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, 2021
Item 1. Reports to Stockholders.
(a) | Report pursuant to Rule 30e-1 |
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 |
c/o D. Scott Schilling, Chief Compliance Officer
22 West Washington Street
Chicago, IL 60602
Chief Investment Officer, Americas
Morningstar Investment Management LLC
General Information | |
Net Asset Value Per Share | $14.85 |
Total Net Assets (millions) | $1,724 |
Net Expense Ratio(a) | 0.85% |
Gross Expense Ratio(a) | 0.91% |
Portfolio Turnover Rate | 30% |
Number of Companies | 326 |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Portfolio Characteristics | |
Weighted Average Market Capitalization (billions) | $56.46 |
Price-to-Earnings Ratio(b) | 21.44 |
Ten Largest Equities (%)(c)(d)(e) | |
Amazon.com, Inc. | 2.2 |
Microsoft Corp. | 1.5 |
Facebook, Inc., Class A | 1.5 |
Thermo Fisher Scientific, Inc. | 1.2 |
NVIDIA Corp. | 1.1 |
Visa, Inc., Class A | 1.0 |
salesforce.com, Inc. | 1.0 |
Apple, Inc. | 1.0 |
Adobe, Inc. | 0.9 |
Merck & Co., Inc. | 0.9 |
Sector Diversification (%)(c)(d) | |
Financial | 16.8 |
Consumer, Noncyclical | 15.0 |
Technology | 13.1 |
Industrial | 9.5 |
Communications | 9.4 |
Consumer, Cyclical | 9.0 |
Energy | 6.1 |
Basic Materials | 3.3 |
Utilities | 2.5 |
General Information | |
Net Asset Value Per Share | $12.96 |
Total Net Assets (millions) | $1,064 |
Net Expense Ratio(a) | 1.00% |
Gross Expense Ratio(a) | 1.19% |
Portfolio Turnover Rate | 48% |
Number of Companies | 380 |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Portfolio Characteristics | |
Weighted Average Market Capitalization (billions) | $49.23 |
Price-to-Earnings Ratio(b) | 14.29 |
Countries Represented | 46 |
Emerging Markets(c)(d) | 30.2% |
Ten Largest Equities (%)(c)(d)(e) | |
Tencent Holdings Ltd. | 1.8 |
Allianz S.E. | 1.5 |
Lloyds Banking Group PLC | 1.3 |
Royal Dutch Shell PLC, Class B | 1.3 |
Toyota Motor Corp. | 1.2 |
Samsung Electronics Co. Ltd. | 1.1 |
Bayer A.G. | 1.1 |
BNP Paribas S.A. | 1.0 |
Roche Holding A.G. (Genusschein) | 1.0 |
Intesa Sanpaolo S.p.A. | 1.0 |
Sector Diversification (%)(c)(d) | |
Financial | 20.3 |
Consumer, Noncyclical | 19.5 |
Consumer, Cyclical | 14.0 |
Communications | 11.4 |
Industrial | 11.0 |
Technology | 9.1 |
Basic Materials | 5.5 |
Energy | 5.5 |
Utilities | 1.0 |
Diversified | 0.1 |
Region Diversification (%)(c)(d) | |
Europe (excluding United Kingdom) | 32.6 |
Pacific (excluding Japan) | 25.9 |
Japan | 18.5 |
United Kingdom | 12.2 |
Latin America | 4.2 |
Africa | 1.4 |
Canada | 1.2 |
United States | 0.8 |
Middle East | 0.6 |
General Information | |
Net Asset Value Per Share | $11.61 |
Total Net Assets (millions) | $278 |
Net Expense Ratio(a) | 0.75% |
Gross Expense Ratio(a) | 0.76% |
Portfolio Turnover Rate | 39% |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Equity Portfolio (50.3%) | |
Number of Common Stocks | 133 |
Five Largest Sectors (%)(b)(c) | |
Financial | 15.5 |
Industrial | 6.0 |
Energy | 5.7 |
Consumer, Noncyclical | 5.7 |
Basic Materials | 5.1 |
Ten Largest Equities (%)(b)(c)(d) | |
BNP Paribas S.A. | 2.3 |
JPMorgan Chase & Co. | 2.2 |
TotalEnergies S.E. ADR | 2.1 |
Raytheon Technologies Corp. | 1.9 |
Toyota Motor Corp. ADR | 1.9 |
Zurich Insurance Group A.G. | 1.9 |
Cie de Saint-Gobain | 1.8 |
Svenska Handelsbanken AB, Class A | 1.7 |
Smurfit Kappa Group PLC | 1.7 |
Persimmon PLC | 1.6 |
General Information | |
Net Asset Value Per Share | $10.75 |
Total Net Assets (millions) | $881 |
Net Expense Ratio(a) | 0.55% |
Gross Expense Ratio(a) | 0.76% |
Portfolio Turnover Rate | 178% |
Number of Issuers | 638 |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Portfolio Characteristics | |
Effective Duration (years)(b) | 7.3 |
Non-USD Exposure(c)(d)(e) | 2.1% |
Five Largest Issuers (%)(c)(d)(f) | |
U.S. Treasury | 23.4 |
Fannie Mae or Freddie Mac | 11.9 |
Federal National Mortgage Association | 6.5 |
Government National Mortgage Association | 4.9 |
Federal Home Loan Mortgage Corporation | 3.5 |
Credit Quality (%)(c)(d)(g) | |
U.S. Treasury | 23.4 |
U.S. Agency | 26.9 |
AAA | 4.2 |
AA | 2.8 |
A | 12.0 |
BBB | 16.2 |
BB | 1.8 |
B | 0.6 |
CCC | 0.2 |
CC | 0.1 |
Not Rated | 2.6 |
Sector Diversification (%)(c)(d) | |
Mortgage Securities | 30.8 |
Government | 27.9 |
Financial | 8.7 |
Energy | 4.2 |
Consumer, Noncyclical | 3.8 |
Communications | 3.5 |
Asset Backed Securities | 3.5 |
Technology | 2.2 |
Industrial | 2.1 |
Utilities | 1.6 |
Consumer, Cyclical | 1.4 |
Basic Materials | 1.1 |
Region Diversification (%)(c)(d) | |
United States | 78.5 |
Latin America | 4.4 |
Europe (excluding United Kingdom) | 2.8 |
Pacific (excluding Japan) | 2.5 |
Middle East | 1.0 |
United Kingdom | 0.9 |
Japan | 0.4 |
Canada | 0.2 |
Africa | 0.1 |
General Information | |
Net Asset Value Per Share | $10.69 |
Total Net Assets (millions) | $420 |
Net Expense Ratio(a) | 0.59% |
Gross Expense Ratio(a) | 0.67% |
Portfolio Turnover Rate | 10% |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Portfolio Characteristics | |
Effective Duration (years)(b) | 4.1 |
Five Largest Issuers (%)(c)(d)(e) | |
Illinois Finance Authority | 1.3 |
State of Illinois | 1.2 |
Maryland Health & Higher Educational Facilities Authority | 1.1 |
Metropolitan Transportation Authority | 1.1 |
New York State Dormitory Authority | 1.1 |
Credit Quality (%)(c)(d)(f) | |
AAA | 3.7 |
AA | 29.2 |
A | 29.6 |
BBB | 13.6 |
BB | 2.0 |
B | 0.2 |
CCC | 0.1 |
A2 (Short Term) | 0.2 |
Not Rated | 3.9 |
Sector Diversification (%)(c)(d) | |
Medical | 12.7 |
General | 12.6 |
Transportation | 9.9 |
General Obligation | 8.7 |
Airport | 6.8 |
Higher Education | 6.2 |
Education | 4.4 |
Development | 4.2 |
Water | 3.8 |
School District | 3.3 |
Power | 2.4 |
Nursing Home | 2.3 |
Utilities | 1.7 |
Multifamily Housing | 1.0 |
Housing | 0.8 |
Bond Banks | 0.4 |
Tobacco Settlement | 0.4 |
Student Loan | 0.3 |
Pollution | 0.2 |
Single Family Housing | 0.2 |
Facilities | 0.2 |
General Information | |
Net Asset Value Per Share | $10.18 |
Total Net Assets (millions) | $205 |
Net Expense Ratio(a) | 0.52% |
Gross Expense Ratio(a) | 0.68% |
Portfolio Turnover Rate | 20% |
Number of Issuers | 140 |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Portfolio Characteristics | |
Effective Duration (years)(b) | 2.2 |
Non-USD Exposure(c)(d)(e) | 0.0% |
Five Largest Issuers (%)(c)(d)(f) | |
PFS Financing Corp. | 2.4 |
Cerberus | 2.1 |
Golub Capital Partners Funding | 1.7 |
Westlake Automobile Receivable | 1.3 |
Pretium Mortgage Credit Partne | 1.2 |
Credit Quality (%)(c)(d)(g) | |
U.S. Agency | 1.3 |
AAA | 18.8 |
AA | 4.7 |
A | 4.2 |
BBB | 0.6 |
BB | 1.6 |
B | 3.4 |
Not Rated | 11.8 |
Sector Diversification (%)(c)(d) | |
Asset Backed Securities | 34.8 |
Mortgage Securities | 6.9 |
Communications | 1.1 |
Financial | 1.0 |
Consumer, Noncyclical | 1.0 |
Consumer, Cyclical | 0.5 |
Technology | 0.5 |
Industrial | 0.5 |
Energy | 0.2 |
Region Diversification (%)(c)(d) | |
United States | 37.2 |
Latin America | 8.5 |
Canada | 0.5 |
Europe (excluding United Kingdom) | 0.2 |
General Information | |
Net Asset Value Per Share | $10.27 |
Total Net Assets (millions) | $233 |
Net Expense Ratio(a) | 0.80% |
Gross Expense Ratio(a) | 0.92% |
Portfolio Turnover Rate | 45% |
Number of Issuers | 480 |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Portfolio Characteristics | |
Effective Duration (years)(b) | 4.8 |
Non-USD Exposure(c)(d)(e) | 34.9% |
Five Largest Issuers (%)(c)(d)(f) | |
Government of Indonesia | 3.2 |
Mexican Bonos Desarollo | 2.7 |
Republic of South Africa | 2.5 |
Nota Do Tesouro Nacional | 2.0 |
Korea Treasury Bond | 1.8 |
Credit Quality (%)(c)(d)(g) | |
U.S. Treasury | 0.4 |
AAA | 0.7 |
AA | 2.2 |
A | 4.6 |
BBB | 13.7 |
BB | 27.6 |
B | 18.1 |
CCC | 4.8 |
C | 0.1 |
Not Rated | 13.9 |
Sector Diversification (%)(c)(d) | |
Government | 44.6 |
Energy | 8.8 |
Financial | 6.6 |
Consumer, Cyclical | 6.5 |
Communications | 6.1 |
Consumer, Noncyclical | 4.1 |
Basic Materials | 3.3 |
Industrial | 2.5 |
Utilities | 1.4 |
Asset Backed Securities | 1.0 |
Mortgage Securities | 0.7 |
Technology | 0.5 |
Region Diversification (%)(c)(d) | |
United States | 24.6 |
Latin America | 19.5 |
Pacific (excluding Japan) | 17.1 |
Europe (excluding United Kingdom) | 9.0 |
Africa | 7.6 |
Middle East | 6.5 |
Canada | 1.1 |
United Kingdom | 0.5 |
Japan | 0.2 |
General Information | |
Net Asset Value Per Share | $12.53 |
Total Net Assets (millions) | $214 |
Net Expense Ratio(a) | 0.93% |
Gross Expense Ratio(a) | 0.97% |
Portfolio Turnover Rate | 54% |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Equity Portfolio (43.9%) | |
Number of Common Stocks | 242 |
Five Largest Sectors (%)(b)(c) | |
Consumer, Noncyclical | 13.0 |
Financial | 6.7 |
Consumer, Cyclical | 6.4 |
Communications | 5.5 |
Industrial | 3.9 |
Ten Largest Equities (%)(b)(c)(d) | |
National Grid PLC | 1.2 |
International Game Technology PLC | 1.1 |
CVS Health Corp. | 1.1 |
Nielsen Holdings PLC | 1.1 |
McKesson Corp. | 1.1 |
H&R Block, Inc. | 1.1 |
Royal Dutch Shell PLC, Class B | 0.9 |
Dollar Tree, Inc. | 0.9 |
Omnicom Group, Inc. | 0.9 |
Fresenius Medical Care A.G. & Co. KGaA | 0.8 |
Fixed Income Portfolio (14.9%) | |
Number of Issuers | 29 |
Sector Diversification (%)(b)(e) | |
Government | 12.5 |
Financial | 1.3 |
Industrial | 0.5 |
Consumer, Cyclical | 0.3 |
Energy | 0.2 |
Mortgage Securities | 0.1 |
Five Largest Issuers (%)(b)(d)(e) | |
U.S. Treasury | 6.7 |
Mexican Bonos Desarollo | 1.4 |
Korea Treasury Bond | 1.1 |
Republic of South Africa | 0.7 |
Malaysia Government | 0.6 |
Credit Quality (%)(b)(d)(f) | |
U.S. Treasury | 6.7 |
AAA | 0.6 |
AA | 0.7 |
A | 1.9 |
BBB | 2.4 |
BB | 1.5 |
Not Rated | 1.1 |
General Information | |
Net Asset Value Per Share | $10.81 |
Total Net Assets (millions) | $339 |
Net Expense Ratio(a) | 1.34% |
Gross Expense Ratio(a) | 1.76% |
Portfolio Turnover Rate | 230% |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Allocation Strategy Type (%)(b) | |
Global Macro | 46.4 |
Convertible Arbitrage | 22.0 |
Merger Arbitrage | 16.0 |
Short-term investments and ETFs | 15.6 |
Region Diversification (%)(c)(d) | |
United States | 69.4 |
Europe (excluding United Kingdom) | 2.2 |
Pacific (excluding Japan) | 1.7 |
United Kingdom | 1.3 |
Japan | 0.5 |
Canada | 0.2 |
Number of Shares | Value | ||
Common Stocks – 84.7% | |||
Aerospace/Defense – 1.6% | |||
Barnes Group, Inc. | 22,725 | $ 953,087 | |
Boeing (The) Co.* | 10,608 | 2,196,174 | |
Lockheed Martin Corp. | 20,019 | 6,652,714 | |
Moog, Inc., Class A | 23,270 | 1,757,583 | |
Northrop Grumman Corp. | 17,922 | 6,402,097 | |
Raytheon Technologies Corp. | 104,255 | 9,264,099 | |
27,225,754 | |||
Agriculture – 0.4% | |||
Archer-Daniels-Midland Co. | 86,787 | 5,575,197 | |
Philip Morris International, Inc. | 12,223 | 1,155,562 | |
6,730,759 | |||
Airlines – 0.2% | |||
Alaska Air Group, Inc.* | 50,478 | 2,665,238 | |
Allegiant Travel Co.* | 7,384 | 1,294,194 | |
3,959,432 | |||
Apparel – 1.0% | |||
Hanesbrands, Inc. | 208,255 | 3,548,665 | |
NIKE, Inc., Class B | 37,800 | 6,323,562 | |
Ralph Lauren Corp. | 34,164 | 4,344,636 | |
VF Corp. | 34,970 | 2,548,614 | |
16,765,477 | |||
Auto Manufacturers – 0.6% | |||
General Motors Co.* | 158,887 | 8,648,219 | |
PACCAR, Inc. | 13,746 | 1,231,917 | |
9,880,136 | |||
Auto Parts & Equipment – 0.7% | |||
Aptiv PLC* | 44,971 | 7,775,036 | |
BorgWarner, Inc. | 69,042 | 3,111,723 | |
Holley, Inc.* | 106,221 | 1,157,809 | |
XPEL, Inc.* | 13,371 | 1,014,859 | |
13,059,427 | |||
Banks – 6.6% | |||
Bank OZK | 152,696 | 6,820,930 | |
BankUnited, Inc. | 69,333 | 2,812,146 | |
BOK Financial Corp. | 27,422 | 2,774,284 | |
Citigroup, Inc. | 213,960 | 14,797,474 | |
Columbia Banking System, Inc. | 45,544 | 1,554,417 | |
Eagle Bancorp, Inc. | 20,590 | 1,165,188 | |
First Republic Bank | 28,778 | 6,225,545 | |
Goldman Sachs Group (The), Inc. | 35,812 | 14,802,890 | |
Hilltop Holdings, Inc. | 29,057 | 1,029,780 | |
JPMorgan Chase & Co. | 86,808 | 14,747,811 |
Number of Shares | Value | ||
Banks (Continued) | |||
Morgan Stanley | 59,478 | $ 6,113,149 | |
PNC Financial Services Group (The), Inc. | 20,883 | 4,406,939 | |
Renasant Corp. | 48,241 | 1,804,696 | |
Sandy Spring Bancorp, Inc. | 40,931 | 1,942,585 | |
Simmons First National Corp., Class A | 66,749 | 1,995,128 | |
SVB Financial Group* | 9,217 | 6,612,276 | |
Triumph Bancorp, Inc.* | 17,014 | 1,995,742 | |
Truist Financial Corp. | 115,824 | 7,351,349 | |
Trustmark Corp. | 32,454 | 1,032,362 | |
U.S. Bancorp | 65,654 | 3,963,532 | |
Veritex Holdings, Inc. | 47,951 | 1,963,593 | |
Webster Financial Corp. | 38,833 | 2,173,095 | |
Western Alliance Bancorp | 48,880 | 5,674,479 | |
113,759,390 | |||
Beverages – 1.1% | |||
Diageo PLC (United Kingdom) | 95,475 | 4,750,043 | |
Duckhorn Portfolio (The), Inc.* | 66,425 | 1,284,659 | |
Molson Coors Beverage Co., Class B | 31,898 | 1,406,383 | |
Monster Beverage Corp.* | 69,692 | 5,923,820 | |
PepsiCo, Inc. | 18,042 | 2,915,587 | |
Primo Water Corp. | 156,661 | 2,490,910 | |
18,771,402 | |||
Biotechnology – 0.2% | |||
BioMarin Pharmaceutical, Inc.* | 39,808 | 3,153,988 | |
Intra-Cellular Therapies, Inc.* | 22,599 | 973,339 | |
4,127,327 | |||
Building Materials – 1.2% | |||
Griffon Corp. | 40,242 | 1,066,011 | |
Johnson Controls International PLC | 62,652 | 4,596,777 | |
Masco Corp. | 47,715 | 3,127,718 | |
Masonite International Corp.* | 16,916 | 2,030,089 | |
Owens Corning | 56,703 | 5,296,627 | |
Trex Co., Inc.* | 26,426 | 2,811,727 | |
UFP Industries, Inc. | 25,330 | 2,072,754 | |
21,001,703 | |||
Chemicals – 2.5% | |||
Ashland Global Holdings, Inc. | 42,342 | 4,065,255 | |
Balchem Corp. | 20,751 | 3,176,771 | |
DuPont de Nemours, Inc. | 200,010 | 13,920,696 |
Number of Shares | Value | ||
Chemicals (Continued) | |||
Ecolab, Inc. | 21,891 | $ 4,864,618 | |
Ecovyst, Inc. | 77,930 | 910,222 | |
Innospec, Inc. | 10,603 | 960,738 | |
International Flavors & Fragrances, Inc. | 6,918 | 1,020,060 | |
PPG Industries, Inc. | 32,953 | 5,291,263 | |
Sherwin-Williams (The) Co. | 13,205 | 4,180,835 | |
Stepan Co. | 16,658 | 1,999,293 | |
Valvoline, Inc. | 60,683 | 2,060,795 | |
42,450,546 | |||
Commercial Services – 2.1% | |||
Cimpress PLC (Ireland)* | 9,940 | 887,841 | |
Equifax, Inc. | 14,185 | 3,935,345 | |
Euronet Worldwide, Inc.* | 10,874 | 1,219,954 | |
Grand Canyon Education, Inc.* | 11,378 | 906,827 | |
HealthEquity, Inc.* | 32,376 | 2,142,644 | |
IHS Markit Ltd. | 72,520 | 9,479,814 | |
Mister Car Wash, Inc.* | 60,839 | 1,115,787 | |
Monro, Inc. | 59,421 | 3,669,841 | |
Moody's Corp. | 4,156 | 1,679,647 | |
Paylocity Holding Corp.* | 6,052 | 1,846,707 | |
PROG Holdings, Inc. | 49,369 | 1,996,976 | |
Repay Holdings Corp.* | 86,636 | 1,820,222 | |
Terminix Global Holdings, Inc.* | 41,027 | 1,660,773 | |
WEX, Inc.* | 9,253 | 1,385,174 | |
ZipRecruiter, Inc., Class A* | 83,432 | 2,317,741 | |
36,065,293 | |||
Computers – 3.4% | |||
Accenture PLC, Class A | 25,560 | 9,170,672 | |
Apple, Inc. | 112,108 | 16,793,778 | |
Check Point Software Technologies Ltd. (Israel)* | 45,294 | 5,417,162 | |
Cognizant Technology Solutions Corp., Class A | 33,084 | 2,583,530 | |
CyberArk Software Ltd.* | 20,429 | 3,679,467 | |
Globant S.A.* | 6,706 | 2,140,488 | |
Hewlett Packard Enterprise Co. | 195,707 | 2,867,108 | |
International Business Machines Corp. | 83,136 | 10,400,314 | |
NCR Corp.* | 130,462 | 5,158,468 | |
58,210,987 | |||
Cosmetics/Personal Care – 0.8% | |||
Colgate-Palmolive Co. | 29,521 | 2,249,205 | |
Unilever PLC ADR (United Kingdom) | 221,252 | 11,854,682 | |
14,103,887 |
Number of Shares | Value | ||
Distribution/Wholesale – 1.1% | |||
Avient Corp. | 36,801 | $ 1,982,838 | |
Pool Corp. | 5,673 | 2,922,503 | |
W.W. Grainger, Inc. | 16,599 | 7,687,163 | |
WESCO International, Inc.* | 48,202 | 6,245,051 | |
18,837,555 | |||
Diversified Financial Services – 3.0% | |||
American Express Co. | 32,704 | 5,683,301 | |
BlackRock, Inc. | 5,377 | 5,072,985 | |
Cohen & Steers, Inc. | 23,771 | 2,255,630 | |
Discover Financial Services | 10,672 | 1,209,351 | |
Focus Financial Partners, Inc. Class A* | 30,798 | 1,935,962 | |
Hamilton Lane, Inc., Class A | 41,265 | 4,312,605 | |
Moelis & Co., Class A | 28,502 | 2,073,236 | |
Mr. Cooper Group, Inc.* | 62,185 | 2,726,190 | |
Nasdaq, Inc. | 28,964 | 6,078,675 | |
Perella Weinberg Partners | 73,693 | 1,034,650 | |
Piper Sandler Cos. | 11,815 | 1,945,812 | |
Visa, Inc., Class A | 82,648 | 17,502,367 | |
51,830,764 | |||
Electric – 2.1% | |||
American Electric Power Co., Inc. | 25,679 | 2,175,268 | |
Avista Corp. | 46,033 | 1,832,574 | |
CenterPoint Energy, Inc. | 367,431 | 9,567,903 | |
Dominion Energy, Inc. | 101,393 | 7,698,770 | |
Duke Energy Corp. | 63,885 | 6,516,909 | |
NorthWestern Corp. | 32,032 | 1,821,339 | |
Southern (The) Co. | 79,071 | 4,927,705 | |
Xcel Energy, Inc. | 22,245 | 1,436,805 | |
35,977,273 | |||
Electrical Component & Equipment – 0.3% | |||
Encore Wire Corp. | 12,012 | 1,610,329 | |
Novanta, Inc.* | 18,484 | 3,189,599 | |
4,799,928 | |||
Electronics – 1.1% | |||
Avnet, Inc. | 21,911 | 835,028 | |
Honeywell International, Inc. | 35,347 | 7,727,561 | |
nVent Electric PLC | 177,263 | 6,283,973 | |
Sensata Technologies Holding PLC* | 73,115 | 4,028,637 | |
18,875,199 | |||
Engineering & Construction – 0.1% | |||
Comfort Systems USA, Inc. | 22,082 | 2,019,841 |
Number of Shares | Value | ||
Entertainment – 0.7% | |||
Red Rock Resorts, Inc., Class A* | 167,844 | $ 9,132,392 | |
Vail Resorts, Inc. | 10,566 | 3,642,206 | |
12,774,598 | |||
Environmental Control – 0.2% | |||
Stericycle, Inc.* | 41,136 | 2,752,821 | |
Food – 1.1% | |||
Flowers Foods, Inc. | 72,529 | 1,795,093 | |
Hostess Brands, Inc.* | 104,121 | 1,968,928 | |
J&J Snack Foods Corp. | 12,450 | 1,836,997 | |
JM Smucker (The) Co. | 5,089 | 625,235 | |
Nestle S.A. (Switzerland)(a) | 40,211 | 5,304,121 | |
Post Holdings, Inc.* | 66,795 | 6,778,357 | |
18,308,731 | |||
Forest Products & Paper – 0.5% | |||
International Paper Co. | 160,621 | 7,978,045 | |
Gas – 0.4% | |||
South Jersey Industries, Inc. | 142,806 | 3,250,265 | |
UGI Corp. | 103,356 | 4,486,684 | |
7,736,949 | |||
Hand/Machine Tools – 0.2% | |||
Stanley Black & Decker, Inc. | 17,827 | 3,204,047 | |
Healthcare - Products – 3.7% | |||
Abbott Laboratories | 41,302 | 5,323,415 | |
Alcon, Inc. (Switzerland) | 79,714 | 6,644,959 | |
Avanos Medical, Inc.* | 31,927 | 1,006,977 | |
Boston Scientific Corp.* | 145,684 | 6,283,351 | |
CONMED Corp. | 14,161 | 2,071,471 | |
Danaher Corp. | 17,210 | 5,365,562 | |
Intuitive Surgical, Inc.* | 14,360 | 5,185,827 | |
Medtronic PLC | 60,212 | 7,217,010 | |
Merit Medical Systems, Inc.* | 27,403 | 1,843,126 | |
Neogen Corp.* | 49,202 | 2,081,737 | |
Patterson Cos., Inc. | 30,025 | 938,581 | |
Thermo Fisher Scientific, Inc. | 32,241 | 20,410,810 | |
64,372,826 | |||
Healthcare - Services – 1.5% | |||
Aveanna Healthcare Holdings, Inc.* | 92,327 | 712,764 | |
Ensign Group (The), Inc. | 33,112 | 2,583,067 | |
ICON PLC (Ireland)* | 11,863 | 3,401,953 | |
Medpace Holdings, Inc.* | 16,064 | 3,639,299 |
Number of Shares | Value | ||
Healthcare - Services (Continued) | |||
Pennant Group (The), Inc.* | 22,990 | $ 587,854 | |
UnitedHealth Group, Inc. | 32,218 | 14,835,423 | |
25,760,360 | |||
Home Builders – 0.5% | |||
Century Communities, Inc. | 29,959 | 2,009,050 | |
Installed Building Products, Inc. | 14,236 | 1,808,684 | |
NVR, Inc.* | 885 | 4,331,898 | |
8,149,632 | |||
Household Products/Wares – 0.4% | |||
Central Garden & Pet Co., Class A* | 44,332 | 2,048,138 | |
Kimberly-Clark Corp. | 19,356 | 2,506,409 | |
Reckitt Benckiser Group PLC (United Kingdom) | 20,991 | 1,704,108 | |
6,258,655 | |||
Insurance – 4.6% | |||
Alleghany Corp.* | 3,253 | 2,118,939 | |
American International Group, Inc. | 175,872 | 10,392,276 | |
Aon PLC, Class A | 30,043 | 9,611,357 | |
Argo Group International Holdings Ltd. | 34,517 | 1,901,887 | |
Berkshire Hathaway, Inc., Class B* | 20,678 | 5,934,793 | |
Brighthouse Financial, Inc.* | 45,729 | 2,296,968 | |
Chubb Ltd. | 36,980 | 7,225,152 | |
Enstar Group Ltd.* | 5,512 | 1,272,059 | |
Hartford Financial Services Group (The), Inc. | 48,229 | 3,517,341 | |
James River Group Holdings Ltd. | 18,332 | 585,707 | |
Loews Corp. | 68,015 | 3,813,601 | |
Marsh & McLennan Cos., Inc. | 42,544 | 7,096,339 | |
Progressive (The) Corp. | 56,076 | 5,320,491 | |
Reinsurance Group of America, Inc. | 10,035 | 1,184,933 | |
RenaissanceRe Holdings Ltd. | 10,145 | 1,438,561 | |
Travelers (The) Cos., Inc. | 25,099 | 4,037,927 | |
Voya Financial, Inc. | 123,598 | 8,623,432 | |
Willis Towers Watson PLC | 10,884 | 2,636,976 | |
79,008,739 | |||
Internet – 6.7% | |||
1-800-Flowers.com, Inc., Class A* | 52,082 | 1,672,874 | |
Alibaba Group Holding Ltd. ADR (China)* | 33,944 | 5,598,723 |
Number of Shares | Value | ||
Internet (Continued) | |||
Amazon.com, Inc.* | 11,205 | $ 37,788,078 | |
Booking Holdings, Inc.* | 2,476 | 5,993,851 | |
Facebook, Inc., Class A* | 78,807 | 25,499,581 | |
Netflix, Inc.* | 13,500 | 9,319,185 | |
Open Lending Corp., Class A* | 69,981 | 2,205,801 | |
Palo Alto Networks, Inc.* | 24,059 | 12,248,196 | |
Q2 Holdings, Inc.* | 22,172 | 1,739,615 | |
Sea Ltd. ADR (Taiwan)* | 18,350 | 6,304,510 | |
Uber Technologies, Inc.* | 162,579 | 7,124,212 | |
115,494,626 | |||
Leisure Time – 0.3% | |||
Callaway Golf Co.* | 48,879 | 1,322,177 | |
Polaris, Inc. | 16,687 | 1,918,171 | |
YETI Holdings, Inc.* | 26,005 | 2,557,071 | |
5,797,419 | |||
Lodging – 0.1% | |||
Marriott International, Inc., Class A* | 13,113 | 2,098,342 | |
Machinery - Diversified – 1.1% | |||
Alamo Group, Inc. | 6,641 | 1,004,119 | |
Altra Industrial Motion Corp. | 89,890 | 4,687,764 | |
Colfax Corp.* | 162,152 | 8,370,286 | |
Columbus McKinnon Corp. | 20,479 | 968,042 | |
Kadant, Inc. | 13,376 | 2,971,077 | |
Otis Worldwide Corp. | 12,340 | 991,026 | |
18,992,314 | |||
Media – 1.2% | |||
Comcast Corp., Class A | 229,097 | 11,782,459 | |
Liberty Media Corp.-Liberty Formula One, Class C* | 41,849 | 2,335,174 | |
Walt Disney (The) Co.* | 41,880 | 7,080,651 | |
21,198,284 | |||
Metal Fabricate/Hardware – 0.4% | |||
AZZ, Inc. | 19,739 | 1,048,733 | |
Helios Technologies, Inc. | 28,175 | 2,565,334 | |
Janus International Group, Inc.* | 132,213 | 1,847,016 | |
RBC Bearings, Inc.* | 9,592 | 2,243,856 | |
7,704,939 | |||
Mining – 0.3% | |||
Freeport-McMoRan, Inc. | 119,157 | 4,494,602 | |
Livent Corp.* | 36,633 | 1,033,783 | |
5,528,385 | |||
Miscellaneous Manufacturing – 1.9% | |||
Eaton Corp. PLC | 73,685 | 12,140,340 |
Number of Shares | Value | ||
Miscellaneous Manufacturing (Continued) | |||
Fabrinet (Thailand)* | 21,098 | $ 2,025,408 | |
Federal Signal Corp. | 46,165 | 1,976,324 | |
General Electric Co. | 37,753 | 3,959,157 | |
Illinois Tool Works, Inc. | 22,867 | 5,210,703 | |
Parker-Hannifin Corp. | 14,603 | 4,331,104 | |
Trane Technologies PLC | 20,187 | 3,652,434 | |
33,295,470 | |||
Oil & Gas – 1.7% | |||
Brigham Minerals, Inc., Class A | 46,402 | 1,075,598 | |
Cabot Oil & Gas Corp. | 187,628 | 4,000,229 | |
Chevron Corp. | 15,875 | 1,817,529 | |
ConocoPhillips | 42,243 | 3,146,681 | |
EOG Resources, Inc. | 22,186 | 2,051,318 | |
Hess Corp. | 73,624 | 6,079,134 | |
PDC Energy, Inc. | 38,353 | 2,006,245 | |
Pioneer Natural Resources Co. | 41,134 | 7,691,235 | |
Whiting Petroleum Corp.* | 14,512 | 945,167 | |
28,813,136 | |||
Packing & Containers – 0.1% | |||
TriMas Corp.* | 45,793 | 1,527,197 | |
Pharmaceuticals – 3.8% | |||
AbbVie, Inc. | 54,249 | 6,220,733 | |
Cigna Corp. | 28,020 | 5,985,352 | |
Johnson & Johnson | 65,301 | 10,636,227 | |
McKesson Corp. | 14,184 | 2,948,570 | |
Merck & Co., Inc. | 181,587 | 15,988,735 | |
Pfizer, Inc. | 113,472 | 4,963,265 | |
Roche Holding A.G. (Genusschein) (Switzerland) | 2,746 | 1,063,784 | |
Viatris, Inc. | 411,470 | 5,493,125 | |
Zoetis, Inc. | 54,840 | 11,856,408 | |
65,156,199 | |||
Pipelines – 4.4% | |||
Antero Midstream Corp. | 220,474 | 2,345,843 | |
Cheniere Energy, Inc.* | 130,683 | 13,512,622 | |
Enbridge, Inc. (Canada) | 363,781 | 15,237,886 | |
Equitrans Midstream Corp. | 269,123 | 2,774,658 | |
Kinder Morgan, Inc. | 674,984 | 11,305,982 | |
ONEOK, Inc. | 84,168 | 5,354,768 | |
Pembina Pipeline Corp. (Canada) | 105,690 | 3,498,804 | |
TC Energy Corp. (Canada) | 249,844 | 13,515,721 | |
Williams (The) Cos., Inc. | 304,557 | 8,555,006 | |
76,101,290 |
Number of Shares | Value | ||
Private Equity – 0.1% | |||
KKR & Co., Inc. | 18,898 | $ 1,505,604 | |
Real Estate – 0.2% | |||
Jones Lang LaSalle, Inc.* | 5,413 | 1,397,799 | |
Radius Global Infrastructure, Inc. Class A* | 107,362 | 1,860,583 | |
3,258,382 | |||
Real Estate Investment Trusts – 1.8% | |||
Community Healthcare Trust, Inc. | 31,927 | 1,527,388 | |
CubeSmart | 121,365 | 6,676,289 | |
Douglas Emmett, Inc. | 58,110 | 1,899,035 | |
Equinix, Inc. | 8,129 | 6,804,542 | |
National Storage Affiliates Trust | 53,502 | 3,341,735 | |
Plymouth Industrial REIT, Inc. | 84,998 | 2,172,549 | |
PotlatchDeltic Corp. | 20,218 | 1,056,795 | |
Public Storage | 4,079 | 1,354,962 | |
Rayonier, Inc. | 29,248 | 1,091,828 | |
Sunstone Hotel Investors, Inc.* | 77,607 | 957,670 | |
UDR, Inc. | 19,077 | 1,059,346 | |
Urban Edge Properties | 76,848 | 1,347,145 | |
Weyerhaeuser Co. | 67,155 | 2,398,776 | |
31,688,060 | |||
Retail – 3.7% | |||
Academy Sports & Outdoors, Inc.* | 22,269 | 952,668 | |
Advance Auto Parts, Inc. | 35,564 | 8,020,393 | |
Bloomin' Brands, Inc.* | 46,220 | 999,276 | |
Chuy's Holdings, Inc.* | 29,450 | 858,762 | |
Five Below, Inc.* | 11,961 | 2,359,905 | |
Floor & Decor Holdings, Inc., Class A* | 16,666 | 2,265,243 | |
Gap (The), Inc. | 152,067 | 3,450,400 | |
Home Depot (The), Inc. | 28,922 | 10,751,464 | |
Jack in the Box, Inc. | 20,102 | 1,989,093 | |
Lowe's Cos., Inc. | 22,991 | 5,375,756 | |
National Vision Holdings, Inc.* | 16,696 | 1,029,141 | |
Ollie's Bargain Outlet Holdings, Inc.* | 31,104 | 2,104,497 | |
Papa John's International, Inc. | 8,322 | 1,032,594 | |
Sonic Automotive, Inc. Class A | 39,420 | 1,948,531 | |
Tractor Suppy Co. | 29,170 | 6,334,849 |
Number of Shares | Value | ||
Retail (Continued) | |||
Ulta Beauty, Inc.* | 19,968 | $ 7,335,445 | |
Walmart, Inc. | 48,248 | 7,209,216 | |
64,017,233 | |||
Savings & Loans – 0.4% | |||
Provident Financial Services, Inc. | 40,148 | 994,065 | |
Sterling Bancorp | 206,365 | 5,251,989 | |
6,246,054 | |||
Semiconductors – 3.8% | |||
Amkor Technology, Inc. | 82,214 | 1,802,131 | |
Analog Devices, Inc. | 13,965 | 2,422,788 | |
ASML Holding N.V. (Netherlands)(a) | 7,920 | 6,438,010 | |
Intel Corp. | 45,367 | 2,222,983 | |
Micron Technology, Inc. | 76,360 | 5,276,476 | |
Monolithic Power Systems, Inc. | 3,667 | 1,926,862 | |
NVIDIA Corp. | 72,068 | 18,425,625 | |
NXP Semiconductors N.V. (China) | 45,046 | 9,047,939 | |
QUALCOMM, Inc. | 71,567 | 9,521,274 | |
Texas Instruments, Inc. | 41,711 | 7,819,978 | |
64,904,066 | |||
Software – 6.0% | |||
Adobe, Inc.* | 25,006 | 16,262,902 | |
Akamai Technologies, Inc.* | 16,458 | 1,735,661 | |
Atlassian Corp. PLC, Class A* | 25,580 | 11,718,965 | |
Avalara, Inc.* | 7,021 | 1,261,253 | |
Clearwater Analytics Holdings, Inc., Class A* | 9,950 | 223,676 | |
Fidelity National Information Services, Inc. | 68,989 | 7,639,842 | |
Fiserv, Inc.* | 17,357 | 1,709,491 | |
Five9, Inc.* | 9,138 | 1,443,895 | |
Guidewire Software, Inc.* | 14,380 | 1,807,997 | |
Microsoft Corp. | 79,647 | 26,412,538 | |
salesforce.com, Inc.* | 58,278 | 17,465,334 | |
Splunk, Inc.* | 43,457 | 7,162,583 | |
UiPath, Inc. Class A* | 41,680 | 2,094,420 | |
Workday, Inc., Class A* | 25,660 | 7,440,887 | |
104,379,444 | |||
Telecommunications – 1.5% | |||
ADTRAN, Inc. | 53,717 | 992,690 | |
AT&T, Inc. | 200,534 | 5,065,489 | |
Cisco Systems, Inc. | 160,970 | 9,009,491 |
Number of Shares | Value | ||
Telecommunications (Continued) | |||
Viavi Solutions, Inc.* | 126,491 | $ 1,947,961 | |
Vodafone Group PLC ADR (United Kingdom) | 606,442 | 9,066,308 | |
26,081,939 | |||
Transportation – 1.3% | |||
Canadian National Railway Co. (Canada) | 15,908 | 2,114,332 | |
Kirby Corp.* | 63,639 | 3,335,320 | |
Union Pacific Corp. | 22,245 | 5,369,943 | |
United Parcel Service, Inc., Class B | 51,635 | 11,022,524 | |
21,842,119 | |||
Total Common Stocks (Cost $1,073,990,786) | 1,460,387,985 | ||
Master Limited Partnerships – 2.4% | |||
Pipelines – 2.4% | |||
Energy Transfer L.P. | 907,679 | 8,632,027 | |
Enterprise Products Partners L.P. | 596,301 | 13,524,107 | |
Magellan Midstream Partners L.P. | 93,520 | 4,582,480 | |
MPLX L.P. | 159,253 | 4,796,700 | |
Phillips 66 Partners L.P. | 58,521 | 2,161,766 | |
Plains All American Pipeline L.P. | 552,464 | 5,590,936 | |
Shell Midstream Partners L.P. | 157,776 | 1,962,733 | |
41,250,749 | |||
Total Master Limited Partnerships (Cost $45,876,443) | 41,250,749 |
Number of Shares | Value | ||
Investment Companies – 11.7% | |||
Energy Select Sector SPDR Fund | 449,928 | $ 25,857,362 | |
Vanguard Consumer Staples ETF | 409,042 | 75,950,919 | |
Vanguard Financials ETF | 273,697 | 27,273,906 | |
Vanguard Health Care ETF | 280,664 | 72,537,611 | |
Total Investment Companies (Cost $153,447,525) | 201,619,798 | ||
Short-Term Investments – 1.1% | |||
Money Market Fund – 1.1% | |||
Northern Institutional Funds - Treasury Portfolio (Premier), 0.01%(b) | 19,028,616 | 19,028,616 | |
Total Short-Term Investments (Cost $19,028,616) | 19,028,616 | ||
Total Investments – 99.9% (Cost $1,292,343,370) | 1,722,287,148 | ||
Other Assets less Liabilities – 0.1% | 2,179,493 | ||
NET ASSETS – 100.0% | $1,724,466,641 |
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, 2021 is disclosed. | ||
* | Non-income producing security |
Abbreviations: | |
ADR | American Depositary Receipt |
ETF | Exchange-Traded Fund |
L.P. | Limited Partnership |
PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
SPDR | Standard & Poor's Depositary Receipt |
Morningstar U.S. Equity Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Common Stocks | 1,447,565,929 | $12,822,056 | $— | 1,460,387,985 |
Master Limited Partnerships | 41,250,749 | — | — | 41,250,749 |
Investment Companies | 201,619,798 | — | — | 201,619,798 |
Short-Term Investments | 19,028,616 | — | — | 19,028,616 |
Total Investments | $1,709,465,092 | $12,822,056 | $— | $1,722,287,148 |
Number of Shares | Value | ||
Common Stocks – 96.6% | |||
Advertising – 1.0% | |||
Dentsu Group, Inc. (Japan) | 20,894 | $ 763,545 | |
Publicis Groupe S.A. (France) | 70,600 | 4,739,621 | |
WPP PLC (United Kingdom) | 352,758 | 5,099,035 | |
10,602,201 | |||
Aerospace/Defense – 0.3% | |||
BAE Systems PLC (United Kingdom) | 211,500 | 1,594,744 | |
Rolls-Royce Holdings PLC (United Kingdom)* | 638,536 | 1,152,456 | |
2,747,200 | |||
Agriculture – 0.4% | |||
British American Tobacco PLC (United Kingdom) | 73,610 | 2,560,480 | |
Japan Tobacco, Inc. (Japan) | 39,800 | 781,321 | |
KT&G Corp. (South Korea) | 17,951 | 1,246,855 | |
4,588,656 | |||
Airlines – 0.4% | |||
Ryanair Holdings PLC ADR (Ireland)* | 38,091 | 4,323,709 | |
Auto Manufacturers – 4.2% | |||
Bayerische Motoren Werke A.G. (Germany) | 100,720 | 10,176,350 | |
Daimler A.G. (Germany)(a) | 104,790 | 10,401,710 | |
Honda Motor Co. Ltd. (Japan) | 156,000 | 4,614,147 | |
Maruti Suzuki India Ltd. (India) | 4,161 | 416,631 | |
Nissan Motor Co. Ltd. (Japan)* | 313,576 | 1,596,058 | |
Toyota Motor Corp. (Japan) | 746,300 | 13,167,841 | |
Volvo AB, Class B (Sweden) | 165,100 | 3,849,992 | |
44,222,729 | |||
Auto Parts & Equipment – 2.4% | |||
Bridgestone Corp. (Japan) | 72,000 | 3,185,229 | |
Continental A.G. (Germany)* | 77,675 | 9,132,363 | |
Denso Corp. (Japan) | 23,700 | 1,718,136 | |
Huayu Automotive Systems Co. Ltd., Class A (China) | 490,400 | 2,052,574 | |
Hyundai Mobis Co. Ltd. (South Korea) | 6,250 | 1,351,057 | |
Stanley Electric Co. Ltd. (Japan) | 64,500 | 1,625,736 | |
Sumitomo Electric Industries Ltd. (Japan) | 58,900 | 781,772 |
Number of Shares | Value | ||
Auto Parts & Equipment (Continued) | |||
Valeo S.A. (France) | 143,994 | $ 4,230,842 | |
Vitesco Technologies Group A.G. (Germany)* | 14,675 | 841,429 | |
Weichai Power Co. Ltd., Class H (China) | 377,000 | 674,818 | |
25,593,956 | |||
Banks – 12.4% | |||
Al Rajhi Bank (Saudi Arabia) | 19,319 | 715,919 | |
Axis Bank Ltd. (India)* | 444,629 | 4,424,487 | |
Banco Bilbao Vizcaya Argentaria S.A. (Spain) | 554,528 | 3,880,660 | |
Banco del Bajio S.A. (Mexico)(b) | 85,883 | 160,937 | |
Banco do Brasil S.A. (Brazil) | 388,000 | 1,962,756 | |
Banco Santander Chile ADR (Chile) | 39,745 | 704,282 | |
Bank Central Asia Tbk PT (Indonesia) | 1,014,500 | 536,445 | |
Bank Mandiri Persero Tbk PT (Indonesia) | 8,293,800 | 4,193,115 | |
Barclays PLC (United Kingdom) | 647,681 | 1,787,260 | |
BNP Paribas S.A. (France) | 158,805 | 10,629,967 | |
China Construction Bank Corp., Class H (China) | 5,482,000 | 3,730,944 | |
China Merchants Bank Co. Ltd., Class H (China) | 258,613 | 2,167,214 | |
Commercial International Bank Egypt S.A.E. GDR (Egypt)(a)* | 470,887 | 1,459,751 | |
Credicorp Ltd. (Peru) | 1,796 | 232,869 | |
Credit Suisse Group A.G. (Switzerland)(a) | 931,600 | 9,690,235 | |
DBS Group Holdings Ltd. (Singapore) | 256,252 | 5,988,061 | |
First Abu Dhabi Bank PJSC (United Arab Emirates) | 131,945 | 640,414 | |
FirstRand Ltd. (South Africa) | 128,787 | 489,220 | |
Grupo Financiero Banorte S.A.B. de C.V., Class O (Mexico) | 456,869 | 2,887,941 | |
Grupo Financiero Inbursa S.A.B. de C.V., Class O (Mexico)* | 115,793 | 115,973 | |
HDFC Bank Ltd. (India) | 73,613 | 1,559,406 | |
HDFC Bank Ltd. ADR (India) | 41,833 | 3,008,211 | |
HSBC Holdings PLC (United Kingdom) | 832,825 | 5,017,913 | |
ICICI Bank Ltd. ADR (India) | 213,086 | 4,506,769 |
Number of Shares | Value | ||
Banks (Continued) | |||
Intesa Sanpaolo S.p.A. (Italy) | 3,694,600 | $ 10,500,714 | |
KakaoBank Corp. (South Korea)* | 624 | 33,695 | |
Kasikornbank PCL (Thailand)(a) | 255,900 | 1,089,009 | |
Komercni banka A.S. (Czech Republic)* | 10,804 | 419,067 | |
Kotak Mahindra Bank Ltd. (India) | 55,874 | 1,519,885 | |
Lloyds Banking Group PLC (United Kingdom) | 19,893,228 | 13,614,542 | |
Mitsubishi UFJ Financial Group, Inc. (Japan) | 404,000 | 2,215,333 | |
Mizuho Financial Group, Inc. (Japan) | 55,000 | 725,889 | |
Natwest Group PLC (United Kingdom) | 1,507,979 | 4,546,823 | |
Nedbank Group Ltd. (South Africa) | 150,078 | 1,710,146 | |
OTP Bank Nyrt. (Hungary)* | 47,375 | 2,846,643 | |
Qatar National Bank QPSC, Class B (Qatar) | 87,643 | 491,051 | |
Regional S.A.B. de C.V. (Mexico) | 28,451 | 148,474 | |
Resona Holdings, Inc. (Japan) | 193,800 | 728,029 | |
Saudi National Bank (The) (Saudi Arabia) | 45,942 | 798,586 | |
Sberbank of Russia PJSC (Russia) | 540,618 | 2,713,023 | |
Sberbank of Russia PJSC ADR (Russia) | 98,345 | 1,972,312 | |
Shinhan Financial Group Co. Ltd. (South Korea) | 51,134 | 1,669,368 | |
Skandinaviska Enskilda Banken AB Class A (Sweden) | 213,316 | 3,335,799 | |
Standard Bank Group Ltd. (South Africa) | 100,489 | 890,476 | |
Standard Chartered PLC (United Kingdom) | 424,506 | 2,870,935 | |
Sumitomo Mitsui Financial Group, Inc. (Japan) | 117,200 | 3,803,100 | |
Sumitomo Mitsui Trust Holdings, Inc. (Japan) | 70,300 | 2,312,438 | |
131,446,086 | |||
Beverages – 2.3% | |||
Ambev S.A. ADR (Brazil) | 892,713 | 2,642,430 | |
Anheuser-Busch InBev S.A./N.V. (Belgium) | 95,900 | 5,865,938 | |
Arca Continental S.A.B. de C.V. (Mexico) | 17,740 | 107,975 |
Number of Shares | Value | ||
Beverages (Continued) | |||
Asahi Group Holdings Ltd. (Japan) | 16,000 | $ 726,085 | |
Becle S.A.B. de C.V. (Mexico) | 99,974 | 228,229 | |
Budweiser Brewing Co. APAC Ltd. (China)(b) | 457,600 | 1,255,107 | |
Coca-Cola Femsa S.A.B. de C.V. (Mexico) | 38,455 | 206,713 | |
Diageo PLC (United Kingdom) | 114,651 | 5,704,081 | |
Fomento Economico Mexicano S.A.B. de C.V. (Mexico) | 156,392 | 1,288,100 | |
Fomento Economico Mexicano S.A.B. de C.V. ADR (Mexico) | 32,387 | 2,661,888 | |
Heineken N.V. (Netherlands) | 5,923 | 655,612 | |
Kirin Holdings Co. Ltd. (Japan) | 135,500 | 2,358,492 | |
Kweichow Moutai Co. Ltd., Class A (China) | 4,200 | 1,196,945 | |
24,897,595 | |||
Building Materials – 1.0% | |||
Anhui Conch Cement Co. Ltd., Class H (China) | 299,500 | 1,480,999 | |
Cemex S.A.B. de C.V., Series CPO (Mexico)* | 375,657 | 242,312 | |
Daikin Industries Ltd. (Japan) | 10,900 | 2,387,262 | |
Holcim Ltd. (Switzerland)* | 119,005 | 5,936,279 | |
Hongfa Technology Co. Ltd., Class A (China) | 56,200 | 649,416 | |
Voltas Ltd. (India) | 8,977 | 144,712 | |
10,840,980 | |||
Chemicals – 1.8% | |||
Air Liquide S.A. (France) | 13,261 | 2,214,028 | |
Linde PLC (United Kingdom) | 8,671 | 2,789,778 | |
Nitto Denko Corp. (Japan) | 23,300 | 1,820,666 | |
Novozymes A/S, Class B (Denmark) | 32,827 | 2,414,716 | |
Orbia Advance Corp. S.A.B. de C.V. (Mexico) | 84,560 | 220,970 | |
Shin-Etsu Chemical Co. Ltd. (Japan) | 23,500 | 4,190,827 | |
Symrise A.G. (Germany) | 26,231 | 3,628,328 | |
Toray Industries, Inc. (Japan) | 121,700 | 758,376 | |
UPL Ltd. (India) | 142,557 | 1,413,279 | |
19,450,968 |
Number of Shares | Value | ||
Coal – 0.2% | |||
China Shenhua Energy Co. Ltd., Class H (China) | 567,000 | $ 1,219,218 | |
Coal India Ltd. (India) | 335,656 | 738,690 | |
1,957,908 | |||
Commercial Services – 3.0% | |||
Adyen N.V. (Netherlands)(b)* | 2,351 | 7,093,697 | |
Amadeus IT Group S.A. (Spain)* | 73,000 | 4,883,549 | |
Bidvest Group (The) Ltd. (South Africa) | 91,888 | 1,150,547 | |
Brambles Ltd. (Australia) | 280,400 | 2,127,309 | |
CCR S.A. (Brazil) | 666,360 | 1,360,159 | |
Experian PLC (United Kingdom) | 31,061 | 1,424,184 | |
Promotora y Operadora de Infraestructura S.A.B. de C.V. (Mexico) | 15,704 | 115,675 | |
Recruit Holdings Co. Ltd. (Japan) | 38,200 | 2,541,027 | |
RELX PLC (United Kingdom) | 73,764 | 2,287,229 | |
Rentokil Initial PLC (United Kingdom) | 115,109 | 926,506 | |
Secom Co. Ltd. (Japan) | 22,700 | 1,547,515 | |
SGS S.A. (Switzerland)(a) | 692 | 2,048,680 | |
StoneCo Ltd., Class A (Brazil)* | 10,857 | 367,618 | |
Worldline S.A. (France)(b)* | 64,600 | 3,767,225 | |
31,640,920 | |||
Computers – 1.2% | |||
Capgemini SE (France) | 11,900 | 2,774,641 | |
Check Point Software Technologies Ltd. (Israel)* | 24,925 | 2,981,030 | |
Globant S.A.* | 2,000 | 638,380 | |
Infosys Ltd. (India) | 70,187 | 1,570,702 | |
Lenovo Group Ltd. (China) | 1,026,000 | 1,114,203 | |
Quanta Computer, Inc. (Taiwan) | 590,000 | 1,657,607 | |
Tata Consultancy Services Ltd. (India) | 7,186 | 326,636 | |
Wiwynn Corp. (Taiwan) | 41,000 | 1,313,455 | |
12,376,654 | |||
Cosmetics/Personal Care – 2.6% | |||
Kao Corp. (Japan) | 56,000 | 3,167,812 | |
LG Household & Health Care Ltd. (South Korea) | 2,137 | 2,138,893 | |
L'Oreal S.A. (France) | 18,890 | 8,641,321 | |
Unicharm Corp. (Japan) | 110,800 | 4,481,064 |
Number of Shares | Value | ||
Cosmetics/Personal Care (Continued) | |||
Unilever PLC (United Kingdom) | 142,368 | $ 7,622,651 | |
Unilever PLC (United Kingdom) | 33,184 | 1,776,484 | |
27,828,225 | |||
Distribution/Wholesale – 0.9% | |||
Bunzl PLC (United Kingdom) | 24,366 | 900,570 | |
Ferguson PLC | 5,786 | 870,582 | |
ITOCHU Corp. (Japan) | 108,600 | 3,097,366 | |
Mitsubishi Corp. (Japan) | 75,000 | 2,384,848 | |
Mitsui & Co. Ltd. (Japan) | 106,100 | 2,428,047 | |
9,681,413 | |||
Diversified Financial Services – 1.8% | |||
B3 S.A. - Brasil Bolsa Balcao (Brazil) | 281,500 | 595,540 | |
Bolsa Mexicana de Valores S.A.B. de C.V. (Mexico) | 56,361 | 107,860 | |
Capitec Bank Holdings Ltd. (South Africa) | 3,701 | 413,538 | |
Daiwa Securities Group, Inc. (Japan) | 126,500 | 710,696 | |
HDFC Asset Management Co. Ltd. (India)(b) | 12,456 | 441,208 | |
Hong Kong Exchanges & Clearing Ltd. (Hong Kong) | 7,000 | 421,692 | |
Housing Development Finance Corp. Ltd. (India) | 64,048 | 2,441,938 | |
Japan Exchange Group, Inc. (Japan) | 29,500 | 698,503 | |
KB Financial Group, Inc. (South Korea) | 41,647 | 2,015,877 | |
London Stock Exchange Group PLC (United Kingdom) | 14,495 | 1,410,997 | |
Network International Holdings PLC (United Arab Emirates)(b)* | 76,555 | 338,614 | |
ORIX Corp. (Japan) | 82,600 | 1,641,783 | |
Pagseguro Digital Ltd., Class A (Brazil)* | 9,233 | 334,235 | |
Sanlam Ltd. (South Africa) | 196,631 | 807,764 | |
Schroders PLC (United Kingdom) | 87,600 | 4,339,161 | |
St James's Place PLC (United Kingdom) | 58,930 | 1,273,055 | |
XP, Inc., Class A (Brazil)* | 29,560 | 969,872 | |
18,962,333 | |||
Electric – 0.5% | |||
Chubu Electric Power Co., Inc. (Japan) | 140,881 | 1,458,279 |
Number of Shares | Value | ||
Electric (Continued) | |||
Electric Power Development Co. Ltd. (Japan) | 54,651 | $ 722,464 | |
Engie Brasil Energia S.A. (Brazil) | 104,700 | 715,896 | |
National Grid PLC (United Kingdom) | 92,375 | 1,182,729 | |
SSE PLC (United Kingdom) | 36,534 | 822,731 | |
4,902,099 | |||
Electrical Component & Equipment – 0.7% | |||
Casio Computer Co. Ltd. (Japan) | 53,100 | 751,424 | |
Schneider Electric S.E. | 38,862 | 6,700,515 | |
7,451,939 | |||
Electronics – 1.2% | |||
AAC Technologies Holdings, Inc. (China) | 157,153 | 679,249 | |
Hon Hai Precision Industry Co. Ltd. (Taiwan) | 455,000 | 1,756,454 | |
Hoya Corp. (Japan) | 10,600 | 1,560,411 | |
Kyocera Corp. (Japan) | 26,400 | 1,545,640 | |
Murata Manufacturing Co. Ltd. (Japan) | 42,400 | 3,145,172 | |
Nidec Corp. (Japan) | 14,900 | 1,650,292 | |
TDK Corp. (Japan) | 72,100 | 2,621,050 | |
12,958,268 | |||
Engineering & Construction – 0.2% | |||
Airports of Thailand PCL (Thailand)(a) | 167,900 | 326,363 | |
Grupo Aeroportuario del Centro Norte S.A.B. de C.V. (Mexico)* | 46,141 | 279,047 | |
Grupo Aeroportuario del Pacifico S.A.B. de C.V., Class B (Mexico)* | 28,003 | 353,642 | |
Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR (Mexico) | 4,046 | 815,876 | |
Grupo Aeroportuario del Sureste S.A.B. de C.V., Class B (Mexico) | 17,455 | 352,601 | |
2,127,529 | |||
Entertainment – 0.3% | |||
Entain PLC (United Kingdom)* | 31,447 | 881,180 | |
OPAP S.A. (Greece) | 68,348 | 1,067,412 | |
Songcheng Performance Development Co. Ltd., Class A (China) | 360,700 | 788,461 | |
2,737,053 |
Number of Shares | Value | ||
Food – 2.2% | |||
Associated British Foods PLC (United Kingdom) | 31,183 | $ 762,606 | |
China Mengniu Dairy Co. Ltd. (China)* | 359,000 | 2,284,162 | |
Danone S.A. (France) | 56,500 | 3,682,998 | |
Gruma S.A.B. de C.V., Class B (Mexico) | 18,991 | 222,324 | |
Grupo Bimbo S.A.B. de C.V., Class A (Mexico) | 115,863 | 344,415 | |
MEIJI Holdings Co. Ltd. (Japan) | 38,700 | 2,442,310 | |
Nestle S.A. ADR (Switzerland) | 38,212 | 5,037,106 | |
Seven & i Holdings Co. Ltd. (Japan) | 38,500 | 1,616,414 | |
Shoprite Holdings Ltd. (South Africa) | 51,233 | 608,725 | |
Tesco PLC (United Kingdom) | 498,446 | 1,840,396 | |
Tingyi Cayman Islands Holding Corp. (China) | 406,000 | 757,792 | |
Universal Robina Corp. (Philippines) | 172,710 | 472,803 | |
X5 Retail Group N.V. GDR (Russia)(a) | 69,281 | 2,360,128 | |
Yamazaki Baking Co. Ltd. (Japan) | 46,500 | 706,372 | |
23,138,551 | |||
Food Service – 0.4% | |||
Compass Group PLC (United Kingdom)* | 181,282 | 3,846,919 | |
Forest Products & Paper – 0.2% | |||
Mondi PLC (Austria) | 31,690 | 791,418 | |
UPM-Kymmene OYJ (Finland) | 51,800 | 1,828,070 | |
2,619,488 | |||
Gas – 0.4% | |||
ENN Energy Holdings Ltd. (China) | 175,300 | 3,020,152 | |
Osaka Gas Co. Ltd. (Japan) | 95,900 | 1,545,715 | |
4,565,867 | |||
Healthcare - Products – 1.4% | |||
Alcon, Inc. (Switzerland) | 46,350 | 3,863,736 | |
Hengan International Group Co. Ltd. (China) | 257,500 | 1,345,679 | |
Olympus Corp. (Japan) | 75,200 | 1,629,061 | |
Smith & Nephew PLC (United Kingdom) | 44,883 | 775,133 |
Number of Shares | Value | ||
Healthcare - Products (Continued) | |||
Sonova Holding A.G. (Switzerland)(a) | 8,009 | $ 3,318,704 | |
Sysmex Corp. (Japan) | 33,500 | 4,153,695 | |
15,086,008 | |||
Healthcare - Services – 1.6% | |||
Fresenius Medical Care A.G. & Co. KGaA (Germany) | 92,100 | 6,118,121 | |
Fresenius S.E. & Co. KGaA (Germany) | 72,800 | 3,309,034 | |
Life Healthcare Group Holdings Ltd. (South Africa)* | 671,294 | 1,068,797 | |
Lonza Group A.G. (Switzerland)(a) | 7,380 | 6,064,887 | |
Rede D'Or Sao Luiz S.A. (Brazil)(b) | 33,324 | 351,378 | |
16,912,217 | |||
Holding Companies - Diversified – 0.1% | |||
Siam Cement (The) PCL (Thailand)(a) | 85,300 | 1,015,400 | |
Home Builders – 0.1% | |||
Berkeley Group Holdings (The) PLC (United Kingdom) | 11,389 | 679,337 | |
Sekisui House Ltd. (Japan) | 38,369 | 797,722 | |
1,477,059 | |||
Home Furnishings – 1.1% | |||
Coway Co. Ltd. (South Korea) | 22,154 | 1,502,152 | |
Gree Electric Appliances, Inc. of Zhuhai, Class A (China) | 292,800 | 1,670,114 | |
Midea Group Co. Ltd., Class A (China) | 43,000 | 460,643 | |
Panasonic Corp. (Japan) | 206,200 | 2,549,876 | |
Sony Group Corp. (Japan) | 51,700 | 5,986,673 | |
12,169,458 | |||
Household Products/Wares – 0.8% | |||
Henkel A.G. & Co. KGaA (Germany) | 34,500 | 2,881,175 | |
Kimberly-Clark de Mexico S.A.B. de C.V., Series A (Mexico) | 647,252 | 1,023,003 | |
Reckitt Benckiser Group PLC (United Kingdom) | 57,735 | 4,687,089 | |
8,591,267 | |||
Insurance – 4.4% | |||
AIA Group Ltd. (Hong Kong) | 838,600 | 9,398,200 |
Number of Shares | Value | ||
Insurance (Continued) | |||
Allianz S.E. (Germany)(a) | 67,622 | $15,702,534 | |
Aviva PLC (United Kingdom) | 135,857 | 733,074 | |
BB Seguridade Participacoes S.A. (Brazil) | 433,600 | 1,699,428 | |
Dai-ichi Life Holdings, Inc. (Japan) | 74,600 | 1,569,477 | |
Direct Line Insurance Group PLC (United Kingdom) | 191,515 | 765,467 | |
Jackson Financial, Inc., Class A* | 2,384 | 64,538 | |
Legal & General Group PLC (United Kingdom) | 203,978 | 804,445 | |
MS&AD Insurance Group Holdings, Inc. (Japan) | 46,400 | 1,499,061 | |
Ping An Insurance Group Co. of China Ltd., Class H (China) | 849,500 | 6,084,742 | |
Prudential PLC (United Kingdom) | 275,944 | 5,631,450 | |
Sompo Holdings, Inc. (Japan) | 17,800 | 771,930 | |
Tokio Marine Holdings, Inc. (Japan) | 30,000 | 1,580,101 | |
46,304,447 | |||
Internet – 7.1% | |||
Alibaba Group Holding Ltd. (China)* | 444,256 | 9,135,084 | |
Alibaba Group Holding Ltd. ADR (China)* | 54,062 | 8,916,986 | |
Baidu, Inc., Class A (China)* | 102,800 | 2,100,630 | |
Coupang, Inc. (South Korea)* | 17,583 | 523,270 | |
D-MARKET Elektronik Hizmetler ve Ticaret A.S. ADR (Turkey)* | 35,622 | 162,080 | |
JD.com, Inc., Class A (China)* | 54,950 | 2,151,128 | |
Mail.Ru Group Ltd. GDR (Russia)(a)* | 19,779 | 404,343 | |
Meituan, Class B (China)(b)* | 117,100 | 3,984,754 | |
MercadoLibre, Inc. (Argentina)* | 565 | 836,776 | |
Naspers Ltd., Class N (South Africa) | 14,209 | 2,406,348 | |
NAVER Corp. (South Korea) | 16,926 | 5,884,877 | |
Ozon Holdings PLC ADR (Russia)* | 7,544 | 339,480 | |
Pinduoduo, Inc. ADR (China)* | 18,683 | 1,661,292 | |
Prosus N.V. (China)* | 84,221 | 7,418,438 |
Number of Shares | Value | ||
Internet (Continued) | |||
Sea Ltd. ADR (Taiwan)* | 1,261 | $ 433,242 | |
Tencent Holdings Ltd. (China) | 306,400 | 18,638,249 | |
Tencent Music Entertainment Group ADR (China)* | 136,831 | 1,075,492 | |
Trip.com Group Ltd. ADR (China)* | 115,943 | 3,311,332 | |
Vipshop Holdings Ltd. ADR (China) | 247,800 | 2,765,448 | |
Yandex N.V., Class A (Russia)* | 38,157 | 3,160,926 | |
75,310,175 | |||
Investment Management Companies – 0.6% | |||
EXOR N.V. (Netherlands) | 71,500 | 6,744,664 | |
Iron/Steel – 0.5% | |||
thyssenkrupp A.G. (Germany)* | 510,600 | 5,315,184 | |
Leisure Time – 0.1% | |||
Bajaj Auto Ltd. (India) | 15,743 | 780,623 | |
Hero MotoCorp Ltd. (India) | 20,694 | 735,707 | |
1,516,330 | |||
Lodging – 0.7% | |||
Accor S.A. (France)* | 180,035 | 6,442,811 | |
InterContinental Hotels Group PLC (United Kingdom)* | 11,212 | 785,368 | |
7,228,179 | |||
Machinery - Construction & Mining – 1.5% | |||
Epiroc AB, Class A (Sweden) | 162,974 | 4,055,032 | |
Hitachi Ltd. (Japan) | 41,400 | 2,385,657 | |
Komatsu Ltd. (Japan) | 260,500 | 6,822,839 | |
Mitsubishi Electric Corp. (Japan) | 232,300 | 3,119,659 | |
16,383,187 | |||
Machinery - Diversified – 3.4% | |||
Atlas Copco AB, Class A (Sweden) | 139,512 | 8,984,393 | |
CNH Industrial N.V. (United Kingdom) | 480,873 | 8,283,315 | |
FANUC Corp. (Japan) | 24,900 | 4,920,767 | |
Keyence Corp. (Japan) | 10,200 | 6,156,871 | |
Kubota Corp. (Japan) | 183,100 | 3,900,582 | |
Nabtesco Corp. (Japan) | 23,066 | 748,574 | |
SMC Corp. (Japan) | 4,100 | 2,446,737 | |
Sumitomo Heavy Industries Ltd. (Japan) | 30,064 | 774,013 | |
36,215,252 |
Number of Shares | Value | ||
Media – 1.1% | |||
Grupo Televisa S.A.B. ADR (Mexico) | 359,700 | $ 3,640,164 | |
Grupo Televisa S.A.B., Series CPO (Mexico) | 147,894 | 299,265 | |
Informa PLC (United Kingdom)* | 235,561 | 1,675,766 | |
Liberty Global PLC, Class A (United Kingdom)* | 194,300 | 5,584,182 | |
11,199,377 | |||
Metal Fabricate/Hardware – 0.6% | |||
SKF AB, Class B (Sweden) | 177,500 | 4,122,472 | |
Zhejiang Sanhua Intelligent Controls Co. Ltd., Class A (China) | 714,100 | 2,643,363 | |
6,765,835 | |||
Mining – 3.0% | |||
Anglo American PLC (South Africa) | 71,995 | 2,738,906 | |
BHP Group Ltd. ADR (Australia) | 97,118 | 5,325,951 | |
BHP Group PLC (Australia) | 121,675 | 3,213,627 | |
Glencore PLC (Australia)* | 2,072,859 | 10,365,498 | |
Grupo Mexico S.A.B. de C.V., Series B (Mexico) | 407,218 | 1,784,496 | |
Industrias Penoles S.A.B. de C.V. (Mexico)* | 18,381 | 234,646 | |
Rio Tinto PLC (Australia) | 112,775 | 7,031,687 | |
Sumitomo Metal Mining Co. Ltd. (Japan) | 21,400 | 830,155 | |
31,524,966 | |||
Miscellaneous Manufacturing – 1.3% | |||
Alfa Laval AB (Sweden) | 106,224 | 4,556,462 | |
Largan Precision Co. Ltd. (Taiwan) | 9,000 | 670,673 | |
Orica Ltd. (Australia) | 396,958 | 4,556,796 | |
Smiths Group PLC (United Kingdom) | 117,824 | 2,187,762 | |
Toshiba Corp. (Japan) | 37,230 | 1,605,810 | |
13,577,503 | |||
Office/Business Equipment – 0.1% | |||
FUJIFILM Holdings Corp. (Japan) | 20,100 | 1,553,276 | |
Oil & Gas – 5.2% | |||
Bharat Petroleum Corp. Ltd. (India) | 73,546 | 411,168 | |
BP PLC (United Kingdom) | 1,384,298 | 6,632,036 | |
Canadian Natural Resources Ltd. (Canada) | 15,988 | 679,516 | |
Cenovus Energy, Inc. (Canada) | 43,500 | 520,200 |
Number of Shares | Value | ||
Oil & Gas (Continued) | |||
China Petroleum & Chemical Corp., Class H (China) | 2,483,092 | $ 1,209,844 | |
Ecopetrol S.A. ADR (Colombia) | 32,890 | 498,284 | |
ENEOS Holdings, Inc. (Japan) | 191,200 | 770,966 | |
Eni S.p.A. (Italy) | 74,241 | 1,064,055 | |
Equinor ASA (Norway) | 48,351 | 1,225,134 | |
Galp Energia SGPS S.A. (Portugal) | 238,142 | 2,473,806 | |
Gazprom PJSC ADR (Russia) | 385,370 | 3,781,587 | |
Imperial Oil Ltd. (Canada) | 14,912 | 504,859 | |
Inpex Corp. (Japan) | 208,300 | 1,737,081 | |
LUKOIL PJSC ADR (Russia) | 46,322 | 4,721,644 | |
LUKOIL PJSC ADR (Russia) | 49,163 | 5,016,101 | |
Neste OYJ (Finland) | 14,549 | 809,970 | |
OMV A.G. (Austria) | 8,439 | 510,926 | |
Petroleo Brasileiro S.A. ADR (Brazil) | 206,726 | 2,030,049 | |
Repsol S.A. (Spain) | 38,005 | 486,789 | |
Rosneft Oil Co. PJSC GDR (Russia)(a) | 188,670 | 1,679,718 | |
Royal Dutch Shell PLC, Class B (Netherlands) | 585,641 | 13,439,711 | |
Suncor Energy, Inc. (Canada) | 22,030 | 579,409 | |
TotalEnergies S.E. (France) | 71,078 | 3,559,228 | |
Vibra Energia S.A. (Brazil) | 189,700 | 705,518 | |
Woodside Petroleum Ltd. (Australia) | 27,475 | 480,307 | |
55,527,906 | |||
Pharmaceuticals – 5.5% | |||
Alfresa Holdings Corp. (Japan) | 52,000 | 733,043 | |
Astellas Pharma, Inc. (Japan) | 43,000 | 724,928 | |
AstraZeneca PLC (United Kingdom) | 40,951 | 5,123,025 | |
Bayer A.G. (Germany)(a) | 206,060 | 11,613,065 | |
Chugai Pharmaceutical Co. Ltd. (Japan) | 161,400 | 6,034,647 | |
CSPC Pharmaceutical Group Ltd. (China) | 2,790,000 | 2,911,365 | |
Daiichi Sankyo Co. Ltd. (Japan) | 63,900 | 1,612,349 | |
Genomma Lab Internacional S.A.B. de C.V., Class B (Mexico)* | 171,510 | 164,862 | |
GlaxoSmithKline PLC (United Kingdom) | 179,795 | 3,732,694 |
Number of Shares | Value | ||
Pharmaceuticals (Continued) | |||
Jiangsu Hengrui Medicine Co. Ltd., Class A (China) | 42,040 | $ 322,530 | |
Novartis A.G. (Switzerland)(a) | 63,500 | 5,252,259 | |
Ono Pharmaceutical Co. Ltd. (Japan) | 37,600 | 788,914 | |
Roche Holding A.G. (Genusschein) (Switzerland) | 27,380 | 10,606,853 | |
Shionogi & Co. Ltd. (Japan) | 54,900 | 3,579,497 | |
Sino Biopharmaceutical Ltd. (Hong Kong) | 612,500 | 451,648 | |
Sinopharm Group Co. Ltd., Class H (China) | 675,923 | 1,604,989 | |
Takeda Pharmaceutical Co. Ltd. (Japan) | 113,100 | 3,174,245 | |
58,430,913 | |||
Pipelines – 0.1% | |||
Petronet LNG Ltd (India) | 164,327 | 504,463 | |
Real Estate – 0.8% | |||
A-Living Smart City Services Co. Ltd. (China)(b) | 425,000 | 1,410,780 | |
China Overseas Land & Investment Ltd. (China) | 472,000 | 1,041,023 | |
China Vanke Co. Ltd., Class H (China) | 542,300 | 1,267,046 | |
Corp. Inmobiliaria Vesta S.A.B. de C.V. (Mexico) | 62,130 | 108,157 | |
Greentown Service Group Co. Ltd. (China) | 226,000 | 223,723 | |
Mitsubishi Estate Co. Ltd. (Japan) | 153,300 | 2,329,699 | |
Mitsui Fudosan Co. Ltd. (Japan) | 34,600 | 791,089 | |
Sumitomo Realty & Development Co. Ltd. (Japan) | 21,400 | 773,394 | |
7,944,911 | |||
Real Estate Investment Trusts – 0.0%(c) | |||
Fibra Uno Administracion S.A. de C.V. (Mexico) | 190,755 | 189,754 | |
PLA Administradora Industrial S. de R.L. de C.V. (Mexico) | 74,284 | 103,914 | |
Prologis Property Mexico S.A. de C.V. (Mexico) | 50,233 | 116,067 | |
409,735 |
Number of Shares | Value | ||
Retail – 3.1% | |||
Alibaba Health Information Technology Ltd. (China)* | 720,000 | $ 901,576 | |
Alimentation Couche-Tard, Inc., Class B (Canada) | 65,273 | 2,448,265 | |
Alsea S.A.B. de C.V. (Mexico)* | 80,862 | 170,852 | |
Astra International Tbk PT (Indonesia) | 3,280,100 | 1,397,036 | |
Cie Financiere Richemont S.A., Class A (Switzerland)(a) | 9,780 | 1,210,280 | |
Clicks Group Ltd. (South Africa) | 25,712 | 469,364 | |
CP ALL PCL (Thailand)(a) | 706,300 | 1,362,260 | |
Fast Retailing Co. Ltd. (Japan) | 3,600 | 2,389,744 | |
Hennes & Mauritz AB, Class B (Sweden) | 272,800 | 5,132,141 | |
Kingfisher PLC (United Kingdom) | 164,069 | 753,010 | |
La Comer S.A.B. de C.V. (Mexico) | 64,121 | 115,018 | |
Lojas Renner S.A. (Brazil) | 45,193 | 257,603 | |
Nitori Holdings Co. Ltd. (Japan) | 18,500 | 3,398,644 | |
President Chain Store Corp. (Taiwan) | 80,000 | 808,563 | |
Raia Drogasil S.A. (Brazil)* | 163,834 | 679,279 | |
Restaurant Brands International, Inc. (Canada) | 37,000 | 2,095,680 | |
SM Investments Corp. (Philippines) | 50,000 | 957,151 | |
Swatch Group (The) A.G. (Bearer) (Switzerland) | 8,530 | 2,347,837 | |
Wal-Mart de Mexico S.A.B. de C.V. (Mexico) | 561,451 | 1,956,134 | |
Yifeng Pharmacy Chain Co. Ltd., Class A (China) | 66,713 | 497,253 | |
Yum China Holdings, Inc. (China) | 42,900 | 2,448,732 | |
Zhongsheng Group Holdings Ltd. (China) | 122,500 | 1,104,503 | |
32,900,925 | |||
Semiconductors – 5.3% | |||
ASE Technology Holding Co. Ltd. (Taiwan) | 501,000 | 1,792,087 | |
ASM Pacific Technology Ltd. (Hong Kong) | 114,400 | 1,237,855 | |
ASML Holding N.V. (Netherlands) | 3,477 | 2,826,454 |
Number of Shares | Value | ||
Semiconductors (Continued) | |||
Globalwafers Co. Ltd. (Taiwan) | 33,000 | $ 905,455 | |
Infineon Technologies A.G. (Germany) | 183,655 | 8,600,813 | |
MediaTek, Inc. (Taiwan) | 21,000 | 691,167 | |
Novatek Microelectronics Corp. (Taiwan) | 116,000 | 1,739,877 | |
Samsung Electronics Co. Ltd. (South Korea) | 142,171 | 8,512,223 | |
Samsung Electronics Co. Ltd. GDR (South Korea)(a) | 4,486 | 6,717,055 | |
SK Hynix, Inc. (South Korea) | 36,625 | 3,228,517 | |
Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan) | 408,945 | 8,677,939 | |
Taiwan Semiconductor Manufacturing Co. Ltd. ADR (Taiwan) | 75,443 | 8,577,869 | |
Tokyo Electron Ltd. (Japan) | 5,500 | 2,563,182 | |
Vanguard International Semiconductor Corp. (Taiwan) | 96,000 | 500,234 | |
56,570,727 | |||
Software – 1.8% | |||
Dassault Systemes S.E. (France) | 67,311 | 3,930,789 | |
Hundsun Technologies, Inc., Class A (China) | 81,300 | 797,185 | |
NetEase, Inc. (China) | 58,100 | 1,127,006 | |
Nexon Co. Ltd. (Japan) | 48,200 | 820,419 | |
Open Text Corp. (Canada) | 64,000 | 3,223,788 | |
SAP S.E. (Germany) | 36,400 | 5,271,127 | |
SAP S.E. ADR (Germany) | 25,217 | 3,650,917 | |
Square Enix Holdings Co. Ltd. (Japan) | 14,600 | 799,789 | |
19,621,020 | |||
Telecommunications – 2.3% | |||
America Movil S.A.B. de C.V., Series L (Mexico) | 2,208,510 | 1,966,290 | |
America Movil S.A.B. de C.V., Series L ADR (Mexico) | 85,297 | 1,516,581 | |
BT Group PLC (United Kingdom)* | 286,507 | 544,314 | |
Indus Towers Ltd. (India) | 405,442 | 1,473,810 | |
KDDI Corp. (Japan) | 100,100 | 3,061,059 | |
Megacable Holdings S.A.B. de C.V., Series CPO (Mexico) | 70,959 | 209,417 |
Number of Shares | Value | ||
Telecommunications (Continued) | |||
Mobile TeleSystems PJSC ADR (Russia) | 222,751 | $ 2,047,082 | |
Nippon Telegraph & Telephone Corp. (Japan) | 56,500 | 1,583,070 | |
Softbank Corp. (Japan) | 53,300 | 727,528 | |
SoftBank Group Corp. (Japan) | 71,600 | 3,876,238 | |
Telkom Indonesia Persero Tbk PT (Indonesia) | 11,006,100 | 2,941,773 | |
Telkom Indonesia Persero Tbk PT ADR (Indonesia) | 88,325 | 2,322,064 | |
Vodacom Group Ltd. (South Africa) | 81,640 | 724,632 | |
Vodafone Group PLC (United Kingdom) | 974,013 | 1,435,552 | |
24,429,410 | |||
Toys/Games/Hobbies – 0.3% | |||
Nintendo Co. Ltd. (Japan) | 7,300 | 3,224,096 | |
Transportation – 0.6% | |||
Canadian National Railway Co. (Canada) | 21,049 | 2,797,622 | |
East Japan Railway Co. (Japan) | 49,500 | 3,083,182 | |
InPost S.A. (Poland)* | 14,709 | 210,012 | |
6,090,816 | |||
Water – 0.1% | |||
Severn Trent PLC (United Kingdom) | 22,689 | 849,754 | |
Total Common Stocks (Cost $883,881,284) | 1,026,903,706 |
Par (d) | |||
Convertible Bonds – 0.1% | |||
Banks – 0.1% | |||
Credit Suisse Group Guernsey VII Ltd.,3.00%, 11/12/21(b) | CHF | $763,000 | 924,296 |
Total Convertible Bonds (Cost $840,949) | 924,296 |
Number of Shares | Value | ||
Preferred Stocks – 0.8% | |||
Banks – 0.4% | |||
Itau Unibanco Holding S.A., 0.74% (Brazil)(e) | 281,456 | $ 1,165,460 | |
Itau Unibanco Holding S.A. ADR, 0.79% (Brazil)(e) | 611,069 | 2,487,051 | |
3,652,511 | |||
Chemicals – 0.0%(c) | |||
FUCHS PETROLUB S.E., 2.41% (Germany)(e) | 2,184 | 104,624 | |
Household Products/Wares – 0.0%(c) | |||
Henkel A.G. & Co. KGaA, 2.34% (Germany)(e) | 2,500 | 223,969 | |
Semiconductors – 0.4% | |||
Samsung Electronics Co. Ltd., 2.17% (South Korea)(e) | 63,063 | 3,464,431 | |
Samsung Electronics Co. Ltd. GDR, 2.18% (South Korea)(a)(e) | 887 | 1,221,508 | |
4,685,939 | |||
Total Preferred Stocks (Cost $8,929,789) | 8,667,043 | ||
Investment Companies – 0.6% | |||
Xtrackers MSCI Europe Hedged Equity ETF | 191,466 | 6,825,763 | |
Short-Term Investments – 1.8% | |||
Money Market Fund – 1.8% | |||
Northern Institutional Funds - Treasury Portfolio (Premier), 0.01%(f) | 19,149,042 | 19,149,042 | |
Total Short-Term Investments (Cost $19,149,042) | 19,149,042 | ||
Total Investments – 99.9% (Cost $918,468,612) | 1,062,469,850 | ||
Other Assets less Liabilities – 0.1%(g) | 1,165,585 | ||
NET ASSETS – 100.0% | $1,063,635,435 |
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) | Amount rounds to less than 0.05%. | ||
(d) | Par value is in USD unless otherwise indicated. |
(e) | Current yield is disclosed. Dividends are calculated based on a percentage of the issuer’s net income. | ||
(f) | 7-day current yield as of October 31, 2021 is disclosed. | ||
(g) | Includes appreciation/ (depreciation) on forward foreign currency exchange contracts. | ||
* | Non-income producing security |
Abbreviations: | |
ADR | American Depositary Receipt |
CPO | Certificate of Ordinary Participation |
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 |
QPSC | Qualified Personal Service Corporation |
Concentration by Currency (%)(a) | |
Euro | 21.7 |
Japanese Yen | 18.5 |
British Pound | 14.0 |
U.S. Dollar | 11.3 |
Hong Kong Dollar | 8.1 |
All other currencies less than 5% | 26.4 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
Country Diversification (%)(a) | |
Japan | 18.5 |
United Kingdom | 12.2 |
China | 10.7 |
Germany | 9.1 |
Switzerland | 5.3 |
France | 5.1 |
All other countries less than 5% | 39.1 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2021: | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
12/15/21 | U.S. Dollars | 3,903,585 | Swiss Francs | 3,490,000 | Northern Trust | $86,602 |
Net Unrealized Appreciation | $86,602 |
Valuation Hierarchy
Morningstar International Equity Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Common Stocks | $139,586,955 | $887,316,751 | $— | 1,026,903,706 |
Convertible Bonds | — | 924,296 | — | 924,296 |
Preferred Stocks | 3,652,511 | 5,014,532 | — | 8,667,043 |
Investment Companies | 6,825,763 | — | — | 6,825,763 |
Short-Term Investments | 19,149,042 | — | — | 19,149,042 |
Total Investments | $169,214,271 | $893,255,579 | $— | $1,062,469,850 |
Morningstar International Equity Fund | Level 1 | Level 2 | Level 3 | Totals |
Derivative Financial Instruments | ||||
Assets: | ||||
Forward Foreign Currency Exchange Contracts | $— | $86,602 | $— | $86,602 |
Total Derivative Financial Instruments | $— | $86,602 | $— | $86,602 |
Number of Shares | Value | ||
Common Stocks – 50.3% | |||
Advertising – 0.1% | |||
WPP PLC (United Kingdom) | 14,595 | $ 210,967 | |
Aerospace/Defense – 2.0% | |||
BAE Systems PLC (United Kingdom) | 36,506 | 275,261 | |
Raytheon Technologies Corp. | 59,760 | 5,310,274 | |
5,585,535 | |||
Agriculture – 0.6% | |||
British American Tobacco PLC (United Kingdom) | 12,695 | 441,588 | |
British American Tobacco PLC ADR (United Kingdom) | 32,550 | 1,136,646 | |
1,578,234 | |||
Auto Manufacturers – 1.9% | |||
Toyota Motor Corp. ADR (Japan) | 30,040 | 5,304,163 | |
Auto Parts & Equipment – 0.8% | |||
Cie Generale des Etablissements Michelin S.C.A. (France) | 14,988 | 2,356,376 | |
Banks – 8.3% | |||
ABN AMRO Bank N.V. - CVA (Netherlands)(a) | 6,282 | 92,394 | |
Banco Bilbao Vizcaya Argentaria S.A. (Spain) | 31,469 | 220,224 | |
Banco Santander S.A. (Spain) | 83,750 | 317,671 | |
Barclays PLC (United Kingdom) | 192,848 | 532,159 | |
BNP Paribas S.A. (France) | 97,038 | 6,495,455 | |
CaixaBank S.A. (Spain) | 24,587 | 70,679 | |
Credit Suisse Group A.G. (Switzerland)(b) | 7,600 | 79,053 | |
DNB Bank ASA (Norway) | 3,651 | 86,882 | |
Erste Group Bank A.G. (Austria) | 2,967 | 127,242 | |
HSBC Holdings PLC (United Kingdom) | 241,961 | 1,457,856 | |
ING Groep N.V. (Netherlands) | 26,764 | 405,981 | |
Intesa Sanpaolo S.p.A. (Italy) | 55,344 | 157,298 | |
JPMorgan Chase & Co. | 35,700 | 6,065,073 | |
KBC Group N.V. (Belgium) | 996 | 92,750 | |
Lloyds Banking Group PLC (United Kingdom) | 836,557 | 572,523 | |
Natwest Group PLC (United Kingdom) | 104,217 | 314,233 |
Number of Shares | Value | ||
Banks (Continued) | |||
Nordea Bank Abp (Finland) | 14,264 | $ 174,689 | |
Skandinaviska Enskilda Banken AB Class A (Sweden) | 9,324 | 145,807 | |
Standard Chartered PLC (United Kingdom) | 48,352 | 327,005 | |
Svenska Handelsbanken AB, Class A (Sweden) | 408,100 | 4,677,781 | |
Swedbank AB, Class A (Sweden) | 8,793 | 190,709 | |
UBS Group A.G. (Switzerland)(b) | 19,988 | 363,835 | |
UniCredit S.p.A. (Italy) | 9,597 | 126,867 | |
23,094,166 | |||
Beverages – 0.2% | |||
Diageo PLC (United Kingdom) | 9,939 | 494,482 | |
Building Materials – 3.8% | |||
Cie de Saint-Gobain (France) | 73,757 | 5,090,159 | |
Johnson Controls International PLC | 57,529 | 4,220,903 | |
Xinyi Glass Holdings Ltd. (Hong Kong) | 476,765 | 1,343,498 | |
10,654,560 | |||
Chemicals – 0.9% | |||
Denka Co. Ltd. (Japan) | 73,200 | 2,396,507 | |
Commercial Services – 0.3% | |||
Experian PLC (United Kingdom) | 5,361 | 245,808 | |
RELX PLC (United Kingdom) | 12,732 | 394,786 | |
Rentokil Initial PLC (United Kingdom) | 19,869 | 159,925 | |
800,519 | |||
Computers – 0.6% | |||
Quanta Computer, Inc. (Taiwan) | 580,000 | 1,629,512 | |
Cosmetics/Personal Care – 1.0% | |||
Unilever PLC (United Kingdom) | 15,869 | 849,656 | |
Unilever PLC ADR (United Kingdom) | 37,840 | 2,027,467 | |
2,877,123 | |||
Distribution/Wholesale – 0.1% | |||
Bunzl PLC (United Kingdom) | 4,206 | 155,454 | |
Ferguson PLC | 999 | 150,313 | |
305,767 |
Number of Shares | Value | ||
Diversified Financial Services – 0.4% | |||
Deutsche Boerse A.G. (Germany) | 1,193 | $ 198,047 | |
Julius Baer Group Ltd. (Switzerland) | 1,793 | 129,691 | |
London Stock Exchange Group PLC (United Kingdom) | 4,316 | 420,136 | |
St James's Place PLC (United Kingdom) | 14,105 | 304,708 | |
1,052,582 | |||
Electric – 2.1% | |||
Duke Energy Corp. | 28,600 | 2,917,486 | |
Enel S.p.A. (Italy) | 312,595 | 2,616,979 | |
National Grid PLC (United Kingdom) | 15,945 | 204,153 | |
SSE PLC (United Kingdom) | 6,306 | 142,009 | |
5,880,627 | |||
Entertainment – 0.1% | |||
Entain PLC (United Kingdom)* | 5,427 | 152,071 | |
Food – 0.2% | |||
Associated British Foods PLC (United Kingdom) | 5,378 | 131,524 | |
Tesco PLC (United Kingdom) | 86,035 | 317,664 | |
449,188 | |||
Food Service – 0.1% | |||
Compass Group PLC (United Kingdom)* | 12,201 | 258,913 | |
Forest Products & Paper – 2.2% | |||
Smurfit Kappa Group PLC (Ireland) | 88,560 | 4,642,016 | |
UPM-Kymmene OYJ (Finland) | 41,525 | 1,465,456 | |
6,107,472 | |||
Healthcare - Products – 0.0%(c) | |||
Smith & Nephew PLC (United Kingdom) | 7,741 | 133,688 | |
Healthcare - Services – 0.6% | |||
Sonic Healthcare Ltd. (Australia) | 59,534 | 1,806,529 | |
Home Builders – 1.7% | |||
Berkeley Group Holdings (The) PLC (United Kingdom) | 1,966 | 117,269 | |
Persimmon PLC (United Kingdom) | 121,280 | 4,518,689 | |
4,635,958 |
Number of Shares | Value | ||
Household Products/Wares – 0.1% | |||
Reckitt Benckiser Group PLC (United Kingdom) | 4,904 | $ 398,120 | |
Insurance – 3.0% | |||
Allianz S.E. (Germany)(b) | 2,243 | 520,848 | |
Assicurazioni Generali S.p.A. (Italy) | 3,894 | 84,793 | |
Aviva PLC (United Kingdom) | 50,652 | 273,314 | |
AXA S.A. (France) | 11,755 | 341,988 | |
Direct Line Insurance Group PLC (United Kingdom) | 52,230 | 208,758 | |
Hannover Rueck S.E. (Germany) | 455 | 83,076 | |
Jackson Financial, Inc., Class A* | 745 | 20,167 | |
Legal & General Group PLC (United Kingdom) | 76,050 | 299,925 | |
Muenchener Rueckversicherungs-Gesellschaft A.G. in Muenchen (Germany)(b) | 693 | 205,188 | |
Prudential PLC (United Kingdom) | 29,822 | 608,606 | |
Sampo OYJ, Class A (Finland) | 1,692 | 89,949 | |
Swiss Life Holding A.G. (Switzerland)(b) | 234 | 128,364 | |
Swiss Re A.G. | 1,690 | 163,720 | |
Tryg A/S (Denmark) | 3,252 | 77,180 | |
Zurich Insurance Group A.G. (Switzerland) | 11,610 | 5,145,793 | |
8,251,669 | |||
Investment Management Companies – 0.2% | |||
Industrivarden AB, Class A (Sweden) | 6,279 | 207,115 | |
Investor AB, Class B (Sweden) | 8,619 | 198,874 | |
Kinnevik AB, Class B (Sweden)* | 2,096 | 82,270 | |
488,259 | |||
Iron/Steel – 0.5% | |||
Vale S.A. (Brazil) | 107,124 | 1,362,824 | |
Lodging – 0.0%(c) | |||
InterContinental Hotels Group PLC (United Kingdom)* | 1,935 | 135,541 | |
Media – 0.0%(c) | |||
Informa PLC (United Kingdom)* | 18,186 | 129,374 |
Number of Shares | Value | ||
Mining – 1.6% | |||
Anglo American PLC (South Africa) | 6,682 | $ 254,203 | |
BHP Group PLC (Australia) | 20,985 | 554,247 | |
Glencore PLC (Australia)* | 46,841 | 234,232 | |
MMC Norilsk Nickel PJSC ADR (Russia) | 89,415 | 2,791,822 | |
Rio Tinto PLC (Australia) | 8,253 | 514,587 | |
4,349,091 | |||
Miscellaneous Manufacturing – 0.0%(c) | |||
Smiths Group PLC (United Kingdom) | 6,920 | 128,491 | |
Oil & Gas – 4.3% | |||
BP PLC (United Kingdom) | 247,501 | 1,185,753 | |
Canadian Natural Resources Ltd. (Canada) | 2,855 | 121,342 | |
China Petroleum & Chemical Corp., Class H (China) | 470,000 | 229,000 | |
Ecopetrol S.A. ADR (Colombia) | 6,276 | 95,081 | |
Eni S.p.A. (Italy) | 13,662 | 195,810 | |
Equinor ASA (Norway) | 8,563 | 216,972 | |
Galp Energia SGPS S.A. (Portugal) | 8,470 | 87,986 | |
Gazprom PJSC ADR (Russia) | 35,653 | 349,858 | |
Imperial Oil Ltd. (Canada) | 2,814 | 95,270 | |
LUKOIL PJSC ADR (Russia) | 2,353 | 239,843 | |
Neste OYJ (Finland) | 3,052 | 169,911 | |
OMV A.G. (Austria) | 1,531 | 92,692 | |
Petroleo Brasileiro S.A. ADR (Brazil) | 17,696 | 173,775 | |
Repsol S.A. (Spain) | 7,258 | 92,964 | |
Rosneft Oil Co. PJSC GDR (Russia)(b) | 35,302 | 314,292 | |
Royal Dutch Shell PLC, Class B (Netherlands) | 76,954 | 1,765,996 | |
Suncor Energy, Inc. (Canada) | 4,179 | 109,912 | |
TotalEnergies S.E. (France) | 13,104 | 656,182 | |
TotalEnergies S.E. ADR (France) | 113,674 | 5,696,204 | |
Woodside Petroleum Ltd. (Australia) | 5,181 | 90,572 | |
11,979,415 | |||
Pharmaceuticals – 2.6% | |||
AstraZeneca PLC (United Kingdom) | 7,068 | 884,216 | |
GlaxoSmithKline PLC (United Kingdom) | 31,034 | 644,292 |
Number of Shares | Value | ||
Pharmaceuticals (Continued) | |||
Novartis A.G. ADR (Switzerland) | 44,570 | $ 3,688,613 | |
Sanofi ADR (France) | 39,780 | 2,006,106 | |
7,223,227 | |||
Pipelines – 1.4% | |||
Antero Midstream Corp. | 11,000 | 117,040 | |
Cheniere Energy, Inc.* | 6,379 | 659,589 | |
Enbridge, Inc. (Canada) | 18,064 | 756,656 | |
Equitrans Midstream Corp. | 12,108 | 124,833 | |
Kinder Morgan, Inc. | 34,805 | 582,984 | |
ONEOK, Inc. | 4,278 | 272,166 | |
Pembina Pipeline Corp. (Canada) | 5,425 | 179,591 | |
TC Energy Corp. (Canada) | 12,785 | 691,626 | |
Williams (The) Cos., Inc. | 15,839 | 444,918 | |
3,829,403 | |||
Real Estate – 0.8% | |||
KWG Group Holdings Ltd. (China) | 2,622,000 | 2,285,633 | |
Real Estate Investment Trusts – 2.9% | |||
Ascendas Real Estate Investment Trust (Singapore) | 602,100 | 1,379,069 | |
PLA Administradora Industrial S. de R.L. de C.V. (Mexico) | 2,552,930 | 3,571,225 | |
PowerGrid Infrastructure Investment Trust (India)(a)* | 1,881,000 | 3,039,252 | |
7,989,546 | |||
Retail – 0.0%(c) | |||
Kingfisher PLC (United Kingdom) | 28,320 | 129,977 | |
Telecommunications – 4.7% | |||
AT&T, Inc. | 80,460 | 2,032,420 | |
BCE, Inc. (Canada) | 41,100 | 2,115,417 | |
BT Group PLC (United Kingdom)* | 49,454 | 93,954 | |
Cisco Systems, Inc. | 76,150 | 4,262,115 | |
Softbank Corp. (Japan) | 323,385 | 4,414,101 | |
Vodafone Group PLC (United Kingdom) | 167,993 | 247,597 | |
13,165,604 | |||
Transportation – 0.1% | |||
Globaltrans Investment PLC GDR (Russia)(b) | 17,986 | 158,943 | |
Poste Italiane S.p.A. (Italy)(a) | 5,538 | 79,093 | |
238,036 |
Number of Shares | Value | ||
Water – 0.1% | |||
Severn Trent PLC (United Kingdom) | 3,916 | $ 146,663 | |
Total Common Stocks (Cost $124,245,573) | 139,995,812 | ||
Master Limited Partnerships – 0.8% | |||
Pipelines – 0.8% | |||
Energy Transfer L.P. | 48,177 | 458,163 | |
Enterprise Products Partners L.P. | 31,956 | 724,762 | |
Magellan Midstream Partners L.P. | 4,749 | 232,701 | |
MPLX L.P. | 7,840 | 236,141 | |
Phillips 66 Partners L.P. | 3,128 | 115,548 | |
Plains All American Pipeline L.P. | 28,986 | 293,339 | |
Shell Midstream Partners L.P. | 9,491 | 118,068 | |
2,178,722 | |||
Total Master Limited Partnerships (Cost $2,394,048) | 2,178,722 | ||
Investment Companies – 44.8% | |||
Global X U.S. Preferred ETF | 306,521 | 7,960,350 | |
iShares Broad USD High Yield Corporate Bond ETF | 804,273 | 33,216,475 | |
iShares J.P. Morgan EM High Yield Bond ETF | 182,196 | 7,965,609 | |
iShares STOXX Europe 600 Telecommunications UCITS ETF DE (Germany) | 324,999 | 7,637,958 |
Number of Shares | Value | ||
SPDR Bloomberg Barclays Convertible Securities ETF | 101,460 | $ 8,926,451 | |
Vanguard Emerging Markets Government Bond ETF | 139,265 | 10,862,670 | |
Vanguard Intermediate-Term Corporate Bond ETF | 148,966 | 13,986,418 | |
Vanguard Long-Term Corporate Bond ETF | 131,100 | 14,044,743 | |
Vanguard Long-Term Treasury ETF | 223,849 | 19,974,046 | |
Total Investment Companies (Cost $118,972,170) | 124,574,720 | ||
Short-Term Investments – 3.9% | |||
Money Market Fund – 3.9% | |||
Northern Institutional Funds - Treasury Portfolio (Premier), 0.01%(d) | 10,828,425 | 10,828,425 | |
Total Short-Term Investments (Cost $10,828,425) | 10,828,425 | ||
Total Investments – 99.8% (Cost $256,440,216) | 277,577,679 | ||
Other Assets less Liabilities – 0.2% | 508,202 | ||
NET ASSETS – 100.0% | $278,085,881 |
Percentages shown are based on Net Assets. |
All securities are United States companies, unless noted otherwise in parentheses. | |||
(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) | Security sold outside United States without registration under the Securities Act of 1933. | ||
(c) | Amount rounds to less than 0.05%. | ||
(d) | 7-day current yield as of October 31, 2021 is disclosed. | ||
* | Non-income producing security |
Abbreviations: | |
ADR | American Depositary Receipt |
CVA | Credit Valuation Adjustment |
ETF | Exchange-Traded Fund |
GDR | Global Depositary Receipt |
L.P. | Limited Partnership |
PJSC | Public Joint Stock Company |
PLC | Public Limited Company |
SPDR | Standard & Poor's Depositary Receipt |
UCITS | Undertakings for Collective Investment in Transferable Securities |
USD | United States Dollar |
Concentration by Currency (%)(a) | |
U.S. Dollar | 61.9 |
Euro | 12.5 |
British Pound | 8.0 |
All other currencies less than 5% | 17.6 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
Country Diversification (%)(a) | |
United States | 52.7 |
France | 8.1 |
United Kingdom | 7.8 |
All other countries less than 5% | 31.4 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
Valuation Hierarchy
Morningstar Global Income Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Common Stocks | $ 58,953,708 | $81,042,104 | $— | $139,995,812 |
Master Limited Partnerships | 2,178,722 | — | — | 2,178,722 |
Investment Companies | 124,574,720 | — | — | 124,574,720 |
Short-Term Investments | 10,828,425 | — | — | 10,828,425 |
Total Investments | $196,535,575 | $81,042,104 | $— | $277,577,679 |
Par (a) | Value | ||
Long Positions – 113.7% | |||
Asset-Backed Securities – 7.7% | |||
Automobile – 0.3% | |||
Avis Budget Rental Car Funding AESOP LLC, | |||
Series 2020-2A, Class A, 2.02%, 2/20/27(b) | $ 730,000 | $ 741,698 | |
Series 2021-1A, Class A, 1.38%, 8/20/27(b) | 740,000 | 731,452 | |
Hertz Vehicle Financing LLC, | |||
Series 2021-1A, Class A, 1.21%, 12/26/25(b) | 630,000 | 626,533 | |
Series 2021-1A, Class C, 2.05%, 12/26/25(b) | 420,000 | 420,285 | |
2,519,968 | |||
Commercial Mortgage-Backed Securities – 2.5% | |||
245 Park Avenue Trust, Series 2017-245P, Class E, 3.66%, 6/05/37(b)(c) | 740,000 | 742,932 | |
BANK, | |||
Series 2017-BNK5, Class A4, 3.13%, 6/15/60 | 330,000 | 350,500 | |
Series 2017-BNK7, Class A5, 3.44%, 9/15/60 | 100,000 | 108,575 | |
Series 2018-BN13, Class A5, 4.22%, 8/15/61 | 480,000 | 545,370 | |
Series 2019-BN19, Class C, 4.06%, 8/15/61(c) | 280,000 | 294,582 | |
Bayview Commercial Asset Trust, Series 2006-1A, Class A1, (1M USD LIBOR + 0.41%), 0.49%, 4/25/36(b)(d) | 333,085 | 316,498 | |
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-T26, Class AM, 5.43%, 1/12/45(c) | 89,723 | 88,988 | |
Benchmark Mortgage Trust, | |||
Series 2020-IG1, Class AS, 2.91%, 9/15/43 | 720,000 | 743,784 | |
Series 2018-B2, Class A5, 3.88%, 2/15/51 | 390,000 | 433,978 | |
Series 2019-B9, Class XA, 1.04%, 3/15/52(c) | 1,752,682 | 112,369 | |
Series 2021-B25, Class XA, 1.11%, 4/15/54(c) | 6,758,374 | 564,510 |
Par (a) | Value | ||
Commercial Mortgage-Backed Securities (Continued) | |||
Benchmark Mortgage Trust, | |||
Series 2021-B27, Class XA, 1.27%, 7/15/54(c) | $5,263,655 | $ 500,234 | |
Series 2019-B10, Class A4, 3.72%, 3/15/62 | 500,000 | 555,559 | |
BHMS, Series 2018-ATLS, Class A, (1M USD LIBOR + 1.25%, 1.25% Floor), 1.34%, 7/15/35(b)(d) | 1,190,000 | 1,190,380 | |
BX Commercial Mortgage Trust, | |||
Series 2020-FOX, Class A, (1M USD LIBOR + 1.00%, 1.00% Floor), 1.09%, 11/15/32(b)(d) | 879,325 | 879,325 | |
Series 2021-XL2, Class A, (1M USD LIBOR + 0.69%, 0.69% Floor), 0.79%, 10/15/36(b)(d) | 1,060,000 | 1,054,715 | |
Series 2020-BXLP, Class A, (1M USD LIBOR + 0.80%, 0.80% Floor), 0.89%, 12/15/36(b)(d) | 588,981 | 588,627 | |
Series 2021-SOAR, Class A, (1M USD LIBOR + 0.67%, 0.67% Floor), 0.76%, 6/15/38(b)(d) | 670,000 | 668,742 | |
BXP Trust, Series 2017-GM, Class D, 3.42%, 6/13/39(b)(c) | 370,000 | 383,760 | |
CAMB Commercial Mortgage Trust, | |||
Series 2019-LIFE, Class A, (1M USD LIBOR + 1.07%, 1.07% Floor), 1.16%, 12/15/37(b)(d) | 590,000 | 590,001 | |
Series 2019-LIFE, Class D, (1M USD LIBOR + 1.75%, 1.75% Floor), 1.84%, 12/15/37(b)(d) | 100,000 | 100,000 | |
CFK Trust, Series 2019-FAX, Class D, 4.64%, 1/15/39(b)(c) | 100,000 | 107,769 | |
Citigroup Commercial Mortgage Trust, | |||
Series 2019-SMRT, Class D, 4.75%, 1/10/36(b)(c) | 500,000 | 524,706 | |
Series 2019-SMRT, Class E, 4.74%, 1/10/36(b)(c) | 500,000 | 518,133 | |
Series 2014-GC23, Class B, 4.18%, 7/10/47 | 240,000 | 255,209 |
Par (a) | Value | ||
Commercial Mortgage-Backed Securities (Continued) | |||
Citigroup Commercial Mortgage Trust, | |||
Series 2016-P3, Class D, 2.80%, 4/15/49(b) | $ 62,515 | $ 51,274 | |
Series 2016-C1, Class D, 4.95%, 5/10/49(b)(c) | 250,000 | 253,234 | |
Series 2017-C4, Class A4, 3.47%, 10/12/50 | 420,000 | 456,143 | |
Commercial Mortgage Trust, Series 2020-CX, Class A, 2.17%, 11/10/46(b) | 290,000 | 288,944 | |
CSMC OA LLC, Series 2014-USA, Class B, 4.18%, 9/15/37(b) | 530,000 | 530,268 | |
DBGS Mortgage Trust, Series 2019-1735, Class X, 0.29%, 4/10/37(b)(c) | 13,945,000 | 297,275 | |
GS Mortgage Securities Corp. Trust, | |||
Series 2021-ROSS, Class A, (1M USD LIBOR + 1.15%, 1.15% Floor), 1.24%, 5/15/26(b)(d) | 700,000 | 700,711 | |
Series 2020-DUNE, Class A, (1M USD LIBOR + 1.10%, 1.10% Floor), 1.19%, 12/15/36(b)(d) | 960,000 | 964,363 | |
Series 2019-BOCA, Class A, (1M USD LIBOR + 1.20%, 1.20% Floor), 1.29%, 6/15/38(b)(d) | 100,000 | 100,163 | |
Series 2019-BOCA, Class B, (1M USD LIBOR + 1.50%, 1.50% Floor), 1.59%, 6/15/38(b)(d) | 620,000 | 618,823 | |
Series 2019-BOCA, Class C, (1M USD LIBOR + 1.73%, 1.73% Floor), 1.82%, 6/15/38(b)(d) | 530,000 | 528,661 | |
GS Mortgage Securities Trust, | |||
Series 2017-GS7, Class E, 3.00%, 8/10/50(b) | 70,000 | 61,899 | |
Series 2017-GS8, Class A4, 3.47%, 11/10/50 | 240,000 | 260,391 | |
JPMorgan Chase Commercial Mortgage Securities Trust, | |||
Series 2020-MKST, Class D, (1M USD LIBOR + 1.50%, 1.50% Floor), 1.59%, 12/15/36(b)(d) | 710,000 | 694,001 |
Par (a) | Value | ||
Commercial Mortgage-Backed Securities (Continued) | |||
JPMorgan Chase Commercial Mortgage Securities Trust, | |||
Series 2017-JP6, Class A5, 3.49%, 7/15/50 | $ 235,000 | $ 253,686 | |
LSTAR Commercial Mortgage Trust, Series 2015-3, Class AS, 3.17%, 4/20/48(b)(c) | 68,864 | 70,593 | |
MHC Trust, Series 2021-MHC2, Class A, (1M USD LIBOR + 0.85%, 0.85% Floor), 0.94%, 5/15/23(b)(d) | 240,000 | 239,474 | |
Morgan Stanley Capital I Trust, | |||
Series 2019-BPR, Class A, (1M USD LIBOR + 1.40%, 1.40% Floor), 1.49%, 5/15/36(b)(d) | 410,000 | 406,334 | |
Series 2019-L2, Class XA, 1.02%, 3/15/52(c) | 2,551,194 | 159,260 | |
OPG Trust, Series 2021-PORT, Class A, (1M USD LIBOR + 0.48%, 0.48% Floor), 0.58%, 10/15/36(b)(d) | 840,000 | 833,246 | |
PFP Ltd., Series 2019-5, Class A, (1M USD LIBOR + 0.97%, 0.97% Floor), 1.06%, 4/14/36(b)(d)(e) | 80,106 | 79,926 | |
SFO Commercial Mortgage Trust, Series 2021-555, Class A, (1M USD LIBOR + 1.15%, 1.15% Floor), 1.24%, 5/15/38(b)(d) | 200,000 | 200,060 | |
Soho Trust, Series 2021-SOHO, Class A, 2.70%, 8/10/38(b)(c) | 846,000 | 831,067 | |
VASA Trust, Series 2021-VASA, Class A, (1M USD LIBOR + 0.90%, 0.90% Floor), 0.99%, 7/15/39(b)(d) | 410,000 | 410,114 | |
Wells Fargo Commercial Mortgage Trust, | |||
Series 2015-P2, Class D, 3.24%, 12/15/48(b) | 147,000 | 129,242 | |
Series 2016-BNK1, Class B, 2.97%, 8/15/49 | 300,000 | 300,813 | |
Series 2017-C38, Class A5, 3.45%, 7/15/50 | 315,000 | 342,129 | |
22,281,340 |
Par (a) | Value | ||
Home Equity – 0.1% | |||
GSAA Home Equity Trust, Series 2006-4, Class 1A1, 2.96%, 3/25/36(c) | $ 53,682 | $ 42,361 | |
Option One Mortgage Loan Trust, Series 2004-3, Class M1, (1M USD LIBOR + 0.78%, 0.78% Floor), 0.87%, 11/25/34(d) | 174,703 | 175,073 | |
Renaissance Home Equity Loan Trust, Series 2005-2, Class AV3, (1M USD LIBOR + 0.37%, 0.37% Floor, 14.00% Cap), 0.46%, 8/25/35(d) | 339,686 | 332,370 | |
549,804 | |||
Other – 3.0% | |||
ABPCI Direct Lending Fund CLO X L.P., Series 2020-10A, Class A1A, (3M USD LIBOR + 1.95%, 1.95% Floor), 2.08%, 1/20/32(b)(d) | 400,000 | 400,454 | |
AGL Core CLO 8 Ltd., Series 2020-8A, Class A1, (3M USD LIBOR + 1.50%, 1.50% Floor), 1.63%, 10/20/31(b)(d) | 180,000 | 180,163 | |
Ajax Mortgage Loan Trust, | |||
Series 2018-G, Class A, 4.38%, 6/25/57(b)(c) | 47,200 | 47,183 | |
Series 2019-A, Class A, 3.75%, 8/25/57(b)(c) | 219,045 | 221,440 | |
Series 2019-B, Class A, 3.75%, 1/25/59(b)(c) | 294,044 | 297,220 | |
Allegro CLO XI Ltd., Series 2019-2A, Class A1A, (3M USD LIBOR + 1.39%, 1.39% Floor), 1.51%, 1/19/33(b)(d) | 250,000 | 250,360 | |
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-R7, Class M2, (1M USD LIBOR + 0.75%, 0.75% Floor), 0.84%, 9/25/35(d) | 70,043 | 70,052 | |
AMMC CLO Ltd., Series 2017-21A, Class A, (3M USD LIBOR + 1.25%), 1.38%, 11/02/30(b)(d) | 250,000 | 250,022 | |
Anchorage Capital CLO Ltd., Series 2013-1A, Class A1R, (3M USD LIBOR + 1.25%), 1.37%, 10/13/30(b)(d) | 500,000 | 500,644 |
Par (a) | Value | ||
Other (Continued) | |||
Applebee's Funding LLC/IHOP Funding LLC, Series 2019-1A, Class A2I, 4.20%, 6/05/49(b) | $376,200 | $380,363 | |
ARES XLIV CLO Ltd., Series 2017-44A, Class A1R, (3M USD LIBOR + 1.08%, 1.08% Floor), 1.20%, 4/15/34(b)(d) | 460,000 | 457,990 | |
Atrium IX, Series 9A, Class AR2, (3M USD LIBOR + 0.99%, 0.99% Floor), 1.11%, 5/28/30(b)(d) | 530,000 | 530,265 | |
Babson CLO Ltd., Series 2015-IA, Class AR, (3M USD LIBOR + 0.99%, 0.99% Floor), 1.12%, 1/20/31(b)(d) | 250,000 | 250,100 | |
Ballyrock CLO Ltd., Series 2019-2A, Class A1BR, (3M USD LIBOR + 1.20%, 1.20% Floor), 1.33%, 11/20/30(b)(d) | 250,000 | 250,027 | |
Basswood Park CLO Ltd, Series 2021-1A, Class A, (3M USD LIBOR + 1.00%, 1.00% Floor), 1.13%, 4/20/34(b)(d) | 800,000 | 797,760 | |
Bayview Commercial Asset Trust, Series 2007-4A, Class A1, (1M USD LIBOR + 0.45%, 0.45% Floor), 0.54%, 9/25/37(b)(d) | 349,848 | 336,713 | |
BCC Funding Corp. XVI LLC, Series 2019-1A, Class A2, 2.46%, 8/20/24(b) | 174,255 | 175,982 | |
BlueMountain CLO Ltd., | |||
Series 2013-1A, Class A1R2, (3M USD LIBOR + 1.23%, 1.23% Floor), 1.36%, 1/20/29(b)(d) | 208,861 | 208,871 | |
Series 2013-2A, Class A1R, (3M USD LIBOR + 1.18%), 1.31%, 10/22/30(b)(d) | 245,096 | 245,292 | |
Series 2015-3A, Class A1R, (3M USD LIBOR + 1.00%), 1.13%, 4/20/31(b)(d) | 250,000 | 249,884 | |
Carlyle Global Market Strategies CLO Ltd., | |||
Series 2015-3A, Class A1R, (3M USD LIBOR + 1.00%), 1.14%, 7/28/28(b)(d) | 210,464 | 210,480 |
Par (a) | Value | ||
Other (Continued) | |||
Carlyle Global Market Strategies CLO Ltd., | |||
Series 2014-2RA, Class A1, (3M USD LIBOR + 1.05%), 1.18%, 5/15/31(b)(d) | $729,370 | $729,806 | |
Series 2014-3RA, Class A1A, (3M USD LIBOR + 1.05%), 1.19%, 7/27/31(b)(d) | 247,958 | 248,157 | |
Cayuga Park CLO Ltd., Series 2020-1A, Class AR, (3M USD LIBOR + 1.12%, 1.12% Floor), 1.24%, 7/17/34(b)(d) | 440,000 | 439,999 | |
Cerberus Loan Funding XXVIII L.P., Series 2020-1A, Class A, (3M USD LIBOR + 1.85%, 1.85% Floor), 1.98%, 10/15/31(b)(d) | 125,000 | 125,041 | |
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH4, Class M3A, (1M USD LIBOR + 2.50%, 2.50% Floor), 2.59%, 7/25/37(d) | 500,000 | 533,454 | |
Columbia Cent CLO 29 Ltd., Series 2020-29A, Class A1N, (3M USD LIBOR + 1.70%, 1.70% Floor), 1.83%, 7/20/31(b)(d) | 260,000 | 260,305 | |
Cumberland Park CLO Ltd., Series 2015-2A, Class BR, (3M USD LIBOR + 1.40%), 1.53%, 7/20/28(b)(d) | 350,000 | 349,923 | |
Dryden 87 CLO Ltd., Series 2021-87A, Class A1, (3M USD LIBOR + 1.10%, 1.10% Floor), 1.24%, 5/20/34(b)(d) | 770,000 | 767,828 | |
First Franklin Mortgage Loan Trust, | |||
Series 2003-FF4, Class M1, (1M USD LIBOR + 1.80%, 1.80% Floor), 1.88%, 10/25/33(d) | 356,940 | 359,681 | |
Series 2006-FF13, Class A1, (1M USD LIBOR + 0.24%, 0.24% Floor), 0.33%, 10/25/36(d) | 32,646 | 25,898 |
Par (a) | Value | ||
Other (Continued) | |||
First Franklin Mortgage Loan Trust, | |||
Series 2006-FF13, Class A2C, (1M USD LIBOR + 0.32%, 0.32% Floor), 0.41%, 10/25/36(d) | $ 19,196 | $ 15,434 | |
GCI Funding I LLC, Series 2021-1, Class A, 2.38%, 6/18/46(b) | 607,600 | 609,496 | |
Generate CLO 3 Ltd., Series 2016-1A, Class BR, (3M USD LIBOR + 1.75%), 1.88%, 10/20/29(b)(d) | 500,000 | 500,514 | |
Hardee's Funding LLC, Series 2021-1A, Class A2, 2.87%, 6/20/51(b) | 418,950 | 418,410 | |
HGI CRE CLO Ltd., Series 2021-FL1, Class A, (1M USD LIBOR + 1.05%, 1.05% Floor), 1.14%, 6/16/36(b)(d)(e) | 600,000 | 599,791 | |
Hildene Community Funding CDO Ltd., Series 2015-1A, Class AR, 3.25%, 11/01/35(b) | 150,000 | 148,298 | |
Home Equity Asset Trust, Series 2006-4, Class 2A4, (1M USD LIBOR + 0.56%, 0.56% Floor), 0.65%, 8/25/36(d) | 539,424 | 539,174 | |
ICG U.S. CLO Ltd., Series 2015-2RA, Class A1, (3M USD LIBOR + 1.37%, 1.37% Floor), 1.49%, 1/16/33(b)(d) | 500,000 | 500,263 | |
KKR CLO 32 Ltd., Series 32A, Class A1, (3M USD LIBOR + 1.32%, 1.32% Floor), 1.44%, 1/15/32(b)(d) | 150,000 | 150,109 | |
LCM Loan Income Fund I Income Note Issuer Ltd., Series 27A, Class A1, (3M USD LIBOR + 1.08%), 1.20%, 7/16/31(b)(d) | 250,000 | 249,849 | |
Legacy Mortgage Asset Trust, Series 2019-GS5, Class A1, (Step to 6.20% on 8/25/22) , 3.20%, 5/25/59(b)(f) | 684,668 | 687,079 | |
Long Beach Mortgage Loan Trust, Series 2006-6, Class 2A3, (1M USD LIBOR + 0.30%, 0.30% Floor), 0.39%, 7/25/36(d) | 789,752 | 409,849 |
Par (a) | Value | ||
Other (Continued) | |||
Madison Park Funding X Ltd., Series 2012-10A, Class AR3, (3M USD LIBOR + 1.01%), 1.14%, 1/20/29(b)(d) | $ 607,180 | $ 607,089 | |
Madison Park Funding XIII Ltd., Series 2014-13A, Class AR2, (3M USD LIBOR + 0.95%, 0.95% Floor), 1.07%, 4/19/30(b)(d) | 491,885 | 491,816 | |
Merrill Lynch Mortgage Investors Trust, Series 2004-WMC5, Class M1, (1M USD LIBOR + 0.93%, 0.93% Floor), 1.02%, 7/25/35(d) | 190,293 | 190,304 | |
Myers Park CLO Ltd., Series 2018-1A, Class B1, (3M USD LIBOR + 1.60%, 1.60% Floor), 1.73%, 10/20/30(b)(d) | 250,000 | 249,999 | |
NP SPE X L.P., Series 2021-1A, Class A1, 2.23%, 3/19/51(b) | 780,000 | 775,279 | |
Oaktree CLO Ltd., Series 2015-1A, Class A1R, (3M USD LIBOR + 0.87%), 1.00%, 10/20/27(b)(d) | 132,833 | 132,822 | |
Octagon Investment Partners XXI Ltd., | |||
Series 2012-1A, Class AARR, (3M USD LIBOR + 0.95%, 0.95% Floor), 1.07%, 7/15/29(b)(d) | 1,450,000 | 1,449,339 | |
Series 2012-1A, Class AAR3, (3M USD LIBOR + 1.00%, 1.00% Floor), 1.13%, 2/14/31(b)(d) | 260,000 | 259,906 | |
OHA Credit Funding 7 Ltd., Series 2020-7A, Class A, (3M USD LIBOR + 1.25%, 1.25% Floor), 1.37%, 10/19/32(b)(d) | 150,000 | 150,034 | |
Owl Rock CLO III Ltd., Series 2020-3A, Class A1L, (3M USD LIBOR + 1.80%), 1.93%, 4/20/32(b)(d) | 270,000 | 270,421 | |
Palmer Square CLO Ltd., Series 2018-2A, Class A1A, (3M USD LIBOR + 1.10%), 1.22%, 7/16/31(b)(d) | 500,000 | 500,110 |
Par (a) | Value | ||
Other (Continued) | |||
Point Au Roche Park CLO Ltd., Series 2021-1A, Class A, (3M USD LIBOR + 1.08%, 1.08% Floor), 1.26%, 7/20/34(b)(d) | $620,000 | $618,572 | |
RR 3 Ltd., Series 2018-3A, Class A1R2, (3M USD LIBOR + 1.09%, 1.09% Floor), 1.21%, 1/15/30(b)(d) | 250,000 | 250,457 | |
SBA Small Business Investment Cos., | |||
Series 2019-10A, Class 1, 3.11%, 3/10/29 | 76,260 | 80,519 | |
Series 2021-10A, Class 1, 1.67%, 3/10/31 | 228,934 | 231,235 | |
Silver Rock CLO I Ltd., Series 2020-1A, Class A, (3M USD LIBOR + 1.65%, 1.65% Floor), 1.78%, 10/20/31(b)(d) | 440,000 | 440,718 | |
Sunrun Vulcan Issuer LLC, Series 2021-1A, Class A, 2.46%, 1/30/52(b) | 624,549 | 619,888 | |
Towd Point Mortgage Trust, | |||
Series 2016-3, Class B1, 4.08%, 4/25/56(b)(c) | 190,000 | 200,739 | |
Series 2017-4, Class B2, 3.44%, 6/25/57(b)(c) | 330,000 | 345,633 | |
Series 2019-SJ2, Class M1, 4.50%, 11/25/58(b) | 500,000 | 501,118 | |
Series 2020-2, Class M1B, 3.00%, 4/25/60(b)(c) | 240,000 | 247,635 | |
United States Small Business Administration, | |||
Series 2019-20D, Class 1, 2.98%, 4/01/39 | 40,823 | 43,805 | |
Series 2019-25G, Class 1, 2.69%, 7/01/44 | 70,256 | 73,717 | |
Venture 31 CLO Ltd., Series 2018-31A, Class A1, (3M USD LIBOR + 1.03%, 1.03% Floor), 1.16%, 4/20/31(b)(d) | 410,000 | 410,246 | |
Voya CLO Ltd., | |||
Series 2018-2A, Class A1, (3M USD LIBOR + 1.00%, 1.00% Floor), 1.12%, 7/15/31(b)(d) | 570,000 | 570,532 | |
Series 2018-4A, Class A1AR, (3M USD LIBOR + 1.04%, 1.04% Floor), 1.16%, 1/15/32(b)(d) | 680,000 | 679,765 |
Par (a) | Value | ||
Other (Continued) | |||
Voya CLO Ltd., | |||
Series 2017-3A, Class A1R, (3M USD LIBOR + 1.04%), 1.17%, 4/20/34(b)(d) | $230,000 | $ 229,223 | |
Whitebox CLO II Ltd., | |||
Series 2020-2A, Class A1, (3M USD LIBOR + 1.75%, 1.75% Floor), 1.88%, 10/24/31(b)(d) | 280,000 | 280,341 | |
Series 2020-2A, Class A1R, 10/24/34(b)(g) | 290,000 | 290,000 | |
Whitebox CLO III Ltd., Series 2021-3A, Class A1, 10/15/34(b)(g) | 420,000 | 419,895 | |
26,590,780 | |||
Student Loan – 0.2% | |||
Navient Student Loan Trust, | |||
Series 2017-1A, Class A3, (1M USD LIBOR + 1.15%), 1.24%, 7/26/66(b)(d) | 260,000 | 265,355 | |
Series 2017-2A, Class A, (1M USD LIBOR + 1.05%), 1.14%, 12/27/66(b)(d) | 112,750 | 114,113 | |
SMB Private Education Loan Trust 2021-A, Series 2021-A, Class A2B, 1.59%, 1/15/53(b) | 670,000 | 662,546 | |
Sofi Professional Loan Program Trust, Series 2018-B, Class A2FX, 3.34%, 8/25/47(b) | 125,567 | 128,457 | |
1,170,471 | |||
Whole Loan – 1.6% | |||
Adjustable Rate Mortgage Trust, Series 2005-9, Class 5A1, (1M USD LIBOR + 0.54%, 0.54% Floor, 11.00% Cap), 0.63%, 11/25/35(d) | 199,084 | 201,508 | |
Cascade MH Asset Trust, Series 2021-MH1, Class A1, 1.75%, 2/25/46(b) | 156,762 | 155,263 | |
CIM Trust, Series 2021-R6, Class A1, 1.42%, 7/25/61(b)(h) | 383,666 | 383,440 | |
CSMC, | |||
Series 2021-2R, Class 1A1, (1M USD LIBOR + 1.75%, 1.75% Floor), 1.84%, 7/25/47(b)(d) | 377,668 | 377,776 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
CSMC, | |||
Series 2019-NQM1, Class A2, (Step to 3.86% on 12/25/23), 2.86%, 10/25/59(b)(f) | $568,391 | $574,516 | |
Series 2021-NQM2, Class A3, 1.54%, 2/25/66(b) | 145,414 | 144,702 | |
Series 2021-NQM6, Class A3, 1.58%, 7/25/66(b) | 836,539 | 832,247 | |
CSMC Trust, | |||
Series 2021-RPL2, Class A1, 2.00%, 1/25/60(b)(c) | 151,228 | 151,964 | |
Series 2021-RPL3, Class A1, 2.00%, 1/25/60(b) | 166,604 | 168,388 | |
Series 2021-RPL6, Class A1, 2.00%, 10/25/60(b) | 197,813 | 198,865 | |
Series 2021-RPL4, Class A1, 1.79%, 12/27/60(b)(c) | 187,353 | 188,244 | |
FHLMC Structured Agency Credit Risk Debt Notes, Series 2014-DN3, Class M3, (1M USD LIBOR + 4.00%), 4.09%, 8/25/24(d) | 55,310 | 56,654 | |
FNMA Connecticut Avenue Securities, | |||
Series 2014-C04, Class 1M2, (1M USD LIBOR + 4.90%), 4.99%, 11/25/24(d) | 105,309 | 109,546 | |
Series 2016-C02, Class 1M2, (1M USD LIBOR + 6.00%), 6.09%, 9/25/28(d) | 342,269 | 357,992 | |
Series 2016-C03, Class 1M2, (1M USD LIBOR + 5.30%), 5.39%, 10/25/28(d) | 307,237 | 322,649 | |
Series 2016-C04, Class 1M2, (1M USD LIBOR + 4.25%), 4.34%, 1/25/29(d) | 170,873 | 176,853 | |
Freddie Mac STACR REMIC Trust, | |||
Series 2021-DNA6, Class M2, (30D Average SOFR + 1.50%), 1.55%, 10/25/41(b)(d) | 580,000 | 580,725 | |
Series 2020-DNA6, Class M1, (30D Average SOFR + 0.90%), 0.95%, 12/25/50(b)(d) | 92,268 | 92,326 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2021-DNA2, Class M2, (30D Average SOFR + 2.30%), 2.35%, 8/25/33(b)(d) | $190,000 | $193,813 | |
