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 | 811-08532 | |||||
AMERICAN CENTURY STRATEGIC ASSET ALLOCATIONS, INC. | ||||||
(Exact name of registrant as specified in charter) | ||||||
4500 MAIN STREET, KANSAS CITY, MISSOURI | 64111 | |||||
(Address of principal executive offices) | (Zip Code) | |||||
CHARLES A. ETHERINGTON 4500 MAIN STREET, KANSAS CITY, MISSOURI 64111 | ||||||
(Name and address of agent for service) | ||||||
Registrant’s telephone number, including area code: | 816-531-5575 | |||||
Date of fiscal year end: | 11-30 | |||||
Date of reporting period: | 05-31-2017 |
ITEM 1. REPORTS TO STOCKHOLDERS.
Semiannual Report | |
May 31, 2017 | |
Global Allocation Fund |
Table of Contents |
Any opinions expressed in this report reflect those of the author as of the date of the report, and do not necessarily represent the opinions of American Century Investments® or any other person in the American Century Investments organization. Any such opinions are subject to change at any time based upon market or other conditions and American Century Investments disclaims any responsibility to update such opinions. These opinions may not be relied upon as investment advice and, because investment decisions made by American Century Investments funds are based on numerous factors, may not be relied upon as an indication of trading intent on behalf of any American Century Investments fund. Security examples are used for representational purposes only and are not intended as recommendations to purchase or sell securities. Performance information for comparative indices and securities is provided to American Century Investments by third party vendors. To the best of American Century Investments’ knowledge, such information is accurate at the time of printing.
President’s Letter |
Jonathan Thomas
Dear Investor:
Thank you for reviewing this semiannual report for the period ended May 31, 2017. It provides a market overview (below), followed by a schedule of fund investments and other financial information. For additional commentary and information on fund performance, plus other investment insights, we encourage you to visit our website, americancentury.com.
“Risk-On” Sentiment Generally Prevailed Among Investors
Optimism surrounding President Trump’s aggressive pro-growth agenda, along with improving global economic data, upbeat corporate earnings reports in the U.S. and Europe, and continued accommodative central bank policies, triggered rallies among higher-risk assets during the six-month period. In addition, moderate candidate Emmanuel Macron’s victory in France’s presidential election helped ease political uncertainty in Europe, which further aided financial market performance. Global equity markets soared, including the S&P 500 Index, the MSCI EAFE Index, and the MSCI Emerging Markets Index, which gained 10.81%, 17.91%, and 17.51%, respectively. Within these indices, growth stocks significantly outperformed their value counterparts, as investors generally favored companies expected to perform well as economic fundamentals improve.
A similar pattern prevailed within the global fixed-income markets, where higher-risk and higher-yielding sectors were top performers. Meanwhile, yields on short-maturity U.S. Treasuries increased as the Federal Reserve (the Fed) raised its interest rate target twice during the reporting period. However, yields on longer-maturity U.S. Treasuries declined, largely due to waning U.S. economic growth and inflation expectations as the reporting period unfolded. Outside the U.S., ongoing central bank stimulus programs helped keep government bond yields low. Overall, returns among broad U.S. and global fixed-income indices were positive.
Late in the reporting period, investor optimism toward President Trump’s policy agenda faded as health care and tax reform remained stalled. Further delays to these and other pro-growth proposals, combined with the Fed’s efforts to normalize U.S. monetary policy, may impede future risk-on sentiment. Meanwhile, as the Fed continues to tighten, central banks in Europe, the U.K., and Japan remain extremely accommodative. In this environment, we continue to believe in a disciplined, diversified, and risk-aware approach, using professionally managed portfolios in pursuit of investment goals. We appreciate your continued trust in us.
Sincerely,
Jonathan Thomas
President and Chief Executive Officer
American Century Investments
2
Fund Characteristics |
MAY 31, 2017 | |
Types of Investments in Portfolio | % of net assets |
International Equity Funds | 34.1% |
Domestic Equity Funds | 20.2% |
International Fixed Income Funds | 15.1% |
Domestic Fixed Income Funds | 14.0% |
Exchange-Traded Funds | 9.5% |
Cash and Equivalents* | 7.1% |
*Includes temporary cash investments and other assets and liabilities.
3
Shareholder Fee Example |
Fund shareholders may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption/exchange fees; and (2) ongoing costs, including management fees; distribution and service (12b-1) fees; and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in your fund and to compare these costs with the ongoing cost of investing in other mutual funds.
The example is based on an investment of $1,000 made at the beginning of the period and held for the entire period from December 1, 2016 to May 31, 2017.
Actual Expenses
The table provides information about actual account values and actual expenses for each class. You may use the information, together with the amount you invested, to estimate the expenses that you paid over the period. First, identify the share class you own. Then simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
If you hold Investor Class shares of any American Century Investments fund, or I Class shares of the American Century Diversified Bond Fund, in an American Century Investments account (i.e., not a financial intermediary or retirement plan account), American Century Investments may charge you a $12.50 semiannual account maintenance fee if the value of those shares is less than $10,000. We will redeem shares automatically in one of your accounts to pay the $12.50 fee. In determining your total eligible investment amount, we will include your investments in all personal accounts (including American Century Investments Brokerage accounts) registered under your Social Security number. Personal accounts include individual accounts, joint accounts, UGMA/UTMA accounts, personal trusts, Coverdell Education Savings Accounts and IRAs (including traditional, Roth, Rollover, SEP-, SARSEP- and SIMPLE-IRAs), and certain other retirement accounts. If you have only business, business retirement, employer-sponsored or American Century Investments Brokerage accounts, you are currently not subject to this fee. If you are subject to the Account Maintenance Fee, your account value could be reduced by the fee amount.
Hypothetical Example for Comparison Purposes
The table also provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio of each class of your fund and an assumed rate of return of 5% per year before expenses, which is not the actual return of a fund’s share class. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption/exchange fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
4
Beginning Account Value 12/1/16 | Ending Account Value 5/31/17 | Expenses Paid During Period(1) 12/1/16 - 5/31/17 | Annualized Expense Ratio(1)(2) | |
Actual | ||||
Investor Class (after waiver) | $1,000 | $1,073.30 | $2.12 | 0.41% |
Investor Class (before waiver) | $1,000 | $1,073.30(3) | $7.03 | 1.36% |
I Class (after waiver) | $1,000 | $1,074.30 | $1.09 | 0.21% |
I Class (before waiver) | $1,000 | $1,074.30(3) | $6.00 | 1.16% |
A Class (after waiver) | $1,000 | $1,070.90 | $3.41 | 0.66% |
A Class (before waiver) | $1,000 | $1,070.90(3) | $8.31 | 1.61% |
C Class (after waiver) | $1,000 | $1,067.70 | $7.27 | 1.41% |
C Class (before waiver) | $1,000 | $1,067.70(3) | $12.17 | 2.36% |
R Class (after waiver) | $1,000 | $1,069.50 | $4.70 | 0.91% |
R Class (before waiver) | $1,000 | $1,069.50(3) | $9.60 | 1.86% |
Hypothetical | ||||
Investor Class (after waiver) | $1,000 | $1,022.89 | $2.07 | 0.41% |
Investor Class (before waiver) | $1,000 | $1,018.15 | $6.84 | 1.36% |
I Class (after waiver) | $1,000 | $1,023.88 | $1.06 | 0.21% |
I Class (before waiver) | $1,000 | $1,019.15 | $5.84 | 1.16% |
A Class (after waiver) | $1,000 | $1,021.64 | $3.33 | 0.66% |
A Class (before waiver) | $1,000 | $1,016.90 | $8.10 | 1.61% |
C Class (after waiver) | $1,000 | $1,017.90 | $7.09 | 1.41% |
C Class (before waiver) | $1,000 | $1,013.16 | $11.85 | 2.36% |
R Class (after waiver) | $1,000 | $1,020.39 | $4.58 | 0.91% |
R Class (before waiver) | $1,000 | $1,015.66 | $9.35 | 1.86% |
(1) | Expenses are equal to the class's annualized expense ratio listed in the table above, multiplied by the average account value over the period, multiplied by 182, the number of days in the most recent fiscal half-year, divided by 365, to reflect the one-half year period. |
(2) | The annualized expense ratio is calculated using the amount of expenses reflected in the Statement of Operations for the most recent fiscal half-year, which does not include any acquired fund fees and expenses. |
(3) | Ending account value assumes the return earned after waiver and would have been lower if a portion of the fees had not been waived. |
5
Schedule of Investments |
MAY 31, 2017 (UNAUDITED)
Shares | Value | ||||
MUTUAL FUNDS(1) — 83.4% | |||||
International Equity Funds — 34.1% | |||||
Emerging Markets Fund I Class | 49,418 | $ | 510,986 | ||
Global Gold Fund I Class | 16,148 | 137,256 | |||
Global Real Estate Fund I Class | 127,213 | 1,434,964 | |||
International Growth Fund I Class | 111,811 | 1,384,225 | |||
NT International Small-Mid Cap Fund R6 Class | 28,991 | 335,426 | |||
NT International Value Fund R6 Class | 108,684 | 1,065,107 | |||
4,867,964 | |||||
Domestic Equity Funds — 20.2% | |||||
AC Alternatives Equity Market Neutral Fund I Class(2) | 12,284 | 139,787 | |||
AC Alternatives Market Neutral Value Fund I Class | 12,994 | 138,908 | |||
Core Equity Plus Fund I Class | 69,663 | 989,210 | |||
Heritage Fund I Class | 4,682 | 111,205 | |||
Large Company Value Fund I Class | 58,759 | 588,764 | |||
Mid Cap Value Fund I Class | 6,019 | 106,650 | |||
Select Fund I Class | 8,889 | 595,853 | |||
Small Company Fund I Class | 14,212 | 208,348 | |||
2,878,725 | |||||
International Fixed Income Funds — 15.1% | |||||
Emerging Markets Debt Fund R6 Class | 41,015 | 425,737 | |||
International Bond Fund R5 Class(2) | 135,734 | 1,734,685 | |||
2,160,422 | |||||
Domestic Fixed Income Funds — 14.0% | |||||
Diversified Bond Fund I Class | 118,681 | 1,281,752 | |||
High-Yield Fund R5 Class | 123,460 | 713,598 | |||
1,995,350 | |||||
TOTAL MUTUAL FUNDS (Cost $10,558,739) | 11,902,461 | ||||
EXCHANGE-TRADED FUNDS — 9.5% | |||||
iShares S&P GSCI Commodity Indexed Trust(2) | 56,464 | 805,177 | |||
PowerShares DB Agriculture Fund(2) | 13,868 | 277,083 | |||
SPDR Gold Shares(2) | 1,160 | 139,919 | |||
Sprott Physical Gold Trust(2) | 13,127 | 135,733 | |||
TOTAL EXCHANGE-TRADED FUNDS (Cost $1,684,832) | 1,357,912 | ||||
TEMPORARY CASH INVESTMENTS — 7.2% | |||||
Repurchase Agreement, BMO Capital Markets Corp., (collateralized by various U.S. Treasury obligations, 0.875% - 2.125%, 9/30/17 - 2/15/26, valued at $565,694), in a joint trading account at 0.70%, dated 5/31/17, due 6/1/17 (Delivery value $554,618) | 554,607 | ||||
Repurchase Agreement, Fixed Income Clearing Corp., (collateralized by various U.S. Treasury obligations, 1.00% - 2.875%, 8/15/45 - 2/15/46, valued at $458,934), at 0.22%, dated 5/31/17, due 6/1/17 (Delivery value $446,003) | 446,000 | ||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 18,358 | 18,358 | |||
TOTAL TEMPORARY CASH INVESTMENTS (Cost $1,018,965) | 1,018,965 | ||||
TOTAL INVESTMENT SECURITIES — 100.1% (Cost $13,262,536) | 14,279,338 | ||||
OTHER ASSETS AND LIABILITIES — (0.1)% | (7,983 | ) | |||
TOTAL NET ASSETS — 100.0% | $ | 14,271,355 |
6
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
ARS | 167,401 | USD | 10,555 | Goldman Sachs & Co. | 6/21/17 | $ | (257 | ) | ||
ARS | 157,422 | USD | 10,133 | Goldman Sachs & Co. | 6/21/17 | (449 | ) | |||
AUD | 4,245 | USD | 3,244 | JPMorgan Chase Bank N.A. | 6/21/17 | (91 | ) | |||
AUD | 4,751 | USD | 3,627 | JPMorgan Chase Bank N.A. | 6/21/17 | (98 | ) | |||
AUD | 11,056 | USD | 8,324 | JPMorgan Chase Bank N.A. | 6/21/17 | (112 | ) | |||
USD | 15,118 | AUD | 20,052 | JPMorgan Chase Bank N.A. | 6/21/17 | 223 | ||||
USD | 10,549 | AUD | 14,071 | JPMorgan Chase Bank N.A. | 6/21/17 | 97 | ||||
USD | 10,434 | AUD | 13,955 | JPMorgan Chase Bank N.A. | 6/21/17 | 68 | ||||
USD | 10,724 | AUD | 14,366 | JPMorgan Chase Bank N.A. | 6/21/17 | 53 | ||||
BRL | 31,969 | USD | 10,236 | Goldman Sachs & Co. | 6/21/17 | (399 | ) | |||
BRL | 25,017 | USD | 7,860 | Goldman Sachs & Co. | 6/21/17 | (161 | ) | |||
BRL | 32,717 | USD | 10,390 | Goldman Sachs & Co. | 6/21/17 | (322 | ) | |||
BRL | 67,306 | USD | 21,098 | Goldman Sachs & Co. | 6/21/17 | (387 | ) | |||
BRL | 83,448 | USD | 26,200 | Goldman Sachs & Co. | 6/21/17 | (522 | ) | |||
USD | 9,927 | BRL | 31,865 | Goldman Sachs & Co. | 6/21/17 | 121 | ||||
USD | 9,658 | BRL | 33,198 | Goldman Sachs & Co. | 6/21/17 | (558 | ) | |||
USD | 19,446 | BRL | 66,077 | Goldman Sachs & Co. | 6/21/17 | (887 | ) | |||
USD | 7,770 | BRL | 25,174 | Goldman Sachs & Co. | 6/21/17 | 23 | ||||
USD | 5,290 | BRL | 16,973 | Goldman Sachs & Co. | 6/21/17 | 67 | ||||
USD | 10,663 | BRL | 34,144 | Goldman Sachs & Co. | 6/21/17 | 157 | ||||
USD | 10,258 | BRL | 33,026 | Goldman Sachs & Co. | 6/21/17 | 95 | ||||
CAD | 16,435 | USD | 12,163 | JPMorgan Chase Bank N.A. | 6/21/17 | 8 | ||||
CAD | 14,169 | USD | 10,529 | JPMorgan Chase Bank N.A. | 6/21/17 | (37 | ) | |||
CAD | 14,963 | USD | 11,274 | Morgan Stanley | 6/21/17 | (193 | ) | |||
USD | 11,216 | CAD | 15,401 | JPMorgan Chase Bank N.A. | 6/21/17 | (189 | ) | |||
USD | 8,495 | CAD | 11,296 | Morgan Stanley | 6/21/17 | 130 | ||||
USD | 7,980 | CAD | 10,663 | Morgan Stanley | 6/21/17 | 83 | ||||
USD | 5,449 | CAD | 7,265 | Morgan Stanley | 6/21/17 | 69 | ||||
USD | 10,614 | CAD | 14,192 | Morgan Stanley | 6/21/17 | 104 | ||||
USD | 10,688 | CAD | 14,347 | Morgan Stanley | 6/21/17 | 64 | ||||
USD | 10,517 | CAD | 14,296 | Morgan Stanley | 6/21/17 | (70 | ) | |||
CHF | 31,462 | USD | 32,247 | Credit Suisse AG | 6/21/17 | 277 | ||||
CHF | 11,205 | USD | 11,222 | Credit Suisse AG | 6/21/17 | 361 | ||||
CHF | 10,733 | USD | 10,806 | Credit Suisse AG | 6/21/17 | 290 | ||||
USD | 8,429 | CHF | 8,501 | Credit Suisse AG | 6/21/17 | (359 | ) | |||
USD | 7,849 | CHF | 7,782 | Credit Suisse AG | 6/21/17 | (196 | ) | |||
USD | 5,674 | CHF | 5,655 | Credit Suisse AG | 6/21/17 | (172 | ) | |||
USD | 21,099 | CHF | 21,139 | Credit Suisse AG | 6/21/17 | (754 | ) | |||
CLP | 7,900,542 | USD | 12,182 | Goldman Sachs & Co. | 6/21/17 | (464 | ) | |||
CLP | 7,306,259 | USD | 10,816 | Goldman Sachs & Co. | 6/21/17 | 20 | ||||
CLP | 7,161,979 | USD | 10,701 | Goldman Sachs & Co. | 6/21/17 | (78 | ) | |||
CLP | 11,442,628 | USD | 17,155 | Goldman Sachs & Co. | 6/21/17 | (184 | ) | |||
USD | 10,496 | CLP | 7,037,850 | Goldman Sachs & Co. | 6/21/17 | 57 | ||||
USD | 34,178 | CLP | 22,255,259 | Goldman Sachs & Co. | 6/21/17 | 1,170 | ||||
USD | 8,435 | CLP | 5,602,824 | Goldman Sachs & Co. | 6/21/17 | 126 |
7
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
USD | 8,073 | CLP | 5,376,344 | Goldman Sachs & Co. | 6/21/17 | $ | 99 | |||
USD | 10,277 | CLP | 6,790,042 | Goldman Sachs & Co. | 6/21/17 | 206 | ||||
USD | 11,418 | CLP | 7,653,660 | Goldman Sachs & Co. | 6/21/17 | 67 | ||||
COP | 22,606,388 | USD | 7,729 | Goldman Sachs & Co. | 6/21/17 | 1 | ||||
COP | 31,218,293 | USD | 10,784 | Goldman Sachs & Co. | 6/21/17 | (109 | ) | |||
COP | 51,542,820 | USD | 17,521 | Goldman Sachs & Co. | 6/21/17 | 103 | ||||
COP | 47,485,747 | USD | 16,186 | Goldman Sachs & Co. | 6/21/17 | 51 | ||||
USD | 8,802 | COP | 26,730,410 | Goldman Sachs & Co. | 6/21/17 | (339 | ) | |||
USD | 11,670 | COP | 33,643,548 | Goldman Sachs & Co. | 6/21/17 | 165 | ||||
USD | 10,380 | COP | 30,632,275 | Goldman Sachs & Co. | 6/21/17 | (94 | ) | |||
USD | 20,952 | COP | 61,847,015 | Goldman Sachs & Co. | 6/21/17 | (197 | ) | |||
EUR | 9,657 | USD | 10,535 | JPMorgan Chase Bank N.A. | 6/21/17 | 324 | ||||
EUR | 9,774 | USD | 10,695 | JPMorgan Chase Bank N.A. | 6/21/17 | 295 | ||||
EUR | 9,728 | USD | 10,591 | JPMorgan Chase Bank N.A. | 6/21/17 | 348 | ||||
GBP | 8,797 | USD | 11,047 | Credit Suisse AG | 6/21/17 | 294 | ||||
GBP | 7,852 | USD | 10,006 | Credit Suisse AG | 6/21/17 | 117 | ||||
GBP | 7,485 | USD | 9,628 | Credit Suisse AG | 6/21/17 | 22 | ||||
GBP | 13,406 | USD | 16,762 | Credit Suisse AG | 6/21/17 | 521 | ||||
GBP | 2,035 | USD | 2,542 | Credit Suisse AG | 6/21/17 | 82 | ||||
GBP | 6,753 | USD | 8,436 | Credit Suisse AG | 6/21/17 | 270 | ||||
USD | 8,383 | GBP | 6,875 | Credit Suisse AG | 6/21/17 | (480 | ) | |||
USD | 7,962 | GBP | 6,531 | Credit Suisse AG | 6/21/17 | (458 | ) | |||
USD | 11,492 | GBP | 8,876 | Credit Suisse AG | 6/21/17 | 49 | ||||
USD | 10,102 | GBP | 7,849 | Credit Suisse AG | 6/21/17 | (17 | ) | |||
HUF | 6,134,002 | USD | 21,824 | Goldman Sachs & Co. | 6/21/17 | 546 | ||||
HUF | 3,020,093 | USD | 10,828 | Goldman Sachs & Co. | 6/21/17 | 186 | ||||
HUF | 2,415,407 | USD | 8,441 | Goldman Sachs & Co. | 6/21/17 | 368 | ||||
USD | 16,409 | HUF | 4,817,642 | Goldman Sachs & Co. | 6/21/17 | (1,161 | ) | |||
USD | 2,634 | HUF | 763,161 | Goldman Sachs & Co. | 6/21/17 | (149 | ) | |||
USD | 21,359 | HUF | 6,273,269 | Goldman Sachs & Co. | 6/21/17 | (1,519 | ) | |||
USD | 9,465 | HUF | 2,702,181 | Goldman Sachs & Co. | 6/21/17 | (390 | ) | |||
IDR | 145,925,236 | USD | 10,935 | Goldman Sachs & Co. | 6/21/17 | 20 | ||||
IDR | 141,308,576 | USD | 10,593 | Goldman Sachs & Co. | 6/21/17 | 15 | ||||
IDR | 120,044,100 | USD | 8,912 | Goldman Sachs & Co. | 6/21/17 | 100 | ||||
USD | 10,605 | IDR | 141,308,576 | Goldman Sachs & Co. | 6/21/17 | (3 | ) | |||
USD | 17,276 | IDR | 231,838,121 | Goldman Sachs & Co. | 6/21/17 | (128 | ) | |||
USD | 2,545 | IDR | 34,131,215 | Goldman Sachs & Co. | 6/21/17 | (17 | ) | |||
ILS | 78,148 | USD | 21,472 | Goldman Sachs & Co. | 6/21/17 | 613 | ||||
ILS | 76,238 | USD | 21,227 | Goldman Sachs & Co. | 6/21/17 | 319 | ||||
ILS | 30,821 | USD | 8,381 | Goldman Sachs & Co. | 6/21/17 | 329 | ||||
ILS | 29,461 | USD | 8,050 | Goldman Sachs & Co. | 6/21/17 | 276 | ||||
USD | 21,217 | ILS | 76,238 | Goldman Sachs & Co. | 6/21/17 | (329 | ) | |||
USD | 16,535 | ILS | 60,282 | Goldman Sachs & Co. | 6/21/17 | (502 | ) | |||
USD | 8,396 | ILS | 30,343 | Goldman Sachs & Co. | 6/21/17 | (180 | ) | |||
USD | 2,607 | ILS | 9,455 | Goldman Sachs & Co. | 6/21/17 | (65 | ) | |||
USD | 10,482 | ILS | 38,350 | Goldman Sachs & Co. | 6/21/17 | (356 | ) |
8
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
INR | 285,094 | USD | 4,328 | Morgan Stanley | 6/21/17 | $ | 86 | |||
INR | 627,223 | USD | 9,601 | Morgan Stanley | 6/21/17 | 110 | ||||
INR | 661,375 | USD | 10,251 | Morgan Stanley | 6/21/17 | (11 | ) | |||
INR | 690,127 | USD | 10,702 | Morgan Stanley | 6/21/17 | (17 | ) | |||
INR | 1,156,430 | USD | 17,135 | Morgan Stanley | 6/21/17 | 770 | ||||
INR | 492,615 | USD | 7,414 | Morgan Stanley | 6/21/17 | 213 | ||||
USD | 21,053 | INR | 1,373,950 | Morgan Stanley | 6/21/17 | (219 | ) | |||
USD | 18,269 | INR | 1,186,050 | Morgan Stanley | 6/21/17 | (94 | ) | |||
JPY | 3,600,447 | USD | 32,141 | Credit Suisse AG | 6/21/17 | 395 | ||||
JPY | 3,510,180 | USD | 31,766 | Credit Suisse AG | 6/21/17 | (46 | ) | |||
JPY | 1,190,267 | USD | 10,765 | Credit Suisse AG | 6/21/17 | (9 | ) | |||
JPY | 1,138,785 | USD | 10,525 | Credit Suisse AG | 6/21/17 | (234 | ) | |||
USD | 10,773 | JPY | 1,222,022 | Credit Suisse AG | 6/21/17 | (270 | ) | |||
USD | 10,582 | JPY | 1,169,876 | Credit Suisse AG | 6/21/17 | 11 | ||||
USD | 31,536 | JPY | 3,537,601 | Credit Suisse AG | 6/21/17 | (433 | ) | |||
KRW | 12,094,136 | USD | 10,700 | Morgan Stanley | 6/21/17 | 107 | ||||
KRW | 12,301,211 | USD | 10,894 | Morgan Stanley | 6/21/17 | 98 | ||||
KRW | 11,936,683 | USD | 10,547 | Morgan Stanley | 6/21/17 | 120 | ||||
USD | 10,674 | KRW | 12,094,136 | Morgan Stanley | 6/21/17 | (133 | ) | |||
USD | 21,205 | KRW | 24,237,894 | Morgan Stanley | 6/21/17 | (454 | ) | |||
MXN | 195,022 | USD | 10,398 | JPMorgan Chase Bank N.A. | 6/21/17 | 28 | ||||
MXN | 203,206 | USD | 10,852 | JPMorgan Chase Bank N.A. | 6/21/17 | 11 | ||||
MXN | 202,748 | USD | 10,582 | JPMorgan Chase Bank N.A. | 6/21/17 | 256 | ||||
MXN | 164,152 | USD | 8,257 | JPMorgan Chase Bank N.A. | 6/21/17 | 519 | ||||
USD | 8,211 | MXN | 163,428 | JPMorgan Chase Bank N.A. | 6/21/17 | (526 | ) | |||
USD | 20,746 | MXN | 397,770 | JPMorgan Chase Bank N.A. | 6/21/17 | (519 | ) | |||
USD | 10,621 | MXN | 203,206 | JPMorgan Chase Bank N.A. | 6/21/17 | (243 | ) | |||
MYR | 68,102 | USD | 15,294 | Goldman Sachs & Co. | 6/21/17 | 571 | ||||
MYR | 48,160 | USD | 10,803 | Goldman Sachs & Co. | 6/21/17 | 416 | ||||
MYR | 47,105 | USD | 10,740 | Goldman Sachs & Co. | 6/21/17 | 233 | ||||
MYR | 46,936 | USD | 10,679 | Goldman Sachs & Co. | 6/21/17 | 254 | ||||
MYR | 45,377 | USD | 10,447 | Goldman Sachs & Co. | 6/21/17 | 124 | ||||
MYR | 44,351 | USD | 10,290 | Goldman Sachs & Co. | 6/21/17 | 41 | ||||
MYR | 43,526 | USD | 9,792 | Goldman Sachs & Co. | 6/21/17 | 347 | ||||
USD | 7,171 | MYR | 32,233 | Goldman Sachs & Co. | 6/21/17 | (338 | ) | |||
USD | 10,786 | MYR | 47,006 | Goldman Sachs & Co. | 6/21/17 | (164 | ) | |||
USD | 17,424 | MYR | 77,912 | Goldman Sachs & Co. | 6/21/17 | (726 | ) | |||
USD | 4,606 | MYR | 20,548 | Goldman Sachs & Co. | 6/21/17 | (181 | ) | |||
USD | 6,540 | MYR | 29,095 | Goldman Sachs & Co. | 6/21/17 | (237 | ) | |||
NOK | 92,951 | USD | 10,928 | JPMorgan Chase Bank N.A. | 6/21/17 | 76 | ||||
NOK | 92,293 | USD | 10,960 | JPMorgan Chase Bank N.A. | 6/21/17 | (34 | ) | |||
USD | 37 | NOK | 312 | JPMorgan Chase Bank N.A. | 6/21/17 | — | ||||
USD | 24,907 | NOK | 210,009 | JPMorgan Chase Bank N.A. | 6/21/17 | 45 | ||||
USD | 8,293 | NOK | 71,107 | JPMorgan Chase Bank N.A. | 6/21/17 | (125 | ) | |||
USD | 9,692 | NOK | 83,563 | JPMorgan Chase Bank N.A. | 6/21/17 | (201 | ) | |||
NZD | 17,709 | USD | 12,403 | JPMorgan Chase Bank N.A. | 6/21/17 | 139 |
9
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
NZD | 14,866 | USD | 10,427 | JPMorgan Chase Bank N.A. | 6/21/17 | $ | 101 | |||
NZD | 15,049 | USD | 10,597 | JPMorgan Chase Bank N.A. | 6/21/17 | 61 | ||||
USD | 11,577 | NZD | 16,831 | JPMorgan Chase Bank N.A. | 6/21/17 | (343 | ) | |||
USD | 8,338 | NZD | 11,917 | JPMorgan Chase Bank N.A. | 6/21/17 | (102 | ) | |||
USD | 7,976 | NZD | 11,358 | JPMorgan Chase Bank N.A. | 6/21/17 | (68 | ) | |||
USD | 5,597 | NZD | 8,018 | JPMorgan Chase Bank N.A. | 6/21/17 | (82 | ) | |||
USD | 20,111 | NZD | 28,954 | JPMorgan Chase Bank N.A. | 6/21/17 | (394 | ) | |||
PHP | 595,272 | USD | 12,002 | Morgan Stanley | 6/21/17 | (55 | ) | |||
PHP | 536,463 | USD | 10,696 | Morgan Stanley | 6/21/17 | 71 | ||||
PHP | 1,098,900 | USD | 22,009 | Morgan Stanley | 6/21/17 | 46 | ||||
PHP | 512,419 | USD | 10,251 | Morgan Stanley | 6/21/17 | 33 | ||||
PHP | 406,444 | USD | 8,068 | Morgan Stanley | 6/21/17 | 90 | ||||
USD | 7,572 | PHP | 384,790 | Morgan Stanley | 6/21/17 | (151 | ) | |||
USD | 21,174 | PHP | 1,052,858 | Morgan Stanley | 6/21/17 | 43 | ||||
USD | 21,192 | PHP | 1,056,014 | Morgan Stanley | 6/21/17 | (2 | ) | |||
USD | 16,982 | PHP | 861,829 | Morgan Stanley | 6/21/17 | (315 | ) | |||
USD | 7,994 | PHP | 404,384 | Morgan Stanley | 6/21/17 | (122 | ) | |||
USD | 8,038 | PHP | 405,976 | Morgan Stanley | 6/21/17 | (110 | ) | |||
USD | 10,697 | PHP | 537,006 | Morgan Stanley | 6/21/17 | (81 | ) | |||
PLN | 40,916 | USD | 10,473 | Goldman Sachs & Co. | 6/21/17 | 524 | ||||
PLN | 39,606 | USD | 10,198 | Goldman Sachs & Co. | 6/21/17 | 446 | ||||
PLN | 34,113 | USD | 8,478 | Goldman Sachs & Co. | 6/21/17 | 691 | ||||
PLN | 9,111 | USD | 2,311 | Goldman Sachs & Co. | 6/21/17 | 137 | ||||
PLN | 219 | USD | 54 | Goldman Sachs & Co. | 6/21/17 | 5 | ||||
USD | 1,768 | PLN | 6,607 | Goldman Sachs & Co. | 6/21/17 | (8 | ) | |||
USD | 10,428 | PLN | 39,046 | Goldman Sachs & Co. | 6/21/17 | (66 | ) | |||
RUB | 448,691 | USD | 7,711 | Morgan Stanley | 6/21/17 | 166 | ||||
RUB | 471,021 | USD | 8,127 | Morgan Stanley | 6/21/17 | 143 | ||||
RUB | 594,808 | USD | 10,417 | Morgan Stanley | 6/21/17 | 25 | ||||
RUB | 581,236 | USD | 10,276 | Morgan Stanley | 6/21/17 | (72 | ) | |||
RUB | 1,286,098 | USD | 22,144 | Morgan Stanley | 6/21/17 | 435 | ||||
RUB | 1,052,418 | USD | 17,570 | Morgan Stanley | 6/21/17 | 907 | ||||
RUB | 449,583 | USD | 7,863 | Morgan Stanley | 6/21/17 | 30 | ||||
USD | 11,415 | RUB | 665,369 | Morgan Stanley | 6/21/17 | (266 | ) | |||
USD | 11,096 | RUB | 634,221 | Morgan Stanley | 6/21/17 | (38 | ) | |||
USD | 10,287 | RUB | 585,230 | Morgan Stanley | 6/21/17 | 13 | ||||
USD | 9,233 | RUB | 559,868 | Morgan Stanley | 6/21/17 | (596 | ) | |||
USD | 11,542 | RUB | 655,500 | Morgan Stanley | 6/21/17 | 34 | ||||
USD | 20,764 | RUB | 1,197,015 | Morgan Stanley | 6/21/17 | (251 | ) | |||
SEK | 99,362 | USD | 11,302 | JPMorgan Chase Bank N.A. | 6/21/17 | 143 | ||||
SEK | 93,582 | USD | 10,700 | JPMorgan Chase Bank N.A. | 6/21/17 | 79 | ||||
USD | 10,666 | SEK | 93,696 | JPMorgan Chase Bank N.A. | 6/21/17 | (126 | ) | |||
USD | 10,984 | SEK | 97,979 | JPMorgan Chase Bank N.A. | 6/21/17 | (301 | ) | |||
USD | 10,594 | SEK | 94,965 | JPMorgan Chase Bank N.A. | 6/21/17 | (344 | ) | |||
SGD | 16,313 | USD | 11,693 | JPMorgan Chase Bank N.A. | 6/21/17 | 99 | ||||
SGD | 14,799 | USD | 10,615 | Morgan Stanley | 6/21/17 | 83 |
10
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
USD | 11,712 | SGD | 16,313 | JPMorgan Chase Bank N.A. | 6/21/17 | $ | (81 | ) | ||
USD | 10,494 | SGD | 14,799 | Morgan Stanley | 6/21/17 | (204 | ) | |||
THB | 732,009 | USD | 21,460 | Goldman Sachs & Co. | 6/21/17 | 39 | ||||
THB | 568,987 | USD | 16,430 | Goldman Sachs & Co. | 6/21/17 | 282 | ||||
THB | 186,052 | USD | 5,398 | Goldman Sachs & Co. | 6/21/17 | 67 | ||||
USD | 13,245 | THB | 458,029 | Goldman Sachs & Co. | 6/21/17 | (207 | ) | |||
USD | 8,666 | THB | 297,010 | Goldman Sachs & Co. | 6/21/17 | (58 | ) | |||
USD | 10,552 | THB | 362,666 | Goldman Sachs & Co. | 6/21/17 | (100 | ) | |||
USD | 10,686 | THB | 369,343 | Goldman Sachs & Co. | 6/21/17 | (162 | ) | |||
TRY | 30,641 | USD | 8,234 | Goldman Sachs & Co. | 6/21/17 | 401 | ||||
TRY | 39,917 | USD | 10,704 | Goldman Sachs & Co. | 6/21/17 | 545 | ||||
TRY | 37,922 | USD | 10,239 | Goldman Sachs & Co. | 6/21/17 | 448 | ||||
TRY | 32,875 | USD | 9,092 | Goldman Sachs & Co. | 6/21/17 | 173 | ||||
TRY | 21,707 | USD | 6,069 | Goldman Sachs & Co. | 6/21/17 | 48 | ||||
TRY | 25,342 | USD | 6,577 | Goldman Sachs & Co. | 6/21/17 | 565 | ||||
TRY | 35,933 | USD | 9,634 | Goldman Sachs & Co. | 6/21/17 | 493 | ||||
TRY | 22,091 | USD | 5,922 | Goldman Sachs & Co. | 6/21/17 | 303 | ||||
TRY | 60,427 | USD | 15,716 | Goldman Sachs & Co. | 6/21/17 | 1,313 | ||||
USD | 17,400 | TRY | 62,735 | Goldman Sachs & Co. | 6/21/17 | (279 | ) | |||
USD | 20,440 | TRY | 73,634 | Goldman Sachs & Co. | 6/21/17 | (311 | ) | |||
USD | 25,403 | TRY | 96,226 | Goldman Sachs & Co. | 6/21/17 | (1,715 | ) | |||
TWD | 240,626 | USD | 7,967 | Morgan Stanley | 6/21/17 | 21 | ||||
TWD | 77,994 | USD | 2,580 | Morgan Stanley | 6/21/17 | 9 | ||||
TWD | 653,613 | USD | 21,550 | Morgan Stanley | 6/21/17 | 146 | ||||
TWD | 319,161 | USD | 10,653 | Morgan Stanley | 6/21/17 | (58 | ) | |||
TWD | 330,831 | USD | 10,975 | Morgan Stanley | 6/21/17 | 7 | ||||
TWD | 259,085 | USD | 8,388 | Morgan Stanley | 6/21/17 | 213 | ||||
USD | 32,126 | TWD | 972,774 | Morgan Stanley | 6/21/17 | (165 | ) | |||
USD | 21,209 | TWD | 638,807 | Morgan Stanley | 6/21/17 | 4 | ||||
USD | 20,808 | TWD | 631,318 | Morgan Stanley | 6/21/17 | (148 | ) | |||
USD | 8,125 | TWD | 245,549 | Morgan Stanley | 6/21/17 | (26 | ) | |||
USD | 10,972 | TWD | 332,156 | Morgan Stanley | 6/21/17 | (54 | ) | |||
ZAR | 138,687 | USD | 10,522 | Goldman Sachs & Co. | 6/21/17 | 16 | ||||
ZAR | 185,945 | USD | 13,999 | Goldman Sachs & Co. | 6/21/17 | 130 | ||||
ZAR | 141,033 | USD | 10,625 | Goldman Sachs & Co. | 6/21/17 | 91 | ||||
USD | 20,581 | ZAR | 279,720 | Goldman Sachs & Co. | 6/21/17 | (672 | ) | |||
USD | 3,070 | ZAR | 41,346 | Goldman Sachs & Co. | 6/21/17 | (72 | ) | |||
USD | 10,404 | ZAR | 144,599 | Goldman Sachs & Co. | 6/21/17 | (583 | ) | |||
$ | (3,296 | ) |
NOTES TO SCHEDULE OF INVESTMENTS | ||
ARS | - | Argentine Peso |
AUD | - | Australian Dollar |
BRL | - | Brazilian Real |
CAD | - | Canadian Dollar |
CHF | - | Swiss Franc |
CLP | - | Chilean Peso |
COP | - | Colombian Peso |
EUR | - | Euro |
GBP | - | British Pound |
HUF | - | Hungarian Forint |
IDR | - | Indonesian Rupiah |
ILS | - | Israeli Shekel |
INR | - | Indian Rupee |
JPY | - | Japanese Yen |
KRW | - | South Korean Won |
MXN | - | Mexican Peso |
MYR | - | Malaysian Ringgit |
NOK | - | Norwegian Krone |
NZD | - | New Zealand Dollar |
PHP | - | Philippine Peso |
PLN | - | Polish Zloty |
RUB | - | Russian Ruble |
SEK | - | Swedish Krona |
SGD | - | Singapore Dollar |
THB | - | Thai Baht |
TRY | - | Turkish Lira |
TWD | - | Taiwanese Dollar |
USD | - | United States Dollar |
ZAR | - | South African Rand |
(1) | Investments are funds within the American Century Investments family of funds and are considered affiliated funds. |
(2) | Non-income producing. |
See Notes to Financial Statements.
11
Statement of Assets and Liabilities |
MAY 31, 2017 (UNAUDITED) | |||
Assets | |||
Investment securities - affiliated, at value (cost of $10,558,739) | $ | 11,902,461 | |
Investment securities - unaffiliated, at value (cost of $2,703,797) | 2,376,877 | ||
Total investment securities, at value (cost of $13,262,536) | 14,279,338 | ||
Cash | 7,308 | ||
Receivable for investments sold | 2,295 | ||
Receivable for capital shares sold | 406 | ||
Unrealized appreciation on forward foreign currency exchange contracts | 24,138 | ||
Dividends and interest receivable | 7,069 | ||
14,320,554 | |||
Liabilities | |||
Foreign currency overdraft payable, at value (cost of $88) | 94 | ||
Payable for investments purchased | 7,038 | ||
Payable for capital shares redeemed | 5,114 | ||
Unrealized depreciation on forward foreign currency exchange contracts | 27,434 | ||
Accrued management fees | 4,908 | ||
Distribution and service fees payable | 4,611 | ||
49,199 | |||
Net Assets | $ | 14,271,355 | |
Net Assets Consist of: | |||
Capital (par value and paid-in surplus) | $ | 13,455,517 | |
Undistributed net investment income | 32,578 | ||
Accumulated net realized loss | (230,239 | ) | |
Net unrealized appreciation | 1,013,499 | ||
$ | 14,271,355 |
Net Assets | Shares Outstanding | Net Asset Value Per Share | ||||
Investor Class, $0.01 Par Value | $4,976,091 | 463,454 | $10.74 | |||
I Class, $0.01 Par Value | $1,300,284 | 120,835 | $10.76 | |||
A Class, $0.01 Par Value | $3,420,390 | 319,563 | $10.70* | |||
C Class, $0.01 Par Value | $4,523,452 | 425,870 | $10.62 | |||
R Class, $0.01 Par Value | $51,138 | 4,791 | $10.67 |
*Maximum offering price $11.35 (net asset value divided by 0.9425).
See Notes to Financial Statements.
12
Statement of Operations |
FOR THE SIX MONTHS ENDED MAY 31, 2017 (UNAUDITED) | |||
Investment Income (Loss) | |||
Income: | |||
Income distributions from affiliated funds | $ | 197,961 | |
Interest | 1,418 | ||
199,379 | |||
Expenses: | |||
Management fees | 100,393 | ||
Distribution and service fees: | |||
A Class | 5,246 | ||
C Class | 24,267 | ||
R Class | 174 | ||
Directors' fees and expenses | 216 | ||
130,296 | |||
Fees waived(1) | (70,529 | ) | |
59,767 | |||
Net investment income (loss) | 139,612 | ||
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss) on: | |||
Investment transactions (including $217,290 from affiliated funds) | 8,042 | ||
Foreign currency transactions | (638 | ) | |
Capital gain distributions received from affiliated funds | 48,709 | ||
56,113 | |||
Change in net unrealized appreciation (depreciation) on: | |||
Investments | 837,889 | ||
Translation of assets and liabilities in foreign currencies | (1,230 | ) | |
836,659 | |||
Net realized and unrealized gain (loss) | 892,772 | ||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 1,032,384 |
(1) | Amount consists of $23,520, $3,777, $19,898, $23,003 and $331 for the Investor Class, I Class, A Class, C Class and R Class, respectively. |
See Notes to Financial Statements.
13
Statement of Changes in Net Assets |
SIX MONTHS ENDED MAY 31, 2017 (UNAUDITED) AND YEAR ENDED NOVEMBER 30, 2016 | ||||||
Increase (Decrease) in Net Assets | May 31, 2017 | November 30, 2016 | ||||
Operations | ||||||
Net investment income (loss) | $ | 139,612 | $ | 179,102 | ||
Net realized gain (loss) | 56,113 | (448,791 | ) | |||
Change in net unrealized appreciation (depreciation) | 836,659 | 521,690 | ||||
Net increase (decrease) in net assets resulting from operations | 1,032,384 | 252,001 | ||||
Distributions to Shareholders | ||||||
From net investment income: | ||||||
Investor Class | (50,198 | ) | (63,040 | ) | ||
I Class | (11,723 | ) | (23,791 | ) | ||
A Class | (36,745 | ) | (42,246 | ) | ||
C Class | (1,584 | ) | — | |||
R Class | (378 | ) | (386 | ) | ||
From net realized gains: | ||||||
Investor Class | — | (48,446 | ) | |||
I Class | — | (14,907 | ) | |||
A Class | — | (45,270 | ) | |||
C Class | — | (51,781 | ) | |||
R Class | — | (684 | ) | |||
From tax return of capital: | ||||||
Investor Class | — | (11,050 | ) | |||
I Class | — | (3,400 | ) | |||
A Class | — | (10,260 | ) | |||
C Class | — | (2,809 | ) | |||
R Class | — | (156 | ) | |||
Decrease in net assets from distributions | (100,628 | ) | (318,226 | ) | ||
Capital Share Transactions | ||||||
Net increase (decrease) in net assets from capital share transactions (Note 5) | (3,138,003 | ) | (8,718,151 | ) | ||
Net increase (decrease) in net assets | (2,206,247 | ) | (8,784,376 | ) | ||
Net Assets | ||||||
Beginning of period | 16,477,602 | 25,261,978 | ||||
End of period | $ | 14,271,355 | $ | 16,477,602 | ||
Undistributed (distributions in excess of) net investment income | $ | 32,578 | $ | (6,406 | ) |
See Notes to Financial Statements.
14
Notes to Financial Statements |
MAY 31, 2017 (UNAUDITED)
1. Organization
American Century Strategic Asset Allocations, Inc. (the corporation) is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company and is organized as a Maryland corporation. Global Allocation Fund (the fund) is one fund in a series issued by the corporation. The fund may invest in other American Century Investments funds (affiliated funds), unaffiliated funds such as exchange-traded funds (ETFs), securities and other financial instruments in such varying combinations as permitted under the 1940 Act or any regulations or exemptive relief thereunder. The fund may invest up to 100% of its assets in affiliated and unaffiliated funds (collectively, underlying funds). The fund will assume the risks associated with the underlying funds. The fund’s investment objective is to seek total return (capital appreciation plus dividend and interest income).
The fund offers the Investor Class, I Class (formerly Institutional Class), A Class, C Class and R Class. The A Class may incur an initial sales charge. The A Class and C Class may be subject to a contingent deferred sales charge.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently followed by the fund in preparation of its financial statements. The fund is an investment company and follows accounting and reporting guidance in accordance with accounting principles generally accepted in the United States of America. This may require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from these estimates. Management evaluated the impact of events or transactions occurring through the date the financial statements were issued that would merit recognition or disclosure.
Investment Valuations — The fund determines the fair value of its investments and computes its net asset value per share at the close of regular trading (usually 4 p.m. Eastern time) on the New York Stock Exchange (NYSE) on each day the NYSE is open. The Board of Directors has adopted valuation policies and procedures to guide the investment advisor in the fund’s investment valuation process and to provide methodologies for the oversight of the fund’s pricing function.
Equity securities that are listed or traded on a domestic securities exchange are valued at the last reported sales price or at the official closing price as provided by the exchange. Equity securities traded on foreign securities exchanges are generally valued at the closing price of such securities on the exchange where primarily traded or at the close of the NYSE, if that is earlier. If no last sales price is reported, or if local convention or regulation so provides, the mean of the latest bid and asked prices may be used. Securities traded over-the-counter are valued at the mean of the latest bid and asked prices, the last sales price, or the official closing price. Equity securities initially expressed in local currencies are translated into U.S. dollars at the mean of the appropriate currency exchange rate at the close of the NYSE as provided by an independent pricing service.
Open-end management investment companies are valued at the reported net asset value per share. Repurchase agreements are valued at cost, which approximates fair value. Forward foreign currency exchange contracts are valued at the mean of the appropriate forward exchange rate at the close of the NYSE as provided by an independent pricing service.
If the fund determines that the market price for an investment is not readily available or the valuation methods mentioned above do not reflect an investment’s fair value, such investment is valued as determined in good faith by the Board of Directors or its delegate, in accordance with policies and procedures adopted by the Board of Directors. In its determination of fair value, the fund may review several factors including, but not limited to, market information regarding the specific investment or comparable investments and correlation with other investment types, futures indices or general market indicators. Circumstances that may cause the fund to use these procedures to value an investment include, but are not limited to: an investment has been declared in default or is distressed; trading in a security has been suspended during the trading day or a security is not actively trading on its principal exchange; prices received from a regular pricing source are deemed unreliable; or there is a foreign market holiday and no trading occurred.
