | $ | 333,587 | ||||
Luzerne County IDA Revenue Refunding Bonds (AMT), Pennsylvania-American Water Co., Project, 2.45%, 12/03/29(a)(b)(c) | 750,000 | 808,072 | ||||||
Montgomery County IDA Revenue Bonds, Acts Retirement-Life Communities, 5.00%, 11/15/45 | 1,500,000 | 1,742,145 | ||||||
Pennsylvania State Economic Development Financing Authority UPMC Revenue Bonds, Series A-1, | 1,200,000 | 1,378,440 | ||||||
5.00%, 4/15/25 | 200,000 | 237,670 | ||||||
4.00%, 4/15/45 | 500,000 | 552,475 | ||||||
Pennsylvania State Higher Educational Facilities Authority Revenue Refunding Bonds, Thomas Jefferson University, 5.00%, 9/01/39 | 500,000 | 560,040 | ||||||
Pennsylvania State Higher Educational Facilities Authority Variable Revenue Refunding Bonds, AICUP Financing Program-York College of Pennsylvania Project, 2.87%, | 500,000 | 499,880 | ||||||
Pennsylvania State Housing Finance Agency SFM Revenue Refunding Bonds (AMT), Series 125A, 2.38%, 10/01/25 | 1,135,000 | 1,176,496 | ||||||
Pennsylvania State Housing Finance Agency Special Limited Obligation MFH Revenue Bonds, Norris Homes Phase V, 1.40%, 1/01/23(a)(b)(c) | 1,000,000 | 1,016,310 | ||||||
Pennsylvania State Turnpike Commission Turnpike Variable Revenue Refunding Bonds, Series B, (SIFMA Municipal Swap Index Yield + 0.70%), 0.82%, 12/01/23(c) | 500,000 | 502,725 |
Par
| Value
| |||||||
Pennsylvania (Continued) | ||||||||
Philadelphia Airport Revenue Refunding Bonds, Series B (AMT), | $ | 510,000 | $ | 607,573 | ||||
5.00%, 7/01/33 | 400,000 | 467,500 | ||||||
5.00%, 7/01/35 | 155,000 | 179,998 | ||||||
Philadelphia Authority for Industrial Development Temple University Revenue Refunding Bonds, Series 1-2015, 5.00%, 4/01/33 | 400,000 | 458,056 | ||||||
Philadelphia Authority for Industrial Development University Revenue Refunding Bonds, Saint Joseph’s University, 4.00%, 11/01/45 | 500,000 | 541,675 | ||||||
Philadelphia City Water & Wastewater Revenue Bonds, Series A, Prerefunded, 5.00%, 1/01/21(e) | 500,000 | 503,845 | ||||||
Philadelphia School District GO Limited Bonds, Series A (State Aid Withholding), 4.00%, 9/01/35 | 300,000 | 345,252 | ||||||
Philadelphia School District GO Limited Refunding Bonds, Series C (State Aid Withholding), 5.00%, 9/01/33 | 500,000 | 623,680 | ||||||
Wilkes-Barre Area School District GO Limited Bonds (BAM State Aid Withholding), 5.00%, 4/15/23 | 200,000 | 220,774 | ||||||
16,831,255 | ||||||||
Puerto Rico – 0.5% | ||||||||
Puerto Rico Commonwealth Aqueduct & Sewer Authority Revenue Bonds, | 815,000 | 839,450 | ||||||
Puerto Rico Electric Power Authority Power Revenue Bonds, Series TT-RSA-1, | 65,000 | 45,013 | ||||||
5.00%, 7/01/37(i) | 240,000 | 166,200 | ||||||
Puerto Rico Electric Power Authority Power Revenue Refunding Bonds, Series ZZ-RSA-1, 5.25%, 7/01/23(i) | 175,000 | 121,187 |
See accompanying Notes to Financial Statements
124
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
Par
| Value
| |||||||
Puerto Rico (Continued) | ||||||||
Puerto Rico Sales Tax Financing Corp., Restructured TRB, Series A-1, 4.75%, 7/01/53 | $ | 215,000 | $ | 225,679 | ||||
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue CABS, Series A-1, 0.00%, 7/01/27(g) | 725,000 | 550,865 | ||||||
1,948,394 | ||||||||
Rhode Island – 0.2% | ||||||||
Rhode Island Commerce Corp., First Lien Special Facility Revenue Refunding Bonds, Rhode Island Airport Corp., International, 5.00%, 7/01/31 | 500,000 | 576,620 | ||||||
South Carolina – 0.6% | ||||||||
Connector 2000 Association, Inc. Toll Road Revenue CABS, Senior Series A-1, 0.00%, 1/01/32(g) | 400,000 | 183,208 | ||||||
South Carolina State Jobs EDA Hospital Revenue Refunding Bonds, Prisma Health Obligated Group, | 400,000 | 471,616 | ||||||
5.00%, 5/01/43 | 415,000 | 479,869 | ||||||
South Carolina State Jobs EDA Hospital Variable Revenue Bonds, Bon Secours Mercy Health, 5.00%, 10/01/25(a)(b)(c) | 850,000 | 1,011,168 | ||||||
2,145,861 | ||||||||
Tennessee – 0.9% | ||||||||
Greeneville Health & Educational Facilities Board MFH Revenue Bonds, People RD Portfolio Project, 1.45%, 12/01/21(a)(b)(c) | 500,000 | 505,955 | ||||||
Greeneville Health & Educational Facilities Board Revenue Refunding Bonds, Ballad Health Obligation Group, 5.00%, 7/01/31 | 140,000 | 152,020 |
Par
| Value
| |||||||
Tennessee (Continued) | ||||||||
Metropolitan Government Nashville & Davidson County Health & Educational Facility Board Revenue Bonds, Vanderbilt University Medical Center, 5.00%, 7/01/46 | $ | 500,000 | $ | 571,075 | ||||
Metropolitan Government Nashville & Davidson County Health & Educational Facility Board Revenue Refunding Bonds, Trevecca Nazarene University, 3.00%, 10/01/24 | 420,000 | 423,587 | ||||||
Metropolitan Government of Nashville & Davidson County Health & Education Facilities Board Revenue Bonds, Vanderbilt Medical Center, 5.00%, 7/01/40 | 400,000 | 461,672 | ||||||
Metropolitan Nashville Airport Authority Subordinate Revenue Bonds, Series B (AMT), 5.00%, 7/01/39 | 1,000,000 | 1,206,080 | ||||||
3,320,389 | ||||||||
Texas – 7.7% | ||||||||
Austin Airport System Revenue Bonds, Series A, 5.00%, 11/15/46 | 1,380,000 | 1,593,748 | ||||||
Austin Airport System Revenue Bonds, Series B (AMT), 5.00%, 11/15/32 | 100,000 | 125,189 | ||||||
Austin Convention Enterprises, Inc., Convention Center Revenue Refunding Bonds, First Tier, 5.00%, 1/01/32 | 400,000 | 406,156 | ||||||
Board of Managers Joint Guadalupe County-City of Seguin Hospital Mortgage Revenue Refunding Bonds, 5.00%, 12/01/40 | 200,000 | 209,530 | ||||||
Central Regional Mobility Authority Revenue Refunding Bonds, Series A, Senior Lien, 5.00%, 1/01/22 | 300,000 | 315,321 | ||||||
Central Regional Mobility Authority Revenue Refunding Bonds, Series A, Senior Lien, Prerefunded, 5.00%, 1/01/23(e) | 635,000 | 698,221 |
See accompanying Notes to Financial Statements
125
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
Par
| Value
| |||||||
Texas (Continued) | ||||||||
Central Texas Regional Mobility Authority Revenue Refunding Bonds, Senior Lien, Series A, 5.00%, 1/01/49 | $ | 500,000 | $ | 602,155 | ||||
Dallas Independent School District GO Unlimited Bonds, 2020-Multi-Modal (PSF, Gtd), Unrefunded Balance, 5.00%, 2/15/22(a)(b)(c) | 195,000 | 206,573 | ||||||
Dallas Texas Housing Finance Corp., Estates at Shiloh Revenue Bonds, 1.51%, 7/01/23(a)(b)(c) | 500,000 | 510,090 | ||||||
Dallas-Fort Worth International Airport Improvement Revenue Bonds, | 350,000 | 372,218 | ||||||
Dallas-Fort Worth International Airport Joint Improvement Revenue Bonds, Series C, 5.00%, 11/01/34 | 445,000 | 491,609 | ||||||
Dallas-Fort Worth International Airport Joint Revenue Refunding Bonds, Series A (AMT), 5.25%, 11/01/30 | 1,100,000 | 1,224,619 | ||||||
Dallas-Fort Worth International Airport Revenue Bonds, Series H (AMT), Prerefunded, 5.00%, 11/01/21(e) | 400,000 | 418,324 | ||||||
El Paso Texas Airport Revenue Bonds (AMT), 5.00%, 8/15/27 | 375,000 | 452,996 | ||||||
Grand Parkway Transportation Corp., System Toll Revenue Refunding Bonds, Grand Parkway System - First, 4.00%, 10/01/45 | 1,265,000 | 1,449,918 | ||||||
Harris County Cultural Education Facilities Finance Corp., Variable Revenue Bonds, Memorial Hermann Health System, | 100,000 | 108,947 | ||||||
5.00%, 12/01/24(a)(b)(c) | 1,000,000 | 1,171,800 |
Par
| Value
| |||||||
Texas (Continued) | ||||||||
Harris County Cultural Educational Facilities Finance Corp., Revenue Refunding Bonds, Hospital Memorial Hermann Health, Prerefunded, 5.00%, 12/01/22(e) | $ | 300,000 | $ | 329,052 | ||||
Harris County Cultural Educational Facilities Finance Corp., Revenue Refunding Bonds, Texas Children’s Hospital, 4.00%, 10/01/38 | 350,000 | 407,635 | ||||||
Houston Airport System Revenue Refunding Bonds (AMT), United Airlines, Inc., Improvement Projects, 5.00%, 7/15/27 | 175,000 | 183,181 | ||||||
Houston Airport System Revenue Refunding Bonds (AMT), United Airlines, Inc., Terminal, 5.00%, 7/01/27 | 125,000 | 130,849 | ||||||
Houston Airport System Revenue Refunding Bonds, Subseries D, 5.00%, 7/01/22 | 555,000 | 596,936 | ||||||
Houston Airport System Subordinate Revenue Refunding Bonds, Series B, 5.00%, 7/01/26 | 500,000 | 613,835 | ||||||
Houston Hotel Occupancy Tax & Special Revenue Refunding Bonds, Convention & Entertainment, 5.00%, 9/01/36 | 510,000 | 539,636 | ||||||
Lower Colorado River Authority Transmission Contract Revenue Refunding Bonds, LCRA Transmission Services Corp. Project, 5.00%, 5/15/35 | 250,000 | 313,895 | ||||||
Montgomery County Toll Road Authority Revenue Bonds, Senior Lien, 5.00%, 9/15/37 | 500,000 | 549,445 | ||||||
New Hope Cultural Educational Facilities Finance Corp., Retirement Facilities Revenue Refunding Bonds, Presbyterian Village North Project, 5.25%, 10/01/49 | 100,000 | 100,252 |
See accompanying Notes to Financial Statements
126
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
Par
| Value
| |||||||
Texas (Continued) | ||||||||
New Hope Cultural Educational Facilities Finance Corp., Retirement Facilities Revenue Refunding Bonds, Westminster Manor Project, 5.00%, 11/01/31 | $ | 250,000 | $ | 278,350 | ||||
North Texas Tollway Authority Revenue Refunding Bonds, Series A, 5.00%, 1/01/26 | 70,000 | 79,514 | ||||||
Northside Texas Independent School District GO Unlimited Refunding Bonds (PSF, Gtd), 1.60%, | 350,000 | 362,779 | ||||||
Northside Texas Independent School District Variable GO Unlimited Bonds (PSF, Gtd), 2.75%, 8/01/23(a)(b)(c) | 1,000,000 | 1,060,030 | ||||||
Port Beaumont Navigation District Dock & Wharf Facility Revenue Refunding Bonds (AMT), Jefferson Gulf Coast Energy Project, 4.00%, 1/01/50(d) | 375,000 | 374,344 | ||||||
San Antonio Airport System Revenue Refunding Bonds, Subordinate Lien, Series A (AMT), 5.00%, 7/01/30 | 250,000 | 308,573 | ||||||
San Antonio Housing Trust Finance Corp., MFH Variable Revenue Bonds, Majestic Ranch Apartments (FHA 221(D4) Insured), 1.40%, 1/01/22(a)(b)(c) | 1,000,000 | 1,010,140 | ||||||
San Antonio Water Variable Revenue Bonds, Series A, Junior Lien, 2.63%, 5/01/24(a)(b)(c) | 1,125,000 | 1,197,360 | ||||||
Tarrant County Cultural Education Facilities Finance Corp., Hospital Revenue Refunding Bonds, Cook Children’s Medical Center, 4.00%, 12/01/45 | 1,030,000 | 1,164,621 |
Par
| Value
| |||||||
Texas (Continued) | ||||||||
Tarrant County Cultural Education Facilities Finance Corp., Retirement Facility Revenue Refunding Bonds, Buckner Retirement Services, 5.00%, 11/15/20 | $ | 185,000 | $ | 185,211 | ||||
Tarrant County Cultural Educational Facilities Finance Corp., Revenue Refunding Bonds, Texas Health Resources System Obligation, | 400,000 | 475,364 | ||||||
5.00%, 2/15/47 | 700,000 | 814,779 | ||||||
Texas City Industrial Development Corp. Revenue Bonds, Series 2012, NRG Energy Project, 4.12%, 12/01/45 | 545,000 | 566,201 | ||||||
Texas State PFA Lease Revenue Refunding Bonds, 4.00%, 2/01/36 | 250,000 | 297,215 | ||||||
Texas State Private Activity Bond Surface Transportation Corp., Revenue Bonds (AMT), Segment 3C Project, 5.00%, 6/30/58 | 1,000,000 | 1,136,760 | ||||||
Texas State Private Activity Bond Surface Transportation Corp., Revenue Bonds (AMT), Senior Lien, Blueridge Transportation, | 500,000 | 543,955 | ||||||
5.00%, 12/31/55 | 200,000 | 216,622 | ||||||
Texas State Private Activity Bond Surface Transportation Corp., Revenue Refunding Bonds, Senior Lien, North Tarrant Express, 4.00%, 12/31/38 | 750,000 | 836,002 | ||||||
Texas State Transportation Commission Central Turnpike System Revenue Refunding Bonds, Series A, 5.00%, 8/15/39 | 750,000 | 955,777 | ||||||
Texas State Transportation Commission Central Turnpike System Subordinate Revenue Refunding Bonds, Series C, 5.00%, 8/15/42 | 100,000 | 111,609 |
See accompanying Notes to Financial Statements
127
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
Par
| Value
| |||||||
Texas (Continued) | ||||||||
Texas State Transportation Commission First Tier Toll Revenue Bonds, State Highway, 5.00%, 8/01/57 | $ | 100,000 | $ | 113,278 | ||||
Texas State Transportation Commission First Tier Toll Revenue CABS, 0.00%, 8/01/29(g) | 480,000 | 372,115 | ||||||
Texas State Water Development Board Revenue Bonds, State Water Implementation Fund, 4.00%, 10/15/38 | 510,000 | 611,816 | ||||||
27,194,545 | ||||||||
Utah – 0.4% | ||||||||
Salt Lake City Airport Revenue Bonds, Series A (AMT), 5.00%, 7/01/47 | 805,000 | 916,122 | ||||||
Utah State Housing Corp., MFH Revenue Bonds, Lincoln Apartments Project, 1.54%, 8/01/21(a)(b)(c) | 500,000 | 504,155 | ||||||
1,420,277 | ||||||||
Virginia – 3.5% | ||||||||
Botetourt County Residential Care Facility Revenue Refunding Bonds, Series A, Glebe, Inc., 4.75%, 7/01/23 | 175,000 | 179,666 | ||||||
Chesapeake Bay Bridge & Tunnel District Revenue Bonds, First Tier General Resolution (AGM Insured), 5.00%, 7/01/41 | 1,000,000 | 1,177,390 | ||||||
Chesapeake Bay Bridge & Tunnel District Revenue First Tier General Resolution Revenue BANS, 5.00%, 11/01/23 | 300,000 | 335,454 | ||||||
Chesapeake Bay Bridge & Tunnel District Revenue First Tier General Resolution Revenue Bonds, 5.00%, 7/01/51 | 750,000 | 843,570 | ||||||
Chesapeake Hospital Authority Hospital Facilities Revenue Refunding Bonds, Chesapeake Regional Medical Center, 5.00%, 7/01/31 | 500,000 | 632,075 | ||||||
Chesapeake Transportation System Senior Toll Road Revenue Bonds, Series A, 5.00%, 7/15/47 | 500,000 | 518,960 |
Par
| Value
| |||||||
Virginia (Continued) | ||||||||
Fairfax County EDA Residential Care Facilities Revenue Bonds, Series A, Vinson Hall LLC, 5.00%, 12/01/42 | $ | 180,000 | $ | 187,594 | ||||
Fairfax County EDA Residential Care Facilities Revenue Refunding Bonds, Series A, Goodwin House, Inc., 5.00%, 10/01/36 | 150,000 | 161,805 | ||||||
Fairfax County EDA Revenue Refunding Bonds, Wiehle Avenue Metrorail Station, 5.00%, 8/01/33 | 1,000,000 | 1,331,970 | ||||||
Fairfax County IDA Health Care Revenue Bonds, Inova Health System, 4.00%, 5/15/42 | 250,000 | 260,092 | ||||||
Fairfax County IDA Health Care Revenue Refunding Bonds, Inova Health System, 5.00%, 5/15/23(a)(b)(c) | 500,000 | 556,815 | ||||||
Fairfax County Water Authority Revenue Refunding Bonds, 5.00%, 4/01/45 | 500,000 | 602,815 | ||||||
Hampton Roads Transportation Accountability Commission Revenue BANS, Series A, 5.00%, 7/01/22 | 750,000 | 807,577 | ||||||
Hampton Roads Transportation Accountability Commission Revenue Bonds, Series A, Senior Lien, 5.50%, 7/01/57 | 300,000 | 371,361 | ||||||
James City County EDA Residential Care Facilities Variable Revenue Bonds, United Methodist Home, 6.00%, 6/01/43 | 63,778 | 66,017 | ||||||
Newport News Economic Development Authority Residential Care Facilities Revenue Refunding Bonds, Lifespire of Virginia, 5.00%, 12/01/38 | 200,000 | 210,794 | ||||||
Spotsylvania County EDA Housing Revenue Bonds, Palmers Creek Apartments Project (FHA 221(D4) GNMA Insured), 1.45%, 2/01/22(a)(b)(c) | 500,000 | 505,730 |
See accompanying Notes to Financial Statements
128
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
Par
| Value
| |||||||
Virginia (Continued) | ||||||||
Virginia Small Business Financing Authority Private Activity Revenue Bonds (AMT), Transform 66 P3 Project, 5.00%, 12/31/56 | $ | 50,000 | $ | 55,706 | ||||
Virginia State Small Business Financing Authority Revenue Bonds (AMT), 95 Express Lanes LLC Project, 5.00%, 7/01/49 | 600,000 | 618,318 | ||||||
Virginia State Small Business Financing Authority Revenue Bonds (AMT), Senior Lien, 95 Express Lane, 5.00%, 7/01/34 | 800,000 | 829,264 | ||||||
Virginia State Small Business Financing Authority Revenue Bonds (AMT), Senior Lien, Elizabeth River Crossings OpCo, LLC Project, | 135,000 | 141,526 | ||||||
5.00%, 1/01/27 | 250,000 | 262,542 | ||||||
Virginia State Small Business Financing Authority Revenue Bonds, Senior Lien (AMT), Express Lanes LLC, 5.00%, 7/01/34 | 225,000 | 233,231 | ||||||
Westmoreland County IDA Lease Revenue BANS, Westmoreland County High School, 2.00%, 6/01/22 | 500,000 | 508,975 | ||||||
York County EDA PCR Bonds, Series A, Electric & Power, 1.90%, 6/01/23(a)(b)(c) | 1,000,000 | 1,031,750 | ||||||
12,430,997 | ||||||||
Washington – 4.1% | ||||||||
Central Puget Sound Regional Transit Authority Sales & Use Tax Improvement Revenue Refunding Bonds, Series S-1, Green Bond, 5.00%, 11/01/31 | 1,000,000 | 1,208,190 | ||||||
Energy Electric Revenue Refunding Bonds, Columbia Generating Station, 5.00%, 7/01/36 | 1,200,000 | 1,577,196 |
Par
| Value
| |||||||
Washington (Continued) | ||||||||
King County Public Hospital District No. 1 GO Limited Tax Refunding Bonds, Valley Medical Center, 5.00%, 12/01/26 | $ | 550,000 | $ | 657,679 | ||||
King County School District No. 210 Federal Way GO Unlimited Bonds (School Board Guaranty Program), 4.00%, 12/01/33 | 500,000 | 588,370 | ||||||
King County Sewer Revenue Refunding Bonds, 5.00%, 7/01/42 | 250,000 | 305,162 | ||||||
Port of Seattle Airport Revenue Bonds Intermediate Lien (AMT), | 490,000 | 601,122 | ||||||
5.00%, 4/01/44 | 500,000 | 587,440 | ||||||
Seattle Municipal Light & Power Revenue Refunding Bonds, 4.00%, 9/01/40 | 500,000 | 552,740 | ||||||
Seattle Municipal Light & Power Variable Revenue Refunding Bonds, (SIFMA Municipal Swap Index Yield + 0.35%), 0.47%, 11/01/22(c) | 900,000 | 900,999 | ||||||
Snohomish County Housing Authority Revenue Bonds, 5.00%, 4/01/21 | 545,000 | 554,576 | ||||||
Washington State GO Unlimited Bonds, Series A-1, 5.00%, 8/01/40 | 1,000,000 | 1,187,900 | ||||||
Washington State GO Unlimited Bonds, Series C, | 350,000 | 432,068 | ||||||
5.00%, 2/01/40 | 2,000,000 | 2,574,180 | ||||||
Washington State Health Care Facilities Authority Revenue Bonds, Series A, Providence Health & Services, 4.00%, 10/01/34 | 500,000 | 519,625 | ||||||
Washington State Health Care Facilities Authority Revenue Refunding Bonds, Series B, Commonspirit Health, 5.00%, 8/01/26(a)(b)(c) | 615,000 | 728,271 | ||||||
Washington State Higher Educational Facilities Authority Revenue Bonds, Seattle University Project, 5.00%, 5/01/22 | 215,000 | 228,289 |
See accompanying Notes to Financial Statements
129
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
Par
| Value
| |||||||
Washington (Continued) | ||||||||
Washington State Higher Educational Facilities Authority Revenue Bonds, Seattle University Project, 4.00%, 5/01/50 | $ | 250,000 | $ | 268,373 | ||||
Washington State Housing Finance Commission Revenue Bonds, Columbia Park Apartments Project (FHA/GNMA Insured), 1.39%, 7/01/21(a)(b)(c) | 1,000,000 | 1,006,400 | ||||||
14,478,580 | ||||||||
West Virginia – 0.1% | ||||||||
Princeton Hospital Revenue Refunding Bonds, Princeton Community Hospital Project, 5.00%, 5/01/22 | 500,000 | 529,745 | ||||||
Wisconsin – 2.6% | ||||||||
Barneveld School District Revenue BANS, 4.00%, 3/01/24 | 500,000 | 505,300 | ||||||
Milwaukee Corp., Purpose GO Unlimited Bonds, Series B3, 4.00%, 4/01/26 | 1,000,000 | 1,111,150 | ||||||
PFA Education Revenue Bonds, North Carolina Leadership Academy, 5.00%, 6/15/49(d) | 100,000 | 102,702 | ||||||
PFA Educational Revenue Bonds, Piedmont Community Charter School, | 490,000 | 559,325 | ||||||
5.00%, 6/15/49 | 150,000 | 167,931 | ||||||
PFA Exempt Facilities Revenue Refunding Bonds (AMT), National Gypsum Co., 4.00%, 8/01/35 | 370,000 | 351,348 | ||||||
PFA Hospital Revenue Refunding Bonds, Series A, WakeMed Hospital, 4.00%, 10/01/49 | 500,000 | 541,850 | ||||||
PFA Revenue Bonds, Roseman University of Health System, 5.00%, 4/01/50(d) | 250,000 | 263,023 | ||||||
PFA Solid Waste Disposal Revenue Refunding Bonds (AMT), Waste Management, Inc., 0.30%, | 1,000,000 | 1,000,000 |
Par
| Value
| |||||||
Wisconsin (Continued) | ||||||||
Wisconsin State COPS, 5.00%, 3/01/23 | $ | 500,000 | $ | 507,405 | ||||
Wisconsin State Health & Educational Facilities Authority Revenue Bonds, Series B, Marshfield Clinic, 5.00%, 2/15/24 | 1,000,000 | 1,050,180 | ||||||
Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Beloit Health System, Inc., 5.00%, 7/01/23 | 645,000 | 717,221 | ||||||
Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Benevolent Corp., Cedar Community, 5.00%, 6/01/41 | 250,000 | 260,223 | ||||||
Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Series B1, Ascension Health Credit Group, 5.00%, 11/15/39 | 350,000 | 411,925 | ||||||
Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Series B5, 5.00%, 12/03/24(a)(b)(c) | 1,000,000 | 1,180,630 | ||||||
Wisconsin State Transportation Revenue Refunding Bonds, | 400,000 | 428,160 | ||||||
9,158,373 | ||||||||
Total Municipal Bonds | 339,600,642 | |||||||
Number
| ||||||||
Investment Companies – 0.3% |
| |||||||
iShares National Muni Bond ETF | 10,820 | 1,245,598 | ||||||
Total Investment Companies | 1,245,598 |
See accompanying Notes to Financial Statements
130
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
Number
| Value
| |||||||
Short-Term Investments – 3.0% |
| |||||||
Money Market Fund – 3.0% | ||||||||
Northern Institutional Funds - Treasury Portfolio (Premier), 0.00%(j) | 10,508,076 | $ | 10,508,076 | |||||
Total Short-Term Investments | 10,508,076 | |||||||
Total Investments – 99.4% | 351,354,316 | |||||||
Other Assets less Liabilities – 0.6% | 2,097,721 | |||||||
NET ASSETS – 100.0% | $ | 353,452,037 |
Percentages shown are based on Net Assets.
(a) | Maturity date represents the puttable date. |
(b) | These securities are remarketed by an agent, and the interest rate is determined by general market conditions and supply and demand. |
(c) | Variable rate security. Rate as of October 31, 2020 is disclosed. |
(d) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees of Morningstar Funds Trust. |
(e) | Maturity date represents the prerefunded date. |
(f) | When-Issued Security. Coupon rate was not yet in effect at October 31, 2020. |
(g) | Zero coupon bond. |
(h) | Rate is determined by a Remarketing Agent which, in its judgment, on the basis of prevailing financial markets, will be the lowest interest rate necessary to enable the remarketing agent to sell the bonds at a price equal to 100% of the principal amount. |
(i) | Issuer has defaulted on terms of debt obligation. Income is not being accrued. |
(j) | 7-day current yield as of October 31, 2020 is disclosed. |
Abbreviations: | ||
1M | 1 Month | |
3M | 3 Month | |
AGM | Assured Guarantee Municipal Corporation | |
AMBAC | American Municipal Bond Assurance Corporation | |
AMT | Alternative Minimum Tax | |
BAM | Build America Mutual | |
BANS | Bond Anticipation Notes | |
CABS | Capital Appreciation Bonds | |
COPS | Certificates of Participation | |
EDA | Economic Development Authority | |
ETF | Exchange-Traded Fund | |
FHA | Federal Housing Administration | |
FHLMC | Federal Home Loan Mortgage Corporation | |
FNMA | Federal National Mortgage Association | |
GNMA | Government National Mortgage Association | |
GO | Government Obligation | |
Gtd | Guaranteed | |
HFA | Housing Finance Authority | |
IBC | Insured Bond Certificates | |
IDA | Industrial Development Authority | |
LIBOR | London Interbank Offered Rate |
See accompanying Notes to Financial Statements
131
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
LLC | Limited Liability Company | |
LOC | Letter of Credit | |
MFH | Multifamily Housing | |
NATL | National Public Finance Guarantee Corporation | |
PCR | Pollution Control Revenue | |
PFA | Public Finance Authority | |
PSF | Permanent School Fund | |
SFM | Single Family Mortgage | |
SIFMA | Securities Industry and Financial Markets Association | |
TRB | Tax Revenue Bonds | |
USD | United States Dollar |
| ||||
Municipal Issue Type (%)(a) | ||||
Revenue Bonds | 81.0 | |||
General Obligation Unlimited Bonds | 8.9 | |||
General Obligation Limited Bonds | 3.0 | |||
Certificates of Participation | 1.2 | |||
Revenue Notes | 1.1 | |||
Tax Allocation Bonds | 0.3 | |||
General Obligation Limited Notes | 0.3 | |||
Special Assessment Bonds | 0.2 | |||
Special Tax Bonds | 0.1 | |||
| ||||
Total | 96.1 | |||
|
(a) | Percentages shown are based on net assets, excludes Investment Companies, Short-Term Investments and Other. |
Valuation Hierarchy
The following is a summary of the inputs used, as of October 31, 2020, in valuing the Fund’s investments carried at fair value:
Morningstar Municipal Bond Fund | Level 1 | Level 2 | Level 3 | Totals | ||||||||||||
Investments | ||||||||||||||||
Municipal Bonds | $ | — | $ | 339,600,642 | $— | $ | 339,600,642 | |||||||||
Investment Companies | 1,245,598 | — | — | 1,245,598 | ||||||||||||
Short-Term Investments | 10,508,076 | — | — | 10,508,076 | ||||||||||||
Total Investments | $ | 11,753,674 | $ | 339,600,642 | $— | $ | 351,354,316 |
See accompanying Notes to Financial Statements
132
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments
Morningstar Defensive Bond Fund
|
Par
| Value
| |||||||
Asset-Backed Securities – 36.0% |
| |||||||
Automobile – 8.2% | ||||||||
Ally Auto Receivables Trust, Series 2019-1, Class A4, 3.02%, 4/15/24 | $ | 308,000 | $ | 320,642 | ||||
American Credit Acceptance Receivables Trust, | 160,000 | 163,770 | ||||||
Series 2020-4, Class B, 0.85%, 12/13/24(a) | 264,000 | 264,120 | ||||||
Series 2020-3, Class C, 1.85%, 6/15/26(a) | 392,000 | 396,957 | ||||||
Series 2020-4, Class C, 1.31%, 12/14/26(a) | 433,000 | 433,341 | ||||||
ARI Fleet Lease Trust, Series 2018-B, Class A3, 3.43%, 8/16/27(a) | 302,000 | 312,731 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2019-1A, Class A, 3.45%, 3/20/23(a) | 302,000 | 308,967 | ||||||
Series 2017-1A, Class A, 3.07%, 9/20/23(a) | 643,000 | 659,957 | ||||||
Series 2017-2A, Class A, 2.97%, 3/20/24(a) | 322,000 | 331,504 | ||||||
Carmax Auto Owner Trust, | 240,000 | 253,878 | ||||||
Series 2019-3, Class A3, 2.18%, 8/15/24 | 479,000 | 489,799 | ||||||
Series 2019-1, Class B, 3.45%, 11/15/24 | 129,000 | 136,292 | ||||||
Chesapeake Funding II LLC, | 43,731 | 43,820 | ||||||
Series 2017-4A, Class C, 2.76%, 11/15/29(a) | 142,000 | 143,756 | ||||||
Series 2019-1A, Class B, 3.11%, 4/15/31(a) | 324,000 | 335,198 | ||||||
Series 2020-1A, Class C, 2.14%, 8/16/32(a) | 159,000 | 159,290 | ||||||
DT Auto Owner Trust, | 135,000 | 134,980 | ||||||
Series 2020-2A, Class B, 2.08%, 3/16/26(a) | 163,000 | 166,337 | ||||||
Series 2020-3A, Class C, | ||||||||
1.47%, 6/15/26(a) | 149,000 | 149,594 | ||||||
Enterprise Fleet Financing LLC, Series 2020-1, Class A2, 1.78%, 12/22/25(a) | 262,000 | 265,706 |
Par
| Value
| |||||||
Automobile (Continued) | ||||||||
Exeter Automobile Receivables Trust, | $ | 265,000 | $ | 268,942 | ||||
Series 2020-3A, Class B, 0.79%, 9/16/24 | 192,000 | 192,227 | ||||||
Series 2020-3A, Class C, 1.32%, 7/15/25 | 137,000 | 137,279 | ||||||
Ford Credit Auto Lease Trust, | 292,000 | 297,817 | ||||||
Series 2020-A, Class A4, 1.88%, 5/15/23 | 158,000 | 161,432 | ||||||
Series 2020-B, Class C, 1.70%, 2/15/25 | 149,000 | 149,946 | ||||||
Ford Credit Auto Owner Trust, Series 2019-A, Class A4, 2.85%, 8/15/24 | 324,000 | 339,704 | ||||||
GM Financial Automobile Leasing Trust, | 594,000 | 605,551 | ||||||
Series 2020-1, Class B, 1.84%, 12/20/23 | 133,000 | 135,416 | ||||||
Honda Auto Receivables Owner Trust, | 505,000 | 516,363 | ||||||
Series 2019-1, Class A4, 2.90%, 6/18/24 | 302,000 | 314,480 | ||||||
Series 2019-2, Class A4, 2.54%, 3/21/25 | 605,000 | 631,067 | ||||||
Hyundai Auto Lease Securitization Trust, Series 2020-A, Class B, 2.12%, 5/15/24(a) | 157,000 | 160,919 | ||||||
Mercedes-Benz Auto Lease Trust, Series 2020-A, Class A4, 1.88%, 9/15/25 | 793,000 | 811,394 | ||||||
Nissan Auto Lease Trust, | 537,000 | 546,286 | ||||||
Series 2020-A, Class A4, 1.88%, 4/15/25 | 256,000 | 261,642 | ||||||
Nissan Auto Receivables Owner Trust, | 318,000 | 325,403 | ||||||
Series 2018-B, Class A4, 3.16%, 12/16/24 | 245,000 | 255,228 | ||||||
Series 2019-A, Class A4, 3.00%, 9/15/25 | 308,000 | 323,968 |
See accompanying Notes to Financial Statements
133
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Defensive Bond Fund
Par
| Value
| |||||||
Automobile (Continued) | ||||||||
Prestige Auto Receivables Trust, | $ | 156,000 | $ | 158,897 | ||||
Series 2020-1A, Class B, 0.77%, 10/15/24(a) | 164,000 | 163,979 | ||||||
Santander Consumer Auto Receivables Trust, Series 2020-AA, Class B, 2.26%, 12/15/25(a) | 312,000 | 322,982 | ||||||
Santander Drive Auto Receivables Trust, Series 2020-2, Class B, 0.96%, 11/15/24 | 194,000 | 194,780 | ||||||
Series 2020-3, Class C, 1.12%, 1/15/26 | 423,000 | 423,759 | ||||||
Toyota Auto Receivables Owner Trust, | 119,000 | 121,090 | ||||||
Series 2019-A, Class A4, 3.00%, 5/15/24 | 308,000 | 323,485 | ||||||
Series 2020-A, Class A3, 1.66%, 5/15/24 | 554,000 | 565,810 | ||||||
Volkswagen Auto Lease Trust, | 176,000 | 179,001 | ||||||
Series 2019-A, Class A4, 2.02%, 8/20/24 | 143,000 | 145,798 | ||||||
Westlake Automobile Receivables Trust, Series 2020-1A, Class C, 2.52%, 4/15/25(a) | 761,000 | 781,578 | ||||||
Series 2020-2A, Class C, 2.01%, 7/15/25(a) | 220,000 | 224,099 | ||||||
Series 2020-3A, Class B, 0.78%, 11/17/25(a) | 330,000 | 329,991 | ||||||
Series 2020-3A, Class C, 1.24%, 11/17/25(a) | 155,000 | 155,314 | ||||||
Wheels SPV 2 LLC, Series 2019-1A, Class A3, 2.35%, 5/22/28(a) | 621,000 | 639,332 | ||||||
World Omni Auto Receivables Trust, | 412,000 | 420,088 | ||||||
Series 2019-C, Class A3, 1.96%, 12/16/24 | 704,000 | 720,345 | ||||||
Series 2019-A, Class B, 3.34%, 6/16/25 | 304,000 | 320,797 |
Par
| Value
| |||||||
Automobile (Continued) | ||||||||
World Omni Automobile Lease Securitization Trust, | $ | 194,000 | $ | 198,284 | ||||
Series 2019-B, Class B, 2.13%, 2/18/25 | 109,000 | 110,933 | ||||||
18,406,045 | ||||||||
Automobile Floor Plan – 0.5% | ||||||||
Navistar Financial Dealer Note Master Trust, Series 2020-1, Class C, (1M USD LIBOR + 2.15%), 2.30%, 7/25/25(a)(b) | 457,000 | 459,671 | ||||||
NextGear Floorplan Master Owner Trust, Series 2018-2A, Class A2, 3.69%, 10/15/23(a) | 204,000 | 209,963 | ||||||
Series 2019-1A, Class A2, 3.21%, 2/15/24(a) | 302,000 | 311,961 | ||||||
Series 2019-2A, Class A2, 2.07%, 10/15/24(a) | 263,000 | 269,980 | ||||||
| 1,251,575
|
| ||||||
Commercial Mortgage-Backed Securities – 3.8% |
| |||||||
Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class A4, 3.02%, 9/10/45 | 136,275 | 139,356 | ||||||
Series 2013-GC11, Class A3, 2.81%, 4/10/46 | 471,866 | 488,772 | ||||||
Commercial Mortgage Trust, | 148,000 | 152,714 | ||||||
Series 2012-CCRE5, Class A3, 2.54%, 12/10/45 | 475,745 | 483,752 | ||||||
Series 2013-LC6, Class A4, 2.94%, 1/10/46 | 320,949 | 332,929 | ||||||
Series 2013-CCRE7, Class A4, 3.21%, 3/10/46 | 497,817 | 519,320 | ||||||
Series 2015-CCRE22, Class A3, 3.21%, 3/10/48 | 81,000 | 82,732 |
See accompanying Notes to Financial Statements
134
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Defensive Bond Fund
Par
| Value
| |||||||
Commercial Mortgage-Backed Securities (Continued) |
| |||||||
GS Mortgage Securities Corp. Trust, | $ | 588,000 | $ | 592,545 | ||||
Hawaii Hotel Trust, Series 2019-MAUI, | 616,000 | 564,707 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | 245,000 | 243,538 | ||||||
Series 2012-HSBC, Class A, 3.09%, | 525,270 | 535,903 | ||||||
Series 2012-C8, Class AS, 3.42%, | 313,000 | 322,256 | ||||||
Series 2015-C30, Class ASB, 3.56%, 7/15/48 | 529,116 | 556,801 | ||||||
RETL, Series 2019-RVP, Class B, (1M USD LIBOR + 1.55%, 1.55% Floor), 1.70%, 3/15/36(a)(b) | 171,523 | 162,848 | ||||||
UBS Commercial Mortgage Trust, Series 2012-C1, Class A3, 3.40%, 5/10/45 | 438,310 | 447,162 | ||||||
VCC Trust, Series 2020-MC1, Class A, 4.50%, 6/25/45(a) | 344,496 | 342,330 | ||||||
VNDO Mortgage Trust, | 55,000 | 56,616 | ||||||
Series 2012-6AVE, Class B, 3.30%, 11/15/30(a) | 775,000 | 796,728 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2012-LC5, Class A3, 2.92%, 10/15/45 | 333,480 | 343,326 | ||||||
WFRBS Commercial Mortgage Trust, | 124,000 | 129,071 | ||||||
Series 2013-C11, Class A3, 2.70%, 3/15/45 | 69,905 | 71,274 |
Par
| Value
| |||||||
Commercial Mortgage-Backed Securities (Continued) |
| |||||||
WFRBS Commercial Mortgage Trust, Series 2012-C8, Class A3, 3.00%, 8/15/45 | $ | 617,000 | $ | 634,486 | ||||
Series 2012-C9, Class A3, 2.87%, 11/15/45 | 682,488 | 698,915 | ||||||
| 8,698,081
|
| ||||||
Credit Card – 1.1% | ||||||||
American Express Credit Account Master Trust, | 760,000 | 787,569 | ||||||
Series 2019-2, Class A, 2.67%, 11/15/24 | 152,000 | 157,446 | ||||||
Series 2019-2, Class B, 2.86%, 11/15/24 | 551,000 | 569,658 | ||||||
Capital One Multi-Asset Execution Trust, Series 2019-2, Class A2, 1.72%, 8/15/24 | 24,000 | 24,618 | ||||||
Synchrony Card Funding LLC, | 296,000 | 305,660 | ||||||
Series 2019-A2, Class A, 2.34%, 6/15/25 | 622,000 | 641,513 | ||||||
| 2,486,464
|
| ||||||
Other – 21.2% | ||||||||
ABPCI Direct Lending Fund IX LLC, Series 2020-9A, Class A1, 11/18/31(a)(c)(d) | 304,000 | 303,994 | ||||||
AGL CLO 6 Ltd., Series 2020-6A, Class E, (3M USD LIBOR + 7.48%, 7.48% Floor), 7.73%, 7/20/31(a)(b)(c) | 250,000 | 239,518 | ||||||
AGL CLO 7 Ltd., Series 2020-7A, Class A1, (3M USD LIBOR + 1.80%, 1.80% Floor), 2.05%, 7/15/31(a)(b) | 771,000 | 772,544 | ||||||
Ascentium Equipment Receivables, Series 2019-2A, Class A3, 2.19%, 11/10/26(a) | 423,000 | 433,093 | ||||||
Battalion CLO 18 Ltd., | ||||||||
Series 2020-18A, Class A1, (3M USD LIBOR + 1.80%, 1.80% Floor), 2.03%, 10/15/32(a)(b) | 390,000 | 385,043 |
See accompanying Notes to Financial Statements
135
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Defensive Bond Fund
Par
| Value
| |||||||
Other (Continued) | ||||||||
BlueMountain CLO Ltd., Series 2012-2A, Class AR2, (3M USD LIBOR + 1.05%, 1.05% Floor), 1.30%, 11/20/28(a)(b) | $ | 300,000 | $ | 297,832 | ||||
CARS-DB4 L.P., Series 2020-1A, Class A1, 2.69%, 2/15/50(a) | 153,975 | 158,170 | ||||||
Cayuga Park CLO Ltd., Series 2020-1A, Class E, (3M USD LIBOR + 7.33%, 7.33% Floor), 7.56%, 7/17/31(a)(b)(c) | 434,000 | 430,788 | ||||||
Cerberus Loan Funding XXI L.P., Series 2017-4A, Class A, (3M USD LIBOR + 1.45%, 1.45% Floor), 1.72%, 10/15/27(a)(b) | 393,125 | 390,703 | ||||||
Cerberus Loan Funding XXIII L.P., Series 2018-2A, Class A, (3M USD LIBOR + 1.00%, 1.00% Floor), 1.24%, 4/15/28(a)(b) | 316,185 | 313,227 | ||||||
Cerberus Loan Funding XXIX L.P., Series 2020-2A, Class A, 10/15/32(a)(c)(d) | 939,000 | 939,000 | ||||||
Cerberus Loan Funding XXV L.P., Series 2018-4RA, Class A1TR, (3M USD LIBOR + 1.53%, 1.53% Floor), 1.77%, 10/15/30(a)(b) | 797,000 | 782,576 | ||||||
Cerberus Loan Funding XXVIII L.P., | 825,000 | 818,140 | ||||||
Series 2020-1A, Class D, (3M USD LIBOR + 5.30%, 5.30% Floor), 5.51%, 10/15/31(a)(b) | 764,000 | 763,989 | ||||||
CIFC Funding Ltd., | 300,000 | 297,925 | ||||||
Series 2020-2A, Class E, (3M USD LIBOR + 7.64%, 7.64% Floor), 7.92%, 8/24/32(a)(b)(c) | 686,000 | 672,901 | ||||||
Coinstar Funding LLC, Series 2017-1A, Class A2, 5.22%, 4/25/47(a) | 895,520 | 850,799 |
Par
| Value
| |||||||
Other (Continued) | ||||||||
Conn’s Receivables Funding LLC, Series 2020-A, Class B, 4.27%, 6/16/25(a) | $ | 304,000 | $ | 303,987 | ||||
CoreVest American Finance Trust, Series 2018-1, Class A, 3.80%, 6/15/51(a) | 292,394 | 305,836 | ||||||
Daimler Trucks Retail Trust, Series 2019-1, Class A4, 2.79%, 5/15/25(a) | 603,000 | 621,878 | ||||||
Dell Equipment Finance Trust, | 336,000 | 354,023 | ||||||
Series 2019-1, Class B, 2.94%, 3/22/24(a) | 606,000 | 620,971 | ||||||
Series 2019-2, Class A3, 1.91%, 10/22/24(a) | 147,000 | 149,719 | ||||||
Series 2019-2, Class B, 2.06%, 10/22/24(a) | 198,000 | 202,239 | ||||||
Series 2020-2, Class D, 1.92%, 3/23/26(a) | 255,000 | 255,149 | ||||||
Elm Trust, | 134,000 | 134,590 | ||||||
Series 2020-3A, Class B, 4.48%, 8/20/29(a) | 332,000 | 332,895 | ||||||
Series 2020-4A, Class A2, 2.29%, 10/20/29(a) | 113,000 | 112,987 | ||||||
Series 2020-4A, Class B, 3.87%, 10/20/29(a) | 338,000 | 337,947 | ||||||
Finance of America HECM Buyout, | 104,000 | 104,374 | ||||||
Series 2020-HB2, Class A, 1.71%, 7/25/30(a) | 648,859 | 650,120 | ||||||
Series 2019-AB1, Class A, 2.66%, 12/27/49(a) | 237,983 | 238,826 | ||||||
Fortress Credit Opportunities IX CLO Ltd., Series 2016-7A, Class BR, (3M USD LIBOR + 2.45%, 2.45% Floor), 2.70%, 12/15/28(a)(b) | 395,000 | 380,177 | ||||||
Series 2017-9A, Series A1T, (3M USD LIBOR + 1.55%), 1.83%, 11/15/29(a)(b) | 569,000 | 563,464 |
See accompanying Notes to Financial Statements
136
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Defensive Bond Fund
Par
| Value
| |||||||
Other (Continued) | ||||||||
Fortress Credit Opportunities IX CLO Ltd., Series 2017-9A, Class AFR2, 2.53%, 11/15/29(a) | $ | 272,000 | $ | 271,645 | ||||
Fortress Credit Opportunities VII CLO Ltd., Series 2016-7I, Class E, (3M USD LIBOR + 7.49%), 7.74%, 12/15/28(b) | 302,000 | 280,600 | ||||||
Fortress Credit Opportunities XIII CLO Ltd., Series 2020-13A, Class A, (3M USD LIBOR + 2.25%, 2.25% Floor), 2.49%, 7/15/28(a)(b) | 636,763 | 638,476 | ||||||
Series 2020-13A, Class C, (3M USD LIBOR + 4.00%, 4.00% Floor), 4.24%, | 289,000 | 278,681 | ||||||
Series 2020-13A, Class D, (3M USD LIBOR + 4.05%, 4.05% Floor), 4.29%, | 578,000 | 531,791 | ||||||
Golub Capital BDC CLO 4 LLC, Series 2020-1A, Class A1, (3M USD LIBOR + 2.35%, 2.35% Floor), 2.55%, 11/05/32(a)(b) | 761,000 | 766,179 | ||||||
Golub Capital Partners CLO Ltd., Series 2020-49A, Class A1, (3M USD LIBOR + 2.50%, 2.50% Floor), 2.78%, 7/20/32(a)(b) | 319,000 | 322,418 | ||||||
GreatAmerica Leasing Receivables Funding LLC, | 192,000 | 196,073 | ||||||
Series 2018-1, Class B, 2.99%, 6/17/24(a) | 306,000 | 312,872 | ||||||
Series 2019-1, Class A4, 3.21%, 2/18/25(a) | 302,000 | 316,945 | ||||||
Series 2019-1, Class B, 3.37%, 2/18/25(a) | 308,000 | 325,401 | ||||||
Hercules Capital Funding Trust, | 695,000 | 700,812 | ||||||
Series 2019-1A, Class A, 4.70%, 2/20/28(a) | 450,000 | 453,820 | ||||||
HPEFS Equipment Trust, | 100,000 | 101,795 | ||||||
Series 2020-1A, Class C, 2.03%, 2/20/30(a) | 334,000 | 338,194 |
Par
| Value
| |||||||
Other (Continued) | ||||||||
HPEFS Equipment Trust, Series 2020-2A, | $ | 289,000 | $ | 292,058 | ||||
InSite Issuer LLC, Series 2020-1A, Class C, 4.21%, 9/15/50(a) | 102,000 | 101,804 | ||||||
Ivy Hill Middle Market Credit Fund IX Ltd., Series 9A, Class CR, (3M USD LIBOR + 2.35%), 2.57%, 1/18/30(a)(b) | 778,000 | 735,056 | ||||||
Ivy Hill Middle Market Credit Fund X Ltd., Series 10A, Class A1AR, (3M USD LIBOR + 1.25%), 1.47%, 7/18/30(a)(b) | 273,000 | 267,895 | ||||||
John Deere Owner Trust, Series 2019-A, Class A4, 3.00%, 1/15/26 | 299,000 | 312,426 | ||||||
Kayne CLO 8 Ltd., Series 2020-8A, Class E, (3M USD LIBOR + 7.15%, 7.15% Floor), 7.39%, 7/15/31(a)(b)(c) | 859,000 | 766,064 | ||||||
MelTel Land Funding LLC, Series 2019-1A, Class C, 6.07%, 4/15/49(a) | 188,000 | 195,777 | ||||||
MMAF Equipment Finance LLC, Series 2017-B, Class A4, 2.41%, 11/15/24(a) | 595,000 | 607,894 | ||||||
Nationstar HECM Loan Trust, | 606,000 | 609,405 | ||||||
Series 2019-2A, Class M1, 2.36%, 11/25/29(a) | 100,000 | 101,071 | ||||||
Series 2020-1A, Class A1, 1.27%, 9/25/30(a) | 810,390 | 810,570 | ||||||
Series 2020-1A, Class M1, 1.47%, 9/25/30(a) | 230,000 | 229,714 | ||||||
Series 2020-1A, Class M2, 1.97%, 9/25/30(a) | 206,000 | 205,673 | ||||||
NRZ Advance Receivables Trust, | 292,000 | 292,262 | ||||||
Series 2020-T2, Class AT2, 1.48%, 9/15/53(a) | 930,000 | 931,553 |
See accompanying Notes to Financial Statements
137
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Defensive Bond Fund
Par
| Value
| |||||||
Other (Continued) | ||||||||
NRZ Excess Spread-Collateralized Notes, Series 2018-PLS1, Class A, 3.19%, | $ | 419,352 | $ | 420,472 | ||||
Series 2018-FNT1, Class A, 3.61%, | 316,443 | 316,450 | ||||||
Octagon Investment Partners 46 Ltd., Series 2020-2A, Class E, (3M USD LIBOR + 7.86%, 7.86% Floor), 8.11%, 7/15/33(a)(b)(c) | 853,000 | 852,869 | ||||||
Ocwen Master Advance Receivables Trust, Series 2020-T1, Class AT1, 1.28%, | 814,000 | 816,586 | ||||||
OHA Credit Funding 6 Ltd., Series 2020-6A, Class E, (3M USD LIBOR + 7.33%, 7.33% Floor), 7.58%, 7/20/31(a)(b)(c) | 582,000 | 559,075 | ||||||
Owl Rock CLO III Ltd., Series 2020-3A, Class A1L, (3M USD LIBOR + 1.80%), 2.07%, 4/20/32(a)(b) | 400,000 | 393,658 | ||||||
Parliament Funding II Ltd., Series 2020-1A, Class A, (3M USD LIBOR + 2.45%, 2.45% Floor), 2.76%, 8/12/30(a)(b) | 426,000 | 420,243 | ||||||
PFS Financing Corp., | 405,000 | 416,888 | ||||||
Series 2019-A, Class A2, 2.86%, 4/15/24(a) | 603,000 | 618,032 | ||||||
Series 2019-A, Class B, 3.13%, 4/15/24(a) | 603,000 | 614,393 | ||||||
Series 2020-F, Class A, 0.93%, 8/15/24(a) | 186,000 | 186,497 | ||||||
Series 2020-F, Class B, 1.42%, 8/15/24(a) | 100,000 | 100,008 | ||||||
Series 2020-A, Class B, 1.77%, 6/15/25(a) | 881,000 | 892,377 | ||||||
Series 2020-E, Class B, 1.57%, 10/15/25(a) | 465,000 | 464,875 | ||||||
Silvermore CLO Ltd., Series 2014-1A, Class A1R, (3M USD LIBOR + 1.17%), 1.45%, 5/15/26(a)(b) | 79,879 | 79,706 | ||||||
Sound Point CLO XII Ltd., Series 2016-2A, Class AR, (3M USD LIBOR + 1.29%, 1.29% Floor), 1.51%, 10/20/28(a)(b) | 301,000 | 299,741 |
Par
| Value
| |||||||
Other (Continued) | ||||||||
Sound Point CLO XVII, | $ | 263,000 | $ | 260,499 | ||||
Series 2017-3A, Class A1B, (3M USD LIBOR + 1.22%), 1.44%, 10/20/30(a)(b) | 263,000 | 260,499 | ||||||
SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.97%, 9/25/37(a) | 685,334 | 688,460 | ||||||
Stratus CLO Ltd., Series 2020-2A, Class D, (3M USD LIBOR + 3.65%, 3.65% Floor), 3.92%, 10/15/28(a)(b) | 448,000 | 448,165 | ||||||
Telos CLO Ltd., Series 2014-5A, Class A1R, (3M USD LIBOR + 0.95%, 0.95% Floor), 1.17%, 4/17/28(a)(b) | 181,443 | 180,215 | ||||||
Towd Point Mortgage Trust, | 538,718 | 553,102 | ||||||
Series 2018-2, Class A1, 3.25%, 3/25/58(a) | 521,694 | 545,616 | ||||||
Trinitas CLO V Ltd., Series 2016-5A, Class AR, (3M USD LIBOR + 1.39%, 1.39% Floor), 1.60%, 10/25/28(a)(b) | 371,389 | 369,227 | ||||||
TVEST LLC, Series 2020-A, Class A, 4.50%, 7/15/32(a) | 283,772 | 283,963 | ||||||
VCAT LLC, Series 2020-NPL1, Class A1, (Step to 6.67% on 9/25/23), 3.67%, 8/25/50(a)(e) | 399,901 | 403,507 | ||||||
VCO CLO LLC, Series 2018-1A, Class A, (3M USD LIBOR + 1.50%, 1.50% Floor), 1.77%, 7/20/30(a)(b) | 268,461 | 266,019 | ||||||
Venture XVII CLO Ltd., Series 2014-17A, Class ARR, (3M USD LIBOR + 0.88%), 1.12%, 4/15/27(a)(b) | 540,423 | 540,186 | ||||||
Venture XXIX CLO Ltd., Series 2017-29A, Class A, (3M USD LIBOR + 1.28%), 1.56%, 9/07/30(a)(b) | 324,000 | 321,563 |
See accompanying Notes to Financial Statements
138
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Defensive Bond Fund
Par
| Value
| |||||||
Other (Continued) | ||||||||
Venture XXV CLO Ltd., Series 2016-25A, Class AR, (3M USD LIBOR + 1.23%), 1.45%, 4/20/29(a)(b) | $ | 335,000 | $ | 332,902 | ||||
Vericrest Opportunity Loan Trust, Series 2020-NPL6, Class A1A, (Step to 6.97% on 10/25/23), 3.97%, 4/25/50(a)(e) | 213,089 | 213,253 | ||||||
Verizon Owner Trust, | 276,000 | 285,624 | ||||||
Series 2019-A, Class B, 3.02%, 9/20/23 | 585,000 | 605,161 | ||||||
Series 2019-B, Class A1A, 2.33%, 12/20/23 | 71,000 | 72,602 | ||||||
Series 2019-B, Class B, 2.40%, 12/20/23 | 605,000 | 624,790 | ||||||
Series 2019-C, Class A1A, 1.94%, 4/22/24 | 759,000 | 776,444 | ||||||
Series 2019-C, Class B, 2.06%, 4/22/24 | 375,000 | 385,981 | ||||||
VOLT XCI LLC, Series 2020-NPL7, Class A1, (Step to 1.02% on 4/25/21), 3.10%, | 527,000 | 526,962 | ||||||
Volvo Financial Equipment LLC, Series 2019-1A, Class A4, 3.13%, 11/15/23(a) | 302,000 | 314,710 | ||||||
Voya CLO Ltd., Series 2020-2A, Class E, (3M USD LIBOR + 7.85%, 7.85% Floor), 8.03%, 7/19/31(a)(b)(c) | 928,000 | 927,814 | ||||||
Wellfleet CLO Ltd., Series 2016-1A, Class AR, (3M USD LIBOR + 0.91%), 1.13%, | 268,643 | 266,364 | ||||||
West CLO Ltd., Series 2014-2A, Series A1BR, 2.72%, 1/16/27(a) | 57,373 | 57,348 | ||||||
Whitebox CLO II Ltd., Series 2020-2A, Class A1, (3M USD LIBOR + 1.75%, 1.75% Floor), 1.99%, 10/24/31(a)(b) | 963,000 | 962,981 | ||||||
Woodmont Trust, Series 2017-1A, Class A1R, (3M USD LIBOR + 2.00%, 2.00% Floor), 2.22%, 10/18/32(a)(b) | 959,000 | 955,404 |
Par
| Value
| |||||||
Other (Continued) | ||||||||
Zais CLO 14 Ltd., Series 2020-14A, Class A1A, (3M USD LIBOR + 1.40%, 1.40% Floor), 1.64%, 4/15/32(a)(b) | $ | 697,000 | $ | 682,303 | ||||
Zais CLO 7 Ltd., Series 2017-2A, Class A, (3M USD LIBOR + 1.29%), 1.53%, 4/15/30(a)(b) | 311,757 | 306,643 | ||||||
47,684,525 | ||||||||
Whole Loan – 1.2% | ||||||||
BRAVO Residential Funding Trust, Series 2019-1, Class A1C, 3.50%, 3/25/58(a) | 356,623 | 367,744 | ||||||
CIM Trust, | 192,587 | 196,756 | ||||||
Series 2018-R3, Class A1, 5.00%, 12/25/57(a) | 391,849 | 416,618 | ||||||
PRPM LLC, | 569,961 | 570,070 | ||||||
Series 2020-5, Class A1, (Step to 6.10% on 11/25/23), 3.10%, 11/25/25(a)(e) | 569,000 | 568,990 | ||||||
RCO V Mortgage LLC, Series 2020-1, Class A1, (Step to 6.11% on 7/25/23), 3.10%, 9/25/25(a)(e) | 521,998 | 522,101 | ||||||
2,642,279 | ||||||||
Total Asset-Backed Securities (Cost $80,256,122) | 81,168,969 | |||||||
| Number of Shares
|
| ||||||
Common Stocks – 0.1% | ||||||||
Oil & Gas Services – 0.1% | ||||||||
PHI Group, Inc.(f)* | 30,348 | 216,988 | ||||||
Total Common Stocks | 216,988 |
See accompanying Notes to Financial Statements
139
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Defensive Bond Fund
Par
| Value
| |||||||
Corporate Bonds – 1.5% | ||||||||
Airlines – 0.3% | ||||||||
American Airlines Pass Through Trust, Series 2016-1, Class A, 4.10%, 1/15/28 | $ | 398,207 | $ | 298,561 | ||||
Series 2016-2, Class A, 3.65%, 6/15/28 | 533,312 | 396,535 | ||||||
695,096 | ||||||||
Coal – 0.2% | ||||||||
Natural Resource Partners L.P./NRP Finance Corp., 9.12%, 6/30/25(a) | 391,000 | 348,968 | ||||||
Commercial Services – 0.4% | ||||||||
StoneMor Partners L.P./Cornerstone Family Services of West Virginia Subsidiary, 11.50%, 6/30/24(g) | 823,955 | 815,715 | ||||||
Food Service – 0.1% | ||||||||
Aramark Services, Inc., 6.38%, 5/01/25(a) | 159,000 | 166,772 | ||||||
Housewares – 0.0%(h) | ||||||||
CD&R Smokey Buyer, Inc., 6.75%, | 73,000 | 77,015 | ||||||
Investment Management Companies – 0.2% |
| |||||||
Golub Capital BDC, Inc., 3.38%, 4/15/24 | 513,000 | 511,642 | ||||||
Leisure Time – 0.1% | ||||||||
Royal Caribbean Cruises Ltd., 11.50%, 6/01/25(a) | 274,000 | 313,388 | ||||||
Telecommunications – 0.2% | ||||||||
Consolidated Communications, Inc., 6.50%, 10/01/28(a) | 381,000 | 391,478 | ||||||
Frontier Communications Corp., 5.88%, 10/15/27(a) | 137,000 | 140,411 | ||||||
531,889 | ||||||||
Total Corporate Bonds | 3,460,485 | |||||||
Foreign Issuer Bonds – 0.3% |
| |||||||
Canada – 0.2% | ||||||||
Air Canada Pass Through Trust, Series 2020-1, Class C, 10.50%, 7/15/26(a) | 470,000 | 481,457 |
Par
| Value
| |||||||
Ireland – 0.1% | ||||||||
Cimpress PLC, 7.00%, 6/15/26(a) | $ | 175,000 | $ | 174,125 | ||||
Total Foreign Issuer Bonds | 655,582 | |||||||
Term Loans – 2.2%(b) | ||||||||
Advertising – 0.5% | ||||||||
ABG Intermediate Holdings 2 LLC, Amendment No. 5 Incremental Term Loan, (3M USD LIBOR + 5.25%, 1.00% Floor), 5.40%, 9/27/24 | 200,000 | 198,000 | ||||||
ABG Intermediate Holdings 2 LLC, Initial Term Loan, (3M USD LIBOR + 3.50%, 1.00% Floor), 4.50%, 9/27/24(a) | 473,657 | 461,986 | ||||||
CB Poly Investments LLC, Closing Date Term Loan, (3M USD LIBOR + 4.50%, 1.00% Floor), 5.50%, 8/16/23 | 375,855 | 318,537 | ||||||
978,523 | ||||||||
Airlines – 0.1% | ||||||||
Delta Air Lines, Inc., Term Loan, (3M USD LIBOR + 4.75%, 1.00% Floor), 5.75%, 4/29/23 | 165,585 | 164,655 | ||||||
Commercial Services – 0.3% | ||||||||
MediaCo Holding, Inc., Term Loan, (1M USD LIBOR + 4.50%, 1.00% Floor), 7.89%, 11/25/24(i) | 715,706 | 638,885 | ||||||
Electronics – 0.1% | ||||||||
Tech Data Corp., Non-FILO Term Loan, (1M USD LIBOR + 3.50%), 3.65%, 6/30/25 | 191,000 | 190,809 | ||||||
6/30/25(j) | 63,000 | 62,937 | ||||||
253,746 | ||||||||
Environmental Control – 0.1% | ||||||||
Packers Holdings LLC, Initial Term Loan, 12/04/24(j) | 286,000 | 280,935 | ||||||
Insurance – 0.1% | ||||||||
Asurion LLC, Replacement B-2 Term Loan, (1M USD LIBOR + 6.50%), 6.65%, 8/04/25 | 255,000 | 255,000 |
See accompanying Notes to Financial Statements
140
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Defensive Bond Fund
Par
| Value
| |||||||
Retail – 0.2% | ||||||||
J.C. Penney Corp., Inc., Loan, | $ | 325,623 | $ | 439,591 | ||||
(3M USD LIBOR + 4.25%, 1.00% Floor), 5.25%, 6/23/23(k) | 233,386 | 70,016 | ||||||
509,607 | ||||||||
Telecommunications – 0.8% | ||||||||
Cincinnati Bell, Inc., | 326,501 | 325,976 | ||||||
Frontier | 210,000 | 207,637 | ||||||
Frontier | 690,567 | 676,914 | ||||||
LOGIX Holding Co. LLC, | 203,932 | 184,218 | ||||||
Windstream Services | 315,210 | 297,873 | ||||||
Windstream Services | 147,350 | 88,410 | ||||||
1,781,028 | ||||||||
Total Term Loans | 4,862,379 | |||||||
| Number of Shares | | ||||||
Warrants – 0.1% | ||||||||
Oil & Gas Services – 0.1% | ||||||||
PHI Group, Inc. (f)(l)* | 14,039 | 110,557 | ||||||
Total Warrants | 110,557 |
Par
| Value
| |||||||
Mortgage-Backed Securities – 2.3% |
| |||||||
Federal Home Loan Mortgage Corporation – 1.0% |
| |||||||
Multifamily Structured | $ | 52,000 | $ | 53,726 | ||||
Series K042, Class A1, | 115,113 | 118,590 | ||||||
Real Estate Mortgage | 266,810 | 272,799 | ||||||
Series 4387, Class VA, | 352,254 | 362,749 | ||||||
Series 4220, Class EH, | 554,620 | 573,822 | ||||||
Series 4311, Class QC, | 563,468 | 579,855 | ||||||
Series 4162, Class P, | 375,854 | 396,877 | ||||||
2,358,418 | ||||||||
Federal National Mortgage Association – 0.3% |
| |||||||
Interest Strip, Series 284, | 153,816 | 146,256 | ||||||
Real Estate Mortgage | 334,407 | 343,636 | ||||||
Series 2012-144, | 182,874 | 194,077 | ||||||
683,969 | ||||||||
Government National Mortgage Association – 1.0% |
| |||||||
Series 2010-161, Class B, | 4,410 | 4,408 | ||||||
Series 2012-150, Class IO, | 2,315,594 | 70,079 | ||||||
Series 2014-138, Class A, | 100,649 | 101,228 | ||||||
Series 2014-148, Class A, | 421,466 | 426,010 | ||||||
Series 2015-108, Class IO, | 539,706 | 21,875 | ||||||
Series 2015-47, Class IO, | 3,320,482 | 132,288 | ||||||
Series 2015-7, Class IO, | 4,145,788 | 161,407 | ||||||
Series 2019-39, Class A, | 356,742 | 363,740 | ||||||
Series 2020-42, Class IO, | 2,352,490 | 202,259 | ||||||
Series 2020-43, Class IO, | 1,578,110 | 147,296 |
See accompanying Notes to Financial Statements
141
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Defensive Bond Fund
Par | Value | |||||||
Government National Mortgage Association (Continued) |
| |||||||
Series 2020-71, Class IO, | $ | 2,072,697 | $ | 189,381 | ||||
Series 2020-75, Class IO, | 3,920,191 | 348,227 | ||||||
2,168,198 | ||||||||
Total Mortgage-Backed Securities |
| 5,210,585 | ||||||
| Number of Shares | | ||||||
Investment Companies – 46.9% |
| |||||||
Schwab Intermediate-Term | 372,735 | 21,711,814 | ||||||
Schwab Short-Term | 518,390 | 26,676,349 | ||||||
Vanguard | 91,573 | 8,741,558 | ||||||
Vanguard | 203,154 | 10,996,726 | ||||||
Vanguard Short-Term | 263,401 | 21,804,335 | ||||||
Vanguard Short-Term | 310,340 | 15,715,618 | ||||||
Total Investment Companies | 105,646,400 |
Number of Shares | Value | |||||||
Short-Term Investments – 11.3% |
| |||||||
Money Market Fund – 8.5% | ||||||||
Northern Institutional | 19,171,254 | $ | 19,171,254 | |||||
U.S. Treasury Bills – 2.8% | ||||||||
U.S. Treasury Bill, 0.06%, | 3,076,000 | 3,075,995 | ||||||
U.S. Treasury Bill, 0.06%, | 3,076,000 | 3,075,957 | ||||||
U.S. Treasury Bill, 0.07%, | 150,000 | 149,995 | ||||||
6,301,947 | ||||||||
Total Short-Term Investments | 25,473,201 | |||||||
Total Investments – 100.7% | 226,805,146 | |||||||
Liabilities less Other Assets – (0.7)% | (1,539,394 | ) | ||||||
NET ASSETS – 100.0% | $ | 225,265,752 |
Percentages shown are based on Net Assets.
(a) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees of Morningstar Funds Trust. |
(b) | Variable rate security. Rate as of October 31, 2020 is disclosed. |
(c) | Restricted security that has been deemed illiquid. At October 31, 2020, the value of these restricted illiquid securities amounted to $5,692,022 or 2.53% of net assets. Additional information on these restricted illiquid securities is as follows: |
Security | Acquisition Date | Acquisition Cost | ||||||
ABPCI Direct Lending Fund | 10/14/20 | $ | 304,000 | |||||
AGL CLO 6 Ltd., 7.73%, | 7/21/20 | 242,578 | ||||||
Cayuga Park CLO Ltd., 7.56%, | 6/29/20 | 429,717 | ||||||
Cerberus Loan Funding XXIX | 10/16/20 | 939,000 | ||||||
CIFC Funding Ltd., 7.92%, | 7/20/20 | 675,806 |
Security | Acquisition Date | Acquisition Cost | ||||||
Kayne CLO 8 Ltd., 7.39%, | 7/1/20 | $ | 842,082 | |||||
Octagon Investment Partners | 6/26/20 | 827,671 | ||||||
OHA Credit Funding 6 Ltd., | 7/1/20 | 576,268 | ||||||
Voya CLO Ltd., 8.03%, | 8/5/20 | 909,630 |
(d) | When-Issued Security. Coupon rate was not yet in effect at October 31, 2020. |
(e) | Step coupon bond. Rate as of October 31, 2020 is disclosed. |
See accompanying Notes to Financial Statements
142
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Defensive Bond Fund
(f) | This restricted security constituted 0.15% of total net assets at October 31, 2020. This security is not registered and may not be sold to the public. There are legal and/or contractual restrictions on resale. |
(g) | Security is a payment in-kind bond (PIK), distributions received in-kind unless otherwise noted in the description. |
(h) | Amount rounds to less than 0.05%. |
(i) | This is a Level 3 asset which is fair valued by the Pricing Committee (see Note 4 in Notes to Schedule of Investments). The fair value price of $89.27 is derived using a pricing model which involves amortized cost and a 10% discount. If the financial condition of the underlying assets were to deteriorate, or if the market comparables were to fall, the value of the investment could be lower. During the fiscal period, the Fund did not add or detract from its position in this asset. |
(j) | Position is unsettled. Contract rate was not determined at October 31, 2020 and does not take effect until settlement date. |
(k) | Issuer has defaulted on terms of debt obligation. |
(l) | This is a Level 3 asset which is fair valued by the Pricing Committee (see Note 4 in Notes to Schedule of Investments). The fair value price of $7.88 is based on recent trade activity obtained from market makers in the security. During the fiscal period, the Fund did not add or detract from its position in this asset. |
(m) | Zero coupon bond. |
(n) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate as of October 31, 2020 is disclosed. |
(o) | 7-day current yield as of October 31, 2020 is disclosed. |
(p) | Discount rate at the time of purchase. |
* | Non-Income Producing Security |
Abbreviations: | ||
1M | 1 Month | |
3M | 3 Month | |
CLO | Collateralized Loan Obligation | |
ETF | Exchange-Traded Fund | |
IO | Interest Only | |
LIBOR | London Interbank Offered Rate | |
LLC | Limited Liability Company | |
PLC | Public Limited Company | |
Strip | Separate Trading of Registered Interest and Principal | |
USD | United States Dollar |
Valuation Hierarchy
The following is a summary of the inputs used, as of October 31, 2020, in valuing the Fund’s investments carried at fair value:
Morningstar Defensive Bond Fund | Level 1 | Level 2 | Level 3 | Totals | ||||||||||||
Investments | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 81,168,969 | $ | — | $ | 81,168,969 | ||||||||
Common Stocks | 216,988 | — | — | 216,988 | ||||||||||||
Corporate Bonds | — | 3,460,485 | — | 3,460,485 | ||||||||||||
Foreign Issuer Bonds | — | 655,582 | — | 655,582 | ||||||||||||
Term Loans | — | 4,223,494 | 638,885 | 4,862,379 | ||||||||||||
Mortgage-Backed Securities | — | 5,210,585 | — | 5,210,585 | ||||||||||||
Warrants | — | — | 110,557 | 110,557 | ||||||||||||
Investment Companies | 105,646,400 | — | — | 105,646,400 | ||||||||||||
Short-Term Investments | 19,171,254 | 6,301,947 | — | 25,473,201 | ||||||||||||
Total Investments | $ | 125,034,642 | $ | 101,021,062 | $ | 749,442 | $ | 226,805,146 |
See accompanying Notes to Financial Statements
143
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Defensive Bond Fund
Investments classified within Level 3 of the fair value hierarchy are valued by the Morningstar Investment Management LLC (“MIM”) in good faith under procedures adopted by authority of the Fund’s Board of Trustees. MIM employs various methods to determine fair valuations including regular review of key inputs and assumptions, and review of related market activity, if any. However, there are generally no observable trade activities in these securities. MIM reports to the Board of Trustees at their regularly scheduled quarterly meetings, or more often if warranted. The report includes a summary of the results of the process, the key inputs and assumptions noted, and any changes to the inputs and assumptions used. When appropriate, MIM will recommend changes to the procedures and process employed. The value determined for an investment using the fair value procedures may differ significantly from the value realized upon the sale of such investment.