GSR Mortgage Loan Trust, Series 2007-1F, Class 2A4, 5.50%, 1/25/37 | 232,709 | 275,623 | |
HarborView Mortgage Loan Trust, | |||
Series 2005-9, Cllass 2A1B, (1M USD LIBOR + 0.74%, 0.74% Floor, 11.00% Cap), 0.83%, 6/20/35(d) | 171,654 | 172,547 | |
Series 2005-9, Cllass 2A1C, (1M USD LIBOR + 0.90%, 0.90% Floor, 11.00% Cap), 0.99%, 6/20/35(d) | 632,764 | 631,879 | |
Impac CMB Trust, Series 2007-A, Class A, (1M USD LIBOR + 0.50%, 0.50% Floor, 11.50% Cap), 0.59%, 5/25/37(b)(d) | 237,655 | 238,375 | |
Legacy Mortgage Asset Trust, Series 2021-GS2, Class A1, (Step to 4.75% on 5/25/24) , 1.75%, 4/25/61(b)(f) | 345,841 | 344,262 | |
MASTR Asset Securitization Trust, | |||
Series 2007-1, Class 1A4, 6.50%, 11/25/37 | 624,118 | 223,862 | |
Series 2007-2, Class A2, 6.25%, 1/25/38 | 405,972 | 298,290 | |
Merrill Lynch Mortgage Investors Trust, Series 2004-A1, Class 2A2, 2.26%, 2/25/34(c) | 281,944 | 291,648 | |
Morgan Stanley Resecuritization Trust, Series 2015-R2, Class 2A1, (12MTA + 1.09%, 1.09% Floor), 2.27%, 12/26/46(b)(d) | 128,208 | 129,704 | |
New Residential Mortgage Loan Trust, | |||
Series 2015-2A, Class A1, 3.75%, 8/25/55(b) | 299,032 | 313,201 | |
Series 2021-NQM3, Class A1, 1.16%, 11/27/56(b) | 275,316 | 274,134 | |
Series 2017-2A, Class B2, 4.75%, 3/25/57(b) | 280,674 | 302,713 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
New Residential Mortgage Loan Trust, | |||
Series 2018-RPL1, Class M2, 3.50%, 12/25/57(b) | $280,000 | $ 290,689 | |
Series 2018-3A, Class A1, 4.50%, 5/25/58(b)(c) | 843,932 | 905,252 | |
Series 2019-NQM4, Class A1, 2.49%, 9/25/59(b) | 181,568 | 182,742 | |
Series 2019-6A, Class A1B, 3.50%, 9/25/59(b) | 764,522 | 798,639 | |
Series 2019-6A, Class B3C, 3.75%, 9/25/59(b)(c) | 587,934 | 616,565 | |
OBX Trust, | |||
Series 2021-NQM2, Class A1, 1.10%, 5/25/61(b) | 753,102 | 751,551 | |
Series 2021-NQM3, Class A1, 1.05%, 7/25/61(b) | 228,508 | 226,934 | |
Residential Mortgage Loan Trust, | |||
Series 2019-2, Class A1, 2.91%, 5/25/59(b) | 168,483 | 170,378 | |
Series 2020-2, Class A1, 1.65%, 5/25/60(b) | 276,348 | 277,607 | |
Thornburg Mortgage Securities Trust, Series 2004-2, Class A4, (1M USD LIBOR + 0.68%, 0.34% Floor, 11.50% Cap), 0.77%, 6/25/44(d) | 382,478 | 376,187 | |
Voyager OPTONE Delaware Trust, Series 2009-1, Class SAA7, 5.68%, 2/25/38(b)(c) | 184,426 | 57,288 | |
WaMu Mortgage Pass-Through Certificates, Series 2006-AR13, Class 1A, (12MTA + 0.88%, 0.88% Floor), 0.97%, 10/25/46(d) | 317,465 | 306,092 | |
ZH Trust, Series 2021-2, Class A, 2.35%, 10/17/27(b) | 560,000 | 559,999 | |
14,283,632 | |||
Total Asset-Backed Securities (Cost $67,216,745) | 67,395,995 | ||
Corporate Bonds – 22.1% | |||
Advertising – 0.0%(i) | |||
Interpublic (The) Group of Cos., Inc, 4.75%, 3/30/30 | 97,000 | 113,981 |
Par (a) | Value | ||
Advertising (Continued) | |||
Lamar Media Corp., 3.75%, 2/15/28 | $ 8,000 | $ 8,087 | |
Outfront Media Capital LLC/Outfront Media Capital Corp., | |||
5.00%, 8/15/27(b) | 82,000 | 83,640 | |
4.63%, 3/15/30(b) | 7,000 | 6,998 | |
212,706 | |||
Aerospace/Defense – 1.1% | |||
Boeing (The) Co., | |||
1.43%, 2/04/24 | 110,000 | 110,037 | |
4.87%, 5/01/25 | 360,000 | 397,704 | |
2.20%, 2/04/26 | 390,000 | 390,650 | |
3.10%, 5/01/26 | 40,000 | 41,700 | |
2.70%, 2/01/27 | 69,000 | 70,770 | |
2.80%, 3/01/27 | 40,000 | 41,032 | |
3.20%, 3/01/29 | 130,000 | 134,629 | |
5.15%, 5/01/30 | 470,000 | 548,280 | |
3.25%, 2/01/35 | 290,000 | 290,600 | |
5.70%, 5/01/40 | 140,000 | 179,755 | |
3.75%, 2/01/50 | 50,000 | 52,609 | |
5.80%, 5/01/50 | 524,000 | 718,459 | |
5.93%, 5/01/60 | 200,000 | 281,447 | |
General Dynamics Corp., | |||
1.15%, 6/01/26 | 15,000 | 14,959 | |
3.63%, 4/01/30 | 317,000 | 354,723 | |
4.25%, 4/01/40 | 10,000 | 12,214 | |
4.25%, 4/01/50 | 40,000 | 52,046 | |
L3Harris Technologies, Inc., | |||
3.95%, 5/28/24 | 62,000 | 66,200 | |
4.40%, 6/15/28 | 399,000 | 455,228 | |
1.80%, 1/15/31 | 328,000 | 314,557 | |
Lockheed Martin Corp., | |||
3.55%, 1/15/26 | 120,000 | 130,717 | |
3.60%, 3/01/35 | 222,000 | 249,469 | |
4.07%, 12/15/42 | 41,000 | 49,125 | |
3.80%, 3/01/45 | 82,000 | 96,562 | |
2.80%, 6/15/50 | 49,000 | 49,773 | |
Northrop Grumman Corp., | |||
2.93%, 1/15/25 | 40,000 | 41,956 | |
3.25%, 1/15/28 | 850,000 | 915,430 | |
4.03%, 10/15/47 | 273,000 | 327,353 | |
5.25%, 5/01/50 | 615,000 | 875,368 | |
Raytheon Technologies Corp., | |||
3.15%, 12/15/24 | 105,000 | 110,457 | |
7.20%, 8/15/27 | 26,000 | 33,392 | |
7.00%, 11/01/28 | 90,000 | 116,191 | |
4.13%, 11/16/28 | 470,000 | 532,657 | |
7.50%, 9/15/29 | 15,000 | 20,599 | |
2.15%, 5/18/30 | EUR | 130,000 | 165,629 |
Par (a) | Value | ||
Aerospace/Defense (Continued) | |||
Raytheon Technologies Corp., | |||
2.25%, 7/01/30 | $100,000 | $ 100,376 | |
4.50%, 6/01/42 | 30,000 | 36,935 | |
4.15%, 5/15/45 | 150,000 | 178,645 | |
3.75%, 11/01/46 | 50,000 | 56,545 | |
4.62%, 11/16/48 | 40,000 | 51,849 | |
3.13%, 7/01/50 | 190,000 | 198,074 | |
2.82%, 9/01/51 | 225,000 | 221,518 | |
TransDigm, Inc., | |||
8.00%, 12/15/25(b) | 198,000 | 210,622 | |
6.25%, 3/15/26(b) | 483,000 | 504,131 | |
9,800,972 | |||
Agriculture – 0.3% | |||
Altria Group, Inc., | |||
2.35%, 5/06/25 | 30,000 | 30,927 | |
4.40%, 2/14/26 | 172,000 | 190,843 | |
2.20%, 6/15/27 | EUR | 100,000 | 123,086 |
3.12%, 6/15/31 | EUR | 205,000 | 265,468 |
2.45%, 2/04/32 | 471,000 | 446,964 | |
5.80%, 2/14/39 | 315,000 | 383,581 | |
3.40%, 2/04/41 | 233,000 | 217,554 | |
5.95%, 2/14/49 | 305,000 | 389,246 | |
6.20%, 2/14/59 | 24,000 | 31,694 | |
Cargill, Inc., 1.37%, 7/23/23(b) | 110,000 | 111,401 | |
Darling Ingredients, Inc., 5.25%, 4/15/27(b) | 18,000 | 18,652 | |
Philip Morris International, Inc., | |||
1.13%, 5/01/23 | 70,000 | 70,631 | |
2.10%, 5/01/30 | 70,000 | 69,195 | |
1.45%, 8/01/39 | EUR | 200,000 | 219,564 |
4.50%, 3/20/42 | 60,000 | 70,134 | |
2,638,940 | |||
Airlines – 0.2% | |||
American Airlines Pass Through Trust, | |||
Series 2013-2, Class A, 4.95%, 1/15/23 | 26,245 | 26,759 | |
Series 2015-2, Class B, 4.40%, 9/22/23 | 16,678 | 16,476 | |
Series 2016-1, Class B, 5.25%, 1/15/24 | 91,997 | 90,653 | |
Series 2017-1, Class B, 4.95%, 2/15/25 | 13,332 | 13,281 | |
Series 2015-2, Class AA, 3.60%, 9/22/27 | 13,311 | 13,783 | |
Series 2016-1, Class AA, 3.58%, 1/15/28 | 76,187 | 77,131 | |
Series 2019-1, Class B, 3.85%, 2/15/28 | 68,675 | 65,422 |
Par (a) | Value | ||
Airlines (Continued) | |||
American Airlines Pass Through Trust, | |||
Series 2016-2, Class AA, 3.20%, 6/15/28 | $ 23,610 | $ 24,008 | |
Series 2016-3, Class AA, 3.00%, 10/15/28 | 114,231 | 115,781 | |
Series 2017-1, Class AA, 3.65%, 2/15/29 | 20,312 | 21,271 | |
Series 2019-1, Class AA, 3.15%, 2/15/32 | 68,904 | 70,649 | |
Delta Air Lines Pass Through Trust, | |||
Series 2019-1, Class AA, 3.20%, 4/25/24 | 137,000 | 142,419 | |
Series 2015-1, Class AA, 3.63%, 7/30/27 | 55,434 | 59,191 | |
Delta Air Lines, Inc./SkyMiles IP Ltd., | |||
4.50%, 10/20/25(b) | 220,000 | 234,754 | |
4.75%, 10/20/28(b) | 210,000 | 233,191 | |
United Airlines Pass Through Trust, | |||
Series 2016-2, Class B, 3.65%, 10/07/25 | 2,630 | 2,628 | |
Series 2020-1, Class B, 4.87%, 1/15/26 | 58,370 | 61,479 | |
Series 2014-1, Class A, 4.00%, 4/11/26 | 89,951 | 94,206 | |
Series 2020-1, Class A, 5.87%, 10/15/27 | 401,968 | 449,710 | |
Series 2015-1, Class AA, 3.45%, 12/01/27 | 758 | 796 | |
Series 2019-2, Class B, 3.50%, 5/01/28 | 50,971 | 50,332 | |
Series 2016-1, Class AA, 3.10%, 7/07/28 | 2,367 | 2,468 | |
Series 2016-2, Class AA, 2.88%, 10/07/28 | 17,348 | 17,594 | |
Series 2018-1, Class AA, 3.50%, 3/01/30 | 15,456 | 16,324 | |
Series 2019-2, Class AA, 2.70%, 5/01/32 | 56,135 | 56,556 | |
1,956,862 | |||
Apparel – 0.0%(i) | |||
Hanesbrands, Inc., | |||
4.63%, 5/15/24(b) | 58,000 | 60,465 | |
4.87%, 5/15/26(b) | 12,000 | 12,828 | |
NIKE, Inc., | |||
2.40%, 3/27/25 | 60,000 | 62,491 | |
2.75%, 3/27/27 | 100,000 | 106,265 | |
2.85%, 3/27/30 | 100,000 | 107,122 | |
3.25%, 3/27/40 | 50,000 | 54,993 | |
3.38%, 3/27/50 | 20,000 | 22,906 |
Par (a) | Value | ||
Apparel (Continued) | |||
Under Armour, Inc., 3.25%, 6/15/26 | $ 7,000 | $ 7,175 | |
William Carter (The) Co., 5.62%, 3/15/27(b) | 33,000 | 34,196 | |
468,441 | |||
Auto Manufacturers – 0.2% | |||
General Motors Co., | |||
4.88%, 10/02/23 | 560,000 | 600,658 | |
6.12%, 10/01/25 | 139,000 | 161,325 | |
5.95%, 4/01/49 | 70,000 | 95,176 | |
General Motors Financial Co., Inc., | |||
3.70%, 5/09/23 | 68,000 | 70,593 | |
1.70%, 8/18/23 | 203,000 | 205,949 | |
5.10%, 1/17/24 | 70,000 | 75,603 | |
1.05%, 3/08/24 | 269,000 | 268,422 | |
2.75%, 6/20/25 | 359,000 | 372,741 | |
2.40%, 10/15/28 | 200,000 | 198,750 | |
2,049,217 | |||
Banks – 5.2% | |||
Bank of America Corp., | |||
3.30%, 1/11/23 | 270,000 | 278,990 | |
(3M USD LIBOR + 0.79%), 3.00%, 12/20/23(j) | 93,000 | 95,435 | |
(3M USD LIBOR + 0.78%), 3.55%, 3/05/24(j) | 93,000 | 96,458 | |
4.20%, 8/26/24 | 60,000 | 64,915 | |
(SOFR + 0.74%), 0.81%, 10/24/24(j) | 264,000 | 263,663 | |
3.95%, 4/21/25 | 361,000 | 389,812 | |
(3M USD LIBOR + 0.87%), 2.46%, 10/22/25(j) | 1,061,000 | 1,097,246 | |
(3M USD LIBOR + 0.81%), 3.37%, 1/23/26(j) | 62,000 | 65,783 | |
4.45%, 3/03/26 | 93,000 | 103,069 | |
(SOFR + 1.15%), 1.32%, 6/19/26(j) | 70,000 | 69,459 | |
4.25%, 10/22/26 | 680,000 | 752,712 | |
(SOFR + 1.01%), 1.20%, 10/24/26(j) | 85,000 | 83,585 | |
(SOFR + 0.91%), 1.66%, 3/11/27(j) | 893,000 | 888,852 | |
(3M USD LIBOR + 1.06%), 3.56%, 4/23/27(j) | 384,000 | 412,805 | |
(SOFR + 0.96%), 1.73%, 7/22/27(j) | 662,000 | 657,738 | |
(3M USD LIBOR + 1.58%), 3.82%, 1/20/28(j) | 543,000 | 592,234 | |
(3M USD LIBOR + 2.93%), 5.87%, 3/15/28(j)(k) | 171,000 | 191,429 | |
(3M USD LIBOR + 1.51%), 3.71%, 4/24/28(j) | 252,000 | 273,015 |
Par (a) | Value | ||
Banks (Continued) | |||
Bank of America Corp., | |||
(3M USD LIBOR + 1.37%), 3.59%, 7/21/28(j) | $ 239,000 | $ 258,677 | |
(3M USD LIBOR + 1.04%), 3.42%, 12/20/28(j) | 600,000 | 641,544 | |
(3M USD LIBOR + 1.07%), 3.97%, 3/05/29(j) | 138,000 | 152,868 | |
(3M USD LIBOR + 1.21%), 3.97%, 2/07/30(j) | 1,127,000 | 1,252,435 | |
(3M USD LIBOR + 1.18%), 3.19%, 7/23/30(j) | 166,000 | 176,013 | |
(3M USD LIBOR + 1.19%), 2.88%, 10/22/30(j) | 393,000 | 406,850 | |
(SOFR + 2.15%), 2.59%, 4/29/31(j) | 1,176,000 | 1,189,564 | |
(SOFR + 1.53%), 1.90%, 7/23/31(j) | 200,000 | 191,078 | |
(SOFR + 1.22%), 2.30%, 7/21/32(j) | 260,000 | 254,360 | |
(SOFR + 1.21%), 2.57%, 10/20/32(j) | 375,000 | 375,760 | |
(3M USD LIBOR + 1.32%), 4.08%, 4/23/40(j) | 179,000 | 206,336 | |
(SOFR + 1.93%), 2.68%, 6/19/41(j) | 81,000 | 78,018 | |
(SOFR + 1.58%), 3.31%, 4/22/42(j) | 154,000 | 163,060 | |
5.00%, 1/21/44 | 170,000 | 223,293 | |
(3M USD LIBOR + 1.52%), 4.33%, 3/15/50(j) | 30,000 | 37,327 | |
(3M USD LIBOR + 3.15%), 4.08%, 3/20/51(j) | 450,000 | 543,280 | |
Bank of New York Mellon (The) Corp., | |||
1.60%, 4/24/25 | 60,000 | 60,867 | |
(5Y US Treasury CMT + 3.35%), 3.70%, 3/20/26(j)(k) | 90,000 | 93,735 | |
(3M USD LIBOR + 3.13%), 4.62%, 9/20/26(j)(k) | 136,000 | 146,030 | |
Citigroup, Inc., | |||
(SOFR + 1.67%), 1.68%, 5/15/24(j) | 120,000 | 121,747 | |
5.50%, 9/13/25 | 120,000 | 136,872 | |
(5Y US Treasury CMT + 3.60%), 4.00%, 12/10/25(j)(k) | 418,000 | 426,882 | |
(5Y US Treasury CMT + 3.42%), 3.88%, 2/18/26(j)(k) | 82,000 | 82,717 | |
(SOFR + 2.84%), 3.11%, 4/08/26(j) | 80,000 | 84,262 | |
(3M USD LIBOR + 1.39%), 3.67%, 7/24/28(j) | 617,000 | 667,771 | |
(3M USD LIBOR + 1.15%), 3.52%, 10/27/28(j) | 313,000 | 336,253 |
Par (a) | Value | ||
Banks (Continued) | |||
Citigroup, Inc., | |||
(3M USD LIBOR + 1.19%), 4.08%, 4/23/29(j) | $ 150,000 | $ 167,257 | |
(3M USD LIBOR + 1.34%), 3.98%, 3/20/30(j) | 550,000 | 613,287 | |
(SOFR + 1.42%), 2.98%, 11/05/30(j) | 821,000 | 856,493 | |
(SOFR + 3.91%), 4.41%, 3/31/31(j) | 290,000 | 332,327 | |
(SOFR + 2.11%), 2.57%, 6/03/31(j) | 760,000 | 766,268 | |
8.12%, 7/15/39 | 580,000 | 984,907 | |
4.65%, 7/23/48 | 30,000 | 39,407 | |
Citizens Financial Group, Inc., 3.25%, 4/30/30 | 58,000 | 61,821 | |
Goldman Sachs Group (The), Inc., | |||
3.20%, 2/23/23 | 40,000 | 41,208 | |
3.63%, 2/20/24 | 120,000 | 126,910 | |
4.00%, 3/03/24 | 418,000 | 446,302 | |
3.85%, 7/08/24 | 30,000 | 31,986 | |
3.50%, 1/23/25 | 432,000 | 459,101 | |
3.50%, 4/01/25 | 1,486,000 | 1,586,620 | |
(3M USD LIBOR + 1.20%), 3.27%, 9/29/25(j) | 69,000 | 72,825 | |
(SOFR + 0.61%), 0.86%, 2/12/26(j) | 77,000 | 75,588 | |
3.50%, 11/16/26 | 142,000 | 152,146 | |
3.85%, 1/26/27 | 547,000 | 592,420 | |
(SOFR + 0.80%), 1.43%, 3/09/27(j) | 277,000 | 272,740 | |
(3M USD LIBOR + 1.51%), 3.69%, 6/05/28(j) | 59,000 | 63,887 | |
(3M USD LIBOR + 1.16%), 3.81%, 4/23/29(j) | 400,000 | 438,287 | |
(3M USD LIBOR + 1.30%), 4.22%, 5/01/29(j) | 2,009,000 | 2,249,822 | |
(SOFR + 1.26%), 2.65%, 10/21/32(j) | 172,000 | 173,262 | |
(SOFR + 1.51%), 3.21%, 4/22/42(j) | 80,000 | 82,916 | |
(SOFR + 1.47%), 2.91%, 7/21/42(j) | 160,000 | 159,628 | |
5.15%, 5/22/45 | 110,000 | 145,467 | |
4.75%, 10/21/45 | 230,000 | 300,805 | |
JPMorgan Chase & Co., | |||
(SOFR + 1.46%), 1.51%, 6/01/24(j) | 310,000 | 313,845 | |
(3M USD LIBOR + 1.00%), 4.02%, 12/05/24(j) | 559,000 | 594,254 | |
(SOFR + 1.16%), 2.30%, 10/15/25(j) | 160,000 | 164,874 | |
(SOFR + 1.59%), 2.01%, 3/13/26(j) | 732,000 | 745,962 |
Par (a) | Value | ||
Banks (Continued) | |||
JPMorgan Chase & Co., | |||
(SOFR + 1.85%), 2.08%, 4/22/26(j) | $ 200,000 | $ 203,986 | |
(3M USD LIBOR + 1.25%), 3.96%, 1/29/27(j) | 764,000 | 832,477 | |
(SOFR + 0.89%), 1.58%, 4/22/27(j) | 41,000 | 40,602 | |
(3M USD LIBOR + 1.34%), 3.78%, 2/01/28(j) | 751,000 | 818,549 | |
(3M USD LIBOR + 1.38%), 3.54%, 5/01/28(j) | 428,000 | 462,257 | |
(3M USD LIBOR + 1.12%), 4.01%, 4/23/29(j) | 125,000 | 138,772 | |
(3M USD LIBOR + 1.33%), 4.45%, 12/05/29(j) | 929,000 | 1,060,007 | |
(SOFR + 2.04%), 2.52%, 4/22/31(j) | 510,000 | 516,109 | |
(SOFR + 1.25%), 2.58%, 4/22/32(j) | 320,000 | 322,406 | |
(SOFR + 1.46%), 3.16%, 4/22/42(j) | 101,000 | 105,346 | |
4.95%, 6/01/45 | 220,000 | 289,650 | |
(3M USD LIBOR + 1.58%), 4.26%, 2/22/48(j) | 257,000 | 315,286 | |
(3M USD LIBOR + 1.46%), 4.03%, 7/24/48(j) | 66,000 | 78,326 | |
(3M USD LIBOR + 1.22%), 3.90%, 1/23/49(j) | 44,000 | 51,589 | |
(SOFR + 2.44%), 3.11%, 4/22/51(j) | 50,000 | 51,736 | |
Morgan Stanley, | |||
3.88%, 1/27/26 | 87,000 | 94,970 | |
(SOFR + 1.99%), 2.19%, 4/28/26(j) | 460,000 | 470,814 | |
3.63%, 1/20/27 | 543,000 | 590,154 | |
(SOFR + 0.88%), 1.59%, 5/04/27(j) | 455,000 | 450,760 | |
(SOFR + 0.86%), 1.51%, 7/20/27(j) | 119,000 | 117,056 | |
(3M USD LIBOR + 1.34%), 3.59%, 7/22/28(j) | 543,000 | 587,090 | |
(3M USD LIBOR + 1.14%), 3.77%, 1/24/29(j) | 370,000 | 406,387 | |
(3M USD LIBOR + 1.63%), 4.43%, 1/23/30(j) | 838,000 | 959,432 | |
(SOFR + 1.14%), 2.70%, 1/22/31(j) | 1,111,000 | 1,135,596 | |
(SOFR + 3.12%), 3.62%, 4/01/31(j) | 457,000 | 499,200 | |
(SOFR + 1.18%), 2.24%, 7/21/32(j) | 63,000 | 61,507 | |
(SOFR + 1.49%), 3.22%, 4/22/42(j) | 153,000 | 160,715 |
Par (a) | Value | ||
Banks (Continued) | |||
State Street Corp., (3M USD LIBOR + 2.54%), 5.62%, 12/15/23(j)(k) | $ 292,000 | $ 305,837 | |
U.S. Bancorp, 1.45%, 5/12/25 | 250,000 | 252,409 | |
Wells Fargo & Co., | |||
3.75%, 1/24/24 | 160,000 | 169,775 | |
(SOFR + 2.00%), 2.19%, 4/30/26(j) | 570,000 | 582,530 | |
3.00%, 10/23/26 | 80,000 | 84,499 | |
4.30%, 7/22/27 | 270,000 | 302,396 | |
(3M USD LIBOR + 1.31%), 3.58%, 5/22/28(j) | 300,000 | 323,565 | |
(SOFR + 2.10%), 2.39%, 6/02/28(j) | 130,000 | 132,128 | |
4.15%, 1/24/29 | 820,000 | 923,190 | |
(SOFR + 1.43%), 2.88%, 10/30/30(j) | 332,000 | 344,002 | |
(SOFR + 4.03%), 4.48%, 4/04/31(j) | 333,000 | 384,961 | |
(SOFR + 2.53%), 3.07%, 4/30/41(j) | 399,000 | 409,527 | |
4.40%, 6/14/46 | 40,000 | 48,629 | |
4.75%, 12/07/46 | 370,000 | 469,164 | |
(SOFR + 4.50%), 5.01%, 4/04/51(j) | 1,600,000 | 2,209,868 | |
45,560,680 | |||
Beverages – 0.1% | |||
Coca-Cola (The) Co., | |||
3.37%, 3/25/27 | 280,000 | 305,357 | |
1.45%, 6/01/27 | 90,000 | 89,593 | |
2.50%, 6/01/40 | 50,000 | 49,281 | |
1.00%, 3/09/41 | EUR | 100,000 | 113,372 |
PepsiCo, Inc., | |||
0.75%, 5/01/23 | 120,000 | 120,574 | |
2.25%, 3/19/25 | 10,000 | 10,401 | |
2.63%, 3/19/27 | 10,000 | 10,558 | |
1.63%, 5/01/30 | 40,000 | 39,012 | |
2.87%, 10/15/49 | 40,000 | 42,167 | |
780,315 | |||
Biotechnology – 0.1% | |||
Amgen, Inc., 4.40%, 5/01/45 | 316,000 | 380,951 | |
Biogen, Inc., | |||
2.25%, 5/01/30 | 258,000 | 254,577 | |
3.15%, 5/01/50 | 75,000 | 73,664 | |
Gilead Sciences, Inc., | |||
4.75%, 3/01/46 | 361,000 | 461,099 | |
4.15%, 3/01/47 | 54,000 | 64,273 | |
1,234,564 |
Par (a) | Value | ||
Building Materials – 0.1% | |||
Carrier Global Corp., | |||
2.24%, 2/15/25 | $501,000 | $ 514,330 | |
3.58%, 4/05/50 | 10,000 | 10,833 | |
Masonite International Corp., 5.37%, 2/01/28(b) | 33,000 | 34,650 | |
Owens Corning, 3.95%, 8/15/29 | 16,000 | 17,848 | |
Standard Industries, Inc., | |||
5.00%, 2/15/27(b) | 33,000 | 33,866 | |
4.75%, 1/15/28(b) | 10,000 | 10,313 | |
621,840 | |||
Chemicals – 0.1% | |||
Dow Chemical (The) Co., 1.13%, 3/15/32 | EUR | 170,000 | 197,082 |
DuPont de Nemours, Inc., 4.49%, 11/15/25 | 278,000 | 309,290 | |
Ecolab, Inc., 2.75%, 8/18/55(b) | 217,000 | 214,609 | |
LYB International Finance III LLC, 4.20%, 5/01/50 | 108,000 | 126,434 | |
RPM International, Inc., 4.25%, 1/15/48 | 3,000 | 3,425 | |
Sherwin-Williams (The) Co., 2.30%, 5/15/30 | 155,000 | 155,937 | |
Westlake Chemical Corp., 3.37%, 8/15/61 | 103,000 | 99,808 | |
1,106,585 | |||
Commercial Services – 0.2% | |||
Cintas Corp. No. 2, 3.70%, 4/01/27 | 20,000 | 22,044 | |
Global Payments, Inc., | |||
1.20%, 3/01/26 | 359,000 | 350,476 | |
4.80%, 4/01/26 | 237,000 | 265,331 | |
4.45%, 6/01/28 | 45,000 | 50,618 | |
3.20%, 8/15/29 | 124,000 | 129,645 | |
Herc Holdings, Inc., 5.50%, 7/15/27(b) | 72,000 | 75,060 | |
Moody's Corp., 3.25%, 1/15/28 | 50,000 | 54,098 | |
PayPal Holdings, Inc., | |||
1.35%, 6/01/23 | 90,000 | 91,138 | |
1.65%, 6/01/25 | 90,000 | 91,285 | |
2.30%, 6/01/30 | 150,000 | 152,657 | |
United Rentals North America, Inc., | |||
5.50%, 5/15/27 | 64,000 | 67,080 | |
4.87%, 1/15/28 | 102,000 | 107,666 | |
5.25%, 1/15/30 | 11,000 | 11,908 | |
1,469,006 |
Par (a) | Value | ||
Computers – 0.3% | |||
Apple, Inc., | |||
1.13%, 5/11/25 | $260,000 | $ 259,889 | |
2.45%, 8/04/26 | 100,000 | 104,742 | |
2.90%, 9/12/27 | 250,000 | 267,162 | |
3.85%, 5/04/43 | 200,000 | 236,327 | |
2.55%, 8/20/60 | 134,000 | 125,778 | |
2.80%, 2/08/61 | 108,000 | 106,712 | |
Dell International LLC/EMC Corp., | |||
5.85%, 7/15/25 | 159,000 | 182,745 | |
4.90%, 10/01/26 | 68,000 | 77,483 | |
8.35%, 7/15/46 | 38,000 | 63,147 | |
HP, Inc., 6.00%, 9/15/41 | 22,000 | 29,048 | |
International Business Machines Corp., | |||
3.00%, 5/15/24 | 270,000 | 284,084 | |
1.95%, 5/15/30 | 312,000 | 305,429 | |
4.25%, 5/15/49 | 100,000 | 122,431 | |
Leidos, Inc., | |||
4.37%, 5/15/30 | 289,000 | 323,275 | |
2.30%, 2/15/31 | 172,000 | 165,624 | |
Seagate HDD Cayman, 4.09%, 6/01/29 | 70,000 | 72,378 | |
2,726,254 | |||
Cosmetics/Personal Care – 0.0%(i) | |||
Procter & Gamble (The) Co., | |||
2.80%, 3/25/27 | 20,000 | 21,370 | |
3.00%, 3/25/30 | 60,000 | 65,226 | |
86,596 | |||
Distribution/Wholesale – 0.0%(i) | |||
American Builders & Contractors Supply Co., Inc., 4.00%, 1/15/28(b) | 48,000 | 48,660 | |
KAR Auction Services, Inc., 5.13%, 6/01/25(b) | 59,000 | 59,147 | |
107,807 | |||
Diversified Financial Services – 0.4% | |||
Air Lease Corp., | |||
3.37%, 7/01/25 | 70,000 | 73,771 | |
1.88%, 8/15/26 | 304,000 | 300,811 | |
American Express Co., | |||
2.50%, 7/30/24 | 410,000 | 427,430 | |
4.20%, 11/06/25 | 70,000 | 77,799 | |
Capital One Financial Corp., 3.90%, 1/29/24 | 311,000 | 330,235 |
Par (a) | Value | ||
Diversified Financial Services (Continued) | |||
Charles Schwab (The) Corp., | |||
(5Y US Treasury CMT + 3.17%), 4.00%, 6/01/26(j)(k) | $ 75,000 | $ 77,186 | |
3.20%, 3/02/27 | 4,000 | 4,310 | |
(10Y US Treasury CMT + 3.08%), 4.00%, 12/01/30(j)(k) | 205,000 | 208,075 | |
Discover Financial Services, 4.50%, 1/30/26 | 7,000 | 7,760 | |
GE Capital International Funding Co. Unlimited Co., 4.42%, 11/15/35 | 200,000 | 243,319 | |
Intercontinental Exchange, Inc., | |||
3.75%, 9/21/28 | 51,000 | 56,488 | |
2.10%, 6/15/30 | 157,000 | 154,950 | |
1.85%, 9/15/32 | 64,000 | 60,180 | |
Mastercard, Inc., 3.85%, 3/26/50 | 300,000 | 364,721 | |
Navient Corp., | |||
7.25%, 9/25/23 | 31,000 | 33,751 | |
5.87%, 10/25/24 | 28,000 | 29,922 | |
6.75%, 6/25/25 | 30,000 | 33,017 | |
6.75%, 6/15/26 | 28,000 | 30,905 | |
Nuveen LLC, 4.00%, 11/01/28(b) | 100,000 | 112,865 | |
Synchrony Financial, | |||
4.50%, 7/23/25 | 2,000 | 2,188 | |
3.70%, 8/04/26 | 44,000 | 47,225 | |
USAA Capital Corp., 2.13%, 5/01/30(b) | 150,000 | 150,268 | |
Vanguard Group (The), Inc., 3.05%, 8/22/50(h) | 170,000 | 165,459 | |
Visa, Inc., | |||
3.15%, 12/14/25 | 230,000 | 247,133 | |
4.30%, 12/14/45 | 170,000 | 217,793 | |
3,457,561 | |||
Electric – 1.3% | |||
AEP Texas, Inc., | |||
3.95%, 6/01/28 | 212,000 | 235,099 | |
3.45%, 1/15/50 | 28,000 | 29,442 | |
3.45%, 5/15/51 | 124,000 | 131,033 | |
AEP Transmission Co. LLC, | |||
3.80%, 6/15/49 | 65,000 | 75,763 | |
3.15%, 9/15/49 | 101,000 | 105,916 | |
3.65%, 4/01/50 | 144,000 | 164,334 | |
2.75%, 8/15/51 | 10,000 | 9,860 | |
Alabama Power Co., | |||
3.75%, 3/01/45 | 101,000 | 115,018 |
Par (a) | Value | ||
Electric (Continued) | |||
Alabama Power Co., | |||
3.70%, 12/01/47 | $ 53,000 | $ 60,572 | |
3.45%, 10/01/49 | 47,000 | 52,114 | |
Ameren Illinois Co., | |||
3.80%, 5/15/28 | 46,000 | 51,177 | |
3.25%, 3/15/50 | 116,000 | 127,481 | |
Baltimore Gas and Electric Co., | |||
3.75%, 8/15/47 | 62,000 | 71,389 | |
3.20%, 9/15/49 | 40,000 | 42,267 | |
2.90%, 6/15/50 | 164,000 | 165,563 | |
CenterPoint Energy Houston Electric LLC, | |||
2.35%, 4/01/31 | 75,000 | 76,194 | |
4.25%, 2/01/49 | 2,000 | 2,536 | |
3.35%, 4/01/51 | 125,000 | 139,973 | |
Cleveland Electric Illuminating (The) Co., 3.50%, 4/01/28(b) | 100,000 | 106,568 | |
Commonwealth Edison Co., | |||
4.00%, 3/01/49 | 67,000 | 80,698 | |
3.00%, 3/01/50 | 52,000 | 53,543 | |
3.13%, 3/15/51 | 55,000 | 57,926 | |
Consolidated Edison Co. of New York, Inc., | |||
3.35%, 4/01/30 | 50,000 | 54,343 | |
3.95%, 4/01/50 | 20,000 | 23,333 | |
Consumers Energy Co., | |||
4.05%, 5/15/48 | 107,000 | 130,137 | |
3.75%, 2/15/50 | 151,000 | 178,007 | |
3.10%, 8/15/50 | 107,000 | 115,225 | |
3.50%, 8/01/51 | 75,000 | 85,455 | |
DTE Electric Co., | |||
4.05%, 5/15/48 | 10,000 | 12,116 | |
3.95%, 3/01/49 | 160,000 | 192,775 | |
Duke Energy Carolinas LLC, | |||
3.95%, 11/15/28 | 28,000 | 31,639 | |
3.87%, 3/15/46 | 59,000 | 68,183 | |
3.95%, 3/15/48 | 122,000 | 143,035 | |
Duke Energy Florida LLC, | |||
3.80%, 7/15/28 | 40,000 | 44,592 | |
2.50%, 12/01/29 | 325,000 | 335,344 | |
Duke Energy Progress LLC, 3.45%, 3/15/29 | 233,000 | 255,032 | |
Edison International, | |||
3.13%, 11/15/22 | 15,000 | 15,287 | |
4.95%, 4/15/25 | 129,000 | 141,507 | |
Entergy Arkansas LLC, 3.35%, 6/15/52 | 59,000 | 63,818 | |
Entergy Louisiana LLC, 4.20%, 9/01/48 | 148,000 | 182,374 |
Par (a) | Value | ||
Electric (Continued) | |||
Exelon Corp., | |||
5.10%, 6/15/45 | $ 16,000 | $ 21,282 | |
4.70%, 4/15/50 | 52,000 | 66,964 | |
FirstEnergy Corp., | |||
4.75%, 3/15/23 | 110,000 | 113,983 | |
2.05%, 3/01/25 | 22,000 | 22,066 | |
1.60%, 1/15/26 | 40,000 | 39,403 | |
4.40%, 7/15/27 | 499,000 | 541,371 | |
2.65%, 3/01/30 | 142,000 | 139,724 | |
2.25%, 9/01/30 | 56,000 | 53,847 | |
7.37%, 11/15/31 | 410,000 | 558,547 | |
5.35%, 7/15/47 | 90,000 | 109,218 | |
FirstEnergy Transmission LLC, | |||
4.35%, 1/15/25(b) | 285,000 | 308,396 | |
4.55%, 4/01/49(b) | 246,000 | 287,538 | |
Florida Power & Light Co., | |||
5.25%, 2/01/41 | 5,000 | 6,803 | |
4.05%, 10/01/44 | 33,000 | 40,083 | |
3.70%, 12/01/47 | 125,000 | 147,455 | |
3.95%, 3/01/48 | 105,000 | 128,805 | |
3.99%, 3/01/49 | 58,000 | 72,014 | |
3.15%, 10/01/49 | 110,000 | 120,141 | |
MidAmerican Energy Co., | |||
3.10%, 5/01/27 | 35,000 | 37,645 | |
3.65%, 4/15/29 | 389,000 | 432,555 | |
4.25%, 7/15/49 | 85,000 | 106,875 | |
3.15%, 4/15/50 | 40,000 | 42,715 | |
2.70%, 8/01/52 | 73,000 | 71,909 | |
Mid-Atlantic Interstate Transmission LLC, 4.10%, 5/15/28(b) | 27,000 | 30,128 | |
Northern States Power Co., | |||
2.25%, 4/01/31 | 5,000 | 5,082 | |
2.90%, 3/01/50 | 50,000 | 51,577 | |
2.60%, 6/01/51 | 104,000 | 101,373 | |
NRG Energy, Inc., | |||
2.45%, 12/02/27(b) | 265,000 | 265,076 | |
5.75%, 1/15/28 | 33,000 | 34,980 | |
5.25%, 6/15/29(b) | 47,000 | 50,055 | |
NSTAR Electric Co., 3.95%, 4/01/30 | 28,000 | 31,862 | |
Ohio Power Co., | |||
1.63%, 1/15/31 | 107,000 | 101,731 | |
4.15%, 4/01/48 | 14,000 | 16,957 | |
4.00%, 6/01/49 | 45,000 | 53,014 | |
2.90%, 10/01/51 | 96,000 | 95,581 | |
Oncor Electric Delivery Co. LLC, | |||
3.70%, 11/15/28 | 75,000 | 83,699 | |
5.75%, 3/15/29 | 4,000 | 4,950 |
Par (a) | Value | ||
Electric (Continued) | |||
Oncor Electric Delivery Co. LLC, | |||
4.10%, 11/15/48 | $ 51,000 | $ 63,270 | |
3.80%, 6/01/49 | 69,000 | 82,837 | |
5.35%, 10/01/52 | 24,000 | 36,107 | |
Pacific Gas and Electric Co., | |||
2.10%, 8/01/27 | 50,000 | 48,517 | |
2.50%, 2/01/31 | 60,000 | 57,311 | |
3.30%, 8/01/40 | 20,000 | 18,876 | |
4.95%, 7/01/50 | 106,000 | 117,323 | |
3.50%, 8/01/50 | 20,000 | 19,010 | |
PECO Energy Co., | |||
3.00%, 9/15/49 | 65,000 | 66,883 | |
3.05%, 3/15/51 | 99,000 | 103,305 | |
Progress Energy, Inc., 7.75%, 3/01/31 | 180,000 | 251,265 | |
Public Service Electric and Gas Co., | |||
3.65%, 9/01/28 | 3,000 | 3,339 | |
3.20%, 5/15/29 | 50,000 | 54,221 | |
2.05%, 8/01/50 | 80,000 | 69,722 | |
3.00%, 3/01/51 | 42,000 | 43,796 | |
Southern California Edison Co., | |||
3.70%, 8/01/25 | 178,000 | 192,293 | |
1.20%, 2/01/26 | 43,000 | 42,416 | |
2.25%, 6/01/30 | 262,000 | 257,853 | |
Southwestern Public Service Co., 3.15%, 5/01/50 | 145,000 | 153,227 | |
Tampa Electric Co., | |||
4.45%, 6/15/49 | 17,000 | 21,748 | |
3.45%, 3/15/51 | 92,000 | 101,738 | |
Trans-Allegheny Interstate Line Co., 3.85%, 6/01/25(b) | 299,000 | 319,921 | |
Virginia Electric and Power Co., | |||
3.15%, 1/15/26 | 144,000 | 153,750 | |
3.80%, 4/01/28 | 37,000 | 41,092 | |
6.00%, 1/15/36 | 25,000 | 34,164 | |
6.00%, 5/15/37 | 42,000 | 58,057 | |
4.00%, 1/15/43 | 30,000 | 34,916 | |
Vistra Operations Co. LLC, | |||
5.50%, 9/01/26(b) | 64,000 | 65,901 | |
5.62%, 2/15/27(b) | 54,000 | 55,637 | |
5.00%, 7/31/27(b) | 53,000 | 54,325 | |
4.30%, 7/15/29(b) | 310,000 | 331,774 | |
11,376,666 |
Par (a) | Value | ||
Electronics – 0.0%(i) | |||
Agilent Technologies, Inc., | |||
3.05%, 9/22/26 | $ 81,000 | $ 85,914 | |
2.75%, 9/15/29 | 43,000 | 44,701 | |
2.10%, 6/04/30 | 152,000 | 150,005 | |
Honeywell International, Inc., 1.35%, 6/01/25 | 70,000 | 70,574 | |
351,194 | |||
Entertainment – 0.0%(i) | |||
Caesars Entertainment, Inc., 4.63%, 10/15/29(b) | 24,000 | 24,115 | |
Cedar Fair L.P., 5.25%, 7/15/29 | 43,000 | 44,558 | |
Cedar Fair L.P./Canada's Wonderland Co./Magnum Management Corp./Millennium Operations LLC, | |||
5.50%, 5/01/25(b) | 39,000 | 40,463 | |
5.37%, 4/15/27 | 51,000 | 52,530 | |
Churchill Downs, Inc., | |||
5.50%, 4/01/27(b) | 72,000 | 74,430 | |
4.75%, 1/15/28(b) | 38,000 | 39,283 | |
Six Flags Entertainment Corp., | |||
4.88%, 7/31/24(b) | 64,000 | 64,480 | |
5.50%, 4/15/27(b) | 38,000 | 39,330 | |
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.12%, 10/01/29(b) | 53,000 | 53,132 | |
432,321 | |||
Environmental Control – 0.1% | |||
Clean Harbors, Inc., 4.88%, 7/15/27(b) | 28,000 | 29,155 | |
Republic Services, Inc., | |||
2.50%, 8/15/24 | 70,000 | 72,732 | |
3.95%, 5/15/28 | 88,000 | 98,431 | |
Waste Management, Inc., | |||
1.15%, 3/15/28 | 208,000 | 198,547 | |
2.00%, 6/01/29 | 49,000 | 48,834 | |
Waste Pro USA, Inc., 5.50%, 2/15/26(b) | 28,000 | 27,720 | |
475,419 | |||
Food – 0.2% | |||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons L.P./Albertsons LLC, | |||
5.87%, 2/15/28(b) | 58,000 | 61,625 | |
4.88%, 2/15/30(b) | 13,000 | 13,934 |
Par (a) | Value | ||
Food (Continued) | |||
Hershey (The) Co., 0.90%, 6/01/25 | $ 30,000 | $ 29,792 | |
JBS USA LUX S.A./JBS USA Finance, Inc., 6.75%, 2/15/28(b) | 63,000 | 67,883 | |
JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., | |||
6.50%, 4/15/29(b) | 94,000 | 103,988 | |
5.50%, 1/15/30(b) | 17,000 | 18,615 | |
Kraft Heinz Foods Co., 3.00%, 6/01/26 | 102,000 | 106,698 | |
Mars, Inc., | |||
2.70%, 4/01/25(b) | 90,000 | 94,340 | |
3.20%, 4/01/30(b) | 180,000 | 194,649 | |
2.38%, 7/16/40(b) | 200,000 | 193,358 | |
Mondelez International, Inc., 1.50%, 5/04/25 | 250,000 | 252,072 | |
Performance Food Group, Inc., 5.50%, 10/15/27(b) | 64,000 | 66,720 | |
Pilgrim's Pride Corp., 5.87%, 9/30/27(b) | 105,000 | 110,709 | |
Post Holdings, Inc., | |||
5.75%, 3/01/27(b) | 80,000 | 83,000 | |
5.62%, 1/15/28(b) | 59,000 | 61,578 | |
5.50%, 12/15/29(b) | 47,000 | 49,996 | |
1,508,957 | |||
Food Service – 0.0%(i) | |||
Aramark Services, Inc., 5.00%, 2/01/28(b) | 74,000 | 75,665 | |
Forest Products & Paper – 0.0%(i) | |||
Georgia-Pacific LLC, | |||
3.60%, 3/01/25(b) | 14,000 | 15,016 | |
2.10%, 4/30/27(b) | 41,000 | 41,673 | |
8.88%, 5/15/31 | 13,000 | 20,170 | |
International Paper Co., 6.00%, 11/15/41 | 50,000 | 69,464 | |
146,323 | |||
Gas – 0.1% | |||
Atmos Energy Corp., 4.13%, 3/15/49 | 40,000 | 48,089 | |
CenterPoint Energy Resources Corp., 1.75%, 10/01/30 | 330,000 | 315,659 | |
ONE Gas, Inc., 2.00%, 5/15/30 | 35,000 | 34,157 | |
Piedmont Natural Gas Co., Inc., 2.50%, 3/15/31 | 90,000 | 90,409 | |
488,314 |
Par (a) | Value | ||
Healthcare - Products – 0.2% | |||
Abbott Laboratories, | |||
3.75%, 11/30/26 | $390,000 | $ 431,789 | |
4.90%, 11/30/46 | 10,000 | 13,913 | |
Boston Scientific Corp., 2.65%, 6/01/30 | 180,000 | 184,566 | |
DH Europe Finance II S.a.r.l., 1.80%, 9/18/49 | EUR | 100,000 | 124,879 |
Medtronic Global Holdings SCA, | |||
1.50%, 7/02/39 | EUR | 100,000 | 120,840 |
1.75%, 7/02/49 | EUR | 100,000 | 123,563 |
Mozart Debt Merger Sub, Inc., 3.87%, 4/01/29(b) | 225,000 | 223,875 | |
Thermo Fisher Scientific, Inc., | |||
2.80%, 10/15/41 | 75,000 | 75,307 | |
1.88%, 10/01/49 | EUR | 100,000 | 122,949 |
1,421,681 | |||
Healthcare - Services – 0.6% | |||
Aetna, Inc., | |||
2.80%, 6/15/23 | 90,000 | 92,749 | |
6.62%, 6/15/36 | 61,000 | 87,192 | |
4.75%, 3/15/44 | 2,000 | 2,495 | |
Anthem, Inc., | |||
2.95%, 12/01/22 | 30,000 | 30,711 | |
3.65%, 12/01/27 | 100,000 | 109,768 | |
4.10%, 3/01/28 | 127,000 | 142,960 | |
4.38%, 12/01/47 | 53,000 | 65,267 | |
4.55%, 3/01/48 | 57,000 | 71,696 | |
Centene Corp., 4.63%, 12/15/29 | 47,000 | 50,701 | |
Charles River Laboratories International, Inc., 4.25%, 5/01/28(b) | 7,000 | 7,210 | |
Encompass Health Corp., | |||
4.50%, 2/01/28 | 28,000 | 28,507 | |
4.75%, 2/01/30 | 28,000 | 28,700 | |
HCA, Inc., | |||
4.75%, 5/01/23 | 141,000 | 149,025 | |
5.25%, 4/15/25 | 641,000 | 718,777 | |
5.25%, 6/15/26 | 97,000 | 109,995 | |
5.62%, 9/01/28 | 21,000 | 24,612 | |
5.87%, 2/01/29 | 10,000 | 11,902 | |
2.38%, 7/15/31 | 327,000 | 319,517 | |
5.25%, 6/15/49 | 110,000 | 142,633 | |
Humana, Inc., | |||
4.50%, 4/01/25 | 43,000 | 47,319 | |
3.95%, 3/15/27 | 140,000 | 154,250 | |
3.13%, 8/15/29 | 220,000 | 232,763 | |
4.87%, 4/01/30 | 95,000 | 112,353 |
Par (a) | Value | ||
Healthcare - Services (Continued) | |||
Select Medical Corp., 6.25%, 8/15/26(b) | $ 22,000 | $ 23,011 | |
Tenet Healthcare Corp., | |||
4.63%, 9/01/24(b) | 38,000 | 38,807 | |
4.87%, 1/01/26(b) | 128,000 | 131,200 | |
6.25%, 2/01/27(b) | 183,000 | 190,091 | |
5.12%, 11/01/27(b) | 20,000 | 20,900 | |
UnitedHealth Group, Inc., | |||
3.50%, 6/15/23 | 30,000 | 31,451 | |
3.75%, 7/15/25 | 50,000 | 54,550 | |
1.25%, 1/15/26 | 40,000 | 39,979 | |
3.85%, 6/15/28 | 130,000 | 146,449 | |
3.88%, 12/15/28 | 110,000 | 124,367 | |
2.00%, 5/15/30 | 40,000 | 39,811 | |
4.62%, 7/15/35 | 197,000 | 243,602 | |
2.75%, 5/15/40 | 198,000 | 199,112 | |
4.25%, 6/15/48 | 40,000 | 50,137 | |
4.45%, 12/15/48 | 77,000 | 99,515 | |
3.70%, 8/15/49 | 130,000 | 150,521 | |
2.90%, 5/15/50 | 143,000 | 146,207 | |
3.25%, 5/15/51 | 444,000 | 482,489 | |
3.88%, 8/15/59 | 70,000 | 84,287 | |
3.13%, 5/15/60 | 20,000 | 20,947 | |
5,058,535 | |||
Home Builders – 0.0%(i) | |||
Century Communities, Inc., 6.75%, 6/01/27 | 21,000 | 22,298 | |
Taylor Morrison Communities, Inc., 5.88%, 6/15/27(b) | 8,000 | 8,950 | |
31,248 | |||
Household Products/Wares – 0.0%(i) | |||
Kimberly-Clark Corp., 3.10%, 3/26/30 | 30,000 | 32,627 | |
Housewares – 0.0%(i) | |||
Newell Brands, Inc., 4.35%, 4/01/23 | 20,000 | 20,829 | |
Insurance – 0.3% | |||
American International Group, Inc., | |||
2.50%, 6/30/25 | 60,000 | 62,323 | |
4.20%, 4/01/28 | 40,000 | 45,232 | |
4.50%, 7/16/44 | 95,000 | 116,007 | |
4.75%, 4/01/48 | 90,000 | 115,964 | |
4.37%, 1/15/55 | 33,000 | 41,297 | |
Aon Corp., | |||
4.50%, 12/15/28 | 144,000 | 166,541 | |
3.75%, 5/02/29 | 162,000 | 179,698 | |
2.80%, 5/15/30 | 272,000 | 281,873 |
Par (a) | Value | ||
Insurance (Continued) | |||
Berkshire Hathaway Finance Corp., 4.25%, 1/15/49 | $150,000 | $ 186,677 | |
Guardian Life Global Funding, 1.10%, 6/23/25(b) | 50,000 | 49,783 | |
Hartford Financial Services Group (The), Inc., 3.60%, 8/19/49 | 32,000 | 35,538 | |
Marsh & McLennan Cos., Inc., | |||
1.98%, 3/21/30 | EUR | 120,000 | 152,059 |
2.25%, 11/15/30 | 176,000 | 175,903 | |
MassMutual Global Funding II, 0.85%, 6/09/23(b) | 330,000 | 331,176 | |
MetLife, Inc., 6.40%, 12/15/36 | 100,000 | 127,343 | |
Metropolitan Life Global Funding I, 0.90%, 6/08/23(b) | 250,000 | 251,397 | |
New York Life Global Funding, 0.95%, 6/24/25(b) | 80,000 | 79,160 | |
Principal Life Global Funding II, 1.25%, 6/23/25(b) | 40,000 | 39,686 | |
Willis North America, Inc., 3.60%, 5/15/24 | 42,000 | 44,453 | |
2,482,110 | |||
Internet – 0.3% | |||
Alphabet, Inc., | |||
0.45%, 8/15/25 | 30,000 | 29,397 | |
0.80%, 8/15/27 | 50,000 | 47,931 | |
1.10%, 8/15/30 | 60,000 | 56,270 | |
2.05%, 8/15/50 | 110,000 | 98,788 | |
Amazon.com, Inc., | |||
0.80%, 6/03/25 | 130,000 | 128,717 | |
1.20%, 6/03/27 | 160,000 | 157,374 | |
3.15%, 8/22/27 | 140,000 | 151,621 | |
1.50%, 6/03/30 | 70,000 | 67,741 | |
2.10%, 5/12/31 | 80,000 | 80,654 | |
4.05%, 8/22/47 | 140,000 | 171,933 | |
2.50%, 6/03/50 | 927,000 | 887,701 | |
4.25%, 8/22/57 | 240,000 | 314,714 | |
E*TRADE Financial Corp., 3.80%, 8/24/27 | 79,000 | 86,992 | |
eBay, Inc., 1.40%, 5/10/26 | 246,000 | 244,071 | |
Expedia Group, Inc., 3.25%, 2/15/30 | 153,000 | 157,299 | |
2,681,203 |
Par (a) | Value | ||
Iron/Steel – 0.0%(i) | |||
Nucor Corp., 3.95%, 5/01/28 | $ 24,000 | $ 26,805 | |
Lodging – 0.1% | |||
Hilton Domestic Operating Co., Inc., 4.87%, 1/15/30 | 13,000 | 13,877 | |
Las Vegas Sands Corp., | |||
3.20%, 8/08/24 | 100,000 | 102,247 | |
2.90%, 6/25/25 | 380,000 | 385,589 | |
Marriott International, Inc., 4.63%, 6/15/30 | 138,000 | 157,148 | |
MGM Resorts International, | |||
5.75%, 6/15/25 | 10,000 | 10,800 | |
4.63%, 9/01/26 | 8,000 | 8,360 | |
5.50%, 4/15/27 | 10,000 | 10,775 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., | |||
5.50%, 3/01/25(b) | 131,000 | 133,211 | |
5.25%, 5/15/27(b) | 65,000 | 65,894 | |
887,901 | |||
Machinery - Diversified – 0.1% | |||
CNH Industrial Capital LLC, 4.20%, 1/15/24 | 440,000 | 469,383 | |
Deere & Co., | |||
3.10%, 4/15/30 | 30,000 | 32,509 | |
3.75%, 4/15/50 | 200,000 | 244,269 | |
Otis Worldwide Corp., | |||
2.06%, 4/05/25 | 50,000 | 51,213 | |
2.56%, 2/15/30 | 119,000 | 121,366 | |
918,740 | |||
Media – 1.1% | |||
CCO Holdings LLC/CCO Holdings Capital Corp., | |||
5.13%, 5/01/27(b) | 153,000 | 158,546 | |
5.00%, 2/01/28(b) | 119,000 | 123,760 | |
5.37%, 6/01/29(b) | 74,000 | 79,513 | |
4.75%, 3/01/30(b) | 58,000 | 59,885 | |
Charter Communications Operating LLC/Charter Communications Operating Capital, | |||
4.91%, 7/23/25 | 290,000 | 322,491 | |
4.20%, 3/15/28 | 90,000 | 99,861 | |
2.25%, 1/15/29 | 31,000 | 30,432 | |
5.05%, 3/30/29 | 480,000 | 559,651 | |
5.37%, 4/01/38 | 60,000 | 72,059 | |
3.50%, 6/01/41 | 300,000 | 294,516 | |
3.50%, 3/01/42 | 60,000 | 58,589 | |
6.48%, 10/23/45 | 521,000 | 718,706 |
Par (a) | Value | ||
Media (Continued) | |||
Charter Communications Operating LLC/Charter Communications Operating Capital, | |||
5.37%, 5/01/47 | $161,000 | $195,181 | |
5.75%, 4/01/48 | 226,000 | 288,868 | |
4.80%, 3/01/50 | 30,000 | 34,098 | |
3.85%, 4/01/61 | 42,000 | 40,613 | |
4.40%, 12/01/61 | 146,000 | 155,034 | |
3.95%, 6/30/62 | 100,000 | 97,910 | |
Clear Channel Worldwide Holdings, Inc., 5.13%, 8/15/27(b) | 74,000 | 75,905 | |
Comcast Corp., | |||
3.10%, 4/01/25 | 10,000 | 10,602 | |
3.95%, 10/15/25 | 160,000 | 175,808 | |
3.15%, 3/01/26 | 50,000 | 53,587 | |
3.30%, 4/01/27 | 50,000 | 53,955 | |
4.15%, 10/15/28 | 330,000 | 376,561 | |
2.65%, 2/01/30 | 139,000 | 143,951 | |
3.40%, 4/01/30 | 282,000 | 307,544 | |
4.25%, 10/15/30 | 560,000 | 646,037 | |
1.95%, 1/15/31 | 291,000 | 283,997 | |
3.25%, 11/01/39 | 20,000 | 21,018 | |
3.75%, 4/01/40 | 120,000 | 134,445 | |
3.40%, 7/15/46 | 20,000 | 21,557 | |
4.00%, 8/15/47 | 22,000 | 25,540 | |
3.97%, 11/01/47 | 330,000 | 379,976 | |
4.00%, 3/01/48 | 20,000 | 23,228 | |
4.00%, 11/01/49 | 210,000 | 244,804 | |
2.80%, 1/15/51 | 40,000 | 38,401 | |
2.89%, 11/01/51(b) | 137,000 | 133,265 | |
2.45%, 8/15/52 | 74,000 | 67,243 | |
2.94%, 11/01/56(b) | 40,000 | 38,568 | |
Cox Communications, Inc., | |||
3.15%, 8/15/24(b) | 71,000 | 74,604 | |
3.85%, 2/01/25(b) | 90,000 | 96,490 | |
3.60%, 6/15/51(b) | 139,000 | 148,883 | |
Diamond Sports Group LLC/Diamond Sports Finance Co., 5.38%, 8/15/26(b) | 38,000 | 21,470 | |
Discovery Communications LLC, 1.90%, 3/19/27 | EUR | 240,000 | 292,904 |
Fox Corp., 5.48%, 1/25/39 | 450,000 | 581,934 | |
Gray Television, Inc., 7.00%, 5/15/27(b) | 48,000 | 51,360 | |
iHeartCommunications, Inc., | |||
6.37%, 5/01/26 | 49,783 | 51,774 | |
5.25%, 8/15/27(b) | 48,000 | 49,025 | |
4.75%, 1/15/28(b) | 7,000 | 7,044 |
Par (a) | Value | ||
Media (Continued) | |||
NBCUniversal Media LLC, 4.45%, 1/15/43 | $ 69,000 | $ 83,579 | |
Nexstar Media, Inc., 5.62%, 7/15/27(b) | 69,000 | 72,795 | |
Sirius XM Radio, Inc., | |||
5.00%, 8/01/27(b) | 95,000 | 99,156 | |
5.50%, 7/01/29(b) | 51,000 | 55,016 | |
TEGNA, Inc., | |||
4.63%, 3/15/28 | 13,000 | 13,114 | |
5.00%, 9/15/29 | 10,000 | 10,124 | |
Time Warner Cable LLC, 5.87%, 11/15/40 | 130,000 | 163,828 | |
Time Warner Entertainment Co. L.P., 8.37%, 7/15/33 | 170,000 | 249,893 | |
ViacomCBS, Inc., | |||
4.38%, 3/15/43 | 62,000 | 70,889 | |
5.85%, 9/01/43 | 132,000 | 179,635 | |
Walt Disney (The) Co., | |||
2.75%, 9/01/49 | 44,000 | 43,214 | |
4.70%, 3/23/50 | 233,000 | 312,116 | |
9,374,552 | |||
Mining – 0.0%(i) | |||
Freeport-McMoRan, Inc., 5.25%, 9/01/29 | 7,000 | 7,661 | |
Newmont Corp., 2.25%, 10/01/30 | 156,000 | 153,181 | |
160,842 | |||
Miscellaneous Manufacturing – 0.1% | |||
3M Co., | |||
2.38%, 8/26/29 | 310,000 | 319,160 | |
3.70%, 4/15/50 | 60,000 | 70,887 | |
Eaton Corp., | |||
2.75%, 11/02/22 | 40,000 | 40,885 | |
4.15%, 11/02/42 | 30,000 | 35,683 | |
General Electric Co., | |||
3.45%, 5/01/27 | 20,000 | 21,801 | |
3.62%, 5/01/30 | 40,000 | 44,810 | |
6.75%, 3/15/32 | 20,000 | 27,489 | |
6.87%, 1/10/39 | 142,000 | 216,112 | |
4.25%, 5/01/40 | 68,000 | 81,344 | |
4.50%, 3/11/44 | 2,000 | 2,490 | |
Textron, Inc., | |||
3.65%, 3/15/27 | 38,000 | 41,302 | |
3.90%, 9/17/29 | 122,000 | 135,132 | |
2.45%, 3/15/31 | 47,000 | 46,763 | |
1,083,858 | |||
Oil & Gas – 1.6% | |||
Apache Corp., | |||
4.38%, 10/15/28 | 540,000 | 580,408 |
Par (a) | Value | ||
Oil & Gas (Continued) | |||
Apache Corp., | |||
4.75%, 4/15/43 | $100,000 | $109,500 | |
4.25%, 1/15/44 | 380,000 | 387,600 | |
BP Capital Markets America, Inc., | |||
3.22%, 11/28/23 | 70,000 | 73,298 | |
3.79%, 2/06/24 | 228,000 | 242,271 | |
3.19%, 4/06/25 | 199,000 | 211,642 | |
3.41%, 2/11/26 | 20,000 | 21,559 | |
3.12%, 5/04/26 | 220,000 | 235,307 | |
3.94%, 9/21/28 | 240,000 | 268,762 | |
3.63%, 4/06/30 | 80,000 | 88,589 | |
1.75%, 8/10/30 | 200,000 | 193,560 | |
3.00%, 2/24/50 | 230,000 | 227,427 | |
3.00%, 3/17/52 | 110,000 | 108,406 | |
3.38%, 2/08/61 | 20,000 | 20,507 | |
Chevron Corp., | |||
1.55%, 5/11/25 | 130,000 | 131,925 | |
2.00%, 5/11/27 | 40,000 | 40,763 | |
3.08%, 5/11/50 | 490,000 | 525,221 | |
Chevron USA, Inc., | |||
3.85%, 1/15/28 | 240,000 | 268,948 | |
2.34%, 8/12/50 | 55,000 | 51,616 | |
Citgo Holding, Inc., 9.25%, 8/01/24(b) | 41,000 | 41,615 | |
ConocoPhillips, | |||
3.75%, 10/01/27(b) | 110,000 | 121,045 | |
4.30%, 8/15/28(b) | 310,000 | 355,372 | |
Continental Resources, Inc., | |||
4.50%, 4/15/23 | 90,000 | 93,593 | |
3.80%, 6/01/24 | 130,000 | 136,500 | |
4.37%, 1/15/28 | 160,000 | 174,600 | |
Coterra Energy, Inc., | |||
3.90%, 5/15/27(b) | 280,000 | 305,462 | |
4.38%, 3/15/29(b) | 850,000 | 965,671 | |
CrownRock L.P./CrownRock Finance, Inc., 5.62%, 10/15/25(b) | 33,000 | 33,743 | |
Devon Energy Corp., | |||
5.85%, 12/15/25 | 120,000 | 138,271 | |
5.25%, 10/15/27(b) | 12,000 | 12,736 | |
4.50%, 1/15/30(b) | 145,000 | 157,604 | |
5.60%, 7/15/41 | 220,000 | 277,795 | |
4.75%, 5/15/42 | 510,000 | 593,198 | |
5.00%, 6/15/45 | 460,000 | 559,606 | |
Diamondback Energy, Inc., | |||
2.88%, 12/01/24 | 50,000 | 52,032 | |
3.25%, 12/01/26 | 80,000 | 84,590 | |
3.50%, 12/01/29 | 504,000 | 536,942 | |
3.13%, 3/24/31 | 565,000 | 583,443 | |
4.40%, 3/24/51 | 68,000 | 78,367 |
Par (a) | Value | ||
Oil & Gas (Continued) | |||
EOG Resources, Inc., | |||
4.15%, 1/15/26 | $118,000 | $ 130,428 | |
4.38%, 4/15/30 | 270,000 | 314,072 | |
3.90%, 4/01/35 | 180,000 | 203,905 | |
4.95%, 4/15/50 | 270,000 | 366,203 | |
Exxon Mobil Corp., | |||
1.57%, 4/15/23 | 10,000 | 10,149 | |
2.99%, 3/19/25 | 300,000 | 317,130 | |
3.04%, 3/01/26 | 70,000 | 74,685 | |
2.44%, 8/16/29 | 240,000 | 247,854 | |
3.48%, 3/19/30 | 120,000 | 132,865 | |
1.41%, 6/26/39 | EUR | 130,000 | 147,227 |
4.11%, 3/01/46 | 20,000 | 24,031 | |
4.33%, 3/19/50 | 10,000 | 12,613 | |
3.45%, 4/15/51 | 300,000 | 332,606 | |
Marathon Petroleum Corp., 4.50%, 4/01/48 | 78,000 | 91,065 | |
Matador Resources Co., 5.87%, 9/15/26 | 15,000 | 15,489 | |
Occidental Petroleum Corp., | |||
6.95%, 7/01/24 | 200,000 | 225,000 | |
5.55%, 3/15/26 | 160,000 | 176,600 | |
3.00%, 2/15/27 | 220,000 | 220,000 | |
7.87%, 9/15/31 | 210,000 | 280,875 | |
4.50%, 7/15/44 | 80,000 | 80,800 | |
6.60%, 3/15/46 | 150,000 | 191,926 | |
4.10%, 2/15/47 | 50,000 | 48,750 | |
4.20%, 3/15/48 | 230,000 | 224,142 | |
Pioneer Natural Resources Co., | |||
1.13%, 1/15/26 | 30,000 | 29,362 | |
1.90%, 8/15/30 | 150,000 | 142,396 | |
2.15%, 1/15/31 | 612,000 | 590,120 | |
SM Energy Co., 10.00%, 1/15/25(b) | 8,000 | 8,900 | |
Sunoco L.P./Sunoco Finance Corp., | |||
6.00%, 4/15/27 | 17,000 | 17,808 | |
4.50%, 4/30/30(b) | 46,000 | 46,406 | |
13,792,901 | |||
Oil & Gas Services – 0.0%(i) | |||
Halliburton Co., 3.80%, 11/15/25 | 5,000 | 5,447 | |
Packaging & Containers – 0.0%(i) | |||
Ball Corp., 4.88%, 3/15/26 | 11,000 | 12,059 | |
Owens-Brockway Glass Container, Inc., 5.87%, 8/15/23(b) | 42,000 | 44,205 | |
56,264 |
Par (a) | Value | ||
Pharmaceuticals – 1.3% | |||
AbbVie, Inc., | |||
2.30%, 11/21/22 | $ 555,000 | $ 564,613 | |
3.75%, 11/14/23 | 20,000 | 21,131 | |
2.60%, 11/21/24 | 1,101,000 | 1,146,407 | |
3.80%, 3/15/25 | 495,000 | 533,494 | |
3.60%, 5/14/25 | 88,000 | 94,351 | |
3.20%, 5/14/26 | 55,000 | 58,632 | |
2.95%, 11/21/26 | 100,000 | 105,713 | |
3.20%, 11/21/29 | 600,000 | 641,178 | |
4.55%, 3/15/35 | 123,000 | 146,541 | |
4.50%, 5/14/35 | 242,000 | 286,212 | |
4.62%, 10/01/42 | 2,000 | 2,426 | |
4.70%, 5/14/45 | 154,000 | 193,145 | |
4.25%, 11/21/49 | 368,000 | 442,563 | |
Bausch Health Americas, Inc., | |||
9.25%, 4/01/26(b) | 53,000 | 56,312 | |
8.50%, 1/31/27(b) | 96,000 | 101,880 | |
Bausch Health Cos., Inc., | |||
9.00%, 12/15/25(b) | 53,000 | 55,601 | |
5.75%, 8/15/27(b) | 15,000 | 15,705 | |
7.00%, 1/15/28(b) | 41,000 | 41,518 | |
7.25%, 5/30/29(b) | 41,000 | 41,554 | |
Becton Dickinson and Co., | |||
3.36%, 6/06/24 | 87,000 | 91,751 | |
4.68%, 12/15/44 | 16,000 | 20,063 | |
Bristol-Myers Squibb Co., | |||
2.90%, 7/26/24 | 192,000 | 202,098 | |
3.88%, 8/15/25 | 81,000 | 88,589 | |
3.20%, 6/15/26 | 160,000 | 172,969 | |
3.40%, 7/26/29 | 210,000 | 230,895 | |
5.00%, 8/15/45 | 69,000 | 93,958 | |
Cigna Corp., | |||
3.75%, 7/15/23 | 101,000 | 105,993 | |
4.12%, 11/15/25 | 20,000 | 21,998 | |
3.40%, 3/01/27 | 79,000 | 85,006 | |
4.37%, 10/15/28 | 935,000 | 1,071,840 | |
4.80%, 8/15/38 | 100,000 | 122,897 | |
4.90%, 12/15/48 | 100,000 | 129,448 | |
CVS Health Corp., | |||
3.63%, 4/01/27 | 40,000 | 43,650 | |
4.30%, 3/25/28 | 217,000 | 245,678 | |
3.25%, 8/15/29 | 500,000 | 534,437 | |
3.75%, 4/01/30 | 774,000 | 852,821 | |
2.13%, 9/15/31 | 130,000 | 126,858 | |
4.78%, 3/25/38 | 400,000 | 489,401 | |
4.13%, 4/01/40 | 40,000 | 45,886 | |
5.12%, 7/20/45 | 217,000 | 285,516 | |
5.05%, 3/25/48 | 320,000 | 420,712 | |
4.25%, 4/01/50 | 36,000 | 43,595 |
Par (a) | Value | ||
Pharmaceuticals (Continued) | |||
Elanco Animal Health, Inc., 5.90%, 8/28/28 | $ 11,000 | $ 12,855 | |
Johnson & Johnson, | |||
0.55%, 9/01/25 | 80,000 | 78,752 | |
0.95%, 9/01/27 | 150,000 | 145,276 | |
3.63%, 3/03/37 | 70,000 | 81,185 | |
2.10%, 9/01/40 | 250,000 | 237,873 | |
Merck & Co., Inc., | |||
0.75%, 2/24/26 | 120,000 | 117,620 | |
1.45%, 6/24/30 | 70,000 | 67,272 | |
2.45%, 6/24/50 | 50,000 | 47,656 | |
Pfizer, Inc., | |||
0.80%, 5/28/25 | 160,000 | 158,363 | |
2.63%, 4/01/30 | 261,000 | 274,370 | |
1.70%, 5/28/30 | 225,000 | 220,662 | |
2.70%, 5/28/50 | 310,000 | 314,460 | |
11,831,379 | |||
Pipelines – 1.7% | |||
Boardwalk Pipelines L.P., 4.80%, 5/03/29 | 20,000 | 22,829 | |
Buckeye Partners L.P., 3.95%, 12/01/26 | 8,000 | 8,201 | |
Cameron LNG LLC, | |||
2.90%, 7/15/31(b) | 30,000 | 31,562 | |
3.30%, 1/15/35(b) | 672,000 | 711,300 | |
3.40%, 1/15/38(b) | 129,000 | 134,532 | |
Cheniere Corpus Christi Holdings LLC, | |||
5.87%, 3/31/25 | 88,000 | 98,509 | |
5.13%, 6/30/27 | 407,000 | 465,156 | |
Cheniere Energy Partners L.P., | |||
4.50%, 10/01/29 | 20,000 | 21,354 | |
3.25%, 1/31/32(b) | 25,000 | 24,780 | |
DCP Midstream Operating L.P., | |||
5.38%, 7/15/25 | 11,000 | 12,155 | |
5.13%, 5/15/29 | 8,000 | 9,060 | |
Energy Transfer L.P., | |||
7.60%, 2/01/24 | 154,000 | 171,582 | |
4.50%, 4/15/24 | 104,000 | 111,631 | |
4.05%, 3/15/25 | 120,000 | 128,631 | |
2.90%, 5/15/25 | 527,000 | 550,026 | |
5.95%, 12/01/25 | 160,000 | 183,490 | |
4.75%, 1/15/26 | 111,000 | 122,894 | |
5.50%, 6/01/27 | 130,000 | 150,449 | |
4.95%, 6/15/28 | 20,000 | 22,840 | |
5.25%, 4/15/29 | 60,000 | 69,691 | |
3.75%, 5/15/30 | 430,000 | 458,308 | |
6.50%, 2/01/42 | 130,000 | 169,918 | |
5.30%, 4/01/44 | 160,000 | 187,526 |
Par (a) | Value | ||
Pipelines (Continued) | |||
Energy Transfer L.P., | |||
5.35%, 5/15/45 | $ 360,000 | $ 425,692 | |
5.40%, 10/01/47 | 100,000 | 120,040 | |
6.25%, 4/15/49 | 50,000 | 66,400 | |
5.00%, 5/15/50 | 64,000 | 74,937 | |
Enterprise Products Operating LLC, | |||
4.15%, 10/16/28 | 270,000 | 305,294 | |
3.13%, 7/31/29 | 434,000 | 462,775 | |
2.80%, 1/31/30 | 550,000 | 571,501 | |
7.55%, 4/15/38 | 10,000 | 15,223 | |
4.85%, 3/15/44 | 80,000 | 96,751 | |
5.10%, 2/15/45 | 100,000 | 125,570 | |
4.80%, 2/01/49 | 40,000 | 49,361 | |
4.20%, 1/31/50 | 60,000 | 68,677 | |
3.70%, 1/31/51 | 90,000 | 95,461 | |
3.95%, 1/31/60 | 70,000 | 76,740 | |
Kinder Morgan Energy Partners L.P., | |||
4.25%, 9/01/24 | 100,000 | 107,906 | |
6.95%, 1/15/38 | 27,000 | 38,081 | |
4.70%, 11/01/42 | 48,000 | 54,954 | |
5.50%, 3/01/44 | 10,000 | 12,509 | |
Kinder Morgan, Inc., | |||
4.30%, 6/01/25 | 90,000 | 98,377 | |
4.30%, 3/01/28 | 60,000 | 67,365 | |
5.30%, 12/01/34 | 7,000 | 8,520 | |
5.55%, 6/01/45 | 130,000 | 167,176 | |
5.05%, 2/15/46 | 40,000 | 48,731 | |
5.20%, 3/01/48 | 60,000 | 75,084 | |
MPLX L.P., | |||
4.88%, 12/01/24 | 74,000 | 81,121 | |
1.75%, 3/01/26 | 150,000 | 149,415 | |
4.00%, 3/15/28 | 200,000 | 219,978 | |
4.80%, 2/15/29 | 30,000 | 34,572 | |
4.50%, 4/15/38 | 90,000 | 101,398 | |
5.20%, 3/01/47 | 60,000 | 74,045 | |
5.20%, 12/01/47 | 100,000 | 122,345 | |
4.70%, 4/15/48 | 450,000 | 529,183 | |
5.50%, 2/15/49 | 90,000 | 116,113 | |
NGPL PipeCo LLC, | |||
4.88%, 8/15/27(b) | 168,000 | 188,504 | |
3.25%, 7/15/31(b) | 238,000 | 242,232 | |
Northwest Pipeline LLC, 4.00%, 4/01/27 | 253,000 | 277,411 | |
Sabine Pass Liquefaction LLC, | |||
5.62%, 4/15/23 | 100,000 | 105,649 | |
5.75%, 5/15/24 | 500,000 | 550,487 | |
5.62%, 3/01/25 | 1,122,000 | 1,259,823 | |
5.00%, 3/15/27 | 95,000 | 107,724 |
Par (a) | Value | ||
Pipelines (Continued) | |||
Southern Natural Gas Co. LLC, 8.00%, 3/01/32 | $ 80,000 | $ 111,771 | |
Targa Resources Partners L.P./Targa Resources Partners Finance Corp., | |||
5.37%, 2/01/27 | 33,000 | 34,155 | |
6.50%, 7/15/27 | 33,000 | 35,351 | |
5.00%, 1/15/28 | 11,000 | 11,576 | |
5.50%, 3/01/30 | 13,000 | 14,288 | |
Tennessee Gas Pipeline Co. LLC, 2.90%, 3/01/30(b) | 380,000 | 386,908 | |
Texas Eastern Transmission L.P., 3.50%, 1/15/28(b) | 185,000 | 198,749 | |
Transcontinental Gas Pipe Line Co. LLC, | |||
7.85%, 2/01/26 | 1,103,000 | 1,359,604 | |
4.00%, 3/15/28 | 258,000 | 286,396 | |
3.95%, 5/15/50 | 68,000 | 77,182 | |
Western Midstream Operating L.P., | |||
(3M USD LIBOR + 2.10%), 2.22%, 1/13/23(d) | 40,000 | 39,700 | |
4.35%, 2/01/25 | 50,000 | 52,375 | |
4.65%, 7/01/26 | 90,000 | 97,200 | |
Williams (The) Cos., Inc., | |||
4.90%, 1/15/45 | 440,000 | 536,867 | |
5.10%, 9/15/45 | 140,000 | 175,233 | |
4.85%, 3/01/48 | 110,000 | 135,811 | |
14,812,715 | |||
Real Estate Investment Trusts – 0.4% | |||
American Tower Corp., | |||
5.00%, 2/15/24 | 54,000 | 58,808 | |
2.40%, 3/15/25 | 250,000 | 257,574 | |
1.30%, 9/15/25 | 72,000 | 71,524 | |
3.95%, 3/15/29 | 53,000 | 58,524 | |
3.80%, 8/15/29 | 189,000 | 207,641 | |
Crown Castle International Corp., | |||
1.05%, 7/15/26 | 195,000 | 188,792 | |
3.10%, 11/15/29 | 245,000 | 256,122 | |
3.30%, 7/01/30 | 226,000 | 238,875 | |
Digital Dutch Finco B.V., | |||
1.50%, 3/15/30 | EUR | 130,000 | 155,919 |
1.00%, 1/15/32 | EUR | 100,000 | 111,817 |
Duke Realty L.P., | |||
1.75%, 7/01/30 | 39,000 | 37,255 | |
1.75%, 2/01/31 | 198,000 | 188,341 | |
Equinix, Inc., | |||
1.00%, 9/15/25 | 297,000 | 291,109 | |
1.45%, 5/15/26 | 83,000 | 82,013 |
Par (a) | Value | ||
Real Estate Investment Trusts (Continued) | |||
Equinix, Inc., | |||
2.15%, 7/15/30 | $ 89,000 | $ 86,694 | |
2.50%, 5/15/31 | 78,000 | 78,007 | |
GLP Capital L.P./GLP Financing II, Inc., | |||
3.35%, 9/01/24 | 65,000 | 68,485 | |
4.00%, 1/15/30 | 92,000 | 97,593 | |
4.00%, 1/15/31 | 200,000 | 213,168 | |
MGM Growth Properties Operating Partnership L.P./MGP Finance Co-Issuer, Inc., | |||
5.62%, 5/01/24 | 132,000 | 143,200 | |
4.50%, 9/01/26 | 38,000 | 41,221 | |
5.75%, 2/01/27 | 59,000 | 67,260 | |
MPT Operating Partnership L.P./MPT Finance Corp., | |||
5.25%, 8/01/26 | 8,000 | 8,240 | |
5.00%, 10/15/27 | 90,000 | 94,743 | |
4.62%, 8/01/29 | 12,000 | 12,690 | |
National Retail Properties, Inc., | |||
3.10%, 4/15/50 | 42,000 | 41,748 | |
3.50%, 4/15/51 | 107,000 | 114,047 | |
3.00%, 4/15/52 | 67,000 | 65,592 | |
Prologis Euro Finance LLC, 1.50%, 9/10/49 | EUR | 105,000 | 120,597 |
Realty Income Corp., | |||
3.00%, 1/15/27 | 15,000 | 15,935 | |
3.25%, 1/15/31 | 74,000 | 79,670 | |
RHP Hotel Properties L.P./RHP Finance Corp., 4.75%, 10/15/27 | 49,000 | 49,980 | |
Service Properties Trust, 4.35%, 10/01/24 | 28,000 | 28,217 | |
VICI Properties L.P./VICI Note Co., Inc., | |||
3.50%, 2/15/25(b) | 47,000 | 47,822 | |
4.25%, 12/01/26(b) | 17,000 | 17,609 | |
3.75%, 2/15/27(b) | 11,000 | 11,303 | |
4.63%, 12/01/29(b) | 13,000 | 13,869 | |
4.13%, 8/15/30(b) | 10,000 | 10,500 | |
3,732,504 | |||
Retail – 0.5% | |||
Costco Wholesale Corp., | |||
1.38%, 6/20/27 | 190,000 | 188,635 | |
1.75%, 4/20/32 | 90,000 | 87,717 | |
Dollar General Corp., 3.25%, 4/15/23 | 10,000 | 10,312 | |
Home Depot (The), Inc., | |||
2.50%, 4/15/27 | 60,000 | 63,000 | |
3.90%, 12/06/28 | 10,000 | 11,370 |
Par (a) | Value | ||
Retail (Continued) | |||
Home Depot (The), Inc., | |||
2.95%, 6/15/29 | $ 82,000 | $ 88,056 | |
2.70%, 4/15/30 | 80,000 | 84,287 | |
3.30%, 4/15/40 | 160,000 | 173,850 | |
3.90%, 6/15/47 | 20,000 | 24,036 | |
4.50%, 12/06/48 | 93,000 | 122,128 | |
3.35%, 4/15/50 | 160,000 | 177,947 | |
Lowe's Cos., Inc., | |||
4.00%, 4/15/25 | 413,000 | 449,684 | |
1.30%, 4/15/28 | 154,000 | 148,203 | |
1.70%, 9/15/28 | 180,000 | 176,588 | |
3.65%, 4/05/29 | 78,000 | 86,124 | |
4.50%, 4/15/30 | 50,000 | 58,294 | |
2.80%, 9/15/41 | 80,000 | 78,708 | |
McDonald's Corp., | |||
3.30%, 7/01/25 | 70,000 | 74,757 | |
1.45%, 9/01/25 | 140,000 | 140,826 | |
3.70%, 1/30/26 | 60,000 | 65,245 | |
3.50%, 3/01/27 | 30,000 | 32,723 | |
3.50%, 7/01/27 | 60,000 | 65,414 | |
3.80%, 4/01/28 | 270,000 | 301,171 | |
2.12%, 3/01/30 | 307,000 | 307,493 | |
3.60%, 7/01/30 | 171,000 | 189,600 | |
4.60%, 5/26/45 | 29,000 | 36,393 | |
4.87%, 12/09/45 | 128,000 | 166,834 | |
4.20%, 4/01/50 | 354,000 | 433,723 | |
Starbucks Corp., | |||
2.25%, 3/12/30 | 79,000 | 79,313 | |
2.55%, 11/15/30 | 224,000 | 229,112 | |
Target Corp., 2.25%, 4/15/25 | 110,000 | 114,108 | |
Walmart, Inc., | |||
1.50%, 9/22/28 | 80,000 | 79,132 | |
1.80%, 9/22/31 | 40,000 | 39,418 | |
2.65%, 9/22/51 | 55,000 | 56,268 | |
4,440,469 | |||
Semiconductors – 0.7% | |||
Applied Materials, Inc., | |||
1.75%, 6/01/30 | 140,000 | 136,966 | |
4.35%, 4/01/47 | 70,000 | 89,675 | |
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.87%, 1/15/27 | 132,000 | 143,093 | |
Broadcom, Inc., | |||
4.75%, 4/15/29 | 320,000 | 364,809 | |
5.00%, 4/15/30 | 373,000 | 432,816 | |
4.15%, 11/15/30 | 361,000 | 396,884 | |
3.47%, 4/15/34(b) | 214,000 | 220,779 | |
3.14%, 11/15/35(b) | 640,000 | 629,002 | |
Intel Corp., | |||
3.70%, 7/29/25 | 20,000 | 21,722 |
Par (a) | Value | ||
Semiconductors (Continued) | |||
Intel Corp., | |||
1.60%, 8/12/28 | $170,000 | $ 167,431 | |
3.73%, 12/08/47 | 183,000 | 207,020 | |
4.75%, 3/25/50 | 130,000 | 172,765 | |
3.05%, 8/12/51 | 80,000 | 81,511 | |
3.20%, 8/12/61 | 58,000 | 59,524 | |
KLA Corp., | |||
4.10%, 3/15/29 | 265,000 | 301,190 | |
3.30%, 3/01/50 | 216,000 | 231,666 | |
Lam Research Corp., | |||
3.75%, 3/15/26 | 161,000 | 176,776 | |
4.87%, 3/15/49 | 112,000 | 152,254 | |
2.88%, 6/15/50 | 100,000 | 102,080 | |
Micron Technology, Inc., 2.50%, 4/24/23 | 100,000 | 102,755 | |
NVIDIA Corp., | |||
1.55%, 6/15/28 | 365,000 | 360,467 | |
3.50%, 4/01/40 | 150,000 | 167,786 | |
3.50%, 4/01/50 | 550,000 | 629,667 | |
3.70%, 4/01/60 | 100,000 | 118,619 | |
QUALCOMM, Inc., | |||
4.80%, 5/20/45 | 50,000 | 66,275 | |
4.30%, 5/20/47 | 124,000 | 156,467 | |
3.25%, 5/20/50 | 40,000 | 43,702 | |
Texas Instruments, Inc., | |||
2.90%, 11/03/27 | 390,000 | 420,207 | |
1.75%, 5/04/30 | 70,000 | 69,033 | |
6,222,941 | |||
Shipbuilding – 0.0%(i) | |||
Huntington Ingalls Industries, Inc., | |||
3.84%, 5/01/25 | 75,000 | 80,649 | |
4.20%, 5/01/30 | 143,000 | 160,680 | |
241,329 | |||
Software – 0.9% | |||
Activision Blizzard, Inc., | |||
1.35%, 9/15/30 | 136,000 | 125,382 | |
2.50%, 9/15/50 | 134,000 | 120,229 | |
Adobe, Inc., 2.30%, 2/01/30 | 200,000 | 205,029 | |
Autodesk, Inc., 3.50%, 6/15/27 | 259,000 | 281,088 | |
Citrix Systems, Inc., | |||
4.50%, 12/01/27 | 203,000 | 218,614 | |
3.30%, 3/01/30 | 71,000 | 72,033 | |
Electronic Arts, Inc., 1.85%, 2/15/31 | 115,000 | 110,548 | |
Fidelity National Information Services, Inc., | |||
1.00%, 12/03/28 | EUR | 105,000 | 123,389 |
Par (a) | Value | ||
Software (Continued) | |||
Fidelity National Information Services, Inc., | |||
2.95%, 5/21/39 | EUR | $100,000 | $ 142,196 |
Fiserv, Inc., | |||
4.20%, 10/01/28 | 57,000 | 64,534 | |
3.50%, 7/01/29 | 657,000 | 709,137 | |
Microsoft Corp., | |||
2.40%, 8/08/26 | 60,000 | 62,941 | |
3.30%, 2/06/27 | 900,000 | 982,918 | |
2.53%, 6/01/50 | 364,000 | 358,024 | |
2.92%, 3/17/52 | 263,000 | 278,440 | |
Oracle Corp., | |||
1.65%, 3/25/26 | 390,000 | 391,245 | |
2.88%, 3/25/31 | 430,000 | 441,140 | |
3.90%, 5/15/35 | 109,000 | 118,402 | |
3.85%, 7/15/36 | 170,000 | 183,680 | |
6.12%, 7/08/39 | 182,000 | 247,964 | |
3.60%, 4/01/40 | 295,000 | 307,435 | |
3.65%, 3/25/41 | 557,000 | 583,515 | |
4.12%, 5/15/45 | 70,000 | 76,853 | |
4.00%, 7/15/46 | 260,000 | 280,862 | |
4.00%, 11/15/47 | 174,000 | 188,193 | |
3.60%, 4/01/50 | 231,000 | 235,834 | |
Roper Technologies, Inc., 2.95%, 9/15/29 | 76,000 | 79,813 | |
salesforce.com, Inc., | |||
3.70%, 4/11/28 | 250,000 | 279,507 | |
3.05%, 7/15/61 | 60,000 | 62,629 | |
ServiceNow, Inc., 1.40%, 9/01/30 | 243,000 | 227,431 | |
VMware, Inc., | |||
1.80%, 8/15/28 | 159,000 | 154,992 | |
2.20%, 8/15/31 | 155,000 | 150,836 | |
7,864,833 | |||
Telecommunications – 1.7% | |||
AT&T, Inc., | |||
3.80%, 2/15/27 | 170,000 | 185,867 | |
2.30%, 6/01/27 | 435,000 | 444,887 | |
1.65%, 2/01/28 | 798,000 | 778,381 | |
4.35%, 3/01/29 | 144,000 | 163,497 | |
4.30%, 2/15/30(b) | 105,000 | 119,234 | |
2.55%, 12/01/33 | 472,000 | 458,391 | |
3.15%, 9/04/36 | EUR | 100,000 | 139,698 |
3.10%, 2/01/43 | 450,000 | 434,566 | |
4.80%, 6/15/44 | 22,000 | 26,282 | |
5.15%, 2/15/50 | 191,000 | 245,952 | |
3.50%, 9/15/53 | 178,000 | 180,827 | |
3.55%, 9/15/55 | 357,000 | 361,453 | |
3.80%, 12/01/57 | 107,000 | 112,275 | |
3.65%, 9/15/59 | 212,000 | 215,054 |
Par (a) | Value | ||
Telecommunications (Continued) | |||
AT&T, Inc., | |||
3.50%, 2/01/61 | $ 127,000 | $ 123,818 | |
Juniper Networks, Inc., 2.00%, 12/10/30 | 70,000 | 66,296 | |
Level 3 Financing, Inc., 4.62%, 9/15/27(b) | 12,000 | 12,300 | |
Motorola Solutions, Inc., | |||
4.60%, 5/23/29 | 235,000 | 270,488 | |
2.75%, 5/24/31 | 403,000 | 406,851 | |
5.50%, 9/01/44 | 105,000 | 136,440 | |
Sprint Corp., 7.62%, 3/01/26 | 94,000 | 112,697 | |
T-Mobile USA, Inc., | |||
3.50%, 4/15/25 | 230,000 | 245,304 | |
3.75%, 4/15/27 | 311,000 | 337,432 | |
2.05%, 2/15/28 | 71,000 | 70,409 | |
3.88%, 4/15/30 | 1,084,000 | 1,185,250 | |
2.55%, 2/15/31 | 137,000 | 135,954 | |
2.25%, 11/15/31 | 230,000 | 221,938 | |
3.00%, 2/15/41 | 90,000 | 86,601 | |
3.30%, 2/15/51 | 70,000 | 68,660 | |
Verizon Communications, Inc., | |||
2.63%, 8/15/26 | 10,000 | 10,484 | |
4.12%, 3/16/27 | 100,000 | 111,759 | |
3.00%, 3/22/27 | 30,000 | 31,767 | |
2.10%, 3/22/28 | 412,000 | 413,141 | |
4.33%, 9/21/28 | 424,000 | 483,999 | |
3.88%, 2/08/29 | 102,000 | 113,665 | |
4.02%, 12/03/29 | 127,000 | 142,327 | |
3.15%, 3/22/30 | 403,000 | 426,778 | |
1.50%, 9/18/30 | 544,000 | 510,556 | |
1.68%, 10/30/30 | 126,000 | 118,932 | |
1.75%, 1/20/31 | 329,000 | 310,662 | |
2.55%, 3/21/31 | 465,000 | 468,627 | |
2.36%, 3/15/32(b) | 327,000 | 322,122 | |
4.50%, 8/10/33 | 1,010,000 | 1,192,370 | |
4.27%, 1/15/36 | 457,000 | 534,173 | |
2.65%, 11/20/40 | 874,000 | 825,796 | |
3.40%, 3/22/41 | 151,000 | 158,399 | |
2.85%, 9/03/41 | 151,000 | 147,648 | |
3.85%, 11/01/42 | 60,000 | 66,549 | |
4.12%, 8/15/46 | 70,000 | 81,902 | |
4.86%, 8/21/46 | 110,000 | 144,415 | |
4.52%, 9/15/48 | 40,000 | 50,682 | |
4.00%, 3/22/50 | 190,000 | 217,869 | |
2.88%, 11/20/50 | 607,000 | 578,371 | |
3.55%, 3/22/51 | 39,000 | 42,065 | |
3.70%, 3/22/61 | 207,000 | 224,978 | |
15,076,838 |
Par (a) | Value | ||
Transportation – 0.4% | |||
Burlington Northern Santa Fe LLC, | |||
5.40%, 6/01/41 | $106,000 | $ 145,084 | |
3.30%, 9/15/51 | 242,000 | 268,161 | |
CSX Corp., | |||
4.10%, 3/15/44 | 38,000 | 44,429 | |
4.75%, 11/15/48 | 74,000 | 97,503 | |
2.50%, 5/15/51 | 47,000 | 43,868 | |
4.65%, 3/01/68 | 38,000 | 50,390 | |
FedEx Corp., | |||
4.25%, 5/15/30 | 153,000 | 174,634 | |
2.40%, 5/15/31 | 453,000 | 453,855 | |
3.88%, 8/01/42 | 14,000 | 15,443 | |
Norfolk Southern Corp., | |||
2.90%, 6/15/26 | 155,000 | 164,044 | |
3.05%, 5/15/50 | 260,000 | 266,530 | |
Ryder System, Inc., | |||
2.50%, 9/01/24 | 75,000 | 77,880 | |
4.62%, 6/01/25 | 287,000 | 317,870 | |
Union Pacific Corp., | |||
3.25%, 8/15/25 | 27,000 | 28,833 | |
2.75%, 3/01/26 | 53,000 | 55,943 | |
2.15%, 2/05/27 | 120,000 | 123,237 | |
2.40%, 2/05/30 | 220,000 | 226,367 | |
2.95%, 3/10/52 | 21,000 | 21,532 | |
3.95%, 8/15/59 | 104,000 | 125,178 | |
3.84%, 3/20/60 | 199,000 | 235,489 | |
2.97%, 9/16/62 | 43,000 | 43,231 | |
3.75%, 2/05/70 | 160,000 | 186,036 | |
3,165,537 | |||
Trucking & Leasing – 0.1% | |||
Penske Truck Leasing Co. L.P./PTL Finance Corp., | |||
4.25%, 1/17/23(b) | 4,000 | 4,166 | |
2.70%, 3/14/23(b) | 51,000 | 52,235 | |
3.95%, 3/10/25(b) | 30,000 | 32,301 | |
4.00%, 7/15/25(b) | 94,000 | 101,908 | |
1.20%, 11/15/25(b) | 82,000 | 80,490 | |
4.45%, 1/29/26(b) | 10,000 | 11,038 | |
1.70%, 6/15/26(b) | 241,000 | 239,946 | |
522,084 | |||
Total Corporate Bonds (Cost $190,462,265) | 195,079,377 |
Par (a) | Value | ||
Foreign Issuer Bonds – 10.5% | |||
Argentina – 0.0%(i) | |||
Argentine Republic Government International Bond, | |||
(Step to 1.50% on 7/9/22), 1.13%, 7/09/35(f) | $ 439,000 | $ 135,436 | |
(Step to 3.50% on 7/9/22), 2.50%, 7/09/41(f) | 400,000 | 137,660 | |
Capex S.A., 6.87%, 5/15/24(b) | 22,000 | 20,900 | |
Genneia S.A., 8.75%, 9/02/27(b) | 32,660 | 31,158 | |
YPF S.A., 7.00%, 12/15/47(b) | 45,000 | 29,520 | |
354,674 | |||
Australia – 0.2% | |||
BHP Billiton Finance USA Ltd., 5.00%, 9/30/43 | 20,000 | 26,675 | |
FMG Resources (August 2006) Pty. Ltd., 4.50%, 9/15/27(b) | 8,000 | 8,360 | |
Glencore Funding LLC, | |||
4.12%, 3/12/24(b) | 390,000 | 414,323 | |
1.63%, 4/27/26(b) | 238,000 | 235,366 | |
4.00%, 3/27/27(b) | 320,000 | 345,828 | |
3.87%, 10/27/27(b) | 70,000 | 75,436 | |
2.50%, 9/01/30(b) | 320,000 | 313,006 | |
2.85%, 4/27/31(b) | 208,000 | 208,270 | |
2.63%, 9/23/31(b) | 38,000 | 37,037 | |
3.37%, 9/23/51(b) | 21,000 | 20,346 | |
1,684,647 | |||
Austria – 0.0%(i) | |||
Republic of Austria Government Bond, 2.10%, 9/20/17(b)(l) | EUR | 137,000 | 265,360 |
Belgium – 0.4% | |||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., | |||
3.65%, 2/01/26 | 80,000 | 86,969 | |
4.70%, 2/01/36 | 617,000 | 746,456 | |
4.90%, 2/01/46 | 200,000 | 255,084 | |
Anheuser-Busch InBev Finance, Inc., 4.00%, 1/17/43 | 62,000 | 69,420 | |
Anheuser-Busch InBev Worldwide, Inc., | |||
4.00%, 4/13/28 | 1,018,000 | 1,144,877 | |
4.75%, 1/23/29 | 330,000 | 387,452 | |
3.50%, 6/01/30 | 50,000 | 54,820 |
Par (a) | Value | ||
Belgium (Continued) | |||
Anheuser-Busch InBev Worldwide, Inc., | |||
4.35%, 6/01/40 | $130,000 | $ 152,879 | |
4.95%, 1/15/42 | 34,000 | 42,823 | |
4.60%, 4/15/48 | 174,000 | 214,970 | |
5.55%, 1/23/49 | 220,000 | 308,587 | |
4.50%, 6/01/50 | 230,000 | 284,911 | |
3,749,248 | |||
Brazil – 0.4% | |||
Embraer Netherlands Finance B.V., | |||
5.05%, 6/15/25 | 34,000 | 35,318 | |
5.40%, 2/01/27 | 13,000 | 13,598 | |
Embraer Overseas Ltd., 5.70%, 9/16/23 | 19,000 | 19,997 | |
Gol Finance S.A., 7.00%, 1/31/25(b) | 102,000 | 91,877 | |
Klabin Austria GmbH, 3.20%, 1/12/31(b) | 200,000 | 183,747 | |
MC Brazil Downstream Trading S.a.r.l., 7.25%, 6/30/31(b) | 200,000 | 194,608 | |
Oi S.A., (100% Cash), 10.00%, 7/27/25(m) | 26,000 | 23,413 | |
Petrobras Global Finance B.V., | |||
6.25%, 3/17/24 | 16,000 | 17,488 | |
5.30%, 1/27/25 | 58,000 | 63,075 | |
Rumo Luxembourg S.a.r.l., 5.87%, 1/18/25(b) | 200,000 | 206,520 | |
Suzano Austria GmbH, | |||
6.00%, 1/15/29 | 920,000 | 1,058,000 | |
3.12%, 1/15/32 | 45,000 | 42,515 | |
Vale Overseas Ltd., | |||
6.25%, 8/10/26 | 850,000 | 985,796 | |
4.50%, 7/08/30 | 99,000 | 100,728 | |
XP, Inc., 3.25%, 7/01/26(b) | 200,000 | 191,300 | |
3,227,980 | |||
Canada – 0.2% | |||
1011778 B.C. ULC/New Red Finance, Inc., 4.00%, 1/15/28(b) | 11,000 | 10,973 | |
Air Canada Pass Through Trust, Series 2017-1, Class AA, 3.30%, 1/15/30(b) | 15,235 | 15,536 | |
Bank of Montreal, | |||
1.85%, 5/01/25 | 210,000 | 214,444 | |
(5Y USD Swap Rate + 1.43%), 3.80%, 12/15/32(j) | 40,000 | 43,194 | |
Bank of Nova Scotia (The), 1.30%, 6/11/25 | 120,000 | 119,949 |
Par (a) | Value | ||
Canada (Continued) | |||
Barrick North America Finance LLC, 5.75%, 5/01/43 | $ 190,000 | $ 262,388 | |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 6.25%, 9/15/27(b) | 74,000 | 77,052 | |
Canadian Imperial Bank of Commerce, 0.95%, 6/23/23 | 100,000 | 100,429 | |
Canadian Pacific Railway Co., 2.05%, 3/05/30 | 74,000 | 72,926 | |
Cenovus Energy, Inc., 3.75%, 2/15/52 | 15,000 | 15,178 | |
Mattamy Group Corp., 5.25%, 12/15/27(b) | 8,000 | 8,320 | |
Royal Bank of Canada, | |||
1.60%, 4/17/23 | 190,000 | 192,940 | |
1.15%, 6/10/25 | 100,000 | 99,479 | |
Suncor Energy, Inc., 6.50%, 6/15/38 | 81,000 | 112,531 | |
Toronto-Dominion Bank (The), | |||
0.75%, 6/12/23 | 210,000 | 210,689 | |
1.15%, 6/12/25 | 110,000 | 109,601 | |
TransCanada PipeLines Ltd., 4.63%, 3/01/34 | 61,000 | 71,582 | |
1,737,211 | |||
Chile – 0.3% | |||
Chile Government International Bond, | |||
3.10%, 5/07/41 | 920,000 | 897,819 | |
3.10%, 1/22/61 | 310,000 | 285,736 | |
Corp. Nacional del Cobre de Chile, | |||
3.63%, 8/01/27(b) | 330,000 | 350,005 | |
3.70%, 1/30/50(b) | 560,000 | 567,325 | |
Kenbourne Invest S.A., 6.87%, 11/26/24(b) | 200,000 | 208,500 | |
2,309,385 | |||
China – 1.6% | |||
Alibaba Group Holding Ltd., 3.40%, 12/06/27 | 300,000 | 318,533 | |
China Government Bond, | |||
1.99%, 4/09/25 | CNH | 31,160,000 | 4,738,543 |
2.41%, 6/19/25 | CNY | 7,600,000 | 1,173,295 |
2.85%, 6/04/27 | CNH | 5,500,000 | 856,153 |
3.01%, 5/13/28 | CNY | 2,300,000 | 360,727 |
2.68%, 5/21/30 | CNH | 23,520,000 | 3,559,702 |
Par (a) | Value | ||
China (Continued) | |||
NXP B.V./NXP Funding LLC/NXP USA, Inc., | |||
2.70%, 5/01/25(b) | $ 80,000 | $ 83,074 | |
4.30%, 6/18/29(b) | 332,000 | 373,853 | |
3.40%, 5/01/30(b) | 205,000 | 220,311 | |
2.50%, 5/11/31(b) | 358,000 | 355,813 | |
Prosus N.V., | |||
3.68%, 1/21/30(b) | 600,000 | 616,923 | |
4.03%, 8/03/50(b) | 380,000 | 357,180 | |
Sinopec Group Overseas Development 2014 Ltd., 4.37%, 4/10/24(b) | 290,000 | 312,199 | |
Tencent Holdings Ltd., | |||
3.60%, 1/19/28(b) | 220,000 | 233,165 | |
3.24%, 6/03/50 | 740,000 | 717,855 | |
14,277,326 | |||
Colombia – 0.5% | |||
Colombia Government International Bond, | |||
4.50%, 3/15/29 | 488,000 | 514,728 | |
3.00%, 1/30/30 | 200,000 | 188,568 | |
3.13%, 4/15/31 | 825,000 | 772,637 | |
3.25%, 4/22/32 | 420,000 | 391,978 | |
5.00%, 6/15/45 | 810,000 | 797,672 | |
5.20%, 5/15/49 | 460,000 | 462,903 | |
Ecopetrol S.A., | |||
5.37%, 6/26/26 | 21,000 | 22,707 | |
6.87%, 4/29/30 | 56,000 | 64,680 | |
4.63%, 11/02/31 | 35,000 | 34,737 | |
5.87%, 5/28/45 | 710,000 | 718,768 | |
Grupo Aval Ltd., 4.38%, 2/04/30(b) | 200,000 | 195,500 | |
Promigas S.A. ESP/Gases del Pacifico SAC, 3.75%, 10/16/29 | 200,000 | 198,952 | |
4,363,830 | |||
Denmark – 0.2% | |||
Danske Bank A/S, | |||
3.88%, 9/12/23(b) | 400,000 | 420,665 | |
(1Y US Treasury CMT + 1.03%), 1.17%, 12/08/23(b)(j) | 200,000 | 200,558 | |
5.37%, 1/12/24(b) | 600,000 | 653,330 | |
5.37%, 1/12/24 | 200,000 | 217,777 | |
1.23%, 6/22/24(b) | 200,000 | 201,248 | |
1,693,578 | |||
Finland – 0.0%(i) | |||
Nordea Bank Abp, 1.00%, 6/09/23(b) | 210,000 | 211,576 |
Par (a) | Value | ||
France – 0.3% | |||
Altice France S.A., 8.12%, 2/01/27(b) | $ 200,000 | $ 215,000 | |
BNP Paribas S.A., | |||
(3M USD LIBOR + 2.24%), 4.70%, 1/10/25(b)(j) | 200,000 | 214,987 | |
(SOFR + 2.07%), 2.22%, 6/09/26(b)(j) | 600,000 | 610,740 | |
(3M USD LIBOR + 2.57%), 5.20%, 1/10/30(b)(j) | 300,000 | 354,687 | |
(SOFR + 1.51%), 3.05%, 1/13/31(b)(j) | 200,000 | 207,989 | |
BPCE S.A., 2.70%, 10/01/29(b) | 250,000 | 256,964 | |
Credit Agricole S.A., (SOFR + 1.68%), 1.91%, 6/16/26(b)(j) | 250,000 | 252,454 | |
Danone S.A., 2.95%, 11/02/26(b) | 200,000 | 211,429 | |
2,324,250 | |||
Germany – 0.1% | |||
Deutsche Bank A.G., | |||
(SOFR + 1.13%), 1.45%, 4/01/25(j) | 212,000 | 212,035 | |
1.68%, 3/19/26 | 500,000 | 498,719 | |
Deutsche Telekom International Finance B.V., 3.60%, 1/19/27(b) | 150,000 | 162,540 | |
873,294 | |||
Hungary – 0.0%(i) | |||
Hungary Government International Bond, 5.38%, 3/25/24 | 122,000 | 134,200 | |
India – 0.0%(i) | |||
Export-Import Bank of India, 3.38%, 8/05/26(b) | 200,000 | 210,401 | |
Indonesia – 0.4% | |||
Indonesia Government International Bond, | |||
2.85%, 2/14/30 | 200,000 | 206,208 | |
4.35%, 1/11/48 | 1,350,000 | 1,515,912 | |
3.70%, 10/30/49 | 330,000 | 342,682 | |
3.05%, 3/12/51 | 222,000 | 215,115 | |
Pertamina Persero PT, 6.00%, 5/03/42(b) | 280,000 | 343,834 | |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, 5.45%, 5/21/28(b) | 780,000 | 899,925 | |
3,523,676 |
Par (a) | Value | ||
Ireland – 0.4% | |||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, | |||
4.45%, 4/03/26 | $ 150,000 | $ 163,480 | |
2.45%, 10/29/26 | 550,000 | 555,164 | |
3.00%, 10/29/28 | 320,000 | 324,458 | |
Ireland Government Bond, | |||
0.20%, 10/18/30 | EUR | 570,000 | 658,992 |
(0.01%), 10/18/31(n) | EUR | 1,485,000 | 1,664,052 |
3,366,146 | |||
Israel – 0.1% | |||
Israel Government International Bond, | |||
2.75%, 7/03/30 | 500,000 | 527,862 | |
4.50%, 4/03/20(o) | 220,000 | 274,245 | |
802,107 | |||
Japan – 0.4% | |||
Mitsubishi UFJ Financial Group, Inc., | |||
3.45%, 3/02/23 | 52,000 | 53,946 | |
(1Y US Treasury CMT + 0.68%), 0.85%, 9/15/24(j) | 366,000 | 366,054 | |
2.19%, 2/25/25 | 407,000 | 417,981 | |
Mizuho Financial Group, Inc., | |||
(SOFR + 1.24%), 2.84%, 7/16/25(j) | 200,000 | 208,843 | |
(SOFR + 1.53%), 1.98%, 9/08/31(j) | 200,000 | 191,544 | |
Nissan Motor Co. Ltd., 4.81%, 9/17/30(b) | 600,000 | 666,837 | |
Nomura Holdings, Inc., 2.61%, 7/14/31 | 293,000 | 289,408 | |
Sumitomo Mitsui Financial Group, Inc., | |||
2.70%, 7/16/24 | 202,000 | 210,520 | |
2.35%, 1/15/25 | 400,000 | 412,324 | |
Takeda Pharmaceutical Co. Ltd., | |||
5.00%, 11/26/28 | 200,000 | 236,565 | |
2.05%, 3/31/30 | 200,000 | 195,614 | |
2.00%, 7/09/40 | EUR | 110,000 | 140,160 |
3,389,796 | |||
Kazakhstan – 0.1% | |||
Kazakhstan Government International Bond, 4.88%, 10/14/44 | 400,000 | 491,050 | |
KazMunayGas National Co. JSC, 6.37%, 10/24/48(b) | 420,000 | 539,725 | |
1,030,775 |
Par (a) | Value | ||
Kuwait – 0.2% | |||
Equate Petrochemical B.V., | |||
4.25%, 11/03/26(b) | $ 210,000 | $ 228,917 | |
2.63%, 4/28/28(b) | 450,000 | 448,899 | |
Kuwait International Government Bond, 3.50%, 3/20/27(b) | 600,000 | 656,400 | |
MEGlobal Canada ULC, 5.00%, 5/18/25(b) | 200,000 | 218,968 | |
1,553,184 | |||
Macau – 0.0%(i) | |||
Sands China Ltd., 5.13%, 8/08/25 | 300,000 | 318,870 | |
Mexico – 0.6% | |||
Cemex S.A.B. de C.V., 5.20%, 9/17/30(b) | 200,000 | 216,540 | |
Comision Federal de Electricidad, | |||
4.75%, 2/23/27(b) | 200,000 | 221,750 | |
3.87%, 7/26/33(b) | 500,000 | 481,250 | |
Mexico City Airport Trust, 5.50%, 7/31/47 | 200,000 | 203,100 | |
Mexico Government International Bond, | |||
2.66%, 5/24/31 | 368,000 | 355,157 | |
4.75%, 3/08/44 | 1,660,000 | 1,813,849 | |
4.50%, 1/31/50 | 420,000 | 441,462 | |
Orbia Advance Corp. S.A.B. de C.V., | |||
1.88%, 5/11/26(b) | 280,000 | 277,200 | |
2.88%, 5/11/31(b) | 270,000 | 265,615 | |
Petroleos Mexicanos, | |||
7.19%, 9/12/24 | MXN | 1,203,000 | 55,872 |
6.87%, 10/16/25 | 25,000 | 27,309 | |
5.35%, 2/12/28 | 104,000 | 103,803 | |
6.50%, 1/23/29 | 157,000 | 163,578 | |
5.62%, 1/23/46 | 620,000 | 503,930 | |
7.69%, 1/23/50 | 51,000 | 48,705 | |
5,179,120 | |||
Morocco – 0.0%(i) | |||
OCP S.A., 4.50%, 10/22/25(b) | 200,000 | 212,511 | |
Netherlands – 0.3% | |||
Cooperatieve Rabobank U.A., | |||
4.62%, 12/01/23 | 250,000 | 268,575 | |
4.38%, 8/04/25 | 440,000 | 483,506 | |
ING Groep N.V., 4.62%, 1/06/26(b) | 400,000 | 448,157 | |
Shell International Finance B.V., | |||
3.50%, 11/13/23 | 170,000 | 179,621 |
Par (a) | Value | ||
Netherlands (Continued) | |||
Shell International Finance B.V., | |||
2.88%, 5/10/26 | $140,000 | $ 149,262 | |
2.38%, 11/07/29 | 623,000 | 639,350 | |
2.75%, 4/06/30 | 161,000 | 169,646 | |
4.37%, 5/11/45 | 70,000 | 87,792 | |
4.00%, 5/10/46 | 80,000 | 95,943 | |
3.25%, 4/06/50 | 300,000 | 327,568 | |
2,849,420 | |||
Panama – 0.3% | |||
Panama Government International Bond, | |||
3.87%, 3/17/28 | 200,000 | 216,870 | |
6.70%, 1/26/36 | 780,000 | 1,040,528 | |
4.30%, 4/29/53 | 600,000 | 642,834 | |
4.50%, 4/01/56 | 247,000 | 271,003 | |
2,171,235 | |||
Peru – 0.4% | |||
Peruvian Government International Bond, | |||
4.13%, 8/25/27 | 137,000 | 150,459 | |
3.00%, 1/15/34 | 80,000 | 79,120 | |
6.55%, 3/14/37 | 360,000 | 489,849 | |
3.30%, 3/11/41 | 230,000 | 225,763 | |
5.62%, 11/18/50 | 350,000 | 476,406 | |
3.55%, 3/10/51 | 180,000 | 181,363 | |
3.60%, 1/15/72 | 47,000 | 45,061 | |
Petroleos del Peru S.A., | |||
4.75%, 6/19/32(b) | 500,000 | 528,250 | |
5.62%, 6/19/47(b) | 200,000 | 203,000 | |
Southern Copper Corp., 5.25%, 11/08/42 | 700,000 | 868,357 | |
3,247,628 | |||
Philippines – 0.0%(i) | |||
Philippine Government International Bond, 3.20%, 7/06/46 | 267,000 | 268,546 | |
Poland – 0.1% | |||
Republic of Poland Government International Bond, 4.00%, 1/22/24 | 790,000 | 841,113 | |
Qatar – 0.3% | |||
Qatar Energy, | |||
2.25%, 7/12/31(b) | 550,000 | 541,750 | |
3.13%, 7/12/41(b) | 350,000 | 353,217 | |
3.30%, 7/12/51(b) | 360,000 | 366,855 |
Par (a) | Value | ||
Qatar (Continued) | |||
Qatar Government International Bond, | |||
3.87%, 4/23/23(b) | $ 200,000 | $ 209,300 | |
4.82%, 3/14/49(b) | 1,170,000 | 1,504,152 | |
2,975,274 | |||
Russia – 0.3% | |||
Lukoil Capital DAC, | |||
2.80%, 4/26/27(b) | 370,000 | 369,717 | |
3.60%, 10/26/31(b) | 470,000 | 469,029 | |
Russian Federal Bond - OFZ, | |||
7.65%, 4/10/30 | RUB | 12,259,000 | 168,902 |
5.90%, 3/12/31 | RUB | 34,195,000 | 415,756 |
Russian Foreign Bond - Eurobond, 5.62%, 4/04/42(b) | 1,000,000 | 1,297,500 | |
2,720,904 | |||
Saudi Arabia – 0.0%(i) | |||
Arabian Centres Sukuk II Ltd., 5.63%, 10/07/26(b) | 200,000 | 208,308 | |
South Africa – 0.1% | |||
Anglo American Capital PLC, | |||
4.00%, 9/11/27(b) | 400,000 | 433,511 | |
5.62%, 4/01/30(b) | 200,000 | 239,232 | |
Liquid Telecommunications Financing PLC, 5.50%, 9/04/26(b) | 200,000 | 207,500 | |
Sasol Financing USA LLC, 5.50%, 3/18/31 | 200,000 | 205,460 | |
1,085,703 | |||
Spain – 0.2% | |||
Banco Santander S.A., | |||
(1Y US Treasury CMT + 0.45%), 0.70%, 6/30/24(j) | 200,000 | 199,388 | |
2.75%, 5/28/25 | 800,000 | 831,400 | |
1.85%, 3/25/26 | 200,000 | 200,257 | |
3.31%, 6/27/29 | 200,000 | 214,227 | |
Telefonica Emisiones S.A., 4.10%, 3/08/27 | 150,000 | 166,171 | |
1,611,443 | |||
Sweden – 0.0%(i) | |||
Swedbank AB, 1.30%, 6/02/23(b) | 200,000 | 201,988 | |
Switzerland – 0.5% | |||
Credit Suisse A.G., | |||
1.00%, 5/05/23 | 670,000 | 673,378 | |
2.95%, 4/09/25 | 250,000 | 263,232 |
Par (a) | Value | ||
Switzerland (Continued) | |||
Credit Suisse A.G., | |||
1.25%, 8/07/26 | $ 639,000 | $ 625,476 | |
Credit Suisse Group A.G., | |||
(SOFR + 1.56%), 2.59%, 9/11/25(b)(j) | 250,000 | 257,077 | |
(SOFR + 3.73%), 4.20%, 4/01/31(b)(j) | 250,000 | 276,583 | |
(SOFR + 1.73%), 3.09%, 5/14/32(b)(j) | 250,000 | 254,540 | |
UBS Group A.G., | |||
(3M USD LIBOR + 0.95%), 2.86%, 8/15/23(b)(j) | 200,000 | 203,467 | |
(5Y USD Swap Rate + 4.34%), 7.00%, 1/31/24(b)(j)(k) | 400,000 | 432,500 | |
(1Y US Treasury CMT + 0.85%), 1.49%, 8/10/27(b)(j) | 349,000 | 341,904 | |
4.25%, 3/23/28(b) | 770,000 | 857,206 | |
4,185,363 | |||
Taiwan – 0.1% | |||
TSMC Arizona Corp., 2.50%, 10/25/31 | 1,020,000 | 1,032,713 | |
United Arab Emirates – 0.3% | |||
Abu Dhabi Government International Bond, 3.13%, 9/30/49(b) | 1,110,000 | 1,117,903 | |
Abu Dhabi National Energy Co. PJSC, | |||
2.00%, 4/29/28(b) | 560,000 | 557,200 | |
3.40%, 4/29/51(b) | 370,000 | 381,792 | |
DP World Ltd., 5.62%, 9/25/48(b) | 700,000 | 852,197 | |
2,909,092 | |||
United Kingdom – 1.0% | |||
AstraZeneca PLC, 1.38%, 8/06/30 | 282,000 | 266,686 | |
BAE Systems Holdings, Inc., 3.85%, 12/15/25(b) | 253,000 | 273,862 | |
BAE Systems PLC, 3.40%, 4/15/30(b) | 268,000 | 286,569 | |
Barclays PLC, | |||
(3M USD LIBOR + 1.90%), 4.97%, 5/16/29(j) | 800,000 | 924,209 | |
(3M USD LIBOR + 3.05%), 5.09%, 6/20/30(j) | 200,000 | 229,400 | |
BAT Capital Corp., | |||
3.56%, 8/15/27 | 300,000 | 317,733 | |
2.26%, 3/25/28 | 100,000 | 98,175 | |
4.91%, 4/02/30 | 76,000 | 86,115 | |
2.73%, 3/25/31 | 243,000 | 237,242 |
Par (a) | Value | ||
United Kingdom (Continued) | |||
BAT Capital Corp., | |||
4.54%, 8/15/47 | $210,000 | $ 220,060 | |
3.98%, 9/25/50 | 66,000 | 64,449 | |
HSBC Holdings PLC, | |||
(SOFR + 1.93%), 2.10%, 6/04/26(j) | 200,000 | 202,484 | |
(3M USD LIBOR + 1.53%), 4.58%, 6/19/29(j) | 287,000 | 324,312 | |
(3M USD LIBOR + 1.61%), 3.97%, 5/22/30(j) | 550,000 | 601,540 | |
(5Y US Treasury CMT + 3.25%), 4.70%, 3/09/31(j)(k) | 200,000 | 199,020 | |
(SOFR + 1.19%), 2.80%, 5/24/32(j) | 200,000 | 201,331 | |
Lloyds Banking Group PLC, | |||
(3M USD LIBOR + 0.81%), 2.91%, 11/07/23(j) | 270,000 | 276,025 | |
3.75%, 1/11/27 | 200,000 | 217,166 | |
4.37%, 3/22/28 | 290,000 | 327,064 | |
Natwest Group PLC, | |||
(3M USD LIBOR + 1.76%), 4.27%, 3/22/25(j) | 400,000 | 428,356 | |
(3M USD LIBOR + 1.91%), 5.08%, 1/27/30(j) | 200,000 | 234,087 | |
RELX Capital, Inc., | |||
3.50%, 3/16/23 | 56,000 | 58,017 | |
4.00%, 3/18/29 | 272,000 | 304,107 | |
3.00%, 5/22/30 | 209,000 | 220,625 | |
Reynolds American, Inc., 5.85%, 8/15/45 | 108,000 | 132,178 | |
Santander UK Group Holdings PLC, | |||
(SOFR + 0.79%), 1.09%, 3/15/25(j) | 200,000 | 199,040 | |
(1Y US Treasury CMT + 1.25%), 1.53%, 8/21/26(j) | 305,000 | 301,518 | |
United Kingdom Gilt, 0.63%, 10/22/50 | GBP | 520,000 | 624,229 |
Vodafone Group PLC, | |||
4.37%, 5/30/28 | 130,000 | 148,206 | |
5.25%, 5/30/48 | 31,000 | 40,851 | |
4.87%, 6/19/49 | 194,000 | 242,002 | |
8,286,658 |
Par (a) | Value | ||
Uruguay – 0.2% | |||
Uruguay Government International Bond, | |||
4.38%, 1/23/31 | $600,000 | $ 692,958 | |
5.10%, 6/18/50 | 617,641 | 803,817 | |
1,496,775 | |||
Total Foreign Issuer Bonds (Cost $91,351,550) | 92,885,308 |
Par | Value | ||
Mortgage-Backed Securities – 26.8% | |||
Federal Home Loan Mortgage Corporation – 2.6% | |||
Freddie Mac Strips, Series 334, Class S7, (6.10% - 1M USD LIBOR, 6.10% Cap), 6.01%, 8/15/44(d) | 29,774 | 5,394 | |
Multiclass Certificates, Series 2020-RR07, Class BX, 2.61%, 10/27/28 | 4,160,000 | 626,781 | |
Multifamily Structured Pass Through Certificates, | |||
Series K736, Class X1, 1.31%, 7/25/26(c) | 1,038,056 | 52,701 | |
Series K095, Class XAM, 1.24%, 6/25/29(c) | 500,000 | 43,912 | |
Series K-1517, Class X1, 1.33%, 7/25/35(c) | 239,746 | 34,582 | |
Pool, | |||
#ZS8673, 3.00%, 10/01/32 | 32,197 | 33,915 | |
#ZT1970, 3.50%, 4/01/33 | 54,497 | 58,465 | |
#ZS9068, 3.50%, 1/01/34 | 67,748 | 73,322 | |
#SC0063, 3.50%, 5/01/35 | 262,346 | 282,028 | |
#ZA2471, 3.00%, 9/01/37 | 8,975 | 9,513 | |
#ZS9316, 3.50%, 1/01/38 | 133,401 | 144,293 | |
#SC0111, 3.00%, 6/01/38 | 173,262 | 182,462 | |
#QK0914, 2.00%, 7/01/41 | 296,904 | 303,322 | |
#RB5125, 2.00%, 9/01/41 | 792,993 | 808,169 | |
#SD0478, 4.00%, 1/01/45 | 1,008,622 | 1,112,666 | |
#ZM1677, 3.00%, 9/01/46 | 802,156 | 854,272 | |
#ZS9826, 3.00%, 10/01/46 | 42,413 | 44,984 | |
#SD0496, 3.00%, 2/01/47 | 1,013,824 | 1,085,967 | |
#ZS4747, 3.50%, 12/01/47 | 422,993 | 449,477 | |
#ZM5146, 4.00%, 12/01/47 | 149,062 | 160,564 | |
#ZS4751, 3.50%, 1/01/48 | 102,986 | 109,417 |
Par | Value | ||
Federal Home Loan Mortgage Corporation (Continued) | |||
Pool, | |||
#ZT1353, 3.50%, 2/01/48 | $ 100,829 | $ 107,083 | |
#ZA5318, 3.50%, 3/01/48 | 32,129 | 34,120 | |
#ZA5297, 4.00%, 3/01/48 | 132,298 | 144,693 | |
#ZN2185, 4.50%, 12/01/48 | 13,174 | 14,238 | |
#ZN2699, 4.50%, 1/01/49 | 476,320 | 515,211 | |
#ZT1857, 4.50%, 3/01/49 | 1,156,047 | 1,290,689 | |
#QA0639, 4.00%, 6/01/49 | 285,209 | 309,943 | |
#RA1084, 4.50%, 7/01/49 | 77,331 | 84,888 | |
#RA1293, 3.00%, 9/01/49 | 185,659 | 197,049 | |
#RA1877, 5.00%, 11/01/49 | 97,014 | 108,219 | |
#QA7256, 3.00%, 2/01/50 | 357,130 | 373,418 | |
#RA2114, 3.50%, 2/01/50 | 170,174 | 181,451 | |
#RA2362, 3.50%, 3/01/50 | 95,528 | 101,292 | |
#RA2313, 3.50%, 3/01/50 | 273,421 | 290,622 | |
#RA2358, 4.00%, 3/01/50 | 41,231 | 44,417 | |
#SD8059, 4.50%, 4/01/50 | 140,848 | 152,206 | |
#SD8065, 4.50%, 5/01/50 | 89,397 | 96,699 | |
#SD0520, 4.00%, 6/01/50 | 291,620 | 317,623 | |
#RA3175, 3.00%, 7/01/50 | 302,785 | 319,398 | |
#RA3282, 3.00%, 8/01/50 | 441,078 | 467,867 | |
#RA3313, 3.00%, 8/01/50 | 105,607 | 111,485 | |
#SD0519, 3.00%, 8/01/50 | 552,238 | 588,061 | |
#RA3474, 3.00%, 9/01/50 | 1,226,792 | 1,292,170 | |
#RA3882, 2.00%, 11/01/50 | 185,084 | 185,758 | |
#QB5092, 2.50%, 11/01/50 | 92,559 | 96,049 | |
#QB5093, 2.50%, 11/01/50 | 90,565 | 93,823 | |
#RA4175, 2.50%, 12/01/50 | 274,334 | 283,744 | |
#RA4414, 2.50%, 1/01/51 | 182,213 | 188,121 | |
#QB9090, 2.00%, 2/01/51 | 98,420 | 99,002 |
Par | Value | ||
Federal Home Loan Mortgage Corporation (Continued) | |||
Pool, | |||
#QB9087, 2.00%, 2/01/51 | $ 474,553 | $ 476,678 | |
#RA4703, 2.00%, 2/01/51 | 281,171 | 282,219 | |
#QB8602, 2.00%, 2/01/51 | 94,387 | 94,963 | |
#QB8604, 2.00%, 2/01/51 | 91,966 | 92,371 | |
#QB8934, 2.50%, 2/01/51 | 91,103 | 94,229 | |
#SD0633, 3.50%, 2/01/51 | 174,230 | 186,989 | |
#SD0552, 2.00%, 3/01/51 | 286,288 | 286,538 | |
#QB8975, 2.00%, 3/01/51 | 98,267 | 98,566 | |
#QB9391, 2.00%, 3/01/51 | 1,407,585 | 1,413,888 | |
#QB9482, 2.00%, 3/01/51 | 95,218 | 95,586 | |
#QB9961, 2.00%, 3/01/51 | 96,381 | 96,674 | |
#QC0041, 2.00%, 3/01/51 | 96,117 | 96,680 | |
#QC0160, 2.00%, 3/01/51 | 94,809 | 95,594 | |
#QC0161, 2.00%, 3/01/51 | 93,139 | 93,769 | |
#QB9290, 2.00%, 3/01/51 | 194,508 | 195,517 | |
#QC0165, 2.50%, 3/01/51 | 94,376 | 98,155 | |
#QC0297, 2.00%, 4/01/51 | 98,626 | 98,945 | |
#SD0573, 2.00%, 4/01/51 | 98,031 | 99,089 | |
#QC1164, 2.00%, 4/01/51 | 98,386 | 98,741 | |
#RA5117, 2.00%, 5/01/51 | 542,069 | 544,532 | |
#RA5155, 2.00%, 5/01/51 | 487,990 | 490,874 | |
#RA5373, 2.00%, 6/01/51 | 295,538 | 297,262 | |
#SD0653, 2.50%, 7/01/51 | 98,453 | 101,719 | |
#QC4446, 2.50%, 7/01/51 | 99,412 | 102,951 | |
#QC3690, 2.50%, 7/01/51 | 98,967 | 102,207 | |
#RA5576, 2.50%, 7/01/51 | 689,279 | 713,811 | |
#QC4689, 2.50%, 8/01/51 | 95,468 | 99,100 |
Par | Value | ||
Federal Home Loan Mortgage Corporation (Continued) | |||
Pool, | |||
#QC4690, 2.50%, 8/01/51 | $ 99,426 | $103,161 | |
#QC4818, 2.50%, 8/01/51 | 99,517 | 102,751 | |
#QC4824, 2.50%, 8/01/51 | 99,084 | 102,421 | |
#QC6768, 3.00%, 9/01/51 | 198,074 | 207,748 | |
#QD0350, 11/01/51(g) | 99,997 | 100,148 | |
#QD0652, 11/01/51(g) | 100,000 | 100,231 | |
Real Estate Mortgage Investment Conduits, | |||
Series 2019-RR01, Class X, 1.53%, 6/25/28 | 2,500,000 | 220,817 | |
Series 5100, Class MI, 3.50%, 9/25/48 | 194,265 | 29,878 | |
Series 5148, Class BI, 2.50%, 1/25/49 | 893,151 | 120,581 | |
Series 5140, Class NI, 2.50%, 5/25/49 | 396,924 | 54,484 | |
Series 5148, Class CI, 2.00%, 6/25/49 | 498,847 | 58,554 | |
Series 4940, Class PI, 4.00%, 7/25/49 | 48,734 | 5,007 | |
Series 4999, Class QI, 4.00%, 5/25/50 | 61,776 | 9,313 | |
Series 4995, Class BI, 4.50%, 6/25/50 | 52,993 | 8,798 | |
Series 5010, Class IK, 2.50%, 9/25/50 | 80,577 | 10,598 | |
Series 5010, Class JI, 2.50%, 9/25/50 | 364,201 | 52,912 | |
Series 5013, Class IN, 2.50%, 9/25/50 | 94,202 | 13,351 | |
Series 5129, Class IO, 3.00%, 9/25/50 | 127,963 | 13,188 | |
Series 5014, Class DI, 4.00%, 9/25/50 | 61,352 | 9,011 | |
Series 5029, Class GI, 2.00%, 10/25/50 | 91,390 | 9,553 | |
Series 5018, Class MI, 2.00%, 10/25/50 | 282,328 | 36,059 | |
Series 5018, Class CI, 4.50%, 10/25/50 | 59,353 | 9,419 | |
Series 5040, Class IB, 2.50%, 11/25/50 | 89,185 | 11,231 | |
Series 5057, Class TI, 3.00%, 11/25/50 | 95,797 | 14,653 | |
Series 5059, Class IB, 2.50%, 1/25/51 | 382,426 | 59,988 | |
Series 5069, Class MI, 2.50%, 2/25/51 | 92,496 | 12,505 | |
Series 5082, Class IW, 3.00%, 3/25/51 | 115,651 | 14,265 |
Par | Value | ||
Federal Home Loan Mortgage Corporation (Continued) | |||
Real Estate Mortgage Investment Conduits, | |||
Series 5097, Class ID, 2.50%, 4/25/51 | $ 187,925 | $ 24,285 | |
Series 5139, Class IG, 3.00%, 9/25/51 | 357,351 | 39,501 | |
Series 5142, Class IP, 3.00%, 9/25/51 | 97,845 | 10,158 | |
Series 5142, Class PI, 3.00%, 9/25/51 | 98,208 | 10,463 | |
Series 5145, Class HI, 3.00%, 9/25/51 | 97,325 | 10,888 | |
Series 5155, Class JI, 3.00%, 10/25/51 | 98,691 | 10,456 | |
Series 5155, Class KI, 3.00%, 10/25/51 | 99,175 | 11,087 | |
Series 5155, Class NI, 3.00%, 10/25/51 | 197,258 | 20,531 | |
Series 5167, Class MI, 3.00%, 11/25/51 | 100,000 | 11,000 | |
22,752,186 | |||
Federal Home Loan Mortgage Corporation Gold – 0.8% | |||
Pool, | |||
#J37706, 3.00%, 10/01/32 | 238,565 | 251,510 | |
#J37835, 3.00%, 11/01/32 | 320,526 | 337,941 | |
#J38060, 3.00%, 12/01/32 | 301,041 | 317,201 | |
#Q41209, 3.50%, 6/01/46 | 33,958 | 36,579 | |
#G61677, 4.50%, 4/01/47 | 77,570 | 85,328 | |
#G60972, 4.50%, 5/01/47 | 27,727 | 30,788 | |
#Q48752, 3.50%, 6/01/47 | 30,799 | 32,910 | |
#G61047, 4.50%, 7/01/47 | 116,794 | 129,311 | |
#G61079, 4.50%, 7/01/47 | 33,604 | 37,155 | |
#G08779, 3.50%, 9/01/47 | 276,501 | 293,772 | |
#Q51461, 3.50%, 10/01/47 | 281,605 | 299,389 | |
#V84260, 3.50%, 6/01/48 | 130,855 | 139,678 | |
#G67713, 4.00%, 6/01/48 | 945,858 | 1,033,250 | |
#Q59918, 4.50%, 7/01/48 | 233,499 | 259,429 | |
#Q57853, 4.50%, 8/01/48 | 79,962 | 88,744 | |
#G67715, 4.50%, 8/01/48 | 163,054 | 182,050 | |
#G61739, 3.00%, 9/01/48 | 261,743 | 277,843 | |
#G61886, 5.00%, 11/01/48 | 47,675 | 52,736 | |
#G61989, 3.50%, 4/01/49 | 3,152,190 | 3,435,167 | |
#G67721, 4.50%, 4/01/49 | 111,466 | 122,339 | |
7,443,120 |
Par | Value | ||
Federal Home Loan Mortgage Corporation Non Gold – 0.2% | |||
Pool, | |||
#841077, (1Y USD LIBOR + 1.62%, 1.62% Floor, 7.88% Cap), 2.88%, 11/01/47(d) | $272,321 | $ 281,444 | |
#841076, (1Y USD LIBOR + 1.63%, 1.63% Floor, 8.02% Cap), 3.02%, 11/01/48(d) | 954,100 | 986,778 | |
#841081, (1Y USD LIBOR + 1.62%, 1.62% Floor, 8.09% Cap), 3.09%, 2/01/50(d) | 487,242 | 505,113 | |
1,773,335 | |||
Federal National Mortgage Association – 6.4% | |||
Alternative Credit Enhancement Securities, | |||
Series 2019-M6, Class A2, 3.45%, 1/01/29 | 110,000 | 123,076 | |
Series 2019-M23, Class 3A3, 2.72%, 10/25/31 | 99,907 | 107,317 | |
Series 2020-M36, Class X1, 1.47%, 9/25/34(c) | 595,170 | 60,030 | |
Series 2013-M6, Class 1AC, 3.30%, 2/25/43(c) | 55,373 | 61,162 | |
Interest Strip, Series 409, Class C18, 4.00%, 4/25/42 | 10,995 | 1,514 | |
Pool, | |||
#AS0496, 3.00%, 9/01/28 | 17,679 | 18,691 | |
#BL2454, 3.16%, 5/01/29 | 58,118 | 63,551 | |
#AW1281, 3.00%, 7/01/29 | 7,427 | 7,853 | |
#AW4229, 3.00%, 7/01/29 | 38,790 | 41,137 | |
#BL3540, 2.79%, 8/01/29 | 300,000 | 322,816 | |
#AX6435, 3.00%, 1/01/30 | 26,313 | 27,826 | |
#BL5850, 2.26%, 4/01/30 | 194,027 | 202,318 | |
#890696, 3.00%, 9/01/30 | 112,390 | 118,806 | |
#BM5304, 3.00%, 9/01/32 | 36,987 | 39,351 | |
#BH9243, 3.00%, 1/01/33 | 196,526 | 206,939 | |
#BM4614, 3.00%, 3/01/33 | 43,169 | 45,846 | |
#FM1680, 2.50%, 12/01/33 | 130,095 | 135,737 | |
#CA3022, 3.50%, 1/01/34 | 111,596 | 120,773 |
Par | Value | ||
Federal National Mortgage Association (Continued) | |||
Pool, | |||
#BM6019, 3.50%, 5/01/34 | $221,291 | $238,634 | |
#CA6849, 3.00%, 8/01/35 | 114,673 | 122,355 | |
#CA6876, 3.00%, 8/01/35 | 115,418 | 122,982 | |
#CA7253, 2.50%, 10/01/35 | 219,029 | 231,870 | |
#CA7255, 2.50%, 10/01/35 | 215,648 | 227,349 | |
#CA7938, 2.50%, 11/01/35 | 377,893 | 396,828 | |
#CA8377, 1.50%, 12/01/35 | 92,480 | 93,383 | |
#CA8387, 2.50%, 12/01/35 | 498,452 | 521,653 | |
#CA8388, 2.50%, 12/01/35 | 554,201 | 579,157 | |
#CA8389, 3.00%, 12/01/35 | 134,372 | 143,983 | |
#CA8391, 3.00%, 12/01/35 | 69,677 | 74,053 | |
#MA2523, 3.00%, 2/01/36 | 304,484 | 321,807 | |
#MA2579, 3.00%, 4/01/36 | 286,150 | 302,436 | |
#MA2672, 3.00%, 7/01/36 | 306,228 | 323,226 | |
#MA2707, 3.00%, 8/01/36 | 461,437 | 488,239 | |
#MA2749, 2.50%, 9/01/36 | 134,638 | 138,751 | |
#MA2773, 3.00%, 10/01/36 | 630,839 | 668,266 | |
#MA2832, 3.00%, 12/01/36 | 297,574 | 314,948 | |
#890827, 3.50%, 12/01/37 | 714,351 | 773,611 | |
#FM3123, 2.50%, 3/01/38 | 193,319 | 199,207 | |
#FM7607, 4/01/38(g) | 86,265 | 91,394 | |
#FM5783, 3.00%, 6/01/38 | 139,994 | 147,808 | |
#BK2107, 3.00%, 2/01/40 | 213,042 | 223,504 | |
#FM6134, 3.00%, 3/01/40 | 140,730 | 148,502 | |
#CA9358, 2.50%, 3/01/41 | 191,358 | 200,969 | |
#CB0100, 2.50%, 4/01/41 | 191,970 | 201,968 | |
#CB0101, 2.50%, 4/01/41 | 193,543 | 203,264 | |
#CB0114, 2.50%, 4/01/41 | 190,938 | 198,997 | |
#CB0470, 2.50%, 5/01/41 | 387,213 | 401,646 | |
#BM1948, 6.00%, 7/01/41 | 41,532 | 49,069 |
Par | Value | ||
Federal National Mortgage Association (Continued) | |||
Pool, | |||
#FM9185, 10/01/41(g) | $199,291 | $203,106 | |
#BM4751, 3.50%, 3/01/43 | 93,930 | 101,491 | |
#AU6873, 4.50%, 11/01/43 | 105,254 | 118,963 | |
#AL5597, 4.50%, 6/01/44 | 153,729 | 171,173 | |
#AS2947, 4.00%, 7/01/44 | 425,894 | 469,050 | |
#AW9453, 8/01/44(g) | 36,569 | 39,206 | |
#AS3253, 4.00%, 9/01/44 | 55,984 | 61,534 | |
#FM2256, 4.50%, 10/01/44 | 180,236 | 200,761 | |
#AY6181, 3.50%, 4/01/45 | 43,255 | 46,669 | |
#AS5480, 4.50%, 7/01/45 | 46,887 | 52,444 | |
#AL9475, 4.50%, 11/01/45 | 59,927 | 66,526 | |
#FM5434, 4.50%, 5/01/46 | 71,522 | 78,705 | |
#AS7313, 3.50%, 6/01/46 | 326,674 | 351,488 | |
#AS7488, 3.00%, 7/01/46 | 824,487 | 886,305 | |
#BM1922, 4.50%, 7/01/46 | 138,509 | 156,547 | |
#BC1509, 3.00%, 8/01/46 | 85,647 | 90,588 | |
#AS7844, 3.00%, 9/01/46 | 116,128 | 122,804 | |
#BC2817, 3.00%, 9/01/46 | 164,539 | 173,741 | |
#AL9397, 3.00%, 10/01/46 | 128,440 | 135,654 | |
#AL9546, 3.50%, 11/01/46 | 87,991 | 94,308 | |
#AS8380, 4.00%, 11/01/46 | 49,105 | 52,878 | |
#BC9096, 3.50%, 12/01/46 | 32,045 | 34,149 | |
#BM4897, 3.50%, 12/01/46 | 95,866 | 103,849 | |
#BC9077, 3.50%, 12/01/46 | 86,287 | 92,634 | |
#BM4226, 3.00%, 1/01/47 | 726,059 | 777,702 | |
#BM5520, 3.50%, 2/01/47 | 396,556 | 423,111 | |
#FM7141, 4.00%, 2/01/47 | 75,577 | 81,997 | |
#BM4696, 3.00%, 3/01/47 | 815,931 | 867,741 | |
#FM1349, 3.50%, 3/01/47 | 318,636 | 343,610 | |
#AS8951, 3.50%, 3/01/47 | 172,518 | 183,483 |
Par | Value | ||
Federal National Mortgage Association (Continued) | |||
Pool, | |||
#AS9453, 4.00%, 4/01/47 | $488,078 | $528,142 | |
#BM2000, 3.50%, 5/01/47 | 101,783 | 108,340 | |
#FM3347, 3.50%, 5/01/47 | 187,538 | 200,339 | |
#FM2903, 3.50%, 6/01/47 | 95,799 | 101,941 | |
#MA3027, 4.00%, 6/01/47 | 163,953 | 176,467 | |
#BE3702, 4.00%, 6/01/47 | 796,517 | 857,415 | |
#AS9760, 4.50%, 6/01/47 | 333,820 | 364,097 | |
#MA3058, 4.00%, 7/01/47 | 194,467 | 209,656 | |
#MA3088, 4.00%, 8/01/47 | 189,623 | 204,314 | |
#890843, 3.00%, 9/01/47 | 52,465 | 55,619 | |
#FM8669, 3.50%, 9/01/47 | 192,270 | 205,917 | |
#FM3454, 3.50%, 10/01/47 | 48,950 | 52,927 | |
#MA3149, 4.00%, 10/01/47 | 131,517 | 141,651 | |
#BH4095, 4.00%, 10/01/47 | 42,184 | 45,471 | |
#BE2735, 4.50%, 10/01/47 | 12,660 | 14,074 | |
#MA3182, 3.50%, 11/01/47 | 166,606 | 177,030 | |
#BH5764, 4.50%, 11/01/47 | 41,862 | 46,282 | |
#BM3208, 4.50%, 11/01/47 | 53,721 | 59,052 | |
#MA3210, 3.50%, 12/01/47 | 560,592 | 595,925 | |
#MA3211, 4.00%, 12/01/47 | 50,872 | 54,822 | |
#BM2005, 4.00%, 12/01/47 | 22,724 | 24,475 | |
#MA3238, 3.50%, 1/01/48 | 100,575 | 106,806 | |
#MA3239, 4.00%, 1/01/48 | 154,323 | 166,738 | |
#FM2201, 4.00%, 1/01/48 | 65,940 | 71,025 | |
#CA1021, 4.50%, 1/01/48 | 94,669 | 104,651 | |
#MA3276, 3.50%, 2/01/48 | 717,000 | 762,242 | |
#BH9277, 3.50%, 2/01/48 | 75,052 | 79,658 | |
#BM5526, 3.50%, 2/01/48 | 103,322 | 109,645 |
Par | Value | ||
Federal National Mortgage Association (Continued) | |||
Pool, | |||
#CA1218, 4.50%, 2/01/48 | $ 2,986 | $ 3,252 | |
#FM1159, 4.50%, 2/01/48 | 59,686 | 64,911 | |
#BJ0648, 3.50%, 3/01/48 | 53,274 | 56,560 | |
#MA3305, 3.50%, 3/01/48 | 25,229 | 26,788 | |
#BJ4916, 3.50%, 3/01/48 | 100,196 | 106,384 | |
#BK1958, 3.50%, 3/01/48 | 36,396 | 38,583 | |