15
The fund monitors for significant events occurring after the close of an investment’s primary exchange but before the fund’s net asset value per share is determined. Significant events may include, but are not limited to: corporate announcements and transactions; governmental action and political unrest that could impact a specific investment or an investment sector; or armed conflicts, natural disasters and similar events that could affect investments in a specific country or region. The fund also monitors for significant fluctuations between domestic and foreign markets, as evidenced by the U.S. market or such other indicators that the Board of Directors, or its delegate, deems appropriate. If significant fluctuations in foreign markets are identified, the fund may apply a model-derived factor to the closing price of equity securities traded on foreign securities exchanges. The factor is based on observable market data as provided by an independent pricing service.
Security Transactions — Security transactions are accounted for as of the trade date. Net realized gains and losses are determined on the identified cost basis, which is also used for federal income tax purposes.
Investment Income — Income and capital gain distributions, if any, are recorded as of the ex-dividend date. Long-term capital gain distributions, if any, are a component of net realized gain (loss). Dividend income less foreign taxes withheld, if any, is recorded as of the ex-dividend date. Distributions received on securities that represent a return of capital or long-term capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The fund may estimate the components of distributions received that may be considered nontaxable distributions or long-term capital gain distributions for income tax purposes. Interest income is recorded on the accrual basis and includes accretion of discounts and amortization of premiums.
Expenses — The expenses included in the accompanying financial statements reflect the expenses of the fund and do not include any expenses associated with the underlying funds.
Foreign Currency Translations — All assets and liabilities initially expressed in foreign currencies are translated into U.S. dollars at prevailing exchange rates at period end. The fund may enter into spot foreign currency exchange contracts to facilitate transactions denominated in a foreign currency. Purchases and sales of investment securities, dividend and interest income, spot foreign currency exchange contracts, and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Net realized and unrealized foreign currency exchange gains or losses related to investment securities are a component of net realized gain (loss) on investment transactions and change in net unrealized appreciation (depreciation) on investments, respectively.
Repurchase Agreements — The fund may enter into repurchase agreements with institutions that American Century Investment Management, Inc. (ACIM) (the investment advisor) has determined are creditworthy pursuant to criteria adopted by the Board of Directors. The fund requires that the collateral, represented by securities, received in a repurchase transaction be transferred to the custodian in a manner sufficient to enable the fund to obtain those securities in the event of a default under the repurchase agreement. ACIM monitors, on a daily basis, the securities transferred to ensure the value, including accrued interest, of the securities under each repurchase agreement is equal to or greater than amounts owed to the fund under each repurchase agreement.
Joint Trading Account — Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, the fund, along with certain other funds in the American Century Investments family of funds, may transfer uninvested cash balances into a joint trading account. These balances are invested in one or more repurchase agreements that are collateralized by U.S. Treasury or Agency obligations.
Segregated Assets — In accordance with the 1940 Act, the fund segregates assets on its books and records to cover certain forward foreign currency exchange contracts. ACIM monitors, on a daily basis, the securities segregated to ensure the fund designates a sufficient amount of liquid assets, marked-to-market daily.
Income Tax Status — It is the fund’s policy to distribute substantially all net investment income and net realized gains to shareholders and to otherwise qualify as a regulated investment company under provisions of the Internal Revenue Code. Accordingly, no provision has been made for income taxes. The fund files U.S. federal, state, local and non-U.S. tax returns as applicable. The fund's tax returns are subject to examination by the relevant taxing authority until expiration of the applicable statute of limitations, which is generally three years from the date of filing but can be longer in certain jurisdictions. At this time, management believes there are no uncertain tax positions which, based on their technical merit, would not be sustained upon examination and for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
16
Multiple Class — All shares of the fund represent an equal pro rata interest in the net assets of the class to which such shares belong, and have identical voting, dividend, liquidation and other rights and the same terms and conditions, except for class specific expenses and exclusive rights to vote on matters affecting only individual classes. Income, non-class specific expenses, and realized and unrealized capital gains and losses of the fund are allocated to each class of shares based on their relative net assets.
Distributions to Shareholders — Distributions from net investment income and net realized gains, if any, are generally declared and paid annually. The fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code, in all events in a manner consistent with provisions of the 1940 Act.
Indemnifications — Under the corporation’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the fund. In addition, in the normal course of business, the fund enters into contracts that provide general indemnifications. The maximum exposure under these arrangements is unknown as this would involve future claims that may be made against a fund. The risk of material loss from such claims is considered by management to be remote.
3. Fees and Transactions with Related Parties
Certain officers and directors of the corporation are also officers and/or directors of American Century Companies, Inc. (ACC). The corporation’s investment advisor, ACIM, the corporation's distributor, American Century Investment Services, Inc. (ACIS), and the corporation’s transfer agent, American Century Services, LLC, are wholly owned, directly or indirectly, by ACC. ACIM serves as the investment advisor for the affiliated funds.
Management Fees — The corporation has entered into a management agreement with ACIM, under which ACIM provides the fund with investment advisory and management services in exchange for a single, unified management fee (the fee) per class. The agreement provides that all expenses of managing and operating the fund, except distribution and service fees, brokerage expenses, taxes, interest, fees and expenses of the independent directors (including legal counsel fees), and extraordinary expenses, will be paid by ACIM. The fee is computed and accrued daily based on each class's daily net assets and paid monthly in arrears. The difference in the fee among the classes is a result of their separate arrangements for shareholder services. It is not the result of any difference in advisory or custodial fees or other expenses related to the management of the fund’s assets, which do not vary by class. The investment advisor will waive the portion of the fund’s management fee equal to the expenses attributable to the management fees of the American Century Investments funds in which the fund invests. The amount of this waiver will fluctuate depending on the fund’s daily allocations to other American Century Investments funds. This waiver is expected to remain in effect permanently and it cannot be terminated without the approval of the Board of Directors. During the period ended May 31, 2017, the investment advisor agreed to waive an additional 0.28% of the fund's management fee. The investment advisor expects this waiver to continue until March 31, 2018 and cannot terminate it prior to such date without the approval of the Board of Directors. The total amount of the waivers with respect to any class of the fund will not exceed the management fee for that particular class.
The annual management fee and the effective annual management fee after waiver for each class for the period ended May 31, 2017 are as follows:
Annual Management Fee | Effective Annual Management Fee After Waiver | |
Investor Class | 1.36% | 0.41% |
I Class | 1.16% | 0.21% |
A Class | 1.36% | 0.41% |
C Class | 1.36% | 0.41% |
R Class | 1.36% | 0.41% |
Distribution and Service Fees — The Board of Directors has adopted a separate Master Distribution and Individual Shareholder Services Plan for each of the A Class, C Class and R Class (collectively the plans), pursuant to Rule 12b-1 of the 1940 Act. The plans provide that the A Class will pay ACIS an annual distribution and service fee of 0.25%. The plans provide that the C Class will pay ACIS an annual distribution and service fee of 1.00%, of which 0.25% is paid for individual shareholder services and 0.75% is paid for distribution services. The plans provide that the R Class will pay ACIS an annual distribution and service fee of 0.50%. The fees are computed and accrued daily based on each class’s daily net assets and paid monthly in arrears.
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The fees are used to pay financial intermediaries for distribution and individual shareholder services. Fees incurred under the plans during the period ended May 31, 2017 are detailed in the Statement of Operations.
Directors' Fees and Expenses — The Board of Directors is responsible for overseeing the investment advisor’s management and operations of the fund. The directors receive detailed information about the fund and its investment advisor regularly throughout the year, and meet at least quarterly with management of the investment advisor to review reports about fund operations. The fund’s officers do not receive compensation from the fund.
Acquired Fund Fees and Expenses — The fund may invest in mutual funds, exchange-traded funds, and business development companies (the acquired funds). The fund will indirectly realize its pro rata share of the fees and expenses of the acquired funds in which it invests. These indirect fees and expenses are not paid out of the fund's assets but are reflected in the return realized by the fund on its investment in the acquired funds.
4. Investment Transactions
Purchases and sales of investment securities, excluding short-term investments, for the period ended May 31, 2017 were $1,581,905 and $4,615,920, respectively.
5. Capital Share Transactions
Transactions in shares of the fund were as follows:
Six months ended May 31, 2017 | Year ended November 30, 2016 | |||||||
Shares | Amount | Shares | Amount | |||||
Investor Class/Shares Authorized | 50,000,000 | 50,000,000 | ||||||
Sold | 119,572 | $ | 1,259,511 | 56,957 | $ | 584,023 | ||
Issued in reinvestment of distributions | 4,789 | 48,417 | 12,224 | 120,288 | ||||
Redeemed | (192,217) | (2,007,105) | (327,015) | (3,275,311) | ||||
(67,856) | (699,177) | (257,834) | (2,571,000) | |||||
I Class/Shares Authorized | 45,000,000 | 45,000,000 | ||||||
Sold | 69,817 | 751,819 | 4,164 | 39,702 | ||||
Issued in reinvestment of distributions | 1,157 | 11,723 | 4,274 | 42,098 | ||||
Redeemed | (44,043) | (460,143) | (155,935) | (1,576,046) | ||||
26,931 | 303,399 | (147,497) | (1,494,246) | |||||
A Class/Shares Authorized | 50,000,000 | 50,000,000 | ||||||
Sold | 28,811 | 300,936 | 47,766 | 483,541 | ||||
Issued in reinvestment of distributions | 3,506 | 35,374 | 9,768 | 95,926 | ||||
Redeemed | (193,021) | (2,011,063) | (261,054) | (2,625,103) | ||||
(160,704) | (1,674,753) | (203,520) | (2,045,636) | |||||
C Class/Shares Authorized | 50,000,000 | 50,000,000 | ||||||
Sold | 3,120 | 32,295 | 11,265 | 110,217 | ||||
Issued in reinvestment of distributions | 152 | 1,525 | 5,277 | 51,605 | ||||
Redeemed | (105,039) | (1,081,627) | (274,668) | (2,732,604) | ||||
(101,767) | (1,047,807) | (258,126) | (2,570,782) | |||||
R Class/Shares Authorized | 45,000,000 | 45,000,000 | ||||||
Sold | 1,502 | 15,443 | 3,366 | 33,713 | ||||
Issued in reinvestment of distributions | 37 | 378 | 125 | 1,225 | ||||
Redeemed | (3,388) | (35,486) | (6,854) | (71,425) | ||||
(1,849) | (19,665) | (3,363) | (36,487) | |||||
Net increase (decrease) | (305,245) | $ | (3,138,003 | ) | (870,340) | $ | (8,718,151 | ) |
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6. Affiliated Fund Transactions
A summary of transactions for each affiliated fund for the period ended May 31, 2017 follows:
Affiliated Fund(1) | Beginning Value | Purchase Cost | Sales Cost | Realized Gain (Loss) | Distributions Received(2) | Ending Value | ||||||||||||
Emerging Markets Fund | $ | 897,003 | $ | 2,925 | $ | 441,245 | $ | 38,229 | $ | 2,569 | $ | 510,986 | ||||||
Global Gold Fund | 137,308 | 42,541 | 43,349 | (1,223 | ) | 14,973 | 137,256 | |||||||||||
Global Real Estate Fund | 1,802,729 | 136,378 | 528,932 | 17,439 | 71,807 | 1,434,964 | ||||||||||||
International Growth Fund | 1,476,768 | 152,992 | 442,568 | 42,427 | 9,821 | 1,384,225 | ||||||||||||
NT International Small-Mid Cap Fund | 368,197 | 4,075 | 85,725 | 3,706 | 1,138 | 335,426 | ||||||||||||
NT International Value Fund | 1,121,298 | 193,198 | 409,671 | (31,386 | ) | 35,373 | 1,065,107 | |||||||||||
AC Alternatives Equity Market Neutral Fund(3) | 169,813 | 38 | 29,982 | (315 | ) | — | 139,787 | |||||||||||
AC Alternatives Market Neutral Value Fund | 169,849 | 4,257 | 31,031 | 935 | 4,219 | 138,908 | ||||||||||||
Core Equity Plus Fund | 993,194 | 120,727 | 182,312 | 16,901 | — | 989,210 | ||||||||||||
Heritage Fund | 298,676 | 15,474 | 194,948 | 8,551 | 15,111 | 111,205 | ||||||||||||
Large Company Value Fund | 44,535 | 562,985 | 28,726 | 1,450 | 3,649 | 588,764 | ||||||||||||
Mid Cap Value Fund | 137,246 | 84,806 | 107,775 | 6,304 | 6,823 | 106,650 | ||||||||||||
Select Fund | 1,032,363 | 46,269 | 419,091 | 129,329 | 31,259 | 595,853 | ||||||||||||
Small Company Fund | 418,982 | 773 | 192,091 | 35,598 | 566 | 208,348 | ||||||||||||
Emerging Markets Debt Fund | 493,044 | 11,052 | 89,001 | 3,119 | 10,987 | 425,737 | ||||||||||||
International Bond Fund(3) | 1,799,305 | 148,759 | 343,384 | (34,996 | ) | — | 1,734,685 | |||||||||||
Diversified Bond Fund | 1,462,154 | 34,740 | 238,371 | (7,563 | ) | 18,644 | 1,281,752 | |||||||||||
High-Yield Fund | 833,612 | 19,916 | 173,137 | (11,215 | ) | 19,731 | 713,598 | |||||||||||
$ | 13,656,076 | $ | 1,581,905 | $ | 3,981,339 | $ | 217,290 | $ | 246,670 | $ | 11,902,461 |
(1) | Affiliated fund investments represent I Class (formerly Institutional Class) for all funds, except R5 Class (formerly Institutional Class) for International Bond Fund and High-Yield Fund, R6 Class for NT International Small-Mid Cap Fund, NT International Value Fund and Emerging Markets Debt Fund. Additional information and attributes of each affiliated fund are available at americancentury.com. |
(2) | Distributions received includes distributions from net investment income and from capital gains, if any. |
(3) | Non-income producing. |
7. Investments in Underlying Funds
The fund does not invest in the underlying funds for the purpose of exercising management or control; however, investments by the fund within its investment strategy may represent a significant portion of the underlying funds’ net assets.
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8. Fair Value Measurements
The fund’s investments valuation process is based on several considerations and may use multiple inputs to determine the fair value of the investments held by the fund. In conformity with accounting principles generally accepted in the United States of America, the inputs used to determine a valuation are classified into three broad levels.
• | Level 1 valuation inputs consist of unadjusted quoted prices in an active market for identical investments. |
• | Level 2 valuation inputs consist of direct or indirect observable market data (including quoted prices for comparable investments, evaluations of subsequent market events, interest rates, prepayment speeds, credit risk, etc.). These inputs also consist of quoted prices for identical investments initially expressed in local currencies that are adjusted through translation into U.S. dollars. |
• | Level 3 valuation inputs consist of unobservable data (including a fund’s own assumptions). |
The level classification is based on the lowest level input that is significant to the fair valuation measurement. The valuation inputs are not necessarily an indication of the risks associated with investing in these securities or other financial instruments. There were no significant transfers between levels during the period.
The following is a summary of the level classifications as of period end. The Schedule of Investments provides additional information on the fund’s portfolio holdings.
Level 1 | Level 2 | Level 3 | ||||||
Assets | ||||||||
Investment Securities | ||||||||
Mutual Funds | $ | 11,902,461 | — | — | ||||
Exchange-Traded Funds | 1,357,912 | — | — | |||||
Temporary Cash Investments | 18,358 | $ | 1,000,607 | — | ||||
$ | 13,278,731 | $ | 1,000,607 | — | ||||
Other Financial Instruments | ||||||||
Forward Foreign Currency Exchange Contracts | — | $ | 24,138 | — | ||||
Liabilities | ||||||||
Other Financial Instruments | ||||||||
Forward Foreign Currency Exchange Contracts | — | $ | 27,434 | — |
9. Derivative Instruments
Foreign Currency Risk — The fund is subject to foreign currency exchange rate risk in the normal course of pursuing its investment objectives. The value of foreign investments held by a fund may be significantly affected by changes in foreign currency exchange rates. The dollar value of a foreign security generally decreases when the value of the dollar rises against the foreign currency in which the security is denominated and tends to increase when the value of the dollar declines against such foreign currency. A fund may enter into forward foreign currency exchange contracts to reduce a fund's exposure to foreign currency exchange rate fluctuations or to gain exposure to the fluctuations in the value of foreign currencies. The net U.S. dollar value of foreign currency underlying all contractual commitments held by a fund and the resulting unrealized appreciation or depreciation are determined daily. Realized gain or loss is recorded upon the termination of the contract. Net realized and unrealized gains or losses occurring during the holding period of forward foreign currency exchange contracts are a component of net realized gain (loss) on foreign currency transactions and change in net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies, respectively. A fund bears the risk of an unfavorable change in the foreign currency exchange rate underlying the forward contract. Additionally, losses, up to the fair value, may arise if the counterparties do not perform under the contract terms. The fund's average U.S. dollar exposure to foreign currency risk derivative instruments held during the period was $1,327,051.
The value of foreign currency risk derivative instruments as of May 31, 2017, is disclosed on the Statement of Assets and Liabilities as an asset of $24,138 in unrealized appreciation on forward foreign currency exchange contracts and a liability of $27,434 in unrealized depreciation on forward foreign currency exchange contracts. For the six months ended May 31, 2017, the effect of foreign currency risk derivative instruments on the Statement of Operations was $(638) in net realized gain (loss) on foreign currency transactions and $(1,220) in change in net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies.
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10. Risk Factors
There are certain risks involved in investing in foreign securities. These risks include those resulting from future adverse political, social and economic developments, fluctuations in currency exchange rates, the possible imposition of exchange controls, and other foreign laws or restrictions. Investing in emerging markets may accentuate these risks.
There are certain risks involved with investing in forward foreign currency exchange contracts. Changes in the value of foreign currencies against the U.S. dollar could result in gains or losses to the fund. The value of a share of the fund is determined in U.S. dollars. As a result, the fund could recognize a gain or loss based solely upon a change in the exchange rate between the foreign currency and the U.S. dollar. Changes in exchange rates may increase losses and lower gains from the fund’s investments. The overall impact on the fund may be significant depending on the currencies represented in the portfolio and how each one appreciates or depreciates in relation to the U.S. dollar. Currency trends are unpredictable and exchange rates in foreign currencies may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or Supranational entities, or by the imposition of currency controls or other political developments in the United States or abroad.
The fund’s commodity-related investments may be subject to greater volatility than investments in traditional securities. The value of the fund’s commodity-related investments may be affected by changes in overall market movements, interest rate changes, and volatility in commodity-related indices. The value of these investments may also be affected by factors affecting a particular commodity, such as weather, disease, embargoes, tariffs, taxes and economic, political and regulatory developments.
The fund may be subject to certain risks similar to those associated with direct investment in real estate including but not limited to: local or regional economic conditions, changes in zoning laws, changes in property values, property tax increases, overbuilding, increased competition, environmental contamination, natural disasters, and interest rate risk.
The fund is subject to short sales risk. If the market price of a security increases after the fund borrows the security, the fund may suffer a loss when it replaces the borrowed security at the higher price. Any loss will be increased by the amount of compensation, interest or dividends, and transaction costs the fund must pay to the lender of the borrowed security.
The fund may invest in lower-rated debt securities, which are subject to substantial risks including liquidity risk and credit risk.
11. Federal Tax Information
The book-basis character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. These differences reflect the differing character of certain income items and net realized gains and losses for financial statement and tax purposes, and may result in reclassification among certain capital accounts on the financial statements.
As of period end, the components of investments for federal income tax purposes were as follows:
Federal tax cost of investments | $ | 13,897,025 | |
Gross tax appreciation of investments | $ | 862,607 | |
Gross tax depreciation of investments | (480,294 | ) | |
Net tax appreciation (depreciation) of investments | $ | 382,313 |
The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales.
As of November 30, 2016, the fund had accumulated short-term capital losses of $(236,475), which represent net capital loss carryovers that may be used to offset future realized capital gains for federal income tax purposes. The capital loss carryovers may be carried forward for an unlimited period. Future capital loss carryover utilization in any given year may be subject to Internal Revenue Code limitations.
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As of November 30, 2016, the fund had late-year ordinary loss deferrals of $(8,372), which represent certain qualified losses that the fund has elected to treat as having been incurred in the following fiscal year for federal income tax purposes.
12. Recently Issued Accounting Guidance
In October 2016, the Securities and Exchange Commission adopted new rules and forms as well as amendments to its rules and forms to modernize the reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, as well as other provisions. Compliance with the amendments is effective on August 1, 2017. Management is currently evaluating the impact that adopting the amendments will have on the financial statement disclosures.
13. Subsequent Events
On June 29, 2017, the Board of Directors approved a plan of liquidation for the fund. The liquidation date is expected to be October 20, 2017.
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Financial Highlights |
For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | ||||||||||||||||||
Per-Share Data | Ratios and Supplemental Data | |||||||||||||||||
Income From Investment Operations: | Distributions From: | Ratio to Average Net Assets of: | ||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Net Realized Gains | Tax Return of Capital | Total Distributions | Net Asset Value, End of Period | Total Return(2) | Operating Expenses(3) | Operating Expenses (before expense waiver)(3) | Net Investment Income (Loss) | Net Investment Income (Loss) (before expense waiver) | Portfolio Turnover Rate | Net Assets, End of Period (in thousands) | |||
Investor Class | ||||||||||||||||||
2017(4) | $10.11 | 0.11 | 0.62 | 0.73 | (0.10) | — | — | (0.10) | $10.74 | 7.33% | 0.41%(5) | 1.36%(5) | 2.27%(5) | 1.32%(5) | 11% | $4,976 | ||
2016 | $10.12 | 0.13 | 0.03 | 0.16 | (0.09) | (0.07) | (0.01) | (0.17) | $10.11 | 1.65% | 0.40% | 1.36% | 1.26% | 0.30% | 40% | $5,372 | ||
2015 | $11.33 | 0.17 | (0.84) | (0.67) | (0.14) | (0.40) | — | (0.54) | $10.12 | (6.05)% | 0.42% | 1.36% | 1.62% | 0.68% | 57% | $7,989 | ||
2014 | $11.24 | 0.16 | 0.09 | 0.25 | (0.14) | (0.02) | — | (0.16) | $11.33 | 2.30% | 0.44% | 1.37% | 1.35% | 0.42% | 47% | $20,694 | ||
2013 | $10.65 | 0.11 | 0.62 | 0.73 | (0.14) | — | — | (0.14) | $11.24 | 7.04% | 0.41% | 1.37% | 1.15% | 0.19% | 39% | $29,232 | ||
2012(6) | $10.00 | 0.06 | 0.59 | 0.65 | — | — | — | — | $10.65 | 6.40% | 0.35%(5) | 1.37%(5) | 0.69%(5) | (0.33)%(5) | 19% | $9,566 | ||
I Class(7) | ||||||||||||||||||
2017(4) | $10.14 | 0.14 | 0.61 | 0.75 | (0.13) | — | — | (0.13) | $10.76 | 7.43% | 0.21%(5) | 1.16%(5) | 2.47%(5) | 1.52%(5) | 11% | $1,300 | ||
2016 | $10.15 | 0.16 | 0.02 | 0.18 | (0.11) | (0.07) | (0.01) | (0.19) | $10.14 | 1.85% | 0.20% | 1.16% | 1.46% | 0.50% | 40% | $952 | ||
2015 | $11.36 | 0.19 | (0.83) | (0.64) | (0.17) | (0.40) | — | (0.57) | $10.15 | (5.84)% | 0.22% | 1.16% | 1.82% | 0.88% | 57% | $2,451 | ||
2014 | $11.28 | 0.19 | 0.08 | 0.27 | (0.17) | (0.02) | — | (0.19) | $11.36 | 2.41% | 0.24% | 1.17% | 1.55% | 0.62% | 47% | $5,742 | ||
2013 | $10.66 | 0.11 | 0.66 | 0.77 | (0.15) | — | — | (0.15) | $11.28 | 7.28% | 0.21% | 1.17% | 1.35% | 0.39% | 39% | $8,179 | ||
2012(6) | $10.00 | 0.08 | 0.58 | 0.66 | — | — | — | — | $10.66 | 6.60% | 0.15%(5) | 1.17%(5) | 0.89%(5) | (0.13)%(5) | 19% | $1,894 |
For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | ||||||||||||||||||
Per-Share Data | Ratios and Supplemental Data | |||||||||||||||||
Income From Investment Operations: | Distributions From: | Ratio to Average Net Assets of: | ||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Net Realized Gains | Tax Return of Capital | Total Distributions | Net Asset Value, End of Period | Total Return(2) | Operating Expenses(3) | Operating Expenses (before expense waiver)(3) | Net Investment Income (Loss) | Net Investment Income (Loss) (before expense waiver) | Portfolio Turnover Rate | Net Assets, End of Period (in thousands) | |||
A Class | ||||||||||||||||||
2017(4) | $10.07 | 0.11 | 0.60 | 0.71 | (0.08) | — | — | (0.08) | $10.70 | 7.09% | 0.66%(5) | 1.61%(5) | 2.02%(5) | 1.07%(5) | 11% | $3,420 | ||
2016 | $10.08 | 0.10 | 0.04 | 0.14 | (0.07) | (0.07) | (0.01) | (0.15) | $10.07 | 1.40% | 0.65% | 1.61% | 1.01% | 0.05% | 40% | $4,835 | ||
2015 | $11.28 | 0.14 | (0.82) | (0.68) | (0.12) | (0.40) | — | (0.52) | $10.08 | (6.24)% | 0.67% | 1.61% | 1.37% | 0.43% | 57% | $6,893 | ||
2014 | $11.20 | 0.13 | 0.09 | 0.22 | (0.12) | (0.02) | — | (0.14) | $11.28 | 1.96% | 0.69% | 1.62% | 1.10% | 0.17% | 47% | $14,307 | ||
2013 | $10.62 | 0.14 | 0.57 | 0.71 | (0.13) | — | — | (0.13) | $11.20 | 6.78% | 0.66% | 1.62% | 0.90% | (0.06)% | 39% | $21,003 | ||
2012(6) | $10.00 | 0.03 | 0.59 | 0.62 | — | — | — | — | $10.62 | 6.20% | 0.60%(5) | 1.62%(5) | 0.44%(5) | (0.58)%(5) | 19% | $19,311 | ||
C Class | ||||||||||||||||||
2017(4) | $9.95 | 0.06 | 0.61 | 0.67 | —(8) | — | — | —(8) | $10.62 | 6.77% | 1.41%(5) | 2.36%(5) | 1.27%(5) | 0.32%(5) | 11% | $4,523 | ||
2016 | $9.96 | 0.02 | 0.04 | 0.06 | — | (0.07) | —(8) | (0.07) | $9.95 | 0.63% | 1.40% | 2.36% | 0.26% | (0.70)% | 40% | $5,251 | ||
2015 | $11.15 | 0.07 | (0.83) | (0.76) | (0.03) | (0.40) | — | (0.43) | $9.96 | (6.96)% | 1.42% | 2.36% | 0.62% | (0.32)% | 57% | $7,829 | ||
2014 | $11.07 | 0.03 | 0.10 | 0.13 | (0.03) | (0.02) | — | (0.05) | $11.15 | 1.21% | 1.44% | 2.37% | 0.35% | (0.58)% | 47% | $16,343 | ||
2013 | $10.55 | (0.01) | 0.64 | 0.63 | (0.11) | — | — | (0.11) | $11.07 | 6.00% | 1.41% | 2.37% | 0.15% | (0.81)% | 39% | $18,032 | ||
2012(6) | $10.00 | (0.04) | 0.59 | 0.55 | — | — | — | — | $10.55 | 5.50% | 1.35%(5) | 2.37%(5) | (0.31)%(5) | (1.33)%(5) | 19% | $4,726 |
For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | ||||||||||||||||||
Per-Share Data | Ratios and Supplemental Data | |||||||||||||||||
Income From Investment Operations: | Distributions From: | Ratio to Average Net Assets of: | ||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Net Realized Gains | Tax Return of Capital | Total Distributions | Net Asset Value, End of Period | Total Return(2) | Operating Expenses(3) | Operating Expenses (before expense waiver)(3) | Net Investment Income (Loss) | Net Investment Income (Loss) (before expense waiver) | Portfolio Turnover Rate | Net Assets, End of Period (in thousands) | |||
R Class | ||||||||||||||||||
2017(4) | $10.03 | 0.09 | 0.60 | 0.69 | (0.05) | — | — | (0.05) | $10.67 | 6.95% | 0.91%(5) | 1.86%(5) | 1.77%(5) | 0.82%(5) | 11% | $51 | ||
2016 | $10.04 | 0.07 | 0.04 | 0.11 | (0.04) | (0.07) | (0.01) | (0.12) | $10.03 | 1.14% | 0.90% | 1.86% | 0.76% | (0.20)% | 40% | $67 | ||
2015 | $11.24 | 0.14 | (0.85) | (0.71) | (0.09) | (0.40) | — | (0.49) | $10.04 | (6.51)% | 0.92% | 1.86% | 1.12% | 0.18% | 57% | $100 | ||
2014 | $11.15 | 0.09 | 0.11 | 0.20 | (0.09) | (0.02) | — | (0.11) | $11.24 | 1.80% | 0.94% | 1.87% | 0.85% | (0.08)% | 47% | $354 | ||
2013 | $10.60 | 0.18 | 0.49 | 0.67 | (0.12) | — | — | (0.12) | $11.15 | 6.42% | 0.91% | 1.87% | 0.65% | (0.31)% | 39% | $356 | ||
2012(6) | $10.00 | 0.03 | 0.57 | 0.60 | — | — | — | — | $10.60 | 6.00% | 0.85%(5) | 1.87%(5) | 0.19%(5) | (0.83)%(5) | 19% | $530 |
Notes to Financial Highlights |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Total returns are calculated based on the net asset value of the last business day and do not reflect applicable sales charges, if any. Total returns for periods less than one year are not annualized. |
(3) | Ratio of operating expenses to average net assets does not include any fees and expenses of the acquired funds. |
(4) | Six months ended May 31, 2017 (unaudited). |
(5) | Annualized. |
(6) | January 31, 2012 (fund inception) through November 30, 2012. |
(7) | Prior to April 10, 2017, the I Class was referred to as the Institutional Class. |
(8) | Per-share amount was less than $0.005. |
See Notes to Financial Statements.
Additional Information |
Retirement Account Information
As required by law, distributions you receive from certain IRAs are subject to federal income tax withholding, unless you elect not to have withholding apply. Tax will be withheld on the total amount withdrawn even though you may be receiving amounts that are not subject to withholding, such as nondeductible contributions. In such case, excess amounts of withholding could occur. You may adjust your withholding election so that a greater or lesser amount will be withheld.
If you don’t want us to withhold on this amount, you must notify us to not withhold the federal income tax. You may notify us in writing or in certain situations by telephone or through other electronic means. For systematic withdrawals, your withholding election will remain in effect until revoked or changed by filing a new election. You have the right to revoke your election at any time.
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Distributions you receive from 403(b), 457 and qualified plans are subject to special tax and withholding rules. Your plan administrator or plan sponsor is required to provide you with a special tax notice explaining those rules at the time you request a distribution. If applicable, federal and/or state taxes may be withheld from your distribution amount.
Proxy Voting Policies
A description of the policies that the fund's investment advisor uses in exercising the voting rights associated with the securities purchased and/or held by the fund is available without charge, upon request, by calling 1-800-345-2021. It is also available on the "About Us" page of American Century Investments’ website at americancentury.com and on the Securities and Exchange Commission’s website at sec.gov. Information regarding how the investment advisor voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the "About Us" page at americancentury.com. It is also available at sec.gov.
Quarterly Portfolio Disclosure
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. The fund’s Forms N-Q are available on the SEC’s website at sec.gov, and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The fund also makes its complete schedule of portfolio holdings for the most recent quarter of its fiscal year available on its website at americancentury.com and, upon request, by calling 1-800-345-2021.
26
Notes |
27
Contact Us | americancentury.com | |
Automated Information Line | 1-800-345-8765 | |
Investor Services Representative | 1-800-345-2021 or 816-531-5575 | |
Investors Using Advisors | 1-800-378-9878 | |
Business, Not-For-Profit, Employer-Sponsored Retirement Plans | 1-800-345-3533 | |
Banks and Trust Companies, Broker-Dealers, Financial Professionals, Insurance Companies | 1-800-345-6488 | |
Telecommunications Relay Service for the Deaf | 711 | |
American Century Strategic Asset Allocations, Inc. | ||
Investment Advisor: American Century Investment Management, Inc. Kansas City, Missouri | ||
This report and the statements it contains are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. | ||
©2017 American Century Proprietary Holdings, Inc. All rights reserved. CL-SAN-92639 1707 |
Semiannual Report | |
May 31, 2017 | |
Multi-Asset Income Fund |
Table of Contents |
Any opinions expressed in this report reflect those of the author as of the date of the report, and do not necessarily represent the opinions of American Century Investments® or any other person in the American Century Investments organization. Any such opinions are subject to change at any time based upon market or other conditions and American Century Investments disclaims any responsibility to update such opinions. These opinions may not be relied upon as investment advice and, because investment decisions made by American Century Investments funds are based on numerous factors, may not be relied upon as an indication of trading intent on behalf of any American Century Investments fund. Security examples are used for representational purposes only and are not intended as recommendations to purchase or sell securities. Performance information for comparative indices and securities is provided to American Century Investments by third party vendors. To the best of American Century Investments’ knowledge, such information is accurate at the time of printing.
President’s Letter |
Jonathan Thomas
Dear Investor:
Thank you for reviewing this semiannual report for the period ended May 31, 2017. It provides a market overview (below), followed by a schedule of fund investments and other financial information. For additional commentary and information on fund performance, plus other investment insights, we encourage you to visit our website, americancentury.com.
“Risk-On” Sentiment Generally Prevailed Among Investors
Optimism surrounding President Trump’s aggressive pro-growth agenda, along with improving global economic data, upbeat corporate earnings reports in the U.S. and Europe, and continued accommodative central bank policies, triggered rallies among higher-risk assets during the six-month period. In addition, moderate candidate Emmanuel Macron’s victory in France’s presidential election helped ease political uncertainty in Europe, which further aided financial market performance. Global equity markets soared, including the S&P 500 Index, the MSCI EAFE Index, and the MSCI Emerging Markets Index, which gained 10.81%, 17.91%, and 17.51%, respectively. Within these indices, growth stocks significantly outperformed their value counterparts, as investors generally favored companies expected to perform well as economic fundamentals improve.
A similar pattern prevailed within the global fixed-income markets, where higher-risk and higher-yielding sectors were top performers. Meanwhile, yields on short-maturity U.S. Treasuries increased as the Federal Reserve (the Fed) raised its interest rate target twice during the reporting period. However, yields on longer-maturity U.S. Treasuries declined, largely due to waning U.S. economic growth and inflation expectations as the reporting period unfolded. Outside the U.S., ongoing central bank stimulus programs helped keep government bond yields low. Overall, returns among broad U.S. and global fixed-income indices were positive.
Late in the reporting period, investor optimism toward President Trump’s policy agenda faded as health care and tax reform remained stalled. Further delays to these and other pro-growth proposals, combined with the Fed’s efforts to normalize U.S. monetary policy, may impede future risk-on sentiment. Meanwhile, as the Fed continues to tighten, central banks in Europe, the U.K., and Japan remain extremely accommodative. In this environment, we continue to believe in a disciplined, diversified, and risk-aware approach, using professionally managed portfolios in pursuit of investment goals. We appreciate your continued trust in us.
Sincerely,
Jonathan Thomas
President and Chief Executive Officer
American Century Investments
2
Fund Characteristics |
MAY 31, 2017 | |
Types of Investments in Portfolio | % of net assets |
Mutual Funds | 47.8% |
Common Stocks | 22.7% |
Preferred Stocks | 10.7% |
Convertible Bonds | 4.7% |
Corporate Bonds | 3.8% |
Collateralized Mortgage Obligations | 2.3% |
Convertible Preferred Stocks | 1.9% |
Asset-Backed Securities | 1.1% |
Commercial Mortgage-Backed Securities | 0.8% |
Exchange-Traded Funds | 0.4% |
U.S. Treasury Securities | 0.1% |
Temporary Cash Investments | 4.1% |
Other Assets and Liabilities | (0.4)% |
3
Shareholder Fee Example |
Fund shareholders may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption/exchange fees; and (2) ongoing costs, including management fees; distribution and service (12b-1) fees; and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in your fund and to compare these costs with the ongoing cost of investing in other mutual funds.
The example is based on an investment of $1,000 made at the beginning of the period and held for the entire period from December 1, 2016 to May 31, 2017 (except as noted).
Actual Expenses
The table provides information about actual account values and actual expenses for each class. You may use the information, together with the amount you invested, to estimate the expenses that you paid over the period. First, identify the share class you own. Then simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
If you hold Investor Class shares of any American Century Investments fund, or I Class shares of the American Century Diversified Bond Fund, in an American Century Investments account (i.e., not a financial intermediary or retirement plan account), American Century Investments may charge you a $12.50 semiannual account maintenance fee if the value of those shares is less than $10,000. We will redeem shares automatically in one of your accounts to pay the $12.50 fee. In determining your total eligible investment amount, we will include your investments in all personal accounts (including American Century Investments Brokerage accounts) registered under your Social Security number. Personal accounts include individual accounts, joint accounts, UGMA/UTMA accounts, personal trusts, Coverdell Education Savings Accounts and IRAs (including traditional, Roth, Rollover, SEP-, SARSEP- and SIMPLE-IRAs), and certain other retirement accounts. If you have only business, business retirement, employer-sponsored or American Century Investments Brokerage accounts, you are currently not subject to this fee. If you are subject to the Account Maintenance Fee, your account value could be reduced by the fee amount.
Hypothetical Example for Comparison Purposes
The table also provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio of each class of your fund and an assumed rate of return of 5% per year before expenses, which is not the actual return of a fund’s share class. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption/exchange fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
4
Beginning Account Value 12/1/16 | Ending Account Value 5/31/17 | Expenses Paid During Period(1) 12/1/16 - 5/31/17 | Annualized Expense Ratio(1)(6) | |
Actual | ||||
Investor Class (after waiver) | $1,000 | $1,073.20 | $2.95 | 0.57% |
Investor Class (before waiver) | $1,000 | $1,073.20(2) | $4.70 | 0.91% |
I Class (after waiver) | $1,000 | $1,074.20 | $1.91 | 0.37% |
I Class (before waiver) | $1,000 | $1,074.20(2) | $3.67 | 0.71% |
Y Class (after waiver) | $1,000 | $1,012.80(3) | $0.32(4) | 0.22% |
Y Class (before waiver) | $1,000 | $1,012.80(2)(3) | $0.80(4) | 0.56% |
A Class (after waiver) | $1,000 | $1,071.90 | $4.24 | 0.82% |
A Class (before waiver) | $1,000 | $1,071.90(2) | $5.99 | 1.16% |
C Class (after waiver) | $1,000 | $1,068.00 | $8.09 | 1.57% |
C Class (before waiver) | $1,000 | $1,068.00(2) | $9.85 | 1.91% |
R Class (after waiver) | $1,000 | $1,070.60 | $5.52 | 1.07% |
R Class (before waiver) | $1,000 | $1,070.60(2) | $7.28 | 1.41% |
R5 Class (after waiver) | $1,000 | $1,012.60(3) | $0.53(4) | 0.37% |
R5 Class (before waiver) | $1,000 | $1,012.60(2)(3) | $1.02(4) | 0.71% |
R6 Class (after waiver) | $1,000 | $1,075.00 | $1.14 | 0.22% |
R6 Class (before waiver) | $1,000 | $1,075.00(2) | $2.90 | 0.56% |
Hypothetical | ||||
Investor Class (after waiver) | $1,000 | $1,022.09 | $2.87 | 0.57% |
Investor Class (before waiver) | $1,000 | $1,020.39 | $4.58 | 0.91% |
I Class (after waiver) | $1,000 | $1,023.09 | $1.87 | 0.37% |
I Class (before waiver) | $1,000 | $1,021.39 | $3.58 | 0.71% |
Y Class (after waiver) | $1,000 | $1,023.84(5) | $1.11(5) | 0.22% |
Y Class (before waiver) | $1,000 | $1,022.14(5) | $2.82(5) | 0.56% |
A Class (after waiver) | $1,000 | $1,020.84 | $4.13 | 0.82% |
A Class (before waiver) | $1,000 | $1,019.15 | $5.84 | 1.16% |
C Class (after waiver) | $1,000 | $1,017.10 | $7.90 | 1.57% |
C Class (before waiver) | $1,000 | $1,015.41 | $9.60 | 1.91% |
R Class (after waiver) | $1,000 | $1,019.60 | $5.39 | 1.07% |
R Class (before waiver) | $1,000 | $1,017.90 | $7.09 | 1.41% |
R5 Class (after waiver) | $1,000 | $1,023.09(5) | $1.87(5) | 0.37% |
R5 Class (before waiver) | $1,000 | $1,021.39(5) | $3.58(5) | 0.71% |
R6 Class (after waiver) | $1,000 | $1,023.84 | $1.11 | 0.22% |
R6 Class (before waiver) | $1,000 | $1,022.14 | $2.82 | 0.56% |
(1) | Expenses are equal to the class's annualized expense ratio listed in the table above, multiplied by the average account value over the period, multiplied by 182, the number of days in the most recent fiscal half-year, divided by 365, to reflect the one-half year period. |
(2) | Ending account value assumes the return earned after waiver and would have been lower if a portion of the fees had not been waived. |
(3) | Ending account value based on actual return from April 10, 2017 (commencement of sale) through May 31, 2017. |
(4) | Expenses are equal to the class's annualized expense ratio listed in the table above, multiplied by the average account value over the period, multiplied by 52, the number of days in the period from April 10, 2017 (commencement of sale) through May 31, 2017, divided by 365, to reflect the period. Had the class been available for the full period, the expenses paid during the period would have been higher. |
(5) | Ending account value and expenses paid during the period assumes the class had been available throughout the entire period and are calculated using the class's annualized expense ratio listed in the table above. |
(6) | The annualized expense ratio is calculated using the amount of expenses reflected in the Statement of |
Operations for the most recent fiscal half-year, which does not include any acquired fund fees and
expenses.