See accompanying Notes to Financial Statements
144
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments
Morningstar Multisector Bond Fund
|
Par(a)
| Value
| |||||||
Asset-Backed Securities – 0.1% |
| |||||||
Commercial Mortgage-Backed Securities – 0.1% |
| |||||||
WFRBS Commercial Mortgage Trust, | ||||||||
Series 2011-C3, Class D, | $ | 150,000 | $ | 69,979 | ||||
Series 2012-C7, Class D, | 295,000 | 158,949 | ||||||
Series 2012-C10, Class C, | 90,000 | 51,945 | ||||||
280,873 | ||||||||
Total Asset-Backed Securities | 280,873 | |||||||
Number
| ||||||||
Common Stocks – 0.1% | ||||||||
Chemicals – 0.0%(d) | ||||||||
Hexion Holdings Corp., | 434 | 4,362 | ||||||
Engineering & Construction – 0.0%(d) |
| |||||||
Mcdermott International Ltd.* | 1,932 | 3,285 | ||||||
Oil & Gas – 0.0%(d) | ||||||||
Battalion Oil Corp.* | 363 | 2,450 | ||||||
Telecommunications – 0.1% | ||||||||
AT&T, Inc. | 9,213 | 248,935 | ||||||
Total Common Stocks | 259,032 | |||||||
Convertible Preferred Stocks – 0.8% |
| |||||||
Agriculture – 0.7% | ||||||||
Bunge Ltd., 4.88%, | 16,058 | 1,635,828 | ||||||
Banks – 0.1% | ||||||||
Bank of America Corp., 7.25%, | 75 | 110,018 | ||||||
Wells Fargo & Co., 7.50%, | 183 | 246,823 | ||||||
356,841 | ||||||||
Healthcare - Products – 0.0%(d) | ||||||||
Boston Scientific Corp., | 110 | 11,394 | ||||||
Total Convertible Preferred Stocks | 2,004,063 |
Par(a)
| Value
| |||||||
Convertible Bonds – 1.1% |
| |||||||
Biotechnology – 0.3% |
| |||||||
BioMarin Pharmaceutical, Inc., | $ | 140,000 | $ | 144,025 | ||||
1.25%, 5/15/27(b) | 680,000 | 653,650 | ||||||
797,675 | ||||||||
Commercial Services – 0.0%(d) | ||||||||
Chegg, Inc., 0.00%, 9/01/26(b)(e) | 45,000 | 45,393 | ||||||
Healthcare - Products – 0.1% | ||||||||
Integra LifeSciences Holdings Corp., | 180,000 | 164,250 | ||||||
Internet – 0.0%(d) | ||||||||
Fiverr International Ltd., | 40,000 | 40,900 | ||||||
Palo Alto Networks, Inc., | 10,000 | 10,162 | ||||||
51,062 | ||||||||
Media – 0.6% | ||||||||
DISH Network Corp., | 420,000 | 377,263 | ||||||
3.37%, 8/15/26 | 1,190,000 | 1,051,852 | ||||||
1,429,115 | ||||||||
Oil & Gas – 0.0%(d) | ||||||||
Nabors Industries, Inc., 0.75%, 1/15/24 | 80,000 | 21,600 | ||||||
Oil & Gas Services – 0.0%(d) | ||||||||
Oil States International, Inc., | 70,000 | 38,846 | ||||||
Pharmaceuticals – 0.1% | ||||||||
Aerie Pharmaceuticals, Inc., | 85,000 | 70,628 | ||||||
Flexion Therapeutics, Inc., | 115,000 | 95,877 | ||||||
166,505 | ||||||||
Trucking & Leasing – 0.0%(d) | ||||||||
Greenbrier (The) Cos., Inc., | 160,000 | 144,383 | ||||||
Total Convertible Bonds | 2,858,829 | |||||||
Corporate Bonds – 27.0% | ||||||||
Advertising – 0.1% | ||||||||
Lamar Media Corp., | 165,000 | 164,333 |
See accompanying Notes to Financial Statements
145
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
Par(a)
| Value
| |||||||
Advertising (Continued) | ||||||||
Outfront Media Capital LLC/Outfront Media Capital Corp., 6.25%, 6/15/25(b) | $ | 140,000 | $ | 142,888 | ||||
Terrier Media Buyer, Inc., 8.88%, | 45,000 | 46,001 | ||||||
353,222 | ||||||||
Aerospace/Defense – 1.4% | ||||||||
Boeing (The) Co., | 300,000 | 331,539 | ||||||
3.25%, 2/01/35 | 30,000 | 27,867 | ||||||
3.55%, 3/01/38 | 5,000 | 4,538 | ||||||
3.50%, 3/01/39 | 25,000 | 22,641 | ||||||
5.70%, 5/01/40 | 40,000 | 46,399 | ||||||
3.38%, 6/15/46 | 520,000 | 449,017 | ||||||
3.65%, 3/01/47 | 25,000 | 22,119 | ||||||
3.63%, 3/01/48 | 45,000 | 39,548 | ||||||
3.85%, 11/01/48 | 5,000 | 4,463 | ||||||
3.90%, 5/01/49 | 120,000 | 111,183 | ||||||
3.75%, 2/01/50 | 115,000 | 102,835 | ||||||
5.80%, 5/01/50 | 655,000 | 771,399 | ||||||
3.83%, 3/01/59 | 25,000 | 21,544 | ||||||
5.93%, 5/01/60 | 100,000 | 118,568 | ||||||
Moog, Inc., 4.25%, 12/15/27(b) | 15,000 | 15,394 | ||||||
Spirit AeroSystems, Inc., | 330,000 | 332,472 | ||||||
4.60%, 6/15/28 | 210,000 | 174,654 | ||||||
TransDigm, Inc., | ||||||||
6.25%, 3/15/26(b) | 305,000 | 317,959 | ||||||
6.37%, 6/15/26 | 330,000 | 329,076 | ||||||
5.50%, 11/15/27 | 225,000 | 219,656 | ||||||
3,462,871 | ||||||||
Airlines – 0.1% | ||||||||
American Airlines Group, Inc., 5.00%, 6/01/22(b) | 10,000 | 6,482 | ||||||
American Airlines, Inc., 11.75%, 7/15/25(b) | 175,000 | 170,187 | ||||||
Delta Air Lines, Inc., 7.38%, 1/15/26 | 195,000 | 201,825 | ||||||
378,494 | ||||||||
Apparel – 0.1% | ||||||||
Hanesbrands, Inc., | 85,000 | 88,532 | ||||||
4.88%, 5/15/26(b) | 35,000 | 37,625 | ||||||
William Carter (The) Co., 5.62%, 3/15/27(b) | 110,000 | 115,431 | ||||||
241,588 |
Par(a)
| Value
| |||||||
Auto Manufacturers – 1.4% | ||||||||
Ford Motor Co., | $ | 795,000 | $ | 877,481 | ||||
9.00%, 4/22/25 | 710,000 | 836,661 | ||||||
Ford Motor Credit Co. LLC, 4.14%, 2/15/23 | 500,000 | 503,750 | ||||||
General Motors Co., | 30,000 | 33,298 | ||||||
6.60%, 4/01/36 | 115,000 | 144,538 | ||||||
5.15%, 4/01/38 | 35,000 | 38,951 | ||||||
6.25%, 10/02/43 | 730,000 | 897,936 | ||||||
5.20%, 4/01/45 | 105,000 | 117,236 | ||||||
6.75%, 4/01/46 | 75,000 | 96,934 | ||||||
PM General Purchaser LLC, 9.50%, | 120,000 | 125,400 | ||||||
3,672,185 | ||||||||
Auto Parts & Equipment – 0.2% | ||||||||
Clarios Global L.P./Clarios U.S. Finance Co., 8.50%, 5/15/27(b) | 205,000 | 213,846 | ||||||
Goodyear Tire & Rubber (The) Co., 5.00%, 5/31/26 | 285,000 | 280,870 | ||||||
494,716 | ||||||||
Banks – 0.1% | ||||||||
Freedom Mortgage Corp., 7.63%, 5/01/26(b) | 220,000 | 219,314 | ||||||
Provident Funding Associates L.P./PFG Finance Corp., 6.38%, 6/15/25(b) | 140,000 | 137,532 | ||||||
356,846 | ||||||||
Building Materials – 0.6% | ||||||||
American Woodmark Corp., 4.88%, | 120,000 | 120,600 | ||||||
Boise Cascade Co., 4.88%, 7/01/30(b) | 15,000 | 16,034 | ||||||
Builders FirstSource, Inc., 5.00%, 3/01/30(b) | 290,000 | 305,950 | ||||||
Cornerstone Building Brands, Inc., 6.12%, 1/15/29(b) | 145,000 | 148,125 | ||||||
James Hardie International Finance DAC, 5.00%, 1/15/28(b) | 445,000 | 471,700 | ||||||
JELD-WEN, Inc., 4.63%, 12/15/25(b) | 43,000 | 43,538 | ||||||
Masonite International Corp., 5.37%, | 160,000 | 169,600 | ||||||
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 1/15/29(b) | 40,000 | 41,200 |
See accompanying Notes to Financial Statements
146
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
Par(a)
| Value
| |||||||
Building Materials (Continued) | ||||||||
U.S. Concrete, Inc., | $ | 163,000 | $ | 167,075 | ||||
5.13%, 3/01/29(b) | 165,000 | 167,887 | ||||||
1,651,709 | ||||||||
Chemicals – 0.2% | ||||||||
Chemours (The) Co., | 25,000 | 25,188 | ||||||
5.38%, 5/15/27 | 190,000 | 186,437 | ||||||
Hexion, Inc., 7.87%, 7/15/27(b) | 90,000 | 93,375 | ||||||
Olin Corp., | 35,000 | 35,525 | ||||||
5.63%, 8/01/29 | 20,000 | 20,675 | ||||||
5.00%, 2/01/30 | 135,000 | 136,012 | ||||||
497,212 | ||||||||
Commercial Services – 0.9% | ||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.75%, 7/15/27(b) | 160,000 | 150,400 | ||||||
Jaguar Holding Co. II/PPD Development L.P., 5.00%, 6/15/28(b) | 130,000 | 135,500 | ||||||
MPH Acquisition Holdings LLC, 5.75%, 11/01/28(b) | 100,000 | 98,250 | ||||||
Nielsen Finance LLC/Nielsen Finance Co., | 118,000 | 118,059 | ||||||
5.63%, 10/01/28(b) | 190,000 | 195,937 | ||||||
5.87%, 10/01/30(b) | 180,000 | 189,000 | ||||||
Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, | 470,000 | 474,926 | ||||||
Sabre GLBL, Inc., | 48,000 | 47,040 | ||||||
9.25%, 4/15/25(b) | 175,000 | 192,938 | ||||||
7.37%, 9/01/25(b) | 65,000 | 66,300 | ||||||
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26(b) | 70,000 | 70,896 | ||||||
United Rentals North America, Inc., 4.00%, 7/15/30 | 420,000 | 428,442 | ||||||
2,167,688 | ||||||||
Computers – 0.1% | ||||||||
NCR Corp., 8.12%, 4/15/25(b) | 25,000 | 27,500 |
Par(a)
| Value
| |||||||
Computers (Continued) | ||||||||
NCR Corp., | $ | 75,000 | $ | 74,250 | ||||
5.25%, 10/01/30(b) | 80,000 | 79,200 | ||||||
Presidio Holdings, Inc., | 25,000 | 25,664 | ||||||
8.25%, 2/01/28(b) | 25,000 | 26,500 | ||||||
Science Applications International Corp., 4.88%, 4/01/28(b) | 5,000 | 5,238 | ||||||
238,352 | ||||||||
Distribution/Wholesale – 0.1% | ||||||||
Avient Corp., 5.75%, 5/15/25(b) | 155,000 | 163,137 | ||||||
Performance Food Group, Inc., 5.50%, 10/15/27(b) | 120,000 | 123,000 | ||||||
Wolverine Escrow LLC, 9.00%, 11/15/26(b) | 60,000 | 45,770 | ||||||
331,907 | ||||||||
Diversified Financial Services – 1.5% |
| |||||||
Aircastle Ltd., 5.50%, 2/15/22 | 148,000 | 152,035 | ||||||
Ally Financial, Inc., | 77,000 | 80,222 | ||||||
5.75%, 11/20/25 | 425,000 | 483,007 | ||||||
Nationstar Mortgage Holdings, Inc., | 75,000 | 80,203 | ||||||
6.00%, 1/15/27(b) | 360,000 | 360,000 | ||||||
Navient Corp., | 117,000 | 120,803 | ||||||
6.50%, 6/15/22 | 20,000 | 20,400 | ||||||
5.50%, 1/25/23 | 65,000 | 64,838 | ||||||
6.12%, 3/25/24 | 295,000 | 298,687 | ||||||
5.00%, 3/15/27 | 300,000 | 280,152 | ||||||
OneMain Finance Corp., | 140,000 | 154,000 | ||||||
8.88%, 6/01/25 | 45,000 | 49,500 | ||||||
7.12%, 3/15/26 | 325,000 | 360,379 | ||||||
5.37%, 11/15/29 | 15,000 | 15,413 | ||||||
Quicken Loans LLC, | 945,000 | 987,771 | ||||||
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., | 105,000 | 103,425 | ||||||
3.88%, 3/01/31(b) | 100,000 | 98,375 | ||||||
3,709,210 | ||||||||
Electric – 0.8% | ||||||||
AES (The) Corp., | 37,000 | 38,769 |
See accompanying Notes to Financial Statements
147
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
Par(a)
| Value
| |||||||
Electric (Continued) | ||||||||
AES (The) Corp., 5.12%, 9/01/27 | $ | 160,000 | $ | 171,614 | ||||
AES Panama Generation | ||||||||
Holdings SRL, 4.38%, 5/31/30(b) | 310,000 | 328,504 | ||||||
Calpine Corp., 5.12%, 3/15/28(b) | 635,000 | 654,752 | ||||||
NRG Energy, Inc., | 205,000 | 221,082 | ||||||
5.25%, 6/15/29(b) | 10,000 | 10,838 | ||||||
Pattern Energy Operations L.P./Pattern Energy Operations, Inc., 4.50%, | 45,000 | 46,918 | ||||||
PG&E Corp., | 110,000 | 110,278 | ||||||
5.25%, 7/01/30 | 105,000 | 105,000 | ||||||
Tallen Energy Supply LLC, 10.50%, | 70,000 | 47,731 | ||||||
Vistra Operations Co. LLC, | 160,000 | 165,600 | ||||||
3.70%, 1/30/27(b) | 45,000 | 47,561 | ||||||
1,948,647 | ||||||||
Electrical Component & Equipment – 0.2% |
| |||||||
Energizer Holdings, Inc., 4.38%, 3/31/29(b) | 165,000 | 166,567 | ||||||
WESCO Distribution, Inc., | 120,000 | 129,300 | ||||||
7.25%, 6/15/28(b) | 165,000 | 180,675 | ||||||
476,542 | ||||||||
Electronics – 0.0%(d) | ||||||||
Sensata Technologies, Inc., 3.75%, | 75,000 | 74,250 | ||||||
Entertainment – 0.8% | ||||||||
Caesars Entertainment, Inc., | 175,000 | 179,265 | ||||||
8.12%, 7/01/27(b) | 235,000 | 245,268 | ||||||
Caesars Resort Collection LLC/CRC Finco, Inc., | 80,000 | 82,050 | ||||||
5.25%, 10/15/25(b) | 80,000 | 75,976 | ||||||
Cedar Fair L.P./Canada’s Wonderland Co./Magnum Management Corp., 5.37%, 6/01/24 | 100,000 | 96,250 | ||||||
Cedar Fair L.P./Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC, 6.50%, 10/01/28(b) | 140,000 | 136,500 |
Par(a)
| Value
| |||||||
Entertainment (Continued) | ||||||||
International Game | ||||||||
Technology PLC, | $ | 230,000 | $ | 244,375 | ||||
5.25%, 1/15/29(b) | 200,000 | 198,000 | ||||||
Live Nation Entertainment, Inc., 4.75%, 10/15/27(b) | 370,000 | 340,052 | ||||||
Scientific Games International, Inc., | 145,000 | 144,030 | ||||||
7.25%, 11/15/29(b) | 35,000 | 34,717 | ||||||
Six Flags Entertainment Corp., 4.88%, 7/31/24(b) | 100,000 | 92,924 | ||||||
Speedway Motorsports LLC/Speedway Funding II, Inc., 4.88%, 11/01/27(b) | 60,000 | 57,000 | ||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.12%, 10/01/29(b) | 125,000 | 119,688 | ||||||
2,046,095 | ||||||||
Food – 1.1% | ||||||||
Albertsons Cos, Inc./Safeway, Inc./New Albertsons L.P./Albertsons LLC, | 90,000 | 91,431 | ||||||
4.63%, 1/15/27(b) | 90,000 | 92,803 | ||||||
4.87%, 2/15/30(b) | 90,000 | 95,589 | ||||||
B&G Foods, Inc., 5.25%, 4/01/25 | 93,000 | 95,790 | ||||||
JBS USA LUX S.A./JBS USA Finance, Inc., 5.75%, 6/15/25(b) | 157,000 | 161,396 | ||||||
JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 6.50%, 4/15/29(b) | 95,000 | 106,769 | ||||||
Kraft Heinz Foods Co., | 95,000 | 104,402 | ||||||
5.20%, 7/15/45 | 10,000 | 11,078 | ||||||
4.38%, 6/01/46 | 455,000 | 467,053 | ||||||
4.87%, 10/01/49(b) | 170,000 | 179,731 | ||||||
4.88%, 10/01/49 | 335,000 | 354,176 | ||||||
5.50%, 6/01/50(b) | 80,000 | 91,210 | ||||||
Lamb Weston Holdings, Inc., 4.88%, | 40,000 | 43,340 | ||||||
Pilgrim’s Pride Corp., | 79,000 | 80,876 | ||||||
5.87%, 9/30/27(b) | 170,000 | 179,585 |
See accompanying Notes to Financial Statements
148
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
Par(a)
| Value
| |||||||
Food (Continued) | ||||||||
Post Holdings, Inc., | $ | 180,000 | $ | 186,660 | ||||
5.75%, 3/01/27(b) | 71,000 | 74,387 | ||||||
5.50%, 12/15/29(b) | 5,000 | 5,406 | ||||||
4.63%, 4/15/30(b) | 135,000 | 138,713 | ||||||
TreeHouse Foods, Inc., 4.00%, 9/01/28 | 120,000 | 120,150 | ||||||
2,680,545 | ||||||||
Food Service – 0.1% | ||||||||
Aramark Services, Inc., | 225,000 | 235,998 | ||||||
4.75%, 6/01/26 | 80,000 | 79,500 | ||||||
5.00%, 2/01/28(b) | 20,000 | 20,177 | ||||||
335,675 | ||||||||
Healthcare - Products – 0.1% | ||||||||
Avantor Funding, Inc., 4.62%, 7/15/28(b) | 220,000 | 227,964 | ||||||
Hill-Rom Holdings, Inc., 4.38%, 9/15/27(b) | 20,000 | 20,675 | ||||||
248,639 | ||||||||
Healthcare - Services – 1.5% | ||||||||
Catalent Pharma Solutions, Inc., 4.88%, 1/15/26(b) | 55,000 | 56,100 | ||||||
Centene Corp., | 150,000 | 154,125 | ||||||
4.75%, 1/15/25 | 50,000 | 51,375 | ||||||
CHS/Community Health Systems, Inc., | 15,000 | 14,869 | ||||||
6.62%, 2/15/25(b) | 340,000 | 331,568 | ||||||
8.00%, 3/15/26(b) | 585,000 | 587,340 | ||||||
8.00%, 3/15/26 | 20,000 | 20,080 | ||||||
DaVita, Inc., 3.75%, 2/15/31(b) | 230,000 | 221,087 | ||||||
Encompass Health Corp., | 260,000 | 266,271 | ||||||
4.75%, 2/01/30 | 265,000 | 276,029 | ||||||
HCA, Inc., 5.37%, 2/01/25 | 400,000 | 442,932 | ||||||
Providence Service (The) Corp., | 50,000 | 50,875 | ||||||
Select Medical Corp., 6.25%, 8/15/26(b) | 30,000 | 31,650 | ||||||
Surgery Center Holdings, Inc., 6.75%, 7/01/25(b) | 100,000 | 98,500 | ||||||
Tenet Healthcare Corp., 5.12%, 5/01/25 | 410,000 | 405,777 | ||||||
6.25%, 2/01/27(b) | 150,000 | 155,746 |
Par(a)
| Value
| |||||||
Healthcare - Services (Continued) |
| |||||||
Tenet Healthcare Corp., | $ | 20,000 | $ | 20,275 | ||||
6.13%, 10/01/28(b) | 695,000 | 674,150 | ||||||
3,858,749 | ||||||||
Home Builders – 0.4% | ||||||||
Installed Building Products, Inc., 5.75%, 2/01/28(b) | 25,000 | 26,344 | ||||||
KB Home, 4.80%, 11/15/29 | 50,000 | 54,000 | ||||||
Lennar Corp., 4.75%, 5/30/25 | 255,000 | 279,772 | ||||||
PulteGroup, Inc., 6.00%, 2/15/35 | 200,000 | 248,000 | ||||||
Taylor Morrison Communities, Inc., | 125,000 | 138,750 | ||||||
5.13%, 8/01/30(b) | 160,000 | 173,709 | ||||||
TRI Pointe Group, Inc., 5.70%, 6/15/28 | 70,000 | 77,700 | ||||||
998,275 | ||||||||
Household Products/Wares – 0.1% |
| |||||||
Prestige Brands, Inc., 5.13%, 1/15/28(b) | 125,000 | 129,844 | ||||||
Housewares – 0.0%(d) | ||||||||
Newell Brands, Inc., 4.88%, 6/01/25 | 50,000 | 54,140 | ||||||
Insurance – 0.0%(d) | ||||||||
AmWINS Group, Inc., 7.75%, 7/01/26(b) | 50,000 | 53,375 | ||||||
Internet – 1.8% | ||||||||
ANGI Group LLC, 3.87%, 8/15/28(b) | 130,000 | 128,538 | ||||||
Expedia Group, Inc., | 225,000 | 247,425 | ||||||
7.00%, 5/01/25(b) | 115,000 | 123,146 | ||||||
4.63%, 8/01/27(b) | 125,000 | 131,074 | ||||||
3.25%, 2/15/30 | 1,005,000 | 976,072 | ||||||
Netflix, Inc., | 170,000 | 199,112 | ||||||
4.88%, 6/15/30(b) | 435,000 | 496,444 | ||||||
Uber Technologies, Inc., 7.50%, 5/15/25(b) | 835,000 | 877,794 | ||||||
8.00%, 11/01/26(b) | 785,000 | 827,194 | ||||||
7.50%, 9/15/27(b) | 455,000 | 475,589 | ||||||
6.25%, 1/15/28(b) | 80,000 | 81,100 | ||||||
4,563,488 |
See accompanying Notes to Financial Statements
149
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
Par(a)
| Value
| |||||||
Investment Management Companies – 0.6% |
| |||||||
Icahn Enterprises L.P./Icahn Enterprises Finance Corp., | $ | 55,000 | $ | 56,117 | ||||
4.75%, 9/15/24 | 570,000 | 579,975 | ||||||
6.25%, 5/15/26 | 165,000 | 171,187 | ||||||
5.25%, 5/15/27 | 640,000 | 662,276 | ||||||
1,469,555 | ||||||||
Iron/Steel – 0.3% | ||||||||
Allegheny Technologies, Inc., | 180,000 | 181,701 | ||||||
5.88%, 12/01/27 | 60,000 | 56,475 | ||||||
Carpenter Technology Corp., 6.38%, 7/15/28 | 20,000 | 20,979 | ||||||
Cleveland-Cliffs, Inc., | 185,000 | 211,594 | ||||||
6.75%, 3/15/26(b) | 35,000 | 36,750 | ||||||
Commercial Metals Co., 4.88%, 5/15/23 | 119,000 | 124,058 | ||||||
United States Steel Corp., | 20,000 | 15,880 | ||||||
6.25%, 3/15/26 | 105,000 | 80,128 | ||||||
727,565 | ||||||||
Leisure Time – 0.1% | ||||||||
Carnival Corp., 9.88%, 8/01/27(b) | 135,000 | 140,315 | ||||||
Royal Caribbean Cruises Ltd., 11.50%, 6/01/25(b) | 145,000 | 165,844 | ||||||
306,159 | ||||||||
Lodging – 1.1% | ||||||||
Boyd Gaming Corp., | 15,000 | 15,564 | ||||||
6.00%, 8/15/26 | 55,000 | 56,358 | ||||||
4.75%, 12/01/27 | 315,000 | 306,341 | ||||||
Marriott Ownership | ||||||||
Resorts, Inc., | 125,000 | 130,312 | ||||||
4.75%, 1/15/28 | 265,000 | 252,412 | ||||||
Marriott Ownership Resorts, Inc./ILG LLC, 6.50%, 9/15/26 | 371,000 | 382,130 | ||||||
MGM Resorts International, 5.50%, 4/15/27 | 260,000 | 262,499 | ||||||
Wyndham Destinations, Inc., | 150,000 | 150,750 | ||||||
4.25%, 3/01/22 | 290,000 | 290,725 | ||||||
3.90%, 3/01/23 | 245,000 | 237,650 |
Par(a)
| Value
| |||||||
Lodging (Continued) | ||||||||
Wyndham | ||||||||
Destinations, Inc., | $ | 245,000 | $ | 260,668 | ||||
4.63%, 3/01/30(b) | 65,000 | 62,238 | ||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.50%, 3/01/25(b) | 355,000 | 339,912 | ||||||
2,747,559 | ||||||||
Media – 2.5% | ||||||||
Block Communications, Inc., 4.88%, 3/01/28(b) | 20,000 | 20,500 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp., | 215,000 | 225,750 | ||||||
5.38%, 6/01/29(b) | 185,000 | 200,263 | ||||||
4.75%, 3/01/30(b) | 1,565,000 | 1,646,145 | ||||||
4.50%, 8/15/30(b) | 105,000 | 109,122 | ||||||
4.50%, 5/01/32(b) | 55,000 | 56,856 | ||||||
Clear Channel Worldwide Holdings, Inc., 9.25%, 2/15/24 | 160,000 | 138,459 | ||||||
CSC Holdings LLC, | 121,000 | 126,445 | ||||||
5.50%, 4/15/27(b) | 200,000 | 210,750 | ||||||
5.75%, 1/15/30(b) | 500,000 | 534,522 | ||||||
4.13%, 12/01/30(b) | 200,000 | 203,356 | ||||||
4.63%, 12/01/30(b) | 240,000 | 239,995 | ||||||
Diamond Sports Group LLC/Diamond Sports Finance Co., | 255,000 | 149,016 | ||||||
6.62%, 8/15/27(b) | 180,000 | 71,847 | ||||||
DISH DBS Corp., | 310,000 | 328,595 | ||||||
7.38%, 7/01/28 | 65,000 | 65,488 | ||||||
Gray Television, Inc., 4.75%, 10/15/30(b) | 245,000 | 241,325 | ||||||
iHeartCommunications, Inc., | 10,000 | 10,413 | ||||||
8.37%, 5/01/27 | 1,135,000 | 1,101,188 | ||||||
4.75%, 1/15/28(b) | 180,000 | 171,900 | ||||||
Meredith Corp., 6.87%, 2/01/26 | 216,000 | 179,010 | ||||||
Nexstar Broadcasting, Inc., 5.63%, 7/15/27(b) | 20,000 | 20,850 |
See accompanying Notes to Financial Statements
150
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
Par(a)
| Value
| |||||||
Media (Continued) | ||||||||
Radiate Holdco LLC/Radiate Finance, Inc., 6.50%, 9/15/28(b) | $ | 185,000 | $ | 190,781 | ||||
Univision Communications, Inc., 6.62%, 6/01/27(b) | 80,000 | 80,900 | ||||||
6,323,476 | ||||||||
Mining – 0.6% | ||||||||
Alcoa Nederland Holding | ||||||||
B.V., 5.50%, 12/15/27(b) | 200,000 | 210,500 | ||||||
Freeport-McMoRan, Inc., | 80,000 | 83,416 | ||||||
4.13%, 3/01/28 | 125,000 | 127,578 | ||||||
4.38%, 8/01/28 | 70,000 | 73,063 | ||||||
4.25%, 3/01/30 | 280,000 | 294,174 | ||||||
4.62%, 8/01/30 | 220,000 | 234,850 | ||||||
5.40%, 11/14/34 | 155,000 | 177,475 | ||||||
Novelis Corp., 4.75%, 1/30/30(b) | 290,000 | 294,093 | ||||||
1,495,149 | ||||||||
Miscellaneous Manufacturing – 0.0%(d) |
| |||||||
Hillenbrand, Inc., 5.75%, 6/15/25 | 50,000 | 53,375 | ||||||
Office/Business Equipment �� 0.1% |
| |||||||
Xerox Holdings Corp., | 100,000 | 98,729 | ||||||
5.50%, 8/15/28(b) | 100,000 | 98,720 | ||||||
197,449 | ||||||||
Oil & Gas – 1.9% | ||||||||
Apache Corp., | 150,000 | 132,562 | ||||||
4.75%, 4/15/43 | 5,000 | 4,425 | ||||||
4.25%, 1/15/44 | 115,000 | 97,463 | ||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 7.00%, 11/01/26(b) | 75,000 | 66,375 | ||||||
Centennial Resource Production LLC, 8.00%, 6/01/25(b) | 82,000 | 65,600 | ||||||
Comstock Resources, Inc., 9.75%, 8/15/26 | 100,000 | 105,375 | ||||||
Continental Resources, Inc., | 65,000 | 61,795 | ||||||
3.80%, 6/01/24 | 190,000 | 176,937 | ||||||
4.38%, 1/15/28 | 65,000 | 58,500 | ||||||
4.90%, 6/01/44 | 100,000 | 82,655 | ||||||
CVR Energy, Inc., 5.25%, 2/15/25(b) | 60,000 | 43,650 |
Par(a)
| Value
| |||||||
Oil & Gas (Continued) | ||||||||
Devon Energy Corp., 5.60%, 7/15/41 | $ | 15,000 | $ | 15,434 | ||||
Diamondback Energy, Inc., 3.50%, 12/01/29 | 15,000 | 14,915 | ||||||
Endeavor Energy Resources L.P./EER Finance, Inc., | 55,000 | 57,063 | ||||||
5.50%, 1/30/26(b) | 35,000 | 35,175 | ||||||
EQT Corp., | 105,000 | 116,812 | ||||||
1/15/29(f) | 10,000 | 10,000 | ||||||
8.75%, 2/01/30 | 155,000 | 192,587 | ||||||
Murphy Oil Corp., 6.37%, 12/01/42 | 100,000 | 74,500 | ||||||
Newfield Exploration Co., 5.38%, 1/01/26 | 195,000 | 183,274 | ||||||
Occidental Petroleum Corp., | 91,000 | 81,445 | ||||||
2.90%, 8/15/24 | 790,000 | 657,517 | ||||||
3.50%, 6/15/25 | 380,000 | 306,478 | ||||||
5.55%, 3/15/26 | 65,000 | 56,550 | ||||||
3.40%, 4/15/26 | 20,000 | 15,644 | ||||||
3.20%, 8/15/26 | 25,000 | 19,313 | ||||||
3.00%, 2/15/27 | 35,000 | 26,425 | ||||||
8.50%, 7/15/27 | 90,000 | 85,950 | ||||||
3.50%, 8/15/29 | 525,000 | 378,766 | ||||||
8.87%, 7/15/30 | 85,000 | 83,194 | ||||||
4.10%, 2/15/47 | 5,000 | 3,267 | ||||||
4.20%, 3/15/48 | 15,000 | 9,750 | ||||||
4.40%, 8/15/49 | 175,000 | 117,250 | ||||||
Ovintiv, Inc., | 170,000 | 159,635 | ||||||
6.62%, 8/15/37 | 35,000 | 32,288 | ||||||
Parsley Energy LLC/Parsley | ||||||||
Finance Corp., | 65,000 | 66,463 | ||||||
5.25%, 8/15/25(b) | 65,000 | 66,950 | ||||||
5.63%, 10/15/27(b) | 230,000 | 244,662 | ||||||
PBF Holding Co. LLC/PBF Finance Corp., | 90,000 | 79,875 | ||||||
6.00%, 2/15/28(b) | 70,000 | 26,947 | ||||||
Range Resources Corp., | 53,000 | 51,422 | ||||||
9.25%, 2/01/26(b) | 115,000 | 121,900 | ||||||
SM Energy Co., 10.00%, 1/15/25(b) | 61,000 | 58,064 | ||||||
Southwestern Energy Co., | 155,000 | 155,291 | ||||||
7.50%, 4/01/26 | 25,000 | 25,445 |
See accompanying Notes to Financial Statements
151
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
Par(a) | Value | |||||||
Oil & Gas (Continued) | ||||||||
Southwestern Energy Co., 7.75%, 10/01/27 | $ | 15,000 | $ | 15,506 | ||||
Transocean Guardian Ltd., 5.88%, | 53,040 | 32,354 | ||||||
Vine Oil & Gas L.P./Vine Oil & Gas Finance Corp., 9.75%, 4/15/23(b) | 50,000 | 37,500 | ||||||
WPX Energy, Inc., 5.25%, 10/15/27 | 30,000 | 30,087 | ||||||
5.88%, 6/15/28 | 95,000 | 97,138 | ||||||
4,738,173 | ||||||||
Oil & Gas Services – 0.1% | ||||||||
Transocean Proteus Ltd., 6.25%, | 161,200 | 141,856 | ||||||
Packaging & Containers – 0.3% | ||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 5.25%, 8/15/27(b) | 390,000 | 400,335 | ||||||
Berry Global, Inc., 4.50%, 2/15/26(b) | 55,000 | 55,735 | ||||||
Graham Packaging Co., Inc., 7.13%, 8/15/28(b) | 65,000 | 67,925 | ||||||
Mauser Packaging Solutions Holding Co., 7.25%, 4/15/25(b) | 190,000 | 183,293 | ||||||
707,288 | ||||||||
Pharmaceuticals – 0.7% | ||||||||
Bausch Health Cos., Inc., | 195,000 | 213,076 | ||||||
5.00%, 1/30/28(b) | 205,000 | 202,618 | ||||||
6.25%, 2/15/29(b) | 600,000 | 618,336 | ||||||
7.25%, 5/30/29(b) | 50,000 | 53,785 | ||||||
5.25%, 1/30/30(b) | 100,000 | 98,755 | ||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc., | 137,000 | 146,961 | ||||||
6.00%, 6/30/28(b) | 210,000 | 162,225 | ||||||
Herbalife Nutrition Ltd./HLF Financing, Inc., | 210,000 | 221,550 | ||||||
Par Pharmaceutical, Inc., 7.50%, 4/01/27(b) | 51,000 | 54,060 | ||||||
1,771,366 | ||||||||
Pipelines – 1.7% | ||||||||
Buckeye Partners L.P., | 45,000 | 39,825 | ||||||
5.60%, 10/15/44 | 60,000 | 51,750 |
Par(a) | Value | |||||||
Pipelines (Continued) | ||||||||
DCP Midstream Operating L.P., | $ | 50,000 | $ | 52,500 | ||||
5.62%, 7/15/27 | 195,000 | 202,098 | ||||||
5.13%, 5/15/29 | 25,000 | 24,867 | ||||||
Energy Transfer Operating L.P., (3M USD LIBOR + 4.03%), | 122,000 | 81,825 | ||||||
5.00%, 5/15/50 | 295,000 | 275,555 | ||||||
EnLink Midstream Partners L.P., | 10,000 | 6,175 | ||||||
5.05%, 4/01/45 | 5,000 | 3,150 | ||||||
5.45%, 6/01/47 | 485,000 | 311,511 | ||||||
EQM Midstream Partners L.P., | 155,000 | 158,875 | ||||||
6.50%, 7/01/27(b) | 160,000 | 167,807 | ||||||
5.50%, 7/15/28 | 25,000 | 25,319 | ||||||
Genesis Energy L.P./Genesis Energy Finance Corp., 7.75%, 2/01/28 | 175,000 | 145,250 | ||||||
Harvest Midstream I L.P., 7.50%, 9/01/28(b) | 100,000 | 99,250 | ||||||
Hess Midstream Operations L.P., 5.62%, 2/15/26(b) | 704,000 | 704,000 | ||||||
New Fortress Energy, Inc., 6.75%, 9/15/25(b) | 205,000 | 211,390 | ||||||
NGPL PipeCo LLC, 4.88%, 8/15/27(b) | 38,000 | 41,356 | ||||||
NuStar Logistics L.P., 5.75%, 10/01/25 | 85,000 | 85,581 | ||||||
5.62%, 4/28/27 | 120,000 | 117,600 | ||||||
Sunoco Logistics Partners Operations L.P., 5.40%, 10/01/47 | 20,000 | 19,278 | ||||||
Tallgrass Energy Partners L.P./Tallgrass Energy Finance Corp., 5.50%, 9/15/24(b) | 25,000 | 24,025 | ||||||
6.00%, 3/01/27(b) | 90,000 | 85,050 | ||||||
5.50%, 1/15/28(b) | 130,000 | 119,469 | ||||||
Targa Resources Partners L.P./Targa Resources Partners Finance Corp., 5.25%, 5/01/23 | 113,000 | 112,943 | ||||||
4.25%, 11/15/23 | 275,000 | 274,971 | ||||||
5.87%, 4/15/26 | 80,000 | 81,600 | ||||||
5.50%, 3/01/30(b) | 45,000 | 45,234 | ||||||
4.88%, 2/01/31(b) | 250,000 | 243,977 |
See accompanying Notes to Financial Statements
152
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
Par(a) | Value | |||||||
Pipelines (Continued) | ||||||||
Western Midstream Operating L.P., | $ | 300,000 | $ | 284,599 | ||||
5.45%, 4/01/44 | 100,000 | 85,000 | ||||||
5.30%, 3/01/48 | 10,000 | 8,050 | ||||||
6.25%, 2/01/50 | 105,000 | 96,448 | ||||||
4,286,328 | ||||||||
Real Estate – 0.1% | ||||||||
Realogy Group LLC/Realogy Co-Issuer Corp., 7.63%, 6/15/25(b) | 185,000 | 195,406 | ||||||
Real Estate Investment Trusts – 1.0% |
| |||||||
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC, 5.75%, 5/15/26(b) | 285,000 | 236,550 | ||||||
Host Hotels & Resorts L.P., 3.50%, 9/15/30 | 160,000 | 152,799 | ||||||
Iron Mountain, Inc., 4.87%, 9/15/29(b) | 565,000 | 570,932 | ||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., | 231,000 | 230,134 | ||||||
5.25%, 10/01/25(b) | 160,000 | 146,000 | ||||||
4.25%, 2/01/27(b) | 550,000 | 475,062 | ||||||
MGM Growth Properties Operating Partnership L.P./MGP Finance Co-Issuer, Inc., 4.50%, 1/15/28 | 191,000 | 193,865 | ||||||
Service Properties Trust, | 305,000 | 269,925 | ||||||
4.75%, 10/01/26 | 65,000 | 55,575 | ||||||
Uniti Group L.P./Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.88%, 2/15/25(b) | 45,000 | 47,744 | ||||||
Uniti Group L.P./Uniti Group Finance, Inc./CSL Capital LLC, 8.25%, 10/15/23 | 60,000 | 59,100 | ||||||
VICI Properties L.P./VICI Note Co., Inc., | 55,000 | 55,204 | ||||||
3.75%, 2/15/27(b) | 65,000 | 65,163 | ||||||
4.13%, 8/15/30(b) | 70,000 | 70,875 | ||||||
2,628,928 |
Par(a) | Value | |||||||
Retail – 0.9% | ||||||||
Asbury Automotive Group, Inc., | $ | 19,000 | $ | 19,333 | ||||
4.75%, 3/01/30(b) | 22,000 | 22,715 | ||||||
AutoNation, Inc., 4.75%, 6/01/30 | 40,000 | 46,908 | ||||||
Carvana Co., | 415,000 | 408,775 | ||||||
5.87%, 10/01/28(b) | 220,000 | 217,296 | ||||||
Group 1 Automotive, Inc., 4.00%, 8/15/28(b) | 30,000 | 30,038 | ||||||
IRB Holding Corp., 6.75%, 2/15/26(b) | 40,000 | 40,100 | ||||||
Ken Garff Automotive LLC, 4.88%, | 50,000 | 49,541 | ||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 5.25%, 6/01/26(b) | 115,000 | 118,832 | ||||||
L Brands, Inc., | 235,000 | 231,475 | ||||||
6.63%, 10/01/30(b) | 90,000 | 94,500 | ||||||
6.87%, 11/01/35 | 5,000 | 5,075 | ||||||
6.75%, 7/01/36 | 65,000 | 65,663 | ||||||
Lithia Motors, Inc., 4.38%, 1/15/31(b) | 105,000 | 108,412 | ||||||
Murphy Oil USA, Inc., 4.75%, 9/15/29 | 20,000 | 20,950 | ||||||
Nordstrom, Inc., 5.00%, 1/15/44 | 135,000 | 95,620 | ||||||
PetSmart, Inc., | 75,000 | 75,094 | ||||||
8.87%, 6/01/25(b) | 160,000 | 163,800 | ||||||
QVC, Inc., | 5,000 | 5,213 | ||||||
4.45%, 2/15/25 | 10,000 | 10,225 | ||||||
Staples, Inc., 7.50%, 4/15/26(b) | 200,000 | 187,000 | ||||||
White Cap Buyer LLC, 6.88%, 10/15/28(b) | 35,000 | 35,875 | ||||||
Yum! Brands, Inc., | 10,000 | 10,750 | ||||||
3.63%, 3/15/31 | 255,000 | 250,219 | ||||||
2,313,409 | ||||||||
Semiconductors – 0.2% | ||||||||
Broadcom, Inc., 4.30%, 11/15/32 | 375,000 | 427,509 | ||||||
Software – 0.3% | ||||||||
BY Crown Parent LLC/BY Bond Finance, Inc., 4.25%, 1/31/26(b) | 95,000 | 96,187 |
See accompanying Notes to Financial Statements
153
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
Par(a) | Value | |||||||
Software (Continued) | ||||||||
Camelot Finance S.A., 4.50%, | $ | 75,000 | $ | 78,000 | ||||
Dun & Bradstreet (The) Corp., 6.87%, 8/15/26(b) | 9,000 | 9,630 | ||||||
J2 Global, Inc., 4.63%, 10/15/30(b) | 95,000 | 95,983 | ||||||
Logan Merger Sub, Inc., 5.50%, | 95,000 | 96,306 | ||||||
MSCI, Inc., 4.00%, 11/15/29(b) | 30,000 | 31,310 | ||||||
3.63%, 9/01/30(b) | 75,000 | 77,063 | ||||||
PTC, Inc., 3.62%, 2/15/25(b) | 45,000 | 45,816 | ||||||
4.00%, 2/15/28(b) | 65,000 | 67,194 | ||||||
SS&C Technologies, Inc., 5.50%, 9/30/27(b) | 115,000 | 122,225 | ||||||
Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, 9/01/25(b) | 100,000 | 101,410 | ||||||
821,124 | ||||||||
Telecommunications – 0.7% | ||||||||
CenturyLink, Inc., 5.62%, 4/01/25 | 50,000 | 52,500 | ||||||
5.13%, 12/15/26(b) | 95,000 | 97,138 | ||||||
CommScope Technologies LLC, 6.00%, 6/15/25(b) | 34,000 | 33,707 | ||||||
5.00%, 3/15/27(b) | 950,000 | 886,488 | ||||||
CommScope, Inc., 8.25%, 3/01/27(b) | 115,000 | 119,024 | ||||||
7.12%, 7/01/28(b) | 90,000 | 90,500 | ||||||
Level 3 Financing, Inc., 4.63%, | 185,000 | 188,700 | ||||||
ViaSat, Inc., 6.50%, 7/15/28(b) | 185,000 | 191,012 | ||||||
Windstream Escrow LLC/Windstream Escrow Finance Corp., 7.75%, 8/15/28(b) | 100,000 | 96,500 | ||||||
1,755,569 | ||||||||
Toys/Games/Hobbies – 0.0%(d) | ||||||||
Mattel, Inc., 5.88%, 12/15/27(b) | 30,000 | 32,601 | ||||||
Trucking & Leasing – 0.1% | ||||||||
Aviation Capital Group LLC, 5.50%, 12/15/24(b) | 245,000 | 255,094 | ||||||
Total Corporate Bonds | 68,419,202 |
Par(a) | Value | |||||||||||
Foreign Government Inflation-Linked |
| |||||||||||
Bonds – 0.7% |
| |||||||||||
Sovereign – 0.7% |
| |||||||||||
Argentina Treasury Bond, |
| |||||||||||
1.10%, 4/17/21 | ARS | $ | 1,846,000 | $ | 26,786 | |||||||
1.00%, 8/05/21 | ARS | 168,000 | 2,142 | |||||||||
1.20%, 3/18/22 | ARS | 42,182,025 | 608,188 | |||||||||
1.30%, 9/20/22 | ARS | 27,600 | 359 | |||||||||
1.40%, 3/25/23 | ARS | 42,293,339 | 546,017 | |||||||||
1.50%, 3/25/24 | ARS | 21,313,347 | 254,585 | |||||||||
Brazil Notas do Tesouro Nacional, Serie B, 6.00%, 5/15/35 | BRL | 230,000 | 164,457 | |||||||||
Letras de la Nacion Argentina con Ajuste por CER, | ARS | 16,135,800 | 239,468 | |||||||||
0.00%, 2/26/21(e) | ARS | 97,500 | 1,285 | |||||||||
1,843,287 | ||||||||||||
Total Foreign Government Inflation-Linked Bonds |
| 1,843,287 | ||||||||||
Foreign Issuer Bonds – 61.5% |
| |||||||||||
Angola – 0.3% | ||||||||||||
Angolan Government International Bond, | 460,000 | 361,514 | ||||||||||
9.12%, 11/26/49(b) | 400,000 | 305,188 | ||||||||||
666,702 | ||||||||||||
Argentina – 0.4% | ||||||||||||
Argentine Republic Government International Bond, | 106,985 | 43,864 | ||||||||||
(Step to 0.50% on 7/09/21), 0.13%, 7/09/30(i) | 829,203 | 304,317 | ||||||||||
(Step to 1.13% on 7/09/21), 0.12%, 7/09/35(i) | 1,519,164 | 496,767 | ||||||||||
YPF S.A., 6.95%, 7/21/27(b) | 120,000 | 64,200 | ||||||||||
909,148 | ||||||||||||
Australia – 0.2% | ||||||||||||
FMG Resources (August 2006) Pty. Ltd., 5.13%, 5/15/24(b) | 210,000 | 224,676 | ||||||||||
Mineral Resources Ltd., 8.12%, 5/01/27(b) | 350,000 | 381,500 | ||||||||||
606,176 |
See accompanying Notes to Financial Statements
154
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
Par(a) | Value | |||||||||||
Bahrain – 0.7% | ||||||||||||
Bahrain Government International Bond, | $ | 450,000 | $ | 487,571 | ||||||||
5.62%, 9/30/31(b) | 400,000 | 395,498 | ||||||||||
6.00%, 9/19/44 | 450,000 | 421,889 | ||||||||||
7.50%, 9/20/47 | 200,000 | 211,925 | ||||||||||
Oil and Gas Holding (The) Co. BSCC, 7.50%, 10/25/27 | 215,000 | 227,183 | ||||||||||
1,744,066 | ||||||||||||
Belgium – 0.3% | ||||||||||||
Telenet Finance Luxembourg Notes S.a.r.l., 5.50%, | 600,000 | 632,881 | ||||||||||
Brazil – 4.7% | ||||||||||||
Andrade Gutierrez International S.A., 9.50%, 12/30/24(b) | 245,000 | 145,775 | ||||||||||
Banco do Brasil S.A., (10Y US Treasury CMT + 4.40%), 6.25%, 4/15/24(g)(h) | 800,000 | 768,000 | ||||||||||
Brazil Letras do Tesouro Nacional, | BRL | 170,000 | 29,365 | |||||||||
0.00%, 7/01/21(e) | BRL | 3,825,000 | 655,735 | |||||||||
0.00%, 1/01/22(e) | BRL | 6,100,000 | 1,021,586 | |||||||||
Brazil Notas do Tesouro Nacional, Serie F, | BRL | 5,969,000 | 1,138,937 | |||||||||
10.00%, 1/01/25 | BRL | 8,920,000 | 1,739,437 | |||||||||
10.00%, 1/01/27 | BRL | 7,844,000 | 1,540,199 | |||||||||
10.00%, 1/01/29 | BRL | 5,030,000 | 996,936 | |||||||||
Brazilian Government International Bond, 3.88%, 6/12/30 | 1,600,000 | 1,620,000 | ||||||||||
CSN Islands XII Corp., 7.00%, 12/23/20(g) | 100,000 | 89,250 | ||||||||||
CSN Resources S.A., 7.62%, 4/17/26 | 200,000 | 205,400 | ||||||||||
Embraer Netherlands Finance B.V., | 65,000 | 62,790 | ||||||||||
5.40%, 2/01/27 | 45,000 | 42,796 | ||||||||||
Globo Comunicacao e Participacoes S.A., 4.87%, 1/22/30(b) | 200,000 | 197,852 | ||||||||||
MV24 Capital B.V., 6.75%, 6/01/34(b) | 195,028 | 196,200 | ||||||||||
NBM U.S. Holdings, Inc., 7.00%, 5/14/26(b) | 200,000 | 212,200 |
Par(a) | Value | |||||||
Brazil (Continued) | ||||||||
Petrobras Global Finance B.V., | $ | 320,000 | $ | 345,392 | ||||
6.90%, 3/19/49 | 90,000 | 101,848 | ||||||
6.85%, 6/05/15(j) | 733,000 | 788,847 | ||||||
11,898,545 | ||||||||
Canada – 1.1% | ||||||||
1011778 B.C. ULC/New | ||||||||
Red Finance, Inc., 10/15/30(b)(f) | 490,000 | 486,937 | ||||||
Bombardier, Inc., 6.00%, 10/15/22(b) | 185,000 | 164,419 | ||||||
6.12%, 1/15/23(b) | 485,000 | 418,434 | ||||||
Brookfield Residential | ||||||||
Properties, Inc./Brookfield | ||||||||
Residential U.S. Corp., 4.88%, 2/15/30(b) | 145,000 | 137,750 | ||||||
Cenovus Energy, Inc., | 100,000 | 105,437 | ||||||
4.25%, 4/15/27 | 15,000 | 15,271 | ||||||
5.25%, 6/15/37 | 10,000 | 9,785 | ||||||
5.40%, 6/15/47 | 175,000 | 172,659 | ||||||
Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC, 6.00%, 9/15/28(b) | 80,000 | 81,400 | ||||||
Mattamy Group Corp., | 140,000 | 148,050 | ||||||
4.63%, 3/01/30(b) | 65,000 | 65,975 | ||||||
MEG Energy Corp., 7.12%, 2/01/27(b) | 100,000 | 89,973 | ||||||
Methanex Corp., | 15,000 | 15,198 | ||||||
5.65%, 12/01/44 | 90,000 | 86,512 | ||||||
Open Text Corp., | 24,000 | 24,960 | ||||||
3.88%, 2/15/28(b) | 115,000 | 116,815 | ||||||
Parkland Corp., | 344,000 | 355,180 | ||||||
5.88%, 7/15/27(b) | 80,000 | 82,567 | ||||||
Seven Generations Energy Ltd., | 27,000 | 27,000 | ||||||
5.38%, 9/30/25(b) | 211,000 | 200,922 | ||||||
2,805,244 | ||||||||
Chile – 1.1% | ||||||||
AES Gener S.A., (5Y USD Swap Rate + 4.64%), 7.12%, 3/26/79(b)(h) | 200,000 | 207,184 |
See accompanying Notes to Financial Statements
155
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
Par(a) | Value | |||||||||||
Chile (Continued) | ||||||||||||
Bonos de la Tesoreria de la Republica en pesos, 4.70%, 9/01/30(b) | CLP | $ | 135,000,000 | $ | 206,314 | |||||||
5.00%, 3/01/35 | CLP | 435,000,000 | 677,687 | |||||||||
6.00%, 1/01/43 | CLP | 180,000,000 | 322,741 | |||||||||
Chile Government International Bond, | 400,000 | 415,500 | ||||||||||
2.55%, 1/27/32 | 425,000 | 442,531 | ||||||||||
Empresa de los Ferrocarriles del Estado, 3.07%, 8/18/50(b) | 200,000 | 186,000 | ||||||||||
Kenbourne Invest S.A., 6.88%, 11/26/24(b) | 200,000 | 208,750 | ||||||||||
2,666,707 | ||||||||||||
China – 2.9% | ||||||||||||
Agricultural Development Bank of China, 3.75%, 1/25/29 | CNY | 10,340,000 | 1,543,107 | |||||||||
China Development Bank, 3.23%, 1/10/25 | CNY | 10,090,000 | 1,495,874 | |||||||||
3.48%, 1/08/29 | CNY | 7,990,000 | 1,172,456 | |||||||||
China Evergrande Group, 8.25%, 3/23/22 | 600,000 | 505,446 | ||||||||||
Easy Tactic Ltd., 8.12%, 2/27/23 | 200,000 | 175,940 | ||||||||||
Kaisa Group Holdings Ltd., 8.50%, 6/30/22 | 400,000 | 390,916 | ||||||||||
Meituan, 3.05%, 10/28/30(b) | 210,000 | 210,439 | ||||||||||
Prosus N.V., 4.03%, 8/03/50(b) | 400,000 | 408,370 | ||||||||||
Ronshine China Holdings Ltd., 8.75%, 10/25/22 | 400,000 | 410,855 | ||||||||||
Sunac China Holdings Ltd., 7.88%, 2/15/22 | 200,000 | 203,480 | ||||||||||
Tencent Holdings Ltd., 2.39%, 6/03/30(b) | 230,000 | 232,842 | ||||||||||
3.24%, 6/03/50(b) | 400,000 | 403,200 | ||||||||||
Yuzhou Group Holdings Co. Ltd., 6.00%, 10/25/23 | 200,000 | 198,346 | ||||||||||
7,351,271 | ||||||||||||
Colombia – 2.0% | ||||||||||||
Bancolombia S.A., (5Y US Treasury CMT + 2.94%), 4.63%, 12/18/29(h) | 400,000 | 390,500 | ||||||||||
Colombian TES, 7.50%, 8/26/26 | COP | 2,943,000,000 | 870,421 | |||||||||
6.00%, 4/28/28 | COP | 5,375,000,000 | 1,451,340 | |||||||||
7.75%, 9/18/30 | COP | 2,140,100,000 | 633,329 | |||||||||
Ecopetrol S.A., 6.87%, 4/29/30 | 235,000 | 282,564 |
Par(a) | Value | |||||||||||
Colombia (Continued) | ||||||||||||
Ecopetrol S.A., 5.87%, 5/28/45 | $ | 345,000 | $ | 376,292 | ||||||||
Empresas Publicas de Medellin ESP, 4.38%, 2/15/31(b) | 200,000 | 204,252 | ||||||||||
Geopark Ltd., 5.50%, 1/17/27(b) | 200,000 | 176,002 | ||||||||||
Grupo Aval Ltd., 4.38%, | 200,000 | 194,700 | ||||||||||
Millicom International Cellular S.A., 5.12%, 1/15/28 | 200,000 | 210,000 | ||||||||||
6.25%, 3/25/29(b) | 200,000 | 221,100 | ||||||||||
5,010,500 | ||||||||||||
Congo, The Democ. Rep. of – 0.3% |
| |||||||||||
HTA Group Ltd., 7.00%, 12/18/25(b) | 655,000 | 684,344 | ||||||||||
Costa Rica – 0.1% | ||||||||||||
Costa Rica Government International Bond, | 200,000 | 182,002 | ||||||||||
6.13%, 2/19/31(b) | 200,000 | 166,502 | ||||||||||
348,504 | ||||||||||||
Czech Republic – 0.9% |
| |||||||||||
Czech Republic Government Bond, | CZK | 3,570,000 | 171,903 | |||||||||
2.75%, 7/23/29 | CZK | 8,230,000 | 406,763 | |||||||||
0.95%, 5/15/30 | CZK | 22,060,000 | 940,073 | |||||||||
2.00%, 10/13/33 | CZK | 18,340,000 | 870,543 | |||||||||
2,389,282 | ||||||||||||
Dominican Republic – 0.8% |
| |||||||||||
Dominican Republic International Bond, | 350,000 | 381,503 | ||||||||||
4.50%, 1/30/30(b) | 215,000 | 216,615 | ||||||||||
4.88%, 9/23/32(b) | 830,000 | 842,458 | ||||||||||
5.87%, 1/30/60(b) | 665,000 | 635,075 | ||||||||||
2,075,651 | ||||||||||||
Ecuador – 0.3% | ||||||||||||
Ecuador Government International Bond, (Step to 5.00% on 7/31/21), | 387,410 | 257,744 | ||||||||||
0.00%, 7/31/30(b)(e) | 83,525 | 37,783 |
See accompanying Notes to Financial Statements
156
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
Par(a) | Value | |||||||||||
Ecuador (Continued) | ||||||||||||
Ecuador Government International Bond, (Step to 1.00% on 7/31/21), 0.50%, 7/31/35(b)(i) | $ | 759,407 | $ | 420,780 | ||||||||
(Step to 0.50% on 7/31/21), 0.50%, 7/31/40(b)(i) | 295,130 | 147,590 | ||||||||||
863,897 | ||||||||||||
Egypt – 1.6% | ||||||||||||
Egypt Government International Bond, 5.75%, 5/29/24(b) | 200,000 | 204,810 | ||||||||||
6.59%, 2/21/28 | 300,000 | 302,681 | ||||||||||
7.05%, 1/15/32(b) | 435,000 | 424,433 | ||||||||||
7.63%, 5/29/32(b) | 450,000 | 455,220 | ||||||||||
8.50%, 1/31/47 | 300,000 | 299,092 | ||||||||||
8.70%, 3/01/49(b) | 250,000 | 251,625 | ||||||||||
Egypt Treasury Bill, | EGP | 3,325,000 | 209,414 | |||||||||
12.26%, 12/29/20(k) | EGP | 10,075,000 | 632,616 | |||||||||
12.28%, 1/12/21(k) | EGP | 13,025,000 | 810,635 | |||||||||
12.33%, 1/19/21(k) | EGP | 8,675,000 | 540,320 | |||||||||
4,130,846 | ||||||||||||
El Salvador – 0.1% | ||||||||||||
El Salvador Government International Bond, 6.38%, 1/18/27 | 225,000 | 182,590 | ||||||||||
Finland – 0.1% | ||||||||||||
Nokia OYJ, 4.38%, 6/12/27 | 224,000 | 240,802 | ||||||||||
France – 0.2% | ||||||||||||
Altice France S.A., 5.13%, 1/15/29(b) | 490,000 | 489,228 | ||||||||||
Germany – 0.3% | ||||||||||||
Cheplapharm Arzneimittel GmbH, 5.50%, 1/15/28(b) | 200,000 | 202,542 | ||||||||||
Deutsche Bank A.G., (5Y USD Swap Rate + 2.55%), 4.88%, 12/01/32(h) | 400,000 | 387,500 | ||||||||||
Vertical U.S. Newco, Inc., 5.25%, 7/15/27(b) | 200,000 | 205,840 | ||||||||||
795,882 | ||||||||||||
Ghana – 0.7% | ||||||||||||
Ghana Government International Bond, | 950,000 | 959,556 | ||||||||||
7.88%, 2/11/35(b) | 200,000 | 177,250 | ||||||||||
8.95%, 3/26/51(b) | 200,000 | 179,320 |
Par(a) | Value | |||||||||||
Ghana (Continued) | ||||||||||||
Ghana Treasury Note, 19.75%, 3/08/21 | GHS | $ | 220,000 | $ | 38,436 | |||||||
Republic of Ghana | ||||||||||||
Government Bonds, | GHS | 580,000 | 104,311 | |||||||||
24.75%, 7/19/21 | GHS | 678,000 | 122,251 | |||||||||
18.25%, 7/25/22 | GHS | 1,530,000 | 263,978 | |||||||||
1,845,102 | ||||||||||||
Hungary – 0.9% | ||||||||||||
Hungary Government Bond, | HUF | 346,330,000 | 1,147,380 | |||||||||
2.75%, 12/22/26 | HUF | 203,500,000 | 684,969 | |||||||||
3.00%, 8/21/30 | HUF | 17,860,000 | 60,822 | |||||||||
3.25%, 10/22/31 | HUF | 123,230,000 | 428,546 | |||||||||
2,321,717 | ||||||||||||
India – 0.9% | ||||||||||||
Adani Ports & Special Economic Zone Ltd., | 215,000 | 216,362 | ||||||||||
4.37%, 7/03/29(b) | 200,000 | 201,903 | ||||||||||
India Government Bond, 8.15%, 6/11/22 | INR | 107,500,000 | 1,542,940 | |||||||||
Network i2i Ltd., (5Y US | ||||||||||||
Treasury CMT + 4.27%), 5.65%, 1/15/25(g)(h) | 400,000 | 400,600 | ||||||||||
2,361,805 | ||||||||||||
Indonesia – 4.4% | ||||||||||||
Indonesia Asahan Aluminium Persero PT, | 400,000 | 487,288 | ||||||||||
5.45%, 5/15/30(b) | 300,000 | 341,767 | ||||||||||
6.76%, 11/15/48(b) | 250,000 | 320,140 | ||||||||||
5.80%, 5/15/50(b) | 200,000 | 231,754 | ||||||||||
Indonesia Government International Bond, 4.20%, 10/15/50 | 300,000 | 345,850 | ||||||||||
Indonesia Treasury Bond, 7.00%, 5/15/22 | IDR | 25,056,000,000 | 1,786,214 | |||||||||
8.37%, 3/15/24 | IDR | 10,516,000,000 | 790,209 | |||||||||
8.13%, 5/15/24 | IDR | 4,600,000,000 | 343,718 | |||||||||
8.37%, 9/15/26 | IDR | 19,428,000,000 | 1,480,923 | |||||||||
7.00%, 5/15/27 | IDR | 7,420,000,000 | 525,619 | |||||||||
9.00%, 3/15/29 | IDR | 14,944,000,000 | 1,167,790 | |||||||||
8.25%, 5/15/29 | IDR | 656,000,000 | 49,430 | |||||||||
7.00%, 9/15/30 | IDR | 6,610,000,000 | 465,751 | |||||||||
6.50%, 2/15/31 | IDR | 1,240,000,000 | 84,328 | |||||||||
7.50%, 8/15/32 | IDR | 10,750,000,000 | 753,364 | |||||||||
8.37%, 3/15/34 | IDR | 7,953,000,000 | 592,057 | |||||||||
Minejesa Capital B.V., 5.63%, 8/10/37(b) | 200,000 | 207,000 |
See accompanying Notes to Financial Statements
157
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
Par(a) | Value | |||||||||||
Indonesia (Continued) | ||||||||||||
Pertamina Persero PT, | $ | 400,000 | $ | 395,010 | ||||||||
Perusahaan Penerbit SBSN Indonesia III, | ||||||||||||
4.15%, 3/29/27 | 330,000 | 369,679 | ||||||||||
3.80%, 6/23/50(b) | 400,000 | 424,192 | ||||||||||
11,162,083 | ||||||||||||
Iraq – 0.2% | ||||||||||||
Iraq International Bond, | 468,750 | 405,469 | ||||||||||
Ireland – 0.2% | ||||||||||||
AerCap Ireland Capital | 150,000 | 165,263 | ||||||||||
C&W Senior Financing DAC, | 400,000 | 421,200 | ||||||||||
586,463 | ||||||||||||
Israel – 1.3% | ||||||||||||
Leviathan Bond Ltd., | ||||||||||||
5.75%, 6/30/23(b) | 153,000 | 156,705 | ||||||||||
6.12%, 6/30/25(b) | 305,000 | 316,636 | ||||||||||
6.50%, 6/30/27(b) | 272,000 | 280,304 | ||||||||||
6.75%, 6/30/30(b) | 85,000 | 87,499 | ||||||||||
State of Israel, 3.38%, | ||||||||||||
1/15/50 | 775,000 | 836,333 | ||||||||||
Teva Pharmaceutical Finance Netherlands III B.V., | 35,000 | 33,195 | ||||||||||
3.15%, 10/01/26 | 405,000 | 356,400 | ||||||||||
4.10%, 10/01/46 | 1,472,000 | 1,221,760 | ||||||||||
3,288,832 | ||||||||||||
Italy – 0.2% | ||||||||||||
Intesa Sanpaolo S.p.A., | ||||||||||||
5.02%, 6/26/24(b) | 200,000 | 211,070 | ||||||||||
Telecom Italia Capital S.A., | ||||||||||||
6.37%, 11/15/33 | 60,000 | 70,972 | ||||||||||
6.00%, 9/30/34 | 10,000 | 11,635 | ||||||||||
7.20%, 7/18/36 | 39,000 | 49,204 | ||||||||||
UniCredit S.p.A., (5Y US Treasury CMT + 4.75%), | 200,000 | 202,568 | ||||||||||
545,449 | ||||||||||||
Ivory Coast – 0.1% | ||||||||||||
Ivory Coast Government International Bond, | EUR | 300,000 | 341,988 |
Par(a) | Value | |||||||||||
Japan – 3.1% | ||||||||||||
Japan Treasury Discount Bill, | ||||||||||||
(0.09%), 11/09/20(k) | JPY | $ | 700,000 | $ | 6,686 | |||||||
(0.18%), 11/10/20(k) | JPY | 49,900,000 | 476,636 | |||||||||
(0.12%), 12/10/20(k) | JPY | 184,800,000 | 1,765,308 | |||||||||
(0.13%), 12/14/20(k) | JPY | 24,700,000 | 235,950 | |||||||||
(0.13%), 12/16/20(k) | JPY | 184,700,000 | 1,764,379 | |||||||||
(0.18%), 1/12/21(k) | JPY | 226,400,000 | 2,162,875 | |||||||||
(0.10%), 1/18/21(k) | JPY | 121,000,000 | 1,155,974 | |||||||||
(0.13%), 2/10/21(k) | JPY | 3,250,000 | 31,051 | |||||||||
(0.16%), 3/10/21(k) | JPY | 3,800,000 | 36,309 | |||||||||
(0.16%), 3/25/21(k) | JPY | 15,300,000 | 146,197 | |||||||||
7,781,365 | ||||||||||||
Kazakhstan – 0.6% | ||||||||||||
KazMunayGas | ||||||||||||
National Co. JSC, | 1,025,000 | 1,056,984 | ||||||||||
5.75%, 4/19/47 | 450,000 | 559,761 | ||||||||||
1,616,745 | ||||||||||||
Kenya – 0.4% | ||||||||||||
Kenya Government International Bond, 7.00%, 5/22/27 | 900,000 | 937,654 | ||||||||||
Kuwait – 0.1% | ||||||||||||
MEGlobal Canada ULC, 5.00%, 5/18/25(b) | 200,000 | 217,690 | ||||||||||
Lebanon – 0.1% | ||||||||||||
Lebanon Government International Bond, 8.25%, 5/17/34(l) | 1,050,000 | 149,625 | ||||||||||
Luxembourg – 0.4% | ||||||||||||
Altice Financing S.A., 5.00%, 1/15/28(b) | 240,000 | 232,800 | ||||||||||
ArcelorMittal S.A., | 30,000 | 36,668 | ||||||||||
7.00%, 3/01/41 | 165,000 | 198,833 | ||||||||||
ARD Finance S.A., (100% Cash), 6.50%, 6/30/27(b)(m) | 600,000 | 609,750 | ||||||||||
1,078,051 | ||||||||||||
Macau – 0.2% | ||||||||||||
Studio City Finance Ltd., 6.00%, 7/15/25(b) | 215,000 | 215,269 | ||||||||||
6.50%, 1/15/28(b) | 200,000 | 197,040 | ||||||||||
Wynn Macau Ltd., 5.12%, 12/15/29(b) | 200,000 | 185,105 | ||||||||||
597,414 |
See accompanying Notes to Financial Statements
158
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
Par(a) | Value | |||||||||||
Malaysia – 1.6% | ||||||||||||
Malaysia Government Bond, | ||||||||||||
3.48%, 3/15/23 | MYR | $ | 3,450,000 | $ | 863,479 | |||||||
4.18%, 7/15/24 | MYR | 2,650,000 | 689,338 | |||||||||
3.90%, 11/16/27 | MYR | 3,375,000 | 888,368 | |||||||||
3.89%, 8/15/29 | MYR | 2,595,000 | 685,031 | |||||||||
4.50%, 4/15/30 | MYR | 517,000 | 142,732 | |||||||||
4.23%, 6/30/31 | MYR | 770,000 | 209,605 | |||||||||
3.84%, 4/15/33 | MYR | 471,000 | 123,135 | |||||||||
4.89%, 6/08/38 | MYR | 545,000 | 154,365 | |||||||||
Petronas Capital Ltd., 3.50%, 4/21/30(b) | 270,000 | 300,332 | ||||||||||
4,056,385 | ||||||||||||
Mexico – 5.9% | ||||||||||||
Banco Mercantil del Norte S.A., | ||||||||||||
(5Y US Treasury CMT + 5.04%), 6.87%, | 400,000 | 399,504 | ||||||||||
(10Y US Treasury CMT + 5.47%), 7.50%, | 200,000 | 199,222 | ||||||||||
Cemex S.A.B. de C.V., | 200,000 | 205,300 | ||||||||||
7.37%, 6/05/27(b) | 460,000 | 506,695 | ||||||||||
5.20%, 9/17/30(b) | 200,000 | 211,278 | ||||||||||
Infraestructura Energetica Nova S.A.B. de C.V., 4.75%, 1/15/51(b) | 650,000 | 610,675 | ||||||||||
Mexican Bonos, | MXN | 51,437,000 | 2,500,675 | |||||||||
8.00%, 12/07/23 | MXN | 37,330,000 | 1,924,251 | |||||||||
8.00%, 9/05/24 | MXN | 4,218,000 | 219,810 | |||||||||
10.00%, 12/05/24 | MXN | 41,630,000 | 2,323,304 | |||||||||
5.75%, 3/05/26 | MXN | 13,045,000 | 626,319 | |||||||||
7.50%, 6/03/27 | MXN | 8,850,000 | 459,270 | |||||||||
8.50%, 5/31/29 | MXN | 25,767,400 | 1,418,382 | |||||||||
7.75%, 5/29/31 | MXN | 17,326,500 | 910,406 | |||||||||
7.75%, 11/13/42 | MXN | 10,480,000 | 529,818 | |||||||||
Petroleos Mexicanos, | 200,000 | 186,400 | ||||||||||
5.35%, 2/12/28 | 250,000 | 213,547 | ||||||||||
5.95%, 1/28/31 | 737,000 | 616,869 | ||||||||||
6.63%, 6/15/35 | 454,000 | 373,896 | ||||||||||
7.69%, 1/23/50 | 525,000 | 436,238 | ||||||||||
Unifin Financiera S.A.B. de C.V., 7.25%, 9/27/23(b) | 200,000 | 175,002 | ||||||||||
15,046,861 |
Par(a) | Value | |||||||||||
Netherlands – 0.3% | ||||||||||||
Ziggo B.V., | $ | 472,000 | $ | 489,700 | ||||||||
4.88%, 1/15/30(b) | 200,000 | 207,375 | ||||||||||
697,075 | ||||||||||||
Nigeria – 0.6% | ||||||||||||
IHS Netherlands Holdco B.V., | 200,000 | 201,500 | ||||||||||
Nigeria Government International Bond, | 400,000 | 385,778 | ||||||||||
7.87%, 2/16/32 | 200,000 | 194,457 | ||||||||||
7.70%, 2/23/38(b) | 515,000 | 473,233 | ||||||||||
7.62%, 11/28/47 | 300,000 | 274,368 | ||||||||||
1,529,336 | ||||||||||||
Norway – 0.9% | ||||||||||||
Aker BP ASA, 5.88%, 3/31/25(b) | 410,000 | 423,217 | ||||||||||
Norway Government Bond, 3.75%, 5/25/21(b) | NOK | 1,858,000 | 198,680 | |||||||||
2.00%, 5/24/23(b) | NOK | 9,421,000 | 1,032,033 | |||||||||
3.00%, 3/14/24(b) | NOK | 4,328,000 | 495,016 | |||||||||
2,148,946 | ||||||||||||
Oman – 0.4% | ||||||||||||
Oman Government International Bond, | 400,000 | 367,661 | ||||||||||
5.62%, 1/17/28 | 600,000 | 549,424 | ||||||||||
6.50%, 3/08/47 | 200,000 | 162,342 | ||||||||||
1,079,427 | ||||||||||||
Pakistan – 0.2% | ||||||||||||
Pakistan Government International Bond, 6.88%, 12/05/27 | 535,000 | 524,460 | ||||||||||
Panama – 0.8% | ||||||||||||
Aeropuerto Internacional de Tocumen S.A., 6.00%, 11/18/48(b) | 199,116 | 221,797 | ||||||||||
Panama Government International Bond, | 825,000 | 900,290 | ||||||||||
2.25%, 9/29/32 | 850,000 | 864,450 | ||||||||||
1,986,537 | ||||||||||||
Paraguay – 0.1% | ||||||||||||
Paraguay Government | ||||||||||||
International Bond, 5.60%, 3/13/48 | 300,000 | 369,303 |
See accompanying Notes to Financial Statements
159
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
Par(a) | Value | |||||||||||
Peru – 1.3% | ||||||||||||
Banco de Credito del Peru, (5Y US Treasury CMT + 3.00%), 3.13%, 7/01/30(b)(h) | $ | 140,000 | $ | 141,541 | ||||||||
Nexa Resources S.A., | 200,000 | 210,600 | ||||||||||
6.50%, 1/18/28(b) | 200,000 | 222,750 | ||||||||||
Peru Government Bond, | PEN | 3,350,000 | 1,068,726 | |||||||||
5.40%, 8/12/34 | PEN | 70,000 | 20,400 | |||||||||
Peruvian Government International Bond, | 1,045,000 | 1,129,645 | ||||||||||
6.90%, 8/12/37 | PEN | 1,371,000 | 448,373 | |||||||||
3,242,035 | ||||||||||||
Poland – 1.7% | ||||||||||||
Republic of Poland Government Bond, | PLN | 650,000 | 169,684 | |||||||||
2.50%, 7/25/26 | PLN | 3,070,000 | 858,027 | |||||||||
2.50%, 7/25/27 | PLN | 3,614,000 | 1,014,177 | |||||||||
2.75%, 10/25/29 | PLN | 7,929,000 | 2,288,406 | |||||||||
4,330,294 | ||||||||||||
Qatar – 0.7% | ||||||||||||
Qatar Government International Bond, | 800,000 | 884,378 | ||||||||||
3.75%, 4/16/30(b) | 825,000 | 957,818 | ||||||||||
1,842,196 | ||||||||||||
Romania – 1.3% | ||||||||||||
Romania Government Bond, 4.25%, 6/28/23 | RON | 2,130,000 | 528,755 | |||||||||
3.25%, 4/29/24 | RON | 4,480,000 | 1,086,919 | |||||||||
5.00%, 2/12/29 | RON | 1,050,000 | 284,240 | |||||||||
3.65%, 9/24/31 | RON | 1,260,000 | 306,972 | |||||||||
Romanian Government International Bond, | 290,000 | 300,299 | ||||||||||
4.00%, 2/14/51(b) | 870,000 | 886,325 | ||||||||||
3,393,510 | ||||||||||||
Russia – 1.6% | ||||||||||||
Russian Federal Bond - OFZ, 6.50%, 2/28/24 | RUB | 43,924,000 | 577,484 | |||||||||
7.10%, 10/16/24 | RUB | 80,200,000 | 1,077,933 | |||||||||
7.75%, 9/16/26 | RUB | 44,417,000 | 622,284 | |||||||||
7.05%, 1/19/28 | RUB | 40,100,000 | 542,738 | |||||||||
6.90%, 5/23/29 | RUB | 45,121,000 | 603,913 |
Par(a) | Value | |||||||||||
Russia (Continued) | ||||||||||||
Russian Federal Bond - OFZ, | RUB | $ | 35,600,000 | $ | 526,599 | |||||||
7.70%, 3/23/33 | RUB | 11,250,000 | 157,967 | |||||||||
4,108,918 | ||||||||||||
Saudi Arabia – 0.9% | ||||||||||||
Saudi Government International Bond, | 1,225,000 | 1,285,248 | ||||||||||
2.75%, 2/03/32(b) | 850,000 | 888,930 | ||||||||||
2,174,178 | ||||||||||||
Senegal – 0.1% | ||||||||||||
Senegal Government International Bond, | EUR | 300,000 | 346,753 | |||||||||
South Africa – 2.6% | ||||||||||||
Eskom Holdings SOC Ltd., 6.75%, 8/06/23 | 400,000 | 380,512 | ||||||||||
7.13%, 2/11/25 | 600,000 | 563,093 | ||||||||||
Republic of South Africa Government Bond, | ZAR | 29,900,000 | 1,691,706 | |||||||||
7.00%, 2/28/31 | ZAR | 11,100,000 | 558,276 | |||||||||
8.25%, 3/31/32 | ZAR | 9,700,000 | 512,228 | |||||||||
8.87%, 2/28/35 | ZAR | 5,800,000 | 297,817 | |||||||||
8.50%, 1/31/37 | ZAR | 17,375,409 | 837,594 | |||||||||
9.00%, 1/31/40 | ZAR | 6,000,000 | 294,872 | |||||||||
8.75%, 1/31/44 | ZAR | 14,438,898 | 676,803 | |||||||||
8.75%, 2/28/48 | ZAR | 4,294,591 | 200,534 | |||||||||
Republic of South Africa Government International Bond, | 200,000 | 194,240 | ||||||||||
5.75%, 9/30/49 | 350,000 | 315,203 | ||||||||||
6,522,878 | ||||||||||||
South Korea – 2.3% | ||||||||||||
Korea Treasury Bond, 1.38%, 12/10/29 | KRW | 6,654,400,000 | 5,783,580 | |||||||||
Sri Lanka – 0.1% | ||||||||||||
Sri Lanka Government | ||||||||||||
International Bond, 5.75%, 4/18/23(b) | 425,000 | 238,000 | ||||||||||
Thailand – 1.9% | ||||||||||||
Bangkok Bank PCL, (5Y US Treasury CMT + 4.73%), | 300,000 | 299,664 | ||||||||||
Thailand Government Bond, 2.88%, 12/17/28 | THB | 44,200,000 | 1,593,812 |
See accompanying Notes to Financial Statements
160
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
Par(a) | Value | |||||||||||
Thailand (Continued) | ||||||||||||
Thailand Government Bond, | ||||||||||||
3.40%, 6/17/36 | THB | $ | 13,400,000 | $ | 532,038 | |||||||
3.30%, 6/17/38 | THB | 61,968,000 | 2,409,594 | |||||||||
4,835,108 | ||||||||||||
Turkey – 0.5% | ||||||||||||
Turkey Government International Bond, | ||||||||||||
4.88%, 10/09/26 | 305,000 | 275,165 | ||||||||||
5.12%, 2/17/28 | 200,000 | 177,624 | ||||||||||
6.12%, 10/24/28 | 200,000 | 187,103 | ||||||||||
5.25%, 3/13/30 | 768,000 | 668,160 | ||||||||||
1,308,052 | ||||||||||||
Ukraine – 0.7% | ||||||||||||
Ukraine Government International Bond, | ||||||||||||
7.75%, 9/01/22 | 350,000 | 365,582 | ||||||||||
7.75%, 9/01/26 | 665,000 | 674,330 | ||||||||||
7.75%, 9/01/27 | 505,000 | 509,469 | ||||||||||
0.01%, 5/31/40(k) | 241,000 | 209,533 | ||||||||||
1,758,914 | ||||||||||||
United Arab Emirates – 1.1% |
| |||||||||||
Abu Dhabi Government International Bond, 2.50%, 9/30/29(b) | 225,000 | 239,321 | ||||||||||
3.12%, 4/16/30(b) | 375,000 | 417,476 | ||||||||||
1.70%, 3/02/31 | 1,100,000 | 1,086,237 | ||||||||||
3.12%, 9/30/49(b) | 225,000 | 237,038 | ||||||||||
DP World Salaam, (5Y US Treasury CMT + 5.75%), | ||||||||||||
6.00%, 10/01/25(g)(h) | 400,000 | 420,320 | ||||||||||
Galaxy Pipeline Assets Bidco Ltd., | ||||||||||||
9/30/27(b)(f) | 200,000 | 199,356 | ||||||||||
3/31/36(b)(f) | 200,000 | 199,519 | ||||||||||
Shelf Drilling Holdings Ltd., 8.25%, 2/15/25(b) | 184,000 | 60,720 | ||||||||||
2,859,987 | ||||||||||||
United Kingdom – 0.4% |
| |||||||||||
Ardonagh Midco 2 PLC, | ||||||||||||
11.50%, 1/15/27(b) | 200,000 | 198,000 | ||||||||||
Ashtead Capital, Inc., | ||||||||||||
4.12%, 8/15/25(b) | 200,000 | 205,414 | ||||||||||
Connect Finco S.a.r.l./Connect U.S. Finco LLC, 6.75%, 10/01/26(b) | 200,000 | 201,440 |
Par(a) | Value | |||||||||||
United Kingdom (Continued) |
| |||||||||||
Virgin Media Finance PLC, | ||||||||||||
5.00%, 7/15/30(b) | $ | 235,000 | $ | 233,825 | ||||||||
Virgin Media Secured Finance PLC, 5.50%, 5/15/29(b) | 230,000 | 245,734 | ||||||||||
1,084,413 | ||||||||||||
Uruguay – 0.6% | ||||||||||||
Uruguay Government International Bond, | ||||||||||||
4.38%, 1/23/31 | 315,000 | 380,365 | ||||||||||
4.97%, 4/20/55 | 360,000 | 475,200 | ||||||||||
Uruguay Monetary Regulation Bill, | ||||||||||||
7.20%, 1/22/21(k) | UYU | 6,822,000 | 156,360 | |||||||||
7.48%, 5/07/21(k) | UYU | 5,607,000 | 125,720 | |||||||||
7.26%, 6/18/21(k) | UYU | 16,200,000 | 360,133 | |||||||||
1,497,778 | ||||||||||||
Vietnam – 0.1% | ||||||||||||
Mong Duong Finance Holdings B.V., 5.13%, 5/07/29(b) | 250,000 | 254,522 | ||||||||||
Zambia – 0.6% | ||||||||||||
First Quantum Minerals Ltd., | ||||||||||||
7.25%, 4/01/23(b) | 430,000 | 432,150 | ||||||||||
7.50%, 4/01/25(b) | 200,000 | 201,000 | ||||||||||
6.87%, 3/01/26(b) | 800,000 | 794,000 | ||||||||||
1,427,150 | ||||||||||||
Total Foreign Issuer Bonds
|
|
| 156,176,314
|
| ||||||||
Term Loans – 0.0%(d)(n) |
| |||||||||||
Retail – 0.0%(d) | ||||||||||||
J.C. Penney Corp., Inc.,
|
| 20,286
|
|
| 6,086
|
| ||||||
Total Term Loans
|
| 6,086
|
| |||||||||
Number of Shares | ||||||||||||
Warrants – 0.0%(d) |
| |||||||||||
Engineering & Construction – 0.0%(d) |
| |||||||||||
Mcdermott International | 8,166 | 6,038 | ||||||||||
Total Warrants
|
| 6,038
|
|
See accompanying Notes to Financial Statements
161
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
Number of Shares | Value | |||||||
Investment Companies – 1.4% |
| |||||||
iShares iBoxx High Yield Corporate Bond ETF (Germany) | 43,048 | $ | 3,610,866 | |||||
Total Investment Companies |
| 3,610,866 | ||||||
Short-Term Investments – 6.8% |
| |||||||
U.S. Government Agencies – 1.8% |
| |||||||
Federal Home Loan Bank Discount Notes, 0.00%, 11/02/20(e) | 4,730,000 | 4,729,999 | ||||||
Money Market Fund – 3.0% |
| |||||||
Northern Institutional Funds - Treasury Portfolio (Premier), 0.00%(p) | 7,611,026 | 7,611,026 | ||||||
U.S. Treasury Bills – 2.0% |
| |||||||
U.S. Treasury Bill, 0.09%, 11/24/20(k) | 2,460,000 | 2,459,876 | ||||||
U.S. Treasury Bill, 0.09%, 1/07/21(k) | 2,530,000 | 2,529,606 | ||||||
4,989,482 | ||||||||
Total Short-Term Investments | 17,330,507 |
Number of Contracts | Notional Amount | Value | ||||||||||
Purchased Options – 0.0%(d) |
| |||||||||||
Put Options - Over the Counter – 0.0%(d) |
| |||||||||||
South African Rand vs. U.S. Dollar, Strike Price ZAR 15.65, Expires 1/06/21, Counterparty: BNP Paribas
|
| 1
|
| $
| 590,000
|
| $
| 5,328
|
| |||
Total Purchased Options
|
|
| 5,328
|
| ||||||||
Total Investments – 99.5%
|
|
| 252,800,425
|
| ||||||||
Other Assets less Liabilities – 0.5%(q)
|
|
| 1,243,287
|
| ||||||||
NET ASSETS – 100.0%
|
| $
| 254,043,712
|
|
Percentages shown are based on Net Assets.