#BM5073, 3.00%, 4/01/48 | 673,968 | 713,811 | |
#MA3332, 3.50%, 4/01/48 | 269,745 | 286,221 | |
#CA1565, 4.50%, 4/01/48 | 26,258 | 28,536 | |
#MA3356, 3.50%, 5/01/48 | 3,476 | 3,683 | |
#BJ9172, 4.50%, 5/01/48 | 187,948 | 206,877 | |
#BM5896, 4.50%, 5/01/48 | 110,406 | 123,216 | |
#FM5380, 4.00%, 6/01/48 | 318,817 | 343,755 | |
#BJ9257, 4.50%, 6/01/48 | 38,636 | 42,503 | |
#BM5521, 3.50%, 7/01/48 | 630,092 | 670,549 | |
#CA2047, 4.50%, 7/01/48 | 107,328 | 118,369 | |
#FM3469, 3.50%, 8/01/48 | 181,115 | 193,754 | |
#BN0691, 4.50%, 8/01/48 | 46,725 | 51,123 | |
#BM4351, 4.50%, 8/01/48 | 71,788 | 79,437 | |
#CA2199, 4.50%, 8/01/48 | 135,461 | 149,678 | |
#BK4770, 4.50%, 8/01/48 | 725,945 | 786,926 | |
#FM7126, 4.50%, 8/01/48 | 73,827 | 80,424 | |
#MA3448, 5.00%, 8/01/48 | 27,085 | 29,902 | |
#FM4946, 5.00%, 9/01/48 | 995,176 | 1,119,566 | |
#BK9818, 5.00%, 9/01/48 | 21,978 | 24,196 | |
#BM5235, 5.00%, 9/01/48 | 74,776 | 82,562 | |
#FM5828, 4.00%, 10/01/48 | 351,889 | 379,414 | |
#FM7960, 10/01/48(g) | 80,099 | 86,870 | |
#CA2482, 4.50%, 10/01/48 | 143,513 | 157,808 | |
#FM6117, 3.00%, 11/01/48 | 74,373 | 78,322 | |
#FM3141, 3.50%, 11/01/48 | 256,635 | 273,658 |
Par | Value | ||
Federal National Mortgage Association (Continued) | |||
Pool, | |||
#FM3773, 3.50%, 11/01/48 | $262,516 | $280,609 | |
#FM3278, 3.50%, 11/01/48 | 107,772 | 114,288 | |
#FM1543, 3.50%, 11/01/48 | 2,310 | 2,450 | |
#FM3158, 4.00%, 11/01/48 | 51,840 | 56,472 | |
#FM5054, 4.00%, 11/01/48 | 54,291 | 58,388 | |
#BN1628, 4.50%, 11/01/48 | 419,198 | 453,977 | |
#BN1623, 4.50%, 11/01/48 | 132,856 | 146,530 | |
#BM5119, 4.50%, 12/01/48 | 122,222 | 133,623 | |
#FM1518, 4.50%, 12/01/48 | 97,313 | 105,482 | |
#BN0341, 5.00%, 12/01/48 | 3,872 | 4,280 | |
#FM7786, 4.00%, 1/01/49 | 821,975 | 884,706 | |
#FM5825, 4.00%, 1/01/49 | 814,541 | 873,005 | |
#BN3960, 4.50%, 1/01/49 | 454,027 | 491,504 | |
#CA2963, 4.50%, 1/01/49 | 323,163 | 349,604 | |
#BM5862, 4.50%, 2/01/49 | 216,902 | 241,048 | |
#CA3094, 4.50%, 2/01/49 | 444,407 | 496,798 | |
#BM5629, 4.50%, 2/01/49 | 33,990 | 37,128 | |
#BM5509, 5.00%, 2/01/49 | 75,003 | 83,800 | |
#FM3664, 4.00%, 3/01/49 | 130,914 | 139,897 | |
#FM3904, 4.00%, 3/01/49 | 105,061 | 112,427 | |
#CA3516, 4.50%, 5/01/49 | 412,902 | 466,509 | |
#FM1637, 4.50%, 5/01/49 | 140,620 | 153,997 | |
#BM5984, 5.00%, 5/01/49 | 254,958 | 280,903 | |
#FM5315, 3.50%, 6/01/49 | 132,981 | 141,021 | |
#FM8275, 3.50%, 6/01/49 | 173,326 | 184,315 | |
#FM8227, 3.50%, 6/01/49 | 173,313 | 184,132 | |
#BN6688, 4.00%, 6/01/49 | 232,825 | 255,927 |
Par | Value | ||
Federal National Mortgage Association (Continued) | |||
Pool, | |||
#FM7632, 4.00%, 6/01/49 | $ 203,152 | $ 219,306 | |
#FM7576, 4.00%, 6/01/49 | 79,995 | 86,554 | |
#FM5660, 4.50%, 8/01/49 | 128,242 | 139,439 | |
#FM1468, 5.00%, 8/01/49 | 15,951 | 17,564 | |
#BN7753, 3.00%, 9/01/49 | 336,293 | 358,806 | |
#FM3572, 4.50%, 9/01/49 | 409,850 | 450,946 | |
#FM1727, 5.00%, 9/01/49 | 291,998 | 326,831 | |
#FM3083, 4.50%, 10/01/49 | 3,448 | 3,716 | |
#BO2878, 3.00%, 11/01/49 | 69,320 | 72,485 | |
#FM3002, 4.50%, 11/01/49 | 42,841 | 46,710 | |
#CA4819, 4.00%, 12/01/49 | 107,515 | 116,675 | |
#BO8932, 3.00%, 1/01/50 | 40,999 | 43,035 | |
#CA4979, 3.00%, 1/01/50 | 366,530 | 386,821 | |
#FM2378, 4.50%, 1/01/50 | 275,717 | 300,333 | |
#BP2319, 3.00%, 2/01/50 | 132,020 | 139,383 | |
#FM8576, 3.00%, 2/01/50 | 1,330,306 | 1,399,906 | |
#BO7302, 4.50%, 2/01/50 | 121,055 | 130,921 | |
#BO7625, 3.00%, 3/01/50 | 112,919 | 118,402 | |
#FM2745, 4.50%, 3/01/50 | 41,188 | 44,561 | |
#CA5379, 4.50%, 3/01/50 | 248,064 | 274,595 | |
#FM3830, 3.00%, 4/01/50 | 63,999 | 67,217 | |
#FM8210, 3.00%, 4/01/50 | 214,382 | 225,321 | |
#CA5522, 4.00%, 4/01/50 | 366,101 | 399,264 | |
#BP2389, 4.50%, 4/01/50 | 62,427 | 67,567 | |
#CA6000, 3.00%, 6/01/50 | 146,527 | 154,197 | |
#CA6053, 3.00%, 6/01/50 | 218,870 | 229,782 | |
#BP9421, 3.00%, 7/01/50 | 79,377 | 83,543 | |
#FM3978, 4.00%, 7/01/50 | 51,473 | 55,239 | |
#BQ0254, 2.00%, 8/01/50 | 85,401 | 85,784 |
Par | Value | ||
Federal National Mortgage Association (Continued) | |||
Pool, | |||
#BP7009, 3.00%, 8/01/50 | $ 71,459 | $ 74,833 | |
#BQ1402, 3.00%, 8/01/50 | 68,496 | 72,880 | |
#BP8713, 3.00%, 8/01/50 | 88,476 | 93,087 | |
#FM5292, 3.00%, 8/01/50 | 249,191 | 263,406 | |
#FM7929, 3.50%, 8/01/50 | 88,642 | 94,348 | |
#FM7195, 2.50%, 9/01/50 | 94,883 | 98,885 | |
#FM4532, 3.00%, 9/01/50 | 204,691 | 214,521 | |
#FM4737, 3.50%, 9/01/50 | 66,723 | 70,560 | |
#CA7070, 4.00%, 9/01/50 | 63,532 | 69,922 | |
#CA7073, 4.00%, 9/01/50 | 25,960 | 28,165 | |
#FM4577, 2.50%, 10/01/50 | 90,417 | 93,518 | |
#BQ1150, 2.50%, 10/01/50 | 176,283 | 182,183 | |
#BQ5876, 2.50%, 11/01/50 | 93,897 | 97,087 | |
#BQ5882, 2.50%, 11/01/50 | 179,067 | 184,853 | |
#FM5309, 2.50%, 11/01/50 | 95,446 | 99,539 | |
#FM4925, 3.00%, 11/01/50 | 71,074 | 74,843 | |
#BQ6341, 3.00%, 11/01/50 | 71,427 | 74,912 | |
#BR0001, 2.50%, 12/01/50 | 91,824 | 94,809 | |
#BQ9224, 2.00%, 1/01/51 | 95,079 | 95,171 | |
#BQ9226, 2.00%, 1/01/51 | 92,875 | 93,102 | |
#FM5423, 2.50%, 1/01/51 | 184,842 | 191,182 | |
#BR0757, 2.50%, 1/01/51 | 93,961 | 97,119 | |
#FM5944, 2.50%, 1/01/51 | 179,246 | 185,635 | |
#CA8636, 4.00%, 1/01/51 | 37,887 | 41,661 | |
#CA8641, 4.00%, 1/01/51 | 57,573 | 64,416 | |
#CA8635, 4.00%, 1/01/51 | 56,418 | 62,615 | |
#BR2644, 2.00%, 2/01/51 | 94,345 | 94,897 | |
#BR2664, 2.00%, 2/01/51 | 183,896 | 185,377 | |
#BR4035, 2.00%, 2/01/51 | 97,762 | 97,987 | |
#BR4056, 2.00%, 2/01/51 | 95,142 | 95,431 |
Par | Value | ||
Federal National Mortgage Association (Continued) | |||
Pool, | |||
#FM5940, 2.00%, 2/01/51 | $287,517 | $288,681 | |
#BR2641, 2.00%, 2/01/51 | 94,005 | 94,873 | |
#BR2643, 2.00%, 2/01/51 | 91,100 | 91,737 | |
#BR3256, 2.00%, 2/01/51 | 94,174 | 95,336 | |
#BR3257, 2.00%, 2/01/51 | 93,460 | 94,469 | |
#CA9121, 2.50%, 2/01/51 | 186,249 | 192,302 | |
#FM5931, 2.50%, 2/01/51 | 183,962 | 189,926 | |
#FM5713, 2.50%, 2/01/51 | 86,340 | 89,029 | |
#FM5904, 2.50%, 2/01/51 | 86,719 | 89,691 | |
#CA8962, 2.50%, 2/01/51 | 91,943 | 95,893 | |
#BR3286, 2.00%, 3/01/51 | 94,564 | 95,438 | |
#BR3290, 2.00%, 3/01/51 | 194,855 | 195,027 | |
#BR4722, 2.00%, 3/01/51 | 94,398 | 95,009 | |
#BR4753, 2.00%, 3/01/51 | 95,740 | 96,625 | |
#BR4756, 2.00%, 3/01/51 | 94,425 | 94,978 | |
#BR5458, 2.00%, 3/01/51 | 96,869 | 97,442 | |
#BR5587, 2.00%, 3/01/51 | 96,540 | 96,892 | |
#BR5577, 2.00%, 3/01/51 | 95,314 | 95,604 | |
#BR5649, 2.00%, 3/01/51 | 97,004 | 97,299 | |
#BR5633, 2.00%, 3/01/51 | 96,829 | 97,124 | |
#BR5634, 2.00%, 3/01/51 | 94,621 | 94,874 | |
#BR6462, 2.00%, 3/01/51 | 98,134 | 98,220 | |
#FM6400, 2.00%, 3/01/51 | 191,779 | 192,556 | |
#FM6448, 2.00%, 3/01/51 | 289,228 | 290,001 | |
#BQ9453, 2.00%, 3/01/51 | 94,338 | 94,682 | |
#BR4080, 2.00%, 3/01/51 | 95,334 | 95,388 | |
#BR5589, 2.00%, 3/01/51 | 94,893 | 94,947 | |
#FM6184, 2.00%, 3/01/51 | 468,185 | 470,245 | |
#FM6460, 2.50%, 3/01/51 | 97,093 | 100,786 | |
#BR7745, 2.00%, 4/01/51 | 95,754 | 96,639 | |
#FM6555, 2.00%, 4/01/51 | 286,590 | 287,140 | |
#BR8518, 2.00%, 4/01/51 | 96,380 | 96,727 | |
#FM7210, 2.00%, 4/01/51 | 390,674 | 391,378 | |
#BR6496, 2.50%, 4/01/51 | 95,367 | 99,186 | |
#BR7222, 2.50%, 4/01/51 | 97,395 | 100,419 | |
#FM6780, 2.50%, 4/01/51 | 189,469 | 196,677 | |
#FM6871, 2.50%, 4/01/51 | 97,783 | 101,592 |
Par | Value | ||
Federal National Mortgage Association (Continued) | |||
Pool, | |||
#FM7751, 2.00%, 5/01/51 | $691,318 | $692,565 | |
#FM7304, 2.50%, 5/01/51 | 98,977 | 102,091 | |
#FM7518, 2.50%, 6/01/51 | 583,203 | 603,246 | |
#FM7675, 2.50%, 6/01/51 | 197,417 | 204,427 | |
#FM7630, 2.50%, 6/01/51 | 194,298 | 201,352 | |
#FM7987, 2.00%, 7/01/51 | 294,715 | 296,435 | |
#BT0846, 2.50%, 7/01/51 | 99,297 | 102,524 | |
#BT3244, 2.50%, 7/01/51 | 97,395 | 100,561 | |
#FM7900, 2.50%, 7/01/51 | 98,114 | 101,291 | |
#FM7910, 2.50%, 7/01/51 | 196,086 | 202,703 | |
#FM8315, 2.50%, 7/01/51 | 99,478 | 103,752 | |
#BT3270, 2.50%, 8/01/51 | 99,338 | 102,615 | |
#BT3303, 2.50%, 8/01/51 | 99,491 | 102,842 | |
#BT3290, 2.50%, 8/01/51 | 98,184 | 101,375 | |
#CB1425, 4.00%, 8/01/51 | 78,307 | 87,260 | |
#CB1426, 4.00%, 8/01/51 | 60,327 | 67,059 | |
#CB1427, 4.00%, 8/01/51 | 101,096 | 111,612 | |
#CB1428, 4.00%, 8/01/51 | 69,429 | 76,377 | |
#CB1429, 4.00%, 8/01/51 | 113,706 | 124,532 | |
#CB1430, 4.00%, 8/01/51 | 110,472 | 120,253 | |
#CB1431, 4.00%, 8/01/51 | 94,991 | 102,997 | |
#CB1432, 4.00%, 8/01/51 | 72,970 | 82,043 | |
#FM8685, 3.00%, 9/01/51 | 195,644 | 206,649 | |
#FM9299, 10/01/51(g) | 99,767 | 100,309 | |
#FM8864, 10/01/51(g) | 297,008 | 307,706 | |
#FM9335, 2.50%, 10/01/51 | 100,000 | 102,821 | |
#FM9387, 11/01/51(g) | 99,937 | 100,117 | |
#BF0301, 4.50%, 8/01/58 | 532,929 | 600,343 | |
#BF0338, 4.50%, 1/01/59 | 388,008 | 437,090 | |
Real Estate Mortgage Investment Conduits, | |||
Series 2013-54, Class BS, (6.15% - 1M USD LIBOR, 6.15% Cap), 6.06%, 6/25/43(d) | 27,843 | 5,763 | |
Series 2021-69, Class IJ, 2.50%, 1/25/49 | 898,416 | 120,035 | |
Series 2021-61, Class KI, 2.50%, 4/25/49 | 589,324 | 79,186 | |
Series 2020-32, Class PI, 4.00%, 5/25/50 | 128,377 | 18,924 |
Par | Value | ||
Federal National Mortgage Association (Continued) | |||
Real Estate Mortgage Investment Conduits, | |||
Series 2020-47, Class GZ, 2.00%, 7/25/50 | $ 102,700 | $ 93,855 | |
Series 2020-56, Class DI, 2.50%, 8/25/50 | 179,432 | 26,286 | |
Series 2020-74, Class EI, 2.50%, 10/25/50 | 88,105 | 13,045 | |
Series 2020-89, Class DI, 2.50%, 12/25/50 | 268,343 | 35,820 | |
Series 2020-97, Class AI, 2.00%, 1/25/51 | 482,812 | 65,329 | |
Series 2020-96, Class IB, 3.00%, 1/25/51 | 91,832 | 12,197 | |
Series 2021-3, Class QI, 2.50%, 2/25/51 | 841,452 | 112,703 | |
Series 2021-3, Class IB, 2.50%, 2/25/51 | 288,710 | 46,143 | |
Series 2021-1, Class IG, 2.50%, 2/25/51 | 191,995 | 27,724 | |
Series 2021-3, Class JI, 2.50%, 2/25/51 | 170,547 | 21,478 | |
Series 2021-50, Class IO, 4.00%, 8/25/51 | 366,182 | 59,484 | |
Series 2021-65, Class PI, 3.00%, 10/25/51 | 98,629 | 10,486 | |
56,212,082 | |||
Government National Mortgage Association – 3.3% | |||
Pool TBA, | |||
11/01/51 (g) | 22,968,041 | 23,705,345 | |
12/01/51 (g) | 1,900,000 | 1,986,984 | |
Series 2013-107, Class AD, 2.77%, 11/16/47(c) | 109,693 | 112,995 | |
Series 2014-17, Class AM, 3.30%, 6/16/48(c) | 12,980 | 13,749 | |
Series 2014-H20, Class FA, (1M USD LIBOR + 0.43%, 0.43% Floor), 0.51%, 10/20/64(d) | 213,119 | 213,519 | |
Series 2020-123, Class IL, 2.50%, 8/20/50 | 94,255 | 12,364 | |
Series 2020-123, Class NI, 2.50%, 8/20/50 | 186,965 | 24,539 | |
Series 2020-127, Class IN, 2.50%, 8/20/50 | 92,794 | 12,346 | |
Series 2020-129, Class IE, 2.50%, 9/20/50 | 93,381 | 12,895 | |
Series 2020-144, Class IO, 2.50%, 9/20/50 | 179,509 | 21,400 | |
Series 2020-146, Class DI, 2.50%, 10/20/50 | 89,436 | 9,979 | |
Series 2020-151, Class MI, 2.50%, 10/20/50 | 547,439 | 63,378 | |
Series 2020-160, Class IH, 2.50%, 10/20/50 | 95,812 | 12,881 |
Par | Value | ||
Government National Mortgage Association (Continued) | |||
Series 2020-160, Class VI, 2.50%, 10/20/50 | $ 94,067 | $ 12,708 | |
Series 2020-160, Class YI, 2.50%, 10/20/50 | 281,899 | 38,231 | |
Series 2020-181, Class WI, 2.00%, 12/20/50 | 468,021 | 48,271 | |
Series 2020-185, Class MI, 2.50%, 12/20/50 | 93,785 | 11,528 | |
Series 2020-190, Class IO, 1.06%, 11/16/62(c) | 3,567,112 | 321,673 | |
Series 2020-47, Class MI, 3.50%, 4/20/50 | 355,769 | 47,139 | |
Series 2020-47, Class NI, 3.50%, 4/20/50 | 88,749 | 13,307 | |
Series 2020-H04, Class FP, (1M USD LIBOR + 0.50%, 0.50% Floor), 0.58%, 6/20/69(d) | 241,608 | 242,850 | |
Series 2020-H09, Class FL, (1M USD LIBOR + 1.15%, 1.15% Floor), 1.23%, 5/20/70(d) | 173,547 | 181,583 | |
Series 2020-H13, Class FA, (1M USD LIBOR + 0.45%, 0.45% Floor, 7.50% Cap), 0.54%, 7/20/70(d) | 862,137 | 868,135 | |
Series 2020-H13, Class FM, (1M USD LIBOR + 0.40%, 0.40% Floor, 11.00% Cap), 0.49%, 8/20/70(d) | 236,084 | 236,501 | |
Series 2021-15, Class GI, 3.50%, 1/20/51 | 93,156 | 12,470 | |
Series 2021-29, Class TI, 2.50%, 2/20/51 | 490,541 | 91,807 | |
Series 2021-5, Class IO, 1.09%, 1/16/61(c) | 3,664,031 | 332,890 | |
28,661,467 | |||
Government National Mortgage Association I – 0.0%(i) | |||
Pool, | |||
#AB2892, 3.00%, 9/15/42 | 129,289 | 136,389 | |
#AB9108, 3.00%, 10/15/42 | 94,782 | 99,993 | |
#784571, 3.50%, 6/15/48 | 88,010 | 94,369 | |
#BS8439, 3.50%, 5/15/50 | 72,844 | 77,582 | |
408,333 | |||
Government National Mortgage Association II – 1.6% | |||
Pool, | |||
#MA2678, 3.50%, 3/20/45 | 14,661 | 15,571 | |
#MA2754, 3.50%, 4/20/45 | 10,040 | 10,672 |
Par | Value | ||
Government National Mortgage Association II (Continued) | |||
Pool, | |||
#MA3173, 3.50%, 10/20/45 | $ 10,376 | $ 11,007 | |
#MA3310, 3.50%, 12/20/45 | 52,784 | 56,107 | |
#MA3376, 3.50%, 1/20/46 | 10,646 | 11,316 | |
#784106, 3.50%, 1/20/46 | 38,794 | 41,313 | |
#MA3521, 3.50%, 3/20/46 | 78,703 | 83,291 | |
#MA3597, 3.50%, 4/20/46 | 105,474 | 111,320 | |
#MA3663, 3.50%, 5/20/46 | 451,931 | 477,749 | |
#MA3736, 3.50%, 6/20/46 | 621,456 | 657,471 | |
#MA3803, 3.50%, 7/20/46 | 44,702 | 47,293 | |
#MA3873, 3.00%, 8/20/46 | 124,206 | 130,115 | |
#MA3937, 3.50%, 9/20/46 | 49,172 | 51,987 | |
#MA4068, 3.00%, 11/20/46 | 27,216 | 28,479 | |
#MA4261, 3.00%, 2/20/47 | 30,148 | 31,579 | |
#MA4322, 4.00%, 3/20/47 | 167,850 | 180,042 | |
#MA4384, 4.50%, 4/20/47 | 191,196 | 207,868 | |
#MA4451, 3.50%, 5/20/47 | 47,534 | 50,093 | |
#MA4452, 4.00%, 5/20/47 | 38,706 | 41,411 | |
#MA4511, 4.00%, 6/20/47 | 258,972 | 277,325 | |
#784577, 4.00%, 7/20/47 | 654,445 | 702,771 | |
#MA4838, 4.00%, 11/20/47 | 188,712 | 202,396 | |
#MA4899, 3.00%, 12/20/47 | 63,107 | 65,891 | |
#MA4901, 4.00%, 12/20/47 | 80,585 | 86,425 | |
#MA5019, 3.50%, 2/20/48 | 161,716 | 170,340 | |
#MA5020, 4.00%, 2/20/48 | 44,509 | 47,733 | |
#MA5078, 4.00%, 3/20/48 | 220,407 | 235,786 | |
#784674, 3.50%, 4/20/48 | 111,086 | 119,909 | |
#MA5137, 4.00%, 4/20/48 | 35,795 | 38,250 | |
#MA5138, 4.50%, 4/20/48 | 52,125 | 55,875 |
Par | Value | ||
Government National Mortgage Association II (Continued) | |||
Pool, | |||
#MA5265, 4.50%, 6/20/48 | $ 93,149 | $100,026 | |
#MA5331, 4.50%, 7/20/48 | 50,693 | 54,189 | |
#MA5399, 4.50%, 8/20/48 | 337,872 | 362,012 | |
#784985, 3.50%, 9/20/48 | 269,723 | 284,458 | |
#MA5529, 4.50%, 10/20/48 | 105,394 | 112,508 | |
#MA5596, 4.50%, 11/20/48 | 418,778 | 447,364 | |
#MA5652, 4.50%, 12/20/48 | 30,478 | 32,555 | |
#MA5711, 4.50%, 1/20/49 | 288,522 | 309,053 | |
#MA5762, 3.50%, 2/20/49 | 65,635 | 69,075 | |
#MA5817, 4.00%, 3/20/49 | 275,192 | 292,881 | |
#MA5818, 4.50%, 3/20/49 | 53,420 | 57,021 | |
#MA5877, 4.50%, 4/20/49 | 41,094 | 43,933 | |
#BM7486, 3.50%, 7/20/49 | 215,952 | 226,432 | |
#784825, 3.50%, 10/20/49 | 29,468 | 30,539 | |
#BM9743, 4.00%, 11/20/49 | 259,470 | 272,587 | |
#784905, 3.00%, 1/20/50 | 75,319 | 78,297 | |
#BM7534, 3.50%, 2/20/50 | 50,259 | 52,874 | |
#BS1742, 4.00%, 2/20/50 | 60,467 | 65,580 | |
#MA6477, 4.50%, 2/20/50 | 62,922 | 67,235 | |
#BT0812, 3.00%, 3/20/50 | 175,515 | 180,614 | |
#MA6544, 4.50%, 3/20/50 | 33,749 | 35,940 | |
#MA6599, 3.00%, 4/20/50 | 234,403 | 243,570 | |
#BS8420, 4.00%, 4/20/50 | 125,707 | 136,263 | |
#MA6658, 4.00%, 5/20/50 | 12,497 | 13,258 | |
#MA6659, 4.50%, 5/20/50 | 312,227 | 332,502 | |
#MA6767, 3.50%, 7/20/50 | 341,805 | 357,715 | |
#MA6823, 4.50%, 8/20/50 | 14,008 | 14,918 | |
#MA6933, 3.50%, 10/20/50 | 136,368 | 142,727 | |
#MA6997, 3.50%, 11/20/50 | 137,394 | 143,777 |
Par | Value | ||
Government National Mortgage Association II (Continued) | |||
Pool, | |||
#785218, 2.00%, 12/20/50 | $ 37,602 | $ 38,100 | |
#MA7053, 3.00%, 12/20/50 | 10,064 | 10,457 | |
#MA7056, 4.50%, 12/20/50 | 470,964 | 504,506 | |
#MA7137, 3.00%, 1/20/51 | 926,125 | 962,236 | |
#785359, 2.00%, 3/20/51 | 190,474 | 193,057 | |
#785360, 2.00%, 3/20/51 | 98,536 | 99,873 | |
#MA7368, 3.00%, 5/20/51 | 1,876,918 | 1,950,388 | |
#MA7473, 3.00%, 7/20/51 | 893,612 | 928,745 | |
#MA7590, 3.00%, 9/20/51 | 298,355 | 311,155 | |
13,805,805 | |||
Uniform Mortgage-Backed Securities – 11.9% | |||
Pool TBA, | |||
11/01/36 (g) | 9,786,600 | 10,016,442 | |
12/01/36 (g) | 2,300,000 | 2,310,646 | |
11/01/51 (g) | 59,206,276 | 61,064,294 | |
12/01/51 (g) | 31,547,000 | 31,633,897 | |
105,025,279 | |||
Total Mortgage-Backed Securities (Cost $234,982,590) | 236,081,607 | ||
Municipal Bonds – 0.3% | |||
California – 0.1% | |||
Bay Area Toll Authority Toll Bridge Subordinate Revenue Bonds, Series S1, Build America Bonds, 7.04%, 4/01/50 | 150,000 | 266,119 | |
California State Taxable GO Unlimited Refunding Bonds, 4.60%, 4/01/38 | 215,000 | 249,318 | |
California State Various Purpose Taxable GO Unlimited Bonds, Build America Bonds, | |||
7.50%, 4/01/34 | 65,000 | 99,451 | |
7.55%, 4/01/39 | 20,000 | 33,680 | |
Los Angeles Community College District GO Unlimited Bonds, Build America Bonds, 6.60%, 8/01/42 | 45,000 | 71,237 |
Par | Value | ||
California (Continued) | |||
Los Angeles Unified School District GO Unlimited Bonds, Series RY, Build America Bonds, 6.76%, 7/01/34 | $215,000 | $ 302,388 | |
University of California Taxable General Revenue Bonds, Series AD, 4.86%, 5/15/12(p) | 25,000 | 37,188 | |
1,059,381 | |||
Georgia – 0.0%(i) | |||
Municipal Electric Authority of Georgia Taxable Revenue Bonds, Build America Bonds, 6.64%, 4/01/57 | 40,000 | 61,513 | |
Illinois – 0.1% | |||
Illinois State Taxable GO Unlimited Pension Bonds, 5.10%, 6/01/33 | 380,000 | 443,139 | |
New Jersey – 0.0%(i) | |||
New Jersey State Turnpike Authority Taxable Revenue Bonds, Build America Bonds, 7.41%, 1/01/40 | 66,000 | 108,044 | |
New York – 0.1% | |||
Metropolitan Transportation Authority Revenue Bonds, Build America Bonds, 5.87%, 11/15/39 | 45,000 | 59,076 | |
New York City Municipal Water Finance Authority Water & Sewer System Second General Resolution Taxable Revenue Bonds, 5.88%, 6/15/44 | 30,000 | 46,197 | |
New York City Municipal Water Finance Authority Water & Sewer System Taxable Revenue Bonds, Build America Bonds, 6.01%, 6/15/42 | 25,000 | 38,139 | |
New York State Dormitory Authority Personal Income TRB, Build America Bonds, 5.39%, 3/15/40 | 30,000 | 40,391 | |
Port Authority of New York & New Jersey Consolidated 164th Taxable Revenue Bonds, 5.65%, 11/01/40 | 35,000 | 49,198 |
Par | Value | ||
New York (Continued) | |||
Port Authority of New York & New Jersey Consolidated 168th Revenue Bonds, 4.93%, 10/01/51 | $ 55,000 | $ 78,578 | |
Port Authority of New York & New Jersey Consolidated Taxable Revenue Bonds, Series 181, 4.96%, 8/01/46 | 60,000 | 82,167 | |
393,746 | |||
Ohio – 0.0%(i) | |||
American Municipal Power-Ohio, Inc., Taxable Revenue Bonds, Series B, Combined Hydroelectric Projects, 8.08%, 2/15/50 | 75,000 | 140,739 | |
Texas – 0.0%(i) | |||
San Antonio Electric & Gas Junior Lien Revenue Bonds, Build America Bonds, 5.81%, 2/01/41 | 75,000 | 108,618 | |
Texas State Taxable GO Unlimited Bonds, Build America Bonds, 5.52%, 4/01/39 | 115,000 | 164,521 | |
273,139 | |||
Washington – 0.0%(i) | |||
Seattle Municipal Light & Power Improvement Revenue Bonds, 5.00%, 4/01/44 | 275,000 | 340,276 | |
Total Municipal Bonds (Cost $2,614,449) | 2,819,977 |
Par | Value | ||
Term Loans – 0.1% | |||
Building Materials – 0.0%(i) | |||
CP Iris Holdco I, Inc., Delayed Draw Term Loan, 10/02/28(q) | 3,480 | 3,468 | |
CP Iris Holdco I, Inc., Initial Term Loan, 10/02/28(q) | 17,399 | 17,342 | |
Zurn LLC, Term B Loan, (Floating, LIBOR USD 1M + 2.25%, 0.50% Floor), 2.75%, 10/04/28(d) | 6,000 | 5,997 | |
26,807 | |||
Chemicals – 0.0%(i) | |||
LSF11 A5 Holdco LLC, Term Loan, 10/15/28(q) | 100,000 | 99,873 |
Par | Value | ||
Commercial Services – 0.0%(i) | |||
AEA International Holdings S.a.r.l., Initial Term Loan, (Floating, LIBOR USD 3M + 3.75%, 0.50% Floor), 4.25%, 9/07/28(d) | $ 74,900 | $ 74,994 | |
Distribution/Wholesale – 0.0%(i) | |||
KAR Auction Services, Inc., Tranche B-6 Term Loan, (ICE LIBOR USD 1M + 2.25%), 2.38%, 9/19/26(b)(d) | 14,528 | 14,092 | |
Entertainment – 0.1% | |||
Bally's Corp., Term B Facility Loan, 10/02/28(q) | 163,000 | 162,796 | |
Herschend Entertainment Company LLC, Initial Term Loan, (Floating, LIBOR USD 3M + 3.75%, 0.50% Floor), 4.25%, 8/27/28(d) | 38,000 | 38,095 | |
Seaworld Parks & Entertainment, Inc., Term B Loan, (Floating, LIBOR USD 1M + 3.00%, 0.50% Floor), 3.50%, 8/25/28(d) | 237,000 | 236,112 | |
437,003 | |||
Healthcare - Products – 0.0%(i) | |||
Medline Borrower L.P., Initial Dollar Term Loan, 10/23/28(q) | 192,000 | 192,190 | |
Holding Companies - Diversified – 0.0%(i) | |||
SWF Holdings I Corp., Initial Term Loan, (Floating, LIBOR USD 1M + 4.00%, 0.75% Floor), 4.75%, 10/06/28(d) | 39,000 | 38,659 | |
Lodging – 0.0%(i) | |||
Jack Ohio Finance LLC, Initial Term Loan, (Floating, LIBOR USD 1M + 4.75%, 0.75% Floor), 5.50%, 10/04/28(d) | 26,000 | 26,000 | |
Media – 0.0%(i) | |||
Gray Television, Inc., Term Loan, 10/26/28(q) | 111,000 | 110,861 | |
Packing & Containers – 0.0%(i) | |||
Valcour Packaging LLC, Initial Term Loan, 10/04/28(q) | 15,000 | 15,000 |
Par | Value | ||
Retail – 0.0%(i) | |||
Foundation Building Materials, Inc., Initial Term Loan, 1/31/28(q) | $115,710 | $ 114,722 | |
Tory Burch LLC, Initial Term B Loan, (Floating, LIBOR USD 1M + 3.50%, 0.50% Floor), 4.00%, 4/16/28(d) | 69,913 | 69,912 | |
184,634 | |||
Software – 0.0%(i) | |||
ConnectWise LLC, Initial Term Loan, 9/29/28(q) | 79,000 | 78,887 | |
Total Term Loans (Cost $1,293,761) | 1,299,000 |
Par | Value | ||
U.S. Government Obligations – 24.1% | |||
U.S. Treasury Bonds – 7.2% | |||
4.25%, 5/15/39 | 51,000 | 69,649 | |
4.50%, 8/15/39 | 51,000 | 71,713 | |
4.37%, 11/15/39 | 51,000 | 70,713 | |
4.62%, 2/15/40 | 970,000 | 1,387,214 | |
1.13%, 5/15/40 | 1,108,000 | 958,809 | |
3.87%, 8/15/40 | 370,000 | 485,553 | |
1.13%, 8/15/40 | 1,108,000 | 957,208 | |
4.25%, 11/15/40 | 370,000 | 508,273 | |
1.38%, 11/15/40 | 1,408,000 | 1,270,610 | |
1.88%, 2/15/41 | 3,750,000 | 3,684,961 | |
2.25%, 5/15/41 | 1,130,000 | 1,179,437 | |
3.12%, 2/15/43 | 198,000 | 237,198 | |
2.87%, 5/15/43 | 198,000 | 228,682 | |
3.62%, 8/15/43 | 198,000 | 255,621 | |
3.75%, 11/15/43 | 198,000 | 260,587 | |
2.50%, 2/15/45(r) | 3,341,000 | 3,658,656 | |
2.87%, 11/15/46 | 193,000 | 228,441 | |
2.75%, 11/15/47(r) | 3,341,000 | 3,886,001 | |
3.00%, 2/15/48(r) | 3,534,000 | 4,302,369 | |
2.87%, 5/15/49 | 350,000 | 420,041 | |
2.25%, 8/15/49(r) | 808,000 | 861,183 | |
2.00%, 2/15/50 | 5,550,000 | 5,613,305 | |
1.25%, 5/15/50(r) | 9,410,000 | 7,955,126 | |
1.38%, 8/15/50 | 7,010,000 | 6,112,665 | |
1.63%, 11/15/50(r) | 10,600,000 | 9,831,500 | |
1.88%, 2/15/51(r) | 3,330,000 | 3,275,887 | |
2.38%, 5/15/51(r) | 4,360,000 | 4,791,912 | |
2.00%, 8/15/51(r) | 1,065,000 | 1,080,143 | |
63,643,457 | |||
U.S. Treasury Notes – 16.9% | |||
2.12%, 12/31/22 | 392,000 | 400,590 | |
0.50%, 3/15/23 | 4,711,000 | 4,722,962 |
Par | Value | ||
U.S. Treasury Notes (Continued) | |||
0.13%, 3/31/23 | $ 1,071,000 | $ 1,067,946 | |
0.25%, 4/15/23 | 4,711,000 | 4,705,111 | |
0.13%, 4/30/23 | 1,071,000 | 1,067,151 | |
2.75%, 5/31/23 | 392,000 | 406,654 | |
0.13%, 5/31/23 | 1,269,000 | 1,264,043 | |
0.25%, 11/15/23 | 30,000 | 29,836 | |
2.12%, 7/31/24 | 392,000 | 407,144 | |
1.75%, 7/31/24 | 662,000 | 680,877 | |
1.50%, 9/30/24 | 384,000 | 392,295 | |
1.50%, 10/31/24 | 5,809,000 | 5,934,937 | |
2.25%, 11/15/24(r) | 1,540,000 | 1,608,097 | |
1.75%, 12/31/24(r) | 6,696,000 | 6,892,695 | |
2.00%, 2/15/25 | 487,000 | 505,263 | |
0.50%, 3/31/25 | 1,540,000 | 1,519,848 | |
0.38%, 4/30/25 | 7,349,000 | 7,210,058 | |
2.12%, 5/15/25 | 420,000 | 437,407 | |
0.25%, 5/31/25 | 11,430,000 | 11,149,161 | |
0.25%, 10/31/25 | 80,000 | 77,503 | |
0.38%, 11/30/25 | 1,286,000 | 1,250,334 | |
0.38%, 12/31/25 | 1,286,000 | 1,248,927 | |
0.38%, 1/31/26 | 270,000 | 261,847 | |
0.75%, 4/30/26 | 4,000,000 | 3,932,344 | |
0.75%, 5/31/26 | 8,586,000 | 8,434,739 | |
1.50%, 8/15/26 | 558,000 | 566,457 | |
1.62%, 11/30/26 | 1,555,000 | 1,587,436 | |
0.63%, 3/31/27 | 621,000 | 600,381 | |
0.50%, 4/30/27 | 621,000 | 595,020 | |
2.37%, 5/15/27 | 614,000 | 649,881 | |
0.50%, 5/31/27 | 484,000 | 463,165 | |
2.25%, 8/15/27(r) | 2,561,000 | 2,693,652 | |
0.63%, 11/30/27 | 2,140,000 | 2,047,713 | |
0.75%, 1/31/28 | 5,390,000 | 5,182,611 | |
1.25%, 3/31/28 | 7,558,000 | 7,483,896 | |
1.25%, 4/30/28 | 4,223,000 | 4,179,120 | |
1.25%, 5/31/28 | 34,380,000 | 33,995,911 | |
1.25%, 6/30/28 | 3,090,000 | 3,051,979 | |
1.00%, 7/31/28 | 2,930,000 | 2,845,076 | |
2.87%, 8/15/28(r) | 122,000 | 133,423 | |
1.13%, 8/31/28 | 3,660,000 | 3,580,509 | |
1.25%, 9/30/28 | 3,372,000 | 3,325,108 | |
1.37%, 10/31/28 | 350,000 | 347,977 | |
3.12%, 11/15/28 | 329,000 | 365,871 | |
2.62%, 2/15/29 | 548,000 | 591,904 | |
2.37%, 5/15/29 | 548,000 | 583,042 | |
1.62%, 8/15/29 | 890,000 | 900,221 | |
1.75%, 11/15/29 | 453,000 | 462,803 | |
1.50%, 2/15/30 | 869,000 | 869,883 | |
1.13%, 2/15/31 | 207,000 | 199,658 |
Par | Value | ||
U.S. Treasury Notes (Continued) | |||
1.62%, 5/15/31 | $3,049,000 | $ 3,070,438 | |
1.25%, 8/15/31 | 2,525,000 | 2,453,590 | |
148,434,494 | |||
Total U.S. Government Obligations (Cost $216,659,272) | 212,077,951 |
Number of Shares | Value | ||
Investment Companies – 14.4% | |||
BlackRock Allocation Target Shares - BATS, Series A | 7,382,846 | 74,123,773 | |
Schwab Intermediate-Term U.S. Treasury ETF | 323,328 | 18,177,500 | |
Schwab U.S. TIPS ETF | 262,056 | 16,504,287 | |
Vanguard Long-Term Treasury ETF | 200,201 | 17,863,935 | |
Total Investment Companies (Cost $126,418,862) | 126,669,495 |
Par (a)/Number of Shares | Value | ||
Short-Term Investments – 7.7% | |||
Borrowed Bond Agreements – 0.7% | |||
BNP Paribas SA, (0.02)%, Open (Purchased on 10/29/21 to be repurchased at $1,488,784, collateralized by U.S. Treasury Notes, 0.63%, due 5/15/30, par and fair value of $1,603,000 and $1,488,786, respectively)(s) | 1,488,786 | 1,488,786 | |
BofA Securities, Inc., (0.06)%, Open (Purchased on 10/29/21 to be repurchased at $281,981, collateralized by U.S. Treasury Notes, 0.88%, due 11/15/30, par and fair value of $298,000 and $281,983, respectively)(s) | 281,983 | 281,983 |
Par (a)/Number of Shares | Value | ||
Borrowed Bond Agreements (Continued) | |||
BNP Paribas SA, (0.01)%, Open (Purchased on 10/29/21 to be repurchased at $1,875,441, collateralized by U.S. Treasury Bonds, 1.88%, due 2/15/51, par and fair value of $1,926,000 and $1,875,443, respectively)(s) | $1,875,442 | $1,875,442 | |
BofA Securities, Inc., 0.00%, Open (Purchased on 10/29/21 to be repurchased at $1,212,833, collateralized by U.S. Treasury Bonds, 1.25%, due 5/15/50, par and fair value of $1,446,000 and $1,212,833, respectively)(s) | 1,212,833 | 1,212,833 | |
BofA Securities, Inc., 0.00%, Open (Purchased on 10/29/21 to be repurchased at $360,750, collateralized by U.S. Treasury Notes, 0.63%, due 8/15/30, par and fair value of $390,000 and $360,750, respectively)(s) | 360,750 | 360,750 | |
BofA Securities, Inc., 0.00%, Open (Purchased on 10/29/21 to be repurchased at $53,655, collateralized by U.S. Treasury Bonds, 2.38%, due 5/15/51, par and fair value of $49,000 and $53,655, respectively)(s) | 53,655 | 53,655 | |
BofA Securities, Inc., 0.00%, Open (Purchased on 10/29/21 to be repurchased at $634,741, collateralized by U.S. Treasury Bonds, 1.63%, due 11/15/50, par and fair value of $689,000 and $634,741, respectively)(s) | 634,741 | 634,741 | |
5,908,190 | |||
Corporate Bonds – 0.3% | |||
AbbVie, Inc., 3.45%, 3/15/22 | 100,000 | 100,616 |
Par (a)/Number of Shares | Value | ||
Corporate Bonds (Continued) | |||
Bank of New York Mellon (The) Corp., (3M USD LIBOR + 3.42%), 3.54%, 12/20/21(d)(k) | $105,000 | $ 105,262 | |
Bristol-Myers Squibb Co., 2.60%, 5/16/22 | 110,000 | 111,386 | |
Cintas Corp. No. 2, 2.90%, 4/01/22 | 20,000 | 20,170 | |
General Motors Financial Co., Inc., | |||
3.45%, 1/14/22 | 176,000 | 176,627 | |
3.55%, 7/08/22 | 329,000 | 335,738 | |
Hyundai Capital America, 3.95%, 2/01/22(b) | 247,000 | 249,030 | |
International Lease Finance Corp., 5.87%, 8/15/22 | 230,000 | 239,520 | |
Pacific Gas and Electric Co., 1.75%, 6/16/22 | 160,000 | 159,616 | |
Philip Morris International, Inc., 2.50%, 8/22/22 | 330,000 | 335,628 | |
Southern California Edison Co., 1.85%, 2/01/22 | 8,214 | 8,229 | |
State Street Corp., (3M USD LIBOR + 3.60%), 3.71%, 12/15/21(d)(k) | 26,000 | 26,050 | |
United Airlines Pass Through Trust, Series 2014-2, Class B, 4.62%, 9/03/22 | 4,002 | 4,097 | |
UnitedHealth Group, Inc., 2.38%, 10/15/22 | 20,000 | 20,384 | |
Virginia Electric and Power Co., 3.45%, 9/01/22 | 62,000 | 63,077 | |
Williams (The) Cos., Inc., 3.60%, 3/15/22 | 150,000 | 150,926 | |
2,106,356 | |||
Foreign Issuer Bonds – 0.3% | |||
Abu Dhabi Government International Bond, 2.50%, 10/11/22(b) | 610,000 | 621,829 | |
America Movil S.A.B. de C.V., 3.12%, 7/16/22 | 200,000 | 203,356 | |
Banco Votorantim S.A., 4.00%, 9/24/22(b) | 200,000 | 203,902 | |
Barclays Bank PLC, 1.70%, 5/12/22 | 200,000 | 201,239 | |
Credit Suisse Group Funding Guernsey Ltd., 3.80%, 9/15/22 | 435,000 | 447,374 |
Par (a)/Number of Shares | Value | ||
Foreign Issuer Bonds (Continued) | |||
Enbridge, Inc., 2.90%, 7/15/22 | $ 36,000 | $ 36,533 | |
Intesa Sanpaolo S.p.A., 3.13%, 7/14/22(b) | 840,000 | 854,874 | |
UBS A.G., 1.75%, 4/21/22(b) | 200,000 | 201,022 | |
2,770,129 | |||
Money Market Fund – 5.7% | |||
Northern Institutional Funds - Treasury Portfolio (Premier), 0.01%(t) | 50,229,003 | 50,229,003 | |
U.S. Government Obligations – 0.7% | |||
U.S. Treasury Notes, | |||
1.75%, 4/30/22 | 727,000 | 732,964 | |
1.50%, 1/31/22 | 764,000 | 766,699 | |
1.75%, 7/15/22 | 4,711,000 | 4,765,287 | |
1.50%, 9/15/22 | 75,000 | 75,885 | |
1.38%, 10/15/22 | 84,000 | 84,984 | |
6,425,819 | |||
Total Short-Term Investments (Cost $67,376,722) | 67,439,497 |
Number of Contracts | Notional Amount | Value | |
Purchased Options – 0.0%(i) | |||
Call Options - Exchange Traded – 0.0%(i) | |||
10-Year U.S. Treasury Note Future, Strike Price $130.50, Expires 11/26/21 | 19 | 2,483,359 | 15,141 |
10-Year U.S. Treasury Note Future, Strike Price $130.75, Expires 11/05/21 | 1 | 130,703 | 422 |
Euro-Bund Future, Strike Price $1.00, Expires 11/26/21 | 27 | 4,539,240 (u) | 3,433 |
U.S. Treasury Long Bond Future, Strike Price $158.00, Expires 11/26/21 | 4 | 643,375 | 14,000 |
U.S. Treasury Long Bond Future, Strike Price $158.50, Expires 11/05/21 | 2 | 392,813 | 5,281 |
U.S. Treasury Long Bond Future, Strike Price $158.50, Expires 11/26/21 | 4 | 643,375 | 12,500 |
U.S. Treasury Long Bond Future, Strike Price $159.00, Expires 11/26/21 | 16 | 2,573,501 | 44,250 |
95,027 |
Number of Contracts | Notional Amount | Value | |
Call Options - Over the Counter – 0.0%(i) | |||
Chinese Yuan vs. U.S. Dollar, Strike Price CNH 6.70, Expires 3/10/22, Counterparty: HSBC Bank | 1 | $ 91,000 | $ 9,948 |
Mexican Peso vs. U.S. Dollar, Strike Price MXN 20.70, Expires 11/18/21, Counterparty: Goldman Sachs | 2 | 202,000 | 1,655 |
Mexican Peso vs. U.S. Dollar, Strike Price MXN 20.80, Expires 11/29/21, Counterparty: HSBC Bank | 1 | 340,000 | 3,054 |
Polish Zloty vs. Euro, Strike Price PLN 4.56, Expires 12/13/21, Counterparty: Deutsche Bank | 2 | 290,000 (u) | 5,435 |
Polish Zloty vs. Euro, Strike Price PLN 4.65, Expires 11/18/21, Counterparty: BNP Paribas | 2 | 292,000 (u) | 951 |
South African Rand vs. U.S. Dollar, Strike Price ZAR 14.30, Expires 11/12/21, Counterparty: UBS | 1 | 107,000 | 6,965 |
South African Rand vs. U.S. Dollar, Strike Price ZAR 15.00, Expires 12/02/21, Counterparty: JPMorgan Chase | 2 | 202,000 | 6,264 |
South African Rand vs. U.S. Dollar, Strike Price ZAR 15.30, Expires 12/02/21, Counterparty: UBS | 1 | 163,000 | 3,259 |
South African Rand vs. U.S. Dollar, Strike Price ZAR 15.50, Expires 11/04/21, Counterparty: UBS | 1 | 81,000 | 253 |
U.S. Dollar vs. Australian Dollar, Strike Price USD 0.73, Expires 11/04/21, Counterparty: Deutsche Bank | 2 | 392,000 (v) | 8,741 |
U.S. Dollar vs. Australian Dollar, Strike Price USD 0.74, Expires 11/12/21, Counterparty: Citibank | 1 | 2,832,000 (v) | 43,377 |
U.S. Dollar vs. Australian Dollar, Strike Price USD 0.75, Expires 11/10/21, Counterparty: Goldman Sachs | 1 | 2,832,000 (v) | 13,564 |
U.S. Dollar vs. Australian Dollar, Strike Price USD 0.75, Expires 11/12/21, Counterparty: Goldman Sachs | 1 | 2,832,000 (v) | 14,745 |
Number of Contracts | Notional Amount | Value | |
Call Options - Over the Counter (Continued) | |||
U.S. Dollar vs. Australian Dollar, Strike Price USD 0.76, Expires 11/18/21, Counterparty: Goldman Sachs | 2 | $ 380,000(v) | $ 1,724 |
U.S. Dollar vs. British Pound, Strike Price USD 1.37, Expires 11/12/21, Counterparty: Standard Chartered Bank | 1 | 1,639,000 (w) | 12,425 |
U.S. Dollar vs. British Pound, Strike Price USD 1.39, Expires 11/12/21, Counterparty: UBS | 1 | 1,639,000 (w) | 2,654 |
U.S. Dollar vs. Euro, Strike Price USD 1.16, Expires 11/04/21, Counterparty: Bank of America | 2 | 282,000 (u) | 468 |
U.S. Dollar vs. Euro, Strike Price USD 1.18, Expires 11/12/21, Counterparty: Standard Chartered Bank | 1 | 2,732,000 (u) | 784 |
136,266 | |||
Put Options - Exchange Traded – 0.0%(i) | |||
10-Year U.S. Treasury Note Future, Strike Price $130.50, Expires 11/26/21 | 4 | 522,813 | 2,375 |
10-Year U.S. Treasury Note Future, Strike Price $131.00, Expires 11/26/21 | 4 | 522,813 | 3,313 |
5,688 | |||
Put Options - Over the Counter – 0.0%(i) | |||
Canadian Dollar vs. U.S. Dollar, Strike Price CAD 1.22, Expires 11/12/21, Counterparty: Citibank | 1 | 2,484,000 | 3,624 |
Canadian Dollar vs. U.S. Dollar, Strike Price CAD 1.23, Expires 11/10/21, Counterparty: Citibank | 1 | 2,484,000 | 2,986 |
Canadian Dollar vs. U.S. Dollar, Strike Price CAD 1.25, Expires 11/10/21, Counterparty: Citibank | 1 | 2,484,000 | 32,767 |
Canadian Dollar vs. U.S. Dollar, Strike Price CAD 1.25, Expires 11/12/21, Counterparty: Morgan Stanley | 1 | 2,484,000 | 26,956 |
Colombian Pesos vs. U.S. Dollar, Strike Price COP 3,700.00, Expires 12/13/21, Counterparty: Barclays Bank PLC | 2 | 202,000 | 1,491 |
Number of Contracts | Notional Amount | Value | |
Put Options - Over the Counter (Continued) | |||
Hungarian Forint vs. Euro, Strike Price HUF 360.00, Expires 11/18/21, Counterparty: BNP Paribas | 2 | $ 208,000(u) | $ 1,532 |
Japanese Yen vs. Australian Dollar, Strike Price JPY 84.50, Expires 11/22/21, Counterparty: Deutsche Bank | 2 | 378,000 (v) | 1,454 |
Mexican Peso vs. U.S. Dollar, Strike Price MXN 20.00, Expires 11/29/21, Counterparty: Goldman Sachs | 1 | 340,000 | 344 |
Russian Ruble vs. U.S. Dollar, Strike Price RUB 65.00, Expires 2/25/22, Counterparty: JPMorgan Chase | 1 | 21,633 | 1,568 |
Russian Ruble vs. U.S. Dollar, Strike Price RUB 67.00, Expires 2/25/22, Counterparty: JPMorgan Chase | 1 | 21,688 | 1,952 |
Russian Ruble vs. U.S. Dollar, Strike Price RUB 70.25, Expires 12/17/21, Counterparty: Citibank | 2 | 197,400 | 1,373 |
Russian Ruble vs. U.S. Dollar, Strike Price RUB 71.00, Expires 12/13/21, Counterparty: Citibank | 2 | 162,000 | 1,771 |
Russian Ruble vs. U.S. Dollar, Strike Price RUB 73.00, Expires 11/15/21, Counterparty: Citibank | 2 | 342,000 | 9,949 |
South Korean Won vs. U.S. Dollar, Strike Price KRW 1,160.00, Expires 11/15/21, Counterparty: BNP Paribas | 1 | 150,000 | 222 |
U.S. Dollar vs. Euro, Strike Price USD 1.15, Expires 11/24/21, Counterparty: Bank of America | 2 | 208,000 (u) | 771 |
U.S. Dollar vs. Euro, Strike Price USD 1.15, Expires 1/18/22, Counterparty: HSBC Bank | 1 | 3,510,000 (u) | 28,302 |
117,062 | |||
Total Purchased Options (Premiums Received $253,762) | 354,043 |
Total Long Positions – 113.7% (Cost $998,629,978) | 1,002,102,250 |
Par | Value | ||
Short Positions – (0.8)% | |||
Mortgage-Backed Securities – (0.1)% | |||
Uniform Mortgage-Backed Securities - (0.1)% | |||
Pool TBA, 11/01/51(g) | $ (560,000) | $ (587,656) | |
Pool TBA, 12/01/51(g) | (457,000) | (494,081) | |
Total Mortgage-Backed Securities (Proceeds $1,083,246) | (1,081,737) | ||
U.S. Government Obligations – (0.7)% | |||
U.S. Treasury Bonds – (0.4)% | |||
1.25%, 5/15/50(r) | (1,446,000) | (1,222,435) | |
1.63%, 11/15/50(r) | (689,000) | (639,048) | |
1.87%, 2/15/51(r) | (1,926,000) | (1,894,702) | |
2.37%, 5/15/51(r) | (49,000) | (53,854) | |
(3,810,039) | |||
U.S. Treasury Notes – (0.3)% | |||
0.63%, 5/15/30(r) | (1,603,000) | (1,489,350) | |
0.63%, 8/15/30(r) | (390,000) | (361,405) | |
0.87%, 11/15/30(r) | (298,000) | (281,552) | |
(2,132,307) | |||
Total U.S. Government Obligations (Proceeds $6,162,733) | (5,942,346) | ||
Total Short Positions – (0.8)% (Proceeds $7,245,979) | (7,024,083) | ||
Total Written Options – (0.0)%(i) (Premiums Received $379,590) | (395,668) | ||
Liabilities less Other Assets – (12.9)%(x) | (113,622,790) | ||
NET ASSETS – 100.0% | $ 881,059,709 | ||
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, 2021 is disclosed. |
(d) | Variable rate security. Rate as of October 31, 2021 is disclosed. |
(e) | Restricted security that has been deemed illiquid. At October 31, 2021, the value of these restricted illiquid securities amounted to $679,717 or 0.08% of net assets. Additional information on these restricted illiquid securities is as follows: |
Security | Acquisition Date | Acquisition Cost | |
HGI CRE CLO Ltd., 1.14%, 6/16/36 | 5/6/21 | $600,000 | |
PFP Ltd., 1.06%, 4/14/36 | 4/11/19 | 80,106 |
(f) | Step coupon bond. Rate as of October 31, 2021 is disclosed. |
(g) | When-issued security. Coupon rate was not yet in effect at October 31, 2021. |
(h) | Investment is valued using significant unobservable inputs (Level 3) (See table below). |
(i) | Amount rounds to less than 0.05%. |
(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, 2021 is disclosed. |
(k) | Perpetual bond. Maturity date represents next call date. |
(l) | Century bond maturing in 2117. |
(m) | Security is a payment in-kind bond (PIK), distributions received in-kind unless otherwise noted in the description. |
(n) | Discount rate at the time of purchase. |
(o) | Century bond maturing in 2120. |
(p) | Century bond maturing in 2112. |
(q) | Position is unsettled. Contract rate was not determined at October 31, 2021 and does not take effect until settlement date. |
(r) | All or a portion of the security was held as collateral for open futures, options, securities sold short and/or swap agreements. |
(s) | The amount to be repurchased assumes the maturity will be the day after the period end. |
(t) | 7-day current yield as of October 31, 2021 is disclosed. |
(u) | The notional amount is EUR. |
(v) | The notional amount is AUD. |
(w) | The notional amount is GBP. |
(x) | Includes appreciation/ (depreciation) on forward foreign currency exchange, futures and swap contracts. |
Abbreviations: | |
10Y | 10 Year |
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 |
CP | Commercial Paper |
ETF | Exchange-Traded Fund |
FHLMC | Federal Home Loan Mortgage Corporation |
FNMA | Federal National Mortgage Association |
Freddie Mac | Federal Home Loan Mortgage Corporation |
GO | Government Obligation |
ICE | Intercontinental Exchange |
IO | Interest Only |
L.P. | Limited Partnership |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
PJSC | Public Joint Stock Company |
PLC | Public Limited Company |
REMIC | Real Estate Mortgage Investment Conduit |
SOFR | United States Secured Overnight Financing Rate |
STACR | Structured Agency Credit Risk |
Strip | Separate Trading of Registered Interest and Principal |
TBA | To be announced |
TIPS | Treasury Inflation Protected Securities |
TRB | Tax Revenue Bonds |
USD | United States Dollar |
EUR | Euro |
CNH | Chinese Yuan Renminbi |
CNY | Chinese Offshore Yuan |
MXN | Mexican Peso |
RUB | Russian Ruble |
GBP | British Pound |
PLN | Polish Zloty |
ZAR | South African Rand |
CAD | Canadian Dollar |
COP | Colombian Peso |
HUF | Hungarian Forint |
JPY | Japanese Yen |
KRW | South Korean Won |
Futures Contracts outstanding at October 31, 2021: Exchange Traded | |||||
Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts | |||||
Euro-BOBL | 26 | 12/10/2021 | EUR | 4,020,291 | $ (12,022) |
10-Year U.S. Treasury Note | 528 | 12/21/2021 | USD | 68,998,833 | 374,479 |
U.S. Treasury Long Bond | 62 | 12/21/2021 | USD | 9,978,746 | (1,374,528) |
Ultra U.S. Treasury Bond | 222 | 12/21/2021 | USD | 43,602,384 | 105,226 |
2-Year U.S. Treasury Note | 374 | 12/31/2021 | USD | 82,008,270 | (4,481,783) |
5-Year U.S. Treasury Note | 274 | 12/31/2021 | USD | 33,358,526 | 237,427 |
90-Day Eurodollar | 168 | 12/19/2022 | USD | 41,634,600 | (106,000) |
90-Day Eurodollar | 83 | 6/19/2023 | USD | 20,493,737 | (98,757) |
90-Day Eurodollar | 21 | 9/18/2023 | USD | 5,175,713 | (29,512) |
90-Day Eurodollar | 574 | 12/18/2023 | USD | 141,376,200 | (554,188) |
Total Long Contracts | $(5,939,658) | ||||
Short Contracts | |||||
30-Year Euro Buxl | (11) | 12/08/2021 | EUR | 2,679,857 | $ 1,474,033 |
Euro Bund | (21) | 12/10/2021 | EUR | 4,081,281 | 26,824 |
90-Day Eurodollar | (296) | 12/13/2021 | USD | 73,848,300 | (10,149) |
10-Year U.S. Treasury Note | (64) | 12/21/2021 | USD | 8,365,000 | 69,997 |
Futures Contracts outstanding at October 31, 2021: Exchange Traded (continued) | |||||
Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
U.S. Treasury Long Bond | (191) | 12/21/2021 | USD | 30,721,156 | $ 197,409 |
Ultra 10-Year U.S. Treasury Note | (128) | 12/21/2021 | USD | 18,572,038 | 1,999,590 |
5-Year U.S. Treasury Note | (4) | 12/31/2021 | USD | 487,000 | 1,171 |
90-Day Eurodollar | (72) | 3/14/2022 | USD | 17,953,200 | 14,850 |
Total Short Contracts | $ 3,773,725 | ||||
$(2,165,933) |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2021: | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
12/15/21 | U.S. Dollars | 3,493,321 | Euro | 2,947,000 | HSBC | $ 82,713 |
12/15/21 | U.S. Dollars | 3,490,798 | Euro | 2,947,000 | BNP Paribas | 80,191 |
12/15/21 | British Pounds | 2,829,265 | Euro | 3,320,000 | Citibank | 30,412 |
12/15/21 | U.S. Dollars | 5,133,424 | Euro | 4,410,000 | Goldman Sachs | 29,666 |
12/15/21 | U.S. Dollars | 1,785,260 | Euro | 1,517,000 | Morgan Stanley | 29,613 |
12/15/21 | British Pounds | 1,411,667 | Euro | 1,650,000 | BNP Paribas | 22,720 |
12/15/21 | British Pounds | 1,230,742 | Euro | 1,440,000 | Bank of America | 18,106 |
12/15/21 | British Pounds | 906,720 | Euro | 1,060,000 | Goldman Sachs | 14,364 |
12/15/21 | British Pounds | 559,669 | Euro | 650,000 | Deutsche Bank | 13,821 |
12/15/21 | British Pounds | 319,335 | Euro | 370,000 | Barclays | 8,899 |
11/01/21 | U.S. Dollars | 4,606,923 | Chinese Offshore Yuan | 29,473,000 | Goldman Sachs | 7,264 |
12/15/21 | U.S. Dollars | 423,023 | Euro | 360,000 | Bank of America | 6,390 |
12/15/21 | U.S. Dollars | 1,822,852 | Euro | 1,570,000 | Barclays | 5,868 |
11/29/21 | U.S. Dollars | 86,000 | Turkish Lira | 788,599 | Citibank | 5,103 |
12/15/21 | U.S. Dollars | 606,817 | British Pounds | 440,000 | Barclays | 4,545 |
12/15/21 | U.S. Dollars | 510,681 | British Pounds | 370,000 | Bank of America | 4,225 |
12/15/21 | U.S. Dollars | 496,886 | British Pounds | 360,000 | Morgan Stanley | 4,118 |
01/13/22 | U.S. Dollars | 80,000 | Turkish Lira | 760,000 | Bank of America | 3,792 |
11/17/21 | U.S. Dollars | 113,000 | South African Rand | 1,678,595 | Goldman Sachs | 3,335 |
11/01/21 | U.S. Dollars | 297,000 | Mexican Pesos | 6,051,318 | Bank of America | 3,075 |
11/17/21 | U.S. Dollars | 110,756 | South African Rand | 1,651,099 | Morgan Stanley | 2,887 |
12/15/21 | British Pounds | 290,000 | U.S. Dollars | 394,085 | Goldman Sachs | 2,867 |
11/08/21 | Australian Dollars | 88,000 | U.S. Dollars | 63,831 | JP Morgan Chase | 2,369 |
11/03/21 | U.S. Dollars | 64,000 | Brazilian Reals | 348,870 | Goldman Sachs | 2,222 |
11/02/21 | Chilean Pesos | 120,459,300 | U.S. Dollars | 146,000 | Barclays | 2,075 |
12/15/21 | U.S. Dollars | 283,563 | British Pounds | 206,000 | JP Morgan Chase | 1,590 |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2021: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
11/01/21 | Mexican Pesos | 4,558,580 | U.S. Dollars | 220,000 | Goldman Sachs | $ 1,419 |
11/17/21 | U.S. Dollars | 41,000 | South African Rand | 607,516 | Citibank | 1,310 |
11/01/21 | U.S. Dollars | 78,000 | Mexican Pesos | 1,579,484 | Goldman Sachs | 1,281 |
01/13/22 | U.S. Dollars | 40,000 | Turkish Lira | 387,223 | Deutsche Bank | 1,172 |
12/15/21 | U.S. Dollars | 406,181 | Euro | 350,000 | JP Morgan Chase | 1,121 |
11/01/21 | U.S. Dollars | 81,000 | Mexican Pesos | 1,645,856 | Citibank | 1,058 |
12/15/21 | U.S. Dollars | 131,007 | British Pounds | 95,000 | State Street | 971 |
11/03/21 | U.S. Dollars | 61,000 | Brazilian Reals | 339,337 | Citibank | 910 |
11/17/21 | U.S. Dollars | 160,456 | Euro | 138,000 | Bank of America | 876 |
11/24/21 | U.S. Dollars | 56,814 | Mexican Pesos | 1,156,538 | Toronto-Dominion Bank | 849 |
11/17/21 | U.S. Dollars | 61,000 | Mexican Pesos | 1,242,826 | Goldman Sachs | 793 |
11/02/21 | Polish Zloty | 509,812 | Euro | 110,000 | Bank of America | 624 |
11/17/21 | U.S. Dollars | 164,800 | Euro | 142,000 | RBS | 594 |
11/16/21 | U.S. Dollars | 122,000 | Russian Rubles | 8,642,480 | UBS | 520 |
11/17/21 | U.S. Dollars | 61,000 | Mexican Pesos | 1,249,289 | Morgan Stanley | 480 |
11/17/21 | U.S. Dollars | 51,244 | South African Rand | 777,191 | JP Morgan Chase | 469 |
12/15/21 | Euro | 170,000 | U.S. Dollars | 196,359 | Barclays | 385 |
12/15/21 | Euro | 180,000 | U.S. Dollars | 208,044 | Bank of America | 272 |
12/13/21 | Polish Zloty | 797,838 | Euro | 172,422 | JP Morgan Chase | 253 |
11/01/21 | U.S. Dollars | 41,000 | Mexican Pesos | 839,844 | Morgan Stanley | 207 |
11/02/21 | Chilean Pesos | 32,700,000 | U.S. Dollars | 40,000 | BNP Paribas | 197 |
11/02/21 | Euro | 70,000 | Polish Zloty | 322,459 | BNP Paribas | 96 |
12/13/21 | Polish Zloty | 323,857 | Euro | 70,000 | Deutsche Bank | 90 |
11/02/21 | U.S. Dollars | 64,000 | Chilean Pesos | 52,019,200 | UBS | 55 |
11/02/21 | Indonesian Rupiahs | 1,502,020,000 | U.S. Dollars | 105,993 | Deutsche Bank | 26 |
12/15/21 | Euro | 700,000 | U.S. Dollars | 810,109 | Morgan Stanley | 11 |
Total Unrealized Appreciation | $ 408,269 | |||||
01/10/22 | Kazakhstan Tenge | 8,511,189 | U.S. Dollars | 19,570 | Citibank | $ (1) |
11/02/21 | U.S. Dollars | 106,000 | Indonesian Rupiahs | 1,502,020,000 | Deutsche Bank | (19) |
11/02/21 | Polish Zloty | 23,525 | Euro | 5,139 | JP Morgan Chase | (44) |
11/24/21 | U.S. Dollars | 277,082 | South African Rand | 4,245,721 | HSBC | (61) |
11/01/21 | Mexican Pesos | 2,036,451 | U.S. Dollars | 99,054 | Citibank | (139) |
11/01/21 | Mexican Pesos | 1,336,824 | U.S. Dollars | 65,102 | Morgan Stanley | (170) |
11/02/21 | Polish Zloty | 120,913 | Euro | 26,422 | BNP Paribas | (237) |
12/15/21 | Euro | 350,000 | U.S. Dollars | 405,356 | Bank of America | (296) |
11/02/21 | Euro | 172,422 | Polish Zloty | 796,779 | JP Morgan Chase | (392) |
11/02/21 | U.S. Dollars | 56,736 | Chilean Pesos | 46,546,215 | JP Morgan Chase | (482) |
11/02/21 | U.S. Dollars | 65,264 | Chilean Pesos | 53,496,901 | RBS | (497) |
12/15/21 | Euro | 700,000 | U.S. Dollars | 810,643 | BNP Paribas | (523) |
11/08/21 | U.S. Dollars | 80,707 | Australian Dollars | 108,000 | HSBC | (538) |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2021: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
12/15/21 | Euro | 690,000 | U.S. Dollars | 799,093 | Citibank | $ (545) |
11/16/21 | U.S. Dollars | 122,000 | Russian Rubles | 8,720,560 | UBS | (578) |
11/08/21 | U.S. Dollars | 40,772 | Australian Dollars | 55,000 | Deutsche Bank | (603) |
12/02/21 | Russian Rubles | 5,225,024 | U.S. Dollars | 73,904 | Goldman Sachs | (722) |
11/02/21 | Polish Zloty | 461,585 | Euro | 100,861 | Barclays | (900) |
11/01/21 | Mexican Pesos | 2,303,815 | U.S. Dollars | 112,844 | Goldman Sachs | (943) |
11/17/21 | Indonesian Rupiahs | 1,587,446,231 | U.S. Dollars | 112,537 | Citibank | (944) |
11/17/21 | Euro | 106,000 | Norwegian Kroner | 1,045,227 | HSBC | (1,136) |
12/02/21 | Russian Rubles | 3,861,484 | U.S. Dollars | 55,286 | HSBC | (1,202) |
11/17/21 | U.S. Dollars | 86,000 | Russian Rubles | 6,228,565 | JP Morgan Chase | (1,532) |
11/17/21 | South African Rand | 601,728 | U.S. Dollars | 41,000 | Citibank | (1,688) |
12/15/21 | British Pounds | 300,000 | U.S. Dollars | 412,399 | Morgan Stanley | (1,759) |
12/02/21 | Russian Rubles | 7,002,000 | U.S. Dollars | 99,836 | UBS | (1,766) |
12/15/21 | U.S. Dollars | 105,653 | Canadian Dollars | 133,000 | Bank of America | (1,822) |
11/24/21 | South African Rand | 2,070,427 | U.S. Dollars | 136,993 | Goldman Sachs | (1,844) |
12/15/21 | British Pounds | 240,000 | U.S. Dollars | 330,381 | Bank of America | (1,869) |
11/08/21 | U.S. Dollars | 64,249 | Australian Dollars | 88,000 | UBS | (1,951) |
12/15/21 | U.S. Dollars | 805,506 | British Pounds | 590,000 | Barclays | (2,086) |
12/02/21 | U.S. Dollars | 54,643 | Russian Rubles | 4,051,786 | Citibank | (2,106) |
11/03/21 | Brazilian Reals | 332,426 | U.S. Dollars | 61,000 | Citibank | (2,134) |
11/29/21 | Turkish Lira | 817,516 | U.S. Dollars | 86,000 | Bank of America | (2,138) |
11/17/21 | U.S. Dollars | 109,389 | Indonesian Rupiahs | 1,587,446,231 | Citibank | (2,204) |
12/02/21 | U.S. Dollars | 1,574,109 | Russian Rubles | 112,547,831 | UBS | (2,237) |
12/15/21 | U.S. Dollars | 408,370 | British Pounds | 300,000 | Morgan Stanley | (2,269) |
11/08/21 | U.S. Dollars | 81,955 | Australian Dollars | 112,000 | Bank of America | (2,300) |
11/03/21 | Brazilian Reals | 347,189 | U.S. Dollars | 64,000 | BNP Paribas | (2,520) |
12/02/21 | U.S. Dollars | 70,526 | Russian Rubles | 5,215,600 | HSBC | (2,524) |
11/08/21 | U.S. Dollars | 121,490 | Australian Dollars | 165,000 | JP Morgan Chase | (2,635) |
11/17/21 | South African Rand | 890,439 | U.S. Dollars | 61,000 | Deutsche Bank | (2,826) |
12/15/21 | British Pounds | 550,000 | U.S. Dollars | 755,674 | Barclays | (2,834) |
11/24/21 | South African Rand | 2,175,294 | U.S. Dollars | 145,126 | JP Morgan Chase | (3,132) |
11/17/21 | South African Rand | 881,450 | U.S. Dollars | 61,000 | Bank of America | (3,413) |
11/24/21 | U.S. Dollars | 361,616 | Chinese Offshore Yuan | 2,348,000 | BNP Paribas | (4,157) |
12/15/21 | British Pounds | 680,000 | U.S. Dollars | 936,020 | Deutsche Bank | (5,235) |
12/15/21 | Euro | 1,220,000 | U.S. Dollars | 1,417,463 | HSBC | (5,539) |
12/15/21 | Euro | 300,000 | British Pounds | 257,741 | Deutsche Bank | (5,602) |
12/15/21 | Chinese Offshore Yuan | 19,649,000 | U.S. Dollars | 3,061,531 | Goldman Sachs | (6,145) |
12/02/21 | Russian Rubles | 61,481,577 | U.S. Dollars | 869,623 | Morgan Stanley | (8,511) |
12/15/21 | Euro | 930,000 | British Pounds | 793,272 | Barclays | (9,528) |
12/15/21 | Euro | 990,000 | U.S. Dollars | 1,155,602 | Barclays | (9,859) |
12/15/21 | Euro | 2,405,000 | U.S. Dollars | 2,794,057 | Morgan Stanley | (10,714) |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2021: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
12/15/21 | Euro | 1,060,000 | British Pounds | 904,448 | Goldman Sachs | $ (11,255) |
12/15/21 | Euro | 1,830,000 | British Pounds | 1,562,845 | JP Morgan Chase | (21,337) |
12/15/21 | Euro | 1,530,000 | British Pounds | 1,312,034 | BNP Paribas | (25,220) |
12/15/21 | Euro | 2,330,000 | U.S. Dollars | 2,724,579 | Goldman Sachs | (28,035) |
11/24/21 | U.S. Dollars | 2,018,528 | Chinese Offshore Yuan | 13,209,245 | Citibank | (39,216) |
12/15/21 | Euro | 2,840,000 | British Pounds | 2,439,564 | Citibank | (52,502) |
12/15/21 | U.S. Dollars | 8,734,422 | Chinese Offshore Yuan | 56,696,877 | Barclays | (81,847) |
Total Unrealized Depreciation | $(387,263) | |||||
Net Unrealized Appreciation | $ 21,006 |
Written Call Option Contracts outstanding at October 31, 2021: Exchange Traded | ||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
10-Year U.S. Treasury Note Future | 2 | USD | 261,406 | 131.00 | 11/5/2021 | $ (594) |
10-Year U.S. Treasury Note Future | 25 | USD | 3,267,578 | 134.00 | 11/26/2021 | (781) |
10-Year U.S. Treasury Note Future | 19 | USD | 2,483,359 | 132.00 | 11/26/2021 | (3,563) |
10-Year U.S. Treasury Note Future | 15 | USD | 1,960,547 | 131.50 | 11/26/2021 | (4,922) |
10-Year U.S. Treasury Note Future | 15 | USD | 1,960,547 | 132.50 | 11/26/2021 | (1,406) |
10-Year U.S. Treasury Note Future | 10 | USD | 1,307,031 | 130.75 | 11/26/2021 | (6,562) |
10-Year U.S. Treasury Note Future | 8 | USD | 1,045,625 | 133.00 | 11/26/2021 | (500) |
10-Year U.S. Treasury Note Future | 6 | USD | 784,219 | 134.50 | 11/26/2021 | (94) |
10-Year U.S. Treasury Note Future | 4 | USD | 522,813 | 131.00 | 11/26/2021 | (2,125) |
10-Year U.S. Treasury Note Future | 3 | USD | 392,109 | 131.25 | 11/26/2021 | (1,266) |
10-Year U.S. Treasury Note Future | 21 | USD | 2,727,703 | 132.00 | 12/23/2021 | (4,266) |
10-Year U.S. Treasury Note Future | 19 | USD | 2,467,922 | 131.00 | 12/23/2021 | (8,609) |
10-Year U.S. Treasury Note Future | 12 | USD | 1,558,688 | 131.50 | 12/23/2021 | (3,750) |
2-Year Mid Curve Future | 15 | USD | 3,694,500 | 99.12 | 12/10/2021 | (281) |
2-Year Mid Curve Future | 10 | USD | 2,463,000 | 99.25 | 12/10/2021 | (63) |
5-Year U.S. Treasury Note Future | 59 | USD | 7,183,250 | 122.00 | 11/26/2021 | (18,437) |
5-Year U.S. Treasury Note Future | 37 | USD | 4,504,750 | 123.00 | 11/26/2021 | (1,734) |
5-Year U.S. Treasury Note Future | 17 | USD | 2,069,750 | 122.75 | 11/26/2021 | (1,328) |
5-Year U.S. Treasury Note Future | 16 | USD | 1,948,000 | 123.25 | 11/26/2021 | (375) |
5-Year U.S. Treasury Note Future | 11 | USD | 1,339,250 | 122.25 | 11/26/2021 | (2,320) |
5-Year U.S. Treasury Note Future | 9 | USD | 1,095,750 | 122.50 | 11/26/2021 | (1,125) |
U.S. Treasury Long Bond Future | 3 | USD | 589,219 | 161.50 | 11/5/2021 | (2,250) |
U.S. Treasury Long Bond Future | 29 | USD | 4,664,470 | 164.00 | 11/26/2021 | (13,594) |
U.S. Treasury Long Bond Future | 29 | USD | 4,664,470 | 163.00 | 11/26/2021 | (20,844) |
U.S. Treasury Long Bond Future | 15 | USD | 2,412,657 | 162.00 | 11/26/2021 | (16,406) |
Written Call Option Contracts outstanding at October 31, 2021: Exchange Traded (continued) | ||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
U.S. Treasury Long Bond Future | 7 | USD | 1,125,907 | 161.00 | 11/26/2021 | $ (10,828) |
U.S. Treasury Long Bond Future | 3 | USD | 482,531 | 166.00 | 11/26/2021 | (563) |
U.S. Treasury Long Bond Future | 11 | USD | 1,752,094 | 163.00 | 12/23/2021 | (8,594) |
Total Written Call Options Contracts (Premiums Received $173,426) | $(137,180) |
Written Put Option Contracts outstanding at October 31, 2021: Exchange Traded | ||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
10-Year U.S. Treasury Note Future | 4 | USD | 522,813 | 130.00 | 11/26/2021 | $ (1,625) |
10-Year U.S. Treasury Note Future | 4 | USD | 522,814 | 132.50 | 11/26/2021 | (7,563) |
10-Year U.S. Treasury Note Future | 9 | USD | 1,176,328 | 133.00 | 11/26/2021 | (21,234) |
2-Year Mid Curve Future | 14 | USD | 3,448,200 | 98.75 | 12/10/2021 | (9,975) |
5-Year U.S. Treasury Note Future | 6 | USD | 730,500 | 121.50 | 11/26/2021 | (2,063) |
5-Year U.S. Treasury Note Future | 11 | USD | 1,339,250 | 123.50 | 11/26/2021 | (19,422) |
U.S. Treasury Long Bond Future | 8 | USD | 1,286,750 | 162.00 | 11/26/2021 | (18,000) |
U.S. Treasury Long Bond Future | 6 | USD | 955,688 | 157.00 | 12/23/2021 | (8,062) |
Total Written Put Options Contracts (Premiums Received $43,602) | $(87,944) |
Written Call Option Contracts outstanding at October 31, 2021: Over the Counter | ||||||||
Description | Counterparty | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
Mexican Peso vs. U.S. Dollar | Goldman Sachs | 2 | USD | 202,000 | MXN | 21.30 | 11/18/2021 | $ (406) |
Mexican Peso vs. U.S. Dollar | HSBC Bank | 1 | USD | 340,000 | MXN | 21.50 | 11/29/2021 | (833) |
Polish Zloty vs. Euro | Bank of America | 2 | EUR | 104,000 | PLN | 4.62 | 11/10/2021 | (456) |
Russian Ruble vs. U.S. Dollar | Citibank | 2 | USD | 197,400 | RUB | 72.00 | 12/17/2021 | (2,606) |
South African Rand vs. U.S. Dollar | UBS | 1 | USD | 81,000 | ZAR | 15.50 | 11/4/2021 | (253) |
South African Rand vs. U.S. Dollar | UBS | 1 | USD | 150,000 | ZAR | 15.00 | 11/12/2021 | (3,600) |
South African Rand vs. U.S. Dollar | JPMorgan Chase | 2 | USD | 324,000 | ZAR | 15.50 | 12/2/2021 | (4,732) |
Turkish Lira vs. U.S. Dollar | Bank of America | 1 | USD | 80,000 | TRY | 9.70 | 11/29/2021 | (1,838) |
U.S. Dollar vs. Australian Dollar | Citibank | 1 | AUD | 2,832,000 | USD | 0.75 | 11/10/2021 | (13,564) |
Written Call Option Contracts outstanding at October 31, 2021: Over the Counter (continued) | ||||||||
Description | Counterparty | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
U.S. Dollar vs. Australian Dollar | Citibank | 1 | AUD | 2,832,000 | USD | 0.75 | 11/12/2021 | $ (14,745) |
U.S. Dollar vs. Australian Dollar | Goldman Sachs | 1 | AUD | 2,832,000 | USD | 0.74 | 11/12/2021 | (43,377) |
U.S. Dollar vs. British Pound | Barclays Bank PLC | 1 | GBP | 1,639,000 | USD | 1.39 | 11/12/2021 | (2,654) |
U.S. Dollar vs. British Pound | UBS | 1 | GBP | 1,639,000 | USD | 1.37 | 11/12/2021 | (12,425) |
U.S. Dollar vs. Euro | Citibank | 1 | EUR | 2,732,000 | USD | 1.18 | 11/12/2021 | (784) |
Total Written OTC Call Options Contracts (Premiums Received $93,003) | $(102,273) |
Written Put Option Contracts outstanding at October 31, 2021: Over the Counter | ||||||||
�� | ||||||||
Description | Counterparty | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
Canadian Dollar vs. U.S. Dollar | Morgan Stanley | 1 | USD | 2,484,000 | CAD | 1.22 | 11/10/2021 | $ (2,986) |
Canadian Dollar vs. U.S. Dollar | Citibank | 1 | USD | 2,484,000 | CAD | 1.25 | 11/10/2021 | (32,766) |
Canadian Dollar vs. U.S. Dollar | Morgan Stanley | 1 | USD | 2,484,000 | CAD | 1.23 | 11/12/2021 | (3,624) |
Canadian Dollar vs. U.S. Dollar | Citibank | 1 | USD | 2,484,000 | CAD | 1.25 | 11/12/2021 | (26,956) |
Colombian Pesos vs. U.S. Dollar | Barclays Bank PLC | 2 | USD | 324,000 | COP | 3,600.00 | 12/13/2021 | (650) |
Japanese Yen vs. Australian Dollar | Deutsche Bank | 2 | AUD | 378,000 | JPY | 83.00 | 11/22/2021 | (568) |
Mexican Peso vs. U.S. Dollar | HSBC Bank | 1 | USD | 340,000 | MXN | 20.00 | 11/29/2021 | (343) |
South African Rand vs. U.S. Dollar | UBS | 1 | USD | 122,000 | ZAR | 14.60 | 12/2/2021 | (378) |
Total Written OTC Put Options Contracts (Premiums Received $69,559) | $(68,271) |
Interest Rate Swap Contracts outstanding at October 31, 2021: 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) | |
3M USD LIBOR (Quarterly) | 0.19% (Semi-Annually) | 6/15/2022 | USD | 6,485,000 | $ 2,852 | $ (10) | $ 2,862 |
Interest Rate Swap Contracts outstanding at October 31, 2021: Exchange Traded (continued) | |||||||
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 Euro Short Term Volume-Weighted Trimmed Mean Rate (At Maturity) | -0.43% (At Maturity) | 10/17/2023 | EUR | 6,950,000 | $ (16,769) | $ — | $ (16,769) |
1.12% (At Maturity) | 1-Day GBP Sterling Overnight Index Average Rate (At Maturity) | 10/20/2023 | GBP | 5,940,000 | 14,120 | — | 14,120 |
1-Day Euro Short Term Volume-Weighted Trimmed Mean Rate (At Maturity) | -0.37% (At Maturity) | 10/20/2023 | EUR | 6,910,000 | (12,531) | — | (12,531) |
1.13% (At Maturity) | 1-Day GBP Sterling Overnight Index Average Rate (At Maturity) | 10/22/2023 | GBP | 2,804,467 | 6,385 | — | 6,385 |
1.16% (At Maturity) | 1-Day GBP Sterling Overnight Index Average Rate (At Maturity) | 10/22/2023 | GBP | 7,380,000 | 14,067 | — | 14,067 |
1-Day Euro Short Term Volume-Weighted Trimmed Mean Rate (At Maturity) | -0.37% (At Maturity) | 10/24/2023 | EUR | 6,820,000 | (12,658) | — | (12,658) |
1-Day GBP Sterling Overnight Index Average Rate (At Maturity) | 1.31% (At Maturity) | 10/28/2023 | GBP | 10,730,000 | 1,480 | — | 1,480 |
1-Day GBP Sterling Overnight Index Average Rate (At Maturity) | 1.30% (At Maturity) | 10/28/2023 | GBP | 5,360,000 | 17 | — | 17 |
0.51% (Semi-Annually) | 3M USD LIBOR (Quarterly) | 4/7/2024 | USD | 966,000 | 7,049 | — | 7,049 |
3M USD LIBOR (Quarterly) | 0.82% (Semi-Annually) | 6/4/2024 | USD | 36,626,000 | (209,412) | — | (209,412) |
0.96% (At Maturity) | 1-Day GBP Sterling Overnight Index Average Rate (At Maturity) | 10/9/2024 | GBP | 9,050,000 | 33,648 | — | 33,648 |
0.95% (At Maturity) | 1-Day GBP Sterling Overnight Index Average Rate (At Maturity) | 10/16/2024 | GBP | 6,110,000 | 23,112 | — | 23,112 |
1-Day GBP Sterling Overnight Index Average Rate (At Maturity) | 1.13% (At Maturity) | 10/22/2024 | GBP | 7,460,000 | (9,673) | — | (9,673) |
1-Day GBP Sterling Overnight Index Average Rate (At Maturity) | 1.10% (At Maturity) | 10/22/2024 | GBP | 2,834,599 | (4,716) | — | (4,716) |
0.63% (At Maturity) | 1-Day GBP Sterling Overnight Index Average Rate (At Maturity) | 9/9/2025 | GBP | 5,140,000 | 29,283 | 288 | 28,995 |
0.66% (At Maturity) | 1-Day GBP Sterling Overnight Index Average Rate (At Maturity) | 9/9/2025 | GBP | 6,340,000 | 33,830 | (89) | 33,919 |
Interest Rate Swap Contracts outstanding at October 31, 2021: Exchange Traded (continued) | |||||||
Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Maturity Date | Notional Amount | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
0.86% (At Maturity) | 1-Day GBP Sterling Overnight Index Average Rate (At Maturity) | 9/23/2025 | GBP | 6,980,000 | $ 18,328 | $ — | $ 18,328 |
1-Day Euro Short Term Volume-Weighted Trimmed Mean Rate (At Maturity) | -0.24% (At Maturity) | 10/1/2025 | EUR | 7,510,000 | (17,849) | — | (17,849) |
1-Day Euro Short Term Volume-Weighted Trimmed Mean Rate (At Maturity) | -0.20% (At Maturity) | 10/8/2025 | EUR | 6,400,000 | (11,993) | — | (11,993) |
0.98% (At Maturity) | 1-Day GBP Sterling Overnight Index Average Rate (At Maturity) | 10/18/2025 | GBP | 5,960,000 | 5,046 | — | 5,046 |
1.69% (Annually) | 6M PLN WIBOR (Semi-Annually) | 9/7/2026 | PLN | 1,733,900 | 17,870 | — | 17,870 |
1.35% (Semi-Annually) | 3M USD LIBOR (Quarterly) | 2/15/2028 | USD | 27,885,000 | (51,192) | (109,903) | 58,711 |
1.13% (Annually) | 2-Day USD SOFR (Annually) | 8/15/2028 | USD | 17,907,000 | 50,243 | 51,892 | (1,649) |
1.22% (Annually) | 2-Day USD SOFR (Annually) | 8/15/2028 | USD | 4,412,000 | (1,833) | (1,830) | (3) |
1.20% (Annually) | 2-Day USD SOFR (Annually) | 11/1/2028 | USD | 2,576,000 | (7,155) | (150) | (7,005) |
0.80% (Semi-Annually) | 3M USD LIBOR (Quarterly) | 11/15/2045 | USD | 8,645,000 | 1,694,489 | 76,658 | 1,617,831 |
1.20% (Semi-Annually) | 3M USD LIBOR (Quarterly) | 2/15/2047 | USD | 1,230,000 | 147,717 | 29,836 | 117,881 |
1.23% (Semi-Annually) | 3M USD LIBOR (Quarterly) | 2/15/2047 | USD | 180,000 | 20,653 | (505) | 21,158 |
1.52% (Annually) | 2-Day USD SOFR (Annually) | 2/15/2047 | USD | 4,961,000 | (58,416) | 604 | (59,020) |
1.60% (Semi-Annually) | 3M USD LIBOR (Quarterly) | 2/15/2047 | USD | 814,000 | 27,981 | 4,643 | 23,338 |
1.73% (Annually) | 2-Day USD SOFR (Annually) | 2/15/2047 | USD | 1,580,000 | (96,391) | — | (96,391) |
2.00 (Semi-Annually) | 3M USD LIBOR (Quarterly) | 2/15/2047 | USD | 3,655,000 | (187,626) | 18,952 | (206,578) |
1.20% (Semi-Annually) | 3M USD LIBOR (Quarterly) | 10/7/2050 | USD | 1,437,000 | 190,931 | 6,897 | 184,034 |
2.05% (Semi-Annually) | 3M USD LIBOR (Quarterly) | 6/7/2051 | USD | 1,320,000 | (102,101) | 11,429 | (113,530) |
1.61% (Semi-Annually) | 3M USD LIBOR (Quarterly) | 7/9/2051 | USD | 1,607,000 | 26,810 | (7,086) | 33,896 |
Total | $1,565,596 | $ 81,626 | $1,483,970 |
Interest Rate Swap Contracts outstanding at October 31, 2021: 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) | |
1.42% (Semi-Annually) | 1-Day CLP CLICP (Semi-Annually) | Bank of America | 4/1/2023 | CLP | 357,254,000 | $ 23,702 | $— | $ 23,702 |
1-Day CLP CLICP (Semi-Annually) | 1.65% (Semi-Annually) | Bank of America | 5/28/2023 | CLP | 357,254,000 | (23,068) | — | (23,068) |
Total | $ 634 | $— | $ 634 |
Exchange Traded
Reference Obligation | Fixed Deal Pay Rate | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |
Markit iTraxx Europe Main Index Series 36 (Pay Quarterly) | 1.00% | 12/20/2026 | Credit Suisse | EUR | 2,530,000 | $ (77,597) | $ (75,160) | $ (2,437) |
Total | $(77,597) | $(75,160) | $(2,437) |
Credit Default Swap Contracts outstanding - Sell Protection as of October 31, 2021: 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 37 (Receive Quarterly) | 0.05% | 1.00% | 12/20/2026 | USD | 121,756,250 | $3,040,688 | $2,891,391 | $149,297 |
Total | $3,040,688 | $2,891,391 | $149,297 |
(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, 2021: 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: 01/07/2025 (Pay Quarterly) | 1.00% | 12/20/2026 | Barclays Bank PLC | USD | 479,000 | $32,703 | $25,429 | $ 7,274 |
Republic of Chile, 3.24%, Due: 02/06/2028 (Pay Quarterly) | 1.00% | 12/20/2026 | Barclays Bank PLC | USD | 79,000 | (547) | (1,172) | 625 |
Republic of Colombia, 10.38%, Due: 01/28/2033 (Pay Quarterly) | 1.00% | 12/20/2026 | Goldman Sachs | USD | 631,000 | 18,368 | 14,526 | 3,842 |
Republic of Indonesia, 3.70%, Due: 01/08/2022 (Pay Quarterly) | 1.00% | 12/20/2026 | JPMorgan Chase | USD | 470,000 | (4,733) | (5,303) | 570 |
Republic of Philippines, 10.63%, Due: 03/16/2025 (Pay Quarterly) | 1.00% | 12/20/2026 | JPMorgan Chase | USD | 198,269 | (4,467) | (5,208) | 741 |
Republic of South Africa, 5.88%, Due: 09/16/2025 (Pay Quarterly) | 1.00% | 12/20/2026 | Goldman Sachs | USD | 731,573 | 38,363 | 34,975 | 3,388 |
Credit Default Swap Contracts outstanding - Buy Protection at October 31, 2021: Over the Counter (continued) | ||||||||
Reference Obligation | Fixed Deal Pay Rate | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |
Republic of South Africa, 5.88%, Due: 09/16/2025 (Pay Quarterly) | 1.00% | 12/20/2026 | Barclays Bank PLC | USD | 111,299 | $ 5,837 | $ 5,767 | $ 70 |
Republic of South Africa, 5.88%, Due: 09/16/2025 (Pay Quarterly) | 1.00% | 12/20/2026 | Citibank | USD | 99,917 | 5,240 | 5,154 | 86 |
United Mexican States, 4.15%, Due: 03/28/2027 (Pay Quarterly) | 1.00% | 12/20/2026 | Morgan Stanley | USD | 2,189,000 | 1,041 | (3,900) | 4,941 |
Total | $91,805 | $70,268 | $21,537 |
Over the Counter
Reference Obligation | Implied Credit Spread | Fixed Deal Receive Rate | Maturity Date | Counterparty | Notional Amount(1) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |
International Bonds: Trust Fibra Uno, 6.39%, Due 01/15/2050 (Receive Quarterly) | 0.27% | 1.00% | 06/20/2026 | Citibank | USD | 39,000 | $ (2,731) | $ (4,030) | $1,299 |
Total | $(2,731) | $(4,030) | $1,299 |
(1) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Inflation Swap Contracts outstanding at October 31, 2021: 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) | |
3.46% (At Maturity) | 1-Day U.S. Consumer Price Index (At Maturity) | 7/1/2022 | USD | 15,750,000 | $ 52,313 | $ 2,438 | $ 49,875 |
1-Day U.S. Consumer Price Index (At Maturity) | 2.62% (At Maturity) | 7/1/2026 | USD | 15,750,000 | (652,428) | 8,037 | (660,465) |
1-Day U.S. Consumer Price Index (At Maturity) | 2.34% (At Maturity) | 3/4/2031 | USD | 526,000 | (40,390) | — | (40,390) |
1-Day U.S. Consumer Price Index (At Maturity) | 2.47% (At Maturity) | 4/26/2031 | USD | 2,285,370 | (135,944) | — | (135,944) |
Inflation Swap Contracts outstanding at October 31, 2021: Exchange Traded (continued) | |||||||
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. Consumer Price Index (At Maturity) | 2.64% (At Maturity) | 5/21/2031 | USD | 1,447,000 | $ (56,330) | $ — | $ (56,330) |
1-Day U.S. Consumer Price Index (At Maturity) | 2.59% (At Maturity) | 6/4/2031 | USD | 320,000 | (13,790) | — | (13,790) |
1-Day U.S. Consumer Price Index (At Maturity) | 2.89% (At Maturity) | 10/29/2031 | USD | 875,000 | 13,775 | — | 13,775 |
1-Day U.S. Consumer Price Index (At Maturity) | 2.88% (At Maturity) | 11/1/2031 | USD | 875,000 | 12,879 | — | 12,879 |
1-Day UK RPI (At Maturity) | 3.33% (At Maturity) | 11/15/2040 | GBP | 38,000 | (10,165) | — | (10,165) |
1-Day UK RPI (At Maturity) | 3.38% (At Maturity) | 12/15/2040 | GBP | 132,000 | (32,691) | — | (32,691) |
1-Day UK RPI (At Maturity) | 3.37% (At Maturity) | 12/15/2040 | GBP | 56,000 | (14,154) | — | (14,154) |
1-Day UK RPI (At Maturity) | 3.35% (At Maturity) | 12/15/2040 | GBP | 23,000 | (5,977) | — | (5,977) |
1-Day UK RPI (At Maturity) | 3.42% (At Maturity) | 3/15/2041 | GBP | 128,000 | (29,607) | — | (29,607) |
1-Day UK RPI (At Maturity) | 3.79% (At Maturity) | 9/15/2041 | GBP | 143,000 | (4,068) | — | (4,068) |
1-Day UK RPI (At Maturity) | 3.89% (At Maturity) | 9/15/2041 | GBP | 84,702 | 1,292 | — | 1,292 |
Total | $(915,285) | $10,475 | $(925,760) |
Morningstar Total Return Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Asset-Backed Securities | $ — | $ 67,012,555 | $383,440 | $ 67,395,995 |
Corporate Bonds | — | 194,913,918 | 165,459 | 195,079,377 |
Foreign Issuer Bonds | — | 92,885,308 | — | 92,885,308 |
Mortgage-Backed Securities | — | 236,081,607 | — | 236,081,607 |
Municipal Bonds | — | 2,819,977 | — | 2,819,977 |
Term Loans | — | 1,299,000 | — | 1,299,000 |
U.S. Government Obligations | — | 212,077,951 | — | 212,077,951 |
Investment Companies | 126,669,495 | — | — | 126,669,495 |
Short-Term Investments | 50,229,003 | 17,210,494 | — | 67,439,497 |
Purchased Options | 100,715 | 253,328 | — | 354,043 |
Total Assets – Investments at value | $176,999,213 | $824,554,138 | $548,899 | $1,002,102,250 |
Liabilities: | ||||
Mortgage-Backed Securities | $ — | $ (1,081,737) | $ — | $ (1,081,737) |
U.S. Government Obligations | — | (5,942,346) | — | (5,942,346) |
Total Liabilities – Investments at value | $ — | $ (7,024,083) | $ — | $ (7,024,083) |
Net Investments | $176,999,213 | $817,530,055 | $548,899 | $ 995,078,167 |
Morningstar Total Return Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
Derivative Financial Instruments | ||||
Assets: | ||||
Futures Contracts | $ 4,501,006 | $ — | $— | $ 4,501,006 |
Forward Foreign Currency Exchange Contracts | — | 408,269 | — | 408,269 |
Swap Agreements at Fair Value | — | 5,612,112 | — | 5,612,112 |
Total Assets - Derivative Financial Instruments | $ 4,501,006 | $ 6,020,381 | $— | $10,521,387 |
Liabilities: | ||||
Futures Contracts | $(6,666,939) | $ — | $— | $ (6,666,939) |
Forward Foreign Currency Exchange Contracts | — | (387,263) | — | (387,263) |
Written Options at Fair Value | (225,124) | (170,544) | — | (395,668) |
Swap Agreements at Fair Value | — | (1,909,002) | — | (1,909,002) |
Total Liabilities - Derivative Financial Instruments | $(6,892,063) | $(2,466,809) | $— | $ (9,358,872) |
Net Derivative Financial Instruments | $(2,391,057) | $ 3,553,572 | $— | $ 1,162,515 |
Financial Assets | Fair Value at 10/31/21 | Valuation Technique(s) | Unobservable Inputs | Price/Range |
Asset-Backed Securities | $383,440 | Third Party Broker Quotes | Quotes/Prices | $99.94 |
Corporate Bonds | $165,459 | Pricing Model | Daily change in yields of various U.S. Treasury Securities | $97.33 |
Par | Value | ||
Municipal Bonds – 82.5% | |||
Alabama – 1.4% | |||
Alabama Federal Aid Highway Finance Authority Special Obligation GARVEE Bonds, Series A, Prerefunded, 5.00%, 9/01/27(a) | $ 545,000 | $ 675,493 | |
Black Belt Energy Gas District Gas Prepay Revenue Bonds, Series A-1, Project No. 4, 4.00%, 6/01/24 | 500,000 | 544,133 | |
Black Belt Energy Gas District Gas Prepay Revenue Bonds, Series A-1, Project No. 5, 4.00%, 10/01/26(b)(c)(d) | 500,000 | 569,553 | |
Black Belt Energy Gas District Gas Supply Revenue Refunding Bonds, 4.00%, 12/01/31(b)(c)(d) | 500,000 | 607,878 | |
Jefferson County Sewer Warrants Senior Lien Revenue Bonds, Series A (AGM Insured), 5.50%, 10/01/53 | 300,000 | 332,072 | |
Lower Alabama Gas District Gas Project Revenue Bonds, 4.00%, 12/01/25(b)(c)(d) | 500,000 | 560,788 | |
Mobile Industrial Development Board PCR Bonds, Alabama Power Company Barry Plant Project, 1.00%, 6/26/25(b)(c)(d) | 1,000,000 | 1,001,900 | |
Tuscaloosa County IDA Gulf Opportunity Zone Revenue Refunding Bonds, Series A, Hunt Refining Project, 5.25%, 5/01/44(e) | 310,000 | 356,295 | |
University of South Alabama University Revenue Bonds (BAM Insured), 5.00%, 4/01/27 | 375,000 | 454,441 | |
University of West Alabama University Revenue Refunding Bonds (AGM Insured), 5.00%, 1/01/27 | 505,000 | 598,754 | |
5,701,307 |
Par | Value | ||
Arizona – 1.2% | |||
Arizona State Health Facilities Authority Variable Revenue Bonds, Series B, (SIFMA Municipal Swap Index Yield + 0.25%), 11/04/26(b)(f) | $1,000,000 | $1,000,000 | |
Arizona State Industrial Development Authority Education Revenue Bonds, Series B, Jerome Facilities Project, Social Bonds, | |||
4.00%, 7/01/51 | 175,000 | 184,102 | |
4.00%, 7/01/61 | 250,000 | 261,887 | |
Chandler IDA Industrial Development Variable Revenue Bonds (AMT), Intel Corp., Project, 2.70%, 8/14/23(b)(c)(d) | 500,000 | 518,967 | |
Maricopa County IDA Revenue Refunding Bonds, Banner Health Obligation Group, 5.00%, 1/01/27 | 475,000 | 575,356 | |
Phoenix Civic Improvement Corp., Airport Senior Lien Revenue Refunding Bonds (AMT), | |||
5.00%, 7/01/28 | 490,000 | 525,891 | |
5.00%, 7/01/30 | 250,000 | 268,052 | |
Pima County IDA Education Revenue Facility Revenue Bonds, Paideia Academies Project, 6.13%, 7/01/45(e) | 240,000 | 258,307 | |
Salt River Project Agricultural Improvement & Power District Electric Revenue Bonds, Salt River Project, 5.00%, 1/01/32 | 400,000 | 516,175 | |
Salt River Project Agricultural Improvement & Power District Electric Revenue Refunding Bonds, Series A, 5.00%, 12/01/28 | 300,000 | 301,171 | |
Salt River Project Agricultural Improvement & Power District Electric System Revenue Refunding Bonds, Series A, 5.00%, 12/01/45 | 500,000 | 569,313 | |
4,979,221 |
Par | Value | ||
Arkansas – 0.2% | |||
Bentonville Sales & Use Tax Revenue Refunding Bonds, Series B, 1.05%, 11/01/46 | $ 750,000 | $ 746,196 | |
California – 6.0% | |||
Anaheim Housing & Public Improvement Authority Revenue Bonds, Series A, 5.00%, 10/01/50 | 900,000 | 1,037,863 | |
Anaheim Public Financing Authority Lease Revenue Refunding Bonds, Series A, 5.00%, 5/01/46 | 250,000 | 272,309 | |
Bay Area Toll Authority Toll Bridge Variable Revenue Bonds, San Francisco Bay Area, (SIFMA Municipal Swap Index Yield + 0.90%), 0.95%, 5/01/23(b)(d) | 700,000 | 705,035 | |
Bay Area Toll Bridge Authority Variable Revenue Refunding Bonds, San Francisco Bay, | |||
(SIFMA Municipal Swap Index Yield + 0.28%), 0.33%, 4/01/24(b)(d) | 250,000 | 250,442 | |
(SIFMA Municipal Swap Index Yield + 0.45%), 0.50%, 4/01/26(b)(d) | 2,000,000 | 2,023,132 | |
California HFA Municipal Certificates Revenue Bonds, Series 2, Class A, 4.00%, 3/20/33 | 242,929 | 284,431 | |
California PFA Revenue Refunding Bonds, Henry Mayo Newhall Hospital, 5.00%, 10/15/47 | 400,000 | 462,695 | |
California State GO Unlimited Refunding Bonds, | |||
4.00%, 10/01/37 | 300,000 | 354,052 | |
4.00%, 11/01/37 | 1,400,000 | 1,670,177 | |
California State Health Facilities Financing Authority Revenue Bonds, City of Hope Obligated Group, 5.00%, 11/15/49 | 500,000 | 591,679 | |
California State Health Facilities Financing Authority Revenue Bonds, Series A, Sutter Health, Prerefunded, 5.00%, 11/15/25(a) | 500,000 | 591,297 |
Par | Value | ||
California (Continued) | |||
California State Health Facilities Financing Authority Revenue Refunding Bonds, Marshall Medical Center (California Mortgage Insured), 4.00%, 11/01/40 | $ 750,000 | $ 870,764 | |
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 | 1,373,639 | |
California State Infrastructure & Economic Development Bank Revenue Refunding Bonds, Series B, 5.00%, 11/01/29 | 1,000,000 | 1,289,600 | |
California State Municipal Finance Authority Revenue Bonds, Charter School John Adams Academies-Lincoln Project, 5.00%, 10/01/57(e) | 330,000 | 352,048 | |
California State Municipal Finance Authority Revenue Refunding Bonds, Series A, Eisenhower Medical Center, 5.00%, 7/01/25 | 650,000 | 749,171 | |
California State Municipal Finance Authority Student Housing Revenue Bonds, Series A-P3, Claremont Colleges Project, 5.00%, 7/01/30(e) | 320,000 | 371,399 | |
California State Municipal Finance Authority Student Housing Revenue Bonds, UCR North District Phase 1 (BAM Insured), 5.00%, 5/15/28 | 500,000 | 618,110 | |
California State Public Works Board Lease Revenue Bonds, Series B, 4.00%, 5/01/46 | 200,000 | 232,306 | |
California State Various Purpose Bid Group GO Unlimited Refunding Bonds, 5.00%, 8/01/30 | 600,000 | 753,805 |
Par | Value | ||
California (Continued) | |||
California Statewide Communities Development Authority Revenue Bonds, Lancer Educational Standard Housing Project, 5.00%, 6/01/34(e) | $375,000 | $450,547 | |
California Statewide Communities Development Authority Revenue Bonds, Loma Linda University Medical, 5.50%, 12/01/58(e) | 500,000 | 606,642 | |
California Statewide Communities Development Authority Revenue Bonds, Series A, Loma Linda University Medical Center, 5.25%, 12/01/56(e) | 250,000 | 285,958 | |
California Statewide Communities Development Authority Special Assessment Bonds, Statewide Community Infrastructure Program, 5.00%, 9/02/34 | 100,000 | 119,833 | |
California Tobacco Securitization Agency Tobacco Settlement Senior Revenue Refunding Bonds, Series A, 4.00%, 6/01/40 | 300,000 | 350,153 | |
Cathedral City Redevelopment Agency Successor Agency Tax Allocation Revenue Refunding Bonds, Merged Redevelopment Project Area (BAM Insured), 4.00%, 8/01/26 | 250,000 | 282,658 | |
CSCDA Community Improvement Authority Essential Housing Mezzanine Lien Revenue Bonds, City of Orange, 4.00%, 3/01/57(e) | 200,000 | 207,018 | |
Foothill Eastern Transportation Corridor Agency Toll Road Junior Lien Revenue Bonds, Series C, 5.00%, 1/15/26 | 200,000 | 230,785 | |
Foothill Eastern Transportation Corridor Agency Toll Road Senior Lien Revenue Refunding Bonds, Series A, 4.00%, 1/15/46 | 250,000 | 283,867 |
Par | Value | ||
California (Continued) | |||
Fresno Airport Revenue Refunding Bonds, Series B (AMT) (BAM Insured), 5.00%, 7/01/28 | $ 390,000 | $ 418,161 | |
Los Angeles Department of Airports Airport Subordinate Revenue Bonds (AMT), Los Angeles International Airport, 5.00%, 5/15/34 | 510,000 | 599,140 | |
Los Angeles Department of Airports Airport Subordinate Revenue Bonds, Series C (AMT), Los Angeles International Airport, 5.00%, 5/15/29 | 1,000,000 | 1,228,093 | |
Los Angeles Harbor Department Revenue Refunding Bonds, Series A (AMT), 5.00%, 8/01/35 | 1,250,000 | 1,382,038 | |
Mesa Water District COPS, 4.00%, 3/15/39 | 300,000 | 355,404 | |
Port of Oakland Intermediate Lien Revenue Refunding Bonds (AMT), 5.00%, 11/01/29 | 250,000 | 317,192 | |
Rocklin Community Facilities District No. 10 Special Tax Bonds, 5.00%, 9/01/34 | 150,000 | 167,524 | |
San Diego County Regional Airport Authority Subordinate Revenue Refunding Bonds, Series A, 4.00%, 7/01/37 | 300,000 | 346,814 | |
San Francisco City & County Airports Commission International Airport Revenue Bonds, Series A (AMT), 5.00%, 5/01/44 | 250,000 | 303,086 | |
San Francisco City & County Airports Community International Revenue Refunding Bonds, Second Series A (AMT), 5.00%, 5/01/28 | 500,000 | 511,515 | |
Sunnyvale Financing Authority Lease Revenue Bonds, Green Bonds, Civic Center Project, 4.00%, 4/01/34 | 865,000 | 1,033,838 |
Par | Value | ||
California (Continued) | |||
Susanville Natural Gas Revenue Refunding Bonds, Natural Gas Enterprise (AGM Insured), 3.00%, 6/01/26 | $ 595,000 | $ 653,732 | |
Tobacco Securitization Authority of Southern California Tobacco Settlement Revenue Refunding Bonds, San Diego Asset Securities, 5.00%, 6/01/35 | 100,000 | 125,256 | |
25,113,208 | |||
Colorado – 2.7% | |||
Aurora Crossroads Metropolitan District No. 2 Senior Lien GO Limited Bonds, Series A, 5.00%, 12/01/40 | 500,000 | 543,815 | |
Colorado Educational & Cultural Authority Revenue Refunding Bonds, Prospect Ridge Academy Project (Moral Obligation Insured), | |||
5.00%, 3/15/25 | 485,000 | 551,519 | |
5.00%, 3/15/26 | 510,000 | 596,696 | |
5.00%, 3/15/29 | 590,000 | 736,558 | |
5.00%, 3/15/30 | 310,000 | 393,711 | |
5.00%, 3/15/35 | 590,000 | 735,056 | |
Colorado High Performance Transportation Enterprise Revenue Bonds, C-470 Express Lane, 5.00%, 12/31/56 | 1,000,000 | 1,122,157 | |
Colorado State Bridge Enterprise Revenue Bonds (AMT), Central 70 Project, 4.00%, 12/31/24 | 630,000 | 695,406 | |
Colorado State COPS, Series A, | |||
4.00%, 12/15/35 | 1,250,000 | 1,495,983 | |
4.00%, 12/15/36 | 200,000 | 240,864 | |
Colorado State Health Facilities Authority Hospital Variable Revenue Refunding Bonds, Adventhealth Obligation, 5.00%, 11/19/26(b)(c)(d) | 1,000,000 | 1,209,813 | |
Denver City & County Airport System Subordinate Revenue Refunding Bonds, Series A (AMT), 5.25%, 12/01/43 | 500,000 | 611,841 |
Par | Value | ||
Colorado (Continued) | |||
Denver Convention Center Hotel Authority Senior Revenue Refunding Bonds, 5.00%, 12/01/40 | $250,000 | $ 283,641 | |
E-470 Public Highway Authority Senior Revenue Refunding Bonds, Series A, | |||
5.00%, 9/01/23 | 150,000 | 162,593 | |
5.00%, 9/01/40 | 810,000 | 900,991 | |
Park Creek Metropolitan District Revenue Refunding Bonds, Series A (NATL, IBC Insured), 5.00%, 12/01/45 | 500,000 | 564,696 | |
Sand Creek Metropolitan District GO Limited Refunding Bonds, Series A (AGM Insured), | |||
4.00%, 12/01/22 | 125,000 | 129,726 | |
4.00%, 12/01/23 | 180,000 | 192,740 | |
University of Colorado Enterprise Variable Revenue Bonds, Series C, Green Bond, 2.00%, 10/15/24(b)(c)(d) | 250,000 | 260,706 | |
11,428,512 | |||
Connecticut – 1.4% | |||
Bridgeport GO Unlimited Bonds, Series A, | |||
5.00%, 8/01/23 | 200,000 | 216,051 | |
5.00%, 8/01/25 | 260,000 | 301,148 | |
5.00%, 8/01/27 | 275,000 | 334,456 | |
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Forward Delivery, Stamford Hospital Issue, 7/01/42(f) | 250,000 | 282,568 | |
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Series B-1, 5.00%, 1/01/25(b)(c)(d) | 500,000 | 567,674 | |
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Series F, Masonicare Issue, 5.00%, 7/01/27 | 220,000 | 253,804 |
Par | Value | ||
Connecticut (Continued) | |||
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Series K, Sacred Heart University, 5.00%, 7/01/27 | $400,000 | $ 484,857 | |
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Series R, Trinity College, 5.00%, 6/01/32 | 265,000 | 339,855 | |
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, University of Hartford, | |||
5.00%, 7/01/24 | 240,000 | 264,580 | |
5.00%, 7/01/25 | 260,000 | 294,920 | |
5.00%, 7/01/31 | 500,000 | 604,762 | |
4.00%, 7/01/39 | 120,000 | 132,654 | |
4.00%, 7/01/49 | 100,000 | 108,650 | |
Hamden GO Unlimited Refunding Bonds, Series A (BAM Insured), 5.00%, 8/01/24 | 500,000 | 561,803 | |
Hamden Revenue Refunding Bonds, Whitney Center Project, 5.00%, 1/01/40 | 125,000 | 134,582 | |
Hartford County Metropolitan District GO Unlimited Bonds, 5.00%, 7/15/35 | 750,000 | 921,317 | |
5,803,681 | |||
Delaware – 0.1% | |||
Kent County Student Housing & Dining Facilities Revenue Bonds, CHF-Dover LLC-Delaware State University Project, | |||
5.00%, 7/01/32 | 250,000 | 284,112 | |
5.00%, 7/01/48 | 100,000 | 110,878 | |
394,990 | |||
District of Columbia – 1.9% | |||
District of Columbia Revenue Bonds, Ingleside Rock Creek Project, 5.00%, 7/01/52 | 400,000 | 425,102 | |
District of Columbia Revenue Bonds, KIPP DC Project, 4.00%, 7/01/39 | 100,000 | 112,477 |
Par | Value | ||
District of Columbia (Continued) | |||
District of Columbia Revenue Refunding Bonds, National Public Radio, Prerefunded, 4.00%, 4/01/26(a) | $ 250,000 | $ 287,223 | |
District of Columbia University Revenue Refunding Bonds, Georgetown University, 5.00%, 4/01/29 | 350,000 | 418,886 | |
District of Columbia Water & Sewer Authority Public Utility Revenue Bonds, Series B, 5.00%, 10/01/49 | 500,000 | 605,585 | |
District of Columbia Water & Sewer Authority Public Utility Subordinate Lien Revenue Bonds, Series A, Prerefunded, 5.00%, 10/01/23(a) | 650,000 | 709,089 | |
District of Columbia Water & Sewer Authority Public Utility Subordinate Lien Revenue Bonds, Series B, 5.00%, 10/01/37 | 750,000 | 871,159 | |
Metropolitan Washington Airports Authority Airport System Revenue Refunding Bonds, Series A (AMT), 5.00%, 10/01/46 | 500,000 | 623,385 | |
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 | 401,015 | |
Metropolitan Washington Airports Authority System Revenue Refunding Bonds, Series A (AMT), | |||
5.00%, 10/01/26 | 1,000,000 | 1,191,563 | |
5.00%, 10/01/43 | 500,000 | 608,540 | |
Washington Metropolitan Area Transit Authority Dedicated Revenue Bonds, Series A, 4.00%, 7/15/40 | 1,000,000 | 1,172,355 | |
Washington Metropolitan Area Transit Authority Gross Revenue Bonds, 5.00%, 7/01/43 | 300,000 | 357,469 | |
7,783,848 |
Par | Value | ||
Florida – 3.3% | |||
Alachua County Health Facilities Authority Revenue Bonds, Shands Teaching Hospital & Clinics, 5.00%, 12/01/44 | $ 500,000 | $ 560,291 | |
Broward County Airport System Revenue Bonds, Series A (AMT), 5.00%, 10/01/36 | 750,000 | 926,648 | |
Central Florida Expressway Authority Senior Lien Revenue Refunding Bonds, 5.00%, 7/01/42 | 350,000 | 419,719 | |
Collier County Water-Sewer District Revenue Bonds, 4.00%, 7/01/40 | 500,000 | 601,745 | |
Davie Educational Facilities Revenue Bonds, Series B, Nova Southeastern University Project , Prerefunded, 5.00%, 4/01/23(a) | 250,000 | 266,669 | |
Florida State Board of Education Public Education GO Unlimited Refunding Bonds, Capital Outlay, Series E, 5.00%, 6/01/31 | 1,000,000 | 1,158,132 | |
Florida State Municipal Power Agency Revenue Refunding Bonds, Series A, 5.00%, 10/01/31 | 300,000 | 357,294 | |
Greater Orlando Aviation Authority Airport Facilities Revenue Bonds, Series A (AMT), | |||
5.00%, 10/01/40 | 500,000 | 575,135 | |
5.00%, 10/01/44 | 1,000,000 | 1,215,072 | |
Hillsborough County Aviation Authority Subordinate Revenue Bonds, Series B, Tampa International Airport, 5.00%, 10/01/40 | 470,000 | 527,577 | |
JEA Electric System Revenue Refunding Bonds, Series Three A, 4.00%, 10/01/37 | 1,395,000 | 1,641,957 | |
Lee Memorial Health System Hospital Revenue Refunding Bonds, Series A-1, 5.00%, 4/01/44 | 600,000 | 729,314 | |
Leon County School District Sales TRB, 4.00%, 9/01/26 | 800,000 | 850,735 |
Par | Value | ||
Florida (Continued) | |||
Miami-Dade County Aviation Revenue Bonds, Series A (AMT), 5.00%, 10/01/49 | $250,000 | $ 301,176 | |
Miami-Dade County Aviation Revenue Refunding Bonds, Series A (AMT), 5.00%, 10/01/33 | 500,000 | 559,712 | |
Miami-Dade County Educational Facilities Authority Revenue Refunding Bonds, Series A, University of Miami, 5.00%, 4/01/30 | 250,000 | 283,554 | |
Osceola County Florida Transportation Revenue Refunding CABS, Series A-2, | |||
0.00%, 10/01/25(g) | 125,000 | 118,527 | |
0.00%, 10/01/26(g) | 275,000 | 255,156 | |
0.00%, 10/01/27(g) | 360,000 | 326,058 | |
Tampa Hospital Revenue Bonds, H. Lee Moffitt Cancer Center, | |||
5.00%, 7/01/23 | 150,000 | 161,561 | |
5.00%, 7/01/25 | 150,000 | 173,475 | |
5.00%, 7/01/26 | 125,000 | 148,783 | |
5.00%, 7/01/27 | 125,000 | 152,439 | |
Village Community Development District No. 13 Special Assessment Bonds, Limited Offering, 2.62%, 5/01/24 | 375,000 | 381,529 | |
Volusia County Educational Facilities Authority Revenue Refunding Bonds, Embry-Riddle Aeronautical, 5.00%, 10/15/44 | 500,000 | 606,800 | |
Wildwood Utility Dependent District Subordinate Revenue Bonds, South Sumter Utility Project (BAM Insured), 5.00%, 10/01/36 | 400,000 | 504,385 | |
13,803,443 | |||
Georgia – 2.2% | |||
Atlanta Development Authority Senior Lien Revenue Bonds, Series A-1, 5.00%, 7/01/30 | 200,000 | 227,810 |
Par | Value | ||
Georgia (Continued) | |||
Bartow County Development Authority Variable Revenue Refunding Bonds, Georgia Power Company Plant Bowen Project, 2.75%, 3/15/23(b)(c)(d) | $ 500,000 | $ 516,248 | |
Brookhaven Development Authority Revenue Bonds, Children's Healthcare of Atlanta, 4.00%, 7/01/49 | 1,000,000 | 1,144,447 | |
Fulton County Development Authority Transportation Corp., Toll Revenue Refunding Bonds, Robert W. Woodruff Arts Center, Inc., Project, 5.00%, 3/15/32 | 200,000 | 242,376 | |
Gainesville & Hall County Hospital Authority Revenue Refunding Bonds, Northeast Georgia Health System, Inc., Project, 5.00%, 2/15/37 | 500,000 | 588,607 | |
Gainesville & Hall County Hospital Authority Revenue Refunding Bonds, Series S, Northeast Georgia Health System, Inc., Project (County Gtd), Prerefunded, 5.50%, 2/15/25(a) | 500,000 | 581,357 | |
Glynn-Brunswick Memorial Hospital Authority Revenue Refunding Anticipation Certificates Bonds, Southeast Georgia Health System, 5.00%, 8/01/34 | 530,000 | 601,632 | |
Griffin-Spalding County Hospital Authority Revenue Anticipation Certificates Bonds, Wellstar, 5.00%, 4/01/35 | 150,000 | 178,574 | |
Main Street Natural Gas Inc., Gas Supply Variable Revenue Bonds, Series B, | |||
4.00%, 12/01/23 | 355,000 | 381,201 | |
4.00%, 12/02/24(b)(c)(d) | 100,000 | 109,918 | |
Main Street Natural Gas, Inc., Gas Supply Revenue Bonds, Series A, 4.00%, 9/01/23(b)(c)(d) | 370,000 | 392,375 |
Par | Value | ||
Georgia (Continued) | |||
Main Street Natural Gas, Inc., Gas Supply Revenue Bonds, Series C, 4.00%, 9/01/26(b)(c)(d) | $1,110,000 | $1,263,386 | |
Main Street Natural Gas, Inc., Gas Supply Revenue Bonds, Subseries C, 4.00%, 12/01/23(b)(c)(d) | 500,000 | 534,138 | |
Metropolitan Atlanta Rapid Transit Authority Sales Tax Revenue Refunding Bonds, Series A, Third Indenture Series, 4.00%, 7/01/44 | 300,000 | 315,359 | |
Municipal Electric Authority of Georgia Power Revenue Refunding Bonds, Series HH, 5.00%, 1/01/29 | 500,000 | 611,208 | |
Private Colleges & Universities Authority Revenue Refunding Bonds, Series B, Emory University, 4.00%, 9/01/40 | 1,500,000 | 1,767,382 | |
9,456,018 | |||
Guam – 0.1% | |||
Guam Government Business Privilege Tax Revenue Refunding Bonds, Series F, 4.00%, 1/01/36 | 250,000 | 285,062 | |
Hawaii – 0.1% | |||
Hawaii State Airports System Revenue Refunding Bonds (AMT), 5.00%, 7/01/23 | 500,000 | 502,444 | |
Illinois – 7.4% | |||
Barrington Alternative Revenue Source GO Unlimited Bonds, 4.50%, 12/15/34 | 235,000 | 277,957 | |
Chicago Board Of Education GO Unlimited Bonds, Series A, 5.00%, 12/01/38 | 500,000 | 611,040 | |
Chicago City Colleges Capital Appreciation GO Unlimited Bonds (NATL Insured), 0.00%, 1/01/30(g) | 750,000 | 637,669 | |
Chicago GO Unlimited Bonds, Series A, 5.50%, 1/01/49 | 100,000 | 119,983 |
Par | Value | ||
Illinois (Continued) | |||
Chicago GO Unlimited Refunding Bonds, Project Series A, 5.00%, 1/01/35 | $ 350,000 | $ 376,126 | |
Chicago GO Unlimited Refunding Bonds, Series A, 5.00%, 1/01/23 | 400,000 | 420,401 | |
Chicago Midway Airport Second Lien Revenue Refunding Bonds, Series A (AMT), 5.00%, 1/01/31 | 1,045,000 | 1,140,599 | |
Chicago O'Hare International Airport Senior Lien General Revenue Bonds, Series D (AMT), 5.00%, 1/01/26 | 140,000 | 163,499 | |
Chicago O'Hare International Airport Senior Lien Revenue Refunding Bonds, Series A (AMT), 5.00%, 1/01/31 | 250,000 | 307,374 | |
Chicago Park District GO Limited Tax Refunding Bonds, Series B, | |||
5.00%, 1/01/24 | 175,000 | 191,804 | |
5.00%, 1/01/26 | 395,000 | 431,276 | |
Chicago Wastewater Transmission Second Lien Revenue Bonds, 5.00%, 1/01/39 | 500,000 | 544,723 | |
Cook County GO Unlimited Refunding Bonds, Series A, 5.00%, 11/15/25 | 1,000,000 | 1,172,216 | |
Cook County Sales TRB, 5.00%, 11/15/37 | 500,000 | 523,412 | |
Hillside Incremental Tax Allocation Revenue Refunding Bonds, 5.00%, 1/01/24 | 100,000 | 103,188 | |