5
Schedule of Investments |
MAY 31, 2017 (UNAUDITED)
Shares/ Principal Amount | Value | ||||||
MUTUAL FUNDS(1) — 47.8% | |||||||
Emerging Markets Debt Fund R6 Class | 719,729 | $ | 7,470,786 | ||||
Emerging Markets Value Fund I Class | 136,696 | 1,146,879 | |||||
High-Yield Fund R6 Class | 1,972,490 | 11,400,989 | |||||
International Value Fund R6 Class | 692,642 | 5,776,632 | |||||
Utilities Fund Investor Class | 29,215 | 550,402 | |||||
TOTAL MUTUAL FUNDS (Cost $24,913,368) | 26,345,688 | ||||||
COMMON STOCKS — 22.7% | |||||||
Air Freight and Logistics — 0.1% | |||||||
United Parcel Service, Inc., Class B | 548 | 57,681 | |||||
Banks — 0.5% | |||||||
Comerica, Inc. | 113 | 7,747 | |||||
Commerce Bancshares, Inc. | 275 | 14,721 | |||||
JPMorgan Chase & Co. | 1,057 | 86,832 | |||||
PNC Financial Services Group, Inc. (The) | 720 | 85,464 | |||||
SunTrust Banks, Inc. | 1,175 | 62,710 | |||||
U.S. Bancorp | 342 | 17,404 | |||||
Wells Fargo & Co. | 398 | 20,354 | |||||
295,232 | |||||||
Capital Markets — 0.2% | |||||||
AllianceBernstein Holding LP | 878 | 19,799 | |||||
Bank of New York Mellon Corp. (The) | 548 | 25,822 | |||||
BlackRock, Inc. | 19 | 7,776 | |||||
Northern Trust Corp. | 484 | 42,321 | |||||
T. Rowe Price Group, Inc. | 176 | 12,397 | |||||
108,115 | |||||||
Chemicals — 0.1% | |||||||
Air Products & Chemicals, Inc. | 194 | 27,948 | |||||
Commercial Services and Supplies — 0.2% | |||||||
Republic Services, Inc. | 1,767 | 112,399 | |||||
Communications Equipment — 0.1% | |||||||
Cisco Systems, Inc. | 836 | 26,359 | |||||
Containers and Packaging — 0.1% | |||||||
Bemis Co., Inc. | 1,508 | 67,317 | |||||
Diversified Telecommunication Services — 0.1% | |||||||
AT&T, Inc. | 459 | 17,686 | |||||
Verizon Communications, Inc. | 780 | 36,379 | |||||
54,065 | |||||||
Electric Utilities — 0.9% | |||||||
Edison International | 1,091 | 88,993 | |||||
Eversource Energy | 1,584 | 98,319 | |||||
PG&E Corp. | 1,994 | 136,350 |
6
Shares/ Principal Amount | Value | ||||||
Pinnacle West Capital Corp. | 1,019 | $ | 90,029 | ||||
Westar Energy, Inc. | 713 | 37,753 | |||||
Xcel Energy, Inc. | 1,427 | 68,367 | |||||
519,811 | |||||||
Electrical Equipment — 0.1% | |||||||
Emerson Electric Co. | 340 | 20,101 | |||||
Rockwell Automation, Inc. | 86 | 13,650 | |||||
33,751 | |||||||
Energy Equipment and Services — 0.2% | |||||||
Frank's International NV | 1,343 | 10,046 | |||||
Schlumberger Ltd. | 1,348 | 93,807 | |||||
103,853 | |||||||
Equity Real Estate Investment Trusts (REITs) — 9.8% | |||||||
Agree Realty Corp. | 4,220 | 192,137 | |||||
American Tower Corp. | 199 | 26,107 | |||||
Boston Properties, Inc. | 48 | 5,823 | |||||
Brixmor Property Group, Inc. | 8,502 | 153,376 | |||||
Cofinimmo SA | 2,955 | 357,344 | |||||
Colony NorthStar, Inc., Class A | 29,426 | 415,789 | |||||
CoreCivic, Inc. | 9,329 | 268,209 | |||||
Gaming and Leisure Properties, Inc. | 7,796 | 286,191 | |||||
GEO Group, Inc. (The) | 12,183 | 364,759 | |||||
Macerich Co. (The) | 3,942 | 226,310 | |||||
Mapletree Commercial Trust | 228,362 | 254,992 | |||||
Medical Properties Trust, Inc. | 29,675 | 384,291 | |||||
MGM Growth Properties LLC, Class A | 10,221 | 287,721 | |||||
Pebblebrook Hotel Trust | 6,887 | 212,946 | |||||
Physicians Realty Trust | 16,728 | 340,247 | |||||
Prologis Property Mexico SA de CV | 148,630 | 255,874 | |||||
Ryman Hospitality Properties, Inc. | 3,010 | 193,874 | |||||
Spirit Realty Capital, Inc. | 32,568 | 235,467 | |||||
STAG Industrial, Inc. | 14,687 | 396,255 | |||||
STORE Capital Corp. | 14,189 | 289,172 | |||||
Weyerhaeuser Co. | 8,554 | 281,940 | |||||
5,428,824 | |||||||
Food and Staples Retailing — 0.1% | |||||||
CVS Health Corp. | 287 | 22,050 | |||||
Wal-Mart Stores, Inc. | 724 | 56,907 | |||||
78,957 | |||||||
Food Products — 0.2% | |||||||
General Mills, Inc. | 1,651 | 93,678 | |||||
Gas Utilities — 0.6% | |||||||
Atmos Energy Corp. | 1,220 | 101,638 | |||||
ONE Gas, Inc. | 1,512 | 106,823 | |||||
Spire, Inc. | 1,560 | 110,526 | |||||
318,987 |
7
Shares/ Principal Amount | Value | ||||||
Health Care Equipment and Supplies — 0.1% | |||||||
Medtronic plc | 894 | $ | 75,346 | ||||
Household Products — 0.4% | |||||||
Procter & Gamble Co. (The) | 2,168 | 190,979 | |||||
Industrial Conglomerates — 0.2% | |||||||
3M Co. | 397 | 81,175 | |||||
General Electric Co. | 383 | 10,486 | |||||
91,661 | |||||||
Insurance — 0.2% | |||||||
Allstate Corp. (The) | 120 | 10,361 | |||||
Chubb Ltd. | 449 | 64,292 | |||||
Marsh & McLennan Cos., Inc. | 610 | 47,311 | |||||
MetLife, Inc. | 152 | 7,690 | |||||
129,654 | |||||||
IT Services — 0.1% | |||||||
Automatic Data Processing, Inc. | 773 | 79,132 | |||||
Machinery† | |||||||
Stanley Black & Decker, Inc. | 84 | 11,562 | |||||
Media† | |||||||
Time Warner, Inc. | 101 | 10,049 | |||||
Mortgage Real Estate Investment Trusts (REITs) — 2.2% | |||||||
Blackstone Mortgage Trust, Inc., Class A | 13,155 | 408,463 | |||||
New Residential Investment Corp. | 25,227 | 405,902 | |||||
Starwood Property Trust, Inc. | 18,514 | 407,678 | |||||
1,222,043 | |||||||
Multi-Utilities — 0.2% | |||||||
Ameren Corp. | 1,125 | 63,844 | |||||
NorthWestern Corp. | 912 | 56,507 | |||||
120,351 | |||||||
Oil, Gas and Consumable Fuels — 4.1% | |||||||
Antero Midstream Partners LP | 4,267 | 147,809 | |||||
Chevron Corp. | 831 | 85,992 | |||||
Enterprise Products Partners LP | 16,786 | 450,033 | |||||
EQT GP Holdings LP | 4,638 | 121,284 | |||||
EQT Midstream Partners LP | 2,010 | 148,257 | |||||
Exxon Mobil Corp. | 1,076 | 86,618 | |||||
Hess Midstream Partners LP(2) | 3,770 | 87,615 | |||||
MPLX LP | 2,560 | 84,608 | |||||
Noble Midstream Partners LP | 2,834 | 130,336 | |||||
Occidental Petroleum Corp. | 788 | 46,437 | |||||
Phillips 66 Partners LP | 3,557 | 176,142 | |||||
Plains All American Pipeline LP | 3,168 | 83,889 | |||||
Rice Midstream Partners LP | 4,260 | 104,412 | |||||
Shell Midstream Partners LP | 5,781 | 172,447 | |||||
Spectra Energy Partners LP | 5,184 | 223,638 | |||||
TOTAL SA ADR | 1,954 | 102,194 | |||||
2,251,711 |
8
Shares/ Principal Amount | Value | ||||||
Personal Products — 0.1% | |||||||
Unilever NV ADR | 842 | $ | 47,809 | ||||
Pharmaceuticals — 0.7% | |||||||
Eli Lilly & Co. | 335 | 26,656 | |||||
Johnson & Johnson | 1,502 | 192,632 | |||||
Merck & Co., Inc. | 798 | 51,958 | |||||
Pfizer, Inc. | 179 | 5,844 | |||||
Roche Holding AG ADR | 2,630 | 90,419 | |||||
367,509 | |||||||
Real Estate Management and Development — 0.7% | |||||||
Five Point Holdings LLC, Class A(2) | 24,315 | 379,557 | |||||
Road and Rail† | |||||||
Norfolk Southern Corp. | 68 | 8,434 | |||||
Semiconductors and Semiconductor Equipment — 0.2% | |||||||
Applied Materials, Inc. | 546 | 25,051 | |||||
Maxim Integrated Products, Inc. | 1,299 | 62,092 | |||||
87,143 | |||||||
Software — 0.1% | |||||||
Microsoft Corp. | 478 | 33,383 | |||||
Oracle Corp. (New York) | 807 | 36,630 | |||||
70,013 | |||||||
Thrifts and Mortgage Finance — 0.1% | |||||||
Capitol Federal Financial, Inc. | 3,287 | 45,426 | |||||
TOTAL COMMON STOCKS (Cost $11,793,295) | 12,515,356 | ||||||
PREFERRED STOCKS — 10.7% | |||||||
Banks — 5.0% | |||||||
Bank of America Corp., 5.20% | 33,000 | 33,091 | |||||
Bank of America Corp., 6.50% | 745,000 | 825,087 | |||||
Citigroup, Inc., 5.90% | 33,000 | 35,104 | |||||
Citigroup, Inc., 5.95% | 696,000 | 731,217 | |||||
U.S. Bancorp, 5.30% | 136,000 | 142,882 | |||||
Wells Fargo & Co., 8.00% | 38,508 | 995,047 | |||||
2,762,428 | |||||||
Capital Markets — 1.0% | |||||||
Goldman Sachs Group, Inc. (The), 5.30% | 505,000 | 528,987 | |||||
Electric Utilities — 0.8% | |||||||
Pacific Gas & Electric Co., 4.50% | 8,968 | 223,169 | |||||
Pacific Gas & Electric Co., 4.80% | 1,937 | 51,282 | |||||
Pacific Gas & Electric Co., 5.00% | 5,387 | 142,594 | |||||
417,045 | |||||||
Equity Real Estate Investment Trusts (REITs) — 0.9% | |||||||
DDR Corp., 6.25% | 500 | 12,495 | |||||
Kimco Realty Corp., 5.625% | 530 | 13,276 | |||||
Public Storage, 5.40% | 17,527 | 450,970 | |||||
476,741 | |||||||
Industrial Conglomerates — 1.9% | |||||||
General Electric Co., 5.00% | 1,002,000 | 1,058,663 |
9
Shares/ Principal Amount | Value | ||||||
Multi-Utilities — 1.1% | |||||||
SCE Trust II, 5.10% | 25,393 | $ | 636,095 | ||||
TOTAL PREFERRED STOCKS (Cost $5,707,028) | 5,879,959 | ||||||
CONVERTIBLE BONDS — 4.7% | |||||||
Air Freight and Logistics — 0.3% | |||||||
UBS AG, (convertible into United Parcel Service, Inc.), 2.80%, 8/3/17(3)(4) | $ | 1,577 | 171,900 | ||||
Auto Components — 0.5% | |||||||
Credit Suisse AG, (convertible into Delphi Automotive plc), 5.93%, 6/1/17(3)(4) | 3,547 | 247,608 | |||||
Biotechnology — 0.1% | |||||||
UBS AG, (convertible into Gilead Science, Inc.), 3.15%, 8/14/17(3)(4) | 1,225 | 81,589 | |||||
Capital Markets — 0.3% | |||||||
Janus Capital Group, Inc., 0.75%, 7/15/18 | 121,000 | 162,140 | |||||
Food Products — 0.2% | |||||||
Citigroup Global Markets Holdings, Inc., (convertible into Mondelez International, Inc.), MTN, 6.82%, 7/14/17(3)(4) | 1,910 | 89,219 | |||||
Health Care Providers and Services† | |||||||
Merrill Lynch International & Co. C.V., (convertible into Express Scripts Holding Co.), 3.35%, 11/1/17(3)(4) | 337 | 20,309 | |||||
Metals and Mining — 0.8% | |||||||
Newmont Mining Corp., 1.625%, 7/15/17 | 461,000 | 461,864 | |||||
Multiline Retail — 0.2% | |||||||
Merrill Lynch International & Co. C.V, (convertible into Target Corp.), 3.10%, 8/31/17(3)(4) | 256 | 14,867 | |||||
Wells Fargo Bank N.A., (convertible into Target Corp.), 1.72%, 7/21/17(3)(4) | 1,470 | 90,251 | |||||
105,118 | |||||||
Oil, Gas and Consumable Fuels — 0.3% | |||||||
Goldman Sachs International, (convertible into EQT Corp.), 5.50%, 6/15/17(3)(4) | 2,222 | 145,800 | |||||
Semiconductors and Semiconductor Equipment — 1.9% | |||||||
Citigroup Global Markets Holdings, Inc., (convertible into QUALCOMM, Inc.), MTN, 4.26%, 8/18/17(3)(4) | 2,351 | 134,329 | |||||
Intel Corp., 3.48%, 12/15/35 | 78,000 | 106,519 | |||||
Microchip Technology, Inc., 1.625%, 2/15/27(4) | 385,000 | 426,628 | |||||
Teradyne, Inc., 1.25%, 12/15/23(4) | 307,000 | 390,466 | |||||
1,057,942 | |||||||
Specialty Retail — 0.1% | |||||||
Merrill Lynch International & Co. C.V., (convertible into L Brands, Inc.), 8.40%, 8/29/17(3)(4) | 344 | 17,307 | |||||
Morgan Stanley B.V., (convertible into Advance Auto Parts, Inc.), 2.72%, 11/30/17(3)(4) | 477 | 63,164 | |||||
80,471 | |||||||
TOTAL CONVERTIBLE BONDS (Cost $2,496,135) | 2,623,960 | ||||||
CORPORATE BONDS — 3.8% | |||||||
Automobiles — 0.1% | |||||||
Daimler Finance North America LLC, 2.00%, 8/3/18(4) | 10,000 | 10,033 |
10
Shares/ Principal Amount | Value | ||||||
General Motors Financial Co., Inc., 5.25%, 3/1/26 | $ | 35,000 | $ | 37,717 | |||
47,750 | |||||||
Banks — 0.2% | |||||||
Bank of America Corp., MTN, VRN, 4.44%, 1/20/47 | 25,000 | 25,955 | |||||
Capital One Financial Corp., 4.20%, 10/29/25 | 40,000 | 40,845 | |||||
Citigroup, Inc., 4.00%, 8/5/24 | 35,000 | 36,143 | |||||
Wells Fargo & Co., MTN, 4.65%, 11/4/44 | 25,000 | 25,933 | |||||
128,876 | |||||||
Beverages† | |||||||
Anheuser-Busch InBev Finance, Inc., 3.30%, 2/1/23 | 25,000 | 25,819 | |||||
Biotechnology — 0.1% | |||||||
AbbVie, Inc., 3.60%, 5/14/25 | 25,000 | 25,604 | |||||
Celgene Corp., 5.00%, 8/15/45 | 25,000 | 27,402 | |||||
53,006 | |||||||
Building Products — 0.1% | |||||||
Masco Corp., 4.45%, 4/1/25 | 35,000 | 37,643 | |||||
Capital Markets — 0.1% | |||||||
Jefferies Group LLC, 5.125%, 4/13/18 | 35,000 | 35,972 | |||||
Chemicals — 0.1% | |||||||
LyondellBasell Industries NV, 5.00%, 4/15/19 | 35,000 | 36,696 | |||||
Diversified Financial Services — 0.3% | |||||||
Ally Financial, Inc., 3.50%, 1/27/19 | 30,000 | 30,483 | |||||
JPMorgan Chase & Co., VRN, 5.15%, 5/1/23 | 75,000 | 76,125 | |||||
Morgan Stanley, MTN, 4.00%, 7/23/25 | 40,000 | 41,858 | |||||
148,466 | |||||||
Diversified Telecommunication Services — 0.1% | |||||||
AT&T, Inc., 4.45%, 4/1/24 | 39,000 | 41,283 | |||||
Energy Equipment and Services — 0.1% | |||||||
Ensco plc, 8.00%, 1/31/24 | 11,000 | 10,883 | |||||
Transocean, Inc., 9.00%, 7/15/23(4) | 25,000 | 26,250 | |||||
37,133 | |||||||
Equity Real Estate Investment Trusts (REITs) — 0.2% | |||||||
American Tower Corp., 3.375%, 10/15/26 | 25,000 | 24,639 | |||||
Crown Castle International Corp., 5.25%, 1/15/23 | 20,000 | 22,359 | |||||
CTR Partnership LP / CareTrust Capital Corp., 5.875%, 6/1/21 | 15,000 | 15,449 | |||||
Essex Portfolio LP, 3.625%, 8/15/22 | 25,000 | 25,888 | |||||
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc., 4.50%, 9/1/26 | 35,000 | 35,175 | |||||
VEREIT Operating Partnership LP, 4.125%, 6/1/21 | 20,000 | 21,070 | |||||
144,580 | |||||||
Food and Staples Retailing — 0.1% | |||||||
Dollar General Corp., 3.25%, 4/15/23 | 35,000 | 35,711 | |||||
Tesco plc, MTN, 5.50%, 12/13/19 | GBP | 10,000 | 14,157 | ||||
49,868 | |||||||
Gas Utilities — 0.3% | |||||||
Enbridge, Inc., 4.50%, 6/10/44 | $ | 25,000 | 24,517 |
11
Shares/ Principal Amount | Value | ||||||
Enterprise Products Operating LLC, VRN, 4.88%, 7/3/17 | $ | 25,000 | $ | 25,031 | |||
Kinder Morgan Energy Partners LP, 6.50%, 9/1/39 | 35,000 | 40,462 | |||||
MPLX LP, 4.875%, 12/1/24 | 22,000 | 23,653 | |||||
Sunoco Logistics Partners Operations LP, 3.90%, 7/15/26 | 35,000 | 35,095 | |||||
Williams Cos., Inc. (The), 3.70%, 1/15/23 | 35,000 | 34,650 | |||||
183,408 | |||||||
Health Care Equipment and Supplies — 0.2% | |||||||
Abbott Laboratories, 3.75%, 11/30/26 | 25,000 | 25,547 | |||||
Medtronic, Inc., 3.50%, 3/15/25 | 35,000 | 36,532 | |||||
Thermo Fisher Scientific, Inc., 3.60%, 8/15/21 | 35,000 | 36,561 | |||||
98,640 | |||||||
Health Care Providers and Services — 0.1% | |||||||
Express Scripts Holding Co., 4.50%, 2/25/26 | 25,000 | 26,304 | |||||
HCA, Inc., 3.75%, 3/15/19 | 25,000 | 25,594 | |||||
51,898 | |||||||
Hotels, Restaurants and Leisure† | |||||||
FelCor Lodging LP, 5.625%, 3/1/23 | 15,000 | 15,750 | |||||
Household Durables — 0.1% | |||||||
MDC Holdings, Inc., 5.50%, 1/15/24 | 35,000 | 37,362 | |||||
Toll Brothers Finance Corp., 4.00%, 12/31/18 | 35,000 | 36,111 | |||||
73,473 | |||||||
Industrial Conglomerates — 0.1% | |||||||
General Electric Co., 4.125%, 10/9/42 | 25,000 | 26,141 | |||||
Ingersoll-Rand Luxembourg Finance SA, 3.55%, 11/1/24 | 39,000 | 40,256 | |||||
66,397 | |||||||
Insurance — 0.2% | |||||||
American International Group, Inc., 4.125%, 2/15/24 | 25,000 | 26,466 | |||||
International Lease Finance Corp., 4.625%, 4/15/21 | 20,000 | 21,368 | |||||
Liberty Mutual Group, Inc., VRN, 4.04%, 9/15/17(4) | 25,000 | 24,312 | |||||
Markel Corp., 3.625%, 3/30/23 | 35,000 | 36,408 | |||||
108,554 | |||||||
IT Services — 0.1% | |||||||
Fidelity National Information Services, Inc., 3.875%, 6/5/24 | 40,000 | 41,874 | |||||
Machinery — 0.1% | |||||||
Oshkosh Corp., 5.375%, 3/1/22 | 35,000 | 36,488 | |||||
Media — 0.3% | |||||||
21st Century Fox America, Inc., 6.90%, 8/15/39 | 25,000 | 33,042 | |||||
Comcast Corp., 4.75%, 3/1/44 | 25,000 | 27,555 | |||||
CSC Holdings LLC, 6.75%, 11/15/21 | 15,000 | 16,631 | |||||
Lamar Media Corp., 5.375%, 1/15/24 | 35,000 | 36,943 | |||||
Nielsen Finance LLC / Nielsen Finance Co., 5.00%, 4/15/22(4) | 20,000 | 20,625 | |||||
Time Warner, Inc., 3.80%, 2/15/27 | 35,000 | 34,981 | |||||
169,777 | |||||||
Metals and Mining† | |||||||
Newmont Mining Corp., 3.50%, 3/15/22 | 10,000 | 10,390 | |||||
Teck Resources Ltd., 4.75%, 1/15/22 | 15,000 | 15,769 | |||||
26,159 |
12
Shares/ Principal Amount | Value | ||||||
Mortgage Real Estate Investment Trusts (REITs)† | |||||||
Starwood Property Trust, Inc., 5.00%, 12/15/21(4) | $ | 15,000 | $ | 15,675 | |||
Multi-Utilities — 0.3% | |||||||
Dominion Energy, Inc., 4.90%, 8/1/41 | 25,000 | 27,108 | |||||
Exelon Corp., 4.45%, 4/15/46 | 25,000 | 25,621 | |||||
NextEra Energy Capital Holdings, Inc., VRN, 7.30%, 9/1/17 | 40,000 | 40,713 | |||||
Progress Energy, Inc., 3.15%, 4/1/22 | 25,000 | 25,671 | |||||
Sempra Energy, 2.875%, 10/1/22 | 35,000 | 35,209 | |||||
154,322 | |||||||
Oil, Gas and Consumable Fuels — 0.1% | |||||||
Newfield Exploration Co., 5.75%, 1/30/22 | 35,000 | 37,450 | |||||
Petrobras Global Finance BV, 5.375%, 1/27/21 | 14,000 | 14,371 | |||||
Sunoco LP / Sunoco Finance Corp., 5.50%, 8/1/20 | 15,000 | 15,506 | |||||
67,327 | |||||||
Paper and Forest Products† | |||||||
International Paper Co., 4.40%, 8/15/47 | 25,000 | 25,165 | |||||
Pharmaceuticals — 0.1% | |||||||
Allergan Funding SCS, 3.85%, 6/15/24 | 25,000 | 26,071 | |||||
Shire Acquisitions Investments Ireland DAC, 2.40%, 9/23/21 | 35,000 | 34,803 | |||||
60,874 | |||||||
Road and Rail — 0.1% | |||||||
Norfolk Southern Corp., 3.25%, 12/1/21 | 35,000 | 36,368 | |||||
Technology Hardware, Storage and Peripherals — 0.1% | |||||||
Dell International LLC / EMC Corp., 3.48%, 6/1/19(4) | 25,000 | 25,603 | |||||
Seagate HDD Cayman, 4.75%, 6/1/23 | 24,000 | 24,663 | |||||
50,266 | |||||||
Wireless Telecommunication Services — 0.1% | |||||||
T-Mobile USA, Inc., 6.625%, 4/1/23 | 35,000 | 37,352 | |||||
TOTAL CORPORATE BONDS (Cost $2,080,577) | 2,106,859 | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(5) — 2.3% | |||||||
Private Sponsor Collateralized Mortgage Obligations — 1.4% | |||||||
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-12, Class 2A1, VRN, 3.43%, 6/1/17 | 23,382 | 23,349 | |||||
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-8, Class 2A1, VRN, 3.32%, 6/1/17 | 5,764 | 5,575 | |||||
Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-1, Class A1, VRN, 2.91%, 6/1/17 | 31,729 | 31,702 | |||||
Chase Mortgage Finance Trust, Series 2007-A2, Class 6A2 SEQ, VRN, 3.28%, 6/1/17 | 1,821 | 1,756 | |||||
Citicorp Mortgage Securities, Inc., Series 2007-8, Class 1A3, 6.00%, 9/25/37 | 5,770 | 5,989 | |||||
Citigroup Mortgage Loan Trust, Inc., Series 2004-UST1, Class A5, VRN, 2.75%, 6/1/17 | 26,273 | 26,036 | |||||
Citigroup Mortgage Loan Trust, Inc., Series 2005-4, Class A, VRN, 3.06%, 6/1/17 | 9,711 | 9,609 | |||||
Citigroup Mortgage Loan Trust, Inc., Series 2005-6, Class A2, VRN, 3.18%, 6/1/17 | 34,535 | 35,725 | |||||
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-3, Class 1A1, VRN, 5.44%, 6/1/17 | 9,697 | 9,308 |
13
Shares/ Principal Amount | Value | ||||||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1, VRN, 3.10%, 6/1/17 | $ | 18,812 | $ | 19,518 | |||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5, VRN, 3.06%, 6/1/17 | 22,041 | 22,148 | |||||
JPMorgan Mortgage Trust, Series 2005-A4, Class 1A1, VRN, 3.22%, 6/1/17 | 12,112 | 12,099 | |||||
JPMorgan Mortgage Trust, Series 2005-A4, Class 2A1, VRN, 3.48%, 6/1/17 | 10,393 | 10,390 | |||||
JPMorgan Mortgage Trust, Series 2005-A6, Class 7A1, VRN, 3.18%, 6/1/17 | 6,352 | 6,135 | |||||
JPMorgan Mortgage Trust, Series 2005-S2, Class 3A1, VRN, 7.15%, 6/1/17 | 551 | 576 | |||||
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7, VRN, 3.09%, 6/1/17 | 32,988 | 33,879 | |||||
Thornburg Mortgage Securities Trust, Series 2006-4, Class A2B, VRN, 3.13%, 6/26/17 | 32,929 | 32,185 | |||||
WaMu Mortgage Pass-Through Certificates, Series 2005-AR3, Class A1, VRN, 3.03%, 6/1/17 | 13,394 | 13,159 | |||||
WaMu Mortgage Pass-Through Certificates, Series 2005-AR7, Class A3, VRN, 2.83%, 6/1/17 | 6,097 | 6,151 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-A, Class A1, VRN, 3.11%, 6/1/17 | 13,706 | 13,886 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-Z, Class 2A2, VRN, 3.00%, 6/1/17 | 18,504 | 18,807 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-17, Class 2A1, 5.50%, 1/25/36 | 23,395 | 23,190 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-18, Class 1A1, 5.50%, 1/25/36 | 23,550 | 23,371 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR4, Class 2A1, VRN, 3.31%, 6/1/17 | 5,813 | 5,834 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR7, Class 1A1, VRN, 3.33%, 6/1/17 | 7,116 | 7,142 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-4, Class 2A1, 6.00%, 4/25/36 | 16,796 | 16,965 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-6, Class 1A16 SEQ, 5.75%, 5/25/36 | 26,683 | 26,806 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-8, Class A10 SEQ, 6.00%, 7/25/36 | 2,284 | 2,306 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR1, Class 2A5 SEQ, VRN, 3.21%, 6/1/17 | 8,268 | 7,715 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 1A1, VRN, 3.18%, 6/1/17 | 4,814 | 4,669 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 4A1, VRN, 3.17%, 6/1/17 | 30,167 | 30,320 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 5A6 SEQ, VRN, 3.19%, 6/1/17 | 61,322 | 61,474 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR12, Class 1A1, VRN, 3.25%, 6/1/17 | 29,735 | 28,315 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR14, Class 2A1, VRN, 3.08%, 6/1/17 | 18,388 | 17,689 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR16, Class A1, VRN, 3.23%, 6/1/17 | 45,160 | 42,340 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR19, Class A1, VRN, 3.03%, 6/1/17 | 13,084 | 12,163 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-11, Class A36, 6.00%, 8/25/37 | 27,391 | 27,601 |
14
Shares/ Principal Amount | Value | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-15, Class A1, 6.00%, 11/25/37 | $ | 14,284 | $ | 14,226 | |||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-4, Class A15, 6.00%, 4/25/37 | 11,909 | 12,002 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-7, Class A1, 6.00%, 6/25/37 | 24,576 | 24,755 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-8, Class 1A5 SEQ, 6.00%, 7/25/37 | 42,410 | 42,752 | |||||
769,617 | |||||||
U.S. Government Agency Collateralized Mortgage Obligations — 0.9% | |||||||
FHLMC, Series 2015-HQ2, Class M3, VRN, 4.27%, 6/26/17 | 50,000 | 54,877 | |||||
FNMA, Series 2014-C02, Class 1M2, VRN, 3.62%, 6/26/17 | 50,000 | 52,355 | |||||
FNMA, Series 2014-C02, Class 2M2, VRN, 3.62%, 6/26/17 | 225,000 | 233,475 | |||||
FNMA, Series 2016-C03, Class 2M2, VRN, 6.92%, 6/26/17 | 5,000 | 5,859 | |||||
FNMA, Series 2016-C04, Class 1M2, VRN, 5.27%, 6/26/17 | 10,000 | 11,038 | |||||
FNMA, Series 2016-C05, Class 2M1, VRN, 2.37%, 6/26/17 | 45,765 | 46,131 | |||||
FNMA, Series 2016-C05, Class 2M2, VRN, 5.47%, 6/26/17 | 50,000 | 55,155 | |||||
FNMA, Series 2017-C01, Class 1M2, VRN, 4.57%, 6/26/17 | 55,000 | 58,120 | |||||
517,010 | |||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $1,261,626) | 1,286,627 | ||||||
CONVERTIBLE PREFERRED STOCKS — 1.9% | |||||||
Banks — 1.0% | |||||||
Bank of America Corp., 7.25% | 345 | 428,145 | |||||
Wells Fargo & Co., 7.50% | 91 | 115,205 | |||||
543,350 | |||||||
Equity Real Estate Investment Trusts (REITs) — 0.6% | |||||||
Welltower, Inc., 6.50% | 5,488 | 355,952 | |||||
Machinery — 0.3% | |||||||
Stanley Black & Decker, Inc., 5.375%, 5/15/20 | 1,604 | 167,185 | |||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $998,009) | 1,066,487 | ||||||
ASSET-BACKED SECURITIES(5) — 1.1% | |||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A SEQ, 1.92%, 9/20/19(4) | $ | 50,000 | 50,009 | ||||
Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class B, 2.62%, 9/20/19(4) | 15,000 | 15,060 | |||||
Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class B, 3.42%, 12/20/21(4) | 25,000 | 25,580 | |||||
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A, Class A SEQ, 2.94%, 5/25/29(4) | 48,352 | 48,672 | |||||
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A, Class B, VRN, 3.24%, 6/25/17(4) | 24,176 | 24,289 | |||||
Colony American Homes, Series 2014-2A, Class A, VRN, 1.98%, 6/17/17(4) | 47,946 | 47,909 | |||||
Colony Starwood Homes, Series 2016-2A, Class A, VRN, 2.25%, 6/17/17(4) | 24,943 | 25,149 | |||||
Enterprise Fleet Financing LLC, Series 2017-1, Class A2 SEQ, 2.13%, 7/20/22(4) | 50,000 | 50,184 | |||||
Hertz Vehicle Financing LLC, Series 2013-1A, Class A2 SEQ, 1.83%, 8/25/19(4) | 50,000 | 49,888 |
15
Shares/ Principal Amount | Value | ||||||
Hilton Grand Vacations Trust, Series 2013-A, Class A SEQ, 2.28%, 1/25/26(4) | $ | 7,000 | $ | 6,989 | |||
Hilton Grand Vacations Trust, Series 2014-AA, Class A SEQ, 1.77%, 11/25/26(4) | 47,712 | 47,044 | |||||
Hilton Grand Vacations Trust, Series 2017-AA, Class A SEQ, 2.66%, 12/26/28(4) | 9,343 | 9,379 | |||||
Invitation Homes Trust, Series 2014-SFR3, Class A, VRN, 2.20%, 6/17/17(4) | 7,991 | 8,001 | |||||
Marriott Vacation Club Owner Trust, Series 2012-1A, Class B, 3.50%, 5/20/30(4) | 7,398 | 7,482 | |||||
MVW Owner Trust, Series 2013-1A, Class A SEQ, 2.15%, 4/22/30(4) | 45,045 | 44,961 | |||||
MVW Owner Trust, Series 2013-1A, Class B, 2.74%, 4/22/30(4) | 7,507 | 7,505 | |||||
Progress Residential Trust, Series 2016-SFR2, Class A, VRN, 2.40%, 6/17/17(4) | 15,000 | 15,150 | |||||
Sierra Receivables Funding Co. LLC, Series 2017-1A, Class A SEQ, 2.91%, 3/20/34(4) | 9,019 | 9,133 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2013-2A, Class A SEQ, 2.28%, 11/20/25(4) | 21,662 | 21,685 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2015-1A, Class A, 2.40%, 3/22/32(4) | 7,478 | 7,504 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2015-2A, Class A, 2.43%, 6/20/32(4) | 17,083 | 17,087 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2015-3A, Class A SEQ, 2.58%, 9/20/32(4) | 20,791 | 20,891 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2016-2A, Class A SEQ, 2.33%, 7/20/33(4) | 5,917 | 5,924 | |||||
TAL Advantage V LLC, Series 2014-2A, Class B, 3.97%, 5/20/39(4) | 10,500 | 10,271 | |||||
VSE VOI Mortgage LLC, Series 2016-A, Class A SEQ, 2.54%, 7/20/33(4) | 40,194 | 40,141 | |||||
TOTAL ASSET-BACKED SECURITIES (Cost $613,621) | 615,887 | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES(5) — 0.8% | |||||||
Bank of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2015-200P, Class B, 3.49%, 4/14/33(4) | 25,000 | 25,647 | |||||
BB-UBS Trust, Series 2012-SHOW, Class A SEQ, 3.43%, 11/5/36(4) | 15,000 | 15,519 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-CR15, Class B, VRN, 4.71%, 6/1/17 | 25,000 | 27,332 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-LC17, Class B, VRN, 4.49%, 6/1/17 | 10,000 | 10,605 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2016-CR28, Class B, VRN, 4.65%, 6/1/17 | 10,000 | 10,685 | |||||
Commercial Mortgage Trust, Series 2014-UBS5, Class B, VRN, 4.51%, 6/1/17 | 15,000 | 15,824 | |||||
Commercial Mortgage Trust, Series 2015-CR22, Class B, VRN, 3.93%, 6/1/17 | 25,000 | 25,601 | |||||
Core Industrial Trust, Series 2015-CALW, Class B, 3.25%, 2/10/34(4) | 25,000 | 25,680 | |||||
Core Industrial Trust, Series 2015-TEXW, Class B, 3.33%, 2/10/34(4) | 25,000 | 25,642 | |||||
GS Mortgage Securities Corp. II, Series 2015-GC28, Class AS, 3.76%, 2/10/48 | 15,000 | 15,468 |
16
Shares/ Principal Amount | Value | ||||||
GS Mortgage Securities Corp. II, Series 2016-GS2, Class B, VRN, 3.76%, 6/1/17 | $ | 25,000 | $ | 25,778 | |||
Hudson Yards Mortgage Trust, Series 2016-10HY, Class A SEQ, 2.84%, 8/10/38(4) | 25,000 | 24,628 | |||||
Hudson Yards Mortgage Trust, Series 2016-10HY, Class B, VRN, 2.98%, 6/1/17(4) | 10,000 | 9,889 | |||||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class B, VRN, 4.34%, 6/1/17 | 25,000 | 26,263 | |||||
JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class A4, 3.41%, 3/15/50 | 20,000 | 20,751 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class B, VRN, 4.91%, 6/1/17 | 25,000 | 27,244 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class B, VRN, 3.46%, 6/1/17 | 25,000 | 24,902 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class AS, 3.14%, 8/15/49 | 25,000 | 24,754 | |||||
UBS Commercial Mortgage Securities Trust, Series 2017-C1, Class A3, 3.20%, 6/15/50(6) | 50,000 | 50,497 | |||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $433,107) | 432,709 | ||||||
EXCHANGE-TRADED FUNDS — 0.4% | |||||||
Alerian MLP ETF | 10,259 | 123,108 | |||||
iShares Russell 1000 Value ETF | 1,000 | 114,530 | |||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $233,796) | 237,638 | ||||||
U.S. TREASURY SECURITIES — 0.1% | |||||||
U.S. Treasury Bills, 0.55%, 8/10/17(7)(8) (Cost $29,963) | $ | 30,000 | 29,948 | ||||
TEMPORARY CASH INVESTMENTS — 4.1% | |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class (Cost $2,266,576) | 2,266,576 | 2,266,576 | |||||
TOTAL INVESTMENT SECURITIES — 100.4% (Cost $52,827,101) | 55,407,694 | ||||||
OTHER ASSETS AND LIABILITIES — (0.4)% | (247,019 | ) | |||||
TOTAL NET ASSETS — 100.0% | $ | 55,160,675 |
17
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
ARS | 1,673,567 | USD | 105,521 | Goldman Sachs & Co. | 6/21/17 | $ | (2,569 | ) | ||
ARS | 1,742,785 | USD | 112,184 | Goldman Sachs & Co. | 6/21/17 | (4,974 | ) | |||
AUD | 108,243 | USD | 81,499 | JPMorgan Chase Bank N.A. | 6/21/17 | (1,094 | ) | |||
AUD | 38,840 | USD | 29,681 | JPMorgan Chase Bank N.A. | 6/21/17 | (830 | ) | |||
AUD | 57,909 | USD | 44,212 | JPMorgan Chase Bank N.A. | 6/21/17 | (1,196 | ) | |||
USD | 15,662 | AUD | 20,575 | JPMorgan Chase Bank N.A. | 6/21/17 | 379 | ||||
USD | 139,038 | AUD | 184,417 | JPMorgan Chase Bank N.A. | 6/21/17 | 2,050 | ||||
USD | 106,992 | AUD | 142,715 | JPMorgan Chase Bank N.A. | 6/21/17 | 981 | ||||
USD | 113,028 | AUD | 151,165 | JPMorgan Chase Bank N.A. | 6/21/17 | 741 | ||||
USD | 112,494 | AUD | 150,695 | JPMorgan Chase Bank N.A. | 6/21/17 | 556 | ||||
BRL | 161,173 | USD | 50,636 | Goldman Sachs & Co. | 6/21/17 | (1,039 | ) | |||
BRL | 356,066 | USD | 113,073 | Goldman Sachs & Co. | 6/21/17 | (3,504 | ) | |||
BRL | 706,293 | USD | 221,402 | Goldman Sachs & Co. | 6/21/17 | (4,061 | ) | |||
BRL | 337,149 | USD | 107,953 | Goldman Sachs & Co. | 6/21/17 | (4,206 | ) | |||
BRL | 656,500 | USD | 206,122 | Goldman Sachs & Co. | 6/21/17 | (4,104 | ) | |||
USD | 102,088 | BRL | 350,927 | Goldman Sachs & Co. | 6/21/17 | (5,900 | ) | |||
USD | 203,801 | BRL | 692,515 | Goldman Sachs & Co. | 6/21/17 | (9,300 | ) | |||
USD | 44,317 | BRL | 142,259 | Goldman Sachs & Co. | 6/21/17 | 541 | ||||
USD | 78,969 | BRL | 255,860 | Goldman Sachs & Co. | 6/21/17 | 236 | ||||
USD | 32,006 | BRL | 102,699 | Goldman Sachs & Co. | 6/21/17 | 404 | ||||
USD | 101,984 | BRL | 326,553 | Goldman Sachs & Co. | 6/21/17 | 1,497 | ||||
USD | 107,584 | BRL | 346,368 | Goldman Sachs & Co. | 6/21/17 | 1,000 | ||||
CAD | 180,270 | USD | 133,407 | JPMorgan Chase Bank N.A. | 6/21/17 | 88 | ||||
CAD | 147,149 | USD | 109,352 | JPMorgan Chase Bank N.A. | 6/21/17 | (384 | ) | |||
CAD | 146,410 | USD | 110,314 | Morgan Stanley | 6/21/17 | (1,893 | ) | |||
USD | 118,566 | CAD | 162,813 | JPMorgan Chase Bank N.A. | 6/21/17 | (2,001 | ) | |||
USD | 67,963 | CAD | 90,368 | Morgan Stanley | 6/21/17 | 1,043 | ||||
USD | 70,490 | CAD | 94,196 | Morgan Stanley | 6/21/17 | 736 | ||||
USD | 63,161 | CAD | 84,207 | Morgan Stanley | 6/21/17 | 803 | ||||
USD | 121,668 | CAD | 162,689 | Morgan Stanley | 6/21/17 | 1,193 | ||||
USD | 110,303 | CAD | 148,068 | Morgan Stanley | 6/21/17 | 655 | ||||
USD | 121,885 | CAD | 165,686 | Morgan Stanley | 6/21/17 | (810 | ) | |||
CHF | 16,823 | USD | 17,040 | Credit Suisse AG | 6/21/17 | 351 | ||||
CHF | 94,233 | USD | 94,376 | Credit Suisse AG | 6/21/17 | 3,039 | ||||
CHF | 107,526 | USD | 108,253 | Credit Suisse AG | 6/21/17 | 2,903 | ||||
CHF | 111,978 | USD | 114,252 | Credit Suisse AG | 6/21/17 | 1,507 | ||||
CHF | 218,294 | USD | 223,742 | Credit Suisse AG | 6/21/17 | 1,922 | ||||
USD | 82,518 | CHF | 83,228 | Credit Suisse AG | 6/21/17 | (3,520 | ) | |||
USD | 71,012 | CHF | 70,404 | Credit Suisse AG | 6/21/17 | (1,769 | ) | |||
USD | 65,165 | CHF | 64,950 | Credit Suisse AG | 6/21/17 | (1,978 | ) | |||
USD | 221,654 | CHF | 222,079 | Credit Suisse AG | 6/21/17 | (7,923 | ) | |||
USD | 5,313 | CHF | 5,291 | Credit Suisse AG | 6/30/17 | (160 | ) | |||
USD | 23,133 | CHF | 22,644 | Credit Suisse AG | 6/30/17 | (290 | ) | |||
USD | 4,082 | CHF | 4,048 | Credit Suisse AG | 6/30/17 | (106 | ) | |||
USD | 813 | CHF | 809 | Credit Suisse AG | 6/30/17 | (24 | ) | |||
USD | 1,506 | CHF | 1,503 | Credit Suisse AG | 6/30/17 | (49 | ) | |||
USD | 1,677 | CHF | 1,680 | Credit Suisse AG | 6/30/17 | (61 | ) | |||
USD | 1,342 | CHF | 1,346 | Credit Suisse AG | 6/30/17 | (51 | ) | |||
USD | 7,284 | CHF | 7,231 | Credit Suisse AG | 6/30/17 | (196 | ) | |||
USD | 2,516 | CHF | 2,501 | Credit Suisse AG | 6/30/17 | (71 | ) | |||
USD | 1,981 | CHF | 1,963 | Credit Suisse AG | 6/30/17 | (50 | ) | |||
USD | 1,506 | CHF | 1,492 | Credit Suisse AG | 6/30/17 | (37 | ) |
18
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
USD | 1,902 | CHF | 1,886 | Credit Suisse AG | 6/30/17 | $ | (49 | ) | ||
USD | 2,848 | CHF | 2,820 | Credit Suisse AG | 6/30/17 | (69 | ) | |||
USD | 2,242 | CHF | 2,215 | Credit Suisse AG | 6/30/17 | (49 | ) | |||
USD | 2,582 | CHF | 2,595 | Credit Suisse AG | 6/30/17 | (102 | ) | |||
USD | 6,744 | CHF | 6,786 | Credit Suisse AG | 6/30/17 | (275 | ) | |||
USD | 2,682 | CHF | 2,644 | Credit Suisse AG | 6/30/17 | (53 | ) | |||
CLP | 105,658,380 | USD | 158,408 | Goldman Sachs & Co. | 6/21/17 | (1,699 | ) | |||
CLP | 61,247,911 | USD | 94,438 | Goldman Sachs & Co. | 6/21/17 | (3,597 | ) | |||
CLP | 81,026,319 | USD | 119,954 | Goldman Sachs & Co. | 6/21/17 | 222 | ||||
CLP | 74,538,249 | USD | 111,366 | Goldman Sachs & Co. | 6/21/17 | (813 | ) | |||
USD | 101,314 | CLP | 67,474,791 | Goldman Sachs & Co. | 6/21/17 | 1,237 | ||||
USD | 276,342 | CLP | 179,939,880 | Goldman Sachs & Co. | 6/21/17 | 9,460 | ||||
USD | 51,799 | CLP | 33,928,268 | Goldman Sachs & Co. | 6/21/17 | 1,477 | ||||
USD | 37,232 | CLP | 24,729,305 | Goldman Sachs & Co. | 6/21/17 | 554 | ||||
USD | 117,401 | CLP | 77,566,544 | Goldman Sachs & Co. | 6/21/17 | 2,356 | ||||
USD | 121,263 | CLP | 81,282,844 | Goldman Sachs & Co. | 6/21/17 | 707 | ||||
USD | 110,744 | CLP | 74,258,213 | Goldman Sachs & Co. | 6/21/17 | 606 | ||||
COP | 79,265,623 | USD | 26,369 | Goldman Sachs & Co. | 6/21/17 | 735 | ||||
COP | 342,582,608 | USD | 116,775 | Goldman Sachs & Co. | 6/21/17 | 369 | ||||
COP | 287,313,877 | USD | 98,227 | Goldman Sachs & Co. | 6/21/17 | 18 | ||||
COP | 328,341,053 | USD | 113,417 | Goldman Sachs & Co. | 6/21/17 | (1,143 | ) | |||
COP | 406,298,004 | USD | 138,117 | Goldman Sachs & Co. | 6/21/17 | 814 | ||||
USD | 79,897 | COP | 242,646,166 | Goldman Sachs & Co. | 6/21/17 | (3,075 | ) | |||
USD | 89,867 | COP | 259,086,559 | Goldman Sachs & Co. | 6/21/17 | 1,274 | ||||
USD | 99,137 | COP | 292,553,060 | Goldman Sachs & Co. | 6/21/17 | (900 | ) | |||
USD | 220,033 | COP | 649,515,380 | Goldman Sachs & Co. | 6/21/17 | (2,064 | ) | |||
EUR | 101,261 | USD | 110,473 | JPMorgan Chase Bank N.A. | 6/21/17 | 3,392 | ||||
EUR | 103,106 | USD | 112,826 | JPMorgan Chase Bank N.A. | 6/21/17 | 3,114 | ||||
EUR | 101,618 | USD | 110,629 | JPMorgan Chase Bank N.A. | 6/21/17 | 3,638 | ||||
EUR | 9,597 | USD | 10,303 | UBS AG | 6/30/17 | 493 | ||||
EUR | 284,052 | USD | 309,758 | UBS AG | 6/30/17 | 9,811 | ||||
EUR | 8,650 | USD | 9,527 | UBS AG | 6/30/17 | 204 | ||||
EUR | 3,795 | USD | 4,230 | UBS AG | 6/30/17 | 40 | ||||
USD | 12,899 | EUR | 12,020 | UBS AG | 6/30/17 | (623 | ) | |||
USD | 18,673 | EUR | 17,400 | UBS AG | 6/30/17 | (902 | ) | |||
USD | 292,157 | EUR | 268,118 | UBS AG | 6/30/17 | (9,486 | ) | |||
USD | 119,157 | EUR | 109,352 | UBS AG | 6/30/17 | (3,869 | ) | |||
USD | 8,685 | EUR | 8,131 | UBS AG | 6/30/17 | (462 | ) | |||
GBP | 134,077 | USD | 167,643 | Credit Suisse AG | 6/21/17 | 5,211 | ||||
GBP | 25,208 | USD | 31,488 | Credit Suisse AG | 6/21/17 | 1,010 | ||||
GBP | 55,610 | USD | 69,468 | Credit Suisse AG | 6/21/17 | 2,225 | ||||
GBP | 92,602 | USD | 116,289 | Credit Suisse AG | 6/21/17 | 3,095 | ||||
GBP | 83,848 | USD | 106,852 | Credit Suisse AG | 6/21/17 | 1,246 | ||||
GBP | 87,959 | USD | 113,143 | Credit Suisse AG | 6/21/17 | 255 | ||||
USD | 123,901 | GBP | 95,698 | Credit Suisse AG | 6/21/17 | 526 | ||||
USD | 105,097 | GBP | 81,654 | Credit Suisse AG | 6/21/17 | (172 | ) | |||
USD | 82,071 | GBP | 67,304 | Credit Suisse AG | 6/21/17 | (4,699 | ) | |||
USD | 13,370 | GBP | 10,977 | Credit Suisse AG | 6/21/17 | (781 | ) | |||
USD | 81,403 | GBP | 66,773 | Credit Suisse AG | 6/21/17 | (4,681 | ) | |||
HUF | 29,041,272 | USD | 101,486 | Goldman Sachs & Co. | 6/21/17 | 4,425 | ||||
HUF | 64,556,644 | USD | 229,684 | Goldman Sachs & Co. | 6/21/17 | 5,749 | ||||
HUF | 31,706,014 | USD | 113,678 | Goldman Sachs & Co. | 6/21/17 | 1,951 | ||||
USD | 164,214 | HUF | 48,213,605 | Goldman Sachs & Co. | 6/21/17 | (11,617 | ) | |||
USD | 34,309 | HUF | 9,939,042 | Goldman Sachs & Co. | 6/21/17 | (1,938 | ) |
19
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
USD | 222,832 | HUF | 65,447,443 | Goldman Sachs & Co. | 6/21/17 | $ | (15,850 | ) | ||
USD | 116,056 | HUF | 33,133,560 | Goldman Sachs & Co. | 6/21/17 | (4,779 | ) | |||
IDR | 1,342,038,796 | USD | 100,565 | Goldman Sachs & Co. | 6/21/17 | 181 | ||||
IDR | 1,486,224,982 | USD | 111,411 | Goldman Sachs & Co. | 6/21/17 | 159 | ||||
IDR | 935,120,336 | USD | 69,422 | Goldman Sachs & Co. | 6/21/17 | 777 | ||||
USD | 33,267 | IDR | 446,114,338 | Goldman Sachs & Co. | 6/21/17 | (222 | ) | |||
USD | 136,441 | IDR | 1,831,044,794 | Goldman Sachs & Co. | 6/21/17 | (1,014 | ) | |||
USD | 111,537 | IDR | 1,486,224,982 | Goldman Sachs & Co. | 6/21/17 | (34 | ) | |||
ILS | 301,742 | USD | 82,056 | Goldman Sachs & Co. | 6/21/17 | 3,221 | ||||
ILS | 790,824 | USD | 217,291 | Goldman Sachs & Co. | 6/21/17 | 6,206 | ||||
ILS | 800,910 | USD | 222,996 | Goldman Sachs & Co. | 6/21/17 | 3,351 | ||||
ILS | 299,575 | USD | 81,853 | Goldman Sachs & Co. | 6/21/17 | 2,811 | ||||
USD | 32,154 | ILS | 116,624 | Goldman Sachs & Co. | 6/21/17 | (805 | ) | |||
USD | 164,934 | ILS | 601,317 | Goldman Sachs & Co. | 6/21/17 | (5,006 | ) | |||
USD | 69,006 | ILS | 249,393 | Goldman Sachs & Co. | 6/21/17 | (1,476 | ) | |||
USD | 116,112 | ILS | 424,807 | Goldman Sachs & Co. | 6/21/17 | (3,944 | ) | |||
USD | 222,890 | ILS | 800,910 | Goldman Sachs & Co. | 6/21/17 | (3,457 | ) | |||
INR | 5,144,485 | USD | 77,431 | Morgan Stanley | 6/21/17 | 2,221 | ||||
INR | 7,184,696 | USD | 109,975 | Morgan Stanley | 6/21/17 | 1,264 | ||||
INR | 7,578,597 | USD | 117,470 | Morgan Stanley | 6/21/17 | (132 | ) | |||
INR | 7,322,696 | USD | 113,557 | Morgan Stanley | 6/21/17 | (180 | ) | |||
INR | 11,227,045 | USD | 166,351 | Morgan Stanley | 6/21/17 | 7,476 | ||||
USD | 222,203 | INR | 14,500,955 | Morgan Stanley | 6/21/17 | (2,314 | ) | |||
USD | 150,616 | INR | 9,778,022 | Morgan Stanley | 6/21/17 | (775 | ) | |||
JPY | 12,641,593 | USD | 114,335 | Credit Suisse AG | 6/21/17 | (96 | ) | |||
JPY | 10,691,409 | USD | 98,811 | Credit Suisse AG | 6/21/17 | (2,196 | ) | |||
JPY | 37,842,978 | USD | 337,823 | Credit Suisse AG | 6/21/17 | 4,154 | ||||
JPY | 36,788,061 | USD | 332,922 | Credit Suisse AG | 6/21/17 | (478 | ) | |||
USD | 101,095 | JPY | 11,175,984 | Credit Suisse AG | 6/21/17 | 101 | ||||
USD | 331,370 | JPY | 37,172,309 | Credit Suisse AG | 6/21/17 | (4,546 | ) | |||
USD | 113,087 | JPY | 12,827,687 | Credit Suisse AG | 6/21/17 | (2,833 | ) | |||
KRW | 128,449,462 | USD | 113,642 | Morgan Stanley | 6/21/17 | 1,137 | ||||
KRW | 119,954,474 | USD | 106,234 | Morgan Stanley | 6/21/17 | 954 | ||||
KRW | 125,187,644 | USD | 110,608 | Morgan Stanley | 6/21/17 | 1,256 | ||||
USD | 113,371 | KRW | 128,449,462 | Morgan Stanley | 6/21/17 | (1,408 | ) | |||
USD | 214,463 | KRW | 245,142,118 | Morgan Stanley | 6/21/17 | (4,590 | ) | |||
MXN | 1,599,984 | USD | 80,476 | JPMorgan Chase Bank N.A. | 6/21/17 | 5,057 | ||||
MXN | 2,031,517 | USD | 108,494 | JPMorgan Chase Bank N.A. | 6/21/17 | 110 | ||||
MXN | 2,127,585 | USD | 111,049 | JPMorgan Chase Bank N.A. | 6/21/17 | 2,690 | ||||
MXN | 2,053,231 | USD | 109,467 | JPMorgan Chase Bank N.A. | 6/21/17 | 297 | ||||
MXN | 42,522 | USD | 2,218 | JPMorgan Chase Bank N.A. | 6/30/17 | 51 | ||||
USD | 218,052 | MXN | 4,180,816 | JPMorgan Chase Bank N.A. | 6/21/17 | (5,451 | ) | |||
USD | 80,386 | MXN | 1,599,984 | JPMorgan Chase Bank N.A. | 6/21/17 | (5,148 | ) | |||
USD | 106,177 | MXN | 2,031,517 | JPMorgan Chase Bank N.A. | 6/21/17 | (2,426 | ) | |||
USD | 2,254 | MXN | 42,264 | JPMorgan Chase Bank N.A. | 6/30/17 | (2 | ) | |||
USD | 49,824 | MXN | 968,778 | JPMorgan Chase Bank N.A. | 6/30/17 | (1,887 | ) | |||
USD | 1,351 | MXN | 26,167 | JPMorgan Chase Bank N.A. | 6/30/17 | (46 | ) | |||
USD | 53,684 | MXN | 1,015,591 | JPMorgan Chase Bank N.A. | 6/30/17 | (527 | ) | |||
MYR | 363,168 | USD | 81,850 | Goldman Sachs & Co. | 6/21/17 | 2,750 | ||||
MYR | 590,927 | USD | 132,703 | Goldman Sachs & Co. | 6/21/17 | 4,954 | ||||
MYR | 478,310 | USD | 107,293 | Goldman Sachs & Co. | 6/21/17 | 4,130 | ||||
MYR | 471,911 | USD | 107,595 | Goldman Sachs & Co. | 6/21/17 | 2,337 | ||||
MYR | 479,749 | USD | 109,158 | Goldman Sachs & Co. | 6/21/17 | 2,600 | ||||
MYR | 510,506 | USD | 117,533 | Goldman Sachs & Co. | 6/21/17 | 1,390 |
20
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
MYR | 470,641 | USD | 109,197 | Goldman Sachs & Co. | 6/21/17 | $ | 439 | |||
USD | 76,183 | MYR | 338,900 | Goldman Sachs & Co. | 6/21/17 | (2,764 | ) | |||
USD | 114,612 | MYR | 499,480 | Goldman Sachs & Co. | 6/21/17 | (1,742 | ) | |||
USD | 138,538 | MYR | 619,474 | Goldman Sachs & Co. | 6/21/17 | (5,769 | ) | |||
USD | 23,634 | MYR | 106,058 | Goldman Sachs & Co. | 6/21/17 | (1,072 | ) | |||
USD | 81,863 | MYR | 367,973 | Goldman Sachs & Co. | 6/21/17 | (3,857 | ) | |||
NOK | 979,509 | USD | 115,158 | JPMorgan Chase Bank N.A. | 6/21/17 | 804 | ||||
NOK | 967,605 | USD | 114,905 | JPMorgan Chase Bank N.A. | 6/21/17 | (352 | ) | |||
USD | 81,631 | NOK | 694,015 | JPMorgan Chase Bank N.A. | 6/21/17 | (532 | ) | |||
USD | 82,509 | NOK | 708,962 | JPMorgan Chase Bank N.A. | 6/21/17 | (1,424 | ) | |||
USD | 36,450 | NOK | 307,334 | JPMorgan Chase Bank N.A. | 6/21/17 | 65 | ||||
USD | 102,389 | NOK | 877,911 | JPMorgan Chase Bank N.A. | 6/21/17 | (1,545 | ) | |||
USD | 22,540 | NOK | 193,926 | JPMorgan Chase Bank N.A. | 6/21/17 | (418 | ) | |||
USD | 122,561 | NOK | 1,056,671 | JPMorgan Chase Bank N.A. | 6/21/17 | (2,536 | ) | |||
NZD | 195,552 | USD | 136,959 | JPMorgan Chase Bank N.A. | 6/21/17 | 1,533 | ||||
NZD | 310,299 | USD | 218,499 | JPMorgan Chase Bank N.A. | 6/21/17 | 1,259 | ||||
USD | 66,545 | NZD | 95,112 | JPMorgan Chase Bank N.A. | 6/21/17 | (815 | ) | |||
USD | 70,493 | NZD | 100,383 | JPMorgan Chase Bank N.A. | 6/21/17 | (600 | ) | |||