(a) | Par value is in USD unless otherwise indicated. |
(b) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees of Morningstar Funds Trust. |
(c) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. |
(d) | Amount rounds to less than 0.05%. |
(e) | Zero coupon bond. |
(f) | When-Issued Security. Coupon rate was not yet in effect at October 31, 2020. (g) Perpetual bond. Maturity date represents next call date. |
(h) | Variable rate security. Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate as of October 31, 2020 is disclosed. |
(i) | Step coupon bond. Rate as of October 31, 2020 is disclosed. |
(j) | Century bond maturing in 2115. |
(k) | Discount rate at the time of purchase. |
(l) | Issuer has defaulted on terms of debt obligation. |
(m) | Security is a payment in-kind bond (PIK), distributions received in-kind unless otherwise noted in the description. |
(n) | Variable rate security. Rate as of October 31, 2020 is disclosed. |
(o) | This is a Level 3 asset which is fair valued by the Pricing Committee (see Note 4 in Notes to Schedule of Investments). The fair value price of $0.73 is based on a pricing model which utilizes projected earnings along with discounted multiples. During the fiscal period, the Fund acquired $6,000 of this asset. |
(p) | 7-day current yield as of October 31, 2020 is disclosed. |
(q) | Includes appreciation/ (depreciation) on forward foreign currency exchange contracts. |
See accompanying Notes to Financial Statements
162
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
* | Non-Income Producing Security |
Abbreviations: | ||
3M | 3 Month | |
5Y | 5 Year | |
10Y | 10 Year | |
ARS | Argentine Peso | |
BRL | Brazilian Real | |
CLP | Chilean Peso | |
CMT | Constant Maturity | |
CNY | Chinese Offshore Yuan | |
COP | Colombian Peso | |
CVR | Contingent Value Rights | |
CZK | Czech Republic Koruna | |
EGP | Egyptian Pound | |
ETF | Exchange-Traded Fund | |
EUR | Euro | |
GHS | Ghanaian Cedi | |
HUF | Hungarian Forint | |
IDR | Indonesian Rupiah | |
INR | Indian Rupee | |
JPY | Japanese Yen | |
KRW | South Korean Won | |
LIBOR | London Interbank Offered Rate | |
LLC | Limited Liability Company | |
MSCI | Morgan Stanley Capital International | |
MXN | Mexican Peso | |
MYR | Malaysian Ringgit | |
NOK | Norwegian Kroner | |
PCL | Public Company Limited | |
PEN | Peruvian Nuevo Sole | |
PLC | Public Limited Company | |
PLN | Polish Zloty | |
REIT | Real Estate Investment Trust | |
RON | Romania New Leu | |
RUB | Russian Ruble | |
THB | Thai Baht | |
USD | United States Dollar | |
UYU | Uruguay Peso | |
ZAR | South African Rand |
| ||||
Concentration by Currency (%) | ||||
U.S. Dollar | 58.3 | |||
All other currencies less than 5% | 41.7 | |||
Total | 100.0 |
| ||||
Composition by Type (%) | ||||
Non-Government | 49.9 | |||
Sovereign | 49.6 | |||
Others | 0.5 | |||
Total | 100.0 |
See accompanying Notes to Financial Statements
163
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2020:
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
03/17/21 | Japanese Yen | 178,231,911 | Australian Dollars | 2,321,000 | HSBC | $ 73,284 | ||||||||||||||||||
12/08/20 | U.S. Dollars | 893,966 | | Czech Republic Koruna | | 19,950,000 | BNP | 40,862 | ||||||||||||||||
11/18/20 | U.S. Dollars | 596,000 | Russian Rubles | 44,271,416 | Bank of America | 39,851 | ||||||||||||||||||
11/25/20 | Japanese Yen | 132,239,165 | Australian Dollars | 1,747,000 | JPMorgan Chase | 35,325 | ||||||||||||||||||
11/24/20 | Japanese Yen | 132,068,832 | Australian Dollars | 1,747,000 | JPMorgan Chase | 33,690 | ||||||||||||||||||
11/04/20 | U.S. Dollars | 1,315,229 | Brazilian Reals | 7,364,900 | JPMorgan Chase | 31,941 | ||||||||||||||||||
11/04/20 | U.S. Dollars | 589,192 | Brazilian Reals | 3,241,000 | Citibank | 24,468 | ||||||||||||||||||
11/24/20 | Japanese Yen | 83,133,174 | Australian Dollars | 1,098,534 | Citibank | 22,014 | ||||||||||||||||||
12/14/20 | Japanese Yen | 46,021,465 | Australian Dollars | 595,000 | HSBC | 21,530 | ||||||||||||||||||
12/14/20 | Japanese Yen | 38,421,769 | Australian Dollars | 494,995 | JPMorgan Chase | 19,205 | ||||||||||||||||||
04/13/21 | Japanese Yen | 54,339,284 | Australian Dollars | 715,008 | JPMorgan Chase | 17,287 | ||||||||||||||||||
02/26/21 | Japanese Yen | 43,073,857 | Euro | 342,449 | Citibank | 12,171 | ||||||||||||||||||
04/06/21 | Japanese Yen | 82,533,153 | Euro | 665,700 | JPMorgan Chase | 11,938 | ||||||||||||||||||
01/13/21 | Japanese Yen | 32,409,517 | Australian Dollars | 424,998 | JPMorgan Chase | 11,067 | ||||||||||||||||||
07/13/21 | Japanese Yen | 32,336,444 | Australian Dollars | 424,999 | JPMorgan Chase | 10,943 | ||||||||||||||||||
04/16/21 | U.S. Dollars | 950,776 | Euro | 806,283 | Deutsche Bank | 8,035 | ||||||||||||||||||
11/10/20 | U.S. Dollars | 403,620 | Euro | 340,000 | | Standard Chartered Bank | | 7,552 | ||||||||||||||||
11/04/20 | Brazilian Reals | 6,574,900 | U.S. Dollars | 1,139,004 | JPMorgan Chase | 6,631 | ||||||||||||||||||
11/12/20 | U.S. Dollars | 298,000 | Colombian Pesos | 1,132,400,000 | Goldman Sachs | 5,589 | ||||||||||||||||||
11/04/20 | Brazilian Reals | 3,241,000 | U.S. Dollars | 560,436 | Citibank | 4,288 | ||||||||||||||||||
01/29/21 | U.S. Dollars | 863,354 | South Korean Won | 979,000,000 | HSBC | 2,127 | ||||||||||||||||||
04/30/21 | Japanese Yen | 42,029,284 | Euro | 342,450 | Citibank | 1,969 | ||||||||||||||||||
11/10/20 | Swiss Francs | 150,000 | Euro | 138,953 | Goldman Sachs | 1,766 | ||||||||||||||||||
05/03/21 | U.S. Dollars | 341,503 | Australian Dollars | 483,000 | Morgan Stanley | 1,704 | ||||||||||||||||||
12/30/20 | Japanese Yen | 11,965,996 | Euro | 97,167 | Citibank | 1,062 | ||||||||||||||||||
03/31/21 | Japanese Yen | 11,972,993 | Euro | 97,167 | Citibank | 1,042 | ||||||||||||||||||
06/30/21 | Japanese Yen | 11,980,673 | Euro | 97,167 | Citibank | 1,027 | ||||||||||||||||||
11/18/20 | U.S. Dollars | 42,640 | Euro | 35,984 | Deutsche Bank | 714 | ||||||||||||||||||
01/08/21 | Thai Baht | 9,480,000 | U.S. Dollars | 303,535 | Barclays | 545 | ||||||||||||||||||
03/15/21 | Swedish Kronor | 2,271,000 | Euro | 218,405 | Deutsche Bank | 448 | ||||||||||||||||||
12/14/20 | Swedish Kronor | 3,074,000 | Euro | 296,092 | Deutsche Bank | 441 | ||||||||||||||||||
11/12/20 | Colombian Pesos | 1,132,400,000 | U.S. Dollars | 292,081 | BNP | 329 | ||||||||||||||||||
12/15/20 | Swedish Kronor | 757,000 | Euro | 72,774 | Deutsche Bank | 273 | ||||||||||||||||||
| ||||||||||||||||||||||||
Total Unrealized Appreciation |
| $451,118 | ||||||||||||||||||||||
| ||||||||||||||||||||||||
01/19/21 | Swedish Kronor | 2,395,500 | Euro | 231,113 | Deutsche Bank | $ (203 | ) | |||||||||||||||||
04/16/21 | Swedish Kronor | 2,395,500 | Euro | 230,883 | Deutsche Bank | (225 | ) | |||||||||||||||||
04/15/21 | Swedish Kronor | 757,000 | Euro | 73,125 | Deutsche Bank | (262 | ) | |||||||||||||||||
11/18/20 | Euro | 35,984 | U.S. Dollars | 42,606 | Deutsche Bank | (680 | ) | |||||||||||||||||
11/17/20 | Swedish Kronor | 757,000 | Euro | 73,622 | Deutsche Bank | (689 | ) |
See accompanying Notes to Financial Statements
164
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
Expiration | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
11/24/20 | Australian Dollars | 483,000 | Japanese Yen | 35,623,085 | JPMorgan Chase | $ (806 | ) | |||||||||||||||||
11/10/20 | Swedish Kronor | 2,000,000 | Euro | 193,742 | Deutsche Bank | (908 | ) | |||||||||||||||||
11/23/20 | Euro | 94,000 | U.S. Dollars | 111,301 | Bank of America | (1,768 | ) | |||||||||||||||||
12/14/20 | Swedish Kronor | 3,074,000 | Euro | 298,487 | Deutsche Bank | (2,351 | ) | |||||||||||||||||
11/13/20 | Swedish Kronor | 3,074,000 | Euro | 298,593 | Deutsche Bank | (2,353 | ) | |||||||||||||||||
01/13/21 | U.S. Dollars | 322,630 | Mexican Pesos | 6,973,000 | Citibank | (3,363 | ) | |||||||||||||||||
11/18/20 | Russian Rubles | 32,878,876 | U.S. Dollars | 416,441 | JPMorgan Chase | (3,408 | ) | |||||||||||||||||
03/16/21 | U.S. Dollars | 432,454 | Mexican Pesos | 9,398,000 | Citibank | (3,812 | ) | |||||||||||||||||
11/04/20 | Brazilian Reals | 790,000 | U.S. Dollars | 141,653 | JPMorgan Chase | (4,001 | ) | |||||||||||||||||
01/04/21 | U.S. Dollars | 559,391 | Brazilian Reals | 3,241,000 | Citibank | (4,122 | ) | |||||||||||||||||
12/22/20 | U.S. Dollars | 300,000 | Taiwan Dollars | 8,601,900 | Barclays | (4,790 | ) | |||||||||||||||||
11/27/20 | U.S. Dollars | 448,690 | Indian Rupees | 33,926,324 | JPMorgan Chase | (5,590 | ) | |||||||||||||||||
03/08/21 | U.S. Dollars | 347,104 | Mexican Pesos | 7,591,000 | Citibank | (5,603 | ) | |||||||||||||||||
01/15/21 | U.S. Dollars | 474,044 | Mexican Pesos | 10,264,000 | Citibank | (5,698 | ) | |||||||||||||||||
11/12/20 | U.S. Dollars | 300,000 | Chilean Pesos | 236,430,000 | JPMorgan Chase | (5,719 | ) | |||||||||||||||||
11/18/20 | Russian Rubles | 11,392,540 | U.S. Dollars | 149,000 | Citibank | (5,884 | ) | |||||||||||||||||
12/01/20 | U.S. Dollars | 295,000 | South African Rand | 4,916,175 | Barclays | (5,997 | ) | |||||||||||||||||
12/02/20 | U.S. Dollars | 1,137,920 | Brazilian Reals | 6,574,900 | JPMorgan Chase | (6,185 | ) | |||||||||||||||||
11/10/20 | Euro | 340,000 | U.S. Dollars | 402,730 | | Standard Chartered Bank | | (6,662 | ) | |||||||||||||||
01/27/21 | Norwegian Kroner | 4,350,000 | Euro | 396,236 | Deutsche Bank | (6,930 | ) | |||||||||||||||||
12/01/20 | Indian Rupees | 43,575,772 | U.S. Dollars | 590,000 | Bank of America | (7,078 | ) | |||||||||||||||||
02/26/21 | U.S. Dollars | 653,727 | Indian Rupees | 49,948,000 | Deutsche Bank | (8,106 | ) | |||||||||||||||||
11/10/20 | Norwegian Kroner | 1,890,000 | Euro | 177,185 | Deutsche Bank | (8,440 | ) | |||||||||||||||||
12/01/20 | U.S. Dollars | 398,685 | South African Rand | 6,650,691 | JPMorgan Chase | (8,510 | ) | |||||||||||||||||
12/01/20 | U.S. Dollars | 495,903 | South African Rand | 8,259,308 | BNP | (9,781 | ) | |||||||||||||||||
11/23/20 | U.S. Dollars | 277,525 | Euro | 252,500 | Bank of America | (16,698 | ) | |||||||||||||||||
12/03/20 | U.S. Dollars | 215,245 | South Korean Won | 266,000,000 | HSBC | (18,673 | ) | |||||||||||||||||
03/11/21 | U.S. Dollars | 413,236 | Mexican Pesos | 9,306,000 | Citibank | (19,007 | ) | |||||||||||||||||
11/30/20 | U.S. Dollars | 400,938 | Mexican Pesos | 8,980,000 | Citibank | (20,986 | ) | |||||||||||||||||
01/07/21 | U.S. Dollars | 1,303,807 | Mexican Pesos | 28,320,000 | HSBC | (21,064 | ) | |||||||||||||||||
04/13/21 | Norwegian Kroner | 9,512,600 | Euro | 870,356 | JPMorgan Chase | (21,504 | ) | |||||||||||||||||
01/19/21 | U.S. Dollars | 370,779 | South Korean Won | 446,900,000 | HSBC | (22,365 | ) | |||||||||||||||||
11/09/20 | U.S. Dollars | 1,759,622 | Mexican Pesos | 37,970,000 | HSBC | (28,628 | ) | |||||||||||||||||
01/27/21 | Turkish Lira | 5,461,717 | U.S. Dollars | 655,000 | JPMorgan Chase | (31,499 | ) | |||||||||||||||||
11/09/20 | Swiss Francs | 2,176,000 | Euro | 2,068,441 | Citibank | (35,782 | ) | |||||||||||||||||
12/08/20 | | Czech Republic Koruna | | 19,950,000 | U.S. Dollars | 894,559 | BNP | (41,454 | ) | |||||||||||||||
03/24/21 | U.S. Dollars | 4,253,564 | South Korean Won | 4,950,000,000 | | Standard Chartered Bank | | (102,015 | ) | |||||||||||||||
11/09/20 | Japanese Yen | 327,883,800 | Euro | 2,830,000 | Deutsche Bank | (164,490 | ) | |||||||||||||||||
| ||||||||||||||||||||||||
Total Unrealized Depreciation |
| $(674,089 | ) | |||||||||||||||||||||
| ||||||||||||||||||||||||
Net Unrealized Depreciation
|
| $(222,971 | ) | |||||||||||||||||||||
|
See accompanying Notes to Financial Statements
165
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
Valuation Hierarchy
The following is a summary of the inputs used, as of October 31, 2020, in valuing the Fund’s investments carried at fair value:
| ||||||||||||||||
Morningstar Multisector Bond Fund | Level 1 | Level 2 | Level 3 | Totals | ||||||||||||
| ||||||||||||||||
Investments | ||||||||||||||||
Assets: | ||||||||||||||||
Asset-Backed Securities | $ — | $ 280,873 | $ — | $ 280,873 | ||||||||||||
Common Stocks | 254,670 | 4,362 | — | 259,032 | ||||||||||||
Convertible Preferred Stocks | 368,235 | 1,635,828 | — | 2,004,063 | ||||||||||||
Convertible Bonds | — | 2,858,829 | — | 2,858,829 | ||||||||||||
Corporate Bonds | — | 68,419,202 | — | 68,419,202 | ||||||||||||
Foreign Government Inflation-Linked Bonds | — | 1,843,287 | — | 1,843,287 | ||||||||||||
Foreign Issuer Bonds | — | 156,176,314 | — | 156,176,314 | ||||||||||||
Term Loans | — | 6,086 | — | 6,086 | ||||||||||||
Warrants | — | — | 6,038 | 6,038 | ||||||||||||
Investment Companies | 3,610,866 | — | — | 3,610,866 | ||||||||||||
Short-Term Investments | 7,611,026 | 9,719,481 | — | 17,330,507 | ||||||||||||
Purchased Options | — | 5,328 | — | 5,328 | ||||||||||||
| ||||||||||||||||
Total Investments | $11,844,797 | $240,949,590 | $6,038 | $252,800,425 | ||||||||||||
| ||||||||||||||||
| ||||||||||||||||
Morningstar Multisector Bond Fund | Level 1 | Level 2 | Level 3 | Totals | ||||||||||||
| ||||||||||||||||
Derivative Financial Instruments | ||||||||||||||||
Assets: | ||||||||||||||||
Forward foreign currency exchange contracts | $— | $ 451,118 | $— | $ 451,118 | ||||||||||||
| ||||||||||||||||
Total Assets - Derivative Financial Instruments | $— | $ 451,118 | $— | $ 451,118 | ||||||||||||
| ||||||||||||||||
Liabilities: | ||||||||||||||||
Forward foreign currency exchange contracts | $— | $(674,089) | $— | $(674,089 | ) | |||||||||||
| ||||||||||||||||
Total Liabilities - Derivative Financial Instruments | $— | $(674,089) | $— | $(674,089 | ) | |||||||||||
| ||||||||||||||||
Net Derivative Financial Instruments | $— | $(222,971) | $— | $(222,971 | ) | |||||||||||
|
Investments classified within Level 3 of the fair value hierarchy are valued by the Morningstar Investment Management LLC (“MIM”) in good faith under procedures adopted by authority of the Fund’s Board of Trustees. MIM employs various methods to determine fair valuations including regular review of key inputs and assumptions, and review of related market activity, if any. However, there are generally no observable trade activities in these securities. MIM reports to the Board of Trustees at their regularly scheduled quarterly meetings, or more often if warranted. The report includes a summary of the results of the process, the key inputs and assumptions noted, and any changes to the inputs and assumptions used. When appropriate, MIM will recommend changes to the procedures and process employed. The value determined for an investment using the fair value procedures may differ significantly from the value realized upon the sale of such investment.
See accompanying Notes to Financial Statements
166
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments
Morningstar Unconstrained Allocation Fund
|
Par
| Value
| |||||||||||
Asset-Backed Securities – 0.0%(a) |
| |||||||||||
Commercial Mortgage-Backed Securities – 0.0%(a) |
| |||||||||||
Benchmark Mortgage Trust, Series 2020-B17, Class A2, 2.21%, 3/15/53
| $
| 45,000
|
| $
| 46,713
|
| ||||||
| ||||||||||||
Whole Loan – 0.0%(a) | ||||||||||||
STACR Trust, Series 2018-HRP1, Class M2, (1M USD LIBOR + 1.65%), 1.80%, 4/25/43(b)(c)
|
| 33,700
|
|
| 32,726
|
| ||||||
| ||||||||||||
Total Asset-Backed Securities
|
| 79,439
|
| |||||||||
| ||||||||||||
Number
| ||||||||||||
Common Stocks – 15.8% |
| |||||||||||
Advertising – 0.8% | ||||||||||||
Omnicom Group, Inc.
|
| 28,148
|
|
| 1,328,586
|
| ||||||
| ||||||||||||
Apparel – 0.9% | ||||||||||||
Tapestry, Inc.
|
| 68,043
|
|
| 1,512,596
|
| ||||||
| ||||||||||||
Beverages – 0.5% | ||||||||||||
Anheuser-Busch InBev S.A./N.V. (Belgium)
|
| 13,996
|
|
| 723,960
|
| ||||||
| ||||||||||||
Commercial Services – 3.1% | ||||||||||||
Atlantia S.p.A. (Italy)* | 34,780 | 533,892 | ||||||||||
Bureau Veritas S.A. (France)* | 51,021 | 1,118,806 | ||||||||||
H&R Block, Inc. | 113,878 | 1,965,534 | ||||||||||
Nielsen Holdings PLC | 97,579 | 1,318,293 | ||||||||||
4,936,525 | ||||||||||||
Computers – 0.5% | ||||||||||||
Cognizant Technology Solutions Corp., Class A
|
| 11,847
|
|
| 846,113
|
| ||||||
| ||||||||||||
Electric – 0.7% | ||||||||||||
National Grid PLC (United Kingdom)
|
| 98,765
|
|
| 1,174,858
|
| ||||||
| ||||||||||||
Engineering & Construction – 0.4% |
| |||||||||||
Ferrovial S.A. (Spain)
|
| 30,429
|
|
| 659,017
|
| ||||||
| ||||||||||||
Entertainment – 0.4% | ||||||||||||
International Game Technology PLC
|
| 67,603
|
|
| 555,021
|
| ||||||
| ||||||||||||
Environmental Control – 0.9% | ||||||||||||
Stericycle, Inc.*
|
| 23,211
|
|
| 1,446,045
|
| ||||||
| ||||||||||||
Gas – 0.5% | ||||||||||||
Snam S.p.A. (Italy)
|
| 158,956
|
|
| 775,083
|
| ||||||
|
| Number of Shares | | Value | |||||||||
Healthcare - Products – 1.5% |
| |||||||||||
EssilorLuxottica S.A. | 6,212 | $ | 766,927 | |||||||||
Henry Schein, Inc.* | 12,611 | 801,807 | ||||||||||
Medtronic PLC | 7,723 | 776,702 | ||||||||||
2,345,436 | ||||||||||||
Healthcare - Services – 1.0% |
| |||||||||||
Fresenius Medical Care A.G. & Co. KGaA (Germany) | 12,953 | 989,119 | ||||||||||
MEDNAX, Inc.* | 50,190 | 639,923 | ||||||||||
1,629,042 | ||||||||||||
Pharmaceuticals – 1.7% | ||||||||||||
CVS Health Corp. | 23,888 | 1,339,878 | ||||||||||
McKesson Corp. | 9,146 | 1,348,943 | ||||||||||
2,688,821 | ||||||||||||
Semiconductors – 0.5% | ||||||||||||
Intel Corp.
|
| 17,536
|
|
| 776,494
|
| ||||||
| ||||||||||||
Software – 0.5% | ||||||||||||
Oracle Corp.
|
| 13,338
|
|
| 748,395
|
| ||||||
| ||||||||||||
Telecommunications – 1.6% |
| |||||||||||
Cisco Systems, Inc. | 27,506 | 987,466 | ||||||||||
SES S.A. (France) | 196,035 | 1,565,795 | ||||||||||
2,553,261 | ||||||||||||
Water – 0.3% | ||||||||||||
United Utilities Group PLC (United Kingdom) | 49,123 | 549,138 | ||||||||||
Total Common Stocks
| 25,248,391 | |||||||||||
| ||||||||||||
Par | (d) | |||||||||||
Corporate Bonds – 2.9% |
| |||||||||||
Aerospace/Defense – 0.3% |
| |||||||||||
Boeing (The) Co., | $ | 50,000 | 57,998 | |||||||||
5.80%, 5/01/50 | 145,000 | 170,768 | ||||||||||
3.95%, 8/01/59 | 85,000 | 75,732 | ||||||||||
5.93%, 5/01/60 | 85,000 | 100,782 | ||||||||||
405,280 | ||||||||||||
Airlines – 0.3% | ||||||||||||
Delta Air Lines, Inc., | 65,000 | 70,936 | ||||||||||
7.38%, 1/15/26 | 70,000 | 72,450 | ||||||||||
3.75%, 10/28/29 | 35,000 | 29,246 |
See accompanying Notes to Financial Statements
167
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Unconstrained Allocation Fund
Par(d) | Value | |||||||
Airlines (Continued) | ||||||||
Southwest Airlines Co., | $ | 210,000 | $ | 233,518 | ||||
406,150 | ||||||||
Auto Manufacturers – 0.2% | ||||||||
General Motors Co., | 55,000 | 67,519 | ||||||
6.25%, 10/02/43 | 115,000 | 141,456 | ||||||
5.95%, 4/01/49 | 20,000 | 24,421 | ||||||
233,396 | ||||||||
Banks – 0.5% | ||||||||
Bank of America Corp., | ||||||||
(3M USD LIBOR + 3.15%), 4.08%, 3/20/51(e) | 300,000 | 365,930 | ||||||
Wells Fargo & Co., | ||||||||
(3M USD LIBOR + 3.77%), | 185,000 | 221,921 | ||||||
(3M USD LIBOR + 4.24%), | 125,000 | 169,111 | ||||||
756,962 | ||||||||
Biotechnology – 0.1% | ||||||||
Amgen, Inc., 3.15%, 2/21/40 | 110,000 | 115,684 | ||||||
3.38%, 2/21/50 | 65,000 | 69,172 | ||||||
184,856 | ||||||||
Chemicals – 0.0%(a) | ||||||||
LYB International Finance | ||||||||
III LLC, 4.20%, 5/01/50 | 50,000 | 54,498 | ||||||
Computers – 0.2% | ||||||||
Hewlett Packard | ||||||||
Enterprise Co., 6.20%, 10/15/35 | 10,000 | 12,369 | ||||||
6.35%, 10/15/45 | 220,000 | 281,520 | ||||||
293,889 | ||||||||
Electric – 0.0%(a) | ||||||||
Consolidated Edison Co. of New York, Inc., 3.95%, 4/01/50 | 25,000 | 29,517 | ||||||
Insurance – 0.1% | ||||||||
Metropolitan Life Global Funding I, (SOFR + 0.57%), | 150,000 | 150,619 | ||||||
New York Life Insurance Co., | 25,000 | 27,884 | ||||||
178,503 |
Par(d) | Value | |||||||
Media – 0.0%(a) | ||||||||
Walt Disney (The) Co., | $ | 10,000 | $ | 12,652 | ||||
4.70%, 3/23/50 | 25,000 | 32,914 | ||||||
45,566 | ||||||||
Miscellaneous Manufacturing – 0.3% |
| |||||||
3M Co., 3.70%, 4/15/50 | 35,000 | 41,475 | ||||||
General Electric Co., | 355,000 | 378,213 | ||||||
419,688 | ||||||||
Oil & Gas – 0.5% | ||||||||
Apache Corp., | 135,000 | 119,475 | ||||||
4.25%, 1/15/44 | 40,000 | 33,900 | ||||||
5.35%, 7/01/49 | 45,000 | 39,150 | ||||||
Devon Energy Corp., | ||||||||
5.60%, 7/15/41 | 20,000 | 20,579 | ||||||
5.00%, 6/15/45 | 10,000 | 9,668 | ||||||
Exxon Mobil Corp., 3.45%, | 140,000 | 146,667 | ||||||
Hess Corp., | 120,000 | 128,510 | ||||||
5.80%, 4/01/47 | 80,000 | 89,204 | ||||||
Occidental | 30,000 | 24,354 | ||||||
6.60%, 3/15/46 | 45,000 | 37,256 | ||||||
4.40%, 4/15/46 | 120,000 | 80,667 | ||||||
4.20%, 3/15/48 | 65,000 | 42,250 | ||||||
4.40%, 8/15/49 | 50,000 | 33,500 | ||||||
805,180 | ||||||||
Retail – 0.0%(a) | ||||||||
McDonald’s Corp., | ||||||||
3.60%, 7/01/30 | 10,000 | 11,538 | ||||||
3.63%, 9/01/49 | 15,000 | 16,710 | ||||||
4.20%, 4/01/50 | 20,000 | 24,229 | ||||||
52,477 | ||||||||
Semiconductors – 0.1% | ||||||||
Intel Corp., | 55,000 | 75,019 | ||||||
4.95%, 3/25/60 | 20,000 | 29,023 | ||||||
NVIDIA Corp., | 25,000 | 28,972 | ||||||
3.50%, 4/01/50 | 40,000 | 46,450 | ||||||
179,464 |
See accompanying Notes to Financial Statements
168
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Unconstrained Allocation Fund
Par(d) | Value | |||||||||||
Software – 0.2% | ||||||||||||
Oracle Corp., | ||||||||||||
3.60%, 4/01/50 | $ | 185,000 | $ | 203,109 | ||||||||
3.85%, 4/01/60 | 165,000 | 187,184 | ||||||||||
390,293 | ||||||||||||
Transportation – 0.1% | ||||||||||||
FedEx Corp., | 100,000 | 134,587 | ||||||||||
United Parcel Service, Inc., | 10,000 | 13,606 | ||||||||||
148,193 | ||||||||||||
Total Corporate Bonds | 4,583,912 | |||||||||||
Foreign Issuer Bonds – 5.9% |
| |||||||||||
Australia – 0.8% | ||||||||||||
Australia Government | ||||||||||||
5.75%, 7/15/22 | AUD | 535,000 | 412,251 | |||||||||
1.75%, 6/21/51 | AUD | 540,000 | 375,704 | |||||||||
New South Wales | AUD | 125,000 | 89,364 | |||||||||
Queensland Treasury Corp., | ||||||||||||
5.50%, 6/21/21 | AUD | 250,000 | 181,830 | |||||||||
Western Australian | AUD | 245,000 | 180,661 | |||||||||
1,239,810 | ||||||||||||
Belgium – 0.2% | ||||||||||||
Anheuser-Busch InBev | ||||||||||||
4.50%, 6/01/50 | 205,000 | 242,164 | ||||||||||
4.60%, 6/01/60 | 55,000 | 65,725 | ||||||||||
307,889 | ||||||||||||
Brazil – 0.5% | ||||||||||||
Brazil Notas do Tesouro | ||||||||||||
10.00%, 1/01/23 | BRL | 1,330,000 | 253,775 | |||||||||
10.00%, 1/01/27 | BRL | 1,950,000 | 382,890 | |||||||||
Petrobras Global Finance | 140,000 | 153,628 | ||||||||||
790,293 | ||||||||||||
Canada – 0.5% | ||||||||||||
Bank of Montreal, (SOFR + | 195,000 | 196,351 |
Par(d) | Value | |||||||||||
Canada (Continued) | ||||||||||||
Bank of Nova Scotia (The), | $ | 460,000 | $ | 461,077 | ||||||||
Canadian Imperial Bank of | 205,000 | 206,367 | ||||||||||
863,795 | ||||||||||||
Colombia – 0.6% | ||||||||||||
Colombian TES, | COP | 1,138,000,000 | 320,278 | |||||||||
6.00%, 4/28/28 | COP | 2,070,000,000 | 558,935 | |||||||||
879,213 | ||||||||||||
France – 0.1% | ||||||||||||
Total Capital International | 110,000 | 110,300 | ||||||||||
Indonesia – 0.5% | ||||||||||||
Indonesia Treasury Bond, | IDR | 9,900,000,000 | 773,630 | |||||||||
Malaysia – 0.6% | ||||||||||||
Malaysia Government | MYR | 2,940,000 | 729,451 | |||||||||
3.90%, 11/16/27 | MYR | 1,000,000 | 263,220 | |||||||||
992,671 | ||||||||||||
Mexico – 1.6% | ||||||||||||
Mexican Bonos, | MXN | 10,210,000 | 562,016 | |||||||||
7.75%, 11/23/34 | MXN | 3,360,000 | 174,861 | |||||||||
8.50%, 11/18/38 | MXN | 11,500,000 | 629,918 | |||||||||
7.75%, 11/13/42 | MXN | 14,300,000 | 722,938 | |||||||||
8.00%, 11/07/47 | MXN | 4,460,000 | 229,050 | |||||||||
Petroleos Mexicanos, | 60,000 | 46,578 | ||||||||||
7.69%, 1/23/50 | 310,000 | 257,588 | ||||||||||
2,622,949 | ||||||||||||
Poland – 0.1% | ||||||||||||
Republic of Poland | PLN | 426,000 | 108,719 | |||||||||
Russia – 0.0%(a) | ||||||||||||
Russian Federal Bond - | RUB | 4,400,000 | 61,577 |
See accompanying Notes to Financial Statements
169
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Unconstrained Allocation Fund
|
Par(d) | Value | |||||||||||
| ||||||||||||
South Africa – 0.4% | ||||||||||||
Republic of South Africa | ZAR | $ | 7,900,000 | $ | 297,645 | |||||||
8.75%, 2/28/48 | ZAR | 8,200,000 | 382,896 | |||||||||
680,541 | ||||||||||||
| ||||||||||||
Total Foreign Issuer Bonds |
| 9,431,387 | ||||||||||
| ||||||||||||
U.S. Government Obligations – 4.2% |
| |||||||||||
U.S. Treasury Floating Rate Notes – 4.2% |
| |||||||||||
(3M US Treasury MMY + | 1,830,000 | 1,835,193 | ||||||||||
(3M US Treasury MMY + | 3,295,000 | 3,299,892 | ||||||||||
(3M US Treasury MMY + | 1,175,000 | 1,176,231 | ||||||||||
(3M US Treasury MMY + | 325,000 | 324,986 | ||||||||||
6,636,302 | ||||||||||||
| ||||||||||||
Total U.S. Government Obligations |
| 6,636,302 | ||||||||||
| ||||||||||||
Number of Shares | ||||||||||||
| ||||||||||||
Investment Companies – 67.1% |
| |||||||||||
Invesco KBW Bank ETF | 121,939 | 4,842,198 | ||||||||||
iShares Broad USD High | 86,625 | 3,423,420 | ||||||||||
iShares Core DAX UCITS | EUR | 58,165 | 6,671,220 | |||||||||
iShares Global Energy ETF | 452,336 | 7,038,348 | ||||||||||
iShares MSCI Europe | ||||||||||||
Financials ETF | 362,624 | 4,804,768 | ||||||||||
iShares MSCI Mexico ETF | 92,332 | 3,154,061 |
Number of Shares | Value | |||||||||||
| ||||||||||||
iShares MSCI South Korea | 98,394 | $ | 6,385,771 | |||||||||
iShares MSCI United | 451,122 | 10,980,310 | ||||||||||
iShares STOXX Europe 600 | EUR | 202,389 | 4,049,538 | |||||||||
JPMorgan BetaBuilders | 812,225 | 19,753,312 | ||||||||||
Schwab Fundamental | 268,554 | 6,305,648 | ||||||||||
Schwab U.S. TIPS ETF | 69,667 | 4,253,170 | ||||||||||
Vanguard Consumer | 29,974 | 4,781,452 | ||||||||||
Vanguard Long-Term | 23,035 | 2,434,339 | ||||||||||
Vanguard Long-Term | 90,360 | 8,696,246 | ||||||||||
Vanguard Small-Cap ETF | 20,402 | 3,205,358 | ||||||||||
Vanguard Total Stock | 38,064 | 6,356,307 | ||||||||||
| ||||||||||||
Total Investment Companies | 107,135,466 | |||||||||||
| ||||||||||||
Short-Term Investments – 4.3% |
| |||||||||||
Money Market Fund – 4.3% |
| |||||||||||
Northern Institutional | 6,860,190 | 6,860,190 | ||||||||||
| ||||||||||||
Total Short-Term Investments |
| 6,860,190 | ||||||||||
| ||||||||||||
Total Investments – 100.2% | 159,975,087 | |||||||||||
| ||||||||||||
Liabilities less Other Assets – (0.2)%(g) |
| (272,863 | ) | |||||||||
| ||||||||||||
NET ASSETS – 100.0% | $ | 159,702,224 | ||||||||||
|
Percentages shown are based on Net Assets.
All securities are United States companies, unless noted otherwise in parentheses.
(a) | Amount rounds to less than 0.05%. |
(b) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees of Morningstar Funds Trust. |
(c) | Variable rate security. Rate as of October 31, 2020 is disclosed. |
(d) | Par value is in USD unless otherwise indicated. |
(e) | Variable rate security. Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate as of October 31, 2020 is disclosed. |
(f) | 7-day current yield as of October 31, 2020 is disclosed. |
(g) | Includes appreciation/ (depreciation) on forward foreign currency exchange contracts and futures contracts. |
See accompanying Notes to Financial Statements
170
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Unconstrained Allocation Fund
* | Non-Income Producing Security |
Abbreviations: | ||
1M | 1 Month | |
3M | 3 Month | |
AUD | Australian Dollar | |
BRL | Brazilian Real | |
BTP | Buoni del Tesoro Poliennali | |
COP | Colombian Peso | |
DAX | Deutscher Aktienindex | |
ETF | Exchange-Traded Fund | |
EUR | Euro | |
IDR | Indonesian Rupiah | |
LIBOR | London Interbank Offered Rate | |
LLC | Limited Liability Company | |
MMY | Money Market Yield | |
MSCI | Morgan Stanley Capital International | |
MXN | Mexican Peso | |
MYR | Malaysian Ringgit | |
PLC | Public Limited Company | |
PLN | Polish Zloty | |
RUB | Russian Ruble | |
SOFR | United States Secured Overnight Financing Rate | |
TIPS | Treasury Inflation Protected Securities | |
UCITS | Undertakings for Collective Investment in Transferable Securities | |
USD | United States Dollar | |
ZAR | South African Rand |
Futures Contracts outstanding at October 31, 2020:
Exchange Traded
Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
Euro-BTP | 10 | 12/08/2020 | EUR | 1,742,200 | $ | 45,853 | ||||||||||||||
Short Contracts | ||||||||||||||||||||
U.S. Ultra Bond | (7 | ) | 12/21/2020 | USD | 1,505,000 | 27,394 | ||||||||||||||
$ | 73,247 |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2020:
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
11/05/20 | Mexican Pesos | 30,900,000 | U.S. Dollars | 1,403,802 | Citibank | $ | 52,134 | |||||||||||||||||
11/25/20 | U.S. Dollars | 853,456 | Australian Dollars | 1,190,000 | JPMorgan Chase | 16,896 | ||||||||||||||||||
11/25/20 | U.S. Dollars | 304,754 | Australian Dollars | 420,000 | HSBC | 9,497 | ||||||||||||||||||
12/11/20 | South Korean Won | 260,000,000 | U.S. Dollars | 219,446 | HSBC | 9,222 |
See accompanying Notes to Financial Statements
171
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Unconstrained Allocation Fund
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
01/22/21 | South Korean Won | 850,000,000 | U.S. Dollars | 739,470 | Citibank | $ 8,283 | ||||||||||||||||||
11/17/20 | U.S. Dollars | 294,873 | Russian Rubles | 23,000,000 | Citibank | 5,909 | ||||||||||||||||||
01/28/21 | Japanese Yen | 273,000,000 | U.S. Dollars | 2,605,596 | Citibank | 5,472 | ||||||||||||||||||
01/29/21 | Chilean Pesos | 110,000,000 | U.S. Dollars | 139,896 | HSBC | 2,362 | ||||||||||||||||||
11/20/20 | Chilean Pesos | 740,000,000 | U.S. Dollars | 954,543 | HSBC | 2,275 | ||||||||||||||||||
11/25/20 | U.S. Dollars | 86,026 | Australian Dollars | 120,000 | Citibank | 1,667 | ||||||||||||||||||
02/03/21 | Mexican Pesos | 6,500,000 | U.S. Dollars | 301,568 | Citibank | 1,593 | ||||||||||||||||||
01/29/21 | U.S. Dollars | 175,122 | Polish Zloty | 690,000 | Citibank | 776 | ||||||||||||||||||
01/29/21 | Polish Zloty | 360,000 | U.S. Dollars | 90,819 | Citibank | 145 | ||||||||||||||||||
Total Unrealized Appreciation |
| $116,231 | ||||||||||||||||||||||
01/20/21 | | Czech Republic Koruna |
| 8,800,000 | U.S. Dollars | 377,334 | JPMorgan Chase | $ (576 | ) | |||||||||||||||
11/04/20 | U.S. Dollars | 177,656 | New Zealand Dollars | 270,000 | JPMorgan Chase | (869 | ) | |||||||||||||||||
11/04/20 | New Zealand Dollars | 270,000 | U.S. Dollars | 179,537 | JPMorgan Chase | (1,012 | ) | |||||||||||||||||
11/20/20 | U.S. Dollars | 827,970 | British Pounds | 640,000 | HSBC | (1,253 | ) | |||||||||||||||||
01/15/21 | South Korean Won | 360,000,000 | U.S. Dollars | 318,514 | Citibank | (1,815 | ) | |||||||||||||||||
01/14/21 | Brazilian Reals | 1,190,000 | U.S. Dollars | 212,648 | HSBC | (5,812 | ) | |||||||||||||||||
01/29/21 | Hungarian Forints | 120,000,000 | U.S. Dollars | 388,004 | HSBC | (7,443 | ) | |||||||||||||||||
11/25/20 | Australian Dollars | 900,000 | U.S. Dollars | 641,614 | HSBC | (8,921 | ) | |||||||||||||||||
11/18/20 | Hungarian Forints | 140,000,000 | U.S. Dollars | 471,452 | HSBC | (27,083 | ) | |||||||||||||||||
11/19/20 | | Czech Republic Koruna | | 10,200,000 | U.S. Dollars | 465,063 | JPMorgan Chase | (29,067 | ) | |||||||||||||||
11/20/20 | British Pounds | 1,310,000 | U.S. Dollars | 1,728,182 | HSBC | (30,868 | ) | |||||||||||||||||
11/13/20 | U.S. Dollars | 616,921 | South African Rand | 10,900,000 | HSBC | (51,854 | ) | |||||||||||||||||
11/17/20 | Russian Rubles | 56,000,000 | U.S. Dollars | 756,332 | Citibank | (52,767 | ) | |||||||||||||||||
12/08/20 | British Pounds | 1,780,000 | U.S. Dollars | 2,367,747 | Citibank | (61,116 | ) | |||||||||||||||||
11/05/20 | U.S. Dollars | 1,368,558 | Mexican Pesos | 30,900,000 | Citibank | (87,377 | ) | |||||||||||||||||
Total Unrealized Depreciation |
| $(367,833 | ) | |||||||||||||||||||||
Net Unrealized Depreciation |
| $(251,602 | ) |
See accompanying Notes to Financial Statements
172
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Unconstrained Allocation Fund
Valuation Hierarchy
The following is a summary of the inputs used, as of October 31, 2020, in valuing the Fund’s investments carried at fair value:
| ||||||||||||||||
Morningstar Unconstrained Allocation Fund | Level 1 | Level 2 | Level 3 | Totals | ||||||||||||
| ||||||||||||||||
Investments | ||||||||||||||||
Assets: | ||||||||||||||||
Asset-Backed Securities | $ — | $ 79,439 | $— | $ 79,439 | ||||||||||||
Common Stocks | 16,391,796 | 8,856,595 | — | 25,248,391 | ||||||||||||
Corporate Bonds | — | 4,583,912 | — | 4,583,912 | ||||||||||||
Foreign Issuer Bonds | — | 9,431,387 | — | 9,431,387 | ||||||||||||
U.S. Government Obligations | — | 6,636,302 | — | 6,636,302 | ||||||||||||
Investment Companies | 107,135,466 | — | — | 107,135,466 | ||||||||||||
Short-Term Investments | 6,860,190 | — | — | 6,860,190 | ||||||||||||
| ||||||||||||||||
Total Investments | $130,387,452 | $29,587,635 | $— | $159,975,087 | ||||||||||||
| ||||||||||||||||
| ||||||||||||||||
Morningstar Unconstrained Allocation Fund | Level 1 | Level 2 | Level 3 | Totals | ||||||||||||
| ||||||||||||||||
Derivative Financial Instruments | ||||||||||||||||
Assets: | ||||||||||||||||
Futures contracts | $73,247 | $ — | $— | $ 73,247 | ||||||||||||
Forward foreign currency exchange contracts | — | 116,231 | — | 116,231 | ||||||||||||
| ||||||||||||||||
Total Assets - Derivative Financial Instruments | $73,247 | $ 116,231 | $— | $ 189,478 | ||||||||||||
| ||||||||||||||||
Liabilities: | ||||||||||||||||
Forward foreign currency exchange contracts | $ — | $(367,833 | ) | $— | $(367,833 | ) | ||||||||||
| ||||||||||||||||
Total Liabilities - Derivative Financial Instruments | $ — | $(367,833 | ) | $— | $(367,833 | ) | ||||||||||
| ||||||||||||||||
Net Derivative Financial Instruments | $73,247 | $(251,602 | ) | $— | $(178,355 | ) |
See accompanying Notes to Financial Statements
173
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments
Morningstar Alternatives Fund
|
Par(a)
| Value
| |||||||
Long Positions – 109.4% | ||||||||
Asset-Backed Securities – 8.8% |
| |||||||
Automobile – 3.1% | ||||||||
AmeriCredit Automobile | $ | 500,000 | $ | 505,771 | ||||
Drive Auto Receivables | 361,524 | 367,084 | ||||||
Series 2018-2, Class C, | 59,281 | 59,482 | ||||||
Series 2019-1, Class D, | 700,000 | 733,795 | ||||||
Series 2019-4, Class B, | 500,000 | 506,627 | ||||||
Series 2020-1, Class A3, | 135,000 | 136,587 | ||||||
Series 2020-2, | 354,730 | 355,343 | ||||||
Series 2020-2, Class A3, | 240,000 | 241,040 | ||||||
Series 2020-2, Class D, | 290,000 | 301,819 | ||||||
Santander Drive Auto | 1,000,000 | 1,022,142 | ||||||
Series 2019-1, Class D, | 700,000 | 727,671 | ||||||
Series 2019-3, Class B, | 500,000 | 505,607 | ||||||
Series 2020-2, Class B, | 110,000 | 110,442 | ||||||
Westlake Automobile | 165,000 | 167,248 | ||||||
Series 2019-1A, Class C, | 500,000 | 511,415 | ||||||
Series 2020-2A, Class B, | 260,000 | 262,909 | ||||||
Series 2020-3A, Class B, | 510,000 | 509,986 | ||||||
| 7,024,968
|
| ||||||
Other – 1.1% | ||||||||
Conn’s Receivables | 580,000 | 580,367 | ||||||
Enva LLC, Series 2019-A, | 156,696 | 157,054 |
Par(a)
| Value
| |||||||
Other (Continued) | ||||||||
Marlette Funding Trust, | $ | 268,127 | $ | 269,814 | ||||
Series 2020-2A, Class A, 1.02%, 9/16/30(b) | 494,556 | 495,433 | ||||||
Prosper Marketplace | 23,636 | 23,654 | ||||||
Series 2019-3A, Class A, | 241,835 | 243,085 | ||||||
Upstart Securitization | 383,619 | 386,627 | ||||||
Series 2020-1, Class A, | 210,992 | 212,519 | ||||||
| 2,368,553
|
| ||||||
Whole Loan – 4.6% | ||||||||
Connecticut Avenue | 418,923 | 416,599 | ||||||
Series 2019-R01, Class | 62,548 | 61,999 | ||||||
Series 2019-R02, Class | 431,538 | 428,827 | ||||||
Series 2019-R04, Class | 572,306 | 567,460 | ||||||
Series 2019-R05, Class | 483,993 | 482,065 | ||||||
Series 2019-R06, Class | 747,633 | 739,773 | ||||||
Series 2019-R07, Class | 665,593 | 659,692 | ||||||
FHLMC Structured Agency | 250,000 | 255,622 |
See accompanying Notes to Financial Statements
174
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
|
Par(a)
| Value
| |||||||
Whole Loan (Continued) | ||||||||
FHLMC Structured Agency | $ | 300,000 | $ | 295,502 | ||||
Series 2018-DNA1, | 300,000 | 269,260 | ||||||
FNMA Connecticut Avenue | ||||||||
Series 2017-C01, Class | 245,000 | 251,753 | ||||||
Series 2017-C02, Class | 350,000 | 360,621 | ||||||
Series 2017-C03, Class | 85,000 | 85,424 | ||||||
Series 2017-C04, Class | 250,000 | 251,480 | ||||||
Series 2017-C05, Class | 150,000 | 140,996 | ||||||
Series 2018-C01, Class | 308,000 | 284,857 | ||||||
Series 2018-C02, Class | 325,000 | 300,580 | ||||||
Series 2018-C04, Class | 368,152 | 361,003 | ||||||
Series 2018-C06, Class | 346,730 | 338,349 | ||||||
Freddie Mac STACR, | 354,613 | 347,370 | ||||||
Freddie Mac STACR REMIC | 564,497 | 560,353 |
Par(a)
| Value
| |||||||
Whole Loan (Continued) | ||||||||
Freddie Mac STACR REMIC | $ | 470,000 | $ | 471,636 | ||||
Series 2020-DNA5, | 430,000 | 430,002 | ||||||
Series 2020-HQA1, | 140,000 | 137,152 | ||||||
Series 2020-HQA3, | 580,000 | 580,550 | ||||||
Freddie Mac STACR Trust, | 671,833 | 666,168 | ||||||
Series 2019-HQA1, | 542,940 | 533,369 | ||||||
10,278,462 | ||||||||
Total Asset-Backed Securities | 19,671,983 | |||||||
Number of Shares | ||||||||
Common Stocks – 22.7% | ||||||||
Aerospace/Defense – 0.0%(d) | ||||||||
Lockheed Martin Corp. | 238 | 83,331 | ||||||
Auto Manufacturers – 0.2% | ||||||||
Fiat Chrysler Automobiles | 37,590 | 461,140 | ||||||
Auto Parts & Equipment – 0.0%(d) |
| |||||||
BorgWarner, Inc. | 1 | 19 | ||||||
Banks – 0.3% | ||||||||
CIT Group, Inc. | 19,681 | 579,606 | ||||||
Morgan Stanley | 1 | 39 | ||||||
579,645 | ||||||||
Beverages – 0.0%(d) | ||||||||
PepsiCo, Inc. | 561 | 74,776 | ||||||
Biotechnology – 0.1% | ||||||||
Amgen, Inc. | 676 | 146,651 |
See accompanying Notes to Financial Statements
175
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
|
Number
| Value
| |||||||
Chemicals – 0.0%(d) |
| |||||||
International Flavors & Fragrances, Inc. | 775 | $ | 79,562 | |||||
Commercial Services – 0.4% | ||||||||
Automatic Data Processing, Inc. | 987 | 155,906 | ||||||
Devoteam S.A. (France)(e)* | 3,333 | 378,610 | ||||||
Worldline S.A. (France)(b)* | 4,239 | 314,021 | ||||||
848,537 | ||||||||
Computers – 0.6% | ||||||||
Amdocs Ltd. | 2,740 | 154,480 | ||||||
International Business Machines Corp. | 1,331 | 148,620 | ||||||
Seagate Technology PLC | 3,010 | 143,938 | ||||||
Virtusa Corp.(f)* | 19,887 | 1,000,316 | ||||||
1,447,354 | ||||||||
Cosmetics/Personal Care – 0.4% |
| |||||||
Colgate-Palmolive Co. | 1,956 | 154,309 | ||||||
Procter & Gamble (The) Co. | 1,096 | 150,261 | ||||||
Unilever N.V. (United Kingdom)(g) | 10,207 | 577,308 | ||||||
881,878 | ||||||||
Diversified Financial Services – 1.7% |
| |||||||
Charles Schwab (The) Corp. | 1 | 29 | ||||||
Eaton Vance Corp.(f) | 49,972 | 2,987,826 | ||||||
Genworth MI Canada, Inc. (Canada) | 11,011 | 365,298 | ||||||
Houlihan Lokey, Inc. | 2,467 | 154,681 | ||||||
Virtu Financial, Inc. Class A | 6,960 | 148,805 | ||||||
Western Union (The) Co. | 7,211 | 140,182 | ||||||
3,796,821 | ||||||||
Electric – 1.6% |
| |||||||
Alliant Energy Corp. | 1,396 | 77,171 | ||||||
Ameren Corp. | 1,901 | 154,209 | ||||||
American Electric Power Co., Inc. | 1,722 | 154,859 | ||||||
Avangrid, Inc. | 2,077 | 102,479 | ||||||
CMS Energy Corp. | 2,402 | 152,119 | ||||||
Consolidated Edison, Inc. | 1,938 | 152,114 | ||||||
Dominion Energy, Inc. | 1,926 | 154,735 | ||||||
Eversource Energy | 912 | 79,590 | ||||||
IDACORP, Inc. | 453 | 39,742 | ||||||
PNM Resources, Inc. | 45,649 | 2,282,450 | ||||||
WEC Energy Group, Inc. | 1,552 | 156,054 | ||||||
Xcel Energy, Inc. | 2,183 | 152,875 | ||||||
3,658,397 | ||||||||
Electronics – 0.0%(d) |
| |||||||
Garmin Ltd. | 662 | 68,861 |
Number
| Value
| |||||||
Entertainment – 0.4% | ||||||||
William Hill PLC (United Kingdom)* | 225,638 | $ | 801,349 | |||||
Food – 0.4% | ||||||||
Campbell Soup Co. | 3,276 | 152,891 | ||||||
Conagra Brands, Inc. | 2,096 | 73,549 | ||||||
Flowers Foods, Inc. | 6,440 | 151,855 | ||||||
General Mills, Inc. | 2,555 | 151,051 | ||||||
JM Smucker (The) Co. | 1,369 | 153,602 | ||||||
Kellogg Co. | 2,357 | 148,232 | ||||||
Kroger (The) Co. | 4,686 | 150,936 | ||||||
982,116 | ||||||||
Forest Products & Paper – 0.1% | ||||||||
Ahlstrom-Munksjo OYJ | 11,239 | 235,313 | ||||||
Gas – 0.1% | ||||||||
Atmos Energy Corp. | 1,657 | 151,897 | ||||||
Hand/Machine Tools – 0.1% | ||||||||
IMA Industria Macchine | 2,787 | 219,259 | ||||||
Healthcare - Products – 2.0% | ||||||||
Medtronic PLC | 1,431 | 143,916 | ||||||
Varian Medical | 14,714 | 2,542,579 | ||||||
Wright Medical Group | 58,407 | 1,786,670 | ||||||
4,473,165 | ||||||||
Healthcare - Services – 0.0%(d) | ||||||||
American Renal | 9 | 103 | ||||||
Holding Companies - Diversified – 0.0%(d) |
| |||||||
Cerberus Telecom | 6,719 | 66,518 | ||||||
Conx Corp.* | 4,186 | 41,525 | ||||||
108,043 | ||||||||
Household Products/Wares – 0.1% |
| |||||||
Kimberly-Clark Corp. | 1,052 | 139,485 | ||||||
Insurance – 2.7% | ||||||||
Hastings Group Holdings | 52,974 | 171,173 | ||||||
National General | 74,185 | 2,520,064 | ||||||
TOWER Ltd. (New | 192,415 | 72,475 |
See accompanying Notes to Financial Statements
176
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
|
Number
| Value
| |||||||
Insurance (Continued) | ||||||||
Watford Holdings Ltd.* | 24,234 | $ | 872,424 | |||||
Willis Towers Watson | 12,926 | 2,358,737 | ||||||
5,994,873 | ||||||||
Internet – 0.6% | ||||||||
Grubhub, Inc.(f)* | 17,604 | 1,301,992 | ||||||
Media – 0.1% | ||||||||
Comcast Corp., Class A | 3,528 | 149,023 | ||||||
Mining – 0.1% | ||||||||
KAZ Minerals PLC | 8,292 | 67,656 | ||||||
Southern Copper Corp. | 3,171 | 165,970 | ||||||
233,626 | ||||||||
Miscellaneous Manufacturing – 0.1% |
| |||||||
3M Co. | 914 | 146,203 | ||||||
Oil & Gas – 0.8% | ||||||||
Chevron Corp. | 1 | 54 | ||||||
Concho Resources, Inc. | 24,118 | 1,001,138 | ||||||
Parsley Energy, Inc., | 23,241 | 232,643 | ||||||
WPX Energy, Inc.(f)* | 148,672 | 685,378 | ||||||
1,919,213 | ||||||||
Packaging & Containers – 0.1% | ||||||||
Packaging Corp. of | 1,270 | 145,402 | ||||||
Sonoco Products Co. | 1,082 | 52,899 | ||||||
198,301 | ||||||||
Pharmaceuticals – 1.5% | ||||||||
AbbVie, Inc. | 1,854 | 157,775 | ||||||
BioSpecifics | ||||||||
Technologies Corp.* | 5,778 | 509,042 | ||||||
CVS Health Corp. | 2,628 | 147,404 | ||||||
Johnson & Johnson | 1,080 | 148,079 | ||||||
Merck & Co., Inc. | 1,995 | 150,044 | ||||||
MyoKardia, Inc.* | 9,241 | 2,065,641 | ||||||
Pfizer, Inc. | 4,166 | 147,810 | ||||||
3,325,795 | ||||||||
Real Estate – 0.1% | ||||||||
McCarthy & Stone PLC | 125,264 | 190,516 | ||||||
Real Estate Investment Trusts – 0.9% |
| |||||||
Front Yard | 50,590 | 677,400 | ||||||
iStar, Inc. | 27,237 | 321,396 |
Number
| Value
| |||||||
Real Estate Investment Trusts (Continued) |
| |||||||
Public Storage | 670 | $ | 153,477 | |||||
Taubman Centers, Inc.(f) | 25,947 | 867,149 | ||||||
2,019,422 | ||||||||
Retail – 1.5% | ||||||||
BMC Stock | 19,471 | 770,857 | ||||||
MSC Industrial Direct Co., | 582 | 40,542 | ||||||
Target Corp. | 947 | 144,152 | ||||||
Tiffany & Co. | 18,008 | 2,356,167 | ||||||
3,311,718 | ||||||||
Semiconductors – 1.6% | ||||||||
Analog Devices, Inc. | 1,195 | 141,643 | ||||||
Inphi Corp.* | 1,264 | 176,657 | ||||||
Intel Corp. | 2,923 | 129,431 | ||||||
Maxim Integrated | 31,702 | 2,208,044 | ||||||
Texas Instruments, Inc. | 1,035 | 149,651 | ||||||
Xilinx, Inc. | 7,361 | 873,677 | ||||||
3,679,103 | ||||||||
Software – 0.3% | ||||||||
MobileIron, Inc.* | 88,833 | 625,384 | ||||||
NetEnt AB (Sweden)* | 10,384 | 98,485 | ||||||
723,869 | ||||||||
Telecommunications – 3.6% | ||||||||
Acacia | 41,284 | 2,796,578 | ||||||
Altice Europe N.V. | 13,970 | 68,686 | ||||||
Cincinnati Bell, Inc.(f)* | 63,867 | 961,198 | ||||||
GCI Liberty, Inc., Class A(f)* | 26,972 | 2,190,935 | ||||||
Gilat Satellite | 24,441 | 146,402 | ||||||
Juniper Networks, Inc. | 7,119 | 140,387 | ||||||
PLAY Communications S.A. | 66,103 | 648,543 | ||||||
Sunrise Communications | 8,108 | 971,775 | ||||||
Verizon | 2,728 | 155,469 | ||||||
8,079,973 | ||||||||
Transportation – 0.2% | ||||||||
C.H. Robinson | 1,554 | 137,420 |
See accompanying Notes to Financial Statements
177
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Number of Shares | Value | |||||||
| ||||||||
Transportation (Continued) | ||||||||
Union Pacific Corp. | 755 | $ | 133,779 | |||||
United Parcel Service, Inc., Class B | 893 | 140,299 | ||||||
411,498 | ||||||||
| ||||||||
Total Common Stocks
| 50,922,827 | |||||||
| ||||||||
Convertible Preferred Stocks – 2.0% |
| |||||||
Auto Parts & Equipment – 0.1% |
| |||||||
Aptiv PLC, 5.50% | 2,745 | 330,498 | ||||||
| ||||||||
Chemicals – 0.4% | ||||||||
International Flavors & Fragrances, Inc., 6.00% | 2,777 | 107,303 | ||||||
Lyondellbasell Advanced Polymers, Inc., 6.00% | 669 | 686,394 | ||||||
793,697 | ||||||||
| ||||||||
Computers – 0.2% | ||||||||
NCR Corp., 5.50%(h) | 380 | 358,378 | ||||||
| ||||||||
Diversified Financial Services – 0.7% |
| |||||||
AMG Capital Trust II, 5.15%(f) | 21,379 | 1,009,089 | ||||||
Cowen, Inc., 5.63%(f) | 723 | 569,637 | ||||||
1,578,726 | ||||||||
| ||||||||
Electronics – 0.3% | ||||||||
Fortive Corp., 5.00% | 347 | 320,743 | ||||||
II-VI, Inc., 6.00% | 1,277 | 265,718 | ||||||
586,461 | ||||||||
| ||||||||
Savings & Loans – 0.3% | ||||||||
New York Community Capital Trust V, 6.00% | 16,768 | 732,595 | ||||||
Total Convertible Preferred Stocks | 4,380,355 | |||||||
| ||||||||
Par(a) | ||||||||
| ||||||||
Convertible Bonds – 25.8% |
| |||||||
Aerospace/Defense – 0.2% | ||||||||
Kaman Corp., 3.25%, 5/01/24(f) | $ | 353,000 | 349,516 | |||||
| ||||||||
Airlines – 0.6% | ||||||||
Copa Holdings S.A., 4.50%, | 405,000 | 470,209 | ||||||
Southwest Airlines Co., 1.25%, 5/01/25(f) | 608,000 | 817,760 | ||||||
1,287,969 | ||||||||
|
Par(a) | Value | |||||||
| ||||||||
Apparel – 0.1% | ||||||||
Under Armour, Inc., 1.50%, 6/01/24(b)(f) | $ | 167,000 | $ | 239,424 | ||||
| ||||||||
Auto Parts & Equipment – 0.2% | ||||||||
Meritor, Inc., 3.25%, 10/15/37(f) | 346,000 | 375,566 | ||||||
| ||||||||
Biotechnology – 2.7% | ||||||||
Apellis Pharmaceuticals, Inc., 3.50%, | 314,000 | 345,664 | ||||||
Exact Sciences Corp., 0.38%, 3/15/27(f) | 620,000 | 813,750 | ||||||
Gossamer Bio, Inc., 5.00%, 6/01/27(f) | 322,000 | 260,724 | ||||||
Halozyme Therapeutics, Inc., 1.25%, 12/01/24(b)(f) | 571,000 | 757,681 | ||||||
Innoviva, Inc., 2.13%, 1/15/23(f) | 558,000 | 536,825 | ||||||
Insmed, Inc., 1.75%, 1/15/25(f) | 495,000 | 544,720 | ||||||
Ionis Pharmaceuticals, Inc., 0.13%, | 558,000 | 515,582 | ||||||
Ligand Pharmaceuticals, Inc., 0.75%, 5/15/23(f) | 796,000 | 723,840 | ||||||
Novavax, Inc., 3.75%, 2/01/23(f) | 247,000 | 265,570 | ||||||
Radius Health, Inc., 3.00%, 9/01/24(f) | 806,000 | 671,276 | ||||||
Retrophin, Inc., 2.50%, 9/15/25(f) | 476,000 | 418,151 | ||||||
Theravance Biopharma, Inc., 3.25%, 11/01/23(f) | 322,000 | 301,432 | ||||||
6,155,215 | ||||||||
| ||||||||
Commercial Services – 0.7% | ||||||||
2U, Inc., 2.25%, 5/01/25(b)(f) | 251,000 | 380,346 | ||||||
FTI Consulting, Inc., 2.00%, 8/15/23(f) | 520,000 | 613,080 | ||||||
K12, Inc., 1.13%, 9/01/27(b)(f) | 263,000 | 215,226 | ||||||
Sabre GLBL, Inc., 4.00%, 4/15/25(b)(f) | 403,000 | 474,280 | ||||||
1,682,932 | ||||||||
| ||||||||
Computers – 0.3% | ||||||||
Lumentum Holdings, Inc., 0.50%, | 619,000 | 696,189 | ||||||
| ||||||||
Diversified Financial Services – 0.7% |
| |||||||
Encore Capital Europe Finance Ltd., 4.50%, 9/01/23(f) | 400,000 | 393,923 |
See accompanying Notes to Financial Statements
178
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Par(a) | Value | |||||||
| ||||||||
Diversified Financial Services (Continued) |
| |||||||
Encore Capital Group, Inc., 2.88%, 3/15/21(f) | $ | 339,000 | $ | 333,492 | ||||
PRA Group, Inc., 3.50%, 6/01/23(f) | 589,000 | 595,523 | ||||||
WisdomTree Investments, Inc., 4.25%, 6/15/23(b)(f) | 235,000 | 232,009 | ||||||
1,554,947 | ||||||||
| ||||||||
Electric – 0.3% | ||||||||
NRG Energy, Inc., 2.75%, 6/01/48(f) | 651,000 | 677,040 | ||||||
Electronics – 0.9% | ||||||||
II-VI, Inc., 0.25%, 9/01/22(f) | 560,000 | 669,175 | ||||||
Knowles Corp., 3.25%, 11/01/21(f) | 357,000 | 371,305 | ||||||
OSI Systems, Inc., 1.25%, 9/01/22(f) | 696,000 | 703,826 | ||||||
Vishay Intertechnology, Inc., 2.25%, 6/15/25(f) | 389,000 | 380,004 | ||||||
2,124,310 | ||||||||
Energy - Alternate Sources – 1.0% |
| |||||||
Canadian Solar, Inc., 2.50%, | 157,000 | 189,121 | ||||||
Enphase Energy, Inc., 0.25%, | 693,000 | 985,986 | ||||||
SunPower Corp., 4.00%, 1/15/23(f) | 1,031,000 | 1,083,195 | ||||||
2,258,302 | ||||||||
Engineering & Construction – 0.3% |
| |||||||
Granite Construction, Inc., 2.75%, 11/01/24(b)(f) | 710,000 | 587,525 | ||||||
Entertainment – 0.5% | ||||||||
Cinemark Holdings, Inc., 4.50%, 8/15/25(b)(f) | 560,000 | 483,370 | ||||||
Penn National Gaming, Inc., 2.75%, 5/15/26(f) | 258,000 | 633,906 | ||||||
1,117,276 | ||||||||
Food – 0.2% | ||||||||
Chefs’ Warehouse (The), Inc., 1.88%, 12/01/24(b)(f) | 636,000 | 483,368 | ||||||
Healthcare - Products – 0.4% | ||||||||
LivaNova USA, Inc., 3.00%, | 350,000 | 386,201 |
Par(a) | Value | |||||||
| ||||||||
Healthcare - Products (Continued) |
| |||||||
NanoString Technologies, Inc., 2.63%, 3/01/25(b)(f) | $ | 356,000 | $ | 383,815 | ||||
Varex Imaging Corp., 4.00%, 6/01/25(b)(f) | 84,000 | 79,583 | ||||||
849,599 | ||||||||
Home Builders – 0.2% | ||||||||
Winnebago Industries, Inc., 1.50%, 4/01/25(b)(f) | 502,000 | 516,458 | ||||||
Insurance – 0.6% | ||||||||
MGIC Investment Corp., 9.00%, | 1,019,000 | 1,311,962 | ||||||
Internet – 2.9% | ||||||||
Boingo Wireless, Inc., 1.00%, 10/01/23(f) | 557,000 | 484,423 | ||||||
Farfetch Ltd., 3.75%, 5/01/27(b)(f) | 270,000 | 538,774 | ||||||
FireEye, Inc., 1.63%, 6/01/35 | 18,000 | 17,551 | ||||||
JOYY, Inc., 1.38%, 6/15/26(f) | 760,000 | 873,335 | ||||||
Match Group Financeco 3, Inc., 2.00%, 1/15/30(b)(f) | 714,000 | 1,138,709 | ||||||
Momo, Inc., 1.25%, 7/01/25(f) | 878,000 | 708,985 | ||||||
Palo Alto Networks, Inc., 0.75%, | 568,000 | 608,973 | ||||||
Perficient, Inc., | ||||||||
2.38%, 9/15/23(f) | 157,000 | 193,441 | ||||||
1.25%, 8/01/25(b) | 187,000 | 191,993 | ||||||
Q2 Holdings, Inc., 0.75%, 6/01/26(f) | 500,000 | 617,812 | ||||||
Weibo Corp., 1.25%, 11/15/22(f) | 178,000 | 171,993 | ||||||
Zillow Group, Inc., 2.75%, 5/15/25(f) | 642,000 | 1,006,545 | ||||||
6,552,534 | ||||||||
Investment Management Companies – 0.3% |
| |||||||
New Mountain Finance Corp., 5.75%, 8/15/23(f) | 666,000 | 666,807 | ||||||
Leisure Time – 1.1% | ||||||||
Callaway Golf Co., 2.75%, 5/01/26(b)(f) | 337,000 | 402,294 | ||||||
NCL Corp. Ltd., 6.00%, 5/15/24(b)(f) | 864,000 | 1,221,642 | ||||||
Royal Caribbean Cruises Ltd., | 548,000 | 567,698 | ||||||
2.88%, 11/15/23(b) | 350,000 | 330,566 | ||||||
2,522,200 |
See accompanying Notes to Financial Statements
179
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Par(a) | Value | |||||||
| ||||||||
Lodging – 0.3% | ||||||||
Huazhu Group Ltd., 3.00%, 5/01/26(b)(f) | $ | 339,000 | $ | 390,491 | ||||
Marcus (The) Corp., 5.00%, 9/15/25(b)(f) | 351,000 | 335,009 | ||||||
725,500 | ||||||||
Machinery - Construction & Mining – 0.1% |
| |||||||
Bloom Energy Corp., 2.50%, | 234,000 | 251,901 | ||||||
Machinery - Diversified – 0.2% | ||||||||
Middleby (The) Corp., 1.00%, | 373,000 | 382,791 | ||||||
Media – 0.1% | ||||||||
Liberty Interactive LLC, 3.50%, | 220,386 | 183,246 | ||||||
Mining – 0.1% | ||||||||
First Majestic Silver Corp., 1.88%, 3/01/23(f) | 240,000 | 302,328 | ||||||
Oil & Gas Services – 0.2% | ||||||||
Helix Energy Solutions Group, Inc., | ||||||||
4.13%, 9/15/23(f) | 273,000 | 260,230 | ||||||
6.75%, 2/15/26 | 344,000 | 272,073 | ||||||
532,303 | ||||||||
Pharmaceuticals – 0.9% | ||||||||
Coherus Biosciences, Inc., 1.50%, 4/15/26(b)(f) | 254,000 | 283,191 | ||||||
Flexion Therapeutics, Inc., 3.38%, 5/01/24(f) | 395,000 | 329,315 | ||||||
Jazz Investments I Ltd., | ||||||||
1.50%, 8/15/24(f) | 719,000 | 733,755 | ||||||
2.00%, 6/15/26(b) | 201,000 | 240,450 | ||||||
Zogenix, Inc., 2.75%, 10/01/27(b)(f) | 350,000 | 394,625 | ||||||
1,981,336 | ||||||||
Pipelines – 0.3% | ||||||||
Cheniere Energy, Inc., 4.25%, 3/15/45(f) | 1,056,000 | 778,446 | ||||||
Real Estate Investment Trusts – 4.1% |
| |||||||
Apollo Commercial Real Estate Finance, Inc., | ||||||||
4.75%, 8/23/22 | 522,000 | 491,985 | ||||||
5.38%, 10/15/23 | 1,073,000 | 950,400 | ||||||
Arbor Realty Trust, Inc., 4.75%, 11/01/22(b) | 979,000 | 921,484 | ||||||
Blackstone Mortgage Trust, Inc., 4.75%, 3/15/23 | 650,000 | 622,493 |