Illinois State Finance Authority Revenue Refunding Bonds, Series A, 4.00%, 7/15/39 | 250,000 | 298,507 | |
Illinois State Finance Authority Revenue Refunding Bonds, Series A, Bradley Universtiy Project, 4.00%, 8/01/43 | 250,000 | 281,493 | |
Illinois State Finance Authority Revenue Refunding Bonds, Series A, Lutheran Communities, 5.00%, 11/01/40 | 350,000 | 388,186 | |
Illinois State Finance Authority Revenue Refunding Bonds, Series A, University Of Chicago, 5.00%, 10/01/28 | 2,500,000 | 3,164,354 |
Par | Value | ||
Illinois (Continued) | |||
Illinois State Finance Authority Revenue Refunding Bonds, Series C, Presence Health Network, 5.00%, 2/15/23 | $ 500,000 | $ 530,656 | |
Illinois State Finance Authority Variable Revenue Bonds, Series B-2, 5.00%, 11/15/26(b)(c)(d) | 500,000 | 591,525 | |
Illinois State GO Unlimited Bonds, | |||
5.37%, 5/01/23 | 250,000 | 268,296 | |
5.50%, 5/01/25 | 845,000 | 978,780 | |
5.50%, 7/01/26 | 460,000 | 497,298 | |
Illinois State GO Unlimited Bonds, Series A, 5.00%, 3/01/28 | 1,500,000 | 1,807,093 | |
Illinois State GO Unlimited Bonds, Series B, | |||
5.00%, 3/01/24 | 250,000 | 275,207 | |
5.00%, 10/01/31 | 250,000 | 309,902 | |
Illinois State GO Unlimited Refunding Bonds, 5.00%, 8/01/24 | 470,000 | 485,999 | |
Illinois State GO Unlimited Refunding Bonds, Series A, 5.00%, 10/01/25 | 110,000 | 126,792 | |
Illinois State GO Unlimited Refunding Bonds, Series B, 5.00%, 10/01/28 | 250,000 | 304,031 | |
Illinois State Housing Development Authority MFH Variable Revenue Bonds, Marshall Field Garden (FNMA LOC), (SIFMA Municipal Swap Index Yield + 1.00%), 1.05%, 5/15/25(b)(d) | 500,000 | 510,618 | |
Illinois State Sales Tax Junior Obligations Revenue Bonds, Series A (BAM Insured), 4.00%, 6/15/34 | 620,000 | 709,829 | |
Illinois State Sales Tax Revenue Refunding Bonds, Subseries D (BAM, TCRS Insured), 3.00%, 6/15/31 | 390,000 | 413,838 | |
Illinois State Sales TRB, Build Illinois - Junior Obligation, 5.00%, 6/15/23 | 200,000 | 214,361 | |
Illinois State Sports Facilities Authority State Tax Supported Revenue CABS (AMBAC Insured), 0.00%, 6/15/25(g) | 95,000 | 91,329 |
Par | Value | ||
Illinois (Continued) | |||
Illinois State Sports Facilities Authority State Tax Supported Revenue Refunding Bonds (AGM Insured), 5.00%, 6/15/27 | $400,000 | $439,791 | |
Illinois State Toll Highway Authority Senior Revenue Bonds, Series A, 5.00%, 1/01/40 | 500,000 | 632,344 | |
Illinois State Toll Highway Authority Senior Revenue Refunding Bonds, Series A, 5.00%, 1/01/31 | 525,000 | 658,407 | |
Kane, Cook & Dupage Counties, Illinois School District, GO Unlimited Refunding Bonds, Series D, 5.00%, 1/01/28 | 215,000 | 235,988 | |
Libertyville GO Unlimited Refunding Bonds, Series A, | |||
3.00%, 12/15/22 | 235,000 | 241,896 | |
3.00%, 12/15/23 | 245,000 | 258,075 | |
Madison, Macoupin Etc. Counties Community College District No. 536 GO Unlimited Refunding Bonds, Lewis & Clark Community (AGM Insured), 4.00%, 5/01/23 | 700,000 | 734,797 | |
Metropolitan Pier & Exposition Authority Dedicated Capital Appreciation Tax Revenue Refunding Bonds, Series B, McCormick Project (AGM Insured), 0.00%, 6/15/26(g) | 250,000 | 235,405 | |
Metropolitan Pier & Exposition Authority Revenue Refunding Bonds, McCormick Place Expansion, | |||
12/15/42 (f) | 125,000 | 140,591 | |
12/15/47 (f) | 250,000 | 278,406 | |
6/15/52 (f) | 245,000 | 272,080 | |
Metropolitan Pier & Exposition Authority Revenue Refunding CABS, McCormick Place Expansion, 12/15/35(f) | 150,000 | 105,997 | |
Metropolitan Pier and Exposition Authority Revenue Refunding Bonds, McCormick Place Expansion Project, | |||
5.00%, 6/15/42 | 500,000 | 607,493 | |
5.00%, 6/15/50 | 500,000 | 590,119 |
Par | Value | ||
Illinois (Continued) | |||
Northern University Board of Trustees Revenue Bonds, Auxiliary Facilities System (BAM Insured), | |||
5.00%, 10/01/25 | $325,000 | $ 376,004 | |
5.00%, 10/01/26 | 250,000 | 296,570 | |
Peoria County School District No. 150 GO Unlimited Refunding Bonds, Series A (AGM Insured), 4.00%, 12/01/26 | 390,000 | 445,314 | |
Regional Transportation Authority Revenue Bonds, Series A (AGM Insured), 5.75%, 6/01/34 | 750,000 | 1,022,277 | |
Regional Transportation Authority Revenue Bonds, Series B (NATL Insured), 5.50%, 6/01/27 | 350,000 | 408,694 | |
Sales Tax Securitization Corp., Second Lien Revenue Refunding Bonds, Series A, 4.00%, 1/01/38 | 250,000 | 290,569 | |
Sangamon Logan & Menard Counties Community Unit School District No. 15 GO Unlimited Bonds, Series B (BAM Insured), | |||
5.00%, 12/01/25 | 300,000 | 350,171 | |
4.00%, 12/01/39 | 250,000 | 288,742 | |
Waukegan City Lake County Water & Sewer System Revenue Refunding Bonds (AGM Insured), | |||
5.00%, 12/30/26 | 200,000 | 239,216 | |
4.00%, 12/30/38 | 500,000 | 581,524 | |
4.00%, 12/30/40 | 500,000 | 579,155 | |
Waukegan GO Unlimited Bonds, Series A (AGM Insured), 5.00%, 12/30/32 | 250,000 | 284,078 | |
Will County Community High School District No. 210 Lincoln-Way Refunding GO Unlimited Bonds (AGM Insured), 4.00%, 1/01/34 | 650,000 | 734,968 | |
Will County Community School District No. 161 Summit Hill Refunding GO Unlimited Bonds, 4.00%, 1/01/24 | 470,000 | 504,611 | |
31,102,643 |
Par | Value | ||
Indiana – 2.2% | |||
Clarksville Sewage Works Revenue BANS, 2.75%, 12/11/23 | $ 125,000 | $ 125,112 | |
Indiana Bond Bank Revenue CABS, Hamilton Co., Projects, | |||
0.00%, 7/15/25(g) | 450,000 | 436,325 | |
0.00%, 7/15/28(g) | 900,000 | 819,283 | |
0.00%, 1/15/29(g) | 560,000 | 503,381 | |
Indiana Finance Authority Midwestern Disaster Relief Revenue Bonds, Series A, Ohio Valley Electric Corp., Project, 5.00%, 6/01/39 | 140,000 | 142,377 | |
Indiana State Finance Authority Private Activity Revenue Bonds (AMT), Ohio River Bridges East End Crossing Project, Prerefunded, 5.25%, 7/01/23(a) | 600,000 | 647,264 | |
Indiana State Finance Authority Revenue Refunding Bonds, Valparaiso University Project, 5.00%, 10/01/23 | 585,000 | 630,423 | |
Indiana State Finance Authority Variable Revenue Refunding Bonds, Deaconess Health System, (SIFMA Municipal Swap Index Yield + 0.30%), 0.65%, 3/01/27(b)(d) | 1,500,000 | 1,500,000 | |
Knox Middle School Building Corp., Revenue Bonds (State Intercept), 5.00%, 1/15/27 | 440,000 | 531,988 | |
Upland Economic Development Revenue Refunding Bonds, Taylor University Project, 4.00%, 9/01/24 | 570,000 | 621,543 | |
Vinton-Tecumseh School Building Corp. Ad Valorem Property Tax First Mortgage Revenue Bonds (State Intercept), | |||
4.00%, 7/15/26 | 530,000 | 605,287 | |
4.00%, 1/15/27 | 540,000 | 620,151 | |
4.00%, 7/15/27 | 550,000 | 636,615 |
Par | Value | ||
Indiana (Continued) | |||
Warrick County, Indiana Environmental Improvement Variable Revenue Bonds (AMT), Vectren Energy Delivery, 0.88%, 9/01/23(b)(c)(d) | $1,000,000 | $ 999,320 | |
Whiting Environmental Facilities Revenue Refunding Bonds (AMT), BP Products North America, 5.00%, 6/05/26(b)(c)(d) | 290,000 | 344,369 | |
9,163,438 | |||
Iowa – 0.2% | |||
Indianola GO Unlimited Capital Loan Notes, | |||
3.00%, 6/01/23 | 195,000 | 203,125 | |
3.00%, 6/01/24 | 255,000 | 271,458 | |
Iowa State Finance Authority Midwestern Disaster Area Revenue Refunding Bonds, Iowa Fertilizer Company Project, 3.13%, 12/01/22 | 50,000 | 50,673 | |
PEFA, Inc. Gas Project Revenue Bonds, 5.00%, 9/01/26(b)(c)(d) | 150,000 | 177,306 | |
702,562 | |||
Kentucky – 1.7% | |||
Kenton County Airport Board Revenue Refunding Bonds, 5.00%, 1/01/32 | 400,000 | 465,321 | |
Kentucky Bond Development Corp. Educational Facilities Revenue Refunding Bonds, Transylvania University Project, 5.00%, 3/01/27 | 155,000 | 185,677 | |
Kentucky State Economic Development Finance Authority Health System Revenue Refunding Bonds, Norton Healthcare, Inc., Series B (NATL Insured), 0.00%, 10/01/24(g) | 280,000 | 269,764 | |
Kentucky State Economic Development Finance Authority Revenue Bonds, Owensboro Health, 5.25%, 6/01/50 | 250,000 | 278,474 |
Par | Value | ||
Kentucky (Continued) | |||
Kentucky State Economic Development Finance Authority Revenue Refunding Bonds, Masonic Home Independent Living, 5.00%, 5/15/46 | $ 100,000 | $ 104,574 | |
Kentucky State Economic Development Finance Authority Revenue Refunding Bonds, Series B, Owensboro Health, 5.00%, 6/01/40 | 300,000 | 348,901 | |
Kentucky State Public Energy Authority Gas Supply Revenue Bonds, Series A, 4.00%, 4/01/24(b)(c)(d) | 475,000 | 510,849 | |
Kentucky State Public Energy Authority Gas Supply Revenue Bonds, Series A-1, 4.00%, 6/01/25(b)(c)(d) | 250,000 | 276,927 | |
Kentucky State Public Energy Authority Gas Supply Variable Revenue Bonds, Series C, Gas Supply, 4.00%, 2/01/28(b)(c)(d) | 500,000 | 580,729 | |
Kentucky State Public Energy Authority Revenue Bonds, Series B, Gas Supply, 4.00%, 1/01/25(b)(c)(d) | 650,000 | 713,296 | |
Kentucky State University COPS, Kentucky State University Project (BAM Insured), 5.00%, 11/01/24 | 230,000 | 259,206 | |
Louisville & Jefferson County Metro Government Pollution Control Revenue Refunding Bonds (AMT), Louisville Gas & Electric, 1.35%, 11/01/27 | 1,500,000 | 1,498,608 | |
Louisville & Jefferson County Metropolitan Government Health System Variable Revenue Bonds, Norton Healthcare, Inc., 5.00%, 10/01/26(b)(c)(d) | 1,000,000 | 1,200,993 | |
Louisville Regional Airport Authority Airport System Revenue Refunding Bonds, Series A (AMT), 5.00%, 7/01/23 | 500,000 | 537,404 | |
7,230,723 |
Par | Value | ||
Louisiana – 0.8% | |||
East Baton Rouge Parish Sewerage Commission Revenue Refunding Bonds, Series A, | |||
5.00%, 2/01/24 | $325,000 | $ 358,189 | |
5.00%, 2/01/25 | 475,000 | 542,584 | |
5.00%, 2/01/26 | 100,000 | 117,750 | |
East Baton Rouge Parish Sewerage Commission Variable Revenue Refunding Bonds, Series A, 1.30%, 2/01/28(b)(c)(d) | 500,000 | 506,659 | |
Louisiana Public Facilities Authority Revenue Refunding Bonds, Loyola University Project, | |||
5.00%, 10/01/25 | 250,000 | 285,398 | |
5.00%, 10/01/26 | 215,000 | 251,455 | |
Saint James Parish Variable Revenue Bonds, Nustar Logistics, 5.85%, 6/01/25(b)(c)(d)(e) | 525,000 | 592,749 | |
Saint John The Baptist Parish Revenue Refunding Bonds, Marathon Oil Corp., Project, 2.00%, 4/01/23(b)(c)(d) | 600,000 | 610,186 | |
Saint John The Baptist Parish Variable Revenue Refunding Bonds, Marathon Oil Corp., Project, 2.38%, 7/01/26(b)(c)(d) | 125,000 | 131,003 | |
3,395,973 | |||
Maine – 0.4% | |||
Maine Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Series A, 5.00%, 7/01/27 | 215,000 | 262,593 | |
Maine Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Series A (State Aid Withholding), 5.00%, 7/01/28 | 650,000 | 779,242 | |
Maine State Finance Authority Student Loan Revenue Refunding Bonds (AMT) (AGM Insured), 5.00%, 12/01/24 | 500,000 | 561,102 | |
1,602,937 |
Par | Value | ||
Maryland – 2.0% | |||
Baltimore Convention Center Hotel Revenue Refunding Bonds, Convention Center Hotel, 5.00%, 9/01/39 | $ 500,000 | $ 527,870 | |
Baltimore County GO Unlimited Bonds, 5.00%, 3/01/25 | 1,265,000 | 1,456,659 | |
Department of Transportation Revenue Bonds (AMT), Baltimore Washington International, 4.00%, 8/01/37 | 250,000 | 292,387 | |
Maryland Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Stevenson University Project, 4.00%, 6/01/51 | 325,000 | 361,849 | |
Maryland State Economic Development Corp., Private Activity Revenue Bonds (AMT), Purple Line Light Rail Projects, | |||
5.00%, 3/31/36 | 325,000 | 379,148 | |
5.00%, 3/31/51 | 235,000 | 272,978 | |
Maryland State Economic Development Corp., Revenue Bonds (AMT), Seagirt Marine Terminal Projects, 5.00%, 6/01/44 | 500,000 | 592,927 | |
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, Adventist Healthcare Obligated, 5.50%, 1/01/31 | 400,000 | 483,042 | |
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, Peninsula Regional Health System, | |||
5.00%, 7/01/24 | 350,000 | 390,947 | |
5.00%, 7/01/27 | 1,320,000 | 1,597,609 | |
Maryland State Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Adventist Healthcare, 4.00%, 1/01/26 | 875,000 | 986,180 |
Par | Value | ||
Maryland (Continued) | |||
Maryland State Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Arundel Health Systems, 5.00%, 7/01/29 | $250,000 | $ 302,765 | |
Maryland State Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Series A, Broadmead Issue, 4.00%, 7/01/35 | 285,000 | 314,704 | |
Maryland State Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Series A, Mercy Medical Center, 4.00%, 7/01/42 | 120,000 | 130,098 | |
Maryland State Health & Higher Educational Facilities Authority Variable Revenue Refunding Bonds, University of Maryland, 5.00%, 7/01/27(b)(c)(d) | 200,000 | 239,454 | |
Washington Country Economic Development Revenue Refunding Bonds, Homewood Maryland Obligated Group Project, 4.00%, 5/01/42 | 225,000 | 235,879 | |
8,564,496 | |||
Massachusetts – 1.3% | |||
Development Finance Agency Revenue Refunding Bonds, Lasell University, | |||
4.00%, 7/01/25 | 235,000 | 257,627 | |
4.00%, 7/01/26 | 240,000 | 267,384 | |
Massachusetts Development Finance Agency Revenue Bonds, UMass Boston Student Housing Project, 5.00%, 10/01/48 | 200,000 | 221,323 | |
Massachusetts Port Authority Revenue Bonds, Series E (AMT), 5.00%, 7/01/27 | 365,000 | 443,775 | |
Massachusetts State Consolidated Loan GO Limited Bonds, Series E, 5.25%, 9/01/48 | 500,000 | 624,695 |
Par | Value | ||
Massachusetts (Continued) | |||
Massachusetts State Department of Transportation Metropolitan Highway System Variable Revenue Refunding Bonds, Series A, 5.00%, 1/01/23(b)(c)(d) | $1,500,000 | $1,581,236 | |
Massachusetts State Development Finance Agency Variable Revenue Refunding Bonds, Partners Healthcare, (SIFMA Municipal Swap Index Yield + 0.00%), 0.55%, 1/26/23(b)(d) | 500,000 | 500,775 | |
Massachusetts State GO Limited Refunding Bonds, Series B, 5.00%, 7/01/34 | 1,350,000 | 1,742,703 | |
5,639,518 | |||
Michigan – 1.5% | |||
Detroit Downtown Development Authority Tax Allocation Increment Revenue Refunding Bonds, Series A, Catalyst Development Project (AGM Insured), | |||
5.00%, 7/01/43 | 100,000 | 110,604 | |
5.00%, 7/01/48 | 200,000 | 220,483 | |
Detroit GO Unlimited Bonds, 5.00%, 4/01/27 | 50,000 | 58,687 | |
Detroit GO Unlimited Bonds, Series A, Social Bonds, 4.00%, 4/01/40 | 250,000 | 278,685 | |
Great Lakes Water Authority Sewage Disposal System Second Lien Revenue Refunding Bonds, Series C, 5.00%, 7/01/36 | 495,000 | 585,196 | |
Michigan Finance Authority Revenue Bonds, Local Government Loan Program, 5.00%, 7/01/33 | 350,000 | 402,166 | |
Michigan State Finance Authority Local Government Loan Program Revenue Refunding Bonds, | |||
5.00%, 7/01/29 | 425,000 | 490,677 | |
4.50%, 10/01/29 | 250,000 | 265,184 | |
Michigan State Finance Authority Revenue Refunding Bonds, Michigan Health, Escrowed to Maturity, 5.00%, 6/01/23 | 390,000 | 419,306 |
Par | Value | ||
Michigan (Continued) | |||
Michigan State Finance Authority Revenue Refunding Bonds, Trinity Health Credit Group, 4.00%, 12/01/35 | $515,000 | $ 606,042 | |
Michigan State Finance Authority Variable Revenue Bonds, Bronson Healthcare Group, 3.50%, 11/15/22(b)(c)(d) | 250,000 | 258,046 | |
Michigan State Hospital Finance Authority Revenue Refunding Bonds, Ascenion Senior, 5.00%, 11/15/47 | 420,000 | 496,334 | |
Michigan State Strategic Fund Limited Obligation Variable Revenue Bonds (AMT), Consumers Energy Co., 1.80%, 10/01/24(b)(c)(d) | 500,000 | 512,030 | |
Michigan State Strategic Fund Limited Obligation Variable Revenue Bonds (AMT), Green Bond, 4.00%, 10/01/26(b)(c)(d) | 100,000 | 111,046 | |
Northern University General Revenue Refunding Bonds, Series A, 5.00%, 12/01/27 | 590,000 | 727,095 | |
Wayne County Airport Authority Junior Lien Revenue Refunding Bonds, Series A, 5.00%, 12/01/26 | 500,000 | 602,678 | |
Wayne University Revenue Refunding Bonds, Series A (BAM, TCRS Insured), 5.00%, 11/15/27 | 300,000 | 354,829 | |
6,499,088 | |||
Minnesota – 0.1% | |||
City of Shakopee Senior Housing Revenue Bonds, Benedictine Living Community of Shakopee LLC Project, 5.85%, 11/01/25(b)(c)(d)(e) | 250,000 | 267,481 |
Par | Value | ||
Mississippi – 0.2% | |||
Mississippi State Hospital Equipment & Facilities Authority Adjustable Revenue Refunding Bonds, North Mississippi Health, 5.00%, 3/01/27(b)(c)(d) | $265,000 | $ 310,202 | |
Mississippi State Hospital Equipment & Facilities Authority Revenue Refunding Bonds, Forrest Country General Hospital Project, 5.00%, 1/01/24 | 400,000 | 436,865 | |
747,067 | |||
Missouri – 0.8% | |||
Central Southwest Community College District COPS, | |||
5.00%, 3/01/26 | 225,000 | 264,540 | |
5.00%, 3/01/27 | 225,000 | 271,211 | |
Missouri Health & Educational Facilities Authority Revenue Refunding Bonds, | |||
5.00%, 2/15/26 | 200,000 | 235,024 | |
5.00%, 2/15/27 | 215,000 | 259,121 | |
5.00%, 2/15/28 | 250,000 | 307,188 | |
Missouri Joint Municipal Electric Utility Commission Power Project Revenue Refunding Bonds, Series A, Iatan 2 Project, 5.00%, 1/01/33 | 310,000 | 339,058 | |
Missouri State Health & Educational Facilities Authority Health Facilities Revenue Refunding Bonds, Series A, St. Luke's Health System, Inc., | |||
5.00%, 11/15/23 | 150,000 | 163,918 | |
5.00%, 11/15/30 | 250,000 | 294,542 | |
Missouri State Health & Educational Facilities Authority Revenue Refunding Bonds, Bethesda Health Group, Inc., | |||
4.00%, 8/01/24 | 320,000 | 347,858 | |
4.00%, 8/01/26 | 200,000 | 226,356 | |
Saint Louis County IDA Senior Living Facilities Revenue Refunding Bonds, Friendship Village St. Louis, 5.00%, 9/01/48 | 500,000 | 556,785 | |
3,265,601 |
Par | Value | ||
Nebraska – 0.7% | |||
Central Plains Energy Project Gas Supply Revenue Refunding Bonds, 4.00%, 8/01/25(b)(c)(d) | $ 225,000 | $ 251,943 | |
Douglas County Hospital Authority No. 2 Revenue Bonds, Children's Hospital Obligated Group, 5.00%, 11/15/25(b)(c)(d) | 600,000 | 695,038 | |
Gretna Tax Supported COPS, 4.00%, 12/15/25 | 2,000,000 | 2,203,996 | |
3,150,977 | |||
Nevada – 1.3% | |||
Clark County School District GO Limited Refunding Bonds, Series C, Building, 5.00%, 6/15/23 | 500,000 | 536,773 | |
Clark County School District GO Limited Refunding Bonds, Series D, 5.00%, 6/15/23 | 300,000 | 322,064 | |
Clark County School District GO Limited Refunding Bonds, Series E, 5.00%, 6/15/25 | 1,330,000 | 1,536,003 | |
Clark County Stadium Improvement GO Limited Bonds, Series A, 5.00%, 5/01/48 | 500,000 | 598,268 | |
Las Vegas Convention & Visitors Authority Convention Center Expansion Revenue Bonds, Series B, 5.00%, 7/01/43 | 250,000 | 298,927 | |
Las Vegas New Convention & Visitors Authority Revenue Bonds, Series B, 5.00%, 7/01/37 | 1,000,000 | 1,229,715 | |
Las Vegas Special Improvement District No. 814 Summerlin Village 21 & 24A Special Assessment Bonds, 4.00%, 6/01/49 | 100,000 | 106,622 |
Par | Value | ||
Nevada (Continued) | |||
Reno Sales Tax First Lien Revenue Refunding Bonds, Retrac-Reno Transportation Rail Access Corridor Project, 5.00%, 6/01/48 | $ 500,000 | $ 574,786 | |
Sparks Nevada Tourism Improvement District No. 1 Sales Tax Senior Lien Revenue Refunding Bonds, Series A, 2.50%, 6/15/24(e) | 225,000 | 227,957 | |
5,431,115 | |||
New Hampshire – 0.3% | |||
National Finance Authority Municipal Certificates Revenue Bonds, Series 1-A, 4.13%, 1/20/34 | 707,650 | 835,906 | |
National Finance Authority Revenue Bonds, Series A, 4.00%, 7/01/51 | 250,000 | 289,642 | |
New Hampshire State Health & Education Facilities Authority Revenue Refunding Bonds, Kendal at Hanover Issue, 5.00%, 10/01/36 | 180,000 | 206,057 | |
1,331,605 | |||
New Jersey – 4.0% | |||
Atlantic City Board Of Education GO Unlimited Refunding Bonds (AGM School Board Resource Fund Insured), | |||
4.00%, 4/01/23 | 300,000 | 314,940 | |
4.00%, 4/01/25 | 350,000 | 390,553 | |
Garden State Preservation Trust Open Space & Farmland Preservation Revenue Bonds, Series A (AGM Insured), 5.75%, 11/01/28 | 1,170,000 | 1,428,052 | |
New Jersey Covid-19 GO Unlimited Emergency Bonds, 5.00%, 6/01/26 | 385,000 | 455,849 | |
New Jersey Economic Development Authority Revenue Refunding bonds, Series GGG, School Facilities Construction, 5.25%, 9/01/23(e) | 1,500,000 | 1,631,033 | |
New Jersey Economic Development Authority Revenue Refunding Bonds, Cranes Mill Project, 5.00%, 1/01/49 | 260,000 | 291,581 |
Par | Value | ||
New Jersey (Continued) | |||
New Jersey Economic Development Authority Revenue Refunding Bonds, Series B, 5.00%, 11/01/22 | $ 365,000 | $ 381,989 | |
New Jersey State EDA Energy Facility Revenue Bonds, Series A (AMT), UMM Energy Partners, | |||
5.00%, 6/15/37 | 190,000 | 193,879 | |
5.12%, 6/15/43 | 350,000 | 357,211 | |
New Jersey State EDA Motor Vehicle Surcharge Revenue Refunding Bonds, Subseries A, 3.38%, 7/01/30 | 250,000 | 263,326 | |
New Jersey State EDA Private Activity Revenue Bonds (AMT), The Goethals Project, | |||
5.00%, 1/01/24 | 150,000 | 164,197 | |
5.25%, 1/01/25 | 100,000 | 110,469 | |
5.37%, 1/01/43 | 100,000 | 109,884 | |
New Jersey State EDA Revenue Bonds, Provident Group Rowan Properties LLC, 5.00%, 1/01/48 | 125,000 | 128,599 | |
New Jersey State EDA Revenue Refunding Bonds, Series A, United Methodist Homes, 5.00%, 7/01/29 | 100,000 | 106,988 | |
New Jersey State EDA Revenue Refunding Bonds, Series XX, 5.00%, 6/15/23 | 170,000 | 182,503 | |
New Jersey State EDA Special Facility Revenue Refunding Bonds (AMT), Port Newark Container, 5.00%, 10/01/47 | 300,000 | 343,293 | |
New Jersey State EDA Water Facilities Revenue Refunding Bonds (AMT), New Jersey American Water Co., Inc. Project, 2.20%, 12/03/29(b)(c)(d) | 775,000 | 812,523 | |
New Jersey State Health Care Facilities Financing Authority Revenue Bonds, Valley Health System Obligated Group Series, 5.00%, 7/01/33 | 1,000,000 | 1,258,710 |
Par | Value | ||
New Jersey (Continued) | |||
New Jersey State Health Care Facilities Financing Authority Revenue Refunding Bonds, RWJ Barnajas Health Obligated Group, 5.00%, 7/01/26(b)(c)(d) | $ 400,000 | $ 476,510 | |
New Jersey State Higher Education Assistance Authority Student Loan Revenue Bonds, Series B (AMT), 5.00%, 12/01/24 | 570,000 | 644,302 | |
New Jersey State Transportation Trust Fund Authority Revenue Bonds, Series A, 4.00%, 6/15/42 | 250,000 | 282,814 | |
New Jersey State Transportation Trust Fund Authority Revenue Bonds, Series AA, 5.00%, 6/15/40 | 500,000 | 621,983 | |
New Jersey State Transportation Trust Fund Authority Revenue Bonds, Transportation Program, 5.25%, 6/15/43 | 625,000 | 759,857 | |
New Jersey State Transportation Trust Fund Authority Revenue Refunding Bonds, Series A, 4.00%, 6/15/34 | 175,000 | 204,808 | |
New Jersey State Transportation Trust Fund Authority Transportation System Revenue Bonds, Series A, 5.25%, 12/15/22 | 1,000,000 | 1,054,921 | |
New Jersey State Transportation Trust Fund Authority Transportation System Revenue Refunding Bonds, 5.00%, 12/15/25 | 100,000 | 117,071 | |
New Jersey State Turnpike Authority Revenue Bonds, Series A, | |||
5.00%, 1/01/27 | 305,000 | 369,095 | |
5.00%, 1/01/33 | 230,000 | 256,195 | |
New Jersey State Turnpike Authority Revenue Bonds, Series B, Prerefunded, 5.00%, 1/01/23(a) | 135,000 | 142,523 | |
New Jersey State Turnpike Authority Turnpike Revenue Refunding Bonds, Series E, 5.00%, 1/01/31 | 255,000 | 313,651 |
Par | Value | ||
New Jersey (Continued) | |||
New Jersey Turnpike Revenue Bonds, Series A, 4.00%, 1/01/42 | $ 240,000 | $ 278,778 | |
Newark Board of Education GO Unlimited Bonds, Sustainability Bonds (School Board Guaranty Program), 5.00%, 7/15/23 | 300,000 | 323,591 | |
Newark Housing Authority Port Newark Marine Terminal Rental Revenue Refunding Bonds, Additional Newark Redevelopment Project (NATL Insured), 5.25%, 1/01/24 | 500,000 | 537,535 | |
Union County Utilities Authority Resource Recovery Facility Lease Revenue Refunding Bonds, Series A (AMT), Covanta Union, Inc. (County Gtd), 5.25%, 12/01/31 | 1,500,000 | 1,505,984 | |
16,815,197 | |||
New Mexico – 0.3% | |||
Farmington PCR Refunding Bonds, Public Service Company of New Mexico San Juan Project, 1.15%, 6/01/24(b)(c)(d) | 250,000 | 252,379 | |
New Mexico State Hospital Equipment Loan Council Variable Revenue Bonds, Series B, 5.00%, 8/01/25(b)(c)(d) | 500,000 | 578,562 | |
New Mexico State Municipal Energy Acquisition Authority Gas Supply Revenue Refunding Bonds, Series A, 5.00%, 5/01/25(b)(c)(d) | 275,000 | 315,444 | |
1,146,385 | |||
New York – 9.1% | |||
Build Resource Corp., Revenue Bonds, Friends of Hellenic Classical Charter Schools, Inc., 4.00%, 12/01/31(e) | 500,000 | 546,897 | |
Hempstead Town Local Develop Corp., Education Revenue Refunding Bonds, Academy Charter School Project, 5.66%, 2/01/44 | 250,000 | 276,856 |
Par | Value | ||
New York (Continued) | |||
Hempstead Town Local Development Corp. Revenue Refunding Bonds, Adelphi University Project, | |||
5.00%, 6/01/27 | $ 300,000 | $ 359,383 | |
5.00%, 6/01/28 | 500,000 | 611,273 | |
Hempstead Town Local Development Corp., Education Revenue Bonds, Academy Charter School Project, 4.60%, 2/01/51 | 250,000 | 250,665 | |
Hudson Yards Infrastructure Corp. Revenue Refunding Bonds, Second Indenture Series, Fiscal 2022, Green Bonds, 4.00%, 2/15/43 | 1,000,000 | 1,183,754 | |
Hudson Yards Infrastructure Corp., Senior Revenue Bonds Fiscal 2012, 5.75%, 2/15/47 | 255,000 | 255,275 | |
Long Beach GO Limited Bonds, Series A, 5.00%, 9/01/28 | 665,000 | 805,406 | |
Long Island Power Authority Electric System Variable Revenue Bonds, Series B, 1.65%, 9/01/24(b)(c)(d) | 1,650,000 | 1,693,653 | |
Metropolitan Transportation Authority Revenue BANS, Series A-1, 5.00%, 2/01/23 | 750,000 | 792,993 | |
Metropolitan Transportation Authority Revenue Bonds, Series A-1-Group 1, Green Bond, 5.00%, 11/15/49 | 500,000 | 594,581 | |
Metropolitan Transportation Authority Transportation Revenue Bonds, Series E, 4.00%, 11/15/23 | 535,000 | 573,046 | |
Metropolitan Transportation Authority Transportation Revenue Refunding Bonds, Series B, Green Bonds, Climate, 4.00%, 11/15/22 | 730,000 | 757,274 | |
Metropolitan Transportation Authority Variable Revenue Bonds, Subseries D-1, (SOFR + 0.33%), 0.36%, 4/01/24(b)(d) | 1,000,000 | 997,297 |
Par | Value | ||
New York (Continued) | |||
Metropolitan Transportation Authority, New York Transportation Variable Rate Revenue Refunding Bonds, Subseries G-3, (SIFMA Municipal Swap Index Yield + 0.43%), 0.48%, 2/01/25(b)(d) | $1,000,000 | $1,000,142 | |
Monroe County Industrial Development Agency School Facility Revenue Bonds, Rochester Schools Modernization Project (State Aid Withholding), 5.00%, 5/01/35 | 800,000 | 1,015,169 | |
Monroe County Industrial Development Corp., Revenue Bonds, University of Rochester Project, 4.00%, 7/01/50 | 1,000,000 | 1,150,512 | |
New York City Municipal Finance Authority Water & Sewer System Second General Resolution Revenue Refunding Bonds, 5.00%, 6/15/26 | 2,000,000 | 2,394,621 | |
New York City Transitional Finance Authority Future Tax Secured Subordinate Revenue Bonds, 4.00%, 11/01/40 | 400,000 | 464,602 | |
New York City Transitional Finance Authority Future Tax Subordinate Revenue Bonds, 4.00%, 5/01/36 | 1,000,000 | 1,177,079 | |
New York City Transitional Finance Authority Revenue Bonds, Sub Series C-2, 5.00%, 5/01/32 | 1,000,000 | 1,239,021 | |
New York GO Unlimited Bonds, Series 1, 4.00%, 8/01/27 | 625,000 | 734,176 | |
New York GO Unlimited Bonds, Series D, Subseries D1, 5.00%, 12/01/42 | 250,000 | 306,004 | |
New York State Convention Center Development Corp., Revenue Refunding Bonds, Hotel Unit Fee Secured, 5.00%, 11/15/40 | 600,000 | 686,806 |
Par | Value | ||
New York (Continued) | |||
New York State Dormitory Authority Non State Supported Debt Revenue Bonds, Fordham University, 4.00%, 7/01/50 | $ 600,000 | $ 684,343 | |
New York State Dormitory Authority Non State Supported Debt Revenue Refunding Bonds, Series A, Barnard College, 4.00%, 7/01/49 | 300,000 | 341,731 | |
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 | 542,223 | |
New York State Dormitory Authority Revenues Non State Supported Debt Revenue Bonds, Northwell Health Obligated Group, 5.00%, 5/01/24(b)(c)(d) | 1,250,000 | 1,363,357 | |
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 | 240,444 | |
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 | 1,120,029 | |
New York State Dormitory Authority State Personal Income Tax Revenue Refunding Bonds, Series D, 4.00%, 2/15/39 | 500,000 | 583,465 | |
New York State Dormitory Authority State Personal Income Tax Revenue Refunding Bonds, Series E, Unrefunded Balance, 5.00%, 2/15/44 | 425,000 | 480,577 | |
New York State Dormitory Authority Supported Debt Revenue Refunding Bonds, New York University, Series A, 4.00%, 7/01/46 | 250,000 | 292,445 |
Par | Value | ||
New York (Continued) | |||
New York State Housing Finance Agency Affordable Housing Sustainability Revenue Bonds, Series L-2 (SonyMA Insured), 0.75%, 11/01/25 | $500,000 | $500,185 | |
New York State Liberty Development Corp., Revenue Refunding Bonds, Class 2, 3 World Trade Center Project, | |||
5.15%, 11/15/34(e) | 500,000 | 555,068 | |
5.37%, 11/15/40(e) | 150,000 | 166,338 | |
New York State Liberty Development Corp., Revenue Refunding Bonds, Green Bonds, 4 World Trade Center Project, 1.20%, 11/15/28 | 500,000 | 491,161 | |
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 | 311,485 | |
New York State Transportation Development Corp., Special Facility Revenue Refunding Bonds (AMT), Terminal 4 John F. Kennedy International Airport Project, 5.00%, 12/01/33 | 250,000 | 311,837 | |
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 | 618,987 | |
New York State Urban Development Corp., State Personal Income Tax Revenue Refunding Bonds, 4.00%, 3/15/45 | 500,000 | 579,286 | |
Niagara Frontier Transportation Authority Revenue Refunding Bonds (AMT), Buffalo Niagara International Airport, 5.00%, 4/01/26 | 250,000 | 294,037 |
Par | Value | ||
New York (Continued) | |||
Onondaga County Trust Cultural Resource Revenue Refunding Bonds, Syracuse University Project, 4.00%, 12/01/47 | $ 500,000 | $ 580,834 | |
Port Authority of New York & New Jersey Consolidated 211th Revenue Refunding Bonds, 5.00%, 9/01/48 | 830,000 | 1,007,853 | |
Port Authority of New York & New Jersey Consolidated Revenue Bonds, Series 218 (AMT), 5.00%, 11/01/31 | 1,065,000 | 1,331,184 | |
Port Authority of New York & New Jersey Consolidated Revenue Bonds, Series 221 (AMT), 4.00%, 7/15/40 | 500,000 | 577,480 | |
Port Authority of New York & New Jersey Revenue Bonds, Series 179, 5.00%, 12/01/25 | 750,000 | 822,845 | |
Poughkeepsie City GO Limited Refunding Bonds, 4.00%, 4/15/25 | 440,000 | 482,723 | |
Sales Tax Asset Receivable Corp., Revenue Refunding Bonds, Series A, Fiscal 2015, Prerefunded, 5.00%, 10/15/24(a) | 245,000 | 278,497 | |
Suffolk County GO Limited Refunding Bonds, Series D (BAM Insured), 5.00%, 10/15/24 | 390,000 | 440,808 | |
Triborough Bridge & Tunnel Authority General Revenue Bonds, Series A, MTA Bridges and Tunnels, 4.00%, 11/15/54 | 1,300,000 | 1,500,952 | |
Triborough Bridge & Tunnel Authority Payroll Mobility Tax Revenue Refunding Bonds, Series A-1, 5.00%, 5/15/51 | 250,000 | 314,279 | |
Triborough Bridge & Tunnel Authority Payroll Mobility Tax Variable Senior Lien Revenue Refunding Bonds, 5.00%, 5/15/26(b)(c)(d) | 1,000,000 | 1,189,433 |
Par | Value | ||
New York (Continued) | |||
Troy Capital Resource Corp. Revenue Bonds, Rensselaer Polytechnic Institutute Project, 4.00%, 9/01/33 | $100,000 | $ 118,075 | |
Yonkers Economic Development Corp., Educational Revenue Bonds, Charter School Educational Excellence Project, 5.00%, 10/15/49 | 100,000 | 113,904 | |
38,102,350 | |||
North Carolina – 1.3% | |||
North Carolina Capital Facilities Finance Agency Educational Facilities Revenue Refunding Bonds, High Point University, | |||
4.00%, 5/01/23 | 300,000 | 316,069 | |
4.00%, 5/01/24 | 240,000 | 259,619 | |
5.00%, 5/01/25 | 240,000 | 274,144 | |
5.00%, 5/01/26 | 275,000 | 322,863 | |
North Carolina Medical Care Commission Retirement Facilities Revenue Bonds, The Forest At Duke Project, | |||
4.00%, 9/01/33 | 180,000 | 208,976 | |
4.00%, 9/01/34 | 185,000 | 214,131 | |
North Carolina State Medical Care Commission Health Care Facilities Revenue Refunding Bonds, Vidant Health, 5.00%, 6/01/45 | 500,000 | 568,745 | |
North Carolina State Medical Care Commission Retirement Facilities Revenue Refunding Bonds, First Mortgage, 4.00%, 1/01/25 | 250,000 | 262,657 | |
North Carolina State Medical Care Commission Retirement Facilities Revenue Refunding Bonds, First Mortgage, United Church Services, Prerefunded, 5.00%, 9/01/24(a) | 155,000 | 174,605 | |
North Carolina State Medical Care Commission Retirement Facilities Revenue Refunding Bonds, Series A, Sharon Towers, 5.00%, 7/01/49 | 100,000 | 110,786 |
Par | Value | ||
North Carolina (Continued) | |||
North Carolina State Turnpike Authority Senior Lien Revenue Bonds, Triangle Expressway, 4.00%, 1/01/55 | $400,000 | $ 445,868 | |
North Carolina State Turnpike Authority Senior Lien Revenue Bonds, Triangle Expressway (AGM Insured), 5.00%, 1/01/49 | 500,000 | 615,391 | |
North Carolina State Turnpike Authority Senior Lien Revenue Refunding Bonds, 5.00%, 1/01/40 | 550,000 | 658,517 | |
North Carolina Turnpike Authority Triangle Expressway System Revenue BANS, 5.00%, 2/01/24 | 200,000 | 219,099 | |
Raleigh Durham Airport Authority Revenue Refunding Bonds, Series A (AMT), 5.00%, 5/01/36 | 500,000 | 622,692 | |
5,274,162 | |||
North Dakota – 0.5% | |||
Cass County Joint Water Resource District GO Unlimited Bonds, Series A, 0.48%, 5/01/24 | 600,000 | 600,463 | |
University of North Dakota COPS, Infrastructure Energy Improvement, 5.00%, 4/01/48 | 500,000 | 600,277 | |
Watford City North Dakota State Aid Certificates Indebtedness Revenue Refunding Bonds (AGM Insured), 3.00%, 12/01/23 | 800,000 | 831,804 | |
2,032,544 | |||
Ohio – 1.9% | |||
Akron Bath Copley Joint Township Hospital District Revenue Refunding Bonds, Summa Health Obligated Group Hospital, | |||
5.00%, 11/15/26 | 350,000 | 416,437 | |
5.00%, 11/15/27 | 370,000 | 449,923 | |
Allen County Ohio Hospital Facilities Revenue Refunding Bonds, Bon Secours Mercy Health, Inc., 5.00%, 12/01/28 | 400,000 | 505,348 |
Par | Value | ||
Ohio (Continued) | |||
Buckeye Tobacco Settlement Financing Authority Revenue Refunding Bonds, Senior-Class 2, Series B-2, 5.00%, 6/01/55 | $900,000 | $1,009,925 | |
Cleveland-Cuyahoga County Port Authority Cultural Facilities Revenue Refunding Bonds, Playhouse Square Foundation Project, 5.50%, 12/01/43 | 175,000 | 203,445 | |
Cleveland-Cuyahoga County Port Authority Cultural Facility Revenue Bonds, Cleveland Museum Of Natural History Project, | |||
5.00%, 7/01/25 | 125,000 | 143,729 | |
5.00%, 7/01/26 | 125,000 | 147,464 | |
5.00%, 7/01/27 | 125,000 | 150,528 | |
5.00%, 7/01/28 | 155,000 | 190,025 | |
Cleveland-Cuyahoga County Port Authority Euclid Avenue Development Corp., Revenue Refunding Bonds, 5.00%, 8/01/23 | 370,000 | 398,680 | |
Cleveland-Cuyahoga County Port Authority Financing Senior Tax Allocation Increment Revenue Refunding Bonds, Flats East Bank Project, 4.00%, 12/01/55(e) | 250,000 | 259,619 | |
Conotton Valley Union Local School District COPS, School Facilities Project (FHLMC Insured), 4.00%, 12/01/42 | 500,000 | 545,274 | |
Franklin County Convention Facilities Authority Hotel Project Revenue Bonds, Greater Columbus Convention Center, | |||
5.00%, 12/01/34 | 170,000 | 201,680 | |
5.00%, 12/01/36 | 305,000 | 360,128 | |
Marion County Health Care Facilities Revenue Refunding Bonds, United Church Homes, Inc., 5.12%, 12/01/49 | 100,000 | 108,156 | |
Miami Valley Career Technology Center GO Unlimited Bonds, 4.00%, 12/01/37 | 250,000 | 288,515 |
Par | Value | ||
Ohio (Continued) | |||
Middleburg Heights Hospital Revenue Refunding Bonds, Southwest General Health Center, 4.00%, 8/01/41 | $500,000 | $ 574,750 | |
Ohio State Air Quality Development Authority Revenue Refunding Bonds (AMT), American Electric Power Company Project, 2.10%, 10/01/24(b)(c)(d) | 500,000 | 516,402 | |
Ohio State Air Quality Development Authority Revenue Refunding Bonds, Ohio Valley Electric Corp., 3.25%, 9/01/29 | 50,000 | 53,307 | |
Ohio State Higher Educational Facilities Commission Revenue Refunding Bonds, Xavier University 2020 Project, 5.00%, 5/01/35 | 880,000 | 1,110,309 | |
Ohio State Hospital Revenue Refunding Bonds, Premier Health Partners Obligated Group, 5.00%, 11/15/26 | 145,000 | 172,367 | |
United Local School District COPS (BAM Insured), 3.00%, 12/01/23 | 330,000 | 347,105 | |
8,153,116 | |||
Oklahoma – 1.3% | |||
Bryan County School Finance Authority Educational Facilities Lease Revenue Refunding Bonds, Durant Public Schools Project, 4.00%, 12/01/23 | 620,000 | 664,418 | |
Carter County Public Facilities Authority Educational Facilities Lease Revenue Bonds, 5.00%, 9/01/27 | 500,000 | 605,741 | |
Kingfisher Special Projects Authority Educational Facilities Lease Revenue Bonds, Kingfisher Public Schools Project, 4.00%, 3/01/24 | 600,000 | 647,334 | |
Muskogee Industrial Trust Educational Lease Revenue Bonds, Muskogee Public Schools Project, 5.00%, 9/01/23 | 900,000 | 968,332 |
Par | Value | ||
Oklahoma (Continued) | |||
Oklahoma County Finance Authority Revenue Refunding Bonds, Series A, Epworth Villa Project, 5.88%, 4/01/30 | $ 50,000 | $ 50,007 | |
Oklahoma State Development Finance Authority Revenue Refunding Bonds, Oklahoma City University Project, 5.00%, 8/01/24 | 590,000 | 652,322 | |
Tulsa County Industrial Authority Educational Facilities Lease Revenue Bonds, Berryhill Public Schools Project, 4.00%, 9/01/26 | 500,000 | 564,895 | |
Wagoner County School Development Authority Educational Facilities Lease Revenue Bonds, Wagoner Public Schools Project, 4.00%, 9/01/23 | 1,060,000 | 1,119,070 | |
5,272,119 | |||
Oregon – 1.2% | |||
Medford Hospital Facilities Authority Revenue Refunding Bonds, Series A, Asante Projects, 5.00%, 8/15/45 | 500,000 | 622,735 | |
Multnomah County Hospital Facilities Authority Revenue Refunding Bonds, Adventist Health System, 5.00%, 3/01/25(b)(c)(d) | 500,000 | 557,693 | |
Multnomah County Hospital Facilities Authority Revenue Refunding Bonds, Terwilliger Plaza-Parkview Project, Green Bond Series, 0.95%, 6/01/27 | 500,000 | 489,548 | |
Multnomah County School District No. 1J Portland GO Unlimited Bonds (School Board Guaranty Program), 5.00%, 6/15/24 | 250,000 | 280,184 | |
Oregon State Facilities Authority Revenue Refunding Bonds, Series A, Legacy Health Project, 5.00%, 6/01/46 | 1,000,000 | 1,152,407 | |
Port of Morrow GO Limited Refunding Bonds, Series D, | |||
4.00%, 12/01/26 | 170,000 | 193,750 |
Par | Value | ||
Oregon (Continued) | |||
Port of Morrow GO Limited Refunding Bonds, Series D, | |||
4.00%, 12/01/27 | $240,000 | $ 276,768 | |
Port of Portland Airport Revenue Refunding Bonds, Portland International Airport, 5.00%, 7/01/40 | 615,000 | 769,031 | |
Port of Portland Airport Revenue Refunding Bonds, Portland International Airport (AMT), 5.00%, 7/01/25 | 750,000 | 864,722 | |
5,206,838 | |||
Pennsylvania – 3.8% | |||
Allegheny County Sanitary Authority Revenue Bonds, Series B, 4.00%, 6/01/25 | 100,000 | 111,969 | |
Allentown Neighborhood Improvement Zone Development Authority Tax Revenue Refunding Bonds, Forward Delivery, 5/01/42(f) | 250,000 | 303,768 | |
Commonwealth Financing Authority Taxable Revenue Refunding Bonds, Series B-1, 5.00%, 6/01/26 | 300,000 | 346,976 | |
Cumberland County Municipal Authority Revenue Refunding Bonds, Asbury Pennsylvania Obligated, 4.50%, 1/01/40(e) | 185,000 | 193,083 | |
East Vincent GO Unlimited Refunding Bonds, 2.00%, 12/01/22 | 200,000 | 203,627 | |
Lancaster County GO Unlimited Refunding Bonds, Series A, 4.00%, 11/01/25 | 275,000 | 308,483 | |
Laurel Highlands School District GO Limited Refunding Bonds (BAM State Aid Withholding), 4.00%, 2/01/26 | 350,000 | 389,747 | |
Lehigh County General Purpose Authority Revenue Refunding Bonds, Muhlenberg College Project, (SIFMA Municipal Swap Index Yield + 0.58%), 0.63%, 11/01/24(b)(d) | 460,000 | 459,187 |
Par | Value | ||
Pennsylvania (Continued) | |||
Luzerne County IDA Revenue Refunding Bonds (AMT), Pennsylvania-American Water Co., Project, 2.45%, 12/03/29(b)(c)(d) | $ 750,000 | $ 804,638 | |
Montgomery County IDA Revenue Bonds, Acts Retirement-Life Communities, 5.00%, 11/15/45 | 1,500,000 | 1,794,568 | |
Neshannock Township School District GO Limited Refunding Bonds, Series B (State Aid Withholding), 2.00%, 9/01/24 | 190,000 | 198,305 | |
North East School District GO Limited Refunding Bonds (AGM State Aid Withholding), 4.00%, 9/01/27 | 850,000 | 988,318 | |
Oil City GO Unlimited Bonds, Series A (AGM Insured), | |||
3.00%, 12/01/22 | 100,000 | 102,847 | |
4.00%, 12/01/23 | 145,000 | 155,576 | |
4.00%, 12/01/24 | 150,000 | 165,378 | |
4.00%, 12/01/25 | 185,000 | 208,292 | |
Pennsylvania State Economic Development Financing Authority UPMC Revenue Bonds, Series A-1, | |||
5.00%, 4/15/24 | 1,200,000 | 1,332,146 | |
5.00%, 4/15/25 | 200,000 | 229,842 | |
4.00%, 4/15/45 | 500,000 | 574,202 | |
Pennsylvania State Higher Educational Facilities Authority Revenue Refunding Bonds, Thomas Jefferson University, 5.00%, 9/01/39 | 500,000 | 562,013 | |
Pennsylvania State Housing Finance Agency SFM Revenue Refunding Bonds (AMT), Series 125A, 2.37%, 10/01/25 | 925,000 | 951,828 | |
Pennsylvania State Housing Finance Agency Special Limited Obligation MFH Revenue Bonds, Norris Homes Phase V, 1.40%, 1/01/23(b)(c)(d) | 1,000,000 | 1,010,622 |
Par | Value | ||
Pennsylvania (Continued) | |||
Pennsylvania State Turnpike Commission Turnpike Variable Revenue Refunding Bonds, Series B, (SIFMA Municipal Swap Index Yield + 0.70%), 0.75%, 12/01/23(d) | $500,000 | $ 501,752 | |
Pequea Valley School District GO Limited Bonds (State Aid Withholding), 2.00%, 5/15/23 | 175,000 | 179,499 | |
Philadelphia Airport Revenue Refunding Bonds, Series B (AMT), | |||
5.00%, 7/01/30 | 510,000 | 614,074 | |
5.00%, 7/01/33 | 400,000 | 479,480 | |
5.00%, 7/01/35 | 155,000 | 185,235 | |
Philadelphia Authority for Industrial Development Temple University Revenue Refunding Bonds, Series 1-2015, 5.00%, 4/01/33 | 400,000 | 453,740 | |
Philadelphia School District GO Limited Refunding Bonds, Series C (State Aid Withholding), 5.00%, 9/01/33 | 500,000 | 630,563 | |
Southcentral General Authority Revenue Bonds, York College of Pennsylvania Project, | |||
5.00%, 5/01/27 | 300,000 | 363,196 | |
5.00%, 5/01/28 | 215,000 | 265,416 | |
West Cornwall Township Municipal Authority Healthcare Facilities Revenue Refunding Bonds, Lebanon Valley Brethren Home Project, | |||
4.00%, 11/15/24 | 115,000 | 124,823 | |
4.00%, 11/15/25 | 115,000 | 127,457 | |
4.00%, 11/15/26 | 125,000 | 140,750 | |
4.00%, 11/15/27 | 130,000 | 148,446 | |
4.00%, 11/15/28 | 105,000 | 121,328 | |
Wilkes-Barre Area School District GO Limited Bonds (BAM State Aid Withholding), 5.00%, 4/15/23 | 200,000 | 212,941 | |
15,944,115 |
Par | Value | ||
Puerto Rico – 0.8% | |||
Puerto Rico Commonwealth Aqueduct & Sewer Authority Senior Lien Revenue Bonds, Series A, 5.25%, 7/01/42 | $815,000 | $ 841,299 | |
Puerto Rico Commonwealth Aqueduct & Sewer Authority Senior Lien Revenue Refunding Bonds, Series A, 5.00%, 7/01/30(e) | 250,000 | 307,271 | |
Puerto Rico Commonwealth Public Improvement GO Unlimited Refunding Bonds, Series A-PSA, | |||
5.75%, 7/01/28(h) | 105,000 | 98,306 | |
5.00%, 7/01/41(h) | 900,000 | 799,875 | |
Puerto Rico Electric Power Authority Power Revenue Bonds, Series TT-RSA-1, 5.00%, 7/01/37(h) | 130,000 | 127,075 | |
Puerto Rico Electric Power Authority Power Revenue Refunding Bonds, Series ZZ-RSA-1, 5.25%, 7/01/23(h) | 175,000 | 171,719 | |
Puerto Rico Sales Tax Financing Corp., Restructured TRB, Series A-1, 4.75%, 7/01/53 | 258,000 | 287,547 | |
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue CABS, Series A-1, | |||
0.00%, 7/01/27(g) | 225,000 | 203,346 | |
0.00%, 7/01/31(g) | 500,000 | 397,111 | |
0.00%, 7/01/46(g) | 875,000 | 284,155 | |
3,517,704 | |||
Rhode Island – 0.2% | |||
Providence GO Unlimited Refunding Bonds, Series A, 5.00%, 1/15/25 | 200,000 | 225,259 | |
Rhode Island Commerce Corp., First Lien Special Facility Revenue Refunding Bonds, Rhode Island Airport Corp., International, 5.00%, 7/01/31 | 500,000 | 603,062 | |
828,321 |
Par | Value | ||
South Carolina – 0.4% | |||
Connector 2000 Association, Inc. Toll Road Revenue CABS, Senior Series A-1, 0.00%, 1/01/32(g) | $ 400,000 | $ 206,134 | |
South Carolina State Jobs EDA Hospital Revenue Refunding Bonds, Prisma Health Obligated Group, 5.00%, 5/01/38 | 400,000 | 481,717 | |
South Carolina State Jobs EDA Hospital Variable Revenue Bonds, Bon Secours Mercy Health, 5.00%, 10/01/25(b)(c)(d) | 850,000 | 991,250 | |
1,679,101 | |||
South Dakota – 0.2% | |||
South Dakota State Board of Regents Housing & Auxiliary Facilities System Revenue Refunding Bonds, | |||
4.00%, 4/01/26 | 375,000 | 426,440 | |
4.00%, 4/01/27 | 425,000 | 491,458 | |
917,898 | |||
Tennessee – 0.7% | |||
Greeneville Health & Educational Facilities Board Revenue Refunding Bonds, Ballad Health Obligation Group, 5.00%, 7/01/31 | 140,000 | 150,498 | |
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board Revenue Bonds, Vanderbilt University Medical Center, | |||
5.00%, 7/01/40 | 400,000 | 469,994 | |
5.00%, 7/01/46 | 500,000 | 583,599 | |
Metropolitan Government Nashville & Davidson County Health & Educational Facility Board Revenue Refunding Bonds, Trevecca Nazarene University, 3.00%, 10/01/24 | 320,000 | 330,726 | |
Metropolitan Nashville Airport Authority Subordinate Revenue Bonds, Series B (AMT), 5.00%, 7/01/39 | 1,000,000 | 1,231,249 | |
2,766,066 |
Par | Value | ||
Texas – 6.7% | |||
Austin Airport System Revenue Bonds, Series A, 5.00%, 11/15/46 | $1,380,000 | $1,636,725 | |
Austin Convention Enterprises, Inc., Convention Center Revenue Refunding Bonds, First Tier, 5.00%, 1/01/32 | 625,000 | 700,653 | |
Board of Managers Joint Guadalupe County-City of Seguin Hospital Mortgage Revenue Refunding Bonds, 5.00%, 12/01/40 | 200,000 | 214,006 | |
Central Regional Mobility Authority Senior Lien Revenue Refunding Bonds, Series A, Prerefunded, 5.00%, 1/01/23(a) | 635,000 | 669,773 | |
Central Texas Regional Mobility Authority Revenue Bonds, Series C, 5.00%, 1/01/27 | 275,000 | 319,951 | |
Central Texas Regional Mobility Authority Senior Lien Revenue Refunding Bonds, Series A, 5.00%, 1/01/49 | 500,000 | 605,721 | |
Dallas Hotel Occupancy Tax Revenue Refunding Bonds, 4.00%, 8/15/30 | 300,000 | 337,201 | |
Dallas Texas Housing Finance Corp., Estates at Shiloh Revenue Bonds, 1.25%, 7/01/23(b)(c)(d) | 500,000 | 507,352 | |
Dallas-Fort Worth International Airport Improvement Revenue Bonds, Series B, 5.00%, 11/01/44 | 350,000 | 365,715 | |
Dallas-Fort Worth International Airport Joint Improvement Revenue Bonds, Series B, 11/01/24(f) | 1,000,000 | 1,133,019 | |
Dallas-Fort Worth International Airport Joint Improvement Revenue Bonds, Series C, 5.00%, 11/01/34 | 445,000 | 484,049 | |
Dallas-Fort Worth International Airport Joint Revenue Refunding Bonds, Series A (AMT), 5.25%, 11/01/30 | 1,100,000 | 1,200,366 |
Par | Value | ||
Texas (Continued) | |||
El Paso Texas Airport Revenue Bonds (AMT), 5.00%, 8/15/27 | $ 375,000 | $ 455,752 | |
Fort Bend Independent School District Variable GO Unlimited Refunding Bonds, Series B (PSF, Gtd), 0.72%, 8/01/26(b)(c)(d) | 1,000,000 | 996,594 | |
Grand Parkway Transportation Corp., System Toll Revenue Refunding Bonds, Grand Parkway System - First, 4.00%, 10/01/45 | 265,000 | 304,160 | |
Harris County Cultural Education Facilities Finance Corp., Variable Revenue Bonds, Memorial Hermann Health System, | |||
5.00%, 12/01/22(b)(c)(d) | 100,000 | 104,799 | |
5.00%, 12/01/24(b)(c)(d) | 1,000,000 | 1,134,477 | |
Harris County Cultural Educational Facilities Finance Corp., Revenue Refunding Bonds, Hospital Memorial Hermann Health, Prerefunded, 5.00%, 12/01/22(a) | 300,000 | 315,624 | |
Harris County Cultural Educational Facilities Finance Corp., Revenue Refunding Bonds, Texas Children's Hospital, 4.00%, 10/01/38 | 350,000 | 409,960 | |
Houston Airport System Revenue Bonds, Subseries A (AMT), 5.00%, 7/01/25 | 500,000 | 576,677 | |
Houston Airport System Revenue Refunding Bonds (AMT), United Airlines, Inc., Improvement Projects, 5.00%, 7/15/27 | 175,000 | 203,195 | |
Houston Airport System Revenue Refunding Bonds (AMT), United Airlines, Inc., Terminal, 5.00%, 7/01/27 | 125,000 | 145,057 | |
Houston Airport System Subordinate Revenue Refunding Bonds, Series B, 5.00%, 7/01/26 | 500,000 | 597,666 |
Par | Value | ||
Texas (Continued) | |||
Houston Hotel Occupancy Tax & Special Revenue Refunding Bonds, Convention & Entertainment, | |||
4.00%, 9/01/23 | $ 185,000 | $ 197,126 | |
5.00%, 9/01/36 | 510,000 | 620,144 | |
Katy Independent School District Variable GO Unlimited Bonds (PSF, Gtd), 1.50%, 8/15/24(b)(c)(d) | 1,000,000 | 1,029,314 | |
Lower Colorado River Authority Transmission Contract Revenue Refunding Bonds, LCRA Transmission Services Corp. Project, 5.00%, 5/15/35 | 250,000 | 312,685 | |
Montgomery County Toll Road Authority Senior Lien Revenue Bonds, 5.00%, 9/15/37 | 500,000 | 560,134 | |
New Hope Cultural Educational Facilities Finance Corp., Retirement Facilities Revenue Refunding Bonds, Presbyterian Village North Project, 5.25%, 10/01/49 | 100,000 | 108,426 | |
New Hope Cultural Educational Facilities Finance Corp., Retirement Facilities Revenue Refunding Bonds, Westminster Manor Project, 5.00%, 11/01/31 | 250,000 | 279,467 | |
North Texas Tollway Authority Revenue Refunding Bonds, Series A, 5.00%, 1/01/26 | 70,000 | 76,865 | |
Northside Texas Independent School District GO Unlimited Refunding Bonds (PSF, Gtd), 1.60%, 8/01/24(b)(c)(d) | 345,000 | 354,898 | |
Northside Texas Independent School District Variable GO Unlimited Bonds (PSF, Gtd), 2.75%, 8/01/23(b)(c)(d) | 1,000,000 | 1,039,154 | |
Odessa Junior College District Consolidated Revenue Bonds (AGM Insured), 4.00%, 7/01/27 | 435,000 | 506,596 |
Par | Value | ||
Texas (Continued) | |||
Port Arthur Certificates GO Limited Bonds (BAM Insured), 5.00%, 2/15/27 | $ 345,000 | $ 415,404 | |
Port Beaumont Navigation District Dock & Wharf Facility Revenue Refunding Bonds (AMT), Jefferson Gulf Coast Energy Project, 4.00%, 1/01/50(e) | 375,000 | 385,883 | |
San Antonio Airport System Subordinate Lien Revenue Refunding Bonds, Series A (AMT), 5.00%, 7/01/30 | 250,000 | 310,955 | |
San Antonio Water Junior Lien Variable Revenue Bonds, Series A, 2.63%, 5/01/24(b)(c)(d) | 1,125,000 | 1,189,955 | |
Tarrant County Cultural Educational Facilities Finance Corp., Revenue Refunding Bonds, Texas Health Resources System Obligation, | |||
5.00%, 2/15/34 | 400,000 | 472,559 | |
5.00%, 2/15/47 | 700,000 | 822,330 | |
Texas City Industrial Development Corp., Revenue Bonds, Series 2012, NRG Energy Project, 4.12%, 12/01/45 | 545,000 | 590,524 | |
Texas State PFA Lease Revenue Refunding Bonds, 4.00%, 2/01/36 | 250,000 | 293,438 | |
Texas State Private Activity Bond Surface Transportation Corp., Revenue Bonds (AMT), Segment 3C Project, 5.00%, 6/30/58 | 1,000,000 | 1,187,857 | |
Texas State Private Activity Bond Surface Transportation Corp., Senior Lien Revenue Bonds (AMT), Blueridge Transportation, | |||
5.00%, 12/31/45 | 500,000 | 556,104 | |
5.00%, 12/31/55 | 200,000 | 221,387 | |
Texas State Private Activity Bond Surface Transportation Corp., Senior Lien Revenue Refunding Bonds, North Tarrant Express, 4.00%, 12/31/38 | 750,000 | 856,438 |
Par | Value | ||
Texas (Continued) | |||
Texas State Transportation Commission Central Turnpike System Revenue Refunding Bonds, Series A, 5.00%, 8/15/39 | $ 750,000 | $ 945,584 | |
Texas State Transportation Commission Central Turnpike System Subordinate Revenue Refunding Bonds, Series C, 5.00%, 8/15/42 | 100,000 | 111,530 | |
Texas State Transportation Commission First Tier Toll Revenue Bonds, State Highway, 5.00%, 8/01/57 | 100,000 | 114,959 | |
Texas State Transportation Commission First Tier Toll Revenue CABS, 0.00%, 8/01/29(g) | 480,000 | 400,803 | |
Texas State Water Development Board Revenue Bonds, State Water Implementation Fund, 4.00%, 10/15/38 | 510,000 | 606,546 | |
27,985,557 | |||
Utah – 0.2% | |||
Salt Lake City Airport Revenue Bonds, Series A (AMT), 5.00%, 7/01/47 | 805,000 | 953,689 | |
Virginia – 3.0% | |||
Botetourt County Residential Care Facility Revenue Refunding Bonds, Series A, Glebe, Inc., 4.75%, 7/01/23 | 120,000 | 125,170 | |
Chesapeake Bay Bridge & Tunnel District Revenue Bonds, First Tier General Resolution (AGM Insured), 5.00%, 7/01/41 | 1,000,000 | 1,168,769 | |
Chesapeake Bay Bridge & Tunnel District Revenue First Tier General Resolution Revenue BANS, 5.00%, 11/01/23 | 1,000,000 | 1,090,056 | |
Chesapeake Bay Bridge & Tunnel District Revenue First Tier General Resolution Revenue Bonds, 5.00%, 7/01/51 | 750,000 | 876,213 | |
Chesapeake Hospital Authority Hospital Facilities Revenue Refunding Bonds, Chesapeake Regional Medical Center, 5.00%, 7/01/31 | 500,000 | 624,053 |
Par | Value | ||
Virginia (Continued) | |||
Chesapeake Transportation System Senior Toll Road Revenue Bonds, Series A, 5.00%, 7/15/47 | $ 500,000 | $ 515,409 | |
Fairfax County EDA Residential Care Facilities Revenue Bonds, Series A, Vinson Hall LLC, Prerefunded, 5.00%, 12/01/23(a) | 200,000 | 219,232 | |
Fairfax County EDA Residential Care Facilities Revenue Refunding Bonds, Series A, Goodwin House, Inc., 5.00%, 10/01/36 | 150,000 | 167,005 | |
Fairfax County EDA Revenue Refunding Bonds, Wiehle Avenue Metrorail Station, 5.00%, 8/01/33 | 1,000,000 | 1,301,452 | |
Fairfax County IDA Health Care Revenue Bonds, Inova Health System, 4.00%, 5/15/42 | 250,000 | 254,656 | |
Fairfax County IDA Health Care Revenue Refunding Bonds, Inova Health System, 5.00%, 5/15/23(b)(c)(d) | 500,000 | 535,660 | |
Fairfax County Water Authority Revenue Refunding Bonds, 5.00%, 4/01/45 | 500,000 | 595,929 | |
Hampton Roads Transportation Accountability Commission Senior Lien Revenue Bonds, Series A, 5.50%, 7/01/57 | 300,000 | 365,028 | |
James City County EDA Residential Care Facilities Variable Revenue Bonds, United Methodist Home, Prerefunded, 6.00%, 6/01/23(a) | 101,741 | 110,077 | |
Louisa Industrial Development Authority Pollution Control Variable Revenue Bonds, Series 2008A, Virginia Electric, 1.90%, 6/01/23(b)(c)(d) | 1,000,000 | 1,024,183 | |
Newport News Economic Development Authority Residential Care Facilities Revenue Refunding Bonds, Lifespire of Virginia, 5.00%, 12/01/38 | 500,000 | 559,322 |
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 | $ 58,772 | |
Virginia State Small Business Financing Authority Revenue Bonds (AMT), 95 Express Lanes LLC Project, 5.00%, 7/01/49 | 645,000 | 649,405 | |
Virginia State Small Business Financing Authority Senior Lien Revenue Bonds (AMT), 95 Express Lane, 5.00%, 7/01/34 | 800,000 | 805,853 | |
Virginia State Small Business Financing Authority Senior Lien Revenue Bonds (AMT), Elizabeth River Crossings OpCo, LLC Project, | |||
4.50%, 1/01/23 | 135,000 | 138,482 | |
5.00%, 1/01/27 | 250,000 | 256,970 | |
Virginia State Small Business Financing Authority Senior Lien Revenue Bonds (AMT), Express Lanes LLC, 5.00%, 7/01/34 | 225,000 | 226,646 | |
York County EDA PCR Bonds, Series A, Electric & Power, 1.90%, 6/01/23(b)(c)(d) | 1,000,000 | 1,024,183 | |
12,692,525 | |||
Washington – 3.4% | |||
Central Puget Sound Regional Transit Authority Sales & Use Tax Improvement Revenue Refunding Bonds, Series S-1, Green Bond, Prerefunded, 5.00%, 11/01/25(a) | 1,000,000 | 1,176,889 | |
Energy Electric Revenue Refunding Bonds, Columbia Generating Station, 5.00%, 7/01/36 | 1,200,000 | 1,540,683 | |
King County Public Hospital District No. 1 GO Limited Tax Refunding Bonds, Valley Medical Center, 5.00%, 12/01/26 | 550,000 | 661,427 |
Par | Value | ||
Washington (Continued) | |||
King County School District No. 210 Federal Way GO Unlimited Bonds (School Board Guaranty Program), 4.00%, 12/01/33 | $ 500,000 | $ 583,883 | |
King County Sewer Revenue Refunding Bonds, 5.00%, 7/01/42 | 250,000 | 298,293 | |
Port of Seattle Airport Intermediate Lien Revenue Bonds (AMT), | |||
5.00%, 4/01/32 | 490,000 | 605,797 | |
5.00%, 4/01/44 | 500,000 | 599,339 | |
Port of Seattle Airport Intermediate Lien Subordinate Revenue Refunding Bonds, Series B (AMT), 5.00%, 8/01/23 | 600,000 | 620,862 | |
Seattle Housing Authority Revenue Refunding Bonds, Northgate Plaza Project, 1.00%, 6/01/26 | 500,000 | 500,227 | |
Seattle Municipal Light & Power Revenue Refunding Bonds, 4.00%, 9/01/40 | 500,000 | 539,506 | |
Seattle Municipal Light & Power Variable Revenue Refunding Bonds, (SIFMA Municipal Swap Index Yield + 0.35%), 0.40%, 11/01/22(d) | 900,000 | 901,084 | |
Seattle Municipal Light & Power Variable Revenue Refunding Bonds, Series B, (SIFMA Municipal Swap Index Yield + 0.25%), 0.30%, 11/01/26(b)(d) | 750,000 | 756,540 | |
Washington State GO Unlimited Bonds, Series A-1, 5.00%, 8/01/40 | 1,000,000 | 1,151,040 | |
Washington State GO Unlimited Bonds, Series C, | |||
5.00%, 2/01/26 | 350,000 | 414,383 | |
5.00%, 2/01/40 | 2,000,000 | 2,529,247 | |
Washington State Health Care Facilities Authority Revenue Bonds, Series A, Providence Health & Services, 4.00%, 10/01/34 | 500,000 | 515,984 |
Par | Value | ||
Washington (Continued) | |||
Washington State Health Care Facilities Authority Revenue Refunding Bonds, Series B, Commonspirit Health, 5.00%, 8/01/26(b)(c)(d) | $ 615,000 | $ 719,536 | |
Washington State Higher Educational Facilities Authority Revenue Bonds, Seattle University Project, 4.00%, 5/01/50 | 250,000 | 281,374 | |
14,396,094 | |||
Wisconsin – 2.0% | |||
Clayton Town NANS, Series B, | |||
2.00%, 6/01/24 | 100,000 | 102,077 | |
2.00%, 6/01/25 | 225,000 | 229,241 | |
Milwaukee Corp., Purpose GO Unlimited Bonds, Series B3, 4.00%, 4/01/26 | 1,000,000 | 1,080,640 | |
Park Falls NANS, Series B, 3.00%, 3/01/25 | 975,000 | 1,004,450 | |
PFA Education Revenue Bonds, North Carolina Leadership Academy, 5.00%, 6/15/49(e) | 100,000 | 107,225 | |
PFA Educational Revenue Bonds, Piedmont Community Charter School, | |||
5.00%, 6/15/39 | 490,000 | 580,082 | |
5.00%, 6/15/49 | 150,000 | 174,841 | |
PFA Exempt Facilities Revenue Refunding Bonds (AMT), National Gypsum Co., 4.00%, 8/01/35 | 370,000 | 375,742 | |
PFA Hospital Revenue Refunding Bonds, Series A, WakeMed Hospital, 4.00%, 10/01/49 | 500,000 | 553,651 | |
PFA Revenue Bonds, Roseman University of Health System, 5.00%, 4/01/50(e) | 250,000 | 290,766 | |
Wisconsin Center District Appropriation Revenue Bonds, Milwaukee Arena Project, 5.00%, 12/15/27 | 200,000 | 238,556 | |
Wisconsin State Health & Educational Facilities Authority Revenue Bonds, Series B, Marshfield Clinic, 5.00%, 2/15/24 | 1,250,000 | 1,266,823 |
Par | Value | ||
Wisconsin (Continued) | |||
Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Beloit Health System, Inc., 5.00%, 7/01/23 | $ 645,000 | $ 694,261 | |
Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Benevolent Corp., Cedar Community, 5.00%, 6/01/41 | 250,000 | 271,976 | |
Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Series B1, Ascension Health Credit Group, 5.00%, 11/15/39 | 350,000 | 410,828 | |
Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Series B5, 5.00%, 12/03/24(b)(c)(d) | 1,000,000 | 1,136,136 | |
8,517,295 | |||
Total Municipal Bonds (Cost $337,360,934) | 346,294,230 |
Number of Shares | |||
Investment Companies – 0.1% | |||
iShares National Muni Bond ETF | 4,645 | 538,541 | |
Total Investment Companies (Cost $527,505) | 538,541 |
Par/Number of Shares | |||
Short-Term Investments – 17.6% | |||
Money Market Fund – 1.8% | |||
Northern Institutional Funds - Treasury Portfolio (Premier), 0.01%(i) | 7,576,378 | 7,576,378 | |
Municipal Bonds – 15.8% | |||
Arizona Board of Regents Refunding COPS, Series C, University of Arizona, Prerefunded, 5.00%, 6/01/22(a) | 400,000 | 411,194 |
Par/Number of Shares | Value | ||
Municipal Bonds (Continued) | |||
Bartow County Development Authority Revenue Bonds, Georgia Power Company Plant Bowen Project, 1.55%, 8/19/22(b)(c)(d) | 500,000 | $ 504,878 | |
Bartow County Development Authority Revenue Refunding Bonds, Series B, Georgia Power Company Plant Bowen Project, 2.05%, 11/19/21(b)(c)(d) | 275,000 | 275,227 | |
Bensenville GO Unlimited Bonds, Series B (AGM Insured), Prerefunded, 5.00%, 12/30/21(a) | 245,000 | 246,913 | |
Brooklyn Center MFH Development Variable Revenue Bonds, Sonder House Apartments Project, 1.35%, 7/01/22(b)(c)(d) | 1,500,000 | 1,501,181 | |
Burke County Development Authority PCR Refunding Bonds, Georgia Power Company Plant Vogtle Project, 1.55%, 8/19/22(b)(c)(d) | 100,000 | 100,975 | |
California State Infrastructure & Economic Development Bank Variable Revenue Bonds (AMT), Brightline West Passenger Project, 0.20%, 2/01/22(b)(c)(d)(e) | 2,600,000 | 2,599,633 | |
California State Infrastructure & Economic Development Bank Variable Revenue Refunding Bonds, Series S, J. Paul Getty Trust, 0.39%, 4/01/22(b)(d) | 1,000,000 | 1,000,120 | |
California State Pollution Control Financing Authority Solid Waste Disposal Variable Revenue Bonds (AMT), Republic Services Inc., 0.18%, 1/18/22(b)(c)(d)(e) | 1,950,000 | 1,949,854 | |
California State School Cash Reserve Program Authority Taxable Revenue Notes, Series L, 2.00%, 1/31/22 | 1,000,000 | 1,004,453 | |
Central Plains Energy Gas Project Revenue Bonds, Project No. 3, 5.00%, 9/01/22 | 500,000 | 519,199 |
Par/Number of Shares | Value | ||
Municipal Bonds (Continued) | |||
Central Regional Mobility Authority Senior Lien Revenue Refunding Bonds, Series A, 5.00%, 1/01/22 | 300,000 | $302,305 | |
Chicago GO Unlimited Refunding Bonds, Series A, 5.00%, 1/01/22 | 300,000 | 302,275 | |
Clark County Passenger Facility Charge Revenue Refunding Bonds, Las Vegas McCarran International, 5.00%, 7/01/22 | 200,000 | 206,313 | |
Connecticut State GO Unlimited Bonds, Series A, 5.00%, 3/15/22 | 795,000 | 809,284 | |
Connecticut State Higher Education Supplemental Loan Authority Revenue Refunding Bonds, Series C, Chesla Loan Program, 5.00%, 11/15/21 | 200,000 | 200,343 | |
Cumberland County Municipal Authority Revenue Bonds, AICUP Financing Program-Messiah College Project, 3.75%, 4/30/22(b)(c)(d) | 500,000 | 501,149 | |
Dallas Independent School District GO Unlimited Bonds, 2020-Multi-Modal (PSF, Gtd), Prerefunded, 5.00%, 2/15/22(a)(c)(d) | 195,000 | 197,710 | |
Dallas-Fort Worth International Airport Revenue Bonds, Series H (AMT), Prerefunded, 5.00%, 11/01/21(a) | 400,000 | 400,000 | |
Detroit Downtown Development Authority Tax Allocation Increment Revenue Refunding Bonds, Series A, Catalyst Development Project (AGM Insured), 5.00%, 7/01/22 | 500,000 | 515,545 | |
Energy Northwest Electric Revenue Refunding Bonds, Columbia Generating Station, 5.00%, 7/01/22 | 250,000 | 258,011 |
Par/Number of Shares | Value | ||
Municipal Bonds (Continued) | |||
Florida State Development Finance Corp., Educational Facilities Revenue Refunding Bonds, Nova Southeastern University Project, 5.00%, 4/01/22 | 350,000 | $ 356,657 | |
Florida State Housing Finance Corp., Multi Family Mortgage Adjustable Revenue Bonds, Series A, Parrish Oaks, 1.25%, 2/01/22(b)(c)(d) | 1,000,000 | 1,002,476 | |
Franklin County Variable Revenue Bonds, Trinity Health Credit Group, 0.10%, 2/01/22(b)(c)(d) | 1,000,000 | 1,000,000 | |
Greeneville Health & Educational Facilities Board MFH Revenue Bonds, People RD Portfolio Project, 1.45%, 12/01/21(b)(c)(d) | 500,000 | 500,495 | |
Hampton Roads Transportation Accountability Commission Revenue BANS, Series A, 5.00%, 7/01/22 | 750,000 | 773,983 | |
Health Care Authority For Baptist Health Variable Revenue Refunding Bonds, Series B, 0.20%, 11/08/21(b)(d)(j) | 2,500,000 | 2,500,000 | |
Houston Airport System Revenue Refunding Bonds, Subseries D, 5.00%, 7/01/22 | 555,000 | 572,785 | |
Houston Hotel Occupancy Tax & Special Revenue Refunding Bonds, Convention & Entertainment, 4.00%, 9/01/22 | 180,000 | 185,466 | |
Idaho State Health Facilities Authority Hospital Variable Revenue Bonds, CHE Trinity Health Credit Group, 0.10%, 2/01/22(b)(c)(d) | 500,000 | 500,000 | |
Illinois State Finance Authority Revenue Refunding Bonds, Series A, OSF Healthcare System, 5.00%, 11/15/21 | 1,100,000 | 1,101,872 |
Par/Number of Shares | Value | ||
Municipal Bonds (Continued) | |||
Illinois State Finance Authority Revenue Refunding Bonds, Southern Illinois Healthcare, 5.00%, 3/01/22 | 300,000 | $ 304,703 | |
Indiana State Finance Authority Hospital Revenue Bonds, Indiana University Health Obligated Group, Prerefunded, 1.65%, 1/01/22(a)(c)(d) | 50,000 | 50,117 | |
Indiana State Finance Authority Revenue Refunding Bonds, Valparaiso University Project, 5.00%, 10/01/22 | 265,000 | 275,916 | |
Indianola GO Unlimited Capital Loan Notes, 3.00%, 6/01/22 | 180,000 | 182,843 | |
Iowa Finance Authority Midwestern Economic Development Variable Revenue Bonds, CJ Bio America, Inc. Project (Korea Development Bank LOC), 0.09%, 11/08/21(b)(d)(j) | 1,000,000 | 1,000,000 | |
JEA Bulk Power Supply System Revenue Bonds, Scherer 4 Project, Series A, 3.00%, 10/01/22 | 225,000 | 225,466 | |
Kentucky State Economic Development Finance Authority Health System Revenue Refunding Bonds, Norton Healthcare, Inc., Series B (NATL Insured), 0.00%, 10/01/22(g) | 500,000 | 495,656 | |
Kentucky State Housing Corp., Revenue Bonds, City View Park Project, 1.16%, 8/01/22(b)(c)(d) | 2,000,000 | 2,004,856 | |
Lackawanna County IDA Revenue Refunding Bonds, University of Scranton, 5.00%, 11/01/21 | 375,000 | 375,000 | |
Lehigh County IDA Revenue Refunding Bonds, PPL Electric Utilities Corp., Project, 1.80%, 8/15/22(b)(c)(d) | 330,000 | 333,587 |
Par/Number of Shares | Value | ||
Municipal Bonds (Continued) | |||
Lehigh County IDA Revenue Refunding Bonds, PPL Electric Utilities Corp., Project, 1.80%, 9/01/22(b)(c)(d) | 1,000,000 | $1,011,470 | |
Louisiana State Housing Corp., MFH Variable Revenue Bonds, Hollywood Acres & Hollywood Heights Project, Series 2019, 1.44%, 12/01/21(b)(c)(d) | 1,000,000 | 1,001,005 | |
Louisiana State Offshore Terminal Authority Deepwater Port Variable Revenue Bonds, Loop LLC Project, 2.00%, 10/01/22(b)(c)(d) | 515,000 | 517,527 | |
Louisiana State Public Facilities Authority Revenue Refunding CABS, Loyola University Project, 0.00%, 10/01/22(g) | 300,000 | 295,188 | |
Maryland State Department of Transportation Consolidated Transportation Revenue Bonds, 5.00%, 2/01/22 | 260,000 | 263,117 | |
Maryland State Economic Development Corp., PCR Refunding Bonds, Potomac Electric Power Company, 1.70%, 9/01/22 | 500,000 | 505,279 | |
Massachusetts State HFA Revenue Bonds, Colonial Village Projects, 1.45%, 1/01/22(b)(c)(d) | 760,000 | 761,387 | |
Memphis-Shelby County Airport Authority Revenue Refunding Bonds, Series B (AMT), 5.00%, 7/01/22 | 400,000 | 412,518 | |
Metropolitan Transportation Authority Revenue BANS, Series A-2S, 4.00%, 2/01/22 | 750,000 | 756,831 | |
Metropolitan Transportation Authority Revenue BANS, Series D1, 5.00%, 9/01/22 | 1,000,000 | 1,038,791 | |
Miami-Dade County HFA MFH Variable Revenue Bonds, 1.40%, 4/01/22(b)(c)(d) | 500,000 | 500,306 |
Par/Number of Shares | Value | ||
Municipal Bonds (Continued) | |||
Michigan State Finance Authority Revenue Refunding Bonds, Trinity Health Corp., Prerefunded, 5.00%, 6/01/22(a) | 250,000 | $256,996 | |
Mississipi Hospital Equipment & Facilities Authority Adjustable Revenue Refunding Bonds, Baptist Memorial Health Care, 0.20%, 9/01/22(b)(c)(d) | 1,000,000 | 999,213 | |
Missouri State Health & Educational Facilities Authority Educational Facilities Revenue Refunding Bonds, A.T. Still University Health Science, 5.00%, 10/01/22 | 725,000 | 754,864 | |
New Jersey State EDA Revenue Bonds, Provident Group Rowan Properties LLC, 5.00%, 1/01/22 | 150,000 | 150,517 | |
New York City Housing Development Corp., MFH Revenue Bonds, Series C-2-A, 2.35%, 7/01/22 | 500,000 | 502,121 | |
New York State Mortgage Agency Homeowner Mortgage Revenue Refunding Bonds, Series 214 (AMT), 2.85%, 4/01/22 | 360,000 | 363,334 | |
New York State Mortgage Agency Homeowner Mortgage Revenue Refunding Bonds, Series 214 (AMT), 2.90%, 10/01/22 | 140,000 | 142,830 | |
New York Transportation Development Corp. Special Facility Revenue Refunding Bonds, Terminal 4 John F. Kennedy International Airport, 5.00%, 12/01/21 | 450,000 | 451,616 | |
North Carolina Capital Facilities Finance Agency Educational Facilities Revenue Refunding Bonds, High Point University, 3.00%, 5/01/22 | 270,000 | 273,551 |
Par/Number of Shares | Value | ||
Municipal Bonds (Continued) | |||
North Carolina Medical Care Commission Health Care Facilities Revenue Refunding Bonds, Deerfield Episcopal Retirement Community, 4.00%, 11/01/21 | 150,000 | $ 150,000 | |
Ohio State Hospital Revenue Refunding Bonds, University Hospitals Health System (U.S. Bank LOC), 0.05%, 11/08/21(b)(d)(j) | 2,000,000 | 2,000,000 | |
Orlando Community Redevelopment Agency Tax Increment Revenue Refunding Bonds, Republic Drive/Universal, 5.00%, 4/01/22 | 200,000 | 203,433 | |
Park Falls Water & Sewerage System Revenue BANS, Series C, 3.00%, 3/01/22 | 835,000 | 841,777 | |
Pequea Valley School District GO Limited Bonds (State Aid Withholding), 1.00%, 5/15/22 | 225,000 | 225,889 | |
Princeton Hospital Revenue Refunding Bonds, Princeton Community Hospital Project, 5.00%, 5/01/22 | 500,000 | 510,375 | |
Puerto Rico Commonwealth Public Improvement GO Unlimited Bonds, Series A-PSA, 5.00%, 7/01/19(h) | 390,000 | 382,688 | |
RBC Municipal Products Inc., Trust Floater Certificates Revenue Bonds, Series C-16 for Missouri Health (Royal Bank of Canada LOC), 0.11%, 11/08/21(b)(d)(e)(j) | 500,000 | 500,000 | |
Riverside County Office Education Pooled Cross Fiscal Year 2020-21 TRANS, Series B, 2.00%, 12/31/21 | 1,000,000 | 1,003,084 | |
Saint James Parish Variable Revenue Bonds, Series A-1, Nucor Steel, 0.10%, 11/08/21(b)(d)(j) | 400,000 | 400,000 |
Par/Number of Shares | Value | ||
Municipal Bonds (Continued) | |||
San Antonio Housing Trust Finance Corp., MFH Variable Revenue Bonds, Majestic Ranch Apartments (FHA 221(D4) Insured), 1.40%, 1/01/22(b)(c)(d) | 1,000,000 | $1,001,529 | |
Sand Creek Metropolitan District GO Limited Refunding Bonds, Series A (AGM Insured), 2.00%, 12/01/21 | 150,000 | 150,188 | |
South Carolina State Jobs EDA Hospital Variable Revenue Bonds, Prisma Health Obligated Group, 0.15%, 11/08/21(b)(d)(j) | 2,000,000 | 2,000,000 | |
Spotsylvania County EDA Housing Revenue Bonds, Palmers Creek Apartments Project (FHA 221(D4) GNMA Insured), 1.45%, 2/01/22(b)(c)(d) | 500,000 | 501,373 | |
Tender Option Bond Trust Receipts/CTFS Various States Floaters GO Unlimited Bond, Series 2017-XF2466 (BAM Insured), 0.09%, 11/08/21(b)(d)(e)(j) | 3,000,000 | 3,000,000 | |
Tender Option Bond Trust Receipts/CTFS Various States Floaters Revenue Bonds, Series 2018-XG0171, 0.09%, 11/08/21(b)(d)(e)(j) | 3,000,000 | 3,000,000 | |
Tender Option Bond Trust Receipts/CTFS Various States Floaters Revenue Bonds, Series 2020-XF2868 (Barclays Bank PLC LOC), 0.09%, 11/08/21(b)(d)(e)(j) | 2,000,000 | 2,000,000 | |
Tender Option Bond Trust Receipts/CTFS Various States Floaters Revenue Bonds, Series 2021-XM0927 (AGM Insured), 0.11%, 11/08/21(b)(d)(e)(j) | 3,000,000 | 3,000,000 |
Par/Number of Shares | Value | ||
Municipal Bonds (Continued) | |||
Texas State Veterans Variable GO Limited Bonds, 0.06%, 11/08/21(b)(d)(j) | 4,000,000 | $ 4,000,000 | |
Washington State Higher Educational Facilities Authority Revenue Bonds, Seattle University Project, 5.00%, 5/01/22 | 215,000 | 219,853 | |
Washoe County Water Facilities Variable Revenue Refunding Bonds (AMT), Sierra Pacific, 2.05%, 4/15/22(b)(c)(d) | 500,000 | 503,733 | |
Westmoreland County IDA Lease Revenue BANS, Westmoreland County High School, 2.00%, 6/01/22 | 500,000 | 500,722 | |
Will County Community High School District No. 210 Lincoln-Way Refunding GO Unlimited Bonds (AGM Insured), 4.00%, 1/01/22 | 975,000 | 980,555 | |
Wisconsin State Transportation Revenue Refunding Bonds, Series 1, Prerefunded, 4.50%, 7/01/22(a) | 400,000 | 411,465 | |
65,993,565 | |||
Total Short-Term Investments (Cost $73,360,425) | 73,569,943 | ||
Total Investments – 100.2% (Cost $411,248,864) | 420,402,714 | ||
Liabilities less Other Assets – (0.2)% | (695,518) | ||
NET ASSETS – 100.0% | $419,707,196 |
Percentages shown are based on Net Assets. |
(a) | Maturity date represents the prerefunded date. | ||
(b) | Maturity date represents the puttable date. | ||
(c) | These securities are remarketed by an agent, and the interest rate is determined by general market conditions and supply and demand. | ||
(d) | Variable rate security. Rate as of October 31, 2021 is disclosed. |
(e) | 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. | ||
(f) | When-issued security. Coupon rate was not yet in effect at October 31, 2021. | ||
(g) | Zero coupon bond. | ||
(h) | Issuer has defaulted on terms of debt obligation. Income is not being accrued. | ||
(i) | 7-day current yield as of October 31, 2021 is disclosed. | ||
(j) | 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. |
Abbreviations: | |
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 |
GARVEE | Grant Anticipation Revenue Vehicle |
GNMA | Government National Mortgage Association |
GO | Government Obligation |
Gtd | Guaranteed |
HFA | Housing Finance Authority |
IBC | Insured Bond Certificates |
IDA | Industrial Development Authority |
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 |
PLC | Public Limited Company |
PSF | Permanent School Fund |
SFM | Single Family Mortgage |
SIFMA | Securities Industry and Financial Markets Association |
SOFR | United States Secured Overnight Financing Rate |
SonyMA | State of New York Mortgage Agency |
TCRS | Transferable Custodial Receipts |
TRANS | Tax Revenue Anticipation Bonds |
TRB | Tax Revenue Bonds |
Municipal Issue Type (%)(a),(b) | |
Revenue Bonds | 81.1 |
General Obligation Unlimited Bonds | 10.1 |
General Obligation Limited Bonds | 4.1 |
Certificates of Participation | 1.7 |
Revenue Notes | 0.7 |
Tax Allocation Bonds | 0.4 |
Special Assessment Bonds | 0.2 |
Total | 98.3 |
(a)Percentages shown are based on Net Assets. |
(b)Excludes Investment Companies, Short-Term Money Market Fund Investments and Other. |
Morningstar Municipal Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Municipal Bonds | $ — | $346,294,230 | $— | $346,294,230 |
Investment Companies | 538,541 | — | — | 538,541 |
Short-Term Investments | 7,576,378 | 65,993,565 | — | 73,569,943 |
Total Investments | $8,114,919 | $412,287,795 | $— | $420,402,714 |
Par | Value | ||
Asset-Backed Securities – 40.3% | |||
Automobile – 9.8% | |||
Ally Auto Receivables Trust, Series 2019-1, Class A4, 3.02%, 4/15/24 | $308,000 | $314,342 | |
American Credit Acceptance Receivables Trust, | |||
Series 2020-4, Class B, 0.85%, 12/13/24(a) | 264,000 | 264,430 | |
Series 2021-2, Class B, 0.68%, 5/13/25(a) | 92,000 | 91,978 | |
0.86%, 2/13/26(a) | 81,000 | 80,834 | |
Series 2020-3, Class C, 1.85%, 6/15/26(a) | 392,000 | 396,840 | |
Series 2020-4, Class C, 1.31%, 12/14/26(a) | 629,000 | 631,740 | |
Series 2021-2, Class C, 0.97%, 7/13/27(a) | 444,000 | 443,103 | |
1.32%, 2/14/28(a) | 296,000 | 295,195 | |
Avis Budget Rental Car Funding AESOP LLC, | |||
Series 2017-1A, Class A, 3.07%, 9/20/23(a) | 643,000 | 654,618 | |
Series 2017-2A, Class A, 2.97%, 3/20/24(a) | 322,000 | 331,018 | |
Carmax Auto Owner Trust, | |||
Series 2019-1, Class A4, 3.26%, 8/15/24 | 240,000 | 247,248 | |
Series 2019-1, Class B, 3.45%, 11/15/24 | 129,000 | 133,359 | |
Chesapeake Funding II LLC, | |||
Series 2019-1A, Class B, 3.11%, 4/15/31(a) | 324,000 | 327,470 | |
Series 2020-1A, Class C, 2.14%, 8/16/32(a) | 159,000 | 161,668 | |
Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2, 0.56%, 12/11/34(a) | 510,000 | 509,922 | |
Drive Auto Receivables Trust, | |||
0.58%, 12/15/25 | 476,000 | 474,571 | |
0.87%, 10/15/27 | 417,000 | 414,782 | |
DT Auto Owner Trust, | |||
Series 2020-3A, Class B, 0.91%, 12/16/24(a) | 135,000 | 135,437 | |
0.58%, 11/17/25(a) | 170,000 | 168,981 | |
Series 2020-2A, Class B, 2.08%, 3/16/26(a) | 163,000 | 164,596 | |
Series 2020-3A, Class C, 1.47%, 6/15/26(a) | 149,000 | 149,883 | |
0.87%, 5/17/27(a) | 149,000 | 147,681 | |
Enterprise Fleet Financing LLC, 8/20/27(a)(b) | 488,000 | 488,198 |
Par | Value | ||
Automobile (Continued) | |||
Exeter Automobile Receivables Trust, | |||
Series 2021-1A, Class B, 0.50%, 2/18/25 | $ 268,000 | $ 268,033 | |
Series 2020-3A, Class C, 1.32%, 7/15/25 | 137,000 | 137,889 | |
0.69%, 1/15/26 | 851,000 | 847,926 | |
First Investors Auto Owner Trust, 0.48%, 3/15/27(a) | 1,058,372 | 1,055,931 | |
Ford Credit Auto Lease Trust, | |||
0.66%, 1/15/25 | 178,000 | 176,822 | |
Series 2020-B, Class C, 1.70%, 2/15/25 | 149,000 | 150,878 | |
0.90%, 5/15/26 | 176,000 | 174,852 | |
Ford Credit Auto Owner Trust, Series 2019-A, Class A4, 2.85%, 8/15/24 | 324,000 | 331,466 | |
GM Financial Automobile Leasing Trust, Series 2020-1, Class B, 1.84%, 12/20/23 | 133,000 | 134,317 | |
GM Financial Consumer Automobile Receivables Trust, 1.37%, 1/16/26 | 50,000 | 50,218 | |
Honda Auto Receivables Owner Trust, | |||
Series 2020-1, Class A3, 1.61%, 4/22/24 | 505,000 | 509,436 | |
Series 2019-1, Class A4, 2.90%, 6/18/24 | 302,000 | 306,880 | |
Series 2019-2, Class A4, 2.54%, 3/21/25 | 605,000 | 616,795 | |
Hyundai Auto Lease Securitization Trust, Series 2020-A, Class B, 2.12%, 5/15/24(a) | 157,000 | 159,085 | |
Nissan Auto Lease Trust, Series 2020-A, Class A4, 1.88%, 4/15/25 | 256,000 | 258,678 | |
Nissan Auto Receivables Owner Trust, | |||
Series 2018-B, Class A4, 3.16%, 12/16/24 | 245,000 | 249,786 | |
Series 2019-A, Class A4, 3.00%, 9/15/25 | 308,000 | 316,740 | |
Prestige Auto Receivables Trust, Series 2020-1A, Class B, 0.77%, 10/15/24(a) | 164,000 | 164,330 | |
Santander Consumer Auto Receivables Trust, Series 2020-AA, Class B, 2.26%, 12/15/25(a) | 312,000 | 317,724 |
Par | Value | ||
Automobile (Continued) | |||
Santander Drive Auto Receivables Trust, | |||
0.51%, 8/15/25 | $289,000 | $ 288,599 | |
Series 2020-3, Class C, 1.12%, 1/15/26 | 423,000 | 424,820 | |
0.88%, 6/15/26 | 796,000 | 794,589 | |
1.26%, 2/16/27 | 518,000 | 517,074 | |
Santander Retail Auto Lease Trust, 0.50%, 3/20/25(a) | 417,000 | 416,954 | |
Toyota Auto Receivables Owner Trust, Series 2019-A, Class A4, 3.00%, 5/15/24 | 308,000 | 316,011 | |
Westlake Automobile Receivables Trust, | |||
Series 2020-1A, Class C, 2.52%, 4/15/25(a) | 761,000 | 774,274 | |
Series 2020-2A, Class C, 2.01%, 7/15/25(a) | 220,000 | 223,087 | |
Series 2020-3A, Class B, 0.78%, 11/17/25(a) | 330,000 | 331,009 | |
Series 2020-3A, Class C, 1.24%, 11/17/25(a) | 155,000 | 155,734 | |
Series 2021-1A, Class B, 0.64%, 3/16/26(a) | 483,000 | 482,766 | |
0.62%, 7/15/26(a) | 256,000 | 255,127 | |
0.89%, 7/15/26(a) | 406,000 | 403,948 | |
Wheels SPV 2 LLC, Series 2019-1A, Class A3, 2.35%, 5/22/28(a) | 621,000 | 630,787 | |
World Omni Auto Receivables Trust, | |||
Series 2020-A, Class A3, 1.70%, 1/17/23 | 412,000 | 415,626 | |
Series 2019-A, Class B, 3.34%, 6/16/25 | 304,000 | 313,167 | |
1.39%, 5/17/27 | 50,000 | 50,220 | |
20,049,472 | |||
Automobile Floor Plan – 0.4% | |||
Navistar Financial Dealer Note Master Trust, Series 2020-1, Class C, (1M USD LIBOR + 2.15%), 2.24%, 7/25/25(a)(c) | 457,000 | 461,380 | |
NextGear Floorplan Master Owner Trust, Series 2019-2A, Class A2, 2.07%, 10/15/24(a) | 263,000 | 266,987 | |
728,367 |
Par | Value | ||
Commercial Mortgage-Backed Securities – 4.0% | |||
BX Commercial Mortgage Trust, | |||
(1M USD LIBOR + 2.00%, 2.00% Floor), 2.09%, 9/15/36(a)(c) | $242,000 | $242,000 | |
(1M USD LIBOR + 2.40%, 2.40% Floor), 2.49%, 9/15/36(a)(c) | 191,000 | 189,695 | |
Citigroup Commercial Mortgage Trust, | |||
Series 2012-GC8, Class A4, 3.02%, 9/10/45 | 132,640 | 133,877 | |
Series 2013-GC11, Class A3, 2.82%, 4/10/46 | 471,866 | 481,602 | |
Commercial Mortgage Trust, | |||
Series 2012-CCRE2, Class A4, 3.15%, 8/15/45 | 148,000 | 149,297 | |
Series 2012-CCRE5, Class A3, 2.54%, 12/10/45 | 475,745 | 480,708 | |
Series 2013-LC6, Class A4, 2.94%, 1/10/46 | 302,823 | 308,084 | |
Series 2013-CCRE7, Class A4, 3.21%, 3/10/46 | 497,817 | 511,643 | |
GS Mortgage Securities Corp. Trust, Series 2012-ALOHA, Class A, 3.55%, 4/10/34(a) | 588,000 | 591,385 | |
Hawaii Hotel Trust, Series 2019-MAUI, Class C, (1M USD LIBOR + 1.65%, 1.65% Floor), 1.74%, 5/15/38(a)(c) | 616,000 | 614,449 | |
JPMorgan Chase Commercial Mortgage Securities Trust, | |||
Series 2012-HSBC, Class A, 3.09%, 7/05/32(a) | 510,045 | 516,007 | |
Series 2012-C8, Class AS, 3.42%, 10/15/45(a) | 313,000 | 318,176 | |
Series 2015-C30, Class ASB, 3.56%, 7/15/48 | 407,296 | 423,346 | |
LoanCore Issuer Ltd., Series 2021-CRE4, Class A, (30D Average SOFR + 0.91%, 0.80% Floor), 0.97%, 7/15/35(a)(c) | 177,040 | 176,953 |
Par | Value | ||
Commercial Mortgage-Backed Securities (Continued) | |||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C3, Class A4, 3.09%, 8/10/49 | $370,664 | $ 375,618 | |
VCC Trust, Series 2020-MC1, Class A, 4.50%, 6/25/45(a) | 113,942 | 114,537 | |
VNDO Mortgage Trust, | |||
Series 2012-6AVE, Class A, 3.00%, 11/15/30(a) | 55,000 | 56,038 | |
Series 2012-6AVE, Class B, 3.30%, 11/15/30(a) | 775,000 | 788,734 | |
Wells Fargo Commercial Mortgage Trust, Series 2012-LC5, Class A3, 2.92%, 10/15/45 | 333,480 | 337,316 | |
WFRBS Commercial Mortgage Trust, | |||
Series 2013-C11, Class A5, 3.07%, 3/15/45 | 122,694 | 125,000 | |
Series 2012-C8, Class A3, 3.00%, 8/15/45 | 617,000 | 623,042 | |
Series 2012-C9, Class A3, 2.87%, 11/15/45 | 667,317 | 676,030 | |
8,233,537 | |||
Other – 24.6% | |||
ABPCI Direct Lending Fund ABS I Ltd., Series 2020-1A, Class B, 4.94%, 12/20/30(a)(d) | 891,000 | 887,016 | |
ABPCI Direct Lending Fund CLO II LLC, Series 2017-1A, Class ER, (3M USD LIBOR + 7.60%, 7.60% Floor), 7.73%, 4/20/32(a)(c) | 746,000 | 722,624 | |
ABPCI Direct Lending Fund CLO X L.P., Series 2020-10A, Class A1A, (3M USD LIBOR + 1.95%, 1.95% Floor), 2.08%, 1/20/32(a)(c) | 250,000 | 250,284 | |
ABPCI Direct Lending Fund IX LLC, Series 2020-9A, Class A1, (3M USD LIBOR + 1.95%, 1.95% Floor), 2.08%, 11/18/31(a)(c) | 304,000 | 304,892 | |
Blackrock DLF VIII-L CLO Trust, Series 2021-1A, Class A, (3M USD LIBOR + 1.35%, 1.35% Floor), 1.47%, 4/17/32(a)(c) | 246,705 | 246,549 |
Par | Value | ||
Other (Continued) | |||
Blackrock Mount Adams CLO IX L.P., Series 2021-9A, Class A1, (3M USD LIBOR + 1.37%, 1.37% Floor), 1.51%, 9/22/31(a)(c) | $259,000 | $258,999 | |
CARS-DB4 L.P., Series 2020-1A, Class A1, 2.69%, 2/15/50(a) | 146,702 | 149,485 | |
CCG Receivables Trust, 0.54%, 3/14/29(a) | 437,000 | 435,422 | |
Cerberus Loan Funding XXIX L.P., Series 2020-2A, Class A, (3M USD LIBOR + 1.90%, 1.90% Floor), 2.02%, 10/15/32(a)(c) | 939,000 | 940,301 | |
Cerberus Loan Funding XXV L.P., Series 2018-4RA, Class A1TR, (3M USD LIBOR + 1.53%, 1.53% Floor), 1.65%, 10/15/30(a)(c) | 797,000 | 797,022 | |
Cerberus Loan Funding XXVI L.P., Series 2019-1A, Class AR, (3M USD LIBOR + 1.50%, 1.50% Floor), 1.62%, 4/15/31(a)(c) | 250,000 | 249,999 | |
Cerberus Loan Funding XXVIII L.P., | |||
Series 2020-1A, Class A, (3M USD LIBOR + 1.85%, 1.85% Floor), 1.97%, 10/15/31(a)(c) | 825,000 | 825,272 | |
Series 2020-1A, Class D, (3M USD LIBOR + 5.30%, 5.30% Floor), 5.42%, 10/15/31(a)(c) | 764,000 | 766,503 | |
Cerberus Loan Funding XXXI L.P., Series 2021-1A, Class A, (3M USD LIBOR + 1.50%, 1.50% Floor), 1.62%, 4/15/32(a)(c) | 389,000 | 388,995 | |
Cerberus Loan Funding XXXIV L.P., Series 2021-4A, Class A, (3M USD LIBOR + 1.50%, 1.50% Floor), 1.63%, 8/13/33(a)(c)(d) | 403,705 | 403,705 | |
Coinstar Funding LLC, Series 2017-1A, Class A2, 5.22%, 4/25/47(a) | 886,240 | 885,394 | |
Conn's Receivables Funding LLC, Series 2020-A, Class B, 4.27%, 6/16/25(a) | 145,118 | 145,951 |
Par | Value | ||
Other (Continued) | |||
CoreVest American Finance Trust, Series 2018-1, Class A, 3.81%, 6/15/51(a) | $164,909 | $167,972 | |
Dell Equipment Finance Trust, | |||
Series 2020-1, Class C, 4.26%, 6/22/23(a) | 336,000 | 346,899 | |
Series 2019-2, Class B, 2.06%, 10/22/24(a) | 198,000 | 200,122 | |
Series 2020-2, Class D, 1.92%, 3/23/26(a) | 255,000 | 258,591 | |
0.94%, 12/22/26(a) | 100,000 | 99,130 | |
Diamond Infrastructure Funding LLC, Series 2021-1A, Class C, 3.48%, 4/15/49(a) | 104,000 | 103,258 | |
Ellington CLO IV Ltd., Series 2019-4A, Class AR, (3M USD LIBOR + 1.58%, 1.58% Floor), 1.70%, 4/15/29(a)(c) | 303,118 | 302,896 | |
Elm Trust, | |||
Series 2020-3A, Class A2, 2.96%, 8/20/29(a) | 134,000 | 133,055 | |
Series 2020-3A, Class B, 4.48%, 8/20/29(a) | 332,000 | 329,144 | |
Series 2020-4A, Class A2, 2.29%, 10/20/29(a) | 113,000 | 111,608 | |
Series 2020-4A, Class B, 3.87%, 10/20/29(a) | 338,000 | 333,933 | |
Encina Equipment Finance LLC, Series 2021-1A, Class A2, 0.74%, 12/15/26(a) | 201,000 | 200,419 | |
FCI Funding, Series 2021-1A, Class A, 1.13%, 4/15/33(a) | 133,122 | 132,811 | |
Finance of America HECM Buyout, | |||
Series 2020-HB2, Class A, 1.71%, 7/25/30(a) | 548,780 | 550,346 | |
Series 2021-HB1, Class A, 0.88%, 2/25/31(a) | 201,328 | 201,300 | |
Series 2021-HB1, Class M1, 1.59%, 2/25/31(a) | 196,000 | 194,537 | |
Fortress Credit Opportunities IX CLO Ltd., (3M USD LIBOR + 1.55%, 1.55% Floor), 1.67%, 10/15/33(a)(c) | 954,000 | 951,712 |
Par | Value | ||
Other (Continued) | |||
Fortress Credit Opportunities XI CLO Ltd., (3M USD LIBOR + 1.30%), 1.42%, 4/15/31(a)(c) | $317,000 | $316,347 | |
Galaxy XXIII CLO Ltd., Series 2017-23A, Class AR, (3M USD LIBOR + 0.87%, 0.87% Floor), 0.99%, 4/24/29(a)(c) | 379,303 | 379,612 | |
Golub Capital Partners ABS Funding Ltd., | |||
Series 2020-1A, Class A2, 3.21%, 1/22/29(a) | 769,000 | 770,271 | |
Series 2020-1A, Class B, 4.50%, 1/22/29(a) | 476,000 | 480,653 | |
Series 2021-1A, Class A2, 2.77%, 4/20/29(a) | 161,000 | 158,877 | |
Series 2021-1A, Class B, 3.82%, 4/20/29(a) | 382,000 | 378,740 | |
10/20/29 (a)(b) | 796,000 | 796,000 | |
10/20/29 (a)(b) | 926,000 | 926,000 | |
Golub Capital Partners CLO 36m Ltd., (3M USD LIBOR + 1.30%), 1.42%, 2/05/31(a)(c) | 562,000 | 561,446 | |
Golub Capital Partners CLO Ltd., Series 2018-38A, Class C, (3M USD LIBOR + 2.80%, 2.80% Floor), 2.93%, 7/20/30(a)(c) | 507,000 | 507,056 | |
Gracie Point International Funding, Series 2021-1A, Class A, (1M USD LIBOR + 0.75%), 0.84%, 11/01/23(a)(c) | 402,999 | 404,073 | |
Grand Avenue CRE, Series 2019-FL1, Class AS, (1M USD LIBOR + 1.50%), 1.59%, 6/15/37(a)(c)(d) | 189,000 | 188,947 | |
GreatAmerica Leasing Receivables Funding LLC, | |||
Series 2020-1, Class A3, 1.76%, 8/15/23(a) | 192,000 | 193,819 | |
Series 2019-1, Class A4, 3.21%, 2/18/25(a) | 302,000 | 308,814 | |
Series 2019-1, Class B, 3.37%, 2/18/25(a) | 308,000 | 317,573 | |
HPEFS Equipment Trust, | |||
Series 2020-1A, Class C, 2.03%, 2/20/30(a) | 334,000 | 338,414 | |
Series 2020-2A, Class C, 2.00%, 7/22/30(a) | 289,000 | 293,188 |
Par | Value | ||
Other (Continued) | |||
Ivy Hill Middle Market Credit Fund IX Ltd., Series 9A, Class CR, (3M USD LIBOR + 2.35%), 2.47%, 1/18/30(a)(c) | $778,000 | $770,214 | |
Ivy Hill Middle Market Credit Fund XVIII Ltd., Series 18A, Class E, (3M USD LIBOR + 7.75%, 7.75% Floor), 7.88%, 4/22/33(a)(c) | 970,000 | 927,995 | |
John Deere Owner Trust, Series 2019-A, Class A4, 3.00%, 1/15/26 | 299,000 | 304,661 | |
Kayne CLO 8 Ltd., Series 2020-8A, Class E, (3M USD LIBOR + 7.15%, 7.15% Floor), 7.27%, 7/15/31(a)(c) | 859,000 | 859,375 | |
Lake Shore MM CLO III LLC, | |||
(3M USD LIBOR + 1.48%, 1.48% Floor), 10/17/31(a)(b)(c) | 202,000 | 202,000 | |
10/17/31 (a)(b) | 100,000 | 99,998 | |
Lake Shore MM CLO IV Ltd., (3M USD LIBOR + 1.18%, 1.18% Floor), 1.31%, 10/15/33(a)(c) | 145,000 | 144,964 | |
Legal Fee Funding LLLC, Series 2006-1A, Class A, 8.00%, 7/20/36(a) | 70,473 | 71,202 | |
Monroe Capital ABS Funding Ltd., | |||
Series 2021-1A, Class A2, 2.82%, 4/22/31(a)(d) | 403,000 | 398,361 | |
Series 2021-1A, Class B, 3.91%, 4/22/31(a)(d) | 221,000 | 218,177 | |
Nationstar HECM Loan Trust, | |||
Series 2020-1A, Class A1, 1.27%, 9/25/30(a) | 631,130 | 632,507 | |
Series 2020-1A, Class M1, 1.47%, 9/25/30(a) | 230,000 | 229,338 | |
Series 2020-1A, Class M2, 1.97%, 9/25/30(a) | 206,000 | 205,227 | |
Neuberger Berman CLO XV, (3M USD LIBOR + 0.92%, 0.92% Floor), 1.04%, 10/15/29(a)(c) | 541,000 | 541,528 |
Par | Value | ||
Other (Continued) | |||
NRZ Advance Receivables Trust, | |||
Series 2020-T3, Class AT3, 1.32%, 10/15/52(a) | $175,200 | $175,149 | |
Series 2020-T2, Class AT2, 1.48%, 9/15/53(a) | 930,000 | 930,595 | |
NRZ Excess Spread-Collateralized Notes, Series 2018-FNT1, Class A, 3.61%, 5/25/23(a) | 139,359 | 139,429 | |
Oasis Securitization Funding LLC, Series 2021-1A, Class A, 2.58%, 2/15/33(a) | 158,771 | 159,048 | |
OCP CLO Ltd., (3M USD LIBOR + 0.96%, 0.96% Floor), 1.08%, 7/15/30(a)(c) | 585,000 | 585,000 | |
Octagon Investment Partners XV Ltd., Series 2013-1A, Class A1RR, (3M USD LIBOR + 0.97%, 0.97% Floor), 1.10%, 7/19/30(a)(c) | 889,000 | 888,315 | |
Ocwen Master Advance Receivables Trust, Series 2020-T1, Class AT1, 1.28%, 8/15/52(a) | 954,000 | 953,706 | |
Oportun Funding XIV LLC, Series 2021-A, Class A, 1.21%, 3/08/28(a) | 143,000 | 143,018 | |
Oportun Issuance Trust, | |||
Series 2021-B, Class A, 1.47%, 5/08/31(a) | 230,000 | 229,645 | |
2.18%, 10/08/31(a) | 803,000 | 803,100 | |
Owl Rock CLO III Ltd., Series 2020-3A, Class A1L, (3M USD LIBOR + 1.80%), 1.93%, 4/20/32(a)(c) | 400,000 | 400,624 | |
Owl Rock CLO VI Ltd., Series 2021-6A, Class A, (3M USD LIBOR + 1.45%, 1.45% Floor), 1.57%, 6/21/32(a)(c) | 915,000 | 914,092 | |
Owl Rock Technology Financing LLC, Series 2020-1A, Class A, (3M USD LIBOR + 2.95%, 2.95% Floor), 3.08%, 1/15/31(a)(c) | 788,000 | 788,837 |
Par | Value | ||
Other (Continued) | |||
Parliament CLO II Ltd., Series 2021-2A, Class A, (3M USD LIBOR + 1.35%, 1.35% Floor), 1.48%, 8/20/32(a)(c) | $334,000 | $333,669 | |
Parliament Funding II Ltd., Series 2020-1A, Class A, (3M USD LIBOR + 2.45%, 2.45% Floor), 2.58%, 8/12/30(a)(c) | 426,000 | 427,530 | |
Pawneee Equipment Receivables LLC, 1.10%, 7/15/27(a) | 177,000 | 176,520 | |
PFS Financing Corp., | |||
Series 2019-A, Class B, 3.13%, 4/15/24(a) | 603,000 | 609,951 | |
Series 2020-F, Class A, 0.93%, 8/15/24(a) | 186,000 | 186,806 | |
Series 2020-F, Class B, 1.42%, 8/15/24(a) | 100,000 | 100,328 | |
Series 2019-C, Class A, 2.23%, 10/15/24(a) | 100,000 | 101,717 | |
1.27%, 6/15/25(a) | 937,000 | 944,601 | |
Series 2020-A, Class B, 1.77%, 6/15/25(a) | 881,000 | 892,206 | |
Series 2020-E, Class B, 1.57%, 10/15/25(a) | 747,000 | 753,413 | |
1.00%, 10/15/25(a) | 134,000 | 134,067 | |
0.97%, 2/15/26(a) | 531,000 | 530,452 | |
0.71%, 4/15/26(a) | 333,000 | 330,084 | |
0.96%, 4/15/26(a) | 100,000 | 98,943 | |
0.77%, 8/15/26(a) | 317,000 | 313,240 | |
PRET LLC, 10/25/51(a)(b) | 961,000 | 960,827 | |
Pretium Mortgage Credit Partners I LLC, | |||
Series 2021-NPL2, Class A1, (Step to 3.11% on 7/27/24), 1.99%, 6/27/60(a)(e) | 441,878 | 439,641 | |
(Step to 3.27% on 11/27/24), 2.36%, 10/27/60(a)(e) | 968,000 | 964,545 | |
SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.97%, 9/25/37(a) | 480,627 | 481,103 | |
Telos CLO Ltd., Series 2014-5A, Class A1R, (3M USD LIBOR + 0.95%, 0.95% Floor), 1.07%, 4/17/28(a)(c) | 49,637 | 49,609 | |
Towd Point Mortgage Trust, | |||
Series 2017-2, Class A1, 2.75%, 4/25/57(a) | 269,304 | 272,320 |
Par | Value | ||
Other (Continued) | |||
Towd Point Mortgage Trust, | |||
Series 2018-2, Class A1, 3.25%, 3/25/58(a) | $ 364,242 | $ 373,489 | |