USD | 64,423 | NZD | 92,295 | JPMorgan Chase Bank N.A. | 6/21/17 | (941 | ) | |||
USD | 238,985 | NZD | 344,062 | JPMorgan Chase Bank N.A. | 6/21/17 | (4,684 | ) | |||
USD | 123,352 | NZD | 179,339 | JPMorgan Chase Bank N.A. | 6/21/17 | (3,658 | ) | |||
PHP | 3,121,590 | USD | 61,962 | Morgan Stanley | 6/21/17 | 689 | ||||
PHP | 4,607,689 | USD | 92,901 | Morgan Stanley | 6/21/17 | (423 | ) | |||
PHP | 5,655,116 | USD | 112,753 | Morgan Stanley | 6/21/17 | 747 | ||||
PHP | 11,884,305 | USD | 238,019 | Morgan Stanley | 6/21/17 | 502 | ||||
PHP | 5,302,423 | USD | 106,078 | Morgan Stanley | 6/21/17 | 343 | ||||
USD | 95,028 | PHP | 4,799,855 | Morgan Stanley | 6/21/17 | (1,306 | ) | |||
USD | 164,866 | PHP | 8,366,951 | Morgan Stanley | 6/21/17 | (3,061 | ) | |||
USD | 78,893 | PHP | 4,009,344 | Morgan Stanley | 6/21/17 | (1,575 | ) | |||
USD | 22,241 | PHP | 1,125,010 | Morgan Stanley | 6/21/17 | (338 | ) | |||
USD | 123,000 | PHP | 6,174,944 | Morgan Stanley | 6/21/17 | (933 | ) | |||
USD | 222,658 | PHP | 11,071,690 | Morgan Stanley | 6/21/17 | 447 | ||||
USD | 223,612 | PHP | 11,142,574 | Morgan Stanley | 6/21/17 | (22 | ) | |||
PLN | 272,900 | USD | 67,820 | Goldman Sachs & Co. | 6/21/17 | 5,526 | ||||
PLN | 124,617 | USD | 31,613 | Goldman Sachs & Co. | 6/21/17 | 1,880 | ||||
PLN | 484,231 | USD | 123,946 | Goldman Sachs & Co. | 6/21/17 | 6,199 | ||||
PLN | 416,053 | USD | 107,131 | Goldman Sachs & Co. | 6/21/17 | 4,690 | ||||
USD | 22,007 | PLN | 82,251 | Goldman Sachs & Co. | 6/21/17 | (100 | ) | |||
USD | 108,213 | PLN | 405,183 | Goldman Sachs & Co. | 6/21/17 | (686 | ) | |||
RUB | 1,193,120 | USD | 19,852 | Morgan Stanley | 6/21/17 | 1,094 | ||||
RUB | 2,859,405 | USD | 49,141 | Morgan Stanley | 6/21/17 | 1,058 | ||||
RUB | 4,095,924 | USD | 70,668 | Morgan Stanley | 6/21/17 | 1,239 | ||||
RUB | 3,897,288 | USD | 68,158 | Morgan Stanley | 6/21/17 | 262 | ||||
RUB | 6,921,002 | USD | 121,208 | Morgan Stanley | 6/21/17 | 295 | ||||
RUB | 6,922,187 | USD | 122,387 | Morgan Stanley | 6/21/17 | (862 | ) | |||
RUB | 13,505,041 | USD | 232,525 | Morgan Stanley | 6/21/17 | 4,567 | ||||
RUB | 8,404,406 | USD | 140,307 | Morgan Stanley | 6/21/17 | 7,239 | ||||
USD | 120,197 | RUB | 7,006,266 | Morgan Stanley | 6/21/17 | (2,804 | ) | |||
USD | 118,628 | RUB | 6,780,259 | Morgan Stanley | 6/21/17 | (405 | ) | |||
USD | 106,664 | RUB | 6,068,104 | Morgan Stanley | 6/21/17 | 133 | ||||
USD | 78,791 | RUB | 4,777,910 | Morgan Stanley | 6/21/17 | (5,089 | ) | |||
USD | 80,092 | RUB | 4,548,847 | Morgan Stanley | 6/21/17 | 234 | ||||
USD | 217,466 | RUB | 12,536,682 | Morgan Stanley | 6/21/17 | (2,626 | ) | |||
SEK | 951,506 | USD | 108,230 | JPMorgan Chase Bank N.A. | 6/21/17 | 1,365 |
21
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
SEK | 981,453 | USD | 112,217 | JPMorgan Chase Bank N.A. | 6/21/17 | $ | 827 | |||
USD | 108,322 | SEK | 966,263 | JPMorgan Chase Bank N.A. | 6/21/17 | (2,973 | ) | |||
USD | 107,845 | SEK | 966,696 | JPMorgan Chase Bank N.A. | 6/21/17 | (3,500 | ) | |||
USD | 112,240 | SEK | 985,969 | JPMorgan Chase Bank N.A. | 6/21/17 | (1,325 | ) | |||
SGD | 131,553 | USD | 94,297 | JPMorgan Chase Bank N.A. | 6/21/17 | 800 | ||||
SGD | 155,645 | USD | 111,641 | Morgan Stanley | 6/21/17 | 872 | ||||
SGD | 28,238 | USD | 20,285 | Credit Suisse AG | 6/30/17 | 130 | ||||
SGD | 345,557 | USD | 247,516 | Credit Suisse AG | 6/30/17 | 2,306 | ||||
USD | 94,447 | SGD | 131,553 | JPMorgan Chase Bank N.A. | 6/21/17 | (650 | ) | |||
USD | 110,369 | SGD | 155,645 | Morgan Stanley | 6/21/17 | (2,145 | ) | |||
USD | 6,736 | SGD | 9,404 | Credit Suisse AG | 6/30/17 | (63 | ) | |||
USD | 251,610 | SGD | 350,286 | Credit Suisse AG | 6/30/17 | (1,630 | ) | |||
USD | 10,108 | SGD | 14,105 | Credit Suisse AG | 6/30/17 | (90 | ) | |||
THB | 4,643,677 | USD | 134,086 | Goldman Sachs & Co. | 6/21/17 | 2,300 | ||||
THB | 2,300,234 | USD | 66,731 | Goldman Sachs & Co. | 6/21/17 | 827 | ||||
THB | 7,698,962 | USD | 225,710 | Goldman Sachs & Co. | 6/21/17 | 411 | ||||
USD | 109,974 | THB | 3,802,913 | Goldman Sachs & Co. | 6/21/17 | (1,718 | ) | |||
USD | 91,641 | THB | 3,140,998 | Goldman Sachs & Co. | 6/21/17 | (611 | ) | |||
USD | 110,579 | THB | 3,800,608 | Goldman Sachs & Co. | 6/21/17 | (1,046 | ) | |||
USD | 112,790 | THB | 3,898,354 | Goldman Sachs & Co. | 6/21/17 | (1,706 | ) | |||
TRY | 604,741 | USD | 157,287 | Goldman Sachs & Co. | 6/21/17 | 13,137 | ||||
TRY | 253,162 | USD | 65,704 | Goldman Sachs & Co. | 6/21/17 | 5,640 | ||||
TRY | 464,529 | USD | 124,539 | Goldman Sachs & Co. | 6/21/17 | 6,372 | ||||
TRY | 284,361 | USD | 76,411 | Goldman Sachs & Co. | 6/21/17 | 3,726 | ||||
TRY | 411,210 | USD | 110,271 | Goldman Sachs & Co. | 6/21/17 | 5,613 | ||||
TRY | 386,550 | USD | 104,371 | Goldman Sachs & Co. | 6/21/17 | 4,564 | ||||
TRY | 399,990 | USD | 110,619 | Goldman Sachs & Co. | 6/21/17 | 2,103 | ||||
TRY | 229,400 | USD | 64,140 | Goldman Sachs & Co. | 6/21/17 | 508 | ||||
USD | 187,781 | TRY | 677,025 | Goldman Sachs & Co. | 6/21/17 | (3,014 | ) | |||
USD | 211,814 | TRY | 763,038 | Goldman Sachs & Co. | 6/21/17 | (3,221 | ) | |||
USD | 217,339 | TRY | 823,287 | Goldman Sachs & Co. | 6/21/17 | (14,674 | ) | |||
TWD | 1,548,628 | USD | 51,272 | Morgan Stanley | 6/21/17 | 134 | ||||
TWD | 961,844 | USD | 31,818 | Morgan Stanley | 6/21/17 | 111 | ||||
TWD | 6,880,072 | USD | 226,840 | Morgan Stanley | 6/21/17 | 1,542 | ||||
TWD | 3,352,926 | USD | 111,913 | Morgan Stanley | 6/21/17 | (614 | ) | |||
TWD | 2,528,214 | USD | 81,850 | Morgan Stanley | 6/21/17 | 2,074 | ||||
TWD | 3,564,333 | USD | 118,246 | Morgan Stanley | 6/21/17 | 71 | ||||
USD | 100,905 | TWD | 3,054,761 | Morgan Stanley | 6/21/17 | (497 | ) | |||
USD | 217,153 | TWD | 6,588,414 | Morgan Stanley | 6/21/17 | (1,548 | ) | |||
USD | 65,649 | TWD | 1,983,925 | Morgan Stanley | 6/21/17 | (206 | ) | |||
USD | 337,946 | TWD | 10,232,998 | Morgan Stanley | 6/21/17 | (1,736 | ) | |||
USD | 223,207 | TWD | 6,722,992 | Morgan Stanley | 6/21/17 | 39 | ||||
ZAR | 1,543,835 | USD | 116,226 | Goldman Sachs & Co. | 6/21/17 | 1,077 | ||||
ZAR | 1,429,124 | USD | 107,664 | Goldman Sachs & Co. | 6/21/17 | 924 | ||||
ZAR | 1,514,387 | USD | 114,890 | Goldman Sachs & Co. | 6/21/17 | 176 | ||||
USD | 111,076 | ZAR | 1,543,835 | Goldman Sachs & Co. | 6/21/17 | (6,228 | ) | |||
USD | 216,580 | ZAR | 2,943,511 | Goldman Sachs & Co. | 6/21/17 | (7,074 | ) | |||
$ | (48,731 | ) |
22
FUTURES CONTRACTS | ||||||||
Contracts Purchased | Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation (Depreciation) | |||||
1 | U.S. Treasury 10-Year Ultra Notes | September 2017 | $ | 135,734 | $ | 342 |
CENTRALLY CLEARED CREDIT DEFAULT SWAP AGREEMENTS | |||||||||||||
Reference Entity | Notional Amount | Buy/Sell* Protection | Interest Rate | Termination Date | Implied Credit Spread** | Unrealized Appreciation (Depreciation) | Value | ||||||
Markit CDX North America High Yield Index Series 26 | $ | 148,500 | Sell | 5.00% | 6/20/21 | 2.71% | $ | 10,763 | $ | 14,005 | |||
Markit CDX North America High Yield Index Series 27 | 148,500 | Sell | 5.00% | 12/20/21 | 3.02% | 6,795 | 13,353 | ||||||
$ | 17,558 | $ | 27,358 |
* | The maximum potential amount the fund could be required to deliver as a seller of credit protection if a credit event occurs as defined under the terms of the agreement is the notional amount. The maximum potential amount may be partially offset by any recovery values of the reference entities and upfront payments received upon entering into the agreement. |
**Implied credit spreads for centrally cleared credit default swap agreements are linked to the weighted average spread across the underlying reference entities included in a particular index. Implied credit spreads serve as an indication of the seller's performance risk related to the likelihood of a credit event occurring as defined in the agreement. Implied credit spreads are used to determine the value of swap agreements and reflect the cost of buying/selling protection, which may include upfront payments made/received upon entering the agreement. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform under the contract terms. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk.
NOTES TO SCHEDULE OF INVESTMENTS | ||
ADR | - | American Depositary Receipt |
ARS | - | Argentine Peso |
AUD | - | Australian Dollar |
BRL | - | Brazilian Real |
CAD | - | Canadian Dollar |
CDX | - | Credit Derivatives Indexes |
CHF | - | Swiss Franc |
CLP | - | Chilean Peso |
COP | - | Colombian Peso |
DAC | - | Designated Activity Company |
EUR | - | Euro |
FHLMC | - | Federal Home Loan Mortgage Corporation |
FNMA | - | Federal National Mortgage Association |
GBP | - | British Pound |
HUF | - | Hungarian Forint |
IDR | - | Indonesian Rupiah |
ILS | - | Israeli Shekel |
INR | - | Indian Rupee |
JPY | - | Japanese Yen |
KRW | - | South Korean Won |
MTN | - | Medium Term Note |
MXN | - | Mexican Peso |
MYR | - | Malaysian Ringgit |
NOK | - | Norwegian Krone |
NZD | - | New Zealand Dollar |
PHP | - | Philippine Peso |
PLN | - | Polish Zloty |
RUB | - | Russian Ruble |
SEK | - | Swedish Krona |
SEQ | - | Sequential Payer |
SGD | - | Singapore Dollar |
THB | - | Thai Baht |
TRY | - | Turkish Lira |
TWD | - | Taiwanese Dollar |
USD | - | United States Dollar |
VRN | - | Variable Rate Note. Interest reset date is indicated. Rate shown is effective at the period end. |
ZAR | - | South African Rand |
† | Category is less than 0.05% of total net assets. |
(1) | Investments are funds within the American Century Investments family of funds and are considered affiliated funds. |
(2) | Non-income producing. |
(3) | Equity-linked debt security. The aggregated value of these securities at the period end was $1,076,343, which represented 2.0% of total net assets. |
(4) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration, normally to qualified institutional investors. The aggregate value of these securities at the period end was $2,758,827, which represented 5.0% of total net assets. |
(5) | Final maturity date indicated, unless otherwise noted. |
(6) | When-issued security. The issue price and yield are fixed on the date of the commitment, but payment and delivery are scheduled for a future date. |
(7) | Security, or a portion thereof, has been pledged at the custodian bank or with a broker for margin requirements on forward foreign currency exchange contracts, futures contracts and/or swap agreements. At the period end, the aggregate value of securities pledged was $26,952. |
(8) | The rate indicated is the yield to maturity at purchase. |
See Notes to Financial Statements.
23
Statement of Assets and Liabilities |
MAY 31, 2017 (UNAUDITED) | |||
Assets | |||
Investment securities - unaffiliated, at value (cost of $27,913,733) | $ | 29,062,006 | |
Investment securities - affiliated, at value (cost of $24,913,368) | 26,345,688 | ||
Total investment securities, at value (cost of $52,827,101) | 55,407,694 | ||
Foreign currency holdings, at value (cost of $3,355) | 3,360 | ||
Receivable for investments sold | 353,614 | ||
Receivable for capital shares sold | 6,938 | ||
Receivable for variation margin on futures contracts | 605 | ||
Receivable for variation margin on swap agreements | 17 | ||
Unrealized appreciation on forward foreign currency exchange contracts | 249,367 | ||
Dividends and interest receivable | 214,846 | ||
56,236,441 | |||
Liabilities | |||
Disbursements in excess of demand deposit cash | 57,193 | ||
Payable for investments purchased | 692,366 | ||
Unrealized depreciation on forward foreign currency exchange contracts | 298,098 | ||
Accrued management fees | 25,139 | ||
Distribution and service fees payable | 2,970 | ||
1,075,766 | |||
Net Assets | $ | 55,160,675 | |
Net Assets Consist of: | |||
Capital (par value and paid-in surplus) | $ | 53,546,644 | |
Distributions in excess of net investment income | (122,880 | ) | |
Accumulated net realized loss | (813,134 | ) | |
Net unrealized appreciation | 2,550,045 | ||
$ | 55,160,675 |
Net Assets | Shares Outstanding | Net Asset Value Per Share | ||||
Investor Class, $0.01 Par Value | $44,999,900 | 4,451,418 | $10.11 | |||
I Class, $0.01 Par Value | $1,886,293 | 186,529 | $10.11 | |||
Y Class, $0.01 Par Value | $5,062 | 500 | $10.12 | |||
A Class, $0.01 Par Value | $2,658,851 | 262,946 | $10.11* | |||
C Class, $0.01 Par Value | $1,912,015 | 189,170 | $10.11 | |||
R Class, $0.01 Par Value | $1,858,381 | 183,828 | $10.11 | |||
R5 Class, $0.01 Par Value | $5,062 | 500 | $10.12 | |||
R6 Class, $0.01 Par Value | $1,835,111 | 181,477 | $10.11 | |||
*Maximum offering price $10.73 (net asset value divided by 0.9425). |
See Notes to Financial Statements.
24
Statement of Operations |
FOR THE SIX MONTHS ENDED MAY 31, 2017 (UNAUDITED) | |||
Investment Income (Loss) | |||
Income: | |||
Income distributions from underlying funds (including $639,420 from affiliated funds) | $ | 961,416 | |
Dividends (net of foreign taxes withheld of $4,279) | 387,050 | ||
Interest | 157,115 | ||
1,505,581 | |||
Expenses: | |||
Management fees | 241,490 | ||
Distribution and service fees: | |||
A Class | 3,165 | ||
C Class | 9,230 | ||
R Class | 4,502 | ||
Directors' fees and expenses | 773 | ||
Other expenses | 3,056 | ||
262,216 | |||
Fees waived(1) | (94,074 | ) | |
168,142 | |||
Net investment income (loss) | 1,337,439 | ||
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss) on: | |||
Investment transactions (including $83,003 from affiliated funds) | 83,919 | ||
Futures contract transactions | 4,338 | ||
Swap agreement transactions | 4,474 | ||
Foreign currency transactions | 83,249 | ||
Capital gain distributions received from affiliated funds | 15,136 | ||
191,116 | |||
Change in net unrealized appreciation (depreciation) on: | |||
Investments | 2,436,370 | ||
Futures contracts | 342 | ||
Swap agreements | 9,682 | ||
Translation of assets and liabilities in foreign currencies | (105,289 | ) | |
2,341,105 | |||
Net realized and unrealized gain (loss) | 2,532,221 | ||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 3,869,660 |
(1) | Amount consists of $77,255, $3,140, $3, $4,352, $3,172, $3,095, $3 and $3,054 for the Investor Class, I Class, Y Class, A Class, C Class, R Class, R5 Class and R6 Class, respectively. |
See Notes to Financial Statements.
25
Statement of Changes in Net Assets |
SIX MONTHS ENDED MAY 31, 2017 (UNAUDITED) AND YEAR ENDED NOVEMBER 30, 2016 | ||||||
Increase (Decrease) in Net Assets | May 31, 2017 | November 30, 2016 | ||||
Operations | ||||||
Net investment income (loss) | $ | 1,337,439 | $ | 942,432 | ||
Net realized gain (loss) | 191,116 | (676,412 | ) | |||
Change in net unrealized appreciation (depreciation) | 2,341,105 | 879,551 | ||||
Net increase (decrease) in net assets resulting from operations | 3,869,660 | 1,145,571 | ||||
Distributions to Shareholders | ||||||
From net investment income: | ||||||
Investor Class | (1,261,038 | ) | (542,473 | ) | ||
I Class | (53,039 | ) | (91,140 | ) | ||
Y Class | (34 | ) | — | |||
A Class | (67,757 | ) | (84,948 | ) | ||
C Class | (42,808 | ) | (59,003 | ) | ||
R Class | (46,181 | ) | (67,155 | ) | ||
R5 Class | (33 | ) | — | |||
R6 Class | (52,900 | ) | (80,939 | ) | ||
Decrease in net assets from distributions | (1,523,790 | ) | (925,658 | ) | ||
Capital Share Transactions | ||||||
Net increase (decrease) in net assets from capital share transactions (Note 5) | 160,545 | 35,535,653 | ||||
Net increase (decrease) in net assets | 2,506,415 | 35,755,566 | ||||
Net Assets | ||||||
Beginning of period | 52,654,260 | 16,898,694 | ||||
End of period | $ | 55,160,675 | $ | 52,654,260 | ||
Undistributed (distributions in excess of) net investment income | $ | (122,880 | ) | $ | 63,471 |
See Notes to Financial Statements.
26
Notes to Financial Statements |
MAY 31, 2017 (UNAUDITED)
1. Organization
American Century Strategic Asset Allocations, Inc. (the corporation) is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company and is organized as a Maryland corporation. Multi-Asset Income Fund (the fund) is one fund in a series issued by the corporation. The fund may invest in varying combinations of other American Century Investments funds (affiliated funds), unaffiliated funds such as exchange-traded funds, equity and debt securities, and certain derivative instruments. The fund may invest in affiliated and unaffiliated funds (collectively, the underlying funds) to an unlimited extent. The fund will assume the risks associated with the underlying funds. The fund's investment objective is to seek income. Long-term capital appreciation is a secondary objective.
The fund offers the Investor Class, I Class (formerly Institutional Class), Y Class, A Class, C Class, R Class, R5 Class and R6 Class. The A Class may incur an initial sales charge. The A Class and C Class may be subject to a contingent deferred sales charge. Sale of the Y Class and R5 Class commenced on April 10, 2017.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently followed by the fund in preparation of its financial statements. The fund is an investment company and follows accounting and reporting guidance in accordance with accounting principles generally accepted in the United States of America. This may require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from these estimates. Management evaluated the impact of events or transactions occurring through the date the financial statements were issued that would merit recognition or disclosure.
Investment Valuations — The fund determines the fair value of its investments and computes its net asset value per share at the close of regular trading (usually 4 p.m. Eastern time) on the New York Stock Exchange (NYSE) on each day the NYSE is open. The Board of Directors has adopted valuation policies and procedures to guide the investment advisor in the fund’s investment valuation process and to provide methodologies for the oversight of the fund’s pricing function.
Equity securities that are listed or traded on a domestic securities exchange are valued at the last reported sales price or at the official closing price as provided by the exchange. Equity securities traded on foreign securities exchanges are generally valued at the closing price of such securities on the exchange where primarily traded or at the close of the NYSE, if that is earlier. If no last sales price is reported, or if local convention or regulation so provides, the mean of the latest bid and asked prices may be used. Securities traded over-the-counter are valued at the mean of the latest bid and asked prices, the last sales price, or the official closing price. Equity securities initially expressed in local currencies are translated into U.S. dollars at the mean of the appropriate currency exchange rate at the close of the NYSE as provided by an independent pricing service.
Fixed income securities are valued at the evaluated mean as provided by independent pricing services or at the mean of the most recent bid and asked prices as provided by investment dealers. Corporate bonds, U.S. Treasury and Government Agency securities, convertible bonds, municipal securities, and sovereign governments and agencies are valued using market models that consider trade data, quotations from dealers and active market makers, relevant yield curve and spread data, creditworthiness, trade data or market information on comparable securities, and other relevant security specific information. Mortgage-related and asset-backed securities are valued based on models that consider trade data, prepayment and default projections, benchmark yield and spread data and estimated cash flows of each tranche of the issuer. Fixed income securities initially expressed in local currencies are translated into U.S. dollars at the mean of the appropriate currency exchange rate at the close of the NYSE as provided by an independent pricing service.
Open-end management investment companies are valued at the reported net asset value per share. Exchange-traded futures contracts are valued at the settlement price as provided by the appropriate clearing corporation. Swap agreements are valued at an evaluated mean as provided by independent pricing services or independent brokers. Forward foreign currency exchange contracts are valued at the mean of the appropriate forward exchange rate at the close of the NYSE as provided by an independent pricing service.
27
If the fund determines that the market price for an investment is not readily available or the valuation methods mentioned above do not reflect an investment’s fair value, such investment is valued as determined in good faith by the Board of Directors or its delegate, in accordance with policies and procedures adopted by the Board of Directors. In its determination of fair value, the fund may review several factors including, but not limited to, market information regarding the specific investment or comparable investments and correlation with other investment types, futures indices or general market indicators. Circumstances that may cause the fund to use these procedures to value an investment include, but are not limited to: an investment has been declared in default or is distressed; trading in a security has been suspended during the trading day or a security is not actively trading on its principal exchange; prices received from a regular pricing source are deemed unreliable; or there is a foreign market holiday and no trading occurred.
The fund monitors for significant events occurring after the close of an investment’s primary exchange but before the fund’s net asset value per share is determined. Significant events may include, but are not limited to: corporate announcements and transactions; governmental action and political unrest that could impact a specific investment or an investment sector; or armed conflicts, natural disasters and similar events that could affect investments in a specific country or region. The fund also monitors for significant fluctuations between domestic and foreign markets, as evidenced by the U.S. market or such other indicators that the Board of Directors, or its delegate, deems appropriate. If significant fluctuations in foreign markets are identified, the fund may apply a model-derived factor to the closing price of equity securities traded on foreign securities exchanges. The factor is based on observable market data as provided by an independent pricing service.
Security Transactions — Security transactions are accounted for as of the trade date. Net realized gains and losses are determined on the identified cost basis, which is also used for federal income tax purposes.
Investment Income — Income and capital gain distributions, if any, from the underlying funds, are recorded as of the ex-dividend date. Long-term capital gain distributions, if any, are a component of net realized gain (loss). Dividend income less foreign taxes withheld, if any, is recorded as of the ex-dividend date. Distributions received on securities that represent a return of capital or long-term capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The fund may estimate the components of distributions received that may be considered nontaxable distributions or long-term capital gain distributions for income tax purposes. Interest income is recorded on the accrual basis and includes paydown gain (loss) and accretion of discounts and amortization of premiums. Inflation adjustments related to inflation-linked debt securities are reflected as interest income.
Equity-Linked Debt and Linked-Equity Securities — The fund may invest in hybrid equity securities, which usually convert into common stock at a date predetermined by the issuer. These securities generally offer a higher dividend yield than that of the common stock to which the security is linked. These instruments are issued by a company other than the one to which the security is linked and carry the credit of the issuer, not that of the underlying common stock. The securities’ appreciation is limited based on a predetermined final cap price at the date of the conversion. Risks of investing in these securities include, but are not limited to, a set time to capture the yield advantage, limited appreciation potential, decline in value of the underlying stock, and failure of the issuer to pay dividends or to deliver common stock at maturity.
Foreign Currency Translations — All assets and liabilities initially expressed in foreign currencies are translated into U.S. dollars at prevailing exchange rates at period end. The fund may enter into spot foreign currency exchange contracts to facilitate transactions denominated in a foreign currency. Purchases and sales of investment securities, dividend and interest income, spot foreign currency exchange contracts, and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Net realized and unrealized foreign currency exchange gains or losses related to investment securities are a component of net realized gain (loss) on investment transactions and change in net unrealized appreciation (depreciation) on investments, respectively.
Segregated Assets — In accordance with the 1940 Act, the fund segregates assets on its books and records to cover certain types of investments, including, but not limited to, futures contracts, forward commitments, when-issued securities, swap agreements and certain forward foreign currency exchange contracts. American Century Investment Management, Inc. (ACIM) (the investment advisor) monitors, on a daily basis, the securities segregated to ensure the fund designates a sufficient amount of liquid assets, marked-to-market daily. The fund may also receive assets or be required to pledge assets at the custodian bank or with a broker for margin requirements on futures contracts, forward commitments, swap agreements and certain forward foreign currency exchange contracts.
Income Tax Status — It is the fund’s policy to distribute substantially all net investment income and net realized gains to shareholders and to otherwise qualify as a regulated investment company under provisions
28
of the Internal Revenue Code. Accordingly, no provision has been made for income taxes. The fund files U.S. federal, state, local and non-U.S. tax returns as applicable. The fund's tax returns are subject to examination by the relevant taxing authority until expiration of the applicable statute of limitations, which is generally three years from the date of filing but can be longer in certain jurisdictions. At this time, management believes there are no uncertain tax positions which, based on their technical merit, would not be sustained upon examination and for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
Multiple Class — All shares of the fund represent an equal pro rata interest in the net assets of the class to which such shares belong, and have identical voting, dividend, liquidation and other rights and the same terms and conditions, except for class specific expenses and exclusive rights to vote on matters affecting only individual classes. Income, non-class specific expenses, and realized and unrealized capital gains and losses of the fund are allocated to each class of shares based on their relative net assets.
Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid monthly. Distributions from net realized gains, if any, are generally declared and paid annually. The fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code, in all events in a manner consistent with provisions of the 1940 Act.
Indemnifications — Under the corporation’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the fund. In addition, in the normal course of business, the fund enters into contracts that provide general indemnifications. The maximum exposure under these arrangements is unknown as this would involve future claims that may be made against a fund. The risk of material loss from such claims is considered by management to be remote.
3. Fees and Transactions with Related Parties
Certain officers and directors of the corporation are also officers and/or directors of American Century Companies, Inc. (ACC). The corporation’s investment advisor, ACIM, the corporation's distributor, American Century Investment Services, Inc. (ACIS), and the corporation’s transfer agent, American Century Services, LLC, are wholly owned, directly or indirectly, by ACC. ACIM serves as the investment advisor for the affiliated funds. ACIM owns 65% of the shares of the fund. Related parties do not invest in the fund for the purpose of exercising management or control.
Management Fees — The corporation has entered into a management agreement with ACIM, under which ACIM provides the fund with investment advisory and management services in exchange for a single, unified management fee (the fee) per class. The agreement provides that all expenses of managing and operating the fund, except distribution and service fees, brokerage expenses, taxes, interest, fees and expenses of the independent directors (including legal counsel fees), and extraordinary expenses, will be paid by ACIM. The fee is computed and accrued daily based on each class's daily net assets and paid monthly in arrears. The difference in the fee among the classes is a result of their separate arrangements for shareholder services. It is not the result of any difference in advisory or custodial fees or other expenses related to the management of the fund’s assets, which do not vary by class. The investment advisor will waive the portion of the fund’s management fee equal to the expenses attributable to the management fees of the American Century Investments funds in which the fund invests. The amount of this waiver will fluctuate depending on the fund’s daily allocations to other American Century Investments funds. This waiver is expected to remain in effect permanently and it cannot be terminated without the approval of the Board of Directors.
The annual management fee and the effective annual management fee after waiver for each class for the period ended May 31, 2017 are as follows:
Annual Management Fee | Effective Annual Management Fee After Waiver | |
Investor Class | 0.90% | 0.56% |
I Class | 0.70% | 0.36% |
Y Class | 0.55% | 0.21% |
A Class | 0.90% | 0.56% |
C Class | 0.90% | 0.56% |
R Class | 0.90% | 0.56% |
R5 Class | 0.70% | 0.36% |
R6 Class | 0.55% | 0.21% |
29
Distribution and Service Fees — The Board of Directors has adopted a separate Master Distribution and Individual Shareholder Services Plan for each of the A Class, C Class and R Class (collectively the plans), pursuant to Rule 12b-1 of the 1940 Act. The plans provide that the A Class will pay ACIS an annual distribution and service fee of 0.25%. The plans provide that the C Class will pay ACIS an annual distribution and service fee of 1.00%, of which 0.25% is paid for individual shareholder services and 0.75% is paid for distribution services. The plans provide that the R Class will pay ACIS an annual distribution and service fee of 0.50%. The fees are computed and accrued daily based on each class’s daily net assets and paid monthly in arrears. The fees are used to pay financial intermediaries for distribution and individual shareholder services. Fees incurred under the plans during the period ended May 31, 2017 are detailed in the Statement of Operations.
Directors' Fees and Expenses — The Board of Directors is responsible for overseeing the investment advisor’s management and operations of the fund. The directors receive detailed information about the fund and its investment advisor regularly throughout the year, and meet at least quarterly with management of the investment advisor to review reports about fund operations. The fund’s officers do not receive compensation from the fund.
Acquired Fund Fees and Expenses — The fund may invest in mutual funds, exchange-traded funds, and business development companies (the acquired funds). The fund will indirectly realize its pro rata share of the fees and expenses of the acquired funds in which it invests. These indirect fees and expenses are not paid out of the fund's assets but are reflected in the return realized by the fund on its investment in the acquired funds.
4. Investment Transactions
Purchases of investment securities, excluding short-term investments, for the period ended May 31, 2017 totaled $60,464,517, of which $569,811 represented U.S. Treasury and Government Agency obligations.
Sales of investment securities, excluding short-term investments, for the period ended May 31, 2017 totaled $59,891,690, of which $240,816 represented U.S. Treasury and Government Agency obligations.
30
5. Capital Share Transactions
Transactions in shares of the fund were as follows:
Six months ended May 31, 2017(1) | Year ended November 30, 2016 | |||||||||
Shares | Amount | Shares | Amount | |||||||
Investor Class/Shares Authorized | 70,000,000 | 70,000,000 | ||||||||
Sold | 662,193 | $ | 6,583,862 | 3,832,643 | $ | 37,402,279 | ||||
Issued in reinvestment of distributions | 123,099 | 1,217,166 | 51,396 | 492,964 | ||||||
Redeemed | (803,334 | ) | (8,028,849 | ) | (325,053 | ) | (3,105,776 | ) | ||
(18,042 | ) | (227,821 | ) | 3,558,986 | 34,789,467 | |||||
I Class/Shares Authorized | 45,000,000 | 45,000,000 | ||||||||
Sold | — | — | 2,572 | 25,000 | ||||||
Issued in reinvestment of distributions | 5,359 | 53,039 | 9,584 | 91,140 | ||||||
Redeemed | — | — | (40,233 | ) | (400,000 | ) | ||||
5,359 | 53,039 | (28,077 | ) | (283,860 | ) | |||||
Y Class/Shares Authorized | 50,000,000 | N/A | ||||||||
Sold | 497 | 5,000 | ||||||||
Issued in reinvestment of distributions | 3 | 34 | ||||||||
500 | 5,034 | |||||||||
A Class/Shares Authorized | 45,000,000 | 45,000,000 | ||||||||
Sold | 8,510 | 84,271 | 63,714 | 619,774 | ||||||
Issued in reinvestment of distributions | 6,850 | 67,757 | 8,877 | 84,948 | ||||||
Redeemed | (107 | ) | (1,059 | ) | (114 | ) | (1,090 | ) | ||
15,253 | 150,969 | 72,477 | 703,632 | |||||||
C Class/Shares Authorized | 45,000,000 | 45,000,000 | ||||||||
Sold | 3,282 | 32,645 | 11,611 | 112,482 | ||||||
Issued in reinvestment of distributions | 4,335 | 42,808 | 6,200 | 59,003 | ||||||
Redeemed | (658 | ) | (6,488 | ) | (2,691 | ) | (26,634 | ) | ||
6,959 | 68,965 | 15,120 | 144,851 | |||||||
R Class/Shares Authorized | 50,000,000 | 45,000,000 | ||||||||
Sold | 851 | 8,484 | 3,501 | 34,253 | ||||||
Issued in reinvestment of distributions | 4,673 | 46,181 | 7,051 | 67,155 | ||||||
Redeemed | (225 | ) | (2,239 | ) | (81 | ) | (784 | ) | ||
5,299 | 52,426 | 10,471 | 100,624 | |||||||
R5 Class/Shares Authorized | 50,000,000 | N/A | ||||||||
Sold | 497 | 5,000 | ||||||||
Issued in reinvestment of distributions | 3 | 33 | ||||||||
500 | 5,033 | |||||||||
R6 Class/Shares Authorized | 50,000,000 | 45,000,000 | ||||||||
Issued in reinvestment of distributions | 5,344 | 52,900 | 8,488 | 80,939 | ||||||
Net increase (decrease) | 21,172 | $ | 160,545 | 3,637,465 | $ | 35,535,653 |
(1) | April 10, 2017 (commencement of sale) through May 31, 2017 for the Y Class and R5 Class. |
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6. Affiliated Fund Transactions
A summary of transactions for each affiliated fund for the period ended May 31, 2017 follows:
Affiliated Fund(1) | Beginning Value | Purchase Cost | Sales Cost | Realized Gain (Loss) | Distributions Received(2) | Ending Value | ||||||||||||
Emerging Markets Debt Fund R6 Class | $ | 5,806,261 | $ | 1,884,845 | $ | 440,164 | $ | (806 | ) | $ | 163,515 | $ | 7,470,786 | |||||
Emerging Markets Value Fund I Class (formerly Institutional Class) | 1,320,577 | 104,284 | 414,855 | 34,361 | 20,393 | 1,146,879 | ||||||||||||
High-Yield Fund R6 Class | 11,352,296 | 2,832,598 | 3,112,662 | 9,900 | 305,304 | 11,400,989 | ||||||||||||
International Value Fund R6 Class | 4,479,438 | 1,639,761 | 944,304 | 40,103 | 135,210 | 5,776,632 | ||||||||||||
Utilities Fund Investor Class | 512,406 | 47,201 | 28,183 | (555 | ) | 30,134 | 550,402 | |||||||||||
$ | 23,470,978 | $ | 6,508,689 | $ | 4,940,168 | $ | 83,003 | $ | 654,556 | $ | 26,345,688 |
(1) | Investments are funds within the American Century Investments family of funds and are considered affiliated funds. The fund does not invest in an affiliated fund for the purpose of exercising management or control; however, investments by the fund within its investment strategy may represent a significant portion of an affiliated fund's net assets. Additional information and attributes of each affiliated fund are available at americancentury.com. |
(2) | Distributions received includes distributions from net investment income and from capital gains, if any. |
7. Fair Value Measurements
The fund’s investments valuation process is based on several considerations and may use multiple inputs to determine the fair value of the investments held by the fund. In conformity with accounting principles generally accepted in the United States of America, the inputs used to determine a valuation are classified into three broad levels.
• | Level 1 valuation inputs consist of unadjusted quoted prices in an active market for identical investments. |
• | Level 2 valuation inputs consist of direct or indirect observable market data (including quoted prices for comparable investments, evaluations of subsequent market events, interest rates, prepayment speeds, credit risk, etc.). These inputs also consist of quoted prices for identical investments initially expressed in local currencies that are adjusted through translation into U.S. dollars. |
• | Level 3 valuation inputs consist of unobservable data (including a fund’s own assumptions). |
The level classification is based on the lowest level input that is significant to the fair valuation measurement. The valuation inputs are not necessarily an indication of the risks associated with investing in these securities or other financial instruments. There were no significant transfers between levels during the period.
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The following is a summary of the level classifications as of period end. The Schedule of Investments provides additional information on the fund’s portfolio holdings.
Level 1 | Level 2 | Level 3 | ||||||
Assets | ||||||||
Investment Securities | ||||||||
Mutual Funds | $ | 26,345,688 | — | — | ||||
Common Stocks | 11,647,146 | $ | 868,210 | — | ||||
Preferred Stocks | 2,250,477 | 3,629,482 | — | |||||
Convertible Bonds | — | 2,623,960 | — | |||||
Corporate Bonds | — | 2,106,859 | — | |||||
Collateralized Mortgage Obligations | — | 1,286,627 | — | |||||
Convertible Preferred Stocks | — | 1,066,487 | — | |||||
Asset-Backed Securities | — | 615,887 | — | |||||
Commercial Mortgage-Backed Securities | — | 432,709 | — | |||||
Exchange-Traded Funds | 237,638 | — | — | |||||
U.S. Treasury Securities | — | 29,948 | — | |||||
Temporary Cash Investments | 2,266,576 | — | — | |||||
$ | 42,747,525 | $ | 12,660,169 | — | ||||
Other Financial Instruments | ||||||||
Futures Contracts | $ | 342 | — | — | ||||
Swap Agreements | — | $ | 27,358 | — | ||||
Forward Foreign Currency Exchange Contracts | — | 249,367 | — | |||||
$ | 342 | $ | 276,725 | — | ||||
Liabilities | ||||||||
Other Financial Instruments | ||||||||
Forward Foreign Currency Exchange Contracts | — | $ | 298,098 | — |
8. Derivative Instruments
Credit Risk — The fund is subject to credit risk in the normal course of pursuing its investment objectives. The value of a bond generally declines as the credit quality of its issuer declines. Credit default swap agreements enable a fund to buy/sell protection against a credit event of a specific issuer or index. A fund may attempt to enhance returns by selling protection or attempt to mitigate credit risk by buying protection. Upon entering into a centrally cleared swap, a fund is required to deposit cash or securities (initial margin) with a financial intermediary in an amount equal to a certain percentage of the notional amount. Subsequent payments (variation margin) are made or received daily, in cash, by a fund. The variation margin is equal to the daily change in the value and is a component of unrealized gains and losses. Realized gain or loss is recorded upon receipt or payment of a periodic settlement or termination of swap agreements. Net realized and unrealized gains or losses occurring during the holding period of swap agreements are a component of net realized gain (loss) on swap agreement transactions and change in net unrealized appreciation (depreciation) on swap agreements, respectively. The risks of entering into swap agreements include the possible lack of liquidity, failure of the counterparty to meet its obligations, and that there may be unfavorable changes in the underlying investments or instruments. The fund's average notional amount held during the period was $514,667.
Interest Rate Risk — The fund is subject to interest rate risk in the normal course of pursuing its investment objectives. The value of bonds generally declines as interest rates rise. A fund may enter into futures contracts based on a bond index or a specific underlying security. A fund may purchase futures contracts to gain exposure to increases in market value or sell futures contracts to protect against a decline in market value. Upon entering into a futures contract, a fund will segregate cash, cash equivalents or other appropriate liquid securities on its records in amounts sufficient to meet requirements. Subsequent payments (variation margin) are made or received daily, in cash, by a fund. The variation margin is equal to the daily change in the contract value and is recorded as unrealized gains and losses. A fund recognizes a realized gain or loss when the futures contract is closed or expires. Net realized and unrealized gains or losses occurring during the holding period of futures contracts are a component of net realized gain (loss) on futures contract transactions and change in net unrealized appreciation (depreciation) on futures contracts, respectively. One of the risks of entering into futures contracts is the possibility that the change in value of the contract may not correlate with the changes in value of the underlying securities. During the period, the fund participated in interest risk derivative instruments for temporary investment purposes.