Par(a) | Value | |||||||
| ||||||||
Real Estate Investment Trusts (Continued) |
| |||||||
Granite Point Mortgage Trust, Inc., | ||||||||
5.63%, 12/01/22(b) | $ | 972,000 | $ | 924,526 | ||||
6.38%, 10/01/23 | 418,000 | 375,416 | ||||||
iStar, Inc., 3.13%, 9/15/22(f) | 335,000 | 355,519 | ||||||
KKR Real Estate Finance Trust, Inc., 6.13%, 5/15/23 | 694,000 | 680,120 | ||||||
MFA Financial, Inc., 6.25%, 6/15/24 | 912,000 | 854,482 | ||||||
New York Mortgage Trust, Inc., 6.25%, 1/15/22 | 644,000 | 616,630 | ||||||
PennyMac Corp., 5.50%, 11/01/24(b) | 1,085,000 | 1,001,396 | ||||||
Redwood Trust, Inc., 4.75%, 8/15/23 | 359,000 | 329,068 | ||||||
Two Harbors Investment Corp., 6.25%, 1/15/22(f) | 664,000 | 660,265 | ||||||
Western Asset Mortgage Capital Corp., 6.75%, 10/01/22 | 491,000 | 393,046 | ||||||
9,176,830 | ||||||||
Retail – 1.4% | ||||||||
American Eagle Outfitters, Inc., 3.75%, 4/15/25(b)(f) | 716,000 | 1,255,922 | ||||||
Bloomin’ Brands, Inc., 5.00%, | 864,000 | 1,226,157 | ||||||
Burlington Stores, Inc., 2.25%, | 306,000 | 350,209 | ||||||
National Vision Holdings, Inc., 2.50%, 5/15/25(b)(f) | 271,000 | 398,266 | ||||||
3,230,554 | ||||||||
Semiconductors – 0.2% | ||||||||
Cree, Inc., 0.88%, 9/01/23(f) | 301,000 | 375,282 | ||||||
Software – 2.6% | ||||||||
Avaya Holdings Corp., 2.25%, 6/15/23(f) | 334,000 | 326,034 | ||||||
Bilibili, Inc., 1.25%, 6/15/27(b)(f) | 335,000 | 427,685 | ||||||
Cerence, Inc., 3.00%, 6/01/25(b)(f) | 151,000 | 250,822 | ||||||
Envestnet, Inc., 1.75%, 6/01/23(f) | 477,000 | 604,587 | ||||||
Everbridge, Inc., 0.13%, 12/15/24(b)(f) | 231,000 | 270,414 | ||||||
Health Catalyst, Inc., 2.50%, 4/15/25(b)(f) | 157,000 | 208,831 |
See accompanying Notes to Financial Statements
180
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Par(a) | Value | |||||||
| ||||||||
Software (Continued) | ||||||||
i3 Verticals LLC, 1.00%, 2/15/25(b)(f) | $ | 598,000 | $ | 479,521 | ||||
j2 Global, Inc., 1.75%, 11/01/26(b)(f) | 826,000 | 738,844 | ||||||
New Relic, Inc., 0.50%, 5/01/23(f) | 718,000 | 691,184 | ||||||
Nuance Communications, Inc., 1.00%, 12/15/35(f) | 397,000 | 563,666 | ||||||
Splunk, Inc., 1.13%, 6/15/27(b)(f) | 167,000 | 183,808 | ||||||
Tabula Rasa HealthCare, Inc., 1.75%, 2/15/26(b)(f) | 458,000 | 399,605 | ||||||
Workiva, Inc., 1.13%, 8/15/26(f) | 606,000 | 599,826 | ||||||
5,744,827 | ||||||||
Telecommunications – 0.4% | ||||||||
Infinera Corp., 2.13%, 9/01/24(f) | 365,000 | 341,222 | ||||||
Vonage Holdings Corp., 1.75%, 6/01/24(f) | 514,000 | 501,088 | ||||||
842,310 | ||||||||
Transportation – 0.7% | ||||||||
Air Transport Services Group, Inc., 1.13%, 10/15/24(f) | 501,000 | 552,119 | ||||||
SEACOR Holdings, Inc., 3.25%, 5/15/30(f) | 894,000 | 669,618 | ||||||
SFL Corp. Ltd., 4.88%, 5/01/23(f) | 336,000 | 280,350 | ||||||
1,502,087 | ||||||||
Total Convertible Bonds | 58,018,880 | |||||||
Corporate Bonds – 15.7% | ||||||||
Aerospace/Defense – 0.2% | ||||||||
Boeing (The) Co., | ||||||||
4.51%, 5/01/23 | 100,000 | 105,935 | ||||||
4.88%, 5/01/25 | 15,000 | 16,312 | ||||||
Signature Aviation U.S. Holdings, Inc., 4.00%, 3/01/28(b) | 75,000 | 72,529 | ||||||
Spirit AeroSystems, Inc., 5.50%, | 10,000 | 10,175 | ||||||
TransDigm, Inc., | ||||||||
6.25%, 3/15/26(b) | 100,000 | 104,249 | ||||||
5.50%, 11/15/27 | 75,000 | 73,219 | ||||||
382,419 | ||||||||
Agriculture – 0.2% | ||||||||
Altria Group, Inc., 3.80%, 2/14/24 | 100,000 | 108,818 |
Par(a) | Value | |||||||
| ||||||||
Agriculture (Continued) | ||||||||
Altria Group, Inc., 2.35%, 5/06/25 | $ | 180,000 | $ | 189,829 | ||||
Bunge Ltd. Finance Corp., 1.63%, 8/17/25 | 50,000 | 50,300 | ||||||
Darling Ingredients, Inc., 5.25%, 4/15/27(b) | 25,000 | 26,500 | ||||||
Philip Morris International, Inc., 1.50%, 5/01/25 | 100,000 | 103,104 | ||||||
478,551 | ||||||||
Airlines – 0.1% | ||||||||
Delta Air Lines, Inc., 7.38%, 1/15/26 | 50,000 | 51,750 | ||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 6/20/27(b) | 73,781 | 76,824 | ||||||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, 9/20/25(b) | 25,000 | 26,500 | ||||||
155,074 | ||||||||
Apparel – 0.1% | ||||||||
Ralph Lauren Corp., 1.70%, 6/15/22 | 150,000 | 153,007 | ||||||
Auto Manufacturers – 0.6% | ||||||||
American Honda Finance Corp., 1.20%, 7/08/25 | 75,000 | 75,760 | ||||||
Ford Motor Co., | ||||||||
8.50%, 4/21/23 | 75,000 | 82,781 | ||||||
9.00%, 4/22/25 | 100,000 | 117,840 | ||||||
9.63%, 4/22/30 | 50,000 | 67,125 | ||||||
4.75%, 1/15/43 | 25,000 | 23,093 | ||||||
5.29%, 12/08/46 | 25,000 | 23,633 | ||||||
General Motors Financial Co., Inc., | ||||||||
3.55%, 7/08/22 | 200,000 | 207,724 | ||||||
1.70%, 8/18/23 | 270,000 | 272,311 | ||||||
2.75%, 6/20/25 | 135,000 | 139,346 | ||||||
Navistar International Corp., 6.63%, | 50,000 | 51,698 | ||||||
Toyota Motor Credit Corp., 0.35%, 10/14/22 | 265,000 | 265,042 | ||||||
1,326,353 | ||||||||
Auto Parts & Equipment – 0.0%(d) | ||||||||
Aptiv Corp., 4.15%, 3/15/24 | 75,000 | 82,515 |
See accompanying Notes to Financial Statements
181
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Par(a) | Value | |||||||
| ||||||||
Banks – 1.8% | ||||||||
Bank of America Corp., (3M USD LIBOR + 1.16%), | ||||||||
3.12%, 1/20/23(i) | $ | 100,000 | $ | 103,020 | ||||
4.13%, 1/22/24 | 200,000 | 221,083 | ||||||
(3M USD LIBOR + 0.94%), 3.86%, 7/23/24(i) | 300,000 | 324,988 | ||||||
(SOFR + 0.74%), 0.81%, 10/24/24(i) | 135,000 | 135,133 | ||||||
4.00%, 1/22/25 | 100,000 | 111,182 | ||||||
(SOFR + 0.91%), 0.98%, 9/25/25(i) | 40,000 | 39,960 | ||||||
(3M USD LIBOR + 0.81%), 3.37%, 1/23/26(i) | 50,000 | 54,548 | ||||||
(SOFR + 1.15%), 1.32%, 6/19/26(i) | 210,000 | 211,053 | ||||||
Citigroup, Inc., (SOFR + 0.87%), 2.31%, 11/04/22(i) | 100,000 | 101,808 | ||||||
(SOFR + 1.67%), 1.68%, 5/15/24(i) | 100,000 | 102,413 | ||||||
4.00%, 8/05/24 | 150,000 | 165,476 | ||||||
(SOFR + 0.69%), 0.78%, 10/30/24(i) | 450,000 | 449,753 | ||||||
(3M USD LIBOR + 1.15%), 3.52%, | 50,000 | 55,553 | ||||||
Fifth Third Bancorp, 3.65%, 1/25/24 | 50,000 | 54,454 | ||||||
Freedom Mortgage Corp., 7.63%, 5/01/26(b) | 60,000 | 59,813 | ||||||
Goldman Sachs Group (The), Inc., 4.00%, 3/03/24 | 100,000 | 110,184 | ||||||
(3M USD LIBOR + 1.20%), | ||||||||
3.27%, 9/29/25(i) | 150,000 | 162,845 | ||||||
3.50%, 11/16/26 | 50,000 | 55,357 | ||||||
(3M USD LIBOR + 1.16%), | ||||||||
3.81%, 4/23/29(i) | 50,000 | 57,042 | ||||||
3.80%, 3/15/30 | 50,000 | 57,653 | ||||||
JPMorgan Chase & Co., (3M USD LIBOR + 0.73%), 3.56%, 4/23/24(i) | 200,000 | 214,200 | ||||||
(SOFR + 0.60%), 0.65%, 9/16/24(i) | 275,000 | 275,169 | ||||||
(SOFR + 1.59%), 2.01%, 3/13/26(i) | 100,000 | 103,661 | ||||||
(3M USD LIBOR + 1.38%), 3.54%, 5/01/28(i) | 50,000 | 56,143 | ||||||
(3M USD LIBOR + 1.16%), 3.70%, 5/06/30(i) | 20,000 | 22,840 | ||||||
Morgan Stanley, 4.10%, 5/22/23 | 25,000 | 27,063 | ||||||
(3M USD LIBOR + 0.85%), | ||||||||
3.74%, 4/24/24(i) | 160,000 | 172,077 | ||||||
3.70%, 10/23/24 | 50,000 | 55,565 |
Par(a) | Value | |||||||
| ||||||||
Banks (Continued) | ||||||||
Morgan Stanley, (SOFR + 0.75%), 0.86%, 10/21/25(i) | $ | 130,000 | $ | 129,829 | ||||
(SOFR + 1.99%), 2.19%, 4/28/26(i) | 100,000 | 104,742 | ||||||
(3M USD LIBOR + 1.63%), 4.43%, 1/23/30(i) | 50,000 | 59,917 | ||||||
Santander Holdings USA, Inc., 3.45%, 6/02/25 | 60,000 | 64,611 | ||||||
Truist Financial Corp., 4.00%, 5/01/25 | 50,000 | 56,687 | ||||||
Wells Fargo & Co., 3.07%, 1/24/23 | 100,000 | 103,023 | ||||||
(3M USD LIBOR + 0.83%), 2.41%, | 50,000 | 52,741 | ||||||
4,131,586 | ||||||||
Beverages – 0.0%(d) | ||||||||
PepsiCo, Inc., 2.75%, 3/19/30 | 65,000 | 72,277 | ||||||
Biotechnology – 0.0%(d) | ||||||||
Emergent BioSolutions, Inc., 3.88%, | 20,000 | 20,100 | ||||||
Gilead Sciences, Inc., 0.75%, 9/29/23 | 35,000 | 35,083 | ||||||
Regeneron Pharmaceuticals, Inc., 1.75%, 9/15/30 | 25,000 | 24,099 | ||||||
Royalty Pharma PLC, | ||||||||
0.75%, 9/02/23(b) | 10,000 | 9,996 | ||||||
1.20%, 9/02/25(b) | 5,000 | 4,975 | ||||||
94,253 | ||||||||
Building Materials – 0.2% | ||||||||
Boise Cascade Co., 4.88%, 7/01/30(b) | 35,000 | 37,412 | ||||||
Builders FirstSource, Inc., 5.00%, 3/01/30(b) | 50,000 | 52,750 | ||||||
Carrier Global Corp., 1.92%, 2/15/23(b) | 100,000 | 102,966 | ||||||
Griffon Corp., 5.75%, 3/01/28 | 25,000 | 26,063 | ||||||
Masonite International Corp., 5.75%, | 100,000 | 104,500 | ||||||
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 1/15/29(b) | 20,000 | 20,600 | ||||||
U.S. Concrete, Inc., 5.13%, 3/01/29(b) | 15,000 | 15,263 | ||||||
359,554 |
See accompanying Notes to Financial Statements
182
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Par(a) | Value | |||||||
| ||||||||
Chemicals – 0.4% | ||||||||
Air Products and Chemicals, Inc., | $ | 110,000 | $ | 114,927 | ||||
Chemours (The) Co., | 50,000 | 49,062 | ||||||
DuPont de Nemours, Inc., | 100,000 | 100,950 | ||||||
Element Solutions, Inc., | 75,000 | 74,062 | ||||||
Ingevity Corp., | 45,000 | 45,684 | ||||||
Minerals Technologies, Inc., | 50,000 | 51,500 | ||||||
Olin Corp., | 50,000 | 59,131 | ||||||
Sherwin-Williams (The) Co., | 160,000 | 173,266 | ||||||
2.95%, 8/15/29 | 90,000 | 98,555 | ||||||
W.R. Grace & Co.-Conn, | 50,000 | 53,885 | ||||||
821,022 | ||||||||
Commercial Services – 0.5% | ||||||||
ADT Security (The) Corp., | 25,000 | 25,743 | ||||||
AMN Healthcare, Inc., | 15,000 | 15,338 | ||||||
APX Group, Inc., | 50,000 | 52,125 | ||||||
ASGN, Inc., | 100,000 | 102,829 | ||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., | 50,000 | 57,312 | ||||||
Gartner, Inc., | 30,000 | 31,319 | ||||||
3.75%, 10/01/30(b) | 40,000 | 40,904 | ||||||
Global Payments, Inc., | 200,000 | 216,126 | ||||||
MPH Acquisition Holdings LLC, | 55,000 | 54,037 | ||||||
PayPal Holdings, Inc., | 200,000 | 212,260 | ||||||
Prime Security Services Borrower LLC/Prime Finance, Inc., 5.75%, 4/15/26(b) | 50,000 | 53,250 | ||||||
3.38%, 8/31/27(b) | 10,000 | 9,650 | ||||||
6.25%, 1/15/28(b) | 50,000 | 50,524 | ||||||
S&P Global, Inc., | 110,000 | 107,229 |
Par(a) | Value | |||||||
| ||||||||
Commercial Services (Continued) |
| |||||||
Service Corp. International, 3.38%, 8/15/30 | $ | 15,000 | $ | 15,206 | ||||
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26(b) | 10,000 | 10,128 | ||||||
United Rentals North America, Inc., 3.88%, 2/15/31 | 15,000 | 15,150 | ||||||
1,069,130 | ||||||||
Computers – 0.4% | ||||||||
Booz Allen Hamilton, Inc., 3.88%, 9/01/28(b) | 10,000 | 10,150 | ||||||
Dell International LLC/EMC Corp., 5.85%, 7/15/25(b) | 475,000 | 558,053 | ||||||
Dell, Inc., | 50,000 | 59,828 | ||||||
Hewlett Packard Enterprise Co., 4.45%, 10/02/23 | 200,000 | 220,782 | ||||||
HP, Inc., 2.20%, 6/17/25 | 70,000 | 73,274 | ||||||
NetApp, Inc., 1.88%, 6/22/25 | 20,000 | 20,654 | ||||||
Unisys Corp., 6.88%, 11/01/27(b) | 10,000 | 10,350 | ||||||
953,091 | ||||||||
Cosmetics/Personal Care – 0.1% | ||||||||
Edgewell Personal Care Co., 5.50%, 6/01/28(b) | 50,000 | 52,549 | ||||||
Procter & Gamble (The) Co., | 100,000 | 115,015 | ||||||
167,564 | ||||||||
Distribution/Wholesale – 0.1% | ||||||||
Avient Corp., | 100,000 | 105,250 | ||||||
Diversified Financial Services – 0.7% |
| |||||||
Air Lease Corp., | 50,000 | 51,167 | ||||||
3.38%, 7/01/25 | 55,000 | 55,834 | ||||||
Ally Financial, Inc., | 30,000 | 31,365 | ||||||
1.45%, 10/02/23 | 25,000 | 25,213 | ||||||
5.75%, 11/20/25 | 50,000 | 56,824 | ||||||
American Express Co., | 50,000 | 53,037 | ||||||
4.20%, 11/06/25 | 50,000 | 57,689 | ||||||
Ameriprise Financial, Inc., | 100,000 | 108,266 |
See accompanying Notes to Financial Statements
183
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Par(a) | Value | |||||||
| ||||||||
Diversified Financial Services (Continued) |
| |||||||
Capital One Bank USA N.A., (SOFR + 0.62%), 2.01%, 1/27/23(i) | $ | 250,000 | $ | 254,198 | ||||
Credit Acceptance Corp., 6.63%, 3/15/26 | 100,000 | 103,750 | ||||||
Curo Group Holdings Corp., 8.25%, | 50,000 | 41,375 | ||||||
Intercontinental Exchange, Inc., | ||||||||
4.00%, 10/15/23 | 50,000 | 54,903 | ||||||
3.75%, 9/21/28 | 100,000 | 115,564 | ||||||
LPL Holdings, Inc., 4.63%, 11/15/27(b) | 100,000 | 102,500 | ||||||
Nationstar Mortgage Holdings, Inc., | ||||||||
6.00%, 1/15/27(b) | 100,000 | 100,000 | ||||||
5.50%, 8/15/28(b) | 25,000 | 24,938 | ||||||
Navient Corp., 7.25%, 9/25/23 | 75,000 | 78,656 | ||||||
OneMain Finance Corp., | ||||||||
6.88%, 3/15/25 | 25,000 | 27,500 | ||||||
8.88%, 6/01/25 | 100,000 | 110,000 | ||||||
PennyMac Financial Services, Inc., 5.38%, 10/15/25(b) | 60,000 | 61,182 | ||||||
SLM Corp., 4.20%, 10/29/25 | 50,000 | 50,625 | ||||||
Visa, Inc., 1.90%, 4/15/27 | 50,000 | 52,651 | ||||||
1,617,237 | ||||||||
Electric – 0.6% | ||||||||
AEP Texas, Inc., 3.95%, 6/01/28 | 50,000 | 57,920 | ||||||
Berkshire Hathaway Energy Co., | ||||||||
4.05%, 4/15/25(b) | 100,000 | 113,545 | ||||||
1.65%, 5/15/31(b) | 25,000 | 24,734 | ||||||
Calpine Corp., 4.63%, 2/01/29(b) | 25,000 | 25,243 | ||||||
Clearway Energy Operating LLC, 5.00%, 9/15/26 | 100,000 | 103,363 | ||||||
Dominion Energy, Inc., 3.38%, 4/01/30 | 50,000 | 56,409 | ||||||
DTE Energy Co., | ||||||||
3.70%, 8/01/23 | 40,000 | 43,286 | ||||||
1.05%, 6/01/25 | 55,000 | 55,192 | ||||||
Duke Energy Corp., | ||||||||
3.75%, 4/15/24 | 30,000 | 32,887 | ||||||
3.40%, 6/15/29 | 50,000 | 55,942 | ||||||
Eversource Energy, 2.90%, 10/01/24 | 50,000 | 53,879 | ||||||
Exelon Generation Co. LLC, 3.25%, 6/01/25 | 50,000 | 54,388 |
Par(a) | Value | |||||||
| ||||||||
Electric (Continued) | ||||||||
National Rural Utilities Cooperative | ||||||||
Finance Corp., 2.40%, 3/15/30 | $ | 100,000 | $ | 107,983 | ||||
NextEra Energy Capital Holdings, Inc., 2.75%, 5/01/25 | 100,000 | 107,668 | ||||||
Pacific Gas and Electric Co., 1.75%, 6/16/22 | 20,000 | 20,002 | ||||||
Pattern Energy Operations L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(b) | 40,000 | 41,705 | ||||||
PG&E Corp., 5.25%, 7/01/30 | 100,000 | 100,000 | ||||||
Public Service Enterprise Group, Inc., 1.60%, 8/15/30 | 10,000 | 9,728 | ||||||
Terraform Global Operating LLC, 6.13%, 3/01/26(b) | 125,000 | 126,250 | ||||||
Union Electric Co., 2.95%, 3/15/30 | 100,000 | 111,366 | ||||||
1,301,490 | ||||||||
Electrical Component & Equipment – 0.0%(d) |
| |||||||
Energizer Holdings, Inc., 4.75%, 6/15/28(b) | 35,000 | 36,019 | ||||||
Electronics – 0.1% | ||||||||
Agilent Technologies, Inc., 3.88%, 7/15/23 | 35,000 | 37,835 | ||||||
Flex Ltd., 3.75%, 2/01/26 | 95,000 | 103,955 | ||||||
4.88%, 5/12/30 | 50,000 | 57,835 | ||||||
Roper Technologies, Inc., 1.00%, 9/15/25 | 45,000 | 45,280 | ||||||
244,905 | ||||||||
Energy - Alternate Sources – 0.1% | ||||||||
Enviva Partners Finance Corp., 6.50%, 1/15/26(b) | 200,000 | 211,000 | ||||||
Engineering & Construction – 0.2% | ||||||||
Fluor Corp., 4.25%, 9/15/28 | 100,000 | 89,430 | ||||||
MasTec, Inc., 4.50%, 8/15/28(b) | 40,000 | 41,100 | ||||||
TopBuild Corp., 5.63%, 5/01/26(b) | 200,000 | 205,000 |
See accompanying Notes to Financial Statements
184
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Par(a) | Value | |||||||
| ||||||||
Engineering & Construction (Continued) |
| |||||||
Tutor Perini Corp., 6.88%, 5/01/25(b) | $ | 100,000 | $ | 95,250 | ||||
Weekley Homes LLC/Weekley Finance Corp., 4.88%, 9/15/28(b) | 15,000 | 15,192 | ||||||
| 445,972
|
| ||||||
| ||||||||
Entertainment – 0.2% | ||||||||
Caesars Entertainment, Inc., 6.25%, | 55,000 | 56,340 | ||||||
Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 7/01/25(b) | 10,000 | 10,256 | ||||||
Scientific Games International, Inc., 8.63%, 7/01/25(b) | 45,000 | 46,786 | ||||||
Six Flags Theme Parks, Inc., 7.00%, | 100,000 | 105,875 | ||||||
Vail Resorts, Inc., 6.25%, 5/15/25(b) | 100,000 | 105,000 | ||||||
WMG Acquisition Corp., 3.00%, 2/15/31(b) | 55,000 | 52,250 | ||||||
| 376,507
|
| ||||||
| ||||||||
Environmental Control – 0.0%(d) | ||||||||
Waste Connections, Inc., 2.60%, 2/01/30 | 5,000 | 5,323 | ||||||
Food – 0.5% | ||||||||
Albertsons Cos, Inc./Safeway, Inc./New Albertsons L.P./Albertsons LLC, 4.63%, 1/15/27(b) | 50,000 | 51,557 | ||||||
Campbell Soup Co., | ||||||||
3.95%, 3/15/25 | 100,000 | 111,480 | ||||||
2.38%, 4/24/30 | 200,000 | 206,453 | ||||||
Chobani LLC/Chobani Finance Corp., Inc., | ||||||||
4.63%, 11/15/28(b) | 30,000 | 30,099 | ||||||
Conagra Brands, Inc., | ||||||||
4.60%, 11/01/25 | 30,000 | 34,869 | ||||||
1.38%, 11/01/27 | 90,000 | 89,247 | ||||||
General Mills, Inc., | ||||||||
4.00%, 4/17/25 | 30,000 | 33,861 | ||||||
2.88%, 4/15/30 | 90,000 | 97,529 | ||||||
JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 5.50%, 1/15/30(b) | 25,000 | 27,188 | ||||||
Kraft Heinz Foods Co., 3.95%, 7/15/25 | 50,000 | 54,069 |
Par(a) | Value | |||||||
| ||||||||
Food (Continued) | ||||||||
Kraft Heinz Foods Co., | ||||||||
3.88%, 5/15/27(b) | $ | 50,000 | $ | 52,893 | ||||
4.25%, 3/01/31(b) | 50,000 | 54,258 | ||||||
5.20%, 7/15/45 | 50,000 | 55,391 | ||||||
4.38%, 6/01/46 | 50,000 | 51,324 | ||||||
5.50%, 6/01/50(b) | 50,000 | 57,006 | ||||||
United Natural Foods, Inc., 6.75%, | 20,000 | 20,250 | ||||||
1,027,474 | ||||||||
Forest Products & Paper – 0.0%(d) | ||||||||
Clearwater Paper Corp., 4.75%, 8/15/28(b) | 30,000 | 30,150 | ||||||
Gas – 0.1% | ||||||||
NiSource, Inc., 0.95%, 8/15/25 | 100,000 | 99,682 | ||||||
Southern California Gas Co., 2.55%, 2/01/30 | 30,000 | 32,019 | ||||||
131,701 | ||||||||
Healthcare - Products – 0.4% | ||||||||
Avantor, Inc., 6.00%, 10/01/24(b) | 100,000 | 104,490 | ||||||
Baxter International, Inc., 3.75%, 10/01/25(b) | 100,000 | 113,104 | ||||||
Hologic, Inc., | ||||||||
4.63%, 2/01/28(b) | 50,000 | 52,250 | ||||||
3.25%, 2/15/29(b) | 60,000 | 60,300 | ||||||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics S.A., 7.25%, | 50,000 | 52,250 | ||||||
Teleflex, Inc., 4.88%, 6/01/26 | 100,000 | 104,000 | ||||||
Thermo Fisher Scientific, Inc., 4.13%, 3/25/25 | 130,000 | 147,733 | ||||||
Zimmer Biomet Holdings, Inc., 3.70%, 3/19/23 | 240,000 | 256,195 | ||||||
890,322 | ||||||||
Healthcare - Services – 0.6% | ||||||||
Akumin, Inc., 11/01/25(b)(j) | 20,000 | 19,750 | ||||||
Charles River Laboratories International, Inc., 4.25%, 5/01/28(b) | 100,000 | 104,500 | ||||||
CHS/Community Health Systems, Inc., | ||||||||
6.25%, 3/31/23 | 50,000 | 49,562 | ||||||
8.00%, 3/15/26(b) | 50,000 | 50,200 | ||||||
DaVita, Inc., | ||||||||
4.63%, 6/01/30(b) | 100,000 | 101,714 | ||||||
3.75%, 2/15/31(b) | 30,000 | 28,838 |
See accompanying Notes to Financial Statements
185
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Par(a) | Value | |||||||
| ||||||||
Healthcare - Services (Continued) |
| |||||||
HCA, Inc., | ||||||||
5.25%, 4/15/25 | $ | 115,000 | $ | 133,198 | ||||
4.13%, 6/15/29 | 185,000 | 209,941 | ||||||
Humana, Inc., | ||||||||
3.85%, 10/01/24 | 10,000 | 11,040 | ||||||
4.50%, 4/01/25 | 125,000 | 143,237 | ||||||
Magellan Health, Inc., 4.90%, 9/22/24 | 50,000 | 52,568 | ||||||
Molina Healthcare, Inc., 4.38%, 6/15/28(b) | 200,000 | 205,000 | ||||||
Prime Healthcare Services, Inc., 7.25%, | 15,000 | 15,117 | ||||||
Providence Service (The) Corp., | 35,000 | 35,613 | ||||||
Tenet Healthcare Corp., 6.13%, 10/01/28(b) | 65,000 | 63,050 | ||||||
UnitedHealth Group, Inc., 2.00%, 5/15/30 | 25,000 | 26,015 | ||||||
1,249,343 | ||||||||
Home Builders – 0.3% | ||||||||
Century Communities, Inc., 5.88%, 7/15/25 | 100,000 | 103,000 | ||||||
6.75%, 6/01/27 | 100,000 | 106,500 | ||||||
KB Home, 4.80%, 11/15/29 | 100,000 | 108,000 | ||||||
Meritage Homes Corp., 5.13%, 6/06/27 | 100,000 | 110,500 | ||||||
New Home (The) Co., Inc., | ||||||||
7.25%, 10/15/25(b) | 30,000 | 30,187 | ||||||
Shea Homes L.P./Shea Homes Funding Corp., 4.75%, 4/01/29(b) | 50,000 | 50,750 | ||||||
TRI Pointe Group, Inc., 5.70%, 6/15/28 | 50,000 | 55,500 | ||||||
Williams Scotsman International, Inc., 4.63%, 8/15/28(b) | 15,000 | 15,094 | ||||||
Winnebago Industries, Inc., 6.25%, | 10,000 | 10,575 | ||||||
590,106 | ||||||||
Housewares – 0.1% | ||||||||
Newell Brands, Inc., | ||||||||
4.70%, 4/01/26 | 100,000 | 106,500 | ||||||
Insurance – 0.3% | ||||||||
Aon Corp., 2.80%, 5/15/30 | 20,000 | 21,404 | ||||||
Berkshire Hathaway Finance Corp., 1.85%, 3/12/30 | 110,000 | 113,566 | ||||||
Berkshire Hathaway, Inc., 3.13%, 3/15/26 | 95,000 | 106,031 |
Par(a) | Value | |||||||
| ||||||||
Insurance (Continued) | ||||||||
Marsh & McLennan Cos., Inc., | ||||||||
3.88%, 3/15/24 | $ | 200,000 | $ | 220,604 | ||||
4.38%, 3/15/29 | 50,000 | 60,159 | ||||||
2.25%, 11/15/30 | 50,000 | 51,949 | ||||||
Radian Group, Inc., 6.63%, 3/15/25 | 100,000 | 108,250 | ||||||
681,963 | ||||||||
Internet – 0.5% | ||||||||
Booking Holdings, Inc., | ||||||||
4.10%, 4/13/25 | 100,000 | 112,057 | ||||||
4.63%, 4/13/30 | 23,000 | 27,216 | ||||||
eBay, Inc., 1.90%, 3/11/25 | 210,000 | 217,954 | ||||||
Expedia Group, Inc., 3.60%, 12/15/23(b) | 70,000 | 71,979 | ||||||
GrubHub Holdings, Inc., 5.50%, 7/01/27(b) | 100,000 | 104,000 | ||||||
Match Group Holdings II LLC, 4.13%, 8/01/30(b) | 75,000 | 76,594 | ||||||
Netflix, Inc., | ||||||||
3.63%, 6/15/25(b) | 100,000 | 103,875 | ||||||
5.88%, 11/15/28 | 50,000 | 59,740 | ||||||
6.38%, 5/15/29 | 75,000 | 91,875 | ||||||
5.38%, 11/15/29(b) | 75,000 | 87,844 | ||||||
TripAdvisor, Inc., 7.00%, 7/15/25(b) | 5,000 | 5,201 | ||||||
Uber Technologies, Inc., | ||||||||
7.50%, 5/15/25(b) | 75,000 | 78,844 | ||||||
6.25%, 1/15/28(b) | 25,000 | 25,344 | ||||||
VeriSign, Inc., 4.75%, 7/15/27 | 100,000 | 106,000 | ||||||
1,168,523 | ||||||||
Investment Management Companies – 0.1% |
| |||||||
Ares Capital Corp., | ||||||||
3.63%, 1/19/22 | 60,000 | 61,545 | ||||||
4.25%, 3/01/25 | 100,000 | 104,795 | ||||||
3.88%, 1/15/26 | 140,000 | 143,491 | ||||||
309,831 | ||||||||
Iron/Steel – 0.1% | ||||||||
Big River Steel LLC/BRS Finance Corp., 6.63%, 1/31/29(b) | 30,000 | 30,900 | ||||||
Commercial Metals Co., 5.38%, 7/15/27 | 100,000 | 104,250 | ||||||
Reliance Steel & Aluminum Co., 1.30%, 8/15/25 | 40,000 | 39,988 | ||||||
United States Steel Corp., 12.00%, 6/01/25(b) | 50,000 | 55,500 | ||||||
230,638 |
See accompanying Notes to Financial Statements
186
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Par(a) | Value | |||||||
| ||||||||
Leisure Time – 0.0%(d) | ||||||||
Carnival Corp., | ||||||||
11.50%, 4/01/23(b) | $ | 5,000 | $ | 5,492 | ||||
9.88%, 8/01/27(b) | 30,000 | 31,181 | ||||||
Royal Caribbean Cruises Ltd., 9.13%, 6/15/23(b) | 50,000 | 52,062 | ||||||
88,735 | ||||||||
Lodging – 0.2% | ||||||||
Choice Hotels International, Inc., 5.75%, 7/01/22 | 210,000 | 222,911 | ||||||
Las Vegas Sands Corp., | ||||||||
3.20%, 8/08/24 | 20,000 | 20,229 | ||||||
3.90%, 8/08/29 | 100,000 | 99,853 | ||||||
Marriott International, Inc., | ||||||||
5.75%, 5/01/25 | 80,000 | 88,949 | ||||||
431,942 | ||||||||
Machinery - Construction & Mining – 0.2% |
| |||||||
BWX Technologies, Inc., 4.13%, 6/30/28(b) | 115,000 | 116,150 | ||||||
Caterpillar Financial Services Corp., 0.45%, 9/14/23 | 270,000 | 269,909 | ||||||
386,059 | ||||||||
Media – 0.6% | ||||||||
Cable One, Inc., 11/15/30(b)(j) | 10,000 | 10,150 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp., 5.38%, 5/01/25(b) | 200,000 | 205,400 | ||||||
4.75%, 3/01/30(b) | 200,000 | 210,370 | ||||||
4.50%, 5/01/32(b) | 100,000 | 103,375 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, 4.46%, 7/23/22 | 200,000 | 211,936 | ||||||
2.80%, 4/01/31 | 100,000 | 103,362 | ||||||
DISH DBS Corp., | ||||||||
5.88%, 11/15/24 | 100,000 | 100,603 | ||||||
7.75%, 7/01/26 | 50,000 | 52,999 | ||||||
7.38%, 7/01/28 | 20,000 | 20,150 | ||||||
GCI LLC, 4.75%, | ||||||||
10/15/28(b) | 20,000 | 20,644 | ||||||
Nexstar Broadcasting, Inc., | ||||||||
5.63%, 7/15/27(b) | 100,000 | 104,250 | ||||||
Radiate Holdco LLC/Radiate Finance, Inc., 4.50%, 9/15/26(b) | 25,000 | 25,069 | ||||||
Scripps Escrow, Inc., 5.88%, 7/15/27(b) | 75,000 | 72,938 |
Par(a) | Value | |||||||
| ||||||||
Media (Continued) | ||||||||
Sirius XM Radio, Inc., 4.13%, 7/01/30(b) | $ | 115,000 | $ | 118,221 | ||||
TEGNA, Inc., 4.75%, 3/15/26(b) | 55,000 | 56,513 | ||||||
1,415,980 | ||||||||
Mining – 0.1% | ||||||||
Arconic Corp., 6.13%, | ||||||||
2/15/28(b) | 75,000 | 79,023 | ||||||
Freeport-McMoRan, Inc., 4.38%, 8/01/28 | 80,000 | 83,500 | ||||||
Joseph T Ryerson & Son, Inc., 8.50%, 8/01/28(b) | 15,000 | 16,073 | ||||||
Kaiser Aluminum Corp., 6.50%, 5/01/25(b) | 75,000 | 79,500 | ||||||
258,096 | ||||||||
Miscellaneous Manufacturing – 0.0%(d) |
| |||||||
General Electric Co., 3.63%, 5/01/30 | 30,000 | 31,681 | ||||||
Hillenbrand, Inc., 5.75%, 6/15/25 | 25,000 | 26,688 | ||||||
58,369 | ||||||||
Oil & Gas – 0.7% | ||||||||
Apache Corp., | ||||||||
4.63%, 11/15/25 | 25,000 | 23,750 | ||||||
4.88%, 11/15/27 | 35,000 | 32,848 | ||||||
4.25%, 1/15/30 | 50,000 | 44,188 | ||||||
5.10%, 9/01/40 | 25,000 | 22,950 | ||||||
4.75%, 4/15/43 | 25,000 | 22,125 | ||||||
Chevron Corp., 1.55%, 5/11/25 | 80,000 | 82,566 | ||||||
CNX Resources Corp., 7.25%, 3/14/27(b) | 125,000 | 131,875 | ||||||
Comstock Resources, Inc., 9.75%, 8/15/26 | 35,000 | 36,881 | ||||||
Continental Resources, Inc., 4.38%, 1/15/28 | 75,000 | 67,500 | ||||||
CVR Energy, Inc., 5.25%, 2/15/25(b) | 25,000 | 18,188 | ||||||
EQT Corp., 3.90%, 10/01/27 | 100,000 | 96,032 | ||||||
8.75%, 2/01/30 | 100,000 | 124,250 | ||||||
Exxon Mobil Corp., 2.99%, 3/19/25 | 80,000 | 87,014 | ||||||
Hess Corp., 4.30%, 4/01/27 | 50,000 | 51,784 | ||||||
Noble Energy, Inc., | ||||||||
3.85%, 1/15/28 | 30,000 | 34,281 | ||||||
3.25%, 10/15/29 | 20,000 | 22,130 |
See accompanying Notes to Financial Statements
187
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
|
Par(a)
| Value
| |||||||
Oil & Gas (Continued) | ||||||||
Occidental | ||||||||
2.90%, 8/15/24 | $ | 150,000 | $ | 124,845 | ||||
8.00%, 7/15/25 | 40,000 | 39,000 | ||||||
8.50%, 7/15/27 | 65,000 | 62,075 | ||||||
6.38%, 9/01/28 | 45,000 | 39,375 | ||||||
3.50%, 8/15/29 | 75,000 | 54,110 | ||||||
6.45%, 9/15/36 | 25,000 | 20,250 | ||||||
4.40%, 4/15/46 | 50,000 | 33,611 | ||||||
Range Resources Corp., | ||||||||
4.88%, 5/15/25 | 100,000 | 92,812 | ||||||
9.25%, 2/01/26(b) | 30,000 | 31,800 | ||||||
Southwestern Energy Co., | ||||||||
7.50%, 4/01/26 | 100,000 | 101,780 | ||||||
7.75%, 10/01/27 | 75,000 | 77,531 | ||||||
8.38%, 9/15/28 | 15,000 | 15,675 | ||||||
1,591,226 | ||||||||
Packaging & Containers – 0.1% | ||||||||
Ball Corp., 2.88%, 8/15/30 | 45,000 | 44,494 | ||||||
Berry Global, Inc., 4.50%, | 75,000 | 76,002 | ||||||
Graphic Packaging | 10,000 | 10,000 | ||||||
Silgan Holdings, Inc., | 100,000 | 102,000 | ||||||
232,496 | ||||||||
Pharmaceuticals – 0.6% | ||||||||
AbbVie, Inc., | ||||||||
3.85%, 6/15/24(b) | 100,000 | 109,538 | ||||||
2.60%, 11/21/24(b) | 370,000 | 393,512 | ||||||
3.80%, 3/15/25(b) | 70,000 | 77,693 | ||||||
AdaptHealth LLC, 6.13%, | 30,000 | 31,162 | ||||||
CVS Health Corp., | 25,000 | 28,186 | ||||||
1.30%, 8/21/27 | 65,000 | 63,879 | ||||||
Herbalife | 100,000 | 105,500 | ||||||
Horizon Therapeutics | 200,000 | 212,824 | ||||||
Johnson & Johnson, | 90,000 | 89,699 | ||||||
P&L Development LLC/PLD | 15,000 | 15,281 | ||||||
Par Pharmaceutical, Inc., | 100,000 | 106,000 |
Par(a)
| Value
| |||||||
Pharmaceuticals (Continued) | ||||||||
Upjohn, Inc., | ||||||||
1.13%, 6/22/22(b) | $ | 70,000 | $ | 70,629 | ||||
1.65%, 6/22/25(b) | 30,000 | 30,632 | ||||||
2.70%, 6/22/30(b) | 10,000 | 10,335 | ||||||
Zoetis, Inc., 2.00%, | 100,000 | 102,515 | ||||||
1,447,385 | ||||||||
Pipelines – 0.6% | ||||||||
Antero Midstream Partners | 75,000 | 67,500 | ||||||
Cheniere Corpus Christi | 255,000 | 288,590 | ||||||
Cheniere Energy Partners | 50,000 | 51,330 | ||||||
Energy Transfer Operating | 50,000 | 52,603 | ||||||
EnLink Midstream Partners | 50,000 | 42,672 | ||||||
EQM Midstream Partners | 100,000 | 94,314 | ||||||
6.50%, 7/01/27(b) | 20,000 | 20,976 | ||||||
Hess Midstream | 75,000 | 74,625 | ||||||
New Fortress Energy, Inc., | 50,000 | 51,558 | ||||||
ONEOK, Inc., 2.75%, | 50,000 | 50,664 | ||||||
PBF Logistics L.P./PBF | 75,000 | 58,875 | ||||||
Sabine Pass | 100,000 | 109,215 | ||||||
4.50%, 5/15/30(b) | 120,000 | 134,246 | ||||||
Tallgrass Energy Partners | 100,000 | 91,899 | ||||||
Transcontinental Gas Pipe | 70,000 | 74,938 | ||||||
Western Midstream | ||||||||
4.65%, 7/01/26 | 50,000 | 48,000 | ||||||
4.75%, 8/15/28 | 25,000 | 23,375 | ||||||
5.05%, 2/01/30 | 75,000 | 71,150 | ||||||
Williams (The) Cos., Inc., | 40,000 | 41,356 | ||||||
1,447,886 |
See accompanying Notes to Financial Statements
188
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Par(a)
| Value
| |||||||
Real Estate – 0.0%(d) | ||||||||
Realogy | $ | 20,000 | $ | 21,125 | ||||
Real Estate Investment Trusts – 0.9% |
| |||||||
American Tower Corp., | 150,000 | 159,223 | ||||||
5.00%, 2/15/24 | 80,000 | 90,437 | ||||||
2.90%, 1/15/30 | 10,000 | 10,658 | ||||||
Camden Property Trust, | 50,000 | 55,264 | ||||||
Crown Castle | 30,000 | 32,381 | ||||||
1.35%, 7/15/25 | 200,000 | 201,992 | ||||||
Digital Realty Trust L.P., | 80,000 | 93,318 | ||||||
Diversified Healthcare | 100,000 | 110,000 | ||||||
Equinix, Inc., | ||||||||
2.63%, 11/18/24 | 80,000 | 85,034 | ||||||
1.25%, 7/15/25 | 200,000 | 201,282 | ||||||
2.15%, 7/15/30 | 100,000 | 100,483 | ||||||
Federal Realty Investment | 50,000 | 54,157 | ||||||
GLP Capital L.P./GLP | 75,000 | 78,417 | ||||||
HAT Holdings I LLC/HAT | 35,000 | 34,956 | ||||||
Iron Mountain, Inc., | ||||||||
5.25%, 7/15/30(b) | 40,000 | 41,050 | ||||||
4.50%, 2/15/31(b) | 30,000 | 29,867 | ||||||
5.63%, 7/15/32(b) | 50,000 | 51,682 | ||||||
iStar, Inc., 4.25%, 8/01/25 | 100,000 | 91,750 | ||||||
MGM Growth Properties | 100,000 | 107,913 | ||||||
New Residential | 25,000 | 23,906 | ||||||
Park Intermediate | 35,000 | 34,300 | ||||||
Public Storage, 3.39%, | 25,000 | 28,661 | ||||||
Service Properties Trust, | 50,000 | 52,407 |
Par(a)
| Value
| |||||||
Real Estate Investment Trusts (Continued) |
| |||||||
Service Properties Trust, | $ | 75,000 | $ | 61,172 | ||||
Simon Property Group L.P., | 65,000 | 71,146 | ||||||
Starwood Property | 35,000 | 34,686 | ||||||
Uniti Group L.P./Uniti Fiber | 50,000 | 53,048 | ||||||
Welltower, Inc., 4.00%, | 25,000 | 28,137 | ||||||
XHR L.P., 6.38%, 8/15/25(b) | 30,000 | 29,781 | ||||||
2,047,108 | ||||||||
Retail – 0.3% | ||||||||
Advance Auto Parts, Inc., | 45,000 | 44,672 | ||||||
Asbury Automotive | 35,000 | 36,137 | ||||||
Dollar General Corp., | 50,000 | 56,750 | ||||||
Gap (The), Inc., | ||||||||
8.63%, 5/15/25(b) | 50,000 | 54,875 | ||||||
8.88%, 5/15/27(b) | 50,000 | 57,172 | ||||||
Group 1 Automotive, Inc., | 20,000 | 20,025 | ||||||
L Brands, Inc., | 50,000 | 53,599 | ||||||
5.25%, 2/01/28 | 25,000 | 24,625 | ||||||
6.63%, 10/01/30(b) | 35,000 | 36,750 | ||||||
Lithia Motors, Inc., | ||||||||
5.25%, 8/01/25(b) | 50,000 | 51,750 | ||||||
4.38%, 1/15/31(b) | 15,000 | 15,488 | ||||||
Lowe’s Cos., Inc., 4.00%, | 50,000 | 56,642 | ||||||
Macy’s, Inc., 8.38%, | 25,000 | 26,103 | ||||||
Michaels Stores, Inc., | 30,000 | 29,325 | ||||||
QVC, Inc., 4.38%, 9/01/28 | 90,000 | 90,067 | ||||||
Rite Aid Corp., 8.00%, | 50,000 | 50,125 | ||||||
Ross Stores, Inc., 4.70%, | 2,000 | 2,347 | ||||||
White Cap Buyer LLC, | 10,000 | 10,250 | ||||||
Yum! Brands, Inc., 4.75%, | 50,000 | 53,750 | ||||||
770,452 | ||||||||
Semiconductors – 0.5% | ||||||||
Amkor Technology, Inc., | 100,000 | 107,000 |
See accompanying Notes to Financial Statements
189
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Par(a)
| Value
| |||||||
Semiconductors (Continued) | ||||||||
Broadcom, Inc., | ||||||||
4.70%, 4/15/25 | $ | 225,000 | $ | 255,849 | ||||
4.25%, 4/15/26 | 100,000 | 112,416 | ||||||
4.30%, 11/15/32 | 120,000 | 136,803 | ||||||
Intel Corp., 3.75%, 3/25/27 | 200,000 | 230,768 | ||||||
Microchip Technology, Inc., | 100,000 | 103,817 | ||||||
Micron Technology, Inc., | 86,000 | 95,679 | ||||||
Qorvo, Inc., 4.38%, | 100,000 | 107,212 | ||||||
1,149,544 | ||||||||
Software – 0.3% | ||||||||
Black Knight InfoServ LLC, | 100,000 | 101,250 | ||||||
BY Crown Parent LLC/BY | 20,000 | 20,250 | ||||||
Camelot Finance S.A., | 50,000 | 52,000 | ||||||
Change Healthcare | 100,000 | 99,957 | ||||||
Intuit, Inc., | ||||||||
1.35%, 7/15/27 | 60,000 | 60,429 | ||||||
1.65%, 7/15/30 | 45,000 | 45,058 | ||||||
J2 Global, Inc., 4.63%, | 20,000 | 20,207 | ||||||
Logan Merger Sub, Inc., | 30,000 | 30,413 | ||||||
MSCI, Inc., 3.88%, | 100,000 | 104,500 | ||||||
Nuance | 125,000 | 131,250 | ||||||
Veritas U.S., Inc./Veritas | 15,000 | 15,212 | ||||||
680,526 | ||||||||
Telecommunications – 0.8% | ||||||||
AT&T, Inc., 1.65%, 2/01/28 | 80,000 | 79,302 | ||||||
Avaya, Inc., 6.13%, | 15,000 | 15,394 | ||||||
Cincinnati Bell, Inc., | 75,000 | 77,625 | ||||||
Consolidated | 15,000 | 15,413 | ||||||
Embarq Corp., 8.00%, | 25,000 | 29,313 | ||||||
Frontier | 10,000 | 10,249 |
Par(a)
| Value
| |||||||
Telecommunications (Continued) |
| |||||||
Motorola Solutions, Inc., | $ | 50,000 | $ | 58,780 | ||||
QualityTech L.P./QTS | 45,000 | 45,091 | ||||||
Sprint Capital Corp., | ||||||||
6.88%, 11/15/28 | 50,000 | 63,250 | ||||||
8.75%, 3/15/32 | 50,000 | 74,813 | ||||||
Sprint Corp., 7.13%, | 100,000 | 115,020 | ||||||
Switch Ltd., 3.75%, | 45,000 | 45,056 | ||||||
T-Mobile USA, Inc., | ||||||||
3.50%, 4/15/25(b) | 445,000 | 487,546 | ||||||
1.50%, 2/15/26(b) | 330,000 | 331,254 | ||||||
Verizon | 100,000 | 110,216 | ||||||
ViaSat, Inc., | ||||||||
5.63%, 4/15/27(b) | 100,000 | 104,750 | ||||||
6.50%, 7/15/28(b) | 115,000 | 118,737 | ||||||
Windstream | 30,000 | 28,950 | ||||||
1,810,759 | ||||||||
Transportation – 0.0%(d) | ||||||||
XPO Logistics, Inc., 6.25%, | 50,000 | 53,141 | ||||||
Trucking & Leasing – 0.2% | ||||||||
Fortress Transportation and | 320,000 | 340,400 | ||||||
Total Corporate Bonds | 35,237,879 | |||||||
Mortgage-Backed Securities – 16.8% |
| |||||||
Federal Home Loan Mortgage Corporation – 1.4% |
| |||||||
Pool, | ||||||||
#QA2226, 3.00%, | 79,555 | 83,590 | ||||||
#QA2237, 3.00%, | 181,176 | 190,367 | ||||||
#QA8965, 3.00%, | 43,852 | 45,870 | ||||||
#RA2621, 4.00%, | 105,255 | 113,418 | ||||||
#RA3022, 2.50%, | 50,208 | 52,867 | ||||||
#RA3174, 3.00%, | 74,116 | 77,525 |
See accompanying Notes to Financial Statements
190
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Par(a)
| Value
| |||||||
Federal Home Loan Mortgage Corporation (Continued) |
| |||||||
Pool, | ||||||||
#RA3382, 3.00%, | $ | 149,188 | $ | 158,193 | ||||
#RA3935, 11/01/50(j) | 327,000 | 340,972 | ||||||
#SB0383, 2.50%, 4/01/32 | 175,000 | 186,645 | ||||||
#SB8500, 2.50%, 7/01/35 | 172,831 | 183,519 | ||||||
#SB8505, 2.50%, | 525,322 | 553,483 | ||||||
#SD7521, 2.50%, | 49,631 | 52,959 | ||||||
#SD8074, 3.00%, | 321,109 | 335,837 | ||||||
#SD8084, 3.00%, | 49,047 | 51,393 | ||||||
#SD8092, 3.00%, | 149,051 | 156,681 | ||||||
#ZS4693, 3.00%, | 402,659 | 423,667 | ||||||
#ZS4746, 3.00%, | 24,357 | 25,434 | ||||||
#ZT1858, 4.50%, 4/01/49 | 110,000 | 121,219 | ||||||
3,153,639 | ||||||||
Federal Home Loan Mortgage Corporation Gold – 0.3% |
| |||||||
Pool, | ||||||||
#G08697, 3.00%, 3/01/46 | 258,110 | 270,875 | ||||||
#G08737, 3.00%, | 287,231 | 302,279 | ||||||
573,154 | ||||||||
Federal National Mortgage Association – 4.0% |
| |||||||
Pool, | ||||||||
#AS5640, 3.50%, | 87,688 | 95,824 | ||||||
#BM5024, 3.00%, | 47,800 | 49,885 | ||||||
#BN3960, 4.50%, | 27,540 | 29,764 | ||||||
#CA3666, 4.00%, | 775,678 | 854,145 | ||||||
#CA5182, 4.50%, | 1,095,444 | 1,195,027 | ||||||
#CA5575, 4.00%, | 697,352 | 751,642 | ||||||
#CA5754, 4.00%, | 76,783 | 82,923 | ||||||
#CA6317, 3.00%, | 50,740 | 53,074 | ||||||
#CA6598, 2.50%, | 75,930 | 80,230 | ||||||
#CA7368, 10/01/50(j) | 175,000 | 182,478 | ||||||
#CA7369, 2.50%, | 150,000 | 156,409 |
Par(a)
| Value
| |||||||
Federal National Mortgage Association (Continued) |
| |||||||
Pool, | ||||||||
#CA7572, 10/01/50(j) | $ | 150,000 | $ | 157,786 | ||||
#CA7573, 11/01/50(j) | 225,000 | 236,504 | ||||||
#FM2888, 3.50%, | 117,084 | 123,413 | ||||||
#FM4231, 2.50%, | 148,678 | 155,031 | ||||||
#MA3238, 3.50%, | 2,967,899 | 3,144,621 | ||||||
#MA4026, 4.00%, | 1,429,540 | 1,527,039 | ||||||
#MA4156, 2.50%, | 127,000 | 132,591 | ||||||
9,008,386 | ||||||||
Government National Mortgage Association – 3.6% |
| |||||||
Pool TBA, 11/01/50(j) | 7,544,000 | 7,951,179 | ||||||
Government National Mortgage Association II – 1.5% |
| |||||||
Pool, | ||||||||
#785043, 3.00%, 4/20/49 | 570,968 | 599,324 | ||||||
#BW4651, 2.50%, | 25,906 | 27,159 | ||||||
#BW4741, 2.50%, | 26,950 | 28,253 | ||||||
#BW6206, 2.50%, | 50,814 | 53,272 | ||||||
#BY0776, 2.50%, 9/20/50 | 51,904 | 54,414 | ||||||
#BY0805, 2.50%, 9/20/50 | 49,908 | 52,321 | ||||||
#MA4125, 2.50%, | 65,108 | 68,615 | ||||||
#MA5397, 3.50%, | 488,659 | 516,896 | ||||||
#MA6412, 4.50%, | 363,352 | 388,975 | ||||||
#MA6474, 2/20/50(j) | 100,000 | 104,314 | ||||||
#MA6766, 3.00%, | 1,412,545 | 1,485,736 | ||||||
3,379,279 | ||||||||
Uniform Mortgage-Backed Securities – 6.0% |
| |||||||
Pool TBA, | ||||||||
11/01/35(j) | 3,970,000 | 4,149,914 | ||||||
11/01/50(j) | 6,437,000 | 6,786,206 | ||||||
12/01/50(j) | 2,500,000 | 2,619,055 | ||||||
13,555,175 | ||||||||
Total Mortgage-Backed Securities | 37,620,812 | |||||||
Foreign Issuer Bonds – 2.4% |
| |||||||
Canada – 0.9% |
| |||||||
1011778 B.C. ULC/New | 130,000 | 129,187 |
See accompanying Notes to Financial Statements
191
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Par(a)
| Value
| |||||||
Canada (Continued) | ||||||||
Brookfield Asset | $ | 50,000 | $ | 55,743 | ||||
Brookfield Finance, Inc., | 20,000 | 23,898 | ||||||
Canadian Imperial Bank of | 170,000 | 169,969 | ||||||
Cascades, Inc./Cascades | 130,000 | 135,525 | ||||||
Cenovus Energy, Inc., | ||||||||
3.80%, 9/15/23 | 25,000 | 25,394 | ||||||
5.38%, 7/15/25 | 10,000 | 10,544 | ||||||
4.25%, 4/15/27 | 100,000 | 101,806 | ||||||
6.75%, 11/15/39 | 50,000 | 55,596 | ||||||
Enbridge, Inc., | ||||||||
3.50%, 6/10/24 | 80,000 | 86,173 | ||||||
2.50%, 1/15/25 | 100,000 | 104,330 | ||||||
GFL Environmental, Inc., | 25,000 | 25,000 | ||||||
Intelligent Packaging Ltd. | 10,000 | 10,175 | ||||||
Kinross Gold Corp., 5.95%, | 90,000 | 102,100 | ||||||
Methanex Corp., 5.25%, | 75,000 | 75,992 | ||||||
New Gold, Inc., 7.50%, | 15,000 | 16,207 | ||||||
Norbord, Inc., 5.75%, | 50,000 | 52,500 | ||||||
Parkland Corp., 5.88%, | 50,000 | 51,604 | ||||||
Stars Group Holdings | 285,000 | 301,281 | ||||||
Telesat | 75,000 | 74,625 | ||||||
Toronto-Dominion Bank | ||||||||
0.45%, 9/11/23 | 270,000 | 269,586 | ||||||
3.25%, 3/11/24 | 50,000 | 54,201 | ||||||
1,931,436 | ||||||||
Netherlands – 0.1% | ||||||||
NXP B.V./NXP Funding LLC, | 200,000 | 211,387 |
Par(a)
| Value
| |||||||
Luxembourg – 0.0%(d) | ||||||||
ArcelorMittal S.A., | ||||||||
6.13%, 6/01/25 | $ | 50,000 | $ | 57,996 | ||||
4.25%, 7/16/29 | 50,000 | 52,708 | ||||||
110,704 | ||||||||
United Kingdom – 0.5% | ||||||||
Barclays PLC, (3M USD | 200,000 | 209,486 | ||||||
HSBC Holdings PLC, (3M | 200,000 | 206,745 | ||||||
Reynolds American, Inc., | 125,000 | 141,169 | ||||||
Santander UK PLC, 2.10%, | 200,000 | 206,444 | ||||||
Unilever Capital Corp., | 100,000 | 110,718 | ||||||
Virgin Media Secured | 200,000 | 203,250 | ||||||
1,077,812 | ||||||||
Japan – 0.5% | ||||||||
Mitsubishi UFJ Financial | 200,000 | 202,182 | ||||||
Mizuho Financial | 200,000 | 202,001 | ||||||
(3M USD LIBOR + 1.00%), | 200,000 | 217,034 | ||||||
Nomura Holdings, Inc., | 200,000 | 203,709 | ||||||
Sumitomo Mitsui Financial | ||||||||
2.45%, 9/27/24 | 200,000 | 211,127 | ||||||
1.47%, 7/08/25 | 200,000 | 203,545 | ||||||
1,239,598 | ||||||||
Germany – 0.2% | ||||||||
Deutsche Bank A.G., | 150,000 | 151,512 | ||||||
(5Y USD Swap Rate + | 200,000 | 193,750 | ||||||
345,262 | ||||||||
Switzerland – 0.0%(d) | ||||||||
Novartis Capital Corp., | 10,000 | 10,629 |
See accompanying Notes to Financial Statements
192
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Par(a) | Value | |||||||||||
Ireland – 0.1% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.50%, 9/15/23 | $ | 220,000 | $
| 228,471
|
| |||||||
Brazil – 0.0%(d) | ||||||||||||
Vale Overseas Ltd., 3.75%, 7/08/30 | 10,000 |
| 10,530
|
| ||||||||
Burkina Faso – 0.0%(d) |
| |||||||||||
IAMGOLD Corp., | 30,000 |
| 30,024
|
| ||||||||
Peru – 0.0%(d) | ||||||||||||
Hudbay Minerals, Inc., 6.13%, 4/01/29(b) | 35,000 |
| 35,788
|
| ||||||||
China – 0.1% | ||||||||||||
Baidu, Inc., 1.72%, 4/09/26 | 200,000 |
| 200,212
|
| ||||||||
Total Foreign Issuer Bonds |
|
| 5,431,853
|
| ||||||||
Number of
| ||||||||||||
Short-Term Investments – 15.2% |
| |||||||||||
Money Market Fund – 15.2% |
| |||||||||||
Northern Institutional Funds - Treasury | 34,108,277 |
| 34,108,277
|
| ||||||||
Total Short-Term Investments |
|
| 34,108,277
|
| ||||||||
Rights – 0.0%(d) |
| |||||||||||
Biotechnology – 0.0%(d) |
| |||||||||||
Pfenex, Inc. CVR(l)* | 53,807 | — | ||||||||||
Stemline Therapeutics, Inc. CVR(m)* | 33,076 | 10,915 | ||||||||||
| 10,915
|
| ||||||||||
Pharmaceuticals – 0.0%(d) |
| |||||||||||
Elanco Animal Health, Inc.* |
| 22,842
|
|
| —
|
| ||||||
Total Rights |
| 10,915 | ||||||||||
Number of
| Notional
| |||||||||||
Purchased Options – 0.0%(d) |
| |||||||||||
Call Options - Exchange Traded – 0.0%(d) |
| |||||||||||
AMAG Pharmaceuticals, Inc., | ||||||||||||
Strike Price $15.00, Expires 11/20/20 90 | 123,480 | 450 |
Number of
| Notional
| Value
| ||||||||||
Call Options - Exchange Traded (Continued) |
| |||||||||||
Devon Energy Corp., Strike Price $10.00, Expires 12/18/20 | 51 | 45,543 | $ | 3,595 | ||||||||
Strike Price $11.00, Expires 12/18/20 | 51 | 45,543 | 2,168 | |||||||||
Strike Price $12.00, Expires 12/18/20 | 51 | 45,543 | 1,428 | |||||||||
Strike Price $9.74, Expires 1/15/21 | 166 | 148,238 | 15,770 | |||||||||
Strike Price $10.74, Expires 1/15/21 | 166 | 148,238 | 10,956 | |||||||||
Strike Price $11.74, Expires 1/15/21 | 128 | 114,304 | 5,120 | |||||||||
Immunomedics, Inc., Strike Price $90.00, Expires 11/20/20 | 59 | 518,374 | 295 | |||||||||
| 39,782
|
| ||||||||||
Put Options - Exchange Traded – 0.0%(d) |
| |||||||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF, Strike Price $130.00, Expires 1/15/21 | 69 | 922,737 | 9,591 | |||||||||
iShares Russell 2000 ETF, Strike Price $142.00, Expires 1/15/21 | 8 | 122,472 | 4,728 | |||||||||
Strike Price $145.00, Expires 1/15/21 | 7 | 107,163 | 4,746 | |||||||||
| 19,065
|
| ||||||||||
Total Purchased Options |
|
| 58,847
|
| ||||||||
Total Long Positions – 109.4% |
| 245,462,628 |
See accompanying Notes to Financial Statements
193
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Number of Shares | Value | |||||||
| ||||||||
Short Positions – (16.3)% |
| |||||||
Common Stocks – (16.1)% |
| |||||||
Aerospace/Defense – (0.0)%(d) | ||||||||
Kaman Corp. | (1,882 | ) | $ | (74,640 | ) | |||
| ||||||||
Airlines – (0.3)% | ||||||||
Copa Holdings S.A., Class A | (5,167 | ) | (254,630 | ) | ||||
Southwest Airlines Co.(e) | (8,211 | ) | (324,581 | ) | ||||
(579,211 | ) | |||||||
| ||||||||
Apparel – (0.1)% | ||||||||
Under Armour, Inc., Class C* | (10,554 | ) | (129,075 | ) | ||||
| ||||||||
Auto Manufacturers – (0.2)% | ||||||||
Peugeot S.A. (France)* | (21,579 | ) | (387,650 | ) | ||||
| ||||||||
Auto Parts & Equipment – (0.1)% |
| |||||||
Aptiv PLC | (2,443 | ) | (235,725 | ) | ||||
Meritor, Inc.* | (3,903 | ) | (94,999 | ) | ||||
(330,724 | ) | |||||||
| ||||||||
Banks – (0.9)% | ||||||||
First Citizens BancShares, Inc., | (1,220 | ) | (564,494 | ) | ||||
Morgan Stanley | (29,149 | ) | (1,403,524 | ) | ||||
(1,968,018 | ) | |||||||
| ||||||||
Biotechnology – (0.9)% | ||||||||
Apellis Pharmaceuticals, Inc.* | (5,969 | ) | (190,411 | ) | ||||
Exact Sciences Corp.* | (3,879 | ) | (480,337 | ) | ||||
Gossamer Bio, Inc.* | (13,878 | ) | (115,187 | ) | ||||
Halozyme Therapeutics, Inc.(e)* | (13,827 | ) | (387,156 | ) | ||||
Innoviva, Inc.* | (7,631 | ) | (82,491 | ) | ||||
Insmed, Inc.* | (8,178 | ) | (269,383 | ) | ||||
Ionis Pharmaceuticals, Inc.* | (3,209 | ) | (150,663 | ) | ||||
Ligand Pharmaceuticals, Inc.* | (318 | ) | (26,219 | ) | ||||
Novavax, Inc.* | (988 | ) | (79,741 | ) | ||||
Radius Health, Inc.* | (2,482 | ) | (33,284 | ) | ||||
Retrophin, Inc.* | (4,909 | ) | (99,358 | ) | ||||
Theravance Biopharma, Inc.* | (3,757 | ) | (71,045 | ) | ||||
(1,985,275 | ) | |||||||
| ||||||||
Building Materials – (0.3)% | ||||||||
Builders FirstSource, Inc.* | (25,556 | ) | (774,347 | ) | ||||
| ||||||||
Chemicals – (0.0)%(d) | ||||||||
International Flavors & Fragrances, Inc. | (694 | ) | (71,246 | ) | ||||
|
Number of Shares | Value | |||||||
| ||||||||
Commercial Services – (0.5)% | ||||||||
2U, Inc.* | (6,660 | ) | $ | (245,421 | ) | |||
FTI Consulting, Inc.* | (3,571 | ) | (351,601 | ) | ||||
K12, Inc.* | (2,420 | ) | (57,765 | ) | ||||
Sabre Corp. | (34,267 | ) | (223,421 | ) | ||||
Worldline S.A. (France)(b)* | (4,239 | ) | (313,968 | ) | ||||
(1,192,176 | ) | |||||||
| ||||||||
Computers – (0.2)% | ||||||||
Lumentum Holdings, Inc.(e)* | (3,013 | ) | (249,145 | ) | ||||
NCR Corp.* | (7,358 | ) | (149,515 | ) | ||||
(398,660 | ) | |||||||
| ||||||||
Cosmetics/Personal Care – (0.3)% |
| |||||||
Unilever PLC (United Kingdom) | (10,207 | ) | (581,686 | ) | ||||
| ||||||||
Diversified Financial Services – (0.5)% |
| |||||||
Affiliated Managers Group, Inc. | (1,510 | ) | (113,809 | ) | ||||
Cowen, Inc., Class A | (17,882 | ) | (383,748 | ) | ||||
Encore Capital Group, Inc.* | (7,043 | ) | (224,883 | ) | ||||
I3 Verticals, Inc., Class A* | (8,297 | ) | (171,167 | ) | ||||
PRA Group, Inc.* | (6,370 | ) | (217,408 | ) | ||||
WisdomTree Investments, Inc. | (11,907 | ) | (43,341 | ) | ||||
(1,154,356 | ) | |||||||
| ||||||||
Electric – (0.1)% | ||||||||
NRG Energy, Inc. | (6,345 | ) | (200,629 | ) | ||||
| ||||||||
Electronics – (0.4)% | ||||||||
Fortive Corp. | (3,303 | ) | (203,465 | ) | ||||
II-VI, Inc.(e)* | (9,094 | ) | (413,504 | ) | ||||
Knowles Corp.* | (8,719 | ) | (124,246 | ) | ||||
OSI Systems, Inc.* | (1,911 | ) | (147,453 | ) | ||||
Vishay Intertechnology, Inc. | (4,194 | ) | (68,026 | ) | ||||
Vontier Corp.* | (139 | ) | (3,995 | ) | ||||
(960,689 | ) | |||||||
| ||||||||
Energy - Alternate Sources – (0.4)% |
| |||||||
Canadian Solar, Inc. (Canada)* | (3,000 | ) | (109,050 | ) | ||||
Enphase Energy, Inc.(e)* | (4,379 | ) | (429,536 | ) | ||||
SunPower Corp.* | (16,563 | ) | (264,842 | ) | ||||
(803,428 | ) | |||||||
| ||||||||
Engineering & Construction – (0.1)% |
| |||||||
Granite Construction, Inc. | (8,649 | ) | (167,012 | ) | ||||
| ||||||||
Entertainment – (0.3)% | ||||||||
Cinemark Holdings, Inc. | (26,992 | ) | (221,064 | ) |
See accompanying Notes to Financial Statements
194
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Number of Shares | Value | |||||||
| ||||||||
Entertainment (Continued) | ||||||||
Evolution Gaming Group AB | (1,356 | ) | $ | (100,575 | ) | |||
Penn National Gaming, Inc.* | (8,800 | ) | (475,024 | ) | ||||
(796,663 | ) | |||||||
| ||||||||
Food – (0.6)% | ||||||||
Chefs’ Warehouse (The), Inc.* | (7,197 | ) | (97,303 | ) | ||||
Just Eat Takeaway.com N.V. (Germany)(b)* | (11,812 | ) | (1,314,042 | ) | ||||
(1,411,345 | ) | |||||||
| ||||||||
Healthcare - Products – (0.2)% | ||||||||
LivaNova PLC* | (3,430 | ) | (172,666 | ) | ||||
NanoString Technologies, Inc.* | (4,471 | ) | (163,862 | ) | ||||
Varex Imaging Corp.* | (2,419 | ) | (32,415 | ) | ||||
(368,943 | ) | |||||||
| ||||||||
Home Builders – (0.1)% | ||||||||
Winnebago Industries, Inc. | (5,120 | ) | (240,384 | ) | ||||
| ||||||||
Insurance – (1.1)% | ||||||||
Aon PLC, Class A | (13,960 | ) | (2,568,780 | ) | ||||
| ||||||||
Internet – (1.3)% | ||||||||
Boingo Wireless, Inc.* | (941 | ) | (8,789 | ) | ||||
Farfetch Ltd., Class A (United Kingdom)(e)* | (12,534 | ) | (352,582 | ) | ||||
JOYY, Inc. ADR (China) | (4,986 | ) | (455,621 | ) | ||||
Match Group, Inc.* | (6,331 | ) | (739,334 | ) | ||||
Momo, Inc. ADR (China) | (1,668 | ) | (25,020 | ) | ||||
Palo Alto Networks, Inc.* | (1,174 | ) | (259,677 | ) | ||||
Perficient, Inc.* | (5,233 | ) | (204,924 | ) | ||||
Q2 Holdings, Inc.* | (3,882 | ) | (354,194 | ) | ||||
Zillow Group, Inc., Class C(e)* | (7,036 | ) | (623,530 | ) | ||||
(3,023,671 | ) | |||||||
| ||||||||
Leisure Time – (0.6)% | ||||||||
Callaway Golf Co. | (13,302 | ) | (206,048 | ) | ||||
Norwegian Cruise Line Holdings | (47,010 | ) | (781,776 | ) | ||||
Royal Caribbean Cruises Ltd. | (6,566 | ) | (370,454 | ) | ||||
(1,358,278 | ) | |||||||
| ||||||||
Lodging – (0.2)% | ||||||||
Huazhu Group Ltd. ADR (China) | (5,679 | ) | (225,059 | ) | ||||
Marcus (The) Corp. | (17,550 | ) | (128,641 | ) | ||||
(353,700 | ) | |||||||
|
Number of Shares | Value | |||||||
| ||||||||
Machinery - Construction & Mining – (0.1)% |
| |||||||
Bloom Energy Corp., Class A* | (10,109 | ) | $ | (127,778 | ) | |||
| ||||||||
Machinery - Diversified – (0.1)% |
| |||||||
Middleby (The) Corp.* | (1,305 | ) | (129,900 | ) | ||||
| ||||||||
Media – (1.0)% | ||||||||
Liberty Broadband Corp., Class C* | (15,630 | ) | (2,214,927 | ) | ||||
| ||||||||
Mining – (0.1)% | ||||||||
First Majestic Silver Corp. (Canada)* | (13,024 | ) | (133,496 | ) | ||||
| ||||||||
Oil & Gas – (0.8)% | ||||||||
ConocoPhillips | (35,212 | ) | (1,007,767 | ) | ||||
Devon Energy Corp.(e) | (76,790 | ) | (685,735 | ) | ||||
Pioneer Natural Resources Co. | (2,858 | ) | (227,383 | ) | ||||
(1,920,885 | ) | |||||||
| ||||||||
Oil & Gas Services – (0.0)%(d) | ||||||||
Helix Energy Solutions Group, Inc.* | (9,287 | ) | (23,032 | ) | ||||
| ||||||||
Pharmaceuticals – (0.3)% | ||||||||
Coherus Biosciences, Inc.* | (8,560 | ) | (142,695 | ) | ||||
Flexion Therapeutics, Inc.* | (5,909 | ) | (70,849 | ) | ||||
Jazz Pharmaceuticals PLC* | (2,057 | ) | (296,414 | ) | ||||
Zogenix, Inc.* | (10,080 | ) | (214,905 | ) | ||||
(724,863 | ) | |||||||
| ||||||||
Pipelines – (0.0)%(d) | ||||||||
Cheniere Energy, Inc.* | (654 | ) | (31,307 | ) | ||||
| ||||||||
Real Estate Investment Trusts – (0.2)% | ||||||||
iStar, Inc. | (38,681 | ) | (456,436 | ) | ||||
| ||||||||
Retail – (0.8)% | ||||||||
American Eagle Outfitters, Inc.(e) | (56,545 | ) | (775,232 | ) | ||||
Bloomin’ Brands, Inc. | (49,969 | ) | (698,567 | ) | ||||
Burlington Stores, Inc.(e)* | (736 | ) | (142,475 | ) | ||||
National Vision Holdings, Inc.* | (6,083 | ) | (245,327 | ) | ||||
(1,861,601 | ) | |||||||
| ||||||||
Semiconductors – (1.6)% | ||||||||
Advanced Micro Devices, Inc.* | (12,685 | ) | (955,054 | ) | ||||
Analog Devices, Inc. | (19,972 | ) | (2,367,281 | ) | ||||
Cree, Inc.(e)* | (2,442 | ) | (155,311 | ) | ||||
Marvell Technology Group Ltd. | (2,936 | ) | (110,129 | ) | ||||
(3,587,775 | ) | |||||||
|
See accompanying Notes to Financial Statements
195
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Number of Shares | Value | |||||||
| ||||||||
Software – (1.0)% | ||||||||
Avaya Holdings Corp.* | (4,810 | ) | $ | (82,732 | ) | |||
Bilibili, Inc. ADR (China)* | (5,762 | ) | (257,388 | ) | ||||
Cerence, Inc.* | (3,020 | ) | (164,832 | ) | ||||
Envestnet, Inc.(e)* | (4,233 | ) | (324,840 | ) | ||||
Everbridge, Inc.(e)* | (1,116 | ) | (116,834 | ) | ||||
Health Catalyst, Inc.* | (3,391 | ) | (116,922 | ) | ||||
j2 Global, Inc.* | (2,981 | ) | (202,350 | ) | ||||
New Relic, Inc.* | (1,939 | ) | (117,620 | ) | ||||
Nuance Communications, Inc.* | (12,351 | ) | (394,120 | ) | ||||
Splunk, Inc.* | (367 | ) | (72,681 | ) | ||||
Tabula Rasa HealthCare, Inc.* | (3,926 | ) | (135,604 | ) | ||||
Workiva, Inc.* | (4,144 | ) | (229,205 | ) | ||||
(2,215,128 | ) | |||||||
| ||||||||
Telecommunications – (0.2)% |
| |||||||
Infinera Corp.* | (22,192 | ) | (138,922 | ) | ||||
Motorola Solutions, Inc. | (1,092 | ) | (172,602 | ) | ||||
Vonage Holdings Corp.* | (14,304 | ) | (151,336 | ) | ||||
(462,860 | ) | |||||||
| ||||||||
Transportation – (0.2)% |
| |||||||
Air Transport Services Group, Inc.* | (8,651 | ) | (242,574 | ) | ||||
SEACOR Holdings, Inc.* | (3,116 | ) | (95,443 | ) | ||||
SFL Corp. Ltd. (Norway) | (9,032 | ) | (58,798 | ) | ||||
(396,815 | ) | |||||||
| ||||||||
Total Common Stocks | (36,167,389 | ) | ||||||
|
Number of Shares | Value | |||||||
| ||||||||
Investment Companies – (0.2)% |
| |||||||
Health Care Select Sector SPDR Fund | (1,089 | ) | $ | (110,708 | ) | |||
iShares MSCI Australia ETF | (3,040 | ) | (60,101 | ) | ||||
iShares Russell 2000 Growth ETF | (380 | ) | (84,804 | ) | ||||
iShares Russell 2000 Value ETF | (252 | ) | (25,953 | ) | ||||
iShares Russell Mid-Cap Growth ETF | (266 | ) | (46,039 | ) | ||||
iShares U.S. Real Estate ETF | (1,117 | ) | (86,579 | ) | ||||
| ||||||||
Total Investment Companies |
| (414,184 | ) | |||||
| ||||||||
Total Short Positions – (16.3)% |
| |||||||
(Proceeds $34,584,661) | (36,581,573 | ) | ||||||
| ||||||||
Total Written Options – (0.1)% |
| |||||||
(Premiums Received $186,328) | (178,868 | ) | ||||||
| ||||||||
Other Assets less Liabilities – 7.0%(n) |
| 15,823,231 | ||||||
| ||||||||
NET ASSETS – 100.0% | $ | 224,525,418 | ||||||
|
Percentages shown are based on Net Assets.
All securities are United States companies, unless noted otherwise in parentheses.