TVEST LLC, Series 2020-A, Class A, 4.50%, 7/15/32(a) | 150,501 | 151,503 | |
VCAT LLC, | |||
Series 2021-NPL1, Class A1, (Step to 5.29% on 1/25/24), 2.29%, 12/26/50(a)(e) | 101,587 | 101,686 | |
Series 2021-NPL2, Class A1, (Step to 5.12% on 3/26/24), 2.12%, 3/27/51(a)(e) | 346,527 | 346,765 | |
VCP CLO II Ltd., Series 2021-2A, Class E, (3M USD LIBOR + 8.40%), 8.52%, 4/15/31(a)(c)(d) | 1,119,000 | 1,127,324 | |
VCP RRL ABS I Ltd., | |||
Series 2021-1A, Class A, 2.15%, 10/20/31(a)(d) | 446,000 | 443,231 | |
Series 2021-1A, Class B, 2.85%, 10/20/31(a)(d) | 398,000 | 397,685 | |
Verizon Owner Trust, | |||
Series 2019-A, Class B, 3.02%, 9/20/23 | 585,000 | 596,049 | |
Series 2019-B, Class B, 2.40%, 12/20/23 | 605,000 | 616,122 | |
Series 2019-C, Class B, 2.06%, 4/22/24 | 375,000 | 381,987 | |
VOLT C LLC, Series 2021-NPL9, Class A1, 1.99%, 5/25/51(a) | 347,554 | 346,534 | |
VOLT XCIV LLC, Series 2021-NPL3, Class A1, 2.24%, 2/27/51(a) | 370,204 | 369,568 | |
VOLT XCV LLC, Series 2021-NPL4, Class A1, 2.24%, 3/27/51(a) | 415,083 | 413,705 | |
Volvo Financial Equipment LLC, Series 2019-1A, Class A4, 3.13%, 11/15/23(a) | 302,000 | 307,337 | |
Wellfleet CLO Ltd., Series 2016-1A, Class AR, (3M USD LIBOR + 0.91%), 1.04%, 4/20/28(a)(c) | 182,449 | 182,453 | |
Whitebox CLO II Ltd., Series 2020-2A, Class A1, (3M USD LIBOR + 1.75%, 1.75% Floor), 1.88%, 10/24/31(a)(c) | 963,000 | 964,172 |
Par | Value | ||
Other (Continued) | |||
Woodmont Trust, Series 2019-6A, Class A1R, (3M USD LIBOR + 1.48%, 1.48% Floor), 1.60%, 7/15/31(a)(c) | $526,000 | $ 525,463 | |
Zais CLO 7 Ltd., Series 2017-2A, Class A, (3M USD LIBOR + 1.29%), 1.41%, 4/15/30(a)(c) | 311,757 | 311,461 | |
50,370,187 | |||
Student Loan – 0.0%(f) | |||
SMB Private Education Loan Trust 2021-A, Series 2021-A, Class A1, (1M USD LIBOR + 0.50%), 0.58%, 1/15/53(a)(c) | 52,928 | 52,991 | |
Whole Loan – 1.5% | |||
BRAVO Residential Funding Trust, Series 2019-1, Class A1C, 3.50%, 3/25/58(a) | 160,472 | 163,461 | |
Cascade Funding Mortgage Trust, Series 2021-HB6, Class A, 0.90%, 6/25/36(a) | 177,687 | 177,658 | |
CFMT LLC, | |||
Series 2021-HB5, Class A, 0.80%, 2/25/31(a)(g) | 391,216 | 391,024 | |
1.15%, 10/27/31(a) | 187,000 | 187,000 | |
2.12%, 10/27/31(a) | 192,000 | 192,000 | |
CIM Trust, | |||
Series 2017-7, Class A, 3.00%, 4/25/57(a) | 89,625 | 90,718 | |
Series 2018-R3, Class A1, 5.00%, 12/25/57(a) | 247,474 | 258,528 | |
PRPM LLC, | |||
Series 2020-5, Class A1, (Step to 6.10% on 11/25/23), 3.10%, 11/25/25(a)(e) | 474,101 | 474,321 | |
Series 2021-2, Class A1, 2.12%, 3/25/26(a)(g) | 328,734 | 328,025 | |
2.36%, 10/25/26(a)(g) | 486,000 | 485,635 | |
RCO VII Mortgage LLC, (Step to 5.12% on 10/25/24), 2.12%, 9/25/26(a)(e) | 426,849 | 424,925 | |
3,173,295 | |||
Total Asset-Backed Securities (Cost $82,172,692) | 82,607,849 |
Number of Shares | Value | ||
Common Stocks – 0.5% | |||
Real Estate – 0.3% | |||
Copper Property CTL Pass Through Trust(h)* | 25,536 | $501,272 | |
Retail – 0.0%(f) | |||
J.C. Penney Earnout(h)* | 3,405 | 35,752 | |
Transportation – 0.2% | |||
PHI Group, Inc.(i)* | 30,348 | 424,872 | |
Total Common Stocks (Cost $751,878) | 961,896 |
Private Placement – 0.1% | |||
Transportation – 0.1% | |||
PHI Group, Inc.(h)(i)* | 14,039 | 196,546 | |
Total Private Placement (Cost $110,837) | 196,546 |
Par | Value | ||
Corporate Bonds – 1.4% | |||
Coal – 0.2% | |||
Natural Resource Partners L.P./NRP Finance Corp., 9.12%, 6/30/25(a) | $391,000 | 393,698 | |
Diversified Financial Services – 0.5% | |||
Midcap Financial Issuer Trust, 6.50%, 5/01/28(a) | 936,000 | 971,100 | |
Food Service – 0.1% | |||
Aramark Services, Inc., 6.38%, 5/01/25(a) | 159,000 | 167,330 | |
Housewares – 0.0%(f) | |||
CD&R Smokey Buyer, Inc., 6.75%, 7/15/25(a) | 104,000 | 109,850 | |
Investment Management Companies – 0.2% | |||
Golub Capital BDC, Inc., 3.38%, 4/15/24 | 513,000 | 531,484 | |
Leisure Time – 0.1% | |||
Royal Caribbean Cruises Ltd., 11.50%, 6/01/25(a) | 164,000 | 186,652 |
Par | Value | ||
Telecommunications – 0.3% | |||
Consolidated Communications, Inc., 6.50%, 10/01/28(a) | $381,000 | $ 405,723 | |
Frontier Communications Holdings LLC, 5.87%, 10/15/27(a) | 137,000 | 143,508 | |
549,231 | |||
Total Corporate Bonds (Cost $2,771,311) | 2,909,345 | ||
Foreign Issuer Bonds – 0.4% | |||
Canada – 0.3% | |||
Air Canada Pass Through Trust, Series 2020-1, Class C, 10.50%, 7/15/26(a) | 470,000 | 577,196 | |
Ireland – 0.1% | |||
Cimpress PLC, 7.00%, 6/15/26(a) | 175,000 | 181,781 | |
Total Foreign Issuer Bonds (Cost $603,751) | 758,977 | ||
Mortgage-Backed Securities – 1.3% | |||
Federal Home Loan Mortgage Corporation – 0.8% | |||
Multifamily Structured Pass Through Certificates, | |||
Series K024, Class A2, 2.57%, 9/25/22 | 51,966 | 52,794 | |
Series K042, Class A1, 2.27%, 6/25/24 | 84,868 | 86,760 | |
Real Estate Mortgage Investment Conduits, | |||
Series 4336, Class WV, 3.00%, 10/15/25 | 215,825 | 216,999 | |
Series 4387, Class VA, 3.00%, 2/15/26 | 289,507 | 293,110 | |
Series 4220, Class EH, 2.50%, 6/15/28 | 352,878 | 363,671 | |
Series 4311, Class QC, 2.25%, 10/15/28 | 351,347 | 360,652 | |
Series 4162, Class P, 3.00%, 2/15/33 | 255,957 | 268,470 | |
1,642,456 | |||
Federal National Mortgage Association – 0.2% | |||
Interest Strip, Series 284, Class 1, 0.00%, 7/25/27(j) | 96,720 | 92,107 |
Par | Value | ||
Federal National Mortgage Association (Continued) | |||
Real Estate Mortgage Investment Conduits, | |||
Series 2014-3, Class AM, 2.50%, 1/25/32 | $ 131,659 | $ 133,826 | |
Series 2012-144, Class PD, 3.50%, 4/25/42 | 137,137 | 143,918 | |
369,851 | |||
Government National Mortgage Association – 0.3% | |||
Series 2012-150, Class IO, 0.54%, 11/16/52(g) | 1,510,705 | 26,643 | |
Series 2015-108, Class IO, 0.53%, 10/16/56(g) | 120,817 | 3,791 | |
Series 2015-7, Class IO, 0.55%, 1/16/57(g) | 2,090,598 | 65,515 | |
Series 2020-42, Class IO, 1.00%, 3/16/62(g) | 1,580,590 | 120,029 | |
Series 2020-43, Class IO, 1.28%, 11/16/61(g) | 1,041,449 | 89,109 | |
Series 2020-71, Class IO, 1.12%, 1/16/62(g) | 1,745,809 | 141,537 | |
Series 2020-75, Class IO, 0.97%, 2/16/62(g) | 2,719,131 | 203,097 | |
649,721 | |||
Total Mortgage-Backed Securities (Cost $3,178,004) | 2,662,028 | ||
Term Loans – 2.9% | |||
Advertising – 0.5% | |||
ABG Intermediate Holdings 2 LLC, 2021 Refinancing Term Loan, (3M USD LIBOR + 3.25%, 0.75% Floor), 4.00%, 9/27/24(c) | 472,144 | 470,963 | |
ABG Intermediate Holdings 2 LLC, Amendment No. 5 Incremental Term Loan, (1M USD LIBOR + 5.25%, 1.00% Floor), 5.34%, 9/27/27(c) | 198,000 | 198,000 | |
CB Poly Investments LLC, Closing Date Term Loan, (3M USD LIBOR + 4.50%), 5.50%, 8/16/23(c) | 373,900 | 371,189 | |
1,040,152 |
Par | Value | ||
Commercial Services – 0.4% | |||
Cimpress PLC, Tranche B-1 Term Loan, (1M USD LIBOR + 3.50%, 0.50% Floor), 4.00%, 5/17/28(c) | $271,320 | $271,404 | |
MediaCo Holding, Inc., Term Loan, (1M USD LIBOR + 4.00%, 1.00% Floor), 4.50%, 11/25/24(c)(h) | 688,028 | 638,783 | |
910,187 | |||
Environmental Control – 0.2% | |||
Packers Holdings LLC, Initial Term Loan (2021), (3M USD LIBOR + 3.25%), 4.00%, 3/09/28(c) | 324,383 | 322,966 | |
Healthcare - Services – 0.5% | |||
GHX Ultimate Parent Corp., Initial Term Loan, (3M USD LIBOR + 3.25%, 0.50% Floor), 4.25%, 6/28/24(c) | 479,058 | 478,761 | |
Heartland Dental LLC, 2021 Incremental Term Loan, | |||
(1M USD LIBOR + 4.00%, 1.00% Floor), 4.09%, 4/30/25(c) | 341,145 | 340,220 | |
4/30/25 (k) | 134,663 | 134,298 | |
953,279 | |||
Insurance – 0.3% | |||
Asurion LLC, New B-7 Term Loan, (1M USD LIBOR + 3.00%), 3.09%, 11/03/24(c) | 649,962 | 644,885 | |
Retail – 0.0%(f) | |||
J.C. Penney Corp., Inc., Loan, (h)(l) | 233,386 | 1,167 | |
Software – 0.5% | |||
Applied Systems, Inc., Closing Date Term Loan, | |||
(3M USD LIBOR + 3.25%, 0.50% Floor), 3.75%, 9/19/24(c) | 282,000 | 281,582 | |
9/19/24 (k) | 38,000 | 37,944 | |
Azalea Topco, Inc., Initial Term Loan, 7/24/26(k) | 320,183 | 317,702 | |
Polaris Newco LLC, Dollar Term Loan, (3M USD LIBOR + 4.00%), 4.50%, 6/02/28(c) | 316,000 | 316,607 | |
953,835 |
Par | Value | ||
Telecommunications – 0.3% | |||
Frontier Communications Corp., TLB, (3M USD LIBOR + 3.75%, 1.00% Floor), 4.50%, 5/01/28(c) | $368,150 | $ 367,414 | |
Windstream Services II LLC, Initial Term Loan, (1M USD LIBOR + 6.25%), 7.25%, 9/21/27(c) | 312,030 | 313,006 | |
680,420 | |||
Transportation – 0.2% | |||
Hanjin International Corp., Loan, | |||
(3M USD LIBOR + 5.00%), 5.50%, 12/23/22(c) | 424,000 | 425,590 | |
12/23/22 (k) | 3,000 | 3,011 | |
428,601 | |||
Total Term Loans (Cost $5,923,426) | 5,935,492 |
Number of Shares | |||
Warrants – 0.0%(f) | |||
Telecommunications – 0.0%(f) | |||
Windstream Services LLC (h)* | 318 | 4,611 | |
Total Warrants (Cost $146,140) | 4,611 | ||
Investment Companies – 44.1% | |||
Schwab Intermediate-Term U.S. Treasury ETF | 513,540 | 28,871,219 | |
Schwab Short-Term U.S. Treasury ETF | 474,725 | 24,225,217 | |
Vanguard Intermediate-Term Corporate Bond ETF | 85,178 | 7,997,362 | |
Vanguard Mortgage-Backed Securities ETF | 117,684 | 6,250,197 | |
Vanguard Short-Term Corporate Bond ETF | 182,282 | 14,925,250 | |
Vanguard Short-Term Inflation-Protected Securities ETF | 152,121 | 7,920,941 | |
Total Investment Companies (Cost $90,594,459) | 90,190,186 |
Number of Shares | Value | ||
Short-Term Investments – 10.9% | |||
Money Market Fund – 10.9% | |||
Northern Institutional Funds - Treasury Portfolio (Premier), 0.01%(m) | 22,257,750 | $ 22,257,750 | |
Total Short-Term Investments (Cost $22,257,750) | 22,257,750 | ||
Total Investments – 101.9% (Cost $208,510,248) | 208,484,680 | ||
Liabilities less Other Assets – (1.9)% | (3,823,925) | ||
NET ASSETS – 100.0% | $204,660,755 |
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) | When-issued security. Coupon rate was not yet in effect at October 31, 2021. | ||
(c) | Variable rate security. Rate as of October 31, 2021 is disclosed. | ||
(d) | Restricted security that has been deemed illiquid. At October 31, 2021, the value of these restricted illiquid securities amounted to $4,064,446 or 1.99% of net assets. Additional information on these restricted illiquid securities is as follows: |
Security | Acquisition Date | Acquisition Cost | |
ABPCI Direct Lending Fund ABS I Ltd., 4.94%, 12/20/30 | 12/16/20 | $ 891,000 | |
Cerberus Loan Funding XXXIV L.P., 1.63%, 8/13/33 | 7/27/21 | 403,705 | |
Grand Avenue CRE, 1.59%, 6/15/37 | 3/18/21 | 189,103 | |
Monroe Capital ABS Funding Ltd., 2.82%, 4/22/31 | 2/18/21-3/25/21 | 402,757 | |
Monroe Capital ABS Funding Ltd., 3.91%, 4/22/31 | 2/18/21 | 221,000 | |
VCP CLO II Ltd., 8.52%, 4/15/31 | 2/05/21 | 1,085,430 | |
VCP RRL ABS I Ltd., 2.15%, 10/20/31 | 7/28/21 | 446,000 | |
VCP RRL ABS I Ltd., 2.85%, 10/20/31 | 7/28/21 | 398,000 |
(e) | Step coupon bond. Rate as of October 31, 2021 is disclosed. |
(f) | Amount rounds to less than 0.05%. |
(g) | 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, 2021 is disclosed. |
(h) | Investment is valued using significant unobservable inputs (Level 3) (See table below). |
(i) | This restricted security constituted 0.30% of total net assets at October 31, 2021. This security is not registered and may not be sold to the public. There are legal and/or contractual restrictions on resale. |
(j) | Zero coupon bond. |
(k) | Position is unsettled. Contract rate was not determined at October 31, 2021 and does not take effect until settlement date. |
(l) | Issuer has defaulted on terms of debt obligation. Income is not being accrued. |
(m) | 7-day current yield as of October 31, 2021 is disclosed. |
* | Non-income producing security |
Abbreviations: | |
1M | 1 Month |
3M | 3 Month |
ABS | Asset-Backed Security |
BDC | Business Development Company |
CLO | Collateralized Loan Obligation |
ETF | Exchange-Traded Fund |
IO | Interest Only |
L.P. | Limited Partnership |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
PLC | Public Limited Company |
SOFR | United States Secured Overnight Financing Rate |
Strip | Separate Trading of Registered Interest and Principal |
USD | United States Dollar |
Morningstar Defensive Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Asset-Backed Securities | $ — | $82,607,849 | $ — | $ 82,607,849 |
Common Stocks | — | 424,872 | 537,024 | 961,896 |
Private Placement | — | — | 196,546 | 196,546 |
Corporate Bonds | — | 2,909,345 | — | 2,909,345 |
Foreign Issuer Bonds | — | 758,977 | — | 758,977 |
Mortgage-Backed Securities | — | 2,662,028 | — | 2,662,028 |
Term Loans | — | 5,295,542 | 639,950 | 5,935,492 |
Warrants | — | — | 4,611 | 4,611 |
Investment Companies | 90,190,186 | — | — | 90,190,186 |
Short-Term Investments | 22,257,750 | — | — | 22,257,750 |
Total Investments | $112,447,936 | $94,658,613 | $1,378,131 | $208,484,680 |
Financial Assets | Fair Value at 10/31/21 | Valuation Technique(s) | Unobservable Inputs | Price/Range |
Common Stocks | $537,024 | Third Party Broker Quotes | Quotes/Prices | $10.50 - $19.63 |
Private Placement | $196,546 | Similar Security Price | Quotes/Prices | $14.00 |
Financial Assets | Fair Value at 10/31/21 | Valuation Technique(s) | Unobservable Inputs | Price/Range |
Term Loans | $639,950 | Third Party Broker Quotes | Quotes/Prices | $0.50 - $93.00 |
Warrants | $ 4,611 | Third Party Broker Quotes | Quotes/Prices | $14.50 |
Par (a) | Value | ||
Asset-Backed Securities – 1.7% | |||
Commercial Mortgage-Backed Securities – 0.7% | |||
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class D, 4.94%, 5/10/47(b)(c) | $175,000 | $ 162,236 | |
Commercial Mortgage Trust, Series 2012-CR3, Class B, 3.92%, 10/15/45(b) | 100,000 | 99,046 | |
GS Mortgage Securities Trust, | |||
Series 2011-GC5, Class D, 5.16%, 8/10/44(b)(c) | 315,000 | 151,200 | |
Series 2011-GC5, Class C, 5.16%, 8/10/44(b)(c) | 35,000 | 29,838 | |
Series 2013-GC13, Class C, 4.06%, 7/10/46(b)(c) | 320,000 | 300,584 | |
Series 2014-GC22, Class D, 4.69%, 6/10/47(b)(c) | 50,000 | 44,411 | |
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class C, 5.36%, 2/15/46(b) | 100,000 | 99,384 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class B, 4.35%, 8/15/46(c) | 110,000 | 79,785 | |
MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class C, 4.28%, 10/15/30(b)(c) | 100,000 | 84,612 | |
Wells Fargo Commercial Mortgage Trust, | |||
Series 2014-LC16, Class C, 4.46%, 8/15/50 | 75,000 | 45,750 | |
Series 2016-C36, Class C, 4.18%, 11/15/59(c) | 45,000 | 39,504 | |
WFRBS Commercial Mortgage Trust, | |||
Series 2011-C3, Class D, 5.43%, 3/15/44(b)(c) | 210,870 | 102,736 | |
Series 2012-C7, Class D, 4.80%, 6/15/45(b)(c) | 320,000 | 174,118 | |
Series 2012-C10, Class C, 4.35%, 12/15/45(c) | 120,000 | 105,741 | |
1,518,945 |
Par (a) | Value | ||
Other – 1.0% | |||
AIG CLO Ltd., Series 2021-2A, Class E, (3M USD LIBOR + 6.50%, 6.50% Floor), 6.59%, 7/20/34(b)(d) | $250,000 | $ 249,968 | |
CarVal CLO I Ltd., Series 2018-1A, Class D, (3M USD LIBOR + 2.89%), 3.01%, 7/16/31(b)(d) | 265,000 | 265,000 | |
NYACK Park CLO Ltd., Series 2021-1A, Class E, (3M USD LIBOR + 6.10%, 6.10% Floor), 6.22%, 10/20/34(b)(d)(e) | 250,000 | 250,001 | |
Octagon Investment Partners 44 Ltd., Series 2019-1A, Class ER, (3M USD LIBOR + 6.75%, 6.75% Floor), 6.87%, 10/15/34(b)(d) | 250,000 | 251,182 | |
OHA Credit Funding 3 Ltd., Series 2019-3A, Class ER, (3M USD LIBOR + 6.25%, 6.25% Floor), 6.38%, 7/02/35(b)(d) | 250,000 | 248,168 | |
OZLM XXIII Ltd., Series 2019-23A, Class DR, (3M USD LIBOR + 3.75%, 3.75% Floor), 3.87%, 4/15/34(b)(d) | 280,000 | 281,049 | |
Palmer Square CLO Ltd., Series 2018-3A, Class D, (3M USD LIBOR + 4.40%, 4.40% Floor), 4.53%, 8/15/26(b)(d) | 250,000 | 250,004 | |
Pikes Peak CLO 4, Series 2019-4A, Class ER, (3M USD LIBOR + 6.61%, 6.61% Floor), 6.73%, 7/15/34(b)(d) | 250,000 | 248,349 | |
Progress Residential, | |||
Series 2021-SFR3, Class F, 3.44%, 5/17/26(b) | 100,000 | 100,178 | |
Series 2021-SFR4, Class F, 3.41%, 5/17/38(b) | 145,000 | 144,422 | |
VOLT XCVI LLC, Series 2021-NPL5, Class A2, 4.83%, 3/27/51(b) | 100,000 | 99,405 | |
2,387,726 | |||
Total Asset-Backed Securities (Cost $4,159,066) | 3,906,671 |
Number of Shares | Value | ||
Common Stocks – 0.8% | |||
Aerospace/Defense – 0.0%(f) | |||
Lockheed Martin Corp. | 121 | $ 40,211 | |
Auto Manufacturers – 0.0%(f) | |||
Cummins, Inc. | 99 | 23,744 | |
Banks – 0.0%(f) | |||
Morgan Stanley | 511 | 52,521 | |
Beverages – 0.0%(f) | |||
Coca-Cola (The) Co. | 811 | 45,716 | |
Chemicals – 0.0%(f) | |||
Hexion Holdings Corp., Class B* | 434 | 9,982 | |
Commercial Services – 0.0%(f) | |||
Automatic Data Processing, Inc. | 113 | 25,367 | |
Computers – 0.1% | |||
Accenture PLC, Class A | 157 | 56,330 | |
Apple, Inc. | 318 | 47,636 | |
103,966 | |||
Cosmetics/Personal Care – 0.0%(f) | |||
Procter & Gamble (The) Co. | 326 | 46,615 | |
Diversified Financial Services – 0.0%(f) | |||
BlackRock, Inc. | 56 | 52,834 | |
Electric – 0.1% | |||
Duke Energy Corp. | 462 | 47,129 | |
NextEra Energy, Inc. | 532 | 45,395 | |
92,524 | |||
Engineering & Construction – 0.0%(f) | |||
Mcdermott International Ltd.* | 1,932 | 773 | |
Healthcare - Products – 0.0%(f) | |||
Abbott Laboratories | 332 | 42,791 | |
Healthcare - Services – 0.1% | |||
Anthem, Inc. | 130 | 56,567 | |
UnitedHealth Group, Inc. | 121 | 55,717 | |
112,284 | |||
Machinery - Diversified – 0.0%(f) | |||
Deere & Co. | 121 | 41,419 | |
Media – 0.0%(f) | |||
Comcast Corp., Class A | 745 | 38,315 | |
Mining – 0.0%(f) | |||
Newmont Corp. | 737 | 39,798 |
Number of Shares | Value | ||
Oil & Gas – 0.0%(f) | |||
Battalion Oil Corp.* | 363 | $ 3,488 | |
Chevron Corp. | 393 | 44,995 | |
48,483 | |||
Pharmaceuticals – 0.1% | |||
Johnson & Johnson | 253 | 41,209 | |
Merck & Co., Inc. | 559 | 49,220 | |
90,429 | |||
Pipelines – 0.0%(f) | |||
Williams (The) Cos., Inc. | 1,715 | 48,174 | |
Real Estate Investment Trusts – 0.0%(f) | |||
American Tower Corp. | 191 | 53,856 | |
Retail – 0.1% | |||
Home Depot (The), Inc. | 78 | 28,996 | |
Starbucks Corp. | 378 | 40,094 | |
Walmart, Inc. | 309 | 46,171 | |
115,261 | |||
Semiconductors – 0.0%(f) | |||
Texas Instruments, Inc. | 124 | 23,248 | |
Software – 0.0%(f) | |||
Clarivate PLC* | 78 | 1,829 | |
Microsoft Corp. | 171 | 56,707 | |
58,536 | |||
Telecommunications – 0.2% | |||
Cisco Systems, Inc. | 884 | 49,478 | |
T-Mobile U.S., Inc.* | 4,349 | 500,265 | |
549,743 | |||
Transportation – 0.1% | |||
Union Pacific Corp. | 193 | 46,590 | |
United Parcel Service, Inc., Class B | 250 | 53,368 | |
99,958 | |||
Total Common Stocks (Cost $1,759,310) | 1,856,548 |
Par (a) | |||
Convertible Bonds – 1.7% | |||
Airlines – 0.2% | |||
JetBlue Airways Corp., 0.50%, 4/01/26(b) | $ 60,000 | 57,613 | |
Southwest Airlines Co., 1.25%, 5/01/25 | 270,000 | 379,013 | |
436,626 |
Par (a) | Value | ||
Biotechnology – 0.4% | |||
BioMarin Pharmaceutical, Inc., | |||
0.60%, 8/01/24 | $ 140,000 | $ 144,116 | |
1.25%, 5/15/27 | 650,000 | 654,047 | |
Ionis Pharmaceuticals, Inc., 0.00%, 4/01/26(b)(g) | 80,000 | 72,464 | |
Livongo Health, Inc., 0.87%, 6/01/25 | 75,000 | 108,981 | |
979,608 | |||
Entertainment – 0.0%(f) | |||
Penn National Gaming, Inc., 2.75%, 5/15/26 | 25,000 | 78,773 | |
Healthcare - Services – 0.2% | |||
Teladoc Health, Inc., 1.25%, 6/01/27 | 410,000 | 419,471 | |
Internet – 0.2% | |||
Palo Alto Networks, Inc., 0.38%, 6/01/25 | 155,000 | 270,956 | |
Twitter, Inc., 0.00%, 3/15/26(b)(g) | 130,000 | 119,139 | |
Uber Technologies, Inc., 0.00%, 12/15/25(b)(g) | 115,000 | 110,633 | |
Zillow Group, Inc., 1.37%, 9/01/26 | 5,000 | 12,169 | |
512,897 | |||
Leisure Time – 0.1% | |||
Peloton Interactive, Inc., 0.00%, 2/15/26(b)(g) | 95,000 | 84,513 | |
Media – 0.6% | |||
DISH Network Corp., | |||
2.38%, 3/15/24 | 135,000 | 130,950 | |
0.00%, 12/15/25(b)(g) | 100,000 | 114,753 | |
3.37%, 8/15/26 | 1,195,000 | 1,217,509 | |
1,463,212 | |||
Software – 0.0%(f) | |||
Zynga, Inc., 0.00%, 12/15/26(b)(g) | 45,000 | 43,234 | |
Total Convertible Bonds (Cost $3,848,325) | 4,018,334 |
Number of Shares | |||
Convertible Preferred Stocks – 0.3% | |||
Agriculture – 0.1% | |||
Bunge Ltd., 4.88% | 2,253 | 286,401 |
Number of Shares | Value | ||
Software – 0.1% | |||
Clarivate PLC, 5.25% | 1,690 | $155,396 | |
Telecommunications – 0.1% | |||
2020 Cash Mandatory Exchangeable Trust(b)(e)* | 250 | 261,627 | |
Total Convertible Preferred Stocks (Cost $678,937) | 703,424 |
Par (a) | |||
Corporate Bonds – 21.6% | |||
Advertising – 0.2% | |||
Clear Channel Outdoor Holdings, Inc., | |||
7.75%, 4/15/28(b) | $105,000 | 108,723 | |
7.50%, 6/01/29(b) | 120,000 | 122,745 | |
Midas OpCo Holdings LLC, 5.63%, 8/15/29(b) | 80,000 | 81,492 | |
Terrier Media Buyer, Inc., 8.87%, 12/15/27(b) | 45,000 | 47,587 | |
360,547 | |||
Aerospace/Defense – 0.4% | |||
Moog, Inc., 4.25%, 12/15/27(b) | 15,000 | 15,441 | |
Spirit AeroSystems, Inc., | |||
7.50%, 4/15/25(b) | 220,000 | 232,265 | |
4.60%, 6/15/28 | 405,000 | 399,836 | |
TransDigm, Inc., 5.50%, 11/15/27 | 225,000 | 230,344 | |
Triumph Group, Inc., 6.25%, 9/15/24(b) | 75,000 | 74,884 | |
952,770 | |||
Airlines – 0.7% | |||
American Airlines, Inc., 11.75%, 7/15/25(b) | 175,000 | 216,781 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd., | |||
5.50%, 4/20/26(b) | 170,000 | 178,330 | |
5.75%, 4/20/29(b) | 715,000 | 769,519 | |
Delta Air Lines, Inc., 7.37%, 1/15/26 | 108,000 | 127,020 | |
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.75%, 1/20/26(b) | 175,000 | 183,750 | |
United Airlines Pass Through Trust, Series 2020-1, Class B, 4.87%, 1/15/26 | 44,900 | 47,291 |
Par (a) | Value | ||
Airlines (Continued) | |||
United Airlines, Inc., | |||
4.38%, 4/15/26(b) | $ 75,000 | $ 77,585 | |
4.63%, 4/15/29(b) | 110,000 | 113,408 | |
1,713,684 | |||
Apparel – 0.0%(f) | |||
Hanesbrands, Inc., 4.88%, 5/15/26(b) | 35,000 | 37,414 | |
Auto Manufacturers – 0.9% | |||
Ford Motor Co., | |||
8.50%, 4/21/23 | 505,000 | 553,732 | |
9.00%, 4/22/25 | 940,000 | 1,130,350 | |
General Motors Financial Co., Inc., | |||
(3M USD LIBOR + 3.60%), 5.75%, 9/30/27(h)(i) | 190,000 | 205,675 | |
(3M USD LIBOR + 3.44%), 6.50%, 9/30/28(h)(i) | 155,000 | 173,600 | |
(5Y US Treasury CMT + 5.00%), 5.70%, 9/30/30(h)(i) | 60,000 | 69,150 | |
2,132,507 | |||
Auto Parts & Equipment – 0.2% | |||
Dana, Inc., 4.25%, 9/01/30 | 35,000 | 35,418 | |
Goodyear Tire & Rubber (The) Co., | |||
5.00%, 5/31/26 | 285,000 | 291,769 | |
5.00%, 7/15/29(b) | 5,000 | 5,275 | |
Meritor, Inc., 4.50%, 12/15/28(b) | 45,000 | 44,775 | |
Tenneco, Inc., 7.87%, 1/15/29(b) | 45,000 | 49,219 | |
Wheel Pros, Inc., 6.50%, 5/15/29(b) | 55,000 | 53,556 | |
480,012 | |||
Banks – 0.1% | |||
Freedom Mortgage Corp., 7.63%, 5/01/26(b) | 220,000 | 214,500 | |
Beverages – 0.1% | |||
Triton Water Holdings, Inc., 6.25%, 4/01/29(b) | 110,000 | 109,812 | |
Building Materials – 0.4% | |||
Builders FirstSource, Inc., | |||
5.00%, 3/01/30(b) | 290,000 | 306,312 | |
4.25%, 2/01/32(b) | 60,000 | 60,476 | |
Cornerstone Building Brands, Inc., 6.12%, 1/15/29(b) | 145,000 | 150,438 | |
CP Atlas Buyer, Inc., 7.00%, 12/01/28(b) | 55,000 | 53,213 |
Par (a) | Value | ||
Building Materials (Continued) | |||
Masonite International Corp., 5.38%, 2/01/28(b) | $160,000 | $ 168,000 | |
Patrick Industries, Inc., 4.75%, 5/01/29(b) | 90,000 | 89,325 | |
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 1/15/29(b) | 40,000 | 41,900 | |
Victors Merger Corp., 6.37%, 5/15/29(b) | 105,000 | 98,700 | |
968,364 | |||
Chemicals – 0.2% | |||
Chemours (The) Co., 5.38%, 5/15/27 | 60,000 | 63,300 | |
CVR Partners L.P./CVR Nitrogen Finance Corp., 6.12%, 6/15/28(b) | 50,000 | 51,750 | |
Diamond B.C. B.V., 4.63%, 10/01/29(b) | 50,000 | 50,350 | |
Olin Corp., | |||
5.62%, 8/01/29 | 20,000 | 21,845 | |
5.00%, 2/01/30 | 135,000 | 142,425 | |
Unifrax Escrow Issuer Corp., 5.25%, 9/30/28(b) | 100,000 | 99,750 | |
429,420 | |||
Coal – 0.0%(f) | |||
SunCoke Energy, Inc., 4.88%, 6/30/29(b) | 35,000 | 34,738 | |
Commercial Services – 0.6% | |||
ADT Security (The) Corp., 4.13%, 8/01/29(b) | 330,000 | 325,258 | |
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.75%, 7/15/27(b) | 160,000 | 167,200 | |
Deluxe Corp., 8.00%, 6/01/29(b) | 80,000 | 84,200 | |
MPH Acquisition Holdings LLC, 5.75%, 11/01/28(b) | 180,000 | 164,177 | |
Nielsen Finance LLC/Nielsen Finance Co., | |||
5.63%, 10/01/28(b) | 190,000 | 197,550 | |
5.87%, 10/01/30(b) | 180,000 | 188,424 | |
Sabre GLBL, Inc., | |||
9.25%, 4/15/25(b) | 175,000 | 202,240 | |
7.37%, 9/01/25(b) | 65,000 | 69,063 | |
1,398,112 |
Par (a) | Value | ||
Computers – 0.1% | |||
NCR Corp., | |||
5.00%, 10/01/28(b) | $ 75,000 | $ 75,937 | |
5.25%, 10/01/30(b) | 80,000 | 82,400 | |
Presidio Holdings, Inc., | |||
4.87%, 2/01/27(b) | 25,000 | 25,438 | |
8.25%, 2/01/28(b) | 25,000 | 26,562 | |
210,337 | |||
Distribution/Wholesale – 0.0%(f) | |||
Resideo Funding, Inc., 4.00%, 9/01/29(b) | 80,000 | 76,500 | |
Diversified Financial Services – 1.6% | |||
Aircastle Ltd., (5Y US Treasury CMT + 4.41%), 5.25%, 6/15/26(b)(h)(i) | 45,000 | 46,125 | |
Cobra AcquisitionCo LLC, 6.37%, 11/01/29(b) | 235,000 | 232,296 | |
Coinbase Global, Inc., 3.63%, 10/01/31(b) | 40,000 | 38,100 | |
Jefferies Finance LLC/JFIN Co-Issuer Corp., 5.00%, 8/15/28(b) | 200,000 | 202,712 | |
LFS Topco LLC, 5.87%, 10/15/26(b) | 75,000 | 77,156 | |
Midcap Financial Issuer Trust, | |||
6.50%, 5/01/28(b) | 120,000 | 124,500 | |
5.63%, 1/15/30(b) | 200,000 | 196,750 | |
Nationstar Mortgage Holdings, Inc., 6.00%, 1/15/27(b) | 360,000 | 376,200 | |
Navient Corp., | |||
6.12%, 3/25/24 | 220,000 | 235,400 | |
5.00%, 3/15/27 | 300,000 | 305,919 | |
4.88%, 3/15/28 | 230,000 | 230,575 | |
OneMain Finance Corp., | |||
6.87%, 3/15/25 | 140,000 | 156,275 | |
8.87%, 6/01/25 | 45,000 | 48,656 | |
3.50%, 1/15/27 | 265,000 | 259,038 | |
Provident Funding Associates L.P./PFG Finance Corp., 6.37%, 6/15/25(b) | 140,000 | 140,700 | |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., | |||
2.88%, 10/15/26(b) | 480,000 | 476,700 | |
3.63%, 3/01/29(b) | 105,000 | 104,213 | |
3.88%, 3/01/31(b) | 100,000 | 98,780 | |
4.00%, 10/15/33(b) | 320,000 | 315,171 | |
3,665,266 |
Par (a) | Value | ||
Electric – 0.4% | |||
Calpine Corp., 5.13%, 3/15/28(b) | $465,000 | $462,675 | |
NRG Energy, Inc., 5.25%, 6/15/29(b) | 10,000 | 10,650 | |
Pattern Energy Operations L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(b) | 45,000 | 46,575 | |
PG&E Corp., | |||
5.00%, 7/01/28 | 110,000 | 114,400 | |
5.25%, 7/01/30 | 15,000 | 15,671 | |
Talen Energy Supply LLC, 7.62%, 6/01/28(b) | 200,000 | 191,000 | |
840,971 | |||
Electrical Component & Equipment – 0.1% | |||
Energizer Holdings, Inc., 4.38%, 3/31/29(b) | 165,000 | 158,111 | |
Engineering & Construction – 0.0%(f) | |||
Brundage-Bone Concrete Pumping Holdings, Inc., 6.00%, 2/01/26(b) | 100,000 | 104,700 | |
Entertainment – 0.7% | |||
AMC Entertainment Holdings, Inc., 10.50%, 4/15/25(b) | 45,000 | 48,319 | |
Boyne USA, Inc., 4.75%, 5/15/29(b) | 50,000 | 51,125 | |
Caesars Entertainment, Inc., | |||
6.25%, 7/01/25(b) | 110,000 | 115,704 | |
4.63%, 10/15/29(b) | 120,000 | 120,576 | |
Everi Holdings, Inc., 5.00%, 7/15/29(b) | 40,000 | 40,950 | |
International Game Technology PLC, 4.13%, 4/15/26(b) | 200,000 | 205,500 | |
Lions Gate Capital Holdings LLC, 5.50%, 4/15/29(b) | 35,000 | 35,788 | |
Live Nation Entertainment, Inc., | |||
4.75%, 10/15/27(b) | 165,000 | 168,300 | |
3.75%, 1/15/28(b) | 85,000 | 84,150 | |
Mohegan Gaming & Entertainment, 8.00%, 2/01/26(b) | 75,000 | 77,250 | |
Scientific Games International, Inc., 7.00%, 5/15/28(b) | 285,000 | 307,928 | |
SeaWorld Parks & Entertainment, Inc., 5.25%, 8/15/29(b) | 75,000 | 76,406 |
Par (a) | Value | ||
Entertainment (Continued) | |||
Speedway Motorsports LLC/Speedway Funding II, Inc., 4.87%, 11/01/27(b) | $ 60,000 | $ 61,237 | |
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.12%, 10/01/29(b) | 125,000 | 125,312 | |
1,518,545 | |||
Environmental Control – 0.0%(f) | |||
Madison IAQ LLC, 5.88%, 6/30/29(b) | 80,000 | 79,400 | |
Food – 0.5% | |||
JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 6.50%, 4/15/29(b) | 95,000 | 105,093 | |
Kraft Heinz Foods Co., 3.00%, 6/01/26 | 218,000 | 228,040 | |
Performance Food Group, Inc., | |||
5.50%, 10/15/27(b) | 120,000 | 125,100 | |
4.25%, 8/01/29(b) | 95,000 | 95,000 | |
Post Holdings, Inc., | |||
5.50%, 12/15/29(b) | 5,000 | 5,319 | |
4.62%, 4/15/30(b) | 135,000 | 135,675 | |
4.50%, 9/15/31(b) | 170,000 | 166,588 | |
Simmons Foods, Inc., 4.63%, 3/01/29(b) | 110,000 | 111,100 | |
TreeHouse Foods, Inc., 4.00%, 9/01/28 | 120,000 | 114,612 | |
1,086,527 | |||
Food Service – 0.0%(f) | |||
Aramark Services, Inc., 5.00%, 2/01/28(b) | 20,000 | 20,450 | |
Healthcare - Products – 0.1% | |||
Mozart Debt Merger Sub, Inc., 5.25%, 10/01/29(b) | 135,000 | 137,025 | |
Healthcare - Services – 0.7% | |||
AHP Health Partners, Inc., 5.75%, 7/15/29(b) | 75,000 | 75,375 | |
DaVita, Inc., 3.75%, 2/15/31(b) | 230,000 | 217,925 | |
Encompass Health Corp., 4.75%, 2/01/30 | 115,000 | 117,875 | |
HCA, Inc., 5.37%, 9/01/26 | 355,000 | 404,291 | |
LifePoint Health, Inc., 5.38%, 1/15/29(b) | 230,000 | 225,400 | |
RP Escrow Issuer LLC, 5.25%, 12/15/25(b) | 65,000 | 65,000 |
Par (a) | Value | ||
Healthcare - Services (Continued) | |||
Select Medical Corp., 6.25%, 8/15/26(b) | $ 30,000 | $ 31,379 | |
Tenet Healthcare Corp., | |||
6.25%, 2/01/27(b) | 150,000 | 155,813 | |
4.63%, 6/15/28(b) | 20,000 | 20,725 | |
6.12%, 10/01/28(b) | 220,000 | 230,989 | |
US Acute Care Solutions LLC, 6.37%, 3/01/26(b) | 70,000 | 72,625 | |
1,617,397 | |||
Home Builders – 0.1% | |||
Forestar Group, Inc., 3.85%, 5/15/26(b) | 25,000 | 25,000 | |
Installed Building Products, Inc., 5.75%, 2/01/28(b) | 25,000 | 26,187 | |
KB Home, 4.80%, 11/15/29 | 50,000 | 53,875 | |
Taylor Morrison Communities, Inc., 5.75%, 1/15/28(b) | 125,000 | 137,615 | |
242,677 | |||
Home Furnishings – 0.0%(f) | |||
Tempur Sealy International, Inc., 3.88%, 10/15/31(b) | 90,000 | 89,186 | |
Insurance – 0.1% | |||
AmWINS Group, Inc., 4.88%, 6/30/29(b) | 130,000 | 129,594 | |
AssuredPartners, Inc., 5.63%, 1/15/29(b) | 85,000 | 84,363 | |
BroadStreet Partners, Inc., 5.87%, 4/15/29(b) | 80,000 | 78,600 | |
292,557 | |||
Internet – 0.7% | |||
ANGI Group LLC, 3.88%, 8/15/28(b) | 95,000 | 92,863 | |
Arches Buyer, Inc., 6.12%, 12/01/28(b) | 40,000 | 40,450 | |
Endure Digital, Inc., 6.00%, 2/15/29(b) | 275,000 | 253,000 | |
Netflix, Inc., | |||
5.37%, 11/15/29(b) | 170,000 | 205,051 | |
4.88%, 6/15/30(b) | 435,000 | 511,125 | |
Uber Technologies, Inc., | |||
7.50%, 9/15/27(b) | 350,000 | 382,847 | |
6.25%, 1/15/28(b) | 80,000 | 85,904 | |
1,571,240 |
Par (a) | Value | ||
Investment Management Companies – 0.4% | |||
Icahn Enterprises L.P./Icahn Enterprises Finance Corp., | |||
6.25%, 5/15/26 | $ 55,000 | $ 57,612 | |
5.25%, 5/15/27 | 675,000 | 702,000 | |
4.38%, 2/01/29 | 80,000 | 80,354 | |
839,966 | |||
Iron/Steel – 0.3% | |||
Allegheny Technologies, Inc., | |||
5.87%, 12/01/27 | 60,000 | 63,000 | |
4.88%, 10/01/29 | 75,000 | 74,948 | |
5.13%, 10/01/31 | 80,000 | 79,696 | |
Carpenter Technology Corp., 6.37%, 7/15/28 | 20,000 | 21,154 | |
Cleveland-Cliffs, Inc., | |||
9.87%, 10/17/25(b) | 93,000 | 106,485 | |
6.75%, 3/15/26(b) | 35,000 | 37,275 | |
4.63%, 3/01/29(b) | 180,000 | 186,525 | |
4.88%, 3/01/31(b) | 145,000 | 150,981 | |
United States Steel Corp., 6.87%, 3/01/29 | 60,000 | 64,200 | |
784,264 | |||
Leisure Time – 0.9% | |||
Carnival Corp., | |||
5.75%, 3/01/27(b) | 535,000 | 544,362 | |
5/01/29 (b)(j) | 75,000 | 74,953 | |
NCL Corp. Ltd., | |||
5.87%, 3/15/26(b) | 320,000 | 320,800 | |
5.88%, 3/15/26 | 5,000 | 5,013 | |
NCL Finance Ltd., 6.12%, 3/15/28(b) | 55,000 | 55,481 | |
Royal Caribbean Cruises Ltd., | |||
4.25%, 7/01/26(b) | 215,000 | 208,550 | |
3.70%, 3/15/28 | 95,000 | 90,013 | |
5.50%, 4/01/28(b) | 445,000 | 452,787 | |
Viking Cruises Ltd., 5.87%, 9/15/27(b) | 55,000 | 53,144 | |
Viking Ocean Cruises Ship VII Ltd., 5.63%, 2/15/29(b) | 175,000 | 173,687 | |
VOC Escrow Ltd., 5.00%, 2/15/28(b) | 85,000 | 84,363 | |
2,063,153 |
Par (a) | Value | ||
Lodging – 0.6% | |||
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, | |||
5.00%, 6/01/29(b) | $ 255,000 | $ 260,036 | |
4.87%, 7/01/31(b) | 90,000 | 89,539 | |
Marriott Ownership Resorts, Inc., | |||
4.75%, 1/15/28 | 265,000 | 269,638 | |
4.50%, 6/15/29(b) | 60,000 | 60,000 | |
MGM Resorts International, 5.50%, 4/15/27 | 260,000 | 280,150 | |
Travel + Leisure Co., | |||
6.62%, 7/31/26(b) | 255,000 | 284,753 | |
6.00%, 4/01/27 | 10,000 | 10,875 | |
4.63%, 3/01/30(b) | 130,000 | 134,891 | |
1,389,882 | |||
Machinery - Diversified – 0.0%(f) | |||
GrafTech Finance, Inc., 4.63%, 12/15/28(b) | 50,000 | 50,500 | |
Media – 2.3% | |||
AMC Networks, Inc., 4.25%, 2/15/29 | 205,000 | 201,925 | |
Audacy Capital Corp., 6.75%, 3/31/29(b) | 190,000 | 188,338 | |
Block Communications, Inc., 4.88%, 3/01/28(b) | 20,000 | 20,400 | |
CCO Holdings LLC/CCO Holdings Capital Corp., | |||
4.75%, 3/01/30(b) | 1,180,000 | 1,218,350 | |
4.50%, 8/15/30(b) | 105,000 | 106,877 | |
4.50%, 5/01/32 | 55,000 | 55,260 | |
4.25%, 1/15/34(b) | 110,000 | 106,679 | |
CSC Holdings LLC, | |||
5.75%, 1/15/30(b) | 500,000 | 493,350 | |
4.63%, 12/01/30(b) | 400,000 | 366,500 | |
4.50%, 11/15/31(b) | 400,000 | 387,560 | |
Diamond Sports Group LLC/Diamond Sports Finance Co., | |||
5.37%, 8/15/26(b) | 175,000 | 98,875 | |
6.62%, 8/15/27(b) | 90,000 | 26,839 | |
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.87%, 8/15/27(b) | 270,000 | 279,896 | |
DISH DBS Corp., | |||
7.75%, 7/01/26 | 310,000 | 344,487 | |
7.37%, 7/01/28 | 65,000 | 68,331 | |
5.13%, 6/01/29 | 270,000 | 259,875 |
Par (a) | Value | ||
Media (Continued) | |||
Gray Escrow II, Inc., 11/15/31(b)(j) | $ 35,000 | $ 35,350 | |
Gray Television, Inc., 4.75%, 10/15/30(b) | 245,000 | 241,664 | |
iHeartCommunications, Inc., 4.75%, 1/15/28(b) | 180,000 | 181,125 | |
Mav Acquisition Corp., | |||
5.75%, 8/01/28(b) | 120,000 | 117,894 | |
8.00%, 8/01/29(b) | 120,000 | 116,700 | |
Nexstar Media, Inc., 5.62%, 7/15/27(b) | 20,000 | 21,100 | |
Radiate Holdco LLC/Radiate Finance, Inc., 6.50%, 9/15/28(b) | 185,000 | 185,000 | |
Scripps Escrow II, Inc., 5.38%, 1/15/31(b) | 80,000 | 78,300 | |
Sinclair Television Group, Inc., 5.13%, 2/15/27(b) | 120,000 | 115,350 | |
Townsquare Media, Inc., 6.87%, 2/01/26(b) | 35,000 | 36,575 | |
Univision Communications, Inc., 6.62%, 6/01/27(b) | 80,000 | 86,545 | |
5,439,145 | |||
Mining – 0.3% | |||
Freeport-McMoRan, Inc., | |||
4.25%, 3/01/30 | 280,000 | 295,400 | |
4.62%, 8/01/30 | 205,000 | 221,656 | |
5.40%, 11/14/34 | 20,000 | 24,432 | |
Novelis Corp., 4.75%, 1/30/30(b) | 180,000 | 187,200 | |
728,688 | |||
Miscellaneous Manufacturing – 0.0%(f) | |||
Hillenbrand, Inc., 5.75%, 6/15/25 | 50,000 | 52,688 | |
Office/Business Equipment – 0.2% | |||
Pitney Bowes, Inc., 6.88%, 3/15/27(b) | 135,000 | 139,725 | |
Xerox Holdings Corp., | |||
5.00%, 8/15/25(b) | 100,000 | 103,875 | |
5.50%, 8/15/28(b) | 100,000 | 101,126 | |
344,726 | |||
Oil & Gas – 2.5% | |||
Antero Resources Corp., 7.62%, 2/01/29(b) | 65,000 | 71,988 | |
Apache Corp., | |||
4.25%, 1/15/30 | 150,000 | 159,375 | |
4.75%, 4/15/43 | 15,000 | 16,425 | |
5.35%, 7/01/49 | 125,000 | 143,507 |
Par (a) | Value | ||
Oil & Gas (Continued) | |||
Ascent Resources Utica Holdings LLC/ARU Finance Corp., | |||
7.00%, 11/01/26(b) | $130,000 | $134,225 | |
5.88%, 6/30/29(b) | 80,000 | 80,982 | |
California Resources Corp., 7.12%, 2/01/26(b) | 30,000 | 31,649 | |
Callon Petroleum Co., 8.00%, 8/01/28(b) | 175,000 | 176,312 | |
Calumet Specialty Products Partners L.P./Calumet Finance Corp., 11.00%, 4/15/25(b) | 35,000 | 38,019 | |
Centennial Resource Production LLC, 6.87%, 4/01/27(b) | 75,000 | 76,688 | |
Chesapeake Energy Corp., 5.50%, 2/01/26(b) | 30,000 | 31,275 | |
Comstock Resources, Inc., 6.75%, 3/01/29(b) | 80,000 | 86,000 | |
Continental Resources, Inc., | |||
4.50%, 4/15/23 | 14,000 | 14,559 | |
3.80%, 6/01/24 | 190,000 | 199,500 | |
4.38%, 1/15/28 | 65,000 | 70,931 | |
5.75%, 1/15/31(b) | 30,000 | 35,925 | |
4.90%, 6/01/44 | 100,000 | 113,465 | |
CVR Energy, Inc., 5.25%, 2/15/25(b) | 60,000 | 59,271 | |
Endeavor Energy Resources L.P./EER Finance, Inc., 6.62%, 7/15/25(b) | 55,000 | 58,000 | |
Energy Ventures Gom LLC/EnVen Finance Corp., 11.75%, 4/15/26(b) | 56,000 | 58,100 | |
EQT Corp., | |||
6.62%, 2/01/25 | 105,000 | 118,125 | |
3.13%, 5/15/26(b) | 10,000 | 10,075 | |
5.00%, 1/15/29 | 10,000 | 11,109 | |
7.50%, 2/01/30 | 155,000 | 198,431 | |
3.63%, 5/15/31(b) | 25,000 | 25,531 | |
Independence Energy Finance LLC, 7.25%, 5/01/26(b) | 95,000 | 98,800 | |
Laredo Petroleum, Inc., 7.75%, 7/31/29(b) | 40,000 | 39,400 | |
Matador Resources Co., 5.88%, 9/15/26 | 90,000 | 92,935 | |
Murphy Oil Corp., 6.37%, 12/01/42 | 100,000 | 101,543 | |
Nabors Industries Ltd., 7.25%, 1/15/26(b) | 55,000 | 53,350 |
Par (a) | Value | ||
Oil & Gas (Continued) | |||
Nabors Industries, Inc., 9.00%, 2/01/25(b) | $ 28,000 | $ 28,980 | |
Oasis Petroleum, Inc., 6.38%, 6/01/26(b) | 40,000 | 42,300 | |
Occidental Petroleum Corp., | |||
5.55%, 3/15/26 | 65,000 | 71,744 | |
3.20%, 8/15/26 | 25,000 | 25,313 | |
3.00%, 2/15/27 | 35,000 | 35,000 | |
8.50%, 7/15/27 | 90,000 | 112,050 | |
3.50%, 8/15/29 | 525,000 | 532,875 | |
8.87%, 7/15/30 | 145,000 | 196,475 | |
7.50%, 5/01/31 | 45,000 | 58,586 | |
7.87%, 9/15/31 | 20,000 | 26,750 | |
6.60%, 3/15/46 | 45,000 | 57,578 | |
4.40%, 4/15/46 | 35,000 | 35,412 | |
4.10%, 2/15/47 | 185,000 | 180,375 | |
4.20%, 3/15/48 | 120,000 | 116,944 | |
Ovintiv, Inc., | |||
7.37%, 11/01/31 | 40,000 | 54,165 | |
7.20%, 11/01/31 | 95,000 | 127,257 | |
6.50%, 8/15/34 | 215,000 | 290,130 | |
6.62%, 8/15/37 | 35,000 | 47,557 | |
PBF Holding Co. LLC/PBF Finance Corp., | |||
9.25%, 5/15/25(b) | 90,000 | 87,300 | |
6.00%, 2/15/28 | 70,000 | 50,736 | |
Penn Virginia Escrow LLC, 9.25%, 8/15/26(b) | 80,000 | 83,400 | |
Range Resources Corp., 8.25%, 1/15/29(b) | 45,000 | 50,805 | |
SM Energy Co., | |||
5.63%, 6/01/25 | 70,000 | 70,175 | |
6.75%, 9/15/26 | 65,000 | 66,625 | |
6.50%, 7/15/28 | 140,000 | 147,000 | |
Southwestern Energy Co., | |||
7.75%, 10/01/27 | 15,000 | 16,106 | |
5.38%, 2/01/29(b) | 140,000 | 147,700 | |
5.38%, 3/15/30 | 90,000 | 94,948 | |
Sunoco L.P./Sunoco Finance Corp., 4.50%, 5/15/29 | 145,000 | 146,631 | |
Tap Rock Resources LLC, 7.00%, 10/01/26(b) | 65,000 | 66,907 | |
Transocean Pontus Ltd., 6.13%, 8/01/25(b) | 40,200 | 40,200 | |
Transocean Poseidon Ltd., 6.87%, 2/01/27(b) | 85,000 | 84,787 | |
Transocean, Inc., | |||
11.50%, 1/30/27(b) | 40,000 | 40,800 | |
8.00%, 2/01/27(b) | 95,000 | 72,528 |
Par (a) | Value | ||
Oil & Gas (Continued) | |||
Vine Energy Holdings LLC, 6.75%, 4/15/29(b) | $ 90,000 | $ 96,637 | |
5,808,271 | |||
Oil & Gas Services – 0.1% | |||
Transocean Proteus Ltd., 6.25%, 12/01/24(b) | 136,400 | 137,764 | |
Weatherford International Ltd., | |||
11.00%, 12/01/24(b) | 13,000 | 13,552 | |
8.62%, 4/30/30(b) | 115,000 | 118,125 | |
269,441 | |||
Packaging & Containers – 0.1% | |||
Berry Global, Inc., 4.50%, 2/15/26(b) | 33,000 | 33,495 | |
Graham Packaging Co., Inc., 7.12%, 8/15/28(b) | 65,000 | 66,868 | |
Mauser Packaging Solutions Holding Co., 7.25%, 4/15/25(b) | 190,000 | 183,962 | |
284,325 | |||
Pharmaceuticals – 0.6% | |||
AdaptHealth LLC, 5.13%, 3/01/30(b) | 65,000 | 65,325 | |
Bausch Health Cos., Inc., | |||
6.25%, 2/15/29(b) | 490,000 | 474,687 | |
5.25%, 1/30/30(b) | 100,000 | 90,252 | |
5.25%, 2/15/31(b) | 250,000 | 224,695 | |
Endo Dac/Endo Finance LLC/Endo Finco, Inc., 6.00%, 6/30/28(b) | 170,000 | 118,575 | |
Endo Luxembourg Finance Co. I S.a.r.l./Endo U.S., Inc., 6.12%, 4/01/29(b) | 25,000 | 24,625 | |
Organon & Co./Organon Foreign Debt Co-Issuer B.V., 5.13%, 4/30/31(b) | 240,000 | 247,543 | |
Par Pharmaceutical, Inc., 7.50%, 4/01/27(b) | 86,000 | 86,753 | |
Prestige Brands, Inc., 5.12%, 1/15/28(b) | 125,000 | 130,313 | |
1,462,768 | |||
Pipelines – 1.6% | |||
Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.62%, 12/15/25(b) | 170,000 | 182,750 | |
Buckeye Partners L.P., | |||
4.50%, 3/01/28(b) | 90,000 | 88,875 | |
5.85%, 11/15/43 | 45,000 | 44,366 | |
5.60%, 10/15/44 | 60,000 | 58,200 |
Par (a) | Value | ||
Pipelines (Continued) | |||
CQP Holdco L.P./BIP-V Chinook Holdco LLC, 5.50%, 6/15/31(b) | $250,000 | $260,000 | |
Crestwood Midstream Partners L.P./Crestwood Midstream Finance Corp., 6.00%, 2/01/29(b) | 85,000 | 88,091 | |
DCP Midstream Operating L.P., | |||
5.38%, 7/15/25 | 50,000 | 55,250 | |
5.63%, 7/15/27 | 195,000 | 222,487 | |
5.13%, 5/15/29 | 25,000 | 28,313 | |
EnLink Midstream Partners L.P., | |||
5.60%, 4/01/44 | 10,000 | 9,809 | |
5.05%, 4/01/45 | 5,000 | 4,763 | |
5.45%, 6/01/47 | 155,000 | 155,000 | |
EQM Midstream Partners L.P., | |||
6.00%, 7/01/25(b) | 155,000 | 168,175 | |
6.50%, 7/01/27(b) | 160,000 | 178,000 | |
5.50%, 7/15/28 | 25,000 | 27,536 | |
6.50%, 7/15/48 | 110,000 | 130,836 | |
Genesis Energy L.P./Genesis Energy Finance Corp., 7.75%, 2/01/28 | 175,000 | 172,854 | |
Harvest Midstream I L.P., 7.50%, 9/01/28(b) | 100,000 | 105,000 | |
Hess Midstream Operations L.P., | |||
5.62%, 2/15/26(b) | 109,000 | 112,951 | |
4.25%, 2/15/30(b) | 100,000 | 100,000 | |
New Fortress Energy, Inc., 6.75%, 9/15/25(b) | 230,000 | 223,961 | |
NuStar Logistics L.P., | |||
5.75%, 10/01/25 | 85,000 | 90,950 | |
5.62%, 4/28/27 | 120,000 | 125,850 | |
Tallgrass Energy Partners L.P./Tallgrass Energy Finance Corp., 5.50%, 1/15/28(b) | 55,000 | 55,200 | |
Targa Resources Partners L.P./Targa Resources Partners Finance Corp., | |||
5.87%, 4/15/26 | 80,000 | 83,526 | |
5.50%, 3/01/30 | 45,000 | 49,457 | |
4.88%, 2/01/31 | 250,000 | 269,557 | |
Western Midstream Operating L.P., | |||
5.30%, 2/01/30 | 300,000 | 328,875 | |
5.45%, 4/01/44 | 100,000 | 117,346 |
Par (a) | Value | ||
Pipelines (Continued) | |||
Western Midstream Operating L.P., | |||
5.30%, 3/01/48 | $ 10,000 | $ 11,650 | |
6.50%, 2/01/50 | 105,000 | 125,683 | |
3,675,311 | |||
Real Estate – 0.0%(f) | |||
Realogy Group LLC/Realogy Co-Issuer Corp., 5.75%, 1/15/29(b) | 100,000 | 103,625 | |
Real Estate Investment Trusts – 0.6% | |||
Iron Mountain, Inc., 4.87%, 9/15/29(b) | 355,000 | 366,750 | |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.25%, 2/01/27(b) | 220,000 | 221,098 | |
MGM Growth Properties Operating Partnership L.P./MGP Finance Co-Issuer, Inc., 4.50%, 1/15/28 | 191,000 | 206,758 | |
Service Properties Trust, | |||
7.50%, 9/15/25 | 260,000 | 287,741 | |
4.75%, 10/01/26 | 65,000 | 64,285 | |
Starwood Property Trust, Inc., 3.63%, 7/15/26(b) | 50,000 | 50,000 | |
Uniti Group L.P./Uniti Group Finance, Inc./CSL Capital LLC, 4.75%, 4/15/28(b) | 150,000 | 150,587 | |
1,347,219 | |||
Retail – 1.1% | |||
Ambience Merger Sub, Inc., | |||
4.88%, 7/15/28(b) | 50,000 | 49,091 | |
7.12%, 7/15/29(b) | 90,000 | 86,726 | |
Asbury Automotive Group, Inc., | |||
4.50%, 3/01/28 | 19,000 | 19,333 | |
4.75%, 3/01/30 | 22,000 | 22,440 | |
Bath & Body Works, Inc., | |||
5.25%, 2/01/28 | 205,000 | 220,990 | |
6.87%, 11/01/35 | 5,000 | 6,075 | |
6.75%, 7/01/36 | 65,000 | 78,026 | |
Bloomin' Brands, Inc./OSI Restaurant Partners LLC, 5.12%, 4/15/29(b) | 75,000 | 74,134 | |
Carvana Co., | |||
5.50%, 4/15/27(b) | 290,000 | 292,175 | |
5.87%, 10/01/28(b) | 75,000 | 76,312 | |
4.88%, 9/01/29(b) | 5,000 | 4,838 |
Par (a) | Value | ||
Retail (Continued) | |||
Ferrellgas L.P./Ferrellgas Finance Corp., 5.37%, 4/01/26(b) | $ 90,000 | $ 87,683 | |
Foundation Building Materials, Inc., 6.00%, 3/01/29(b) | 215,000 | 208,148 | |
Group 1 Automotive, Inc., 4.00%, 8/15/28(b) | 30,000 | 30,006 | |
Ken Garff Automotive LLC, 4.87%, 9/15/28(b) | 50,000 | 50,625 | |
LBM Acquisition LLC, 6.25%, 1/15/29(b) | 115,000 | 111,676 | |
Lithia Motors, Inc., 4.38%, 1/15/31(b) | 105,000 | 111,816 | |
Michaels (The) Cos., Inc., 7.87%, 5/01/29(b) | 60,000 | 60,600 | |
Murphy Oil USA, Inc., 4.75%, 9/15/29 | 20,000 | 21,069 | |
Papa John's International, Inc., 3.88%, 9/15/29(b) | 60,000 | 58,650 | |
PetSmart, Inc./PetSmart Finance Corp., 4.75%, 2/15/28(b) | 250,000 | 256,875 | |
QVC, Inc., 4.85%, 4/01/24 | 5,000 | 5,362 | |
Rite Aid Corp., 7.50%, 7/01/25(b) | 75,000 | 75,187 | |
Sonic Automotive, Inc., | |||
4.63%, 11/15/29(b) | 155,000 | 155,449 | |
4.88%, 11/15/31(b) | 100,000 | 100,000 | |
Suburban Propane Partners L.P./Suburban Energy Finance Corp., 5.00%, 6/01/31(b) | 80,000 | 82,000 | |
Victoria's Secret & Co., 4.63%, 7/15/29(b) | 125,000 | 125,550 | |
White Cap Buyer LLC, 6.87%, 10/15/28(b) | 35,000 | 36,138 | |
2,506,974 | |||
Software – 0.2% | |||
Elastic N.V., 4.13%, 7/15/29(b) | 160,000 | 159,182 | |
Playtika Holding Corp., 4.25%, 3/15/29(b) | 50,000 | 50,140 | |
Rocket Software, Inc., 6.50%, 2/15/29(b) | 120,000 | 114,600 | |
Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, 9/01/25(b) | 70,000 | 72,538 | |
Ziff Davis, Inc., 4.62%, 10/15/30(b) | 83,000 | 86,942 | |
483,402 |
Par (a) | Value | ||
Telecommunications – 0.9% | |||
CommScope Technologies LLC, | |||
6.00%, 6/15/25(b) | $ 34,000 | $ 33,654 | |
5.00%, 3/15/27(b) | 985,000 | 913,922 | |
CommScope, Inc., 7.12%, 7/01/28(b) | 155,000 | 152,869 | |
Embarq Corp., 7.99%, 6/01/36 | 55,000 | 60,775 | |
Ligado Networks LLC, | |||
15.50%, 11/01/23(b)(k) | 189,165 | 156,014 | |
17.50%, 5/01/24(b)(k) | 60,026 | 35,565 | |
LogMeIn, Inc., 5.50%, 9/01/27(b) | 95,000 | 95,085 | |
Lumen Technologies, Inc., | |||
5.63%, 4/01/25 | 50,000 | 53,687 | |
5.38%, 6/15/29(b) | 275,000 | 276,031 | |
ViaSat, Inc., 6.50%, 7/15/28(b) | 85,000 | 89,250 | |
Windstream Escrow LLC/Windstream Escrow Finance Corp., 7.75%, 8/15/28(b) | 100,000 | 105,773 | |
1,972,625 | |||
Trucking & Leasing – 0.0%(f) | |||
Fortress Transportation and Infrastructure Investors LLC, 5.50%, 5/01/28(b) | 75,000 | 75,188 | |
Water – 0.0%(f) | |||
Solaris Midstream Holdings LLC, 7.63%, 4/01/26(b) | 40,000 | 42,188 | |
Total Corporate Bonds (Cost $48,167,359) | 50,267,118 | ||
Foreign Government Inflation-Linked Bonds – 0.8% | |||
Sovereign – 0.8% | |||
Argentina Treasury Bond, | |||
1.40%, 3/25/23 | ARS | 47,710,551 | 836,773 |
1.45%, 8/13/23 | ARS | 877,731 | 13,693 |
1.50%, 3/25/24 | ARS | 22,125,997 | 371,203 |
Bonos de la Tesoreria de la Republica, 1.50%, 3/01/26 | CLP | 6,500 | 236,947 |
Uruguay Government International Bond, 3.88%, 7/02/40 | UYU | 10,000,000 | 282,196 |
1,740,812 | |||
Total Foreign Government Inflation-Linked Bonds (Cost $2,085,806) | 1,740,812 |
Par (a) | Value | ||
Foreign Issuer Bonds – 59.9% | |||
Angola – 0.7% | |||
Angolan Government International Bond, | |||
9.50%, 11/12/25 | $ 280,000 | $ 303,775 | |
8.25%, 5/09/28(b) | 310,000 | 311,624 | |
9.37%, 5/08/48(b) | 600,000 | 595,380 | |
9.13%, 11/26/49(b) | 470,000 | 460,517 | |
1,671,296 | |||
Argentina – 0.3% | |||
Argentine Bonos del Tesoro, 16.00%, 10/17/23 | ARS | 250,800 | 1,499 |
Argentine Republic Government International Bond, | |||
1.00%, 7/09/29 | 170,000 | 61,627 | |
(Step to 0.75% on 7/9/23), 0.50%, 7/09/30(l) | 305,870 | 104,332 | |
(Step to 1.50% on 7/9/22), 1.12%, 7/09/35(l) | 1,169,164 | 360,699 | |
(Step to 3.88% on 7/9/22), 2.00%, 1/09/38(l) | 173,913 | 63,548 | |
(Step to 3.50% on 7/9/22), 2.50%, 7/09/41(l) | 51,087 | 17,582 | |
YPF S.A., 6.95%, 7/21/27(b) | 120,000 | 87,031 | |
696,318 | |||
Australia – 0.2% | |||
Mineral Resources Ltd., 8.13%, 5/01/27(b) | 350,000 | 377,867 | |
Bahrain – 0.9% | |||
Bahrain Government International Bond, | |||
5.62%, 9/30/31(b) | 400,000 | 397,784 | |
5.45%, 9/16/32 | 250,000 | 245,342 | |
5.25%, 1/25/33(b) | 500,000 | 477,520 | |
6.00%, 9/19/44 | 200,000 | 185,742 | |
7.50%, 9/20/47 | 600,000 | 621,598 | |
Oil and Gas Holding (The) Co. BSCC, 7.50%, 10/25/27 | 200,000 | 220,238 | |
2,148,224 | |||
Brazil – 4.0% | |||
Brazil Letras do Tesouro Nacional, | |||
0.00%, 1/01/23(g) | BRL | 1,680,000 | 261,064 |
0.00%, 1/01/24(g) | BRL | 1,290,000 | 178,207 |
0.00%, 7/01/24(g) | BRL | 6,070,000 | 796,330 |
0.00%, 1/01/25(g) | BRL | 10,620,000 | 1,308,847 |
Par (a) | Value | ||
Brazil (Continued) | |||
Brazil Notas do Tesouro Nacional, Serie F, | |||
10.00%, 1/01/23 | BRL | $16,179,000 | $2,802,026 |
10.00%, 1/01/25 | BRL | 7,065,000 | 1,183,929 |
10.00%, 1/01/27 | BRL | 3,460,000 | 566,954 |
10.00%, 1/01/29 | BRL | 330,000 | 52,929 |
10.00%, 1/01/31 | BRL | 510,000 | 80,138 |
CSN Resources S.A., 4.62%, 6/10/31(b) | 400,000 | 393,400 | |
Light Servicos de Eletricidade S.A./Light Energia S.A., 4.38%, 6/18/26(b) | 200,000 | 195,302 | |
MARB BondCo PLC, 3.95%, 1/29/31(b) | 220,000 | 209,255 | |
MC Brazil Downstream Trading S.a.r.l., 7.25%, 6/30/31(b) | 600,000 | 583,824 | |
MV24 Capital B.V., 6.75%, 6/01/34(b) | 186,754 | 192,639 | |
Nexa Resources S.A., | |||
5.37%, 5/04/27 | 200,000 | 212,502 | |
6.50%, 1/18/28 | 200,000 | 222,800 | |
9,240,146 | |||
Canada – 1.1% | |||
1011778 B.C. ULC/New Red Finance, Inc., 4.00%, 10/15/30(b) | 490,000 | 474,678 | |
Baytex Energy Corp., 8.75%, 4/01/27(b) | 120,000 | 128,100 | |
Bombardier, Inc., | |||
7.12%, 6/15/26(b) | 390,000 | 409,012 | |
6.00%, 2/15/28(b) | 90,000 | 90,787 | |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, | |||
6.25%, 9/15/27(b) | 75,000 | 78,094 | |
4.88%, 2/15/30(b) | 145,000 | 145,299 | |
Empire Communities Corp., 7.00%, 12/15/25(b) | 85,000 | 87,975 | |
GFL Environmental, Inc., 4.00%, 8/01/28(b) | 80,000 | 78,000 | |
Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC, 6.00%, 9/15/28(b) | 80,000 | 82,300 | |
Mattamy Group Corp., | |||
5.25%, 12/15/27(b) | 140,000 | 145,600 | |
4.63%, 3/01/30(b) | 65,000 | 65,932 | |
MEG Energy Corp., | |||
7.12%, 2/01/27(b) | 100,000 | 105,000 | |
5.88%, 2/01/29(b) | 65,000 | 66,869 |
Par (a) | Value | ||
Canada (Continued) | |||
Methanex Corp., | |||
5.13%, 10/15/27 | $ 85,000 | $ 89,675 | |
5.25%, 12/15/29 | 15,000 | 15,900 | |
Open Text Corp., 3.88%, 2/15/28(b) | 115,000 | 115,862 | |
Parkland Corp., 5.87%, 7/15/27(b) | 80,000 | 84,500 | |
Precision Drilling Corp., | |||
7.12%, 1/15/26(b) | 5,000 | 5,143 | |
6.87%, 1/15/29(b) | 55,000 | 56,788 | |
Strathcona Resources Ltd., 6.87%, 8/01/26(b) | 80,000 | 79,522 | |
Telesat Canada/Telesat LLC, 5.63%, 12/06/26(b) | 90,000 | 84,010 | |
2,489,046 | |||
Chile – 1.3% | |||
AES Andes S.A., (5Y USD Swap Rate + 4.64%), 7.12%, 3/26/79(b)(i) | 400,000 | 418,500 | |
Bonos de la Tesoreria de la Republica en pesos, | |||
2.50%, 3/01/25 | CLP | 95,000,000 | 106,056 |
5.00%, 10/01/28(b) | CLP | 275,000,000 | 319,083 |
4.70%, 9/01/30(b) | CLP | 270,000,000 | 302,425 |
5.00%, 3/01/35 | CLP | 65,000,000 | 71,271 |
Chile Government International Bond, | |||
2.55%, 1/27/32 | 1,065,000 | 1,050,697 | |
2.55%, 7/27/33 | 200,000 | 193,062 | |
3.10%, 5/07/41 | 200,000 | 195,178 | |
Empresa de los Ferrocarriles del Estado, 3.83%, 9/14/61(b) | 315,000 | 303,190 | |
2,959,462 | |||
China – 2.5% | |||
Agile Group Holdings Ltd., 6.05%, 10/13/25 | 205,000 | 160,751 | |
Agricultural Development Bank of China, 3.75%, 1/25/29 | CNY | 7,370,000 | 1,180,401 |
China Development Bank, | |||
3.23%, 1/10/25 | CNY | 8,540,000 | 1,346,621 |
4.88%, 2/09/28 | CNY | 970,000 | 165,029 |
China Evergrande Group, 8.75%, 6/28/25 | 200,000 | 49,268 | |
China Government Bond, | |||
2.85%, 6/04/27 | CNY | 3,650,000 | 568,175 |
3.28%, 12/03/27 | CNY | 2,220,000 | 354,467 |
3.27%, 11/19/30 | CNY | 8,990,000 | 1,432,844 |
Par (a) | Value | ||
China (Continued) | |||
Fantasia Holdings Group Co. Ltd., 11.87%, 6/01/23 | $ 200,000 | $ 59,512 | |
Global Aircraft Leasing Co. Ltd., (100% Cash), 6.50%, 9/15/24(b)(k) | 95,000 | 92,231 | |
Sunac China Holdings Ltd., 6.50%, 1/26/26 | 200,000 | 141,126 | |
Times China Holdings Ltd., 6.20%, 3/22/26 | 215,000 | 165,946 | |
Yuzhou Group Holdings Co. Ltd., 6.35%, 1/13/27 | 200,000 | 90,249 | |
5,806,620 | |||
Colombia – 2.8% | |||
AI Candelaria Spain SLU, 5.75%, 6/15/33(b) | 250,000 | 244,702 | |
Banco GNB Sudameris S.A., (5Y US Treasury CMT + 6.66%), 7.50%, 4/16/31(b)(i) | 175,000 | 177,146 | |
Colombia Government International Bond, | |||
3.13%, 4/15/31 | 1,100,000 | 1,030,183 | |
4.13%, 2/22/42 | 1,025,000 | 928,127 | |
5.20%, 5/15/49 | 200,000 | 201,262 | |
Colombian TES, | |||
10.00%, 7/24/24 | COP | 2,169,000,000 | 630,670 |
6.25%, 11/26/25 | COP | 2,574,000,000 | 668,885 |
7.50%, 8/26/26 | COP | 4,674,000,000 | 1,257,974 |
5.75%, 11/03/27 | COP | 395,000,000 | 96,355 |
6.00%, 4/28/28 | COP | 528,000,000 | 128,762 |
7.75%, 9/18/30 | COP | 681,000,000 | 180,485 |
7.00%, 6/30/32 | COP | 2,500,000,000 | 613,084 |
Ecopetrol S.A., | |||
4.62%, 11/02/31 | 85,000 | 84,363 | |
5.87%, 11/02/51 | 200,000 | 198,500 | |
Gran Tierra Energy International Holdings Ltd., 6.25%, 2/15/25 | 200,000 | 185,032 | |
6,625,530 | |||
Costa Rica – 0.4% | |||
Costa Rica Government International Bond, | |||
5.62%, 4/30/43 | 400,000 | 356,600 | |
7.00%, 4/04/44 | 400,000 | 399,004 | |
Instituto Costarricense de Electricidad, 6.75%, 10/07/31(b) | 200,000 | 198,600 | |
954,204 |
Par (a) | Value | ||
Czech Republic – 0.8% | |||
Czech Republic Government Bond, | |||
1.00%, 6/26/26 | CZK | $ 6,500,000 | $ 270,008 |
2.50%, 8/25/28 | CZK | 3,570,000 | 158,424 |
2.75%, 7/23/29 | CZK | 8,230,000 | 371,136 |
0.95%, 5/15/30 | CZK | 12,690,000 | 496,672 |
2.00%, 10/13/33 | CZK | 12,340,000 | 519,916 |
1,816,156 | |||
Dominican Republic – 0.9% | |||
Dominican Republic International Bond, | |||
4.50%, 1/30/30(b) | 420,000 | 425,254 | |
4.88%, 9/23/32(b) | 1,330,000 | 1,349,963 | |
5.30%, 1/21/41(b) | 450,000 | 445,505 | |
2,220,722 | |||
Ecuador – 0.4% | |||
Ecuador Government International Bond, | |||
(Step to 5.50% on 7/31/22), 5.00%, 7/31/30(l) | 711,438 | 588,722 | |
(Step to 2.50% on 7/31/22), 1.00%, 7/31/35(b)(l) | 689,407 | 456,638 | |
1,045,360 | |||
Egypt – 1.3% | |||
Egypt Government Bond, | |||
14.06%, 1/12/26 | EGP | 11,818,000 | 749,472 |
14.49%, 4/06/26 | EGP | 5,500,000 | 353,937 |
Egypt Government International Bond, | |||
7.05%, 1/15/32(b) | 835,000 | 782,812 | |
8.50%, 1/31/47 | 1,000,000 | 926,986 | |
8.70%, 3/01/49(b) | 250,000 | 233,145 | |
3,046,352 | |||
El Salvador – 0.3% | |||
El Salvador Government International Bond, | |||
5.88%, 1/30/25 | 70,000 | 55,650 | |
6.37%, 1/18/27 | 230,000 | 176,525 | |
8.25%, 4/10/32 | 385,000 | 300,685 | |
7.62%, 2/01/41 | 300,000 | 219,750 | |
752,610 | |||
France – 0.2% | |||
Altice France S.A., 5.13%, 1/15/29(b) | 490,000 | 475,300 |
Par (a) | Value | ||
Gabon – 0.2% | |||
Gabon Government International Bond, 6.63%, 2/06/31 | $ 400,000 | $ 400,513 | |
Germany – 0.3% | |||
Cheplapharm Arzneimittel GmbH, 5.50%, 1/15/28(b) | 200,000 | 206,125 | |
Deutsche Bank A.G., (5Y USD Swap Rate + 2.55%), 4.88%, 12/01/32(i) | 400,000 | 434,587 | |
640,712 | |||
Ghana – 0.5% | |||
Ghana Government International Bond, | |||
7.88%, 2/11/35 | 400,000 | 341,623 | |
8.87%, 5/07/42 | 200,000 | 176,015 | |
Ghana Treasury Note, | |||
18.50%, 1/02/23 | GHS | 50,000 | 8,232 |
17.60%, 2/20/23 | GHS | 1,330,000 | 216,174 |
17.25%, 7/31/23 | GHS | 110,000 | 17,523 |
Republic of Ghana Government Bonds, | |||
20.75%, 1/16/23 | GHS | 70,000 | 11,783 |
18.85%, 9/28/23 | GHS | 2,205,000 | 357,094 |
19.25%, 12/18/23 | GHS | 213,000 | 34,648 |
19.50%, 7/08/24 | GHS | 205,000 | 33,390 |
1,196,482 | |||
Guatemala – 0.4% | |||
Guatemala Government Bond, | |||
5.38%, 4/24/32(b) | 200,000 | 223,800 | |
3.70%, 10/07/33(b) | 200,000 | 198,800 | |
4.65%, 10/07/41(b) | 440,000 | 448,580 | |
871,180 | |||
Hong Kong – 0.1% | |||
Melco Resorts Finance Ltd., 5.75%, 7/21/28(b) | 200,000 | 199,250 | |
Seaspan Corp., 5.50%, 8/01/29(b) | 55,000 | 55,545 | |
254,795 | |||
Hungary – 1.2% | |||
Hungary Government Bond, | |||
1.50%, 8/23/23 | HUF | 119,190,000 | 382,156 |
6.00%, 11/24/23 | HUF | 62,740,000 | 218,558 |
1.00%, 11/26/25 | HUF | 145,940,000 | 435,191 |
3.00%, 10/27/27 | HUF | 113,910,000 | 356,127 |
3.25%, 10/22/31 | HUF | 123,230,000 | 378,467 |
3.00%, 10/27/38 | HUF | 23,570,000 | 64,699 |
Par (a) | Value | ||
Hungary (Continued) | |||
Hungary Government International Bond, | |||
2.13%, 9/22/31(b) | $ 400,000 | $ 390,197 | |
3.12%, 9/21/51(b) | 600,000 | 583,669 | |
2,809,064 | |||
India – 1.4% | |||
Adani Green Energy Ltd., 4.37%, 9/08/24(b) | 200,000 | 201,970 | |
Clean Renewable Power Mauritius Pte. Ltd., 4.25%, 3/25/27(b) | 200,000 | 203,300 | |
India Government Bond, | |||
8.20%, 9/24/25 | INR | 4,800,000 | 69,824 |
5.15%, 11/09/25 | INR | 123,400,000 | 1,631,134 |
7.59%, 1/11/26 | INR | 35,000,000 | 499,994 |
India Green Power Holdings, 4.00%, 2/22/27(b) | 200,000 | 200,250 | |
JSW Steel Ltd., 3.95%, 4/05/27(b) | 345,000 | 348,254 | |
Network i2i Ltd., (5Y US Treasury CMT + 4.27%), 5.65%, 1/15/25(h)(i) | 200,000 | 211,500 | |
3,366,226 | |||
Indonesia – 4.4% | |||
Indonesia Asahan Aluminium Persero PT, | |||
4.75%, 5/15/25(b) | 200,000 | 214,800 | |
6.53%, 11/15/28(b) | 400,000 | 480,800 | |
5.45%, 5/15/30(b) | 550,000 | 628,721 | |
Indonesia Treasury Bond, | |||
5.63%, 5/15/23 | IDR | 11,619,000,000 | 842,052 |
8.37%, 3/15/24 | IDR | 2,981,000,000 | 229,973 |
6.50%, 6/15/25 | IDR | 14,912,000,000 | 1,109,009 |
5.50%, 4/15/26 | IDR | 13,060,000,000 | 937,224 |
8.37%, 9/15/26 | IDR | 8,148,000,000 | 651,784 |
6.13%, 5/15/28 | IDR | 4,200,000,000 | 303,509 |
9.00%, 3/15/29 | IDR | 10,844,000,000 | 896,136 |
7.00%, 9/15/30 | IDR | 5,360,000,000 | 398,761 |
6.50%, 2/15/31 | IDR | 6,870,000,000 | 496,944 |
7.50%, 8/15/32 | IDR | 10,750,000,000 | 814,791 |
8.37%, 3/15/34 | IDR | 6,653,000,000 | 531,348 |
7.50%, 6/15/35 | IDR | 5,280,000,000 | 394,859 |
7.50%, 5/15/38 | IDR | 600,000,000 | 44,354 |
Perusahaan Penerbit SBSN Indonesia III, | |||
4.15%, 3/29/27 | 330,000 | 366,607 | |
2.55%, 6/09/31 | 400,000 | 400,964 | |
3.55%, 6/09/51(b) | 400,000 | 400,272 | |
10,142,908 |
Par (a) | Value | ||
Iraq – 0.3% | |||
Iraq International Bond, 5.80%, 1/15/28 | $ 836,875 | $ 816,572 | |
Ireland – 0.1% | |||
C&W Senior Financing DAC, 6.88%, 9/15/27(b) | 200,000 | 210,750 | |
Israel – 1.2% | |||
Energean Israel Finance Ltd., | |||
4.88%, 3/30/26(b) | 125,000 | 127,524 | |
5.37%, 3/30/28(b) | 65,000 | 66,079 | |
5.87%, 3/30/31(b) | 570,000 | 580,773 | |
Leviathan Bond Ltd., | |||
6.50%, 6/30/27(b) | 115,000 | 125,922 | |
6.75%, 6/30/30(b) | 340,000 | 374,639 | |
Teva Pharmaceutical Finance Co. LLC, 6.15%, 2/01/36 | 50,000 | 53,518 | |
Teva Pharmaceutical Finance Netherlands III B.V., | |||
3.15%, 10/01/26 | 225,000 | 212,062 | |
4.10%, 10/01/46 | 1,512,000 | 1,247,400 | |
2,787,917 | |||
Italy – 0.1% | |||
Telecom Italia Capital S.A., | |||
6.37%, 11/15/33 | 60,000 | 68,833 | |
6.00%, 9/30/34 | 10,000 | 11,125 | |
7.20%, 7/18/36 | 39,000 | 47,385 | |
UniCredit S.p.A., (5Y US Treasury CMT + 4.75%), 5.46%, 6/30/35(b)(i) | 200,000 | 218,792 | |
346,135 | |||
Ivory Coast – 0.2% | |||
Ivory Coast Government International Bond, | |||
4.88%, 1/30/32(b) | EUR | 275,000 | 311,762 |
6.87%, 10/17/40(b) | EUR | 175,000 | 212,640 |
524,402 | |||
Japan – 0.2% | |||
SoftBank Group Corp., 4.63%, 7/06/28 | 405,000 | 399,809 | |
Kazakhstan – 0.8% | |||
Development Bank of Kazakhstan JSC, 10.95%, 5/06/26(b) | KZT | 110,000,000 | 256,855 |
KazMunayGas National Co. JSC, | |||
3.50%, 4/14/33(b) | 1,025,000 | 1,060,117 | |
5.75%, 4/19/47 | 440,000 | 532,177 | |
1,849,149 |
Par (a) | Value | ||
Lebanon – 0.1% | |||
Lebanon Government International Bond, 8.25%, 5/17/34(m) | $ 1,050,000 | $ 162,750 | |
Luxembourg – 0.4% | |||
Altice Financing S.A., 5.00%, 1/15/28(b) | 240,000 | 231,269 | |
ARD Finance S.A., (100% Cash), 6.50%, 6/30/27(b)(k) | 600,000 | 628,500 | |
859,769 | |||
Macau – 0.2% | |||
MGM China Holdings Ltd., 4.75%, 2/01/27(b) | 200,000 | 192,400 | |
Studio City Finance Ltd., 5.00%, 1/15/29(b) | 200,000 | 181,000 | |
Wynn Macau Ltd., 5.12%, 12/15/29(b) | 200,000 | 180,188 | |
553,588 | |||
Malaysia – 1.8% | |||
Malaysia Government Bond, | |||
3.48%, 3/15/23 | MYR | 2,030,000 | 498,443 |
4.18%, 7/15/24 | MYR | 1,970,000 | 493,634 |
3.95%, 9/15/25 | MYR | 2,200,000 | 549,745 |
3.90%, 11/30/26 | MYR | 1,000,000 | 249,106 |
3.90%, 11/16/27 | MYR | 3,467,000 | 862,278 |
3.88%, 8/15/29 | MYR | 2,695,000 | 663,449 |
3.76%, 5/22/40 | MYR | 1,605,000 | 365,124 |
Malaysia Government Investment Issue, 3.47%, 10/15/30 | MYR | 1,720,000 | 407,689 |
4,089,468 | |||
Mexico – 4.7% | |||
Banco Mercantil del Norte S.A., (10Y US Treasury CMT + 5.47%), 7.50%, 6/27/29(b)(h)(i) | 200,000 | 219,000 | |
Braskem Idesa SAPI, 6.99%, 2/20/32(b) | 200,000 | 204,719 | |
Cemex S.A.B. de C.V., | |||
(5Y US Treasury CMT + 4.53%), 5.12%, 6/08/26(b)(h)(i) | 460,000 | 475,242 | |
3.88%, 7/11/31(b) | 490,000 | 491,813 | |
Electricidad Firme de Mexico Holdings S.A. de C.V., 4.90%, 11/20/26(b) | 200,000 | 195,100 | |
Mexican Bonos, | |||
8.00%, 12/07/23 | MXN | 20,170,000 | 1,000,704 |
10.00%, 12/05/24 | MXN | 41,630,000 | 2,184,707 |
5.75%, 3/05/26 | MXN | 19,025,000 | 873,319 |
7.50%, 6/03/27 | MXN | 14,278,000 | 696,968 |
Par (a) | Value | ||
Mexico (Continued) | |||
Mexican Bonos, | |||
8.50%, 5/31/29 | MXN | $ 6,067,400 | $ 312,564 |
7.75%, 5/29/31 | MXN | 11,596,500 | 572,469 |
10.00%, 11/20/36 | MXN | 5,140,000 | 301,519 |
8.50%, 11/18/38 | MXN | 13,050,000 | 670,040 |
Mexico Government International Bond, 4.28%, 8/14/41 | 300,000 | 312,681 | |
Nemak S.A.B. de C.V., 3.63%, 6/28/31(b) | 200,000 | 187,200 | |
Petroleos Mexicanos, | |||
5.95%, 1/28/31 | 1,147,000 | 1,128,419 | |
6.62%, 6/15/35 | 1,019,000 | 986,800 | |
6.75%, 9/21/47 | 130,000 | 114,985 | |
10,928,249 | |||
Morocco – 0.2% | |||
OCP S.A., 5.13%, 6/23/51(b) | 400,000 | 389,400 | |
Netherlands – 0.2% | |||
UPC Broadband Finco B.V., 4.88%, 7/15/31(b) | 220,000 | 223,663 | |
Ziggo B.V., 4.87%, 1/15/30(b) | 200,000 | 203,375 | |
427,038 | |||
Nigeria – 0.9% | |||
IHS Netherlands Holdco B.V., 8.00%, 9/18/27 | 200,000 | 213,000 | |
Nigeria Government International Bond, | |||
6.13%, 9/28/28(b) | 200,000 | 198,316 | |
7.87%, 2/16/32 | 200,000 | 204,722 | |
7.38%, 9/28/33(b) | 330,000 | 326,700 | |
7.70%, 2/23/38(b) | 765,000 | 738,225 | |
7.62%, 11/28/47 | 500,000 | 468,540 | |
2,149,503 | |||
Norway – 0.6% | |||
Norway Government Bond, | |||
2.00%, 5/24/23(b) | NOK | 7,871,000 | 944,618 |
3.00%, 3/14/24(b) | NOK | 4,328,000 | 531,951 |
1,476,569 | |||
Oman – 0.9% | |||
Oman Government International Bond, | |||
6.00%, 8/01/29 | 200,000 | 215,177 | |
6.25%, 1/25/31(b) | 315,000 | 340,594 | |
6.50%, 3/08/47 | 350,000 | 346,603 | |
OQ SAOC, 5.12%, 5/06/28 | 1,100,000 | 1,128,972 | |
2,031,346 |
Par (a) | Value | ||
Pakistan – 0.4% | |||
Pakistan Government International Bond, | |||
6.00%, 4/08/26(b) | $ 200,000 | $ 201,000 | |
6.88%, 12/05/27 | 335,000 | 343,672 | |
8.87%, 4/08/51(b) | 400,000 | 401,784 | |
946,456 | |||
Panama – 0.8% | |||
Panama Government International Bond, | |||
3.16%, 1/23/30 | 425,000 | 438,523 | |
2.25%, 9/29/32 | 950,000 | 894,786 | |
3.87%, 7/23/60 | 425,000 | 422,905 | |
1,756,214 | |||
Paraguay – 0.3% | |||
Paraguay Government International Bond, | |||
2.74%, 1/29/33 | 200,000 | 192,000 | |
5.60%, 3/13/48 | 500,000 | 568,750 | |
760,750 | |||
Peru – 1.1% | |||
Cia de Minas Buenaventura S.A.A., 5.50%, 7/23/26(b) | 400,000 | 397,004 | |
Peru Government Bond, | |||
5.94%, 2/12/29 | PEN | 370,000 | 96,003 |
6.15%, 8/12/32 | PEN | 1,450,000 | 368,620 |
Peruvian Government International Bond, | |||
6.35%, 8/12/28 | PEN | 1,060,000 | 281,624 |
2.78%, 1/23/31 | 200,000 | 198,900 | |
6.95%, 8/12/31 | PEN | 890,000 | 241,077 |
3.00%, 1/15/34 | 300,000 | 296,700 | |
3.30%, 3/11/41 | 300,000 | 294,474 | |
3.55%, 3/10/51 | 300,000 | 302,271 | |
Volcan Cia Minera S.A.A., 4.38%, 2/11/26(b) | 30,000 | 29,250 | |
2,505,923 | |||
Philippines – 0.3% | |||
Philippine Government International Bond, | |||
1.95%, 1/06/32 | 400,000 | 386,695 | |
3.20%, 7/06/46 | 350,000 | 352,026 | |
738,721 | |||
Poland – 1.2% | |||
Republic of Poland Government Bond, | |||
2.50%, 4/25/24 | PLN | 2,846,000 | 721,302 |
2.50%, 7/25/26 | PLN | 3,593,000 | 910,298 |
Par (a) | Value | ||
Poland (Continued) | |||
Republic of Poland Government Bond, | |||
2.50%, 7/25/27 | PLN | $ 2,341,000 | $ 589,961 |
2.75%, 10/25/29 | PLN | 2,231,000 | 564,118 |
2,785,679 | |||
Qatar – 0.7% | |||
Qatar Energy, | |||
2.25%, 7/12/31(b) | 600,000 | 591,000 | |
3.13%, 7/12/41(b) | 375,000 | 378,447 | |
3.30%, 7/12/51(b) | 250,000 | 254,760 | |
Qatar Government International Bond, 3.75%, 4/16/30(b) | 400,000 | 446,000 | |
1,670,207 | |||
Romania – 1.0% | |||
Romania Government Bond, | |||
4.25%, 6/28/23 | RON | 2,130,000 | 500,565 |
3.25%, 4/29/24 | RON | 3,340,000 | 766,468 |
3.25%, 6/24/26 | RON | 1,170,000 | 258,649 |
5.00%, 2/12/29 | RON | 1,050,000 | 248,476 |
Romanian Government International Bond, 3.00%, 2/14/31(b) | 574,000 | 577,275 | |
2,351,433 | |||
Russia – 1.6% | |||
Russian Federal Bond - OFZ, | |||
7.40%, 12/07/22 | RUB | 46,250,000 | 647,849 |
4.50%, 7/16/25 | RUB | 73,500,000 | 915,683 |
6.00%, 10/06/27 | RUB | 59,000,000 | 750,007 |
7.65%, 4/10/30 | RUB | 43,250,000 | 595,889 |
7.70%, 3/23/33 | RUB | 44,550,000 | 613,360 |
7.70%, 3/16/39 | RUB | 14,500,000 | 199,514 |
3,722,302 | |||
Saudi Arabia – 1.0% | |||
Saudi Government International Bond, | |||
2.75%, 2/03/32 | 250,000 | 255,309 | |
2.25%, 2/02/33(b) | 1,500,000 | 1,447,236 | |
3.75%, 1/21/55 | 550,000 | 575,740 | |
2,278,285 | |||
Senegal – 0.1% | |||
Senegal Government International Bond, 5.38%, 6/08/37(b) | EUR | 260,000 | 288,988 |
Serbia – 0.2% | |||
Serbia Treasury Bonds, 4.50%, 8/20/32 | RSD | 37,000,000 | 378,426 |
Par (a) | Value | ||
South Africa – 2.6% | |||
Eskom Holdings SOC Ltd., | |||
7.13%, 2/11/25 | $ 225,000 | $ 234,671 | |
8.45%, 8/10/28 | 200,000 | 219,766 | |
Republic of South Africa Government Bond, | |||
10.50%, 12/21/26 | ZAR | 2,885,907 | 207,308 |
8.00%, 1/31/30 | ZAR | 25,900,000 | 1,540,360 |
7.00%, 2/28/31 | ZAR | 17,600,000 | 947,483 |
8.25%, 3/31/32 | ZAR | 19,100,000 | 1,097,579 |
8.87%, 2/28/35 | ZAR | 5,800,000 | 334,900 |
8.50%, 1/31/37 | ZAR | 18,689,788 | 1,019,155 |
Republic of South Africa Government International Bond, 5.75%, 9/30/49 | 600,000 | 572,388 | |
6,173,610 | |||
South Korea – 3.3% | |||
Korea Monetary Stabilization Bond, 0.90%, 4/02/23 | KRW | 4,110,000,000 | 3,476,488 |
Korea Treasury Bond, | |||
1.25%, 12/10/22 | KRW | 2,217,000,000 | 1,889,572 |
0.88%, 12/10/23 | KRW | 2,778,000,000 | 2,326,194 |
7,692,254 | |||
Sri Lanka – 0.2% | |||
Sri Lanka Government International Bond, | |||
6.20%, 5/11/27 | 275,000 | 171,677 | |
6.75%, 4/18/28 | 400,000 | 249,396 | |
421,073 | |||
Switzerland – 0.1% | |||
Consolidated Energy Finance S.A., 6.50%, 5/15/26(b) | 150,000 | 155,625 | |
Tanzania, United Republic of – 0.1% | |||
HTA Group Ltd., 7.00%, 12/18/25(b) | 255,000 | 266,439 | |
Thailand – 1.4% | |||
Krung Thai Bank PCL, (5Y US Treasury CMT + 3.53%), 4.40%, 3/25/26(h)(i) | 300,000 | 299,727 | |
Thailand Government Bond, | |||
2.88%, 12/17/28 | THB | 54,524,000 | 1,785,851 |
2.00%, 12/17/31 | THB | 24,176,000 | 730,067 |
3.40%, 6/17/36 | THB | 13,400,000 | 444,840 |
3,260,485 |
Par (a) | Value | ||
Turkey – 0.6% | |||
Akbank T.A.S., (5Y US Treasury CMT + 6.02%), 6.80%, 6/22/31(b)(i) | $ 200,000 | $ 194,212 | |
Turkey Government International Bond, | |||
4.75%, 1/26/26 | 200,000 | 191,460 | |
4.88%, 10/09/26 | 555,000 | 525,898 | |
6.12%, 10/24/28 | 400,000 | 393,456 | |
1,305,026 | |||
Ukraine – 1.1% | |||
Metinvest B.V., 7.75%, 10/17/29 | 200,000 | 218,341 | |
Ukraine Government International Bond, | |||
15.84%, 2/26/25 | UAH | 6,697,000 | 278,532 |
7.75%, 9/01/27 | 405,000 | 437,402 | |
7.38%, 9/25/32 | 400,000 | 413,143 | |
7.25%, 3/15/33 | 680,000 | 694,786 | |
1.26%, 5/31/40(d)(n) | 391,000 | 413,006 | |
2,455,210 | |||
United Arab Emirates – 0.8% | |||
Abu Dhabi Government International Bond, 1.63%, 6/02/28 | 400,000 | 395,505 | |
DP World Salaam, (5Y US Treasury CMT + 5.75%), 6.00%, 10/01/25(h)(i) | 200,000 | 219,027 | |
Galaxy Pipeline Assets Bidco Ltd., | |||
2.16%, 3/31/34(b) | 200,000 | 194,806 | |
2.62%, 3/31/36(b) | 400,000 | 389,687 | |
2.94%, 9/30/40(b) | 425,000 | 417,456 | |
UAE International Government Bond, 2.87%, 10/19/41(b) | 300,000 | 295,098 | |
1,911,579 | |||
United Kingdom – 0.5% | |||
Ardonagh Midco 2 PLC, 11.50%, 1/15/27(b)(k) | 226,387 | 240,183 | |
Connect Finco S.a.r.l./Connect U.S. Finco LLC, 6.75%, 10/01/26(b) | 200,000 | 207,500 | |
Jaguar Land Rover Automotive PLC, 5.50%, 7/15/29(b) | 200,000 | 193,625 | |
Virgin Media Finance PLC, 5.00%, 7/15/30(b) | 235,000 | 233,669 | |
Virgin Media Secured Finance PLC, 5.50%, 5/15/29(b) | 230,000 | 242,687 | |
1,117,664 |
Par (a) | Value | ||
Uruguay – 0.2% | |||
Uruguay Government International Bond, | |||
4.38%, 1/23/31 | $168,136 | $ 194,185 | |
4.97%, 4/20/55 | 249,844 | 319,686 | |
513,871 | |||
Vietnam – 0.1% | |||
Mong Duong Finance Holdings B.V., 5.13%, 5/07/29(b) | 250,000 | 248,125 | |
Zambia – 0.7% | |||
First Quantum Minerals Ltd., | |||
7.25%, 4/01/23(b) | 430,000 | 437,826 | |
6.87%, 3/01/26(b) | 800,000 | 833,000 | |
Zambia Government International Bond, | |||
8.50%, 4/14/24 | 200,000 | 160,026 | |
8.97%, 7/30/27 | 200,000 | 157,910 | |
1,588,762 | |||
Total Foreign Issuer Bonds (Cost $143,363,171) | 139,302,614 | ||
Term Loans – 0.1% | |||
Airlines – 0.0%(f) | |||
United Airlines, Inc., Class B Term Loan, (3M USD LIBOR + 3.75%, 0.75% Floor), 4.50%, 4/21/28(d) | 95,766 | 97,048 | |
Healthcare - Services – 0.1% | |||
Herens Holdco S.a r.l., Facility B Loan, (6M USD LIBOR + 4.00%, 0.75% Floor), 4.75%, 7/03/28(d) | 97,755 | 97,864 | |
Pharmaceuticals – 0.0%(f) | |||
Jazz Pharmaceuticals PLC, Initial Dollar Term Loan, 5/05/28(o) | 74,000 | 74,092 | |
Total Term Loans (Cost $265,785) | 269,004 | ||
U.S. Government Obligations – 0.3% | |||
U.S. Treasury Notes – 0.3% | |||
0.13%, 3/31/23 | 785,000 | 782,761 | |
Total U.S. Government Obligations (Cost $784,505) | 782,761 |
Number of Shares | Value | ||
Warrants – 0.0%(f) | |||
Engineering & Construction – 0.0%(f) | |||
Mcdermott International Ltd., Class A (p)* | 3,868 | $271 | |
Mcdermott International Ltd., Class B (p)* | 4,298 | 129 | |
400 | |||
Total Warrants (Cost $6,000) | 400 |
Par (a)/Number of Shares | |||
Short-Term Investments – 11.4% | |||
Foreign Government Inflation-Linked Bonds – 0.4% | |||
Argentina Treasury Bond, 1.20%, 3/18/22 | ARS | 44,451,525 | 789,954 |
Argentina Treasury Bond, 1.30%, 9/20/22 | 38,800 | 659 | |
Letras de la Nacion Argentina con Ajuste por CER, 0.00%, 2/28/22(g) | 5,101,530 | 66,150 | |
Letras de la Nacion Argentina con Ajuste por CER, 0.00%, 4/18/22(g) | 2,971,400 | 37,009 | |
Letras de la Nacion Argentina con Ajuste por CER, 0.00%, 5/23/22(g) | 281,000 | 3,343 | |
Letras de la Nacion Argentina con Ajuste por CER, 0.00%, 6/30/22(g) | 756,328 | 8,546 | |
905,661 | |||
Foreign Issuer Bonds – 3.3% | |||
Egypt Treasury Bill, 11.43%, 12/07/21(q) | EGP | 4,400,000 | 277,987 |
Indonesia Treasury Bond, 7.00%, 5/15/22 | IDR | 25,056,000,000 | 1,803,926 |
Japan Treasury Discount Bill, (0.12%), 11/22/21(q) | JPY | 111,100,000 | 974,838 |
Japan Treasury Discount Bill, (0.12%), 12/20/21(q) | 89,850,000 | 788,451 | |
Korea Monetary Stabilization Bond, 1.28%, 2/02/22 | KRW | 620,000,000 | 531,101 |
Mexican Bonos, 6.50%, 6/09/22 | MXN | 6,040,000 | 293,922 |
Monetary Authority of Singapore Bill, 0.31%, 11/12/21(q) | SGD | 130,000 | 96,394 |
Monetary Authority of Singapore Bill, 0.28%, 11/19/21(q) | 1,660,000 | 1,230,800 |
Par (a)/Number of Shares | Value | ||
Foreign Issuer Bonds (Continued) | |||
Monetary Authority of Singapore Bill, 0.52%, 1/14/22(q) | SGD | 900,000 | $ 666,892 |
Republic of Ghana Government Bonds, 18.75%, 1/24/22 | GHS | 100,000 | 16,631 |
Republic of Ghana Government Bonds, 18.25%, 7/25/22 | 1,736,000 | 288,036 | |
Republic of Poland Government Bond, 2.25%, 4/25/22 | PLN | 2,827,000 | 712,637 |
7,681,615 | |||
Money Market Fund – 4.9% | |||
Northern Institutional Funds - Treasury Portfolio (Premier), 0.01%(r) | 11,414,219 | 11,414,219 | |
U.S. Government Agencies – 0.7%(s) | |||
Federal Home Loan Bank Discount Notes, 0.00%, 11/01/21(g) | 1,555,000 | 1,555,000 |
Par (a)/Number of Shares | Value | ||
U.S. Treasury Bills – 2.1% | |||
U.S. Treasury Bill, 0.04%, 11/04/21(q) | 2,530,000 | $ 2,529,993 | |
U.S. Treasury Bill, 0.04%, 11/26/21(q) | 2,460,000 | 2,459,904 | |
4,989,897 | |||
Total Short-Term Investments (Cost $27,029,504) | 26,546,392 | ||
Total Investments – 98.6% (Cost $232,147,768) | 229,394,078 | ||
Other Assets less Liabilities – 1.4%(t) | 3,261,137 | ||
NET ASSETS – 100.0% | $232,655,215 |
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, 2021 is disclosed. | ||
(d) | Variable rate security. Rate as of October 31, 2021 is disclosed. | ||
(e) | Restricted security that has been deemed illiquid. At October 31, 2021, the value of these restricted illiquid securities amounted to $511,628 or 0.22% of net assets. Additional information on these restricted illiquid securities is as follows: |
Security | Acquisition Date | Acquisition Cost | |
2020 Cash Mandatory Exchangeable Trust | 5/06/21 | $305,140 | |
NYACK Park CLO Ltd., 6.22%, 10/20/34 | 9/02/21 | 250,000 |
(f) | Amount rounds to less than 0.05%. |
(g) | Zero coupon bond. |
(h) | Perpetual bond. Maturity date represents next call date. |
(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, 2021 is disclosed. |
(j) | When-issued security. Coupon rate was not yet in effect at October 31, 2021. |
(k) | Security is a payment in-kind bond (PIK), distributions received in-kind unless otherwise noted in the description. |
(l) | Step coupon bond. Rate as of October 31, 2021 is disclosed. |
(m) | Issuer has defaulted on terms of debt obligation. |
(n) | These securities are remarketed by an agent, and the interest rate is determined by general market conditions and supply and demand. |
(o) | Position is unsettled. Contract rate was not determined at October 31, 2021 and does not take effect until settlement date. |
(p) | Investment is valued using significant unobservable inputs (Level 3) (See table below). |
(q) | Discount rate at the time of purchase. |
(r) | 7-day current yield as of October 31, 2021 is disclosed. |
(s) | The obligations of certain U.S. government-sponsored entities are neither issued nor guaranteed by the United States Treasury. |
(t) | Includes appreciation/ (depreciation) on forward foreign currency exchange contracts and swap contracts. |
* | Non-income producing security |
Abbreviations: | |
3M | 3 Month |
5Y | 5 Year |
6M | 6 Month |
10Y | 10 Year |
ARS | Argentine Peso |
BRL | Brazilian Real |
CLO | Collateralized Loan Obligation |
CLP | Chilean Peso |
CMT | Constant Maturity |
CNY | Chinese Offshore Yuan |
COP | Colombian Peso |
CP | Commercial Paper |
CVR | Contingent Value Rights |
CZK | Czech Republic Koruna |
EGP | Egyptian Pound |
EUR | Euro |
GHS | Ghanaian Cedi |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | South Korean Won |
KZT | Kazakhstan Tenge |
L.P. | Limited Partnership |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NOK | Norwegian Kroner |
PCL | Public Company Limited |
PEN | Peruvian Nuevo Sole |
PLC | Public Limited Company |
PLN | Polish Zloty |
RON | Romania New Leu |
RSD | Serbia Dinar |
RUB | Russian Ruble |
SGD | Singapore Dollar |
THB | Thai Baht |
UAH | Ukraine Hryvna |
USD | United States Dollar |
UYU | Uruguay Peso |
ZAR | South African Rand |
Concentration by Currency (%)(a) | |
U.S. Dollar | 56.0 |
All other currencies less than 5% | 44.0 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
Composition by Type (%)(a) | |
Sovereign | 50.0 |
Non-Government | 48.6 |
Others | 1.4 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2021: | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
11/02/21 | Norwegian Kroner | 8,350,000 | Euro | 795,347 | JPMorgan Chase | $ 68,990 |
02/03/22 | Canadian Dollars | 2,147,000 | Euro | 1,447,936 | Deutsche Bank | 57,030 |
12/21/21 | New Zealand Dollars | 1,370,000 | U.S. Dollars | 946,283 | JPMorgan Chase | 34,639 |
01/27/22 | Norwegian Kroner | 4,350,000 | Euro | 415,996 | Deutsche Bank | 32,450 |
11/16/21 | U.S. Dollars | 1,109,226 | Mexican Pesos | 22,423,000 | Citibank | 22,809 |
11/01/21 | Indonesian Rupiahs | 8,170,400,000 | U.S. Dollars | 560,000 | JPMorgan Chase | 16,700 |
11/02/21 | Canadian Dollars | 243,000 | Euro | 155,588 | Bank of America | 16,488 |
01/13/22 | Russian Rubles | 40,825,125 | U.S. Dollars | 550,000 | Citibank | 16,154 |
11/02/21 | Swedish Kronor | 4,300,000 | Euro | 421,314 | JPMorgan Chase | 13,659 |
07/12/22 | Norwegian Kroner | 9,512,600 | Euro | 952,572 | JPMorgan Chase | 12,893 |
01/12/22 | Chinese Offshore Yuan | 4,666,920 | U.S. Dollars | 710,987 | Citibank | 12,826 |
12/13/21 | Swedish Kronor | 6,148,000 | Euro | 609,685 | Deutsche Bank | 10,778 |
12/16/21 | Swedish Kronor | 4,439,100 | Euro | 438,742 | Deutsche Bank | 9,478 |
11/01/21 | U.S. Dollars | 421,940 | Mexican Pesos | 8,494,500 | Citibank | 9,346 |
12/10/21 | Chinese Offshore Yuan | 4,835,840 | U.S. Dollars | 743,312 | Citibank | 8,994 |
06/20/22 | Norwegian Kroner | 1,858,000 | Euro | 181,203 | Deutsche Bank | 8,400 |
01/21/22 | Norwegian Kroner | 1,870,000 | Euro | 183,785 | JPMorgan Chase | 8,257 |
06/16/22 | Norwegian Kroner | 2,104,600 | Euro | 206,684 | Deutsche Bank | 7,899 |
12/13/21 | Chinese Offshore Yuan | 3,750,760 | U.S. Dollars | 576,322 | Bank of America | 7,021 |
03/15/22 | Norwegian Kroner | 1,379,700 | Euro | 134,675 | Deutsche Bank | 6,814 |
02/03/22 | Canadian Dollars | 250,000 | Euro | 168,516 | Citibank | 6,738 |
02/09/22 | Swedish Kronor | 2,000,000 | Euro | 195,668 | Deutsche Bank | 6,450 |
12/01/21 | Thai Baht | 9,162,620 | U.S. Dollars | 270,000 | State Street | 6,049 |
01/18/22 | Chinese Offshore Yuan | 4,326,260 | U.S. Dollars | 664,705 | HSBC | 5,890 |
06/22/22 | U.S. Dollars | 435,867 | Euro | 370,000 | JPMorgan Chase | 5,733 |
03/09/22 | Chinese Offshore Yuan | 3,128,380 | U.S. Dollars | 478,331 | Bank of America | 4,673 |
04/13/22 | U.S. Dollars | 406,047 | Mexican Pesos | 8,494,500 | Citibank | 4,441 |
07/26/22 | U.S. Dollars | 655,894 | Euro | 560,000 | Citibank | 4,322 |
11/22/21 | Chinese Offshore Yuan | 1,630,160 | U.S. Dollars | 249,877 | JPMorgan Chase | 4,109 |
02/22/22 | U.S. Dollars | 653,279 | Euro | 560,000 | Citibank | 4,085 |
12/15/21 | Swedish Kronor | 1,149,700 | Euro | 112,834 | Deutsche Bank | 3,379 |
12/13/21 | Chinese Offshore Yuan | 3,265,040 | U.S. Dollars | 504,835 | JPMorgan Chase | 2,966 |
03/29/22 | U.S. Dollars | 166,000 | Turkish Lira | 1,694,875 | Citibank | 2,651 |
07/19/22 | Swedish Kronor | 2,395,500 | Euro | 238,287 | Deutsche Bank | 2,494 |
07/21/22 | U.S. Dollars | 358,412 | Euro | 305,950 | Citibank | 2,477 |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2021: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
04/19/22 | Swedish Kronor | 2,395,500 | Euro | 238,729 | Deutsche Bank | $ 2,405 |
01/13/22 | Russian Rubles | 20,211,990 | U.S. Dollars | 278,000 | Bank of America | 2,296 |
12/15/21 | Chinese Offshore Yuan | 2,361,620 | U.S. Dollars | 364,960 | HSBC | 2,268 |
05/02/22 | Norwegian Kroner | 8,350,000 | Euro | 847,073 | JPMorgan Chase | 2,109 |
01/18/22 | Swedish Kronor | 757,001 | Euro | 74,425 | Deutsche Bank | 2,043 |
06/15/22 | Swedish Kronor | 1,148,300 | Euro | 113,564 | Deutsche Bank | 2,041 |
03/16/22 | Swedish Kronor | 756,999 | Euro | 74,373 | Deutsche Bank | 2,038 |
12/10/21 | Chinese Offshore Yuan | 1,855,840 | U.S. Dollars | 287,051 | JPMorgan Chase | 1,660 |
04/14/22 | Swedish Kronor | 757,000 | Euro | 74,686 | Deutsche Bank | 1,641 |
11/17/21 | Swedish Kronor | 451,000 | Euro | 44,292 | Deutsche Bank | 1,304 |
01/04/22 | U.S. Dollars | 550,000 | Euro | 473,852 | Barclays | 1,242 |
04/18/22 | Indian Rupees | 14,547,990 | U.S. Dollars | 188,820 | HSBC | 903 |
01/03/22 | U.S. Dollars | 700,000 | South African Rand | 10,769,570 | Bank of America | 822 |
08/02/22 | Canadian Dollars | 243,000 | Euro | 167,713 | Bank of America | 693 |
11/15/21 | Chilean Pesos | 35,250,000 | U.S. Dollars | 42,596 | Goldman Sachs | 659 |
11/01/21 | Indonesian Rupiahs | 2,856,308,000 | U.S. Dollars | 201,163 | Citibank | 447 |
01/24/22 | Singapore Dollars | 80,000 | U.S. Dollars | 58,889 | Morgan Stanley | 414 |
05/02/22 | Swedish Kronor | 4,300,000 | Euro | 431,817 | JPMorgan Chase | 403 |
01/27/22 | Indian Rupees | 519,600 | U.S. Dollars | 6,731 | JPMorgan Chase | 124 |
01/04/22 | Euro | 473,852 | U.S. Dollars | 548,656 | Barclays | 102 |
11/10/21 | Indian Rupees | 378,700 | U.S. Dollars | 4,972 | Citibank | 78 |
Total Unrealized Appreciation | $ 473,774 | |||||
04/12/22 | Indian Rupees | 610,800 | U.S. Dollars | 7,998 | HSBC | $ (25) |
04/14/22 | U.S. Dollars | 109,969 | Euro | 94,783 | Deutsche Bank | (33) |
04/12/22 | Indian Rupees | 610,300 | U.S. Dollars | 8,005 | Citibank | (39) |
01/26/22 | Singapore Dollars | 90,000 | U.S. Dollars | 66,769 | Citibank | (53) |
04/07/22 | Indian Rupees | 521,000 | U.S. Dollars | 6,862 | JPMorgan Chase | (57) |
04/08/22 | Indian Rupees | 506,200 | U.S. Dollars | 6,683 | Citibank | (72) |
04/08/22 | Indian Rupees | 674,000 | U.S. Dollars | 8,884 | JPMorgan Chase | (81) |
04/21/22 | Singapore Dollars | 100,000 | U.S. Dollars | 74,220 | Morgan Stanley | (108) |
01/07/22 | Chilean Pesos | 60,650,086 | U.S. Dollars | 74,116 | JPMorgan Chase | (154) |
02/07/22 | Chilean Pesos | 60,649,914 | U.S. Dollars | 73,895 | JPMorgan Chase | (244) |
11/04/21 | U.S. Dollars | 543,565 | Hungarian Forints | 169,320,512 | BNP | (287) |
11/02/21 | Euro | 432,665 | Swedish Kronor | 4,300,000 | JPMorgan Chase | (538) |
12/28/21 | Chilean Pesos | 17,430,000 | U.S. Dollars | 21,899 | Goldman Sachs | (615) |
01/14/22 | Chilean Pesos | 33,528,030 | U.S. Dollars | 41,495 | Goldman Sachs | (649) |
12/01/21 | U.S. Dollars | 423,613 | Thai Baht | 14,086,877 | JPMorgan Chase | (792) |
11/02/21 | Euro | 169,161 | Canadian Dollars | 243,000 | Bank of America | (797) |
12/01/21 | U.S. Dollars | 136,194 | Thai Baht | 4,548,195 | Goldman Sachs | (833) |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2021: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
03/31/22 | Japanese Yen | 9,662,172 | Euro | 74,001 | Citibank | $ (928) |
01/21/22 | Chilean Pesos | 125,590,000 | U.S. Dollars | 153,909 | JPMorgan Chase | (1,060) |
11/01/21 | U.S. Dollars | 575,421 | Indonesian Rupiahs | 8,170,400,000 | JPMorgan Chase | (1,279) |
12/15/21 | Indian Rupees | 9,795,663 | U.S. Dollars | 131,530 | Citibank | (1,585) |
12/15/21 | Indian Rupees | 5,738,622 | U.S. Dollars | 77,791 | HSBC | (1,665) |
04/01/22 | Japanese Yen | 13,761,505 | Euro | 105,700 | JPMorgan Chase | (1,676) |
12/01/21 | U.S. Dollars | 408,782 | Mexican Pesos | 8,494,500 | Citibank | (1,820) |
12/01/21 | Polish Zloty | 1,509,464 | U.S. Dollars | 380,000 | State Street | (1,911) |
11/02/21 | Euro | 852,873 | Norwegian Kroner | 8,350,000 | JPMorgan Chase | (2,490) |
11/04/21 | Hungarian Forints | 86,354,912 | U.S. Dollars | 280,000 | State Street | (2,631) |
01/24/22 | South Korean Won | 147,400,000 | U.S. Dollars | 128,018 | JPMorgan Chase | (2,758) |
11/05/21 | Chilean Pesos | 48,382,968 | U.S. Dollars | 62,266 | Goldman Sachs | (2,826) |
01/21/22 | South Korean Won | 149,300,000 | U.S. Dollars | 129,996 | Citibank | (3,114) |
01/19/22 | South Korean Won | 150,400,000 | U.S. Dollars | 130,942 | JPMorgan Chase | (3,120) |
12/01/21 | U.S. Dollars | 510,613 | Thai Baht | 17,055,501 | Bank of America | (3,230) |
02/11/22 | Chilean Pesos | 63,150,397 | U.S. Dollars | 79,978 | Goldman Sachs | (3,327) |
11/04/21 | Chilean Pesos | 54,278,030 | U.S. Dollars | 70,129 | Goldman Sachs | (3,439) |
05/11/22 | Chilean Pesos | 60,450,576 | U.S. Dollars | 76,213 | Goldman Sachs | (3,628) |
11/30/21 | Chilean Pesos | 84,930,830 | U.S. Dollars | 107,984 | Goldman Sachs | (3,954) |
01/13/22 | Chilean Pesos | 100,000,000 | U.S. Dollars | 125,945 | JPMorgan Chase | (4,100) |
11/01/21 | Mexican Pesos | 8,494,500 | U.S. Dollars | 417,010 | Citibank | (4,416) |
11/04/21 | Czech Republic Koruna | 3,434,400 | U.S. Dollars | 160,000 | Barclays | (5,354) |
11/01/21 | U.S. Dollars | 196,000 | Indonesian Rupiahs | 2,856,308,000 | Citibank | (5,610) |
12/15/21 | Chilean Pesos | 111,012,759 | U.S. Dollars | 142,124 | Goldman Sachs | (6,368) |
01/13/22 | U.S. Dollars | 558,320 | Russian Rubles | 40,825,125 | Citibank | (7,834) |
12/23/21 | Chilean Pesos | 70,100,000 | U.S. Dollars | 94,742 | Goldman Sachs | (9,093) |
11/04/21 | Hungarian Forints | 82,965,600 | U.S. Dollars | 276,000 | JPMorgan Chase | (9,517) |
12/01/21 | Polish Zloty | 963,000 | U.S. Dollars | 250,944 | Bank of America | (9,733) |
02/24/22 | Japanese Yen | 44,011,894 | Euro | 342,449 | Citibank | (10,306) |
04/12/22 | Japanese Yen | 93,680,000 | U.S. Dollars | 838,576 | JPMorgan Chase | (15,047) |
12/01/21 | Polish Zloty | 2,194,290 | U.S. Dollars | 567,000 | Morgan Stanley | (17,376) |
03/29/22 | Turkish Lira | 2,798,978 | U.S. Dollars | 287,561 | JPMorgan Chase | (17,801) |
03/29/22 | Turkish Lira | 7,358,400 | U.S. Dollars | 730,000 | Barclays | (20,811) |
11/08/21 | Japanese Yen | 184,576,541 | Euro | 1,420,000 | Deutsche Bank | (22,239) |
04/12/22 | U.S. Dollars | 832,652 | Australian Dollars | 1,140,007 | JPMorgan Chase | (24,827) |
12/01/21 | Thai Baht | 69,105,665 | U.S. Dollars | 2,113,000 | Barclays | (31,006) |
11/24/21 | Japanese Yen | 120,258,000 | U.S. Dollars | 1,097,124 | JPMorgan Chase | (41,827) |
11/24/21 | U.S. Dollars | 1,013,981 | Australian Dollars | 1,422,000 | JPMorgan Chase | (55,821) |
Total Unrealized Depreciation | $(370,904) | |||||
Net Unrealized Appreciation | $ 102,870 |
Credit Default Swap Contracts outstanding - Buy Protection at October 31, 2021: 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: 01/07/2025 (Pay Quarterly) | 1.00% | 12/20/2026 | Barclays | USD | 440,000 | $30,040 | $20,056 | $ 9,984 |
Republic of Chile, 3.24%, Due: 02/06/2028 (Pay Quarterly) | 1.00% | 12/20/2026 | Morgan Stanley | USD | 600,000 | (4,229) | (7,511) | 3,282 |
United Mexican States, 4.15%, Due: 03/28/2027 (Pay Quarterly) | 1.00% | 12/20/2026 | Barclays | USD | 900,000 | 428 | (1,893) | 2,321 |
United Mexican States, 4.15%, Due: 03/28/2027 (Pay Quarterly) | 1.00% | 12/20/2026 | Goldman Sachs | USD | 300,000 | 143 | (460) | 603 |
Total | $26,382 | $10,192 | $16,190 |
Morningstar Multisector Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Asset-Backed Securities | $ — | $ 3,906,671 | $ — | $ 3,906,671 |
Common Stocks | 1,856,548 | — | — | 1,856,548 |
Convertible Bonds | — | 4,018,334 | — | 4,018,334 |
Convertible Preferred Stocks | 441,797 | 261,627 | — | 703,424 |
Corporate Bonds | — | 50,267,118 | — | 50,267,118 |
Foreign Government Inflation-Linked Bonds | — | 1,740,812 | — | 1,740,812 |
Foreign Issuer Bonds | — | 139,302,614 | — | 139,302,614 |
Term Loans | — | 269,004 | — | 269,004 |
U.S. Government Obligations | — | 782,761 | — | 782,761 |
Warrants | — | — | 400 | 400 |
Short-Term Investments | 11,414,219 | 15,132,173 | — | 26,546,392 |
Total Investments | $13,712,564 | $215,681,114 | $400 | $229,394,078 |
Morningstar Multisector Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
Derivative Financial Instruments | ||||
Assets: | ||||
Forward Foreign Currency Exchange Contracts | $— | $ 473,774 | $— | $ 473,774 |
Swap Agreements at Fair Value | — | 30,611 | — | 30,611 |
Total Assets - Derivative Financial Instruments | $— | $ 504,385 | $— | $ 504,385 |
Liabilities: | ||||
Forward Foreign Currency Exchange Contracts | $— | $(370,904) | $— | $(370,904) |
Swap Agreements at Fair Value | — | (4,229) | — | (4,229) |
Total Liabilities - Derivative Financial Instruments | $— | $(375,133) | $— | $(375,133) |
Net Derivative Financial Instruments | $— | $ 129,252 | $— | $ 129,252 |
Financial Assets | Fair Value at 10/31/21 | Valuation Technique(s) | Unobservable Inputs | Price/Range |
Warrants | $400 | Pricing Model | Projected EBITDA plus a discounted multiple | $0.03 - $0.07 |
Par (a) | Value | ||
Asset-Backed Securities – 0.0%(b) | |||
Commercial Mortgage-Backed Securities – 0.0%(b) | |||
Benchmark Mortgage Trust, Series 2020-B17, Class A2, 2.21%, 3/15/53 | $45,000 | $45,538 | |
Whole Loan – 0.0%(b) | |||
STACR Trust, Series 2018-HRP1, Class M2, (1M USD LIBOR + 1.65%), 1.74%, 4/25/43(c)(d) | 33,700 | 33,796 | |
Total Asset-Backed Securities (Cost $78,884) | 79,334 |
Number of Shares | |||
Common Stocks – 43.9% | |||
Advertising – 1.0% | |||
Dentsu Group, Inc. (Japan) | 2,800 | 102,323 | |
Omnicom Group, Inc. | 27,964 | 1,903,789 | |
WPP PLC (United Kingdom) | 13,654 | 197,365 | |
2,203,477 | |||
Aerospace/Defense – 0.1% | |||
BAE Systems PLC (United Kingdom) | 34,152 | 257,512 | |
Agriculture – 0.2% | |||
British American Tobacco PLC (United Kingdom) | 11,877 | 413,135 | |
Japan Tobacco, Inc. (Japan) | 5,300 | 104,045 | |
517,180 | |||
Apparel – 0.6% | |||
Tapestry, Inc. | 30,443 | 1,186,668 | |
Auto Manufacturers – 0.9% | |||
Honda Motor Co. Ltd. (Japan) | 20,600 | 609,304 | |
Nissan Motor Co. Ltd. (Japan)* | 38,600 | 196,468 | |
Toyota Motor Corp. (Japan) | 64,500 | 1,138,049 | |
1,943,821 | |||
Auto Parts & Equipment – 0.4% | |||
Bridgestone Corp. (Japan) | 8,800 | 389,306 | |
Denso Corp. (Japan) | 3,000 | 217,485 | |
Stanley Electric Co. Ltd. (Japan) | 7,800 | 196,601 | |
Sumitomo Electric Industries Ltd. (Japan) | 7,700 | 102,201 | |
905,593 |
Number of Shares | Value | ||
Banks – 3.5% | |||
ABN AMRO Bank N.V. - CVA (Netherlands)(c) | 5,235 | $ 76,995 | |
Banco Bilbao Vizcaya Argentaria S.A. (Spain) | 26,224 | 183,519 | |
Banco del Bajio S.A. (Mexico)(c) | 49,949 | 93,600 | |
Banco Santander S.A. (Spain) | 69,794 | 264,735 | |
Barclays PLC (United Kingdom) | 172,129 | 474,986 | |
BNP Paribas S.A. (France) | 5,779 | 386,830 | |
CaixaBank S.A. (Spain) | 20,489 | 58,899 | |
Credit Suisse Group A.G. (Switzerland)(e) | 6,333 | 65,874 | |
DNB Bank ASA (Norway) | 3,042 | 72,390 | |
Erste Group Bank A.G. (Austria) | 2,474 | 106,099 | |
Grupo Financiero Banorte S.A.B. de C.V., Class O (Mexico) | 77,975 | 492,892 | |
Grupo Financiero Inbursa S.A.B. de C.V., Class O (Mexico)* | 66,685 | 66,789 | |
HSBC Holdings PLC (United Kingdom) | 216,315 | 1,303,335 | |
ING Groep N.V. (Netherlands) | 22,304 | 338,327 | |
Intesa Sanpaolo S.p.A. (Italy) | 46,120 | 131,081 | |
KBC Group N.V. (Belgium) | 830 | 77,292 | |
Lloyds Banking Group PLC (United Kingdom) | 739,547 | 506,132 | |
Mitsubishi UFJ Financial Group, Inc. (Japan) | 54,100 | 296,657 | |
Mizuho Financial Group, Inc. (Japan) | 7,100 | 93,706 | |
Natwest Group PLC (United Kingdom) | 91,777 | 276,724 | |
Nordea Bank Abp (Finland) | 11,887 | 145,578 | |
Regional S.A.B. de C.V. (Mexico) | 15,992 | 83,455 | |
Resona Holdings, Inc. (Japan) | 26,700 | 100,301 | |
Skandinaviska Enskilda Banken AB Class A (Sweden) | 7,770 | 121,506 | |
Standard Chartered PLC (United Kingdom) | 43,419 | 293,643 | |
Sumitomo Mitsui Financial Group, Inc. (Japan) | 14,700 | 477,010 | |
Sumitomo Mitsui Trust Holdings, Inc. (Japan) | 9,100 | 299,334 | |
Svenska Handelsbanken AB, Class A (Sweden) | 8,962 | 102,725 |
Number of Shares | Value | ||
Banks (Continued) | |||
Swedbank AB, Class A (Sweden) | 7,328 | $ 158,935 | |
UBS Group A.G. (Switzerland)(e) | 16,656 | 303,184 | |
UniCredit S.p.A. (Italy) | 7,998 | 105,729 | |
7,558,262 | |||
Beverages – 1.3% | |||
Anheuser-Busch InBev S.A./N.V. (Belgium) | 13,488 | 825,024 | |
Arca Continental S.A.B. de C.V. (Mexico) | 10,114 | 61,559 | |
Asahi Group Holdings Ltd. (Japan) | 2,100 | 95,299 | |
Becle S.A.B. de C.V. (Mexico) | 57,017 | 130,163 | |
Coca-Cola Femsa S.A.B. de C.V. (Mexico) | 22,053 | 118,545 | |
Diageo PLC (United Kingdom) | 9,298 | 462,591 | |
Fomento Economico Mexicano S.A.B. de C.V. (Mexico) | 89,631 | 738,232 | |