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Foreign Currency Risk — The fund is subject to foreign currency exchange rate risk in the normal course of pursuing its investment objectives. The value of foreign investments held by a fund may be significantly affected by changes in foreign currency exchange rates. The dollar value of a foreign security generally decreases when the value of the dollar rises against the foreign currency in which the security is denominated and tends to increase when the value of the dollar declines against such foreign currency. A fund may enter into forward foreign currency exchange contracts to reduce a fund's exposure to foreign currency exchange rate fluctuations or to gain exposure to the fluctuations in the value of foreign currencies. The net U.S. dollar value of foreign currency underlying all contractual commitments held by a fund and the resulting unrealized appreciation or depreciation are determined daily. Realized gain or loss is recorded upon the termination of the contract. Net realized and unrealized gains or losses occurring during the holding period of forward foreign currency exchange contracts are a component of net realized gain (loss) on foreign currency transactions and change in net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies, respectively. A fund bears the risk of an unfavorable change in the foreign currency exchange rate underlying the forward contract. Additionally, losses, up to the fair value, may arise if the counterparties do not perform under the contract terms. The fund's average U.S. dollar exposure to foreign currency risk derivative instruments held during the period was $12,301,180.
Value of Derivative Instruments as of May 31, 2017 | ||||||||
Asset Derivatives | Liability Derivatives | |||||||
Type of Risk Exposure | Location on Statement of Assets and Liabilities | Value | Location on Statement of Assets and Liabilities | Value | ||||
Credit Risk | Receivable for variation margin on swap agreements* | $ | 17 | Payable for variation margin on swap agreements* | — | |||
Foreign Currency Risk | Unrealized appreciation on forward foreign currency exchange contracts | 249,367 | Unrealized depreciation on forward foreign currency exchange contracts | $ | 298,098 | |||
Interest Rate Risk | Receivable for variation margin on futures contracts* | 605 | Payable for variation margin on futures contracts* | — | ||||
$ | 249,989 | $ | 298,098 | |||||
* Included in the unrealized appreciation (depreciation) on centrally cleared credit default swap agreements or futures contracts, as applicable, as reported in the Schedule of Investments. | ||||||||
Effect of Derivative Instruments on the Statement of Operations for the Six Months Ended May 31, 2017 | ||||||||
Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) | |||||||
Type of Risk Exposure | Location on Statement of Operations | Value | Location on Statement of Operations | Value | ||||
Credit Risk | Net realized gain (loss) on swap agreement transactions | $ | 4,474 | Change in net unrealized appreciation (depreciation) on swap agreements | $ | 9,682 | ||
Foreign Currency Risk | Net realized gain (loss) on foreign currency transactions | 85,827 | Change in net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies | (107,143 | ) | |||
Interest Rate Risk | Net realized gain (loss) on futures contract transactions | 4,338 | Change in net unrealized appreciation (depreciation) on futures contracts | 342 | ||||
$ | 94,639 | $ | (97,119 | ) |
9. Risk Factors
There are certain risks involved in investing in foreign securities. These risks include those resulting from future adverse political, social and economic developments, fluctuations in currency exchange rates, the possible imposition of exchange controls, and other foreign laws or restrictions. Investing in emerging markets may accentuate these risks.
The fund may invest in lower-rated debt securities, which are subject to substantial risks including liquidity risk and credit risk.
The fund’s investment process may result in high portfolio turnover, which could mean high transaction costs, affecting both performance and capital gains tax liabilities to investors.
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10. Federal Tax Information
The book-basis character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. These differences reflect the differing character of certain income items and net realized gains and losses for financial statement and tax purposes, and may result in reclassification among certain capital accounts on the financial statements.
As of period end, the components of investments for federal income tax purposes were as follows:
Federal tax cost of investments | $ | 53,421,025 | |
Gross tax appreciation of investments | $ | 2,448,716 | |
Gross tax depreciation of investments | (462,047 | ) | |
Net tax appreciation (depreciation) of investments | $ | 1,986,669 |
The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales.
As of November 30, 2016, the fund had accumulated short-term capital losses of $(227,143) and accumulated long-term capital losses of $(144,164), which represent net capital loss carryovers that may be used to offset future realized capital gains for federal income tax purposes. The capital loss carryovers may be carried forward for an unlimited period. Future capital loss carryover utilization in any given year may be subject to Internal Revenue Code limitations.
11. Recently Issued Accounting Guidance and Standards
In October 2016, the Securities and Exchange Commission adopted new rules and forms as well as amendments to its rules and forms to modernize the reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, as well as other provisions. Compliance with the amendments is effective on August 1, 2017. Management is currently evaluating the impact that adopting the amendments will have on the financial statement disclosures.
In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update No. 2017-08, “Receivables - Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities” (ASU 2017-08). ASU 2017-08 amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the impact that adopting ASU 2017-08 will have on the financial statements.
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Financial Highlights |
For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | |||||||||||||||||
Per-Share Data | Ratios and Supplemental Data | ||||||||||||||||
Income From Investment Operations: | Distributions From: | Ratio to Average Net Assets of: | |||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Tax Return of Capital | Total Distributions | Net Asset Value, End of Period | Total Return(2) | Operating Expenses(3) | Operating Expenses (before expense waiver)(3) | Net Investment Income (Loss) | Net Investment Income (Loss) (before expense waiver) | Portfolio Turnover Rate | Net Assets, End of Period (in thousands) | |||
Investor Class | |||||||||||||||||
2017(4) | $9.69 | 0.24 | 0.46 | 0.70 | (0.28) | — | (0.28) | $10.11 | 7.32% | 0.57%(5) | 0.91%(5) | 4.92%(5) | 4.58%(5) | 117% | $45,000 | ||
2016 | $9.40 | 0.42 | 0.31 | 0.73 | (0.44) | — | (0.44) | $9.69 | 7.92% | 0.61% | 0.92% | 4.50% | 4.19% | 195% | $43,297 | ||
2015 | $10.00 | 0.39 | (0.57) | (0.18) | (0.39) | (0.03) | (0.42) | $9.40 | (1.84)% | 0.59% | 0.91% | 4.08% | 3.76% | 127% | $8,559 | ||
I Class(6) | |||||||||||||||||
2017(4) | $9.69 | 0.25 | 0.46 | 0.71 | (0.29) | — | (0.29) | $10.11 | 7.42% | 0.37%(5) | 0.71%(5) | 5.12%(5) | 4.78%(5) | 117% | $1,886 | ||
2016 | $9.40 | 0.47 | 0.28 | 0.75 | (0.46) | — | (0.46) | $9.69 | 8.14% | 0.41% | 0.72% | 4.70% | 4.39% | 195% | $1,756 | ||
2015 | $10.00 | 0.42 | (0.58) | (0.16) | (0.41) | (0.03) | (0.44) | $9.40 | (1.65)% | 0.39% | 0.71% | 4.28% | 3.96% | 127% | $1,967 | ||
Y Class | |||||||||||||||||
2017(7) | $10.06 | 0.04 | 0.09 | 0.13 | (0.07) | — | (0.07) | $10.12 | 1.28% | 0.22%(5) | 0.56%(5) | 2.87%(5) | 2.53%(5) | 117%(8) | $5 | ||
A Class | |||||||||||||||||
2017(4) | $9.69 | 0.23 | 0.46 | 0.69 | (0.27) | — | (0.27) | $10.11 | 7.19% | 0.82%(5) | 1.16%(5) | 4.67%(5) | 4.33%(5) | 117% | $2,659 | ||
2016 | $9.40 | 0.42 | 0.28 | 0.70 | (0.41) | — | (0.41) | $9.69 | 7.65% | 0.86% | 1.17% | 4.25% | 3.94% | 195% | $2,400 | ||
2015 | $10.00 | 0.38 | (0.58) | (0.20) | (0.37) | (0.03) | (0.40) | $9.40 | (2.08)% | 0.84% | 1.16% | 3.83% | 3.51% | 127% | $1,647 | ||
C Class | |||||||||||||||||
2017(4) | $9.69 | 0.19 | 0.46 | 0.65 | (0.23) | — | (0.23) | $10.11 | 6.80% | 1.57%(5) | 1.91%(5) | 3.92%(5) | 3.58%(5) | 117% | $1,912 | ||
2016 | $9.40 | 0.35 | 0.28 | 0.63 | (0.34) | — | (0.34) | $9.69 | 6.83% | 1.61% | 1.92% | 3.50% | 3.19% | 195% | $1,765 | ||
2015 | $10.00 | 0.31 | (0.58) | (0.27) | (0.31) | (0.03) | (0.33) | $9.40 | (2.79)% | 1.59% | 1.91% | 3.08% | 2.76% | 127% | $1,570 |
For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | |||||||||||||||||
Per-Share Data | Ratios and Supplemental Data | ||||||||||||||||
Income From Investment Operations: | Distributions From: | Ratio to Average Net Assets of: | |||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Tax Return of Capital | Total Distributions | Net Asset Value, End of Period | Total Return(2) | Operating Expenses(3) | Operating Expenses (before expense waiver)(3) | Net Investment Income (Loss) | Net Investment Income (Loss) (before expense waiver) | Portfolio Turnover Rate | Net Assets, End of Period (in thousands) | |||
R Class | |||||||||||||||||
2017(4) | $9.69 | 0.22 | 0.46 | 0.68 | (0.26) | — | (0.26) | $10.11 | 7.06% | 1.07%(5) | 1.41%(5) | 4.42%(5) | 4.08%(5) | 117% | $1,858 | ||
2016 | $9.40 | 0.40 | 0.28 | 0.68 | (0.39) | — | (0.39) | $9.69 | 7.37% | 1.11% | 1.42% | 4.00% | 3.69% | 195% | $1,730 | ||
2015 | $10.00 | 0.36 | (0.58) | (0.22) | (0.35) | (0.03) | (0.38) | $9.40 | (2.32)% | 1.09% | 1.41% | 3.58% | 3.26% | 127% | $1,580 | ||
R5 Class | |||||||||||||||||
2017(7) | $10.06 | 0.04 | 0.09 | 0.13 | (0.07) | — | (0.07) | $10.12 | 1.26% | 0.37%(5) | 0.71%(5) | 2.72%(5) | 2.38%(5) | 117%(8) | $5 | ||
R6 Class | |||||||||||||||||
2017(4) | $9.69 | 0.26 | 0.46 | 0.72 | (0.30) | — | (0.30) | $10.11 | 7.50% | 0.22%(5) | 0.56%(5) | 5.27%(5) | 4.93%(5) | 117% | $1,835 | ||
2016 | $9.40 | 0.48 | 0.28 | 0.76 | (0.47) | — | (0.47) | $9.69 | 8.30% | 0.26% | 0.57% | 4.85% | 4.54% | 195% | $1,707 | ||
2015 | $10.00 | 0.44 | (0.58) | (0.14) | (0.43) | (0.03) | (0.46) | $9.40 | (1.51)% | 0.24% | 0.56% | 4.43% | 4.11% | 127% | $1,576 |
Notes to Financial Highlights |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Total returns are calculated based on the net asset value of the last business day and do not reflect applicable sales charges, if any. Total returns for periods less than one year are not annualized. |
(3) | Ratio of operating expenses to average net assets does not include any fees and expenses of the acquired funds. |
(4) | Six months ended May 31, 2017 (unaudited). |
(5) | Annualized. |
(6) | Prior to April 10, 2017, the I Class was referred to as the Institutional Class. |
(7) | April 10, 2017 (commencement of sale) through May 31, 2017 (unaudited). |
(8) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the six months ended May 31, 2017. |
See Notes to Financial Statements.
Additional Information |
Retirement Account Information
As required by law, distributions you receive from certain IRAs are subject to federal income tax withholding, unless you elect not to have withholding apply. Tax will be withheld on the total amount withdrawn even though you may be receiving amounts that are not subject to withholding, such as nondeductible contributions. In such case, excess amounts of withholding could occur. You may adjust your withholding election so that a greater or lesser amount will be withheld.
If you don’t want us to withhold on this amount, you must notify us to not withhold the federal income tax. You may notify us in writing or in certain situations by telephone or through other electronic means. For systematic withdrawals, your withholding election will remain in effect until revoked or changed by filing a new election. You have the right to revoke your election at any time.
Remember, even if you elect not to have income tax withheld, you are liable for paying income tax on the taxable portion of your withdrawal. If you elect not to have income tax withheld or you don’t have enough income tax withheld, you may be responsible for payment of estimated tax. You may incur penalties under the estimated tax rules if your withholding and estimated tax payments are not sufficient. You can reduce or defer the income tax on a distribution by directly or indirectly rolling such distribution over to another IRA or eligible plan. You should consult your tax advisor for additional information.
State tax will be withheld if, at the time of your distribution, your address is within one of the mandatory withholding states and you have federal income tax withheld (or as otherwise required by state law). State taxes will be withheld from your distribution in accordance with the respective state rules.
Distributions you receive from 403(b), 457 and qualified plans are subject to special tax and withholding rules. Your plan administrator or plan sponsor is required to provide you with a special tax notice explaining those rules at the time you request a distribution. If applicable, federal and/or state taxes may be withheld from your distribution amount.
Proxy Voting Policies
A description of the policies that the fund's investment advisor uses in exercising the voting rights associated with the securities purchased and/or held by the fund is available without charge, upon request, by calling 1-800-345-2021. It is also available on the "About Us" page of American Century Investments’ website at americancentury.com and on the Securities and Exchange Commission’s website at sec.gov. Information regarding how the investment advisor voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the "About Us" page at americancentury.com. It is also available at sec.gov.
Quarterly Portfolio Disclosure
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. The fund’s Forms N-Q are available on the SEC’s website at sec.gov, and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The fund also makes its complete schedule of portfolio holdings for the most recent quarter of its fiscal year available on its website at americancentury.com and, upon request, by calling 1-800-345-2021.
38
Notes |
39
Contact Us | americancentury.com | |
Automated Information Line | 1-800-345-8765 | |
Investor Services Representative | 1-800-345-2021 or 816-531-5575 | |
Investors Using Advisors | 1-800-378-9878 | |
Business, Not-For-Profit, Employer-Sponsored Retirement Plans | 1-800-345-3533 | |
Banks and Trust Companies, Broker-Dealers, Financial Professionals, Insurance Companies | 1-800-345-6488 | |
Telecommunications Relay Service for the Deaf | 711 | |
American Century Strategic Asset Allocations, Inc. | ||
Investment Advisor: American Century Investment Management, Inc. Kansas City, Missouri | ||
This report and the statements it contains are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. | ||
©2017 American Century Proprietary Holdings, Inc. All rights reserved. CL-SAN-92643 1707 |
Semiannual Report | |
May 31, 2017 | |
Strategic Allocation: Aggressive Fund |
Table of Contents |
Any opinions expressed in this report reflect those of the author as of the date of the report, and do not necessarily represent the opinions of American Century Investments® or any other person in the American Century Investments organization. Any such opinions are subject to change at any time based upon market or other conditions and American Century Investments disclaims any responsibility to update such opinions. These opinions may not be relied upon as investment advice and, because investment decisions made by American Century Investments funds are based on numerous factors, may not be relied upon as an indication of trading intent on behalf of any American Century Investments fund. Security examples are used for representational purposes only and are not intended as recommendations to purchase or sell securities. Performance information for comparative indices and securities is provided to American Century Investments by third party vendors. To the best of American Century Investments’ knowledge, such information is accurate at the time of printing.
President’s Letter |
Jonathan Thomas
Dear Investor:
Thank you for reviewing this semiannual report for the period ended May 31, 2017. It provides a market overview (below), followed by a schedule of fund investments and other financial information. For additional commentary and information on fund performance, plus other investment insights, we encourage you to visit our website, americancentury.com.
“Risk-On” Sentiment Generally Prevailed Among Investors
Optimism surrounding President Trump’s aggressive pro-growth agenda, along with improving global economic data, upbeat corporate earnings reports in the U.S. and Europe, and continued accommodative central bank policies, triggered rallies among higher-risk assets during the six-month period. In addition, moderate candidate Emmanuel Macron’s victory in France’s presidential election helped ease political uncertainty in Europe, which further aided financial market performance. Global equity markets soared, including the S&P 500 Index, the MSCI EAFE Index, and the MSCI Emerging Markets Index, which gained 10.81%, 17.91%, and 17.51%, respectively. Within these indices, growth stocks significantly outperformed their value counterparts, as investors generally favored companies expected to perform well as economic fundamentals improve.
A similar pattern prevailed within the global fixed-income markets, where higher-risk and higher-yielding sectors were top performers. Meanwhile, yields on short-maturity U.S. Treasuries increased as the Federal Reserve (the Fed) raised its interest rate target twice during the reporting period. However, yields on longer-maturity U.S. Treasuries declined, largely due to waning U.S. economic growth and inflation expectations as the reporting period unfolded. Outside the U.S., ongoing central bank stimulus programs helped keep government bond yields low. Overall, returns among broad U.S. and global fixed-income indices were positive.
Late in the reporting period, investor optimism toward President Trump’s policy agenda faded as health care and tax reform remained stalled. Further delays to these and other pro-growth proposals, combined with the Fed’s efforts to normalize U.S. monetary policy, may impede future risk-on sentiment. Meanwhile, as the Fed continues to tighten, central banks in Europe, the U.K., and Japan remain extremely accommodative. In this environment, we continue to believe in a disciplined, diversified, and risk-aware approach, using professionally managed portfolios in pursuit of investment goals. We appreciate your continued trust in us.
Sincerely,
Jonathan Thomas
President and Chief Executive Officer
American Century Investments
2
Fund Characteristics |
MAY 31, 2017 | |
Top Ten Common Stocks | % of net assets |
Alphabet, Inc., Class A | 1.6% |
Apple, Inc. | 1.2% |
Amazon.com, Inc. | 1.0% |
Microsoft Corp. | 0.9% |
Facebook, Inc., Class A | 0.6% |
Wal-Mart Stores, Inc. | 0.6% |
Johnson & Johnson | 0.6% |
Applied Materials, Inc. | 0.5% |
Oracle Corp.(1) | 0.5% |
Tencent Holdings Ltd. | 0.5% |
(1) Includes shares traded on all exchanges. | |
Geographic Composition of Common Stocks | % of net assets |
United States | 53.8% |
Japan | 3.3% |
United Kingdom | 3.1% |
China | 2.5% |
Other Countries | 15.0% |
Key Fixed-Income Portfolio Statistics | |
Weighted Average Life | 6.9 years |
Average Duration (effective) | 5.3 years |
Types of Investments in Portfolio | % of net assets |
Domestic Common Stocks | 53.8% |
Foreign Common Stocks(2) | 23.9% |
Corporate Bonds | 7.7% |
U.S. Treasury Securities | 7.1% |
U.S. Government Agency Mortgage-Backed Securities | 2.3% |
Sovereign Governments and Agencies | 1.5% |
Collateralized Mortgage Obligations | 0.6% |
Commercial Mortgage-Backed Securities | 0.5% |
Asset-Backed Securities | 0.5% |
Exchange-Traded Funds | 0.4% |
Municipal Securities | 0.4% |
Commercial Paper | 0.3% |
U.S. Government Agency Securities | 0.2% |
Convertible Preferred Stocks | —(3) |
Temporary Cash Investments | 1.9% |
Other Assets and Liabilities | (1.1)% |
(2) Includes depositary shares, dual listed securities and foreign ordinary shares. | |
(3) Category is less than 0.05% of total net assets. |
3
Shareholder Fee Example |
Fund shareholders may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption/exchange fees; and (2) ongoing costs, including management fees; distribution and service (12b-1) fees; and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in your fund and to compare these costs with the ongoing cost of investing in other mutual funds.
The example is based on an investment of $1,000 made at the beginning of the period and held for the entire period from December 1, 2016 to May 31, 2017 (except as noted).
Actual Expenses
The table provides information about actual account values and actual expenses for each class. You may use the information, together with the amount you invested, to estimate the expenses that you paid over the period. First, identify the share class you own. Then simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
If you hold Investor Class shares of any American Century Investments fund, or I Class shares of the American Century Diversified Bond Fund, in an American Century Investments account (i.e., not a financial intermediary or retirement plan account), American Century Investments may charge you a $12.50 semiannual account maintenance fee if the value of those shares is less than $10,000. We will redeem shares automatically in one of your accounts to pay the $12.50 fee. In determining your total eligible investment amount, we will include your investments in all personal accounts (including American Century Investments Brokerage accounts) registered under your Social Security number. Personal accounts include individual accounts, joint accounts, UGMA/UTMA accounts, personal trusts, Coverdell Education Savings Accounts and IRAs (including traditional, Roth, Rollover, SEP-, SARSEP- and SIMPLE-IRAs), and certain other retirement accounts. If you have only business, business retirement, employer-sponsored or American Century Investments Brokerage accounts, you are currently not subject to this fee. If you are subject to the Account Maintenance Fee, your account value could be reduced by the fee amount.
Hypothetical Example for Comparison Purposes
The table also provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio of each class of your fund and an assumed rate of return of 5% per year before expenses, which is not the actual return of a fund’s share class. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption/exchange fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
4
Beginning Account Value 12/1/16 | Ending Account Value 5/31/17 | Expenses Paid During Period(1) 12/1/16 - 5/31/17 | Annualized Expense Ratio(1) | |
Actual | ||||
Investor Class (after waiver) | $1,000 | $1,100.60 | $5.81 | 1.11% |
Investor Class (before waiver) | $1,000 | $1,100.60(2) | $6.08 | 1.16% |
I Class (after waiver) | $1,000 | $1,103.40 | $4.77 | 0.91% |
I Class (before waiver) | $1,000 | $1,103.40(2) | $5.03 | 0.96% |
A Class (after waiver) | $1,000 | $1,099.90 | $7.12 | 1.36% |
A Class (before waiver) | $1,000 | $1,099.90(2) | $7.38 | 1.41% |
C Class (after waiver) | $1,000 | $1,095.30 | $11.02 | 2.11% |
C Class (before waiver) | $1,000 | $1,095.30(2) | $11.28 | 2.16% |
R Class (after waiver) | $1,000 | $1,098.70 | $8.42 | 1.61% |
R Class (before waiver) | $1,000 | $1,098.70(2) | $8.69 | 1.66% |
R5 Class (after waiver) | $1,000 | $1,031.10(3) | $1.32(4) | 0.91% |
R5 Class (before waiver) | $1,000 | $1,031.10(2)(3) | $1.39(4) | 0.96% |
R6 Class (after waiver) | $1,000 | $1,103.80 | $3.99 | 0.76% |
R6 Class (before waiver) | $1,000 | $1,103.80(2) | $4.25 | 0.81% |
Hypothetical | ||||
Investor Class (after waiver) | $1,000 | $1,019.40 | $5.59 | 1.11% |
Investor Class (before waiver) | $1,000 | $1,019.15 | $5.84 | 1.16% |
I Class (after waiver) | $1,000 | $1,020.39 | $4.58 | 0.91% |
I Class (before waiver) | $1,000 | $1,020.15 | $4.84 | 0.96% |
A Class (after waiver) | $1,000 | $1,018.15 | $6.84 | 1.36% |
A Class (before waiver) | $1,000 | $1,017.90 | $7.09 | 1.41% |
C Class (after waiver) | $1,000 | $1,014.41 | $10.60 | 2.11% |
C Class (before waiver) | $1,000 | $1,014.16 | $10.85 | 2.16% |
R Class (after waiver) | $1,000 | $1,016.90 | $8.10 | 1.61% |
R Class (before waiver) | $1,000 | $1,016.65 | $8.35 | 1.66% |
R5 Class (after waiver) | $1,000 | $1,020.39(5) | $4.58(5) | 0.91% |
R5 Class (before waiver) | $1,000 | $1,020.14(5) | $4.84(5) | 0.96% |
R6 Class (after waiver) | $1,000 | $1,021.14 | $3.83 | 0.76% |
R6 Class (before waiver) | $1,000 | $1,020.89 | $4.08 | 0.81% |
(1) | Expenses are equal to the class's annualized expense ratio listed in the table above, multiplied by the average account value over the period, multiplied by 182, the number of days in the most recent fiscal half-year, divided by 365, to reflect the one-half year period. |
(2) | Ending account value assumes the return earned after waiver and would have been lower if a portion of the fees had not been waived. |
(3) | Ending account value based on actual return from April 10, 2017 (commencement of sale) through May 31, 2017. |
(4) | Expenses are equal to the class's annualized expense ratio listed in the table above, multiplied by the average account value over the period, multiplied by 52, the number of days in the period from April 10, 2017 (commencement of sale) through May 31, 2017, divided by 365, to reflect the period. Had the class been available for the full period, the expenses paid during the period would have been higher. |
(5) | Ending account value and expenses paid during the period assumes the class had been available throughout the entire period and are calculated using the class's annualized expense ratio listed in the table above. |
5
Schedule of Investments |
MAY 31, 2017 (UNAUDITED)
Shares/ Principal Amount | Value | ||||||
COMMON STOCKS — 77.7% | |||||||
Aerospace and Defense — 1.3% | |||||||
AAR Corp. | 1,772 | $ | 61,914 | ||||
Astronics Corp.(1) | 237 | 7,252 | |||||
Boeing Co. (The) | 18,056 | 3,387,847 | |||||
Cubic Corp. | 1,279 | 59,282 | |||||
Curtiss-Wright Corp. | 794 | 71,484 | |||||
Hexcel Corp. | 2,572 | 132,278 | |||||
KLX, Inc.(1) | 2,013 | 97,409 | |||||
L3 Technologies, Inc. | 3,883 | 654,635 | |||||
Lockheed Martin Corp. | 8,128 | 2,285,025 | |||||
Mercury Systems, Inc.(1) | 2,249 | 89,443 | |||||
Textron, Inc. | 37,223 | 1,779,259 | |||||
United Technologies Corp. | 30,513 | 3,700,616 | |||||
12,326,444 | |||||||
Air Freight and Logistics† | |||||||
Royal Mail plc | 49,178 | 279,686 | |||||
XPO Logistics, Inc.(1) | 2,083 | 109,566 | |||||
389,252 | |||||||
Airlines — 0.5% | |||||||
American Airlines Group, Inc. | 3,875 | 187,589 | |||||
Delta Air Lines, Inc. | 33,245 | 1,633,327 | |||||
Deutsche Lufthansa AG | 32,946 | 640,086 | |||||
easyJet plc | 12,260 | 223,361 | |||||
Japan Airlines Co. Ltd. | 5,700 | 167,011 | |||||
JetBlue Airways Corp.(1) | 9,432 | 211,465 | |||||
Qantas Airways Ltd. | 142,708 | 531,256 | |||||
Ryanair Holdings plc ADR(1) | 11,424 | 1,219,398 | |||||
Spirit Airlines, Inc.(1) | 7,386 | 392,197 | |||||
5,205,690 | |||||||
Auto Components — 0.7% | |||||||
Bridgestone Corp. | 15,600 | 655,270 | |||||
Cie Generale des Etablissements Michelin, Class B | 530 | 66,682 | |||||
Delphi Automotive plc | 26,273 | 2,311,236 | |||||
Faurecia | 7,628 | 400,425 | |||||
Hota Industrial Manufacturing Co. Ltd. | 70,851 | 352,147 | |||||
Ichikoh Industries Ltd. | 4,000 | 24,524 | |||||
LCI Industries | 2,269 | 201,941 | |||||
Motherson Sumi Systems Ltd.(1) | 93,938 | 655,979 | |||||
NGK Spark Plug Co. Ltd. | 8,700 | 176,828 | |||||
Nokian Renkaat Oyj | 8,091 | 330,659 | |||||
Schaeffler AG Preference Shares | 14,668 | 242,299 | |||||
Stoneridge, Inc.(1) | 2,211 | 34,182 |
6
Shares/ Principal Amount | Value | ||||||
Tenneco, Inc. | 1,264 | $ | 71,858 | ||||
Toyota Boshoku Corp. | 13,700 | 264,351 | |||||
TS Tech Co. Ltd. | 7,400 | 208,135 | |||||
Valeo SA | 13,152 | 915,563 | |||||
6,912,079 | |||||||
Automobiles — 1.0% | |||||||
Astra International Tbk PT | 2,132,400 | 1,400,788 | |||||
Brilliance China Automotive Holdings Ltd. | 484,000 | 903,088 | |||||
Daimler AG | 216 | 15,677 | |||||
Ferrari NV | 2,670 | 230,950 | |||||
Fiat Chrysler Automobiles NV(1) | 18,345 | 192,580 | |||||
Ford Motor Co. | 116,565 | 1,296,203 | |||||
Harley-Davidson, Inc. | 2,522 | 133,691 | |||||
Honda Motor Co. Ltd. | 8,500 | 239,228 | |||||
Honda Motor Co. Ltd. ADR | 36,109 | 1,008,524 | |||||
Peugeot SA | 29,166 | 575,001 | |||||
Subaru Corp. | 18,500 | 625,576 | |||||
Suzuki Motor Corp. | 9,600 | 452,045 | |||||
Tata Motors Ltd. | 127,790 | 943,075 | |||||
Tofas Turk Otomobil Fabrikasi AS | 69,121 | 574,066 | |||||
Toyota Motor Corp. | 19,100 | 1,023,036 | |||||
9,613,528 | |||||||
Banks — 5.8% | |||||||
Ameris Bancorp | 1,303 | 56,485 | |||||
Australia & New Zealand Banking Group Ltd. | 48,601 | 1,011,525 | |||||
Banco do Brasil SA | 34,500 | 301,720 | |||||
Banco Macro SA ADR | 3,912 | 350,007 | |||||
Banco Santander SA | 143,815 | 933,947 | |||||
Bank Mandiri Persero Tbk PT | 754,400 | 713,622 | |||||
Bank of America Corp. | 141,745 | 3,176,505 | |||||
Bank of Hawaii Corp. | 3,199 | 248,658 | |||||
Bank of the Ozarks, Inc. | 3,388 | 149,750 | |||||
Bank Rakyat Indonesia Persero Tbk PT | 531,200 | 577,261 | |||||
Bankia SA | 93,320 | 107,347 | |||||
BankUnited, Inc. | 18,144 | 601,655 | |||||
Barclays plc | 88,465 | 239,364 | |||||
BB&T Corp. | 61,653 | 2,567,847 | |||||
BNP Paribas SA | 35,352 | 2,494,749 | |||||
BOC Hong Kong Holdings Ltd. | 118,000 | 532,265 | |||||
Boston Private Financial Holdings, Inc. | 4,226 | 61,277 | |||||
CaixaBank SA | 71,060 | 335,585 | |||||
Capital Bank Financial Corp., Class A | 2,458 | 91,192 | |||||
Capitec Bank Holdings Ltd. | 8,910 | 529,083 | |||||
Cathay General Bancorp | 3,022 | 107,281 | |||||
China CITIC Bank Corp. Ltd., H Shares | 258,000 | 159,252 | |||||
China Construction Bank Corp., H Shares | 379,000 | 313,217 | |||||
Citigroup, Inc. | 10,074 | 609,880 |
7
Shares/ Principal Amount | Value | ||||||
Citizens Financial Group, Inc. | 13,184 | $ | 449,574 | ||||
Comerica, Inc. | 2,950 | 202,252 | |||||
Commerce Bancshares, Inc. | 9,614 | 514,637 | |||||
Commercial International Bank Egypt S.A.E. | 49,996 | 230,645 | |||||
Commercial International Bank Egypt S.A.E. GDR | 70,365 | 309,606 | |||||
Commonwealth Bank of Australia | 6,658 | 394,047 | |||||
Credicorp Ltd. | 1,606 | 269,037 | |||||
DNB ASA | 41,010 | 694,558 | |||||
East West Bancorp, Inc. | 13,699 | 749,746 | |||||
Erste Group Bank AG | 29,012 | 1,052,677 | |||||
FCB Financial Holdings, Inc., Class A(1) | 5,038 | 230,740 | |||||
FinecoBank Banca Fineco SpA | 20,810 | 156,391 | |||||
First Financial Bankshares, Inc. | 1,168 | 44,676 | |||||
First Hawaiian, Inc. | 3,058 | 84,278 | |||||
FNB Corp. | 7,806 | 103,039 | |||||
Hana Financial Group, Inc. | 4,356 | 159,712 | |||||
HDFC Bank Ltd. | 62,938 | 1,602,373 | |||||
HSBC Holdings plc (Hong Kong) | 105,200 | 913,955 | |||||
HSBC Holdings plc (London) | 239,141 | 2,081,668 | |||||
Industrial & Commercial Bank of China Ltd., H Shares | 1,629,770 | 1,089,644 | |||||
ING Groep NV | 70,459 | 1,178,545 | |||||
Itau Unibanco Holding SA ADR | 56,992 | 621,783 | |||||
Itau Unibanco Holding SA Preference Shares | 34,500 | 380,082 | |||||
JPMorgan Chase & Co. | 28,112 | 2,309,401 | |||||
Kasikornbank PCL | 53,600 | 294,281 | |||||
KBC Group NV | 28,378 | 2,135,216 | |||||
LegacyTexas Financial Group, Inc. | 2,948 | 103,829 | |||||
Lloyds Banking Group plc | 218,141 | 198,403 | |||||
M&T Bank Corp. | 12,057 | 1,886,559 | |||||
Mitsubishi UFJ Financial Group, Inc. | 125,500 | 782,916 | |||||
Mizuho Financial Group, Inc. | 322,100 | 560,730 | |||||
Moneta Money Bank AS | 131,770 | 448,549 | |||||
National Australia Bank Ltd. | 14,822 | 331,726 | |||||
OTP Bank plc | 15,172 | 473,023 | |||||
Oversea-Chinese Banking Corp. Ltd. | 13,000 | 98,558 | |||||
PNC Financial Services Group, Inc. (The) | 21,351 | 2,534,364 | |||||
Regions Financial Corp. | 27,798 | 384,724 | |||||
Sberbank of Russia PJSC (London) ADR | 64,143 | 715,194 | |||||
Societe Generale SA | 17,322 | 908,136 | |||||
Southside Bancshares, Inc. | 1,680 | 54,700 | |||||
Sumitomo Mitsui Financial Group, Inc. | 11,600 | 416,238 | |||||
SunTrust Banks, Inc. | 3,349 | 178,736 | |||||
SVB Financial Group(1) | 2,931 | 499,736 | |||||
Texas Capital Bancshares, Inc.(1) | 1,301 | 95,493 | |||||
U.S. Bancorp | 79,682 | 4,055,017 | |||||
UMB Financial Corp. | 4,115 | 288,173 | |||||
UniCredit SpA(1) | 38,814 | 678,878 |
8
Shares/ Principal Amount | Value | ||||||
Unione di Banche Italiane SpA | 19,990 | $ | 75,496 | ||||
United Overseas Bank Ltd. | 8,800 | 146,153 | |||||
Valley National Bancorp | 39,724 | 448,087 | |||||
Wells Fargo & Co. | 62,314 | 3,186,738 | |||||
Westamerica Bancorporation | 7,979 | 409,402 | |||||
Western Alliance Bancorp(1) | 1,474 | 67,391 | |||||
Westpac Banking Corp. | 25,533 | 578,655 | |||||
Yes Bank Ltd. | 2,443 | 54,197 | |||||
Zions Bancorporation | 17,333 | 694,533 | |||||
55,876,371 | |||||||
Beverages — 0.8% | |||||||
Boston Beer Co., Inc. (The), Class A(1) | 2,419 | 345,312 | |||||
Coca-Cola Bottling Co. Consolidated | 438 | 99,750 | |||||
Coca-Cola Co. (The) | 3,065 | 139,366 | |||||
Constellation Brands, Inc., Class A | 4,342 | 793,501 | |||||
Davide Campari-Milano SpA | 5,740 | 40,139 | |||||
Dr Pepper Snapple Group, Inc. | 2,325 | 215,783 | |||||
Heineken NV | 6,740 | 663,782 | |||||
MGP Ingredients, Inc. | 1,142 | 58,482 | |||||
Molson Coors Brewing Co., Class B | 7,912 | 749,978 | |||||
Monster Beverage Corp.(1) | 17,803 | 900,120 | |||||
PepsiCo, Inc. | 22,880 | 2,673,986 | |||||
Treasury Wine Estates Ltd. | 154,234 | 1,492,139 | |||||
8,172,338 | |||||||
Biotechnology — 2.2% | |||||||
AbbVie, Inc. | 39,253 | 2,591,483 | |||||
Aimmune Therapeutics, Inc.(1) | 1,405 | 23,323 | |||||
Alder Biopharmaceuticals, Inc.(1) | 1,142 | 17,587 | |||||
Alexion Pharmaceuticals, Inc.(1) | 5,686 | 557,399 | |||||
Alkermes plc(1) | 3,452 | 199,388 | |||||
Amgen, Inc. | 28,612 | 4,441,727 | |||||
Biogen, Inc.(1) | 10,540 | 2,611,496 | |||||
Biohaven Pharmaceutical Holding Co. Ltd.(1) | 830 | 20,924 | |||||
BioMarin Pharmaceutical, Inc.(1) | 3,975 | 348,369 | |||||
Celgene Corp.(1) | 18,345 | 2,098,851 | |||||
Clovis Oncology, Inc.(1) | 567 | 29,291 | |||||
CSL Ltd. | 9,560 | 918,419 | |||||
Exact Sciences Corp.(1) | 1,270 | 46,317 | |||||
Exelixis, Inc.(1) | 2,454 | 45,914 | |||||