(a) | Par value is in USD unless otherwise indicated. |
(b) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees of Morningstar Funds Trust. |
(c) | Variable rate security. Rate as of October 31, 2020 is disclosed. |
(d) | Amount rounds to less than 0.05%. |
(e) | Security represents underlying investment on open options contracts. |
(f) | All or a portion of the security was held as collateral for open futures, options, securities sold short and/or swap agreements. |
(g) | Security sold outside United States without registration under the Securities Act of 1933. |
(h) | Security is a payment in-kind bond (PIK), distributions received in-kind unless otherwise noted in the description. |
(i) | Variable rate security. Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate as of October 31, 2020 is disclosed. |
(j) | When-Issued Security. Coupon rate was not yet in effect at October 31, 2020. |
(k) | 7-day current yield as of October 31, 2020 is disclosed. |
(l) | Level 3 asset that is worthless, bankrupt or has been delisted. |
(m) | This is a Level 3 asset which is fair valued by the Pricing Committee (see Note 4 in Notes to Financial Statements). The fair value price of $0.33 is based on a discount pricing model. During the fiscal period, the Fund acquired $10,915 of this asset. |
(n) | Includes appreciation/ (depreciation) on forward foreign currency exchange, futures and swap contracts. |
See accompanying Notes to Financial Statements
196
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
* | Non-Income Producing Security |
Abbreviations: | ||
1M | 1 Month | |
3M | 3 Month | |
5Y | 5 Year | |
ADR | American Depositary Receipt | |
BTP | Buoni del Tesoro Poliennali | |
CVR | Contingent Value Rights | |
ETF | Exchange-Traded Fund | |
FHLMC | Federal Home Loan Mortgage Corporation | |
FNMA | Federal National Mortgage Association | |
Freddie Mac | Federal Home Loan Mortgage Corporation | |
KWCDC | Korean Won Certificate of Deposit | |
LIBOR | London Interbank Offered Rate | |
LLC | Limited Liability Company | |
MSCI | Morgan Stanley Capital International | |
OAT | Obligations Assimilables du Trésor | |
PLC | Public Limited Company | |
REMIC | Real Estate Mortgage Investment Conduit | |
S&P | Standards & Poor’s | |
SOFR | United States Secured Overnight Financing Rate | |
SPDR | Standard & Poor’s Depositary Receipt | |
TBA | To be announced | |
USD | United States Dollar |
Futures Contracts outstanding at October 31, 2020: Exchange Traded
Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||
| ||||||||||||||||||||
Long Contracts | ||||||||||||||||||||
Euro-BTP | 1 | 12/08/2020 | EUR | 174,220 | $ 4,496 | |||||||||||||||
10-Year Bond | 2 | 12/15/2020 | AUD | 210,187 | 738 | |||||||||||||||
10-Year U.S. Treasury Note | 35 | 12/21/2020 | USD | 4,837,656 | (24,741 | ) | ||||||||||||||
U.S. Treasury Long Bond | 5 | 12/21/2020 | USD | 862,344 | (20,375 | ) | ||||||||||||||
Long GILT | 24 | 12/29/2020 | GBP | 4,218,563 | (6,818 | ) | ||||||||||||||
2-Year U.S. Treasury Note | 15 | 12/31/2020 | USD | 3,312,656 | (700 | ) | ||||||||||||||
5-Year U.S. Treasury Note | 99 | 12/31/2020 | USD | 12,434,555 | (9,679 | ) | ||||||||||||||
| ||||||||||||||||||||
Total Long Contracts | $(57,079 | ) | ||||||||||||||||||
| ||||||||||||||||||||
Short Contracts | ||||||||||||||||||||
Euro Bund | (19 | ) | 12/08/2020 | EUR | 3,897,909 | $(31,010 | ) | |||||||||||||
Euro-OAT | (3 | ) | 12/08/2020 | EUR | 594,356 | (8,289 | ) | |||||||||||||
10-Year Bond | (40 | ) | 12/18/2020 | CAD | 4,534,714 | 20,824 | ||||||||||||||
U.S. Ultra Bond | (4 | ) | 12/21/2020 | USD | 860,000 | 3,102 | ||||||||||||||
Ultra 10-Year U.S. Treasury Note | (6 | ) | 12/21/2020 | USD | 943,688 | 11,809 | ||||||||||||||
| ||||||||||||||||||||
Total Short Contracts | $ (3,564 | ) | ||||||||||||||||||
| ||||||||||||||||||||
$(60,643 | ) | |||||||||||||||||||
|
See accompanying Notes to Financial Statements
197
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2020:
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
| ||||||||||||||||||||||||
12/15/20 | U.S. Dollars | 2,047,220 | Euro | 1,728,180 | Morgan Stanley | $ 32,247 | ||||||||||||||||||
12/15/20 | U.S. Dollars | 665,190 | Polish Zloty | 2,571,600 | Morgan Stanley | 15,489 | ||||||||||||||||||
12/15/20 | U.S. Dollars | 596,379 | New Zealand Dollars | 887,200 | Morgan Stanley | 9,740 | ||||||||||||||||||
12/15/20 | U.S. Dollars | 464,166 | British Pounds | 353,600 | Morgan Stanley | 5,913 | ||||||||||||||||||
12/15/20 | U.S. Dollars | 833,538 | Swiss Francs | 759,300 | Morgan Stanley | 4,250 | ||||||||||||||||||
12/15/20 | U.S. Dollars | 204,908 | Swedish Kronor | 1,791,000 | Morgan Stanley | 3,513 | ||||||||||||||||||
12/15/20 | U.S. Dollars | 334,402 | Canadian Dollars | 442,470 | Morgan Stanley | 2,213 | ||||||||||||||||||
12/16/20 | U.S. Dollars | 47,201 | Euro | 40,000 | Bank of America | 561 | ||||||||||||||||||
12/16/20 | U.S. Dollars | 7,993 | Polish Zloty | 30,000 | Bank of America | 414 | ||||||||||||||||||
12/16/20 | U.S. Dollars | 23,544 | Euro | 20,000 | Morgan Stanley | 223 | ||||||||||||||||||
12/16/20 | U.S. Dollars | 15,171 | Canadian Dollars | 20,000 | Bank of America | 156 | ||||||||||||||||||
12/16/20 | U.S. Dollars | 7,570 | Canadian Dollars | 10,000 | Morgan Stanley | 63 | ||||||||||||||||||
12/16/20 | U.S. Dollars | 12,983 | British Pounds | 10,000 | Morgan Stanley | 23 | ||||||||||||||||||
12/15/20 | Swedish Kronor | 11,700 | U.S. Dollars | 1,312 | Morgan Stanley | 4 | ||||||||||||||||||
| ||||||||||||||||||||||||
Total Unrealized Appreciation |
| $ 74,809 | ||||||||||||||||||||||
| ||||||||||||||||||||||||
12/16/20 | U.S. Dollars | 7,320 | Singapore Dollars | 10,000 | JPMorgan Chase | $ (1 | ) | |||||||||||||||||
12/16/20 | U.S. Dollars | 12,920 | British Pounds | 10,000 | Barclays | (40 | ) | |||||||||||||||||
12/15/20 | U.S. Dollars | 31,365 | Canadian Dollars | 41,900 | Morgan Stanley | (93 | ) | |||||||||||||||||
12/15/20 | Swiss Francs | 7,700 | U.S. Dollars | 8,507 | Morgan Stanley | (97 | ) | |||||||||||||||||
12/15/20 | U.S. Dollars | 153,102 | Swiss Francs | 140,300 | Morgan Stanley | (131 | ) | |||||||||||||||||
12/15/20 | U.S. Dollars | 204,868 | Euro | 176,080 | Morgan Stanley | (433 | ) | |||||||||||||||||
12/15/20 | Swedish Kronor | 1,799,000 | U.S. Dollars | 204,941 | Morgan Stanley | (2,646 | ) | |||||||||||||||||
12/15/20 | U.S. Dollars | 708,889 | British Pounds | 549,200 | Morgan Stanley | (2,855 | ) | |||||||||||||||||
12/15/20 | New Zealand Dollars | 777,500 | U.S. Dollars | 518,465 | Morgan Stanley | (4,363 | ) | |||||||||||||||||
12/15/20 | Euro | 1,389,650 | U.S. Dollars | 1,635,630 | Morgan Stanley | (15,368 | ) | |||||||||||||||||
| ||||||||||||||||||||||||
Total Unrealized Depreciation |
| $(26,027 | ) | |||||||||||||||||||||
| ||||||||||||||||||||||||
Net Unrealized Appreciation |
| $ 48,782 | ||||||||||||||||||||||
|
Written Call Option Contracts outstanding at October 31, 2020:
Exchange Traded
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||||||||
American Eagle Outfitters, Inc. | 164 | USD | 224,844 | 14.00 | 12/18/2020 | $ | (19,680 | ) | ||||||||||||||||
Bloomin’ Brands, Inc. | 145 | USD | 202,710 | 17.50 | 12/18/2020 | (5,438 | ) | |||||||||||||||||
Burlington Stores, Inc. | 3 | USD | 58,074 | 200.00 | 11/20/2020 | (1,815 | ) | |||||||||||||||||
Cree, Inc. | 10 | USD | 63,600 | 60.00 | 12/18/2020 | (6,950 | ) | |||||||||||||||||
Enphase Energy, Inc. | 17 | USD | 166,753 | 70.00 | 11/20/2020 | (49,215 | ) | |||||||||||||||||
Envestnet, Inc. | 14 | USD | 107,436 | 85.00 | 11/20/2020 | (1,820 | ) | |||||||||||||||||
Everbridge, Inc. | 4 | USD | 41,876 | 125.00 | 12/18/2020 | (1,520 | ) |
See accompanying Notes to Financial Statements
198
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||||||||
| ||||||||||||||||||||||||
Farfetch Ltd., Class A | 33 | KYD | 92,829 | 23.00 | 11/20/2020 | $ (20,955 | ) | |||||||||||||||||
First Majestic Silver Corp. | 50 | CAD | 51,250 | 11.00 | 12/18/2020 | (4,150 | ) | |||||||||||||||||
Halozyme Therapeutics, Inc. | 48 | USD | 134,400 | 27.00 | 11/20/2020 | (10,920 | ) | |||||||||||||||||
II-VI, Inc. | 24 | USD | 109,128 | 40.00 | 11/20/2020 | (15,240 | ) | |||||||||||||||||
Lumentum Holdings, Inc. | 12 | USD | 99,228 | 75.00 | 11/20/2020 | (11,700 | ) | |||||||||||||||||
Norwegian Cruise Line Holdings Ltd. | 126 | BMD | 209,538 | 17.50 | 11/20/2020 | (16,758 | ) | |||||||||||||||||
Southwest Airlines Co. | 32 | USD | 126,496 | 40.00 | 11/20/2020 | (6,912 | ) | |||||||||||||||||
Zillow Group, Inc., Class C | 19 | USD | 169,727 | 100.00 | 11/20/2020 | (5,795 | ) | |||||||||||||||||
| ||||||||||||||||||||||||
Total Written Call Options Contracts (Premiums Received $186,328) |
| $(178,868 | ) | |||||||||||||||||||||
|
Long Contracts for Difference at October 31, 2020:
Over the Counter
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
| ||||||||||||||||||||||||
AbbVie, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 1,721 | Monthly | $ | 146,890 | $ 23 | ||||||||||||||||
AbbVie, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 323 | Monthly | 27,633 | 104 | |||||||||||||||||
Allstate Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 1,951 | Monthly | 173,128 | (9,447 | ) | ||||||||||||||||
Altice USA, Inc., Class A | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 663 | Monthly | 17,847 | (260 | ) | ||||||||||||||||
Altria Group, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 12,484 | Monthly | 450,363 | (50,320 | ) | ||||||||||||||||
Altria Group, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 6,379 | Monthly | 230,132 | (23,004 | ) | ||||||||||||||||
American Express Co. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 1,456 | Monthly | 133,501 | (8,408 | ) | ||||||||||||||||
American International Group, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 2,505 | Monthly | 78,872 | 3,071 | |||||||||||||||||
AmerisourceBergen Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 1,536 | Monthly | 147,549 | (5,052 | ) | ||||||||||||||||
AmerisourceBergen Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 1,450 | Monthly | 139,283 | (3,528 | ) | ||||||||||||||||
Amgen, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 1,589 | Monthly | 344,674 | (34,402 | ) | ||||||||||||||||
Amgen, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 1,355 | Monthly | 293,926 | (24,476 | ) | ||||||||||||||||
Apache Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 27,244 | Monthly | 226,733 | (42,379 | ) | ||||||||||||||||
Arrow Electronics, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 2,752 | Monthly | 214,335 | (16,839 | ) | ||||||||||||||||
Arrow Electronics, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 2,689 | Monthly | 209,422 | (13,216 | ) | ||||||||||||||||
Ashland Global Holdings, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 2,367 | Monthly | 165,130 | (15,165 | ) | ||||||||||||||||
Ashland Global Holdings, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 1,582 | Monthly | 110,358 | (6,077 | ) | ||||||||||||||||
AutoNation, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 3,160 | Monthly | 179,243 | (14,873 | ) | ||||||||||||||||
AutoZone, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 324 | Monthly | 365,758 | (19,544 | ) | ||||||||||||||||
AutoZone, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 288 | Monthly | 325,107 | (6,190 | ) | ||||||||||||||||
Avangrid, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 3,391 | Monthly | 167,295 | (19,972 | ) | ||||||||||||||||
Avangrid, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 2,063 | Monthly | 101,774 | (12,356 | ) | ||||||||||||||||
Avis Budget Group, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 1,830 | Monthly | 61,611 | 5,221 | |||||||||||||||||
Avnet, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 4,728 | Monthly | 116,628 | (19,208 | ) | ||||||||||||||||
Barrick Gold Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 10,770 | Monthly | 287,848 | (5,266 | ) | ||||||||||||||||
Barrick Gold Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 4,900 | Monthly | 130,965 | (5,010 | ) | ||||||||||||||||
Baxter International, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 2,620 | Monthly | 203,207 | (3,438 | ) | ||||||||||||||||
Best Buy Co., Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 1,439 | Monthly | 160,506 | (12,362 | ) | ||||||||||||||||
Best Buy Co., Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 859 | Monthly | 95,813 | (5,529 | ) | ||||||||||||||||
Biogen, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 1,067 | Monthly | 268,922 | (34,382 | ) | ||||||||||||||||
Biogen, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 106 | Monthly | 26,718 | (2,031 | ) |
See accompanying Notes to Financial Statements
199
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
| ||||||||||||||||||||||||
Boston Properties, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 1,965 | Monthly | $ | 144,121 | $ (11,540 | ) | |||||||||||||||
Boyd Gaming Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 6,334 | Monthly | 200,889 | (4,258 | ) | ||||||||||||||||
Brighthouse Financial, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 628 | Monthly | 20,784 | 1,280 | |||||||||||||||||
Brighthouse Financial, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 102 | Monthly | 3,375 | 81 | |||||||||||||||||
Bristol-Myers Squibb Co. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 5,367 | Monthly | 316,519 | (7,756 | ) | ||||||||||||||||
Bristol-Myers Squibb Co. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 801 | Monthly | 48,197 | (1,160 | ) | ||||||||||||||||
Brixmor Property Group REIT, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 14,382 | Monthly | 157,608 | (19,822 | ) | ||||||||||||||||
Brixmor Property Group REIT, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 6,262 | Monthly | 68,626 | (3,294 | ) | ||||||||||||||||
Builders FirstSource, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 61 | Monthly | 1,848 | (230 | ) | ||||||||||||||||
Capital One Financial Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 269 | Monthly | 19,657 | (1,473 | ) | ||||||||||||||||
Cardinal Health, Inc. | U.S. Fed Funds | 6/10/2030 | JPMorgan Chase | 5,173 | Monthly | 239,049 | (12,512 | ) | ||||||||||||||||
Caterpillar, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 1,348 | Monthly | 212,842 | 2,271 | |||||||||||||||||
Cenovus Energy, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 2,950 | Monthly | 9,676 | 26 | |||||||||||||||||
Cenovus Energy, Inc. | U.S. Fed Funds | 6/10/2030 | JPMorgan Chase | 1,164 | Monthly | 3,818 | 30 | |||||||||||||||||
CenturyLink, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 29,766 | Monthly | 256,545 | (42,181 | ) | ||||||||||||||||
Chevron Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 1,268 | Monthly | 88,124 | (108 | ) | ||||||||||||||||
Chevron Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 347 | Monthly | 24,114 | (1,486 | ) | ||||||||||||||||
Cigna Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 568 | Monthly | 94,826 | (5,607 | ) | ||||||||||||||||
Cigna Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 523 | Monthly | 87,312 | (5,616 | ) | ||||||||||||||||
Cisco Systems, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 12,420 | Monthly | 449,997 | (40,888 | ) | ||||||||||||||||
Cisco Systems, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 6,977 | Monthly | 252,742 | (24,042 | ) | ||||||||||||||||
Clorox (The) Co. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 1,382 | Monthly | 286,387 | (11,411 | ) | ||||||||||||||||
Conagra Brands, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 6,735 | Monthly | 238,158 | (15,568 | ) | ||||||||||||||||
Conagra Brands, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 3,731 | Monthly | 131,934 | (9,035 | ) | ||||||||||||||||
CSX Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 2,413 | Monthly | 190,450 | 2,936 | |||||||||||||||||
CSX Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 818 | Monthly | 64,557 | (1,725 | ) | ||||||||||||||||
DaVita, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 1,916 | Monthly | 165,227 | (4,595 | ) | ||||||||||||||||
DaVita, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 1,554 | Monthly | 134,004 | (4,162 | ) | ||||||||||||||||
Deere & Co. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 1,156 | Monthly | 262,076 | (9,805 | ) | ||||||||||||||||
Deere & Co. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 899 | Monthly | 203,610 | (9,077 | ) | ||||||||||||||||
Devon Energy Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 28,091 | Monthly | 250,816 | (38,668 | ) | ||||||||||||||||
Devon Energy Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 11,453 | Monthly | 102,267 | (3,191 | ) | ||||||||||||||||
Diamondback Energy, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 5,057 | Monthly | 131,274 | (7,116 | ) | ||||||||||||||||
Dollar Tree, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 196 | Monthly | 17,697 | (243 | ) | ||||||||||||||||
DXC Technology | U.S. Fed Funds | 6/10/2030 | JPMorgan Chase | 3,639 | Monthly | 67,025 | (3,049 | ) | ||||||||||||||||
DXC Technology | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 281 | Monthly | 5,176 | 49 | |||||||||||||||||
Ebay, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 2,503 | Monthly | 119,202 | (11,221 | ) | ||||||||||||||||
Entergy Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 1,557 | Monthly | 157,584 | (6,399 | ) | ||||||||||||||||
Equifax, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 1,069 | Monthly | 146,008 | (24,263 | ) | ||||||||||||||||
Equifax, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 984 | Monthly | 134,403 | (22,463 | ) | ||||||||||||||||
Essex Property Trust, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 677 | Monthly | 138,496 | 243 | |||||||||||||||||
Essex Property Trust, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 552 | Monthly | 114,274 | (2,931 | ) | ||||||||||||||||
Exelon Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 4,595 | Monthly | 183,271 | 2,596 | |||||||||||||||||
Exelon Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 3,719 | Monthly | 148,337 | (5,629 | ) | ||||||||||||||||
FedEx Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 796 | Monthly | 206,517 | (14,645 | ) | ||||||||||||||||
FedEx Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 306 | Monthly | 79,392 | (6,042 | ) | ||||||||||||||||
FMC Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 2,495 | Monthly | 257,375 | (7,187 | ) |
See accompanying Notes to Financial Statements
200
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
| ||||||||||||||||||||||||
FMC Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 305 | Monthly | $ | 31,333 | $ (1,934 | ) | |||||||||||||||
Ford Motor Co. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 45,040 | Monthly | 348,117 | 17,073 | |||||||||||||||||
Ford Motor Co. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 536 | Monthly | 4,143 | 59 | |||||||||||||||||
General Mills, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 6,863 | Monthly | 409,670 | (11,646 | ) | ||||||||||||||||
General Mills, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 2,926 | Monthly | 174,927 | (7,804 | ) | ||||||||||||||||
Gilead Sciences, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 3,566 | Monthly | 207,335 | (18,081 | ) | ||||||||||||||||
Gilead Sciences, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 1,313 | Monthly | 76,344 | (5,720 | ) | ||||||||||||||||
Goodyear Tire & Rubber (The) Co. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 17,190 | Monthly | 142,318 | (23,368 | ) | ||||||||||||||||
Goodyear Tire & Rubber (The) Co. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 1,840 | Monthly | 15,235 | (2,788 | ) | ||||||||||||||||
Halliburton Co. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 14,528 | Monthly | 175,188 | (9,297 | ) | ||||||||||||||||
Harley-Davidson, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 475 | Monthly | 15,609 | 1,843 | |||||||||||||||||
Hartford Financial Services Group (The), Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 6,211 | Monthly | 239,228 | 696 | |||||||||||||||||
HCA Healthcare, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 737 | Monthly | 91,332 | (6,024 | ) | ||||||||||||||||
HD Supply Holdings, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 6,515 | Monthly | 259,653 | (19,596 | ) | ||||||||||||||||
HD Supply Holdings, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 3,614 | Monthly | 144,042 | (7,898 | ) | ||||||||||||||||
Healthpeak Properties, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 3,080 | Monthly | 83,054 | (6,389 | ) | ||||||||||||||||
Hewlett Packard Enterprise Co. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 2,239 | Monthly | 19,342 | (2,597 | ) | ||||||||||||||||
Hewlett Packard Enterprise Co. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 934 | Monthly | 8,070 | 84 | |||||||||||||||||
Home Depot (The), Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 513 | Monthly | 136,805 | (9,033 | ) | ||||||||||||||||
Howmet Aerospace Inc. | U.S. Fed Funds | 6/10/2030 | JPMorgan Chase | 6,131 | Monthly | 105,751 | (6,626 | ) | ||||||||||||||||
HP, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 17,452 | Monthly | 313,404 | (21,577 | ) | ||||||||||||||||
Illinois Tool Works, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 239 | Monthly | 46,810 | (1,895 | ) | ||||||||||||||||
Intel Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 3,119 | Monthly | 138,098 | (15,903 | ) | ||||||||||||||||
Intel Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 80 | Monthly | 3,542 | 17 | |||||||||||||||||
International Paper Co. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 3,188 | Monthly | 139,458 | 4,000 | |||||||||||||||||
Interpublic Group Of Companies, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 6,649 | Monthly | 120,265 | (1,678 | ) | ||||||||||||||||
Interpublic Group Of Companies, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 1,206 | Monthly | 21,815 | 155 | |||||||||||||||||
JB Hunt Transport Services, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 798 | Monthly | 97,139 | (13,847 | ) | ||||||||||||||||
Johnson Controls International PLC | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 5,886 | Monthly | 247,601 | (6,092 | ) | ||||||||||||||||
Johnson Controls International PLC | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 3,987 | Monthly | 168,276 | (1,650 | ) | ||||||||||||||||
Juniper Networks, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 1,162 | Monthly | 22,912 | (3,233 | ) | ||||||||||||||||
Juniper Networks, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 424 | Monthly | 8,360 | (1,212 | ) | ||||||||||||||||
KB Home | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 1,241 | Monthly | 40,020 | (8,357 | ) | ||||||||||||||||
Kilroy Reality Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 484 | Monthly | 22,786 | (1,387 | ) | ||||||||||||||||
Kimco Realty Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 28,032 | Monthly | 287,569 | (44,570 | ) | ||||||||||||||||
Kinder Morgan, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 10,690 | Monthly | 129,999 | (10,360 | ) | ||||||||||||||||
Kinder Morgan, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 5,899 | Monthly | 71,740 | (4,888 | ) | ||||||||||||||||
Kohls Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 2,529 | Monthly | 53,838 | 1,588 | |||||||||||||||||
Kroger (The) Co. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 16,337 | Monthly | 526,147 | (33,001 | ) | ||||||||||||||||
Kroger (The) Co. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 4,431 | Monthly | 142,710 | (7,229 | ) |
See accompanying Notes to Financial Statements
201
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
| ||||||||||||||||||||||||
L Brands, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 9,371 | Monthly | $ | 299,929 | $ (6,107 | ) | |||||||||||||||
Lamar Advertising Co., Class A | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 212 | Monthly | 13,135 | (444 | ) | ||||||||||||||||
Lamar Advertising Co., Class A | U.S. Fed Funds | 6/10/2030 | JPMorgan Chase | 146 | Monthly | 9,046 | 26 | |||||||||||||||||
Lockheed Martin Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 779 | Monthly | 272,718 | (27,921 | ) | ||||||||||||||||
Lockheed Martin Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 379 | Monthly | 132,687 | (12,823 | ) | ||||||||||||||||
Lowe’s Cos., Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 3,323 | Monthly | 527,161 | (39,384 | ) | ||||||||||||||||
Lowe’s Cos., Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 968 | Monthly | 153,594 | (16,480 | ) | ||||||||||||||||
Marathon Petroleum Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 45,299 | Monthly | 270,046 | (18,352 | ) | ||||||||||||||||
Marathon Petroleum Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 6,670 | Monthly | 64,942 | (2,775 | ) | ||||||||||||||||
Marsh & McLennan Cos., Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 2,973 | Monthly | 308,897 | (30,023 | ) | ||||||||||||||||
Marsh & McLennan Cos., Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 682 | Monthly | 70,858 | (6,997 | ) | ||||||||||||||||
Matador Resources Co. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 5,369 | Monthly | 37,950 | (12,519 | ) | ||||||||||||||||
Mcdonalds Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 1,091 | Monthly | 232,352 | (13,931 | ) | ||||||||||||||||
Mcdonalds Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 247 | Monthly | 52,601 | (2,942 | ) | ||||||||||||||||
McKesson Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 2,446 | Monthly | 360,728 | (20,838 | ) | ||||||||||||||||
McKesson Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 2,361 | Monthly | 348,180 | (14,357 | ) | ||||||||||||||||
Metlife, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 8,224 | Monthly | 311,237 | (16,284 | ) | ||||||||||||||||
MGIC Investment Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 25,204 | Monthly | 253,507 | (14,159 | ) | ||||||||||||||||
Mid-America Apartment Communities, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 570 | Monthly | 67,150 | (2,658 | ) | ||||||||||||||||
Mosaic (The) Co. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 472 | Monthly | 8,732 | (125 | ) | ||||||||||||||||
Mosaic (The) Co. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 405 | Monthly | 7,492 | (402 | ) | ||||||||||||||||
Mylan N.V. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 55 | Monthly | 800 | (66 | ) | ||||||||||||||||
NCR Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 4,423 | Monthly | 89,862 | (17,219 | ) | ||||||||||||||||
NCR Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 987 | Monthly | 20,052 | (2,195 | ) | ||||||||||||||||
Newell Brands, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 9,531 | Monthly | 168,302 | (4,495 | ) | ||||||||||||||||
Newmont Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 7,494 | Monthly | 470,865 | 8,572 | |||||||||||||||||
Newmont Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 4,316 | Monthly | 271,195 | 92 | |||||||||||||||||
Nexstar Media Group, Inc., Class A | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 3,094 | Monthly | 254,923 | (17,836 | ) | ||||||||||||||||
Norfolk Southern Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 14 | Monthly | 2,928 | (60 | ) | ||||||||||||||||
Northrop Grumman Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 1,075 | Monthly | 311,523 | (27,613 | ) | ||||||||||||||||
Northrop Grumman Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 934 | Monthly | 270,667 | (22,719 | ) | ||||||||||||||||
NRG Energy, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 10,130 | Monthly | 323,334 | (6,915 | ) | ||||||||||||||||
Omnicom Group, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 9,741 | Monthly | 464,713 | (50,406 | ) | ||||||||||||||||
Omnicom Group, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 5,288 | Monthly | 249,574 | (22,522 | ) | ||||||||||||||||
Onemain Holdings, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 2,796 | Monthly | 97,545 | (3,568 | ) | ||||||||||||||||
Ovintiv, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 35,944 | Monthly | 330,653 | (19,082 | ) | ||||||||||||||||
Ovintiv, Inc. | U.S. Fed Funds | 6/10/2030 | JPMorgan Chase | 16,553 | Monthly | 152,270 | (8,008 | ) | ||||||||||||||||
Packaging Corp. Of America | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 2,188 | Monthly | 250,483 | (8,417 | ) | ||||||||||||||||
Packaging Corp. Of America | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 1,075 | Monthly | 123,947 | 1,162 | |||||||||||||||||
Parker-Hannifin Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 760 | Monthly | 158,335 | (10,886 | ) | ||||||||||||||||
Perrigo Co. PLC | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 2,003 | Monthly | 87,860 | (4,070 | ) | ||||||||||||||||
Pfizer, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 9,351 | Monthly | 331,733 | (12,530 | ) | ||||||||||||||||
Philip Morris International, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 2,341 | Monthly | 166,254 | (7,016 | ) | ||||||||||||||||
Procter & Gamble (The) Co. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 3,008 | Monthly | 414,609 | (11,556 | ) | ||||||||||||||||
Prudential Financial, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 3,536 | Monthly | 226,355 | (8,049 | ) |
See accompanying Notes to Financial Statements
202
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
| ||||||||||||||||||||||||
Prudential Financial, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 2,038 | Monthly | $ | 130,459 | $ (6,138 | ) | |||||||||||||||
PulteGroup, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 10,615 | Monthly | 432,604 | (84,004 | ) | ||||||||||||||||
PulteGroup, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 3,467 | Monthly | 141,301 | (25,844 | ) | ||||||||||||||||
Quest Diagnostics, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 1,914 | Monthly | 235,513 | 12,696 | |||||||||||||||||
Range Resources Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 14,263 | Monthly | 93,840 | (29,393 | ) | ||||||||||||||||
Range Resources Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 6,451 | Monthly | 42,441 | (9,748 | ) | ||||||||||||||||
Raymond James Financial, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 79 | Monthly | 6,038 | (144 | ) | ||||||||||||||||
Regency Centers Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 2,178 | Monthly | 77,504 | (10,575 | ) | ||||||||||||||||
Ryder System, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 865 | Monthly | 42,606 | 292 | |||||||||||||||||
Schlumberger Ltd. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 1,322 | Monthly | 19,749 | (1,958 | ) | ||||||||||||||||
Scientific Games Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 4,007 | Monthly | 127,729 | (9,822 | ) | ||||||||||||||||
Sealed Air Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 2,739 | Monthly | 108,433 | (3,452 | ) | ||||||||||||||||
Sealed Air Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 1,649 | Monthly | 65,280 | (3,263 | ) | ||||||||||||||||
SInclair Broadcast Group, Inc., Class A | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 15,776 | Monthly | 293,087 | (8,000 | ) | ||||||||||||||||
Spectrum Brands Holdings, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 2,541 | Monthly | 144,487 | (12,217 | ) | ||||||||||||||||
Starwood Property Trust, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 1,931 | Monthly | 27,899 | (2,862 | ) | ||||||||||||||||
Steel Dynamics, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 7,153 | Monthly | 225,155 | (13,683 | ) | ||||||||||||||||
Targa Resources Partners L.P./Targa Resources Partners Finance Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 5,227 | Monthly | 84,405 | (4,943 | ) | ||||||||||||||||
Target Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 2,741 | Monthly | 417,184 | (26,184 | ) | ||||||||||||||||
Target Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 1,722 | Monthly | 262,098 | (22,531 | ) | ||||||||||||||||
TEGNA, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 258 | Monthly | 3,100 | (84 | ) | ||||||||||||||||
Toll Brothers, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 3,890 | Monthly | 164,980 | (26,524 | ) | ||||||||||||||||
Toll Brothers, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 1,717 | Monthly | 72,806 | (12,392 | ) | ||||||||||||||||
TRI Pointe Group, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 8,945 | Monthly | 146,951 | (24,939 | ) | ||||||||||||||||
TRI Pointe Group, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 7,903 | Monthly | 129,829 | (17,283 | ) | ||||||||||||||||
Tyson Foods, Inc., Class A | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 642 | Monthly | 36,741 | (591 | ) | ||||||||||||||||
United Parcel Service, Inc., Class B | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 3,306 | Monthly | 519,370 | (45,270 | ) | ||||||||||||||||
United Parcel Service, Inc., Class B | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 445 | Monthly | 69,913 | (1,823 | ) | ||||||||||||||||
United Rentals North America, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 530 | Monthly | 94,468 | (11,261 | ) | ||||||||||||||||
United Rentals North America, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 109 | Monthly | 19,426 | (1,112 | ) | ||||||||||||||||
UnitedHealth Group, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 68 | Monthly | 20,746 | (1,400 | ) | ||||||||||||||||
UnitedHealth Group, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 25 | Monthly | 7,628 | (625 | ) | ||||||||||||||||
Verizon Communications, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 1,759 | Monthly | 99,842 | (2,866 | ) | ||||||||||||||||
Vistra Operations Co. LLC | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 12,466 | Monthly | 216,507 | (10,897 | ) | ||||||||||||||||
Vistra Operations Co. LLC | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 10,945 | Monthly | 190,099 | (13,150 | ) | ||||||||||||||||
Voya Financial, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 5,952 | Monthly | 285,253 | (14,820 | ) | ||||||||||||||||
W.W. Grainger, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 78 | Monthly | 27,301 | (746 | ) | ||||||||||||||||
W.W. Grainger, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 49 | Monthly | 17,151 | (212 | ) | ||||||||||||||||
Walmart, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 2,637 | Monthly | 365,838 | (7,077 | ) | ||||||||||||||||
Walmart, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 263 | Monthly | 36,488 | (1,523 | ) | ||||||||||||||||
Western Union (The) Co. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 8,196 | Monthly | 159,314 | (22,309 | ) |
See accompanying Notes to Financial Statements
203
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
| ||||||||||||||||||||||||
WestRock Co. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 6,241 | Monthly | $ | 234,320 | $ (1,367 | ) | |||||||||||||||
WestRock Co. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 3,414 | Monthly | 128,184 | (7,147 | ) | ||||||||||||||||
Weyerhaeuser Co. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 2,535 | Monthly | 69,173 | (6,344 | ) | ||||||||||||||||
Weyerhaeuser Co. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 2,394 | Monthly | 65,320 | (7,122 | ) | ||||||||||||||||
Whirlpool Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 1,547 | Monthly | 286,105 | (17,368 | ) | ||||||||||||||||
Williams (The) Cos., Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 3,256 | Monthly | 62,476 | (1,843 | ) | ||||||||||||||||
Williams (The) Cos., Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 2,173 | Monthly | 41,700 | 240 | |||||||||||||||||
Wyndham Destinations, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 8,964 | Monthly | 292,460 | (3,422 | ) | ||||||||||||||||
Xerox Holdings Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 11,599 | Monthly | 204,446 | (25,678 | ) | ||||||||||||||||
Yum Brands, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | 3,397 | Monthly | 317,001 | (7,208 | ) | ||||||||||||||||
Yum Brands, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | 751 | Monthly | 70,084 | (4,633 | ) | ||||||||||||||||
Apache Corp. | U.S. Fed Funds + 0.09% | 6/11/2030 | Goldman Sachs | 18,015 | Monthly | 149,974 | (25,853 | ) | ||||||||||||||||
Avnet, Inc. | U.S. Fed Funds + 0.18% | 6/11/2030 | JPMorgan Chase | 341 | Monthly | 8,411 | (1,017 | ) | ||||||||||||||||
Baxter International, Inc. | U.S. Fed Funds + 0.09% | 6/11/2030 | Goldman Sachs | 1,756 | Monthly | 136,201 | (5,235 | ) | ||||||||||||||||
CME Group, Inc., Class A | U.S. Fed Funds + 0.09% | 6/11/2030 | Goldman Sachs | 81 | Monthly | 12,208 | (29 | ) | ||||||||||||||||
Diamondback Energy, Inc. | U.S. Fed Funds + 0.18% | 6/11/2030 | JPMorgan Chase | 6,182 | Monthly | 160,472 | (18,376 | ) | ||||||||||||||||
Ebay, Inc. | U.S. Fed Funds + 0.09% | 6/11/2030 | Goldman Sachs | 3,311 | Monthly | 157,688 | (23,074 | ) | ||||||||||||||||
EQT Corp. | U.S. Fed Funds + 0.18% | 6/11/2030 | JPMorgan Chase | 3,326 | Monthly | 50,335 | 1,749 | |||||||||||||||||
Halliburton Co. | U.S. Fed Funds + 0.09% | 6/11/2030 | Goldman Sachs | 18,818 | Monthly | 226,930 | (9,148 | ) | ||||||||||||||||
JB Hunt Transport Services, Inc. | U.S. Fed Funds + 0.18% | 6/11/2030 | JPMorgan Chase | 1,530 | Monthly | 186,236 | (20,598 | ) | ||||||||||||||||
L Brands, Inc. | U.S. Fed Funds + 0.09% | 6/11/2030 | Goldman Sachs | 9,264 | Monthly | 296,514 | (14,675 | ) | ||||||||||||||||
Laboratory Corporation of America Holdings | U.S. Fed Funds + 0.18% | 6/11/2030 | JPMorgan Chase | 1,039 | Monthly | 207,539 | 4,943 | |||||||||||||||||
Lennar Corp. | U.S. Fed Funds + 0.09% | 6/11/2030 | Goldman Sachs | 149 | Monthly | 10,580 | (1,356 | ) | ||||||||||||||||
LIncoln National Corp. | U.S. Fed Funds + 0.09% | 6/11/2030 | Goldman Sachs | 3,240 | Monthly | 115,092 | 4,861 | |||||||||||||||||
Mid-America Apartment Communities, Inc. | U.S. Fed Funds + 0.18% | 6/11/2030 | JPMorgan Chase | 1,231 | Monthly | 144,912 | (8,815 | ) | ||||||||||||||||
NRG Energy, Inc. | U.S. Fed Funds + 0.09% | 6/11/2030 | Goldman Sachs | 1,704 | Monthly | 54,390 | (1,745 | ) | ||||||||||||||||
Xerox Holdings Corp. | U.S. Fed Funds + 0.09% | 6/11/2030 | Goldman Sachs | 9,213 | Monthly | 162,327 | (19,352 | ) | ||||||||||||||||
Allstate Corp. | U.S. Fed Funds + 0.09% | 6/12/2030 | Goldman Sachs | 1,335 | Monthly | 118,470 | (3,962 | ) | ||||||||||||||||
American Express Co. | U.S. Fed Funds + 0.09% | 6/12/2030 | Goldman Sachs | 1,162 | Monthly | 106,750 | (7,361 | ) | ||||||||||||||||
Boston Properties, Inc. | U.S. Fed Funds + 0.18% | 6/12/2030 | JPMorgan Chase | 833 | Monthly | 61,670 | (1,425 | ) | ||||||||||||||||
Caterpillar, Inc. | U.S. Fed Funds + 0.09% | 6/12/2030 | Goldman Sachs | 170 | Monthly | 26,871 | (1,186 | ) | ||||||||||||||||
CenturyLink, Inc. | U.S. Fed Funds + 0.09% | 6/12/2030 | Goldman Sachs | 18,198 | Monthly | 156,850 | (23,678 | ) | ||||||||||||||||
Eli Lilly | U.S. Fed Funds + 0.09% | 6/12/2030 | Goldman Sachs | 593 | Monthly | 77,357 | (7,277 | ) | ||||||||||||||||
Home Depot (The), Inc. | U.S. Fed Funds + 0.09% | 6/12/2030 | Goldman Sachs | 856 | Monthly | 228,278 | (17,856 | ) | ||||||||||||||||
HP, Inc. | U.S. Fed Funds + 0.09% | 6/12/2030 | Goldman Sachs | 5,959 | Monthly | 107,015 | (8,651 | ) | ||||||||||||||||
Illinois Tool Works, Inc. | U.S. Fed Funds + 0.18% | 6/12/2030 | JPMorgan Chase | 539 | Monthly | 105,906 | (2,529 | ) | ||||||||||||||||
Masco Corp. | U.S. Fed Funds + 0.18% | 6/12/2030 | JPMorgan Chase | 3,708 | Monthly | 199,236 | (13,255 | ) | ||||||||||||||||
Nasdaq, Inc. | U.S. Fed Funds + 0.18% | 6/12/2030 | JPMorgan Chase | 1,429 | Monthly | 172,872 | (5,181 | ) | ||||||||||||||||
Oracle Corp. | U.S. Fed Funds + 0.09% | 6/12/2030 | Goldman Sachs | 87 | Monthly | 4,882 | 32 | |||||||||||||||||
Philip Morris International, Inc. | U.S. Fed Funds + 0.09% | 6/12/2030 | Goldman Sachs | 1,749 | Monthly | 124,212 | (4,166 | ) | ||||||||||||||||
Quest Diagnostics, Inc. | U.S. Fed Funds + 0.09% | 6/12/2030 | Goldman Sachs | 1,546 | Monthly | 189,719 | 5,764 | |||||||||||||||||
Schlumberger Ltd. | U.S. Fed Funds + 0.18% | 6/12/2030 | JPMorgan Chase | 8,104 | Monthly | 121,062 | (7,429 | ) | ||||||||||||||||
Steel Dynamics, Inc. | U.S. Fed Funds + 0.18% | 6/12/2030 | JPMorgan Chase | 1,999 | Monthly | 63,420 | (2,227 | ) | ||||||||||||||||
Tyson Foods, Inc., Class A | U.S. Fed Funds + 0.09% | 6/12/2030 | Goldman Sachs | 161 | Monthly | 9,214 | (156 | ) | ||||||||||||||||
Western Union (The) Co. | U.S. Fed Funds + 0.18% | 6/12/2030 | JPMorgan Chase | 3,401 | Monthly | 66,106 | (9,805 | ) |
See accompanying Notes to Financial Statements
204
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
| ||||||||||||||||||||||||
Whirlpool Corp. | U.S. Fed Funds + 0.09% | 6/12/2030 | Goldman Sachs | 625 | Monthly | $ | 115,599 | $ (4,948 | ) | |||||||||||||||
Eli Lilly | U.S. Fed Funds + 0.18% | 6/17/2030 | JPMorgan Chase | 1,579 | Monthly | 205,990 | (14,449 | ) | ||||||||||||||||
Sherwin-Williams (The) Co. | U.S. Fed Funds + 0.09% | 6/17/2030 | Goldman Sachs | 193 | Monthly | 132,779 | 986 | |||||||||||||||||
Hudson Pacific Properties, Inc. | U.S. Fed Funds + 0.18% | 6/18/2030 | JPMorgan Chase | 5,539 | Monthly | 106,674 | (10,128 | ) | ||||||||||||||||
Masco Corp. | U.S. Fed Funds + 0.09% | 6/19/2030 | Goldman Sachs | 1,641 | Monthly | 88,174 | (5,951 | ) | ||||||||||||||||
Nasdaq, Inc. | U.S. Fed Funds + 0.09% | 6/19/2030 | Goldman Sachs | 924 | Monthly | 111,785 | (6,617 | ) | ||||||||||||||||
American International Group, Inc. | U.S. Fed Funds + 0.09% | 6/24/2030 | Goldman Sachs | 9,770 | Monthly | 307,631 | 14,922 | |||||||||||||||||
Jabil, Inc. | U.S. Fed Funds + 0.18% | 6/24/2030 | JPMorgan Chase | 1,532 | Monthly | 50,763 | (5,001 | ) | ||||||||||||||||
Jabil, Inc. | U.S. Fed Funds + 0.09% | 6/24/2030 | Goldman Sachs | 102 | Monthly | 3,380 | 25 | |||||||||||||||||
Kilroy Reality Corp. | U.S. Fed Funds + 0.18% | 6/24/2030 | JPMorgan Chase | 531 | Monthly | 25,047 | (2,055 | ) | ||||||||||||||||
Laboratory Corporation of America Holdings | U.S. Fed Funds + 0.09% | 6/24/2030 | Goldman Sachs | 397 | Monthly | 79,306 | 1,163 | |||||||||||||||||
Procter & Gamble (The) Co. | U.S. Fed Funds + 0.09% | 6/24/2030 | Goldman Sachs | 201 | Monthly | 27,556 | (625 | ) | ||||||||||||||||
Verizon Communications, Inc. | U.S. Fed Funds + 0.09% | 6/24/2030 | Goldman Sachs | 596 | Monthly | 33,962 | (267 | ) | ||||||||||||||||
S&P Global, Inc. | U.S. Fed Funds + 0.09% | 6/25/2030 | Goldman Sachs | 289 | Monthly | 93,261 | (6,565 | )�� | ||||||||||||||||
Huntington Ingalls Industries, Inc. | U.S. Fed Funds + 0.18% | 6/26/2030 | JPMorgan Chase | 1,516 | Monthly | 223,551 | (3,303 | ) | ||||||||||||||||
Moodys Corp. | U.S. Fed Funds + 0.18% | 6/26/2030 | JPMorgan Chase | 451 | Monthly | 118,557 | (8,550 | ) | ||||||||||||||||
Howmet Aerospace Inc. | U.S. Fed Funds + 0.09% | 6/28/2030 | Goldman Sachs | 18,217 | Monthly | 314,214 | (22,570 | ) | ||||||||||||||||
Huntington Ingalls Industries, Inc. | U.S. Fed Funds + 0.09% | 6/28/2030 | Goldman Sachs | 398 | Monthly | 58,692 | (33 | ) | ||||||||||||||||
AutoNation, Inc. | U.S. Fed Funds + 0.09% | 7/1/2030 | Goldman Sachs | 1,406 | Monthly | 79,755 | (8,056 | ) | ||||||||||||||||
Avis Budget Group, Inc. | U.S. Fed Funds + 0.09% | 7/8/2030 | Goldman Sachs | 427 | Monthly | 14,372 | 1,055 | |||||||||||||||||
Hudson Pacific Properties, Inc. | U.S. Fed Funds + 0.09% | 7/8/2030 | Goldman Sachs | 2,768 | Monthly | 53,308 | (4,186 | ) | ||||||||||||||||
Moodys Corp. | U.S. Fed Funds + 0.09% | 7/8/2030 | Goldman Sachs | 300 | Monthly | 78,869 | (1,168 | ) | ||||||||||||||||
Regency Centers Corp. | U.S. Fed Funds + 0.09% | 7/8/2030 | Goldman Sachs | 555 | Monthly | 19,751 | (1,639 | ) | ||||||||||||||||
Mylan N.V. | U.S. Fed Funds + 0.18% | 7/16/2030 | JPMorgan Chase | 36 | Monthly | 523 | (43 | ) | ||||||||||||||||
Starwood Property Trust, Inc. | U.S. Fed Funds + 0.09% | 7/16/2030 | Goldman Sachs | 2,140 | Monthly | 29,893 | (3,170 | ) | ||||||||||||||||
Ingredion, Inc. | U.S. Fed Funds + 0.18% | 7/22/2030 | JPMorgan Chase | 15 | Monthly | 1,073 | (81 | ) | ||||||||||||||||
Leidos Holdings, Inc. | U.S. Fed Funds + 0.09% | 7/22/2030 | Goldman Sachs | 1,998 | Monthly | 165,819 | (8,935 | ) | ||||||||||||||||
Leidos Holdings, Inc. | U.S. Fed Funds + 0.18% | 7/22/2030 | JPMorgan Chase | 1,613 | Monthly | 133,863 | (8,646 | ) | ||||||||||||||||
Meritage Corp. | U.S. Fed Funds + 0.09% | 7/22/2030 | Goldman Sachs | 558 | Monthly | 48,595 | (5,238 | ) | ||||||||||||||||
Meritage Corp. | U.S. Fed Funds + 0.18% | 7/22/2030 | JPMorgan Chase | 468 | Monthly | 40,757 | (4,298 | ) | ||||||||||||||||
Scotts Miracle-Gro (The) Co. | U.S. Fed Funds + 0.18% | 7/22/2030 | JPMorgan Chase | 1,323 | Monthly | 198,490 | (9,482 | ) | ||||||||||||||||
Cimarex Energy Co. | U.S. Fed Funds | 7/24/2030 | JPMorgan Chase | 1,278 | Monthly | 32,423 | 858 | |||||||||||||||||
Analog Devices, Inc. | U.S. Fed Funds + 0.09% | 7/29/2030 | Goldman Sachs | 1,292 | Monthly | 153,124 | (7,059 | ) | ||||||||||||||||
KB Home | U.S. Fed Funds + 0.09% | 7/29/2030 | Goldman Sachs | 125 | Monthly | 4,031 | (1,150 | ) | ||||||||||||||||
Michaels (The) Cos., Inc. | U.S. Fed Funds + 0.18% | 7/29/2030 | JPMorgan Chase | 19,138 | Monthly | 155,191 | (35,575 | ) | ||||||||||||||||
Murphy Oil USA, Inc. | U.S. Fed Funds + 0.18% | 7/29/2030 | JPMorgan Chase | 896 | Monthly | 109,557 | (7,192 | ) | ||||||||||||||||
SInclair Broadcast Group, Inc., Class A | U.S. Fed Funds + 0.09% | 7/29/2030 | Goldman Sachs | 796 | Monthly | 14,788 | 230 | |||||||||||||||||
UDR, Inc. | U.S. Fed Funds + 0.18% | 7/29/2030 | JPMorgan Chase | 1,889 | Monthly | 60,222 | (7,291 | ) | ||||||||||||||||
UDR, Inc. | U.S. Fed Funds + 0.09% | 7/30/2030 | Goldman Sachs | 2,141 | Monthly | 67,884 | (4,504 | ) | ||||||||||||||||
Eversource Energy | U.S. Fed Funds + 0.09% | 7/31/2030 | Goldman Sachs | 12 | Monthly | 1,047 | (45 | ) | ||||||||||||||||
S&P Global, Inc. | U.S. Fed Funds + 0.18% | 7/31/2030 | JPMorgan Chase | 250 | Monthly | 80,675 | (6,407 | ) | ||||||||||||||||
Sonoco Products Co. | U.S. Fed Funds + 0.18% | 7/31/2030 | JPMorgan Chase | 977 | Monthly | 47,759 | (4,051 | ) | ||||||||||||||||
CBRE Group, Inc., Class A | U.S. Fed Funds + 0.18% | 8/5/2030 | JPMorgan Chase | 27 | Monthly | 1,361 | (16 | ) |
See accompanying Notes to Financial Statements
205
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
| ||||||||||||||||||||||||
Sonoco Products Co. | U.S. Fed Funds + 0.09% | 8/5/2030 | Goldman Sachs | 848 | Monthly | $ 41,454 | $ (5,745 | ) | ||||||||||||||||
General Dynamics Corp. | U.S. Fed Funds + 0.18% | 8/6/2030 | JPMorgan Chase | 1,100 | Monthly | 145,653 | (13,891 | ) | ||||||||||||||||
Murphy Oil USA, Inc. | U.S. Fed Funds + 0.09% | 8/12/2030 | Goldman Sachs | 94 | Monthly | 11,489 | (437 | ) | ||||||||||||||||
O’Reilly Automotive, Inc. | U.S. Fed Funds + 0.09% | 8/12/2030 | Goldman Sachs | 229 | Monthly | 99,972 | (7,544 | ) | ||||||||||||||||
O’Reilly Automotive, Inc. | U.S. Fed Funds + 0.18% | 8/12/2030 | JPMorgan Chase | 197 | Monthly | 85,999 | (3,313 | ) | ||||||||||||||||
Scotts Miracle-Gro (The) Co. | U.S. Fed Funds + 0.09% | 8/12/2030 | Goldman Sachs | 207 | Monthly | 31,056 | (3,083 | ) | ||||||||||||||||
Michaels (The) Cos., Inc. | U.S. Fed Funds + 0.09% | 8/14/2030 | Goldman Sachs | 14,528 | Monthly | 117,809 | (34,554 | ) | ||||||||||||||||
Intercontinental Exchange, Inc. | U.S. Fed Funds | 8/19/2030 | JPMorgan Chase | 102 | Monthly | 9,629 | (135 | ) | ||||||||||||||||
Textron, Inc. | U.S. Fed Funds + 0.09% | 8/19/2030 | Goldman Sachs | 2,961 | Monthly | 105,996 | (79 | ) | ||||||||||||||||
Textron, Inc. | U.S. Fed Funds + 0.18% | 8/19/2030 | JPMorgan Chase | 2,490 | Monthly | 89,132 | (1,936 | ) | ||||||||||||||||
General Dynamics Corp. | U.S. Fed Funds + 0.09% | 8/20/2030 | Goldman Sachs | 999 | Monthly | 132,285 | (8,384 | ) | ||||||||||||||||
Intercontinental Exchange, Inc. | U.S. Fed Funds + 0.09% | 8/20/2030 | Goldman Sachs | 138 | Monthly | 13,027 | (486 | ) | ||||||||||||||||
NetApp, Inc. | U.S. Fed Funds + 0.09% | 8/26/2030 | Goldman Sachs | 2,478 | Monthly | 109,701 | (4,730 | ) | ||||||||||||||||
NetApp, Inc. | U.S. Fed Funds + 0.18% | 8/26/2030 | JPMorgan Chase | 1,900 | Monthly | 84,319 | (3,575 | ) | ||||||||||||||||
Perrigo Co. PLC | U.S. Fed Funds + 0.09% | 8/26/2030 | Goldman Sachs | 2,556 | Monthly | 112,121 | (7,244 | ) | ||||||||||||||||
Pfizer, Inc. | U.S. Fed Funds + 0.09% | 9/3/2030 | Goldman Sachs | 2,107 | Monthly | 74,749 | (2,261 | ) | ||||||||||||||||
KLA Corp. | U.S. Fed Funds + 0.09% | 9/9/2030 | Goldman Sachs | 121 | Monthly | 23,854 | (1,930 | ) | ||||||||||||||||
Antero Midstream Corp. | U.S. Fed Funds + 0.18% | 9/16/2030 | JPMorgan Chase | 43,791 | Monthly | 261,704 | (16,013 | ) | ||||||||||||||||
Dow, Inc. | U.S. Fed Funds + 0.09% | 9/16/2030 | Goldman Sachs | 72 | Monthly | 3,275 | 9 | |||||||||||||||||
Energy, Inc. | U.S. Fed Funds + 0.09% | 9/16/2030 | Goldman Sachs | 5,366 | Monthly | 296,177 | 4,160 | |||||||||||||||||
Otis Worldwide Corp. | U.S. Fed Funds + 0.09% | 9/16/2030 | Goldman Sachs | 504 | Monthly | 30,883 | (1,439 | ) | ||||||||||||||||
Red Rocks Resorts, Inc., Class A | U.S. Fed Funds + 0.18% | 9/16/2030 | JPMorgan Chase | 10,398 | Monthly | 198,788 | 11,861 | |||||||||||||||||
Red Rocks Resorts, Inc., Class A | U.S. Fed Funds + 0.09% | 9/16/2030 | Goldman Sachs | 4,131 | Monthly | 78,978 | 3,071 | |||||||||||||||||
Otis Worldwide Corp. | U.S. Fed Funds + 0.18% | 9/18/2030 | JPMorgan Chase | 1,351 | Monthly | 82,781 | (3,189 | ) | ||||||||||||||||
Apple, Inc. | U.S. Fed Funds + 0.09% | 9/23/2030 | Goldman Sachs | 1,711 | Monthly | 186,242 | (19,807 | ) | ||||||||||||||||
Apple, Inc. | U.S. Fed Funds + 0.18% | 9/23/2030 | JPMorgan Chase | 865 | Monthly | 94,151 | (5,295 | ) | ||||||||||||||||
DuPont de Nemours, Inc. | U.S. Fed Funds + 0.18% | 9/23/2030 | JPMorgan Chase | 8,001 | Monthly | 455,044 | (17,234 | ) | ||||||||||||||||
Energy, Inc. | U.S. Fed Funds + 0.18% | 9/23/2030 | JPMorgan Chase | 102 | Monthly | 5,630 | 187 | |||||||||||||||||
Reliance Steel & Aluminum Co. | U.S. Fed Funds + 0.18% | 9/30/2030 | JPMorgan Chase | 433 | Monthly | 47,190 | (342 | ) | ||||||||||||||||
Trane Technologies PLC | U.S. Fed Funds + 0.09% | 9/30/2030 | Goldman Sachs | 2,494 | Monthly | 331,050 | 5,233 | |||||||||||||||||
Trane Technologies PLC | U.S. Fed Funds + 0.18% | 9/30/2030 | JPMorgan Chase | 790 | Monthly | 104,862 | 2,744 | |||||||||||||||||
Wyndham Hotels & Resorts, Inc. | U.S. Fed Funds + 0.09% | 9/30/2030 | Goldman Sachs | 3,027 | Monthly | 140,774 | (9,860 | ) | ||||||||||||||||
DTE Energy Co. | U.S. Fed Funds + 0.09% | 10/7/2030 | Goldman Sachs | 700 | Monthly | 86,389 | 1,941 | |||||||||||||||||
Wyndham Hotels & Resorts, Inc. | U.S. Fed Funds + 0.18% | 10/7/2030 | JPMorgan Chase | 3,072 | Monthly | 142,862 | (15,312 | ) | ||||||||||||||||
DTE Energy Co. | U.S. Fed Funds + 0.18% | 10/8/2030 | JPMorgan Chase | 1,474 | Monthly | 181,910 | 4,595 | |||||||||||||||||
DuPont de Nemours, Inc. | U.S. Fed Funds + 0.09% | 10/14/2030 | Goldman Sachs | 433 | Monthly | 24,627 | (1,066 | ) | ||||||||||||||||
Pinnacle West Capital Corp. | U.S. Fed Funds + 0.09% | 10/15/2030 | Goldman Sachs | 636 | Monthly | 52,404 | (317 | ) | ||||||||||||||||
Emerson Electric Co. | U.S. Fed Funds + 0.09% | 10/16/2030 | Goldman Sachs | 38 | Monthly | 2,462 | (221 | ) | ||||||||||||||||
National Retail Properties, Inc. | U.S. Fed Funds + 0.18% | 10/16/2030 | JPMorgan Chase | 520 | Monthly | 16,915 | (568 | ) | ||||||||||||||||
Nike, Inc., Class B | U.S. Fed Funds + 0.18% | 10/16/2030 | JPMorgan Chase | 56 | Monthly | 6,724 | (452 | ) | ||||||||||||||||
Pinnacle West Capital Corp. | U.S. Fed Funds + 0.18% | 10/16/2030 | JPMorgan Chase | 476 | Monthly | 39,220 | 96 | |||||||||||||||||
Equitable Holdings, Inc. | U.S. Fed Funds + 0.18% | 10/21/2030 | JPMorgan Chase | 2,727 | Monthly | 58,603 | 5,368 |
See accompanying Notes to Financial Statements
206
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
| ||||||||||||||||||||||||
National Retail Properties, Inc. | U.S. Fed Funds + 0.09% | 10/21/2030 | Goldman Sachs | 568 | Monthly | $ | 18,378 | $ | (669 | ) | ||||||||||||||
Kimberly-Clarke Corp. | U.S. Fed Funds + 0.09% | 10/28/2030 | Goldman Sachs | 267 | Monthly | 35,401 | (647 | ) | ||||||||||||||||
Kimberly-Clarke Corp. | U.S. Fed Funds + 0.18% | 10/28/2030 | JPMorgan Chase | 247 | Monthly | 32,750 | (102 | ) | ||||||||||||||||
Nutrien ltd. | U.S. Fed Funds + 0.09% | 10/28/2030 | Goldman Sachs | 244 | Monthly | 9,926 | 50 | |||||||||||||||||
Reliance Steel & Aluminum Co. | U.S. Fed Funds + 0.09% | 10/29/2030 | Goldman Sachs | 79 | Monthly | 8,610 | 22 | |||||||||||||||||
Synchrony Financial | U.S. Fed Funds | 10/29/2030 | JPMorgan Chase | 335 | Monthly | 8,455 | (35 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Total (Cost $48,804,571) | 1,338,110 | $ | 46,043,058 | $ | (2,761,513 | ) | ||||||||||||||||||
|
Short Contracts for Difference at October 31, 2020:
Over the Counter
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
| ||||||||||||||||||||||||
Advanced Micro Devices, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (1,990 | ) | Monthly | $ | (149,832 | ) | $ | 16,091 | |||||||||||||
Advanced Micro Devices, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (3,326 | ) | Monthly | (250,422 | ) | 23,195 | |||||||||||||||
AECOM | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (4,190 | ) | Monthly | (187,886 | ) | 5,273 | |||||||||||||||
AES (The) Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (7,785 | ) | Monthly | (152,838 | ) | 2,988 | |||||||||||||||
AES (The) Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (8,288 | ) | Monthly | (162,806 | ) | 4,222 | |||||||||||||||
Ally Financial, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (3,906 | ) | Monthly | (104,957 | ) | 4,117 | |||||||||||||||
Ally Financial, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (11,381 | ) | Monthly | (305,744 | ) | 11,004 | |||||||||||||||
American Electric Power Co., Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (5,057 | ) | Monthly | (454,797 | ) | (2,658 | ) | ||||||||||||||
Anthem, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (24 | ) | Monthly | (6,547 | ) | 148 | |||||||||||||||
Aptiv PLC | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (1,496 | ) | Monthly | (144,354 | ) | 1,775 | |||||||||||||||
Aramark Services, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (12,042 | ) | Monthly | (334,061 | ) | 6,364 | |||||||||||||||
Aramark Services, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (12,995 | ) | Monthly | (360,493 | ) | 2,732 | |||||||||||||||
Archer-Daniels-Midland Co. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (2,773 | ) | Monthly | (128,227 | ) | 10,848 | |||||||||||||||
Archer-Daniels-Midland Co. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (3,012 | ) | Monthly | (139,281 | ) | 8,535 | |||||||||||||||
AT&T, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (4,735 | ) | Monthly | (130,046 | ) | 13 | |||||||||||||||
AT&T, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (10,490 | ) | Monthly | (287,904 | ) | 9,162 | |||||||||||||||
Baker Hughes Co., Class A | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (14,117 | ) | Monthly | (208,517 | ) | (19,632 | ) | ||||||||||||||
Ball Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (1,714 | ) | Monthly | (152,550 | ) | 2,972 | |||||||||||||||
Ball Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (6,093 | ) | Monthly | (542,301 | ) | 866 | |||||||||||||||
Bausch Health Cos., Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (2,921 | ) | Monthly | (48,207 | ) | 4,487 | |||||||||||||||
Berkshire Hathaway, Inc., Class B | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (1,050 | ) | Monthly | (212,004 | ) | 12,244 | |||||||||||||||
Berkshire Hathaway, Inc., Class B | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (1,441 | ) | Monthly | (290,948 | ) | 14,039 | |||||||||||||||
Boeing (The) Co. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (1,429 | ) | Monthly | (206,344 | ) | 30,409 | |||||||||||||||
Boston Scientific Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (5,697 | ) | Monthly | (195,243 | ) | 23,067 | |||||||||||||||
Boston Scientific Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (6,429 | ) | Monthly | (220,333 | ) | 35,485 | |||||||||||||||
Broadcom, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (501 | ) | Monthly | (175,173 | ) | 11,865 |
See accompanying Notes to Financial Statements
207
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
| ||||||||||||||||||||||||
Brookfield Asset Management Inc., Class A | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (2,221 | ) | Monthly | $ (66,144 | ) | $ | 8,707 | ||||||||||||||
Brookfield Asset Management Inc., Class A | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (7,237 | ) | Monthly | (215,529 | ) | 38,142 | |||||||||||||||
Bunge Ltd. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (1,178 | ) | Monthly | (66,828 | ) | 427 | |||||||||||||||
Bunge Ltd. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (1,599 | ) | Monthly | (90,712 | ) | (764 | ) | ||||||||||||||
Campbell Soup | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (116 | ) | Monthly | (4,827 | ) | 809 | |||||||||||||||
Campbell Soup | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (895 | ) | Monthly | (40,759 | ) | 1,451 | |||||||||||||||
Canadian Natural Resources Ltd. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (8,662 | ) | Monthly | (138,164 | ) | 17,191 | |||||||||||||||
Canadian Natural Resources Ltd. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (12,505 | ) | Monthly | (199,465 | ) | 24,502 | |||||||||||||||
Capital One Financial Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (3,781 | ) | Monthly | (276,329 | ) | 25,932 | |||||||||||||||
Cardinal Health, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (3,474 | ) | Monthly | (159,080 | ) | 10,747 | |||||||||||||||
Carnival Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (7,103 | ) | Monthly | (97,390 | ) | 2,194 | |||||||||||||||
Centene Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (3,202 | ) | Monthly | (189,247 | ) | 18,263 | |||||||||||||||
Charter Communications, Inc., Class A | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (530 | ) | Monthly | (320,038 | ) | 9,907 | |||||||||||||||
Chemours (The) Co. | U.S. Fed Funds | 6/10/2030 | JPMorgan Chase | (265 | ) | Monthly | (5,337 | ) | (26 | ) | ||||||||||||||
Cleveland Cliffs, Inc. | U.S. Fed Funds + 0.46% | 6/10/2030 | JPMorgan Chase | (9,092 | ) | Monthly | (75,299 | ) | (5,109 | ) | ||||||||||||||
Comcast Corp., Class A | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (975 | ) | Monthly | (42,004 | ) | 1,978 | |||||||||||||||
Comcast Corp., Class A | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (5,531 | ) | Monthly | (236,010 | ) | 14,544 | |||||||||||||||
ConocoPhillips | U.S. Fed Funds | 6/10/2030 | JPMorgan Chase | (3,287 | ) | Monthly | (95,328 | ) | 13,230 | |||||||||||||||
Consolidated Edison, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (500 | ) | Monthly | (39,248 | ) | 1,825 | |||||||||||||||
Continental Resources (OK), Inc. | U.S. Fed Funds + 0.96% | 6/10/2030 | JPMorgan Chase | (22,251 | ) | Monthly | (267,881 | ) | 41,460 | |||||||||||||||
Credit Acceptance Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (4 | ) | Monthly | (1,193 | ) | 182 | |||||||||||||||
CVS Health Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (474 | ) | Monthly | (26,587 | ) | 1,444 | |||||||||||||||
D.R. Horton, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (1,106 | ) | Monthly | (73,894 | ) | 9,291 | |||||||||||||||
D.R. Horton, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (4,029 | ) | Monthly | (269,190 | ) | 39,886 | |||||||||||||||