Kirin Holdings Co. Ltd. (Japan) | 16,900 | 294,159 | |
2,725,572 | |||
Building Materials – 0.2% | |||
Cemex S.A.B. de C.V., Series CPO (Mexico)* | 205,629 | 132,638 | |
Daikin Industries Ltd. (Japan) | 1,300 | 284,719 | |
417,357 | |||
Chemicals – 0.4% | |||
Nitto Denko Corp. (Japan) | 2,800 | 218,792 | |
Orbia Advance Corp. S.A.B. de C.V. (Mexico) | 48,433 | 126,564 | |
Shin-Etsu Chemical Co. Ltd. (Japan) | 2,800 | 499,333 | |
Toray Industries, Inc. (Japan) | 15,700 | 97,835 | |
942,524 | |||
Commercial Services – 4.1% | |||
Atlantia S.p.A. (Italy)* | 62,570 | 1,209,378 | |
Experian PLC (United Kingdom) | 5,016 | 229,990 | |
H&R Block, Inc. | 100,570 | 2,320,150 | |
Nielsen Holdings PLC | 118,770 | 2,405,092 | |
Promotora y Operadora de Infraestructura S.A.B. de C.V. (Mexico) | 8,909 | 65,623 | |
Recruit Holdings Co. Ltd. (Japan) | 5,000 | 332,595 |
Number of Shares | Value | ||
Commercial Services (Continued) | |||
RELX PLC (United Kingdom) | 11,911 | $ 369,329 | |
Rentokil Initial PLC (United Kingdom) | 18,587 | 149,606 | |
Secom Co. Ltd. (Japan) | 25,118 | 1,712,356 | |
8,794,119 | |||
Computers – 0.4% | |||
Cognizant Technology Solutions Corp., Class A | 10,001 | 780,978 | |
Cosmetics/Personal Care – 0.6% | |||
Kao Corp. (Japan) | 6,900 | 390,320 | |
Unilever PLC (United Kingdom) | 14,846 | 794,883 | |
1,185,203 | |||
Distribution/Wholesale – 0.6% | |||
Bunzl PLC (United Kingdom) | 3,935 | 145,438 | |
Ferguson PLC | 934 | 140,533 | |
ITOCHU Corp. (Japan) | 12,900 | 367,919 | |
Mitsubishi Corp. (Japan) | 9,700 | 308,441 | |
Mitsui & Co. Ltd. (Japan) | 14,000 | 320,383 | |
1,282,714 | |||
Diversified Financial Services – 1.0% | |||
Bolsa Mexicana de Valores S.A.B. de C.V. (Mexico) | 32,094 | 61,419 | |
Daiwa Securities Group, Inc. (Japan) | 17,300 | 97,194 | |
Deutsche Boerse A.G. (Germany) | 995 | 165,177 | |
Japan Exchange Group, Inc. (Japan) | 3,900 | 92,345 | |
Julius Baer Group Ltd. (Switzerland) | 1,494 | 108,064 | |
London Stock Exchange Group PLC (United Kingdom) | 3,853 | 375,065 | |
ORIX Corp. (Japan) | 10,800 | 214,664 | |
St James's Place PLC (United Kingdom) | 12,794 | 276,387 | |
Visa, Inc., Class A | 3,578 | 757,713 | |
2,148,028 | |||
Electric – 1.4% | |||
Chubu Electric Power Co., Inc. (Japan) | 17,000 | 175,969 | |
Electric Power Development Co. Ltd. (Japan) | 7,000 | 92,537 | |
National Grid PLC (United Kingdom) | 203,652 | 2,607,471 | |
SSE PLC (United Kingdom) | 5,899 | 132,843 | |
3,008,820 |
Number of Shares | Value | ||
Electrical Component & Equipment – 0.1% | |||
Casio Computer Co. Ltd. (Japan) | 6,300 | $ 89,152 | |
Electronics – 0.6% | |||
Hoya Corp. (Japan) | 1,300 | 191,371 | |
Kyocera Corp. (Japan) | 3,200 | 187,350 | |
Murata Manufacturing Co. Ltd. (Japan) | 4,600 | 341,222 | |
Nidec Corp. (Japan) | 1,700 | 188,288 | |
TDK Corp. (Japan) | 8,100 | 294,459 | |
1,202,690 | |||
Engineering & Construction – 1.0% | |||
Ferrovial S.A. (Spain) | 37,739 | 1,191,348 | |
Grupo Aeroportuario del Centro Norte S.A.B. de C.V. (Mexico)* | 26,225 | 158,601 | |
Grupo Aeroportuario del Pacifico S.A.B. de C.V., Class B (Mexico)* | 16,157 | 204,042 | |
Grupo Aeroportuario del Sureste S.A.B. de C.V., Class B (Mexico) | 10,040 | 202,814 | |
Vinci S.A. (France) | 3,686 | 394,071 | |
2,150,876 | |||
Entertainment – 1.2% | |||
Entain PLC (United Kingdom)* | 5,078 | 142,291 | |
International Game Technology PLC* | 83,361 | 2,458,316 | |
2,600,607 | |||
Environmental Control – 0.6% | |||
Stericycle, Inc.* | 17,454 | 1,168,022 | |
Food – 0.6% | |||
Associated British Foods PLC (United Kingdom) | 5,031 | 123,037 | |
Gruma S.A.B. de C.V., Class B (Mexico) | 10,980 | 128,541 | |
Grupo Bimbo S.A.B. de C.V., Class A (Mexico) | 68,879 | 204,750 | |
MEIJI Holdings Co. Ltd. (Japan) | 4,700 | 296,611 | |
Seven & i Holdings Co. Ltd. (Japan) | 4,500 | 188,932 | |
Tesco PLC (United Kingdom) | 80,487 | 297,180 | |
Yamazaki Baking Co. Ltd. (Japan) | 5,886 | 89,413 | |
1,328,464 | |||
Food Service – 0.1% | |||
Compass Group PLC (United Kingdom)* | 11,413 | 242,191 |
Number of Shares | Value | ||
Gas – 0.6% | |||
Osaka Gas Co. Ltd. (Japan) | 11,000 | $ 177,298 | |
Snam S.p.A. (Italy) | 210,925 | 1,194,635 | |
1,371,933 | |||
Healthcare - Products – 1.1% | |||
Henry Schein, Inc.* | 14,952 | 1,141,585 | |
Medtronic PLC | 7,193 | 862,153 | |
Olympus Corp. (Japan) | 9,800 | 212,298 | |
Smith & Nephew PLC (United Kingdom) | 7,242 | 125,070 | |
2,341,106 | |||
Healthcare - Services – 1.3% | |||
Fresenius Medical Care A.G. & Co. KGaA (Germany) | 27,321 | 1,814,909 | |
MEDNAX, Inc.* | 38,912 | 1,059,574 | |
2,874,483 | |||
Home Builders – 0.1% | |||
Berkeley Group Holdings (The) PLC (United Kingdom) | 1,838 | 109,634 | |
Sekisui House Ltd. (Japan) | 4,861 | 101,064 | |
210,698 | |||
Home Furnishings – 0.5% | |||
Panasonic Corp. (Japan) | 24,900 | 307,914 | |
Sony Group Corp. (Japan) | 6,800 | 787,416 | |
1,095,330 | |||
Household Products/Wares – 0.2% | |||
Kimberly-Clark de Mexico S.A.B. de C.V., Series A (Mexico) | 76,760 | 121,321 | |
Reckitt Benckiser Group PLC (United Kingdom) | 4,588 | 372,467 | |
493,788 | |||
Insurance – 1.7% | |||
Allianz S.E. (Germany)(e) | 1,869 | 434,001 | |
Assicurazioni Generali S.p.A. (Italy) | 3,244 | 70,639 | |
Aviva PLC (United Kingdom) | 44,606 | 240,690 | |
AXA S.A. (France) | 9,796 | 284,995 | |
Dai-ichi Life Holdings, Inc. (Japan) | 9,700 | 204,074 | |
Direct Line Insurance Group PLC (United Kingdom) | 46,903 | 187,467 | |
Hannover Rueck S.E. (Germany) | 378 | 69,017 | |
Jackson Financial, Inc., Class A* | 662 | 17,920 |
Number of Shares | Value | ||
Insurance (Continued) | |||
Legal & General Group PLC (United Kingdom) | 66,972 | $ 264,123 | |
MS&AD Insurance Group Holdings, Inc. (Japan) | 6,000 | 193,844 | |
Muenchener Rueckversicherungs-Gesellschaft A.G. in Muenchen (Germany)(e) | 577 | 170,842 | |
Prudential PLC (United Kingdom) | 26,532 | 541,464 | |
Sampo OYJ, Class A (Finland) | 1,410 | 74,957 | |
Sompo Holdings, Inc. (Japan) | 2,200 | 95,407 | |
Swiss Life Holding A.G. (Switzerland)(e) | 195 | 106,970 | |
Swiss Re A.G. | 1,408 | 136,401 | |
Tokio Marine Holdings, Inc. (Japan) | 3,900 | 205,413 | |
Tryg A/S (Denmark) | 2,710 | 64,317 | |
Zurich Insurance Group A.G. (Switzerland) | 642 | 284,548 | |
3,647,089 | |||
Internet – 2.2% | |||
Alibaba Group Holding Ltd. (China)* | 51,200 | 1,052,808 | |
Baidu, Inc., Class A (China)* | 25,850 | 528,223 | |
JD.com, Inc., Class A (China)* | 13,450 | 526,527 | |
Meituan, Class B (China)(c)* | 15,500 | 527,444 | |
Pinduoduo, Inc. ADR (China)* | 2,909 | 258,668 | |
Tencent Holdings Ltd. (China) | 17,300 | 1,052,356 | |
Tencent Music Entertainment Group ADR (China)* | 33,171 | 260,724 | |
Trip.com Group Ltd. ADR (China)* | 18,448 | 526,875 | |
4,733,625 | |||
Investment Management Companies – 0.1% | |||
Industrivarden AB, Class A (Sweden) | 138 | 4,549 | |
Investor AB, Class B (Sweden) | 7,183 | 165,740 | |
Kinnevik AB, Class B (Sweden)* | 1,747 | 68,571 | |
238,860 | |||
Lodging – 0.1% | |||
InterContinental Hotels Group PLC (United Kingdom)* | 1,810 | 126,785 |
Number of Shares | Value | ||
Machinery - Construction & Mining – 0.4% | |||
Hitachi Ltd. (Japan) | 5,300 | $ 305,410 | |
Komatsu Ltd. (Japan) | 8,200 | 214,769 | |
Mitsubishi Electric Corp. (Japan) | 29,600 | 397,511 | |
917,690 | |||
Machinery - Diversified – 0.5% | |||
FANUC Corp. (Japan) | 1,700 | 335,956 | |
Keyence Corp. (Japan) | 500 | 301,807 | |
Nabtesco Corp. (Japan) | 2,438 | 79,122 | |
SMC Corp. (Japan) | 500 | 298,383 | |
Sumitomo Heavy Industries Ltd. (Japan) | 3,800 | 97,833 | |
1,113,101 | |||
Media – 0.1% | |||
Grupo Televisa S.A.B., Series CPO (Mexico) | 83,798 | 169,566 | |
Informa PLC (United Kingdom)* | 17,013 | 121,029 | |
290,595 | |||
Mining – 0.9% | |||
Anglo American PLC (South Africa) | 6,251 | 237,807 | |
BHP Group PLC (Australia) | 19,633 | 518,538 | |
Glencore PLC (Australia)* | 43,820 | 219,125 | |
Grupo Mexico S.A.B. de C.V., Series B (Mexico) | 63,432 | 277,970 | |
Industrias Penoles S.A.B. de C.V. (Mexico)* | 10,617 | 135,533 | |
Rio Tinto PLC (Australia) | 7,721 | 481,416 | |
Sumitomo Metal Mining Co. Ltd. (Japan) | 2,700 | 104,739 | |
1,975,128 | |||
Miscellaneous Manufacturing – 0.2% | |||
Smiths Group PLC (United Kingdom) | 6,474 | 120,210 | |
Toshiba Corp. (Japan) | 4,987 | 215,100 | |
335,310 | |||
Office/Business Equipment – 0.1% | |||
FUJIFILM Holdings Corp. (Japan) | 2,400 | 185,466 | |
Oil & Gas – 3.9% | |||
BP PLC (United Kingdom) | 289,967 | 1,389,204 | |
Canadian Natural Resources Ltd. (Canada) | 4,271 | 181,524 | |
China Petroleum & Chemical Corp., Class H (China) | 628,250 | 306,104 | |
Ecopetrol S.A. ADR (Colombia) | 8,533 | 129,275 |
Number of Shares | Value | ||
Oil & Gas (Continued) | |||
ENEOS Holdings, Inc. (Japan) | 25,800 | $ 104,032 | |
Eni S.p.A. (Italy) | 18,763 | 268,920 | |
Equinor ASA (Norway) | 11,678 | 295,901 | |
Galp Energia SGPS S.A. (Portugal) | 11,075 | 115,046 | |
Gazprom PJSC ADR (Russia) | 50,266 | 493,254 | |
Imperial Oil Ltd. (Canada) | 3,856 | 130,548 | |
Inpex Corp. (Japan) | 29,400 | 245,176 | |
LUKOIL PJSC ADR (Russia) | 3,271 | 333,416 | |
Neste OYJ (Finland) | 3,821 | 212,722 | |
OMV A.G. (Austria) | 2,054 | 124,356 | |
Petroleo Brasileiro S.A. ADR (Brazil) | 22,958 | 225,448 | |
Repsol S.A. (Spain) | 9,517 | 121,899 | |
Rosneft Oil Co. PJSC GDR (Russia)(e) | 48,304 | 430,048 | |
Royal Dutch Shell PLC, Class B (Netherlands) | 87,262 | 2,002,551 | |
Suncor Energy, Inc. (Canada) | 6,091 | 160,199 | |
TotalEnergies S.E. (France) | 18,268 | 914,769 | |
Woodside Petroleum Ltd. (Australia) | 7,243 | 126,619 | |
8,311,011 | |||
Pharmaceuticals – 3.5% | |||
Alfresa Holdings Corp. (Japan) | 6,800 | 95,860 | |
Astellas Pharma, Inc. (Japan) | 6,200 | 104,524 | |
AstraZeneca PLC (United Kingdom) | 6,613 | 827,295 | |
Chugai Pharmaceutical Co. Ltd. (Japan) | 8,400 | 314,071 | |
CVS Health Corp. | 27,425 | 2,448,504 | |
Daiichi Sankyo Co. Ltd. (Japan) | 8,400 | 211,952 | |
Genomma Lab Internacional S.A.B. de C.V., Class B (Mexico)* | 97,555 | 93,774 | |
GlaxoSmithKline PLC (United Kingdom) | 29,032 | 602,728 | |
McKesson Corp. | 11,565 | 2,404,132 | |
Ono Pharmaceutical Co. Ltd. (Japan) | 4,300 | 90,222 | |
Takeda Pharmaceutical Co. Ltd. (Japan) | 12,300 | 345,210 | |
7,538,272 | |||
Real Estate – 0.3% | |||
Corp. Inmobiliaria Vesta S.A.B. de C.V. (Mexico) | 35,757 | 62,246 |
Number of Shares | Value | ||
Real Estate (Continued) | |||
Mitsubishi Estate Co. Ltd. (Japan) | 20,100 | $ 305,459 | |
Mitsui Fudosan Co. Ltd. (Japan) | 4,600 | 105,174 | |
Sumitomo Realty & Development Co. Ltd. (Japan) | 2,900 | 104,806 | |
577,685 | |||
Real Estate Investment Trusts – 0.1% | |||
Fibra Uno Administracion S.A. de C.V. (Mexico) | 114,675 | 114,073 | |
PLA Administradora Industrial S. de R.L. de C.V. (Mexico) | 42,496 | 59,447 | |
Prologis Property Mexico S.A. de C.V. (Mexico) | 28,578 | 66,031 | |
239,551 | |||
Retail – 1.7% | |||
Alibaba Health Information Technology Ltd. (China)* | 200,000 | 250,438 | |
Alsea S.A.B. de C.V. (Mexico)* | 47,470 | 100,298 | |
Dollar Tree, Inc.* | 17,903 | 1,929,227 | |
Fast Retailing Co. Ltd. (Japan) | 500 | 331,909 | |
Kingfisher PLC (United Kingdom) | 26,493 | 121,592 | |
La Comer S.A.B. de C.V. (Mexico) | 31,868 | 57,164 | |
USS Co. Ltd. (Japan) | 12,000 | 193,420 | |
Wal-Mart de Mexico S.A.B. de C.V. (Mexico) | 189,287 | 659,489 | |
3,643,537 | |||
Semiconductors – 0.1% | |||
Tokyo Electron Ltd. (Japan) | 600 | 279,620 | |
Software – 0.6% | |||
Fiserv, Inc.* | 7,812 | 769,404 | |
NetEase, Inc. (China) | 13,500 | 261,869 | |
Nexon Co. Ltd. (Japan) | 5,300 | 90,212 | |
Square Enix Holdings Co. Ltd. (Japan) | 1,800 | 98,604 | |
1,220,089 | |||
Telecommunications – 2.2% | |||
America Movil S.A.B. de C.V., Series L (Mexico) | 1,278,993 | 1,138,719 | |
BT Group PLC (United Kingdom)* | 46,264 | 87,894 | |
Cisco Systems, Inc. | 6,574 | 367,947 | |
KDDI Corp. (Japan) | 12,100 | 370,018 |
Number of Shares | Value | ||
Telecommunications (Continued) | |||
Megacable Holdings S.A.B. de C.V., Series CPO (Mexico) | 39,823 | $ 117,527 | |
Nippon Telegraph & Telephone Corp. (Japan) | 7,100 | 198,934 | |
SES S.A. (France) | 178,769 | 1,605,563 | |
Softbank Corp. (Japan) | 7,200 | 98,278 | |
SoftBank Group Corp. (Japan) | 8,800 | 476,409 | |
Vodafone Group PLC (United Kingdom) | 157,165 | 231,638 | |
4,692,927 | |||
Toys/Games/Hobbies – 0.2% | |||
Nintendo Co. Ltd. (Japan) | 900 | 397,491 | |
Transportation – 0.2% | |||
East Japan Railway Co. (Japan) | 6,600 | 411,091 | |
Poste Italiane S.p.A. (Italy)(c) | 4,614 | 65,896 | |
476,987 | |||
Water – 0.1% | |||
Severn Trent PLC (United Kingdom) | 3,664 | 137,225 | |
Total Common Stocks (Cost $87,147,528) | 94,105,212 |
Par (a) | |||
Corporate Bonds – 1.2% | |||
Aerospace/Defense – 0.3% | |||
Boeing (The) Co., | |||
5.71%, 5/01/40 | $ 70,000 | 89,877 | |
5.80%, 5/01/50 | 195,000 | 267,366 | |
3.95%, 8/01/59 | 115,000 | 121,706 | |
5.93%, 5/01/60 | 110,000 | 154,796 | |
633,745 | |||
Auto Manufacturers – 0.3% | |||
General Motors Co., | |||
6.80%, 10/01/27 | 85,000 | 104,777 | |
6.25%, 10/02/43 | 125,000 | 170,552 | |
General Motors Financial Co., Inc., (SOFR + 1.20%), 1.25%, 11/17/23(d) | 380,000 | 385,867 | |
661,196 |
Par (a) | Value | ||
Insurance – 0.3% | |||
Athene Global Funding, (SOFR + 0.70%), 0.75%, 5/24/24(c)(d) | $ 500,000 | $ 502,575 | |
Metropolitan Life Global Funding I, (SOFR + 0.57%), 0.62%, 1/13/23(c)(d) | 150,000 | 150,600 | |
653,175 | |||
Machinery - Construction & Mining – 0.2% | |||
Caterpillar Financial Services Corp., (SOFR + 0.15%), 0.20%, 11/17/22(d) | 385,000 | 384,931 | |
Oil & Gas – 0.1% | |||
Hess Corp., 5.80%, 4/01/47 | 55,000 | 73,446 | |
Occidental Petroleum Corp., 4.20%, 3/15/48 | 50,000 | 48,727 | |
122,173 | |||
Total Corporate Bonds (Cost $2,296,801) | 2,455,220 | ||
Foreign Issuer Bonds – 7.0% | |||
Australia – 0.9% | |||
Australia Government Bond, 5.75%, 7/15/22 | AUD | 900,000 | 703,899 |
Commonwealth Bank of Australia, (SOFR + 0.40%), 0.45%, 7/07/25(c)(d) | 540,000 | 540,934 | |
New South Wales Treasury Corp., 4.00%, 4/20/23 | AUD | 180,000 | 141,944 |
Queensland Treasury Corp., 4.25%, 7/21/23(c) | AUD | 365,000 | 290,301 |
Western Australian Treasury Corp., 6.00%, 10/16/23 | AUD | 380,000 | 313,999 |
1,991,077 | |||
Brazil – 0.4% | |||
Brazil Notas do Tesouro Nacional, Serie F, | |||
10.00%, 1/01/27 | BRL | 4,110,000 | 673,463 |
10.00%, 1/01/29 | BRL | 1,040,000 | 166,807 |
840,270 | |||
Canada – 0.8% | |||
Bank of Montreal, (SOFR + 0.68%), 0.73%, 3/10/23(d) | 530,000 | 533,559 |
Par (a) | Value | ||
Canada (Continued) | |||
Bank of Nova Scotia (The), (SOFR + 0.55%), 0.60%, 9/15/23(d) | $ 610,000 | $ 612,418 | |
Canadian Imperial Bank of Commerce, (SOFR + 0.80%), 0.85%, 3/17/23(d) | 440,000 | 443,100 | |
1,589,077 | |||
Colombia – 0.5% | |||
Colombian TES, | |||
6.25%, 11/26/25 | COP | 1,750,000,000 | 454,758 |
6.00%, 4/28/28 | COP | 2,870,000,000 | 699,898 |
1,154,656 | |||
Germany – 0.3% | |||
Bundesrepublik Deutschland Bundesanleihe, 0.00%, 8/15/50(f) | EUR | 540,000 | 602,745 |
Malaysia – 0.6% | |||
Malaysia Government Bond, | |||
3.88%, 3/10/22 | MYR | 3,620,000 | 880,575 |
3.90%, 11/16/27 | MYR | 1,220,000 | 303,426 |
1,184,001 | |||
Mexico – 1.5% | |||
Mexican Bonos, | |||
8.50%, 5/31/29 | MXN | 15,300,000 | 788,185 |
8.50%, 11/18/38 | MXN | 16,400,000 | 842,042 |
7.75%, 11/13/42 | MXN | 20,400,000 | 974,201 |
8.00%, 11/07/47 | MXN | 6,600,000 | 322,626 |
Petroleos Mexicanos, 7.69%, 1/23/50 | 345,000 | 329,475 | |
3,256,529 | |||
Poland – 0.1% | |||
Republic of Poland Government Bond, 4.00%, 10/25/23 | PLN | 1,020,000 | 265,833 |
Russia – 0.1% | |||
Russian Federal Bond - OFZ, 7.65%, 4/10/30 | RUB | 10,000,000 | 137,778 |
South Africa – 0.7% | |||
Republic of South Africa Government Bond, | |||
6.50%, 2/28/41 | ZAR | 14,600,000 | 622,112 |
8.75%, 2/28/48 | ZAR | 17,400,000 | 935,250 |
1,557,362 |
Par (a) | Value | ||
South Korea – 1.1% | |||
Korea Treasury Bond, | |||
2.00%, 6/10/31 | KRW | $2,150,000,000 | $ 1,750,733 |
1.87%, 3/10/51 | KRW | 860,000,000 | 642,948 |
2,393,681 | |||
Total Foreign Issuer Bonds (Cost $15,578,003) | 14,973,009 | ||
U.S. Government Obligations – 6.7% | |||
U.S. Treasury Floating Rate Notes – 6.7% | |||
(3M US Treasury MMY + 0.11%), 0.16%, 4/30/22(d) | 470,000 | 470,247 | |
(3M US Treasury MMY + 0.06%), 0.11%, 7/31/22(d) | 570,000 | 570,185 | |
(3M US Treasury MMY + 0.06%), 0.11%, 10/31/22(d) | 3,167,000 | 3,168,505 | |
(3M US Treasury MMY + 0.05%), 0.11%, 1/31/23(d) | 7,320,000 | 7,322,259 | |
(3M US Treasury MMY + 0.03%), 0.08%, 4/30/23(d) | 290,000 | 290,018 | |
(3M US Treasury MMY + 0.03%), 0.08%, 7/31/23(d) | 2,510,000 | 2,509,955 | |
14,331,169 | |||
Total U.S. Government Obligations (Cost $14,328,557) | 14,331,169 |
Number of Shares | |||
Investment Companies – 35.7% | |||
Invesco KBW Bank ETF | 63,242 | 4,516,744 | |
iShares Core DAX UCITS ETF DE (Germany)* | EUR | 42,173 | 6,484,989 |
iShares MSCI China ETF | 45,991 | 3,184,417 | |
iShares STOXX Europe 600 Telecommunications UCITS ETF DE (Germany) | EUR | 179,709 | 4,223,428 |
Schwab Fundamental Emerging Markets Large Company Index ETF | 333,128 | 10,773,360 | |
Schwab U.S. TIPS ETF | 99,042 | 6,237,665 | |
Vanguard Consumer Staples ETF | 35,673 | 6,623,763 | |
Vanguard Long-Term Treasury ETF | 152,828 | 13,636,842 | |
Vanguard Small-Cap ETF | 20,405 | 4,682,743 |
Number of Shares | Value | ||
Vanguard Total Stock Market ETF | 68,331 | $16,188,297 | |
Total Investment Companies (Cost $64,092,139) | 76,552,248 |
Number of Shares | |||
Short-Term Investments – 5.6% | |||
Money Market Fund – 5.6% | |||
Northern Institutional Funds - Treasury Portfolio (Premier), 0.01%(g) | 11,933,046 | 11,933,046 | |
Total Short-Term Investments (Cost $11,933,046) | 11,933,046 | ||
Total Investments – 100.1% (Cost $195,454,958) | 214,429,238 | ||
Liabilities less Other Assets – (0.1)%(h) | (132,974) | ||
NET ASSETS – 100.0% | $214,296,264 |
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) | Amount rounds to less than 0.05%. | ||
(c) | 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. | ||
(d) | Variable rate security. Rate as of October 31, 2021 is disclosed. | ||
(e) | Security sold outside United States without registration under the Securities Act of 1933. | ||
(f) | Zero coupon bond. | ||
(g) | 7-day current yield as of October 31, 2021 is disclosed. | ||
(h) | Includes appreciation/ (depreciation) on forward foreign currency exchange contracts and futures contracts. | ||
* | Non-income producing security |
Abbreviations: | |
1M | 1 Month |
3M | 3 Month |
ADR | American Depositary Receipt |
AUD | Australian Dollar |
BRL | Brazilian Real |
COP | Colombian Peso |
CPO | Certificate of Ordinary Participation |
CVA | Credit Valuation Adjustment |
DAX | Deutscher Aktienindex |
ETF | Exchange-Traded Fund |
EUR | Euro |
GDR | Global Depositary Receipt |
KRW | South Korean Won |
LIBOR | London Interbank Offered Rate |
MMY | Money Market Yield |
MSCI | Morgan Stanley Capital International |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
PJSC | Public Joint Stock Company |
PLC | Public Limited Company |
PLN | Polish Zloty |
RUB | Russian Ruble |
SOFR | United States Secured Overnight Financing Rate |
STACR | Structured Agency Credit Risk |
TIPS | Treasury Inflation Protected Securities |
UCITS | Undertakings for Collective Investment in Transferable Securities |
USD | United States Dollar |
ZAR | South African Rand |
Concentration by Currency (%)(a) | |
U.S. Dollar | 52.2 |
Euro | 11.4 |
Japanese Yen | 10.1 |
British Pound | 9.0 |
All other currencies less than 5% | 17.3 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
Country Diversification (%)(a) | |
United States | 49.9 |
Japan | 10.1 |
United Kingdom | 7.3 |
Germany | 6.5 |
All other countries less than 5% | 26.2 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
Futures Contracts outstanding at October 31, 2021: Exchange Traded | |||||
Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts | |||||
Euro-OAT | 10 | 12/08/2021 | EUR | 1,895,840 | $(12,665) |
Ultra U.S. Treasury Bond | 5 | 12/21/2021 | USD | 982,031 | 874 |
Long GILT | 13 | 12/29/2021 | GBP | 2,222,471 | 7,733 |
Total Long Contracts | $ (4,058) |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2021: | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
11/02/21 | U.S. Dollars | 1,582 | Norwegian Kroner | 14,000 | Citibank | $ 75,181 |
11/17/21 | South African Rand | 29,900 | U.S. Dollars | 2,014 | HSBC | 61,531 |
12/15/21 | U.S. Dollars | 647 | Russian Rubles | 49,000 | Citibank | 37,331 |
11/15/21 | U.S. Dollars | 490 | Russian Rubles | 37,000 | Citibank | 30,472 |
11/01/21 | South Korean Won | 2,740,000 | U.S. Dollars | 2,374 | Citibank | 30,082 |
12/08/21 | U.S. Dollars | 922 | Australian Dollars | 1,250 | JPMorgan Chase | 17,975 |
11/01/21 | U.S. Dollars | 918 | South Korean Won | 1,080,000 | Citibank | 5,995 |
11/23/21 | British Pounds | 1,200 | U.S. Dollars | 1,646 | Citibank | 4,476 |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2021: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
02/11/22 | South Korean Won | 660,000 | U.S. Dollars | 565 | Citibank | $ 4,336 |
12/09/21 | U.S. Dollars | 187 | Thai Baht | 6,300 | HSBC | 2,346 |
11/22/21 | Mexican Pesos | 2,800 | U.S. Dollars | 138 | Citibank | 2,119 |
11/17/21 | South African Rand | 2,400 | U.S. Dollars | 159 | Goldman Sachs | 1,861 |
11/22/21 | Mexican Pesos | 2,400 | U.S. Dollars | 118 | Goldman Sachs | 1,554 |
01/12/22 | U.S. Dollars | 192 | Malaysian Ringgit | 800 | Barclays | 622 |
11/19/21 | U.S. Dollars | 64 | Hungarian Forints | 20,000 | Goldman Sachs | 290 |
Total Unrealized Appreciation | $ 276,171 | |||||
01/12/22 | U.S. Dollars | 96 | Malaysian Ringgit | 400 | Barclays | $ (65) |
12/07/21 | U.S. Dollars | 123 | Japanese Yen | 14,000 | Morgan Stanley | (198) |
12/13/21 | Swiss Francs | 120 | U.S. Dollars | 131 | JPMorgan Chase | (250) |
11/08/21 | U.S. Dollars | 109 | Thai Baht | 3,600 | HSBC | (311) |
01/26/22 | U.S. Dollars | 70 | Euro | 60 | HSBC | (749) |
11/22/21 | Mexican Pesos | 13,100 | U.S. Dollars | 633 | HSBC | (1,043) |
12/15/21 | U.S. Dollars | 99 | Russian Rubles | 7,000 | Citibank | (1,221) |
01/31/22 | Colombian Pesos | 4,350,000 | U.S. Dollars | 1,146 | JPMorgan Chase | (2,054) |
11/01/21 | U.S. Dollars | 1,423 | South Korean Won | 1,660,000 | Citibank | (2,956) |
12/13/21 | Swiss Francs | 1,470 | U.S. Dollars | 1,603 | Goldman Sachs | (4,543) |
01/13/22 | U.S. Dollars | 804 | Polish Zloty | 3,190 | Citibank | (6,142) |
01/27/22 | U.S. Dollars | 870 | Polish Zloty | 3,450 | Citibank | (6,578) |
11/10/21 | U.S. Dollars | 456 | Hungarian Forints | 140,000 | HSBC | (6,743) |
01/26/22 | U.S. Dollars | 1,108 | Euro | 950 | Citibank | (6,855) |
11/17/21 | U.S. Dollars | 563 | South African Rand | 8,500 | HSBC | (7,390) |
11/10/21 | U.S. Dollars | 156 | Chilean Pesos | 120,000 | HSBC | (9,075) |
11/15/21 | Russian Rubles | 21,000 | U.S. Dollars | 286 | Citibank | (9,350) |
01/20/22 | U.S. Dollars | 1,276 | Polish Zloty | 5,050 | JPMorgan Chase | (12,429) |
01/20/22 | U.S. Dollars | 485 | Brazilian Reals | 2,710 | HSBC | (12,805) |
01/21/22 | U.S. Dollars | 1,110 | Chilean Pesos | 900,000 | HSBC | (14,347) |
11/23/21 | U.S. Dollars | 1,660 | British Pounds | 1,200 | Citibank | (17,519) |
12/07/21 | U.S. Dollars | 496 | Chilean Pesos | 390,000 | HSBC | (18,617) |
11/19/21 | U.S. Dollars | 700 | Hungarian Forints | 210,000 | HSBC | (25,665) |
11/02/21 | Norwegian Kroner | 14,000 | U.S. Dollars | 1,612 | Citibank | (45,972) |
12/17/21 | U.S. Dollars | 1,258 | Chilean Pesos | 990,000 | HSBC | (48,076) |
12/08/21 | Australian Dollars | 1,800 | U.S. Dollars | 1,303 | JPMorgan Chase | (51,199) |
12/07/21 | U.S. Dollars | 1,552 | Japanese Yen | 170,000 | Citibank | (60,384) |
Total Unrealized Depreciation | $(372,536) | |||||
Net Unrealized Depreciation | $ (96,365) |
Morningstar Unconstrained Allocation Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Asset-Backed Securities | $ — | $ 79,334 | $— | $ 79,334 |
Common Stocks | 32,097,820 | 62,007,392 | — | 94,105,212 |
Corporate Bonds | — | 2,455,220 | — | 2,455,220 |
Foreign Issuer Bonds | — | 14,973,009 | — | 14,973,009 |
U.S. Government Obligations | — | 14,331,169 | — | 14,331,169 |
Investment Companies | 76,552,248 | — | — | 76,552,248 |
Short-Term Investments | 11,933,046 | — | — | 11,933,046 |
Total Investments | $120,583,114 | $93,846,124 | $— | $214,429,238 |
Morningstar Unconstrained Allocation Fund | Level 1 | Level 2 | Level 3 | Totals |
Derivative Financial Instruments | ||||
Assets: | ||||
Futures Contracts | $ 8,607 | $ — | $— | $ 8,607 |
Forward Foreign Currency Exchange Contracts | — | 276,171 | — | 276,171 |
Total Assets - Derivative Financial Instruments | $ 8,607 | $ 276,171 | $— | $ 284,778 |
Liabilities: | ||||
Futures Contracts | $(12,665) | $ — | $— | $ (12,665) |
Forward Foreign Currency Exchange Contracts | — | (372,536) | — | (372,536) |
Total Liabilities - Derivative Financial Instruments | $(12,665) | $(372,536) | $— | $(385,201) |
Net Derivative Financial Instruments | $ (4,058) | $ (96,365) | $— | $(100,423) |
Par (a) | Value | ||
Long Positions – 107.3% | |||
Asset-Backed Securities – 9.1% | |||
Automobile – 1.2% | |||
ACC Auto Trust, Series 2021-A, Class A, 1.08%, 4/15/27(b) | $734,754 | $ 733,980 | |
Carvana Auto Receivables Trust, Series 2021-N2, Class B, 0.75%, 3/10/28 | 167,000 | 166,226 | |
Drive Auto Receivables Trust, | |||
Series 2017-3, Class D, 3.53%, 12/15/23(b) | 57,113 | 57,340 | |
Series 2019-1, Class D, 4.09%, 6/15/26 | 700,000 | 718,681 | |
Series 2020-2, Class A3, 0.83%, 5/15/24 | 105,066 | 105,122 | |
JPMorgan Chase Bank NA - CACLN, | |||
Series 2021-2, Class B, 0.89%, 12/26/28(b) | 360,920 | 359,911 | |
Series 2021-3, Class B, 0.76%, 2/26/29(b) | 696,388 | 694,726 | |
Santander Drive Auto Receivables Trust, | |||
Series 2019-1, Class D, 3.65%, 4/15/25 | 700,000 | 713,190 | |
Series 2020-2, Class B, 0.96%, 11/15/24 | 110,000 | 110,177 | |
Westlake Automobile Receivables Trust, | |||
Series 2019-1A, Class C, 3.45%, 3/15/24(b) | 149,345 | 149,793 | |
Series 2020-2A, Class B, 1.32%, 7/15/25(b) | 260,000 | 261,578 | |
4,070,724 | |||
Commercial Mortgage-Backed Securities – 0.0%(c) | |||
Multifamily Connecticut Avenue Securities Trust, , (1M USD LIBOR + 3.25%, 3.25% Floor), 3.34%, 10/15/49(b)(d) | 100,000 | 100,908 | |
Other – 0.8% | |||
Avant Loans Funding Trust, Series 2021-REV1, Class A, 1.21%, 7/15/30(b) | 270,000 | 268,685 | |
Conn's Receivables Funding LLC, Series 2020-A, Class A, 1.71%, 6/16/25(b) | 51,678 | 51,772 | |
Upstart Securitization Trust, | |||
0.84%, 9/20/31(b) | 700,000 | 697,391 |
Par (a) | Value | ||
Other (Continued) | |||
Upstart Securitization Trust, | |||
Series 2019-3, Class A, 2.68%, 1/21/30(b) | $ 17,927 | $ 17,948 | |
Series 2020-1, Class A, 2.32%, 4/22/30(b) | 56,994 | 57,233 | |
Series 2021-1, Class A, 0.87%, 3/20/31(b) | 119,939 | 120,075 | |
Series 2021-2, Class A, 0.91%, 6/20/31(b) | 598,477 | 598,392 | |
Series 2021-3, Class A, 0.83%, 7/20/31(b) | 764,184 | 763,081 | |
2,574,577 | |||
Whole Loan – 7.1% | |||
Connecticut Avenue Securities Trust, | |||
(30D Average SOFR + 3.10%), 3.15%, 10/25/41(b)(d) | 150,000 | 150,703 | |
Series 2018-R07, Class 1M2, (1M USD LIBOR + 2.40%), 2.49%, 4/25/31(b)(d) | 460,755 | 463,080 | |
Series 2018-R07, Class 1M2C, (1M USD LIBOR + 2.40%), 2.49%, 4/25/31(b)(d) | 532,000 | 533,603 | |
Series 2019-R01, Class 2M2, (1M USD LIBOR + 2.45%), 2.54%, 7/25/31(b)(d) | 57,821 | 58,146 | |
Series 2019-R01, Class 2M2C, (1M USD LIBOR + 2.45%), 2.54%, 7/25/31(b)(d) | 702,631 | 704,770 | |
Series 2019-R02, Class 1M2, (1M USD LIBOR + 2.30%, 2.30% Floor), 2.39%, 8/25/31(b)(d) | 194,696 | 195,738 | |
Series 2019-R04, Class 2M2, (1M USD LIBOR + 2.10%), 2.19%, 6/25/39(b)(d) | 229,237 | 229,680 | |
Series 2019-R05, Class 1M2, (1M USD LIBOR + 2.00%), 2.09%, 7/25/39(b)(d) | 82,069 | 82,228 | |
Series 2019-R06, Class 2M2, (1M USD LIBOR + 2.10%), 2.19%, 9/25/39(b)(d) | 344,399 | 345,160 | |
Series 2019-R07, Class 1M2, (1M USD LIBOR + 2.10%), 2.19%, 10/25/39(b)(d) | 228,415 | 229,082 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
Connecticut Avenue Securities Trust, | |||
Series 2020-R01, Class 1M2, (1M USD LIBOR + 2.05%, 2.05% Floor), 2.14%, 1/25/40(b)(d) | $1,039,693 | $1,045,559 | |
Series 2020-R02, Class 2M2, (1M USD LIBOR + 2.00%), 2.09%, 1/25/40(b)(d) | 221,621 | 222,346 | |
Series 2020-SBT1, Class 1M2, (1M USD LIBOR + 3.65%), 3.74%, 2/25/40(b)(d) | 101,533 | 105,742 | |
FHLMC Structured Agency Credit Risk Debt Notes, | |||
Series 2017-DNA1, Class B1, (1M USD LIBOR + 4.95%, 4.95% Floor), 5.04%, 7/25/29(d) | 500,000 | 540,094 | |
Series 2017-DNA3, Class B1, (1M USD LIBOR + 4.45%), 4.54%, 3/25/30(d) | 300,000 | 318,861 | |
Series 2018-DNA1, Class B1, (1M USD LIBOR + 3.15%), 3.24%, 7/25/30(d) | 550,000 | 558,241 | |
Series 2020-HQA5, Class M1, (30D Average SOFR + 1.10%), 1.15%, 11/25/50(b)(d) | 7,063 | 7,063 | |
FNMA Connecticut Avenue Securities, | |||
Series 2017-C01, Class 1B1, (1M USD LIBOR + 5.75%), 5.84%, 7/25/29(d) | 245,000 | 270,314 | |
Series 2017-C02, Class 2B1, (1M USD LIBOR + 5.50%), 5.59%, 9/25/29(d) | 473,000 | 520,483 | |
Series 2017-C02, Class 2M2, (1M USD LIBOR + 3.65%), 3.74%, 9/25/29(d) | 160,794 | 166,433 | |
Series 2017-C03, Class 1B1, (1M USD LIBOR + 4.85%), 4.94%, 10/25/29(d) | 430,000 | 464,466 | |
Series 2017-C04, Class 2B1, (1M USD LIBOR + 5.05%), 5.14%, 11/25/29(d) | 450,000 | 490,049 | |
Series 2017-C05, Class 1B1, (1M USD LIBOR + 3.60%, 3.60% Floor), 3.69%, 1/25/30(d) | 667,125 | 697,523 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
FNMA Connecticut Avenue Securities, | |||
Series 2017-C05, Class 1M2, (1M USD LIBOR + 2.20%, 2.20% Floor), 2.29%, 1/25/30(d) | $ 211,522 | $ 215,289 | |
Series 2017-C06, Class 1M2, (1M USD LIBOR + 2.65%, 2.65% Floor), 2.74%, 2/25/30(d) | 793,268 | 807,882 | |
Series 2017-C07, Class 1B1, (1M USD LIBOR + 4.00%, 4.00% Floor), 4.09%, 5/25/30(d) | 250,000 | 261,303 | |
Series 2017-C07, Class 1M2, (1M USD LIBOR + 2.40%, 2.40% Floor), 2.49%, 5/25/30(d) | 478,808 | 485,304 | |
Series 2017-C07, Class 2B1, (1M USD LIBOR + 4.45%, 4.45% Floor), 4.54%, 5/25/30(d) | 217,000 | 226,732 | |
Series 2018-C01, Class 1B1, (1M USD LIBOR + 3.55%, 3.55% Floor), 3.64%, 7/25/30(d) | 637,000 | 657,029 | |
Series 2018-C01, Class 1M2, (1M USD LIBOR + 2.25%, 2.25% Floor), 2.34%, 7/25/30(d) | 1,061,988 | 1,075,846 | |
Series 2018-C02, Class 2B1, (1M USD LIBOR + 4.00%, 4.00% Floor), 4.09%, 8/25/30(d) | 425,000 | 440,388 | |
Series 2018-C03, Class 1B1, (1M USD LIBOR + 3.75%, 3.75% Floor), 3.84%, 10/25/30(d) | 550,000 | 573,537 | |
Series 2018-C04, Class 2M2, (1M USD LIBOR + 2.55%, 2.55% Floor), 2.64%, 12/25/30(d) | 1,073,166 | 1,090,648 | |
Series 2018-C05, Class 1B1, (1M USD LIBOR + 4.25%, 4.25% Floor), 4.34%, 1/25/31(d) | 340,000 | 357,656 | |
Series 2018-C05, Class 1M2, (1M USD LIBOR + 2.35%, 2.35% Floor), 2.44%, 1/25/31(d) | 460,249 | 465,864 | |
Series 2018-C06, Class 1M2, (1M USD LIBOR + 2.00%, 2.00% Floor), 2.09%, 3/25/31(d) | 1,146,059 | 1,155,012 | |
Series 2018-C06, Class 2M2, (1M USD LIBOR + 2.10%, 2.10% Floor), 2.19%, 3/25/31(d) | 336,658 | 339,458 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
Freddie Mac STACR, Series 2019-HQA3, Class M2, (1M USD LIBOR + 1.85%), 1.94%, 9/25/49(b)(d) | $354,613 | $356,110 | |
Freddie Mac STACR REMIC Trust, | |||
Series 2019-HQA4, Class M2, (1M USD LIBOR + 2.05%), 2.14%, 11/25/49(b)(d) | 300,296 | 300,955 | |
Series 2020-DNA1, Class M2, (1M USD LIBOR + 1.70%), 1.79%, 1/25/50(b)(d) | 963,283 | 965,707 | |
Series 2020-DNA2, Class M2, (1M USD LIBOR + 1.85%, 1.85% Floor), 1.94%, 2/25/50(b)(d) | 691,591 | 696,835 | |
Series 2020-DNA4, Class M2, (1M USD LIBOR + 3.75%), 3.84%, 8/25/50(b)(d) | 521,077 | 524,333 | |
Series 2020-DNA6, Class M1, (30D Average SOFR + 0.90%), 0.95%, 12/25/50(b)(d) | 98,632 | 98,693 | |
Series 2020-HQA1, Class M2, (1M USD LIBOR + 1.90%), 1.99%, 1/25/50(b)(d) | 107,707 | 107,997 | |
Series 2020-HQA2, Class M2, (1M USD LIBOR + 3.10%), 3.19%, 3/25/50(b)(d) | 828,186 | 837,020 | |
Series 2020-HQA4, Class M2, (1M USD LIBOR + 3.15%), 3.24%, 9/25/50(b)(d) | 464,167 | 466,516 | |
Series 2021-DNA1, Class M1, (30D Average SOFR + 0.65%), 0.70%, 1/25/51(b)(d) | 168,415 | 168,415 | |
Series 2021-DNA3, Class M2, (30D Average SOFR + 2.10%), 2.15%, 10/25/33(b)(d) | 30,000 | 30,623 | |
Series 2021-DNA5, Class M2, (30D Average SOFR + 1.65%), 1.70%, 1/25/34(b)(d) | 210,000 | 211,181 | |
Series 2021-HQA1, Class M1, (30D Average SOFR + 0.70%), 0.75%, 8/25/33(b)(d) | 249,104 | 249,104 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
Freddie Mac STACR Trust, | |||
Series 2018-HQA2, Class M2, (1M USD LIBOR + 2.30%), 2.39%, 10/25/48(b)(d) | $700,000 | $ 709,143 | |
Series 2019-DNA1, Class M2, (1M USD LIBOR + 2.65%), 2.74%, 1/25/49(b)(d) | 740,390 | 749,191 | |
Series 2019-DNA4, Class M2, (1M USD LIBOR + 1.95%), 2.04%, 10/25/49(b)(d) | 395,312 | 396,460 | |
Series 2019-HQA1, Class M2, (1M USD LIBOR + 2.35%), 2.44%, 2/25/49(b)(d) | 542,940 | 547,034 | |
23,966,629 | |||
Total Asset-Backed Securities (Cost $30,358,078) | 30,712,838 |
Number of Shares | |||
Common Stocks – 25.4% | |||
Aerospace/Defense – 1.1% | |||
Aerojet Rocketdyne Holdings, Inc.(e) | 51,515 | 2,267,175 | |
General Dynamics Corp | 266 | 53,932 | |
L3Harris Technologies, Inc. | 447 | 103,051 | |
Lockheed Martin Corp. | 661 | 219,664 | |
Meggitt PLC (United Kingdom)* | 69,276 | 711,243 | |
Northrop Grumman Corp. | 637 | 227,549 | |
3,582,614 | |||
Auto Parts & Equipment – 0.3% | |||
Akasol A.G. (Germany) | 0 | 0 | |
Veoneer, Inc. (Sweden)* | 27,530 | 969,056 | |
969,056 | |||
Banks – 0.2% | |||
Sbanken ASA (Norway)(b) | 55,978 | 656,000 | |
Beverages – 0.1% | |||
PepsiCo, Inc. | 1,448 | 233,997 | |
Biotechnology – 0.5% | |||
Amgen, Inc. | 1,074 | 222,286 | |
Gilead Sciences, Inc. | 3,352 | 217,478 | |
Swedish Orphan Biovitrum AB (Sweden)* | 28,891 | 785,122 | |
Trillium Therapeutics, Inc. (Canada)* | 26,745 | 484,352 | |
1,709,238 |
Number of Shares | Value | ||
Building Materials – 0.3% | |||
Forterra, Inc.* | 37,964 | $ 904,302 | |
Chemicals – 0.4% | |||
Air Products and Chemicals, Inc. | 893 | 267,730 | |
Kraton Corp.* | 14,921 | 681,144 | |
Recticel SA (Belgium) | 26,218 | 484,206 | |
RPM International, Inc. | 796 | 69,411 | |
1,502,491 | |||
Commercial Services – 2.7% | |||
Afterpay Ltd. ADR (Australia)(e)* | 4,938 | 457,506 | |
Automatic Data Processing, Inc. | 1,138 | 255,470 | |
Bakkt Holdings, Inc.* | 8,973 | 381,532 | |
Booz Allen Hamilton Holding Corp. | 762 | 66,187 | |
GreenSky, Inc., Class A(e)* | 91,456 | 1,119,421 | |
H&R Block, Inc. | 170 | 3,922 | |
IHS Markit Ltd.(e) | 50,729 | 6,631,295 | |
Moneylion, Inc.* | 25,132 | 148,027 | |
9,063,360 | |||
Computers – 0.3% | |||
Amdocs Ltd. | 2,700 | 210,168 | |
Avast PLC(b) | 35,628 | 272,854 | |
Equiniti Group PLC (United Kingdom)(b)* | 174,832 | 426,851 | |
International Business Machines Corp. | 1,605 | 200,785 | |
1,110,658 | |||
Cosmetics/Personal Care – 0.1% | |||
Colgate-Palmolive Co. | 2,477 | 188,723 | |
Procter & Gamble (The) Co. | 1,647 | 235,504 | |
424,227 | |||
Diversified Financial Services – 0.3% | |||
Houlihan Lokey, Inc. | 203 | 22,752 | |
Sanne Group PLC (Jersey, C.I.) | 57,912 | 716,470 | |
Virtu Financial, Inc. Class A | 3,521 | 87,602 | |
Western Union (The) Co. | 10,642 | 193,897 | |
1,020,721 | |||
Electric – 0.7% | |||
Alliant Energy Corp. | 3,667 | 207,442 | |
Ameren Corp. | 2,569 | 216,541 | |
American Electric Power Co., Inc. | 2,516 | 213,130 | |
Avangrid, Inc. | 2,910 | 153,357 | |
CMS Energy Corp. | 2,310 | 139,409 | |
Consolidated Edison, Inc. | 3,150 | 237,510 |
Number of Shares | Value | ||
Electric (Continued) | |||
Dominion Energy, Inc. | 1,966 | $ 149,278 | |
Duke Energy Corp. | 2,334 | 238,091 | |
Evergy, Inc. | 3,419 | 217,961 | |
Eversource Energy | 1,089 | 92,456 | |
IDACORP, Inc. | 130 | 13,562 | |
Public Service Enterprise Group, Inc. | 9 | 574 | |
Southern (The) Co. | 2,342 | 145,954 | |
WEC Energy Group, Inc. | 2,623 | 236,228 | |
Xcel Energy, Inc. | 1,851 | 119,556 | |
2,381,049 | |||
Electronics – 0.9% | |||
Coherent, Inc.* | 11,687 | 2,973,173 | |
Engineering & Construction – 0.2% | |||
Sydney Airport (Australia)* | 97,818 | 606,613 | |
Entertainment – 0.0%(c) | |||
Penn National Gaming, Inc.* | 1,956 | 140,019 | |
Food – 0.8% | |||
Campbell Soup Co. | 2,946 | 117,693 | |
Conagra Brands, Inc. | 763 | 24,569 | |
Flowers Foods, Inc. | 9,653 | 238,912 | |
General Mills, Inc. | 3,845 | 237,621 | |
Hershey (The) Co. | 57 | 9,995 | |
Hormel Foods Corp. | 5,621 | 237,881 | |
JM Smucker (The) Co. | 339 | 41,649 | |
Kellogg Co. | 3,598 | 220,557 | |
Kroger (The) Co. | 2,094 | 83,802 | |
Sanderson Farms, Inc.(e) | 8,649 | 1,638,553 | |
Stryve Foods, Inc., Class A* | 8,817 | 44,702 | |
2,895,934 | |||
Forest Products & Paper – 0.0%(c) | |||
International Paper Co. | 213 | 10,580 | |
Healthcare - Products – 0.9% | |||
Hill-Rom Holdings, Inc.(e) | 19,061 | 2,952,549 | |
Patterson Cos., Inc. | 501 | 15,661 | |
2,968,210 | |||
Healthcare - Services – 1.3% | |||
PPD, Inc.(e)* | 90,326 | 4,260,678 | |
Spire Healthcare Group PLC (United Kingdom)(b)* | 47,943 | 154,189 | |
UpHealth, Inc.* | 2,540 | 4,521 | |
4,419,388 |
Number of Shares | Value | ||
Household Products/Wares – 0.1% | |||
Clorox (The) Co. | 1,397 | $ 227,725 | |
Kimberly-Clark Corp. | 1,739 | 225,183 | |
452,908 | |||
Insurance – 1.8% | |||
Allstate (The) Corp. | 123 | 15,211 | |
CNP Assurances (France) | 39,352 | 985,333 | |
TOWER Ltd. (New Zealand) | 192,415 | 87,557 | |
Willis Towers Watson PLC(e) | 21,016 | 5,091,757 | |
6,179,858 | |||
Internet – 0.1% | |||
NortonLifeLock, Inc. | 8,350 | 212,508 | |
Machinery - Diversified – 1.0% | |||
Neles OYJ (Finland) | 19,733 | 295,701 | |
Welbilt, Inc.(e)* | 124,229 | 2,939,258 | |
3,234,959 | |||
Media – 0.1% | |||
Comcast Corp., Class A | 4,017 | 206,594 | |
Euskaltel S.A. (Spain) | 0 | 0 | |
206,594 | |||
Mining – 0.1% | |||
Newmont Corp. | 4,291 | 231,714 | |
Miscellaneous Manufacturing – 0.1% | |||
3M Co. | 1,301 | 232,463 | |
Illinois Tool Works, Inc. | 1,111 | 253,163 | |
485,626 | |||
Packaging & Containers – 0.1% | |||
Amcor PLC | 19,660 | 237,296 | |
Packaging Corp. of America | 583 | 80,087 | |
317,383 | |||
Pharmaceuticals – 0.3% | |||
Cardinal Health, Inc. | 3,010 | 143,908 | |
CVS Health Corp. | 2,734 | 244,092 | |
Johnson & Johnson | 1,432 | 233,244 | |
Merck & Co., Inc. | 2,889 | 254,376 | |
Pfizer, Inc. | 5,354 | 234,184 | |
Premier, Inc., Class A | 2,277 | 88,689 | |
1,198,493 | |||
Real Estate Investment Trusts – 1.5% | |||
Columbia Property Trust, Inc.(e) | 71,225 | 1,365,383 | |
Cominar Real Estate Investment Trust (Canada) | 57,617 | 537,715 | |
Corporate Office Properties Trust | 333 | 9,031 |
Number of Shares | Value | ||
Real Estate Investment Trusts (Continued) | |||
GCP Student Living PLC (United Kingdom) | 95,823 | $ 275,900 | |
Healthcare Realty Trust, Inc. | 1,659 | 54,847 | |
Lexington Realty Trust | 1,074 | 15,648 | |
MGM Growth Properties LLC, Class A(e) | 22,842 | 899,518 | |
Monmouth Real Estate Investment Corp.(e) | 94,034 | 1,772,541 | |
National Retail Properties, Inc. | 451 | 20,457 | |
4,951,040 | |||
Retail – 0.2% | |||
Advance Auto Parts, Inc. | 728 | 164,179 | |
Genuine Parts Co. | 826 | 108,297 | |
Home Depot (The), Inc. | 697 | 259,103 | |
MSC Industrial Direct Co., Inc., Class A | 122 | 10,256 | |
541,835 | |||
Semiconductors – 2.4% | |||
DSP Group, Inc.(e)* | 49,292 | 1,082,945 | |
Magnachip Semiconductor Corp. (South Korea)(e)* | 51,892 | 983,873 | |
Texas Instruments, Inc. | 169 | 31,684 | |
Xilinx, Inc.(e) | 33,604 | 6,048,720 | |
8,147,222 | |||
Software – 4.2% | |||
Blue Prism Group PLC (United Kingdom)* | 14,941 | 230,852 | |
Change Healthcare, Inc.(e)* | 176,433 | 3,798,603 | |
Five9, Inc.(e)* | 23,149 | 3,657,773 | |
Inovalon Holdings, Inc., Class A(e)* | 26,807 | 1,093,458 | |
Kaleyra, Inc. (Italy)* | 6,764 | 77,177 | |
Momentive Global, Inc.* | 23,916 | 548,155 | |
Nuance Communications, Inc.(e)* | 88,761 | 4,886,293 | |
14,292,311 | |||
Telecommunications – 0.2% | |||
Cisco Systems, Inc. | 4,168 | 233,283 | |
Juniper Networks, Inc. | 2,503 | 73,888 | |
Verizon Communications, Inc. | 4,233 | 224,307 | |
531,478 | |||
Transportation – 1.8% | |||
C.H. Robinson Worldwide, Inc. | 1,044 | 101,257 | |
Echo Global Logistics, Inc.(e)* | 24,528 | 1,182,985 |
Number of Shares | Value | ||
Transportation (Continued) | |||
Kansas City Southern(e) | 12,131 | $ 3,763,643 | |
Norfolk Southern Corp. | 532 | 155,903 | |
Teekay LNG Partners L.P.(e) | 27,743 | 474,128 | |
Union Pacific Corp. | 1,139 | 274,955 | |
United Parcel Service, Inc., Class B | 1,266 | 270,253 | |
6,223,124 | |||
Water – 0.3% | |||
Suez S.A. (France) | 47,897 | 1,089,937 | |
Total Common Stocks (Cost $82,224,083) | 85,868,620 |
Par | |||
Convertible Bonds – 24.0% | |||
Aerospace/Defense – 0.2% | |||
Kaman Corp., 3.25%, 5/01/24(e) | $ 605,000 | 611,837 | |
Airlines – 0.1% | |||
Spirit Airlines, Inc., 1.00%, 5/15/26(e) | 535,000 | 481,179 | |
Auto Manufacturers – 0.3% | |||
Ford Motor Co., 0.00%, 3/15/26(e) | 0 | 0 | |
Lightning eMotors, Inc., 7.50%, 5/15/24(b) | 121,000 | 101,104 | |
NIO, Inc., 0.00%, 2/01/26(b)(e)(f) | 895,000 | 792,780 | |
893,884 | |||
Auto Parts & Equipment – 0.2% | |||
Meritor, Inc., 3.25%, 10/15/37(e) | 531,000 | 577,634 | |
Biotechnology – 2.5% | |||
Avid SPV LLC, 1.25%, 3/15/26(b)(e) | 316,000 | 507,970 | |
Bridgebio Pharma, Inc., 2.25%, 2/01/29(b)(e) | 942,000 | 840,735 | |
Exact Sciences Corp., 0.38%, 3/15/27(e)(g) | 885,000 | 1,000,603 | |
Gossamer Bio, Inc., 5.00%, 6/01/27(e) | 861,000 | 903,189 | |
Halozyme Therapeutics, Inc., 0.25%, 3/01/27(b)(e) | 1,150,000 | 1,017,321 | |
Innoviva, Inc., 2.13%, 1/15/23(e) | 783,000 | 855,917 | |
Insmed, Inc., 0.75%, 6/01/28(e)(g) | 759,000 | 883,932 |
Par | Value | ||
Biotechnology (Continued) | |||
Ionis Pharmaceuticals, Inc., 0.13%, 12/15/24(e) | $ 585,000 | $ 528,316 | |
Ligand Pharmaceuticals, Inc., 0.75%, 5/15/23(e) | 796,000 | 801,472 | |
Radius Health, Inc., 3.00%, 9/01/24(e) | 328,000 | 320,843 | |
Travere Therapeutics, Inc., 2.50%, 9/15/25(e) | 886,000 | 945,240 | |
8,605,538 | |||
Commercial Services – 0.9% | |||
2U, Inc., 2.25%, 5/01/25(e)(g) | 345,000 | 439,783 | |
FTI Consulting, Inc., 2.00%, 8/15/23(e) | 522,000 | 769,778 | |
Sabre GLBL, Inc., 4.00%, 4/15/25(e) | 578,000 | 908,262 | |
Stride, Inc., 1.13%, 9/01/27 | 885,000 | 884,115 | |
3,001,938 | |||
Computers – 0.7% | |||
Lumentum Holdings, Inc., 0.50%, 12/15/26(e)(g) | 337,000 | 366,487 | |
Mitek Systems, Inc., 0.75%, 2/01/26(b)(e) | 519,000 | 582,149 | |
Vocera Communications, Inc., 0.50%, 9/15/26(b)(e) | 1,108,000 | 1,272,920 | |
2,221,556 | |||
Diversified Financial Services – 1.2% | |||
Coinbase Global, Inc., 0.50%, 6/01/26(b)(e)(g) | 526,000 | 623,861 | |
Encore Capital Europe Finance Ltd., 4.50%, 9/01/23(e) | 617,000 | 830,331 | |
PRA Group, Inc., 3.50%, 6/01/23(e) | 785,000 | 867,139 | |
SoFi Technologies, Inc., 0.00%, 10/15/26(b)(e)(f) | 531,000 | 621,402 | |
WisdomTree Investments, Inc., | |||
4.25%, 6/15/23 | 701,000 | 866,535 | |
3.25%, 6/15/26(b) | 177,000 | 175,625 | |
3,984,893 | |||
Electric – 0.3% | |||
NRG Energy, Inc., 2.75%, 6/01/48(e) | 901,000 | 1,045,214 | |
Electronics – 0.1% | |||
GoPro, Inc., 1.25%, 11/15/25(b)(e) | 306,000 | 358,663 |
Par | Value | ||
Energy - Alternate Sources – 1.0% | |||
Enphase Energy, Inc., 0.00%, 3/01/28(b)(e)(f)(g) | $1,194,000 | $1,338,309 | |
Sunnova Energy International, Inc., 0.25%, 12/01/26(b)(e)(g) | 701,000 | 995,690 | |
Sunrun, Inc., 0.00%, 2/01/26(b)(e)(f) | 997,000 | 907,787 | |
3,241,786 | |||
Entertainment – 0.0%(c) | |||
DraftKings, Inc., 0.00%, 3/15/28(e) | 0 | 0 | |
Food – 0.4% | |||
Beyond Meat, Inc., 0.00%, 3/15/27(b)(e)(f)(g) | 475,000 | 397,290 | |
Chefs' Warehouse (The), Inc., 1.88%, 12/01/24(e) | 813,000 | 889,260 | |
1,286,550 | |||
Healthcare - Products – 0.1% | |||
Alphatec Holdings, Inc., 0.75%, 8/01/26(b)(e) | 358,000 | 340,106 | |
Healthcare - Services – 0.0%(c) | |||
UpHealth, Inc., 6.25%, 6/15/26(b) | 187,000 | 148,198 | |
Holding Companies - Diversified – 0.2% | |||
RWT Holdings, Inc., 5.75%, 10/01/25(e) | 573,000 | 588,758 | |
Home Builders – 0.2% | |||
Winnebago Industries, Inc., 1.50%, 4/01/25(e) | 639,000 | 818,421 | |
Insurance – 0.4% | |||
MGIC Investment Corp., 9.00%, 4/01/63(b)(e) | 1,017,000 | 1,357,574 | |
Internet – 2.2% | |||
fuboTV, Inc., 3.25%, 2/15/26(b)(e)(g) | 1,031,000 | 988,523 | |
Groupon, Inc., 1.13%, 3/15/26(b)(e)(g) | 562,000 | 433,593 | |
iQIYI, Inc., 2.00%, 4/01/25(e) | 995,000 | 878,635 | |
Magnite, Inc., 0.25%, 3/15/26(b)(e) | 1,153,000 | 961,584 | |
Q2 Holdings, Inc., 0.75%, 6/01/26(e) | 522,000 | 576,962 | |
RealReal (The), Inc., 1.00%, 3/01/28(b)(e)(g) | 562,000 | 464,605 | |
Spotify USA, Inc., 0.00%, 3/15/26(b)(e)(f) | 877,000 | 833,685 |
Par | Value | ||
Internet (Continued) | |||
Upwork, Inc., 0.25%, 8/15/26(b)(e) | $ 532,000 | $ 569,457 | |
Vnet Group, Inc., 0.00%, 2/01/26(b)(e)(f) | 965,000 | 783,990 | |
Zillow Group, Inc., 2.75%, 5/15/25(e)(g) | 503,000 | 875,874 | |
7,366,908 | |||
Leisure Time – 0.7% | |||
Callaway Golf Co., 2.75%, 5/01/26(e)(g) | 452,000 | 777,505 | |
Liberty TripAdvisor Holdings, Inc., 0.50%, 6/30/51(b)(e) | 664,000 | 558,559 | |
Royal Caribbean Cruises Ltd., 4.25%, 6/15/23 | 790,000 | 1,065,574 | |
2,401,638 | |||
Lodging – 0.5% | |||
Huazhu Group Ltd., 3.00%, 5/01/26 | 633,000 | 828,439 | |
Marcus (The) Corp., 5.00%, 9/15/25(b)(e)(g) | 425,000 | 797,447 | |
1,625,886 | |||
Machinery - Construction & Mining – 0.2% | |||
Bloom Energy Corp., 2.50%, 8/15/25 | 401,000 | 821,569 | |
Machinery - Diversified – 0.3% | |||
Middleby (The) Corp., 1.00%, 9/01/25 | 562,000 | 846,252 | |
Media – 0.5% | |||
Cable One, Inc., 1.13%, 3/15/28(b)(e) | 467,000 | 457,407 | |
DISH Network Corp., 3.38%, 8/15/26(e) | 1,026,000 | 1,045,326 | |
Liberty Interactive LLC, 3.50%, 1/15/31(e) | 206,000 | 270,767 | |
1,773,500 | |||
Oil & Gas – 0.4% | |||
Centennial Resource Production LLC, 3.25%, 4/01/28(e) | 871,000 | 1,201,909 | |
Oil & Gas Services – 0.2% | |||
Helix Energy Solutions Group, Inc., | |||
4.13%, 9/15/23(e) | 330,000 | 310,612 | |
6.75%, 2/15/26(e) | 488,000 | 500,141 | |
810,753 | |||
Pharmaceuticals – 1.0% | |||
Coherus Biosciences, Inc., 1.50%, 4/15/26(e) | 619,000 | 692,618 |
Par | Value | ||
Pharmaceuticals (Continued) | |||
Flexion Therapeutics, Inc., 3.38%, 5/01/24(e) | $1,005,000 | $ 995,956 | |
Jazz Investments I Ltd., | |||
1.50%, 8/15/24(e) | 617,000 | 626,255 | |
2.00%, 6/15/26 | 465,000 | 541,286 | |
Zogenix, Inc., 2.75%, 10/01/27(e) | 500,000 | 479,050 | |
3,335,165 | |||
Pipelines – 0.3% | |||
Cheniere Energy, Inc., 4.25%, 3/15/45(e) | 1,351,000 | 1,151,019 | |
Real Estate – 0.4% | |||
Realogy Group LLC/Realogy Co-Issuer Corp., 0.25%, 6/15/26(b)(e) | 480,000 | 487,914 | |
Redfin Corp., 0.50%, 4/01/27(b)(e)(g) | 972,000 | 876,042 | |
1,363,956 | |||
Real Estate Investment Trusts – 2.8% | |||
Apollo Commercial Real Estate Finance, Inc., 5.38%, 10/15/23(e) | 1,458,000 | 1,481,693 | |
GEO Corrections Holdings, Inc., 6.50%, 2/23/26(e) | 0 | 0 | |
Granite Point Mortgage Trust, Inc., 6.38%, 10/01/23 | 1,174,000 | 1,174,000 | |
MFA Financial, Inc., 6.25%, 6/15/24(e) | 1,835,000 | 1,885,462 | |
Pebblebrook Hotel Trust, 1.75%, 12/15/26(e) | 963,000 | 1,071,917 | |
PennyMac Corp., 5.50%, 11/01/24(e) | 1,530,000 | 1,562,512 | |
Redwood Trust, Inc., 5.63%, 7/15/24 | 750,000 | 779,100 | |
Summit Hotel Properties, Inc., 1.50%, 2/15/26(e) | 498,000 | 532,476 | |
Two Harbors Investment Corp., 6.25%, 1/15/26(e) | 818,000 | 842,540 | |
9,329,700 | |||
Retail – 0.5% | |||
Burlington Stores, Inc., 2.25%, 4/15/25 | 575,000 | 823,928 | |
Cheesecake Factory (The), Inc., 0.38%, 6/15/26(e) | 487,000 | 441,411 | |
Vroom, Inc., 0.75%, 7/01/26(b)(e) | 621,000 | 478,493 | |
1,743,832 |
Par | Value | ||
Semiconductors – 0.1% | |||
MACOM Technology Solutions Holdings, Inc., 0.25%, 3/15/26(b)(e) | $ 415,000 | $ 454,736 | |
Software – 4.2% | |||
8x8, Inc., 0.50%, 2/01/24(e) | 446,000 | 495,240 | |
Avaya Holdings Corp., 2.25%, 6/15/23(e)(g) | 650,000 | 673,969 | |
Bentley Systems, Inc., 0.38%, 7/01/27(b)(e) | 532,000 | 537,972 | |
BigCommerce Holdings, Inc., 0.25%, 10/01/26(b)(e) | 355,000 | 351,139 | |
Blackline, Inc., 0.00%, 3/15/26(e) | 0 | 0 | |
Ceridian HCM Holding, Inc., 0.25%, 3/15/26(b)(e) | 596,000 | 684,567 | |
Envestnet, Inc., 1.75%, 6/01/23(e) | 477,000 | 621,287 | |
Everbridge, Inc., 0.13%, 12/15/24(e)(g) | 440,000 | 668,328 | |
Fastly, Inc., 0.00%, 3/15/26(b)(e)(f)(g) | 1,304,000 | 1,158,942 | |
Hello Group, Inc., 1.25%, 7/01/25(e) | 1,170,000 | 1,030,331 | |
i3 Verticals LLC, 1.00%, 2/15/25 | 732,000 | 667,035 | |
Jamf Holding Corp., 0.13%, 9/01/26(b)(e) | 355,000 | 413,538 | |
Kaleyra, Inc., 6.13%, 6/01/26(b) | 177,000 | 181,090 | |
MicroStrategy, Inc., 0.00%, 2/15/27(b)(e)(f) | 1,094,000 | 903,099 | |
New Relic, Inc., 0.50%, 5/01/23(e)(g) | 1,068,000 | 1,116,701 | |
Porch Group, Inc., 0.75%, 9/15/26(b)(e) | 531,000 | 583,227 | |
Progress Software Corp., 1.00%, 4/15/26(b)(e) | 619,000 | 662,305 | |
Splunk, Inc., 1.13%, 6/15/27(e) | 531,000 | 554,563 | |
Tabula Rasa HealthCare, Inc., 1.75%, 2/15/26(e) | 677,000 | 566,988 | |
Verint Systems, Inc., 0.25%, 4/15/26(b)(e) | 648,000 | 640,311 | |
Workiva, Inc., 1.13%, 8/15/26(e)(g) | 606,000 | 1,195,166 | |
Ziff Davis, Inc., 1.75%, 11/01/26(b)(e) | 439,000 | 598,216 | |
14,304,014 |
Par | Value | ||
Telecommunications – 0.4% | |||
Infinera Corp., 2.13%, 9/01/24(e) | $552,000 | $ 593,844 | |
Vonage Holdings Corp., 1.75%, 6/01/24(e) | 596,000 | 695,323 | |
1,289,167 | |||
Transportation – 0.3% | |||
Air Transport Services Group, Inc., 1.13%, 10/15/24(e) | 656,000 | 693,720 | |
SFL Corp. Ltd., 4.88%, 5/01/23(e) | 486,000 | 487,450 | |
1,181,170 | |||
Trucking & Leasing – 0.2% | |||
Greenbrier (The) Cos., Inc., 2.88%, 4/15/28(b)(e) | 661,000 | 687,867 | |
Total Convertible Bonds (Cost $74,407,630) | 81,252,770 |
Number of Shares | |||
Convertible Preferred Stocks – 2.4% | |||
Agriculture – 0.2% | |||
Bunge Ltd., 4.88% | 4,962 | 630,769 | |
Chemicals – 0.2% | |||
Lyondellbasell Advanced Polymers, Inc., 6.00% | 669 | 669,000 | |
Computers – 0.2% | |||
NCR Corp., 5.50%(h) | 556 | 836,029 | |
Diversified Financial Services – 0.6% | |||
AMG Capital Trust II, 5.15%(e) | 19,068 | 1,072,575 | |
Cowen, Inc., 5.63%(e) | 548 | 814,583 | |
1,887,158 | |||
Electric – 0.2% | |||
Algonquin Power & Utilities Corp., 7.75% (Canada) | 11,531 | 556,025 | |
Engineering & Construction – 0.3% | |||
Fluor Corp., 6.50%(b)(i) | 964 | 1,093,007 | |
Metal Fabricate/Hardware – 0.1% | |||
RBC Bearings, Inc., 5.00%* | 3,169 | 378,981 | |
Real Estate Investment Trusts – 0.2% | |||
Ready Capital Corp., 7.00% | 19,284 | 514,690 |
Number of Shares | Value | ||
Savings & Loans – 0.3% | |||
New York Community Capital Trust V, 6.00% | 20,314 | $1,035,048 | |
Software – 0.1% | |||
Clarivate PLC, 5.25% | 4,810 | 442,280 | |
Total Convertible Preferred Stocks (Cost $7,060,728) | 8,042,987 |
Par | |||
Corporate Bonds – 14.6% | |||
Advertising – 0.0%(c) | |||
Advantage Sales & Marketing, Inc., 6.50%, 11/15/28(b) | $ 75,000 | 78,000 | |
Interpublic (The) Group of Cos., Inc, 2.40%, 3/01/31 | 60,000 | 60,165 | |
138,165 | |||
Aerospace/Defense – 0.2% | |||
Boeing (The) Co., | |||
1.17%, 2/04/23 | 30,000 | 30,034 | |
4.51%, 5/01/23 | 100,000 | 104,841 | |
1.43%, 2/04/24 | 50,000 | 50,017 | |
4.88%, 5/01/25 | 15,000 | 16,571 | |
2.20%, 2/04/26 | 60,000 | 60,100 | |
General Dynamics Corp., 1.15%, 6/01/26 | 110,000 | 109,700 | |
Howmet Aerospace, Inc., | |||
5.90%, 2/01/27 | 125,000 | 143,126 | |
5.95%, 2/01/37 | 25,000 | 30,083 | |
Spirit AeroSystems, Inc., 5.50%, 1/15/25(b) | 10,000 | 10,413 | |
TransDigm, Inc., | |||
6.25%, 3/15/26(b) | 100,000 | 104,375 | |
5.50%, 11/15/27 | 75,000 | 76,781 | |
Triumph Group, Inc., 8.88%, 6/01/24(b) | 20,000 | 22,030 | |
758,071 | |||
Agriculture – 0.1% | |||
Altria Group, Inc., 2.35%, 5/06/25 | 180,000 | 185,561 | |
Bunge Ltd. Finance Corp., 1.63%, 8/17/25 | 50,000 | 50,180 | |
Darling Ingredients, Inc., 5.25%, 4/15/27(b) | 25,000 | 25,906 | |
Philip Morris International, Inc., 1.50%, 5/01/25 | 100,000 | 100,825 |
Par | Value | ||
Agriculture (Continued) | |||
Turning Point Brands, Inc., 5.63%, 2/15/26(b) | $ 15,000 | $ 15,206 | |
Vector Group Ltd., 5.75%, 2/01/29(b) | 60,000 | 59,700 | |
437,378 | |||
Airlines – 0.1% | |||
American Airlines, Inc., 11.75%, 7/15/25(b) | 25,000 | 30,969 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd., | |||
5.50%, 4/20/26(b) | 20,000 | 20,980 | |
5.75%, 4/20/29(b) | 20,000 | 21,525 | |
Delta Air Lines, Inc., 7.38%, 1/15/26 | 75,000 | 88,208 | |
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.75%, 1/20/26(b) | 50,000 | 52,500 | |
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 6/20/27(b) | 73,781 | 80,300 | |
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, 9/20/25(b) | 29,920 | 33,491 | |
United Airlines, Inc., | |||
4.38%, 4/15/26(b) | 30,000 | 31,034 | |
4.63%, 4/15/29(b) | 30,000 | 30,929 | |
389,936 | |||
Apparel – 0.0%(c) | |||
Wolverine World Wide, Inc., 4.00%, 8/15/29(b) | 45,000 | 44,429 | |
Auto Manufacturers – 0.3% | |||
American Honda Finance Corp., 1.20%, 7/08/25 | 75,000 | 74,836 | |
Ford Motor Co., | |||
8.50%, 4/21/23 | 75,000 | 82,237 | |
9.00%, 4/22/25 | 100,000 | 120,250 | |
9.63%, 4/22/30 | 50,000 | 72,032 | |
4.75%, 1/15/43 | 25,000 | 27,307 | |
5.29%, 12/08/46 | 25,000 | 28,685 | |
Ford Motor Credit Co. LLC, 3.38%, 11/13/25 | 200,000 | 205,500 | |
General Motors Financial Co., Inc., | |||
1.70%, 8/18/23 | 270,000 | 273,922 | |
2.75%, 6/20/25 | 135,000 | 140,167 |
Par | Value | ||
Auto Manufacturers (Continued) | |||
General Motors Financial Co., Inc., | |||
2.40%, 10/15/28 | $ 45,000 | $ 44,719 | |
Toyota Motor Credit Corp., 1.13%, 6/18/26 | 30,000 | 29,574 | |
1,099,229 | |||
Auto Parts & Equipment – 0.1% | |||
Aptiv Corp., 4.15%, 3/15/24 | 75,000 | 80,012 | |
Dana, Inc., 4.25%, 9/01/30 | 15,000 | 15,179 | |
Goodyear Tire & Rubber (The) Co., 5.25%, 4/30/31 | 25,000 | 26,750 | |
Lear Corp., 3.80%, 9/15/27 | 145,000 | 158,368 | |
Meritor, Inc., 4.50%, 12/15/28(b) | 30,000 | 29,850 | |
Tenneco, Inc., | |||
7.88%, 1/15/29(b) | 10,000 | 10,938 | |
5.13%, 4/15/29(b) | 15,000 | 14,869 | |
335,966 | |||
Banks – 2.3% | |||
Bank of America Corp., | |||
4.13%, 1/22/24 | 200,000 | 214,309 | |
(SOFR + 0.74%), 0.81%, 10/24/24(j) | 135,000 | 134,828 | |
4.00%, 1/22/25 | 100,000 | 107,795 | |
(SOFR + 0.69%), 0.98%, 4/22/25(j) | 240,000 | 238,959 | |
(SOFR + 0.91%), 0.98%, 9/25/25(j) | 40,000 | 39,756 | |
(3M USD LIBOR + 0.81%), 3.37%, 1/23/26(j) | 50,000 | 53,050 | |
(SOFR + 1.15%), 1.32%, 6/19/26(j) | 210,000 | 208,376 | |
(3M USD LIBOR + 0.99%), 2.50%, 2/13/31(j) | 80,000 | 80,333 | |
(SOFR + 1.22%), 2.65%, 3/11/32(j) | 50,000 | 50,455 | |
(SOFR + 1.21%), 2.57%, 10/20/32(j) | 30,000 | 30,061 | |
Bank of New York Mellon (The) Corp., 0.50%, 4/26/24 | 85,000 | 84,398 | |
Citigroup, Inc., | |||
4.00%, 8/05/24 | 150,000 | 161,394 | |
(SOFR + 0.69%), 0.78%, 10/30/24(j) | 450,000 | 448,919 | |
(SOFR + 0.67%), 0.98%, 5/01/25(j) | 85,000 | 84,626 | |
(SOFR + 0.77%), 1.46%, 6/09/27(j) | 375,000 | 369,425 | |
(3M USD LIBOR + 1.15%), 3.52%, 10/27/28(j) | 50,000 | 53,715 |
Par | Value | ||
Banks (Continued) | |||
Fifth Third Bancorp, | |||
3.65%, 1/25/24 | $ 50,000 | $ 52,892 | |
(SOFR + 0.69%), 1.71%, 11/01/27(j) | 10,000 | 9,966 | |
Freedom Mortgage Corp., | |||
7.63%, 5/01/26(b) | 60,000 | 58,500 | |
6.63%, 1/15/27(b) | 50,000 | 47,375 | |
Goldman Sachs Group (The), Inc., | |||
4.00%, 3/03/24 | 100,000 | 106,771 | |
(SOFR + 0.51%), 0.66%, 9/10/24(j) | 470,000 | 467,541 | |
(3M USD LIBOR + 1.20%), 3.27%, 9/29/25(j) | 150,000 | 158,315 | |
(SOFR + 0.61%), 0.86%, 2/12/26(j) | 90,000 | 88,350 | |
3.50%, 11/16/26 | 50,000 | 53,573 | |
(SOFR + 0.79%), 1.09%, 12/09/26(j) | 450,000 | 438,881 | |
(SOFR + 0.80%), 1.43%, 3/09/27(j) | 110,000 | 108,308 | |
(3M USD LIBOR + 1.16%), 3.81%, 4/23/29(j) | 50,000 | 54,786 | |
3.80%, 3/15/30 | 50,000 | 55,364 | |
(SOFR + 1.09%), 1.99%, 1/27/32(j) | 115,000 | 110,182 | |
(SOFR + 1.28%), 2.62%, 4/22/32(j) | 10,000 | 10,041 | |
(SOFR + 1.25%), 2.38%, 7/21/32(j) | 75,000 | 73,719 | |
JPMorgan Chase & Co., | |||
(SOFR + 0.58%), 0.97%, 6/23/25(j) | 130,000 | 129,259 | |
(SOFR + 1.59%), 2.01%, 3/13/26(j) | 100,000 | 101,907 | |
(SOFR + 0.80%), 1.05%, 11/19/26(j) | 180,000 | 175,638 | |
(SOFR + 0.70%), 1.04%, 2/04/27(j) | 205,000 | 199,136 | |
(SOFR + 0.89%), 1.58%, 4/22/27(j) | 58,000 | 57,437 | |
(SOFR + 0.77%), 1.47%, 9/22/27(j) | 540,000 | 530,192 | |
(3M USD LIBOR + 1.38%), 3.54%, 5/01/28(j) | 50,000 | 54,002 | |
(3M USD LIBOR + 1.16%), 3.70%, 5/06/30(j) | 20,000 | 21,855 | |
(SOFR + 3.79%), 4.49%, 3/24/31(j) | 190,000 | 220,302 | |
(SOFR + 2.52%), 2.96%, 5/13/31(j) | 190,000 | 196,145 | |
Morgan Stanley, | |||
4.10%, 5/22/23 | 25,000 | 26,272 | |
(SOFR + 0.46%), 0.53%, 1/25/24(j) | 205,000 | 204,569 |
Par | Value | ||
Banks (Continued) | |||
Morgan Stanley, | |||
(3M USD LIBOR + 0.85%), 3.74%, 4/24/24(j) | $160,000 | $ 166,830 | |
3.70%, 10/23/24 | 50,000 | 53,622 | |
(SOFR + 0.75%), 0.86%, 10/21/25(j) | 130,000 | 128,650 | |
(SOFR + 1.99%), 2.19%, 4/28/26(j) | 100,000 | 102,351 | |
(SOFR + 0.72%), 0.99%, 12/10/26(j) | 360,000 | 349,365 | |
(SOFR + 0.88%), 1.59%, 5/04/27(j) | 70,000 | 69,348 | |
(3M USD LIBOR + 1.63%), 4.43%, 1/23/30(j) | 50,000 | 57,245 | |
(SOFR + 3.12%), 3.62%, 4/01/31(j) | 270,000 | 294,932 | |
(SOFR + 1.18%), 2.24%, 7/21/32(j) | 165,000 | 161,089 | |
Santander Holdings USA, Inc., 3.45%, 6/02/25 | 40,000 | 42,446 | |
SVB Financial Group, 1.80%, 2/02/31 | 70,000 | 66,819 | |
Truist Financial Corp., 4.00%, 5/01/25 | 50,000 | 54,499 | |
Wells Fargo & Co., | |||
(SOFR + 0.51%), 0.81%, 5/19/25(j) | 145,000 | 144,328 | |
(SOFR + 1.09%), 2.41%, 10/30/25(j) | 50,000 | 51,636 | |
7,914,837 | |||
Building Materials – 0.3% | |||
Boise Cascade Co., 4.88%, 7/01/30(b) | 260,000 | 273,000 | |
Builders FirstSource, Inc., | |||
5.00%, 3/01/30(b) | 50,000 | 52,812 | |
4.25%, 2/01/32(b) | 50,000 | 50,397 | |
Forterra Finance LLC/FRTA Finance Corp., 6.50%, 7/15/25(b) | 100,000 | 106,575 | |
Griffon Corp., 5.75%, 3/01/28 | 25,000 | 26,125 | |
Louisiana-Pacific Corp., 3.63%, 3/15/29(b) | 300,000 | 301,782 | |
Martin Marietta Materials, Inc., | |||
0.65%, 7/15/23 | 55,000 | 54,989 | |
2.40%, 7/15/31 | 50,000 | 49,962 | |
PGT Innovations, Inc., 4.38%, 10/01/29(b) | 20,000 | 19,825 | |
Standard Industries, Inc., 3.38%, 1/15/31(b) | 50,000 | 46,364 | |
981,831 |
Par | Value | ||
Chemicals – 0.4% | |||
Air Products and Chemicals, Inc., 1.85%, 5/15/27 | $110,000 | $ 111,934 | |
Ashland LLC, 3.38%, 9/01/31(b) | 70,000 | 69,125 | |
Celanese U.S. Holdings LLC, 1.40%, 8/05/26 | 80,000 | 78,660 | |
Chemours (The) Co., | |||
5.38%, 5/15/27 | 50,000 | 52,750 | |
5.75%, 11/15/28(b) | 65,000 | 66,788 | |
4.63%, 11/15/29(b) | 95,000 | 91,438 | |
Diamond B.C. B.V., 4.63%, 10/01/29(b) | 15,000 | 15,105 | |
Element Solutions, Inc., 3.88%, 9/01/28(b) | 75,000 | 74,931 | |
Ingevity Corp., 3.88%, 11/01/28(b) | 45,000 | 44,210 | |
Minerals Technologies, Inc., 5.00%, 7/01/28(b) | 50,000 | 51,497 | |
Olin Corp., 9.50%, 6/01/25(b) | 50,000 | 61,438 | |
PPG Industries, Inc., 1.20%, 3/15/26 | 65,000 | 63,871 | |
Rayonier AM Products, Inc., 7.63%, 1/15/26(b) | 51,000 | 52,574 | |
Sherwin-Williams (The) Co., | |||
3.13%, 6/01/24 | 160,000 | 168,409 | |
2.95%, 8/15/29 | 90,000 | 95,308 | |
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 5.38%, 9/01/25(b) | 19,000 | 19,382 | |
Tronox, Inc., 4.63%, 3/15/29(b) | 10,000 | 9,803 | |
WR Grace Holdings LLC, | |||
5.63%, 10/01/24(b) | 50,000 | 53,625 | |
5.63%, 8/15/29(b) | 40,000 | 40,350 | |
1,221,198 | |||
Commercial Services – 0.5% | |||
ADT Security (The) Corp., 4.13%, 8/01/29(b) | 125,000 | 123,204 | |
Adtalem Global Education, Inc., 5.50%, 3/01/28(b) | 150,000 | 151,500 | |
AMN Healthcare, Inc., 4.63%, 10/01/27(b) | 15,000 | 15,413 | |
ASGN, Inc., 4.63%, 5/15/28(b) | 100,000 | 103,250 | |
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.38%, 3/01/29(b) | 5,000 | 5,263 |
Par | Value | ||
Commercial Services (Continued) | |||
Block Financial LLC, 2.50%, 7/15/28 | $ 65,000 | $ 64,739 | |
Cintas Corp. No. 2, 3.70%, 4/01/27 | 21,000 | 23,146 | |
CPI CG, Inc., 8.63%, 3/15/26(b) | 10,000 | 10,800 | |
Equinix, Inc., 2.35%, 9/15/31 | 45,000 | 44,139 | |
Gartner, Inc., | |||
4.50%, 7/01/28(b) | 30,000 | 31,236 | |
3.63%, 6/15/29(b) | 20,000 | 20,100 | |
3.75%, 10/01/30(b) | 40,000 | 40,550 | |
Global Payments, Inc., 1.20%, 3/01/26 | 40,000 | 39,050 | |
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc., 5.00%, 2/01/26(b) | 10,000 | 10,150 | |
MPH Acquisition Holdings LLC, 5.75%, 11/01/28(b) | 55,000 | 50,165 | |
Nielsen Finance LLC/Nielsen Finance Co., | |||
5.63%, 10/01/28(b) | 100,000 | 103,974 | |
4.75%, 7/15/31(b) | 40,000 | 38,984 | |
PayPal Holdings, Inc., 2.40%, 10/01/24 | 200,000 | 208,119 | |
Prime Security Services Borrower LLC/Prime Finance, Inc., | |||
5.75%, 4/15/26(b) | 50,000 | 53,482 | |
3.38%, 8/31/27(b) | 10,000 | 9,579 | |
6.25%, 1/15/28(b) | 50,000 | 51,250 | |
Quanta Services, Inc., | |||
0.95%, 10/01/24 | 85,000 | 84,313 | |
2.35%, 1/15/32 | 50,000 | 48,949 | |
Rent-A-Center, Inc., 6.38%, 2/15/29(b) | 105,000 | 109,725 | |
S&P Global, Inc., 1.25%, 8/15/30 | 110,000 | 102,922 | |
Service Corp. International, 3.38%, 8/15/30 | 15,000 | 14,775 | |
United Rentals North America, Inc., 3.88%, 2/15/31 | 40,000 | 40,296 | |
1,599,073 | |||
Computers – 0.4% | |||
Apple, Inc., 1.40%, 8/05/28 | 50,000 | 48,741 | |
Booz Allen Hamilton, Inc., | |||
3.88%, 9/01/28(b) | 10,000 | 10,144 | |
4.00%, 7/01/29(b) | 20,000 | 20,250 |
Par | Value | ||
Computers (Continued) | |||
Crowdstrike Holdings, Inc., 3.00%, 2/15/29 | $ 10,000 | $ 9,875 | |
Dell International LLC/EMC Corp., 5.85%, 7/15/25 | 475,000 | 545,936 | |
Dell, Inc., 6.50%, 4/15/38 | 50,000 | 66,325 | |
Hewlett Packard Enterprise Co., 4.45%, 10/02/23 | 200,000 | 212,734 | |
HP, Inc., | |||
2.20%, 6/17/25 | 70,000 | 71,803 | |
1.45%, 6/17/26(b) | 145,000 | 142,836 | |
Kyndryl Holdings, Inc., | |||
2.05%, 10/15/26(b) | 10,000 | 9,891 | |
2.70%, 10/15/28(b) | 20,000 | 19,713 | |
3.15%, 10/15/31(b) | 10,000 | 9,795 | |
NetApp, Inc., 1.88%, 6/22/25 | 20,000 | 20,341 | |
Unisys Corp., 6.88%, 11/01/27(b) | 145,000 | 158,050 | |
1,346,434 | |||
Cosmetics/Personal Care – 0.0%(c) | |||
Coty, Inc., 5.00%, 4/15/26(b) | 50,000 | 51,250 | |
Edgewell Personal Care Co., 3.38%, 6/01/28(b) | 50,000 | 52,308 | |
103,558 | |||
Distribution/Wholesale – 0.1% | |||
American Builders & Contractors Supply Co., Inc., 3.88%, 11/15/29(b) | 60,000 | 59,025 | |
Avient Corp., 5.75%, 5/15/25(b) | 100,000 | 104,500 | |
G-III Apparel Group Ltd., 7.88%, 8/15/25(b) | 200,000 | 213,250 | |
376,775 | |||
Diversified Financial Services – 0.7% | |||
Air Lease Corp., 3.38%, 7/01/25 | 45,000 | 47,424 | |
Ally Financial, Inc., | |||
3.05%, 6/05/23 | 30,000 | 30,946 | |
1.45%, 10/02/23 | 25,000 | 25,242 | |
5.75%, 11/20/25 | 50,000 | 56,760 | |
American Express Co., | |||
2.50%, 7/30/24 | 50,000 | 52,126 | |
4.20%, 11/06/25 | 50,000 | 55,571 | |
Ameriprise Financial, Inc., 3.00%, 4/02/25 | 100,000 | 105,455 | |
Capital One Bank USA N.A., (SOFR + 0.62%), 2.01%, 1/27/23(j) | 250,000 | 250,875 |
Par | Value | ||
Diversified Financial Services (Continued) | |||
Charles Schwab (The) Corp., | |||
0.75%, 3/18/24 | $ 30,000 | $ 29,955 | |
1.15%, 5/13/26 | 50,000 | 49,581 | |
Credit Acceptance Corp., 6.63%, 3/15/26 | 100,000 | 104,125 | |
Curo Group Holdings Corp., 7.50%, 8/01/28(b) | 145,000 | 147,356 | |
Intercontinental Exchange, Inc., | |||
4.00%, 10/15/23 | 50,000 | 53,124 | |
3.75%, 9/21/28 | 100,000 | 110,760 | |
LPL Holdings, Inc., | |||
4.63%, 11/15/27(b) | 100,000 | 103,000 | |
4.38%, 5/15/31(b) | 70,000 | 71,662 | |
Mastercard, Inc., 1.90%, 3/15/31 | 22,000 | 22,085 | |
Nationstar Mortgage Holdings, Inc., | |||
6.00%, 1/15/27(b) | 100,000 | 104,500 | |
5.50%, 8/15/28(b) | 25,000 | 25,625 | |
5.13%, 12/15/30(b) | 80,000 | 80,628 | |
Navient Corp., | |||
7.25%, 9/25/23 | 75,000 | 81,656 | |
5.00%, 3/15/27 | 50,000 | 50,987 | |
NFP Corp., 6.88%, 8/15/28(b) | 75,000 | 76,196 | |
OneMain Finance Corp., | |||
6.88%, 3/15/25 | 25,000 | 27,906 | |
8.88%, 6/01/25 | 100,000 | 108,125 | |
3.50%, 1/15/27 | 145,000 | 141,737 | |
3.88%, 9/15/28 | 75,000 | 73,125 | |
4.00%, 9/15/30 | 100,000 | 97,125 | |
SLM Corp., 4.20%, 10/29/25 | 50,000 | 52,850 | |
Visa, Inc., 1.90%, 4/15/27 | 50,000 | 51,015 | |
2,287,522 | |||
Electric – 0.5% | |||
AEP Texas, Inc., 3.95%, 6/01/28 | 50,000 | 55,448 | |
Arizona Public Service Co., 2.20%, 12/15/31 | 50,000 | 48,957 | |
Berkshire Hathaway Energy Co., | |||
4.05%, 4/15/25 | 100,000 | 109,078 | |
1.65%, 5/15/31 | 25,000 | 23,756 | |
Black Hills Corp., 1.04%, 8/23/24 | 10,000 | 9,976 | |
Calpine Corp., | |||
4.63%, 2/01/29(b) | 25,000 | 24,250 | |
3.75%, 3/01/31(b) | 50,000 | 48,000 |
Par | Value | ||
Electric (Continued) | |||
Dominion Energy, Inc., 3.38%, 4/01/30 | $ 50,000 | $ 53,763 | |
DPL, Inc., 4.35%, 4/15/29 | 100,000 | 108,000 | |
DTE Energy Co., 1.05%, 6/01/25 | 55,000 | 54,312 | |
Duke Energy Corp., | |||
3.75%, 4/15/24 | 30,000 | 31,789 | |
3.40%, 6/15/29 | 50,000 | 53,796 | |
Entergy Louisiana LLC, 1.60%, 12/15/30 | 90,000 | 85,449 | |
Eversource Energy, 2.90%, 10/01/24 | 50,000 | 52,382 | |
Exelon Generation Co. LLC, 3.25%, 6/01/25 | 50,000 | 52,847 | |
Leeward Renewable Energy Operations LLC, 4.25%, 7/01/29(b) | 20,000 | 20,098 | |
National Rural Utilities Cooperative Finance Corp., | |||
1.00%, 6/15/26 | 85,000 | 83,555 | |
2.40%, 3/15/30 | 100,000 | 101,590 | |
NextEra Energy Capital Holdings, Inc., | |||
0.65%, 3/01/23 | 105,000 | 105,118 | |
2.75%, 5/01/25 | 100,000 | 104,918 | |
NextEra Energy Operating Partners L.P., 4.50%, 9/15/27(b) | 50,000 | 53,490 | |
NRG Energy, Inc., 3.63%, 2/15/31(b) | 70,000 | 68,127 | |
Pattern Energy Operations L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(b) | 40,000 | 41,400 | |
PG&E Corp., 5.25%, 7/01/30 | 100,000 | 104,475 | |
Public Service Enterprise Group, Inc., 1.60%, 8/15/30 | 10,000 | 9,382 | |
Southern California Edison Co., 2.95%, 2/01/51 | 6,000 | 5,717 | |
Terraform Global Operating LLC, 6.13%, 3/01/26(b) | 125,000 | 128,159 | |
Union Electric Co., 2.95%, 3/15/30 | 100,000 | 106,014 | |
Vistra Operations Co. LLC, 5.00%, 7/31/27(b) | 50,000 | 51,250 | |
Wisconsin Electric Power Co., 1.70%, 6/15/28 | 10,000 | 9,869 | |
Wisconsin Power and Light Co., 1.95%, 9/16/31 | 5,000 | 4,883 | |
1,809,848 |
Par | Value | ||
Electrical Component & Equipment – 0.0%(c) | |||
Energizer Holdings, Inc., 4.75%, 6/15/28(b) | $ 35,000 | $ 34,956 | |
Electronics – 0.1% | |||
Agilent Technologies, Inc., 2.30%, 3/12/31 | 30,000 | 29,848 | |
Atkore, Inc., 4.25%, 6/01/31(b) | 35,000 | 35,350 | |
Imola Merger Corp., 4.75%, 5/15/29(b) | 50,000 | 51,372 | |
Jabil, Inc., 1.70%, 4/15/26 | 65,000 | 64,445 | |
Sensata Technologies, Inc., 4.38%, 2/15/30(b) | 25,000 | 26,385 | |
207,400 | |||
Energy - Alternate Sources – 0.1% | |||
Enviva Partners Finance Corp., 6.50%, 1/15/26(b) | 200,000 | 206,852 | |
Renewable Energy Group, Inc., 5.88%, 6/01/28(b) | 10,000 | 10,513 | |
217,365 | |||
Engineering & Construction – 0.1% | |||
Arcosa, Inc., 4.38%, 4/15/29(b) | 10,000 | 10,207 | |
Artera Services LLC, 9.03%, 12/04/25(b) | 20,000 | 21,350 | |
Brundage-Bone Concrete Pumping Holdings, Inc., 6.00%, 2/01/26(b) | 305,000 | 319,335 | |
MasTec, Inc., 4.50%, 8/15/28(b) | 40,000 | 41,000 | |
Tutor Perini Corp., 6.88%, 5/01/25(b) | 100,000 | 101,500 | |
Weekley Homes LLC/Weekley Finance Corp., 4.88%, 9/15/28(b) | 15,000 | 15,525 | |
508,917 | |||
Entertainment – 0.2% | |||
Boyne USA, Inc., 4.75%, 5/15/29(b) | 10,000 | 10,225 | |
Caesars Entertainment, Inc., 6.25%, 7/01/25(b) | 55,000 | 57,852 | |
Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 7/01/25(b) | 10,000 | 10,507 | |
Churchill Downs, Inc., 4.75%, 1/15/28 | 0 | 0 | |
International Game Technology PLC, 5.25%, 1/15/29(b) | 200,000 | 210,250 |
Par | Value | ||
Entertainment (Continued) | |||
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 5/01/29(b) | $ 10,000 | $ 10,089 | |
Penn National Gaming, Inc., 4.13%, 7/01/29(b) | 45,000 | 43,875 | |
Scientific Games International, Inc., 8.63%, 7/01/25(b) | 45,000 | 48,564 | |
Six Flags Theme Parks, Inc., 7.00%, 7/01/25(b) | 100,000 | 106,250 | |
Vail Resorts, Inc., 6.25%, 5/15/25(b) | 100,000 | 105,330 | |
602,942 | |||
Environmental Control – 0.0%(c) | |||
Stericycle, Inc., 3.88%, 1/15/29(b) | 35,000 | 34,475 | |
Waste Connections, Inc., 2.60%, 2/01/30 | 5,000 | 5,142 | |
39,617 | |||
Food – 0.3% | |||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons L.P./Albertsons LLC, | |||
4.63%, 1/15/27(b) | 50,000 | 52,327 | |
3.50%, 3/15/29(b) | 30,000 | 29,571 | |
Campbell Soup Co., 3.95%, 3/15/25 | 100,000 | 108,183 | |
Chobani LLC/Chobani Finance Corp., Inc., 4.63%, 11/15/28(b) | 30,000 | 30,675 | |
General Mills, Inc., 4.00%, 4/17/25 | 30,000 | 32,612 | |
Ingles Markets, Inc., 4.00%, 6/15/31(b) | 35,000 | 34,825 | |
JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 5.50%, 1/15/30(b) | 25,000 | 27,375 | |
Kraft Heinz Foods Co., | |||
3.88%, 5/15/27 | 50,000 | 54,181 | |
4.25%, 3/01/31 | 100,000 | 112,943 | |
5.20%, 7/15/45 | 50,000 | 63,592 | |
4.38%, 6/01/46 | 100,000 | 116,730 | |
5.50%, 6/01/50 | 50,000 | 66,991 | |
Lamb Weston Holdings, Inc., 1/31/32(b)(k) | 100,000 | 100,148 |
Par | Value | ||
Food (Continued) | |||
Simmons Foods, Inc., 4.63%, 3/01/29(b) | $ 20,000 | $ 20,200 | |
United Natural Foods, Inc., 6.75%, 10/15/28(b) | 20,000 | 21,650 | |
872,003 | |||
Forest Products & Paper – 0.0%(c) | |||
Resolute Forest Products, Inc., 4.88%, 3/01/26(b) | 20,000 | 20,350 | |
Gas – 0.0%(c) | |||
AmeriGas Partners L.P./AmeriGas Finance Corp., 5.75%, 5/20/27 | 25,000 | 27,966 | |
NiSource, Inc., 0.95%, 8/15/25 | 100,000 | 98,053 | |
Southern California Gas Co., 2.55%, 2/01/30 | 30,000 | 30,783 | |
156,802 | |||
Healthcare - Products – 0.3% | |||
Hologic, Inc., | |||
4.63%, 2/01/28(b) | 50,000 | 52,062 | |
3.25%, 2/15/29(b) | 60,000 | 59,512 | |
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics S.A., 7.25%, 2/01/28(b) | 30,000 | 31,950 | |
PerkinElmer, Inc., | |||
0.85%, 9/15/24 | 270,000 | 267,939 | |
1.90%, 9/15/28 | 55,000 | 53,958 | |
Thermo Fisher Scientific, Inc., | |||
4.13%, 3/25/25 | 130,000 | 141,859 | |
4.50%, 3/25/30 | 75,000 | 88,286 | |
Zimmer Biomet Holdings, Inc., 3.70%, 3/19/23 | 240,000 | 249,089 | |
944,655 | |||
Healthcare - Services – 0.6% | |||
Anthem, Inc., 0.45%, 3/15/23 | 130,000 | 129,750 | |
Catalent Pharma Solutions, Inc., 3.13%, 2/15/29(b) | 25,000 | 24,281 | |
Centene Corp., 2.63%, 8/01/31 | 80,000 | 78,697 | |
Charles River Laboratories International, Inc., 4.25%, 5/01/28(b) | 100,000 | 103,000 | |
CHS/Community Health Systems, Inc., | |||
8.00%, 3/15/26(b) | 50,000 | 52,750 |
Par | Value | ||
Healthcare - Services (Continued) | |||
CHS/Community Health Systems, Inc., | |||
5.63%, 3/15/27(b) | $ 25,000 | $ 26,161 | |
6.00%, 1/15/29(b) | 15,000 | 15,787 | |
6.88%, 4/15/29(b) | 5,000 | 5,144 | |
6.13%, 4/01/30(b) | 30,000 | 29,489 | |
4.75%, 2/15/31(b) | 10,000 | 10,000 | |
DaVita, Inc., | |||
4.63%, 6/01/30(b) | 100,000 | 100,496 | |
3.75%, 2/15/31(b) | 30,000 | 28,425 | |
HCA, Inc., | |||
5.25%, 4/15/25 | 115,000 | 128,954 | |
4.13%, 6/15/29 | 185,000 | 204,903 | |
2.38%, 7/15/31 | 75,000 | 73,284 | |
Humana, Inc., | |||
3.85%, 10/01/24 | 10,000 | 10,739 | |
4.50%, 4/01/25 | 125,000 | 137,556 | |
Laboratory Corp. of America Holdings, 1.55%, 6/01/26 | 70,000 | 69,533 | |
LifePoint Health, Inc., 5.38%, 1/15/29(b) | 30,000 | 29,400 | |
Magellan Health, Inc., 4.90%, 9/22/24 | 50,000 | 54,738 | |
ModivCare Escrow Issuer, Inc., 5.00%, 10/01/29(b) | 20,000 | 20,343 | |
ModivCare, Inc., 5.88%, 11/15/25(b) | 35,000 | 36,750 | |
Molina Healthcare, Inc., | |||
4.38%, 6/15/28(b) | 200,000 | 207,000 | |
3.88%, 11/15/30(b) | 50,000 | 51,562 | |
Prime Healthcare Services, Inc., 7.25%, 11/01/25(b) | 30,000 | 31,950 | |
RP Escrow Issuer LLC, 5.25%, 12/15/25(b) | 15,000 | 15,000 | |
Select Medical Corp., 6.25%, 8/15/26(b) | 100,000 | 104,597 | |
Syneos Health, Inc., 3.63%, 1/15/29(b) | 15,000 | 14,805 | |
Tenet Healthcare Corp., 6.13%, 10/01/28(b) | 65,000 | 68,247 | |
UnitedHealth Group, Inc., 2.00%, 5/15/30 | 25,000 | 24,882 | |
1,888,223 | |||
Home Builders – 0.3% | |||
Century Communities, Inc., | |||
6.75%, 6/01/27 | 100,000 | 106,180 | |
3.88%, 8/15/29(b) | 125,000 | 124,570 | |
Forestar Group, Inc., 3.85%, 5/15/26(b) | 20,000 | 20,000 |
Par | Value | ||
Home Builders (Continued) | |||
LGI Homes, Inc., 4.00%, 7/15/29(b) | $105,000 | $ 102,112 | |
M/I Homes, Inc., 4.95%, 2/01/28 | 25,000 | 26,000 | |
Meritage Homes Corp., 5.13%, 6/06/27 | 100,000 | 110,250 | |
NVR, Inc., 3.00%, 5/15/30 | 45,000 | 46,833 | |
Shea Homes L.P./Shea Homes Funding Corp., 4.75%, 4/01/29(b) | 50,000 | 50,250 | |
Tri Pointe Homes, Inc., 5.70%, 6/15/28 | 50,000 | 54,375 | |
Williams Scotsman International, Inc., 4.63%, 8/15/28(b) | 365,000 | 377,319 | |
Winnebago Industries, Inc., 6.25%, 7/15/28(b)(e) | 10,000 | 10,813 | |
1,028,702 | |||
Household Products/Wares – 0.0%(c) | |||
Central Garden & Pet Co., 4.13%, 4/30/31(b) | 35,000 | 35,000 | |
Spectrum Brands, Inc., 3.88%, 3/15/31(b) | 55,000 | 53,900 | |
88,900 | |||
Housewares – 0.0%(c) | |||
Newell Brands, Inc., 4.70%, 4/01/26 | 100,000 | 109,514 | |
Insurance – 0.3% | |||
Aflac, Inc., | |||
1.13%, 3/15/26 | 180,000 | 178,277 | |
3.60%, 4/01/30 | 64,000 | 71,065 | |
Aon Corp., 2.80%, 5/15/30 | 20,000 | 20,726 | |
AssuredPartners, Inc., 5.63%, 1/15/29(b) | 15,000 | 14,888 | |
Berkshire Hathaway, Inc., 3.13%, 3/15/26 | 95,000 | 102,244 | |
Enstar Group Ltd., 3.10%, 9/01/31 | 45,000 | 43,907 | |
Marsh & McLennan Cos., Inc., | |||
3.88%, 3/15/24 | 200,000 | 213,527 | |
4.38%, 3/15/29 | 50,000 | 57,753 | |
2.25%, 11/15/30 | 50,000 | 49,972 | |
MGIC Investment Corp., 5.25%, 8/15/28(e) | 50,000 | 53,197 | |
Radian Group, Inc., 6.63%, 3/15/25 | 100,000 | 111,250 | |
916,806 | |||
Internet – 0.4% | |||
Amazon.com, Inc., 2.10%, 5/12/31 | 110,000 | 110,900 |
Par | Value | ||
Internet (Continued) | |||
Arches Buyer, Inc., 4.25%, 6/01/28(b) | $ 15,000 | $ 15,121 | |
Booking Holdings, Inc., 4.63%, 4/13/30 | 23,000 | 27,122 | |
eBay, Inc., 1.90%, 3/11/25 | 210,000 | 214,109 | |
Expedia Group, Inc., 3.60%, 12/15/23 | 70,000 | 73,628 | |
Match Group Holdings II LLC, | |||
4.13%, 8/01/30(b) | 75,000 | 77,156 | |
3.63%, 10/01/31(b) | 35,000 | 33,976 | |
Netflix, Inc., | |||
3.63%, 6/15/25(b) | 100,000 | 106,324 | |
5.88%, 11/15/28 | 50,000 | 60,860 | |
6.38%, 5/15/29 | 75,000 | 94,594 | |
5.38%, 11/15/29(b) | 75,000 | 90,463 | |
TripAdvisor, Inc., 7.00%, 7/15/25(b) | 5,000 | 5,288 | |
Uber Technologies, Inc., | |||
7.50%, 5/15/25(b) | 75,000 | 79,948 | |
8.00%, 11/01/26(b) | 200,000 | 212,880 | |
6.25%, 1/15/28(b) | 25,000 | 26,845 | |
VeriSign, Inc., 4.75%, 7/15/27 | 100,000 | 104,690 | |
1,333,904 | |||
Investment Management Companies – 0.3% | |||
Ares Capital Corp., | |||
4.25%, 3/01/25 | 100,000 | 106,557 | |
3.88%, 1/15/26 | 172,000 | 182,444 | |
2.15%, 7/15/26 | 88,000 | 87,147 | |
2.88%, 6/15/28 | 40,000 | 40,170 | |
Compass Group Diversified Holdings LLC, 5.25%, 4/15/29(b) | 40,000 | 41,600 | |
FS KKR Capital Corp., | |||
1.65%, 10/12/24 | 140,000 | 138,291 | |
2.63%, 1/15/27 | 150,000 | 148,492 | |
Goldman Sachs BDC, Inc., 2.88%, 1/15/26 | 95,000 | 96,926 | |
Golub Capital BDC, Inc., 2.50%, 8/24/26 | 75,000 | 74,480 | |
Icahn Enterprises L.P./Icahn Enterprises Finance Corp., 4.38%, 2/01/29 | 60,000 | 60,265 | |
Owl Rock Capital Corp., | |||
3.40%, 7/15/26 | 20,000 | 20,551 | |
2.88%, 6/11/28 | 55,000 | 54,245 | |
Prospect Capital Corp., 3.36%, 11/15/26 | 60,000 | 59,965 | |
1,111,133 |
Par | Value | ||
Iron/Steel – 0.1% | |||
Big River Steel LLC/BRS Finance Corp., 6.63%, 1/31/29(b) | $ 24,000 | $ 26,070 | |
Cleveland-Cliffs, Inc., | |||
5.88%, 6/01/27 | 50,000 | 52,000 | |
4.63%, 3/01/29(b) | 15,000 | 15,544 | |
4.88%, 3/01/31(b) | 35,000 | 36,444 | |
Commercial Metals Co., 5.38%, 7/15/27 | 100,000 | 104,500 | |
Reliance Steel & Aluminum Co., 1.30%, 8/15/25 | 40,000 | 39,535 | |
United States Steel Corp., 6.88%, 3/01/29 | 30,000 | 32,100 | |
306,193 | |||
Leisure Time – 0.1% | |||
Life Time, Inc., 5.75%, 1/15/26(b) | 5,000 | 5,133 | |
Royal Caribbean Cruises Ltd., | |||
9.13%, 6/15/23(b) | 50,000 | 54,289 | |
11.50%, 6/01/25(b) | 15,000 | 17,072 | |
4.25%, 7/01/26(b) | 110,000 | 106,700 | |
Vista Outdoor, Inc., 4.50%, 3/15/29(b) | 140,000 | 140,175 | |
323,369 | |||
Lodging – 0.1% | |||
Choice Hotels International, Inc., 3.70%, 12/01/29 | 55,000 | 58,597 | |
Full House Resorts, Inc., 8.25%, 2/15/28(b) | 10,000 | 10,575 | |
Hilton Domestic Operating Co., Inc., 4.00%, 5/01/31(b) | 50,000 | 50,239 | |
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.88%, 7/01/31(b) | 70,000 | 69,642 | |
Marriott International, Inc., 5.75%, 5/01/25 | 9,000 | 10,201 | |
Marriott Ownership Resorts, Inc., 4.50%, 6/15/29(b) | 25,000 | 25,000 | |
224,254 | |||
Machinery - Construction & Mining – 0.2% | |||
BWX Technologies, Inc., 4.13%, 6/30/28(b) | 115,000 | 116,438 | |
Caterpillar Financial Services Corp., | |||
0.45%, 5/17/24 | 190,000 | 188,476 | |
0.80%, 11/13/25 | 60,000 | 59,126 |
Par | Value | ||
Machinery - Construction & Mining (Continued) | |||
Terex Corp., 5.00%, 5/15/29(b) | $250,000 | $ 255,000 | |
619,040 | |||
Machinery - Diversified – 0.0%(c) | |||
GrafTech Finance, Inc., 4.63%, 12/15/28(b) | 110,000 | 111,100 | |
Media – 0.4% | |||
Beasley Mezzanine Holdings LLC, 8.63%, 2/01/26(b) | 5,000 | 5,025 | |
CCO Holdings LLC/CCO Holdings Capital Corp., | |||
4.75%, 3/01/30(b) | 200,000 | 206,500 | |
4.50%, 5/01/32 | 100,000 | 100,473 | |
4.25%, 1/15/34(b) | 170,000 | 164,868 | |
Charter Communications Operating LLC/Charter Communications Operating Capital, 2.25%, 1/15/29 | 55,000 | 53,992 | |
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.88%, 8/15/27(b) | 15,000 | 15,550 | |
DISH DBS Corp., | |||
5.88%, 11/15/24 | 100,000 | 106,500 | |
7.75%, 7/01/26 | 50,000 | 55,562 | |
7.38%, 7/01/28 | 20,000 | 21,025 | |
GCI LLC, 4.75%, 10/15/28(b) | 20,000 | 20,700 | |
News Corp., 3.88%, 5/15/29(b) | 25,000 | 25,375 | |
Nexstar Media, Inc., 5.63%, 7/15/27(b) | 100,000 | 105,500 | |
Radiate Holdco LLC/Radiate Finance, Inc., 4.50%, 9/15/26(b) | 25,000 | 25,401 | |
Scripps Escrow, Inc., 5.88%, 7/15/27(b) | 75,000 | 76,125 | |
Sinclair Television Group, Inc., 4.13%, 12/01/30(b) | 15,000 | 14,288 | |
Sirius XM Radio, Inc., | |||
3.13%, 9/01/26(b) | 60,000 | 60,075 | |
4.00%, 7/15/28(b) | 35,000 | 35,252 | |
3.88%, 9/01/31(b) | 85,000 | 81,654 | |
TEGNA, Inc., | |||
4.75%, 3/15/26(b) | 55,000 | 57,271 | |
5.00%, 9/15/29 | 200,000 | 202,485 | |
Townsquare Media, Inc., 6.88%, 2/01/26(b) | 15,000 | 15,675 | |
1,449,296 |
Par | Value | ||
Mining – 0.1% | |||
Arconic Corp., 6.13%, 2/15/28(b) | $175,000 | $184,406 | |
Freeport-McMoRan, Inc., | |||
4.38%, 8/01/28 | 80,000 | 83,298 | |
5.45%, 3/15/43 | 50,000 | 62,900 | |
Joseph T Ryerson & Son, Inc., 8.50%, 8/01/28(b) | 13,000 | 14,463 | |
Novelis Corp., | |||
3.25%, 11/15/26(b) | 60,000 | 59,850 | |
3.88%, 8/15/31(b) | 25,000 | 24,407 | |
429,324 | |||
Miscellaneous Manufacturing – 0.0%(c) | |||
General Electric Co., | |||
3.45%, 5/01/27 | 40,000 | 43,603 | |
3.63%, 5/01/30 | 30,000 | 33,608 | |
Hillenbrand, Inc., 5.75%, 6/15/25 | 25,000 | 26,343 | |
103,554 | |||
Office/Business Equipment – 0.0%(c) | |||
Xerox Holdings Corp., 5.50%, 8/15/28(b) | 25,000 | 25,281 | |
Oil & Gas – 0.7% | |||
Antero Resources Corp., | |||
8.38%, 7/15/26(b) | 3,000 | 3,375 | |
7.63%, 2/01/29(b) | 110,000 | 121,825 | |
5.38%, 3/01/30(b) | 20,000 | 21,170 | |
Apache Corp., | |||
4.63%, 11/15/25 | 25,000 | 26,950 | |
4.88%, 11/15/27 | 35,000 | 37,975 | |
4.25%, 1/15/30 | 50,000 | 53,125 | |
5.10%, 9/01/40 | 25,000 | 28,016 | |
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 8.25%, 12/31/28(b) | 10,000 | 10,875 | |
Chesapeake Energy Corp., 5.88%, 2/01/29 | 0 | 0 | |
Chevron Corp., 1.55%, 5/11/25 | 80,000 | 81,185 | |
Chevron USA, Inc., | |||
3.85%, 1/15/28 | 30,000 | 33,619 | |
3.25%, 10/15/29 | 20,000 | 21,877 | |
CNX Resources Corp., | |||
7.25%, 3/14/27(b) | 125,000 | 132,906 | |
6.00%, 1/15/29(b) | 40,000 | 42,200 | |
Comstock Resources, Inc., 6.75%, 3/01/29 | 0 | 0 | |
Continental Resources, Inc., 4.38%, 1/15/28 | 75,000 | 81,844 |
Par | Value | ||
Oil & Gas (Continued) | |||
CrownRock L.P./CrownRock Finance, Inc., 5.00%, 5/01/29(b) | $ 10,000 | $ 10,300 | |
CVR Energy, Inc., 5.25%, 2/15/25(b) | 25,000 | 24,696 | |
Devon Energy Corp., 4.50%, 1/15/30(b) | 35,000 | 38,042 | |
Diamondback Energy, Inc., | |||
0.90%, 3/24/23 | 0 | 0 | |
3.13%, 3/24/31 | 25,000 | 25,816 | |
EQT Corp., | |||
3.90%, 10/01/27 | 100,000 | 106,750 | |
7.50%, 2/01/30 | 100,000 | 128,020 | |
Exxon Mobil Corp., 2.99%, 3/19/25 | 80,000 | 84,568 | |
Hess Corp., 4.30%, 4/01/27 | 50,000 | 54,838 | |
Hilcorp Energy I L.P./Hilcorp Finance Co., 6.00%, 2/01/31(b) | 30,000 | 30,791 | |
Murphy Oil Corp., 6.38%, 7/15/28 | 35,000 | 36,971 | |
Northern Oil and Gas, Inc., 8.13%, 3/01/28(b) | 65,000 | 69,875 | |
Occidental Petroleum Corp., | |||
2.90%, 8/15/24 | 150,000 | 152,805 | |
8.00%, 7/15/25 | 40,000 | 47,200 | |
5.50%, 12/01/25 | 25,000 | 27,500 | |
8.50%, 7/15/27 | 65,000 | 80,925 | |
6.38%, 9/01/28 | 45,000 | 52,746 | |
3.50%, 8/15/29 | 75,000 | 76,125 | |
6.13%, 1/01/31 | 25,000 | 29,938 | |
6.45%, 9/15/36 | 25,000 | 31,813 | |
4.40%, 4/15/46 | 50,000 | 50,588 | |
Ovintiv Exploration, Inc., 5.38%, 1/01/26 | 50,000 | 55,684 | |
Ovintiv, Inc., 6.50%, 8/15/34 | 50,000 | 67,472 | |
Pioneer Natural Resources Co., 0.55%, 5/15/23 | 40,000 | 39,873 | |
Range Resources Corp., | |||
4.88%, 5/15/25 | 100,000 | 104,250 | |
9.25%, 2/01/26 | 30,000 | 32,400 | |
Southwestern Energy Co., | |||
7.75%, 10/01/27 | 75,000 | 80,531 | |
8.38%, 9/15/28 | 15,000 | 16,725 | |
Sunoco L.P./Sunoco Finance Corp., 4.50%, 5/15/29 | 35,000 | 35,394 | |
2,289,578 |
Par | Value | ||
Oil & Gas Services – 0.0%(c) | |||
Archrock Partners L.P./Archrock Partners Finance Corp., 6.25%, 4/01/28(b) | $ 50,000 | $ 51,750 | |
Baker Hughes Holdings LLC/Baker Hughes Co-Obligor, Inc., 4.49%, 5/01/30 | 50,000 | 57,699 | |
Bristow Group, Inc., 6.88%, 3/01/28(b) | 10,000 | 10,375 | |
119,824 | |||
Packaging & Containers – 0.2% | |||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 5.25%, 4/30/25(b) | 200,000 | 208,000 | |
Ball Corp., | |||
2.88%, 8/15/30 | 45,000 | 43,256 | |
3.13%, 9/15/31 | 55,000 | 53,488 | |
Berry Global, Inc., 4.50%, 2/15/26(b) | 45,000 | 45,675 | |
Graphic Packaging International LLC, 3.50%, 3/01/29(b) | 10,000 | 9,900 | |
Greif, Inc., 6.50%, 3/01/27(b) | 50,000 | 52,000 | |
Silgan Holdings, Inc., 4.75%, 3/15/25 | 100,000 | 101,125 | |
513,444 | |||
Pharmaceuticals – 0.4% | |||
AbbVie, Inc., | |||
3.85%, 6/15/24 | 100,000 | 106,605 | |
2.60%, 11/21/24 | 370,000 | 385,259 | |
3.80%, 3/15/25 | 70,000 | 75,444 | |
Bausch Health Cos., Inc., 5.25%, 2/15/31(b) | 35,000 | 31,457 | |
CVS Health Corp., 1.30%, 8/21/27 | 65,000 | 63,007 | |
Herbalife Nutrition Ltd./HLF Financing, Inc., 7.88%, 9/01/25(b) | 100,000 | 107,371 | |
HLF Financing S.a.r.l. LLC/Herbalife International, Inc., 4.88%, 6/01/29(b) | 100,000 | 100,723 | |
Horizon Therapeutics USA, Inc., 5.50%, 8/01/27(b) | 200,000 | 210,750 | |
McKesson Corp., 0.90%, 12/03/25 | 75,000 | 73,187 | |
Owens & Minor, Inc., 4.50%, 3/31/29(b) | 20,000 | 20,075 |
Par | Value | ||
Pharmaceuticals (Continued) | |||
Viatris, Inc, 1.65%, 6/22/25(b) | $ 30,000 | $ 30,051 | |
Zoetis, Inc., 2.00%, 5/15/30 | 100,000 | 98,121 | |
1,302,050 | |||
Pipelines – 0.7% | |||
Antero Midstream Partners L.P./Antero Midstream Finance Corp., | |||
5.75%, 3/01/27(b) | 75,000 | 77,437 | |
5.38%, 6/15/29(b) | 65,000 | 67,922 | |
Cheniere Corpus Christi Holdings LLC, | |||
5.88%, 3/31/25 | 255,000 | 285,452 | |
3.70%, 11/15/29 | 40,000 | 42,917 | |
Cheniere Energy Partners L.P., 3.25%, 1/31/32(b) | 40,000 | 39,648 | |
Cheniere Energy, Inc., 4.63%, 10/15/28 | 25,000 | 26,218 | |
Crestwood Midstream Partners L.P./Crestwood Midstream Finance Corp., 6.00%, 2/01/29(b) | 30,000 | 31,091 | |
DCP Midstream Operating L.P., 5.60%, 4/01/44 | 25,000 | 30,000 | |
Energy Transfer L.P., 4.05%, 3/15/25 | 50,000 | 53,596 | |
EnLink Midstream LLC, | |||
5.63%, 1/15/28(b) | 25,000 | 26,508 | |
5.38%, 6/01/29 | 25,000 | 25,875 | |
EnLink Midstream Partners L.P., | |||
4.85%, 7/15/26 | 50,000 | 52,000 | |
5.45%, 6/01/47 | 25,000 | 25,000 | |
EQM Midstream Partners L.P., | |||
4.13%, 12/01/26 | 100,000 | 102,875 | |
6.50%, 7/01/27(b) | 20,000 | 22,250 | |
6.50%, 7/15/48 | 10,000 | 11,894 | |
Genesis Energy L.P./Genesis Energy Finance Corp., 8.00%, 1/15/27 | 40,000 | 40,188 | |
Global Partners L.P./GLP Finance Corp., 6.88%, 1/15/29 | 100,000 | 103,625 | |
Harvest Midstream I L.P., 7.50%, 9/01/28(b) | 35,000 | 36,750 | |
Hess Midstream Operations L.P., | |||
5.13%, 6/15/28(b) | 75,000 | 77,902 | |
4.25%, 2/15/30(b) | 25,000 | 25,000 | |
MPLX L.P., | |||
4.88%, 12/01/24 | 12,000 | 13,155 |
Par | Value | ||
Pipelines (Continued) | |||
MPLX L.P., | |||
2.65%, 8/15/30 | $ 20,000 | $ 19,905 | |
New Fortress Energy, Inc., | |||
6.75%, 9/15/25(b) | 115,000 | 111,981 | |
6.50%, 9/30/26(b) | 100,000 | 97,184 | |
NuStar Logistics L.P., 5.63%, 4/28/27 | 25,000 | 26,219 | |
ONEOK, Inc., | |||
2.75%, 9/01/24 | 50,000 | 51,978 | |
6.35%, 1/15/31 | 60,000 | 76,236 | |
Sabine Pass Liquefaction LLC, 5.63%, 4/15/23 | 100,000 | 105,649 | |
Tallgrass Energy Partners L.P./Tallgrass Energy Finance Corp., 5.50%, 1/15/28(b) | 100,000 | 100,363 | |
Targa Resources Partners L.P./Targa Resources Partners Finance Corp., 5.50%, 3/01/30 | 25,000 | 27,476 | |
Transcontinental Gas Pipe Line Co. LLC, 3.25%, 5/15/30 | 30,000 | 31,811 | |
Western Midstream Operating L.P., | |||
4.65%, 7/01/26 | 50,000 | 54,000 | |
4.75%, 8/15/28 | 25,000 | 27,505 | |
5.30%, 2/01/30 | 75,000 | 82,219 | |
5.50%, 8/15/48 | 25,000 | 29,844 | |
Williams (The) Cos., Inc., 2.60%, 3/15/31 | 170,000 | 170,338 | |
2,230,011 | |||
Real Estate – 0.0%(c) | |||
Howard Hughes (The) Corp., 4.38%, 2/01/31(b) | 15,000 | 15,003 | |
Kennedy-Wilson, Inc., 5.00%, 3/01/31 | 45,000 | 45,788 | |
Realogy Group LLC/Realogy Co-Issuer Corp., | |||
7.63%, 6/15/25(b) | 20,000 | 21,369 | |
5.75%, 1/15/29(b) | 25,000 | 25,906 | |
108,066 | |||
Real Estate Investment Trusts – 0.9% | |||
American Tower Corp., | |||
0.60%, 1/15/24 | 135,000 | 133,807 | |
5.00%, 2/15/24 | 80,000 | 87,122 | |
1.45%, 9/15/26 | 65,000 | 64,033 | |
Camden Property Trust, 3.15%, 7/01/29 | 50,000 | 53,752 |
Par | Value | ||
Real Estate Investment Trusts (Continued) | |||
Crown Castle International Corp., | |||
3.20%, 9/01/24 | $ 30,000 | $ 31,602 | |
1.35%, 7/15/25 | 200,000 | 199,170 | |
Digital Realty Trust L.P., 4.75%, 10/01/25 | 80,000 | 89,444 | |
Diversified Healthcare Trust, 9.75%, 6/15/25 | 100,000 | 108,625 | |
Equinix, Inc., | |||
2.63%, 11/18/24 | 80,000 | 83,099 | |
1.25%, 7/15/25 | 200,000 | 197,969 | |
Essex Portfolio L.P., 1.70%, 3/01/28 | 230,000 | 223,817 | |
Federal Realty Investment Trust, 3.95%, 1/15/24 | 50,000 | 52,886 | |
GLP Capital L.P./GLP Financing II, Inc., 4.00%, 1/15/31 | 75,000 | 79,938 | |
HAT Holdings I LLC/HAT Holdings II LLC, 3.75%, 9/15/30(b) | 35,000 | 34,781 | |
Iron Mountain, Inc., | |||
5.00%, 7/15/28(b) | 75,000 | 77,250 | |
4.88%, 9/15/29(b) | 75,000 | 77,483 | |
5.25%, 7/15/30(b) | 40,000 | 41,768 | |
4.50%, 2/15/31(b) | 30,000 | 30,300 | |
5.63%, 7/15/32(b) | 50,000 | 53,250 | |
iStar, Inc., 4.25%, 8/01/25 | 100,000 | 102,500 | |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.75%, 6/15/29(b) | 80,000 | 80,600 | |
MGM Growth Properties Operating Partnership L.P./MGP Finance Co-Issuer, Inc., 5.75%, 2/01/27 | 100,000 | 114,000 | |
MPT Operating Partnership L.P./MPT Finance Corp., 3.50%, 3/15/31 | 35,000 | 35,266 | |
New Residential Investment Corp., 6.25%, 10/15/25(b) | 25,000 | 25,000 | |
Office Properties Income Trust, 3.45%, 10/15/31 | 70,000 | 68,378 | |
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, 5.88%, 10/01/28(b) | 110,000 | 114,950 | |
Public Storage, 3.39%, 5/01/29 | 25,000 | 27,370 | |
RHP Hotel Properties L.P./RHP Finance Corp., 4.50%, 2/15/29(b) | 80,000 | 79,200 |
Par | Value | ||
Real Estate Investment Trusts (Continued) | |||
SBA Communications Corp., 3.13%, 2/01/29(b) | $ 10,000 | $ 9,600 | |
Service Properties Trust, | |||
7.50%, 9/15/25 | 50,000 | 55,335 | |
4.38%, 2/15/30 | 75,000 | 70,688 | |
Simon Property Group L.P., | |||
3.50%, 9/01/25 | 65,000 | 70,030 | |
1.38%, 1/15/27 | 10,000 | 9,825 | |
Starwood Property Trust, Inc., | |||
5.50%, 11/01/23(b) | 35,000 | 36,750 | |
4.75%, 3/15/25 | 50,000 | 52,545 | |
3.63%, 7/15/26(b) | 25,000 | 25,000 | |
Uniti Group L.P./Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.88%, 2/15/25(b) | 50,000 | 52,585 | |
VICI Properties L.P./VICI Note Co., Inc., 4.13%, 8/15/30(b) | 50,000 | 52,500 | |
Welltower, Inc., 4.00%, 6/01/25 | 25,000 | 27,087 | |
XHR L.P., | |||
6.38%, 8/15/25(b) | 30,000 | 31,650 | |
4.88%, 6/01/29(b) | 20,000 | 20,519 | |
2,881,474 | |||
Retail – 0.3% | |||
Abercrombie & Fitch Management Co., 8.75%, 7/15/25(b) | 225,000 | 241,875 | |
Asbury Automotive Group, Inc., 4.75%, 3/01/30 | 35,000 | 35,700 | |
AutoNation, Inc., 1.95%, 8/01/28 | 35,000 | 34,136 | |
Bath & Body Works, Inc., | |||
5.25%, 2/01/28 | 25,000 | 26,950 | |
6.63%, 10/01/30(b) | 35,000 | 39,156 | |
Beacon Roofing Supply, Inc., 4.88%, 11/01/25 | 0 | 0 | |
Carrols Restaurant Group, Inc., 5.88%, 7/01/29(b) | 35,000 | 32,025 | |
Foundation Building Materials, Inc., 6.00%, 3/01/29 | 0 | 0 | |
Gap (The), Inc., | |||
3.63%, 10/01/29(b) | 25,000 | 24,500 | |
3.88%, 10/01/31(b) | 25,000 | 24,500 | |
Group 1 Automotive, Inc., 4.00%, 8/15/28(b) | 20,000 | 20,004 |
Par | Value | ||
Retail (Continued) | |||
GYP Holdings III Corp., 4.63%, 5/01/29(b) | $ 15,000 | $ 14,812 | |
Lowe's Cos., Inc., 4.00%, 4/15/25 | 45,000 | 48,997 | |
Macy's Retail Holdings LLC, 5.88%, 4/01/29(b) | 5,000 | 5,328 | |
Michaels (The) Cos., Inc., 5.25%, 5/01/28(b) | 20,000 | 20,200 | |
Murphy Oil USA, Inc., 3.75%, 2/15/31(b) | 25,000 | 24,594 | |
Ross Stores, Inc., 4.70%, 4/15/27 | 2,000 | 2,271 | |
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 9/30/26(b) | 10,000 | 10,413 | |
Victoria's Secret & Co., 4.63%, 7/15/29(b) | 20,000 | 20,088 | |
Walmart, Inc., 1.50%, 9/22/28 | 75,000 | 74,187 | |
White Cap Buyer LLC, 6.88%, 10/15/28(b) | 10,000 | 10,325 | |
Yum! Brands, Inc., | |||
4.75%, 1/15/30(b) | 50,000 | 53,375 | |
4.63%, 1/31/32 | 100,000 | 104,000 | |
867,436 | |||
Semiconductors – 0.3% | |||
Amkor Technology, Inc., 6.63%, 9/15/27(b) | 100,000 | 106,350 | |
Analog Devices, Inc., | |||
1.70%, 10/01/28 | 40,000 | 39,759 | |
2.10%, 10/01/31 | 30,000 | 29,994 | |
Broadcom, Inc., | |||
4.70%, 4/15/25 | 225,000 | 248,418 | |
4.25%, 4/15/26 | 100,000 | 109,974 | |
Entegris, Inc., 3.63%, 5/01/29(b) | 30,000 | 30,225 | |
Intel Corp., 3.75%, 3/25/27 | 100,000 | 110,589 | |
Micron Technology, Inc., 4.64%, 2/06/24 | 86,000 | 92,665 | |
Skyworks Solutions, Inc., 0.90%, 6/01/23 | 95,000 | 95,013 | |
Texas Instruments, Inc., 1.90%, 9/15/31 | 65,000 | 64,072 | |
927,059 | |||
Software – 0.4% | |||
Camelot Finance S.A., 4.50%, 11/01/26(b) | 50,000 | 51,937 | |