FibroGen, Inc.(1) | 1,272 | 33,454 | |||||
Flexion Therapeutics, Inc.(1) | 1,357 | 23,191 | |||||
Galapagos NV(1) | 2,035 | 169,348 | |||||
Genmab A/S(1) | 958 | 204,435 | |||||
Gilead Sciences, Inc. | 25,174 | 1,633,541 | |||||
Halozyme Therapeutics, Inc.(1) | 2,098 | 24,756 | |||||
Incyte Corp.(1) | 9,861 | 1,275,323 | |||||
Ironwood Pharmaceuticals, Inc.(1) | 1,557 | 27,574 |
9
Shares/ Principal Amount | Value | ||||||
Jounce Therapeutics, Inc.(1) | 419 | $ | 8,485 | ||||
Kite Pharma, Inc.(1) | 683 | 49,395 | |||||
Ligand Pharmaceuticals, Inc., Class B(1) | 277 | 29,994 | |||||
Medy-Tox, Inc. | 1,737 | 809,855 | |||||
Neurocrine Biosciences, Inc.(1) | 330 | 14,345 | |||||
Portola Pharmaceuticals, Inc.(1) | 828 | 30,512 | |||||
Prothena Corp. plc(1) | 363 | 18,517 | |||||
Puma Biotechnology, Inc.(1) | 247 | 18,896 | |||||
Radius Health, Inc.(1) | 658 | 22,780 | |||||
Regeneron Pharmaceuticals, Inc.(1) | 2,420 | 1,110,925 | |||||
Sage Therapeutics, Inc.(1) | 443 | 29,287 | |||||
Sarepta Therapeutics, Inc.(1) | 547 | 16,322 | |||||
Seegene, Inc.(1) | 10,858 | 376,771 | |||||
Shire plc | 18,730 | 1,079,093 | |||||
Spark Therapeutics, Inc.(1) | 513 | 26,127 | |||||
TESARO, Inc.(1) | 357 | 53,304 | |||||
Ultragenyx Pharmaceutical, Inc.(1) | 497 | 26,763 | |||||
21,063,481 | |||||||
Building Products — 0.9% | |||||||
Apogee Enterprises, Inc. | 862 | 45,927 | |||||
Continental Building Products, Inc.(1) | 984 | 24,010 | |||||
CSW Industrials, Inc.(1) | 3,668 | 129,480 | |||||
Daikin Industries Ltd. | 9,400 | 921,327 | |||||
dormakaba Holding AG | 72 | 65,009 | |||||
Fortune Brands Home & Security, Inc. | 9,799 | 618,317 | |||||
Johnson Controls International plc | 106,622 | 4,452,535 | |||||
Lennox International, Inc. | 2,744 | 485,962 | |||||
LIXIL Group Corp. | 6,800 | 165,349 | |||||
Masonite International Corp.(1) | 1,108 | 81,604 | |||||
NCI Building Systems, Inc.(1) | 3,529 | 58,758 | |||||
Nichias Corp. | 8,000 | 95,061 | |||||
Owens Corning | 17,896 | 1,116,710 | |||||
PGT Innovations, Inc.(1) | 5,889 | 67,429 | |||||
USG Corp.(1) | 4,813 | 136,882 | |||||
8,464,360 | |||||||
Capital Markets — 2.3% | |||||||
3i Group plc | 45,993 | 530,374 | |||||
Affiliated Managers Group, Inc. | 7,917 | 1,218,031 | |||||
Ameriprise Financial, Inc. | 12,581 | 1,519,659 | |||||
Ares Management LP | 4,388 | 79,203 | |||||
AURELIUS Equity Opportunities SE & Co. KGaA | 3,500 | 203,899 | |||||
Bank of New York Mellon Corp. (The) | 43,760 | 2,061,971 | |||||
BlackRock, Inc. | 1,170 | 478,811 | |||||
Brookfield Asset Management, Inc., Class A | 6,211 | 235,134 | |||||
CBOE Holdings, Inc. | 5,898 | 509,410 | |||||
Charles Schwab Corp. (The) | 28,978 | 1,122,898 | |||||
Daiwa Securities Group, Inc. | 46,000 | 279,738 |
10
Shares/ Principal Amount | Value | ||||||
Deutsche Boerse AG | 7,230 | $ | 751,106 | ||||
Evercore Partners, Inc., Class A | 17,581 | 1,191,992 | |||||
Franklin Resources, Inc. | 15,441 | 645,279 | |||||
Goldman Sachs Group, Inc. (The) | 7,427 | 1,569,028 | |||||
Invesco Ltd. | 73,979 | 2,345,134 | |||||
Investec plc | 23,267 | 182,269 | |||||
Janus Henderson Group plc(1) | 3,218 | 100,670 | |||||
Julius Baer Group Ltd. | 26,600 | 1,377,306 | |||||
London Stock Exchange Group plc | 29,240 | 1,290,345 | |||||
NEX Group plc | 18,920 | 157,113 | |||||
Northern Trust Corp. | 18,310 | 1,601,027 | |||||
Partners Group Holding AG | 380 | 232,853 | |||||
S&P Global, Inc. | 4,919 | 702,482 | |||||
SBI Holdings, Inc. | 17,800 | 230,476 | |||||
SEI Investments Co. | 16,059 | 804,395 | |||||
State Street Corp. | 4,598 | 374,553 | |||||
T. Rowe Price Group, Inc. | 6,626 | 466,736 | |||||
UBS Group AG | 22,551 | 358,562 | |||||
22,620,454 | |||||||
Chemicals — 1.6% | |||||||
Air Products & Chemicals, Inc. | 11,717 | 1,687,951 | |||||
Arkema SA | 10,980 | 1,147,344 | |||||
Axalta Coating Systems Ltd.(1) | 10,759 | 336,757 | |||||
BASF SE | 2,444 | 230,180 | |||||
Cabot Corp. | 20,548 | 1,073,222 | |||||
Chase Corp. | 147 | 15,508 | |||||
Chr Hansen Holding A/S | 10,090 | 706,602 | |||||
Covestro AG | 2,337 | 174,790 | |||||
Dow Chemical Co. (The) | 43,922 | 2,721,407 | |||||
E.I. du Pont de Nemours & Co. | 6,432 | 507,613 | |||||
FMC Corp. | 16,195 | 1,220,617 | |||||
Hitachi Chemical Co. Ltd. | 9,600 | 264,813 | |||||
Ingevity Corp.(1) | 9,093 | 537,123 | |||||
Innophos Holdings, Inc. | 2,340 | 98,959 | |||||
Innospec, Inc. | 1,353 | 86,592 | |||||
Kanto Denka Kogyo Co. Ltd. | 8,000 | 65,300 | |||||
Koppers Holdings, Inc.(1) | 1,003 | 36,158 | |||||
Lenzing AG | 660 | 118,218 | |||||
Lotte Chemical Corp. | 235 | 75,668 | |||||
LyondellBasell Industries NV, Class A | 11,043 | 889,182 | |||||
Minerals Technologies, Inc. | 1,329 | 95,622 | |||||
Mitsubishi Chemical Holdings Corp. | 56,400 | 427,010 | |||||
Mitsui Chemicals, Inc. | 28,000 | 139,052 | |||||
Monsanto Co. | 4,254 | 499,505 | |||||
PolyOne Corp. | 2,288 | 85,434 | |||||
Scotts Miracle-Gro Co. (The), Class A | 4,342 | 376,061 | |||||
Sensient Technologies Corp. | 1,672 | 134,245 |
11
Shares/ Principal Amount | Value | ||||||
Shin-Etsu Chemical Co. Ltd. | 8,300 | $ | 744,339 | ||||
Taiyo Nippon Sanso Corp. | 13,900 | 141,071 | |||||
Tosoh Corp. | 53,000 | 450,321 | |||||
Valvoline, Inc. | 2,007 | 44,897 | |||||
WR Grace & Co. | 1,671 | 119,794 | |||||
15,251,355 | |||||||
Commercial Services and Supplies — 0.3% | |||||||
ABM Industries, Inc. | 1,442 | 62,064 | |||||
Advanced Disposal Services, Inc.(1) | 4,678 | 109,091 | |||||
Brink's Co. (The) | 7,499 | 473,187 | |||||
Deluxe Corp. | 798 | 54,392 | |||||
Downer EDI Ltd. | 66,666 | 317,032 | |||||
G4S plc | 86,926 | 363,999 | |||||
InnerWorkings, Inc.(1) | 4,305 | 46,666 | |||||
Interface, Inc. | 1,865 | 38,326 | |||||
Intrum Justitia AB | 4,381 | 148,295 | |||||
Knoll, Inc. | 1,717 | 36,915 | |||||
Loomis AB, B Shares | 3,175 | 119,637 | |||||
Multi-Color Corp. | 1,680 | 144,312 | |||||
Rentokil Initial plc | 59,170 | 202,487 | |||||
Republic Services, Inc. | 7,187 | 457,165 | |||||
SP Plus Corp.(1) | 201 | 5,929 | |||||
Waste Management, Inc. | 9,181 | 669,387 | |||||
3,248,884 | |||||||
Communications Equipment — 0.6% | |||||||
ARRIS International plc(1) | 291 | 8,159 | |||||
Ciena Corp.(1) | 2,687 | 63,091 | |||||
Cisco Systems, Inc. | 137,756 | 4,343,447 | |||||
F5 Networks, Inc.(1) | 530 | 67,909 | |||||
Lumentum Holdings, Inc.(1) | 615 | 35,086 | |||||
Palo Alto Networks, Inc.(1) | 14,987 | 1,777,308 | |||||
6,295,000 | |||||||
Construction and Engineering — 0.2% | |||||||
China Railway Construction Corp. Ltd., H Shares | 403,000 | 553,362 | |||||
CIMIC Group Ltd. | 1,718 | 51,701 | |||||
Dycom Industries, Inc.(1) | 421 | 35,444 | |||||
Granite Construction, Inc. | 2,233 | 104,638 | |||||
Hyundai Development Co-Engineering & Construction | 4,831 | 221,788 | |||||
Jacobs Engineering Group, Inc. | 7,330 | 384,239 | |||||
Kier Group plc | 1,865 | 30,181 | |||||
Larsen & Toubro Ltd. | 14,765 | 402,925 | |||||
Maeda Corp. | 4,000 | 43,233 | |||||
NCC AB, B Shares | 7,011 | 196,018 | |||||
Peab AB | 13,367 | 158,563 | |||||
Toshiba Plant Systems & Services Corp. | 5,800 | 86,306 | |||||
Valmont Industries, Inc. | 507 | 74,225 | |||||
2,342,623 |
12
Shares/ Principal Amount | Value | ||||||
Construction Materials — 0.5% | |||||||
Anhui Conch Cement Co. Ltd., H Shares | 145,500 | $ | 482,663 | ||||
Buzzi Unicem SpA | 5,910 | 153,427 | |||||
Cemex SAB de CV ADR(1) | 56,289 | 465,510 | |||||
CRH plc | 42,611 | 1,534,378 | |||||
Eagle Materials, Inc. | 2,336 | 220,285 | |||||
HeidelbergCement AG | 10,720 | 998,066 | |||||
Summit Materials, Inc., Class A(1) | 4,522 | 121,461 | |||||
Vulcan Materials Co. | 8,161 | 1,017,269 | |||||
Wienerberger AG | 10,940 | 257,894 | |||||
5,250,953 | |||||||
Consumer Finance — 0.3% | |||||||
Ally Financial, Inc. | 4,246 | 78,721 | |||||
American Express Co. | 12,541 | 964,905 | |||||
Bharat Financial Inclusion Ltd.(1) | 26,863 | 306,310 | |||||
Credit Acceptance Corp.(1) | 1,305 | 280,601 | |||||
Discover Financial Services | 9,572 | 561,876 | |||||
Enova International, Inc.(1) | 4,057 | 53,958 | |||||
Green Dot Corp., Class A(1) | 1,733 | 63,670 | |||||
KRUK SA | 3,332 | 269,512 | |||||
OneMain Holdings, Inc.(1) | 3,815 | 86,066 | |||||
Srisawad Power 1979 PCL | 289,694 | 427,397 | |||||
3,093,016 | |||||||
Containers and Packaging — 0.5% | |||||||
AptarGroup, Inc. | 537 | 45,650 | |||||
Ball Corp. | 33,782 | 1,381,684 | |||||
Bemis Co., Inc. | 12,606 | 562,732 | |||||
CCL Industries, Inc., Class B | 940 | 222,104 | |||||
Graphic Packaging Holding Co. | 13,528 | 182,763 | |||||
Klabin SA | 50,100 | 261,651 | |||||
Myers Industries, Inc. | 1,025 | 17,322 | |||||
RPC Group plc | 30,530 | 337,506 | |||||
Silgan Holdings, Inc. | 4,455 | 141,714 | |||||
Smurfit Kappa Group plc | 9,082 | 255,618 | |||||
Sonoco Products Co. | 8,570 | 434,585 | |||||
WestRock Co. | 19,798 | 1,077,407 | |||||
4,920,736 | |||||||
Distributors — 0.1% | |||||||
LKQ Corp.(1) | 23,336 | 734,851 | |||||
Diversified Consumer Services — 0.2% | |||||||
AA plc | 19,606 | 58,985 | |||||
Bright Horizons Family Solutions, Inc.(1) | 2,069 | 158,734 | |||||
Capella Education Co. | 310 | 26,831 | |||||
Chegg, Inc.(1) | 8,261 | 99,132 | |||||
Kroton Educacional SA | 93,000 | 414,713 | |||||
New Oriental Education & Technology Group, Inc. ADR(1) | 7,929 | 568,271 | |||||
TAL Education Group ADR | 6,858 | 798,751 | |||||
2,125,417 |
13
Shares/ Principal Amount | Value | ||||||
Diversified Financial Services — 0.4% | |||||||
Berkshire Hathaway, Inc., Class B(1) | 5,704 | $ | 942,757 | ||||
Challenger Ltd. | 38,290 | 363,893 | |||||
Compass Diversified Holdings | 8,000 | 129,200 | |||||
Industrivarden AB, C Shares | 7,918 | 187,123 | |||||
Investor AB, B Shares | 2,014 | 93,106 | |||||
Kinnevik AB, B Shares | 7,366 | 211,537 | |||||
L E Lundbergforetagen AB, B Shares | 918 | 72,087 | |||||
Leucadia National Corp. | 13,667 | 333,338 | |||||
ORIX Corp. | 82,900 | 1,308,435 | |||||
Pargesa Holding SA | 480 | 37,318 | |||||
3,678,794 | |||||||
Diversified Telecommunication Services — 0.8% | |||||||
AT&T, Inc. | 24,244 | 934,121 | |||||
Deutsche Telekom AG | 12,023 | 239,395 | |||||
Level 3 Communications, Inc.(1) | 10,623 | 632,281 | |||||
LG Uplus Corp. | 12,860 | 186,077 | |||||
Nippon Telegraph & Telephone Corp. | 11,300 | 541,584 | |||||
Orange SA | 19,061 | 334,886 | |||||
PCCW Ltd. | 331,000 | 192,843 | |||||
Swisscom AG | 841 | 403,242 | |||||
TDC A/S | 34,420 | 205,487 | |||||
Telefonica SA | 54,552 | 607,540 | |||||
Telekomunikasi Indonesia Persero Tbk PT | 1,348,900 | 440,519 | |||||
Telstra Corp. Ltd. | 61,748 | 201,880 | |||||
Verizon Communications, Inc. | 55,437 | 2,585,582 | |||||
7,505,437 | |||||||
Electric Utilities — 1.0% | |||||||
ALLETE, Inc. | 935 | 68,620 | |||||
Edison International | 22,316 | 1,820,316 | |||||
EDP - Energias de Portugal SA | 130,126 | 478,583 | |||||
Endesa SA | 28,041 | 699,769 | |||||
Enel SpA | 37,459 | 200,214 | |||||
Eversource Energy | 4,002 | 248,404 | |||||
FirstEnergy Corp. | 36,233 | 1,059,453 | |||||
PG&E Corp. | 22,530 | 1,540,601 | |||||
Pinnacle West Capital Corp. | 4,661 | 411,799 | |||||
PPL Corp. | 32,461 | 1,295,519 | |||||
Spark Energy, Inc., Class A | 436 | 19,119 | |||||
Tata Power Co. Ltd. (The) | 84,922 | 106,613 | |||||
Westar Energy, Inc. | 4,403 | 233,139 | |||||
Xcel Energy, Inc. | 34,758 | 1,665,256 | |||||
9,847,405 | |||||||
Electrical Equipment — 0.6% | |||||||
ABB Ltd. | 10,506 | 263,911 | |||||
AMETEK, Inc. | 8,212 | 501,096 | |||||
Eaton Corp. plc | 17,412 | 1,347,340 |
14
Shares/ Principal Amount | Value | ||||||
Emerson Electric Co. | 10,514 | $ | 621,588 | ||||
Furukawa Electric Co. Ltd. | 2,500 | 111,851 | |||||
Generac Holdings, Inc.(1) | 1,556 | 53,915 | |||||
Havells India Ltd. | 59,098 | 446,441 | |||||
Hubbell, Inc. | 6,061 | 702,530 | |||||
Mabuchi Motor Co. Ltd. | 3,500 | 197,201 | |||||
Melrose Industries plc | 123,806 | 381,647 | |||||
Nexans SA | 3,370 | 184,306 | |||||
Rockwell Automation, Inc. | 3,197 | 507,428 | |||||
Schneider Electric SE | 928 | 71,472 | |||||
Thermon Group Holdings, Inc.(1) | 1,036 | 19,187 | |||||
Vestas Wind Systems A/S | 6,759 | 600,725 | |||||
6,010,638 | |||||||
Electronic Equipment, Instruments and Components — 1.0% | |||||||
AAC Technologies Holdings, Inc. | 47,500 | 503,494 | |||||
Alps Electric Co. Ltd. | 4,700 | 131,982 | |||||
Anritsu Corp. | 11,300 | 97,746 | |||||
AVX Corp. | 1,498 | 24,522 | |||||
Belden, Inc. | 327 | 23,217 | |||||
CDW Corp. | 10,964 | 659,813 | |||||
Coherent, Inc.(1) | 384 | 95,290 | |||||
Dolby Laboratories, Inc., Class A | 15,264 | 769,153 | |||||
Fabrinet(1) | 841 | 29,628 | |||||
Hexagon AB, B Shares | 22,810 | 999,122 | |||||
IPG Photonics Corp.(1) | 145 | 20,161 | |||||
KCE Electronics PCL | 81,400 | 258,109 | |||||
Keyence Corp. | 2,200 | 999,386 | |||||
Keysight Technologies, Inc.(1) | 17,264 | 667,081 | |||||
Largan Precision Co. Ltd. | 1,000 | 157,917 | |||||
LG Innotek Co. Ltd. | 2,210 | 264,505 | |||||
National Instruments Corp. | 5,631 | 214,823 | |||||
Omron Corp. | 9,233 | 385,994 | |||||
Orbotech Ltd.(1) | 1,723 | 61,477 | |||||
OSI Systems, Inc.(1) | 1,114 | 88,218 | |||||
Sunny Optical Technology Group Co. Ltd. | 75,000 | 584,212 | |||||
TE Connectivity Ltd. | 22,391 | 1,765,530 | |||||
Tongda Group Holdings Ltd. | 614,000 | 174,921 | |||||
Topcon Corp. | 7,000 | 127,864 | |||||
Trimble, Inc.(1) | 18,075 | 651,423 | |||||
TTM Technologies, Inc.(1) | 4,048 | 65,739 | |||||
VeriFone Systems, Inc.(1) | 4,640 | 84,866 | |||||
9,906,193 | |||||||
Energy Equipment and Services — 1.1% | |||||||
Baker Hughes, Inc. | 50,012 | 2,758,162 | |||||
Basic Energy Services, Inc.(1) | 967 | 26,583 | |||||
Dril-Quip, Inc.(1) | 15,861 | 786,706 | |||||
Halliburton Co. | 13,875 | 627,011 |
15
Shares/ Principal Amount | Value | ||||||
Helix Energy Solutions Group, Inc.(1) | 2,362 | $ | 11,763 | ||||
Helmerich & Payne, Inc. | 10,470 | 551,350 | |||||
Keane Group, Inc.(1) | 1,421 | 21,855 | |||||
Mammoth Energy Services, Inc.(1) | 1,661 | 30,180 | |||||
National Oilwell Varco, Inc. | 17,389 | 568,099 | |||||
Petrofac Ltd. | 13,417 | 65,691 | |||||
Rowan Cos. plc(1) | 7,416 | 89,289 | |||||
Schlumberger Ltd. | 55,364 | 3,852,781 | |||||
Subsea 7 SA | 33,985 | 488,700 | |||||
TechnipFMC plc(1) | 3,704 | 107,231 | |||||
TMK PJSC | 191,753 | 277,183 | |||||
Trican Well Service Ltd.(1) | 45,010 | 133,612 | |||||
10,396,196 | |||||||
Equity Real Estate Investment Trusts (REITs) — 3.4% | |||||||
Activia Properties, Inc. | 70 | 322,980 | |||||
Alexandria Real Estate Equities, Inc. | 6,650 | 775,922 | |||||
American Homes 4 Rent, Class A | 3,159 | 70,983 | |||||
American Tower Corp. | 5,346 | 701,342 | |||||
Apartment Investment & Management Co., Class A | 13,324 | 571,866 | |||||
Armada Hoffler Properties, Inc. | 3,428 | 45,284 | |||||
Ascendas Real Estate Investment Trust | 156,900 | 297,097 | |||||
AvalonBay Communities, Inc. | 5,266 | 1,007,070 | |||||
Boston Properties, Inc. | 5,230 | 634,504 | |||||
British Land Co. plc (The) | 45,584 | 372,365 | |||||
BWP Trust | 14,321 | 32,349 | |||||
Canadian Apartment Properties REIT | 5,986 | 148,359 | |||||
Care Capital Properties, Inc. | 22,701 | 596,809 | |||||
CareTrust REIT, Inc. | 2,275 | 41,519 | |||||
Charter Hall Group | 70,561 | 298,329 | |||||
Chatham Lodging Trust | 822 | 16,317 | |||||
Colony Starwood Homes | 19,624 | 678,402 | |||||
Community Healthcare Trust, Inc. | 1,415 | 34,950 | |||||
Corporate Office Properties Trust | 2,606 | 87,900 | |||||
Crown Castle International Corp. | 7,154 | 727,204 | |||||
CyrusOne, Inc. | 8,778 | 493,850 | |||||
Daiwa House REIT Investment Corp. | 150 | 386,275 | |||||
Derwent London plc | 4,275 | 152,355 | |||||
Dexus | 69,621 | 537,494 | |||||
DiamondRock Hospitality Co. | 1,851 | 20,528 | |||||
Digital Realty Trust, Inc. | 3,782 | 446,995 | |||||
Duke Realty Corp. | 6,635 | 190,225 | |||||
DuPont Fabros Technology, Inc. | 4,071 | 222,399 | |||||
Empire State Realty Trust, Inc. | 30,426 | 632,861 | |||||
EPR Properties | 216 | 15,317 | |||||
Equinix, Inc. | 3,550 | 1,565,585 | |||||
Equity Residential | 21,216 | 1,380,949 | |||||
Essex Property Trust, Inc. | 3,511 | 902,046 |
16
Shares/ Principal Amount | Value | ||||||
Extra Space Storage, Inc. | 9,791 | $ | 758,509 | ||||
Four Corners Property Trust, Inc. | 918 | 22,601 | |||||
Gaming and Leisure Properties, Inc. | 11,847 | 434,903 | |||||
Gecina SA | 3,467 | 532,983 | |||||
GGP, Inc. | 15,201 | 338,678 | |||||
Goodman Group | 79,227 | 500,392 | |||||
Healthcare Trust of America, Inc., Class A | 7,679 | 235,668 | |||||
Hudson Pacific Properties, Inc. | 13,069 | 428,140 | |||||
Hulic Reit, Inc. | 217 | 358,956 | |||||
Kite Realty Group Trust | 6,129 | 110,138 | |||||
Lexington Realty Trust | 2,707 | 26,014 | |||||
Link REIT | 64,500 | 509,044 | |||||
MedEquities Realty Trust, Inc. | 5,341 | 62,383 | |||||
Medical Properties Trust, Inc. | 3,042 | 39,394 | |||||
Merlin Properties Socimi SA | 23,474 | 297,712 | |||||
MGM Growth Properties LLC, Class A | 27,434 | 772,267 | |||||
Mirvac Group | 18,282 | 30,973 | |||||
National Health Investors, Inc. | 971 | 73,330 | |||||
Nippon Building Fund, Inc. | 40 | 213,093 | |||||
Orix JREIT, Inc. | 134 | 212,222 | |||||
Paramount Group, Inc. | 22,063 | 340,211 | |||||
Physicians Realty Trust | 12,254 | 249,246 | |||||
Piedmont Office Realty Trust, Inc., Class A | 21,157 | 448,317 | |||||
Prologis, Inc. | 17,882 | 993,166 | |||||
PS Business Parks, Inc. | 424 | 53,543 | |||||
Pure Industrial Real Estate Trust | 41,231 | 206,636 | |||||
QTS Realty Trust, Inc., Class A | 1,966 | 102,665 | |||||
Rayonier, Inc. | 9,307 | 261,434 | |||||
Regency Centers Corp. | 6,624 | 403,137 | |||||
RLJ Lodging Trust | 982 | 19,984 | |||||
Sabra Health Care REIT, Inc. | 1,814 | 42,502 | |||||
Safestore Holdings plc | 55,643 | 315,450 | |||||
SBA Communications Corp.(1) | 14,316 | 1,978,185 | |||||
Scentre Group | 116,251 | 367,980 | |||||
Segro plc | 123,252 | 798,785 | |||||
Simon Property Group, Inc. | 5,152 | 794,696 | |||||
Summit Hotel Properties, Inc. | 2,078 | 37,196 | |||||
Sun Communities, Inc. | 371 | 31,958 | |||||
Sunstone Hotel Investors, Inc. | 24,999 | 390,234 | |||||
UDR, Inc. | 2,296 | 88,649 | |||||
Unibail-Rodamco SE | 2,485 | 641,073 | |||||
UNITE Group plc (The) | 23,021 | 186,867 | |||||
Urban Edge Properties | 8,514 | 202,974 | |||||
Urstadt Biddle Properties, Inc., Class A | 1,563 | 29,259 | |||||
Ventas, Inc. | 14,990 | 996,685 | |||||
Welltower, Inc. | 10,396 | 754,126 | |||||
Westfield Corp. | 20,825 | 131,220 |
17
Shares/ Principal Amount | Value | ||||||
Weyerhaeuser Co. | 32,036 | $ | 1,055,907 | ||||
WP Carey, Inc. | 17,787 | 1,160,246 | |||||
33,448,161 | |||||||
Food and Staples Retailing — 1.7% | |||||||
Ain Holdings, Inc. | 1,300 | 104,587 | |||||
Axfood AB | 2,496 | 41,756 | |||||
BIM Birlesik Magazalar AS | 22,424 | 398,851 | |||||
Costco Wholesale Corp. | 3,251 | 586,578 | |||||
CP ALL PCL | 211,800 | 388,652 | |||||
CVS Health Corp. | 41,157 | 3,162,092 | |||||
GS Retail Co. Ltd. | 9,424 | 472,210 | |||||
Jeronimo Martins SGPS SA | 46,050 | 916,660 | |||||
Kroger Co. (The) | 20,099 | 598,548 | |||||
METRO AG | 2,979 | 99,724 | |||||
President Chain Store Corp. | 58,000 | 518,701 | |||||
Raia Drogasil SA | 13,700 | 304,741 | |||||
Sysco Corp. | 8,783 | 479,201 | |||||
Wal-Mart Stores, Inc. | 74,616 | 5,864,818 | |||||
Walgreens Boots Alliance, Inc. | 22,323 | 1,808,609 | |||||
X5 Retail Group NV GDR(1) | 17,521 | 634,260 | |||||
16,379,988 | |||||||
Food Products — 1.4% | |||||||
a2 Milk Co. Ltd.(1) | 63,820 | 150,800 | |||||
Associated British Foods plc | 16,960 | 654,690 | |||||
Blue Buffalo Pet Products, Inc.(1) | 16,687 | 391,978 | |||||
Bunge Ltd. | 5,302 | 424,001 | |||||
Calbee, Inc. | 28,100 | 1,088,478 | |||||
Campbell Soup Co. | 21,245 | 1,224,774 | |||||
Conagra Brands, Inc. | 22,364 | 861,909 | |||||
Dean Foods Co. | 28,602 | 521,700 | |||||
General Mills, Inc. | 19,277 | 1,093,777 | |||||
Glanbia plc | 4,860 | 98,817 | |||||
Hormel Foods Corp. | 19,107 | 642,568 | |||||
Hostess Brands, Inc.(1) | 4,109 | 64,676 | |||||
Indofood Sukses Makmur Tbk PT | 849,600 | 558,108 | |||||
J.M. Smucker Co. (The) | 3,189 | 407,714 | |||||
John B Sanfilippo & Son, Inc. | 328 | 21,245 | |||||
Kellogg Co. | 6,882 | 492,751 | |||||
Lamb Weston Holdings, Inc. | 3,794 | 176,079 | |||||
Mead Johnson Nutrition Co. | 2,723 | 243,491 | |||||
Mondelez International, Inc., Class A | 55,368 | 2,579,595 | |||||
Nestle SA | 1,582 | 134,998 | |||||
Premium Brands Holdings Corp. | 2,520 | 172,241 | |||||
TreeHouse Foods, Inc.(1) | 9,481 | 731,744 | |||||
Tyson Foods, Inc., Class A | 23,078 | 1,323,292 | |||||
14,059,426 | |||||||
Gas Utilities — 0.2% | |||||||
Atmos Energy Corp. | 4,139 | 344,820 |
18
Shares/ Principal Amount | Value | ||||||
China Gas Holdings Ltd. | 222,000 | $ | 338,447 | ||||
National Fuel Gas Co. | 12,204 | 692,699 | |||||
Spire, Inc. | 6,078 | 430,626 | |||||
1,806,592 | |||||||
Health Care Equipment and Supplies — 2.5% | |||||||
Abbott Laboratories | 33,412 | 1,525,592 | |||||
Ambu A/S, B Shares | 986 | 66,116 | |||||
Baxter International, Inc. | 24,993 | 1,482,335 | |||||
Becton Dickinson and Co. | 9,619 | 1,820,203 | |||||
BioMerieux | 1,160 | 244,328 | |||||
Cooper Cos., Inc. (The) | 941 | 205,844 | |||||
CR Bard, Inc. | 2,033 | 625,005 | |||||
Danaher Corp. | 7,269 | 617,429 | |||||
Edwards Lifesciences Corp.(1) | 12,619 | 1,452,068 | |||||
Essilor International SA | 5,388 | 716,326 | |||||
Hill-Rom Holdings, Inc. | 211 | 16,323 | |||||
Hologic, Inc.(1) | 46,624 | 2,019,285 | |||||
Intuitive Surgical, Inc.(1) | 1,906 | 1,743,380 | |||||
Ion Beam Applications | 2,327 | 141,184 | |||||
Masimo Corp.(1) | 775 | 67,456 | |||||
Medtronic plc | 46,531 | 3,921,633 | |||||
Merit Medical Systems, Inc.(1) | 3,488 | 123,824 | |||||
Nevro Corp.(1) | 6,351 | 437,139 | |||||
NuVasive, Inc.(1) | 8,719 | 654,187 | |||||
STERIS plc | 5,105 | 395,944 | |||||
Sysmex Corp. | 10,200 | 606,014 | |||||
Teleflex, Inc. | 5,327 | 1,065,507 | |||||
Utah Medical Products, Inc. | 629 | 42,269 | |||||
Varex Imaging Corp.(1) | 2,021 | 69,421 | |||||
West Pharmaceutical Services, Inc. | 6,615 | 641,787 | |||||
Zimmer Biomet Holdings, Inc. | 33,096 | 3,945,374 | |||||
24,645,973 | |||||||
Health Care Providers and Services — 1.6% | |||||||
Acadia Healthcare Co., Inc.(1) | 1,670 | 69,038 | |||||
Ambea AB(1) | 10,481 | 110,642 | |||||
Amedisys, Inc.(1) | 9,372 | 561,570 | |||||
American Renal Associates Holdings, Inc.(1) | 2,382 | 38,588 | |||||
AMN Healthcare Services, Inc.(1) | 2,628 | 95,265 | |||||
Anthem, Inc. | 9,608 | 1,752,019 | |||||
Cardinal Health, Inc. | 15,018 | 1,115,687 | |||||
Chartwell Retirement Residences | 12,023 | 143,117 | |||||
Cigna Corp. | 2,178 | 351,159 | |||||
CVS Group plc | 12,360 | 224,068 | |||||
Express Scripts Holding Co.(1) | 17,966 | 1,073,469 | |||||
Fresenius Medical Care AG & Co. KGaA | 8,280 | 792,102 | |||||
HCA Healthcare, Inc.(1) | 12,993 | 1,064,257 | |||||
HealthEquity, Inc.(1) | 2,254 | 103,233 |
19
Shares/ Principal Amount | Value | ||||||
Humana, Inc. | 4,188 | $ | 972,705 | ||||
LifePoint Health, Inc.(1) | 11,373 | 691,478 | |||||
McKesson Corp. | 5,501 | 897,158 | |||||
Miraca Holdings, Inc. | 8,300 | 348,862 | |||||
Owens & Minor, Inc. | 1,698 | 54,132 | |||||
PharMerica Corp.(1) | 894 | 22,082 | |||||
Providence Service Corp. (The)(1) | 1,264 | 59,079 | |||||
Quest Diagnostics, Inc. | 8,736 | 950,215 | |||||
Tivity Health, Inc.(1) | 4,192 | 142,318 | |||||
UnitedHealth Group, Inc. | 17,397 | 3,047,607 | |||||
Universal Health Services, Inc., Class B | 4,491 | 510,447 | |||||
15,190,297 | |||||||
Health Care Technology — 0.1% | |||||||
Cerner Corp.(1) | 11,501 | 751,590 | |||||
CompuGroup Medical SE | 2,019 | 114,718 | |||||
Cotiviti Holdings, Inc.(1) | 2,190 | 83,505 | |||||
Evolent Health, Inc., Class A(1) | 3,836 | 88,036 | |||||
RaySearch Laboratories AB(1) | 5,752 | 158,171 | |||||
Veeva Systems, Inc., Class A(1) | 2,534 | 161,010 | |||||
1,357,030 | |||||||
Hotels, Restaurants and Leisure — 1.7% | |||||||
Accor SA | 15,300 | 726,419 | |||||
Alsea SAB de CV | 107,921 | 389,236 | |||||
Aramark | 8,242 | 307,097 | |||||
Carnival Corp. | 35,504 | 2,274,741 | |||||
Carnival plc | 8,850 | 566,719 | |||||
Cedar Fair LP | 1,472 | 104,541 | |||||
China Lodging Group Ltd. ADR(1) | 8,708 | 665,291 | |||||
Chipotle Mexican Grill, Inc.(1) | 3,555 | 1,696,979 | |||||
Churchill Downs, Inc. | 1,391 | 233,201 | |||||
ClubCorp Holdings, Inc. | 11,026 | 146,646 | |||||
Compass Group plc | 39,830 | 857,027 | |||||
Corporate Travel Management Ltd. | 6,170 | 100,999 | |||||
Darden Restaurants, Inc. | 26,588 | 2,364,471 | |||||
Elior Group | 1,380 | 39,097 | |||||
Hilton Worldwide Holdings, Inc. | 12,654 | 841,111 | |||||
Jack in the Box, Inc. | 351 | 37,410 | |||||
Las Vegas Sands Corp. | 22,636 | 1,338,467 | |||||
McDonald's Corp. | 273 | 41,193 | |||||
MGM Resorts International | 24,741 | 784,785 | |||||
Minor International PCL | 425,600 | 468,585 | |||||
NH Hotel Group SA(1) | 14,420 | 84,395 | |||||
Papa John's International, Inc. | 5,641 | 454,495 | |||||
Planet Fitness, Inc., Class A | 3,811 | 83,270 | |||||
Red Robin Gourmet Burgers, Inc.(1) | 728 | 52,471 | |||||
Royal Caribbean Cruises Ltd. | 6,700 | 738,206 | |||||
Sands China Ltd. | 92,000 | 424,431 |
20
Shares/ Principal Amount | Value | ||||||
Texas Roadhouse, Inc. | 816 | $ | 39,919 | ||||
Vail Resorts, Inc. | 2,695 | 576,460 | |||||
16,437,662 | |||||||
Household Durables — 0.6% | |||||||
Cairn Homes plc(1) | 136,071 | 243,040 | |||||
DR Horton, Inc. | 4,761 | 155,637 | |||||
Electrolux AB Series B | 22,246 | 714,368 | |||||
Garmin Ltd. | 5,384 | 280,183 | |||||
Haier Electronics Group Co. Ltd. | 279,000 | 709,624 | |||||
Installed Building Products, Inc.(1) | 1,645 | 81,592 | |||||
Mohawk Industries, Inc.(1) | 2,384 | 570,491 | |||||
Newell Brands, Inc. | 38,826 | 2,055,837 | |||||
NVR, Inc.(1) | 229 | 522,665 | |||||
PulteGroup, Inc. | 16,817 | 381,241 | |||||
SEB SA | 1,037 | 181,960 | |||||
5,896,638 | |||||||
Household Products — 0.8% | |||||||
Church & Dwight Co., Inc. | 14,985 | 774,125 | |||||
Kimberly-Clark Corp. | 9,496 | 1,231,916 | |||||
Procter & Gamble Co. (The) | 47,720 | 4,203,655 | |||||
Reckitt Benckiser Group plc | 6,840 | 699,576 | |||||
Spectrum Brands Holdings, Inc. | 10,086 | 1,356,063 | |||||
8,265,335 | |||||||
Independent Power and Renewable Electricity Producers† | |||||||
eRex Co. Ltd. | 7,700 | 72,863 | |||||
Uniper SE(1) | 14,613 | 284,891 | |||||
357,754 | |||||||
Industrial Conglomerates — 1.0% | |||||||
3M Co. | 8,608 | 1,760,078 | |||||
Carlisle Cos., Inc. | 12,033 | 1,219,304 | |||||
DCC plc | 3,038 | 288,681 | |||||
General Electric Co. | 142,664 | 3,906,140 | |||||
Honeywell International, Inc. | 9,547 | 1,269,655 | |||||
Koninklijke Philips NV | 17,077 | 603,511 | |||||
Siemens AG | 6,750 | 963,370 | |||||
10,010,739 | |||||||
Insurance — 2.3% | |||||||
Aflac, Inc. | 13,341 | 1,005,645 | |||||
AIA Group Ltd. | 205,400 | 1,456,308 | |||||
Allianz SE | 6,821 | 1,309,498 | |||||
Allied World Assurance Co. Holdings AG | 1,300 | 68,341 | |||||
Allstate Corp. (The) | 14,204 | 1,226,373 | |||||
Arthur J Gallagher & Co. | 3,499 | 198,498 | |||||
Atlas Financial Holdings, Inc.(1) | 664 | 9,960 | |||||
Aviva plc | 167,426 | 1,132,531 | |||||
AXA SA | 19,490 | 519,765 | |||||
Brown & Brown, Inc. | 8,066 | 350,306 |
21
Shares/ Principal Amount | Value | ||||||
Chubb Ltd. | 19,639 | $ | 2,812,108 | ||||
CNP Assurances | 30,099 | 662,033 | |||||
Dai-ichi Life Holdings, Inc. | 5,600 | 93,266 | |||||
Discovery Ltd. | 52,525 | 513,115 | |||||
Everest Re Group Ltd. | 2,807 | 714,803 | |||||
Hannover Rueck SE | 4,102 | 488,446 | |||||
Hanover Insurance Group, Inc. (The) | 1,975 | 164,695 | |||||
Infinity Property & Casualty Corp. | 169 | 16,182 | |||||
James River Group Holdings Ltd. | 3,230 | 128,037 | |||||
Kinsale Capital Group, Inc. | 1,550 | 56,172 | |||||
Legal & General Group plc | 34,977 | 113,477 | |||||
Lincoln National Corp. | 2,007 | 130,415 | |||||
Loews Corp. | 5,128 | 241,836 | |||||
Mapfre SA | 112,844 | 401,332 | |||||
MetLife, Inc. | 17,668 | 893,824 | |||||
Muenchener Rueckversicherungs-Gesellschaft AG | 916 | 180,845 | |||||
NN Group NV | 6,394 | 229,846 | |||||
Old Republic International Corp. | 16,772 | 331,750 | |||||
Ping An Insurance Group Co. of China Ltd., H Shares | 140,000 | 897,396 | |||||
ProAssurance Corp. | 4,251 | 253,147 | |||||
Reinsurance Group of America, Inc. | 3,873 | 482,227 | |||||
RLI Corp. | 1,667 | 92,585 | |||||
SCOR SE | 1,935 | 76,177 | |||||
Sompo Holdings, Inc. | 2,400 | 92,619 | |||||
Sony Financial Holdings, Inc. | 6,300 | 96,989 | |||||
St. James's Place plc | 50,674 | 765,863 | |||||
Storebrand ASA | 14,870 | 97,059 | |||||
Swiss Re AG | 8,565 | 780,847 | |||||
Torchmark Corp. | 2,356 | 177,878 | |||||
Travelers Cos., Inc. (The) | 7,248 | 904,913 | |||||
Trisura Group Ltd.(1)(2) | 38 | 578 | |||||
UnipolSai Assicurazioni SpA | 57,663 | 130,588 | |||||
Unum Group | 11,733 | 527,750 | |||||
Validus Holdings Ltd. | 8,272 | 441,725 | |||||
Zurich Insurance Group AG | 3,303 | 970,899 | |||||
22,238,647 | |||||||
Internet and Direct Marketing Retail — 1.8% | |||||||
Amazon.com, Inc.(1) | 10,082 | 10,027,759 | |||||
ASOS plc(1) | 14,408 | 1,191,252 | |||||
Ctrip.com International Ltd. ADR(1) | 10,650 | 582,022 | |||||
Expedia, Inc. | 13,384 | 1,924,351 | |||||
Priceline Group, Inc. (The)(1) | 66 | 123,888 | |||||
Rakuten, Inc. | 53,100 | 645,351 | |||||
Shutterfly, Inc.(1) | 3,300 | 163,317 | |||||
Start Today Co. Ltd. | 48,700 | 1,215,411 | |||||
Zalando SE(1) | 23,651 | 1,129,420 | |||||
17,002,771 |
22
Shares/ Principal Amount | Value | ||||||
Internet Software and Services — 3.7% | |||||||
2U, Inc.(1) | 2,613 | $ | 111,706 | ||||
Alarm.com Holdings, Inc.(1) | 2,563 | 83,426 | |||||
Alibaba Group Holding Ltd. ADR(1) | 30,195 | 3,697,680 | |||||
Alphabet, Inc., Class A(1) | 15,597 | 15,395,643 | |||||
CoStar Group, Inc.(1) | 2,068 | 540,927 | |||||
Criteo SA ADR(1) | 11,170 | 585,643 | |||||
eBay, Inc.(1) | 9,695 | 332,538 | |||||
Facebook, Inc., Class A(1) | 41,226 | 6,244,090 | |||||
Five9, Inc.(1) | 4,096 | 92,037 | |||||
j2 Global, Inc. | 763 | 64,565 | |||||
Just Eat plc(1) | 18,980 | 164,214 | |||||
LogMeIn, Inc. | 8,927 | 990,897 | |||||
Mixi, Inc. | 400 | 25,102 | |||||
Momo, Inc. ADR(1) | 6,706 | 255,096 | |||||
NAVER Corp. | 526 | 396,990 | |||||
Q2 Holdings, Inc.(1) | 2,610 | 103,356 | |||||
Shopify, Inc., Class A(1) | 1,061 | 97,463 | |||||
Stamps.com, Inc.(1) | 70 | 9,653 | |||||
Tencent Holdings Ltd. | 134,200 | 4,608,494 | |||||
VeriSign, Inc.(1) | 8,122 | 732,280 | |||||
Weibo Corp. ADR(1) | 5,227 | 384,341 | |||||
Wix.com Ltd.(1) | 749 | 55,201 | |||||
Yandex NV, A Shares(1) | 45,051 | 1,192,950 | |||||
36,164,292 | |||||||
IT Services — 1.8% | |||||||
Accenture plc, Class A | 354 | 44,062 | |||||
Acxiom Corp.(1) | 3,413 | 89,421 | |||||
Alliance Data Systems Corp. | 3,512 | 846,849 | |||||
Amadeus IT Group SA, A Shares | 4,540 | 264,435 | |||||
Booz Allen Hamilton Holding Corp. | 25,058 | 988,288 | |||||
CSG Systems International, Inc. | 3,642 | 145,279 | |||||
CSRA, Inc. | 3,479 | 104,927 | |||||
DXC Technology Co.(1) | 14,764 | 1,144,505 | |||||
EVERTEC, Inc. | 6,564 | 108,306 | |||||
Fidelity National Information Services, Inc. | 14,778 | 1,268,987 | |||||
First Data Corp., Class A(1) | 31,807 | 544,854 | |||||
Fiserv, Inc.(1) | 13,375 | 1,675,620 | |||||
Global Payments, Inc. | 7,814 | 715,841 | |||||
GMO Payment Gateway, Inc. | 2,100 | 122,302 | |||||
International Business Machines Corp. | 15,806 | 2,412,470 | |||||
Jack Henry & Associates, Inc. | 2,504 | 265,950 | |||||
MAXIMUS, Inc. | 412 | 25,577 | |||||
My EG Services Bhd | 879,050 | 435,417 | |||||
Presidio, Inc.(1) | 3,009 | 46,248 | |||||
Science Applications International Corp. | 1,234 | 93,772 | |||||
Teradata Corp.(1) | 4,312 | 117,545 |
23
Shares/ Principal Amount | Value | ||||||
Vakrangee Ltd. | 73,145 | $ | 413,680 | ||||
Vantiv, Inc., Class A(1) | 13,869 | 869,864 | |||||
Visa, Inc., Class A | 36,093 | 3,437,136 | |||||
Worldpay Group plc | 273,109 | 1,092,962 | |||||
17,274,297 | |||||||
Leisure Products — 0.3% | |||||||
Brunswick Corp. | 24,229 | 1,338,895 | |||||
Malibu Boats, Inc., Class A(1) | 1,288 | 31,234 | |||||
Mattel, Inc. | 47,466 | 1,087,446 | |||||
MCBC Holdings, Inc. | 2,715 | 52,209 | |||||
Sega Sammy Holdings, Inc. | 16,800 | 213,129 | |||||
2,722,913 | |||||||
Life Sciences Tools and Services — 0.5% | |||||||
Agilent Technologies, Inc. | 15,951 | 962,483 | |||||
Bio-Techne Corp. | 5,878 | 658,806 | |||||
Eurofins Scientific SE | 208 | 110,461 | |||||
Illumina, Inc.(1) | 4,983 | 883,785 | |||||
Lonza Group AG | 6,999 | 1,449,589 | |||||
PRA Health Sciences, Inc.(1) | 1,406 | 101,584 | |||||
Waters Corp.(1) | 3,219 | 578,197 | |||||
4,744,905 | |||||||
Machinery — 2.3% | |||||||
Airtac International Group | 33,000 | 364,241 | |||||
Cargotec Oyj, B Shares | 4,488 | 267,204 | |||||
Caterpillar, Inc. | 6,497 | 684,979 | |||||
CIRCOR International, Inc. | 1,003 | 64,653 | |||||
Cummins, Inc. | 17,370 | 2,739,249 | |||||
DMG Mori Co. Ltd. | 5,200 | 81,791 | |||||
Donaldson Co., Inc. | 5,469 | 262,293 | |||||
EnPro Industries, Inc. | 2,893 | 193,281 | |||||
FANUC Corp. | 3,400 | 668,334 | |||||
Fortive Corp. | 2,143 | 133,830 | |||||
Gardner Denver Holdings, Inc.(1) | 1,399 | 32,079 | |||||
Global Brass & Copper Holdings, Inc. | 2,957 | 89,597 | |||||
Graham Corp. | 1,062 | 22,228 | |||||
Harsco Corp.(1) | 2,902 | 43,240 | |||||
Hitachi Construction Machinery Co. Ltd. | 5,800 | 134,539 | |||||
Industria Macchine Automatiche SpA | 1,290 | 115,278 | |||||
Ingersoll-Rand plc | 29,806 | 2,670,618 | |||||
ITT, Inc. | 3,516 | 133,643 | |||||
John Bean Technologies Corp. | 6,319 | 545,330 | |||||
Kennametal, Inc. | 12,820 | 493,185 | |||||
KION Group AG | 2,894 | 214,109 | |||||
Komatsu Ltd. | 33,500 | 796,589 | |||||
Konecranes Oyj, Class B | 4,098 | 169,086 | |||||
Middleby Corp. (The)(1) | 8,752 | 1,123,407 | |||||
NSK Ltd. | 18,600 | 221,688 |
24
Shares/ Principal Amount | Value | ||||||
Oshkosh Corp. | 6,838 | $ | 431,615 | ||||
Parker-Hannifin Corp. | 11,708 | 1,843,659 | |||||
Rexnord Corp.(1) | 1,938 | 44,186 | |||||
Sandvik AB | 80,949 | 1,268,524 | |||||
SKF AB, B Shares | 12,521 | 256,142 | |||||
Snap-on, Inc. | 7,625 | 1,232,658 | |||||
Stanley Black & Decker, Inc. | 1,697 | 233,575 | |||||
Timken Co. (The) | 2,513 | 115,975 | |||||
Toro Co. (The) | 11,495 | 787,293 | |||||
WABCO Holdings, Inc.(1) | 11,372 | 1,385,337 | |||||
Wabtec Corp. | 10,366 | 847,421 | |||||
Weichai Power Co. Ltd., H Shares | 198,000 | 321,168 | |||||
Weir Group plc (The) | 39,290 | 919,318 | |||||
Woodward, Inc. | 863 | 58,788 | |||||
22,010,130 | |||||||
Marine — 0.1% | |||||||
AP Moller - Maersk A/S, B Shares | 410 | 780,811 | |||||
Media — 1.6% | |||||||
AMC Entertainment Holdings, Inc., Class A | 1,761 | 39,623 | |||||
Charter Communications, Inc., Class A(1) | 835 | 288,534 | |||||