Darden Restaurants, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (1,398 | ) | Monthly | (129,271 | ) | 14,378 | |||||||||||||||
Darden Restaurants, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (4,422 | ) | Monthly | (407,771 | ) | 32,389 | |||||||||||||||
Dell Technologies, Inc., Class C | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (8,689 | ) | Monthly | (523,634 | ) | 70,728 | |||||||||||||||
Delta Air Lines, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (1,912 | ) | Monthly | (58,584 | ) | (367 | ) | ||||||||||||||
Digital Realty Trust, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (258 | ) | Monthly | (37,231 | ) | 3,190 | |||||||||||||||
Digital Realty Trust, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (299 | ) | Monthly | (43,148 | ) | 3,750 | |||||||||||||||
DISH Network Corp., | ||||||||||||||||||||||||
Class A | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (27,919 | ) | Monthly | (711,688 | ) | 53,469 | |||||||||||||||
Dominion Energy, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (1,232 | ) | Monthly | (98,982 | ) | 576 | |||||||||||||||
Dominion Energy, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (2,846 | ) | Monthly | (228,659 | ) | 4,885 | |||||||||||||||
Eastman Chemical Co. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (159 | ) | Monthly | (12,854 | ) | 841 | |||||||||||||||
Eastman Chemical Co. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (1,497 | ) | Monthly | (121,023 | ) | 6,946 | |||||||||||||||
Ecolab, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (467 | ) | Monthly | (85,740 | ) | 8,333 | |||||||||||||||
Edison International | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (4,447 | ) | Monthly | (252,122 | ) | 512 | |||||||||||||||
Enbridge, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (1,561 | ) | Monthly | (43,022 | ) | 2,569 | |||||||||||||||
Enbridge, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (12,086 | ) | Monthly | (333,107 | ) | 31,828 | |||||||||||||||
EPR Properties | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (6,345 | ) | Monthly | (151,269 | ) | 5,570 | |||||||||||||||
Essential Utilities, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (1,592 | ) | Monthly | (65,593 | ) | 428 |
See accompanying Notes to Financial Statements
208
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
| ||||||||||||||||||||||||
Essential Utilities, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (5,354 | ) | Monthly | $ | (220,595 | ) | $ 2,720 | ||||||||||||||
Estee Lauder (The) Cos., Inc., Class A | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (247 | ) | Monthly | (54,258 | ) | 546 | |||||||||||||||
Expedia Group, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (2,633 | ) | Monthly | (247,909 | ) | 3,951 | |||||||||||||||
Expedia Group, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (4,765 | ) | Monthly | (448,639 | ) | (18,360 | ) | ||||||||||||||
FirstEnergy Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (3,425 | ) | Monthly | (101,796 | ) | 5,480 | |||||||||||||||
FirstEnergy Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (12,222 | ) | Monthly | (363,250 | ) | 23,551 | |||||||||||||||
Fiserv, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (353 | ) | Monthly | (33,702 | ) | 2,264 | |||||||||||||||
Fiserv, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (892 | ) | Monthly | (85,162 | ) | 5,652 | |||||||||||||||
Flex Ltd. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (539 | ) | Monthly | (7,627 | ) | 282 | |||||||||||||||
Flex Ltd. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (3,112 | ) | Monthly | (44,035 | ) | (1,008 | ) | ||||||||||||||
Fluor Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (22,614 | ) | Monthly | (256,677 | ) | (13,124 | ) | ||||||||||||||
Freeport-McMoRan, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (22,596 | ) | Monthly | (391,832 | ) | (11,730 | ) | ||||||||||||||
Gap (The), Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (16,085 | ) | Monthly | (312,864 | ) | 6,584 | |||||||||||||||
General Electric Co. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (32,652 | ) | Monthly | (242,600 | ) | (18,280 | ) | ||||||||||||||
General Electric Co. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (61,371 | ) | Monthly | (455,972 | ) | (47,855 | ) | ||||||||||||||
General Motors Co. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (411 | ) | Monthly | (14,192 | ) | 975 | |||||||||||||||
General Motors Co. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (5,954 | ) | Monthly | (205,599 | ) | (9,778 | ) | ||||||||||||||
Hasbro, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (2,248 | ) | Monthly | (187,492 | ) | 10,182 | |||||||||||||||
HCA Healthcare, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (1,509 | ) | Monthly | (187,032 | ) | 19,549 | |||||||||||||||
Hess Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (8,542 | ) | Monthly | (317,944 | ) | 16,409 | |||||||||||||||
Hess Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (10,241 | ) | Monthly | (381,186 | ) | 12,587 | |||||||||||||||
Honeywell International, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (1,238 | ) | Monthly | (204,218 | ) | 10,123 | |||||||||||||||
Honeywell International, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (1,282 | ) | Monthly | (211,473 | ) | 9,122 | |||||||||||||||
Host Hotels & Resorts, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (10,887 | ) | Monthly | (114,101 | ) | 10,956 | |||||||||||||||
Host Hotels & Resorts, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (43,514 | ) | Monthly | (456,042 | ) | 23,498 | |||||||||||||||
Huntsman Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (3,511 | ) | Monthly | (85,285 | ) | 1,472 | |||||||||||||||
Hyatt Hotels Corp., Class A | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (1,473 | ) | Monthly | (81,224 | ) | 453 | |||||||||||||||
International Business Machines Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (1,078 | ) | Monthly | (120,374 | ) | 13,116 | |||||||||||||||
International Business Machines Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (1,638 | ) | Monthly | (182,909 | ) | 31,264 | |||||||||||||||
Johnson & Johnson | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (515 | ) | Monthly | (70,613 | ) | 2,810 | |||||||||||||||
Johnson & Johnson | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (1,139 | ) | Monthly | (156,175 | ) | 12,762 | |||||||||||||||
Keysight Technologies, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (1,625 | ) | Monthly | (170,417 | ) | 1,507 | |||||||||||||||
Kohls Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (6,036 | ) | Monthly | (128,508 | ) | 3,469 | |||||||||||||||
Kraft Heinz Foods Co. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (1,492 | ) | Monthly | (45,642 | ) | 938 | |||||||||||||||
Lamb Weston Holdings, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (3,890 | ) | Monthly | (246,832 | ) | 37,750 | |||||||||||||||
Las Vegas Sands Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (1,746 | ) | Monthly | (83,913 | ) | 906 | |||||||||||||||
Leggett & Platt, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (3,546 | ) | Monthly | (147,980 | ) | 13,930 | |||||||||||||||
LIncoln National Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (901 | ) | Monthly | (32,729 | ) | 40 | |||||||||||||||
Live Nation Entertainment, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (3,296 | ) | Monthly | (160,851 | ) | 18,353 | |||||||||||||||
Loews Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (5,430 | ) | Monthly | (188,322 | ) | 12,534 | |||||||||||||||
Macys, Inc. | U.S. Fed Funds + 1.33% | 6/10/2030 | JPMorgan Chase | (30,139 | ) | Monthly | (187,275 | ) | 2,299 | |||||||||||||||
Marriott International, Inc., Class A | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (2,031 | ) | Monthly | (188,648 | ) | 8,501 |
See accompanying Notes to Financial Statements
209
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
| ||||||||||||||||||||||||
Martin Marietta Materials, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (265 | ) | Monthly | $ | (70,586 | ) | $ 2,120 | ||||||||||||||
Mattel, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (4,474 | ) | Monthly | (61,609 | ) | (6,176 | ) | ||||||||||||||
Mattel, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (23,025 | ) | Monthly | (317,068 | ) | (26,964 | ) | ||||||||||||||
MDC Holdings, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (1,211 | ) | Monthly | (52,705 | ) | 10,001 | |||||||||||||||
MDC Holdings, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (5,443 | ) | Monthly | (236,892 | ) | 37,925 | |||||||||||||||
Medical Properties Trust, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (12,227 | ) | Monthly | (217,896 | ) | 10,615 | |||||||||||||||
MGM Resorts International | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (1,205 | ) | Monthly | (24,787 | ) | (370 | ) | ||||||||||||||
MGM Resorts International | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (2,273 | ) | Monthly | (46,756 | ) | 1,099 | |||||||||||||||
Micron Technology, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (2,040 | ) | Monthly | (102,697 | ) | 2,975 | |||||||||||||||
Mondelez International, Inc., Class A | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (4,221 | ) | Monthly | (225,437 | ) | 14,403 | |||||||||||||||
Motorola Solutions, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (933 | ) | Monthly | (147,475 | ) | 12,618 | |||||||||||||||
Motorola Solutions, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (2,146 | ) | Monthly | (341,154 | ) | 8,151 | |||||||||||||||
Murphy Oil Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (9,881 | ) | Monthly | (76,281 | ) | 1,085 | |||||||||||||||
Navient Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (19,924 | ) | Monthly | (159,600 | ) | 28,482 | |||||||||||||||
Nordstrom, Inc. | U.S. Fed Funds + 3.71% | 6/10/2030 | JPMorgan Chase | (38,275 | ) | Monthly | (463,404 | ) | 62,903 | |||||||||||||||
Occidental Petroleum Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (9,472 | ) | Monthly | (86,521 | ) | (474 | ) | ||||||||||||||
Occidental Petroleum Corp. | U.S. Fed Funds | 6/10/2030 | JPMorgan Chase | (19,485 | ) | Monthly | (177,852 | ) | 9,524 | |||||||||||||||
Olin Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (8,280 | ) | Monthly | (137,041 | ) | (6,713 | ) | ||||||||||||||
Oneok, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (768 | ) | Monthly | (22,990 | ) | (379 | ) | ||||||||||||||
Oneok, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (1,165 | ) | Monthly | (34,874 | ) | (285 | ) | ||||||||||||||
PDC Energy, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (10,680 | ) | Monthly | (127,310 | ) | 8,344 | |||||||||||||||
Phillips 66 | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (157 | ) | Monthly | (7,326 | ) | (10 | ) | ||||||||||||||
Pioneer Natural Resources Co. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (416 | ) | Monthly | (33,533 | ) | 3,416 | |||||||||||||||
Post Holdings, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (2,199 | ) | Monthly | (188,901 | ) | 13,121 | |||||||||||||||
Prologis, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (862 | ) | Monthly | (85,513 | ) | 4,455 | |||||||||||||||
Prologis, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (2,076 | ) | Monthly | (205,948 | ) | 14,241 | |||||||||||||||
Public Storage | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (271 | ) | Monthly | (62,078 | ) | 829 | |||||||||||||||
Radian Group, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (37,691 | ) | Monthly | (676,585 | ) | (11,716 | ) | ||||||||||||||
Realty Income Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (1,098 | ) | Monthly | (63,789 | ) | 2,541 | |||||||||||||||
Realty Income Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (3,756 | ) | Monthly | (219,086 | ) | 20,359 | |||||||||||||||
Rite Aid Corp. | U.S. Fed Funds + 0.58% | 6/10/2030 | JPMorgan Chase | (289 | ) | Monthly | (2,642 | ) | 329 | |||||||||||||||
Royal Caribbean Cruises Ltd. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (2,315 | ) | Monthly | (130,622 | ) | 28,892 | |||||||||||||||
Sabra Health Care REIT, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (1,755 | ) | Monthly | (23,099 | ) | 3,051 | |||||||||||||||
Sempra Energy | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (1,044 | ) | Monthly | (130,879 | ) | 3,588 | |||||||||||||||
Sempra Energy | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (2,833 | ) | Monthly | (357,466 | ) | 1,541 | |||||||||||||||
Sensta Technologies Holding PLC | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (1,217 | ) | Monthly | (53,197 | ) | 4,708 | |||||||||||||||
Sherwin-Williams (The) Co. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (42 | ) | Monthly | (28,906 | ) | 2 | |||||||||||||||
Simon Property Group, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (3,032 | ) | Monthly | (193,776 | ) | 3,780 | |||||||||||||||
Simon Property Group, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (3,312 | ) | Monthly | (211,663 | ) | 16,218 | |||||||||||||||
Southern (The) Co. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (3,155 | ) | Monthly | (181,261 | ) | 1,792 | |||||||||||||||
Southern (The) Co. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (3,777 | ) | Monthly | (216,998 | ) | 3,977 | |||||||||||||||
Southwest Airlines Co. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (232 | ) | Monthly | (9,171 | ) | (215 | ) | ||||||||||||||
Southwest Airlines Co. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (2,458 | ) | Monthly | (97,167 | ) | 810 |
See accompanying Notes to Financial Statements
210
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
| ||||||||||||||||||||||||
Spirit AeroSystems Holdings, Inc., Class A | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (60 | ) | Monthly | $ | (1,091 | ) | $ 98 | ||||||||||||||
Stanley Black & Decker, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (341 | ) | Monthly | (56,677 | ) | 2,535 | |||||||||||||||
Stanley Black & Decker, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (635 | ) | Monthly | (105,542 | ) | 4,941 | |||||||||||||||
Suncor Energy, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (10,589 | ) | Monthly | (119,556 | ) | 17,254 | |||||||||||||||
Suncor Energy, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (10,869 | ) | Monthly | (122,715 | ) | 9,234 | |||||||||||||||
Sysco Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (9 | ) | Monthly | (588 | ) | 11 | |||||||||||||||
Sysco Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (4,278 | ) | Monthly | (238,555 | ) | 51,664 | |||||||||||||||
Tapestry, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (447 | ) | Monthly | (9,937 | ) | (266 | ) | ||||||||||||||
Tapestry, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (1,324 | ) | Monthly | (29,433 | ) | 97 | |||||||||||||||
Teck Resources Ltd., Class B | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (9,500 | ) | Monthly | (124,834 | ) | 4,779 | |||||||||||||||
Teck Resources Ltd., Class B | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (34,587 | ) | Monthly | (454,494 | ) | 23,777 | |||||||||||||||
Tesla, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (285 | ) | Monthly | (110,597 | ) | 10,830 | |||||||||||||||
Tesla, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (715 | ) | Monthly | (277,459 | ) | 41,827 | |||||||||||||||
Thomson Reuters Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (156 | ) | Monthly | (12,145 | ) | 615 | |||||||||||||||
Thomson Reuters Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (225 | ) | Monthly | (17,517 | ) | 1,073 | |||||||||||||||
T-Mobile US, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (1,096 | ) | Monthly | (120,093 | ) | 5,796 | |||||||||||||||
T-Mobile US, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (2,603 | ) | Monthly | (285,215 | ) | 15,277 | |||||||||||||||
TransDigm, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (246 | ) | Monthly | (117,446 | ) | 2,240 | |||||||||||||||
TransDigm, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (645 | ) | Monthly | (307,944 | ) | 8,648 | |||||||||||||||
Trimble, Inc. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (3,286 | ) | Monthly | (158,162 | ) | 13,663 | |||||||||||||||
Under Armour, Inc., Class A | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (20,846 | ) | Monthly | (288,521 | ) | (25,862 | ) | ||||||||||||||
Union Pacific Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (590 | ) | Monthly | (104,546 | ) | 18,651 | |||||||||||||||
United Airlines Holdings, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (6,017 | ) | Monthly | (203,759 | ) | 10,951 | |||||||||||||||
United States Steel Corp. | U.S. Fed Funds + 0.46% | 6/10/2030 | JPMorgan Chase | (1,859 | ) | Monthly | (17,964 | ) | (1,011 | ) | ||||||||||||||
Universal Health Services, Inc., Class B | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (166 | ) | Monthly | (18,186 | ) | 552 | |||||||||||||||
Universal Health Services, Inc., Class B | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (269 | ) | Monthly | (29,470 | ) | 849 | |||||||||||||||
Valero Energy Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (6,312 | ) | Monthly | (243,709 | ) | 1,499 | |||||||||||||||
Valero Energy Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (6,783 | ) | Monthly | (261,897 | ) | 11,827 | |||||||||||||||
ViacomCBS, Inc., Class B | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (6,157 | ) | Monthly | (175,914 | ) | 4,945 | |||||||||||||||
ViacomCBS, Inc., Class B | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (8,636 | ) | Monthly | (246,739 | ) | (6,399 | ) | ||||||||||||||
Vornado Realty Trust | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (2,535 | ) | Monthly | (77,906 | ) | 8,689 | |||||||||||||||
Vulcan Materials Co. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (91 | ) | Monthly | (13,181 | ) | 5 | |||||||||||||||
Vulcan Materials Co. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (104 | ) | Monthly | (15,063 | ) | (376 | ) | ||||||||||||||
Walgreen Boots Alliance, Inc. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (2,464 | ) | Monthly | (83,879 | ) | 6,338 | |||||||||||||||
Walt Disney (The) Co. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (483 | ) | Monthly | (58,572 | ) | 2,641 | |||||||||||||||
Walt Disney (The) Co. | U.S. Fed Funds | 6/10/2030 | JPMorgan Chase | (1,399 | ) | Monthly | (169,638 | ) | 2,565 | |||||||||||||||
Western Digital Corp. | U.S. Fed Funds + 0.18% | 6/10/2030 | JPMorgan Chase | (2,719 | ) | Monthly | (102,589 | ) | 7,171 | |||||||||||||||
Wynn Resorts Finance LLC/Wynn Resourts Capital Corp. | U.S. Fed Funds + 0.09% | 6/10/2030 | Goldman Sachs | (1,229 | ) | Monthly | (89,019 | ) | 329 | |||||||||||||||
Boeing (The) Co. | U.S. Fed Funds + 0.09% | 6/11/2030 | Goldman Sachs | (2,559 | ) | Monthly | (369,507 | ) | 47,269 | |||||||||||||||
Camden Property Trust REIT | U.S. Fed Funds + 0.18% | 6/11/2030 | JPMorgan Chase | (123 | ) | Monthly | (11,336 | ) | (336 | ) |
See accompanying Notes to Financial Statements
211
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
| ||||||||||||||||||||||||
Charter Communications, Inc., Class A | U.S. Fed Funds + 0.09% | 6/11/2030 | Goldman Sachs | (670 | ) | Monthly | $ (404,569 | ) | $ 10,081 | |||||||||||||||
Delta Air Lines, Inc. | U.S. Fed Funds + 0.09% | 6/11/2030 | Goldman Sachs | (1,610 | ) | Monthly | (49,332 | ) | (22 | ) | ||||||||||||||
Duke Energy Corp. | U.S. Fed Funds + 0.18% | 6/11/2030 | JPMorgan Chase | (856 | ) | Monthly | (78,846 | ) | 276 | |||||||||||||||
Encompass Health Corp. | U.S. Fed Funds + 0.09% | 6/11/2030 | Goldman Sachs | (2,516 | ) | Monthly | (154,262 | ) | 17,102 | |||||||||||||||
Fluor Corp. | U.S. Fed Funds + 0.18% | 6/11/2030 | JPMorgan Chase | (3,766 | ) | Monthly | (42,745 | ) | (1,256 | ) | ||||||||||||||
Hyatt Hotels Corp., Class A | U.S. Fed Funds + 0.09% | 6/11/2030 | Goldman Sachs | (579 | ) | Monthly | (31,927 | ) | 212 | |||||||||||||||
Macys, Inc. | U.S. Fed Funds + 0.09% | 6/11/2030 | Goldman Sachs | (67 | ) | Monthly | (432 | ) | (11 | ) | ||||||||||||||
Mastercard, Inc., Class A | U.S. Fed Funds + 0.09% | 6/11/2030 | Goldman Sachs | (3 | ) | Monthly | (936 | ) | 79 | |||||||||||||||
MGIC Investment Corp. | U.S. Fed Funds + 0.09% | 6/11/2030 | Goldman Sachs | (137 | ) | Monthly | (1,378 | ) | (7 | ) | ||||||||||||||
Murphy Oil Corp. | U.S. Fed Funds + 0.09% | 6/11/2030 | Goldman Sachs | (2,011 | ) | Monthly | (15,525 | ) | 1,321 | |||||||||||||||
Nordstrom, Inc. | U.S. Fed Funds + 0.09% | 6/11/2030 | Goldman Sachs | (17,204 | ) | Monthly | (208,400 | ) | 23,166 | |||||||||||||||
PDC Energy, Inc. | U.S. Fed Funds + 0.18% | 6/11/2030 | JPMorgan Chase | (1,551 | ) | Monthly | (18,488 | ) | 914 | |||||||||||||||
Ryder System, Inc. | U.S. Fed Funds + 0.09% | 6/11/2030 | Goldman Sachs | (1,842 | ) | Monthly | (90,740 | ) | 2,240 | |||||||||||||||
Ryman Hospitality Properties, Inc. | U.S. Fed Funds + 0.18% | 6/11/2030 | JPMorgan Chase | (6,201 | ) | Monthly | (247,122 | ) | 13,766 | |||||||||||||||
SBA Communications Corp. | U.S. Fed Funds + 0.18% | 6/11/2030 | JPMorgan Chase | (368 | ) | Monthly | (106,858 | ) | 4,124 | |||||||||||||||
Centene Corp. | U.S. Fed Funds + 0.09% | 6/12/2030 | Goldman Sachs | (1,710 | ) | Monthly | (101,064 | ) | 8,610 | |||||||||||||||
ConocoPhillips | U.S. Fed Funds + 0.09% | 6/12/2030 | Goldman Sachs | (2,558 | ) | Monthly | (77,478 | ) | 12,845 | |||||||||||||||
Estee Lauder (The) Cos., Inc., Class A | U.S. Fed Funds + 0.18% | 6/12/2030 | JPMorgan Chase | (1,067 | ) | Monthly | (234,389 | ) | 4,843 | |||||||||||||||
Fidelity National Information Services, Inc. | U.S. Fed Funds + 0.18% | 6/12/2030 | JPMorgan Chase | (11 | ) | Monthly | (1,371 | ) | 242 | |||||||||||||||
Hasbro, Inc. | U.S. Fed Funds + 0.09% | 6/12/2030 | Goldman Sachs | (568 | ) | Monthly | (47,702 | ) | 1,606 | |||||||||||||||
Lamb Weston Holdings, Inc. | U.S. Fed Funds + 0.09% | 6/12/2030 | Goldman Sachs | (2,444 | ) | Monthly | (155,077 | ) | 22,061 | |||||||||||||||
Leggett & Platt, Inc. | U.S. Fed Funds + 0.18% | 6/12/2030 | JPMorgan Chase | (3,147 | ) | Monthly | (131,325 | ) | 7,867 | |||||||||||||||
Loews Corp. | U.S. Fed Funds + 0.09% | 6/12/2030 | Goldman Sachs | (3,297 | ) | Monthly | (114,344 | ) | 3,161 | |||||||||||||||
Mohawk Industries, Inc. | U.S. Fed Funds + 0.09% | 6/12/2030 | Goldman Sachs | (20 | ) | Monthly | (2,064 | ) | (109 | ) | ||||||||||||||
Netflix, Inc. | U.S. Fed Funds + 0.09% | 6/12/2030 | Goldman Sachs | (134 | ) | Monthly | (63,749 | ) | 1,838 | |||||||||||||||
NextEra Energy, Inc. | U.S. Fed Funds + 0.09% | 6/12/2030 | Goldman Sachs | (1,290 | ) | Monthly | (94,444 | ) | 2,868 | |||||||||||||||
Post Holdings, Inc. | U.S. Fed Funds + 0.18% | 6/12/2030 | JPMorgan Chase | (1,107 | ) | Monthly | (95,096 | ) | 6,139 | |||||||||||||||
Six Flags Entertainment Corp. | U.S. Fed Funds + 0.18% | 6/12/2030 | JPMorgan Chase | (3,605 | ) | Monthly | (77,944 | ) | (129 | ) | ||||||||||||||
Trimble, Inc. | U.S. Fed Funds + 0.18% | 6/12/2030 | JPMorgan Chase | (1,144 | ) | Monthly | (55,064 | ) | 3,395 | |||||||||||||||
Western Digital Corp. | U.S. Fed Funds + 0.09% | 6/12/2030 | Goldman Sachs | (413 | ) | Monthly | (15,583 | ) | 728 | |||||||||||||||
Wynn Resorts Finance LLC/Wynn Resourts Capital Corp. | U.S. Fed Funds | 6/12/2030 | JPMorgan Chase | (119 | ) | Monthly | (8,619 | ) | (20 | ) | ||||||||||||||
Aptiv PLC | U.S. Fed Funds | 6/17/2030 | JPMorgan Chase | (35 | ) | Monthly | (3,377 | ) | 82 | |||||||||||||||
Ecolab, Inc. | U.S. Fed Funds + 0.18% | 6/17/2030 | JPMorgan Chase | (1,079 | ) | Monthly | (198,445 | ) | 17,779 | |||||||||||||||
Encompass Health Corp. | U.S. Fed Funds + 0.18% | 6/17/2030 | JPMorgan Chase | (1,124 | ) | Monthly | (69,156 | ) | 5,984 | |||||||||||||||
Ryman Hospitality Properties, Inc. | U.S. Fed Funds + 0.09% | 6/17/2030 | Goldman Sachs | (1,256 | ) | Monthly | (50,053 | ) | 1,076 | |||||||||||||||
Six Flags Entertainment Corp. | U.S. Fed Funds + 0.09% | 6/17/2030 | Goldman Sachs | (8,541 | ) | Monthly | (184,660 | ) | (12,459 | ) | ||||||||||||||
Medical Properties Trust, Inc. | U.S. Fed Funds + 0.09% | 6/19/2030 | Goldman Sachs | (4,439 | ) | Monthly | (79,106 | ) | 2,217 | |||||||||||||||
TJX (The) Cos., Inc. | U.S. Fed Funds + 0.09% | 6/19/2030 | Goldman Sachs | (36 | ) | Monthly | (1,830 | ) | 237 | |||||||||||||||
Vornado Realty Trust | U.S. Fed Funds + 0.18% | 6/19/2030 | JPMorgan Chase | (4,341 | ) | Monthly | (133,407 | ) | 25,777 |
See accompanying Notes to Financial Statements
212
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
| ||||||||||||||||||||||||
American Electric Power Co., Inc. | U.S. Fed Funds + 0.09% | 6/24/2030 | Goldman Sachs | (1,809 | ) | Monthly | $ | (162,689 | ) | $ (711) | ||||||||||||||
Baker Hughes Co., Class A | U.S. Fed Funds + 0.09% | 6/24/2030 | Goldman Sachs | (7,018 | ) | Monthly | (103,659 | ) | (9,267 | ) | ||||||||||||||
Broadcom, Inc. | U.S. Fed Funds + 0.09% | 6/24/2030 | Goldman Sachs | (36 | ) | Monthly | (12,590 | ) | 1,088 | |||||||||||||||
Edison International | U.S. Fed Funds + 0.18% | 6/24/2030 | JPMorgan Chase | (667 | ) | Monthly | (38,181 | ) | (762 | ) | ||||||||||||||
Huntsman Corp. | U.S. Fed Funds | 6/24/2030 | JPMorgan Chase | (223 | ) | Monthly | (5,417 | ) | (14 | ) | ||||||||||||||
Live Nation Entertainment, Inc. | U.S. Fed Funds + 0.18% | 6/24/2030 | JPMorgan Chase | (1,799 | ) | Monthly | (87,796 | ) | 13,434 | |||||||||||||||
Mondelez International, Inc., Class A | U.S. Fed Funds + 0.09% | 6/24/2030 | Goldman Sachs | (3,421 | ) | Monthly | (181,729 | ) | 15,649 | |||||||||||||||
Navient Corp. | U.S. Fed Funds + 0.09% | 6/24/2030 | Goldman Sachs | (15,610 | ) | Monthly | (125,041 | ) | 30,903 | |||||||||||||||
Sensta Technologies Holding PLC | U.S. Fed Funds + 0.18% | 6/24/2030 | JPMorgan Chase | (3,272 | ) | Monthly | (143,026 | ) | 9,457 | |||||||||||||||
Allegheny Technologies, Inc. | U.S. Fed Funds + 0.18% | 6/25/2030 | JPMorgan Chase | (2,164 | ) | Monthly | (19,931 | ) | 751 | |||||||||||||||
Fox Corp., Class A | U.S. Fed Funds + 0.18% | 6/26/2030 | JPMorgan Chase | (535 | ) | Monthly | (14,191 | ) | 1,623 | |||||||||||||||
VF Corp. | U.S. Fed Funds + 0.18% | 6/26/2030 | JPMorgan Chase | (2,051 | ) | Monthly | (137,835 | ) | 22,820 | |||||||||||||||
Allegheny Technologies, Inc. | U.S. Fed Funds + 0.09% | 6/28/2030 | Goldman Sachs | (1,979 | ) | Monthly | (18,227 | ) | 88 | |||||||||||||||
PTC Therapeutics, Inc. | U.S. Fed Funds + 0.09% | 6/28/2030 | Goldman Sachs | (455 | ) | Monthly | (38,167 | ) | 1,778 | |||||||||||||||
VF Corp. | U.S. Fed Funds + 0.09% | 6/28/2030 | Goldman Sachs | (1,236 | ) | Monthly | (83,065 | ) | 13,022 | |||||||||||||||
Becton Dickinson and Company | U.S. Fed Funds + 0.18% | 7/2/2030 | JPMorgan Chase | (850 | ) | Monthly | (196,466 | ) | 4,740 | |||||||||||||||
Becton Dickinson and Company | U.S. Fed Funds + 0.09% | 7/8/2030 | Goldman Sachs | (382 | ) | Monthly | (88,294 | ) | 2,551 | |||||||||||||||
Micron Technology, Inc. | U.S. Fed Funds + 0.18% | 7/8/2030 | JPMorgan Chase | (3,690 | ) | Monthly | (185,763 | ) | (188 | ) | ||||||||||||||
TC Energy Corp. | U.S. Fed Funds + 0.18% | 7/8/2030 | JPMorgan Chase | (6,189 | ) | Monthly | (247,750 | ) | 23,613 | |||||||||||||||
United States Steel Corp. | U.S. Fed Funds + 0.09% | 7/8/2030 | Goldman Sachs | (154 | ) | Monthly | (1,490 | ) | (156 | ) | ||||||||||||||
Unum Group Corp. | U.S. Fed Funds + 0.18% | 7/8/2030 | JPMorgan Chase | (901 | ) | Monthly | (16,169 | ) | 950 | |||||||||||||||
PBF Energy, Inc., Class A | U.S. Fed Funds + 0.18% | 7/15/2030 | JPMorgan Chase | (1,768 | ) | Monthly | (8,257 | ) | 3,253 | |||||||||||||||
TC Energy Corp. | U.S. Fed Funds + 0.09% | 7/15/2030 | Goldman Sachs | (1,033 | ) | Monthly | (41,197 | ) | 3,189 | |||||||||||||||
AECOM | U.S. Fed Funds + 0.18% | 7/16/2030 | JPMorgan Chase | (2,504 | ) | Monthly | (112,284 | ) | 2,654 | |||||||||||||||
CMS Energy Corp. | U.S. Fed Funds + 0.09% | 7/22/2030 | Goldman Sachs | (18 | ) | Monthly | (1,140 | ) | 26 | |||||||||||||||
CMS Energy Corp. | U.S. Fed Funds + 0.18% | 7/22/2030 | JPMorgan Chase | (360 | ) | Monthly | (22,799 | ) | 578 | |||||||||||||||
Hecla Mining Co. | U.S. Fed Funds + 0.09% | 7/22/2030 | Goldman Sachs | (24,378 | ) | Monthly | (111,654 | ) | 15,035 | |||||||||||||||
National Fuel Gas Co. | U.S. Fed Funds + 0.09% | 7/22/2030 | Goldman Sachs | (2,030 | ) | Monthly | (81,122 | ) | 4,898 | |||||||||||||||
National Fuel Gas Co. | U.S. Fed Funds + 0.18% | 7/22/2030 | JPMorgan Chase | (3,830 | ) | Monthly | (154,875 | ) | 6,062 | |||||||||||||||
NextEra Energy, Inc. | U.S. Fed Funds + 0.18% | 7/22/2030 | JPMorgan Chase | (1,572 | ) | Monthly | (115,089 | ) | 3,688 | |||||||||||||||
Martin Marietta Materials, Inc. | U.S. Fed Funds + 0.09% | 7/23/2030 | Goldman Sachs | (893 | ) | Monthly | (237,858 | ) | (8,210 | ) | ||||||||||||||
Seagate Technology PLC | U.S. Fed Funds + 0.18% | 7/23/2030 | JPMorgan Chase | (1,897 | ) | Monthly | (90,718 | ) | 6,363 | |||||||||||||||
Seagate Technology PLC | U.S. Fed Funds + 0.09% | 7/24/2030 | Goldman Sachs | (2,714 | ) | Monthly | (129,789 | ) | 10,272 | |||||||||||||||
American Campus Communities, Inc. | U.S. Fed Funds + 0.09% | 7/29/2030 | Goldman Sachs | (1,812 | ) | Monthly | (67,879 | ) | (1,116 | ) | ||||||||||||||
American Campus Communities, Inc. | U.S. Fed Funds + 0.18% | 7/29/2030 | JPMorgan Chase | (4,031 | ) | Monthly | (151,005 | ) | (1,811 | ) | ||||||||||||||
Las Vegas Sands Corp. | U.S. Fed Funds + 0.18% | 7/29/2030 | JPMorgan Chase | (835 | ) | Monthly | (40,131 | ) | (1,049 | ) | ||||||||||||||
NVDIA Corp. | U.S. Fed Funds + 0.18% | 8/5/2030 | JPMorgan Chase | (136 | ) | Monthly | (68,185 | ) | 3,584 | |||||||||||||||
Unum Group Corp. | U.S. Fed Funds + 0.09% | 8/5/2030 | Goldman Sachs | (91 | ) | Monthly | (1,633 | ) | 79 |
See accompanying Notes to Financial Statements
213
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
| ||||||||||||||||||||||||
American Airlines Group, Inc. | U.S. Fed Funds + 1.33% | 8/12/2030 | JPMorgan Chase | (270 | ) | Monthly | $ (3,046 | ) | $ 506 | |||||||||||||||
Keysight Technologies, Inc. | U.S. Fed Funds + 0.09% | 8/19/2030 | Goldman Sachs | (525 | ) | Monthly | (55,058 | ) | 179 | |||||||||||||||
Assurant, Inc. | U.S. Fed Funds + 0.09% | 8/26/2030 | Goldman Sachs | (1,018 | ) | Monthly | (126,613 | ) | (1,302 | ) | ||||||||||||||
Assurant, Inc. | U.S. Fed Funds + 0.18% | 8/26/2030 | JPMorgan Chase | (1,335 | ) | Monthly | (166,041 | ) | 1,339 | |||||||||||||||
Dentsply Sirona, Inc. | U.S. Fed Funds + 0.09% | 8/26/2030 | Goldman Sachs | (1,740 | ) | Monthly | (82,113 | ) | (3,249 | ) | ||||||||||||||
Federal Realty Investment Trust | U.S. Fed Funds + 0.18% | 8/26/2030 | JPMorgan Chase | (817 | ) | Monthly | (57,094 | ) | 8,037 | |||||||||||||||
Visa, Inc., Class A | U.S. Fed Funds + 0.09% | 8/26/2030 | Goldman Sachs | (13 | ) | Monthly | (2,362 | ) | 46 | |||||||||||||||
Dentsply Sirona, Inc. | U.S. Fed Funds + 0.18% | 8/27/2030 | JPMorgan Chase | (4,649 | ) | Monthly | (219,397 | ) | (5,264 | ) | ||||||||||||||
Southern Copper Corp. | U.S. Fed Funds + 0.09% | 9/3/2030 | Goldman Sachs | (354 | ) | Monthly | (18,529 | ) | (1,304 | ) | ||||||||||||||
PG&E Corp. | U.S. Fed Funds + 0.18% | 9/4/2030 | JPMorgan Chase | (20,361 | ) | Monthly | (194,661 | ) | 20,548 | |||||||||||||||
Ross Stores, Inc. | U.S. Fed Funds + 0.09% | 9/4/2030 | Goldman Sachs | (1,431 | ) | Monthly | (121,883 | ) | 15,765 | |||||||||||||||
Gartner, Inc. | U.S. Fed Funds + 0.18% | 9/9/2030 | JPMorgan Chase | (8 | ) | Monthly | (961 | ) | 54 | |||||||||||||||
Ross Stores, Inc. | U.S. Fed Funds + 0.18% | 9/9/2030 | JPMorgan Chase | (1,719 | ) | Monthly | (146,415 | ) | 21,654 | |||||||||||||||
Southern Copper Corp. | U.S. Fed Funds + 0.18% | 9/11/2030 | JPMorgan Chase | (131 | ) | Monthly | (6,857 | ) | (65 | ) | ||||||||||||||
Elanco Animal Health, Inc. | U.S. Fed Funds + 0.09% | 9/16/2030 | Goldman Sachs | (9,044 | ) | Monthly | (280,464 | ) | 7,406 | |||||||||||||||
Global Payments, Inc. | U.S. Fed Funds + 0.09% | 9/16/2030 | Goldman Sachs | (671 | ) | Monthly | (105,850 | ) | 12,259 | |||||||||||||||
Global Payments, Inc. | U.S. Fed Funds + 0.18% | 9/16/2030 | JPMorgan Chase | (691 | ) | Monthly | (109,004 | ) | 16,447 | |||||||||||||||
Match Group, Inc. | U.S. Fed Funds + 0.18% | 9/16/2030 | JPMorgan Chase | (2,033 | ) | Monthly | (237,425 | ) | (6,781 | ) | ||||||||||||||
STORE Capital Corp. | U.S. Fed Funds + 0.18% | 9/16/2030 | JPMorgan Chase | (5,438 | ) | Monthly | (141,940 | ) | 12,554 | |||||||||||||||
Twitter, Inc. | U.S. Fed Funds + 0.18% | 9/16/2030 | JPMorgan Chase | (2,692 | ) | Monthly | (111,347 | ) | 12,512 | |||||||||||||||
Twitter, Inc. | U.S. Fed Funds + 0.09% | 9/16/2030 | Goldman Sachs | (3,137 | ) | Monthly | (129,752 | ) | 14,644 | |||||||||||||||
VICI Properties, Inc. | U.S. Fed Funds + 0.18% | 9/16/2030 | JPMorgan Chase | (6,111 | ) | Monthly | (140,255 | ) | 6,531 | |||||||||||||||
Raytheon Technologies Corp. | U.S. Fed Funds + 0.18% | 9/17/2030 | JPMorgan Chase | (2,180 | ) | Monthly | (118,420 | ) | 11,404 | |||||||||||||||
Match Group, Inc. | U.S. Fed Funds + 0.09% | 9/18/2030 | Goldman Sachs | (397 | ) | Monthly | (46,364 | ) | (2,229 | ) | ||||||||||||||
PVH Corp. | U.S. Fed Funds + 0.09% | 9/18/2030 | Goldman Sachs | (127 | ) | Monthly | (7,403 | ) | 463 | |||||||||||||||
Raytheon Technologies Corp. | U.S. Fed Funds + 0.09% | 9/18/2030 | Goldman Sachs | (1,027 | ) | Monthly | (55,787 | ) | 4,109 | |||||||||||||||
PVH Corp. | U.S. Fed Funds + 0.18% | 9/23/2030 | JPMorgan Chase | (297 | ) | Monthly | (17,312 | ) | 1,009 | |||||||||||||||
Uber Technologies, Inc. | U.S. Fed Funds + 0.18% | 9/23/2030 | JPMorgan Chase | (4,235 | ) | Monthly | (141,495 | ) | 11,690 | |||||||||||||||
Uber Technologies, Inc. | U.S. Fed Funds + 0.09% | 9/23/2030 | Goldman Sachs | (4,279 | ) | Monthly | (142,964 | ) | 8,088 | |||||||||||||||
Elanco Animal Health, Inc. | U.S. Fed Funds + 0.18% | 9/25/2030 | JPMorgan Chase | (377 | ) | Monthly | (11,691 | ) | 51 | |||||||||||||||
Avantor, Inc. | U.S. Fed Funds + 0.18% | 9/30/2030 | JPMorgan Chase | (12,457 | ) | Monthly | (289,888 | ) | 12,298 | |||||||||||||||
Emergent BioSolutions, Inc. | U.S. Fed Funds + 0.18% | 9/30/2030 | JPMorgan Chase | (331 | ) | Monthly | (29,781 | ) | 5,254 | |||||||||||||||
Emergent BioSolutions, Inc. | U.S. Fed Funds + 0.09% | 9/30/2030 | Goldman Sachs | (899 | ) | Monthly | (80,886 | ) | 8,609 | |||||||||||||||
Public Storage | U.S. Fed Funds + 0.09% | 9/30/2030 | Goldman Sachs | (141 | ) | Monthly | (32,299 | ) | 842 | |||||||||||||||
UGI Corp. | U.S. Fed Funds + 0.18% | 9/30/2030 | JPMorgan Chase | (2,712 | ) | Monthly | (87,709 | ) | 5,324 | |||||||||||||||
Univar Solutions, Inc. | U.S. Fed Funds + 0.09% | 9/30/2030 | Goldman Sachs | (530 | ) | Monthly | (8,793 | ) | 343 | |||||||||||||||
Waste Connections, Inc. | U.S. Fed Funds + 0.18% | 9/30/2030 | JPMorgan Chase | (190 | ) | Monthly | (18,871 | ) | 557 | |||||||||||||||
UGI Corp. | U.S. Fed Funds + 0.09% | 10/1/2030 | Goldman Sachs | (3,589 | ) | Monthly | (116,070 | ) | 5,946 | |||||||||||||||
Waste Connections, Inc. | U.S. Fed Funds + 0.09% | 10/14/2030 | Goldman Sachs | (193 | ) | Monthly | (19,169 | ) | 848 | |||||||||||||||
Xilinx, Inc. | U.S. Fed Funds + 0.18% | 10/14/2030 | JPMorgan Chase | (281 | ) | Monthly | (33,360 | ) | 93 | |||||||||||||||
Avery Dennison Corp. | U.S. Fed Funds + 0.18% | 10/22/2030 | JPMorgan Chase | (219 | ) | Monthly | (30,308 | ) | 442 | |||||||||||||||
Sirus XM Holdings, Inc. | U.S. Fed Funds + 0.09% | 10/28/2030 | Goldman Sachs | (11,168 | ) | Monthly | (63,993 | ) | 784 | |||||||||||||||
| ||||||||||||||||||||||||
Total (Cost $43,944,614) | (1,357,843 | ) | $(41,837,454 | ) | $2,107,160 | |||||||||||||||||||
|
See accompanying Notes to Financial Statements
214
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Interest Rate Swap Contracts outstanding at October 31, 2020: Exchange Traded
Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Maturity Date | Notional Amount | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
| ||||||||||||||||||||||||
28-Day MXN-TIIE-BANXICO (Monthly) | 5.25% (Monthly) | 3/11/2026 | MXN | 1,910,000 | $ | (91 | ) | $ — | $ (91) | |||||||||||||||
28-Day MXN-TIIE-BANXICO (Monthly) | 5.14% (Monthly) | 3/11/2026 | MXN | 2,470,000 | (695 | ) | — | (695 | ) | |||||||||||||||
28-Day MXN-TIIE-BANXICO (Monthly) | 5.17% (Monthly) | 3/11/2026 | MXN | 2,300,000 | (499 | ) | — | (499 | ) | |||||||||||||||
28-Day MXN-TIIE-BANXICO (Monthly) | 5.00% (Monthly) | 3/11/2026 | MXN | 1,820,000 | (1,052 | ) | — | (1,052 | ) | |||||||||||||||
(0.43)% (Annually) | 6M EUR EURIBOR (Semi-Annually) | 3/17/2026 | EUR | 150,000 | (341 | ) | (33 | ) | (308 | ) | ||||||||||||||
0.22% (Semi-Annually) | 6M USD LIBOR (Semi-Annually) | 3/17/2026 | USD | 230,000 | 476 | (90 | ) | 566 | ||||||||||||||||
0.24% (Semi-Annually) | 6M GBP LIBOR (Semi-Annually) | 3/17/2026 | GBP | 100,000 | 86 | — | 86 | |||||||||||||||||
0.27% (Semi-Annually) | 6M GBP LIBOR (Semi-Annually) | 3/17/2026 | GBP | 110,000 | (132 | ) | (25 | ) | (107 | ) | ||||||||||||||
0.29% (Semi-Annually) | 6M ASX BBSW (Semi-Annually) | 3/17/2026 | AUD | 160,000 | 136 | — | 136 | |||||||||||||||||
0.36% (Semi-Annually) | 3M USD LIBOR (Quarterly) | 3/17/2026 | USD | 110,000 | 766 | — | 766 | |||||||||||||||||
0.37% (Semi-Annually) | 3M USD LIBOR (Quarterly) | 3/17/2026 | USD | 200,000 | 1,280 | — | 1,280 | |||||||||||||||||
0.38% (Semi-Annually) | 3M USD LIBOR (Quarterly) | 3/17/2026 | USD | 20,000 | 124 | — | 124 | |||||||||||||||||
0.46% (Semi-Annually) | 3M USD LIBOR (Quarterly) | 3/17/2026 | USD | 130,000 | 236 | — | 236 | |||||||||||||||||
0.53% (Semi-Annually) | 6M SGD SIBOR (Semi-Annually) | 3/17/2026 | SGD | 95,000 | 43 | — | 43 | |||||||||||||||||
0.54% (Annually) | 6M PLN WIBOR (Semi-Annually) | 3/17/2026 | PLN | 690,000 | 49 | — | 49 | |||||||||||||||||
0.54% (Semi-Annually) | 6M SGD SIBOR (Semi-Annually) | 3/17/2026 | SGD | 95,000 | (2 | ) | — | (2 | ) | |||||||||||||||
0.56% (Semi-Annually) | 6M SGD SIBOR (Semi-Annually) | 3/17/2026 | SGD | 100,000 | (72 | ) | — | (72 | ) | |||||||||||||||
0.59% (Annually) | 6M PLN WIBOR (Semi-Annually) | 3/17/2026 | PLN | 340,000 | (182 | ) | — | (182 | ) | |||||||||||||||
0.60% (Semi-Annually) | 6M SGD SIBOR (Semi-Annually) | 3/17/2026 | SGD | 1,020,000 | (2,687 | ) | — | (2,687 | ) | |||||||||||||||
0.61% (Annually) | 6M PLN WIBOR (Semi-Annually) | 3/17/2026 | PLN | 360,000 | (309 | ) | 48 | (357 | ) | |||||||||||||||
0.65% (Annually) | 6M PLN WIBOR (Semi-Annually) | 3/17/2026 | PLN | 340,000 | (460 | ) | — | (460 | ) | |||||||||||||||
0.68% (Annually) | 6M PLN WIBOR (Semi-Annually) | 3/17/2026 | PLN | 310,000 | (526 | ) | — | (526 | ) | |||||||||||||||
3M CAD CIDOR (Quarterly) | 0.82% (Semi-Annually) | 3/17/2026 | CAD | 190,000 | (98 | ) | — | (98 | ) | |||||||||||||||
3M CAD CIDOR (Quarterly) | 0.84% (Semi-Annually) | 3/17/2026 | CAD | 160,000 | 19 | — | 19 | |||||||||||||||||
3M HKD HIBOR (Quarterly) | 0.57% (Quarterly) | 3/17/2026 | HKD | 770,000 | (114 | ) | — | (114 | ) | |||||||||||||||
3M HKD HIBOR (Quarterly) | 0.56% (Quarterly) | 3/17/2026 | HKD | 510,000 | (124 | ) | — | (124 | ) | |||||||||||||||
3M ZAR JIBAR (Quarterly) | 5.36% (Quarterly) | 3/17/2026 | ZAR | 5,160,000 | 1,795 | — | 1,795 | |||||||||||||||||
3M ZAR JIBAR (Quarterly) | 5.45% (Quarterly) | 3/17/2026 | ZAR | 1,800,000 | 1,072 | — | 1,072 |
See accompanying Notes to Financial Statements
215
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Maturity Date | Notional Amount | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
| ||||||||||||||||||||||||||||
3M ZAR JIBAR (Quarterly) | 5.46% (Quarterly) | 3/17/2026 | ZAR | 1,470,000 | $ 925 | $ — | $ 925 | |||||||||||||||||||||
| ||||||||||||||||||||||||||||
Total | 23,120,000 | $ (377 | ) | $(100 | ) | $ (277 | ) | |||||||||||||||||||||
|
Interest Rate Swap Contracts outstanding at October 31, 2020:
Over the Counter
Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Counterparty | Maturity Date | Notional Amount | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
3M KRW KWCDC (Quarterly) | 1.00% (Quarterly) | Citibank | 3/17/2026 | KRW | 1,526,800,000 | $(465 | ) | $— | $(465 | ) | ||||||||||||||||||||||
3M KRW KWCDC (Quarterly) | 1.01% (Quarterly) | Bank of America | 3/17/2026 | KRW | 210,710,000 | (17 | ) | — | (17 | ) | ||||||||||||||||||||||
3M KRW KWCDC (Quarterly) | 0.99% (Quarterly) | Bank of America | 3/17/2026 | KRW | 89,900,000 | (100 | ) | — | (100 | ) | ||||||||||||||||||||||
3M KRW KWCDC (Quarterly) | 0.99% (Quarterly) | Citibank | 3/17/2026 | KRW | 62,800,000 | (50 | ) | — | (50 | ) | ||||||||||||||||||||||
3M KRW KWCDC (Quarterly) | 0.92% (Quarterly) | Bank of America | 3/17/2026 | KRW | 50,670,000 | (197 | ) | — | (197 | ) | ||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Total | 1,940,880,000 | $(829 | ) | $— | $(829 | ) | ||||||||||||||||||||||||||
|
Credit Default Swap Contracts outstanding - Buy Protection as of October 31, 2020:
Exchange Traded
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
| ||||||||||||||||||||||||||||
Markit CDX North America High Yield Investment Grade Index Series 34 (Pay Quarterly) | 5.00% | 6/20/2025 | USD | 3,114,407 | $(150,394 | ) | $(140,608 | ) | $(9,786 | ) | ||||||||||||||||||
| ||||||||||||||||||||||||||||
Total | 3,114,407 | $(150,394 | ) | $(140,608 | ) | $(9,786 | ) | |||||||||||||||||||||
|
See accompanying Notes to Financial Statements
216
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Credit Default Swap Contracts outstanding - Sell Protection as of October 31, 2020:
Exchange Traded
Reference Obligation | Implied Credit Spread | Fixed Deal | Maturity Date | Notional Amount(1) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Markit CDX North America High Yield Investment Grade Index Series 34 (Receive Quarterly) | 3.96% | 5.00% | 6/20/2025 | USD | 7,567 | $367 | $424 | $(57 | ) | |||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Total | 7,567 | $367 | $424 | $(57 | ) | |||||||||||||||||||||||||||
|
(1) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
See accompanying Notes to Financial Statements
217
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Valuation Hierarchy
The following is a summary of the inputs used, as of October 31, 2020, in valuing the Fund’s investments carried at fair value:
| ||||||||||||||||||||
Morningstar Alternatives Fund | Level 1 | Level 2 | Level 3 | Totals | ||||||||||||||||
| ||||||||||||||||||||
Investments | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Asset-Backed Securities | $ — | $ 19,671,983 | $ — | $ 19,671,983 | ||||||||||||||||
Common Stocks | 47,195,601 | 3,727,226 | — | 50,922,827 | ||||||||||||||||
Convertible Preferred Stocks | 2,719,745 | 1,660,610 | — | 4,380,355 | ||||||||||||||||
Convertible Bonds | — | 58,018,880 | — | 58,018,880 | ||||||||||||||||
Corporate Bonds | — | 35,237,879 | — | 35,237,879 | ||||||||||||||||
Foreign Issuer Bonds | — | 5,431,853 | — | 5,431,853 | ||||||||||||||||
Mortgage-Backed Securities | — | 37,620,812 | — | 37,620,812 | ||||||||||||||||
Short-Term Investments | 34,108,277 | — | — | 34,108,277 | ||||||||||||||||
Rights | — | — | * | 10,915 | 10,915 | |||||||||||||||
Purchased Options | 58,847 | — | — | 58,847 | ||||||||||||||||
| ||||||||||||||||||||
Total Assets – Investments at value | $ 84,082,470 | $161,369,243 | $10,915 | $245,462,628 | ||||||||||||||||
| ||||||||||||||||||||
Liabilities: | ||||||||||||||||||||
Common Stocks | $(33,469,468 | ) | $ (2,697,921 | ) | $ — | $(36,167,389 | ) | |||||||||||||
Investment Companies | (414,184 | ) | — | — | (414,184 | ) | ||||||||||||||
| ||||||||||||||||||||
Total Liabilities – Investments at value | $(33,883,652 | ) | $ (2,697,921 | ) | $ — | $(36,581,573 | ) | |||||||||||||
| ||||||||||||||||||||
Net Investments | $ 50,198,818 | $158,671,322 | $10,915 | $208,881,055 | ||||||||||||||||
| ||||||||||||||||||||
*Amount rounds to less than one dollar. | ||||||||||||||||||||
| ||||||||||||||||||||
Morningstar Alternatives Fund | Level 1 | Level 2 | Level 3 | Totals | ||||||||||||||||
| ||||||||||||||||||||
Derivative Financial Instruments | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Futures contracts | $ 40,969 | $ — | $— | $ 40,969 | ||||||||||||||||
Forward foreign currency exchange contracts | — | 74,809 | — | 74,809 | ||||||||||||||||
Contracts for difference | — | 46,043,058 | — | 46,043,058 | ||||||||||||||||
Swap agreements at fair value | — | 7,374 | — | 7,374 | ||||||||||||||||
| ||||||||||||||||||||
Total Assets - Derivative Financial Instruments | $ 40,969 | $ 46,125,241 | $— | $ 46,166,210 | ||||||||||||||||
| ||||||||||||||||||||
Liabilities: | ||||||||||||||||||||
Futures contracts | $(101,612 | ) | $ — | $— | $ (101,612 | ) | ||||||||||||||
Forward foreign currency exchange contracts | — | (26,027 | ) | — | (26,027 | ) | ||||||||||||||
Written Options | (178,868 | ) | — | — | (178,868 | ) | ||||||||||||||
Contracts for difference | — | (41,837,454 | ) | — | (41,837,454 | ) | ||||||||||||||
Swap agreements at fair value | — | (158,607 | ) | — | (158,607 | ) | ||||||||||||||
| ||||||||||||||||||||
Total Liabilities - Derivative Financial Instruments | $(280,480 | ) | $(42,022,088 | ) | $— | $(42,302,568 | ) | |||||||||||||
| ||||||||||||||||||||
Net Derivative Financial Instruments | $(239,511 | ) | $ 4,103,153 | $— | $ 3,863,642 | |||||||||||||||
|
See accompanying Notes to Financial Statements
218
Morningstar Funds Trust October 31, 2020 (unaudited)
Schedule of Investments (continued)
Morningstar Alternatives Fund
Investments classified within Level 3 of the fair value hierarchy are valued by the Morningstar Investment Management LLC (“MIM”) in good faith under procedures adopted by authority of the Fund’s Board of Trustees. MIM employs various methods to determine fair valuations including regular review of key inputs and assumptions, and review of related market activity, if any. However, there are generally no observable trade activities in these securities. MIM reports to the Board of Trustees at their regularly scheduled quarterly meetings, or more often if warranted. The report includes a summary of the results of the process, the key inputs and assumptions noted, and any changes to the inputs and assumptions used. When appropriate, MIM will recommend changes to the procedures and process employed. The value determined for an investment using the fair value procedures may differ significantly from the value realized upon the sale of such investment.
See accompanying Notes to Financial Statements
219
Morningstar Funds Trust October 31, 2020 (unaudited)
Statements of Assets and Liabilities
Morningstar U.S. Equity Fund | Morningstar International Equity Fund | Morningstar Income Fund | Morningstar Total Return Bond Fund | Morningstar Bond Fund | ||||||||||||||
Assets | ||||||||||||||||||
Investments in non-affiliates, at value | $ | 1,254,839,481 | $ | 812,006,854 | $ | 241,935,861 | $ | 667,742,916 | $351,354,316 | |||||||||
Foreign currencies, at value | 1,845 | 607,869 | 1,064 | 835,925 | — | |||||||||||||
Due from broker | — | — | — | 5,548,539 | — | |||||||||||||
Receivable from adviser | 85,244 | 141,781 | — | 101,977 | 28,022 | |||||||||||||
Receivable for: | ||||||||||||||||||
Dividends and interest | 736,530 | 472,418 | 289,766 | 2,944,422 | 3,809,063 | |||||||||||||
Foreign tax reclaims | 69,205 | 294,570 | 130,028 | 13,270 | — | |||||||||||||
Investments sold | 3,674,945 | 3,712,073 | 1,136,003 | 131,019,854 | — | |||||||||||||
Fund shares sold | 278,586 | 219,446 | 85,614 | 450,696 | 260,116 | |||||||||||||
Variation margin on futures contracts | — | — | — | 74,462 | — | |||||||||||||
Variation margin on exchange traded swap agreements | — | — | — | 55,537 | — | |||||||||||||
Unrealized appreciation on OTC swap agreements | — | — | — | 2,739 | — | |||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | — | — | — | 469,962 | — | |||||||||||||
Upfront premiums paid on swap agreements | — | — | — | 891,676 | — | |||||||||||||
Prepaid expenses and other assets | 64,768 | 73,049 | 35,783 | 47,708 | 35,073 | |||||||||||||
Total assets | 1,259,750,604 | 817,528,060 | 243,614,119 | 810,199,683 | 355,486,590 | |||||||||||||
Liabilities | ||||||||||||||||||
Investments sold short, at value | — | — | — | 41,564,519 | — | |||||||||||||
Written options, at value | — | — | — | 218,672 | — | |||||||||||||
Due to broker | — | — | — | 2,286,737 | — | |||||||||||||
Unrealized depreciation on OTC swap agreements | — | — | — | 43,709 | — | |||||||||||||
Unrealized depreciation onforward foreign currency exchange contracts | — | 75,202 | — | 387,146 | — | |||||||||||||
Payable for: | ||||||||||||||||||
Investments purchased on a delayed-delivery basis | — | — | — | 142,968,162 | 1,590,316 | |||||||||||||
Investments purchased | 3,352,088 | 1,988,537 | 117,966 | 14,036,251 | — | |||||||||||||
Variation margin on futures contracts | — | — | — | 132,279 | — | |||||||||||||
Variation margin on exchange traded swap agreements | — | — | — | 59,323 | — | |||||||||||||
Fund shares redeemed | 761,330 | 493,729 | 350,586 | 335,158 | 243,304 | |||||||||||||
Distributions | — | — | 1,168 | 8,085 | 187 | |||||||||||||
Dividends on short sales | — | — | — | 76,609 | — | |||||||||||||
Deferred capital gains tax | — | 306,180 | — | — | — | |||||||||||||
Upfront premiums received from swap agreements | — | — | — | 24,900 | — | |||||||||||||
Accrued management fees | 751,192 | 605,351 | 76,103 | 228,050 | 132,670 | |||||||||||||
Accrued trustee fees | 12,745 | 8,195 | 2,159 | 6,196 | 4,123 |
See accompanying Notes to Financial Statements
220
Morningstar Funds Trust October 31, 2020 (unaudited)
Statements of Assets and Liabilities (continued)
Morningstar U.S. Fund | Morningstar International Equity Fund | Morningstar Income Fund | Morningstar Total Return Bond Fund | Morningstar Bond Fund | ||||||||||||||
Accrued expenses | 205,743 | 188,486 | 80,254 | 236,129 | 63,953 | |||||||||||||
Total liabilities | 5,083,098 | 3,665,680 | 628,236 | 202,611,925 | 2,034,553 | |||||||||||||
Net assets | $ | 1,254,667,506 | $ | 813,862,380 | $ | 242,985,883 | $ | 607,587,758 | $353,452,037 | |||||||||
Analysis of net assets: | ||||||||||||||||||
Paid in capital | $ | 1,154,095,272 | $ | 808,399,469 | $ | 246,788,766 | $ | 571,857,182 | $347,814,302 | |||||||||
Distributable earnings (loss) | 100,572,234 | 5,462,911 | (3,802,883 | ) | 35,730,576 | 5,637,735 | ||||||||||||
Net assets | $ | 1,254,667,506 | $ | 813,862,380 | $ | 242,985,883 | $ | 607,587,758 | $353,452,037 | |||||||||
Shares outstanding: | 121,478,397 | 83,385,854 | 24,523,481 | 54,255,108 | 33,425,465 | |||||||||||||
Net asset value, offering price and redemption price per share: | $ | 10.33 | $ | 9.76 | $ | 9.91 | $ | 11.20 | $10.57 | |||||||||
Investments in non-affiliates, at cost | $ | 1,156,088,081 | $ | 808,755,186 | $ | 241,903,739 | $ | 651,837,259 | $345,766,778 | |||||||||
Foreign currencies, at cost | $ | 1,754 | $ | 610,512 | $ | 1,070 | $ | 837,795 | $ — | |||||||||
Investments sold short proceeds | $ | — | $ | — | $ | — | $ | 41,707,801 | $ — | |||||||||
Written option premiums | $ | — | $ | — | $ | — | $ | 253,812 | $ — |
See accompanying Notes to Financial Statements
221
Morningstar Funds Trust October 31, 2020 (unaudited)
Statements of Assets and Liabilities (continued)
Morningstar Defensive Bond Fund | Morningstar Multisector Bond Fund | Morningstar Unconstrained Allocation Fund | Morningstar Alternatives Fund | |||||||||||
Assets | ||||||||||||||
Investments in non-affiliates, at value | $ | 226,805,146 | $ | 252,800,425 | $ | 159,975,087 | $245,462,628 | |||||||
Cash | — | — | — | 35,681,067 | ||||||||||
Foreign currencies, at value | — | 42,775 | 91,673 | 131,207 | ||||||||||
Due from broker | — | 560,000 | 151,166 | 1,502,417 | ||||||||||
Receivable from adviser | 26,439 | 25,045 | 5,516 | 41,357 | ||||||||||
Receivable for: | ||||||||||||||
Dividends and interest | 317,912 | 3,163,403 | 245,593 | 1,046,866 | ||||||||||
Foreign tax reclaims | — | 22,888 | 5,439 | 2,407 | ||||||||||
Investments sold | — | 278,325 | 423,387 | 11,197,299 | ||||||||||
Fund shares sold | 493,358 | 215,362 | 43,860 | 165,148 | ||||||||||
Variation margin on futures contracts | — | — | 3,719 | 74,058 | ||||||||||
Variation margin on exchange traded swap agreements | — | — | — | 3,269 | ||||||||||
Unrealized appreciation on OTC swap agreements | — | — | — | 2,543,611 | ||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | — | 451,118 | 116,231 | 74,809 | ||||||||||
Upfront premiums paid on swap agreements | — | — | — | 485 | ||||||||||
Prepaid expenses and other assets | 45,177 | 38,647 | 51,589 | 45,477 | ||||||||||
Total assets | 227,688,032 | 257,597,988 | 161,113,260 | 297,972,105 | ||||||||||
Liabilities | ||||||||||||||
Investments sold short, at value | — | — | — | 36,581,573 | ||||||||||
Written options, at value | — | — | — | 178,868 | ||||||||||
Due to broker | — | 435,259 | — | 1,079,881 | ||||||||||
Unrealized depreciation on OTC swap agreements | — | — | — | 3,198,793 | ||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | — | 674,089 | 367,833 | 26,027 | ||||||||||
Payable for: | ||||||||||||||
Investments purchased on a delayed-delivery basis | 1,243,000 | 951,470 | — | 26,966,409 | ||||||||||
Investments purchased | 914,415 | 969,617 | 846,552 | 4,888,409 | ||||||||||
Variation margin on futures contracts | — | — | 466 | — | ||||||||||
Variation margin on exchange traded swap agreements | — | — | — | 1,681 | ||||||||||
Fund shares redeemed | 143,885 | 289,520 | 95,726 | 131,560 | ||||||||||
Distributions | 4,065 | 3,269 | — | — | ||||||||||
Dividends on short sales | — | — | — | 23,481 | ||||||||||
Deferred capital gains tax | — | 2,898 | — | — | ||||||||||
Upfront premiums received from swap agreements | — | — | — | 140,769 | ||||||||||
Accrued management fees | 68,070 | 132,810 | 66,112 | 162,763 | ||||||||||
Accrued trustee fees | 2,696 | 1,652 | 2,699 | 2,585 | ||||||||||
Accrued expenses | 46,149 | 93,692 | 31,648 | 63,888 | ||||||||||
Total liabilities | 2,422,280 | 3,554,276 | 1,411,036 | 73,446,687 | ||||||||||
Net assets | $ | 225,265,752 | $ | 254,043,712 | $ | 159,702,224 | $224,525,418 | |||||||
Analysis of net assets: | ||||||||||||||
Paid in capital | $ | 220,950,880 | $ | 259,834,002 | $ | 148,130,959 | $216,868,579 | |||||||
Distributable earnings (loss) | 4,314,872 | (5,790,290 | ) | 11,571,265 | 7,656,839 | |||||||||
Net assets | $ | 225,265,752 | $ | 254,043,712 | $ | 159,702,224 | $224,525,418 | |||||||
Shares outstanding: | 21,840,300 | 25,264,402 | 16,078,824 | 21,239,425 |
See accompanying Notes to Financial Statements
222
Morningstar Funds Trust October 31, 2020 (unaudited)
Statements of Assets and Liabilities (continued)
Morningstar Defensive Bond Fund | Morningstar Multisector Bond Fund | Morningstar Unconstrained Allocation Fund | Morningstar Alternatives Fund | |||||||||||
Net asset value, offering price and redemption price per share: | $ | 10.31 | $ | 10.06 | $ | 9.93 | $ 10.57 | |||||||
Investments in non-affiliates, at cost | $ | 224,011,312 | $ | 250,773,533 | $ | 149,248,197 | $239,680,152 | |||||||
Foreign currencies, at cost | $ | — | $ | 43,255 | $ | 92,087 | $ 131,707 | |||||||
Investments sold short proceeds | $ | — | $ | — | $ | — | $ 34,584,661 | |||||||
Written option premiums | $ | — | $ | — | $ | — | $ 186,328 |
See accompanying Notes to Financial Statements
223
Morningstar Funds Trust October 31, 2020 (unaudited)
Morningstar U.S. Equity Fund | Morningstar International Equity Fund | Morningstar Income Fund | Morningstar Total Return Bond Fund | Morningstar Municipal Bond Fund | ||||||||||||||||
| ||||||||||||||||||||
Investment income | ||||||||||||||||||||
Dividend income from non-affiliates (net of foreign withholding taxes) | $ | 14,354,187 | $ | 8,509,657 | $ | 5,022,684 | $ | 151,489 | $ | 221,492 | ||||||||||
Interest income (net of foreign withholding taxes) | 1,646 | — | 67,909 | 5,942,832 | 4,539,469 | |||||||||||||||
Other income | — | — | — | 4,241 | — | |||||||||||||||
| ||||||||||||||||||||
Total investment income | 14,355,833 | 8,509,657 | 5,090,593 | 6,098,562 | 4,760,961 | |||||||||||||||
| ||||||||||||||||||||
Expenses | ||||||||||||||||||||
Management fees (Note 5) | 4,311,256 | 3,531,672 | 440,725 | 1,279,819 | 789,876 | |||||||||||||||
Administration and custody fees | 360,518 | 362,416 | 74,331 | 424,307 | 99,360 | |||||||||||||||
Transfer agent fees | 3,335 | 3,209 | 3,207 | 3,212 | 3,196 | |||||||||||||||
Sub-accounting fees | 590,904 | 392,697 | 120,872 | 281,493 | 169,950 | |||||||||||||||
Audit and tax fees | 30,398 | 60,805 | 54,779 | 22,792 | 22,798 | |||||||||||||||
Legal fees | 83,302 | 55,398 | 16,748 | 38,261 | 23,194 | |||||||||||||||
Trustees’ fees | 95,559 | 63,794 | 19,456 | 44,032 | 26,111 | |||||||||||||||
Registration and filing fees | 37,884 | 30,781 | 18,121 | 29,987 | 19,581 | |||||||||||||||
Printing and postage fees | 36,154 | 34,117 | 11,156 | 16,811 | 7,813 | |||||||||||||||
Dividend and interest on securities sold short | — | — | — | 9,272 | — | |||||||||||||||
Other expenses | 47,494 | 33,054 | 13,142 | 44,237 | 16,992 | |||||||||||||||
| ||||||||||||||||||||
Total Expenses | 5,596,804 | 4,567,943 | 772,537 | 2,194,223 | 1,178,871 | |||||||||||||||
| ||||||||||||||||||||
Less waiver of management fees (Note 5) | (399,194 | ) | (751,367 | ) | (6,788 | ) | (668,449 | ) | (135,647 | ) | ||||||||||
Net expenses | 5,197,610 | 3,816,576 | 765,749 | 1,525,774 | 1,043,224 | |||||||||||||||
| ||||||||||||||||||||
Net investment income | 9,158,223 | 4,693,081 | 4,324,844 | 4,572,788 | 3,717,737 | |||||||||||||||
| ||||||||||||||||||||
Realized and unrealized gains (losses) | ||||||||||||||||||||
Net realized gains (losses) on: | ||||||||||||||||||||
Investments | 19,376,562 | 3,067,289 | (2,638,345 | ) | 8,948,937 | 1,025,502 | ||||||||||||||
Investments sold short | — | — | — | (496,427 | ) | — | ||||||||||||||
Swap agreements | — | — | — | (2,418,553 | ) | — | ||||||||||||||
Futures contracts | — | — | — | 1,083,353 | — | |||||||||||||||
Written options contracts | — | — | — | 1,045,863 | — | |||||||||||||||
Forward foreign currency exchange contracts | — | (38,149 | ) | — | 218,552 | — | ||||||||||||||
Foreign currency transactions | (2,100 | ) | 9,836 | (50,334 | ) | 79,487 | — | |||||||||||||
| ||||||||||||||||||||
Net realized gains (losses) | 19,374,462 | 3,038,976 | (2,688,679 | ) | 8,461,212 | 1,025,502 | ||||||||||||||
| ||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||
Investments | 105,951,644 | 81,109,433 | 1 | 11,666,752 | 1 | 5,557,003 | 13,467,555 | |||||||||||||
Investments sold short | — | — | — | 241,639 | — | |||||||||||||||
Swap agreements | — | — | — | 3,774,402 | — | |||||||||||||||
Futures contracts | — | — | — | (1,171,203 | ) | — | ||||||||||||||
Written options contracts | — | — | — | (172,698 | ) | — | ||||||||||||||
Forward foreign currency exchange contracts | — | (61,889 | ) | — | (177,873 | ) | — |
See accompanying Notes to Financial Statements
224
Morningstar Funds Trust October 31, 2020 (unaudited)
Statements of Operations (continued)
Morningstar U.S. Equity Fund | Morningstar International Equity Fund | Morningstar Income Fund | Morningstar Total Return Bond Fund | Morningstar Municipal Bond Fund | ||||||||||||||||
| ||||||||||||||||||||
Foreign currency transactions | 1,960 | 1,814 | 4,552 | 13,660 | — | |||||||||||||||
| ||||||||||||||||||||
Net change in unrealized appreciation | 105,953,604 | 81,049,358 | 11,671,304 | 8,064,930 | 13,467,555 | |||||||||||||||
| ||||||||||||||||||||
Net realized and unrealized gains | 125,328,066 | 84,088,334 | 8,982,625 | 16,526,142 | 14,493,057 | |||||||||||||||
| ||||||||||||||||||||
Net increase in net assets resulting from operations | $ | 134,486,289 | $ | 88,781,415 | $ | 13,307,469 | $ | 21,098,930 | $ | 18,210,794 | ||||||||||
| ||||||||||||||||||||
Foreign withholding taxes on dividend income | $ | 22,836 | $ | 806,383 | $ | 192,703 | $ | — | $ | — | ||||||||||
Foreign withholding taxes on interest income | $ | — | $ | — | $ | — | $ | 24,138 | $ | — |