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 3/01/25(b) | 100,000 | 100,750 |
Par | Value | ||
Software (Continued) | |||
Citrix Systems, Inc., 1.25%, 3/01/26 | $130,000 | $ 126,559 | |
Clarivate Science Holdings Corp., | |||
3.88%, 7/01/28(b) | 50,000 | 49,438 | |
4.88%, 7/01/29(b) | 50,000 | 49,785 | |
Elastic N.V., 4.13%, 7/15/29(b) | 15,000 | 14,923 | |
Intuit, Inc., | |||
1.35%, 7/15/27 | 60,000 | 58,812 | |
1.65%, 7/15/30 | 45,000 | 43,698 | |
MSCI, Inc., | |||
3.88%, 2/15/31(b) | 100,000 | 103,160 | |
3.63%, 11/01/31(b) | 100,000 | 103,000 | |
3.25%, 8/15/33(b) | 55,000 | 55,213 | |
Nuance Communications, Inc., 5.63%, 12/15/26 | 125,000 | 128,984 | |
Oracle Corp., 1.65%, 3/25/26 | 180,000 | 180,575 | |
Roper Technologies, Inc., 1.00%, 9/15/25 | 45,000 | 44,280 | |
SS&C Technologies, Inc., 5.50%, 9/30/27(b) | 156,000 | 164,190 | |
VMware, Inc., 4.50%, 5/15/25 | 10,000 | 11,020 | |
Ziff Davis, Inc., 4.63%, 10/15/30(b) | 192,000 | 201,120 | |
1,487,444 | |||
Telecommunications – 0.5% | |||
AT&T, Inc., 1.70%, 3/25/26 | 295,000 | 296,235 | |
Avaya, Inc., 6.13%, 9/15/28(b) | 15,000 | 15,605 | |
Cincinnati Bell, Inc., 7.00%, 7/15/24(b) | 75,000 | 76,312 | |
Consolidated Communications, Inc., 6.50%, 10/01/28(b) | 15,000 | 15,973 | |
Embarq Corp., 8.00%, 6/01/36 | 25,000 | 27,625 | |
Frontier Communications Holdings LLC, 5.88%, 10/15/27(b) | 10,000 | 10,475 | |
INNOVATE Corp., 8.50%, 2/01/26(b) | 20,000 | 20,025 | |
Level 3 Financing, Inc., 3.63%, 1/15/29(b) | 100,000 | 94,621 | |
Lumen Technologies, Inc., 4.50%, 1/15/29(b) | 50,000 | 48,313 | |
Motorola Solutions, Inc., 4.60%, 5/23/29 | 30,000 | 34,530 | |
Sprint Capital Corp., | |||
6.88%, 11/15/28 | 50,000 | 63,222 | |
8.75%, 3/15/32 | 75,000 | 112,256 |
Par | Value | ||
Telecommunications (Continued) | |||
Sprint Corp., 7.13%, 6/15/24 | $100,000 | $ 113,000 | |
Switch Ltd., 3.75%, 9/15/28(b) | 45,000 | 44,775 | |
T-Mobile USA, Inc., 3.50%, 4/15/25 | 425,000 | 453,280 | |
Verizon Communications, Inc., 3.00%, 3/22/27 | 100,000 | 105,889 | |
ViaSat, Inc., | |||
5.63%, 4/15/27(b) | 100,000 | 104,000 | |
6.50%, 7/15/28(b) | 115,000 | 120,750 | |
1,756,886 | |||
Transportation – 0.1% | |||
Cargo Aircraft Management, Inc., 4.75%, 2/01/28(b) | 10,000 | 10,188 | |
First Student Bidco, Inc./First Transit Parent, Inc., 4.00%, 7/31/29(b) | 75,000 | 73,312 | |
United Parcel Service, Inc., 4.45%, 4/01/30 | 60,000 | 71,185 | |
Watco Cos. LLC/Watco Finance Corp., 6.50%, 6/15/27(b) | 15,000 | 15,938 | |
XPO Logistics, Inc., 6.25%, 5/01/25(b) | 50,000 | 52,672 | |
223,295 | |||
Trucking & Leasing – 0.1% | |||
Fortress Transportation and Infrastructure Investors LLC, | |||
6.50%, 10/01/25(b) | 30,000 | 30,872 | |
9.75%, 8/01/27(b) | 320,000 | 360,400 | |
391,272 | |||
Total Corporate Bonds (Cost $49,187,596) | 49,615,689 | ||
Foreign Issuer Bonds – 2.2% | |||
Brazil – 0.0%(c) | |||
Vale Overseas Ltd., 4.50%, 7/08/30 | 80,000 | 81,396 | |
Burkina Faso – 0.0%(c) | |||
IAMGOLD Corp., 7.00%, 10/15/28(b) | 30,000 | 29,438 | |
Canada – 0.7% | |||
1011778 B.C. ULC/New Red Finance, Inc., | |||
4.00%, 1/15/28(b) | 95,000 | 94,770 | |
4.00%, 10/15/30(b) | 130,000 | 125,935 |
Par | Value | ||
Canada (Continued) | |||
Air Canada, 3.88%, 8/15/26(b) | $ 35,000 | $ 35,438 | |
Bank of Montreal, 0.45%, 12/08/23 | 180,000 | 179,123 | |
Bank of Nova Scotia (The), | |||
0.65%, 7/31/24 | 95,000 | 94,123 | |
1.05%, 3/02/26 | 90,000 | 88,157 | |
1.35%, 6/24/26 | 160,000 | 158,807 | |
Brookfield Asset Management, Inc., 4.50%, 1/15/25 | 50,000 | 53,853 | |
Brookfield Finance I UK PLC, 1.65%, 1/30/32 | 20,000 | 19,492 | |
Canadian Imperial Bank of Commerce, | |||
0.45%, 6/22/23 | 135,000 | 134,506 | |
0.95%, 10/23/25 | 170,000 | 167,040 | |
Cascades, Inc./Cascades USA, Inc., 2.20%, 1/15/28(b) | 130,000 | 136,012 | |
Cenovus Energy, Inc., 5.88%, 7/15/25 | 6,000 | 6,740 | |
Empire Communities Corp., 7.00%, 12/15/25(b) | 20,000 | 20,700 | |
Enbridge, Inc., | |||
2.50%, 6/10/24 | 80,000 | 84,532 | |
4.00%, 1/15/25 | 100,000 | 103,455 | |
Fairfax Financial Holdings Ltd., 4.25%, 3/03/31(b) | 25,000 | 25,802 | |
Garda World Security Corp., 6.00%, 6/01/29(b) | 25,000 | 24,375 | |
GFL Environmental, Inc., 7.00%, 8/01/25(b) | 25,000 | 25,724 | |
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc., 3.38%, 12/31/26(b) | 20,000 | 19,800 | |
MEG Energy Corp., 5.88%, 2/01/29(b) | 20,000 | 20,575 | |
Methanex Corp., 5.25%, 12/15/29 | 75,000 | 79,500 | |
Parkland Corp., 5.88%, 7/15/27(b) | 50,000 | 52,813 | |
Royal Bank of Canada, | |||
0.75%, 10/07/24 | 70,000 | 69,382 | |
1.20%, 4/27/26 | 70,000 | 68,991 | |
Superior Plus L.P./Superior General Partner, Inc., 3.88%, 3/15/29(b) | 10,000 | 10,227 | |
Taseko Mines Ltd., 5.38%, 2/15/26(b) | 50,000 | 51,688 |
Par | Value | ||
Canada (Continued) | |||
Telesat Canada/Telesat LLC, | |||
5.63%, 12/06/26(b) | $ 15,000 | $ 14,002 | |
4.75%, 10/15/27(b) | 75,000 | 60,865 | |
Tervita Corp., 3.75%, 12/01/25(b) | 13,000 | 14,951 | |
Toronto-Dominion Bank (The), | |||
0.30%, 6/02/23 | 50,000 | 49,836 | |
3.25%, 3/11/24 | 50,000 | 52,734 | |
0.75%, 1/06/26 | 160,000 | 155,989 | |
2,299,937 | |||
France – 0.1% | |||
SPCM S.A., 3.13%, 3/15/27(b) | 200,000 | 197,750 | |
Germany – 0.1% | |||
Deutsche Bank A.G., (5Y USD Swap Rate + 2.55%), 4.88%, 12/01/32(j) | 200,000 | 217,293 | |
Deutsche Telekom International Finance B.V., 8.75%, 6/15/30 | 140,000 | 205,468 | |
422,761 | |||
Ireland – 0.1% | |||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, | |||
4.50%, 9/15/23 | 220,000 | 233,286 | |
1.65%, 10/29/24 | 150,000 | 150,338 | |
383,624 | |||
Italy – 0.0%(c) | |||
Telecom Italia Capital S.A., | |||
6.38%, 11/15/33 | 50,000 | 57,360 | |
6.00%, 9/30/34 | 20,000 | 22,250 | |
79,610 | |||
Japan – 0.5% | |||
Mitsubishi UFJ Financial Group, Inc., | |||
(1Y US Treasury CMT + 0.45%), 0.96%, 10/11/25(j) | 200,000 | 198,527 | |
2.05%, 7/17/30 | 200,000 | 194,761 | |
Mizuho Financial Group, Inc., | |||
(1.25% - SOFR), 1.24%, 7/10/24(j) | 200,000 | 201,310 | |
(3M USD LIBOR + 1.00%), 3.92%, 9/11/24(j) | 200,000 | 211,219 | |
Nomura Holdings, Inc., 1.85%, 7/16/25 | 200,000 | 201,114 |
Par | Value | ||
Japan (Continued) | |||
Sumitomo Mitsui Financial Group, Inc., | |||
2.45%, 9/27/24 | $200,000 | $ 207,236 | |
1.40%, 9/17/26 | 200,000 | 196,291 | |
Toyota Motor Corp., 0.68%, 3/25/24 | 195,000 | 194,131 | |
1,604,589 | |||
Luxembourg – 0.0%(c) | |||
ArcelorMittal S.A., 3.75%, 7/16/29 | 50,000 | 54,908 | |
Peru – 0.0%(c) | |||
Southern Copper Corp., 3.88%, 4/23/25 | 5,000 | 5,391 | |
Spain – 0.1% | |||
Banco Santander S.A., | |||
(1Y US Treasury CMT + 0.45%), 0.70%, 6/30/24(j) | 200,000 | 199,389 | |
1.85%, 3/25/26 | 200,000 | 200,257 | |
399,646 | |||
Switzerland – 0.1% | |||
Credit Suisse A.G., 0.52%, 8/09/23 | 250,000 | 249,495 | |
Novartis Capital Corp., 3.50%, 8/14/30 | 10,000 | 10,209 | |
259,704 | |||
United Kingdom – 0.5% | |||
Barclays PLC, (3M USD LIBOR + 1.40%), 4.61%, 2/15/23(j) | 200,000 | 202,298 | |
HSBC Holdings PLC, | |||
(3M USD LIBOR + 1.06%), 3.26%, 3/13/23(j) | 200,000 | 201,972 | |
(SOFR + 0.53%), 0.73%, 8/17/24(j) | 200,000 | 199,136 | |
Lloyds Banking Group PLC, (1Y US Treasury CMT + 0.55%), 0.70%, 5/11/24(j) | 200,000 | 199,729 | |
Reynolds American, Inc., 4.45%, 6/12/25 | 125,000 | 136,374 | |
Santander UK Group Holdings PLC, (SOFR + 0.79%), 1.09%, 3/15/25(j) | 300,000 | 298,560 | |
Unilever Capital Corp., 3.38%, 3/22/25 | 100,000 | 106,727 |
Par | Value | ||
United Kingdom (Continued) | |||
Virgin Media Secured Finance PLC, 4.50%, 8/15/30(b) | $ 200,000 | $ 199,750 | |
Vmed O2 UK Financing I PLC, 4.75%, 7/15/31(b) | 200,000 | 201,000 | |
1,745,546 | |||
Total Foreign Issuer Bonds (Cost $7,577,595) | 7,564,300 | ||
Mortgage-Backed Securities – 13.8% | |||
Federal Home Loan Mortgage Corporation – 0.9% | |||
Pool, | |||
#QA2226, 3.00%, 7/01/46 | 40,523 | 42,707 | |
#QA2237, 3.00%, 7/01/46 | 90,787 | 95,671 | |
#QA8965, 3.00%, 4/01/50 | 25,625 | 26,807 | |
#RA2621, 4.00%, 5/01/50 | 49,332 | 52,717 | |
#RA3022, 2.50%, 6/01/50 | 40,994 | 42,307 | |
#RA3174, 3.00%, 7/01/50 | 48,154 | 50,689 | |
#RA3382, 3.00%, 8/01/50 | 118,403 | 124,541 | |
#RA3935, 2.50%, 11/01/50 | 276,443 | 284,174 | |
#SB0383, 2.50%, 4/01/32 | 135,403 | 142,132 | |
#SB8500, 2.50%, 7/01/35 | 138,268 | 145,646 | |
#SB8505, 2.50%, 10/01/35 | 419,885 | 441,539 | |
#SD0514, 2.00%, 10/01/50 | 68,830 | 69,231 | |
#SD7521, 2.50%, 7/01/50 | 42,806 | 44,337 | |
#SD8146, 2.00%, 5/01/51 | 1,028,059 | 1,028,643 | |
#ZS4693, 3.00%, 12/01/46 | 227,676 | 239,793 | |
#ZS4746, 3.00%, 12/01/47 | 12,043 | 12,604 | |
#ZS7757, 3.00%, 3/01/30 | 242,772 | 256,149 | |
#ZT1858, 4.50%, 4/01/49 | 61,064 | 67,005 | |
3,166,692 | |||
Federal Home Loan Mortgage Corporation Gold – 0.1% | |||
Pool, | |||
#G08697, 3.00%, 3/01/46 | 138,505 | 146,089 | |
#G08737, 3.00%, 12/01/46 | 162,409 | 171,111 | |
317,200 |
Par | Value | ||
Federal National Mortgage Association – 3.0% | |||
Pool, | |||
11/01/51 (k) | $ 547,375 | $ 565,616 | |
#AS5640, 3.50%, 8/01/45 | 57,081 | 61,491 | |
#BM5024, 3.00%, 11/01/48 | 25,046 | 26,192 | |
#BN3960, 4.50%, 1/01/49 | 13,451 | 14,561 | |
#BR7647, 2.00%, 4/01/51 | 46,759 | 46,800 | |
#CA3666, 4.00%, 6/01/49 | 480,742 | 522,271 | |
#CA5182, 4.50%, 2/01/50 | 586,255 | 639,176 | |
#CA5575, 4.00%, 4/01/50 | 348,166 | 374,846 | |
#CA5754, 4.00%, 5/01/50 | 39,439 | 42,192 | |
#CA6317, 3.00%, 7/01/50 | 39,216 | 41,260 | |
#CA7368, 2.50%, 10/01/50 | 147,908 | 152,065 | |
#CA7572, 2.50%, 10/01/50 | 124,690 | 129,343 | |
#CA7573, 2.50%, 11/01/50 | 189,309 | 196,228 | |
#CB0235, 2.00%, 4/01/51 | 121,768 | 122,232 | |
#CB0400, 2.00%, 5/01/51 | 25,281 | 25,530 | |
#CB0684, 2.00%, 6/01/51 | 85,813 | 86,098 | |
#CB0819, 2.00%, 6/01/51 | 174,313 | 174,979 | |
#CB1065, 2.50%, 7/01/51 | 171,387 | 176,222 | |
#FM2888, 3.50%, 1/01/49 | 59,829 | 63,199 | |
#FM4808, 2.50%, 11/01/50 | 85,323 | 87,724 | |
#FM6135, 2.00%, 2/01/51 | 47,603 | 47,759 | |
#FM6834, 2.00%, 4/01/51 | 232,952 | 233,895 | |
#FM7259, 2.50%, 5/01/36 | 250,851 | 262,447 | |
#FM7719, 2.00%, 6/01/51 | 294,891 | 296,086 | |
#FM7840, 4.00%, 4/01/50 | 98,446 | 105,201 | |
#FM8794, 2.50%, 9/01/51 | 991,788 | 1,019,852 | |
#MA3238, 3.50%, 1/01/48 | 1,480,971 | 1,572,718 | |
#MA3467, 4.00%, 9/01/48 | 141,322 | 151,168 | |
#MA4026, 4.00%, 5/01/50 | 692,196 | 740,540 | |
#MA4156, 2.50%, 10/01/35 | 89,206 | 92,700 |
Par | Value | ||
Federal National Mortgage Association (Continued) | |||
Pool, | |||
#MA4326, 2.50%, 5/01/51 | $ 119,645 | $ 122,967 | |
#MA4356, 2.50%, 6/01/51 | 264,504 | 272,259 | |
#MA4357, 3.00%, 6/01/51 | 946,295 | 988,753 | |
#MA4378, 2.00%, 7/01/51 | 255,178 | 255,323 | |
#MA4398, 2.00%, 8/01/51 | 568,391 | 568,714 | |
10,278,407 | |||
Government National Mortgage Association – 2.4% | |||
Pool TBA, | |||
12/31/49 (k) | 350,000 | 343,075 | |
11/01/50 (k) | 550,000 | 571,098 | |
11/01/50 (k) | 2,550,000 | 2,582,224 | |
11/01/50 (k) | 800,000 | 836,812 | |
11/01/50 (k) | 1,400,000 | 1,483,727 | |
11/01/50 (k) | 200,000 | 213,305 | |
11/01/50 (k) | 225,000 | 242,894 | |
11/01/51 (k) | 1,919,000 | 1,972,634 | |
8,245,769 | |||
Government National Mortgage Association II – 1.6% | |||
Pool, | |||
2.50%, 8/20/51 | 644,582 | 663,206 | |
#785043, 3.00%, 4/20/49 | 310,335 | 324,491 | |
#BW4651, 2.50%, 8/20/50 | 19,096 | 19,642 | |
#BW4741, 2.50%, 9/20/50 | 22,222 | 22,857 | |
#BW6206, 2.50%, 8/20/50 | 40,889 | 42,060 | |
#BY0776, 2.50%, 9/20/50 | 44,429 | 45,701 | |
#BY0805, 2.50%, 9/20/50 | 39,745 | 40,885 | |
#MA4125, 2.50%, 12/20/46 | 39,876 | 41,237 | |
#MA4962, 3.50%, 1/20/48 | 1,135,723 | 1,199,355 | |
#MA5397, 3.50%, 8/20/48 | 248,680 | 261,748 | |
#MA5467, 4.50%, 9/20/48 | 63,968 | 68,518 | |
#MA6338, 3.00%, 12/20/49 | 1,163,331 | 1,208,540 | |
#MA6409, 3.00%, 1/20/50 | 69,903 | 72,620 | |
#MA6412, 4.50%, 1/20/50 | 139,612 | 148,927 | |
#MA6474, 3.00%, 2/20/50 | 39,822 | 41,368 | |
#MA6766, 3.00%, 7/20/50 | 456,487 | 474,275 |
Par | Value | ||
Government National Mortgage Association II (Continued) | |||
Pool, | |||
#MA7136, 2.50%, 1/20/51 | $ 21,768 | $ 22,384 | |
#MA7193, 2.50%, 2/20/51 | 181,925 | 187,061 | |
#MA7472, 2.50%, 7/20/51 | 320,724 | 329,893 | |
5,214,768 | |||
Uniform Mortgage-Backed Securities – 5.8% | |||
Pool TBA, | |||
12/18/33 (k) | 175,000 | 189,200 | |
11/01/35 (k) | 1,875,000 | 1,924,036 | |
11/01/35 (k) | 160,000 | 167,700 | |
11/01/35 (k) | 600,000 | 636,586 | |
11/01/35 (k) | 175,000 | 185,083 | |
11/01/36 (k) | 1,200,000 | 1,207,758 | |
11/01/50 (k) | 1,817,000 | 1,920,200 | |
11/01/50 (k) | 732,000 | 783,669 | |
11/01/50 (k) | 661,000 | 714,474 | |
11/01/50 (k) | 1,025,000 | 1,128,301 | |
12/01/50 (k) | 4,325,000 | 4,315,961 | |
12/01/50 (k) | 1,575,000 | 1,613,790 | |
12/01/50 (k) | 2,450,000 | 2,553,001 | |
12/01/50 (k) | 1,075,000 | 1,135,553 | |
12/01/50 (k) | 350,000 | 374,753 | |
12/01/51 (k) | 800,000 | 773,641 | |
19,623,706 | |||
Total Mortgage-Backed Securities (Cost $46,928,442) | 46,846,542 |
Number of Shares | |||
Preferred Stocks – 1.1% | |||
Real Estate Investment Trusts – 1.1% | |||
AGNC Investment Corp., 6.13%(d) | 21,599 | 547,103 | |
Arbor Realty Trust, Inc., 6.25%(d)* | 19,033 | 479,822 | |
Chimera Investment Corp., 8.00%(d) | 13,863 | 357,527 | |
MFA Financial, Inc., 6.50%(d) | 35,021 | 844,356 | |
New Residential Investment Corp., 6.38%(d) | 33,628 | 789,922 |
Number of Shares | Value | ||
Real Estate Investment Trusts (Continued) | |||
New Residential Investment Corp., 7.00%(d) | 12,849 | $ 324,437 | |
New York Mortgage Trust, Inc., 6.88%(d) | 18,982 | 473,031 | |
3,816,198 | |||
Total Preferred Stocks (Cost $3,719,570) | 3,816,198 | ||
Rights – 0.0%(c) | |||
Biotechnology – 0.0%(c) | |||
Pfenex, Inc. CVR(l)* | 53,807 | 44,391 | |
Pharmaceuticals – 0.0%(c) | |||
Elanco Animal Health, Inc.* | 22,842 | — | |
Total Rights (Cost $51,117) | 44,391 | ||
Warrants – 0.0%(c) | |||
Auto Manufacturers – 0.0%(c) | |||
Lightning eMotors, Inc., Strike Price $11.50, Expires 7/02/25 | 10,521 | 16,518 | |
Healthcare - Services – 0.0%(c) | |||
UpHealth, Inc, Strike Price $11.50, Expires 7/01/24* | 254 | 66 | |
Total Warrants (Cost $—) | 16,584 | ||
Investment Companies – 0.7% | |||
ProShares Short 20+ Year Treasury* | 135,857 | 2,203,601 | |
Total Investment Companies (Cost $2,387,865) | 2,203,601 | ||
Short-Term Investments – 13.8% | |||
Corporate Bonds – 0.2% | |||
Williams (The) Cos., Inc., 3.60%, 3/15/22 | 40,000 | 40,247 | |
Charter Communications Operating LLC/Charter Communications Operating Capital, 4.46%, 7/23/22 | 200,000 | 204,072 | |
Ares Capital Corp., 3.63%, 1/19/22 | 60,000 | 60,235 |
Number of Shares | Value | ||
Corporate Bonds (Continued) | |||
Air Lease Corp., 3.50%, 1/15/22 | 50,000 | $ 50,297 | |
General Motors Financial Co., Inc., 3.55%, 7/08/22 | 200,000 | 204,096 | |
558,947 | |||
Money Market Fund – 12.4% | |||
Northern Institutional Funds - Treasury Portfolio (Premier), 0.01%(m) | 42,162,649 | 42,162,649 | |
Convertible Bonds – 1.2% | |||
OSI Systems, Inc., 1.25%, 9/01/22(e) | 751,000 | 774,943 | |
iStar, Inc., 3.13%, 9/15/22(e) | 458,000 | 836,997 | |
II-VI, Inc., 0.25%, 9/01/22(e)(g) | 560,000 | 750,734 | |
Granite Point Mortgage Trust, Inc., 5.63%, 12/01/22(b) | 1,072,000 | 1,063,452 | |
Golar LNG Ltd., 2.75%, 2/15/22 | 622,000 | 622,427 | |
4,048,553 | |||
Total Short-Term Investments (Cost $45,131,999) | 46,770,149 |
Number of Contracts | Notional Amount | ||
Purchased Options – 0.2% | |||
Call Options - Exchange Traded – 0.2% | |||
Acceleron Pharma, Inc., | |||
Strike Price $180.00, Expires 11/19/21 | 31 | 539,958 | 837 |
Strike Price $180.00, Expires 12/17/21 | 60 | 1,045,080 | 6,000 |
Aerojet Rocketdyne Holdings, Inc., Strike Price $45.00, Expires 11/19/21 | 59 | 259,659 | 7,080 |
Canadian Pacific Railway Ltd., | |||
Strike Price $78.00, Expires 12/17/21 | 126 | 975,240 | 28,350 |
Strike Price $80.00, Expires 12/17/21 | 125 | 967,500 | 20,000 |
iShares Core Aggressive Allocation ETF, Strike Price $320.00, Expires 12/17/21 | 82 | 594,336 | 91,020 |
Marsh & McLennan Cos., Inc., Strike Price $165.00, Expires 11/19/21 | 154 | 2,568,720 | 61,600 |
Number of Contracts | Notional Amount | Value | |
Call Options - Exchange Traded (Continued) | |||
S&P Global, Inc., | |||
Strike Price $475.00, Expires 11/19/21 | 54 | 2,560,464 | $ 57,240 |
Strike Price $470.00, Expires 11/19/21 | 90 | 4,267,440 | 130,500 |
Sportsman's Warehouse Holdings, Inc., Strike Price $17.50, Expires 12/17/21 | 22 | 37,972 | 1,210 |
Trillium Therapeutics Inc, Strike Price $20.00, Expires 12/17/21 | 106 | 191,966 | 530 |
Twilio, Inc., Class A, | |||
Strike Price $340.00, Expires 11/19/21 | 6 | 174,816 | 693 |
Strike Price $350.00, Expires 11/19/21 | 6 | 174,816 | 528 |
Zendesk, Inc., Strike Price $100.00, Expires 12/17/21 | 81 | 824,580 | 65,610 |
Zoom Video Communications, Inc., Class A, Strike Price $270.00, Expires 11/19/21 | 21 | 576,765 | 25,116 |
496,314 | |||
Put Options - Exchange Traded – 0.0%(c) | |||
Bakkt Holdings, Inc., | |||
Strike Price $30.00, Expires 12/17/21 | 17 | 72,284 | 15,980 |
Strike Price $25.00, Expires 12/17/21 | 16 | 68,032 | 10,720 |
Five9, Inc., | |||
Strike Price $150.00, Expires 11/19/21 | 64 | 1,011,264 | 26,240 |
Strike Price $150.00, Expires 12/17/21 | 52 | 821,652 | 34,840 |
Strike Price $155.00, Expires 11/19/21 | 23 | 363,423 | 14,030 |
Strike Price $155.00, Expires 12/17/21 | 11 | 173,811 | 9,845 |
VPC Impact Acquisition Holdings III, Inc., Strike Price $9.00, Expires 11/19/21 | 18 | 17,910 | 90 |
111,745 | |||
Total Purchased Options (Premiums Received $570,430) | 608,059 | ||
Total Long Positions – 107.3% (Cost $349,605,133) | 363,362,728 |
Number of Shares | Value | ||
Short Positions – (20.3)% | |||
Common Stocks – (17.3)% | |||
Aerospace/Defense – (0.0)%(c) | |||
Kaman Corp.(e) | (2,653) | $ (94,951) | |
Agriculture – (0.1)% | |||
Bunge Ltd. | (2,791) | (258,558) | |
Airlines – (0.0)%(c) | |||
Spirit Airlines, Inc.* | (4,896) | (106,978) | |
Auto Manufacturers – (0.0)%(c) | |||
NIO, Inc. ADR (China)* | (3,365) | (132,615) | |
Auto Parts & Equipment – (0.0)%(c) | |||
Meritor, Inc.* | (4,976) | (121,116) | |
Banks – (0.3)% | |||
Goldman Sachs Group (The), Inc. | (2,744) | (1,134,232) | |
Biotechnology – (0.9)% | |||
Avid Bioservices, Inc.* | (12,008) | (368,405) | |
Bridgebio Pharma, Inc.(e)* | (5,338) | (263,590) | |
Exact Sciences Corp.(e)(g)* | (4,750) | (452,295) | |
Gossamer Bio, Inc.* | (36,273) | (450,511) | |
Halozyme Therapeutics, Inc.* | (6,723) | (255,945) | |
Innoviva, Inc.* | (11,317) | (197,482) | |
Insmed, Inc.(g)* | (16,394) | (494,279) | |
Ionis Pharmaceuticals, Inc.* | (1,437) | (45,797) | |
Ligand Pharmaceuticals, Inc.(e)* | (318) | (46,409) | |
Radius Health, Inc.* | (1,361) | (29,397) | |
Travere Therapeutics, Inc.* | (9,665) | (278,449) | |
(2,882,559) | |||
Commercial Services – (2.7)% | |||
2U, Inc.(g)* | (8,626) | (254,812) | |
Bakkt Holdings, Inc.* | (1,460) | (62,079) | |
FTI Consulting, Inc.(e)* | (4,112) | (591,799) | |
S&P Global, Inc. | (14,397) | (6,826,482) | |
Sabre Corp.(e)* | (63,343) | (657,500) | |
Square, Inc., Class A* | (1,852) | (471,334) | |
Stride, Inc.(e)* | (9,098) | (322,979) | |
(9,186,985) | |||
Computers – (0.5)% | |||
Lumentum Holdings, Inc.(e)(g)* | (1,876) | (154,920) | |
Mitek Systems, Inc.* | (18,481) | (347,997) |
Number of Shares | Value | ||
Computers (Continued) | |||
NCR Corp.* | (12,043) | $ (476,180) | |
Vocera Communications, Inc.(e)* | (11,932) | (675,113) | |
(1,654,210) | |||
Diversified Financial Services – (0.8)% | |||
Affiliated Managers Group, Inc. | (1,090) | (182,989) | |
Coinbase Global, Inc., Class A(e)* | (675) | (215,608) | |
Cowen, Inc., Class A | (16,440) | (620,281) | |
Encore Capital Group, Inc.* | (9,656) | (521,617) | |
I3 Verticals, Inc., Class A(e)* | (7,174) | (160,626) | |
PRA Group, Inc.(e)* | (7,285) | (312,381) | |
SoFi Technologies, Inc.* | (13,406) | (269,327) | |
WisdomTree Investments, Inc.(e) | (67,568) | (431,760) | |
(2,714,589) | |||
Electric – (0.2)% | |||
Algonquin Power & Utilities Corp. (Canada) | (23,721) | (342,294) | |
NRG Energy, Inc. | (10,875) | (433,804) | |
(776,098) | |||
Electronics – (0.5)% | |||
GoPro, Inc. Class A(e)* | (25,245) | (217,359) | |
II-VI, Inc.(e)(g)* | (19,550) | (1,182,971) | |
OSI Systems, Inc.* | (2,835) | (263,967) | |
(1,664,297) | |||
Energy - Alternate Sources – (0.4)% | |||
Enphase Energy, Inc.(e)(g)* | (2,909) | (673,812) | |
Sunnova Energy International, Inc.(e)(g)* | (13,265) | (591,088) | |
Sunrun, Inc.(e)* | (2,991) | (172,521) | |
(1,437,421) | |||
Engineering & Construction – (0.1)% | |||
Fluor Corp.* | (23,837) | (463,391) | |
Entertainment – (0.1)% | |||
Penn National Gaming, Inc.* | (1,956) | (140,050) | |
Food – (0.1)% | |||
Beyond Meat, Inc.(g)* | (837) | (82,846) | |
Chefs' Warehouse (The), Inc.(e)* | (9,919) | (345,876) | |
(428,722) | |||
Healthcare - Products – (0.0)%(c) | |||
Alphatec Holdings, Inc.* | (11,707) | (137,323) |
Number of Shares | Value | ||
Home Builders – (0.1)% | |||
Winnebago Industries, Inc. | (5,919) | $ (400,657) | |
Insurance – (1.5)% | |||
Aon PLC, Class A | (8,201) | (2,623,664) | |
Marsh & McLennan Cos., Inc. | (15,289) | (2,550,205) | |
(5,173,869) | |||
Internet – (0.8)% | |||
21Vianet Group, Inc. ADR (China)(e)* | (4,421) | (69,321) | |
fuboTV, Inc.(g)* | (6,448) | (192,215) | |
Groupon, Inc.(e)(g)* | (2,569) | (54,514) | |
iQIYI, Inc. ADR (China)* | (4,865) | (40,282) | |
Magnite, Inc.* | (7,214) | (194,995) | |
NortonLifeLock, Inc. | (1,076) | (27,384) | |
Q2 Holdings, Inc.(e)* | (3,835) | (300,894) | |
RealReal (The), Inc.(g)* | (8,189) | (106,703) | |
Spotify Technology S.A.* | (737) | (213,288) | |
TripAdvisor, Inc.* | (3,320) | (109,460) | |
Upwork, Inc.* | (3,883) | (182,967) | |
Zendesk, Inc.* | (5,381) | (547,786) | |
Zillow Group, Inc., Class C* | (4,853) | (502,916) | |
(2,542,725) | |||
Leisure Time – (0.4)% | |||
Callaway Golf Co.(g)* | (20,512) | (554,850) | |
Royal Caribbean Cruises Ltd.* | (7,654) | (646,227) | |
(1,201,077) | |||
Lodging – (0.3)% | |||
Huazhu Group Ltd. ADR (China)(e)* | (12,081) | (560,075) | |
Marcus (The) Corp.(g)* | (26,814) | (497,936) | |
(1,058,011) | |||
Machinery - Construction & Mining – (0.2)% | |||
Bloom Energy Corp., Class A(e)* | (16,112) | (503,661) | |
Machinery - Diversified – (0.3)% | |||
Middleby (The) Corp.(e)* | (3,401) | (620,479) | |
Valmet OYJ (Finland) | (6,455) | (262,047) | |
(882,526) | |||
Media – (0.2)% | |||
Cable One, Inc.(e) | (125) | (213,901) | |
DISH Network Corp., Class A(e)* | (8,374) | (343,920) | |
(557,821) | |||
Metal Fabricate/Hardware – (0.1)% | |||
RBC Bearings, Inc.* | (1,170) | (273,698) |
Number of Shares | Value | ||
Oil & Gas – (0.2)% | |||
Centennial Resource Development, Inc., Class A* | (104,045) | $ (749,124) | |
Oil & Gas Services – (0.1)% | |||
Helix Energy Solutions Group, Inc.(e)* | (46,003) | (173,891) | |
Pharmaceuticals – (0.3)% | |||
Coherus Biosciences, Inc.* | (20,736) | (346,913) | |
Jazz Pharmaceuticals PLC* | (2,621) | (348,698) | |
Zogenix, Inc.* | (12,367) | (189,586) | |
(885,197) | |||
Pipelines – (0.0)%(c) | |||
Cheniere Energy, Inc.(e)* | (489) | (50,563) | |
Real Estate – (0.1)% | |||
Realogy Holdings Corp.* | (10,880) | (188,442) | |
Redfin Corp.(e)(g)* | (4,482) | (230,106) | |
(418,548) | |||
Real Estate Investment Trusts – (0.7)% | |||
iStar, Inc. | (29,241) | (738,043) | |
Pebblebrook Hotel Trust | (25,359) | (569,563) | |
Summit Hotel Properties, Inc.(e)* | (24,918) | (249,180) | |
VICI Properties, Inc. | (31,202) | (915,779) | |
(2,472,565) | |||
Retail – (0.2)% | |||
Burlington Stores, Inc.(e)* | (1,860) | (513,899) | |
Cheesecake Factory (The), Inc.* | (2,121) | (86,198) | |
Vroom, Inc.(e)* | (3,903) | (74,664) | |
(674,761) | |||
Semiconductors – (2.1)% | |||
Advanced Micro Devices, Inc.* | (57,913) | (6,962,880) | |
MACOM Technology Solutions Holdings, Inc.* | (3,043) | (212,462) | |
(7,175,342) | |||
Software – (1.8)% | |||
8x8, Inc.* | (9,574) | (216,947) | |
Avaya Holdings Corp.(g)* | (9,360) | (174,283) | |
Bentley Systems, Inc., Class B | (3,547) | (209,805) | |
BigCommerce Holdings, Inc.* | (2,375) | (109,749) | |
Ceridian HCM Holding, Inc.(e)* | (2,895) | (362,599) | |
Clarivate PLC* | (13,275) | (311,299) |
Number of Shares | Value | ||
Software (Continued) | |||
Consensus Cloud Solutions, Inc.* | (175) | $ (11,062) | |
Envestnet, Inc.* | (4,119) | (343,936) | |
Everbridge, Inc.(g)* | (2,957) | (471,080) | |
Fastly, Inc. Class A(e)* | (2,961) | (149,856) | |
j2 Global, Inc.* | (3,073) | (394,174) | |
Jamf Holding Corp.(e)* | (4,438) | (211,471) | |
MicroStrategy, Inc., Class A(e)* | (379) | (271,008) | |
New Relic, Inc.(e)(g)* | (1,797) | (145,844) | |
Porch Group, Inc.* | (12,744) | (268,006) | |
Progress Software Corp.(e) | (5,978) | (307,329) | |
Splunk, Inc.* | (1,062) | (175,039) | |
Tabula Rasa HealthCare, Inc.(e)* | (3,450) | (93,667) | |
Twilio, Inc., Class A* | (819) | (238,624) | |
Verint Systems, Inc.* | (6,059) | (282,349) | |
Workiva, Inc.(e)(g)* | (5,933) | (887,280) | |
Zoom Video Communications, Inc., Class A* | (1,636) | (449,327) | |
(6,084,734) | |||
Telecommunications – (0.2)% | |||
Infinera Corp.(e)* | (27,967) | (212,269) | |
Motorola Solutions, Inc. | (1,037) | (257,788) | |
Vonage Holdings Corp.* | (17,816) | (287,194) | |
(757,251) | |||
Transportation – (0.9)% | |||
Air Transport Services Group, Inc.* | (10,496) | (261,246) | |
Canadian Pacific Railway Ltd. (Canada) | (34,986) | (2,707,916) | |
SFL Corp. Ltd. (Norway) | (6,943) | (54,919) | |
(3,024,081) | |||
Trucking & Leasing – (0.1)% | |||
Greenbrier (The) Cos., Inc. | (7,139) | (292,842) | |
Total Common Stocks (Proceeds $52,066,741) | (58,687,039) |
Par | |||
Mortgage-Backed Securities – (2.9)% | |||
Uniform Mortgage-Backed Securities – (2.9)% | |||
Pool TBA, | |||
11/01/50 (k) | $(4,068,000) | (4,243,750) | |
12/31/49 (k) | (2,711,000) | (2,710,947) |
Par | Value | ||
Uniform Mortgage-Backed Securities (Continued) | |||
Pool TBA, | |||
12/31/49 (k) | $ (326,000) | $ (338,747) | |
12/31/49 (k) | (2,257,000) | (2,317,966) | |
(9,611,410) | |||
Total Mortgage-Backed Securities (Proceeds $9,594,071) | (9,611,410) |
Number of Shares | |||
Investment Companies – (0.1)% | |||
iShares Russell 2000 ETF | (1,738) | (396,351) | |
iShares MSCI Australia ETF | (1,360) | (35,986) | |
Total Investment Companies (Proceeds $404,490) | (432,337) | ||
Total Short Positions – (20.3)% (Proceeds $62,065,302) | (68,730,786) | ||
Total Written Options – (0.1)% (Premiums Received $283,560) | (332,838) | ||
Other Assets less Liabilities – 13.1%(n) | 44,441,553 | ||
NET ASSETS – 100.0% | $338,740,657 | ||
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) | Amount rounds to less than 0.05%. |
(d) | Variable rate security. Rate as of October 31, 2021 is disclosed. |
(e) | All or a portion of the security was held as collateral for open futures, options, securities sold short and/or swap agreements. |
(f) | Zero coupon bond. |
(g) | Security represents underlying investment on open options contracts. |
(h) | Security is a payment in-kind bond (PIK), distributions received in-kind unless otherwise noted in the description. |
(i) | Restricted security that has been deemed illiquid. At October 31, 2021, the value of these restricted illiquid securities amounted to $1,093,007 or 0.32% of net assets. Additional information on these restricted illiquid securities is as follows: |
Security | Acquisition Date | Acquisition Cost | |
Fluor Corp., 6.50% | 5/14/21-5/21/21 | $ 981,446 |
(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, 2021 is disclosed. |
(k) | When-issued security. Coupon rate was not yet in effect at October 31, 2021. |
(l) | Investment is valued using significant unobservable inputs (Level 3) (See table below). |
(m) | 7-day current yield as of October 31, 2021 is disclosed. |
(n) | Includes appreciation/ (depreciation) on forward foreign currency exchange, futures and swap contracts. |
* | Non-income producing security |
Abbreviations: | |
1M | 1 Month |
1Y | 1 Year |
3M | 3 Month |
5Y | 5 Year |
ADR | American Depositary Receipt |
BDC | Business Development Company |
CMT | Constant Maturity |
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 |
L.P. | Limited Partnership |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
MSCI | Morgan Stanley Capital International |
PLC | Public Limited Company |
REMIC | Real Estate Mortgage Investment Conduit |
S&P | Standards & Poor's |
SOFR | United States Secured Overnight Financing Rate |
STACR | Structured Agency Credit Risk |
TBA | To be announced |
USD | United States Dollar |
Futures Contracts outstanding at October 31, 2021: Exchange Traded | |||||
Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts | |||||
Euro-BTP | 2 | 12/08/2021 | EUR | 342,777 | $ (13,465) |
Euro-OAT | 3 | 12/08/2021 | EUR | 568,752 | (16,791) |
Euro Bund | 56 | 12/10/2021 | EUR | 10,883,417 | (56,056) |
10-Year Australian Treasury Bond | 81 | 12/15/2021 | AUD | 8,216,798 | (550,619) |
E-Mini Russell 1000 Value Index | 51 | 12/17/2021 | USD | 4,122,585 | 199,104 |
10-Year Canadian Bond | 72 | 12/20/2021 | CAD | 8,200,065 | (310,610) |
U.S. Treasury Long Bond | 35 | 12/21/2021 | USD | 5,629,531 | 6,601 |
Ultra 10-Year U.S. Treasury Note | 13 | 12/21/2021 | USD | 1,885,406 | (40,290) |
Ultra U.S. Treasury Bond | 10 | 12/21/2021 | USD | 1,964,063 | (15,662) |
5-Year U.S. Treasury Note | 80 | 12/31/2021 | USD | 9,740,000 | (82,316) |
Total Long Contracts | $(880,104) | ||||
Short Contracts | |||||
10-Year U.S. Treasury Note | (191) | 12/21/2021 | USD | 24,964,297 | $ 487,734 |
Long GILT | (94) | 12/29/2021 | GBP | 16,070,173 | 105,875 |
2-Year U.S. Treasury Note | (11) | 12/31/2021 | USD | 2,411,750 | 10,961 |
Total Short Contracts | $ 604,570 | ||||
$(275,534) |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2021: | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
12/15/21 | U.S. Dollars | 4,117,088 | Euro | 3,478,600 | Morgan Stanley | $ 91,252 |
12/15/21 | U.S. Dollars | 5,014,871 | British Pounds | 3,627,200 | Morgan Stanley | 49,959 |
12/15/21 | Australian Dollars | 944,180 | U.S. Dollars | 698,883 | Citibank | 11,504 |
12/15/21 | British Pounds | 1,020,100 | U.S. Dollars | 1,385,537 | Morgan Stanley | 10,776 |
12/15/21 | U.S. Dollars | 43,722 | Mexican Pesos | 880,000 | Goldman Sachs | 1,280 |
12/15/21 | U.S. Dollars | 178,810 | British Pounds | 130,000 | Goldman Sachs | 866 |
12/15/21 | Australian Dollars | 36,300 | U.S. Dollars | 26,827 | Morgan Stanley | 484 |
12/15/21 | New Zealand Dollars | 18,300 | U.S. Dollars | 12,851 | Morgan Stanley | 253 |
12/15/21 | U.S. Dollars | 37,672 | Swedish Kronor | 321,200 | Morgan Stanley | 245 |
12/15/21 | U.S. Dollars | 44,666 | Singapore Dollars | 60,000 | Goldman Sachs | 181 |
12/15/21 | U.S. Dollars | 128,081 | Australian Dollars | 170,000 | Deutsche Bank | 176 |
12/15/21 | U.S. Dollars | 5,146 | Polish Zloty | 20,000 | Morgan Stanley | 138 |
12/15/21 | Swedish Kronor | 58,400 | U.S. Dollars | 6,675 | Morgan Stanley | 130 |
12/15/21 | Norwegian Kroner | 246,300 | U.S. Dollars | 29,024 | Morgan Stanley | 121 |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2021: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
12/15/21 | U.S. Dollars | 22,250 | Swedish Kronor | 190,000 | JPMorgan Chase | $ 112 |
12/15/21 | U.S. Dollars | 22,329 | Singapore Dollars | 30,000 | Barclays | 87 |
12/15/21 | U.S. Dollars | 2,589 | Polish Zloty | 10,000 | Goldman Sachs | 85 |
12/15/21 | U.S. Dollars | 14,872 | Singapore Dollars | 20,000 | Citibank | 44 |
12/15/21 | U.S. Dollars | 39,867 | Hong Kong Dollars | 310,000 | Citibank | 19 |
12/15/21 | U.S. Dollars | 6,540 | Canadian Dollars | 8,070 | Morgan Stanley | 19 |
12/15/21 | U.S. Dollars | 2,085 | New Zealand Dollars | 2,900 | Morgan Stanley | 9 |
12/15/21 | U.S. Dollars | 10,292 | Hong Kong Dollars | 80,000 | Goldman Sachs | 8 |
12/15/21 | U.S. Dollars | 7,422 | Singapore Dollars | 10,000 | JPMorgan Chase | 8 |
Total Unrealized Appreciation | $ 167,756 | |||||
12/15/21 | U.S. Dollars | 11,568 | Hong Kong Dollars | 90,000 | Barclays | $ (1) |
12/15/21 | U.S. Dollars | 14,139 | Hong Kong Dollars | 110,000 | Goldman Sachs | (1) |
12/15/21 | Swedish Kronor | 48,000 | U.S. Dollars | 5,596 | Morgan Stanley | (3) |
12/15/21 | U.S. Dollars | 12,791 | Swedish Kronor | 110,000 | Deutsche Bank | (26) |
11/01/21 | Australian Dollars | 170,000 | U.S. Dollars | 128,062 | Deutsche Bank | (179) |
12/15/21 | U.S. Dollars | 36,888 | Singapore Dollars | 50,000 | Citibank | (183) |
12/15/21 | U.S. Dollars | 59,063 | Singapore Dollars | 80,000 | Goldman Sachs | (249) |
12/15/21 | U.S. Dollars | 72,180 | Canadian Dollars | 90,000 | Bank of America | (547) |
12/15/21 | U.S. Dollars | 23,685 | Canadian Dollars | 30,000 | JPMorgan Chase | (558) |
12/15/21 | U.S. Dollars | 98,493 | New Zealand Dollars | 138,500 | Morgan Stanley | (686) |
12/15/21 | U.S. Dollars | 981,423 | Euro | 849,010 | Morgan Stanley | (1,149) |
12/15/21 | British Pounds | 332,500 | U.S. Dollars | 457,128 | Morgan Stanley | (2,002) |
12/15/21 | U.S. Dollars | 610,303 | Canadian Dollars | 758,930 | Morgan Stanley | (2,976) |
12/15/21 | U.S. Dollars | 169,788 | Australian Dollars | 230,000 | Goldman Sachs | (3,260) |
12/15/21 | U.S. Dollars | 183,129 | Australian Dollars | 250,000 | JPMorgan Chase | (4,967) |
12/15/21 | U.S. Dollars | 756,614 | Swedish Kronor | 6,537,000 | Morgan Stanley | (5,077) |
12/15/21 | U.S. Dollars | 1,134,570 | British Pounds | 839,800 | Morgan Stanley | (14,948) |
12/15/21 | U.S. Dollars | 700,733 | Norwegian Kroner | 6,093,200 | Morgan Stanley | (20,284) |
12/15/21 | U.S. Dollars | 1,064,183 | Australian Dollars | 1,447,400 | Morgan Stanley | (24,820) |
12/15/21 | Euro | 2,158,580 | U.S. Dollars | 2,531,256 | Morgan Stanley | (33,099) |
Total Unrealized Depreciation | $(115,015) | |||||
Net Unrealized Appreciation | $ 52,741 |
Written Call Option Contracts outstanding at October 31, 2021: Exchange Traded | ||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
Bakkt Holdings, Inc. | 16 | USD | 68,032 | 40.00 | 12/17/2021 | $ (16,000) |
Beyond Meat, Inc. | 5 | USD | 49,490 | 115.00 | 11/19/2021 | (625) |
Written Call Option Contracts outstanding at October 31, 2021: Exchange Traded (continued) | ||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
BigCommerce Holdings, Inc., Series 1 | 10 | USD | 46,210 | 55.00 | 1/21/2022 | $ (2,350) |
Bloom Energy Corp., Class A | 49 | USD | 153,174 | 21.00 | 12/17/2021 | (51,205) |
Cheesecake Factory (The), Inc. | 12 | USD | 48,768 | 45.00 | 11/19/2021 | (780) |
Coinbase Global, Inc., Class A | 3 | USD | 95,826 | 300.00 | 12/17/2021 | (11,835) |
Envestnet, Inc. | 14 | USD | 116,900 | 85.00 | 12/17/2021 | (4,480) |
Fastly, Inc. Class A | 25 | USD | 126,525 | 40.00 | 11/19/2021 | (28,175) |
Five9, Inc. | 23 | USD | 363,423 | 160.00 | 11/19/2021 | (15,640) |
Five9, Inc. | 16 | USD | 252,816 | 165.00 | 11/19/2021 | (7,360) |
Five9, Inc. | 12 | USD | 189,612 | 155.00 | 11/19/2021 | (10,560) |
fuboTV, Inc. | 36 | USD | 107,316 | 30.00 | 1/21/2022 | (14,724) |
Innoviva, Inc. | 79 | USD | 137,855 | 16.00 | 12/17/2021 | (15,405) |
Lumentum Holdings, Inc. | 7 | USD | 57,806 | 82.50 | 12/17/2021 | (3,010) |
Marcus (The) Corp. | 77 | USD | 142,989 | 17.50 | 11/19/2021 | (11,165) |
New Relic, Inc. | 19 | USD | 154,204 | 75.00 | 11/19/2021 | (16,150) |
Redfin Corp. | 13 | USD | 66,742 | 50.00 | 11/19/2021 | (5,070) |
SoFi Technologies, Inc. | 47 | USD | 94,423 | 20.00 | 11/19/2021 | (7,191) |
Sunnova Energy International, Inc. | 41 | USD | 182,696 | 40.00 | 1/21/2022 | (30,586) |
Upwork, Inc. | 16 | USD | 75,392 | 45.00 | 12/17/2021 | (7,680) |
Winnebago Industries, Inc. | 20 | USD | 135,380 | 70.00 | 11/19/2021 | (3,350) |
Workiva, Inc. | 11 | USD | 164,505 | 150.00 | 12/17/2021 | (8,910) |
Zillow Group, Inc., Class C | 15 | USD | 158,580 | 95.00 | 11/19/2021 | (17,175) |
Total Written Call Options Contracts (Premiums Received $221,793) | $(289,426) |
Written Put Option Contracts outstanding at October 31, 2021: Exchange Traded | ||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
Five9, Inc. | 57 | USD | 900,657 | 130.00 | 11/19/2021 | $ (2,850) |
Five9, Inc. | 46 | USD | 726,846 | 130.00 | 12/17/2021 | (7,590) |
iShares Core Aggressive Allocation ETF | 82 | EUR | 594,336 | 290.00 | 12/17/2021 | (14,760) |
Marsh & McLennan Cos., Inc. | 8 | USD | 133,440 | 150.00 | 11/19/2021 | (240) |
Twilio, Inc., Class A | 7 | USD | 203,953 | 310.00 | 11/19/2021 | (16,292) |
Zoom Video Communications, Inc., Class A | 16 | USD | 439,440 | 240.00 | 11/19/2021 | (1,680) |
Total Written Put Options Contracts (Premiums Received $61,767) | $(43,412) |
Long Contracts for Difference at October 31, 2021: Over the Counter | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Market Value | Unrealized Appreciation (Depreciation) |
3M Co. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 937 | Monthly | $ 167,391 | $ (3,087) |
Abbott Laboratories | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 3,045 | Monthly | 393,882 | 36,125 |
AECOM | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 1,795 | Monthly | 122,721 | 1,110 |
AECOM | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 440 | Monthly | 30,080 | 1,951 |
Aflac, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 4,659 | Monthly | 250,013 | (3,996) |
Agilent Technologies, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 1,220 | Monthly | 192,128 | 3,564 |
Alcoa Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 4,259 | Monthly | 195,887 | (4,553) |
Allstate Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,457 | Monthly | 427,476 | (11,148) |
Allstate Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 565 | Monthly | 69,868 | (1,751) |
Altria Group, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 6,747 | Monthly | 297,570 | (17,717) |
Altria Group, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 4,592 | Monthly | 202,539 | (17,105) |
American Electric Power Co., Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 7,111 | Monthly | 602,331 | 7,426 |
American Express Co. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 1,419 | Monthly | 247,198 | (18,269) |
American Express Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,312 | Monthly | 228,699 | (1,098) |
American Express Co. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 2,345 | Monthly | 408,490 | (3,784) |
American International Group, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 8,514 | Monthly | 503,052 | 6,856 |
Amgen, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,068 | Monthly | 634,916 | (5,591) |
Amnkor Technology, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 2,411 | Monthly | 52,845 | (872) |
Apache Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 5,010 | Monthly | 131,622 | (7,055) |
Apache Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 10,895 | Monthly | 286,424 | 21,022 |
Apache Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 16,952 | Monthly | 445,337 | (1,687) |
Applied Materials, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 340 | Monthly | 46,457 | 632 |
Arrow Electronics, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 4 | Monthly | 459 | (10) |
Arrow Electronics, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 1,855 | Monthly | 214,699 | (4,061) |
AT&T, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 5,972 | Monthly | 159,709 | 7,483 |
AT&T, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 6,497 | Monthly | 167,473 | (6,452) |
AT&T, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 4,470 | Monthly | 114,777 | (102) |
AutoNation, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,166 | Monthly | 383,449 | 668 |
AutoZone, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 136 | Monthly | 242,733 | (6,540) |
AutoZone, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 85 | Monthly | 151,692 | 8,776 |
AutoZone, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 149 | Monthly | 265,916 | 7,248 |
Avery Dennison Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 920 | Monthly | 200,298 | 198 |
Axalta Coating Systems, Ltd. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 60 | Monthly | 1,871 | (90) |
Barrick Gold Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 27,489 | Monthly | 504,911 | (4,185) |
Bed Bath & Beyond, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 6,187 | Monthly | 86,860 | (284) |
Berkshire Hathaway, Inc., Class B | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 747 | Monthly | 214,391 | (1,500) |
Berkshire Hathaway, Inc., Class B | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 928 | Monthly | 266,312 | 2,630 |
Biogen, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 1,443 | Monthly | 384,788 | (19,905) |
Boyd Gaming Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 7,432 | Monthly | 474,004 | (14,503) |
Boyd Gaming Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 5,888 | Monthly | 375,491 | (2,519) |
Bristol-Myers Squibb Co. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 4,954 | Monthly | 291,198 | 6,030 |
Long Contracts for Difference at October 31, 2021: Over the Counter (continued) | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Market Value | Unrealized Appreciation (Depreciation) |
Bristol-Myers Squibb Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 10,763 | Monthly | $ 633,762 | $ 17,473 |
Brixmor Property Group REIT, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 8,753 | Monthly | 207,209 | 6,240 |
Brixmor Property Group REIT, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 3,166 | Monthly | 74,205 | 532 |
Capital One Financial Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 4,625 | Monthly | 698,420 | (82,280) |
Cardinal Health, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 12,485 | Monthly | 601,986 | (3,491) |
Cardinal Health, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 5,015 | Monthly | 239,749 | (2,933) |
Chevron Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 805 | Monthly | 92,158 | 1,354 |
Cinemark Holdings, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,682 | Monthly | 31,617 | (3,974) |
CMS Energy Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 38 | Monthly | 2,293 | (27) |
Coca-Cola (The) Co. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 2,010 | Monthly | 113,304 | 1,213 |
ConocoPhillips | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 1,139 | Monthly | 85,225 | (779) |
Crocs, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 1,405 | Monthly | 226,837 | 10,044 |
Crown Castle International Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 2,193 | Monthly | 395,389 | 2,579 |
Crown Holdings, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 3,789 | Monthly | 394,009 | (3,836) |
CSX Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 8,925 | Monthly | 322,795 | 16,726 |
CVS Health Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 5,083 | Monthly | 456,302 | 27,449 |
CVS Health Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 892 | Monthly | 80,078 | 3,509 |
Danaher Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 563 | Monthly | 175,525 | 3,280 |
DaVita, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 5,417 | Monthly | 559,181 | (53,900) |
Deere & Co. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 154 | Monthly | 52,716 | (160) |
Dell Technologies, Inc., Class C | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 1,377 | Monthly | 151,453 | (6,269) |
Dell Technologies, Inc., Class C | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,299 | Monthly | 362,814 | 16,221 |
Delta Air Lines, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 12,938 | Monthly | 506,205 | (50,061) |
Delta Air Lines, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 2,745 | Monthly | 107,412 | (594) |
Discover Financial Services | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 499 | Monthly | 56,547 | (988) |
Dow, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 8,844 | Monthly | 494,987 | (21,503) |
DTE Energy Co. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 2,971 | Monthly | 336,756 | (7,880) |
DTE Energy Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 387 | Monthly | 43,866 | (302) |
DXC Technology | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 5,846 | Monthly | 190,400 | (10,335) |
DXC Technology | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 5,952 | Monthly | 193,833 | (10,618) |
DXC Technology | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 9,338 | Monthly | 304,112 | (21,971) |
Eastman Chemical Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 4,406 | Monthly | 458,299 | (5,300) |
Ebay, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 821 | Monthly | 62,984 | (3,180) |
Emerson Electric Co. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 3,332 | Monthly | 323,230 | 1,226 |
Emerson Electric Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 825 | Monthly | 80,024 | 296 |
Encompass Health Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 1,340 | Monthly | 85,168 | (9,503) |
Energy, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,045 | Monthly | 130,363 | 281 |
EQT Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 470 | Monthly | 9,357 | (457) |
Equitable Holdings, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 10,258 | Monthly | 343,602 | 18,731 |
Equity Residential | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 1,418 | Monthly | 122,512 | 1,401 |
Equity Residential | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,120 | Monthly | 96,757 | 4,099 |
Long Contracts for Difference at October 31, 2021: Over the Counter (continued) | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Market Value | Unrealized Appreciation (Depreciation) |
Equity Residential | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 3,688 | Monthly | $ 318,619 | $ 6,688 |
Exelon Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 7,742 | Monthly | 411,754 | 37,428 |
Exelon Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 2,713 | Monthly | 144,294 | 9,159 |
Expedia Group, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 3,127 | Monthly | 514,099 | 8,563 |
Exxon Mobil Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 1,353 | Monthly | 87,223 | 1,822 |
Exxon Mobil Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 841 | Monthly | 54,215 | 1,577 |
Federal Realty Investment Trust | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 213 | Monthly | 25,634 | (77) |
Federal Realty Investment Trust | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,003 | Monthly | 364,582 | 18 |
FirstEnergy Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 3,356 | Monthly | 129,304 | 2,615 |
FirstEnergy Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,263 | Monthly | 125,710 | 7,524 |
FirstEnergy Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 10,413 | Monthly | 401,182 | 19,858 |
Ford Motor Co. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 7,524 | Monthly | 128,507 | 6,016 |
Ford Motor Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 6,074 | Monthly | 103,733 | 11,894 |
Fortis, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 3,944 | Monthly | 175,532 | (4,314) |
Fortive Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 1,104 | Monthly | 83,582 | 1,444 |
Fortive Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,271 | Monthly | 247,616 | 16,160 |
Fortive Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 879 | Monthly | 66,544 | 2,676 |
Freeport-McMoRan, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 2,262 | Monthly | 85,623 | 413 |
Gartner, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 649 | Monthly | 215,383 | 11,558 |
Gilead Sciences, Inc. | U.S. Fed Funds + 0.09% | 2/27/2023 | Goldman Sachs | 378 | Monthly | 24,525 | 59 |
Goodyear Tire & Rubber (The) Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 25,997 | Monthly | 497,006 | 9,302 |
Goodyear Tire & Rubber (The) Co. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 10,632 | Monthly | 203,268 | 2,961 |
H&R Block, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 311 | Monthly | 7,171 | (480) |
Halliburton Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 133 | Monthly | 3,323 | 139 |
Halliburton Co. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 16,144 | Monthly | 403,407 | (16,313) |
Hanesbrands, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 4,990 | Monthly | 85,028 | 996 |
Harley-Davidson, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 2,359 | Monthly | 86,078 | (969) |
Harley-Davidson, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,186 | Monthly | 79,755 | (1,608) |
Harley-Davidson, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 2,595 | Monthly | 94,684 | (2,135) |
Hartford Financial Services Group (The), Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 5,891 | Monthly | 429,578 | (524) |
Hartford Financial Services Group (The), Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 1,320 | Monthly | 96,260 | 1,062 |
Hasbro, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 233 | Monthly | 22,468 | 1,498 |
HCA Healthcare, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 496 | Monthly | 124,228 | (155) |
Healthpeak Properties, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 489 | Monthly | 17,363 | 424 |
Hershey (The) Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 86 | Monthly | 15,078 | (208) |
Hewlett Packard Enterprise Co. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 1,672 | Monthly | 24,493 | (1,189) |
Hewlett Packard Enterprise Co. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 6,379 | Monthly | 93,445 | (3,197) |
Hologic, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,986 | Monthly | 218,877 | 5,766 |
Long Contracts for Difference at October 31, 2021: Over the Counter (continued) | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Market Value | Unrealized Appreciation (Depreciation) |
Home Depot (The), Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,389 | Monthly | $ 516,291 | $ 51,893 |
Honeywell International, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 588 | Monthly | 128,548 | 319 |
Howmet Aerospace Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | 8,342 | Monthly | 247,638 | (16,303) |
HP, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 6,862 | Monthly | 208,120 | (965) |
HP, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 18,127 | Monthly | 549,729 | 44,167 |
HP, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 4,867 | Monthly | 147,605 | 9,966 |
Huntington Ingalls Industries, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 268 | Monthly | 54,330 | (2,708) |
Huntington Ingalls Industries, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 192 | Monthly | 38,920 | (707) |
Huntington Ingalls Industries, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 230 | Monthly | 46,624 | (1,796) |
Illinois Tool Works, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 788 | Monthly | 179,558 | 2,597 |
Illinois Tool Works, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 363 | Monthly | 83,791 | 5,238 |
International Paper Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 10,074 | Monthly | 500,349 | (41,674) |
Interpublic Group Of Companies, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 5,401 | Monthly | 197,487 | (3,592) |
Iron Mountain, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 2,741 | Monthly | 125,079 | (1,007) |
J2 Global, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 596 | Monthly | 76,447 | 1,196 |
JB Hunt Transport Services, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 639 | Monthly | 126,002 | 975 |
JB Hunt Transport Services, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 872 | Monthly | 171,930 | 23,882 |
JB Hunt Transport Services, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 526 | Monthly | 103,714 | 3,485 |
Johnson & Johnson | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,019 | Monthly | 491,676 | 6,082 |
Johnson Controls International PLC | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 10,291 | Monthly | 757,930 | 47,926 |
Johnson Controls International PLC | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 907 | Monthly | 66,542 | 1,873 |
Kellogg Co. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 5,153 | Monthly | 315,873 | (1,585) |
Kimco Realty Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 11,594 | Monthly | 261,990 | 10,168 |
Kinder Morgan, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 29,336 | Monthly | 499,287 | (19,080) |
Kinross Gold Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 4,695 | Monthly | 28,214 | 1,593 |
Kohls Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 2,560 | Monthly | 124,234 | (1,590) |
Kohls Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,145 | Monthly | 152,605 | 7,809 |
Kraft Heinz Foods Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,470 | Monthly | 88,638 | (2,209) |
Kroger (The) Co. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 9,839 | Monthly | 393,748 | (2,075) |
Kroger (The) Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 13,099 | Monthly | 524,163 | 7,306 |
L Brands, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,075 | Monthly | 143,322 | 11,228 |
L Brands, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 7,271 | Monthly | 502,317 | 29,554 |
Laboratory Corporation of America Holdings | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,242 | Monthly | 356,439 | 12,982 |
Lennox International, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 60 | Monthly | 17,956 | (775) |
Lennox International, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 479 | Monthly | 143,779 | 2,450 |
Lennox International, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 88 | Monthly | 26,335 | (872) |
Long Contracts for Difference at October 31, 2021: Over the Counter (continued) | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Market Value | Unrealized Appreciation (Depreciation) |
Life Storage, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 1,192 | Monthly | $ 159,498 | $ 6,886 |
Lithia Motors, Inc., Class A | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 704 | Monthly | 224,730 | (2,993) |
Lockheed Martin Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 990 | Monthly | 328,969 | (30,519) |
Loews Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 2,194 | Monthly | 123,015 | (3,272) |
Loews Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,843 | Monthly | 215,449 | (5,216) |
Loews Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 834 | Monthly | 46,759 | (1,296) |
Lowe's Cos., Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,266 | Monthly | 531,704 | 64,545 |
LyondellBasell Industries N.V., Class A | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,482 | Monthly | 230,351 | (12,761) |
Macys, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,989 | Monthly | 105,579 | 14,883 |
Magna International, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 1,843 | Monthly | 149,833 | 1,951 |
Magna International, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,897 | Monthly | 235,498 | (4,924) |
Magna International, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 237 | Monthly | 19,267 | (1,143) |
Marathon Petroleum Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 7,910 | Monthly | 521,493 | (12,590) |
Marathon Petroleum Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,168 | Monthly | 208,831 | 2,404 |
Marathon Petroleum Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 1,809 | Monthly | 119,258 | (1,583) |
Marriot Vacations Worldwide Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 1,639 | Monthly | 257,668 | (2,907) |
Marsh & McLennan Cos., Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 2,504 | Monthly | 419,134 | 13,486 |
Mattel, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 10,499 | Monthly | 228,978 | 14,273 |
Mattel, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,240 | Monthly | 27,038 | 3,466 |
Mattel, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 7,686 | Monthly | 167,620 | 16,513 |
Mcdonalds Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 150 | Monthly | 36,832 | 1,066 |
Mcdonalds Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,700 | Monthly | 417,386 | (3,704) |
Mcdonalds Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 992 | Monthly | 243,579 | 1,986 |
McKesson Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 1,330 | Monthly | 276,474 | (1,616) |
McKesson Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,127 | Monthly | 442,105 | 16,280 |
McKesson Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 835 | Monthly | 173,567 | 3,085 |
MGM Resorts International | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 10,266 | Monthly | 484,133 | (8,943) |
MGM Resorts International | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 8,077 | Monthly | 380,880 | (6,412) |
Mid-America Apartment Communities, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 1,114 | Monthly | 227,490 | (826) |
Molina Healthcare, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 1,100 | Monthly | 325,263 | 17,164 |
Molson Coors Beverage Co., Class B | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 629 | Monthly | 27,733 | 253 |
Mondelez International, Inc., Class A | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 1,691 | Monthly | 102,703 | 989 |
Motorola Solutions, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 1,495 | Monthly | 371,614 | 13,068 |
Murphy Oil Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 2,285 | Monthly | 63,590 | (1,784) |
Murphy Oil Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 20,461 | Monthly | 569,363 | (32,307) |
NetApp, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 989 | Monthly | 88,810 | (3,177) |
NetApp, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,300 | Monthly | 206,516 | (3,957) |
NetApp, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 961 | Monthly | 86,291 | (4,447) |
Newell Brands, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 7,750 | Monthly | 177,384 | 2,312 |
Newmont Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 3,529 | Monthly | 190,561 | (12,745) |
Long Contracts for Difference at October 31, 2021: Over the Counter (continued) | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Market Value | Unrealized Appreciation (Depreciation) |
Newmont Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 5,591 | Monthly | $ 301,879 | $ (1,768) |
Newmont Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 2,925 | Monthly | 157,932 | (8,881) |
Nexstar Media Group, Inc., Class A | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,147 | Monthly | 171,918 | (4,089) |
Nexstar Media Group, Inc., Class A | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 484 | Monthly | 72,560 | (330) |
Northrop Grumman Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 770 | Monthly | 275,053 | (33,478) |
Northrop Grumman Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 640 | Monthly | 228,587 | (20,834) |
Nucor Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 3,631 | Monthly | 407,031 | 35,471 |
NXP Semiconductors N.V. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 103 | Monthly | 20,689 | 201 |
Occidental Petroleum Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 9,562 | Monthly | 320,605 | (3,834) |
Occidental Petroleum Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 8,956 | Monthly | 300,257 | (933) |
Olin Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 1,809 | Monthly | 103,074 | 2,738 |
Omega Healthcare Investors, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 558 | Monthly | 16,383 | (528) |
Omnicom Group, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 2,251 | Monthly | 153,245 | (5,680) |
Omnicom Group, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 4,385 | Monthly | 298,493 | (31,347) |
Omnicom Group, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 6,049 | Monthly | 411,791 | (37,425) |
Onemain Holdings, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 4,747 | Monthly | 250,668 | (27,709) |
O'Reilly Automotive, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 599 | Monthly | 372,726 | 7,186 |
Oshkosh Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,819 | Monthly | 301,594 | 17,298 |
Otis Worldwide Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 4,881 | Monthly | 391,984 | (24,647) |
Ovintiv, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 2,453 | Monthly | 92,034 | (3,854) |
Ovintiv, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 5,968 | Monthly | 223,885 | (5,346) |
Ovintiv, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 10,760 | Monthly | 403,682 | (18,540) |
Packaging Corp. Of America | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 3,531 | Monthly | 485,039 | 6,907 |
Pfizer, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 21,168 | Monthly | 925,868 | 12,257 |
Philip Morris International, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 4,071 | Monthly | 384,863 | (9,535) |
Pinnacle West Capital Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 347 | Monthly | 22,375 | (728) |
Pinnacle West Capital Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 173 | Monthly | 11,156 | (611) |
PPL Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 8,274 | Monthly | 238,286 | (1,887) |
Procter & Gamble (The) Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,533 | Monthly | 506,480 | 6,845 |
Prudential Financial, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 1,837 | Monthly | 202,146 | (1,008) |
Public Service Enterprise Group, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 1,402 | Monthly | 89,445 | (59) |
Public Storage | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 1,210 | Monthly | 401,928 | 7,069 |
QUALCOMM, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 3,029 | Monthly | 402,969 | 4,292 |
Quest Diagnostics, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 3,623 | Monthly | 533,890 | 17,093 |
Raytheon Technologies Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 5,375 | Monthly | 477,585 | (11,110) |
Regeneron Pharmaceuticals, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 499 | Monthly | 319,291 | 43,358 |
Reliance Steel & Aluminum Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,378 | Monthly | 201,386 | 6,192 |
Ross Stores, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 788 | Monthly | 89,200 | 2,213 |
Long Contracts for Difference at October 31, 2021: Over the Counter (continued) | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Market Value | Unrealized Appreciation (Depreciation) |
Ross Stores, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,724 | Monthly | $ 195,135 | $ 9,167 |
Ross Stores, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 1,063 | Monthly | 120,323 | 4,764 |
Ryder System, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 1,525 | Monthly | 129,546 | (6,088) |
Ryder System, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,411 | Monthly | 289,732 | 5,937 |
Ryder System, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 1,028 | Monthly | 87,322 | 1,227 |
SBA Communications Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 1,105 | Monthly | 381,579 | (331) |
Scientific Games Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,327 | Monthly | 106,216 | (1,269) |
Seagate Technology, LLC | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,434 | Monthly | 305,821 | 30,879 |
Sealed Air Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 4,258 | Monthly | 252,577 | (178) |
Service Corp., (US) International | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 3,281 | Monthly | 224,707 | 15,806 |
SLM Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 9,860 | Monthly | 180,882 | 8,036 |
SM Energy Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 10,898 | Monthly | 374,094 | 43,558 |
Steel Dynamics, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,207 | Monthly | 79,754 | 4,152 |
Synchrony Financial | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 660 | Monthly | 30,802 | (30) |
Tapestry, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 9,796 | Monthly | 381,809 | 13,618 |
Targa Resources Partners L.P./Targa Resources Partners Finance Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 5,934 | Monthly | 324,976 | 6,701 |
Target Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,651 | Monthly | 428,586 | 50,672 |
Target Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 1,156 | Monthly | 300,082 | 16,041 |
Tempur Sealy International, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 4,024 | Monthly | 178,935 | (1,986) |
Textron, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,712 | Monthly | 126,411 | 3,130 |
Toll Brothers, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 2,349 | Monthly | 141,336 | (638) |
Toll Brothers, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 13,260 | Monthly | 800,105 | 54,760 |
Trane Technologies PLC | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,254 | Monthly | 407,771 | 20,038 |
Transocean Ltd. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 1,257 | Monthly | 4,437 | (465) |
Transocean Ltd. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,651 | Monthly | 9,357 | (1,035) |
Tyson Foods, Inc., Class A | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 2,745 | Monthly | 219,513 | (6,950) |
Uber Technologies, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 395 | Monthly | 17,309 | (479) |
Under Armour, Inc., Class A | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 12,237 | Monthly | 268,719 | 15,658 |
Under Armour, Inc., Class A | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,684 | Monthly | 58,929 | 4,068 |
Under Armour, Inc., Class A | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 2,717 | Monthly | 59,661 | 3,935 |
Union Pacific Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 676 | Monthly | 163,169 | 16,829 |
United Parcel Service, Inc., Class B | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,584 | Monthly | 551,548 | 77,410 |
Ventas, Inc. | U.S. Fed Funds + 0.09% | 2/27/2023 | Goldman Sachs | 316 | Monthly | 16,865 | (122) |
ViacomCBS, Inc., Class B | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 16,162 | Monthly | 585,376 | (18,912) |
VICI Properties, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 5,868 | Monthly | 172,212 | (4,239) |
Voya Financial, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 1,312 | Monthly | 91,536 | 536 |
Voya Financial, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 4,430 | Monthly | 309,057 | 4,893 |
Vulcan Materials Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,284 | Monthly | 244,082 | 18,817 |
Vulcan Materials Co. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 712 | Monthly | 135,356 | 9,382 |
Walmart, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 2,834 | Monthly | 423,421 | 25,102 |
WEC Energy Group, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 2,354 | Monthly | 211,987 | 24 |
Long Contracts for Difference at October 31, 2021: Over the Counter (continued) | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Market Value | Unrealized Appreciation (Depreciation) |
Western Digital Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 4,250 | Monthly | $ 222,227 | $ (20,236) |
Western Digital Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,112 | Monthly | 110,418 | (9,100) |
Western Union (The) Co. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 9,081 | Monthly | 165,452 | (12,263) |
Western Union (The) Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 5,430 | Monthly | 98,922 | (13,859) |
Western Union (The) Co. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 6,400 | Monthly | 116,600 | (15,930) |
Westlake Chemical Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 517 | Monthly | 50,318 | (400) |
WestRock Co. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | 5,260 | Monthly | 253,000 | (2,583) |
WestRock Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 5,230 | Monthly | 251,533 | (11,431) |
Whirlpool Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 291 | Monthly | 61,345 | 3,503 |
Whirlpool Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 3,014 | Monthly | 635,393 | 12,339 |
Williams (The) Cos., Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 10,250 | Monthly | 287,863 | (2,417) |
Xcel Energy, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 1,011 | Monthly | 65,300 | 607 |
Yum Brands, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | 4,614 | Monthly | 576,430 | (2,855) |
Total (Cost $66,607,928) | 1,128,120 | $67,014,538 | $406,610 |
Short Contracts for Difference at October 31, 2021: 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 + 0.08% | 2/27/2023 | Goldman Sachs | (1,283) | Monthly | $ (154,267) | $ (5,762) |
AES (The) Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (21,921) | Monthly | (550,901) | (23,263) |
Alexandria Real Estate Equities, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,206) | Monthly | (247,970) | (15,887) |
Alexandria Real Estate Equities, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (363) | Monthly | (74,105) | (906) |
Ally Financial, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (11,670) | Monthly | (560,063) | 78,406 |
Altice USA, Inc., Class A | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (18,295) | Monthly | (298,212) | 38,382 |
Altice USA, Inc., Class A | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (9,508) | Monthly | (154,989) | 20,814 |
Amazon.com, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (63) | Monthly | (212,466) | 2,304 |
American Airlines Group, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (20,273) | Monthly | (389,255) | 10,905 |
Amphenol Corp., Class A | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (5,039) | Monthly | (386,856) | 1,522 |
Aramark Services, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (13,853) | Monthly | (505,373) | (1,999) |
Ashland Global Holdings, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (2,373) | Monthly | (227,834) | 4,317 |
Ashland Global Holdings, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,684) | Monthly | (161,689) | (5,751) |
Avis Budget Group, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (2,154) | Monthly | (373,312) | (10,155) |
Baker Hughes Co., Class A | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (1,825) | Monthly | (45,771) | (803) |
Baker Hughes Co., Class A | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (10,808) | Monthly | (271,078) | 1,716 |
Baker Hughes Co., Class A | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (2,835) | Monthly | (71,104) | 5,129 |
Ball Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (1,611) | Monthly | (147,376) | 1,174 |
Short Contracts for Difference at October 31, 2021: Over the Counter (continued) | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Market Value | Unrealized Appreciation (Depreciation) |
Ball Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (7,841) | Monthly | $ (717,327) | $ (377) |
Bausch Health Cos., Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (20,300) | Monthly | (570,030) | 11,887 |
Bausch Health Cos., Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (9,101) | Monthly | (255,569) | (2,106) |
Bausch Health Cos., Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (1,452) | Monthly | (40,774) | 593 |
Baxter International, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (4,828) | Monthly | (381,223) | 15,590 |
BCE, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (3,604) | Monthly | (185,498) | (539) |
Becton Dickinson and Company | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (160) | Monthly | (38,338) | 1,196 |
Best Buy Co., Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (1,053) | Monthly | (128,720) | (4,055) |
Best Buy Co., Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (2,231) | Monthly | (272,731) | (33,456) |
Best Buy Co., Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (3,418) | Monthly | (417,825) | (21,661) |
Boeing (The) Co. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (812) | Monthly | (168,110) | 4,822 |
Boeing (The) Co. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,574) | Monthly | (325,882) | 30,456 |
Boeing (The) Co. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (1,678) | Monthly | (347,408) | 16,785 |
Boston Scientific Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (4,181) | Monthly | (180,329) | 7,147 |
Boston Scientific Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (7,739) | Monthly | (333,800) | 215 |
Broadcom, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (761) | Monthly | (404,620) | (29,561) |
Broadridge Financial Solutions, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (527) | Monthly | (94,022) | 1,854 |
Broadridge Financial Solutions, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (341) | Monthly | (60,841) | (3,232) |
Broadridge Financial Solutions, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (1,125) | Monthly | (200,716) | 3,488 |
Brookfield Asset Management Inc., Class A | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (6,461) | Monthly | (390,199) | (26,445) |
Brown & Brown, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (2,482) | Monthly | (156,641) | 8,387 |
Brown & Brown, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (3,063) | Monthly | (193,316) | (9,567) |
Brown & Brown, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (508) | Monthly | (32,061) | 614 |
Builders FirstSource, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (1,304) | Monthly | (75,985) | 808 |
Builders FirstSource, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (4,162) | Monthly | (242,532) | (13,247) |
Builders FirstSource, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (1,141) | Monthly | (66,488) | (1,371) |
Bunge Ltd. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (1,137) | Monthly | (105,332) | (3,086) |
Cable One, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (180) | Monthly | (308,028) | 8,772 |
Callon Petroleum Co. | U.S. Fed Funds + (0.45)% | 2/8/2023 | JPMorgan Chase | (6,755) | Monthly | (349,457) | 42,063 |
Campbell Soup | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (5,291) | Monthly | (210,770) | 4,574 |
Canadian Natural Resources Ltd. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,030) | Monthly | (43,794) | (2,841) |
Carnival Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (26,115) | Monthly | (578,715) | 3,388 |
Carnival Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (5,659) | Monthly | (125,412) | 9,442 |
Carnival Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (3,967) | Monthly | (87,912) | 5,987 |
Carrier Global Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,184) | Monthly | (61,985) | (1,009) |
Catalent Pharma Solutions, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,947) | Monthly | (268,426) | (14,654) |
Catalent Pharma Solutions, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (978) | Monthly | (134,831) | (8,072) |
Short Contracts for Difference at October 31, 2021: Over the Counter (continued) | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Market Value | Unrealized Appreciation (Depreciation) |
Caterpillar, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (1,343) | Monthly | $ (275,023) | $ (4,424) |
Centene Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (631) | Monthly | (44,955) | (1,356) |
CenterPoint Energy, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (2,289) | Monthly | (59,606) | 1,144 |
CenterPoint Energy, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (4,047) | Monthly | (105,391) | (2,031) |
CenterPoint Energy, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (2,804) | Monthly | (73,019) | 1,988 |
CF Industries Holdings, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (1,084) | Monthly | (61,575) | 3,004 |
Charles River Laboratories International, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (662) | Monthly | (297,028) | (15,248) |
Charter Communications, Inc., Class A | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (160) | Monthly | (107,984) | 6,933 |
Charter Communications, Inc., Class A | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (610) | Monthly | (411,704) | 19,035 |
Cisco Systems, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (8,769) | Monthly | (491,638) | (2,927) |
Citrix Systems, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (4,028) | Monthly | (381,593) | 12,895 |
Cleveland Cliffs, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (8,601) | Monthly | (207,374) | (2,240) |
CME Group, Inc., Class A | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (802) | Monthly | (176,883) | (3,793) |
Comcast Corp., Class A | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (4,539) | Monthly | (234,435) | 11,670 |
Comcast Corp., Class A | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (3,251) | Monthly | (168,980) | 8,850 |
Comcast Corp., Class A | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (4,627) | Monthly | (239,261) | 10,690 |
Conagra Brands, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (2,600) | Monthly | (84,533) | 2,151 |
Conagra Brands, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (10,945) | Monthly | (355,867) | 13,198 |
Conagra Brands, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (2,657) | Monthly | (86,388) | 1,957 |
ConocoPhillips | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,965) | Monthly | (147,443) | (225) |
ConocoPhillips | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (2,296) | Monthly | (172,089) | (1,864) |
Corteva, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (11,963) | Monthly | (516,229) | (4,452) |
Cyrusone, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (4,379) | Monthly | (359,171) | (1,757) |
D.R. Horton, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (5,846) | Monthly | (521,889) | (12,995) |
Darden Restaurants, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (3,784) | Monthly | (550,480) | (286) |
Deere & Co. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (1,376) | Monthly | (472,499) | (3,682) |
Devon Energy Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (12,599) | Monthly | (504,994) | (2,798) |
Diamondback Energy, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (510) | Monthly | (54,669) | 953 |
Digital Realty Trust, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (1,953) | Monthly | (308,206) | (1,798) |
Digital Realty Trust, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (521) | Monthly | (82,223) | (8,939) |
DISH Network Corp., Class A | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (2,308) | Monthly | (94,791) | 5,192 |
DISH Network Corp., Class A | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (18,980) | Monthly | (779,550) | 65,250 |
Dollar Tree, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (2,371) | Monthly | (255,502) | (11,985) |
Dominion Energy, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (4,326) | Monthly | (328,477) | 5,880 |
Dominion Energy, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (2,357) | Monthly | (178,977) | (7,623) |
Duke Energy Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (14) | Monthly | (1,428) | 25 |
Ecolab, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (43) | Monthly | (9,821) | (573) |
Ecolab, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (1,330) | Monthly | (295,562) | (2,683) |
Short Contracts for Difference at October 31, 2021: Over the Counter (continued) | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Market Value | Unrealized Appreciation (Depreciation) |
Edison International | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (572) | Monthly | $ (36,375) | $ (1,798) |
Edison International | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,902) | Monthly | (121,425) | (12,745) |
Edison International | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (3,829) | Monthly | (243,505) | (23,912) |
Elanco Animal Health, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (3,162) | Monthly | (103,968) | 3,224 |
Elanco Animal Health, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (5,255) | Monthly | (172,793) | 1,410 |
Elanco Animal Health, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (3,540) | Monthly | (116,399) | (1,207) |
Electronic Arts, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (1,707) | Monthly | (398,999) | 2,675 |
Enbridge, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (12,431) | Monthly | (520,388) | (6,118) |
EOG Resources, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (1,194) | Monthly | (110,585) | (1,716) |
Equinix, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (134) | Monthly | (112,169) | (2,152) |
Equinix, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (63) | Monthly | (52,738) | (5,428) |
Equinix, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (150) | Monthly | (125,564) | (8,356) |
Fidelity National Information Services, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (1,352) | Monthly | (150,039) | 19,015 |
Fidelity National Information Services, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,564) | Monthly | (173,211) | 14,516 |
Fiserv, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (3,397) | Monthly | (334,590) | 31,912 |
FMC Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (559) | Monthly | (50,875) | 1,095 |
Ford Motor Co. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (15,701) | Monthly | (268,182) | (21,840) |
Gap (The), Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (22,445) | Monthly | (511,852) | (6,429) |
General Electric Co. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (4,654) | Monthly | (488,345) | (2,421) |
General Mills, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (3,799) | Monthly | (236,726) | 1,395 |
General Mills, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (4,801) | Monthly | (299,172) | (4,103) |
General Motors Co. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (6,267) | Monthly | (341,164) | 20,881 |
Genuine Parts Co. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (210) | Monthly | (27,533) | 18 |
Global Payments, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (1,220) | Monthly | (174,451) | 18,309 |
Healthcare Trust of America | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (1,032) | Monthly | (34,459) | 23 |
Hess Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (3,704) | Monthly | (305,857) | 24,355 |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (513) | Monthly | (73,847) | (1,175) |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,704) | Monthly | (245,304) | (4,171) |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (416) | Monthly | (59,885) | 235 |
HollyFrontier, Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (6,811) | Monthly | (230,214) | 18,660 |
Home Depot (The), Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (1,045) | Monthly | (388,481) | (22,303) |
Honeywell International, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (686) | Monthly | (149,985) | (643) |
Hormel Foods Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (1,261) | Monthly | (53,366) | 197 |
Host Hotels & Resorts, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (6,957) | Monthly | (117,088) | 416 |
Host Hotels & Resorts, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (5,512) | Monthly | (92,771) | (2,043) |
Short Contracts for Difference at October 31, 2021: Over the Counter (continued) | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Market Value | Unrealized Appreciation (Depreciation) |
Host Hotels & Resorts, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (28,885) | Monthly | $ (486,150) | $ (1,567) |
Howmet Aerospace Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (5,797) | Monthly | (172,115) | 4,462 |
Howmet Aerospace Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (2,280) | Monthly | (67,696) | 3,736 |
Humana, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (856) | Monthly | (396,476) | (17,885) |
Huntsman Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (12,228) | Monthly | (398,408) | (7,723) |
Hyatt Hotels Corp., Class A | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (2,497) | Monthly | (212,756) | (3,582) |
Idex, Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (290) | Monthly | (64,706) | (596) |
Idex, Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,068) | Monthly | (238,343) | (12,119) |
Idex, Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (262) | Monthly | (58,460) | (2,536) |
Intel Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (1,593) | Monthly | (78,059) | 6,148 |
Intercontinental Exchange, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (2,920) | Monthly | (404,308) | (20,036) |
International Business Machines Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (1,037) | Monthly | (129,775) | 2,837 |
KB Home | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (8,628) | Monthly | (346,418) | 8,193 |
KB Home | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (625) | Monthly | (25,095) | (783) |
Keysight Technologies, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (102) | Monthly | (18,362) | (120) |
Kraft Heinz Foods Co. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (11,530) | Monthly | (413,826) | 12,553 |
Lamb Weston Holdings, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (1,658) | Monthly | (93,595) | 4,376 |
Lamb Weston Holdings, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (3,497) | Monthly | (197,417) | (221) |
Lamb Weston Holdings, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (10,256) | Monthly | (578,970) | (2,428) |
Las Vegas Sands Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (9,656) | Monthly | (374,763) | 12,443 |
Leidos Holdings, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (3,903) | Monthly | (390,226) | 8,036 |
Lennar Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (1,966) | Monthly | (196,397) | 880 |
LIncoln National Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (2,742) | Monthly | (198,995) | 8,629 |
LIncoln National Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (4,354) | Monthly | (316,253) | (22) |
Lumen Technologies, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (13,910) | Monthly | (164,974) | 8,623 |
Lumen Technologies, Inc. | U.S. Fed Funds | 2/8/2023 | JPMorgan Chase | (6,984) | Monthly | (82,835) | 4,325 |
Lumen Technologies, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (48,565) | Monthly | (576,000) | 11,151 |
Marathon Petroleum Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (6,142) | Monthly | (100,240) | 73 |
Marriott International, Inc., Class A | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (5,031) | Monthly | (805,084) | (6,720) |
Marsh & McLennan Cos., Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (622) | Monthly | (104,087) | 1,386 |
Marsh & McLennan Cos., Inc. | U.S. Fed Funds | 2/8/2023 | JPMorgan Chase | (686) | Monthly | (115,169) | (7,700) |
Marvell Technology, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (5,915) | Monthly | (405,609) | (17,289) |
Match Group, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (2,478) | Monthly | (373,637) | 43,874 |
MDC Holdings, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (5,664) | Monthly | (277,436) | (8,509) |
Short Contracts for Difference at October 31, 2021: Over the Counter (continued) | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Market Value | Unrealized Appreciation (Depreciation) |
Medical Properties Trust, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (18,746) | Monthly | $ (404,359) | $ (34,688) |
Merck & Co., Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (4,929) | Monthly | (434,003) | (34,015) |
Metlife, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (6,784) | Monthly | (426,049) | 18,935 |
MGIC Investment Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (7,420) | Monthly | (119,909) | 2,447 |
MGIC Investment Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (16,264) | Monthly | (262,840) | (5,544) |
MGIC Investment Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (4,982) | Monthly | (80,512) | 1,043 |
Micron Technology, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (1,197) | Monthly | (82,714) | (1,905) |
Nasdaq, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (384) | Monthly | (80,801) | (3,341) |
Nasdaq, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,277) | Monthly | (268,019) | (15,939) |
National Oilwell Varco, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (5,011) | Monthly | (70,255) | 4,359 |
National Oilwell Varco, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,987) | Monthly | (27,861) | 1,189 |
National Oilwell Varco, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (2,596) | Monthly | (36,397) | 2,517 |
Navient Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (16,505) | Monthly | (325,164) | (4,967) |
Netflix, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (834) | Monthly | (575,725) | (21,298) |
Newell Brands, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (18,699) | Monthly | (428,024) | (5,350) |
NextEra Energy, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (4,643) | Monthly | (396,204) | (21,248) |
Nielson Holdings PLC | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (8,218) | Monthly | (166,421) | (3,951) |
Nordstrom, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (10,887) | Monthly | (312,800) | (22,008) |
Nordstrom, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (16,352) | Monthly | (469,808) | (10,644) |
Norfolk Southern Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (1,041) | Monthly | (305,067) | (5,100) |
Norwegian Cruise Line Holdings Ltd. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (12,537) | Monthly | (322,467) | 7,110 |
NRG Energy, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (3,349) | Monthly | (134,487) | 2,897 |
Oracle Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (1,366) | Monthly | (131,054) | 377 |
PBF Energy, Inc., Class A | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,170) | Monthly | (17,095) | (434) |
Performance Food Group, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (8,108) | Monthly | (366,738) | 17,257 |
Perrigo Co. PLC | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (1,966) | Monthly | (88,766) | 923 |
Perrigo Co. PLC | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (4,416) | Monthly | (199,392) | 3,435 |
Perrigo Co. PLC | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (2,388) | Monthly | (107,822) | (1,031) |
PG&E Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (19,787) | Monthly | (229,540) | (17,621) |
PG&E Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (15,086) | Monthly | (175,003) | (6,040) |
Pioneer Natural Resources Co. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (1,692) | Monthly | (316,374) | 7,847 |
Pioneer Natural Resources Co. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (2,367) | Monthly | (444,477) | 12,543 |
Pioneer Natural Resources Co. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (668) | Monthly | (124,907) | 2,073 |