Cineworld Group plc | 21,200 | 196,123 | |||||
Comcast Corp., Class A | 91,998 | 3,835,397 | |||||
CyberAgent, Inc. | 19,800 | 715,124 | |||||
DISH Network Corp., Class A(1) | 23,086 | 1,472,194 | |||||
Emerald Expositions Events, Inc.(1) | 1,181 | 24,187 | |||||
Entravision Communications Corp., Class A | 23,227 | 133,555 | |||||
Gray Television, Inc.(1) | 2,556 | 30,800 | |||||
Liberty Media Corp-Liberty Formula One, Class C(1) | 8,656 | 288,245 | |||||
Madison Square Garden Co. (The)(1) | 206 | 40,255 | |||||
Metropole Television SA | 3,431 | 81,709 | |||||
MSG Networks, Inc., Class A(1) | 12,866 | 270,829 | |||||
Naspers Ltd., N Shares | 6,207 | 1,285,206 | |||||
Omnicom Group, Inc. | 13,570 | 1,136,080 | |||||
ProSiebenSat.1 Media SE | 13,069 | 554,870 | |||||
Publicis Groupe SA | 12,010 | 919,441 | |||||
RTL Group SA | 2,656 | 206,705 | |||||
Scripps Networks Interactive, Inc., Class A | 5,765 | 381,758 | |||||
Sirius XM Holdings, Inc. | 106,617 | 559,739 | |||||
Time Warner, Inc. | 5,767 | 573,759 | |||||
Townsquare Media, Inc.(1) | 1,463 | 14,718 | |||||
Twenty-First Century Fox, Inc., Class A | 55,629 | 1,508,659 | |||||
Walt Disney Co. (The) | 10,985 | 1,185,721 | |||||
15,743,231 | |||||||
Metals and Mining — 0.8% | |||||||
Anglo American plc(1) | 12,396 | 164,747 | |||||
Barrick Gold Corp. | 60,336 | 997,957 | |||||
BHP Billiton plc | 4,912 | 74,238 |
25
Shares/ Principal Amount | Value | ||||||
Boliden AB | 7,506 | $ | 205,453 | ||||
Centamin plc | 32,272 | 69,232 | |||||
Evraz plc(1) | 58,735 | 143,787 | |||||
Fortescue Metals Group Ltd. | 78,974 | 284,606 | |||||
Gerdau SA Preference Shares | 104,900 | 309,259 | |||||
Glencore plc | 5,534 | 20,328 | |||||
Lundin Mining Corp. | 20,390 | 112,301 | |||||
Maanshan Iron & Steel Co. Ltd., H Shares(1) | 806,000 | 284,438 | |||||
Nucor Corp. | 20,024 | 1,163,394 | |||||
Regis Resources Ltd. | 29,788 | 72,378 | |||||
Reliance Steel & Aluminum Co. | 4,401 | 321,053 | |||||
Rio Tinto plc | 43,628 | 1,743,994 | |||||
Salzgitter AG | 2,880 | 109,675 | |||||
SSAB AB, A Shares(1) | 21,510 | 87,783 | |||||
Steel Dynamics, Inc. | 6,320 | 214,817 | |||||
Teck Resources Ltd., Class B | 9,510 | 169,849 | |||||
Vale SA ADR | 68,368 | 572,240 | |||||
Vedanta Resources plc | 21,990 | 173,257 | |||||
7,294,786 | |||||||
Mortgage Real Estate Investment Trusts (REITs)† | |||||||
Blackstone Mortgage Trust, Inc., Class A | 702 | 21,797 | |||||
New Residential Investment Corp. | 883 | 14,208 | |||||
Starwood Property Trust, Inc. | 11,511 | 253,472 | |||||
Two Harbors Investment Corp. | 5,510 | 54,990 | |||||
344,467 | |||||||
Multi-Utilities — 0.2% | |||||||
Ameren Corp. | 7,047 | 399,917 | |||||
Centrica plc | 195,241 | 511,418 | |||||
E.ON SE | 53,659 | 469,444 | |||||
Engie SA | 19,370 | 295,600 | |||||
NorthWestern Corp. | 5,667 | 351,127 | |||||
2,027,506 | |||||||
Multiline Retail — 0.6% | |||||||
B&M European Value Retail SA | 32,400 | 152,080 | |||||
Dollar General Corp. | 7,728 | 567,158 | |||||
Dollar Tree, Inc.(1) | 28,485 | 2,213,284 | |||||
Dollarama, Inc. | 5,980 | 553,931 | |||||
Don Quijote Holdings Co. Ltd. | 5,300 | 207,214 | |||||
Marks & Spencer Group plc | 31,772 | 156,583 | |||||
Nordstrom, Inc. | 1,741 | 72,774 | |||||
Ollie's Bargain Outlet Holdings, Inc.(1) | 2,261 | 93,040 | |||||
Ryohin Keikaku Co. Ltd. | 1,600 | 416,506 | |||||
Seria Co. Ltd. | 4,600 | 222,628 | |||||
Target Corp. | 16,830 | 928,174 | |||||
5,583,372 | |||||||
Oil, Gas and Consumable Fuels — 3.4% | |||||||
Aegean Marine Petroleum Network, Inc. | 1,958 | 9,007 |
26
Shares/ Principal Amount | Value | ||||||
Anadarko Petroleum Corp. | 31,825 | $ | 1,608,117 | ||||
Apache Corp. | 13,798 | 645,194 | |||||
Ardmore Shipping Corp. | 5,522 | 39,758 | |||||
BP plc | 77,898 | 468,416 | |||||
Callon Petroleum Co.(1) | 7,860 | 88,975 | |||||
Chevron Corp. | 26,634 | 2,756,086 | |||||
Cimarex Energy Co. | 1,530 | 164,567 | |||||
Comstock Resources, Inc.(1) | 179 | 1,174 | |||||
Concho Resources, Inc.(1) | 10,752 | 1,363,139 | |||||
Contango Oil & Gas Co.(1) | 4,054 | 24,973 | |||||
Devon Energy Corp. | 14,555 | 494,579 | |||||
Eclipse Resources Corp.(1) | 18,022 | 40,369 | |||||
EQT Corp. | 17,522 | 968,441 | |||||
Extraction Oil & Gas, Inc.(1) | 2,441 | 34,760 | |||||
Exxon Mobil Corp. | 30,807 | 2,479,964 | |||||
Galp Energia SGPS SA | 4,807 | 74,141 | |||||
Imperial Oil Ltd. | 81,041 | 2,292,917 | |||||
JXTG Holdings, Inc. | 161,400 | 703,019 | |||||
Kinder Morgan, Inc. | 42,139 | 790,528 | |||||
Lundin Petroleum AB(1) | 42,757 | 830,405 | |||||
Marathon Petroleum Corp. | 9,766 | 508,223 | |||||
Noble Energy, Inc. | 23,774 | 682,076 | |||||
Novatek PJSC GDR | 2,860 | 321,464 | |||||
Occidental Petroleum Corp. | 40,320 | 2,376,058 | |||||
OMV AG | 8,985 | 468,379 | |||||
ONEOK, Inc. | 5,852 | 290,727 | |||||
Petroleo Brasileiro SAPetrobras ADR(1) | 46,524 | 394,524 | |||||
Repsol SA | 28,420 | 476,170 | |||||
Royal Dutch Shell plc, A Shares | 28,343 | 768,914 | |||||
Royal Dutch Shell plc ADR | 12,810 | 720,050 | |||||
Royal Dutch Shell plc, B Shares | 56,233 | 1,553,040 | |||||
RSP Permian, Inc.(1) | 2,264 | 80,576 | |||||
Scorpio Tankers, Inc. | 7,982 | 29,693 | |||||
Seven Generations Energy Ltd., Class A(1) | 8,927 | 160,122 | |||||
SK Innovation Co. Ltd. | 2,101 | 317,139 | |||||
Spectra Energy Partners LP | 4,523 | 195,122 | |||||
TOTAL SA | 27,866 | 1,479,705 | |||||
TOTAL SA ADR | 46,140 | 2,413,122 | |||||
Tullow Oil plc(1) | 481,248 | 1,133,478 | |||||
United Tractors Tbk PT | 314,600 | 656,007 | |||||
WildHorse Resource Development Corp.(1) | 2,370 | 28,250 | |||||
Williams Cos., Inc. (The) | 48,994 | 1,401,228 | |||||
YPF SA ADR | 10,180 | 251,039 | |||||
32,583,635 | |||||||
Paper and Forest Products — 0.2% | |||||||
KapStone Paper and Packaging Corp. | 3,271 | 69,116 | |||||
Nine Dragons Paper Holdings Ltd. | 415,000 | 492,085 |
27
Shares/ Principal Amount | Value | ||||||
Sappi Ltd. | 79,025 | $ | 582,128 | ||||
UPM-Kymmene Oyj | 13,133 | 370,299 | |||||
1,513,628 | |||||||
Personal Products — 0.6% | |||||||
Cosmax, Inc. | 744 | 85,059 | |||||
Edgewell Personal Care Co.(1) | 1,188 | 86,890 | |||||
Estee Lauder Cos., Inc. (The), Class A | 11,134 | 1,048,155 | |||||
Godrej Consumer Products Ltd. | 20,728 | 581,987 | |||||
Inter Parfums, Inc. | 1,589 | 55,297 | |||||
Kose Corp. | 900 | 97,111 | |||||
L'Oreal SA | 4,730 | 1,011,945 | |||||
Medifast, Inc. | 352 | 14,647 | |||||
Nu Skin Enterprises, Inc., Class A | 4,290 | 235,435 | |||||
Pola Orbis Holdings, Inc. | 1,800 | 50,384 | |||||
Unilever NV CVA | 38,630 | 2,200,126 | |||||
5,467,036 | |||||||
Pharmaceuticals — 2.7% | |||||||
Aerie Pharmaceuticals, Inc.(1) | 467 | 25,895 | |||||
Allergan plc | 4,929 | 1,102,864 | |||||
AstraZeneca plc | 1,568 | 105,742 | |||||
Bristol-Myers Squibb Co. | 17,753 | 957,774 | |||||
Catalent, Inc.(1) | 4,697 | 166,884 | |||||
Dermira, Inc.(1) | 798 | 21,881 | |||||
Eli Lilly & Co. | 5,471 | 435,327 | |||||
GlaxoSmithKline plc | 29,491 | 647,291 | |||||
H Lundbeck A/S | 2,444 | 130,404 | |||||
Horizon Pharma plc(1) | 3,122 | 31,220 | |||||
Impax Laboratories, Inc.(1) | 1,346 | 20,527 | |||||
Indivior plc | 19,423 | 81,508 | |||||
Jazz Pharmaceuticals plc(1) | 4,128 | 600,872 | |||||
Johnson & Johnson | 43,739 | 5,609,527 | |||||
Medicines Co. (The)(1) | 960 | 38,179 | |||||
Merck & Co., Inc. | 63,836 | 4,156,362 | |||||
Nippon Shinyaku Co. Ltd. | 2,500 | 145,824 | |||||
Pacira Pharmaceuticals, Inc.(1) | 719 | 31,924 | |||||
Pfizer, Inc. | 127,506 | 4,163,071 | |||||
Richter Gedeon Nyrt | 23,686 | 605,448 | |||||
Roche Holding AG | 15,508 | 4,255,874 | |||||
Sanofi | 3,849 | 381,227 | |||||
Sawai Pharmaceutical Co. Ltd. | 3,500 | 189,300 | |||||
Supernus Pharmaceuticals, Inc.(1) | 1,142 | 42,939 | |||||
Teva Pharmaceutical Industries Ltd. ADR | 7,570 | 210,900 | |||||
Theravance Biopharma, Inc.(1) | 455 | 16,608 | |||||
Zoetis, Inc. | 27,894 | 1,737,238 | |||||
25,912,610 | |||||||
Professional Services — 0.5% | |||||||
Advisory Board Co. (The)(1) | 660 | 34,122 |
28
Shares/ Principal Amount | Value | ||||||
Equifax, Inc. | 6,839 | $ | 935,575 | ||||
Huron Consulting Group, Inc.(1) | 388 | 16,121 | |||||
IHS Markit Ltd.(1) | 11,290 | 517,646 | |||||
Korn/Ferry International | 2,253 | 72,344 | |||||
ManpowerGroup, Inc. | 1,850 | 188,460 | |||||
On Assignment, Inc.(1) | 547 | 28,663 | |||||
Outsourcing, Inc. | 2,800 | 127,928 | |||||
RELX plc | 41,200 | 882,790 | |||||
Teleperformance | 2,420 | 316,570 | |||||
Temp Holdings Co. Ltd. | 10,600 | 209,320 | |||||
Verisk Analytics, Inc., Class A(1) | 13,621 | 1,101,803 | |||||
Yumeshin Holdings Co. Ltd. | 7,200 | 47,848 | |||||
4,479,190 | |||||||
Real Estate Management and Development — 1.1% | |||||||
Aroundtown Property Holdings plc | 23,777 | 123,133 | |||||
Ayala Land, Inc. | 1,070,700 | 847,525 | |||||
CapitaLand Ltd. | 48,500 | 124,786 | |||||
Central Pattana PCL | 74,800 | 148,787 | |||||
Cheung Kong Property Holdings Ltd. | 94,000 | 705,674 | |||||
China Overseas Land & Investment Ltd. | 50,000 | 150,143 | |||||
China Resources Land Ltd. | 110,000 | 323,257 | |||||
City Developments Ltd. | 30,200 | 232,450 | |||||
Country Garden Holdings Co. Ltd. | 621,000 | 733,959 | |||||
Daito Trust Construction Co. Ltd. | 3,100 | 489,002 | |||||
Daiwa House Industry Co. Ltd. | 3,700 | 120,906 | |||||
Deutsche Wohnen AG | 31,220 | 1,224,503 | |||||
Fabege AB | 24,454 | 459,459 | |||||
FirstService Corp. | 1,154 | 72,195 | |||||
Global Logistic Properties Ltd. | 87,800 | 184,020 | |||||
Grand City Properties SA | 1,901 | 39,389 | |||||
Hang Lung Properties Ltd. | 31,000 | 80,160 | |||||
Hongkong Land Holdings Ltd. | 40,900 | 309,204 | |||||
Iguatemi Empresa de Shopping Centers SA | 16,900 | 165,086 | |||||
Inmobiliaria Colonial SA | 48,572 | 394,929 | |||||
Kerry Properties Ltd. | 18,000 | 63,638 | |||||
Leopalace21 Corp. | 40,500 | 238,429 | |||||
Longfor Properties Co. Ltd. | 123,500 | 251,357 | |||||
Mitsubishi Estate Co. Ltd. | 18,600 | 347,396 | |||||
Mitsui Fudosan Co. Ltd. | 20,700 | 489,884 | |||||
Multiplan Empreendimentos Imobiliarios SA | 22,045 | 436,683 | |||||
New World Development Co. Ltd. | 71,000 | 88,379 | |||||
PT Bumi Serpong Damai Tbk | 716,600 | 97,376 | |||||
RE/MAX Holdings, Inc., Class A | 1,094 | 58,146 | |||||
Realogy Holdings Corp. | 10,936 | 333,111 | |||||
RMR Group, Inc. (The), Class A | 123 | 6,039 | |||||
Sumitomo Realty & Development Co. Ltd. | 14,000 | 422,212 | |||||
Sun Hung Kai Properties Ltd. | 22,000 | 325,516 |
29
Shares/ Principal Amount | Value | ||||||
Wharf Holdings Ltd. (The) | 37,000 | $ | 314,801 | ||||
Wheelock & Co. Ltd. | 15,000 | 112,223 | |||||
10,513,757 | |||||||
Road and Rail — 0.8% | |||||||
Canadian Pacific Railway Ltd. | 2,281 | 360,923 | |||||
CJ Korea Express Corp.(1) | 2,276 | 391,327 | |||||
DSV A/S | 26,543 | 1,615,882 | |||||
Firstgroup plc(1) | 38,283 | 73,890 | |||||
Heartland Express, Inc. | 29,953 | 582,586 | |||||
Norfolk Southern Corp. | 4,354 | 540,026 | |||||
Saia, Inc.(1) | 1,259 | 58,166 | |||||
Union Pacific Corp. | 34,457 | 3,800,607 | |||||
7,423,407 | |||||||
Semiconductors and Semiconductor Equipment — 3.4% | |||||||
Advanced Micro Devices, Inc.(1) | 3,673 | 41,101 | |||||
Analog Devices, Inc. | 2,802 | 240,299 | |||||
Applied Materials, Inc. | 115,364 | 5,292,900 | |||||
ASM Pacific Technology Ltd. | 23,100 | 331,416 | |||||
ASML Holding NV | 12,272 | 1,619,825 | |||||
ASPEED Technology, Inc. | 12,000 | 302,005 | |||||
Broadcom Ltd. | 10,181 | 2,438,146 | |||||
Cavium, Inc.(1) | 6,335 | 462,265 | |||||
Cypress Semiconductor Corp. | 4,188 | 58,590 | |||||
Dialog Semiconductor plc(1) | 2,610 | 124,593 | |||||
Disco Corp. | 900 | 155,214 | |||||
Infineon Technologies AG | 32,790 | 725,274 | |||||
Inphi Corp.(1) | 990 | 39,283 | |||||
Intel Corp. | 95,488 | 3,448,072 | |||||
KLA-Tencor Corp. | 9,644 | 1,002,976 | |||||
Kulicke & Soffa Industries, Inc.(1) | 2,853 | 63,194 | |||||
Lam Research Corp. | 19,651 | 3,049,246 | |||||
MACOM Technology Solutions Holdings, Inc.(1) | 714 | 43,532 | |||||
Marvell Technology Group Ltd. | 16,658 | 287,184 | |||||
Maxim Integrated Products, Inc. | 31,488 | 1,505,126 | |||||
Microsemi Corp.(1) | 3,157 | 155,040 | |||||
Monolithic Power Systems, Inc. | 1,153 | 113,225 | |||||
NVIDIA Corp. | 6,600 | 952,710 | |||||
Power Integrations, Inc. | 648 | 43,384 | |||||
Powertech Technology, Inc. | 107,000 | 328,694 | |||||
QUALCOMM, Inc. | 42,693 | 2,445,028 | |||||
Rohm Co. Ltd. | 7,000 | 561,896 | |||||
SK Hynix, Inc. | 14,637 | 745,185 | |||||
Skyworks Solutions, Inc. | 923 | 98,235 | |||||
Sumco Corp. | 16,800 | 277,750 | |||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 484,425 | 3,269,333 | |||||
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 4,566 | 161,454 | |||||
Teradyne, Inc. | 19,038 | 676,801 |
30
Shares/ Principal Amount | Value | ||||||
Texas Instruments, Inc. | 25,224 | $ | 2,080,728 | ||||
Tower Semiconductor Ltd.(1) | 2,443 | 63,245 | |||||
X-Fab Silicon Foundries SE(1) | 10,216 | 104,433 | |||||
33,307,382 | |||||||
Software — 3.5% | |||||||
Activision Blizzard, Inc. | 41,306 | 2,419,705 | |||||
Adobe Systems, Inc.(1) | 14,826 | 2,103,216 | |||||
BroadSoft, Inc.(1) | 3,113 | 124,520 | |||||
Cadence Design Systems, Inc.(1) | 370 | 13,002 | |||||
Callidus Software, Inc.(1) | 3,430 | 81,977 | |||||
CDK Global, Inc. | 9,655 | 593,396 | |||||
Citrix Systems, Inc.(1) | 2,741 | 226,242 | |||||
Electronic Arts, Inc.(1) | 22,433 | 2,542,332 | |||||
Guidewire Software, Inc.(1) | 8,624 | 572,806 | |||||
Intuit, Inc. | 9,376 | 1,318,641 | |||||
Microsoft Corp. | 130,627 | 9,122,990 | |||||
Oracle Corp. (New York) | 109,517 | 4,970,977 | |||||
Oracle Corp. (Tokyo)(1) | 900 | 52,984 | |||||
Proofpoint, Inc.(1) | 725 | 62,350 | |||||
RealPage, Inc.(1) | 2,894 | 100,132 | |||||
RingCentral, Inc., Class A(1) | 3,757 | 128,114 | |||||
salesforce.com, Inc.(1) | 13,816 | 1,238,466 | |||||
SAP SE | 13,220 | 1,417,349 | |||||
ServiceNow, Inc.(1) | 7,462 | 780,898 | |||||
Splunk, Inc.(1) | 22,681 | 1,388,984 | |||||
SS&C Technologies Holdings, Inc. | 188 | 7,065 | |||||
Symantec Corp. | 27,058 | 820,128 | |||||
Synopsys, Inc.(1) | 5,096 | 381,538 | |||||
Take-Two Interactive Software, Inc.(1) | 213 | 16,346 | |||||
Tyler Technologies, Inc.(1) | 5,874 | 1,003,749 | |||||
VMware, Inc., Class A(1) | 22,499 | 2,185,778 | |||||
33,673,685 | |||||||
Specialty Retail — 1.9% | |||||||
Advance Auto Parts, Inc. | 12,694 | 1,696,299 | |||||
AutoZone, Inc.(1) | 667 | 404,149 | |||||
Best Buy Co., Inc. | 24,262 | 1,440,920 | |||||
Burlington Stores, Inc.(1) | 8,221 | 804,425 | |||||
Camping World Holdings, Inc., Class A | 2,164 | 58,428 | |||||
Children's Place, Inc. (The) | 2,085 | 225,597 | |||||
CST Brands, Inc. | 4,791 | 231,549 | |||||
Foundation Building Materials, Inc.(1) | 3,607 | 48,694 | |||||
Home Depot, Inc. (The) | 7,690 | 1,180,492 | |||||
Industria de Diseno Textil SA | 37,785 | 1,544,813 | |||||
L Brands, Inc. | 7,408 | 382,253 | |||||
Lowe's Cos., Inc. | 23,899 | 1,882,524 | |||||
Maisons du Monde SA(1) | 6,957 | 262,667 | |||||
MarineMax, Inc.(1) | 2,923 | 52,760 |
31
Shares/ Principal Amount | Value | ||||||
Michaels Cos., Inc. (The)(1) | 11,485 | $ | 222,005 | ||||
Nitori Holdings Co. Ltd. | 8,900 | 1,301,047 | |||||
O'Reilly Automotive, Inc.(1) | 12,379 | 2,996,708 | |||||
Penske Automotive Group, Inc. | 1,006 | 42,604 | |||||
Pier 1 Imports, Inc. | 2,080 | 10,421 | |||||
RH(1) | 834 | 46,796 | |||||
Ross Stores, Inc. | 25,540 | 1,632,517 | |||||
Sleep Country Canada Holdings, Inc.(3) | 7,560 | 218,263 | |||||
TJX Cos., Inc. (The) | 19,246 | 1,447,492 | |||||
Tokyo Base Co. Ltd.(1) | 3,200 | 98,528 | |||||
Ulta Salon Cosmetics & Fragrance, Inc.(1) | 2,015 | 614,253 | |||||
18,846,204 | |||||||
Technology Hardware, Storage and Peripherals — 1.7% | |||||||
Apple, Inc. | 75,414 | 11,520,243 | |||||
Asetek A/S | 6,690 | 87,492 | |||||
Brother Industries Ltd. | 9,000 | 199,747 | |||||
Canon, Inc. | 8,100 | 276,460 | |||||
Cray, Inc.(1) | 2,897 | 51,422 | |||||
Lite-On Technology Corp. | 48,000 | 80,588 | |||||
Logitech International SA | 11,864 | 433,623 | |||||
NetApp, Inc. | 235 | 9,515 | |||||
Quanta Computer, Inc. | 125,000 | 285,914 | |||||
Samsung Electronics Co. Ltd. | 1,851 | 3,695,056 | |||||
16,640,060 | |||||||
Textiles, Apparel and Luxury Goods — 0.7% | |||||||
adidas AG | 5,390 | 1,030,839 | |||||
Cie Financiere Richemont SA | 7,310 | 609,827 | |||||
Coach, Inc. | 24,116 | 1,114,400 | |||||
Columbia Sportswear Co. | 6,056 | 328,720 | |||||
Culp, Inc. | 764 | 24,524 | |||||
HS Industries Co. Ltd. | 32,873 | 282,457 | |||||
Kering | 5,150 | 1,703,177 | |||||
Ralph Lauren Corp. | 6,428 | 435,818 | |||||
Salvatore Ferragamo SpA | 7,012 | 195,742 | |||||
Samsonite International SA | 39,600 | 159,822 | |||||
Shenzhou International Group Holdings Ltd. | 79,000 | 540,856 | |||||
Taiwan Paiho Ltd. | 167,000 | 557,981 | |||||
6,984,163 | |||||||
Thrifts and Mortgage Finance — 0.2% | |||||||
Capitol Federal Financial, Inc. | 33,040 | 456,613 | |||||
Essent Group Ltd.(1) | 42,810 | 1,552,719 | |||||
2,009,332 | |||||||
Tobacco — 0.5% | |||||||
Altria Group, Inc. | 20,127 | 1,518,381 | |||||
British American Tobacco plc | 26,530 | 1,890,297 | |||||
Imperial Brands plc | 6,531 | 305,376 |
32
Shares/ Principal Amount | Value | ||||||
Philip Morris International, Inc. | 8,038 | $ | 962,952 | ||||
4,677,006 | |||||||
Trading Companies and Distributors — 0.5% | |||||||
Ashtead Group plc | 50,032 | 1,009,503 | |||||
BMC Stock Holdings, Inc.(1) | 5,935 | 115,733 | |||||
Bunzl plc | 21,250 | 665,871 | |||||
DXP Enterprises, Inc.(1) | 389 | 13,938 | |||||
GMS, Inc.(1) | 750 | 24,495 | |||||
MonotaRO Co. Ltd. | 18,500 | 623,070 | |||||
MRC Global, Inc.(1) | 4,788 | 86,423 | |||||
SiteOne Landscape Supply, Inc.(1) | 2,358 | 125,398 | |||||
Sumitomo Corp. | 9,200 | 117,336 | |||||
Toyota Tsusho Corp. | 8,400 | 257,499 | |||||
United Rentals, Inc.(1) | 7,288 | 792,424 | |||||
Wolseley plc | 16,700 | 1,099,525 | |||||
4,931,215 | |||||||
Transportation Infrastructure — 0.1% | |||||||
Airports of Thailand PCL | 274,400 | 346,424 | |||||
BBA Aviation plc | 46,960 | 195,010 | |||||
541,434 | |||||||
Water Utilities — 0.1% | |||||||
Beijing Enterprises Water Group Ltd. | 898,000 | 719,087 | |||||
Wireless Telecommunication Services — 0.1% | |||||||
Drillisch AG | 2,517 | 159,045 | |||||
KDDI Corp. | 9,200 | 254,693 | |||||
NTT DOCOMO, Inc. | 22,100 | 542,173 | |||||
955,911 | |||||||
TOTAL COMMON STOCKS (Cost $582,996,675) | 754,217,960 | ||||||
CORPORATE BONDS — 7.7% | |||||||
Aerospace and Defense — 0.1% | |||||||
Boeing Co. (The), 2.20%, 10/30/22 | $ | 30,000 | 29,689 | ||||
Bombardier, Inc., 4.75%, 4/15/19(3) | 60,000 | 61,275 | |||||
Bombardier, Inc., 5.75%, 3/15/22(3) | 125,000 | 125,000 | |||||
Bombardier, Inc., 6.00%, 10/15/22(3) | 30,000 | 30,131 | |||||
Bombardier, Inc., 7.50%, 3/15/25(3) | 55,000 | 57,034 | |||||
KLX, Inc., 5.875%, 12/1/22(3) | 70,000 | 74,025 | |||||
Lockheed Martin Corp., 4.25%, 11/15/19 | 90,000 | 95,091 | |||||
Lockheed Martin Corp., 3.55%, 1/15/26 | 60,000 | 62,506 | |||||
Lockheed Martin Corp., 3.80%, 3/1/45 | 20,000 | 19,664 | |||||
Rockwell Collins, Inc., 4.35%, 4/15/47 | 20,000 | 20,836 | |||||
TransDigm, Inc., 6.00%, 7/15/22 | 135,000 | 140,214 | |||||
TransDigm, Inc., 6.375%, 6/15/26 | 50,000 | 51,375 | |||||
United Technologies Corp., 3.125%, 5/4/27 | 30,000 | 30,239 | |||||
United Technologies Corp., 6.05%, 6/1/36 | 66,000 | 84,324 | |||||
881,403 | |||||||
Air Freight and Logistics† | |||||||
XPO Logistics, Inc., 6.50%, 6/15/22(3) | 70,000 | 74,582 |
33
Shares/ Principal Amount | Value | ||||||
Airlines† | |||||||
American Airlines Group, Inc., 4.625%, 3/1/20(3) | $ | 125,000 | $ | 129,062 | |||
United Continental Holdings, Inc., 5.00%, 2/1/24 | 100,000 | 102,000 | |||||
231,062 | |||||||
Auto Components† | |||||||
American Axle & Manufacturing, Inc., 6.625%, 10/15/22 | 75,000 | 77,812 | |||||
Goodyear Tire & Rubber Co. (The), 5.125%, 11/15/23 | 70,000 | 73,850 | |||||
Tenneco, Inc., 5.00%, 7/15/26 | 105,000 | 106,444 | |||||
ZF North America Capital, Inc., 4.75%, 4/29/25(3) | 110,000 | 116,017 | |||||
374,123 | |||||||
Automobiles — 0.1% | |||||||
American Honda Finance Corp., 1.50%, 9/11/17(3) | 30,000 | 30,017 | |||||
American Honda Finance Corp., 2.125%, 10/10/18 | 50,000 | 50,364 | |||||
Fiat Chrysler Automobiles NV, 4.50%, 4/15/20 | 125,000 | 128,281 | |||||
Ford Motor Co., 4.35%, 12/8/26 | 40,000 | 40,899 | |||||
Ford Motor Credit Co. LLC, 5.00%, 5/15/18 | 20,000 | 20,585 | |||||
Ford Motor Credit Co. LLC, 5.875%, 8/2/21 | 330,000 | 368,485 | |||||
General Motors Co., 5.00%, 4/1/35 | 30,000 | 29,850 | |||||
General Motors Financial Co., Inc., 3.25%, 5/15/18 | 30,000 | 30,400 | |||||
General Motors Financial Co., Inc., 3.10%, 1/15/19 | 90,000 | 91,354 | |||||
General Motors Financial Co., Inc., 3.20%, 7/6/21 | 130,000 | 131,370 | |||||
General Motors Financial Co., Inc., 5.25%, 3/1/26 | 60,000 | 64,658 | |||||
Jaguar Land Rover Automotive plc, 3.50%, 3/15/20(3) | 80,000 | 81,300 | |||||
1,067,563 | |||||||
Banks — 0.6% | |||||||
Banco Inbursa SA Institucion de Banca Multiple, 4.375%, 4/11/27(3) | 150,000 | 148,687 | |||||
Bank of America Corp., MTN, 4.00%, 4/1/24 | 30,000 | 31,527 | |||||
Bank of America Corp., MTN, 4.20%, 8/26/24 | 180,000 | 187,379 | |||||
Bank of America Corp., MTN, 4.00%, 1/22/25 | 70,000 | 71,491 | |||||
Bank of America Corp., MTN, 5.00%, 1/21/44 | 140,000 | 158,333 | |||||
Bank of America Corp., MTN, VRN, 4.44%, 1/20/47 | 20,000 | 20,764 | |||||
Bank of Montreal, MTN, 1.30%, 7/14/17 | 200,000 | 200,011 | |||||
Barclays Bank plc, MTN, 6.625%, 3/30/22 | EUR | 50,000 | 70,760 | ||||
BPCE SA, VRN, 2.75%, 7/8/21 | EUR | 100,000 | 118,821 | ||||
Branch Banking & Trust Co., 3.625%, 9/16/25 | $ | 30,000 | 31,216 | ||||
Capital One Financial Corp., 4.20%, 10/29/25 | 225,000 | 229,750 | |||||
Citigroup, Inc., 4.50%, 1/14/22 | 110,000 | 118,633 | |||||
Citigroup, Inc., 4.05%, 7/30/22 | 80,000 | 84,043 | |||||
Citigroup, Inc., 4.45%, 9/29/27 | 370,000 | 386,271 | |||||
Co-Operative Bank plc, 4.75%, 11/11/21 (Secured) | GBP | 100,000 | 143,604 | ||||
Cooperatieve Rabobank UA, 3.875%, 2/8/22 | $ | 50,000 | 53,370 | ||||
Cooperatieve Rabobank UA, VRN, 2.50%, 5/26/21 | EUR | 100,000 | 119,008 | ||||
European Financial Stability Facility, MTN, 2.125%, 2/19/24 | EUR | 188,000 | 238,621 | ||||
European Investment Bank, MTN, 3.625%, 1/15/21 | EUR | 57,000 | 73,306 | ||||
European Investment Bank, MTN, 4.25%, 12/7/21 | GBP | 125,000 | 186,507 | ||||
European Investment Bank, MTN, 2.25%, 10/14/22 | EUR | 225,000 | 285,137 |
34
Shares/ Principal Amount | Value | ||||||
Fifth Third Bancorp, 4.30%, 1/16/24 | $ | 40,000 | $ | 42,410 | |||
Huntington Bancshares, Inc., 2.30%, 1/14/22 | 75,000 | 74,025 | |||||
International Bank for Reconstruction & Development, MTN, 3.875%, 5/20/19 | EUR | 96,000 | 117,156 | ||||
Intesa Sanpaolo SpA, 5.02%, 6/26/24(3) | $ | 250,000 | 244,126 | ||||
JPMorgan Chase & Co., 4.625%, 5/10/21 | 30,000 | 32,562 | |||||
JPMorgan Chase & Co., 3.25%, 9/23/22 | 40,000 | 41,102 | |||||
JPMorgan Chase & Co., 3.875%, 9/10/24 | 400,000 | 413,626 | |||||
JPMorgan Chase & Co., 3.125%, 1/23/25 | 110,000 | 109,930 | |||||
JPMorgan Chase & Co., 4.95%, 6/1/45 | 50,000 | 54,531 | |||||
KeyCorp, MTN, 2.30%, 12/13/18 | 80,000 | 80,513 | |||||
Kreditanstalt fuer Wiederaufbau, 3.875%, 1/21/19 | EUR | 80,000 | 96,470 | ||||
Kreditanstalt fuer Wiederaufbau, 4.625%, 1/4/23 | EUR | 120,000 | 170,961 | ||||
Lloyds Bank plc, MTN, 7.625%, 4/22/25 | GBP | 20,000 | 35,167 | ||||
Lloyds Banking Group plc, VRN, 6.66%, 5/21/37(3) | $ | 170,000 | 189,975 | ||||
PNC Financial Services Group, Inc. (The), 4.375%, 8/11/20 | 60,000 | 64,044 | |||||
Royal Bank of Canada, MTN, 1.50%, 1/16/18 | 400,000 | 400,176 | |||||
Royal Bank of Scotland Group plc, 6.125%, 12/15/22 | 55,000 | 60,307 | |||||
Santander Issuances SAU, MTN, 2.50%, 3/18/25 | EUR | 100,000 | 114,806 | ||||
US Bancorp, MTN, 3.00%, 3/15/22 | $ | 50,000 | 51,455 | ||||
US Bancorp, MTN, 3.60%, 9/11/24 | 110,000 | 114,698 | |||||
Wells Fargo & Co., 3.07%, 1/24/23 | 80,000 | 81,293 | |||||
Wells Fargo & Co., 4.125%, 8/15/23 | 100,000 | 106,139 | |||||
Wells Fargo & Co., 3.00%, 4/22/26 | 140,000 | 136,940 | |||||
Wells Fargo & Co., MTN, 2.60%, 7/22/20 | 90,000 | 91,364 | |||||
Wells Fargo & Co., MTN, 4.10%, 6/3/26 | 70,000 | 72,888 | |||||
Wells Fargo & Co., MTN, 4.65%, 11/4/44 | 36,000 | 37,344 | |||||
Wells Fargo & Co., MTN, VRN, 3.58%, 5/22/27 | 30,000 | 30,382 | |||||
6,021,629 | |||||||
Beverages — 0.1% | |||||||
Anheuser-Busch InBev Finance, Inc., 3.30%, 2/1/23 | 180,000 | 185,894 | |||||
Anheuser-Busch InBev Finance, Inc., 3.65%, 2/1/26 | 150,000 | 154,545 | |||||
Anheuser-Busch InBev Finance, Inc., 4.90%, 2/1/46 | 130,000 | 144,693 | |||||
Constellation Brands, Inc., 4.75%, 12/1/25 | 90,000 | 98,865 | |||||
Molson Coors Brewing Co., 3.00%, 7/15/26 | 70,000 | 68,117 | |||||
652,114 | |||||||
Biotechnology — 0.1% | |||||||
AbbVie, Inc., 2.90%, 11/6/22 | 170,000 | 171,559 | |||||
AbbVie, Inc., 3.60%, 5/14/25 | 20,000 | 20,483 | |||||
AbbVie, Inc., 4.40%, 11/6/42 | 80,000 | 79,642 | |||||
AbbVie, Inc., 4.45%, 5/14/46 | 10,000 | 10,021 | |||||
AMAG Pharmaceuticals, Inc., 7.875%, 9/1/23(3) | 110,000 | 106,975 | |||||
Amgen, Inc., 4.66%, 6/15/51 | 80,000 | 83,036 | |||||
Biogen, Inc., 3.625%, 9/15/22 | 70,000 | 73,592 | |||||
Celgene Corp., 3.25%, 8/15/22 | 50,000 | 51,626 | |||||
Celgene Corp., 3.625%, 5/15/24 | 150,000 | 155,563 | |||||
Celgene Corp., 3.875%, 8/15/25 | 40,000 | 41,880 |
35
Shares/ Principal Amount | Value | ||||||
Celgene Corp., 5.00%, 8/15/45 | $ | 10,000 | $ | 10,961 | |||
Concordia International Corp., 9.50%, 10/21/22(3) | 45,000 | 10,575 | |||||
Concordia International Corp., 7.00%, 4/15/23(3) | 65,000 | 13,488 | |||||
Gilead Sciences, Inc., 4.40%, 12/1/21 | 40,000 | 43,418 | |||||
Gilead Sciences, Inc., 3.65%, 3/1/26 | 230,000 | 236,387 | |||||
1,109,206 | |||||||
Building Products† | |||||||
Masco Corp., 5.95%, 3/15/22 | 65,000 | 73,923 | |||||
Masco Corp., 4.45%, 4/1/25 | 60,000 | 64,530 | |||||
138,453 | |||||||
Capital Markets† | |||||||
Dresdner Funding Trust I, 8.15%, 6/30/31(3) | 105,000 | 130,785 | |||||
Jefferies Group LLC, 5.125%, 4/13/18 | 70,000 | 71,945 | |||||
Jefferies Group LLC, 4.85%, 1/15/27 | 30,000 | 31,581 | |||||
234,311 | |||||||
Chemicals — 0.1% | |||||||
Ashland LLC, 4.75%, 8/15/22 | 140,000 | 146,300 | |||||
Blue Cube Spinco, Inc., 9.75%, 10/15/23 | 65,000 | 79,625 | |||||
CF Industries, Inc., 3.45%, 6/1/23 | 95,000 | 89,181 | |||||
Chemours Co. (The), 6.625%, 5/15/23 | 100,000 | 107,239 | |||||
Ecolab, Inc., 4.35%, 12/8/21 | 30,000 | 32,683 | |||||
Huntsman International LLC, 5.125%, 11/15/22 | 85,000 | 92,012 | |||||
INEOS Group Holdings SA, 5.625%, 8/1/24(3) | 120,000 | 123,600 | |||||
LyondellBasell Industries NV, 4.625%, 2/26/55 | 20,000 | 19,630 | |||||
Mosaic Co. (The), 5.625%, 11/15/43 | 40,000 | 41,066 | |||||
NOVA Chemicals Corp., 4.875%, 6/1/24(2)(3) | 160,000 | 160,600 | |||||
Platform Specialty Products Corp., 6.50%, 2/1/22(3) | 50,000 | 51,750 | |||||
Sherwin-Williams Co. (The), 3.45%, 6/1/27 | 50,000 | 50,608 | |||||
Tronox Finance LLC, 6.375%, 8/15/20 | 75,000 | 75,938 | |||||
1,070,232 | |||||||
Commercial Services and Supplies — 0.1% | |||||||
ADT Corp. (The), 6.25%, 10/15/21 | 100,000 | 110,500 | |||||
Clean Harbors, Inc., 5.25%, 8/1/20 | 50,000 | 50,875 | |||||
Covanta Holding Corp., 5.875%, 3/1/24 | 145,000 | 143,550 | |||||
Envision Healthcare Corp., 5.125%, 7/1/22(3) | 100,000 | 103,000 | |||||
Iron Mountain, Inc., 5.75%, 8/15/24 | 155,000 | 159,844 | |||||
Prime Security Services Borrower LLC / Prime Finance, Inc., 9.25%, 5/15/23(3) | 90,000 | 98,626 | |||||
Republic Services, Inc., 3.55%, 6/1/22 | 100,000 | 104,815 | |||||
Waste Management, Inc., 4.10%, 3/1/45 | 40,000 | 41,356 | |||||
812,566 | |||||||
Communications Equipment† | |||||||
CommScope Technologies LLC, 5.00%, 3/15/27(3) | 100,000 | 100,250 | |||||
CommScope, Inc., 5.50%, 6/15/24(3) | 65,000 | 68,412 | |||||
Zayo Group LLC / Zayo Capital, Inc., 6.00%, 4/1/23 | 140,000 | 148,750 | |||||
317,412 | |||||||
Construction and Engineering† | |||||||
SBA Communications Corp., 4.875%, 7/15/22 | 125,000 | 129,531 |
36
Shares/ Principal Amount | Value | ||||||
Construction Materials — 0.1% | |||||||
Builders FirstSource, Inc., 10.75%, 8/15/23(3) | $ | 40,000 | $ | 46,500 | |||
Builders FirstSource, Inc., 5.625%, 9/1/24(3) | 100,000 | 104,125 | |||||
Owens Corning, 4.20%, 12/15/22 | 50,000 | 53,152 | |||||
Ply Gem Industries, Inc., 6.50%, 2/1/22 | 150,000 | 157,500 | |||||
Standard Industries, Inc., 6.00%, 10/15/25(3) | 60,000 | 65,100 | |||||
USG Corp., 5.50%, 3/1/25(3) | 60,000 | 63,825 | |||||
490,202 | |||||||
Consumer Finance — 0.2% | |||||||
American Express Co., 1.55%, 5/22/18 | 50,000 | 49,987 | |||||
American Express Credit Corp., 2.60%, 9/14/20 | 30,000 | 30,509 | |||||
American Express Credit Corp., MTN, 2.25%, 5/5/21 | 140,000 | 140,175 | |||||
American Express Credit Corp., MTN, 3.30%, 5/3/27 | 50,000 | 50,180 | |||||
CIT Group, Inc., 5.00%, 8/15/22 | 220,000 | 238,634 | |||||
CIT Group, Inc., 5.00%, 8/1/23 | 50,000 | 54,063 | |||||
Discover Financial Services, 3.75%, 3/4/25 | 150,000 | 149,628 | |||||
Equifax, Inc., 3.30%, 12/15/22 | 60,000 | 61,731 | |||||
GLP Capital LP / GLP Financing II, Inc., 5.375%, 11/1/23 | 70,000 | 76,037 | |||||
GLP Capital LP / GLP Financing II, Inc., 5.375%, 4/15/26 | 70,000 | 75,950 | |||||
Harland Clarke Holdings Corp., 9.25%, 3/1/21(3) | 35,000 | 34,300 | |||||
Navient Corp., 5.00%, 10/26/20 | 65,000 | 66,625 | |||||
Navient Corp., 5.50%, 1/25/23 | 200,000 | 198,188 | |||||
OneMain Financial Holdings LLC, 6.75%, 12/15/19(3) | 75,000 | 78,844 | |||||
Park Aerospace Holdings Ltd., 5.25%, 8/15/22(3) | 90,000 | 94,781 | |||||
Springleaf Finance Corp., Series J, MTN, 6.90%, 12/15/17 | 125,000 | 128,437 | |||||
Synchrony Financial, 2.60%, 1/15/19 | 30,000 | 30,175 | |||||
Synchrony Financial, 3.00%, 8/15/19 | 10,000 | 10,148 | |||||
1,568,392 | |||||||
Containers and Packaging — 0.2% | |||||||
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc., 7.25%, 5/15/24(3) | 200,000 | 219,000 | |||||
Ball Corp., 5.00%, 3/15/22 | 40,000 | 42,880 | |||||
Ball Corp., 4.00%, 11/15/23 | 140,000 | 143,150 | |||||
Ball Corp., 5.25%, 7/1/25 | 35,000 | 38,159 | |||||
Berry Plastics Corp., 5.50%, 5/15/22 | 85,000 | 88,719 | |||||
Berry Plastics Corp., 5.125%, 7/15/23 | 60,000 | 63,105 | |||||
BWAY Holding Co., 5.50%, 4/15/24(3) | 40,000 | 41,000 | |||||
Crown Americas LLC / Crown Americas Capital Corp. IV, 4.50%, 1/15/23 | 190,000 | 198,550 | |||||
Novelis Corp., 6.25%, 8/15/24(3) | 50,000 | 52,805 | |||||
Owens-Brockway Glass Container, Inc., 5.875%, 8/15/23(3) | 70,000 | 76,606 | |||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 5.125%, 7/15/23(3) | 100,000 | 103,875 | |||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 7.00%, 7/15/24(3) | 245,000 | 264,139 | |||||
Sealed Air Corp., 5.125%, 12/1/24(3) | 105,000 | 111,038 | |||||
1,443,026 | |||||||
Diversified Consumer Services† | |||||||
Catholic Health Initiatives, 2.95%, 11/1/22 | 40,000 | 38,928 |
37
Shares/ Principal Amount | Value | ||||||
Service Corp., International/US, 5.375%, 1/15/22 | $ | 75,000 | $ | 77,531 | |||
116,459 | |||||||
Diversified Financial Services — 0.3% | |||||||
Ally Financial, Inc., 3.60%, 5/21/18 | 70,000 | 71,138 | |||||
Ally Financial, Inc., 4.75%, 9/10/18 | 150,000 | 154,875 | |||||
Ally Financial, Inc., 8.00%, 3/15/20 | 141,000 | 161,022 | |||||
Ally Financial, Inc., 4.625%, 3/30/25 | 155,000 | 156,000 | |||||
Ally Financial, Inc., 5.75%, 11/20/25 | 60,000 | 62,550 | |||||
Ally Financial, Inc., 8.00%, 11/1/31 | 70,000 | 84,875 | |||||
Credit Agricole SA, MTN, 7.375%, 12/18/23 | GBP | 50,000 | 85,128 | ||||
GE Capital International Funding Co. Unlimited. Co., 2.34%, 11/15/20 | $ | 200,000 | 202,109 | ||||
Goldman Sachs Group, Inc. (The), 2.30%, 12/13/19 | 370,000 | 371,570 | |||||
Goldman Sachs Group, Inc. (The), 2.75%, 9/15/20 | 20,000 | 20,279 | |||||
Goldman Sachs Group, Inc. (The), 5.50%, 10/12/21 | GBP | 50,000 | 74,826 | ||||
Goldman Sachs Group, Inc. (The), 5.75%, 1/24/22 | $ | 50,000 | 56,544 | ||||
Goldman Sachs Group, Inc. (The), 3.50%, 1/23/25 | 130,000 | 131,572 | |||||
Goldman Sachs Group, Inc. (The), 4.25%, 10/21/25 | 195,000 | 202,603 | |||||
Goldman Sachs Group, Inc. (The), MTN, 4.80%, 7/8/44 | 110,000 | 120,087 | |||||
HSBC Holdings plc, 2.95%, 5/25/21 | 200,000 | 202,681 | |||||
HUB International Ltd., 7.875%, 10/1/21(3) | 75,000 | 78,562 | |||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp., 6.00%, 8/1/20 | 90,000 | 92,587 | |||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp., 5.875%, 2/1/22 | 80,000 | 82,300 | |||||
Jefferies Finance LLC / JFIN Co-Issuer Corp., 7.375%, 4/1/20(3) | 70,000 | 72,712 | |||||
Morgan Stanley, 2.75%, 5/19/22 | 30,000 | 30,065 | |||||
Morgan Stanley, 4.375%, 1/22/47 | 30,000 | 31,009 | |||||
Morgan Stanley, MTN, 5.625%, 9/23/19 | 250,000 | 269,461 | |||||
Morgan Stanley, MTN, 3.70%, 10/23/24 | 270,000 | 278,742 | |||||
Morgan Stanley, MTN, 4.00%, 7/23/25 | 160,000 | 167,432 | |||||
Nationstar Mortgage LLC / Nationstar Capital Corp., 6.50%, 7/1/21 | 70,000 | 71,837 | |||||
3,332,566 | |||||||
Diversified Telecommunication Services — 0.3% | |||||||
AT&T, Inc., 5.00%, 3/1/21 | 70,000 | 76,120 | |||||
AT&T, Inc., 3.60%, 2/17/23 | 80,000 | 81,948 | |||||
AT&T, Inc., 4.45%, 4/1/24 | 50,000 | 52,927 | |||||
AT&T, Inc., 3.40%, 5/15/25 | 145,000 | 142,697 | |||||
AT&T, Inc., 6.55%, 2/15/39 | 91,000 | 109,584 | |||||
AT&T, Inc., 4.30%, 12/15/42 | 60,000 | 55,038 | |||||
British Telecommunications plc, 5.95%, 1/15/18 | 70,000 | 71,845 | |||||
CenturyLink, Inc., 5.625%, 4/1/20 | 200,000 | 212,750 | |||||
Cincinnati Bell, Inc., 7.00%, 7/15/24(3) | 90,000 | 94,500 | |||||
Frontier Communications Corp., 7.125%, 3/15/19 | 205,000 | 217,300 | |||||
Frontier Communications Corp., 10.50%, 9/15/22 | 50,000 | 49,250 | |||||
Frontier Communications Corp., 7.125%, 1/15/23 | 145,000 | 126,331 |
38
Shares/ Principal Amount | Value | ||||||
Frontier Communications Corp., 6.875%, 1/15/25 | $ | 140,000 | $ | 113,313 | |||
Frontier Communications Corp., 11.00%, 9/15/25 | 10,000 | 9,388 | |||||
Hughes Satellite Systems Corp., 5.25%, 8/1/26 | 100,000 | 103,125 | |||||
Inmarsat Finance plc, 4.875%, 5/15/22(3) | 50,000 | 51,375 | |||||
Intelsat Jackson Holdings SA, 7.25%, 4/1/19 | 105,000 | 100,800 | |||||
Intelsat Jackson Holdings SA, 7.25%, 10/15/20 | 175,000 | 158,813 | |||||
Level 3 Financing, Inc., 5.375%, 8/15/22 | 100,000 | 103,250 | |||||
Level 3 Financing, Inc., 5.375%, 5/1/25 | 55,000 | 57,956 | |||||
Orange SA, 4.125%, 9/14/21 | 70,000 | 74,903 | |||||
Sprint Capital Corp., 8.75%, 3/15/32 | 100,000 | 126,313 | |||||
Telecom Italia Capital SA, 6.375%, 11/15/33 | 200,000 | 216,000 | |||||
Telefonica Emisiones SAU, 5.46%, 2/16/21 | 10,000 | 11,072 | |||||