1 Net of change in deferred foreign capital gains tax expense of $(306,180) and $12,184, respectively.
See accompanying Notes to Financial Statements
225
Morningstar Funds Trust October 31, 2020 (unaudited)
Statements of Operations (continued)
Morningstar Defensive Bond Fund | Morningstar Multisector Bond Fund | Morningstar Unconstrained Allocation Fund | Morningstar Alternatives Fund | |||||||||||||
| ||||||||||||||||
Investment income | ||||||||||||||||
Dividend income from non-affiliates (net of foreign withholding taxes) | $ | 442,486 | $ | 126,229 | $ | 1,044,659 | $ | 426,228 | ||||||||
Interest income (net of foreign withholding taxes) | 1,910,121 | 6,328,240 | 338,489 | 1,923,837 | ||||||||||||
| ||||||||||||||||
Total investment income | 2,352,607 | 6,454,469 | 1,383,148 | 2,350,065 | ||||||||||||
| ||||||||||||||||
Expenses | ||||||||||||||||
Management fees (Note 5) | 372,647 | 761,380 | 374,479 | 911,003 | ||||||||||||
Administration and custody fees | 64,977 | 125,379 | 71,621 | 160,782 | ||||||||||||
Transfer agent fees | 3,216 | 3,218 | 3,206 | 3,216 | ||||||||||||
Sub-accounting fees | 98,584 | 116,800 | 70,871 | 101,932 | ||||||||||||
Audit and tax fees | 23,210 | 44,203 | 21,143 | 25,021 | ||||||||||||
Legal fees | 13,284 | 16,444 | 9,990 | 13,859 | ||||||||||||
Trustees’ fees | 15,176 | 19,096 | 11,058 | 15,842 | ||||||||||||
Registration and filing fees | 19,709 | 20,003 | 19,509 | 19,516 | ||||||||||||
Printing and postage fees | 15,776 | 12,560 | 9,076 | 12,566 | ||||||||||||
Dividend and interest on securities sold short | — | — | — | 185,879 | ||||||||||||
Other expenses | 11,747 | 12,988 | 9,504 | 13,541 | ||||||||||||
| ||||||||||||||||
Total Expenses | 638,326 | 1,132,071 | 600,457 | 1,463,157 | ||||||||||||
| ||||||||||||||||
Less waiver of management fees (Note 5) | (141,464 | ) | (151,187 | ) | (17,371 | ) | (104,734 | ) | ||||||||
| ||||||||||||||||
Net expenses | 496,862 | 980,884 | 583,086 | 1,358,423 | ||||||||||||
| ||||||||||||||||
Net investment income | 1,855,745 | 5,473,585 | 800,062 | 991,642 | ||||||||||||
| ||||||||||||||||
Realized and unrealized gains (losses) | ||||||||||||||||
Net realized gains (losses) on: | ||||||||||||||||
Investments | 901,779 | (205,235 | ) | 186,446 | 7,330,356 | |||||||||||
Investments sold short | — | — | — | (5,365,770 | ) | |||||||||||
Swap agreements | — | 106,034 | — | (960,605 | ) | |||||||||||
Futures contracts | — | — | 293,684 | 11,620 | ||||||||||||
Written options contracts | — | — | — | 340,278 | ||||||||||||
Forward foreign currency exchange contracts | — | (166,532 | ) | 560,753 | (72,432 | ) | ||||||||||
Foreign currency transactions | — | (206,034 | ) | 47,353 | (31,736 | ) | ||||||||||
| ||||||||||||||||
Net realized gains (losses) | 901,779 | (471,767 | ) | 1,088,236 | 1,251,711 | |||||||||||
| ||||||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments | 1,682,434 | 18,126,920 | 1 | 8,087,356 | 9,576,354 | |||||||||||
Investments sold short | — | — | — | (2,080,127 | ) | |||||||||||
Swap agreements | — | (11,346 | ) | — | (665,302 | ) | ||||||||||
Futures contracts | — | — | 42,462 | (60,643 | ) | |||||||||||
Written options contracts | — | — | — | 3,509 | ||||||||||||
Forward foreign currency exchange contracts | — | (1,707,919 | ) | (283,520 | ) | (81,318 | ) | |||||||||
Foreign currency transactions | — | 72,563 | 5,785 | 1,278 | ||||||||||||
| ||||||||||||||||
Net change in unrealized appreciation | 1,682,434 | 16,480,218 | 7,852,083 | 6,693,751 | ||||||||||||
| ||||||||||||||||
Net realized and unrealized gains | 2,584,213 | 16,008,451 | 8,940,319 | 7,945,462 | ||||||||||||
| ||||||||||||||||
Net increase in net assets resulting from operations | $ | 4,439,958 | $ | 21,482,036 | $ | 9,740,381 | $ | 8,937,104 | ||||||||
| ||||||||||||||||
Foreign withholding taxes on dividend income | $ | — | $ | — | $ | 5,695 | $ | 3,091 | ||||||||
Foreign withholding taxes on interest income | $ | 1,705 | $ | 72,341 | $ | 2,359 | $ | — |
1 | Net of change in deferred foreign capital gains tax expense of $(2,898). |
See accompanying Notes to Financial Statements
226
Morningstar Funds Trust October 31, 2020 (unaudited)
Statements of Changes in Net Assets
Morningstar U.S. Equity Fund | Morningstar International Equity Fund | |||||||||||||||
|
| |||||||||||||||
Six Months Ended October 31, 2020 (unaudited) | Year Ended April 30, 2020 | Six Months Ended October 31, 2020 (unaudited) | Year Ended April 30, 2020 | |||||||||||||
| ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ 9,158,223 | $ 10,046,092 | $ 4,693,081 | $ 11,623,211 | ||||||||||||
Net realized gains (losses) | 19,374,462 | (21,652,852 | ) | 3,038,976 | (1,755,597 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) | 105,953,604 | (49,639,266 | ) | 81,049,358 | (103,421,605 | ) | ||||||||||
| ||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 134,486,289 | (61,246,026 | ) | 88,781,415 | (93,553,991 | ) | ||||||||||
| ||||||||||||||||
Distributions paid from: | ||||||||||||||||
Distributable earnings | — | (18,634,524 | ) | — | (17,321,023 | ) | ||||||||||
| ||||||||||||||||
Total distributions paid | — | (18,634,524 | ) | — | (17,321,023 | ) | ||||||||||
| ||||||||||||||||
Capital share transactions: | ||||||||||||||||
Proceeds from shares sold | 189,415,225 | 794,376,814 | 132,826,626 | 550,873,414 | ||||||||||||
Reinvestment of dividends | — | 18,624,492 | — | 17,311,550 | ||||||||||||
Payments for shares redeemed | (248,600,400 | ) | (231,681,035 | ) | (172,144,866 | ) | (161,539,278 | ) | ||||||||
| ||||||||||||||||
Net increase (decrease) in net assets from capital share transactions | (59,185,175 | ) | 581,320,271 | (39,318,240 | ) | 406,645,686 | ||||||||||
| ||||||||||||||||
Total increase (decrease) in net assets | 75,301,114 | 501,439,721 | 49,463,175 | 295,770,672 | ||||||||||||
| ||||||||||||||||
Net assets: | ||||||||||||||||
Beginning of period | 1,179,366,392 | 677,926,671 | 764,399,205 | 468,628,533 | ||||||||||||
| ||||||||||||||||
End of period | $1,254,667,506 | $1,179,366,392 | $813,862,380 | $764,399,205 | ||||||||||||
| ||||||||||||||||
Capital share transactions | ||||||||||||||||
Shares sold | 18,902,675 | 85,340,677 | 13,825,446 | 58,658,336 | ||||||||||||
Shares from reinvested dividends | — | 1,684,010 | — | 1,537,824 | ||||||||||||
Shares redeemed | (24,709,450 | ) | (23,209,115 | ) | (17,678,915 | ) | (16,399,510 | ) | ||||||||
| ||||||||||||||||
Net increase (decrease) | (5,806,775 | ) | 63,815,572 | (3,853,469 | ) | 43,796,650 | ||||||||||
|
See accompanying Notes to Financial Statements
227
Morningstar Funds Trust October 31, 2020 (unaudited)
Statements of Changes in Net Assets (continued)
Morningstar Global Income Fund | Morningstar Total Return Bond Fund | |||||||||||||||
|
| |||||||||||||||
Six Months Ended October 31, 2020 (unaudited) | Year Ended April 30, 2020 | Six Months Ended October 31, 2020 (unaudited) | Year Ended April 30, 2020 | |||||||||||||
| ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ 4,324,844 | $ 7,345,318 | $ 4,572,788 | $ 12,025,769 | ||||||||||||
Net realized gains (losses) | (2,688,679 | ) | 108,701 | 8,461,212 | 24,846,825 | |||||||||||
Net change in unrealized appreciation (depreciation) | 11,671,304 | (19,219,391 | ) | 8,064,930 | 1,511,874 | |||||||||||
| ||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 13,307,469 | (11,765,372 | ) | 21,098,930 | 38,384,468 | |||||||||||
| ||||||||||||||||
Distributions paid from: | ||||||||||||||||
Distributable earnings | (4,325,528 | ) | (9,352,472 | ) | (6,081,374 | ) | (25,988,634 | ) | ||||||||
| ||||||||||||||||
Total distributions paid | (4,325,528 | ) | (9,352,472 | ) | (6,081,374 | ) | (25,988,634 | ) | ||||||||
| ||||||||||||||||
Capital share transactions: | ||||||||||||||||
Proceeds from shares sold | 38,486,254 | 123,726,471 | 154,252,384 | 306,942,888 | ||||||||||||
Reinvestment of dividends | 4,318,023 | 9,348,867 | 6,043,205 | 25,965,152 | ||||||||||||
Payments for shares redeemed | (43,860,514 | ) | (62,428,760 | ) | (87,187,265 | ) | (240,473,091 | ) | ||||||||
| ||||||||||||||||
Net increase (decrease) in net assets from capital share transactions | (1,056,237 | ) | 70,646,578 | 73,108,324 | 92,434,949 | |||||||||||
| ||||||||||||||||
Total increase (decrease) in net assets | 7,925,704 | 49,528,734 | 88,125,880 | 104,830,783 | ||||||||||||
| ||||||||||||||||
Net assets: | ||||||||||||||||
Beginning of period | 235,060,179 | 185,531,445 | 519,461,878 | 414,631,095 | ||||||||||||
| ||||||||||||||||
End of period | $242,985,883 | $235,060,179 | $607,587,758 | $519,461,878 | ||||||||||||
| ||||||||||||||||
Capital share transactions | ||||||||||||||||
Shares sold | 3,824,678 | 12,277,449 | 13,807,051 | 28,515,303 | ||||||||||||
Shares from reinvested dividends | 428,858 | 886,549 | 538,794 | 2,427,437 | ||||||||||||
Shares redeemed | (4,368,987 | ) | (6,062,138 | ) | (7,819,622 | ) | (22,776,526 | ) | ||||||||
| ||||||||||||||||
Net increase (decrease) | (115,451 | ) | 7,101,860 | 6,526,223 | 8,166,214 | |||||||||||
|
See accompanying Notes to Financial Statements
228
Morningstar Funds Trust October 31, 2020 (unaudited)
Statements of Changes in Net Assets (continued)
Morningstar Municipal Bond Fund | Morningstar Defensive Bond Fund | |||||||||||||||
|
| |||||||||||||||
Six Months Ended October 31, 2020 (unaudited) | Year Ended April 30, 2020 | Six Months Ended October 31, 2020 (unaudited) | Year Ended April 30, 2020 | |||||||||||||
| ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ 3,717,737 | $ 3,824,021 | $ 1,855,745 | $ 3,612,738 | ||||||||||||
Net realized gains (losses) | 1,025,502 | (789,489 | ) | 901,779 | 1,485,475 | |||||||||||
Net change in unrealized appreciation (depreciation) | 13,467,555 | (9,703,593 | ) | 1,682,434 | 448,825 | |||||||||||
| ||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 18,210,794 | (6,669,061 | ) | 4,439,958 | 5,547,038 | |||||||||||
| ||||||||||||||||
Distributions paid from: | ||||||||||||||||
Distributable earnings | (3,715,331 | ) | (4,399,566 | ) | (1,837,698 | ) | (4,723,523 | ) | ||||||||
| ||||||||||||||||
Total distributions paid | (3,715,331 | ) | (4,399,566 | ) | (1,837,698 | ) | (4,723,523 | ) | ||||||||
| ||||||||||||||||
Capital share transactions: | ||||||||||||||||
Proceeds from shares sold | 53,587,156 | 332,149,054 | 69,222,154 | 122,856,335 | ||||||||||||
Reinvestment of dividends | 3,714,257 | 4,398,578 | 1,822,006 | 4,716,027 | ||||||||||||
Payments for shares redeemed | (58,531,600 | ) | (89,965,230 | ) | (31,855,316 | ) | (101,009,890 | ) | ||||||||
| ||||||||||||||||
Net increase (decrease) in net assets from capital share transactions | (1,230,187 | ) | 246,582,402 | 39,188,844 | 26,562,472 | |||||||||||
| ||||||||||||||||
Total increase (decrease) in net assets | 13,265,276 | 235,513,775 | 41,791,104 | 27,385,987 | ||||||||||||
| ||||||||||||||||
Net assets: | ||||||||||||||||
Beginning of period | 340,186,761 | 104,672,986 | 183,474,648 | 156,088,661 | ||||||||||||
| ||||||||||||||||
End of period | $353,452,037 | $340,186,761 | $225,265,752 | $183,474,648 | ||||||||||||
| ||||||||||||||||
Capital share transactions | ||||||||||||||||
Shares sold | 5,094,311 | 31,722,432 | 6,729,509 | 12,118,403 | ||||||||||||
Shares from reinvested dividends | 351,218 | 418,670 | 176,897 | 465,247 | ||||||||||||
Shares redeemed | (5,564,022 | ) | (8,682,679 | ) | (3,099,157 | ) | (10,006,072 | ) | ||||||||
| ||||||||||||||||
Net increase (decrease) | (118,493 | ) | 23,458,423 | 3,807,249 | 2,577,578 | |||||||||||
|
See accompanying Notes to Financial Statements
229
Morningstar Funds Trust October 31, 2020 (unaudited)
Statements of Changes in Net Assets (continued)
Morningstar Multisector Bond Fund | Morningstar Unconstrained Allocation Fund | |||||||||||||||
|
| |||||||||||||||
Six Months Ended October 31, 2020 (unaudited) | Year Ended April 30, 2020 | Six Months Ended October 31, 2020 (unaudited) | Year Ended April 30, 2020 | |||||||||||||
| ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ 5,473,585 | $ 8,960,185 | $ 800,062 | $ 1,566,620 | ||||||||||||
Net realized gains (losses) | (471,767 | ) | (6,929,032 | ) | 1,088,236 | (193,118 | ) | |||||||||
Net change in unrealized appreciation (depreciation) | 16,480,218 | (15,844,228 | ) | 7,852,083 | 1,675,146 | |||||||||||
| ||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 21,482,036 | (13,813,075 | ) | 9,740,381 | 3,048,648 | |||||||||||
| ||||||||||||||||
Distributions paid from: | ||||||||||||||||
Distributable earnings | (5,372,724 | ) | (10,125,732 | ) | — | (2,836,649 | ) | |||||||||
| ||||||||||||||||
Total distributions paid | (5,372,724 | ) | (10,125,732 | ) | — | (2,836,649 | ) | |||||||||
| ||||||||||||||||
Capital share transactions: | ||||||||||||||||
Proceeds from shares sold | 81,405,703 | 154,111,386 | 37,833,512 | 104,191,817 | ||||||||||||
Reinvestment of dividends | 5,355,937 | 10,121,184 | — | 2,835,207 | ||||||||||||
Payments for shares redeemed | (40,598,641 | ) | (109,891,533 | ) | (26,065,335 | ) | (25,340,078 | ) | ||||||||
| ||||||||||||||||
Net increase (decrease) in net assets from capital share transactions | 46,162,999 | 54,341,037 | 11,768,177 | 81,686,946 | ||||||||||||
| ||||||||||||||||
Total increase (decrease) in net assets | 62,272,311 | 30,402,230 | 21,508,558 | 81,898,945 | ||||||||||||
| ||||||||||||||||
Net assets: | ||||||||||||||||
Beginning of period | 191,771,401 | 161,369,171 | 138,193,666 | 56,294,721 | ||||||||||||
| ||||||||||||||||
End of period | $254,043,712 | $191,771,401 | $159,702,224 | $138,193,666 | ||||||||||||
| ||||||||||||||||
Capital share transactions | ||||||||||||||||
Shares sold | 8,342,617 | 15,221,049 | 3,816,345 | 11,774,435 | ||||||||||||
Shares from reinvested dividends | 532,762 | 979,145 | — | 263,569 | ||||||||||||
Shares redeemed | (4,043,126 | ) | (11,459,813 | ) | (2,621,857 | ) | (2,577,253 | ) | ||||||||
| ||||||||||||||||
Net increase (decrease) | 4,832,253 | 4,740,381 | 1,194,488 | 9,460,751 | ||||||||||||
|
See accompanying Notes to Financial Statements
230
Morningstar Funds Trust October 31, 2020 (unaudited)
Statements of Changes in Net Assets (continued)
Morningstar Alternatives Fund | ||||||||
|
| |||||||
Six Months Ended October 31, 2020 (unaudited) | Year Ended April 30, 2020 | |||||||
| ||||||||
Operations: | ||||||||
Net investment income | $ 991,642 | $ 3,681,039 | ||||||
Net realized gains (losses) | 1,251,711 | 1,494,561 | ||||||
Net change in unrealized appreciation (depreciation) | 6,693,751 | (3,843,312 | ) | |||||
| ||||||||
Net increase (decrease) in net assets resulting from operations | 8,937,104 | 1,332,288 | ||||||
| ||||||||
Distributions paid from: | ||||||||
Distributable earnings | — | (3,242,453 | ) | |||||
| ||||||||
Total distributions paid | — | (3,242,453 | ) | |||||
| ||||||||
Capital share transactions: | ||||||||
Proceeds from shares sold | 58,468,580 | 126,616,742 | ||||||
Reinvestment of dividends | — | 3,239,760 | ||||||
Payments for shares redeemed | (28,999,932 | ) | (53,683,970 | ) | ||||
| ||||||||
Net increase (decrease) in net assets from capital share transactions | 29,468,648 | 76,172,532 | ||||||
| ||||||||
Total increase (decrease) in net assets | 38,405,752 | 74,262,367 | ||||||
| ||||||||
Net assets: | ||||||||
Beginning of period | 186,119,666 | 111,857,299 | ||||||
| ||||||||
End of period | $224,525,418 | $186,119,666 | ||||||
| ||||||||
Capital share transactions | ||||||||
Shares sold | 5,626,066 | 12,285,126 | ||||||
Shares from reinvested dividends | — | 311,889 | ||||||
Shares redeemed | (2,774,911 | ) | (5,279,184 | ) | ||||
| ||||||||
Net increase (decrease) | 2,851,155 | 7,317,831 | ||||||
|
See accompanying Notes to Financial Statements
231
Morningstar Funds Trust October 31, 2020 (unaudited)
Morningstar U.S. Equity Fund
Six Months Ended October 31 | Year Ended April 30 | Since Inception1 | ||||||||||
|
| |||||||||||
Selected per share data | 2020 (unaudited) | 2020 | 2019 | |||||||||
| ||||||||||||
Net asset value, beginning of period | $9.27 | $10.68 | $10.00 | |||||||||
| ||||||||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income2 | 0.07 | 0.13 | 0.05 | |||||||||
Net realized and unrealized gains (losses) | 0.99 | (1.31 | ) | 0.64 | ||||||||
| ||||||||||||
Total income (loss) from investment operations | 1.06 | (1.18 | ) | 0.69 | ||||||||
| ||||||||||||
Less distributions paid: | ||||||||||||
From net investment income | — | (0.09 | ) | (0.01 | ) | |||||||
From realized gains | — | (0.14 | ) | — | ||||||||
| ||||||||||||
Total distributions paid | — | (0.23 | ) | (0.01 | ) | |||||||
| ||||||||||||
Net asset value, end of period | $10.33 | $9.27 | $10.68 | |||||||||
| ||||||||||||
Total return3 | 11.43% | (11.42% | ) | 6.98% | ||||||||
Supplemental data and ratios: | ||||||||||||
Net assets, end of period (millions) | $1,255 | $1,179 | $678 | |||||||||
| ||||||||||||
Ratio to average net assets of:4, 5 | ||||||||||||
Total expenses before waivers/reimbursements | 0.87% | 0.93% | 1.08% | |||||||||
| ||||||||||||
Total expenses after waivers/reimbursements | 0.81% | 0.81% | 0.82% | |||||||||
| ||||||||||||
Net investment income, net of waivers/reimbursements | 1.42% | 1.25% | 0.98%6 | |||||||||
| ||||||||||||
Net investment income, before waivers/reimbursements | 1.36% | 1.13% | 0.72%6 | |||||||||
| ||||||||||||
Portfolio turnover rate7 | 31% | 58% | 20% | |||||||||
|
1 | Commencement of operations was November 2, 2018. |
2 | Calculated using the average shares outstanding method. |
3 | Assumes investment at net asset value at the beginning of the period, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the period. The total return is not annualized for periods less than one year. |
4 | Ratios are annualized for periods less than one year. |
5 | Ratios do not include impact of the expenses of the underlying funds in which the fund invests. |
6 | As the Fund commenced investment operations on November 2, 2018, annualized net investment income ratios may not be reflective of actual amounts the Fund might obtain in a full year of operation. |
7 | Portfolio turnover rate is not annualized for periods less than one year. |
See accompanying Notes to Financial Statements
232
Morningstar Funds Trust October 31, 2020 (unaudited)
Financial Highlights (continued)
Morningstar International Equity Fund
Six Months Ended October 31 | Year Ended April 30 | Since Inception1 | ||||||||||
|
| |||||||||||
Selected per share data | 2020 (unaudited) | 2020 | 2019 | |||||||||
| ||||||||||||
Net asset value, beginning of period | $8.76 | $10.79 | $10.00 | |||||||||
| ||||||||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income2 | 0.05 | 0.21 | 0.08 | |||||||||
Net realized and unrealized gains (losses) | 0.95 | (1.94 | ) | 0.74 | ||||||||
| ||||||||||||
Total income (loss) from investment operations | 1.00 | (1.73 | ) | 0.82 | ||||||||
| ||||||||||||
Less distributions paid: | ||||||||||||
From net investment income | — | (0.19 | ) | (0.03 | ) | |||||||
From realized gains | — | (0.11 | ) | — | ||||||||
| ||||||||||||
Total distributions paid | — | (0.30 | ) | (0.03 | ) | |||||||
| ||||||||||||
Net asset value, end of period | $9.76 | $8.76 | $10.79 | |||||||||
| ||||||||||||
Total return3 | 11.42% | (16.65% | ) | 8.19% | ||||||||
Supplemental data and ratios: | ||||||||||||
Net assets, end of period (millions) | $814 | $764 | $469 | |||||||||
| ||||||||||||
Ratio to average net assets of:4, 5 | ||||||||||||
Total expenses before waivers/reimbursements | 1.08% | 1.14% | 1.29% | |||||||||
| ||||||||||||
Total expenses after waivers/reimbursements | 0.90% | 0.92% | 0.94% | |||||||||
| ||||||||||||
Net investment income, net of waivers/reimbursements | 1.11% | 2.08% | 1.66%6 | |||||||||
| ||||||||||||
Net investment income, before waivers/reimbursements | 0.93% | 1.86% | 1.31%6 | |||||||||
| ||||||||||||
Portfolio turnover rate7 | 18% | 36% | 19% | |||||||||
|
1 | Commencement of operations was November 2, 2018. |
2 | Calculated using the average shares outstanding method. |
3 | Assumes investment at net asset value at the beginning of the period, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the period. The total return is not annualized for periods less than one year. |
4 | Ratios are annualized for periods less than one year. |
5 | Ratios do not include impact of the expenses of the underlying funds in which the fund invests. |
6 | As the Fund commenced investment operations on November 2, 2018, annualized net investment income ratios may not be reflective of actual amounts the Fund might obtain in a full year of operation. |
7 | Portfolio turnover rate is not annualized for periods less than one year. |
See accompanying Notes to Financial Statements
233
Morningstar Funds Trust October 31, 2020 (unaudited)
Financial Highlights (continued)
Morningstar Global Income Fund
Six Months Ended October 31 | Year Ended April 30 | Since Inception1 | ||||||||||
|
| |||||||||||
Selected per share data | 2020 (unaudited) | 2020 | 2019 | |||||||||
| ||||||||||||
Net asset value, beginning of period | $9.54 | $10.58 | $10.00 | |||||||||
| ||||||||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income2 | 0.17 | 0.37 | 0.16 | |||||||||
Net realized and unrealized gains (losses) | 0.38 | (0.94 | ) | 0.52 | ||||||||
| ||||||||||||
Total income (loss) from investment operations | 0.55 | (0.57 | ) | 0.68 | ||||||||
| ||||||||||||
Less distributions paid: | ||||||||||||
From net investment income | (0.18 | ) | (0.42 | ) | (0.10 | ) | ||||||
From realized gains | — | (0.05 | ) | — | ||||||||
| ||||||||||||
Total distributions paid | (0.18 | ) | (0.47 | ) | (0.10 | ) | ||||||
| ||||||||||||
Net asset value, end of period | $9.91 | $9.54 | $10.58 | |||||||||
| ||||||||||||
Total return3 | 5.70% | (5.73%) | 6.85% | |||||||||
Supplemental data and ratios: | ||||||||||||
Net assets, end of period (millions) | $243 | $235 | $186 | |||||||||
| ||||||||||||
Ratio to average net assets of:4, 5 | ||||||||||||
Total expenses before waivers/reimbursements | 0.62% | 0.64% | 0.90% | |||||||||
| ||||||||||||
Total expenses after waivers/reimbursements | 0.61% | 0.58% | 0.58% | |||||||||
| ||||||||||||
Net investment income, net of waivers/reimbursements | 3.44% | 3.52% | 3.15%6 | |||||||||
| ||||||||||||
Net investment income, before waivers/reimbursements | 3.43% | 3.46% | 2.83%6 | |||||||||
| ||||||||||||
Portfolio turnover rate7 | 36% | 62% | 27% | |||||||||
|
1 | Commencement of operations was November 2, 2018. |
2 | Calculated using the average shares outstanding method. |
3 | Assumes investment at net asset value at the beginning of the period, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the period. The total return is not annualized for periods less than one year. |
4 | Ratios are annualized for periods less than one year. |
5 | Ratios do not include impact of the expenses of the underlying funds in which the fund invests. |
6 | As the Fund commenced investment operations on November 2, 2018, annualized net investment income ratios may not be reflective of actual amounts the Fund might obtain in a full year of operation. |
7 | Portfolio turnover rate is not annualized for periods less than one year. |
See accompanying Notes to Financial Statements
234
Morningstar Funds Trust October 31, 2020 (unaudited)
Financial Highlights (continued)
Morningstar Total Return Bond Fund
Six Months Ended October 31 | Year Ended April 30 | Since Inception1 | ||||||||||
|
| |||||||||||
Selected per share data | 2020 (unaudited) | 2020 | 2019 | |||||||||
| ||||||||||||
Net asset value, beginning of period | $10.88 | $10.48 | $10.00 | |||||||||
| ||||||||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income2 | 0.09 | 0.26 | 0.15 | |||||||||
Net realized and unrealized gains | 0.35 | 0.68 | 0.45 | |||||||||
| ||||||||||||
Total income from investment operations | 0.44 | 0.94 | 0.60 | |||||||||
| ||||||||||||
Less distributions paid: | ||||||||||||
From net investment income | (0.12 | ) | (0.28 | ) | (0.12 | ) | ||||||
From realized gains | — | (0.26 | ) | — | ||||||||
| ||||||||||||
Total distributions paid | (0.12 | ) | (0.54 | ) | (0.12 | ) | ||||||
| ||||||||||||
Net asset value, end of period | $11.20 | $10.88 | $10.48 | |||||||||
| ||||||||||||
Total return3 | 4.03% | 9.13% | 6.01% | |||||||||
Supplemental data and ratios: | ||||||||||||
Net assets, end of period (millions) | $608 | $519 | $415 | |||||||||
| ||||||||||||
Ratio to average net assets of:4, 5 | ||||||||||||
Total expenses before waivers/reimbursements | 0.75% | 0.81% | 0.88% | |||||||||
| ||||||||||||
Total expenses after waivers/reimbursements | 0.52% | 0.53% | 0.53% | |||||||||
| ||||||||||||
Net investment income, net of waivers/reimbursements | 1.57% | 2.43% | 2.89%6 | |||||||||
| ||||||||||||
Net investment income, before waivers/reimbursements | 1.34% | 2.15% | 2.54%6 | |||||||||
| ||||||||||||
Portfolio turnover rate7 | 226% | 612% | 318% | |||||||||
|
1 | Commencement of operations was November 2, 2018. |
2 | Calculated using the average shares outstanding method. |
3 | Assumes investment at net asset value at the beginning of the period, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the period. The total return is not annualized for periods less than one year. |
4 | Ratios are annualized for periods less than one year. |
5 | Ratios do not include impact of the expenses of the underlying funds in which the fund invests. |
6 | As the Fund commenced investment operations on November 2, 2018, annualized net investment income ratios may not be reflective of actual amounts the Fund might obtain in a full year of operation. |
7 | Portfolio turnover rate is not annualized for periods less than one year. |
See accompanying Notes to Financial Statements
235
Morningstar Funds Trust October 31, 2020 (unaudited)
Financial Highlights (continued)
Morningstar Municipal Bond Fund
Six Months Ended October 31 | Year Ended April 30 | Since Inception1 | ||||||||||
|
| |||||||||||
Selected per share data | 2020 (unaudited) | 2020 | 2019 | |||||||||
| ||||||||||||
Net asset value, beginning of period | $10.14 | $10.38 | $10.00 | |||||||||
| ||||||||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income2 | 0.11 | 0.23 | 0.12 | |||||||||
Net realized and unrealized gains (losses) | 0.43 | (0.21 | ) | 0.36 | ||||||||
| ||||||||||||
Total income from investment operations | 0.54 | 0.02 | 0.48 | |||||||||
| ||||||||||||
Less distributions paid: | ||||||||||||
From net investment income | (0.11 | ) | (0.23 | ) | (0.10 | ) | ||||||
From realized gains | — | (0.03 | ) | — | ||||||||
| ||||||||||||
Total distributions paid | (0.11 | ) | (0.26 | ) | (0.10 | ) | ||||||
| ||||||||||||
Net asset value, end of period | $10.57 | $10.14 | $10.38 | |||||||||
| ||||||||||||
Total return3 | 5.33% | 0.11% | 4.79% | |||||||||
Supplemental data and ratios: | ||||||||||||
Net assets, end of period (millions) | $353 | $340 | $105 | |||||||||
| ||||||||||||
Ratio to average net assets of:4, 5 | ||||||||||||
Total expenses before waivers/reimbursements | 0.66% | 0.77% | 1.05% | |||||||||
| ||||||||||||
Total expenses after waivers/reimbursements | 0.58% | 0.58% | 0.58% | |||||||||
| ||||||||||||
Net investment income, net of waivers/reimbursements | 2.07% | 2.17% | 2.48%6 | |||||||||
| ||||||||||||
Net investment income, before waivers/reimbursements | 1.99% | 1.98% | 2.01%6 | |||||||||
| ||||||||||||
Portfolio turnover rate7 | 36% | 127% | 115% | |||||||||
|
1 | Commencement of operations was November 2, 2018. |
2 | Calculated using the average shares outstanding method. |
3 | Assumes investment at net asset value at the beginning of the period, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the period. The total return is not annualized for periods less than one year. |
4 | Ratios are annualized for periods less than one year. |
5 | Ratios do not include impact of the expenses of the underlying funds in which the fund invests. |
6 | As the Fund commenced investment operations on November 2, 2018, annualized net investment income ratios may not be reflective of actual amounts the Fund might obtain in a full year of operation. |
7 | Portfolio turnover rate is not annualized for periods less than one year. |
See accompanying Notes to Financial Statements
236
Morningstar Funds Trust October 31, 2020 (unaudited)
Financial Highlights (continued)
Morningstar Defensive Bond Fund
Six Months Ended October 31 | Year Ended April 30 | Since Inception1 | ||||||||||
|
| |||||||||||
Selected per share data | 2020 (unaudited) | 2020 | 2019 | |||||||||
| ||||||||||||
Net asset value, beginning of period | $10.17 | $10.10 | $10.00 | |||||||||
| ||||||||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income2 | 0.09 | 0.20 | 0.11 | |||||||||
Net realized and unrealized gains | 0.14 | 0.13 | 0.08 | |||||||||
| ||||||||||||
Total income from investment operations | 0.23 | 0.33 | 0.19 | |||||||||
| ||||||||||||
Less distributions paid: | ||||||||||||
From net investment income | (0.09 | ) | (0.23 | ) | (0.09 | ) | ||||||
From realized gains | — | (0.03 | ) | — | ||||||||
| ||||||||||||
Total distributions paid | (0.09 | ) | (0.26 | ) | (0.09 | ) | ||||||
| ||||||||||||
Net asset value, end of period | $10.31 | $10.17 | $10.10 | |||||||||
| ||||||||||||
Total return3 | 2.27% | 3.36% | 1.87% | |||||||||
Supplemental data and ratios: | ||||||||||||
Net assets, end of period (millions) | $225 | $183 | $156 | |||||||||
| ||||||||||||
Ratio to average net assets of:4, 5 | ||||||||||||
Total expenses before waivers/reimbursements | 0.62% | 0.66% | 0.93% | |||||||||
| ||||||||||||
Total expenses after waivers/reimbursements | 0.48% | 0.48% | 0.48% | |||||||||
| ||||||||||||
Net investment income, net of waivers/reimbursements | 1.80% | 2.02% | 2.28%6 | |||||||||
| ||||||||||||
Net investment income, before waivers/reimbursements | 1.66% | 1.84% | 1.83%6 | |||||||||
| ||||||||||||
Portfolio turnover rate7 | 22% | 88% | 4% | |||||||||
|
1 | Commencement of operations was November 2, 2018. |
2 | Calculated using the average shares outstanding method. |
3 | Assumes investment at net asset value at the beginning of the period, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the period. The total return is not annualized for periods less than one year. |
4 | Ratios are annualized for periods less than one year. |
5 | Ratios do not include impact of the expenses of the underlying funds in which the fund invests. |
6 | As the Fund commenced investment operations on November 2, 2018, annualized net investment income ratios may not be reflective of actual amounts the Fund might obtain in a full year of operation. |
7 | Portfolio turnover rate is not annualized for periods less than one year. |
See accompanying Notes to Financial Statements
237
Morningstar Funds Trust October 31, 2020 (unaudited)
Financial Highlights (continued)
Morningstar Multisector Bond Fund
Six Months Ended October 31 | Year Ended April 30 | Since Inception1 | ||||||||||
|
| |||||||||||
Selected per share data | 2020 (unaudited) | 2020 | 2019 | |||||||||
| ||||||||||||
Net asset value, beginning of period | $9.39 | $10.28 | $10.00 | |||||||||
| ||||||||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income2 | 0.22 | 0.46 | 0.27 | |||||||||
Net realized and unrealized gains (losses) | 0.67 | (0.83 | ) | 0.21 | ||||||||
| ||||||||||||
Total income (loss) from investment operations | 0.89 | (0.37 | ) | 0.48 | ||||||||
| ||||||||||||
Less distributions paid: | ||||||||||||
From net investment income | (0.22 | ) | (0.43 | ) | (0.20 | ) | ||||||
From realized gains | — | (0.09 | ) | — | ||||||||
| ||||||||||||
Total distributions paid | (0.22 | ) | (0.52 | ) | (0.20 | ) | ||||||
| ||||||||||||
Net asset value, end of period | $10.06 | $9.39 | $10.28 | |||||||||
| ||||||||||||
Total return3 | 9.34% | (3.97%) | 4.86% | |||||||||
Supplemental data and ratios: | ||||||||||||
Net assets, end of period (millions) | $254 | $192 | $161 | |||||||||
| ||||||||||||
Ratio to average net assets of:4, 5 | ||||||||||||
Total expenses before waivers/reimbursements | 0.91% | 0.98% | 1.18% | |||||||||
| ||||||||||||
Total expenses after waivers/reimbursements | 0.79% | 0.79% | 0.80% | |||||||||
| ||||||||||||
Net investment income, net of waivers/reimbursements | 4.38% | 4.52% | 5.41%6 | |||||||||
| ||||||||||||
Net investment income, before waivers/reimbursements | 4.26% | 4.33% | 5.03%6 | |||||||||
| ||||||||||||
Portfolio turnover rate7 | 54% | 138% | 53% | |||||||||
|
1 | Commencement of operations was November 2, 2018. |
2 | Calculated using the average shares outstanding method. |
3 | Assumes investment at net asset value at the beginning of the period, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the period. The total return is not annualized for periods less than one year. |
4 | Ratios are annualized for periods less than one year. |
5 | Ratios do not include impact of the expenses of the underlying funds in which the fund invests. |
6 | As the Fund commenced investment operations on November 2, 2018, annualized net investment income ratios may not be reflective of actual amounts the Fund might obtain in a full year of operation. |
7 | Portfolio turnover rate is not annualized for periods less than one year. |
See accompanying Notes to Financial Statements
238
Morningstar Funds Trust October 31, 2020 (unaudited)
Financial Highlights (continued)
Morningstar Unconstrained Allocation Fund
Six Months Ended October 31 | Year Ended April 30 | Since Inception1 | ||||||||||
|
| |||||||||||
Selected per share data | 2020 (unaudited) | 2020 | 2019 | |||||||||
| ||||||||||||
Net asset value, beginning of period | $9.28 | $10.38 | $10.00 | |||||||||
| ||||||||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income2 | 0.05 | 0.23 | 0.12 | |||||||||
Net realized and unrealized gains (losses) | 0.60 | (0.91 | ) | 0.37 | ||||||||
| ||||||||||||
Total income (loss) from investment operations | 0.65 | (0.68 | ) | 0.49 | ||||||||
| ||||||||||||
Less distributions paid: | ||||||||||||
From net investment income | — | (0.21 | ) | (0.11 | ) | |||||||
From realized gains | — | (0.21 | ) | — | ||||||||
| ||||||||||||
Total distributions paid | — | (0.42 | ) | (0.11 | ) | |||||||
| ||||||||||||
Net asset value, end of period | $9.93 | $9.28 | $10.38 | |||||||||
| ||||||||||||
Total return3 | 7.00% | (7.07%) | 4.97% | |||||||||
Supplemental data and ratios: | ||||||||||||
Net assets, end of period (millions) | $160 | $138 | $56 | |||||||||
| ||||||||||||
Ratio to average net assets of:4, 5 | ||||||||||||
Total expenses before waivers/reimbursements | 0.75% | 0.94% | 1.48% | |||||||||
| ||||||||||||
Total expenses after waivers/reimbursements | 0.73% | 0.73% | 0.64% | |||||||||
| ||||||||||||
Net investment income, net of waivers/reimbursements | 1.00% | 2.29% | 2.38%6 | |||||||||
| ||||||||||||
Net investment income, before waivers/reimbursements | 0.98% | 2.08% | 1.54%6 | |||||||||
| ||||||||||||
Portfolio turnover rate7 | 25% | 66% | 76% | |||||||||
|
1 | Commencement of operations was November 2, 2018. |
2 | Calculated using the average shares outstanding method. |
3 | Assumes investment at net asset value at the beginning of the period, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the period. The total return is not annualized for periods less than one year. |
4 | Ratios are annualized for periods less than one year. |
5 | Ratios do not include impact of the expenses of the underlying funds in which the fund invests. |
6 | As the Fund commenced investment operations on November 2, 2018, annualized net investment income ratios may not be reflective of actual amounts the Fund might obtain in a full year of operation. |
7 | Portfolio turnover rate is not annualized for periods less than one year. |
See accompanying Notes to Financial Statements
239
Morningstar Funds Trust October 31, 2020 (unaudited)
Financial Highlights (continued)
Morningstar Alternatives Fund
Six Months Ended October 31 | Year Ended April 30 | Since Inception1 | ||||||||||
|
| |||||||||||
Selected per share data | 2020 (unaudited) | 2020 | 2019 | |||||||||
| ||||||||||||
Net asset value, beginning of period | $10.12 | $10.10 | $10.00 | |||||||||
| ||||||||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income2 | 0.05 | 0.25 | 0.05 | |||||||||
Net realized and unrealized gains (losses) | 0.40 | (0.05 | ) | 0.08 | ||||||||
| ||||||||||||
Total income from investment operations | 0.45 | 0.20 | 0.13 | |||||||||
| ||||||||||||
Less distributions paid: | ||||||||||||
From net investment income | — | (0.14 | ) | (0.03 | ) | |||||||
From realized gains | — | (0.04 | ) | — | ||||||||
| ||||||||||||
Total distributions paid | — | (0.18 | ) | (0.03 | ) | |||||||
| ||||||||||||
Net asset value, end of period | $10.57 | $10.12 | $10.10 | |||||||||
| ||||||||||||
Total return3 | 4.45% | 1.94% | 1.26% | |||||||||
Supplemental data and ratios: | ||||||||||||
Net assets, end of period (millions) | $225 | $186 | $112 | |||||||||
| ||||||||||||
Ratio to average net assets of:4, 5 | ||||||||||||
Total expenses before waivers/reimbursements | 1.37% | 1.48% | 1.91% | |||||||||
| ||||||||||||
Total expenses after waivers/reimbursements | 1.27% | 1.13% | 0.96% | |||||||||
| ||||||||||||
Total expenses after waivers/reimbursements and excluding dividend and interest expense | 1.09% | 0.87% | 0.77% | |||||||||
| ||||||||||||
Net investment income, net of waivers/reimbursements | 0.93% | 2.45% | 1.08%6 | |||||||||
| ||||||||||||
Net investment income, before waivers/reimbursements | 0.83% | 2.10% | 0.13%6 | |||||||||
| ||||||||||||
Portfolio turnover rate7 | 179% | 154% | 103% | |||||||||
|
1 | Commencement of operations was November 2, 2018. |
2 | Calculated using the average shares outstanding method. |
3 | Assumes investment at net asset value at the beginning of the period, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the period. The total return is not annualized for periods less than one year. |
4 | Ratios are annualized for periods less than one year. |
5 | Ratios do not include impact of the expenses of the underlying funds in which the fund invests. |
6 | As the Fund commenced investment operations on November 2, 2018, annualized net investment income ratios may not be reflective of actual amounts the Fund might obtain in a full year of operation. |
7 | Portfolio turnover rate is not annualized for periods less than one year. |
See accompanying Notes to Financial Statements
240
Morningstar Funds Trust October 31, 2020 (unaudited)
1. Organization
Morningstar Funds Trust (the “Trust”) was organized as a Delaware statutory trust on March 1, 2017. The Trust is registered with the Securities and Exchange Commission (the “SEC”) as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust has authorized capital of unlimited shares of beneficial interest at no par value, which may be issued in one or more series of the Trust.
The Trust is currently authorized to offer shares in nine separate series (each a “Fund” and collectively, the “Funds”):
Morningstar U.S. Equity Fund | Morningstar Defensive Bond Fund | |
Morningstar International Equity Fund | Morningstar Multisector Bond Fund | |
Morningstar Global Income Fund | Morningstar Unconstrained Allocation Fund | |
Morningstar Total Return Bond Fund | Morningstar Alternatives Fund | |
Morningstar Municipal Bond Fund
|
Each Fund represents a distinct portfolio with its own investment objectives and is treated as a separate legal entity. Each Fund, except for the Morningstar Multisector Bond Fund, is classified and operates as a diversified fund under the 1940 Act. The Morningstar Multisector Bond Fund is classified as nondiversified. Morningstar Investment Management LLC (“MIM”) serves as the investment adviser of each Fund.
The investment objective of each Fund is as follows:
Fund | Investment Objective | |
Morningstar U.S. Equity Fund | Long-term capital appreciation | |
Morningstar International Equity Fund | Long-term capital appreciation | |
Morningstar Global Income Fund | Current income and long-term capital appreciation | |
Morningstar Total Return Bond Fund | Total return maximization, income and capital preservation | |
Morningstar Municipal Bond Fund | Federal tax-exempt income and capital preservation | |
Morningstar Defensive Bond Fund | Capital preservation | |
Morningstar Multisector Bond Fund | Total return through a combination of current income and capital appreciation | |
Morningstar Unconstrained Allocation Fund | Long-term capital appreciation over a full market cycle | |
Morningstar Alternatives Fund | Long-term capital appreciation and low sensitivity to traditional U.S. asset classes
|
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”).
The Trust follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services-Investment Companies.
241
Morningstar Funds Trust October 31, 2020 (unaudited)
Notes to Financial Statements (continued)
Use of Estimates: The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and such differences could be material.
Valuation of Investments: All securities and other investments are valued at their estimated fair value, as described in Note 4.
Cash and Foreign Currencies: Cash comprises U.S. Dollar and foreign currency deposits held at a bank(s) or custodian bank(s) which may exceed insured limits.
Due to/from Brokers: Due to/from brokers represents cash balances and securities on deposit with, or cash balances owed to, the Funds’ prime brokers and counterparties. The Funds are subject to credit risk should the prime brokers and counterparties be unable to meet their obligations to the Funds.
Foreign Currency Translation: The books and records of the Funds are maintained in U.S. Dollars. The Funds’ assets and liabilities in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate at the valuation date. Transactions denominated in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of the transaction. The Funds’ income earned and expense incurred in foreign denominated currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of such activity.
The Funds do not isolate that portion of the results of operations arising from changes in the foreign exchange rates on investments and derivatives from the fluctuations that result from changes in the market prices of investments and derivatives held or sold during the period. Accordingly, such foreign currency gains (losses) are included in the reported net realized gain (loss) from transactions in investment securities and derivatives and net change in unrealized appreciation (depreciation) on investment securities and derivatives on the Statements of Operations.
Realized gains (losses) from settlement of foreign currency and foreign currency transactions reported on the Statements of Operations arise from the disposition of foreign currency and a change between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books on the transaction date and the U.S. Dollar equivalent of the amounts actually received or paid. Changes in unrealized appreciation (depreciation) on foreign currency and foreign currency translations reported on the Statements of Operations arise from changes (due to the changes in the exchange rate) in the value of foreign currency and assets and liabilities (other than investments) denominated in foreign currencies, which are held at period end.
Investment Transactions and Investment Income: Investment transactions are accounted as of trade date. Realized gains and losses on investment transactions are recorded on a specifically identified cost basis. Interest income is recorded on an accrual basis and includes the accretion of discounts and amortization of premiums using the effective yield method. In the case of the defaulted debt obligation, the accrual of interest
242
Morningstar Funds Trust October 31, 2020 (unaudited)
Notes to Financial Statements (continued)
income is halted when management becomes aware that the interest income is not collectible. Dividend income (expense) net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when a Fund first learns of the ex-date dividend notification.
Expenses: Each Fund is charged for those expenses that are directly attributable to that Fund. Expenses incurred which do not specifically relate to an individual Fund generally are allocated among all Funds in the Trust in proportion to each Fund’s relative net assets.
Federal Income Taxes: Each Fund’s policy is to comply with all sections of Subchapter M of the Internal Revenue Code of 1986, as amended (“Code”), necessary to qualify for federal income tax purposes as a regulated investment company and to distribute substantially all of its taxable income and capital gains to shareholders as required. No provision for federal income or excise taxes is thus required. Each Fund is treated as a separate entity for federal income tax purposes.
The Funds may be subject to taxes imposed by countries on securities sold or held in certain foreign jurisdictions. Such taxes are generally based on income and/or capital gains earned or repatriated. The Funds accrue such taxes when the related income is earned. Gains realized by the Funds on the sale of securities in certain countries are subject to non-U.S. taxes. The Funds record a liability based on unrealized gains to provide for potential non-U.S. taxes payable upon the sale of these securities. For the six months ended October 31, 2020, the International Equity Fund and the Multisector Bond Fund accrued non-U.S. taxes of $306,180 and $2,898, respectively, which is included in net of change in unrealized appreciation (depreciation) on investments in the Statements of Operations.
Management has analyzed each Fund’s tax positions for the period from 2019, including all positions expected to be taken upon filing the 2020 tax return, in all material jurisdictions where each Fund operates, and has concluded that no provision for income tax is required in the Funds’ financial statements. Each Fund will recognize interest and penalties, if any, related to unrecognized tax benefits as an income tax expense in the Statement of Operations.
Distributions to Shareholders: Distributions to shareholders are recorded on the ex-dividend date. Distributions of net investment income, if any, are declared and paid as follows:
Fund | Frequency | |
Morningstar U.S. Equity Fund | Annually | |
Morningstar International Equity Fund | Annually | |
Morningstar Global Income Fund | Monthly | |
Morningstar Total Return Bond Fund | Monthly | |
Morningstar Municipal Bond Fund | Monthly | |
Morningstar Defensive Bond Fund | Monthly | |
Morningstar Multisector Bond Fund | Monthly | |
Morningstar Unconstrained Allocation Fund | Annually | |
Morningstar Alternatives Fund | Annually |
243
Morningstar Funds Trust October 31, 2020 (unaudited)
Notes to Financial Statements (continued)
Distributions of net realized capital gains, if any, are declared and paid at least annually. Income and capital gain distributions will be determined in accordance with federal income tax regulations which may differ from U.S. GAAP. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. As a result, income dividends and capital gain distributions declared during a fiscal period may differ significantly from the net investment income (loss) and realized gain (loss) reported on the Funds’ financial statements presented under U.S. GAAP.
Indemnifications: Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, in the normal course of business the Trust enters into contracts that provide general indemnifications to other parties.
Recently Adopted Accounting Pronouncement: On March 30, 2017, the FASB issued Accounting Standard Update (ASU) 2017-08 “Premium Amortization on Purchased Callable Debt Securities” (the “ASU”), which amends the amortization period for certain purchased callable debt securities held at premium shortening such period to the earliest call date. The new guidance requires an entity to amortize the premium on callable debt security within its scope to the earliest call date. If the call option is not exercised at the earliest call date, the yield is reset to the effective yield using the payment terms of the security. If the security has more than one call date and the premium was amortized to a call price greater than the next call price, any excess of the amortized cost basis over the amount repayable at the next call date will be amortized to that date. If there are no other call dates, any excess of the amortized cost basis over the par amount will be amortized to maturity. Discounts on purchased callable debt securities will continue to be amortized to the security’s maturity date. The ASU is effective for public business entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. The Funds have adopted the ASU. The adoption of the ASU did not have a material impact on the financial statements.
3. Investment Types
The Funds may utilize the following types of investments described below to execute their investment strategy to the extent permitted by the Funds’ investment policies.
Borrowed Bond Agreements: Repurchase agreements may be referred to as borrowed bond agreements when entered into in connection with short sales of bonds. In a borrowed bond agreement, a Fund borrows a bond from a counterparty in exchange for cash collateral. The agreement contains a commitment that the security and the cash will be returned to the counterparty and a Fund at a mutually agreed upon date. Certain agreements have no stated maturity and can be terminated by either party at any time. Earnings on cash collateral and compensation to the lender of the bond are based on agreed upon rates between a Fund and the counterparty. The value of the underlying cash collateral approximates the market value and accrued interest of the borrowed bond. To the extent that a borrowed bond transaction exceeds one business day, the value of the cash collateral in the possession of the counterparty is monitored on a daily basis to ensure the adequacy of the collateral. As the market value of the borrowed bond changes, the cash collateral is periodically increased or decreased with a frequency and in amounts prescribed in the borrowed bond agreement. A Fund may also experience delays in gaining access to the collateral.
244
Morningstar Funds Trust October 31, 2020 (unaudited)
Notes to Financial Statements (continued)
Collateralized Bond Obligations (CBOs), Collateralized Loan Obligations (CLOs), and Other Collateralized Debt Obligations (CDOs): A CBO is a trust which is often backed by a pool of high risk, below investment grade fixed-income securities, such as high-yield bonds, privately issued mortgage-related securities, commercial mortgage-related securities, trust preferred securities, or emerging-market debt. A CLO is a trust typically backed by a pool of loans, which may include senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be below investment grade. Other CDOs are trusts backed by other types of assets. The assets backing a CBO, CLO, or CDO trust may be referred to as “the collateral.” CBOs, CLOs and other CDOs may charge management fees and administrative expenses. The cash flows from the trust are split into two or more portions, called tranches, varying in risk and yield. Senior tranches can often be rated investment grade. CBO, CLO or other CDO tranches can experience substantial losses due to defaults, deterioration of protecting tranches, market participants’ perception of credit risk, as well as aversion to these securities generally. The risks of an investment in a CBO, CLO or other CDO often depend on the collateral securities and the particular tranche in which a Fund invests. These securities are often privately offered and not registered under securities laws. In addition to the normal risks associated with fixed-income securities (e.g., interest-rate risk and credit risk), CBOs, CLOs and other CDOs carry additional risks including the possibility that distributions from collateral securities will not be adequate to make interest or other payments, the possibility that the quality of the collateral may decline in value or default, the risk that a Fund may invest in CBOs, CLOs or other CDOs that are subordinate to other tranches, as well as risks related to the complexity of the security and its structure.
Convertible Securities: Convertible securities are securities (such as debt securities or preferred stock) that may be converted into or exchanged for a specified amount of common stock of the same or different issuer within a particular period of time at a specified price or formula. Convertible securities also include corporate bonds, notes, and preferred stock. A convertible security entitles the holder to receive interest paid or accrued on debt or dividends paid on preferred stock until the convertible stock matures or is redeemed, converted or exchanged. While no investment is without some risk, investments in convertible securities generally entail less risk than an issuer’s common stock. However, any reduction in risk depends in large measure upon the degree to which the convertible security sells above its value as a fixed income security. In addition to the general risks associated with equity securities, the market value of convertible securities is also affected by prevailing interest rates, the credit quality of the issuer, and any call provisions. While convertible securities generally offer lower interest or dividend yields than nonconvertible debt securities of similar quality, they do enable the investor to benefit from increases in the market price of the underlying common stock. The premiums attributable to the conversion feature are not amortized, but they are capitalized into the cost basis.
Equity-Linked Investments: Equity-linked investments are subject to the same risks as direct investments in securities of the underlying investment. If the underlying investment decreases in value, the value of the equity-linked investment will decrease; however, the performance of such investments may not correlate exactly to the performance of the underlying investment that they seek to replicate. Equity-linked investments are also subject to counterparty risk, which is the risk that the issuer of such investment — which is different from the issuer of the underlying investment — may be unwilling or unable to fulfill its obligations. There is no guarantee that a liquid market will exist or that the counterparty or issuer of such investments will be willing to repurchase them when a Fund wishes to sell them.
245
Morningstar Funds Trust October 31, 2020 (unaudited)
Notes to Financial Statements (continued)
Forward Commitments and Dollar Rolls: A Fund may enter into contracts to purchase mortgage securities for a fixed price at a future date beyond customary settlement time (forward commitments) if the Fund sets aside on its books liquid assets in an amount sufficient to meet the purchase price, or if the Fund enters into offsetting contracts for the forward sale of other securities it owns. In the case of to-be-announced (TBA) mortgage purchase commitments, the unit price and the estimated principal amount are established when a Fund enters into a contract, with the actual principal amount being within a specified range of the estimate. TBA mortgages shall not exceed 20% of a Fund’s net assets. For these obligations, a Fund will segregate or earmark liquid assets in an amount sufficient to cover its obligations. Forward commitments may be considered securities in themselves and involve a risk of loss if the value of the security to be purchased declines before the settlement date, which is in addition to the risk of decline in the value of a Fund’s other assets. Where such purchases are made through dealers, a Fund relies on the dealer to consummate the sale. The dealer’s failure to do so may result in the loss to a Fund of an advantageous yield or price. Although a Fund will generally enter into forward commitments with the intention of acquiring securities for its portfolio, the Fund may dispose of a commitment before settlement if a subadviser deems it appropriate to do so. A Fund may realize short-term profits or losses upon the sale of forward commitments.
A Fund may enter into TBA sale commitments to hedge its portfolio positions or to sell securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. Unsettled TBA sale commitments are valued at current market value of the underlying securities. If the TBA sale commitment is closed through the acquisition of an offsetting purchase commitment, a Fund realizes a gain or loss on the commitment without regard to any unrealized gain or loss on the underlying security. If a Fund delivers securities under the commitment, the Fund realizes a gain or loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
A Fund may enter into mortgage dollar roll transactions (generally using TBAs) in which it sells a fixed-income security for delivery in the current month and simultaneously contracts to purchase similar securities (for example, same type, coupon and maturity) at an agreed upon future time. By engaging in a dollar roll transaction, a Fund foregoes principal and interest paid on the security that is sold but receives the difference between the current sales price and the forward price for the future purchase. A Fund would also be able to earn interest on the proceeds of the sale before they are reinvested. A Fund accounts for dollar rolls as purchases and sales. Dollar rolls may be used to create investment leverage and may increase a Fund’s risk and volatility.
The obligation to purchase securities on a specified future date involves the risk that the market value of the securities that a Fund is obligated to purchase may decline below the purchase price. In addition, in the event the other party to the transaction files for bankruptcy, becomes insolvent or defaults on its obligation, a Fund may be adversely affected.
Inflation-Protected Securities: A Fund may invest in U.S. Treasury Inflation Protected Securities (U.S. TIPS), which are fixed-income securities issued by the U.S. Department of Treasury, the principal amounts of which are adjusted daily based upon changes in the rate of inflation. A Fund may also invest in other inflation-protected securities issued by non-U.S. governments or by private issuers. U.S. TIPS pay interest on a semi-annual basis, equal to a fixed percentage of the inflation-adjusted principal amount. The interest rate on these bonds is fixed at issuance, but over the life of the bond this interest may be paid on an increasing or decreasing principal value that has been adjusted for inflation.
246
Morningstar Funds Trust October 31, 2020 (unaudited)
Notes to Financial Statements (continued)
In general, the value of inflation-protected bonds is expected to fluctuate in response to changes in real interest rates, which are in turn tied to the relationship between nominal interest rates and the rate of inflation. Therefore, if inflation were to rise at a faster rate than nominal interest rates, real interest rates might decline, leading to an increase in value of inflation-protected bonds. In contrast, if nominal interest rates increased at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-protected bonds. If inflation is lower than expected during the period a Fund holds the security, the Fund may earn less on the security than on a conventional bond. Any increase in principal value is taxable in the year the increase occurs, even though holders do not receive cash representing the increase at that time. As a result, if a Fund invests in inflation-protected securities, it could be required at times to liquidate other investments, including when it is not advantageous to do so, to satisfy its distribution requirements as a Registered Investment Company (RIC) and to eliminate any fund-level income tax liability under the Code.
Loan Participations, Assignments and Unfunded Commitments: Certain Funds invest in loan participations and assignments. When a Fund purchases a loan participation, the Fund enters into a contractual relationship with the lender or a third party selling such participations (“Selling Participant”), but not the borrower. In this case, the Fund assumes the credit risk of the borrower and the Selling Participant and any other persons inter-positioned between the Fund and the borrower (“Intermediate Participants”). In contrast, when one of the Funds purchases an assignment, the contractual relationship is with the borrower and the credit risk assumed by the Fund is only with the borrower. Although certain loan participations or assignments are secured by collateral, the Fund could experience delays or limitations in realizing such collateral or have its interest subordinated to other indebtedness of the obligor.
The Funds may also enter into unfunded commitments, which are contractual obligations for future funding. These unfunded commitments represent a future obligation in full, even though a percentage of the commitment may not be utilized by the borrower. These types of investments may include standby financing commitments, such as revolving credit facilities, which obligate a Fund to supply additional cash to the borrower on demand. The value of the unfunded portion of the investment is determined using a pro-rata allocation, based on its par value relative to the par value of the entire investment. The unfunded commitments are marked to market daily and any unrealized appreciation (depreciation) from unfunded commitments is reported in the Statements of Assets and Liabilities as well as the Statements of Operations. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt of payments by the lender from the borrower. The Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan. In certain circumstances, the Fund may receive a penalty fee upon the prepayment of a loan by a borrower. Fees earned or paid are recorded as a component of interest income or interest expense, respectively, on the Statements of Operations. In addition, loan participations and assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for loan participations and assignments and certain loan participations and assignments which were liquid, when purchased, may become illiquid.
Mortgage Dollar Rolls: A Fund may enter into mortgage dollar rolls with a bank or a broker-dealer. A mortgage dollar roll is a transaction in which a Fund sells mortgage-related securities for immediate settlement and simultaneously purchases the same type of securities for forward settlement at a discount. While a Fund begins accruing interest on the newly purchased securities from the purchase or trade date, it is able to invest
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the proceeds from the sale of its previously owned securities, which will be used to pay for the new securities. The use of mortgage dollar rolls is a speculative technique involving leverage and can have an economic effect similar to borrowing money for investment purposes.
Private Placement and Restricted Securities: A Fund may invest in securities that are purchased in private placements and, accordingly, are subject to restrictions on resale as a matter of contract or under federal securities laws. Because there may be relatively few potential purchasers for such investments, especially under adverse market or economic conditions or in the event of adverse changes in the financial condition of the issuer, a Fund could find it more difficult to sell such securities when a subadviser believes it advisable to do so or may be able to sell such securities only at prices lower than if such securities were more widely held. At times, it may also be more difficult to determine the fair value of such securities for purposes of computing a Fund’s net asset value (“NAV”).
While such private placements may offer attractive opportunities for investment not otherwise available on the open market, the securities so purchased are often restricted securities, i.e., securities which cannot be sold to the public without registration under the Securities Act of 1993, as amended (the “Securities Act”) or the availability of an exemption from registration (such as Rules 144 or 144A), or which are not readily marketable because they are subject to other legal or contractual delays in or restrictions on resale.
The absence of a trading market can make it difficult to ascertain a market value for illiquid investments. Disposing of illiquid investments may involve time-consuming negotiation and legal expenses, and it may be difficult or impossible for a Fund to sell them promptly at an acceptable price. A Fund may have to bear the extra expense of registering such securities for resale and the risk of substantial delay in effecting such registration. In addition, market quotations are less readily available. The judgment of a subadviser may at times play a greater role in valuing these securities than in the case of publicly traded securities.
Generally speaking, restricted securities may be sold only to qualified institutional buyers, or in a privately negotiated transaction to a limited number of purchasers, or in limited quantities after they have been held for a specified period of time and other conditions are met pursuant to an exemption from registration, or in a public offering for which a registration statement is in effect under the Securities Act. A Fund may be deemed to be an underwriter for purposes of the Securities Act when selling restricted securities to the public, and in such event the Fund may be liable to purchasers of such securities if the registration statement prepared by the issuer, or the Prospectuses forming a part of it, is materially inaccurate or misleading.
Restricted securities held by each Fund at October 31, 2020 are disclosed in the Schedules of Investments.
Securities Sold Short: Certain Funds may sell securities they do not own (a short sale) as a hedge against some of their long positions and/or in anticipation of a decline in the market value of that security. When a Fund makes a short sale, it must borrow the security sold short and deliver it to the broker through which it made the short sale. A Fund may have to pay a fee to borrow the particular security and may be obligated to remit any interest or dividends received on such borrowed securities. Dividends declared on short positions are recorded on the ex-date as an expense. A gain, limited to the price at which the Fund sold the security short, or a loss, which could be unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received. The Fund is also
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subject to the risk that it may be unable to reacquire a security to terminate a short position except at a price substantially in excess of the last quoted price. A Fund is also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms. Liabilities for securities sold short are reported at market value on the Statements of Assets and Liabilities and the change in market value is recorded as net change in unrealized appreciation (depreciation) on the Statements of Operations.
The Funds are required to pledge cash or liquid securities to the broker as collateral for securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Daily market fluctuations and trading activity could cause the value of securities sold short to be more or less than the value of the collateral segregated. Cash deposited with the broker for collateral for securities sold short is recorded as an asset on the Statements of Assets and Liabilities and securities segregated as collateral are denoted in the Schedules of Investments. The Funds may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities; and (iii) a financing charge for the difference in the market value of the short position and cash collateral deposited with the broker. This income or fee is calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on the availability of the security.
When-Issued and Delayed Delivery Securities: Certain Funds may purchase or sell securities on a when-issued or delayed delivery basis. When-issued and delayed delivery securities in which the Funds may invest include U.S. Treasury securities, municipal bonds, bank loans, and other similar instruments. The price of the underlying securities and date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Losses may arise due to changes in the market value of the securities or from the inability of counterparties to meet the terms of the contract. In connection with such purchases, the Funds may hold liquid assets as collateral with the Funds’ custodian sufficient to cover the purchase price.
Zero Coupon and Payment In-Kind Bonds: A Fund may invest without limit in so-called zero-coupon bonds and payment-in-kind bonds. Zero-coupon bonds are issued at a significant discount from their principal amount in lieu of paying interest periodically. Payment-in-kind bonds allow the issuer, at its option, to make current interest payments on the bonds either in cash or in additional bonds. Because zero-coupon and payment-in-kind bonds do not pay current interest in cash, their value is subject to greater fluctuation in response to changes in market interest rates than bonds that pay interest currently. Both zero coupon and payment-in-kind bonds allow an issuer to avoid the need to generate cash to meet current interest payments. Accordingly, such bonds may involve greater credit risks than bonds paying interest currently in cash. A Fund is required to accrue interest income on such investments and to distribute such amounts at least annually to shareholders even though the investments do not make any current interest payments. The daily market quotations of the original bonds may include the accrued interest (referred to as a dirty price) and require a pro rata adjustment, if any, from the unrealized appreciation (depreciation) on investments to interest receivable on the Statements of Assets and Liabilities.
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4. Investment Valuation and Fair Value Measurements
Investment Valuation Policies: The NAV of the Funds’ shares are valued as of the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day that the NYSE is open (each a “Business Day”). The NAV per share of each Fund is computed by dividing the total current value of the assets of such Fund, less liabilities, by the total number of shares of the Fund outstanding at the time the computation is made.
Generally, investments for which market quotations are readily available will be valued at a current market price or, in the absence of a market price, at fair value as determined in good faith by MIM’s Pricing Committee pursuant to procedures approved by or under the direction of the Board of Trustees (“the Board”) of Morningstar Funds Trust. Pursuant to those procedures, the Pricing Committee considers, among other things: (1) the last sales price on the securities exchange, if any, on which a security is primarily traded; (2) the mean between the bid and asked prices; (3) price quotations from an approved pricing service, and (4) other factors as necessary to determine a fair value under certain circumstances.
Securities primarily traded in the NASDAQ Global Market® for which market quotations are readily available shall be valued using the NASDAQ® Official Closing Price (“NOCP”). If the NOCP is not available, such securities shall be valued at the last sale price on the day of valuation, or if there has been no sale on such day, at the mean between the bid and asked prices. Over the Counter (“OTC”) securities which are not traded in the NASDAQ Global Market® shall be valued at the most recent trade price. Securities and assets for which market quotations are not readily available (including restricted securities which are subject to limitations as to their sale) are valued at fair value as determined in good faith under procedures approved by or under the direction of the Board.
Short-term debt obligations with remaining maturities in excess of 60 days are valued at current market prices, as discussed above. To reflect their fair value, short-term securities with 60 days or less remaining to maturity may, unless conditions indicate otherwise, utilize amortized cost to maturity based on their cost to a Fund.
The securities in a Fund, which are traded on a securities exchange are valued at the last sale price on the exchange on which such securities are traded, as of the close of business on the day the securities are being valued or, lacking any reported sales, at the mean between the last available bid and asked price. Securities that are traded on more than one exchange are valued on the exchange on which the security is principally traded.
Each Fund may invest in foreign securities, and as a result, the calculation of the Fund’s NAV may not take place contemporaneously with the determination of the prices of certain of the Fund securities used in the calculation. Occasionally, events which affect the values of such securities and such exchange rates may occur between the times at which they are determined and the close of the NYSE and will therefore not be reflected in the computation of a Fund’s NAV. If events materially affecting the value of such securities occur during such period, then these securities may be valued at their fair value as determined in good faith under procedures established by and under the supervision of the Board as described above. Portfolio securities that are traded both on an exchange and in the OTC market will be valued according to the broadest and most representative market. All assets and liabilities initially expressed in foreign currency values will be converted into U.S. Dollar
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values at the mean between the bid and offered quotations of the currencies against U.S. Dollars as last quoted by any recognized dealer. When portfolio securities are traded, the valuation will be the last reported sale price on the day of valuation.
To address this issue, the Board has approved the daily use of independently provided quantitative models that may adjust the closing prices of certain foreign equity and fixed income securities based on information that becomes available after the foreign market closes, through the application of an adjustment factor to such securities’ closing price. Adjustment factors may be greater than, less than, or equal to 1. Thus, use of these quantitative models could cause a Fund to value a security higher, lower or equal to its closing market price, which in turn could cause the Fund’s NAV per share to differ from that which would have been calculated using closing market prices. The use of these quantitative models is also intended to decrease the opportunities for persons to engage in ‘‘time zone arbitrage,’’ i.e., trading intended to take advantage of stale closing prices in foreign markets that could affect the NAV of the Funds. Securities subjected to an adjustment factor due to the use of these quantitative models are not specifically designated as such on the Funds’ Schedule of Investments.
All other assets of a Fund are valued in such manner as the Board in good faith deems appropriate to reflect their fair value. U.S. GAAP defines fair value as the price the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date.
Valuation Techniques: The following inputs and techniques may be used by the Funds to evaluate how to classify each major category of assets and liabilities into the appropriate fair value hierarchy in accordance with U.S. GAAP.
Equity securities, including securities sold short, rights, exchange options, warrants, exchange traded funds (“ETFs”) and closed-end investment companies, are valued at the last quoted sales prices or official closing prices taken from the primary market, or composite in which each security trades and are therefore classified Level 1.
An equity for which no sales are reported, as in the case of a security that is traded in the OTC market or a less liquid listed equity, is valued at its last bid price (in the case of short sales, at the asked price) and is therefore classified Level 2.
Fixed income securities (other than certain short-term investments maturing in 60 days or less) and other investments that trade in markets that are not considered to be active, are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs and are also classified within Level 2. These include certain U.S. government and sovereign obligations, most government agency securities, investment-grade corporate bonds and less liquid listed equities. Corporate and sovereign bonds and other fixed-income instruments are valued at estimated fair value using the latest bid prices or evaluated quotes furnished by independent pricing services, as well as quotations from counterparties and other market participants. Evaluated quotes are based on a matrix system, which may consider such factors as quoted prices for identical or similar assets, yields, maturities and ratings and are not necessarily reliant on quoted prices. Short-term debt investments of sufficient credit quality maturing in 60 days or less are generally valued at amortized cost, which approximates fair value. These investments are categorized as Level 2 within the fair value hierarchy.
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Investments classified within Level 3, if any, have significant unobservable inputs, as they trade infrequently or not at all. Level 3 instruments may include illiquid securities. When observable prices are not available for these securities, the Funds may use one or more valuation approaches (e.g., the market approach or the income approach), including proprietary models for which sufficient and reliable data is available. Within Level 3, the market approach generally is based on the technique of using comparable market transactions/multiples, while the use of the income approach includes the estimation of future cash flows discounted to calculate fair value. Discounts may also be applied due to the nature or durations of any restrictions on the disposition of the investment or adjusted as appropriate for credit, market and/or other risk factors.
The inputs used by the Funds in estimating the value of Level 3 investments may include the original transaction price, recent transactions in the same or similar instruments, completed or pending third-party transactions in the underlying investment or comparable issuers, subsequent rounds of financing, recapitalizations and other transactions across the capital structure, offerings in the equity or debt capital markets, changes in financial ratios or cash flows, benchmark yield curves, credit spreads, estimated default rates, underlying collateral, and other unique security features. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by MIM in the absence of market information. Assumptions used by the Funds due to the lack of observable inputs may significantly impact the fair value of the investment.
Exchange-traded derivatives, such as futures contracts, forward contracts, and exchange-traded option contracts, are typically classified within Level 1 or Level 2 of the fair value hierarchy depending on whether or not they are deemed to be actively traded. Futures and option contracts that are listed on national exchanges and are freely transferable are valued at fair value based on their last sales price on the date of determination on the exchange their constitutes the principal market or, if no sales occurred on such date, at the bid price on such exchange at the close of business on such date. Centrally cleared swaps listed or traded on a multilateral trade facility platform, such as a registered exchange, are valued on a daily basis using quotations provided by an independent pricing service.
OTC derivatives, including options on forward contracts, put and call options, and swap contracts, are valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable.
The U.S. Dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.
Shares of open-end investment companies, other than exchange-traded funds, are valued at their NAV.
Fair Valuation Hierarchy: Fair value is defined as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a framework and requires disclosure of a fair value hierarchy, separately for each major category of assets and liabilities that segregates fair value measurements into levels (Levels 1, 2, and 3). Categorizations of fair value measurements, and the criteria used to determine each categorization, are as follows:
● | Level 1 – quoted prices in active markets for identical assets and liabilities (e.g. equity securities and open-end investment companies) |
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● | Level 2 – prices determined using other significant observable inputs including, but not limited to, quoted prices for similar assets and liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, prepayment speeds, credit risk, etc.) or other market corroborated inputs |
● | Level 3 – prices determined using significant unobservable inputs (including the Pricing Committee’s own assumptions in determining the fair value of investments) |
Valuation levels are not necessarily an indication of the risk associated with investing in those securities. Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. Transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the end of the reporting period.
A valuation hierarchy including information regarding Level 3 securities, where applicable, is shown at the end of each Fund’s Schedule of Investments.
5. Investment Advisory and Other Agreements
The Trust has an Investment Advisory Agreement (the “Agreement”) with the Adviser, with whom certain officers and trustees of the Trust are affiliated, to furnish certain portfolio management services to the Funds.
Pursuant to the Agreement, the Funds have contractually agreed to pay the Adviser a management fee calculated on the average daily net assets for each Fund, in the annual ratios below.
Fund | Ratio | |
Morningstar U.S. Equity Fund | 0.67% | |
Morningstar International Equity Fund | 0.83% | |
Morningstar Global Income Fund | 0.35% | |
Morningstar Total Return Bond Fund | 0.44% | |
Morningstar Municipal Bond Fund | 0.44% | |
Morningstar Defensive Bond Fund | 0.36% | |
Morningstar Multisector Bond Fund | 0.61% | |
Morningstar Unconstrained Allocation Fund | 0.47% | |
Morningstar Alternatives Fund | 0.85% |
Pursuant to the Agreement, the Adviser is responsible for performing and overseeing portfolio management services to the Funds. In addition to selecting the overall investment strategies of the Funds, the Adviser oversees and monitors the selection and performance of the subadvisers and allocates assets among the subadvisers. The subadvisers manage each Fund’s investment portfolio pursuant to sub-advisory agreements with the Adviser. The Adviser manages the cash portion of each Fund which may include ETFs, mutual funds and money market fund investments.
The Trust and the Adviser have entered into a contractual expense limitation agreement (Base Expense Limitation Agreement) whereby the Adviser agreed to waive all or a portion of its fees or assume certain other expenses of each Fund at least through August 31, 2021, to the extent necessary to ensure that the total annual fund operating expenses (excluding taxes, interest, brokerage commissions, trading costs, acquired fund fees and expenses, litigation, dividend and interest expense related to short sales and extraordinary expenses) do
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not exceed the following rates, based on each Fund’s average daily net assets. The amount the Adviser owes a Fund as of the reporting date is recorded as a Receivable from Adviser in the Statements of Assets and Liabilities. The Adviser reimburses the Funds on a monthly basis. This management fee waiver and/or expense reimbursement will not be subject to future recoupment. For the six months ended October 31, 2020, the Funds’ Adviser contractually waived fees and/or reimbursed expenses for each of the Funds as follows:
Fund | Base Expense Cap | Management Fees Waived | ||||||
Morningstar U.S. Equity Fund | 0.85% | $127,297 | ||||||
Morningstar International Equity Fund | 1.00% | 312,918 | ||||||
Morningstar Global Income Fund | 0.89% | — | ||||||
Morningstar Total Return Bond Fund | 0.53% | 643,533 | ||||||
Morningstar Municipal Bond Fund | 0.59% | 119,722 | ||||||
Morningstar Defensive Bond Fund | 0.48% | 141,464 | ||||||
Morningstar Multisector Bond Fund | 0.80% | 133,542 | ||||||
Morningstar Unconstrained Allocation Fund | 1.00% | — | ||||||
Morningstar Alternatives Fund | 1.29% | — |
The Trust and the Adviser have entered into a supplemental expense limitation agreement (Supplemental Expense Limitation Agreement) whereby the Adviser has agreed to waive all or a portion of its fees or assume certain other expenses of each Fund at least through August 31, 2021, to the extent necessary to ensure that the total annual fund operating expenses (excluding the above listed expenses other than acquired fund fees and expenses) do not exceed the following rates, based on each Fund’s average daily net assets. The amount the Adviser owes a Fund as of the reporting date is recorded as a Receivable from Adviser in the Statement of Assets and Liabilities. The Adviser reimburses the Funds on a monthly basis. This management fee waiver and/or expense reimbursement will not be subject to future recoupment. For the six months ended October 31, 2020, the Funds’ Adviser waived fees and/or reimbursed expenses for each of the Funds as follows:
Fund | Supplemental Expense Cap | Management Fees Waived | ||||||
Morningstar U.S. Equity Fund | 0.85% | $271,897 | ||||||
Morningstar International Equity Fund | 1.00% | 438,449 | ||||||
Morningstar Global Income Fund | 0.75% | 6,788 | ||||||
Morningstar Total Return Bond Fund | 0.54% | 24,916 | ||||||
Morningstar Municipal Bond Fund | 0.59% | 15,925 | ||||||
Morningstar Defensive Bond Fund | 0.55% | — | ||||||
Morningstar Multisector Bond Fund | 0.80% | 17,645 | ||||||
Morningstar Unconstrained Allocation Fund | 0.93% | 17,371 | ||||||
Morningstar Alternatives Fund | 1.20% | 104,734 |
As of October 31, 2020, the Trust has entered into sub-advisory agreements with the following entities by Fund:
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Fund | Subadvisers | |
Morningstar U.S. Equity Fund | ClearBridge Investments, LLC | |
Diamond Hill Capital Management, Inc. | ||
Levin Easterly Partners LLC | ||
Massachusetts Financial Services Company, d/b/a | ||
MFS Investment Management | ||
Wasatch Advisors, Inc. | ||
Westwood Management Corp. | ||
Morningstar International Equity Fund | Harding Loevner LP | |
Harris Associates L.P. | ||
Lazard Asset Management LLC | ||
T. Rowe Price Associates, Inc. | ||
Morningstar Global Income Fund | Schafer Cullen Capital Management, Inc. | |
Morningstar Total Return Bond Fund | BlackRock Financial Management, Inc. | |
Western Asset Management Company | ||
Morningstar Municipal Bond Fund | T. Rowe Price Associates, Inc. | |
Wells Capital Management, Inc. | ||
Morningstar Defensive Bond Fund | First Pacific Advisors, LLC | |
Morningstar Multisector Bond Fund | Franklin Advisers, Inc. | |
Loomis, Sayles & Company, L.P. | ||
TCW Investment Management Company LLC | ||
Morningstar Unconstrained Allocation Fund | Brandywine Global Investment Management, LLC | |
Lazard Asset Management LLC | ||
Morningstar Alternatives Fund | BlackRock Financial Management, Inc. | |
SSI Investment Management, LLC | ||
Water Island Capital, LLC
|
Pursuant to the sub-advisory agreements between the subadvisers, the Adviser and the Trust, the Adviser will pay the subadvisers out of the management fees from the Funds.
The Trust has an administration agreement with The Northern Trust Company (“Northern Trust”), which provides certain accounting, clerical and bookkeeping services, Blue Sky, corporate secretarial services and assistance in the preparation and filing of tax returns and reports to shareholders and the SEC. Northern Trust also serves as custodian of each Fund’s securities and cash, transfer agent and dividend disbursing agent. Northern Trust voluntarily agreed to waive a portion of their administration and custody fees for the Funds for a period of twelve months from the commencement of operations of each Fund (through October 31, 2019). The amounts waived are captioned as “Less waiver of administration and custody fees” on the Statements of Operations.
Foreside Fund Services, LLC (the “Distributor”), a registered broker-dealer and member of the Financial Industry Regulatory Authority, Inc. (“FINRA”), serves as the principal underwriter and distributor of the Trust’s shares. Foreside Management Services, LLC (“FMS”) provides a Principal Financial Officer to the Trust. FMS has no role in determining the investment policies or which securities are to be sold or purchased by the Trust or its funds.
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The Trust, on behalf of the Funds, has agreements with various financial intermediaries and “mutual fund supermarkets”, under which customers of these intermediaries may purchase and hold Fund shares. These intermediaries assess fees in consideration for providing certain account maintenance, record keeping and transactional and other shareholder services (collectively, “Sub-accounting fees”).
6. Investment Transactions
During the six months ended October 31, 2020, the cost of purchases and the proceeds from sales of investments (excluding in-kind, swap contracts, forward foreign currency exchange contracts, futures contracts and short-term investments) were as follows:
Purchases | Sales | |||||||||||||||||||||||
Fund | U.S. Government | Other | U.S. Government | Other | Securities Sold Short | Covers on Sold Short | ||||||||||||||||||
Morningstar U.S. Equity Fund | $ — | $ | 379,767,634 | $ — | $ | 427,932,543 | $ | — | $ | — | ||||||||||||||
Morningstar International Equity Fund | — | 144,751,229 | — | 165,757,097 | — | — | ||||||||||||||||||
Morningstar Global Income Fund | — | 86,871,830 | — | 90,362,576 | — | — | ||||||||||||||||||
Morningstar Total Return Bond Fund | 85,861,551 | 1,109,903,575 | 19,793,144 | 1,091,333,436 | 271,561,050 | 240,329,563 | ||||||||||||||||||
Morningstar Municipal Bond Fund | — | 124,674,992 | — | 127,818,659 | — | — | ||||||||||||||||||
Morningstar Defensive Bond Fund | — | 81,126,096 | — | 40,107,789 | — | — | ||||||||||||||||||
Morningstar Multisector Bond Fund | 11,512,179 | 150,145,886 | 21,725,985 | 93,200,492 | — | — | ||||||||||||||||||
Morningstar Unconstrained Allocation Fund | 672,443 | 51,746,951 | 574,939 | 36,441,046 | — | — | ||||||||||||||||||
Morningstar Alternatives Fund | — | 386,683,778 | — | 348,870,929 | 49,005,251 | 45,929,888 |
7. Financial Derivative Instruments
Certain Funds may invest in derivatives as part of their principal investment strategies in an attempt to achieve their investment objective. The Funds’ derivative contracts are not accounted for as hedging instruments under U.S. GAAP. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements or similar agreements on the Statements of Assets and Liabilities.
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Forward Foreign Currency Exchange Contracts: A forward foreign currency exchange contract is an obligation to purchase or sell a specific non-U.S. currency in exchange for another currency, which may be U.S. Dollars, at an agreed exchange rate (price) at a future date. Currency forwards are typically individually negotiated and privately traded by currency traders and their customers in the interbank market. A forward foreign currency exchange contract will tend to reduce or eliminate exposure to the currency that is sold, and increase exposure to the currency that is purchased, similar to when a Fund sells a security denominated in one currency and purchases a security denominated in another currency.
At the maturity of a forward foreign currency exchange contract, a Fund may either exchange the currencies specified at the maturity of a forward foreign currency exchange contract or, prior to maturity, the Fund may enter into a closing transaction involving the purchase or sale of an offsetting contract. Closing transactions with respect to forward foreign currency exchange contract are usually effected with the counterparty to the original forward contract. A Fund may also enter into forward foreign currency exchange contracts that do not provide for physical settlement of the two currencies but instead provide for settlement by a single cash payment calculated as the difference between the agreed upon exchange rate and the spot rate at settlement based upon an agreed upon notional amount (non-deliverable forwards).
The successful use of these transactions will usually depend on MIM’s or a subadviser’s ability to accurately forecast currency exchange rate movements. Should exchange rates move in an unexpected manner, a Fund may not achieve the anticipated benefits of the transaction, or it may realize losses. In addition, these techniques could result in a loss if the counterparty to the transaction does not perform as promised, including because of the counterparty’s bankruptcy or insolvency. In unusual or extreme market conditions, a counterparty’s creditworthiness and ability to perform may deteriorate rapidly, and the availability of suitable replacement counterparties may become limited.
Forward foreign currency exchange contracts may limit potential gain from a positive change in the relationship between the U.S. Dollar and foreign currencies. Unanticipated changes in currency prices may result in poorer overall performance for a Fund than if it had not engaged in such contracts. Moreover, there may be an imperfect correlation between a Fund’s portfolio holdings of securities denominated in a particular currency and the currencies bought or sold in the forward foreign currency exchange contract entered into by the Fund. This imperfect correlation may cause a Fund to sustain losses that will prevent the Fund from achieving a complete hedge or expose the Fund to risk of foreign exchange loss.
Forward foreign currency exchange contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments. Any resulting unrealized gains or losses are recorded in Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts in the Statements of Operations. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Realized gains or losses, if any, are included in Net realized gains (losses) on forward foreign currency exchange contracts in the Statements of Operations.
Futures Contracts: A Fund may enter into futures contracts. Generally, a futures contract is a standard binding agreement to buy or sell a specified quantity of an underlying reference instrument, such as a specific security, rate, currency or commodity, at a specified price at a specified later date. Each Fund may purchase or sell interest rate futures for the purpose of hedging some or all of the value of its portfolio securities against
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changes in prevailing interest rates or to manage its duration or effective maturity. If MIM or a subadviser anticipates that interest rates may rise and, concomitantly, the price of certain of its portfolio securities may fall, a Fund may sell futures contracts. If declining interest rates are anticipated, a Fund may purchase futures contracts to protect against a potential increase in the price of securities the Fund intends to purchase. Subsequently, appropriate securities may be purchased by a Fund in an orderly fashion; as securities are purchased, corresponding futures positions would be terminated by offsetting sales of contracts.
When a Fund enters into a futures contract, it must deliver to an account controlled by a futures commission merchant (“FCM”) an amount referred to as “initial margin” that is typically calculated as an amount equal to the volatility in market value of a contract over a fixed period. Initial margin requirements are determined by the respective exchanges on which the futures contracts are traded and the FCM. Thereafter, a “variation margin” amount may be required to be paid by a Fund or received by the Fund in accordance with margin controls set for such accounts, depending upon changes in the marked-to-market value of the futures contract. The account is marked-to-market daily and the variation margin is monitored by a Fund’s investment manager and custodian on a daily basis. When the futures contract is closed out, if a Fund has a loss equal to or greater than the margin amount, the margin amount is paid to the FCM along with any loss in excess of the margin amount. If a Fund has a loss of less than the margin amount, the excess margin is returned to the Fund. If a Fund has a gain, the full margin amount and the amount of the gain is paid to the Fund.
A Fund’s use of futures contracts is subject to the risks associated with derivative instruments generally. In addition, if MIM’s or a subadviser’s judgment about the general direction of interest rates or markets is wrong, a Fund’s overall performance may be poorer than if no financial futures contracts had been entered into. For example, in some cases, securities called for by a financial futures contract may not have been issued at the time the contract was written. In addition, the market prices of financial futures contracts may be affected by certain factors.
There is a risk of loss by a Fund of the initial and variation margin deposits in the event of bankruptcy of the FCM with which the Fund has an open position in a futures contract. The assets of a Fund may not be fully protected in the event of the bankruptcy of the FCM or central counterparty because the Fund might be limited to recovering only a pro rata share of all available funds and margin segregated on behalf of an FCM’s customers. If an FCM does not provide accurate reporting, a Fund is also subject to the risk that the FCM could use the Fund’s assets, which are held in an omnibus account with assets belonging to the FCM’s other customers, to satisfy its own financial obligations or the payment obligations of another customer to the central counterparty.
The risk of loss in trading financial futures can be substantial due to the low margin deposits required and the extremely high degree of leverage involved in futures pricing. Relatively small price movements in a financial futures contract could have an immediate and substantial impact, which may be favorable or unfavorable to a Fund. It is possible for a price-related loss to exceed the amount of a Fund’s margin deposit.
Each Fund will incur brokerage fees in connection with its futures transactions. In addition, while futures contracts will be purchased and sold to reduce certain risks, those transactions themselves entail certain other risks. Thus, while a Fund may benefit from the use of futures, unanticipated changes in interest rates or stock price movements may result in a poorer overall performance for the Fund than if it had not entered into any
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Notes to Financial Statements (continued)
futures contracts. Moreover, in the event of an imperfect correlation between the futures position and the portfolio position that is intended to be protected, the desired protection may not be obtained and the Fund may be exposed to risk of loss.
Although some financial futures contracts by their terms call for the actual delivery or acquisition of securities at expiration, in most cases the contractual commitment is closed out before expiration. The offsetting of a contractual obligation is accomplished by purchasing (or selling as the case may be) on a commodities or futures exchange an identical financial futures contract calling for delivery in the same month. Such a transaction, if effected through a member of an exchange, cancels the obligation to make or take delivery of the securities. A Fund will incur brokerage fees when it purchases or sells financial futures contracts, and will be required to maintain margin deposits. If a liquid secondary market does not exist when a Fund wishes to close out a financial futures contract, it will not be able to do so and will continue to be required to make daily cash payments of variation margin in the event of adverse price movements. There is no assurance that a Fund will be able to enter into closing transactions.
Futures contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments. The Statements of Operations include any realized gains or losses on closed futures contracts in Net realized gains (losses) on futures contracts, and any unrealized gains or losses on open futures contracts in Net change in unrealized appreciation (depreciation) on futures contracts. At October 31, 2020, the Morningstar Total Return Bond Fund, the Morningstar Unconstrained Allocation Fund and the Morningstar Alternatives Fund pledged cash to cover margin requirements for open futures positions in an amount of $1,866,205, $128,029 and $375,962, respectively, which is included in Due from Broker on the Statements of Assets and Liabilities.
Interest rate caps and floors: Interest rate caps and floors are entered into to gain or reduce exposure to interest rates (interest rate risk and/or other risk). Caps are agreements whereby one party agrees to make payments to the other, in return for a premium, to the extent that interest rate indexes exceed a specified rate, or “cap.” Floors are agreements whereby one party agrees to make payments to the other, in return for a premium, to the extent that interest rate indexes fall below a specified rate, or “floor.” The maximum potential amount of future payments that a Fund would be required to make under an interest rate cap would be the notional amount times the percentage increase in interest rates determined by difference between the interest rate index current value at the time the cap was entered into.
Options: A Fund may purchase and sell call and put options. An option is a contract that gives the purchaser of the option, in return for the premium paid, the right to buy an underlying reference instrument, such as a specified security, currency, index, or other instrument, from the writer of the option (in the case of a call option), or to sell a specified reference instrument to the writer of the option (in the case of a put option) at a designated price during the term of the option. The premium paid by the buyer of an option will reflect, among other things, the relationship of the exercise price to the market price and the volatility of the underlying reference instrument, the remaining term of the option, supply, demand, interest rates and/or currency exchange rates. An American style put or call option may be exercised at any time during the option period while a European style put or call option may be exercised only upon expiration or during a fixed period prior thereto. Put and call options are traded on national securities exchanges and in the OTC market.
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Notes to Financial Statements (continued)
As the buyer of a call option, a Fund has a right to buy the underlying reference instrument (e.g., a currency or security) at the exercise price at any time during the option period (for American style options). A Fund may enter into closing sale transactions with respect to call options, exercise them, or permit them to expire. Unless the price of the underlying reference instrument changes sufficiently, a call option purchased by a Fund may expire without any value to the Fund, in which case the Fund would experience a loss to the extent of the premium paid for the option plus related transaction costs.
As the buyer of a put option, a Fund has the right to sell the underlying reference instrument at the exercise price at any time during the option period (for American style options). Like a call option, a Fund may enter into closing sale transactions with respect to put options, exercise them or permit them to expire. If a put option is not terminated in a closing sale transaction when it has remaining value, and if the market price of the underlying reference instrument remains equal to or greater than the exercise price during the life of the put option, the buyer would not make any gain upon exercise of the option and would experience a loss to the extent of the premium paid for the option plus related transaction costs. In order for the purchase of a put option to be profitable, the market price of the underlying reference instrument must decline sufficiently below the exercise price to cover the premium and transaction costs.
Writing options may permit the writer to generate additional income in the form of the premium received for writing the option. The writer of an option may have no control over when the underlying reference instruments must be sold (in the case of a call option) or purchased (in the case of a put option) because the writer may be notified of exercise at any time prior to the expiration of the option (for American style options). In general, though, options are infrequently exercised prior to expiration. Whether or not an option expires unexercised, the writer retains the amount of the premium. Writing “covered” call options means that the writer owns the underlying reference instrument that is subject to the call option. Call options may also be written on reference instruments that the writer does not own.
If a call option written by a Fund expires unexercised, the Fund will realize a gain in the amount of the premium received. If the market price of the underlying reference instrument decreases, the call option will not be exercised and the Fund will be able to use the amount of the premium received to hedge against the loss in value of the underlying reference instrument. The exercise price of a call option will be chosen based upon the expected price movement of the underlying reference instrument. The exercise price of a call option may be below, equal to (at-the money), or above the current value of the underlying reference instrument at the time the option is written.
As the writer of a put option, a Fund has a risk of loss should the underlying reference instrument decline in value. If the value of the underlying reference instrument declines below the exercise price of the put option and the put option is exercised, the Fund, as the writer of the put option, will be required to buy the instrument at the exercise price, which will exceed the market value of the underlying reference instrument at that time. A Fund will incur a loss to the extent that the current market value of the underlying reference instrument is less than the exercise price of the put option. However, the loss will be offset in part by the premium received from the buyer of the put. If a put option written by a Fund expires unexercised, the Fund will realize a gain in the amount of the premium received.
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Morningstar Funds Trust October 31, 2020 (unaudited)
Notes to Financial Statements (continued)
Options involve certain risks, including general risks related to derivative instruments. There can be no assurance that a liquid secondary market on an exchange will exist for any particular option, or at any particular time, and a Fund may have difficulty effecting closing transactions in particular options. Therefore, a Fund would have to exercise the options it purchased in order to realize any profit, thus taking or making delivery of the underlying reference instrument when not desired. A Fund could then incur transaction costs upon the sale of the underlying reference instruments. Similarly, when a Fund cannot effect a closing transaction with respect to a put option it wrote, and the buyer exercises, the Fund would be required to take delivery and would incur transaction costs upon the sale of the underlying reference instruments purchased. If a Fund, as a covered call option writer, is unable to effect a closing purchase transaction in a secondary market, it will not be able to sell the underlying reference instrument until the option expires, it delivers the underlying instrument upon exercise, or it segregates enough liquid assets to purchase the underlying reference instrument at the marked-to-market price during the term of the option. When trading options on non-U.S. exchanges or in the OTC market, many of the protections afforded to exchange participants will not be available. For example, there may be no daily price fluctuation limits, and adverse market movements could therefore continue to an unlimited extent over an indefinite period of time.
The effectiveness of an options strategy for hedging depends on the degree to which price movements in the underlying reference instruments correlate with price movements in the relevant portion of a Fund’s portfolio that is being hedged. In addition, a Fund bears the risk that the prices of its portfolio investments will not move in the same amount as the option it has purchased or sold for hedging purposes, or that there may be a negative correlation that would result in a loss on both the investments and the option. If the investment manager is not successful in using options in managing a Fund’s investments, the Fund’s performance will be worse than if the investment manager did not employ such strategies.