Progressive Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,196) | Monthly | (113,646) | (4,894) |
Prologis, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (939) | Monthly | (136,117) | (175) |
PulteGroup, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (885) | Monthly | (42,551) | 1,451 |
Quanta Services, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (3,161) | Monthly | (383,610) | (27,144) |
Short Contracts for Difference at October 31, 2021: Over the Counter (continued) | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Market Value | Unrealized Appreciation (Depreciation) |
Radian Group, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (15,204) | Monthly | $ (362,937) | $ (8,380) |
Ralph Lauren Corp., Class A | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (1,880) | Monthly | (239,083) | (9,728) |
Raytheon Technologies Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (4,224) | Monthly | (375,364) | 7,415 |
Realty Income Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (783) | Monthly | (55,930) | 1,315 |
Royal Caribbean Cruises Ltd. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (7,207) | Monthly | (608,517) | 22,854 |
Royal Caribbean Cruises Ltd. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (1,813) | Monthly | (153,077) | 3,421 |
Schlumberger Ltd. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (479) | Monthly | (15,453) | 796 |
Semiconductor Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (2,274) | Monthly | (109,311) | (2,583) |
Sempra Energy | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (3,925) | Monthly | (505,086) | (16,060) |
Sherwin-Williams (The) Co. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (481) | Monthly | (152,291) | (4,807) |
Sherwin-Williams (The) Co. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,195) | Monthly | (378,366) | (31,828) |
Sherwin-Williams (The) Co. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (118) | Monthly | (37,361) | (2,387) |
Simon Property Group, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (3,498) | Monthly | (512,753) | (19,760) |
Sirus XM Holdings, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (45,221) | Monthly | (275,399) | (908) |
Sirus XM Holdings, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (1,284) | Monthly | (7,822) | (92) |
Southern (The) Co. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (6,669) | Monthly | (415,633) | 1,580 |
Southern (The) Co. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (1,219) | Monthly | (75,971) | 984 |
Southwest Airlines Co. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (10,855) | Monthly | (513,230) | 3,568 |
Southwest Airlines Co. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (4,040) | Monthly | (191,031) | 26,806 |
Spirit AeroSystems Holdings, Inc., Class A | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (1,223) | Monthly | (50,499) | 2,396 |
Steris, PLC | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (1,540) | Monthly | (215,989) | (3,738) |
Targa Resources Partners L.P./Targa Resources Partners Finance Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (7,452) | Monthly | (408,157) | 7,330 |
TC Energy Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (1,391) | Monthly | (71,410) | 5,095 |
TC Energy Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (4,831) | Monthly | (265,030) | (24,398) |
Teck Resources Ltd., Class B | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (3,043) | Monthly | (84,901) | (214) |
Teck Resources Ltd., Class B | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (28,057) | Monthly | (782,826) | (33,704) |
Teledyne Technologies, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (860) | Monthly | (386,335) | (8,013) |
Tenet Healthcare Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (1,002) | Monthly | (71,804) | (1,533) |
Tesla, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (129) | Monthly | (143,707) | (26,358) |
Tesla, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (127) | Monthly | (141,484) | (41,727) |
Tesla, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (247) | Monthly | (275,165) | (66,937) |
Thermo Fisher Scientific, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (162) | Monthly | (102,558) | (3,021) |
T-Mobile US, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (950) | Monthly | (109,280) | 1,747 |
Short Contracts for Difference at October 31, 2021: Over the Counter (continued) | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Market Value | Unrealized Appreciation (Depreciation) |
T-Mobile US, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (3,397) | Monthly | $ (390,771) | $ 21,013 |
TransDigm, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (942) | Monthly | (587,674) | 19,031 |
TransDigm, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (280) | Monthly | (174,676) | 4,376 |
Twitter, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (4,940) | Monthly | (264,490) | 36,495 |
Twitter, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (2,160) | Monthly | (115,653) | 21,896 |
United Airlines Holdings, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (10,817) | Monthly | (499,121) | 30,092 |
United Rentals North America, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (681) | Monthly | (258,187) | (24,904) |
United Rentals North America, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (734) | Monthly | (278,275) | (21,859) |
United States Steel Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (35,541) | Monthly | (937,946) | (132,637) |
UnitedHealth Group, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,185) | Monthly | (545,682) | (61,657) |
Universal Health Services, Inc., Class B | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (1,104) | Monthly | (137,008) | 10,812 |
Universal Health Services, Inc., Class B | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,654) | Monthly | (205,272) | 10,459 |
Universal Health Services, Inc., Class B | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (1,249) | Monthly | (155,006) | 11,136 |
US Foods Holding Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (6,666) | Monthly | (231,113) | 9,148 |
Valero Energy Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (3,109) | Monthly | (240,430) | 4,124 |
Verisk Analytics, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (1,874) | Monthly | (394,060) | 661 |
Verizon Communications, Inc. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (2,757) | Monthly | (147,588) | (1,660) |
Verizon Communications, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (5,335) | Monthly | (286,138) | (2,103) |
Verizon Communications, Inc. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (1,629) | Monthly | (87,960) | (2,812) |
VF Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (1,075) | Monthly | (78,346) | (1,386) |
Vistra Operations Co. LLC | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (29,070) | Monthly | (569,507) | (49,154) |
Vistra Operations Co. LLC | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (20,376) | Monthly | (399,180) | 1,820 |
Walt Disney (The) Co. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (2,094) | Monthly | (354,035) | 1,328 |
Westinghouse Air Brake Technologies Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (2,800) | Monthly | (254,053) | 3,547 |
Weyerhaeuser Co. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (3,126) | Monthly | (118,746) | (5,397) |
Willis Towers Watson, PLC | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (1,556) | Monthly | (377,000) | 6,628 |
Wynn Resorts Finance LLC/Wynn Resourts Capital Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (4,345) | Monthly | (390,185) | (3,045) |
Xerox Holdings Corp. | U.S. Fed Funds + 0.07% | 1/26/2023 | Barclays | (3,956) | Monthly | (71,407) | 10,640 |
Xerox Holdings Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (10,039) | Monthly | (181,216) | 30,105 |
Xerox Holdings Corp. | U.S. Fed Funds + 0.08% | 2/27/2023 | Goldman Sachs | (10,202) | Monthly | (184,153) | 25,192 |
Total (Cost $64,097,885) | (1,328,313) | $(64,286,066) | $(188,181) |
Interest Rate Swap Contracts outstanding at October 31, 2021: 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) | |
6.66% (Monthly) | 28-Day MXN-TIIE-BANXICO (Monthly) | 3/10/2027 | MXN | 52,460,000 | $ 112,573 | $ — | $ 112,573 |
7.15% (Monthly) | 28-Day MXN-TIIE-BANXICO (Monthly) | 3/10/2027 | MXN | 5,760,000 | 6,688 | — | 6,688 |
7.31% (Monthly) | 28-Day MXN-TIIE-BANXICO (Monthly) | 3/10/2027 | MXN | 5,130,000 | 4,281 | — | 4,281 |
7.37% (Monthly) | 28-Day MXN-TIIE-BANXICO (Monthly) | 3/10/2027 | MXN | 11,450,000 | 8,144 | — | 8,144 |
7.39% (Monthly) | 28-Day MXN-TIIE-BANXICO (Monthly) | 3/10/2027 | MXN | 5,410,000 | 3,618 | — | 3,618 |
7.51% (Monthly) | 28-Day MXN-TIIE-BANXICO (Monthly) | 3/10/2027 | MXN | 6,330,000 | 2,707 | — | 2,707 |
7.56% (Monthly) | 28-Day MXN-TIIE-BANXICO (Monthly) | 3/10/2027 | MXN | 5,140,000 | 1,733 | — | 1,733 |
7.79% (Monthly) | 28-Day MXN-TIIE-BANXICO (Monthly) | 3/10/2027 | MXN | 5,920,000 | (800) | — | (800) |
0.59% (Annually) | 1-Day GBP Sterling Overnight Index Average Rate (Annually) | 3/16/2027 | GBP | 310,000 | 10,401 | — | 10,401 |
0.64% (Annually) | 1-Day GBP Sterling Overnight Index Average Rate (Annually) | 3/16/2027 | GBP | 360,000 | 10,706 | — | 10,706 |
0.80% (Annually) | 1-Day GBP Sterling Overnight Index Average Rate (Annually) | 3/16/2027 | GBP | 350,000 | 6,830 | — | 6,830 |
0.81% (Annually) | 1-Day GBP Sterling Overnight Index Average Rate (Annually) | 3/16/2027 | GBP | 460,000 | 8,608 | — | 8,608 |
0.87% (Annually) | 1-Day GBP Sterling Overnight Index Average Rate (Annually) | 3/16/2027 | GBP | 250,000 | 3,640 | (71) | 3,711 |
0.88% (Annually) | 1-Day GBP Sterling Overnight Index Average Rate (Annually) | 3/16/2027 | GBP | 350,000 | 5,034 | 1,194 | 3,840 |
0.95% (Annually) | 1-Day GBP Sterling Overnight Index Average Rate (Annually) | 3/16/2027 | GBP | 480,000 | 4,627 | — | 4,627 |
0.96% (Annually) | 1-Day GBP Sterling Overnight Index Average Rate (Annually) | 3/16/2027 | GBP | 580,000 | 5,250 | — | 5,250 |
0.98% (Annually) | 1-Day GBP Sterling Overnight Index Average Rate (Annually) | 3/16/2027 | GBP | 260,000 | 1,934 | — | 1,934 |
1.00% (Annually) | 1-Day GBP Sterling Overnight Index Average Rate (Annually) | 3/16/2027 | GBP | 530,000 | 3,284 | — | 3,284 |
1.01% (Annually) | 1-Day GBP Sterling Overnight Index Average Rate (Annually) | 3/16/2027 | GBP | 370,000 | 2,104 | — | 2,104 |
1.03% (Annually) | 1-Day GBP Sterling Overnight Index Average Rate (Annually) | 3/16/2027 | GBP | 490,000 | 1,979 | (461) | 2,440 |
1.04% (Annually) | 1-Day GBP Sterling Overnight Index Average Rate (Annually) | 3/16/2027 | GBP | 160,000 | 601 | — | 601 |
1.08% (Annually) | 1-Day GBP Sterling Overnight Index Average Rate (Annually) | 3/16/2027 | GBP | 320,000 | 335 | — | 335 |
1.11% (Annually) | 2-Day USD SOFR (Annually) | 3/16/2027 | USD | 590,000 | (257) | — | (257) |
1.12% (Annually) | 2-Day USD SOFR (Annually) | 3/16/2027 | USD | 1,070,000 | (888) | — | (888) |
1.15% (Annually) | 2-Day USD SOFR (Annually) | 3/16/2027 | USD | 270,000 | (630) | — | (630) |
Interest Rate Swap Contracts outstanding at October 31, 2021: Exchange Traded (continued) | |||||||
Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Maturity Date | Notional Amount | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
1.18% (Annually) | 2-Day USD SOFR (Annually) | 3/16/2027 | USD | 370,000 | $ (1,438) | $ — | $ (1,438) |
1.42% (Semi-Annually) | 3M CAD CIDOR (Semi-Annually) | 3/16/2027 | CAD | 730,000 | 18,723 | — | 18,723 |
1.43% (Semi-Annually) | 3M CAD CIDOR (Semi-Annually) | 3/16/2027 | CAD | 2,190,000 | 54,860 | — | 54,860 |
1.44% (Semi-Annually) | 3M CAD CIDOR (Semi-Annually) | 3/16/2027 | CAD | 1,270,000 | 31,545 | — | 31,545 |
1.45% (Semi-Annually) | 3M CAD CIDOR (Semi-Annually) | 3/16/2027 | CAD | 1,110,000 | 27,300 | — | 27,300 |
1.46% (Semi-Annually) | 3M CAD CIDOR (Semi-Annually) | 3/16/2027 | CAD | 5,590,000 | 133,732 | (6,252) | 139,984 |
1.70% (Semi-Annually) | 3M CAD CIDOR (Semi-Annually) | 3/16/2027 | CAD | 640,000 | 9,468 | — | 9,468 |
1-Day SGD SORA (Semi-Annually) | 0.85% (Semi-Annually) | 3/16/2027 | SGD | 5,754,834 | (130,944) | — | (130,944) |
1-Day SGD SORA (Semi-Annually) | 0.84% (Semi-Annually) | 3/16/2027 | SGD | 2,203,906 | (50,955) | — | (50,955) |
1-Day SGD SORA (Semi-Annually) | 1.37% (Semi-Annually) | 3/16/2027 | SGD | 990,000 | (3,995) | — | (3,995) |
1-Day SGD SORA (Semi-Annually) | 1.42% (Semi-Annually) | 3/16/2027 | SGD | 460,000 | (1,044) | — | (1,044) |
1-Day SGD SORA (Semi-Annually) | 1.19% (Semi-Annually) | 3/16/2027 | SGD | 430,000 | (4,494) | — | (4,494) |
1-Day SGD SORA (Semi-Annually) | 1.36% (Semi-Annually) | 3/16/2027 | SGD | 319,000 | (1,414) | — | (1,414) |
1-Day SGD SORA (Semi-Annually) | 1.35% (Semi-Annually) | 3/16/2027 | SGD | 231,000 | (1,099) | — | (1,099) |
1-Day SGD SORA (Semi-Annually) | 1.22% (Semi-Annually) | 3/16/2027 | SGD | 227,700 | (2,134) | — | (2,134) |
1-Day SGD SORA (Semi-Annually) | 1.21% (Semi-Annually) | 3/16/2027 | SGD | 186,300 | (1,840) | — | (1,840) |
1-Day SGD SORA (Semi-Annually) | 1.23% (Semi-Annually) | 3/16/2027 | SGD | 186,000 | (1,656) | — | (1,656) |
2.54% (Annually) | 6M PLN WIBOR (Semi-Annually) | 3/16/2027 | PLN | 1,510,000 | 5,216 | — | 5,216 |
2.59% (Annually) | 6M PLN WIBOR (Semi-Annually) | 3/16/2027 | PLN | 1,450,000 | 4,184 | — | 4,184 |
2.63% (Annually) | 6M PLN WIBOR (Semi-Annually) | 3/16/2027 | PLN | 1,120,000 | 2,732 | — | 2,732 |
2.64% (Annually) | 6M PLN WIBOR (Semi-Annually) | 3/16/2027 | PLN | 840,000 | 1,932 | — | 1,932 |
2.67% (Annually) | 6M PLN WIBOR (Semi-Annually) | 3/16/2027 | PLN | 1,140,000 | 2,285 | — | 2,285 |
2.69% (Annually) | 6M PLN WIBOR (Semi-Annually) | 3/16/2027 | PLN | 1,580,000 | 2,727 | — | 2,727 |
2.74% (Annually) | 6M PLN WIBOR (Semi-Annually) | 3/16/2027 | PLN | 1,560,000 | 1,788 | — | 1,788 |
Interest Rate Swap Contracts outstanding at October 31, 2021: Exchange Traded (continued) | |||||||
Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Maturity Date | Notional Amount | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
2.76% (Annually) | 6M PLN WIBOR (Semi-Annually) | 3/16/2027 | PLN | 1,280,000 | $ 1,192 | $ — | $ 1,192 |
2.81% (Annually) | 6M PLN WIBOR (Semi-Annually) | 3/16/2027 | PLN | 1,520,000 | 508 | — | 508 |
3M HKD HIBOR (Quarterly) | 0.98% (Quarterly) | 3/16/2027 | HKD | 6,880,000 | (21,700) | — | (21,700) |
3M HKD HIBOR (Quarterly) | 1.15% (Quarterly) | 3/16/2027 | HKD | 5,963,600 | (12,248) | — | (12,248) |
3M HKD HIBOR (Quarterly) | 0.96% (Quarterly) | 3/16/2027 | HKD | 4,610,000 | (15,035) | — | (15,035) |
3M HKD HIBOR (Quarterly) | 1.19% (Quarterly) | 3/16/2027 | HKD | 4,390,000 | (7,870) | — | (7,870) |
3M HKD HIBOR (Quarterly) | 0.95% (Quarterly) | 3/16/2027 | HKD | 3,760,000 | (12,527) | — | (12,527) |
3M HKD HIBOR (Quarterly) | 1.43% (Quarterly) | 3/16/2027 | HKD | 3,337,600 | (1,048) | — | (1,048) |
3M HKD HIBOR (Quarterly) | 1.16% (Quarterly) | 3/16/2027 | HKD | 2,806,400 | (5,578) | — | (5,578) |
3M HKD HIBOR (Quarterly) | 0.99% (Quarterly) | 3/16/2027 | HKD | 2,430,000 | (7,421) | — | (7,421) |
3M HKD HIBOR (Quarterly) | 1.44% (Quarterly) | 3/16/2027 | HKD | 1,994,400 | (556) | — | (556) |
3M HKD HIBOR (Quarterly) | 1.47% (Quarterly) | 3/16/2027 | HKD | 1,098,000 | (100) | — | (100) |
3M SEK STBOR (Quarterly) | 0.59% (Annually) | 3/16/2027 | SEK | 13,420,000 | (22,426) | — | (22,426) |
3M SEK STBOR (Quarterly) | 0.62% (Annually) | 3/16/2027 | SEK | 10,860,000 | (16,219) | 730 | (16,949) |
3M SEK STBOR (Quarterly) | 0.61% (Annually) | 3/16/2027 | SEK | 9,420,000 | (14,637) | — | (14,637) |
3M SEK STBOR (Quarterly) | 0.48% (Annually) | 3/16/2027 | SEK | 5,310,000 | (12,288) | — | (12,288) |
3M SEK STBOR (Quarterly) | 0.53% (Annually) | 3/16/2027 | SEK | 5,040,000 | (10,056) | — | (10,056) |
3M SEK STBOR (Quarterly) | 0.55% (Annually) | 3/16/2027 | SEK | 4,960,000 | (9,411) | — | (9,411) |
3M SEK STBOR (Quarterly) | 0.88% (Annually) | 3/16/2027 | SEK | 4,830,000 | (58) | — | (58) |
3M SEK STBOR (Quarterly) | 0.81% (Annually) | 3/16/2027 | SEK | 4,600,000 | (1,774) | — | (1,774) |
3M SEK STBOR (Quarterly) | 0.60% (Annually) | 3/16/2027 | SEK | 4,430,000 | (7,005) | — | (7,005) |
3M SEK STBOR (Quarterly) | 0.70% (Annually) | 3/16/2027 | SEK | 3,760,000 | (3,849) | — | (3,849) |
3M SEK STBOR (Quarterly) | 0.50% (Annually) | 3/16/2027 | SEK | 3,520,000 | (7,691) | — | (7,691) |
3M SEK STBOR (Quarterly) | 0.68% (Annually) | 3/16/2027 | SEK | 3,280,000 | (3,659) | — | (3,659) |
3M SEK STBOR (Quarterly) | 0.71% (Annually) | 3/16/2027 | SEK | 2,460,000 | (2,391) | — | (2,391) |
3M SEK STBOR (Quarterly) | 0.72% (Annually) | 3/16/2027 | SEK | 1,960,000 | (1,796) | 72 | (1,868) |
3M ZAR JIBAR (Quarterly) | 6.98% (Quarterly) | 3/16/2027 | ZAR | 8,900,000 | (6,625) | — | (6,625) |
3M ZAR JIBAR (Quarterly) | 6.86% (Quarterly) | 3/16/2027 | ZAR | 4,950,000 | (5,361) | — | (5,361) |
3M ZAR JIBAR (Quarterly) | 7.05% (Quarterly) | 3/16/2027 | ZAR | 4,600,000 | (2,563) | — | (2,563) |
3M ZAR JIBAR (Quarterly) | 7.09% (Quarterly) | 3/16/2027 | ZAR | 4,370,000 | (2,022) | — | (2,022) |
3M ZAR JIBAR (Quarterly) | 6.92% (Quarterly) | 3/16/2027 | ZAR | 4,080,000 | (3,703) | — | (3,703) |
3M ZAR JIBAR (Quarterly) | 7.00% (Quarterly) | 3/16/2027 | ZAR | 2,670,000 | (1,862) | — | (1,862) |
6M ASX BBSW (Semi-Annually) | 0.99% (Semi-Annually) | 3/16/2027 | AUD | 1,430,000 | (46,868) | — | (46,868) |
6M ASX BBSW (Semi-Annually) | 0.98% (Semi-Annually) | 3/16/2027 | AUD | 1,350,000 | (44,697) | — | (44,697) |
6M ASX BBSW (Semi-Annually) | 1.05% (Semi-Annually) | 3/16/2027 | AUD | 1,330,000 | (40,950) | — | (40,950) |
6M ASX BBSW (Semi-Annually) | 1.02% (Semi-Annually) | 3/16/2027 | AUD | 1,060,000 | (33,670) | — | (33,670) |
6M ASX BBSW (Semi-Annually) | 1.46% (Semi-Annually) | 3/16/2027 | AUD | 850,000 | (13,431) | — | (13,431) |
Interest Rate Swap Contracts outstanding at October 31, 2021: Exchange Traded (continued) | |||||||
Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Maturity Date | Notional Amount | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
6M ASX BBSW (Semi-Annually) | 1.36% (Semi-Annually) | 3/16/2027 | AUD | 810,000 | $ (15,722) | $ — | $ (15,722) |
6M ASX BBSW (Semi-Annually) | 1.21% (Semi-Annually) | 3/16/2027 | AUD | 790,000 | (19,790) | — | (19,790) |
6M ASX BBSW (Semi-Annually) | 1.33% (Semi-Annually) | 3/16/2027 | AUD | 710,000 | (14,584) | — | (14,584) |
6M ASX BBSW (Semi-Annually) | 1.39% (Semi-Annually) | 3/16/2027 | AUD | 700,000 | (12,872) | — | (12,872) |
6M ASX BBSW (Semi-Annually) | 1.53% (Semi-Annually) | 3/16/2027 | AUD | 660,000 | (8,761) | — | (8,761) |
6M ASX BBSW (Semi-Annually) | 1.20% (Semi-Annually) | 3/16/2027 | AUD | 643,200 | (16,339) | — | (16,339) |
6M ASX BBSW (Semi-Annually) | 0.95% (Semi-Annually) | 3/16/2027 | AUD | 630,000 | (21,569) | — | (21,569) |
6M ASX BBSW (Semi-Annually) | 1.01% (Semi-Annually) | 3/16/2027 | AUD | 590,000 | (18,906) | — | (18,906) |
6M ASX BBSW (Semi-Annually) | 1.54% (Semi-Annually) | 3/16/2027 | AUD | 550,000 | (7,187) | — | (7,187) |
6M ASX BBSW (Semi-Annually) | 1.16% (Semi-Annually) | 3/16/2027 | AUD | 440,000 | (11,785) | — | (11,785) |
6M ASX BBSW (Semi-Annually) | 1.18% (Semi-Annually) | 3/16/2027 | AUD | 430,000 | (11,144) | — | (11,144) |
6M ASX BBSW (Semi-Annually) | 1.24% (Semi-Annually) | 3/16/2027 | AUD | 390,000 | (9,312) | — | (9,312) |
6M ASX BBSW (Semi-Annually) | 1.23% (Semi-Annually) | 3/16/2027 | AUD | 390,000 | (9,397) | — | (9,397) |
6M ASX BBSW (Semi-Annually) | 1.76% (Semi-Annually) | 3/16/2027 | AUD | 380,000 | (1,941) | — | (1,941) |
6M ASX BBSW (Semi-Annually) | 1.32% (Semi-Annually) | 3/16/2027 | AUD | 350,000 | (7,290) | — | (7,290) |
6M ASX BBSW (Semi-Annually) | 1.75% (Semi-Annually) | 3/16/2027 | AUD | 335,000 | (1,863) | — | (1,863) |
6M ASX BBSW (Semi-Annually) | 1.87% (Semi-Annually) | 3/16/2027 | AUD | 335,000 | (412) | — | (412) |
6M ASX BBSW (Semi-Annually) | 1.19% (Semi-Annually) | 3/16/2027 | AUD | 316,800 | (8,108) | — | (8,108) |
6M ASX BBSW (Semi-Annually) | 1.31% (Semi-Annually) | 3/16/2027 | AUD | 255,000 | (5,468) | — | (5,468) |
6M ASX BBSW (Semi-Annually) | 1.29% (Semi-Annually) | 3/16/2027 | AUD | 255,000 | (5,642) | — | (5,642) |
6M EUR EURIBOR (Semi-Annually) | -0.06% (Annually) | 3/16/2027 | EUR | 1,300,000 | (12,205) | — | (12,205) |
6M EUR EURIBOR (Semi-Annually) | 0.03% (Annually) | 3/16/2027 | EUR | 740,000 | (3,220) | 16 | (3,236) |
6M EUR EURIBOR (Semi-Annually) | -0.01% (Annually) | 3/16/2027 | EUR | 630,000 | (3,892) | 709 | (4,601) |
Interest Rate Swap Contracts outstanding at October 31, 2021: Exchange Traded (continued) | |||||||
Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Maturity Date | Notional Amount | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
6M EUR EURIBOR (Semi-Annually) | 0.00% (Annually) | 3/16/2027 | EUR | 500,000 | $ (2,962) | $ — | $ (2,962) |
6M EUR EURIBOR (Semi-Annually) | -0.11% (Annually) | 3/16/2027 | EUR | 400,000 | (4,846) | (638) | (4,208) |
Total | $(334,631) | $(4,701) | $(329,930) |
Interest Rate Swap Contracts outstanding at October 31, 2021: 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) | |
1.58% (Quarterly) | 3M KRW KWCDC (Quarterly) | Citibank | 3/16/2027 | KRW | 2,403,379,962 | $ 69,628 | $— | $ 69,628 |
1.58% (Quarterly) | 3M KRW KWCDC (Quarterly) | Bank Of America | 3/16/2027 | KRW | 1,900,339,109 | 55,054 | — | 55,054 |
1.64% (Quarterly) | 3M KRW KWCDC (Quarterly) | Citibank | 3/16/2027 | KRW | 4,798,090,929 | 128,297 | — | 128,297 |
2.04% (Quarterly) | 3M KRW KWCDC (Quarterly) | Bank Of America | 3/16/2027 | KRW | 307,182,400 | 3,073 | — | 3,073 |
2.05% (Quarterly) | 3M KRW KWCDC (Quarterly) | Bank Of America | 3/16/2027 | KRW | 485,787,024 | 4,658 | — | 4,658 |
2.05% (Quarterly) | 3M KRW KWCDC (Quarterly) | JPMorgan Chase | 3/16/2027 | KRW | 304,110,576 | 2,979 | — | 2,979 |
2.07% (Quarterly) | 3M KRW KWCDC (Quarterly) | Bank Of America | 3/16/2027 | KRW | 792,865,800 | 7,112 | — | 7,112 |
2.11% (Quarterly) | 3M KRW KWCDC (Quarterly) | Bank Of America | 3/16/2027 | KRW | 675,404,200 | 4,830 | — | 4,830 |
Total | $275,631 | $— | $275,631 |
Morningstar Alternatives Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Asset-Backed Securities | $ — | $ 30,712,838 | $ — | $ 30,712,838 |
Common Stocks | 78,089,792 | 7,778,828 | — | 85,868,620 |
Convertible Bonds | — | 81,252,770 | — | 81,252,770 |
Convertible Preferred Stocks | 4,264,320 | 3,778,667 | — | 8,042,987 |
Corporate Bonds | — | 49,615,689 | — | 49,615,689 |
Foreign Issuer Bonds | — | 7,564,300 | — | 7,564,300 |
Mortgage-Backed Securities | — | 46,846,542 | — | 46,846,542 |
Preferred Stocks | 3,816,198 | — | — | 3,816,198 |
Rights | — | —* | 44,391 | 44,391 |
Warrants | 16,584 | — | — | 16,584 |
Investment Companies | 2,203,601 | — | — | 2,203,601 |
Short-Term Investments | 42,162,649 | 4,607,500 | — | 46,770,149 |
Purchased Options | 608,059 | — | — | 608,059 |
Total Assets – Investments at value | $131,161,203 | $232,157,134 | $44,391 | $363,362,728 |
Liabilities: | ||||
Common Stocks | $ (58,424,992) | $ (262,047) | $ — | $ (58,687,039) |
Mortgage-Backed Securities | — | (9,611,410) | — | (9,611,410) |
Investment Companies | (432,337) | — | — | (432,337) |
Total Liabilities – Investments at value | $ (58,857,329) | $ (9,873,457) | $ — | $ (68,730,786) |
Net Investments | $ 72,303,874 | $222,283,677 | $44,391 | $294,631,942 |
*Amount rounds to less than one dollar. |
Morningstar Alternatives Fund | Level 1 | Level 2 | Level 3 | Totals |
Derivative Financial Instruments | ||||
Assets: | ||||
Futures Contracts | $ 810,275 | $ — | $— | $ 810,275 |
Forward Foreign Currency Exchange Contracts | — | 167,756 | — | 167,756 |
Contracts for Difference at Fair Value | — | 67,014,538 | — | 67,014,538 |
Swap Agreements at Fair Value | — | 778,900 | — | 778,900 |
Total Assets - Derivative Financial Instruments | $ 810,275 | $ 67,961,194 | $— | $ 68,771,469 |
Liabilities: | ||||
Futures Contracts | $(1,085,809) | $ — | $— | $ (1,085,809) |
Forward Foreign Currency Exchange Contracts | — | (115,015) | — | (115,015) |
Written Options at Fair Value | (332,838) | — | — | (332,838) |
Contracts for Difference at Fair Value | — | (64,286,066) | — | (64,286,066) |
Swap Agreements at Fair Value | — | (837,900) | — | (837,900) |
Total Liabilities - Derivative Financial Instruments | $(1,418,647) | $(65,238,981) | $— | $(66,657,628) |
Net Derivative Financial Instruments | $ (608,372) | $ 2,722,213 | $— | $ 2,113,841 |
Financial Assets | Fair Value at 10/31/21 | Valuation Technique(s) | Unobservable Inputs | Price/Range |
Rights | $44,391 | Implied value of the CVR upon closing plus time value of money | Quotes/Prices | $0.83 |
Morningstar U.S. Equity Fund | Morningstar International Equity Fund | Morningstar Global Income Fund | Morningstar Total Return Bond Fund | Morningstar Municipal Bond Fund | |
Assets | |||||
Investments in non-affiliates, at value | $1,722,287,148 | $1,062,469,850 | $277,577,679 | $1,002,102,250 | $420,402,714 |
Foreign currencies, at value | 151,237 | 369,300 | 10,080 | 1,297,604 | — |
Due from broker | — | — | — | 10,842,879 | — |
Receivable from Adviser | 33,598 | 46,668 | — | 125,269 | 24,332 |
Receivable for: | |||||
Dividends and interest | 1,478,402 | 2,130,599 | 397,298 | 4,165,492 | 4,321,101 |
Foreign tax reclaims | 100,446 | 576,385 | 301,185 | 19,179 | — |
Investments sold | 10,549,432 | 1,979,641 | 86,231 | 80,044,101 | — |
Fund shares sold | 714,479 | 463,957 | 216,017 | 489,415 | 252,285 |
Variation margin on futures contracts | — | — | — | 268,291 | — |
Variation margin on exchange traded swap agreements | — | — | — | 188,151 | — |
Unrealized appreciation on OTC swap agreements | — | — | — | 46,538 | — |
Unrealized appreciation on forward foreign currency exchange contracts | — | 86,602 | — | 408,269 | — |
Upfront premiums paid on swap agreements | — | — | — | 3,188,916 | — |
Prepaid expenses and other assets | 31,375 | 28,271 | 18,490 | 26,883 | 22,025 |
Total assets | 1,735,346,117 | 1,068,151,273 | 278,606,980 | 1,103,213,237 | 425,022,457 |
Liabilities | |||||
Investments sold short, at value | — | — | — | 7,024,083 | — |
Written options, at value | — | — | — | 395,668 | — |
Due to broker | — | — | — | 6,407,842 | — |
Unrealized depreciation on OTC swap agreements | — | — | — | 23,068 | — |
Unrealized depreciation on forward foreign currency exchange contracts | — | — | — | 387,263 | — |
Payable for: | |||||
Investments purchased on a delayed-delivery basis | — | — | — | 191,074,920 | 3,552,700 |
Investments purchased | 7,710,474 | 1,879,164 | — | 14,589,184 | 1,109,978 |
Variation margin on futures contracts | — | — | — | 175,408 | — |
Variation margin on exchange traded swap agreements | — | — | — | 212,307 | — |
Fund shares redeemed | 1,765,222 | 998,010 | 305,727 | 931,630 | 365,535 |
Distributions | — | — | 1,412 | 8,416 | — |
Dividends on short sales | — | — | — | 36,357 | — |
Deferred capital gains tax | — | 553,414 | — | — | — |
Morningstar U.S. Equity Fund | Morningstar International Equity Fund | Morningstar Global Income Fund | Morningstar Total Return Bond Fund | Morningstar Municipal Bond Fund | |
Upfront premiums received from swap agreements | — | — | — | 214,346 | — |
Accrued management fees | 966,981 | 748,285 | 82,070 | 328,703 | 157,028 |
Accrued trustee fees | 19,679 | 12,410 | 3,330 | 11,098 | 5,148 |
Accrued expenses | 417,120 | 324,555 | 128,560 | 333,235 | 124,872 |
Total liabilities | 10,879,476 | 4,515,838 | 521,099 | 222,153,528 | 5,315,261 |
Net assets | $1,724,466,641 | $1,063,635,435 | $278,085,881 | $881,059,709 | $419,707,196 |
Analysis of net assets: | |||||
Paid in capital | $1,075,958,886 | $ 794,269,226 | $241,074,958 | $874,327,124 | $410,180,056 |
Distributable earnings (loss) | 648,507,755 | 269,366,209 | 37,010,923 | 6,732,585 | 9,527,140 |
Net assets | $1,724,466,641 | $1,063,635,435 | $278,085,881 | $881,059,709 | $419,707,196 |
Shares outstanding: | 116,137,259 | 82,101,631 | 23,954,317 | 81,989,265 | 39,265,479 |
Net asset value, offering price and redemption price per share: | $ 14.85 | $ 12.96 | $ 11.61 | $ 10.75 | $ 10.69 |
Investments in non-affiliates, at cost | $1,292,343,370 | $ 918,468,612 | $256,440,216 | $998,629,978 | $411,248,864 |
Foreign currencies, at cost | $ 151,043 | $ 369,437 | $ 10,132 | $ 1,301,121 | $ — |
Investments sold short proceeds | $ — | $ — | $ — | $ 7,245,979 | $ — |
Written option premiums | $ — | $ — | $ — | $ 379,590 | $ — |
Morningstar Defensive Bond Fund | Morningstar Multisector Bond Fund | Morningstar Unconstrained Allocation Fund | Morningstar Alternatives Fund | |
Assets | ||||
Investments in non-affiliates, at value | $208,484,680 | $229,394,078 | $214,429,238 | $363,362,728 |
Cash | — | — | — | 44,824,986 |
Foreign currencies, at value | — | 1,261,710 | 2,226 | 601,134 |
Due from broker | — | 270,000 | 287,744 | 16,466,022 |
Receivable from Adviser | 53,978 | 29,061 | — | 80,655 |
Receivable for: | ||||
Dividends and interest | 244,514 | 2,757,026 | 522,353 | 1,205,393 |
Foreign tax reclaims | — | 47,544 | 20,574 | 4,263 |
Investments sold | 302,902 | 1,766,647 | 2,295,718 | 36,368,859 |
Fund shares sold | 278,217 | 123,591 | 192,492 | 736,244 |
Variation margin on futures contracts | — | — | 3,750 | 166,965 |
Variation margin on exchange traded swap agreements | — | — | — | 61,463 |
Unrealized appreciation on OTC swap agreements | — | 16,190 | — | 3,059,456 |
Unrealized appreciation on forward foreign currency exchange contracts | — | 473,774 | 276,171 | 167,756 |
Upfront premiums paid on swap agreements | — | 20,056 | — | 2,721 |
Prepaid expenses and other assets | 16,503 | 22,223 | 40,824 | 21,461 |
Total assets | 209,380,794 | 236,181,900 | 218,071,090 | 467,130,106 |
Liabilities | ||||
Investments sold short, at value | — | — | — | 68,730,786 |
Written options, at value | — | — | — | 332,838 |
Due to broker | — | 315,259 | 70,000 | 2,229,042 |
Unrealized depreciation on OTC swap agreements | — | — | — | 2,565,396 |
Unrealized depreciation on forward foreign currency exchange contracts | — | 370,904 | 372,536 | 115,015 |
Payable for: | ||||
Investments purchased on a delayed-delivery basis | 3,472,907 | 120,000 | — | 50,769,355 |
Investments purchased | 803,624 | 2,194,589 | 2,936,578 | 2,106,822 |
Variation margin on futures contracts | — | — | 25,285 | 336,109 |
Variation margin on exchange traded swap agreements | — | — | — | 110,943 |
Fund shares redeemed | 278,901 | 253,060 | 205,192 | 396,422 |
Distributions | 4,393 | 3,142 | — | — |
Dividends on short sales | — | — | — | 22,095 |
Upfront premiums received from swap agreements | — | 9,864 | — | 7,422 |
Accrued management fees | 62,587 | 120,690 | 85,593 | 243,362 |
Accrued trustee fees | 2,394 | 2,699 | 2,579 | 4,235 |
Accrued expenses | 95,233 | 136,478 | 77,063 | 419,607 |
Total liabilities | 4,720,039 | 3,526,685 | 3,774,826 | 128,389,449 |
Net assets | $204,660,755 | $232,655,215 | $214,296,264 | $338,740,657 |
Analysis of net assets: | ||||
Paid in capital | $202,678,904 | $232,151,786 | $159,696,047 | $324,321,421 |
Distributable earnings (loss) | 1,981,851 | 503,429 | 54,600,217 | 14,419,236 |
Net assets | $204,660,755 | $232,655,215 | $214,296,264 | $338,740,657 |
Shares outstanding: | 20,096,247 | 22,644,483 | 17,096,944 | 31,323,320 |
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: | $ 10.18 | $ 10.27 | $ 12.53 | $ 10.81 |
Investments in non-affiliates, at cost | $208,510,248 | $232,147,768 | $195,454,958 | $350,605,133 |
Foreign currencies, at cost | $ — | $ 1,260,236 | $ 2,262 | $ 604,607 |
Investments sold short proceeds | $ — | $ — | $ — | $ 62,065,302 |
Written option premiums | $ — | $ — | $ — | $ 283,560 |
Morningstar U.S. Equity Fund | Morningstar International Equity Fund | Morningstar Global Income Fund | Morningstar Total Return Bond Fund | Morningstar Municipal Bond Fund | |
Investment income | |||||
Dividend income from non-affiliates (net of foreign withholding taxes) | $ 15,952,569 | $ 15,965,601 | $ 6,167,980 | $ 166,261 | $ 8,137 |
Non-cash dividend income | — | 1,131,323 | — | — | — |
Interest income (net of foreign withholding taxes) | 2,382 | 21,599 | 96,336 | 8,030,006 | 4,645,520 |
Total investment income | 15,954,951 | 17,118,523 | 6,264,316 | 8,196,267 | 4,653,657 |
Expenses | |||||
Management fees (Note 5) | 5,717,355 | 4,508,955 | 491,731 | 1,934,989 | 933,894 |
Administration and custody fees | 387,443 | 379,295 | 98,933 | 462,937 | 102,861 |
Transfer agent fees | 4,801 | 4,671 | 4,669 | 4,682 | 4,653 |
Sub-accounting fees | 856,960 | 550,384 | 137,633 | 423,738 | 212,317 |
Audit and tax fees | 32,855 | 51,477 | 38,526 | 39,157 | 24,267 |
Legal fees | 85,849 | 54,826 | 14,350 | 44,365 | 21,449 |
Trustees’ fees | 106,805 | 68,225 | 17,675 | 55,099 | 26,728 |
Registration and filing fees | 15,976 | 15,749 | 12,601 | 16,846 | 13,159 |
Printing and postage fees | 33,574 | 27,289 | 6,746 | 16,158 | 7,419 |
Dividend and interest on securities sold short | — | — | — | 44,477 | — |
Other expenses | 63,300 | 42,273 | 14,280 | 36,642 | 18,960 |
Total expenses | 7,304,918 | 5,703,144 | 837,144 | 3,079,090 | 1,365,707 |
Less waiver of management fees (Note 5) | (239,721) | (459,127) | — | (738,852) | (132,534) |
Net expenses | 7,065,197 | 5,244,017 | 837,144 | 2,340,238 | 1,233,173 |
Net investment income | 8,889,754 | 11,874,506 | 5,427,172 | 5,856,029 | 3,420,484 |
Realized and unrealized gains (losses) | |||||
Net realized gains (losses) on: | |||||
Investments | 114,657,160 | 94,884,523 | 12,895,488 | (69,972) | 237,489 |
Investments sold short | — | — | — | (256,730) | — |
Swap agreements | — | — | — | 507,713 | — |
Futures contracts | — | — | — | 5,540,818 | — |
Written options contracts | — | — | — | 1,324,785 | — |
Forward foreign currency exchange contracts | — | 103,175 | — | (62,910) | — |
Foreign currency transactions | 9,864 | (82,571) | (17,167) | 95,021 | — |
Net realized gains | 114,667,024 | 94,905,127 | 12,878,321 | 7,078,725 | 237,489 |
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | 8,410,513 | (86,903,461) 1 | (12,177,403) | 2,860,344 | (2,741,190) |
Investments sold short | — | — | — | (245,046) | — |
Swap agreements | — | — | — | (2,803,757) | — |
Futures contracts | — | — | — | (1,618,374) | — |
Written options contracts | — | — | — | 300,025 | — |
Forward foreign currency exchange contracts | — | (32,283) | — | 3,853 | — |
Morningstar U.S. Equity Fund | Morningstar International Equity Fund | Morningstar Global Income Fund | Morningstar Total Return Bond Fund | Morningstar Municipal Bond Fund | |
Foreign currency transactions | (242) | (19,167) | (7,372) | (17,106) | — |
Net change in unrealized appreciation (depreciation) | 8,410,271 | (86,954,911) | (12,184,775) | (1,520,061) | (2,741,190) |
Net realized and unrealized gains (losses) | 123,077,295 | 7,950,216 | 693,546 | 5,558,664 | (2,503,701) |
Net increase (decrease) in net assets resulting from operations | $131,967,049 | $ 19,824,722 | $ 6,120,718 | $11,414,693 | $ 916,783 |
Foreign withholding taxes on dividend income | $ 126,731 | $ 1,554,966 | $ 290,294 | $ 11,785 | $ — |
Foreign withholding taxes on interest income | $ — | $ — | $ — | $ — | $ — |
1 | Net of change in deferred foreign capital gains tax expense of $46,628. |
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) | $ 288,601 | $ 41,355 | $ 2,169,989 | $ 1,075,242 |
Interest income (net of foreign withholding taxes) | 2,035,642 | 5,984,263 | 568,420 | 2,471,042 |
Total investment income | 2,324,243 | 6,025,618 | 2,738,409 | 3,546,284 |
Expenses | ||||
Management fees (Note 5) | 367,531 | 723,331 | 508,244 | 1,428,471 |
Administration and custody fees | 98,287 | 124,847 | 101,313 | 720,322 |
Transfer agent fees | 4,680 | 4,686 | 4,674 | 4,680 |
Sub-accounting fees | 101,902 | 121,221 | 107,383 | 161,883 |
Audit and tax fees | 24,356 | 40,093 | 24,530 | 30,658 |
Legal fees | 10,270 | 12,090 | 10,939 | 17,036 |
Trustees’ fees | 12,815 | 14,985 | 13,570 | 21,063 |
Registration and filing fees | 12,047 | 13,063 | 11,899 | 13,286 |
Printing and postage fees | 4,863 | 9,127 | 6,573 | 6,507 |
Dividend and interest on securities sold short | — | — | — | 207,413 |
Other expenses | 11,701 | 13,106 | 11,901 | 17,002 |
Total expenses | 648,452 | 1,076,549 | 801,026 | 2,628,321 |
Less waiver of management fees (Note 5) | (158,410) | (136,475) | — | (501,190) |
Net expenses | 490,042 | 940,074 | 801,026 | 2,127,131 |
Net investment income | 1,834,201 | 5,085,544 | 1,937,383 | 1,419,153 |
Realized and unrealized gains (losses) | ||||
Net realized gains (losses) on: | ||||
Investments | 466,108 | 849,540 | 26,289,687 | 9,356,464 |
Investments sold short | — | — | — | (7,483,109) |
Swap agreements | — | (42,586) | — | (723,252) |
Futures contracts | — | — | (117,778) | 1,943,940 |
Written options contracts | — | — | — | 698,102 |
Forward foreign currency exchange contracts | — | (307,784) | (457,093) | 239,161 |
Foreign currency transactions | — | (11,391) | 2,390 | (25,876) |
Net realized gains | 466,108 | 487,779 | 25,717,206 | 4,005,430 |
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (1,510,740) | (7,731,276) | (19,677,100) | (4,464,754) |
Investments sold short | — | — | — | 2,378,322 |
Swap agreements | — | 46,187 | — | 548,857 |
Futures contracts | — | — | (6,020) | (463,636) |
Written options contracts | — | — | — | (115,178) |
Forward foreign currency exchange contracts | — | 332,192 | (125,752) | 48,749 |
Foreign currency transactions | — | (22,404) | (10,123) | (20,083) |
Net change in unrealized appreciation (depreciation) | (1,510,740) | (7,375,301) | (19,818,995) | (2,087,723) |
Net realized and unrealized gains (losses) | (1,044,632) | (6,887,522) | 5,898,211 | 1,917,707 |
Net increase (decrease) in net assets resulting from operations | $ 789,569 | $(1,801,978) | $ 7,835,594 | $ 3,336,860 |
Foreign withholding taxes on dividend income | $ — | $ — | $ 67,277 | $ 20,325 |
Foreign withholding taxes on interest income | $ — | $ 96,969 | $ 4,180 | $ — |
Morningstar U.S. Equity Fund | Morningstar International Equity Fund | |||
Six Months Ended October 31, 2021 (unaudited) | Year Ended April 30, 2021 | Six Months Ended October 31, 2021 (unaudited) | Year Ended April 30, 2021 | |
Operations: | ||||
Net investment income | $ 8,889,754 | $ 16,656,591 | $ 11,874,506 | $ 10,016,804 |
Net realized gains | 114,667,024 | 135,103,754 | 94,905,127 | 41,234,098 |
Net change in unrealized appreciation (depreciation) | 8,410,271 | 428,736,373 | (86,954,911) | 308,650,316 |
Net increase (decrease) in net assets resulting from operations | 131,967,049 | 580,496,718 | 19,824,722 | 359,901,218 |
Distributions paid from: | ||||
Distributable earnings | — | (30,041,957) | — | (26,103,149) |
Total distributions paid | — | (30,041,957) | — | (26,103,149) |
Capital share transactions: | ||||
Proceeds from shares sold | 133,290,844 | 481,776,207 | 93,331,380 | 328,847,006 |
Reinvestment of dividends | — | 29,964,205 | — | 26,036,922 |
Payments for shares redeemed | (243,522,788) | (538,830,029) | (123,703,043) | (378,898,826) |
Net increase (decrease) in net assets from capital share transactions | (110,231,944) | (27,089,617) | (30,371,663) | (24,014,898) |
Total increase (decrease) in net assets | 21,735,105 | 523,365,144 | (10,546,941) | 309,783,171 |
Net assets: | ||||
Beginning of period | 1,702,731,536 | 1,179,366,392 | 1,074,182,376 | 764,399,205 |
End of period | $1,724,466,641 | $1,702,731,536 | $1,063,635,435 | $1,074,182,376 |
Capital share transactions | ||||
Shares sold | 9,370,485 | 42,040,625 | 7,187,469 | 29,632,519 |
Shares from reinvested dividends | — | 2,511,783 | — | 2,177,756 |
Shares redeemed | (17,154,735) | (47,916,071) | (9,503,950) | (34,631,486) |
Net increase (decrease) | (7,784,250) | (3,363,663) | (2,316,481) | (2,821,211) |
Morningstar Global Income Fund | Morningstar Total Return Bond Fund | |||
Six Months Ended October 31, 2021 (unaudited) | Year Ended April 30, 2021 | Six Months Ended October 31, 2021 (unaudited) | Year Ended April 30, 2021 | |
Operations: | ||||
Net investment income | $ 5,427,172 | $ 8,403,667 | $ 5,856,029 | $ 9,074,885 |
Net realized gains | 12,878,321 | 5,354,824 | 7,078,725 | 7,288,849 |
Net change in unrealized appreciation (depreciation) | (12,184,775) | 44,956,324 | (1,520,061) | (3,936,470) |
Net increase (decrease) in net assets resulting from operations | 6,120,718 | 58,714,815 | 11,414,693 | 12,427,264 |
Distributions paid from: | ||||
Distributable earnings | (6,358,921) | (8,680,865) | (6,793,636) | (31,028,756) |
Total distributions paid | (6,358,921) | (8,680,865) | (6,793,636) | (31,028,756) |
Capital share transactions: | ||||
Proceeds from shares sold | 32,805,431 | 87,887,640 | 134,475,941 | 480,904,825 |
Reinvestment of dividends | 6,347,712 | 8,662,821 | 6,745,307 | 30,798,145 |
Payments for shares redeemed | (33,261,100) | (109,212,549) | (97,701,564) | (179,644,388) |
Net increase (decrease) in net assets from capital share transactions | 5,892,043 | (12,662,088) | 43,519,684 | 332,058,582 |
Total increase (decrease) in net assets | 5,653,840 | 37,371,862 | 48,140,741 | 313,457,090 |
Net assets: | ||||
Beginning of period | 272,432,041 | 235,060,179 | 832,918,968 | 519,461,878 |
End of period | $278,085,881 | $ 272,432,041 | $881,059,709 | $ 832,918,968 |
Capital share transactions | ||||
Shares sold | 2,789,498 | 8,222,595 | 12,465,603 | 43,701,466 |
Shares from reinvested dividends | 541,887 | 816,414 | 624,411 | 2,790,212 |
Shares redeemed | (2,822,607) | (10,232,402) | (9,040,464) | (16,280,848) |
Net increase (decrease) | 508,778 | (1,193,393) | 4,049,550 | 30,210,830 |
Morningstar Municipal Bond Fund | Morningstar Defensive Bond Fund | |||
Six Months Ended October 31, 2021 (unaudited) | Year Ended April 30, 2021 | Six Months Ended October 31, 2021 (unaudited) | Year Ended April 30, 2021 | |
Operations: | ||||
Net investment income | $ 3,420,484 | $ 7,274,144 | $ 1,834,201 | $ 3,937,323 |
Net realized gains | 237,489 | 1,078,614 | 466,108 | 2,618,338 |
Net change in unrealized appreciation (depreciation) | (2,741,190) | 19,775,057 | (1,510,740) | 373,772 |
Net increase (decrease) in net assets resulting from operations | 916,783 | 28,127,815 | 789,569 | 6,929,433 |
Distributions paid from: | ||||
Distributable earnings | (3,396,257) | (7,263,473) | (1,853,991) | (5,595,772) |
Total distributions paid | (3,396,257) | (7,263,473) | (1,853,991) | (5,595,772) |
Capital share transactions: | ||||
Proceeds from shares sold | 40,339,349 | 153,419,635 | 32,724,705 | 125,121,603 |
Reinvestment of dividends | 3,396,256 | 7,261,563 | 1,829,925 | 5,533,958 |
Payments for shares redeemed | (38,718,248) | (104,562,988) | (29,358,295) | (114,935,028) |
Net increase (decrease) in net assets from capital share transactions | 5,017,357 | 56,118,210 | 5,196,335 | 15,720,533 |
Total increase (decrease) in net assets | 2,537,883 | 76,982,552 | 4,131,913 | 17,054,194 |
Net assets: | ||||
Beginning of period | 417,169,313 | 340,186,761 | 200,528,842 | 183,474,648 |
End of period | $419,707,196 | $ 417,169,313 | $204,660,755 | $ 200,528,842 |
Capital share transactions | ||||
Shares sold | 3,737,799 | 14,430,434 | 3,193,592 | 12,178,266 |
Shares from reinvested dividends | 315,320 | 681,997 | 178,754 | 538,684 |
Shares redeemed | (3,589,513) | (9,854,516) | (2,864,760) | (11,161,340) |
Net increase (decrease) | 463,606 | 5,257,915 | 507,586 | 1,555,610 |
Morningstar Multisector Bond Fund | Morningstar Unconstrained Allocation Fund | |||
Six Months Ended October 31, 2021 (unaudited) | Year Ended April 30, 2021 | Six Months Ended October 31, 2021 (unaudited) | Year Ended April 30, 2021 | |
Operations: | ||||
Net investment income | $ 5,085,544 | $ 10,776,166 | $ 1,937,383 | $ 2,246,569 |
Net realized gains | 487,779 | 3,862,311 | 25,717,206 | 12,005,597 |
Net change in unrealized appreciation (depreciation) | (7,375,301) | 19,395,976 | (19,818,995) | 35,988,388 |
Net increase (decrease) in net assets resulting from operations | (1,801,978) | 34,034,453 | 7,835,594 | 50,240,554 |
Distributions paid from: | ||||
Distributable earnings | (3,701,768) | (6,127,676) | — | (5,306,815) |
Total distributions paid | (3,701,768) | (6,127,676) | — | (5,306,815) |
Capital share transactions: | ||||
Proceeds from shares sold | 27,883,215 | 135,983,223 | 20,571,419 | 79,010,669 |
Reinvestment of dividends | 3,687,799 | 6,107,758 | — | 5,297,582 |
Payments for shares redeemed | (30,554,338) | (124,626,874) | (24,837,262) | (56,709,143) |
Net increase (decrease) in net assets from capital share transactions | 1,016,676 | 17,464,107 | (4,265,843) | 27,599,108 |
Total increase (decrease) in net assets | (4,487,070) | 45,370,884 | 3,569,751 | 72,532,847 |
Net assets: | ||||
Beginning of period | 237,142,285 | 191,771,401 | 210,726,513 | 138,193,666 |
End of period | $232,655,215 | $ 237,142,285 | $214,296,264 | $210,726,513 |
Capital share transactions | ||||
Shares sold | 2,648,510 | 13,534,674 | 1,654,234 | 7,362,146 |
Shares from reinvested dividends | 352,707 | 604,130 | — | 464,555 |
Shares redeemed | (2,901,197) | (12,026,490) | (1,997,463) | (5,270,864) |
Net increase (decrease) | 100,020 | 2,112,314 | (343,229) | 2,555,837 |
Morningstar Alternatives Fund | ||
Six Months Ended October 31, 2021 (unaudited) | Year Ended April 30, 2021 | |
Operations: | ||
Net investment income | $ 1,419,153 | $ 2,714,288 |
Net realized gains | 4,005,430 | 5,298,439 |
Net change in unrealized appreciation (depreciation) | (2,087,723) | 11,634,444 |
Net increase (decrease) in net assets resulting from operations | 3,336,860 | 19,647,171 |
Distributions paid from: | ||
Distributable earnings | — | (7,284,535) |
Total distributions paid | — | (7,284,535) |
Capital share transactions: | ||
Proceeds from shares sold | 46,428,228 | 188,548,612 |
Reinvestment of dividends | — | 7,253,727 |
Payments for shares redeemed | (38,795,457) | (66,513,615) |
Net increase (decrease) in net assets from capital share transactions | 7,632,771 | 129,288,724 |
Total increase (decrease) in net assets | 10,969,631 | 141,651,360 |
Net assets: | ||
Beginning of period | 327,771,026 | 186,119,666 |
End of period | $338,740,657 | $327,771,026 |
Capital share transactions | ||
Shares sold | 4,309,756 | 17,844,308 |
Shares from reinvested dividends | — | 689,960 |
Shares redeemed | (3,600,629) | (6,308,345) |
Net increase (decrease) | 709,127 | 12,225,923 |
Morningstar U.S. Equity Fund | ||||
Six Months Ended October 31 | Year Ended April 30 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2021 (unaudited) | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $13.74 | $9.27 | $10.68 | $10.00 |
Income (loss) from investment operations: | ||||
Net investment income2 | 0.07 | 0.14 | 0.13 | 0.05 |
Net realized and unrealized gains (losses) | 1.04 | 4.59 | (1.31) | 0.64 |
Total income (loss) from investment operations | 1.11 | 4.73 | (1.18) | 0.69 |
Less distributions paid: | ||||
From net investment income | — | (0.14) | (0.09) | (0.01) |
From realized gains | — | (0.12) | (0.14) | — |
Total distributions paid | — | (0.26) | (0.23) | (0.01) |
Net asset value, end of period | $14.85 | $13.74 | $9.27 | $10.68 |
Total return3 | 8.08% | 51.43% | (11.42%) | 6.98% |
Supplemental data and ratios: | ||||
Net assets, end of period (millions) | $1,724 | $1,703 | $1,179 | $678 |
Ratio to average net assets of:4, 5 | ||||
Total expenses before waivers/reimbursements | 0.86% | 0.87% | 0.93% | 1.08% |
Total expenses after waivers/reimbursements | 0.83% | 0.81% | 0.81% | 0.82% |
Net investment income, net of waivers/reimbursements | 1.04% | 1.19% | 1.25% | 0.98% 6 |
Net investment income, before waivers/reimbursements | 1.01% | 1.13% | 1.13% | 0.72% 6 |
Portfolio turnover rate7 | 30% | 68% | 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. |
Morningstar International Equity Fund | ||||
Six Months Ended October 31 | Year Ended April 30 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2021 (unaudited) | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $12.72 | $8.76 | $10.79 | $10.00 |
Income (loss) from investment operations: | ||||
Net investment income2 | 0.14 | 0.12 | 0.21 | 0.08 |
Net realized and unrealized gains (losses) | 0.10 | 4.17 | (1.94) | 0.74 |
Total income (loss) from investment operations | 0.24 | 4.29 | (1.73) | 0.82 |
Less distributions paid: | ||||
From net investment income | — | (0.14) | (0.19) | (0.03) |
From realized gains | — | (0.19) | (0.11) | — |
Total distributions paid | — | (0.33) | (0.30) | (0.03) |
Net asset value, end of period | $12.96 | $12.72 | $8.76 | $10.79 |
Total return3 | 1.89% | 49.22% | (16.65%) | 8.19% |
Supplemental data and ratios: | ||||
Net assets, end of period (millions) | $1,064 | $1,074 | $764 | $469 |
Ratio to average net assets of:4, 5 | ||||
Total expenses before waivers/reimbursements | 1.05% | 1.08% | 1.14% | 1.29% |
Total expenses after waivers/reimbursements | 0.97% | 0.89% | 0.92% | 0.94% |
Net investment income, net of waivers/reimbursements | 2.18% | 1.09% | 2.08% | 1.66% 6 |
Net investment income, before waivers/reimbursements | 2.10% | 0.90% | 1.86% | 1.31% 6 |
Portfolio turnover rate7 | 48% | 41% | 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. |
Morningstar Global Income Fund | ||||
Six Months Ended October 31 | Year Ended April 30 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2021 (unaudited) | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $11.62 | $9.54 | $10.58 | $10.00 |
Income (loss) from investment operations: | ||||
Net investment income2 | 0.23 | 0.35 | 0.37 | 0.16 |
Net realized and unrealized gains (losses) | 0.03 | 2.09 | (0.94) | 0.52 |
Total income (loss) from investment operations | 0.26 | 2.44 | (0.57) | 0.68 |
Less distributions paid: | ||||
From net investment income | (0.27) | (0.35) | (0.42) | (0.10) |
From realized gains | — | (0.01) | (0.05) | — |
Total distributions paid | (0.27) | (0.36) | (0.47) | (0.10) |
Net asset value, end of period | $11.61 | $11.62 | $9.54 | $10.58 |
Total return3 | 2.23% | 26.01% | (5.73%) | 6.85% |
Supplemental data and ratios: | ||||
Net assets, end of period (millions) | $278 | $272 | $235 | $186 |
Ratio to average net assets of:4, 5 | ||||
Total expenses before waivers/reimbursements | 0.60% | 0.62% | 0.64% | 0.90% |
Total expenses after waivers/reimbursements | 0.60% | 0.61% | 0.58% | 0.58% |
Net investment income, net of waivers/reimbursements | 3.86% | 3.28% | 3.52% | 3.15% 6 |
Net investment income, before waivers/reimbursements | 3.86% | 3.27% | 3.46% | 2.83% 6 |
Portfolio turnover rate7 | 39% | 59% | 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. |
Morningstar Total Return Bond Fund | ||||
Six Months Ended October 31 | Year Ended April 30 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2021 (unaudited) | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $10.69 | $10.88 | $10.48 | $10.00 |
Income (loss) from investment operations: | ||||
Net investment income2 | 0.07 | 0.16 | 0.26 | 0.15 |
Net realized and unrealized gains | 0.07 | 0.17 | 0.68 | 0.45 |
Total income from investment operations | 0.14 | 0.33 | 0.94 | 0.60 |
Less distributions paid: | ||||
From net investment income | (0.08) | (0.21) | (0.28) | (0.12) |
From realized gains | — | (0.31) | (0.26) | — |
Total distributions paid | (0.08) | (0.52) | (0.54) | (0.12) |
Net asset value, end of period | $10.75 | $10.69 | $10.88 | $10.48 |
Total return3 | 1.25% | 2.95% | 9.13% | 6.01% |
Supplemental data and ratios: | ||||
Net assets, end of period (millions) | $881 | $833 | $519 | $415 |
Ratio to average net assets of:4, 5 | ||||
Total expenses before waivers/reimbursements6 | 0.70% | 0.74% | 0.81% | 0.88% |
Total expenses after waivers/reimbursements6 | 0.53% | 0.53% | 0.53% | 0.53% |
Total expenses after waivers/reimbursements and excluding dividend and interest expense | 0.52% | 0.53% | 0.53% | 0.53% |
Net investment income, net of waivers/reimbursements | 1.33% | 1.41% | 2.43% | 2.89% 7 |
Net investment income, before waivers/reimbursements | 1.16% | 1.20% | 2.15% | 2.54% 7 |
Portfolio turnover rate8 | 178% | 438% | 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 | Expenses include dividend and interest expense of 0.01% for April 30, 2021, and less than 0.01% for April 30, 2020 and April 30, 2019. |
7 | 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. |
8 | Portfolio turnover rate is not annualized for periods less than one year. |
Morningstar Municipal Bond Fund | ||||
Six Months Ended October 31 | Year Ended April 30 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2021 (unaudited) | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $10.75 | $10.14 | $10.38 | $10.00 |
Income (loss) from investment operations: | ||||
Net investment income2 | 0.09 | 0.21 | 0.23 | 0.12 |
Net realized and unrealized gains (losses) | (0.06) | 0.61 | (0.21) | 0.36 |
Total income from investment operations | 0.03 | 0.82 | 0.02 | 0.48 |
Less distributions paid: | ||||
From net investment income | (0.09) | (0.21) | (0.23) | (0.10) |
From realized gains | — | — | (0.03) | — |
Total distributions paid | (0.09) | (0.21) | (0.26) | (0.10) |
Net asset value, end of period | $10.69 | $10.75 | $10.14 | $10.38 |
Total return3 | 0.25% | 8.14% | 0.11% | 4.79% |
Supplemental data and ratios: | ||||
Net assets, end of period (millions) | $420 | $417 | $340 | $105 |
Ratio to average net assets of:4, 5 | ||||
Total expenses before waivers/reimbursements | 0.64% | 0.66% | 0.77% | 1.05% |
Total expenses after waivers/reimbursements | 0.58% | 0.58% | 0.58% | 0.58% |
Net investment income, net of waivers/reimbursements | 1.61% | 1.98% | 2.17% | 2.48% 6 |
Net investment income, before waivers/reimbursements | 1.55% | 1.90% | 1.98% | 2.01% 6 |
Portfolio turnover rate7 | 10% | 53% | 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. |
Morningstar Defensive Bond Fund | ||||
Six Months Ended October 31 | Year Ended April 30 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2021 (unaudited) | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $10.24 | $10.17 | $10.10 | $10.00 |
Income (loss) from investment operations: | ||||
Net investment income2 | 0.09 | 0.20 | 0.20 | 0.11 |
Net realized and unrealized gains (losses) | (0.06) | 0.16 | 0.13 | 0.08 |
Total income from investment operations | 0.03 | 0.36 | 0.33 | 0.19 |
Less distributions paid: | ||||
From net investment income | (0.09) | (0.19) | (0.23) | (0.09) |
From realized gains | — | (0.10) | (0.03) | — |
Total distributions paid | (0.09) | (0.29) | (0.26) | (0.09) |
Net asset value, end of period | $10.18 | $10.24 | $10.17 | $10.10 |
Total return3 | 0.33% | 3.56% | 3.36% | 1.87% |
Supplemental data and ratios: | ||||
Net assets, end of period (millions) | $205 | $201 | $183 | $156 |
Ratio to average net assets of:4, 5 | ||||
Total expenses before waivers/reimbursements | 0.64% | 0.64% | 0.66% | 0.93% |
Total expenses after waivers/reimbursements | 0.48% | 0.48% | 0.48% | 0.48% |
Net investment income, net of waivers/reimbursements | 1.80% | 1.92% | 2.02% | 2.28% 6 |
Net investment income, before waivers/reimbursements | 1.64% | 1.76% | 1.84% | 1.83% 6 |
Portfolio turnover rate7 | 20% | 53% | 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. |
Morningstar Multisector Bond Fund | ||||
Six Months Ended October 31 | Year Ended April 30 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2021 (unaudited) | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $10.52 | $9.39 | $10.28 | $10.00 |
Income (loss) from investment operations: | ||||
Net investment income2 | 0.23 | 0.44 | 0.46 | 0.27 |
Net realized and unrealized gains (losses) | (0.31) | 0.94 | (0.83) | 0.21 |
Total income (loss) from investment operations | (0.08) | 1.38 | (0.37) | 0.48 |
Less distributions paid: | ||||
From net investment income | (0.17) | (0.25) | (0.43) | (0.20) |
From realized gains | — | — | (0.09) | — |
Total distributions paid | (0.17) | (0.25) | (0.52) | (0.20) |
Net asset value, end of period | $10.27 | $10.52 | $9.39 | $10.28 |
Total return3 | (0.82%) | 14.79% | (3.97%) | 4.86% |
Supplemental data and ratios: | ||||
Net assets, end of period (millions) | $233 | $237 | $192 | $161 |
Ratio to average net assets of:4, 5 | ||||
Total expenses before waivers/reimbursements | 0.91% | 0.91% | 0.98% | 1.18% |
Total expenses after waivers/reimbursements | 0.79% | 0.79% | 0.79% | 0.80% |
Net investment income, net of waivers/reimbursements | 4.29% | 4.31% | 4.52% | 5.41% 6 |
Net investment income, before waivers/reimbursements | 4.17% | 4.19% | 4.33% | 5.03% 6 |
Portfolio turnover rate7 | 45% | 127% | 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. |
Morningstar Unconstrained Allocation Fund | ||||
Six Months Ended October 31 | Year Ended April 30 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2021 (unaudited) | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $12.08 | $9.28 | $10.38 | $10.00 |
Income (loss) from investment operations: | ||||
Net investment income2 | 0.11 | 0.14 | 0.23 | 0.12 |
Net realized and unrealized gains (losses) | 0.34 | 2.99 | (0.91) | 0.37 |
Total income (loss) from investment operations | 0.45 | 3.13 | (0.68) | 0.49 |
Less distributions paid: | ||||
From net investment income | — | (0.23) | (0.21) | (0.11) |
From realized gains | — | (0.10) | (0.21) | — |
Total distributions paid | — | (0.33) | (0.42) | (0.11) |
Net asset value, end of period | $12.53 | $12.08 | $9.28 | $10.38 |
Total return3 | 3.72% | 34.01% | (7.07%) | 4.97% |
Supplemental data and ratios: | ||||
Net assets, end of period (millions) | $214 | $211 | $138 | $56 |
Ratio to average net assets of:4, 5 | ||||
Total expenses before waivers/reimbursements | 0.74% | 0.78% | 0.94% | 1.48% |
Total expenses after waivers/reimbursements | 0.74% | 0.74% | 0.73% | 0.64% |
Net investment income, net of waivers/reimbursements | 1.79% | 1.28% | 2.29% | 2.38% 6 |
Net investment income, before waivers/reimbursements | 1.79% | 1.24% | 2.08% | 1.54% 6 |
Portfolio turnover rate7 | 54% | 52% | 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. |
Morningstar Alternatives Fund | ||||
Six Months Ended October 31 | Year Ended April 30 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2021 (unaudited) | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $10.71 | $10.12 | $10.10 | $10.00 |
Income (loss) from investment operations: | ||||
Net investment income2 | 0.05 | 0.12 | 0.25 | 0.05 |
Net realized and unrealized gains (losses) | 0.05 | 0.77 | (0.05) | 0.08 |
Total income from investment operations | 0.10 | 0.89 | 0.20 | 0.13 |
Less distributions paid: | ||||
From net investment income | — | (0.13) | (0.14) | (0.03) |
From realized gains | — | (0.17) | (0.04) | — |
Total distributions paid | — | (0.30) | (0.18) | (0.03) |
Net asset value, end of period | $10.81 | $10.71 | $10.12 | $10.10 |
Total return3 | 0.93% | 8.92% | 1.94% | 1.26% |
Supplemental data and ratios: | ||||
Net assets, end of period (millions) | $339 | $328 | $186 | $112 |
Ratio to average net assets of:4, 5 | ||||
Total expenses before waivers/reimbursements6 | 1.56% | 1.68% | 1.48% | 1.91% |
Total expenses after waivers/reimbursements6 | 1.27% | 1.26% | 1.13% | 0.96% |
Total expenses after waivers/reimbursements and excluding dividend and interest expense | 1.14% | 1.12% | 0.87% | 0.77% |
Net investment income, net of waivers/reimbursements | 0.84% | 1.14% | 2.45% | 1.08% 7 |
Net investment income, before waivers/reimbursements | 0.55% | 0.72% | 2.10% | 0.13% 7 |
Portfolio turnover rate8 | 230% | 372% | 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 | Expenses include dividend and interest expense of 0.13%, 0.14%, 0.26%, and 0.19% for October 31, 2021: April 30, 2021; April 30, 2020; and April 30, 2019, respectively. |
7 | 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. |
8 | Portfolio turnover rate is not annualized for periods less than one year. |
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 |
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 generation and capital preservation |
Morningstar Municipal Bond Fund | Income exempt from federal income taxes as well as 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 |
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 |
Fund | Frequency |
Morningstar Alternatives Fund | Annually |
Fund | Ratio |
Morningstar U.S. Equity Fund | 0.67% |
Morningstar International Equity Fund | 0.83% |
Morningstar Global Income Fund | 0.35% |
Fund | Ratio |
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% |
Fund | Base Expense Cap | Management Fees Waived |
Morningstar U.S. Equity Fund | 0.85% | $51,571 |
Morningstar International Equity Fund | 1.00% | 270,662 |
Morningstar Global Income Fund | 0.89% | — |
Morningstar Total Return Bond Fund | 0.53% | 700,669 |
Morningstar Municipal Bond Fund | 0.59% | 113,441 |
Morningstar Defensive Bond Fund | 0.48% | 158,410 |
Morningstar Multisector Bond Fund | 0.80% | 127,917 |
Morningstar Unconstrained Allocation Fund | 1.00% | — |
Morningstar Alternatives Fund | 1.29% | 251,735 |
Fund | Supplemental Expense Cap | Management Fees Waived |
Morningstar U.S. Equity Fund | 0.85% | $188,150 |
Morningstar International Equity Fund | 1.00% | 188,465 |
Morningstar Global Income Fund | 0.75% | — |
Morningstar Total Return Bond Fund | 0.54% | 38,183 |
Morningstar Municipal Bond Fund | 0.59% | 19,093 |
Morningstar Defensive Bond Fund | 0.55% | — |
Morningstar Multisector Bond Fund | 0.80% | 8,558 |
Morningstar Unconstrained Allocation Fund | 0.93% | — |
Morningstar Alternatives Fund | 1.20% | 249,455 |
Fund | Subadvisers |
Morningstar U.S. Equity Fund | ClearBridge Investments, LLC Diamond Hill Capital Management, Inc. Easterly Investment Partners LLC Massachusetts Financial Services Company, d/b/a MFS Investment Management Wasatch Advisors, Inc., d/b/a Wasatch Global Investors 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 | Cullen Capital Management, LLC |
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, LP |
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 |
Purchases | Sales | |||||
Fund | U.S. Government | Other | U.S. Government | Other | Securities Sold Short | Covers on Securities Sold Short |
Morningstar U.S. Equity Fund | $ — | $ 501,230,574 | $ — | $ 585,731,012 | $ — | $ — |
Morningstar International Equity Fund | — | 498,786,662 | — | 515,336,032 | — | — |
Morningstar Global Income Fund | — | 104,917,751 | — | 103,764,441 | — | — |
Morningstar Total Return Bond Fund | 132,668,430 | 1,664,601,010 | 42,693,950 | 1,460,793,614 | 134,801,142 | 150,906,802 |
Morningstar Municipal Bond Fund | — | 56,682,558 | — | 42,123,241 | — | — |
Morningstar Defensive Bond Fund | — | 37,614,310 | — | 36,079,318 | — | — |
Morningstar Multisector Bond Fund | — | 94,702,347 | — | 92,778,818 | — | — |
Morningstar Unconstrained Allocation Fund | 4,511,102 | 104,795,797 | 2,887,340 | 110,478,458 | — | — |
Purchases | Sales | |||||
Fund | U.S. Government | Other | U.S. Government | Other | Securities Sold Short | Covers on Securities Sold Short |
Morningstar Alternatives Fund | $— | $702,552,366 | $— | $678,001,712 | $194,792,076 | $192,119,417 |
Assets | Liabilities | |||||||||
Unrealized Appreciation on Futures Contracts(1) | Swaps and Contracts for Difference at Fair Value(2) | Unrealized Appreciation on Forward Currency Exchange Contracts | Purchased Options and Swaptions at Fair Market Value | Total | Unrealized Depreciation on Futures Contracts(1) | Swaps and Contracts for Difference at Fair Value(2) | Unrealized Depreciation on Forward Currency Exchange Contracts | Written Options and Swaptions at Fair Market Value | Total | |
Morningstar International Equity Fund | ||||||||||
Foreign exchange rate risk | $— | $ — | $ 86,602 | $ — | $ 86,602 | $— | $ — | $ — | $ — | $ — |
Total | — | — | 86,602 | — | 86,602 | — | — | — | — | — |
Net Fair Value of Derivative Contracts | $— | $ — | $ 86,602 | $ — | $ 86,602 | $— | $ — | $ — | $ — | $ — |
Morningstar Total Return Bond Fund | ||||||||||
Credit risk | $— | $3,142,240 | $ — | $ — | $3,142,240 | $— | $ 90,075 | $ — | $ — | $ 90,075 |
Foreign exchange rate risk | — | — | 408,269 | 253,328 | 661,597 | — | — | 387,263 | 170,544 | 557,807 |
Inflation risk | — | 80,259 | — | — | 80,259 | — | 995,544 | — | — | 995,544 |
Assets | Liabilities | |||||||||
Unrealized Appreciation on Futures Contracts(1) | Swaps and Contracts for Difference at Fair Value(2) | Unrealized Appreciation on Forward Currency Exchange Contracts | Purchased Options and Swaptions at Fair Market Value | Total | Unrealized Depreciation on Futures Contracts(1) | Swaps and Contracts for Difference at Fair Value(2) | Unrealized Depreciation on Forward Currency Exchange Contracts | Written Options and Swaptions at Fair Market Value | Total | |
Morningstar Total Return Bond Fund (continued) | ||||||||||
Interest rate risk | $ 4,501,006 | $ 2,389,613 | $ — | $ 100,715 | $ 6,991,334 | $ 6,666,939 | $ 823,383 | $ — | $ 225,124 | $ 7,715,446 |
Total | 4,501,006 | 5,612,112 | 408,269 | 354,043 | 10,875,430 | 6,666,939 | 1,909,002 | 387,263 | 395,668 | 9,358,872 |
Netting positions | (4,501,006) | (1,909,002) | (387,263) | (354,043) | (7,151,314) | (4,501,006) | (1,909,002) | (387,263) | (354,043) | (7,151,314) |
Net Fair Value of Derivative Contracts | $ — | $ 3,703,110 | $ 21,006 | $ — | $ 3,724,116 | $ 2,165,933 | $ — | $ — | $ 41,625 | $ 2,207,558 |
Morningstar Multisector Bond Fund | ||||||||||
Credit risk | $ — | $ 30,611 | $ — | $ — | $ 30,611 | $ — | $ 4,229 | $ — | $ — | $ 4,229 |
Foreign exchange rate risk | — | — | 473,774 | — | 473,774 | — | — | 370,904 | — | 370,904 |
Total | — | 30,611 | 473,774 | — | 504,385 | — | 4,229 | 370,904 | — | 375,133 |
Netting positions | — | (4,229) | (370,904) | — | (375,133) | — | (4,229) | (370,904) | — | (375,133) |
Net Fair Value of Derivative Contracts | $ — | $ 26,382 | $ 102,870 | $ — | $ 129,252 | $ — | $ — | $ — | $ — | $ — |
Morningstar Unconstrained Allocation Fund | ||||||||||
Foreign exchange rate risk | $ — | $ — | $ 276,171 | $ — | $ 276,171 | $ — | $ — | $ 372,536 | $ — | $ 372,536 |
Interest rate risk | 8,607 | — | — | — | 8,607 | 12,665 | — | — | — | 12,665 |
Total | 8,607 | — | 276,171 | — | 284,778 | 12,665 | — | 372,536 | — | 385,201 |
Netting positions | (8,607) | — | (276,171) | — | (284,778) | (8,607) | — | (276,171) | — | (284,778) |
Net Fair Value of Derivative Contracts | $ — | $ — | $ — | $ — | $ — | $ 4,058 | $ — | $ 96,365 | $ — | $ 100,423 |
Morningstar Alternatives Fund | ||||||||||
Equity risk | $ — | $ 67,014,538 | $ — | $ — | $ 67,014,538 | $ — | $ 64,286,066 | $ — | $ 332,838 | $ 64,618,904 |
Foreign exchange rate risk | — | — | 167,756 | — | 167,756 | — | — | 115,015 | — | 115,015 |
Interest rate risk | 810,275 | 778,900 | — | 608,059 | 2,197,234 | 1,085,809 | 837,900 | — | — | 1,923,709 |
Total | 810,275 | 67,793,438 | 167,756 | 608,059 | 69,379,528 | 1,085,809 | 65,123,966 | 115,015 | 332,838 | 66,657,628 |
Netting positions | (810,275) | (65,123,966) | (115,015) | (332,838) | (66,382,094) | (810,275) | (65,123,966) | (115,015) | (332,838) | (66,382,094) |
Net Fair Value of Derivative Contracts | $ — | $ 2,669,472 | $ 52,741 | $ 275,221 | $ 2,997,434 | $ 275,534 | $ — | $ — | $ — | $ 275,534 |
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. |
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 and Contracts for Difference | Forward Currency Exchange Contracts | Purchased/ Written Options and Swaptions | Total | |
Morningstar International Equity Fund | ||||||||||
Foreign exchange rate risk | $ — | $ — | $ 103,175 | $ — | $ 103,175 | $ — | $ — | $ (32,283) | $ — | $ (32,283) |
Total | $ — | $ — | $ 103,175 | $ — | $ 103,175 | $ — | $ — | $ (32,283) | $ — | $ (32,283) |
Morningstar Total Return Bond Fund | ||||||||||
Credit risk | $ — | $ 790,817 | $ — | $ — | $ 790,817 | $ — | $ (344,362) | $ — | $ — | $ (344,362) |
Equity risk | — | 58,181 | — | — | 58,181 | — | (15,184) | — | — | (15,184) |
Foreign exchange rate risk | — | — | (62,910) | (102,957) | (165,867) | — | — | 3,853 | 173,334 | 177,187 |
Inflation risk | — | (213,810) | — | — | (213,810) | — | (766,202) | — | — | (766,202) |
Interest rate risk | 5,540,818 | (127,475) | — | 827,771 | 6,241,114 | (1,618,374) | (1,678,009) | — | (712,499) | (4,008,882) |
Total | $5,540,818 | $ 507,713 | $ (62,910) | $ 724,814 | $6,710,435 | $(1,618,374) | $(2,803,757) | $ 3,853 | $(539,165) | $(4,957,443) |
Morningstar Multisector Bond Fund | ||||||||||
Credit risk | $ — | $ (42,586) | $ — | $ — | $ (42,586) | $ — | $ 46,187 | $ — | $ — | $ 46,187 |
Foreign exchange rate risk | — | — | (307,784) | — | (307,784) | — | — | 332,192 | — | 332,192 |
Total | $ — | $ (42,586) | $(307,784) | $ — | $ (350,370) | $ — | $ 46,187 | $ 332,192 | $ — | $ 378,379 |
Morningstar Unconstrained Allocation Fund | ||||||||||
Foreign exchange rate risk | $ — | $ — | $(457,093) | $ — | $ (457,093) | $ — | $ — | $(125,752) | $ — | $ (125,752) |
Interest rate risk | (117,778) | — | — | — | (117,778) | (6,020) | — | — | — | (6,020) |
Total | $ (117,778) | $ — | $(457,093) | $ — | $ (574,871) | $ (6,020) | $ — | $(125,752) | $ — | $ (131,772) |
Morningstar Alternatives Fund | ||||||||||
Credit risk | $ — | $(671,446) | $ — | $ — | $ (671,446) | $ — | $ — | $ — | $ — | $ — |
Equity risk | — | 4,050 | — | 698,102 | 702,152 | — | 613,957 | — | (115,178) | 498,779 |
Foreign exchange rate risk | — | — | 239,161 | — | 239,161 | — | — | 48,749 | — | 48,749 |
Interest rate risk | 1,943,940 | (55,856) | — | — | 1,888,084 | (463,636) | (65,100) | — | — | (528,736) |
Total | $1,943,940 | $(723,252) | $ 239,161 | $ 698,102 | $2,157,951 | $ (463,636) | $ 548,857 | $ 48,749 | $(115,178) | $ 18,792 |
Derivative Financial Instruments: | Assets | Liabilities |
Forward foreign currency exchange contracts | $86,602 | $— |
Total gross amount of derivatives in the Statement of Assets and Liabilities | $86,602 | $— |
Less: Derivatives not subject to MNA or similar agreements | — | — |
Total gross amount of derivatives subject to MNA or similar agreement | $86,602 | $— |
Counterparty | Gross Assets | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
Northern Trust | $86,802 | $— | $86,802 | $— | $86,802 |
Total | $86,802 | $— | $86,802 | $— | $86,802 |
Derivative Financial Instruments: | Assets | Liabilities |
Forward foreign currency exchange contracts | $ 408,269 | $ 387,263 |
Futures contracts | 4,501,006 | 6,666,939 |
Purchased options | 354,043 | — |
Written options | — | 395,668 |
Interest rate swap contracts* | 2,389,613 | 823,383 |
Credit default swap contracts* | 3,142,240 | 90,075 |
Inflation swap contracts* | 80,259 | 995,544 |
Total gross amount of derivatives in the Statement of Assets and Liabilities | $ 10,875,430 | $ 9,358,872 |
Less: Derivatives not subject to MNA or similar agreements | (10,088,580) | (8,765,519) |
Total gross amount of derivatives subject to MNA or similar agreement | $ 786,850 | $ 593,353 |
* | 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 | $ 62,301 | $ (37,199) | $ 25,102 | $ — | $ 25,102 |
Barclays | 61,803 | (61,803) | — | — | — |
BNP Paribas | 105,909 | (32,657) | 73,252 | — | 73,252 |
Citibank | 139,879 | (139,879) | — | — | — |
Deutsche Bank(a) | 30,739 | (14,851) | 15,888 | (15,888) | — |
Goldman Sachs(a) | 151,974 | (92,728) | 59,246 | (59,246) | — |
HSBC | 124,016 | (12,176) | 111,840 | — | 111,840 |
JPMorgan Chase | 15,586 | (15,586) | — | — | — |
Morgan Stanley | 65,313 | (30,033) | 35,280 | — | 35,280 |
Counterparty | Gross Assets | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
RBS | 594 | (497) | 97 | 97 | |
Standard Chartered Bank(a) | 13,209 | — | 13,209 | (13,209) | — |
State Street | 971 | — | 971 | — | 971 |
Toronto-Dominion Bank | 849 | — | 849 | — | 849 |
UBS | 13,707 | (13,707) | — | — | — |
Total | $786,850 | $(451,116) | $335,734 | $(88,343) | $247,391 |
Counterparty | Gross Liabilities | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
Bank of America | $ (37,199) | $ 37,199 | $ — | $— | $ — |
Barclays | (110,905) | 61,803 | (49,102) | — | (49,102) |
BNP Paribas | (32,657) | 32,657 | — | — | — |
Citibank | (195,633) | 139,879 | (55,754) | — | (55,754) |
Deutsche Bank | (14,851) | 14,851 | — | — | — |
Goldman Sachs | (92,728) | 92,728 | — | — | — |
HSBC | (12,176) | 12,176 | — | — | — |
JPMorgan Chase | (43,486) | 15,586 | (27,900) | — | (27,900) |
Morgan Stanley | (30,033) | 30,033 | — | — | — |
RBS | (497) | 497 | — | — | — |
UBS | (23,188) | 13,707 | (9,481) | — | (9,481) |
Total | $(593,353) | $451,116 | $(142,237) | $— | $(142,237) |
(a) | Actual amount of collateral received from Deutsche Bank, Goldman Sachs and Standard Chartered Bank exceeded the net amount before collateral and is included in "Due from broker" in the Statements of Assets and Liabilities. |
Derivative Financial Instruments: | Assets | Liabilities |
Forward foreign currency exchange contracts | $473,774 | $370,904 |
Credit default swap contracts* | 30,611 | 4,229 |
Total gross amount of derivatives in the Statement of Assets and Liabilities | $504,385 | $375,133 |
Less: Derivatives not subject to MNA or similar agreements | — | — |
Total gross amount of derivatives subject to MNA or similar agreement | $504,385 | $375,133 |
* | 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 | $31,993 | $(13,760) | $18,233 | $— | $18,233 |
Counterparty | Gross Assets | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
Barclays | 31,812 | (31,812) | — | — | — |
Citibank (a) | 95,368 | (35,776) | 59,592 | (40,000) | 19,592 |
Deutsche Bank | 156,644 | (22,271) | 134,373 | — | 134,373 |
Goldman Sachs | 802 | (802) | — | — | — |
HSBC | 9,061 | (1,690) | 7,371 | — | 7,371 |
JPMorgan Chase | 172,242 | (172,242) | — | — | — |
Morgan Stanley | 414 | (414) | — | — | — |
State Street | 6,049 | (4,541) | 1,508 | — | 1,508 |
Total | $504,385 | $(283,308) | $221,077 | $(40,000) | $181,077 |
Counterparty | Gross Liabilities | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
Bank of America | $ (13,760) | $ 13,760 | $ — | $ — | $ — |
Barclays | (57,172) | 31,812 | (25,360) | — | (25,360) |
BNP | (287) | — | (287) | — | (287) |
Citibank | (35,776) | 35,776 | — | — | — |
Deutsche Bank | (22,271) | 22,271 | — | — | — |
Goldman Sachs(a) | (34,732) | 802 | (33,930) | 10,000 | (23,930) |
HSBC | (1,690) | 1,690 | — | — | — |
JPMorgan Chase | (183,191) | 172,242 | (10,949) | — | (10,949) |
Morgan Stanley | (21,713) | 414 | (21,299) | — | (21,299) |
State Street | (4,541) | 4,541 | — | — | — |
Total | $(375,133) | $283,308 | $(91,825) | $10,000 | $(81,825) |
(a) | Actual amount of collateral received from Citibank and pledged by the Fund to Goldman Sachs is included in "Due from broker" and "Due to broker" respectively, in the Statements of Assets and Liabilities. |
Derivative Financial Instruments: | Assets | Liabilities |
Forward foreign currency exchange contracts | $276,171 | $372,536 |
Futures contracts | 8,607 | 12,665 |
Total gross amount of derivatives in the Statement of Assets and Liabilities | $284,778 | $385,201 |
Less: Derivatives not subject to MNA or similar agreements | (8,607) | (12,665) |
Total gross amount of derivatives subject to MNA or similar agreement | $276,171 | $372,536 |
Counterparty | Gross Assets | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
Barclays | $ 622 | $ (65) | $ 557 | $ — | $557 |
Citibank (a) | 189,992 | (156,977) | 33,015 | (33,015) | — |
Goldman Sachs | 3,705 | (3,705) | — | — | — |
HSBC | 63,877 | (63,877) | — | — | — |
JPMorgan Chase | 17,975 | (17,975) | — | — | — |
Total | $276,171 | $(242,599) | $33,572 | $(33,015) | $557 |
Counterparty | Gross Liabilities | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
Barclays | $ (65) | $ 65 | $ — | $ — | $ — |
Citibank | (156,977) | 156,977 | — | — | — |
Goldman Sachs | (4,543) | 3,705 | (838) | — | (838) |
HSBC (a) | (144,821) | 63,877 | (80,944) | 80,944 | — |
JPMorgan Chase(a) | (65,932) | 17,975 | (47,957) | 47,957 | — |
Morgan Stanley | (198) | — | (198) | — | (198) |
Total | $(372,536) | $242,599 | $(129,937) | $128,901 | $(1,036) |
(a) | Actual amount of collaterl received from Citibank and pledged from HSBC and JPMorgan Chase 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. |
Derivative Financial Instruments: | Assets | Liabilities |
Forward foreign currency exchange contracts | $ 167,756 | $ 115,015 |
Futures contracts | 810,275 | 1,085,809 |
Purchased options | 608,059 | — |
Written options | — | 332,838 |
Contracts for difference* | 67,014,538 | 64,286,066 |
Interest rate swap contracts* | 778,900 | 837,900 |
Total gross amount of derivatives in the Statement of Assets and Liabilities | $69,379,528 | $66,657,628 |
Less: Derivatives not subject to MNA or similar agreements | (1,921,603) | (2,256,547) |
Total gross amount of derivatives subject to MNA or similar agreement | $67,457,925 | $64,401,081 |
* | 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(a) | $ 74,727 | $ (547) | $74,180 | $(74,180) | $— |
Barclays | 17,386,967 | (17,386,967) | — | — | — |
Counterparty | Gross Assets | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
Citibank (b) | 209,492 | (183) | 209,309 | (180,000) | 29,309 |
Deutsche Bank | 176 | (176) | — | — | — |
Goldman Sachs | 20,113,539 | (20,113,539) | — | — | — |
JPMorgan Chase(b) | 29,519,638 | (25,293,731) | 4,225,907 | (510,000) | 3,715,907 |
Morgan Stanley | 153,386 | (105,044) | 48,342 | — | 48,342 |
Total | $67,457,925 | $(62,900,187) | $4,557,738 | $(764,180) | $3,793,558 |
Counterparty | Gross Liabilities | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
Bank of America | $ (547) | $ 547 | $ — | $— | $ — |
Barclays | (18,647,409) | 17,386,967 | (1,260,442) | — | (1,260,442) |
Citibank | (183) | 183 | — | — | — |
Deutsche Bank | (205) | 176 | (29) | — | (29) |
Goldman Sachs | (20,353,962) | 20,113,539 | (240,423) | — | (240,423) |
JPMorgan Chase | (25,293,731) | 25,293,731 | — | — | — |
Morgan Stanley | (105,044) | 105,044 | — | — | — |
Total | $(64,401,081) | $62,900,187 | $(1,500,894) | $— | $(1,500,894) |
(a) | Actual amount of collateral received from Bank of America exceeded the net amount before collateral and is included in "Due from broker" in the Statements of Assets and Liabilities. |
(b) | Actual amount of collateral received from Citibank and JPMorgan Chase is included in "Due from broker" in the Statements of Assets and Liabilities. |
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 | $ — | $333,073,090 | $ — | $ 1,275,085 | $39,294,942 |
Average Notional Balance - Short | — | 226,465,584 | — | 1,379,031 | 36,933,227 |
Ending Notional Balance - Long | — | 450,647,300 | — | 5,100,342 | 51,553,394 |
Ending Notional Balance - Short | — | 156,707,832 | — | — | 43,446,219 |
Forward Foreign Currency Exchange Contracts: | |||||
Average Settlement Value - Purchased | 3,785,220 | 36,478,477 | 25,311,414 | 9,277,455 | 15,136,926 |
Average Settlement Value - Sold | — | 25,283,076 | 30,531,132 | 19,302,430 | 4,505,281 |
Ending Settlement Value - Purchased | 3,903,585 | 50,729,474 | 17,845,906 | 13,728,313 | 15,627,852 |
Ending Settlement Value - Sold | — | 30,310,744 | 24,616,227 | 19,415,441 | 5,281,839 |
Morningstar International Equity Fund | Morningstar Total Return Bond Fund | Morningstar Multisector Bond Fund | Morningstar Unconstrained Allocation Fund | Morningstar Alternatives Fund | |
Contracts for Difference: | |||||
Average Notional Balance - Long | $— | $ — | $ — | $— | $ 1,144,299 |
Average Notional Balance - Short | — | — | — | — | 1,148,033 |
Ending Notional Balance - Long | — | — | — | — | 1,128,120 |
Ending Notional Balance - Short | — | — | — | — | 1,328,313 |
Total Return Swaps: | |||||
Average Notional Balance - Pays Fixed Rate | — | 1,640,461 | — | — | — |
Inflation Swaps: | |||||
Average Notional Balance - Pays Fixed Rate | — | 11,693,446 | — | — | — |
Average Notional Balance - Receives Fixed Rate | — | 19,540,343 | — | — | — |
Ending Notional Balance - Pays Fixed Rate | — | 15,750,000 | — | — | — |
Ending Notional Balance - Receives Fixed Rate | — | 22,905,935 | — | — | — |
Interest Rate Swaps: | |||||
Average Notional Balance - Pays Fixed Rate | — | 104,447,910 | — | — | 27,324,098 |
Average Notional Balance - Receives Fixed Rate | — | 87,067,095 | — | — | 23,787,269 |
Ending Notional Balance - Pays Fixed Rate | — | 156,283,144 | — | — | 36,561,395 |
Ending Notional Balance - Receives Fixed Rate | — | 119,644,900 | — | — | 40,087,742 |
Credit Default Swaps: | |||||
Average Notional Balance - Buy Protection | — | 6,308,018 | 1,920,000 | — | — |
Average Notional Balance - Sell Protection | — | 114,117,860 | — | — | 368,338 |
Ending Notional Balance - Buy Protection | — | 7,913,741 | 2,240,000 | — | — |
Ending Notional Balance - Sell Protection | — | 121,795,250 | — | — | — |
Options: | |||||
Average Notional Balance - Purchased | — | 1,697,757,608 | 325,000 | — | 7,643,556 |
Average Notional Balance - Written | — | 285,428,597 | — | — | 3,088,827 |
Ending Notional Balance - Purchased | — | 45,944,712 | — | — | 18,287,688 |
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 - Written | $— | $99,223,512 | $— | $— | $5,987,335 |
Swaptions: | |||||
Average Notional Balance - Purchased | — | 411,448 | — | — | — |
Average Notional Balance - Written | — | 15,357,448 | — | — | — |
Fund | Cost of Investments | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) |
Morningstar U.S. Equity Fund | $1,306,696,892 | $436,615,610 | $(21,025,354) | $415,590,256 |
Morningstar International Equity Fund | 934,121,523 | 161,089,131 | (32,654,202) | 128,434,929 |
Morningstar Global Income Fund | 258,154,942 | 23,492,326 | (4,069,589) | 19,422,737 |
Morningstar Total Return Bond Fund | 995,168,443 | 19,644,344 | (18,762,943) | 881,401 |
Morningstar Municipal Bond Fund | 411,279,045 | 10,197,652 | (1,073,983) | 9,123,669 |
Morningstar Defensive Bond Fund | 208,817,049 | 1,197,740 | (1,530,109) | (332,369) |
Morningstar Multisector Bond Fund | 232,668,455 | 5,466,519 | (8,608,861) | (3,142,342) |
Morningstar Unconstrained Allocation Fund | 200,076,766 | 18,566,359 | (4,326,971) | 14,239,388 |
Morningstar Alternatives Fund | 294,185,512 | 18,854,518 | (16,565,177) | 2,289,341 |
Fund | Current Distributable Tax-Exempt 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 | Other Temporary Differences | Total Accumulated Earnings |
Morningstar U.S. Equity Fund | $— | $75,911,579 | $39,084,659 | $401,544,468 | $— | $— | $516,540,706 |
Fund | Current Distributable Tax-Exempt 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 | Other Temporary Differences | Total Accumulated Earnings |
Morningstar International Equity Fund | $ — | $22,012,866 | $16,385,543 | $211,143,078 | $ — | $ — | $249,541,487 |
Morningstar Global Income Fund | — | 4,134,773 | 2,079,850 | 31,036,293 | — | (1,790) | 37,249,126 |
Morningstar Total Return Bond Fund | — | — | 1,710,172 | 1,818,678 | (1,410,071) | (7,251) | 2,111,528 |
Morningstar Municipal Bond Fund | 91,710 | — | 50,045 | 11,864,859 | — | — | 12,006,614 |
Morningstar Defensive Bond Fund | — | 1,085,631 | 785,732 | 1,178,371 | — | (3,461) | 3,046,273 |
Morningstar Multisector Bond Fund | — | 1,609,214 | — | 4,397,961 | — | — | 6,007,175 |
Morningstar Unconstrained Allocation Fund | — | 10,444,084 | 2,694,087 | 33,626,452 | — | — | 46,764,623 |
Morningstar Alternatives Fund | — | 6,888,279 | 1,008,945 | 3,185,152 | — | — | 11,082,376 |
Fund | Accumulated Net Realized Gain (Losses) | Paid-in Capital |
Morningstar International Equity Fund | $(938,078) | $938,078 |
Morningstar Alternatives Fund | 5 | (5) |
Fiscal Year Ended April 30, 2021 | ||||
Fund | Tax-Exempt Income | Ordinary Income | Capital Gains | Total Distributions Paid |
Morningstar U.S. Equity Fund | $— | $22,532,718 | $ 7,509,239 | $30,041,957 |
Morningstar International Equity Fund | — | 14,646,088 | 11,457,061 | 26,103,149 |
Morningstar Global Income Fund | — | 8,679,816 | — | 8,679,816 |
Fiscal Year Ended April 30, 2021 | ||||
Fund | Tax-Exempt Income | Ordinary Income | Capital Gains | Total Distributions Paid |
Morningstar Total Return Bond Fund | $ — | $23,197,392 | $7,828,440 | $31,025,832 |
Morningstar Municipal Bond Fund | 7,243,804 | 19,743 | — | 7,263,547 |
Morningstar Defensive Bond Fund | — | 4,895,190 | 698,565 | 5,593,755 |
Morningstar Multisector Bond Fund | — | 6,127,676 | — | 6,127,676 |
Morningstar Unconstrained Allocation Fund | — | 5,273,247 | 33,568 | 5,306,815 |
Morningstar Alternatives Fund | — | 6,558,211 | 726,324 | 7,284,535 |
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 |
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 |
Fund | |
Morningstar Total Return Bond Fund | $ 1,410,071 |
Fund | Number of Shareholders | % Ownership1 |
Morningstar U.S. Equity Fund | 6 | 99% |
Morningstar International Equity Fund | 6 | 99% |
Morningstar Global Income Fund | 6 | 99% |
Morningstar Total Return Bond Fund | 6 | 98% |
Morningstar Municipal Bond Fund | 6 | 99% |
Morningstar Defensive Bond Fund | 5 | 93% |
Morningstar Multisector Bond Fund | 6 | 99% |
Morningstar Unconstrained Allocation Fund | 6 | 99% |
Morningstar Alternatives Fund | 5 | 95% |
1Includes omnibus positions of broker-dealers representing numerous shareholder accounts. |
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 | 0.83% | $1,000.00 | $1,080.80 | $4.35 | $1,000.00 | $1,021.02 | $4.23 |
Morningstar International Equity Fund | 0.97 | 1,000.00 | 1,018.90 | 4.94 | 1,000.00 | 1,020.32 | 4.94 |
Morningstar Global Income Fund | 0.60 | 1,000.00 | 1,022.30 | 3.06 | 1,000.00 | 1,022.18 | 3.06 |
Morningstar Total Return Bond Fund | 0.52 | 1,000.00 | 1,012.50 | 2.64 | 1,000.00 | 1,022.58 | 2.65 |
Morningstar Municipal Bond Fund | 0.58 | 1,000.00 | 1,002.50 | 2.93 | 1,000.00 | 1,022.28 | 2.96 |
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 | $1,003.30 | $2.42 | $1,000.00 | $1,022.79 | $2.45 |
Morningstar Multisector Bond Fund | 0.79 | 1,000.00 | 991.80 | 3.97 | 1,000.00 | 1,021.22 | 4.02 |
Morningstar Unconstrained Allocation Fund | 0.74 | 1,000.00 | 1,037.20 | 3.80 | 1,000.00 | 1,021.48 | 3.77 |
Morningstar Alternatives Fund | 1.14 | 1,000.00 | 1,009.30 | 5.77 | 1,000.00 | 1,019.46 | 5.80 |
* | Expenses are equal to the Fund's annualized expense ratios, multiplied by the average account value over the period, multiplied by [184/365] (to reflect the one-half year period). |
Morningstar Funds Trust Privacy Policy | ||
PLEASE READ "OTHER IMPORTANT INFORMATION" SECTION BELOW FOR INFORMATION ABOUT MORNINGSTAR FUNDS TRUST ACCESS TO YOUR PERSONAL INFORMATION | ||
Why? | Financial companies can choose how they share your personal information. Federal law gives consumers the right to limit some, but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand Morningstar Funds Trust access to your personal information. | |
What? | Personal information includes, but is not limited to: | |
► | Your name, address, phone number, and email address; | |
► | Your social security number or other unique identifier; | |
► | Your account information, such as account balance and transactions (including account transaction history); | |
► | Your demographic information, such as age, income, investment preferences, investment experience, and risk profile. | |
How? | All financial companies need to share clients’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their clients’ personal information; the reasons Trust chooses to share; and whether you can limit this sharing. |
Reasons financial companies can share your personal information | Does Morningstar Funds Trust share? | Can you limit this sharing? |
For our everyday business purposes—such as to process your transactions, maintain your account(s), or respond to court orders and legal investigations. | See “Other Important Information” below. | No |
For our marketing purposes—to offer our products and services. | No | N/A |
For joint marketing with other financial companies. | No | N/A |
For our affiliates’ everyday business purposes—information about your transactions and experiences. | No | N/A |
For our affiliates’ everyday business purposes—information about your creditworthiness. | No | N/A |
For our affiliates to market to you. | No | N/A |
For nonaffiliates to market to you. | No | N/A |
Who we are | Who is providing this notice? Morningstar Funds Trust | |
What we do | How does Morningstar Funds Trust protect your personal information? | |
Security measures are in place to protect against unauthorized access to, or unauthorized alteration, disclosure or destruction of personal information. Secure data networks are protected by industry standard firewall and password protection systems. | ||
How does Morningstar Funds Trust collect your personal information? | ||
We will collect your personal information if you open an account directly with us or if you gave us your personal information; however, please read the "Other Important Information" section below. | ||
Why can’t you limit sharing? | ||
Federal law gives you the right to limit only: | ||
► | sharing for affiliates’ everyday business purposes—information about your creditworthiness; | |
► | affiliates from using your information to market to you; |
► | 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. | ||
► | 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. | ||
► | 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. | ||
► | The Trust does not have such an agreement in place. | |
Other Important Information | Morningstar Funds Trust ("Morningstar Funds") are available through investment programs provided by financial institutions (each a "Program") | |
Such Programs include, Morningstar Managed Portfolios, an investment advisory program sponsored by Morningstar Investment Services LLC, investment advisory programs provided by unaffiliated financial advisers, managed account advisory services certain third party retirement plan sponsors (e.g., employers) and/or retirement plan recordkeepers make available to their retirement plan participants, and solutions provided in model marketplaces. The financial institution’s client’s assets are held at a nonaffiliated custodian (“Custodian”) who report buy/sells of Morningstar Funds shares to the Trust’s transfer agent at an aggregate level (e.g., omnibus). Because of this, 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 Trust reserves the right to change this policy at any time by distributing and/or posting a new privacy policy without notice. |
legal residents of the United States or its territories through
model portfolios designed and maintained by a financial institution including the Adviser.
22 West Washington Street
Chicago, Illinois 60602
Three Canal Plaza, Suite 100
Portland, ME 04101
to access the Morningstar Funds Trust prospectus.
(b) | Not applicable. |
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.
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. |
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: December 28, 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: December 28, 2021 | ||
By | /s/ Tracy L. Dotolo | |
Tracy L. Dotolo, Treasurer | ||
(Principal Financial Officer) |
Date: December 28, 2021