Swaptions: An option on an interest-rate swap (sometimes referred to as a “swaption”) is a contract that gives the purchaser the right, but not the obligation, in return for payment of a premium, to enter into a new interest-rate swap. Options on swap agreements involve the risks associated with derivative instruments generally, as well as the additional risks associated with both options and swaps generally. A pay fixed option on an interest-rate swap gives the buyer the right to establish a position in an interest-rate swap where the buyer will pay (and the writer will receive) the fixed-rate cash flows and receive (and the writer will pay) the floating-rate cash flows. In general, most options on interest-rate swaps are “European” exercise, which means that they can only be exercised at the end of the option term.
Depending on the movement of interest rates between the time of purchase and expiration, the value of the underlying interest-rate swap and therefore also the value of the option on the interest-rate swap will change. When a Fund purchases an option on a swap agreement, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised, plus any related transaction costs. However, if a Fund writes (sells) a swaption, the Fund is bound by the terms of the underlying swap agreement upon exercise of the option by the buyer, which may result in losses to the Fund in excess of the premium it received.
Options on swap agreements are considered to be swaps for purposes of Commodity Futures Trading Commission (“CFTC”) regulation. Although they are traded OTC, the CFTC may in the future designate certain options on swaps as subject to mandatory clearing.
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Morningstar Funds Trust October 31, 2020 (unaudited)
Notes to Financial Statements (continued)
When a Fund purchases a swaption, an amount equal to the premium paid by the Fund is recorded as an investment on the Schedules of Investments, the value of which is marked-to-market daily to reflect the current market value of the swaption purchased. If the swaption expires, a Fund realizes a loss equal to the amount of the premium paid.
Swaptions are marked-to-market daily based upon quotations from market makers. Changes in the value of the swaption are reported as unrealized gains or losses.
Interest Rate, Inflation Index and Total Return Swap Contracts: A Fund may purchase interest-rate swaps. A Fund may use interest-rate swaps to increase or decrease exposure to a particular interest rate or rates, which may result in the Fund experiencing a gain or loss depending on whether the interest rates increased or decreased during the term of the agreement. A Fund may also enter into inflation index swaps to manage exposure to inflation risk. An inflation index swap is an agreement between two parties, whereby one party makes payments based on the cumulative percentage increase in an index that serves as a measure of inflation (typically, the Consumer Price Index) and the other party makes a regular payment based on a compounded fixed rate. The value of an inflation index swap is expected to change in response to changes in the rate of inflation. If inflation increases at a faster rate than anticipated at the time the swap is entered into, the swap will increase in value. Similarly, if inflation increases at a rate slower than anticipated at the time the swap is entered into, the swap will decrease in value. A Fund may also engage in total return swaps, in which payments made by the Fund or the counterparty are based on the total return of a particular reference asset or assets (such as a fixed-income security, a combination of securities, or an index). The value of a Fund’s swap positions would increase or decrease depending on the changes in value of the underlying rates, currency values, volatility or other indexes or measures. Caps and floors have an effect similar to buying or writing options. Depending on how they are used, swap agreements may increase or decrease the overall volatility of a Fund’s investments and its share price. A Fund’s ability to engage in certain swap transactions may be limited by tax considerations.
A Fund’s ability to realize a profit from such transactions will depend on the ability of the financial institutions with which it enters into the transactions to meet their obligations to the Fund. If a counterparty’s creditworthiness declines, the value of the agreement would be likely to decline, potentially resulting in losses. If a default occurs by the other party to such transaction, a Fund will have contractual remedies pursuant to the agreements related to the transaction, which may be limited by applicable law in the case of a counterparty’s insolvency. Under certain circumstances, suitable transactions may not be available to a Fund, or the Fund may be unable to close out its position under such transactions at the same time, or at the same price, as if it had purchased comparable publicly traded securities. Swaps carry counterparty risks that cannot be fully anticipated. Also, because swap transactions typically involve a contract between the two parties, such swap investments can be extremely illiquid, as it is uncertain as to whether another counterparty would wish to take assignment of the rights under the swap contract at a price acceptable to a Fund.
For centrally cleared swaps, the Schedules of Investments include the cumulative appreciation (depreciation), while only the current day’s variation margin is reported within the Statements of Assets and Liabilities. For credit default and interest rate contracts, an up-front payment received by a Fund is recorded as a liability and an upfront payment made by a Fund is recorded as an asset on the Fund’s Statement of Assets and Liabilities. Upfront payments are amortized over the term of the contract. If there is no upfront payment or receipt, market
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Morningstar Funds Trust October 31, 2020 (unaudited)
Notes to Financial Statements (continued)
value will equal unrealized appreciation(depreciation). Periodic payments received (paid) by a Fund are recorded as realized gains (losses) from the expiration or closing of swap contracts on the Fund’s Statement of Assets and Liabilities.
Interest rate swaps are marked to market daily and the change is recorded as unrealized gain (loss) on swap contracts in the Statements of Operations. The Funds’ risk of loss associated with these instruments may exceed their value, as recorded in the Schedules of Investments. Non-deliverable interest rate swap contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Centrally cleared interest rate swaps may have forward effective dates. The amortization of the upfront premiums (if applicable) and payments related to these swap contracts begin on the effective date of the contract. Interest rate contracts outstanding, including their respective notional amounts at period end, if any, are listed after each Fund’s Schedule of Investments.
Credit Default Swap Contracts: A Fund may purchase credit default swaps. A credit default swap is an agreement between a Fund and a counterparty that enables the Fund to buy or sell protection against a credit event related to a particular issuer. One party, acting as a protection buyer, makes periodic payments, which may be based on, among other things, a fixed or floating rate of interest, to the other party, a protection seller, in exchange for a promise by the protection seller to make a payment to the protection buyer if a negative credit event (such as a delinquent payment or default) occurs with respect to a referenced bond or group of bonds. Credit default swaps may also be structured based on the debt of a basket of issuers, rather than a single issuer, and may be customized with respect to the default event that triggers purchase or other factors, or defaults by a particular combination of issuers within the basket, may trigger a payment obligation). As a credit protection seller in a credit default swap contract, a Fund would be required to pay the par (or other agreed-upon) value of a referenced debt obligation to the counterparty following certain negative credit events as to a specified third-party debtor, such as default by a U.S. or non-U.S. corporate issuer on its debt obligations. In return for its obligation, a Fund would receive from the counterparty a periodic stream of payments, which may be based on, among other things, a fixed or floating rate of interest, over the term of the contract provided that no event of default has occurred. If no default occurs, a Fund would keep the stream of payments, and would have no payment obligations to the counterparty. A Fund may sell credit protection to earn additional income and/or to take a synthetic long position in the underlying security or basket of securities.
A Fund may enter into credit default swap contracts as protection buyer to hedge against the risk of default on the debt of a particular issuer or basket of issuers or attempt to profit from a deterioration or perceived deterioration in the creditworthiness of the particular issuer(s) (also known as buying credit protection). This would involve the risk that the investment may expire worthless and would only generate gain in the event of an actual default by the issuer(s) of the underlying obligation(s) (or, as applicable, a credit downgrade or other indication of financial instability). It would also involve the risk that the seller may fail to satisfy its payment obligations to a Fund. The purchase of credit default swaps involves costs, which will reduce a Fund’s return.
Credit default swaps involve a number of special risks. A protection seller may have to pay out amounts following a negative credit event greater than the value of the reference obligation delivered to it by its counterparty and the amount of periodic payments previously received by it from the counterparty. When a Fund acts as a seller of a credit default swap, it is exposed to, among other things, leverage risk because if an event of default occurs the seller must pay the buyer the full notional value of the reference obligation. Each party to
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Morningstar Funds Trust October 31, 2020 (unaudited)
Notes to Financial Statements (continued)
a credit default swap is subject to the credit risk of its counterparty (the risk that its counterparty may be unwilling or unable to perform its obligations on the swap as they come due). The value of the credit default swap to each party will change based on changes in the actual or perceived creditworthiness of the underlying issuer.
A protection buyer may lose its investment and recover nothing should an event of default not occur. A Fund may seek to realize gains on its credit default swap positions, or limit losses on its positions, by selling those positions in the secondary market. There can be no assurance that a liquid secondary market will exist at any given time for any particular credit default swap or for credit default swaps generally.
The market for credit default swaps has become more volatile in recent years as the creditworthiness of certain counterparties has been questioned and/or downgraded. The parties to a credit default swap may be required to post collateral to each other. If a Fund posts initial or periodic collateral to its counterparty, it may not be able to recover that collateral from the counterparty in accordance with the terms of the swap. In addition, if a Fund receives collateral from its counterparty, it may be delayed or prevented from realizing on the collateral in the event of the insolvency or bankruptcy of the counterparty. A Fund may exit its obligations under a credit default swap only by terminating the contract and paying applicable breakage fees, or by entering into an offsetting credit default swap position, which may cause the Fund to incur more losses.
The credit default contracts are marked to market daily and the change, if any, is recorded as an unrealized gain or loss. Changes in market value are accounted for as unrealized appreciation or depreciation until the contract is closed, at which time the gains or losses are realized. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the up-front payment, is recorded as a realized gain or loss on swap contracts in the Statements of Operations.
Each Fund’s risk of loss associated with these instruments may exceed their fair value, as recorded in the Schedules of Investments. Credit default contracts outstanding, including their respective notional amounts at year end, if any, are listed after each Fund’s Schedule of Investments.
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default contracts on corporate issues or sovereign issues of an emerging country as of year end are disclosed in the Schedules of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default contracts on asset-backed securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
Contracts for Differences: The Morningstar Alternatives Fund may enter into Contracts for Differences (“CFDs”). CFDs are leveraged derivative instruments that allow a Fund to take a position on the change in the market price of an underlying asset, such as a stock, or the value of an index or currency exchange rate. With
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Notes to Financial Statements (continued)
a short CFD, a Fund is seeking to profit from falls in the market price of the asset. CFDs are subject to liquidity risk because the liquidity of CFDs is based on the liquidity of the underlying instrument, and are subject to counterparty risk, i.e., the risk that the counterparty to the CFD transaction may be unable or unwilling to make payments or to otherwise honor its financial obligations under the terms of the contract. It is also possible that the market price of the CFD will move between the time the order is placed by a Fund and when it is executed by the issuer, which can result in the trade being executed at a less favorable price. CFDs, like many other derivative instruments, involve the risk that, if the derivative security declines in value, additional margin would be required to maintain the margin level. The seller may require a Fund to deposit additional sums to cover this decline in value, and the margin call may be at short notice. If additional margin is not provided in time, the seller may liquidate the positions at a loss for which a Fund is liable. The potential for margin calls and large losses are much greater in CFDs than in other leveraged products. Most CFDs are traded OTC. CFDs are not registered with the SEC or any U.S. regulator, and are not subject to U.S. regulation. In a short position, a Fund will receive or pay an amount based upon the amount, if any, by which the notional amount of the CFD would have decreased or increased in value had it sold the particular stocks short, less the dividends that would have been paid on those stocks, plus a floating rate of interest on the notional amount of the CFD. All of these components are reflected in the market value of the CFD.
Master Agreements: Certain Funds are parties to master netting arrangements with counterparties (“Master Agreements”). Master Agreements govern the terms of certain like transactions, and reduce the counterparty risk associated with relevant transactions by specifying payment netting mechanisms across multiple transactions and providing standardization that improves legal certainty. Since different types of transactions have different mechanics and are sometimes traded by different legal entities of a particular counterparty organization, each type of transaction may be covered by a different Master Agreement, resulting in the need for multiple Master Agreements with a counterparty and its affiliates.
As the Master Agreements are specific to unique operations of different asset types, they allow the Funds to i) close out and net their total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single Master Agreement with a counterparty, ii) exit transactions through means other than sale, such as through a negotiated agreement with the Funds’ counterparty, a transfer to another party, or close out of the position through execution of an offsetting transaction.
Master Repurchase Agreements govern repurchase, or reverse repurchase transactions, relating to government bonds between certain Funds and select counterparties. Master Repurchase Agreements maintain provisions for initiation, income payments, events of default, and maintenance of collateral.
Prime Broker Arrangements may be entered into to facilitate execution and/or clearing of equities, bonds, equity options or short sales of securities between certain Funds and selected counterparties. These arrangements provide financing terms for such transactions and include guidelines surrounding the rights, obligations, and other events, including, but not limited to, margin, execution, and settlement. These agreements maintain provisions for payments, maintenance of collateral, events of default, and termination. Margin and other assets delivered as collateral are typically held by the prime broker and offset any obligations due to the prime broker.
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Notes to Financial Statements (continued)
Customer Account Agreements govern cleared derivatives transactions and exchange-traded futures and options transactions. Upon entering into an exchange-traded or centrally cleared derivative contract, the Funds are required to deposit with the relevant clearing organization cash or securities, which is referred to as the initial margin. Securities deposited as initial margin are designated on the Schedules of Investments and cash deposited is recorded as Deposits with brokers for centrally cleared swaps and Deposits with brokers for futures contracts on the Statements of Assets and Liabilities. For exchange-traded futures or centrally cleared swaps, initial margin is posted, and daily changes in fair value are recorded as a payable or receivable on the Statement of Assets and Liabilities as Variation margin on centrally cleared swaps and Variation margin on futures contracts. Variation margin is determined separately for exchange-traded futures and centrally cleared swaps and cannot be netted.
International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern OTC derivative transactions entered into between certain Funds and a counterparty. ISDA Master Agreements maintain provisions for general obligations, representations, netting of settlement payments, agreements to deliver supporting documents, collateral transfer and events of default or termination. Events of termination include a decline in a Fund’s net assets below a specified threshold over a certain period of time or a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all OTC contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by a party to elect early termination could be material to the financial statements and impact a Fund’s future derivative activity.
Collateral and margin requirements differ according to the terms of each type of Master Agreement. Collateral is routinely transferred if the total net exposure net of existing collateral already in place governed under the relevant Master Agreement with a counterparty in a given account exceeds a specified threshold. Collateral can be in the form of cash, debt securities issued by the U.S. government, money market funds and other securities as agreed to by a Fund and the applicable counterparty, or as permitted by the clearing house or exchange.
Collateral pledged by a Fund for OTC derivatives pursuant to a Master Agreement is segregated by the Fund’s custodian and identified as an asset in the Statements of Assets and Liabilities either as a component of Investments in non-affiliates, at value (securities) or in Due from broker (cash). Segregation of a Fund’s collateral in the custodian account helps mitigate counterparty risk.
Collateral posted for the benefit of a Fund pursuant to a Master Agreement is held by a custodian of the Fund. Amounts which can be invested or repledged, are presented in each Fund’s Schedule of Investments. Collateral received is reflected as a liability within Due to broker in the Statements of Assets and Liabilities.
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Morningstar Funds Trust October 31, 2020 (unaudited)
Notes to Financial Statements (continued)
The Funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The Funds’ derivative contracts are not accounted for as hedging instruments under GAAP. The effect of such derivative instruments on the Funds’ financial position and financial performance for the six months ended October 31, 2020 are as follows:
Assets
| Liabilities
| |||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||
Unrealized Appreciation on Futures Contracts(1) | Swaps and Difference at Fair Value(2) | Unrealized Appreciation on Forward Currency Exchange Contracts | Purchased Swaptions at | Total | Unrealized Depreciation on Futures Contracts(1) | Swaps and Difference at | Unrealized Depreciation on Forward Currency Exchange Contracts | Written Swaptions at | Total | |||||||||||||||||||||||||||||||
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Morningstar International Equity Fund |
| |||||||||||||||||||||||||||||||||||||||
Foreign exchange rate risk | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 75,202 | $ | — | $ | 75,202 | ||||||||||||||||||||
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Total | — | — | — | — | — | — | — | 75,202 | — | 75,202 | ||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Net Fair Value of Derivative Contracts | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 75,202 | $ | — | $ | 75,202 | ||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Morningstar Total Return Bond Fund |
| |||||||||||||||||||||||||||||||||||||||
Credit risk | $ | — | $ | 538,642 | $ | — | $ | — | $ | 538,642 | $ | — | $ | 8,184 | $ | — | $ | — | $ | 8,184 | ||||||||||||||||||||
Equity risk | — | — | — | — | — | — | 9,874 | — | — | 9,874 | ||||||||||||||||||||||||||||||
Foreign exchange rate risk | — | — | 469,962 | 164,535 | 634,497 | — | — | 387,146 | 53,351 | 440,497 | ||||||||||||||||||||||||||||||
Inflation risk | — | 55,474 | — | — | 55,474 | — | 31,478 | — | — | 31,478 | ||||||||||||||||||||||||||||||
Interest rate risk | 369,778 | 1,245,970 | — | 449,062 | 2,064,810 | 1,607,060 | 100,260 | — | 165,321 | 1,872,641 | ||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Total | 369,778 | 1,840,086 | 469,962 | 613,597 | 3,293,423 | 1,607,060 | 149,796 | 387,146 | 218,672 | 2,362,674 | ||||||||||||||||||||||||||||||
Netting positions (369,778) | (149,796 | ) | (387,146 | ) | (218,672 | ) | (1,125,392 | ) | (369,778 | ) | (149,796 | ) | (387,146 | ) | (218,672 | ) | (1,125,392 | ) | ||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Net Fair Value of Derivative Contracts | $ | — | $ | 1,690,290 | $ | 82,816 | $ | 394,925 | $ | 2,168,031 | $ | 1,237,282 | $ | — | $ | — | $ | — | $ | 1,237,282 | ||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Morningstar Multisector Bond Fund |
| |||||||||||||||||||||||||||||||||||||||
Foreign exchange rate risk | $ | — | $ | — | $ | 451,118 | $ | 5,328 | $ | 456,446 | $ | — | $ | — | $ | 674,089 | $ | — | $ | 674,089 | ||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Total | — | — | 451,118 | 5,328 | 456,446 | — | — | 674,089 | — | 674,089 | ||||||||||||||||||||||||||||||
Netting positions | — | — | (451,118 | ) | — | (451,118 | ) | — | — | (451,118 | ) | — | (451,118 | ) | ||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Net Fair Value of Derivative Contracts | $ | — | $ | — | $ | — | $ | 5,328 | $ | 5,328 | $ | — | $ | — | $ | 222,971 | $ | — | $ | 222,971 | ||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Morningstar Unconstrained Allocation Fund |
| |||||||||||||||||||||||||||||||||||||||
Foreign exchange rate risk | $ | — | $ | — | $ | 116,231 | $ | — | $ | 116,231 | $ | — | $ | — | $ | 367,833 | $ | — | $ | 367,833 |
267
Morningstar Funds Trust October 31, 2020 (unaudited)
Notes to Financial Statements (continued)
Assets
| Liabilities
| |||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||
Unrealized Appreciation on Futures Contracts(1) | Swaps and Difference at Fair Value(2) | Unrealized Appreciation on Forward Currency Exchange Contracts | Purchased Swaptions at | Total | Unrealized Depreciation on Futures Contracts(1) | Swaps and Difference at | Unrealized Depreciation on Forward Currency Exchange Contracts | Written Swaptions at | Total | |||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Morningstar Unconstrained Allocation Fund (continued) |
| |||||||||||||||||||||||||||||||||||||||
Interest rate risk | $ | 73,247 | $ | — | $ | — | $ | — | $ | 73,247 | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Total | 73,247 | — | 116,231 | — | 189,478 | — | — | 367,833 | — | 367,833 | ||||||||||||||||||||||||||||||
Netting positions | — | — | (116,231 | ) | — | (116,231 | ) | — | — | (116,231) | — | (116,231 | ) | |||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Net Fair Value of Derivative Contracts | $ | 73,247 | $ | — | $ | — | $ | — | $ | 73,247 | $ | — | $ | — | $ | 251,602 | $ | — | $ | 251,602 | ||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Morningstar Alternatives Fund |
| |||||||||||||||||||||||||||||||||||||||
Credit risk | $ | — | $ | 367 | $ | — | $ | — | $ | 367 | $ | — | $ | 150,394 | $ | — | $ | — | $ | 150,394 | ||||||||||||||||||||
Equity risk | — | 46,043,058 | — | 58,847 | 46,101,905 | — | 41,837,454 | — | 178,868 | 42,016,322 | ||||||||||||||||||||||||||||||
Foreign exchange rate risk | — | — | 74,809 | — | 74,809 | — | — | 26,027 | — | 26,027 | ||||||||||||||||||||||||||||||
Interest rate risk | 40,969 | 7,007 | — | — | 47,976 | 101,612 | 8,213 | — | — | 109,825 | ||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Total | 40,969 | 46,050,432 | 74,809 | 58,847 | 46,225,057 | 101,612 | 41,996,061 | 26,027 | 178,868 | 42,302,568 | ||||||||||||||||||||||||||||||
Netting positions | (40,969 | ) | (41,996,061 | ) | (26,027 | ) | (58,847 | ) | (42,121,904 | ) | (40,969 | ) | (41,996,061 | ) | (26,027 | ) | (58,847 | ) | (42,121,904 | ) | ||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Net Fair Value of Derivative Contracts | $ | — | $ | 4,054,371 | $ | 48,782 | $ | — | $ | 4,103,153 | $ | 60,643 | $ | — | $ | — | $ | 120,021 | $ | 180,664 | ||||||||||||||||||||
|
1 | Includes cumulative appreciation/depreciation on futures contracts as reported in the Schedule of Investments’ footnotes. Only the current day’s variation margin is reported within the Statements of Assets and Liabilities. |
2 | Includes cumulative appreciation/depreciation on centrally-cleared swap agreements as reported in the Schedule of Investments’ footnotes. Only the current day’s variation margin is reported within the Statements of Assets and Liabilities. |
The following table indicates the effect of derivative instruments, by primary underlying risk exposure and contract type, on the Statements of Operations for the six months ended October 31, 2020:
Net Realized Gain (Loss) on Derivatives Recognized as a Result from Operations | Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result from Operations | |||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||
Futures Contracts | Swaps and Contracts for Difference | Forward Currency Exchange Contracts | Purchased/ Written Options and Swaptions | Total | Futures Contracts | Swaps Contracts for | Forward Currency Exchange Contracts | Purchased/ Written Options and Swaptions | Total | |||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Morningstar International Equity Fund |
| |||||||||||||||||||||||||||||||||||||||
Foreign exchange rate risk | $— | $ | — | $ | (38,149 | ) | $ | — | $ | (38,149 | ) | $— | $ | — | $ | (61,889 | ) | $ | — | $ | (61,889 | ) | ||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Total | $— | $ | — | $ | (38,149 | ) | $ | — | $ | (38,149 | ) | $— | $ | — | $ | (61,889 | ) | $ | — | $ | (61,889 | ) | ||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Morningstar Total Return Bond Fund |
| |||||||||||||||||||||||||||||||||||||||
Credit risk | $— | $ | 467,603 | $ | — | $ | — | $ | 467,603 | $— | $ | (729,014 | ) | $ | — | $ | 7,526 | $ | (721,488 | ) | ||||||||||||||||||||
Equity risk | — | (287 | ) | — | — | (287 | ) | — | (9,298 | ) | — | — | (9,298 | ) | ||||||||||||||||||||||||||
Foreign exchange rate risk | — | — | 218,552 | (97,944 | ) | 120,608 | — | — | (177,873 | ) | (21,318 | ) | (199,191 | ) |
268
Morningstar Funds Trust October 31, 2020 (unaudited)
Notes to Financial Statements (continued)
Net Realized Gain (Loss) on Derivatives Recognized as a Result from Operations | Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result from Operations | |||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||
Futures Contracts | Swaps and Contracts for Difference | Forward Currency Exchange Contracts | Purchased/ Written Options and Swaptions | Total | Futures Contracts | Swaps Contracts for | Forward Currency Exchange Contracts | Purchased/ Written Options and Swaptions | Total | |||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Inflation risk | $ | — | $ | 64,924 | $ | — | $ | — | $ | 64,924 | $ | — | $ | 18,590 | $ | — | $ | — | $ | 18,590 | ||||||||||||||||||||
Interest rate risk | 1,083,353 | (2,950,793 | ) | — | 478,397 | (1,389,043 | ) | (1,171,203 | ) | 4,494,124 | — | (78,008 | ) | 3,244,913 | ||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Total | $ | 1,083,353 | $ | (2,418,553 | ) | $ | 218,552 | $ | 380,453 | $ | (736,195 | ) | $ | (1,171,203 | ) | $ | 3,774,402 | $ | (177,873 | ) | $ | (91,800 | ) | $ | 2,333,526 | |||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Morningstar Multisector Bond Fund |
| |||||||||||||||||||||||||||||||||||||||
Credit risk | $ | — | $ | 106,034 | $ | — | $ | — | $ | 106,034 | $ | — | $ | (11,346 | ) | $ | — | $ | — | $ | (11,346 | ) | ||||||||||||||||||
Foreign exchange rate risk | — | — | (166,532) | — | (166,532 | ) | — | — | (1,707,919 | ) | — | (1,707,919 | ) | |||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Total | $ | — | $ | 106,034 | $ | (166,532 | ) | $ | — | $ | (60,498 | ) | $ | — | $ | (11,346 | ) | $ | (1,707,919 | ) | $ | — | $ | (1,719,265 | ) | |||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Morningstar Unconstrained Allocation Fund |
| |||||||||||||||||||||||||||||||||||||||
Foreign exchange rate risk | $ | — | $ | — | $ | 560,753 | $ | — | $ | 560,753 | $ | — | $ | — | $ | (283,520 | ) | $ | — | $ | (283,520 | ) | ||||||||||||||||||
Interest rate risk | 293,684 | — | — | — | 293,684 | 42,462 | — | — | — | 42,462 | ||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Total | $ | 293,684 | $ | — | $ | 560,753 | $ | — | $ | 854,437 | $ | 42,462 | $ | — | $ | (283,520 | ) | $ | — | $ | (241,058 | ) | ||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Morningstar Alternatives Fund |
| |||||||||||||||||||||||||||||||||||||||
Credit risk | $ | — | $ | (4,725 | ) | $ | — | $ | — | $ | (4,725 | ) | $ | — | $ | (9,843 | ) | $ | — | $ | — | $ | (9,843 | ) | ||||||||||||||||
Equity risk | — | (938,604 | ) | — | 333,212 | (605,392 | ) | — | (654,353 | ) | — | (3,525 | ) | (657,878 | ) | |||||||||||||||||||||||||
Foreign exchange rate risk | — | — | (72,432) | — | (72,432 | ) | — | — | (81,318 | ) | — | (81,318 | ) | |||||||||||||||||||||||||||
Interest rate risk | 11,620 | (17,276 | ) | — | — | (5,656 | ) | (60,643 | ) | (1,106 | ) | — | — | (61,749 | ) | |||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Total | $ | 11,620 | $ | (960,605 | ) | $ | (72,432 | ) | $ | 333,212 | $ | (688,205 | ) | $ | (60,643 | ) | $ | (665,302 | ) | $ | (81,318 | ) | $ | (3,525 | ) | $ | (810,788 | ) | ||||||||||||
|
The following tables present the Funds’ gross OTC derivative assets and liabilities by counterparty and contract type net of amounts available for offset under netting arrangements and any related collateral received or posted by the Funds’ as of October 31, 2020.
Morningstar International Equity Fund
Derivative Financial Instruments: | Assets | Liabilities | ||||||
Forward foreign currency exchange contracts | $— | $75,202 | ||||||
Total gross amount of derivatives in the Statement of Assets and Liabilities | $— | $75,202 | ||||||
Less: Derivatives not subject to MNA or similar agreements | — | — | ||||||
Total gross amount of derivatives subject to MNA or similar agreement | $— | $75,202 |
Counterparty | Gross Liabilities | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure | |||||||||||||||
| ||||||||||||||||||||
Northern Trust | $(75,202) | $— | $(75,202) | $— | $(75,202) |
269
Morningstar Funds Trust October 31, 2020 (unaudited)
Notes to Financial Statements (continued)
Morningstar Total Return Bond Fund
Derivative Financial Instruments: | Assets | Liabilities | ||||||
| ||||||||
Forward foreign currency exchange contracts | $ | 469,962 | $ | 387,146 | ||||
Futures contracts | 369,778 | 1,607,060 | ||||||
Purchased options | 439,129 | — | ||||||
Written options | — | 161,961 | ||||||
Total return swaps* | �� | — | 9,874 | |||||
Interest rate swap contracts* | 1,245,970 | 100,260 | ||||||
Credit default swap contracts* | 538,642 | 8,184 | ||||||
Inflation swap contracts* | 55,474 | 31,478 | ||||||
Purchased swaptions | 174,468 | — | ||||||
Written swaptions | — | 56,711 | ||||||
| ||||||||
Total gross amount of derivatives in the Statement of Assets and Liabilities | $ | 3,293,423 | $ | 2,362,674 | ||||
| ||||||||
Less: Derivatives not subject to MNA or similar agreements | (2,336,067 | ) | (1,841,743 | ) | ||||
| ||||||||
Total gross amount of derivatives subject to MNA or similar agreement | $ | 957,356 | $ | 520,931 | ||||
|
* | The values of swap agreements are the market values listed on the Schedules of Investments. |
Counterparty | Gross Assets | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure | |||||||||||||||
Bank of America(a) | $ | 166,267 | $ | (87,276 | ) | $78,991 | $ (70,871 | ) | $ 8,120 | |||||||||||
Barclays(b) | 55,842 | (47,224 | ) | 8,618 | (8,618 | ) | — | |||||||||||||
BNP | 165,683 | (99,858 | ) | 65,825 | — | 65,825 | ||||||||||||||
Citibank(b) | 133,286 | (118,621 | ) | 14,665 | (14,665 | ) | — | |||||||||||||
Deutsche Bank(b) | 29,987 | (25,479 | ) | 4,508 | (4,508 | ) | — | |||||||||||||
Goldman Sachs(a) | 90,263 | (29,138 | ) | 61,125 | (50,000 | ) | 11,125 | |||||||||||||
HSBC(b) | 42,507 | (17,873 | ) | 24,634 | (24,634 | ) | — | |||||||||||||
JPMorgan Chase(a) | 78,423 | (29,187 | ) | 49,236 | (10,000 | ) | 39,236 | |||||||||||||
Morgan Stanley(b) | 140,718 | (39,725 | ) | 100,993 | (100,993 | ) | — | |||||||||||||
Standard Chartered Bank | 5,915 | (5,915 | ) | — | — | — | ||||||||||||||
State Street | 1,719 | (1,719 | ) | — | — | — | ||||||||||||||
UBS(a) | 46,746 | (6,133 | ) | 40,613 | (10,000 | ) | 30,613 | |||||||||||||
Total | $957,356 | $ | (508,148 | ) | $449,208 | $(294,289) | $154,919 |
Counterparty | Gross Liabilities | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure | |||||||||||||||
Bank of America | $ | (87,276 | ) | $ | 87,276 | $— | $— | $— | ||||||||||||
Barclays | (47,224 | ) | 47,224 | — | — | — | ||||||||||||||
BNP | (99,858 | ) | 99,858 | — | — | — | ||||||||||||||
Citibank | (118,621 | ) | 118,621 | — | — | — | ||||||||||||||
Deutsche Bank | (25,479 | ) | 25,479 | — | — | — | ||||||||||||||
Goldman Sachs | (29,138 | ) | 29,138 | — | — | — | ||||||||||||||
HSBC | (17,873 | ) | 17,873 | — | — | — |
270
Morningstar Funds Trust October 31, 2020 (unaudited)
Notes to Financial Statements (continued)
Morningstar Total Return Bond Fund (continued)
Counterparty | Gross Liabilities | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure | |||||||||||||||
| ||||||||||||||||||||
JPMorgan Chase | (29,187 | ) | 29,187 | — | — | — | ||||||||||||||
Morgan Stanley | (39,725 | ) | 39,725 | — | — | — | ||||||||||||||
RBS | (4,636 | ) | — | (4,636 | ) | — | (4,636 | ) | ||||||||||||
Standard Chartered Bank | (13,041 | ) | 5,915 | (7,126 | ) | — | (7,126 | ) | ||||||||||||
State Street | (2,740 | ) | 1,719 | (1,021 | ) | — | (1,021 | ) | ||||||||||||
UBS |
| (6,133
| )
|
| 6,133
|
|
| —
|
|
| —
|
|
| —
|
| |||||
| ||||||||||||||||||||
Total |
| $(520,931)
|
|
| $508,148
|
|
| $(12,783)
|
|
| $—
|
|
| $(12,783)
|
| |||||
|
(a) | Actual amount of collateral received from Bank of America, Goldman Sachs, JPMorgan Chase, and UBS is included in “Due from broker” in the Statements of Assets and Liabilities. |
(b) | Actual amount of collateral received from Barclays, Citibank, Deutsche Bank, HSBC, and Morgan Stanley exceeded the net amount before collateral and is included in “Due from broker” in the Statements of Assets and Liabilities. |
Morningstar Multisector Bond Fund
Derivative Financial Instruments: | Assets | Liabilities | ||||||
Forward foreign currency exchange contracts | $ | 451,118 | $ | 674,089 | ||||
Purchased options | 5,328 | — | ||||||
Total gross amount of derivatives in the Statement of Assets and Liabilities | $ | 456,446 | $674,089 | |||||
Less: Derivatives not subject to MNA or similar agreements | — | — | ||||||
Total gross amount of derivatives subject to MNA or similar agreement | $ | 456,446 | $674,089 |
Counterparty | Gross Assets | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure | |||||||||||||||
Bank of America(a) | $ | 39,851 | $ | (25,544 | ) | $ | 14,307 | $ | (10,000 | ) | $ | 4,307 | ||||||||
Barclays | 545 | (545 | ) | — | — | — | ||||||||||||||
BNP | 46,519 | (46,519 | ) | — | — | — | ||||||||||||||
Citibank | 68,041 | (68,041 | ) | — | — | — | ||||||||||||||
Deutsche Bank | 9,911 | (9,911 | ) | — | — | — | ||||||||||||||
Goldman Sachs | 7,355 | — | 7,355 | — | 7,355 | |||||||||||||||
HSBC | 96,941 | (90,732 | ) | 6,209 | — | 6,209 | ||||||||||||||
JPMorgan Chase(b) | 178,027 | (81,632 | ) | 96,395 | (96,395 | ) | — | |||||||||||||
Morgan Stanley | 1,704 | — | 1,704 | — | 1,704 | |||||||||||||||
Standard Chartered Bank | 7,552 | (7,552 | ) | — | — | — | ||||||||||||||
Total |
| $456,446
|
|
| $(330,476)
|
|
| $125,970
|
|
| $(106,395
| )
|
| $19,575
|
|
Counterparty | Gross Liabilities | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure | |||||||||||||||
Bank of America | $(25,544) | $25,544 | $— | $— | $— |
271
Morningstar Funds Trust October 31, 2020 (unaudited)
Notes to Financial Statements (continued)
Morningstar Multisector Bond Fund (continued)
Counterparty | Gross Liabilities | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure | |||||||||||||||
| ||||||||||||||||||||
Barclays | (10,787 | ) | 545 | (10,242 | ) | — | (10,242 | ) | ||||||||||||
BNP | (51,235 | ) | 46,519 | (4,716 | ) | — | (4,716 | ) | ||||||||||||
Citibank(b) | (104,256 | ) | 68,041 | (36,215 | ) | 36,215 | — | |||||||||||||
Deutsche Bank(a) | (195,636 | ) | 9,911 | (185,725 | ) | 185,275 | (450 | ) | ||||||||||||
HSBC | (90,732 | ) | 90,732 | — | — | — | ||||||||||||||
JPMorgan Chase | (81,632 | ) | 81,632 | — | — | — | ||||||||||||||
Standard Chartered Bank
|
| (108,677
| )
|
| 7,552
|
|
| (101,125
| )
|
| —
|
|
| (101,125
| )
| |||||
| ||||||||||||||||||||
Total
|
| $(674,089
| )
|
| $330,476
|
|
| $(343,613
| )
|
| $221,490
|
|
| $(122,123
| )
| |||||
|
(a) | Actual amount of collateral received from Bank of America and pledged by the Fund to Deutsche Bank is included in “Due from broker” and “Due to broker” respectively, in the Statements of Assets and Liabilities. |
(b) | Actual amount of collateral received from JPMorgan Chase and pledged by the Fund to Citibank exceeded the net amount before collateral and is included in “Due from broker” and “Due to broker” respectively, in the Statements of Assets and Liabilities. |
Morningstar Unconstrained Allocation Fund
Derivative Financial Instruments: | Assets | Liabilities | ||||||
Forward foreign currency exchange contracts | $ | 116,231 | $ | 367,833 | ||||
Futures contracts | 73,247 | — | ||||||
Total gross amount of derivatives in the Statement of Assets and Liabilities | $ | 189,478 | $ | 367,833 | ||||
Less: Derivatives not subject to MNA or similar agreements | (73,247 | ) | — | |||||
Total gross amount of derivatives subject to MNA or similar agreement | $ | 116,231 | $ | 367,833 |
Counterparty | Gross Assets | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure | |||||||||||||||
Citibank | $75,978 | $(75,978 | ) | $— | $— | $— | ||||||||||||||
HSBC | 23,257 | (23,257 | ) | — | — | — | ||||||||||||||
JPMorgan Chase
|
| 16,896
|
|
| (16,896
| )
|
| —
|
|
| —
|
|
| —
|
| |||||
Total
|
| $116,231
|
|
| $(116,231
| )
|
| $—
|
|
| $—
|
|
| $—
|
|
Counterparty | Gross Liabilities | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure | |||||||||||||||
| ||||||||||||||||||||
Citibank | $(203,075 | ) | $75,978 | $(127,097 | ) | $— | $(127,097 | ) | ||||||||||||
HSBC | (133,234 | ) | 23,357 | (109,877 | ) | — | (109,877 | ) | ||||||||||||
JP Morgan Chase
|
| (31,524
| )
|
| 16,896
|
|
| (14,628
| )
|
| —
|
|
| (14,628
| )
| |||||
| ||||||||||||||||||||
Total | $(367,833 | ) | $116,231 | $(251,602) | $— | $(251,602 | ) | |||||||||||||
|
272
Morningstar Funds Trust October 31, 2020 (unaudited)
Notes to Financial Statements (continued)
Morningstar Alternatives Fund
Derivative Financial Instruments: | Assets | Liabilities | ||||||
Forward foreign currency exchange contracts | $ | 74,809 | $ | 26,027 | ||||
Futures contracts | 40,969 | 101,612 | ||||||
Purchased options | 58,847 | — | ||||||
Written options | — | 178,868 | ||||||
Contracts for difference* | 46,043,058 | 41,837,454 | ||||||
Interest rate swap contracts* | 7,007 | 8,213 | ||||||
Credit default swap contracts* | 367 | 150,394 | ||||||
| ||||||||
Total gross amount of derivatives in the Statement of Assets and Liabilities | $ | 46,225,057 | $ | 42,302,568 | ||||
| ||||||||
Less: Derivatives not subject to MNA or similar agreements | (107,190 | ) | (438,258 | ) | ||||
| ||||||||
Total gross amount of derivatives subject to MNA or similar agreement | $ | 46,117,867 | $ | 41,864,310 | ||||
|
* | The values of contracts for differences and swap agreements are the market values listed on the Schedules of Investments. |
Counterparty | Gross Assets | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure | |||||||||||||||
| ||||||||||||||||||||
Bank of America | $ 1,132 | $ (315) | $ 817 | $ — | $ 817 | |||||||||||||||
Goldman Sachs(a) | 18,078,004 | (16,425,508 | ) | 1,652,496 | (370,000 | ) | 1,282,496 | |||||||||||||
JPMorgan Chase(a) | 27,965,054 | (25,411,949 | ) | 2,553,105 | (219,981 | ) | 2,333,124 | |||||||||||||
Morgan Stanley | 73,677 | (25,984 | ) | 47,693 | — | 47,693 | ||||||||||||||
| ||||||||||||||||||||
Total | $46,117,867 | $(41,863,756) | $4,254,111 | $(589,981) | $3,664,130 | |||||||||||||||
| ||||||||||||||||||||
Counterparty | Gross Liabilities | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure | |||||||||||||||
| ||||||||||||||||||||
Bank of America | $ (315 | ) | $ 315 | $ — | $— | $ — | ||||||||||||||
Barclays | (40 | ) | — | (40 | ) | — | (40 | ) | ||||||||||||
Citibank | (514 | ) | — | (514 | ) | — | (514 | ) | ||||||||||||
Goldman Sachs | (16,425,508 | ) | 16,425,508 | — | — | — | ||||||||||||||
JPMorgan Chase | (25,411,949 | ) | 25,411,949 | — | — | — | ||||||||||||||
Morgan Stanley | (25,984 | ) | 25,984 | — | — | — | ||||||||||||||
| ||||||||||||||||||||
Total | $(41,864,310 | ) | $41,863,756 | $(554 | ) | $— | $(554 | ) | ||||||||||||
|
(a) | Actual amount of collateral received from Goldman Sachs and JPMorgan Chase is included in _Due from broker_ in the Statements of Assets and Liabilities. |
For the six months ended October 31, 2020, the quarterly average notional values were as follows and are representative of the trading volume of the derivatives held by the Funds.
Morningstar International Equity Fund | Morningstar Total Return Bond Fund | Morningstar Multisector Bond Fund | Morningstar Unconstrained Allocation Fund | Morningstar Alternatives Fund | ||||||||||||||||
Futures Contracts: | ||||||||||||||||||||
Average Notional Balance - Long | $— | $137,648,284 | $— | $1,665,050 | $8,629,644 |
273
Morningstar Funds Trust October 31, 2020 (unaudited)
Notes to Financial Statements (continued)
Morningstar International Equity Fund | Morningstar Total Return Bond Fund | Morningstar Multisector Bond Fund | Morningstar Unconstrained Allocation Fund | Morningstar Alternatives Fund | ||||||||||||||||
Futures Contracts: (continued) | ||||||||||||||||||||
Average Notional Balance - Short | $ | — | $ | 176,649,067 | $ | — | $ | 376,250 | $ | 4,366,030 | ||||||||||
Ending Notional Balance - Long | — | 99,879,193 | — | 1,742,200 | 26,050,180 | |||||||||||||||
Ending Notional Balance - Short | — | 281,616,523 | — | 1,505,000 | 10,830,667 | |||||||||||||||
Forward Foreign Currency Exchange Contracts: | ||||||||||||||||||||
Average Settlement Value -Purchased | 2,033,140 | 13,866,588 | 39,004,299 | 4,709,908 | 7,302,745 | |||||||||||||||
Average Settlement Value - Sold | 13,874 | 10,945,290 | 22,238,313 | 12,474,368 | 3,266,679 | |||||||||||||||
Ending Settlement Value -Purchased | 2,455,466 | 31,476,732 | 21,454,543 | 4,705,336 | 6,378,726 | |||||||||||||||
Ending Settlement Value - Sold | — | 24,879,684 | 5,698,345 | 14,361,566 | 2,368,856 | |||||||||||||||
Contracts for Difference: | ||||||||||||||||||||
Average Notional Balance - Long | — | — | — | — | 1,362,337 | |||||||||||||||
Average Notional Balance - Short | — | — | — | — | 1,448,810 | |||||||||||||||
Ending Notional Balance - Long | — | — | — | — | 1,338,110 | |||||||||||||||
Ending Notional Balance - Short | — | — | — | — | 1,357,843 | |||||||||||||||
Total Return Swaps: | ||||||||||||||||||||
Average Notional Balance - Long | — | 552,500 | — | — | — | |||||||||||||||
Ending Notional Balance - Long | — | 2,210,000 | — | — | — | |||||||||||||||
Inflation Swaps: | ||||||||||||||||||||
Average Notional Balance - Pays Fixed Rate | — | 9,575,218 | — | — | — | |||||||||||||||
Ending Notional Balance - Pays Fixed Rate | — | 14,141,316 | — | — | — | |||||||||||||||
Interest Rate Swaps: | ||||||||||||||||||||
Average Notional Balance - Pays Fixed Rate | — | 192,408,189 | 3,550,000 | — | 7,845,396 | |||||||||||||||
Ending Notional Balance - Pays Fixed Rate | — | 260,651,131 | — | — | 5,848,584 | |||||||||||||||
Credit Default Swaps: | ||||||||||||||||||||
Average Notional Balance - Buy Protection | — | 3,494,116 | 12,250 | — | 1,630,000 | |||||||||||||||
Average Notional Balance - Sell Protection | — | 34,317,174 | 6,956,945 | — | 7,567 | |||||||||||||||
Ending Notional Balance - Buy Protection | — | 4,457,121 | — | — | 3,114,407 | |||||||||||||||
Ending Notional Balance - Sell Protection | — | 42,404,944 | — | — | 7,567 | |||||||||||||||
Options: | ||||||||||||||||||||
Average Notional Balance - Purchased | — | 140,077,916 | 671,043 | — | 822,641 | |||||||||||||||
Average Notional Balance - Written | — | 83,544,918 | — | — | 1,432,025 |
274
Morningstar Funds Trust October 31, 2020 (unaudited)
Notes to Financial Statements (continued)
Morningstar International Equity Fund | Morningstar Total Return Bond Fund | Morningstar Multisector Bond Fund | Morningstar Unconstrained Allocation Fund | Morningstar Alternatives Fund | ||||||||||||||||
Options (continued): | ||||||||||||||||||||
Ending Notional Balance - Purchased | $— | $ 381,724,919 | $ 590,000 | $— | $ 2,341,635 | |||||||||||||||
Ending Notional Balance - Written | — | 116,842,009 | — | — | 1,857,889 | |||||||||||||||
Swaptions: | ||||||||||||||||||||
Average Notional Balance - Purchased | — | 15,537,067 | — | — | — | |||||||||||||||
Average Notional Balance - Written | — | 21,690,317 | — | — | — | |||||||||||||||
Ending Notional Balance - Purchased | — | 44,199,690 | — | — | — | |||||||||||||||
Ending Notional Balance - Written | — | 44,199,690 | — | — | — |
8. Federal Income Tax Matters
As of October 31, 2020, the cost and aggregate gross unrealized appreciation (depreciation) of long security positions, short security positions and derivative instruments for federal income tax purposes were as follows:
Fund | Cost of Investments | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Morningstar U.S. Equity Fund | $ | 1,180,248,571 | $ | 140,795,773 | $ | (66,204,863 | ) | $ | 74,590,910 | |||||||
Morningstar International Equity Fund | 827,566,829 | 61,097,065 | (76,732,242 | ) | (15,635,177 | ) | ||||||||||
Morningstar Global Income Fund | 243,016,665 | 12,935,103 | (14,015,907 | ) | (1,080,804 | ) | ||||||||||
Morningstar Total Return Bond Fund | 611,392,294 | 22,171,512 | (7,068,257 | ) | 15,103,255 | |||||||||||
Morningstar Municipal Bond Fund | 345,796,960 | 7,594,069 | (2,036,713 | ) | 5,557,356 | |||||||||||
Morningstar Defensive Bond Fund | 224,383,876 | 3,359,116 | (937,846 | ) | 2,421,270 | |||||||||||
Morningstar Multisector Bond Fund | 252,113,902 | 7,471,930 | (7,008,378 | ) | 463,552 | |||||||||||
Morningstar Unconstrained Allocation Fund | 151,968,044 | 10,541,862 | (2,713,174 | ) | 7,828,688 | |||||||||||
Morningstar Alternatives Fund | 206,719,725 | 11,177,783 | (10,012,768 | ) | 1,165,015 |
The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals, mark to market on credit default swaps, futures contracts, foreign exchange contracts and passive foreign investment companies (“PFICs”), straddle loss deferrals, investment in interest only (“IO”) securities and contingent payment debt instruments (“CPDIs”), and timing of income recognition from Real Estate Investment Trusts (“REITs”).
275
Morningstar Funds Trust October 31, 2020 (unaudited)
Notes to Financial Statements (continued)
As of April 30, 2020, the components of distributable earnings (loss) (excluding paid in capital) on a tax basis were as follows:
Fund | Currenct Income | Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain or Tax Basis Capital Loss Carryforwards | Net Unrealized Appreciation (Depreciation) | Accumulated Capital and Other Losses | Total Accumulated Earnings | ||||||||||||||||||
Morningstar U.S. Equity Fund | $ | — | $ | 3,730,855 | $ | — | $ | (21,176,420 | ) | $ | (16,468,490 | ) | $ | (33,914,055 | ) | |||||||||
Morningstar International Equity | ||||||||||||||||||||||||
Fund | — | 1,555,832 | 6,576,850 | (91,451,186 | ) | — | (83,318,504 | ) | ||||||||||||||||
Morningstar Global Income Fund | — | 225,849 | — | (13,009,933 | ) | (740 | ) | (12,784,824 | ) | |||||||||||||||
Morningstar Total Return | ||||||||||||||||||||||||
Bond Fund | — | 9,974,630 | 4,270,224 | 6,472,493 | (4,327 | ) | 20,713,020 | |||||||||||||||||
Morningstar Municipal Bond Fund | 81,113 | — | — | (7,974,819 | ) | (964,022 | ) | (8,857,728 | ) | |||||||||||||||
Morningstar Defensive Bond Fund | — | 675,650 | 298,566 | 739,840 | (1,444 | ) | 1,712,612 | |||||||||||||||||
Morningstar Multisector | ||||||||||||||||||||||||
Bond Fund | — | 989,103 | — | (17,450,788 | ) | (5,437,917 | ) | (21,899,602 | ) | |||||||||||||||
Morningstar Unconstrained | ||||||||||||||||||||||||
Allocation Fund | — | 2,019,128 | 33,566 | (221,810 | ) | — | 1,830,884 | |||||||||||||||||
Morningstar Alternatives Fund | — | 4,325,758 | — | (5,440,609 | ) | (165,414 | ) | (1,280,265 | ) |
Income dividends and capital gains distributions are determined in accordance with federal income tax regulations. Such amounts may differ from income and capital gains recorded in accordance with U.S. GAAP. Accordingly, the Funds may periodically make reclassifications among certain of their capital accounts to reflect differences between financial reporting and federal income tax basis distributions. These reclassifications are reported in order to reflect the tax treatment for certain permanent differences that exist between income tax regulations and U.S. GAAP. These reclassifications have no impact on the total net assets or the net asset values per share of the Funds. At April 30, 2020, the following reclassification was recorded:
Fund | Accumulated Distributable Earnings (Losses) | Paid-in Capital | ||||||
Morningstar Total Return Bond Fund | $ 1,852 | $ (1,852) | ||||||
Morningstar Multisector Bond Fund | 394 | (394 | ) | |||||
Morningstar Alternatives Fund | 16,869 | (16,869 | ) | |||||
|
|
The tax character of distributions paid during the fiscal year-ended April 30, 2020 were as follows:
Fiscal Year Ended April 30, 2020 | ||||||||||||||||
Fund | Tax-Exempt Income | Ordinary Income | Capital Gains | Total Distributions Paid | ||||||||||||
Morningstar U.S. Equity Fund | $ — | $18,559,105 | $ 75,419 | $ 18,634,524 | ||||||||||||
Morningstar International Equity Fund | — | 17,320,965 | 58 | 17,321,023 | ||||||||||||
Morningstar Global Income Fund | — | 9,337,742 | 13,989 | 9,351,731 | ||||||||||||
Morningstar Total Return Bond Fund | — | 25,566,475 | 417,832 | 25,984,307 |
276
Morningstar Funds Trust October 31, 2020 (unaudited)
Notes to Financial Statements (continued)
Fiscal Year Ended April 30, 2020 | ||||||||||||||||
Fund | Tax-Exempt Income | Ordinary Income | Capital Gains | Total Distributions Paid | ||||||||||||
Morningstar Municipal Bond Fund | $ 3,722,036 | $ 677,440 | $ 17 | $ 4,399,493 | ||||||||||||
Morningstar Defensive Bond Fund | — | 4,722,041 | 38 | 4,722,079 | ||||||||||||
Morningstar Multisector Bond Fund | — | 10,125,655 | 77 | 10,125,732 | ||||||||||||
Morningstar Unconstrained Allocation Fund | — | 2,836,649 | — | 2,836,649 | ||||||||||||
Morningstar Alternatives Fund | — | 3,235,052 | 7,401 | 3,242,453 |
The tax character of distributions paid during the fiscal period-ended April 30, 2019 were as follows:
Fiscal Period Ended April 30, 2019 | ||||||||||||
Fund | Tax Exempt Income | Ordinary Income | Total Distributions Paid | |||||||||
Morningstar U.S. Equity Fund | $ — | $ 422,538 | $ 422,538 | |||||||||
Morningstar International Equity Fund | — | 550,924 | 550,924 | |||||||||
Morningstar Global Income Fund | — | 959,797 | 959,797 | |||||||||
Morningstar Total Return Bond Fund | — | 2,817,061 | 2,817,061 | |||||||||
Morningstar Municipal Bond Fund | 743,422 | 44,375 | 787,797 | |||||||||
Morningstar Defensive Bond Fund | — | 665,904 | 665,904 | |||||||||
Morningstar Multisector Bond Fund | — | 2,273,735 | 2,273,735 | |||||||||
Morningstar Unconstrained Allocation Fund | — | 257,198 | 257,198 | |||||||||
Morningstar Alternatives Fund | — | 86,515 | 86,515 |
Under the Regulated Investment Company Modernization Act of 2010, Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Capital loss carry forwards with no expiration will retain their character as either short-term or long-term capital losses.
At April 30, 2020, the Funds had no capital loss carryforwards to offset future capital gains.
For the period subsequent to October 31, 2019, through the fiscal year ended April 30, 2020, the following Funds incurred net capital losses and/or late year ordinary losses for which each Fund intends to treat as having been incurred in the following fiscal year:
Fund | ||||
Morningstar U.S. Equity Fund | $ | 16,468,490 | ||
Morningstar Municipal Bond Fund | 963,948 | |||
Morningstar Multisector Bond Fund | 5,437,917 | |||
Morningstar Alternatives Fund | 165,414 |
277
Morningstar Funds Trust October 31, 2020 (unaudited)
Notes to Financial Statements (continued)
9. Principal Risks and Concentrations
Multimanager and Subadviser Selection Risk: To a significant extent, the Funds’ performance depends on Morningstar’s skill in selecting subadvisers and each subadviser’s skill in selecting securities and executing its strategy. Subadviser strategies may occasionally be out of favor and subadvisers may underperform relative to their peers or benchmarks.
Foreign Securities Risk: Securities of non-U.S. issuers may be less liquid, more volatile, and harder to value than U.S. securities. They may also be subject to political, economic and regulatory risks, and market instability.
Emerging-Markets Risk: Emerging-market countries may have relatively unstable governments and economies based on only a few industries, which can cause greater instability. These countries are also more likely to experience higher levels of inflation, deflation, or currency devaluations, which could hurt their economies and securities markets.
Geographic Concentration Risk: To the extent that a Fund invests a significant portion of its assets in a particular country, region or continent, economic, political, social and environmental conditions in such country, region or continent will have a greater effect on the Fund’s performance than they would in a more geographically diversified equity fund.
Currency Risk: Because some of the Funds invest in foreign securities, changes in currency exchange rates could hurt performance. Morningstar or a subadviser may decide not to hedge, or may not be successful in hedging, its currency exposure.
Interest-Rate Risk: The value of fixed-income securities will typically decline when interest rates rise.
Credit Risk: Issuers of fixed-income securities could default or be downgraded if they fail to make required payments of principal or interest.
Derivatives Risk: A derivative is an instrument with a value based on the performance of an underlying currency, security, index, or other reference asset. Derivatives involve risks different from, or possibly greater than, the risks of investing in more traditional investments. Derivatives involve costs, may create leverage, and may be illiquid, volatile, or difficult to value. In addition, derivatives could cause losses if the counterparty to the transaction does not perform as promised. The investment results achieved by using derivatives may not match or fully offset changes in the value of the underlying currency, security, index, or other reference asset that a Fund was attempting to hedge or the investment opportunity it was trying to pursue.
Market Risk: The value of stocks and other securities can be highly volatile and prices may fluctuate widely, which means you should expect a wide range of returns and could lose money, even over a long time period. Various economic, industry, regulatory, political or other factors (such as natural disasters, epidemics and pandemics, terrorism, conflicts or social unrest) may disrupt U.S. and world economies and can dramatically affect markets generally, certain industry sectors, and/or individual companies.
278
Morningstar Funds Trust October 31, 2020 (unaudited)
Notes to Financial Statements (continued)
10. Principal Ownership
As of October 31, 2020, the Funds had omnibus accounts owning more than 5% of the total shares outstanding of each Fund as follows:
Fund | Number of Shareholders | % Ownership1 | ||||||
Morningstar U.S. Equity Fund | 5 | 98% | ||||||
Morningstar International Equity Fund | 5 | 98% | ||||||
Morningstar Global Income Fund | 5 | 97% | ||||||
Morningstar Total Return Bond Fund | 5 | 96% | ||||||
Morningstar Municipal Bond Fund | 5 | 99% | ||||||
Morningstar Defensive Bond Fund | 4 | 90% | ||||||
Morningstar Multisector Bond Fund | 5 | 96% | ||||||
Morningstar Unconstrained Allocation Fund | 5 | 97% | ||||||
Morningstar Alternatives Fund | 3 | 89% |
1Includes omnibus positions of broker-dealers representing numerous shareholder accounts.
Investment activities of these shareholders may have a material effect on the Funds.
11. Line of Credit
The Funds have a $50 million line of credit agreement with Northern Trust. Borrowings are made solely to facilitate the handling of redemptions or unusual or unanticipated short-term cash requirements. Because several Funds participate and collateral requirements apply, there is no assurance that an individual Fund will have access to the entire $50 million at any particular time. Interest is charged to each Fund based on its borrowings at an amount above the Federal Funds rate. In addition, an administration fee of $10,000 is payable annually and allocated among the Funds based on net assets.
For the six months ended October 31, 2020, the Funds made no borrowings against the line of credit.
12. Subsequent Events
Management has evaluated subsequent events for the Funds through the date this report was issued and has concluded that no subsequent events occurred which required recognition or disclosure.
279
Morningstar Funds Trust October 31, 2020 (unaudited)
As a shareholder of a series within Morningstar Funds Trust, you incur ongoing costs, including management fees, administration, custody, sub-accounting, trustees and other fund expenses. The following examples are intended to help you understand your ongoing costs (in dollars and cents) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 invested at the beginning of a six month period and held for the entire period, May 1, 2020 through October 31, 2020.
Actual Expenses
The three columns for each Fund in the table under the “Actual” heading provide information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the second column for your Fund under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The last three columns for each Fund in the table under the “Hypothetical (5% return)” heading provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only. Therefore, the last three columns for each Fund in the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds.
Actual | Hypothetical (5% return) | |||||||||||||||||||||||||||
Annualized Expense Ratio | Beginning Account Value | Ending Account Value | Expenses Paid During Period | Beginning Account Value | Ending Account Value | Expenses Paid During Period | ||||||||||||||||||||||
Morningstar U.S. Equity Fund | 0.81% | $1,000.00 | $1,114.30 | $4.30 | $1,000.00 | $1,021.06 | $4.12 | |||||||||||||||||||||
Morningstar International Equity Fund | 0.90 | 1,000.00 | 1,114.20 | 4.78 | 1,000.00 | 1,020.61 | 4.57 | |||||||||||||||||||||
Morningstar Global Income Fund | 0.61 | 1,000.00 | 1,057.00 | 3.15 | 1,000.00 | 1,022.07 | 3.10 | |||||||||||||||||||||
Morningstar Total Return Bond Fund | 0.52 | 1,000.00 | 1,040.30 | 2.67 | 1,000.00 | 1,022.52 | 2.64 | |||||||||||||||||||||
Morningstar Municipal Bond Fund | 0.58 | 1,000.00 | 1,053.30 | 2.99 | 1,000.00 | 1,022.22 | 2.95 |
280
Morningstar Funds Trust October 31, 2020 (unaudited)
Fund Expenses (continued)
Actual | Hypothetical (5% return) | |||||||||||||||||||||||||||
Annualized Expense Ratio | Beginning Account Value | Ending Account Value | Expenses Paid During Period | Beginning Account Value | Ending Account Value | Expenses Paid During Period | ||||||||||||||||||||||
Morningstar Defensive Bond Fund | 0.48% | $1,000.00 | $1,022.70 | $2.44 | $1,000.00 | $1,022.72 | $2.44 | |||||||||||||||||||||
Morningstar Multisector Bond Fund | 0.79 | 1,000.00 | 1,093.40 | 4.16 | 1,000.00 | 1,021.17 | 4.01 | |||||||||||||||||||||
Morningstar Unconstrained Allocation Fund | 0.73 | 1,000.00 | 1,070.00 | 3.80 | 1,000.00 | 1,021.47 | 3.71 | |||||||||||||||||||||
Morningstar Alternatives Fund | 1.27 | 1,000.00 | 1,044.50 | 6.53 | 1,000.00 | 1,018.75 | 6.44 |
281
282
u | sharing for nonaffiliates to market to you. | |||||||
State laws and individual companies’ policies may give you additional rights to limit sharing.
| ||||||||
Definitions | Affiliates | |||||||
Companies related by common ownership or control. They can be financial and nonfinancial companies. | ||||||||
u | Morningstar Funds Trust’s investment adviser is Morningstar Investment Management LLC, a wholly-owned subsidiary of Morningstar, Inc. Morningstar Investment Services, LLC, a wholly-owned subsidiary of Morningstar Investment Management LLC, is the sponsor of the Morningstar Managed Portfolios advisory service. | |||||||
Nonaffiliates | ||||||||
Companies not related by common ownership or control. They can be financial and nonfinancial companies. | ||||||||
u | The Trust does not share your personal information with nonaffiliates for marketing their services to you. | |||||||
Joint marketing | ||||||||
A formal agreement between nonaffiliated financial companies that together market financial products or services to you. | ||||||||
u | The Trust does not have such an agreement in place.
| |||||||
Other Important Information | Morningstar Funds Trust (“Morningstar Funds”) is only available through model portfolios designed and maintained by Morningstar Investment Management LLC (“Model Portfolios”). Model Portfolios are made available to nonaffiliated financial institutions (e.g., financial advisers, retirement plan, recordkeepers) who may use the Model Portfolios as part of an investment advisory solution offered to their clients. The financial institution’s client’s assets are held at a nonaffiliated custodian (“Custodian”). Custodians report buy/sells of Morningstar Funds shares to the Trust’s transfer agent at an aggregate level (e.g., omnibus). Because of this structure, under normal circumstances, the Trust does not have personal information of the shareholders of the Morningstar Funds. From time-to-time, Morningstar Funds Trust may seek shareholder’s personal information to fulfill regulatory requirements and/or obligations. In those instances, Morningstar Funds Trust will not make your personal information available to anyone other than the above-mentioned affiliates. Morningstar Funds reserves the right to change this policy at any time by distributing and/or posting a new privacy policy without notice.
| |||||||
Questions? | Your privacy is very important to us. If you have further questions, please contact us at (877) 626-3224. |
283
Morningstar Funds Trust October 31, 2020 (unaudited)
Board Approval of New Subadvisory Agreements
Morningstar Funds Trust
At a meeting of the Board of Trustees of the Trust (the “Board”) on June 25, 2020, the Board unanimously approved new subadvisory agreements (each, a “New Subadvisory Agreement,” and collectively, the “New Subadvisory Agreements”) with each of three existing subadvisers to the Funds that are subsidiaries of Legg Mason, Inc. (“Legg Mason”): 1) Brandywine Global Investment Management, LLC (“Brandywine”), subadviser to the Unconstrained Allocation Fund; 2) ClearBridge Investments, LLC (“ClearBridge”), subadviser to the U.S. Equity Fund; and 3) Western Asset Management Company, LLC (“Western”), subadviser to the Total Return Bond Fund (each, a “Legg Mason Subadviser,” and collectively, the “Legg Mason Subadvisers”). The New Subadvisory Agreements were approved in anticipation of the acquisition of Legg Mason, Inc. (“Legg Mason”) by Franklin Resources, Inc. (“Franklin Resources”), which was expected to close on or near July 31, 2020 (the “Transaction”).
It was anticipated that the Transaction would result in a “change in control” of each Legg Mason Subadviser, and therefore, would constitute an “assignment,” as such term is defined in the 1940 Act, of the existing subadvisory agreements between MIM, the Trust and each of the Legg Mason Subadvisers, on behalf of the applicable Funds (each, an “Original Subadvisory Agreement,” and collectively, the “Original Subadvisory Agreements”). The terms of the proposed New Subadvisory Agreements, other than their respective dates, were identical in all respects to the Original Subadvisory Agreements that had been considered and approved by the Board at the meeting held on March 11, 2020 (the “March Meeting”). In order to permit each Legg Mason Subadviser to continue to provide investment advisory services to the applicable Funds, the Board considered and approved the New Subadvisory Agreements, to become effective following the Transaction.
The material factors considered and the conclusions that formed the bases of the Board’s approval of the New Subadvisory Agreements are described below. This summary describes the most significant, but not all, of the factors evaluated by the Board. The Board did not quantify or assign relative weights to the factors. Each member of the Board may have assigned different weights to the factors.
In considering the approval of the New Subadvisory Agreements, the Board was able to draw on its knowledge of the Trust, the Funds, MIM, and each Legg Mason Subadviser. The Board considered the approval of the Original Subadvisory Agreements, and considered the nature, extent and quality of services provided by the Legg Mason Subadvisers, their investment performance with regard to the management of their allocated portion of their respective Funds, and the relevant subadvisory fees.
The Board reviewed memoranda and supporting documentation provided by MIM and Franklin Resources regarding the Transaction, as well as copies of each proposed New Subadvisory Agreement. The Board noted that each New Subadvisory Agreement provided for the same services and fees as the Original Subadvisory Agreements and that the New Subadvisory Agreements were in all respects identical to the Original Subadvisory Agreements, except for the effective date. Given that the services and fees provided under the New Subadvisory Agreements were identical to the services and fees under the Original Subadvisory Agreements, the Board’s deliberations at the March Meeting remained relevant.
At the March Meeting, the Board considered multiple factors that they deemed relevant, including, but not limited to:
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Morningstar Funds Trust October 31, 2020 (unaudited)
Board Approval of New Subadvisory Agreements (continued)
● | The form of the Original Subadvisory Agreements with each Legg Mason Subadviser. |
● | The investment performance of each Fund and the performance of each Legg Mason Subadviser in achieving this performance. |
● | Whether each Fund had operated in accordance with its investment objective. |
● | The fairness of the compensation under the Funds’ investment advisory agreement and the Original Subadvisory Agreements. |
● | The expense ratio to be borne by shareholders, considering the combined effect of the pricing structure of each Fund and existing fee waivers and expense reimbursements. |
● | MIM’s investment principles. |
● | The nature, extent and quality of services that MIM and each Legg Mason Subadviser provided and would be expected to provide to each Fund. |
● | The background, experience, personnel, operations, technology, policies, procedures and compliance functions of MIM and each Legg Mason Subadviser, including their experience as managers of other funds and accounts, their investment management approaches and resources, their financial condition and their reputation in the industry. |
● | The compatibility of each Legg Mason Subadviser’s operations, policies, procedures and compliance functions with those of MIM and other service providers to the Funds. |
● | The Chief Compliance Officer’s review of the compliance programs and capabilities of MIM and each Legg Mason Subadviser, including the policies and procedures in place to address actual and potential conflicts of interest. |
● | MIM’s risk management program, especially those aspects of the program related to selecting and overseeing the Legg Mason Subadvisers. |
● | The use of derivatives and other complex instruments to carry out each Fund’s investment goals. |
● | Each Legg Mason Subadviser’s risk management program. |
● | Profitability matters and economies of scale. |
MIM recommended the approval of the New Subadvisory Agreements, pursuant to which each Legg Mason Subadviser would continue to serve as a subadviser of its respective Fund following the Transaction. The approval of the New Subadvisory Agreements was recommended by MIM because, among other factors, (i) the Transaction was not expected to have a material effect on the nature, extent or quality of the services provided by the Legg Mason Subadvisers to their respective Funds; (ii) each Legg Mason Subadviser’s personnel who have been responsible for managing the allocated portion of their respective Funds would continue to serve in their respective capacities following the Transaction; (iii) the terms of the New Subadvisory Agreements were similar, in all material respects other than the effective date, to the Original Subadvisory Agreements that were approved by the Board at the March Meeting; and (iv) each Legg Mason Subadviser’s historical investment performance with respect to its management of their respective Funds had been acceptable.
285
Morningstar Funds Trust October 31, 2020 (unaudited)
Board Approval of New Subadvisory Agreements (continued)
Significant factors considered by the Board included the following:
Services Provided
The Board considered their analysis at the March Meeting of the nature, quality and extent of the services provided by each Legg Mason Subadviser to its respective Fund. At the March Meeting, the Board considered each relevant Fund’s investment goal, MIM’s and each Legg Mason Subadviser’s investment strategy to achieve that goal, and MIM’s and each Legg Mason Subadviser’s success in achieving, and ability to continue to achieve, that investment strategy. The Board also took note of the responsibilities that each Legg Mason Subadviser has with respect to the portion of a Fund’s assets allocated to the Legg Mason Subadviser by MIM. The Board noted their consideration at the March Meeting of the other investment advisory services offered by each Legg Mason Subadviser, and reviewed the allocation of assets and expenses among those services, as well as their fees, the reasons for differences in fees and any potential conflicts in connection with providing these services. The Board considered MIM’s rationale for recommending the continued retention of each Legg Mason Subadviser, and that the Transaction was not expected to have a material effect on the nature, extent or quality of the services provided by the Legg Mason Subadvisers to their respective Funds.
Based on their consideration and review of the foregoing factors, the Board concluded that they were satisfied with the nature, quality and extent of the overall services provided and to be provided by each Legg Mason Subadviser. The Board was confident in the abilities of each Legg Mason Subadviser to continue to implement the respective investment strategy of its relevant Fund and to continue to provide quality services to such Fund.
Investment Performance
The Board considered their analysis at the March Meeting regarding each Legg Mason Subadviser’s investment performance. The Board considered their prior comparison of this performance to peer groups and relevant benchmarks. The Board concluded that their prior consideration of the performance record for each Legg Mason Subadviser in managing their respective Funds supported a decision to approve the New Subadvisory Agreements.
The Cost of Services and Fund Expenses
The Board considered their analysis at the March Meeting regarding the cost of services provided and to be provided by MIM and the Legg Mason Subadvisers and the losses realized by MIM and each Legg Mason Subadviser from a relationship with the relevant Funds. At the March Meeting the Board had considered profitability information, expenses absorbed by MIM through fee waivers and reimbursements, comparative fee data, and actual and potential benefits (often called “fall-out benefits”) that accrue to MIM and the Legg Mason Subadvisers from managing their respective Funds. The Board noted that the subadvisory fees are paid to each Legg Mason Subadviser by MIM and are not additional fees borne by each Fund, and that these fees were the product of arms-length negotiations between MIM and each Legg Mason Subadviser. The Board considered that the subadvisory fees set forth under the proposed New Subadvisory Agreements would be the same as those set forth under the Original Subadvisory Agreements approved by the Board at the March Meeting, and that the investment advisory fees paid by the Funds would similarly remain unaffected by the
286
Morningstar Funds Trust October 31, 2020 (unaudited)
Board Approval of New Subadvisory Agreements (continued)
Transaction. The Board also considered their analysis at the March Meeting regarding fund expenses. The Board concluded that their prior consideration of the cost of services and fund expenses as relevant to the Legg Mason Subadvisers and their relevant Funds supported a decision to approve the New Subadvisory Agreements.
Economies of Scale
The Board considered their analysis at the March Meeting of the economies of scale that may be realized by MIM and each Legg Mason Subadviser as each relevant Fund grows larger and the extent to which these economies would be shared with the Funds’ shareholders. For the reasons discussed at the March Meeting, the Board concluded that economies of scale continued to not be a significant factor with regard to the management fees paid by the Funds at this time given the current assets in the Funds and the limited operating history of the Funds and the expense limitation arrangements that are in effect.
Conclusion
After consideration of the foregoing factors, and such other matters as were deemed relevant, and with no single factor being determinative to their decision, the Board—including a majority of the Independent Trustees with the assistance of counsel—approved the New Subadvisory Agreements and concluded that the subadvisory fee structure provided for in the agreements continued to be fair and reasonable.
287
Morningstar Funds Trust October 31, 2020 (unaudited)
Liquidity Risk Management Program
Consistent with Rule 22e-4 under the Investment Company Act of 1940 (as amended), Morningstar Funds Trust (the “Trust”) has established a written liquidity risk management program (“Program”) to govern the approach in managing liquidity risk within each series of the Trust (each a “Fund” and collectively the “Funds”). For purposes of the Program, liquidity risk means the risk that a Fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the Fund.
The Program is overseen by the Liquidity Committee which is comprised of representatives of the Funds’ investment adviser, Morningstar Investment Management LLC (“MIM”) and certain officers of the Trust (e.g., the Trust’s Principal Financial Officer). The Funds’ Board of Trustees (“Board”) has approved the Program on behalf of the Trust as well as the designation of the Liquidity Committee to oversee the Program. In administering the Program, the Liquidity Committee seeks input from MIM’s portfolio managers and/or subadviser(s) when such input is deemed necessary or appropriate by the Liquidity Committee.
In general, liquidity risk is managed taking into account the investment strategy, liquidity profile, and redemption policy and history of a Fund, with the objective of maintaining a level of liquidity that is appropriate considering the Fund’s obligations to current and future shareholders. Liquidity management for each Fund is based on an assessment of the liquidity of each portfolio asset, considering the time required to liquidate an asset and the price or value at which those assets can be liquidated, in accordance with the requirements of Rule 22e-4.
At a meeting of the Board held on September 23rd, 2020, a written report from the Liquidity Committee was provided to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation (the “Report”) for the annual period from June 1, 2019 through June 30, 2020 (the “Reporting Period”).
During the Reporting Period, each Fund maintained a high level of liquidity and was deemed to primarily hold assets that are defined as highly liquid investments. As a result, no Fund was required to establish or adopted a Highly Liquid Investment Minimum during the Reporting Period.
The Report did not identify any significant liquidity events that materially affected the performance of any Fund or its ability to timely meet redemptions without dilution to existing shareholders during the Reporting Period. In addition, all Funds complied with the 15% limitation on illiquid investments during the Reporting Period, consistent with the Program and the relevant requirements of Rule 22e-4.
The Liquidity Committee has determined that the Program operated adequately and effectively to manage each Fund’s liquidity risk during the Reporting Period and is reasonably designed to manage each Fund’s liquidity risk. However, please note, there can be no assurance that the Program will achieve its objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
288
Morningstar Funds Trust October 31, 2020 (unaudited)
Proxy Voting Policies and Proxy Voting Record
The Board has delegated responsibility for decisions regarding proxy voting for securities held by the Funds to the Adviser, which, in turn, has delegated such responsibility to the subadvisers. Each subadviser will vote such proxies in accordance with its proxy policies and procedures, which are available, free of charge, by calling 877-626-3224. Information about how each Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 may be obtained (1) without charge, upon request, by call 877-626-3224 and (2) on the SEC’s website at http://sec.gov.
Form N-PORT Disclosure
The Trust files its complete schedule of portfolio holdings with the U.S. Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Trust’s Form N-PORT (and its predecessor form, Form N-Q) filings are available on the SEC’s website at http://www.sec.gov.
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Morningstar Funds Trust is only available to citizens or legal residents of the United States or its territories through model portfolios designed and maintained by the Adviser.
Adviser Morningstar Investment Management LLC 22 West Washington Street Chicago, Illinois 60602
Distributor Foreside Fund Services, LLC Three Canal Plaza, Suite 100 Portland, ME 04101
Prospectus Please go to http://connect.rightprospectus.com/Morningstar to access the Morningstar Funds Trust prospectus. | Shareholder Rights When you buy shares in a fund of the Morningstar Funds Trust, you become a shareholder of that fund. As a shareholder, you have certain rights and protections, chief among them an independent board of trustees, whose main role is to represent your interests. The Board of Trustees for the Morningstar Funds Trust is committed to representing your interests as well as implementing and maintaining sound fund governance principles. To learn more about the Board of Trustees please go to https://www.morningstar.com/company/morningstar-funds-governance.
This report is for the general information of the shareholders of the Morningstar Funds. It is not authorized for distribution to prospective investors unless preceded or accompanied by the Funds’ current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Views, opinions, portfolio holdings and other information expressed or noted herein are as of the end of the reporting period and are subject to change. Such views and opinions are not to be viewed as investment advice.
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Item 2. Code of Ethics.
Not applicable for this reporting period.
Item 3. Audit Committee Financial Expert.
Not applicable for this reporting period.
Item 4. Principal Accountant Fees and Services.
Not applicable for this reporting period.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | The registrant has elected to include the schedule of investments in securities of unaffiliated issuers as part of the report to shareholders filed under Item 1 of this report on Form N-CSR. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment 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 shareholders may recommend nominees to the registrant’s Board of Trustees.
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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 (the “1940 Act”)) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 as of a date within 90 days of the filing date of this report. |
(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) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Not applicable for this reporting period. |
(a)(2) | Exhibit 99.CERT: Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Exhibit 99.906 CERT: Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. |
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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.
Morningstar Funds Trust | ||
By | /s/ Daniel E. Needham | |
Daniel E. Needham, President | ||
(Principal Executive Officer) | ||
Date: January 5, 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/ Daniel E. Needham | |
Daniel E. Needham, President | ||
(Principal Executive Officer) | ||
Date: January 5, 2021 | ||
By | /s/ Tracy L. Dotolo | |
Tracy L. Dotolo, Treasurer | ||
(Principal Financial Officer) | ||
Date: January 5, 2021 |
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