Verizon Communications, Inc., 3.65%, 9/14/18 | 138,000 | 141,351 | |||||
Verizon Communications, Inc., 2.45%, 11/1/22 | 10,000 | 9,862 | |||||
Verizon Communications, Inc., 2.625%, 8/15/26 | 40,000 | 37,214 | |||||
Verizon Communications, Inc., 4.125%, 3/16/27 | 100,000 | 103,863 | |||||
Verizon Communications, Inc., 5.05%, 3/15/34 | 170,000 | 178,990 | |||||
Verizon Communications, Inc., 4.75%, 11/1/41 | 40,000 | 39,582 | |||||
Verizon Communications, Inc., 4.86%, 8/21/46 | 33,000 | 32,653 | |||||
Verizon Communications, Inc., 5.01%, 8/21/54 | 49,000 | 48,243 | |||||
Windstream Services LLC, 7.75%, 10/15/20 | 65,000 | 65,792 | |||||
Windstream Services LLC, 6.375%, 8/1/23 | 95,000 | 81,050 | |||||
3,155,198 | |||||||
Electronic Equipment, Instruments and Components† | |||||||
Sanmina Corp., 4.375%, 6/1/19(3) | 125,000 | 128,438 | |||||
Energy Equipment and Services — 0.1% | |||||||
Ensco plc, 4.70%, 3/15/21 | 50,000 | 50,750 | |||||
Ensco plc, 8.00%, 1/31/24 | 46,000 | 45,511 | |||||
FTS International, Inc., 6.25%, 5/1/22 | 60,000 | 53,100 | |||||
Halliburton Co., 3.80%, 11/15/25 | 60,000 | 62,043 | |||||
Noble Holding International Ltd., 7.75%, 1/15/24 | 235,000 | 208,490 | |||||
Precision Drilling Corp., 5.25%, 11/15/24 | 105,000 | 97,650 | |||||
SESI LLC, 6.375%, 5/1/19 | 50,000 | 49,500 | |||||
Transocean, Inc., 4.50%, 10/15/17 | 105,000 | 106,378 | |||||
Transocean, Inc., 6.00%, 3/15/18 | 40,000 | 41,100 | |||||
Transocean, Inc., 9.00%, 7/15/23(3) | 130,000 | 136,500 | |||||
Weatherford International Ltd., 7.75%, 6/15/21 | 95,000 | 100,617 | |||||
Weatherford International Ltd., 4.50%, 4/15/22 | 185,000 | 172,513 | |||||
1,124,152 | |||||||
Equity Real Estate Investment Trusts (REITs) — 0.2% | |||||||
American Tower Corp., 5.05%, 9/1/20 | 60,000 | 64,980 | |||||
American Tower Corp., 3.375%, 10/15/26 | 70,000 | 68,989 | |||||
Boston Properties LP, 3.65%, 2/1/26 | 50,000 | 51,108 | |||||
CoreCivic, Inc., 4.125%, 4/1/20 | 70,000 | 72,275 | |||||
Crown Castle International Corp., 5.25%, 1/15/23 | 45,000 | 50,308 | |||||
Crown Castle International Corp., 4.45%, 2/15/26 | 80,000 | 85,383 |
39
Shares/ Principal Amount | Value | ||||||
CTR Partnership LP / CareTrust Capital Corp., 5.875%, 6/1/21 | $ | 75,000 | $ | 77,243 | |||
Equinix, Inc., 5.375%, 4/1/23 | 70,000 | 73,654 | |||||
Essex Portfolio LP, 3.625%, 8/15/22 | 70,000 | 72,486 | |||||
Essex Portfolio LP, 3.25%, 5/1/23 | 20,000 | 20,206 | |||||
Hospitality Properties Trust, 4.65%, 3/15/24 | 80,000 | 83,517 | |||||
Kilroy Realty LP, 3.80%, 1/15/23 | 70,000 | 72,743 | |||||
Kilroy Realty LP, 4.375%, 10/1/25 | 20,000 | 21,129 | |||||
Kimco Realty Corp., 2.80%, 10/1/26 | 50,000 | 46,651 | |||||
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc., 5.625%, 5/1/24 | 90,000 | 97,538 | |||||
RHP Hotel Properties LP / RHP Finance Corp., 5.00%, 4/15/21 | 75,000 | 77,063 | |||||
Simon Property Group LP, 3.25%, 11/30/26 | 60,000 | 59,878 | |||||
Uniti Group, Inc. / CSL Capital LLC, 8.25%, 10/15/23 | 135,000 | 142,762 | |||||
Uniti Group, Inc. / CSL Capital LLC, 7.125%, 12/15/24(3) | 95,000 | 95,475 | |||||
VEREIT Operating Partnership LP, 4.125%, 6/1/21 | 60,000 | 63,211 | |||||
Welltower, Inc., 3.75%, 3/15/23 | 60,000 | 62,246 | |||||
1,458,845 | |||||||
Financial Services — 0.1% | |||||||
PetSmart, Inc., 7.125%, 3/15/23(3) | 250,000 | 233,750 | |||||
Solera LLC / Solera Finance, Inc., 10.50%, 3/1/24(3) | 225,000 | 258,750 | |||||
492,500 | |||||||
Food and Staples Retailing — 0.1% | |||||||
Albertsons Cos. LLC / Safeway, Inc. / New Albertson's, Inc. / Albertson's LLC, 6.625%, 6/15/24(3) | 100,000 | 103,750 | |||||
BI-LO LLC / BI-LO Finance Corp., 9.25%, 2/15/19(3) | 40,000 | 34,300 | |||||
CVS Health Corp., 3.50%, 7/20/22 | 50,000 | 52,142 | |||||
CVS Health Corp., 5.125%, 7/20/45 | 40,000 | 45,472 | |||||
Dollar General Corp., 3.25%, 4/15/23 | 30,000 | 30,610 | |||||
Dollar Tree, Inc., 5.75%, 3/1/23 | 60,000 | 63,840 | |||||
Horizon Pharma, Inc., 6.625%, 5/1/23 | 75,000 | 70,687 | |||||
Kroger Co. (The), 3.30%, 1/15/21 | 70,000 | 72,363 | |||||
Kroger Co. (The), 3.875%, 10/15/46 | 30,000 | 27,800 | |||||
Rite Aid Corp., 6.125%, 4/1/23(3) | 150,000 | 149,557 | |||||
SUPERVALU, Inc., 6.75%, 6/1/21 | 50,000 | 51,312 | |||||
Sysco Corp., 3.30%, 7/15/26 | 30,000 | 30,128 | |||||
Target Corp., 2.50%, 4/15/26 | 60,000 | 57,529 | |||||
Tesco plc, 6.15%, 11/15/37(3) | 75,000 | 77,875 | |||||
Tesco plc, MTN, 5.50%, 12/13/19 | GBP | 60,000 | 84,940 | ||||
Wal-Mart Stores, Inc., 2.55%, 4/11/23 | $ | 20,000 | 20,343 | ||||
Wal-Mart Stores, Inc., 4.30%, 4/22/44 | 95,000 | 103,630 | |||||
1,076,278 | |||||||
Food Products — 0.1% | |||||||
B&G Foods, Inc., 5.25%, 4/1/25 | 80,000 | 83,000 | |||||
JBS USA LUX SA / JBS USA Finance, Inc., 7.25%, 6/1/21(3) | 70,000 | 70,525 | |||||
JBS USA LUX SA / JBS USA Finance, Inc., 5.75%, 6/15/25(3) | 135,000 | 130,950 | |||||
Kraft Heinz Foods Co., 3.95%, 7/15/25 | 120,000 | 123,837 |
40
Shares/ Principal Amount | Value | ||||||
Kraft Heinz Foods Co., 5.20%, 7/15/45 | $ | 30,000 | $ | 32,226 | |||
Kraft Heinz Foods Co., 4.375%, 6/1/46 | 10,000 | 9,595 | |||||
Lamb Weston Holdings, Inc., 4.625%, 11/1/24(3) | 90,000 | 92,700 | |||||
Nature's Bounty Co. (The), 7.625%, 5/15/21(3) | 55,000 | 57,612 | |||||
Pilgrim's Pride Corp., 5.75%, 3/15/25(3) | 215,000 | 221,450 | |||||
Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp., 4.875%, 5/1/21 | 100,000 | 102,750 | |||||
Post Holdings, Inc., 5.00%, 8/15/26(3) | 330,000 | 333,300 | |||||
1,257,945 | |||||||
Gas Utilities — 0.3% | |||||||
Boardwalk Pipelines LP, 4.45%, 7/15/27 | 30,000 | 30,982 | |||||
Cheniere Corpus Christi Holdings LLC, 7.00%, 6/30/24 | 50,000 | 56,250 | |||||
Cheniere Corpus Christi Holdings LLC, 5.875%, 3/31/25 | 70,000 | 75,425 | |||||
Cheniere Corpus Christi Holdings LLC, 5.125%, 6/30/27(3) | 90,000 | 91,350 | |||||
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 6.25%, 4/1/23 | 40,000 | 41,675 | |||||
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 5.75%, 4/1/25(3) | 90,000 | 92,250 | |||||
Enbridge Energy Partners LP, 6.50%, 4/15/18 | 90,000 | 93,544 | |||||
Enbridge, Inc., 4.00%, 10/1/23 | 40,000 | 42,010 | |||||
Enbridge, Inc., 4.50%, 6/10/44 | 40,000 | 39,227 | |||||
Energy Transfer Equity LP, 5.875%, 1/15/24 | 110,000 | 117,975 | |||||
Energy Transfer Equity LP, 5.50%, 6/1/27 | 75,000 | 79,313 | |||||
Energy Transfer LP, 4.15%, 10/1/20 | 70,000 | 73,242 | |||||
Energy Transfer LP, 3.60%, 2/1/23 | 60,000 | 61,086 | |||||
Energy Transfer LP, 6.50%, 2/1/42 | 40,000 | 45,554 | |||||
Enterprise Products Operating LLC, 4.85%, 3/15/44 | 130,000 | 137,267 | |||||
Genesis Energy LP / Genesis Energy Finance Corp., 6.75%, 8/1/22 | 45,000 | 46,631 | |||||
Genesis Energy LP / Genesis Energy Finance Corp., 5.625%, 6/15/24 | 160,000 | 156,400 | |||||
Kinder Morgan Energy Partners LP, 6.50%, 4/1/20 | 50,000 | 55,320 | |||||
Kinder Morgan Energy Partners LP, 6.50%, 9/1/39 | 90,000 | 104,044 | |||||
Magellan Midstream Partners LP, 6.55%, 7/15/19 | 36,000 | 39,285 | |||||
MPLX LP, 4.875%, 12/1/24 | 100,000 | 107,512 | |||||
MPLX LP, 4.875%, 6/1/25 | 140,000 | 150,160 | |||||
MPLX LP, 5.20%, 3/1/47 | 10,000 | 10,388 | |||||
NGPL PipeCo LLC, 7.12%, 12/15/17(3) | 100,000 | 102,750 | |||||
NuStar Logistics LP, 4.75%, 2/1/22 | 40,000 | 41,300 | |||||
Plains All American Pipeline LP / PAA Finance Corp., 3.65%, 6/1/22 | 90,000 | 92,329 | |||||
Regency Energy Partners LP / Regency Energy Finance Corp., 5.50%, 4/15/23 | 50,000 | 52,200 | |||||
Rockies Express Pipeline LLC, 5.625%, 4/15/20(3) | 180,000 | 192,600 | |||||
Sabine Pass Liquefaction LLC, 5.625%, 3/1/25 | 205,000 | 227,858 | |||||
Sunoco Logistics Partners Operations LP, 3.45%, 1/15/23 | 110,000 | 111,768 | |||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 6.375%, 8/1/22 | 53,000 | 54,988 | |||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 4.25%, 11/15/23 | 90,000 | 89,550 |
41
Shares/ Principal Amount | Value | ||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.125%, 2/1/25(3) | $ | 94,000 | $ | 97,642 | |||
Tesoro Logistics LP / Tesoro Logistics Finance Corp., 5.50%, 10/15/19 | 50,000 | 53,125 | |||||
Tesoro Logistics LP / Tesoro Logistics Finance Corp., 6.25%, 10/15/22 | 60,000 | 64,463 | |||||
TransCanada PipeLines Ltd., 2.50%, 8/1/22 | 60,000 | 60,158 | |||||
Williams Cos., Inc. (The), 3.70%, 1/15/23 | 50,000 | 49,500 | |||||
Williams Cos., Inc. (The), 4.55%, 6/24/24 | 240,000 | 247,800 | |||||
Williams Partners LP, 5.10%, 9/15/45 | 50,000 | 51,763 | |||||
3,336,684 | |||||||
Health Care Equipment and Supplies — 0.1% | |||||||
Abbott Laboratories, 2.00%, 9/15/18 | 20,000 | 20,070 | |||||
Abbott Laboratories, 3.75%, 11/30/26 | 115,000 | 117,517 | |||||
Alere, Inc., 6.50%, 6/15/20 | 50,000 | 51,125 | |||||
Alere, Inc., 6.375%, 7/1/23(3) | 60,000 | 65,175 | |||||
Becton Dickinson and Co., 3.73%, 12/15/24 | 80,000 | 81,640 | |||||
Becton Dickinson and Co., 3.70%, 6/6/27(2) | 40,000 | 40,065 | |||||
DJO Finco, Inc. / DJO Finance LLC / DJO Finance Corp., 8.125%, 6/15/21(3) | 70,000 | 65,450 | |||||
Mallinckrodt International Finance SA, 4.75%, 4/15/23 | 170,000 | 151,300 | |||||
Mallinckrodt International Finance SA / Mallinckrodt CB LLC, 5.75%, 8/1/22(3) | 105,000 | 103,688 | |||||
Medtronic, Inc., 2.50%, 3/15/20 | 40,000 | 40,713 | |||||
Medtronic, Inc., 3.50%, 3/15/25 | 130,000 | 135,689 | |||||
Medtronic, Inc., 4.375%, 3/15/35 | 50,000 | 54,037 | |||||
Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA, 6.625%, 5/15/22(3) | 50,000 | 48,000 | |||||
Thermo Fisher Scientific, Inc., 3.60%, 8/15/21 | 65,000 | 67,900 | |||||
Thermo Fisher Scientific, Inc., 3.30%, 2/15/22 | 27,000 | 27,935 | |||||
Thermo Fisher Scientific, Inc., 5.30%, 2/1/44 | 40,000 | 46,212 | |||||
Zimmer Biomet Holdings, Inc., 2.70%, 4/1/20 | 30,000 | 30,374 | |||||
1,146,890 | |||||||
Health Care Providers and Services — 0.4% | |||||||
Acadia Healthcare Co., Inc., 5.125%, 7/1/22 | 105,000 | 107,625 | |||||
Acadia Healthcare Co., Inc., 5.625%, 2/15/23 | 70,000 | 73,063 | |||||
Aetna, Inc., 2.75%, 11/15/22 | 60,000 | 60,524 | |||||
Ascension Health, 3.95%, 11/15/46 | 10,000 | 9,954 | |||||
Centene Corp., 5.625%, 2/15/21 | 100,000 | 104,688 | |||||
Centene Corp., 6.125%, 2/15/24 | 115,000 | 125,242 | |||||
CHS / Community Health Systems, Inc., 8.00%, 11/15/19 | 150,000 | 151,312 | |||||
CHS / Community Health Systems, Inc., 7.125%, 7/15/20 | 55,000 | 54,313 | |||||
CHS / Community Health Systems, Inc., 6.875%, 2/1/22 | 60,000 | 53,550 | |||||
CHS / Community Health Systems, Inc., 6.25%, 3/31/23 | 100,000 | 103,700 | |||||
CHS/Community Health Systems, Inc., 5.125%, 8/1/21 | 35,000 | 35,656 | |||||
DaVita, Inc., 5.75%, 8/15/22 | 60,000 | 62,288 | |||||
DaVita, Inc., 5.125%, 7/15/24 | 107,000 | 109,073 | |||||
DaVita, Inc., 5.00%, 5/1/25 | 105,000 | 104,606 | |||||
Envision Healthcare Corp., 5.625%, 7/15/22 | 155,000 | 162,343 |
42
Shares/ Principal Amount | Value | ||||||
Express Scripts Holding Co., 3.40%, 3/1/27 | $ | 130,000 | $ | 125,596 | |||
Fresenius Medical Care US Finance II, Inc., 5.875%, 1/31/22(3) | 50,000 | 55,750 | |||||
Fresenius Medical Care US Finance II, Inc., 4.75%, 10/15/24(3) | 100,000 | 106,001 | |||||
HCA, Inc., 3.75%, 3/15/19 | 120,000 | 122,850 | |||||
HCA, Inc., 4.25%, 10/15/19 | 125,000 | 130,463 | |||||
HCA, Inc., 7.50%, 2/15/22 | 215,000 | 248,325 | |||||
HCA, Inc., 4.75%, 5/1/23 | 155,000 | 165,718 | |||||
HCA, Inc., 5.375%, 2/1/25 | 270,000 | 284,512 | |||||
HCA, Inc., 4.50%, 2/15/27 | 60,000 | 61,875 | |||||
HealthSouth Corp., 5.75%, 11/1/24 | 55,000 | 57,063 | |||||
IASIS Healthcare LLC / IASIS Capital Corp., 8.375%, 5/15/19 | 195,000 | 197,559 | |||||
Jaguar Holding Co. II / Pharmaceutical Product Development LLC, 6.375%, 8/1/23(3) | 95,000 | 100,700 | |||||
Kindred Healthcare, Inc., 8.00%, 1/15/20 | 60,000 | 63,525 | |||||
Kindred Healthcare, Inc., 6.375%, 4/15/22 | 60,000 | 58,725 | |||||
LifePoint Health, Inc., 5.50%, 12/1/21 | 75,000 | 77,953 | |||||
Mylan NV, 3.95%, 6/15/26 | 30,000 | 30,137 | |||||
NYU Hospitals Center, 4.43%, 7/1/42 | 30,000 | 30,835 | |||||
Tenet Healthcare Corp., 5.00%, 3/1/19 | 160,000 | 164,000 | |||||
Tenet Healthcare Corp., 8.00%, 8/1/20 | 100,000 | 102,000 | |||||
Tenet Healthcare Corp., 4.50%, 4/1/21 | 50,000 | 51,565 | |||||
Tenet Healthcare Corp., 8.125%, 4/1/22 | 230,000 | 243,512 | |||||
Tenet Healthcare Corp., 6.75%, 6/15/23 | 150,000 | 149,625 | |||||
UnitedHealth Group, Inc., 2.875%, 3/15/22 | 80,000 | 82,303 | |||||
UnitedHealth Group, Inc., 3.75%, 7/15/25 | 80,000 | 84,693 | |||||
Universal Health Services, Inc., 5.00%, 6/1/26(3) | 85,000 | 87,763 | |||||
4,200,985 | |||||||
Hotels, Restaurants and Leisure — 0.3% | |||||||
1011778 BC ULC / New Red Finance, Inc., 6.00%, 4/1/22(3) | 150,000 | 156,517 | |||||
Aramark Services, Inc., 5.125%, 1/15/24 | 65,000 | 68,737 | |||||
Aramark Services, Inc., 5.00%, 4/1/25(3) | 30,000 | 31,575 | |||||
Boyd Gaming Corp., 6.875%, 5/15/23 | 91,000 | 98,849 | |||||
Boyd Gaming Corp., 6.375%, 4/1/26 | 75,000 | 82,020 | |||||
Caesars Entertainment Resort Properties LLC / Caesars Entertainment Resort Prope, 8.00%, 10/1/20 | 60,000 | 62,287 | |||||
Caesars Entertainment Resort Properties LLC / Caesars Entertainment Resort Prope, 11.00%, 10/1/21 | 110,000 | 118,679 | |||||
Eldorado Resorts, Inc., 7.00%, 8/1/23 | 100,000 | 108,875 | |||||
Golden Nugget, Inc., 8.50%, 12/1/21(3) | 175,000 | 187,687 | |||||
Hilton Domestic Operating Co., Inc., 4.25%, 9/1/24(3) | 150,000 | 151,875 | |||||
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp., 4.625%, 4/1/25(3) | 90,000 | 93,150 | |||||
International Game Technology plc, 6.25%, 2/15/22(3) | 170,000 | 184,705 | |||||
International Game Technology plc, 6.50%, 2/15/25(3) | 45,000 | 49,360 | |||||
Jack Ohio Finance LLC / Jack Ohio Finance 1 Corp., 6.75%, 11/15/21(3) | 85,000 | 88,294 |
43
Shares/ Principal Amount | Value | ||||||
KFC Holding Co/Pizza Hut Holdings LLC/Taco Bell of America LLC, 5.25%, 6/1/26(3) | $ | 25,000 | $ | 26,294 | |||
McDonald's Corp., MTN, 3.375%, 5/26/25 | 30,000 | 30,751 | |||||
McDonald's Corp., MTN, 4.70%, 12/9/35 | 20,000 | 21,799 | |||||
McDonald's Corp., MTN, 4.45%, 3/1/47 | 70,000 | 73,521 | |||||
MGM Resorts International, 5.25%, 3/31/20 | 140,000 | 149,358 | |||||
MGM Resorts International, 6.00%, 3/15/23 | 135,000 | 148,540 | |||||
MGM Resorts International, 4.625%, 9/1/26 | 50,000 | 50,313 | |||||
Penn National Gaming, Inc., 5.625%, 1/15/27(3) | 175,000 | 177,406 | |||||
Pinnacle Entertainment, Inc., 5.625%, 5/1/24(3) | 30,000 | 31,125 | |||||
Rivers Pittsburgh Borrower, LP / Rivers Pittsburgh Finance Corp., 6.125%, 8/15/21(3) | 50,000 | 50,750 | |||||
Royal Caribbean Cruises Ltd., 5.25%, 11/15/22 | 80,000 | 88,600 | |||||
Scientific Games International, Inc., 6.25%, 9/1/20 | 70,000 | 69,387 | |||||
Scientific Games International, Inc., 7.00%, 1/1/22(3) | 195,000 | 208,650 | |||||
Scientific Games International, Inc., 10.00%, 12/1/22 | 105,000 | 114,712 | |||||
Station Casinos LLC, 7.50%, 3/1/21 | 72,000 | 75,060 | |||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.50%, 3/1/25(3) | 130,000 | 137,800 | |||||
Yum! Brands, Inc., 3.75%, 11/1/21 | 50,000 | 51,063 | |||||
2,987,739 | |||||||
Household Durables — 0.2% | |||||||
Beazer Homes USA, Inc., 7.25%, 2/1/23 | 95,000 | 99,750 | |||||
Brookfield Residential Properties, Inc. / Brookfield Residential US Corp., 6.125%, 7/1/22(3) | 75,000 | 77,438 | |||||
CalAtlantic Group, Inc., 5.375%, 10/1/22 | 45,000 | 48,431 | |||||
Century Communities, Inc., 6.875%, 5/15/22 | 30,000 | 31,613 | |||||
K Hovnanian Enterprises, Inc., 7.00%, 1/15/19(3) | 50,000 | 48,625 | |||||
KB Home, 4.75%, 5/15/19 | 35,000 | 36,225 | |||||
KB Home, 7.00%, 12/15/21 | 55,000 | 62,425 | |||||
Lennar Corp., 4.50%, 4/30/24 | 110,000 | 111,925 | |||||
Newell Brands, Inc., 4.20%, 4/1/26 | 105,000 | 111,539 | |||||
Newell Brands, Inc., 5.50%, 4/1/46 | 30,000 | 35,552 | |||||
PulteGroup, Inc., 5.50%, 3/1/26 | 100,000 | 106,063 | |||||
Shea Homes LP / Shea Homes Funding Corp., 5.875%, 4/1/23(3) | 60,000 | 61,800 | |||||
Taylor Morrison Communities, Inc. / Taylor Morrison Holdings II, Inc., 5.625%, 3/1/24(3) | 225,000 | 236,812 | |||||
Toll Brothers Finance Corp., 4.00%, 12/31/18 | 50,000 | 51,587 | |||||
TRI Pointe Group, Inc. / TRI Pointe Homes, Inc., 5.875%, 6/15/24 | 185,000 | 194,712 | |||||
WCI Communities, Inc. / Lennar Corp., 6.875%, 8/15/21 | 100,000 | 104,750 | |||||
William Lyon Homes, Inc., 5.875%, 1/31/25(3) | 115,000 | 119,025 | |||||
1,538,272 | |||||||
Household Products† | |||||||
Energizer Holdings, Inc., 5.50%, 6/15/25(3) | 65,000 | 68,819 | |||||
Spectrum Brands, Inc., 6.625%, 11/15/22 | 155,000 | 163,912 | |||||
Spectrum Brands, Inc., 5.75%, 7/15/25 | 40,000 | 42,704 | |||||
275,435 |
44
Shares/ Principal Amount | Value | ||||||
Industrial Conglomerates — 0.1% | |||||||
Bombardier, Inc., 8.75%, 12/1/21(3) | $ | 25,000 | $ | 27,797 | |||
FedEx Corp., 4.40%, 1/15/47 | 30,000 | 30,274 | |||||
General Electric Co., 4.125%, 10/9/42 | 90,000 | 94,109 | |||||
General Electric Co., MTN, 5.625%, 9/15/17 | 212,000 | 214,497 | |||||
General Electric Co., MTN, 4.375%, 9/16/20 | 220,000 | 236,673 | |||||
HD Supply, Inc., 5.25%, 12/15/21(3) | 50,000 | 52,863 | |||||
Ingersoll-Rand Luxembourg Finance SA, 3.55%, 11/1/24 | 50,000 | 51,610 | |||||
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc., 6.375%, 5/1/22(3) | 203,000 | 212,642 | |||||
920,465 | |||||||
Insurance — 0.2% | |||||||
American International Group, Inc., 4.125%, 2/15/24 | 180,000 | 190,552 | |||||
American International Group, Inc., 4.50%, 7/16/44 | 40,000 | 40,969 | |||||
AXA SA, 7.125%, 12/15/20 | GBP | 20,000 | 30,928 | ||||
Berkshire Hathaway Finance Corp., 3.00%, 5/15/22 | $ | 78,000 | 80,790 | ||||
Berkshire Hathaway, Inc., 2.75%, 3/15/23 | 30,000 | 30,337 | |||||
Berkshire Hathaway, Inc., 4.50%, 2/11/43 | 50,000 | 55,056 | |||||
Chubb INA Holdings, Inc., 3.15%, 3/15/25 | 70,000 | 71,424 | |||||
Chubb INA Holdings, Inc., 3.35%, 5/3/26 | 30,000 | 30,979 | |||||
Generali Finance BV, MTN, VRN, 4.60%, 11/21/25 | EUR | 100,000 | 114,019 | ||||
Genworth Holdings, Inc., 7.625%, 9/24/21 | $ | 35,000 | 33,425 | ||||
Genworth Holdings, Inc., VRN, 3.18%, 6/16/17 | 25,000 | 10,813 | |||||
Hartford Financial Services Group, Inc. (The), 5.95%, 10/15/36 | 20,000 | 24,222 | |||||
International Lease Finance Corp., 3.875%, 4/15/18 | 80,000 | 81,317 | |||||
International Lease Finance Corp., 6.25%, 5/15/19 | 100,000 | 107,555 | |||||
Liberty Mutual Group, Inc., VRN, 4.04%, 9/15/17(3) | 125,000 | 121,562 | |||||
Markel Corp., 4.90%, 7/1/22 | 70,000 | 77,151 | |||||
Markel Corp., 3.625%, 3/30/23 | 20,000 | 20,804 | |||||
MetLife, Inc., 4.125%, 8/13/42 | 30,000 | 30,582 | |||||
MetLife, Inc., 4.875%, 11/13/43 | 30,000 | 33,974 | |||||
Principal Financial Group, Inc., 3.30%, 9/15/22 | 30,000 | 31,035 | |||||
Prudential Financial, Inc., 5.375%, 6/21/20 | 60,000 | 65,766 | |||||
Prudential Financial, Inc., 5.625%, 5/12/41 | 70,000 | 84,506 | |||||
Travelers Cos., Inc. (The), 4.30%, 8/25/45 | 20,000 | 21,572 | |||||
Voya Financial, Inc., 5.70%, 7/15/43 | 50,000 | 57,749 | |||||
Voya Financial, Inc., VRN, 5.65%, 5/15/23 | 75,000 | 78,938 | |||||
WR Berkley Corp., 4.625%, 3/15/22 | 40,000 | 43,221 | |||||
WR Berkley Corp., 4.75%, 8/1/44 | 30,000 | 30,667 | |||||
1,599,913 | |||||||
Internet Software and Services† | |||||||
Match Group, Inc., 6.75%, 12/15/22 | 80,000 | 84,100 | |||||
Netflix, Inc., 5.375%, 2/1/21 | 40,000 | 43,600 | |||||
Netflix, Inc., 5.75%, 3/1/24 | 100,000 | 108,750 | |||||
VeriSign, Inc., 5.25%, 4/1/25 | 40,000 | 42,650 | |||||
279,100 |
45
Shares/ Principal Amount | Value | ||||||
IT Services — 0.1% | |||||||
CDW LLC / CDW Finance Corp., 5.00%, 9/1/23 | $ | 15,000 | $ | 15,525 | |||
CDW LLC / CDW Finance Corp., 5.50%, 12/1/24 | 90,000 | 97,650 | |||||
Fidelity National Information Services, Inc., 3.875%, 6/5/24 | 48,000 | 50,249 | |||||
Fidelity National Information Services, Inc., 3.00%, 8/15/26 | 100,000 | 97,120 | |||||
First Data Corp., 7.00%, 12/1/23(3) | 150,000 | 162,000 | |||||
First Data Corp., 5.00%, 1/15/24(3) | 100,000 | 104,000 | |||||
First Data Corp., 5.75%, 1/15/24(3) | 180,000 | 191,025 | |||||
Hewlett Packard Enterprise Co., 3.60%, 10/15/20 | 80,000 | 83,249 | |||||
Hewlett Packard Enterprise Co., 4.90%, 10/15/25 | 50,000 | 52,948 | |||||
853,766 | |||||||
Machinery† | |||||||
BlueLine Rental Finance Corp. / BlueLine Rental LLC, 9.25%, 3/15/24(3) | 65,000 | 68,087 | |||||
CNH Industrial Capital LLC, 3.375%, 7/15/19 | 75,000 | 76,781 | |||||
Navistar International Corp., 8.25%, 11/1/21 | 50,000 | 50,844 | |||||
195,712 | |||||||
Marine† | |||||||
Martin Midstream Partners LP / Martin Midstream Finance Corp., 7.25%, 2/15/21 | 220,000 | 226,600 | |||||
Media — 0.8% | |||||||
21st Century Fox America, Inc., 6.90%, 8/15/39 | 40,000 | 52,867 | |||||
21st Century Fox America, Inc., 4.75%, 9/15/44 | 10,000 | 10,335 | |||||
21st Century Fox America, Inc., 4.75%, 11/15/46 | 20,000 | 20,776 | |||||
Altice Financing SA, 6.625%, 2/15/23(3) | 260,000 | 277,290 | |||||
Altice Financing SA, 7.50%, 5/15/26(3) | 50,000 | 55,187 | |||||
Altice Finco SA, 7.625%, 2/15/25(3) | 115,000 | 120,319 | |||||
Altice Luxembourg SA, 7.75%, 5/15/22(3) | 105,000 | 111,694 | |||||
Altice Luxembourg SA, 7.625%, 2/15/25(3) | 115,000 | 125,925 | |||||
Altice US Finance I Corp., 5.375%, 7/15/23(3) | 100,000 | 104,625 | |||||
Altice US Finance I Corp., 5.50%, 5/15/26(3) | 50,000 | 52,500 | |||||
AMC Entertainment Holdings, Inc., 5.75%, 6/15/25 | 100,000 | 104,060 | |||||
Cablevision Systems Corp., 5.875%, 9/15/22 | 125,000 | 130,000 | |||||
CBS Corp., 3.50%, 1/15/25 | 50,000 | 50,388 | |||||
CBS Corp., 4.85%, 7/1/42 | 30,000 | 31,246 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp., 5.25%, 9/30/22 | 250,000 | 259,455 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp., 5.125%, 5/1/23(3) | 170,000 | 179,245 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp., 5.75%, 2/15/26(3) | 120,000 | 128,850 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp., 5.125%, 5/1/27(3) | 25,000 | 25,641 | |||||
Cequel Communications Holdings I LLC / Cequel Capital Corp., 5.125%, 12/15/21(3) | 130,000 | 133,250 | |||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 4.91%, 7/23/25 | 170,000 | 184,292 | |||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 6.48%, 10/23/45 | 90,000 | 107,920 | |||||
Cinemark USA, Inc., 5.125%, 12/15/22 | 55,000 | 56,787 |
46
Shares/ Principal Amount | Value | ||||||
Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/20 | $ | 220,000 | $ | 221,925 | |||
Comcast Corp., 6.40%, 5/15/38 | 100,000 | 131,501 | |||||
Comcast Corp., 4.75%, 3/1/44 | 30,000 | 33,066 | |||||
CSC Holdings LLC, 7.625%, 7/15/18 | 50,000 | 53,125 | |||||
CSC Holdings LLC, 6.75%, 11/15/21 | 120,000 | 133,050 | |||||
CSC Holdings LLC, 10.125%, 1/15/23(3) | 70,000 | 81,683 | |||||
CSC Holdings LLC, 6.625%, 10/15/25(3) | 100,000 | 110,415 | |||||
CSC Holdings LLC, 10.875%, 10/15/25(3) | 45,000 | 54,900 | |||||
CSC Holdings LLC, 5.50%, 4/15/27(3) | 90,000 | 94,484 | |||||
Cumulus Media Holdings, Inc., 7.75%, 5/1/19 | 50,000 | 13,438 | |||||
Discovery Communications LLC, 5.625%, 8/15/19 | 32,000 | 34,387 | |||||
Discovery Communications LLC, 3.25%, 4/1/23 | 40,000 | 39,525 | |||||
Discovery Communications LLC, 4.90%, 3/11/26 | 30,000 | 31,641 | |||||
DISH DBS Corp., 4.625%, 7/15/17 | 130,000 | 130,487 | |||||
DISH DBS Corp., 6.75%, 6/1/21 | 100,000 | 110,875 | |||||
DISH DBS Corp., 5.00%, 3/15/23 | 130,000 | 133,942 | |||||
DISH DBS Corp., 5.875%, 11/15/24 | 45,000 | 48,094 | |||||
Gray Television, Inc., 5.125%, 10/15/24(3) | 100,000 | 100,250 | |||||
Gray Television, Inc., 5.875%, 7/15/26(3) | 25,000 | 25,438 | |||||
Interpublic Group of Cos., Inc. (The), 4.00%, 3/15/22 | 30,000 | 31,485 | |||||
Lamar Media Corp., 5.875%, 2/1/22 | 70,000 | 72,800 | |||||
Lamar Media Corp., 5.00%, 5/1/23 | 90,000 | 94,275 | |||||
Lamar Media Corp., 5.375%, 1/15/24 | 30,000 | 31,665 | |||||
McClatchy Co. (The), 9.00%, 12/15/22 | 35,000 | 36,575 | |||||
NBCUniversal Media LLC, 4.375%, 4/1/21 | 50,000 | 54,255 | |||||
NBCUniversal Media LLC, 2.875%, 1/15/23 | 50,000 | 51,064 | |||||
Nexstar Broadcasting, Inc., 5.625%, 8/1/24(3) | 140,000 | 141,400 | |||||
Nielsen Finance LLC / Nielsen Finance Co., 5.00%, 4/15/22(3) | 160,000 | 165,000 | |||||
Omnicom Group, Inc., 3.60%, 4/15/26 | 60,000 | 61,151 | |||||
Regal Entertainment Group, 5.75%, 3/15/22 | 100,000 | 104,875 | |||||
RR Donnelley & Sons Co., 6.00%, 4/1/24 | 90,000 | 88,650 | |||||
SFR Group SA, 6.00%, 5/15/22(3) | 165,000 | 173,044 | |||||
SFR Group SA, 7.375%, 5/1/26(3) | 140,000 | 152,162 | |||||
Sinclair Television Group, Inc., 5.375%, 4/1/21 | 50,000 | 51,500 | |||||
Sinclair Television Group, Inc., 5.625%, 8/1/24(3) | 80,000 | 82,500 | |||||
Sirius XM Radio, Inc., 5.75%, 8/1/21(3) | 125,000 | 129,687 | |||||
Sirius XM Radio, Inc., 4.625%, 5/15/23(3) | 95,000 | 96,722 | |||||
Sirius XM Radio, Inc., 5.375%, 4/15/25(3) | 55,000 | 56,650 | |||||
TEGNA, Inc., 5.50%, 9/15/24(3) | 130,000 | 134,550 | |||||
Time Warner Cable LLC, 6.75%, 7/1/18 | 35,000 | 36,797 | |||||
Time Warner Cable LLC, 5.50%, 9/1/41 | 30,000 | 32,110 | |||||
Time Warner Cable LLC, 4.50%, 9/15/42 | 30,000 | 28,781 | |||||
Time Warner, Inc., 3.60%, 7/15/25 | 105,000 | 105,124 | |||||
Time Warner, Inc., 3.80%, 2/15/27 | 60,000 | 59,968 | |||||
Time Warner, Inc., 5.35%, 12/15/43 | 30,000 | 31,837 | |||||
Unitymedia GmbH, 6.125%, 1/15/25(3) | 90,000 | 96,750 |
47
Shares/ Principal Amount | Value | ||||||
Univision Communications, Inc., 5.125%, 2/15/25(3) | $ | 170,000 | $ | 168,512 | |||
Viacom, Inc., 3.125%, 6/15/22 | 10,000 | 10,029 | |||||
Viacom, Inc., 4.25%, 9/1/23 | 55,000 | 57,578 | |||||
Videotron Ltd., 5.00%, 7/15/22 | 75,000 | 80,156 | |||||
Virgin Media Finance plc, 5.75%, 1/15/25(3) | 100,000 | 102,625 | |||||
Virgin Media Secured Finance plc, 5.25%, 1/15/26(3) | 150,000 | 153,187 | |||||
Walt Disney Co. (The), MTN, 2.35%, 12/1/22 | 60,000 | 60,146 | |||||
WideOpenWest Finance LLC / WideOpenWest Capital Corp., 10.25%, 7/15/19 | 66,000 | 68,554 | |||||
Wind Acquisition Finance SA, 7.375%, 4/23/21(3) | 190,000 | 198,099 | |||||
WMG Acquisition Corp., 5.625%, 4/15/22(3) | 144,000 | 150,300 | |||||
Ziggo Bond Finance BV, 5.875%, 1/15/25(3) | 85,000 | 87,337 | |||||
7,242,778 | |||||||
Metals and Mining — 0.3% | |||||||
AK Steel Corp., 7.00%, 3/15/27 | 90,000 | 90,900 | |||||
Alcoa Nederland Holding BV, 6.75%, 9/30/24(3) | 75,000 | 81,375 | |||||
Aleris International, Inc., 9.50%, 4/1/21(3) | 40,000 | 42,000 | |||||
Allegheny Technologies, Inc., 5.95%, 1/15/21 | 145,000 | 145,000 | |||||
Anglo American Capital plc, 3.625%, 5/14/20(3) | 125,000 | 127,255 | |||||
ArcelorMittal, 6.00%, 3/1/21 | 70,000 | 76,125 | |||||
ArcelorMittal, 6.125%, 6/1/25 | 75,000 | 84,900 | |||||
ArcelorMittal, 7.25%, 3/1/41 | 140,000 | 155,400 | |||||
Arconic, Inc., 5.40%, 4/15/21 | 45,000 | 48,622 | |||||
Arconic, Inc., 5.125%, 10/1/24 | 160,000 | 170,880 | |||||
Barrick North America Finance LLC, 5.75%, 5/1/43 | 30,000 | 36,240 | |||||
Cliffs Natural Resources, Inc., 8.25%, 3/31/20(3) | 93,000 | 102,765 | |||||
Cliffs Natural Resources, Inc., 5.75%, 3/1/25(3) | 90,000 | 86,400 | |||||
First Quantum Minerals Ltd., 7.25%, 5/15/22(3) | 160,000 | 165,600 | |||||
Freeport-McMoRan, Inc., 3.55%, 3/1/22 | 220,000 | 206,800 | |||||
Freeport-McMoRan, Inc., 3.875%, 3/15/23 | 4,000 | 3,738 | |||||
Freeport-McMoRan, Inc., 5.40%, 11/14/34 | 275,000 | 244,750 | |||||
Glencore Finance Canada Ltd., 4.95%, 11/15/21(3) | 50,000 | 53,659 | |||||
Kinross Gold Corp., 5.125%, 9/1/21 | 25,000 | 26,500 | |||||
Lundin Mining Corp., 7.875%, 11/1/22(3) | 70,000 | 77,000 | |||||
New Gold, Inc., 6.25%, 11/15/22(3) | 35,000 | 36,137 | |||||
Novelis Corp., 5.875%, 9/30/26(3) | 150,000 | 155,625 | |||||
Southern Copper Corp., 5.25%, 11/8/42 | 20,000 | 19,618 | |||||
Steel Dynamics, Inc., 5.25%, 4/15/23 | 115,000 | 119,456 | |||||
Steel Dynamics, Inc., 5.00%, 12/15/26 | 25,000 | 25,500 | |||||
Teck Resources Ltd., 4.75%, 1/15/22 | 165,000 | 173,456 | |||||
Teck Resources Ltd., 6.25%, 7/15/41 | 40,000 | 42,000 | |||||
United States Steel Corp., 7.375%, 4/1/20 | 94,000 | 102,084 | |||||
Vale Overseas Ltd., 5.625%, 9/15/19 | 30,000 | 31,800 | |||||
Vale Overseas Ltd., 6.25%, 8/10/26 | 30,000 | 32,475 | |||||
2,764,060 | |||||||
Multi-Utilities — 0.3% | |||||||
AES Corp., 4.875%, 5/15/23 | 315,000 | 321,694 |
48
Shares/ Principal Amount | Value | ||||||
AmeriGas Partners LP / AmeriGas Finance Corp., 5.625%, 5/20/24 | $ | 30,000 | $ | 30,972 | |||
AmeriGas Partners LP / AmeriGas Finance Corp., 5.875%, 8/20/26 | 75,000 | 76,875 | |||||
AmeriGas Partners LP / AmeriGas Finance Corp., 5.75%, 5/20/27 | 100,000 | 101,500 | |||||
Berkshire Hathaway Energy Co., 3.50%, 2/1/25 | 50,000 | 51,739 | |||||
Calpine Corp., 5.375%, 1/15/23 | 100,000 | 98,250 | |||||
Calpine Corp., 5.75%, 1/15/25 | 250,000 | 238,437 | |||||
Consolidated Edison Co. of New York, Inc., 3.95%, 3/1/43 | 40,000 | 40,517 | |||||
Dominion Energy, Inc., 6.40%, 6/15/18 | 120,000 | 125,747 | |||||
Dominion Energy, Inc., 2.75%, 9/15/22 | 10,000 | 10,018 | |||||
Dominion Energy, Inc., 3.625%, 12/1/24 | 90,000 | 92,243 | |||||
Dominion Energy, Inc., 4.90%, 8/1/41 | 30,000 | 32,530 | |||||
Duke Energy Florida LLC, 6.35%, 9/15/37 | 51,000 | 69,144 | |||||
Duke Energy Florida LLC, 3.85%, 11/15/42 | 40,000 | 39,901 | |||||
Duke Energy Progress LLC, 4.15%, 12/1/44 | 40,000 | 41,963 | |||||
Dynegy, Inc., 7.375%, 11/1/22 | 180,000 | 177,750 | |||||
Dynegy, Inc., 7.625%, 11/1/24 | 60,000 | 58,500 | |||||
Exelon Corp., 5.15%, 12/1/20 | 70,000 | 75,988 | |||||
Exelon Corp., 4.45%, 4/15/46 | 20,000 | 20,497 | |||||
Exelon Generation Co. LLC, 4.25%, 6/15/22 | 40,000 | 42,379 | |||||
Exelon Generation Co. LLC, 5.60%, 6/15/42 | 30,000 | 29,856 | |||||
FirstEnergy Corp., 4.25%, 3/15/23 | 70,000 | 73,066 | |||||
Florida Power & Light Co., 4.125%, 2/1/42 | 75,000 | 79,441 | |||||
GenOn Energy, Inc., 9.50%, 10/15/18(9) | 40,000 | 29,000 | |||||
GenOn Energy, Inc., 9.875%, 10/15/20(9) | 30,000 | 21,975 | |||||
Georgia Power Co., 4.30%, 3/15/42 | 30,000 | 30,412 | |||||
MidAmerican Energy Co., 4.40%, 10/15/44 | 100,000 | 109,182 | |||||
NiSource Finance Corp., 5.65%, 2/1/45 | 40,000 | 48,322 | |||||
NRG Energy, Inc., 6.25%, 7/15/22 | 150,000 | 154,030 | |||||
NRG Energy, Inc., 6.25%, 5/1/24 | 155,000 | 156,627 | |||||
NRG Energy, Inc., 7.25%, 5/15/26 | 75,000 | 77,062 | |||||
Pacific Gas & Electric Co., 4.00%, 12/1/46 | 50,000 | 51,265 | |||||
Potomac Electric Power Co., 3.60%, 3/15/24 | 40,000 | 41,863 | |||||
Progress Energy, Inc., 3.15%, 4/1/22 | 40,000 | 41,074 | |||||
Sempra Energy, 2.875%, 10/1/22 | 70,000 | 70,418 | |||||
Southern Co. Gas Capital Corp., 3.95%, 10/1/46 | 20,000 | 18,983 | |||||
Southern Power Co., 5.15%, 9/15/41 | 20,000 | 21,099 | |||||
Talen Energy Supply LLC, 4.625%, 7/15/19(3) | 15,000 | 14,662 | |||||
Talen Energy Supply LLC, 6.50%, 6/1/25 | 95,000 | 71,250 | |||||
Xcel Energy, Inc., 3.35%, 12/1/26 | 30,000 | 30,564 | |||||
Xcel Energy, Inc., 4.80%, 9/15/41 | 20,000 | 21,324 | |||||
2,938,119 | |||||||
Multiline Retail† | |||||||
Bon-Ton Department Stores, Inc. (The), 8.00%, 6/15/21 | 70,000 | 26,250 | |||||
JC Penney Corp., Inc., 5.65%, 6/1/20 | 70,000 | 69,737 | |||||
Macy's Retail Holdings, Inc., 2.875%, 2/15/23 | 80,000 | 74,346 | |||||
Neiman Marcus Group Ltd. LLC, 8.00%, 10/15/21(3) | 60,000 | 31,350 | |||||
201,683 |
49
Shares/ Principal Amount | Value | ||||||
Oil, Gas and Consumable Fuels — 0.7% | |||||||
Alta Mesa Holdings LP / Alta Mesa Finance Services Corp., 7.875%, 12/15/24(3) | $ | 140,000 | $ | 147,350 | |||
Anadarko Petroleum Corp., 5.55%, 3/15/26 | 30,000 | 33,738 | |||||
Anadarko Petroleum Corp., 6.45%, 9/15/36 | 40,000 | 47,692 | |||||
Antero Resources Corp., 5.125%, 12/1/22 | 145,000 | 147,356 | |||||
Antero Resources Corp., 5.625%, 6/1/23 | 35,000 | 36,138 | |||||
Antero Resources Corp., 5.00%, 3/1/25(3) | 40,000 | 39,400 | |||||
Apache Corp., 4.75%, 4/15/43 | 50,000 | 51,063 | |||||
BP Capital Markets plc, 2.75%, 5/10/23 | 50,000 | 50,308 | |||||
California Resources Corp., 8.00%, 12/15/22(3) | 150,000 | 112,875 | |||||
Calumet Specialty Products Partners LP / Calumet Finance Corp., 6.50%, 4/15/21 | 70,000 | 63,000 | |||||
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20 | 60,000 | 61,575 | |||||
Carrizo Oil & Gas, Inc., 6.25%, 4/15/23 | 70,000 | 68,425 | |||||
Cenovus Energy, Inc., 4.25%, 4/15/27(3) | 30,000 | 29,919 | |||||
Cenovus Energy, Inc., 6.75%, 11/15/39 | 110,000 | 123,159 | |||||
Chesapeake Energy Corp., 8.00%, 12/15/22(3) | 155,000 | 168,175 | |||||
Chesapeake Energy Corp., 8.00%, 1/15/25(3) | 115,000 | 114,856 | |||||
Chevron Corp., 2.10%, 5/16/21 | 50,000 | 50,009 | |||||
Cimarex Energy Co., 4.375%, 6/1/24 | 50,000 | 52,756 | |||||
CNOOC Nexen Finance 2014 ULC, 4.25%, 4/30/24 | 50,000 | 52,808 | |||||
Comstock Resources, Inc., PIK, 10.00%, 3/15/20 | 65,000 | 66,300 | |||||
Concho Resources, Inc., 5.50%, 10/1/22 | 50,000 | 51,750 | |||||
Concho Resources, Inc., 5.50%, 4/1/23 | 195,000 | 202,556 | |||||
Concho Resources, Inc., 4.375%, 1/15/25 | 80,000 | 82,000 | |||||
ConocoPhillips Holding Co., 6.95%, 4/15/29 | 30,000 | 39,311 | |||||
CONSOL Energy, Inc., 5.875%, 4/15/22 | 250,000 | 247,812 | |||||
Continental Resources, Inc., 5.00%, 9/15/22 | 165,000 | 165,825 | |||||
Continental Resources, Inc., 3.80%, 6/1/24 | 125,000 | 117,425 | |||||
Denbury Resources, Inc., 4.625%, 7/15/23 | 75,000 | 50,438 | |||||
Diamondback Energy, Inc., 4.75%, 11/1/24(3) | 105,000 | 105,787 | |||||
Ecopetrol SA, 4.125%, 1/16/25 | 30,000 | 29,475 | |||||
Ecopetrol SA, 5.875%, 5/28/45 | 40,000 | 36,950 | |||||
Encana Corp., 6.50%, 2/1/38 | 30,000 | 34,914 | |||||
EOG Resources, Inc., 5.625%, 6/1/19 | 120,000 | 128,482 | |||||
EOG Resources, Inc., 4.10%, 2/1/21 | 40,000 | 42,394 | |||||
EP Energy LLC / Everest Acquisition Finance, Inc., 9.375%, 5/1/20 | 155,000 | 140,662 | |||||
EP Energy LLC / Everest Acquisition Finance, Inc., 8.00%, 11/29/24(3) | 90,000 | 93,600 | |||||
Exxon Mobil Corp., 2.71%, 3/6/25 | 80,000 | 79,890 | |||||
Exxon Mobil Corp., 3.04%, 3/1/26 | 90,000 | 91,417 | |||||
Ferrellgas LP / Ferrellgas Finance Corp., 6.75%, 1/15/22 | 60,000 | 58,200 | |||||
Ferrellgas LP / Ferrellgas Finance Corp., 6.75%, 6/15/23 | 105,000 | 102,113 | |||||
Gulfport Energy Corp., 6.00%, 10/15/24(3) | 75,000 | 73,875 | |||||
Gulfport Energy Corp., 6.375%, 5/15/25(3) | 65,000 | 64,756 | |||||
Halcon Resources Corp., 12.00%, 2/15/22(3) | 33,000 | 38,280 |
50
Shares/ Principal Amount | Value | ||||||
Halcon Resources Corp., 6.75%, 2/15/25(3) | $ | 135,000 | $ | 126,562 | |||
Hess Corp., 6.00%, 1/15/40 | 40,000 | 42,444 | |||||
Hilcorp Energy I LP / Hilcorp Finance Co., 5.75%, 10/1/25(3) | 70,000 | 68,775 | |||||
Laredo Petroleum, Inc., 6.25%, 3/15/23 | 80,000 | 80,300 | |||||
Marathon Oil Corp., 3.85%, 6/1/25 | 40,000 | 39,908 | |||||
Marathon Oil Corp., 5.20%, 6/1/45 | 30,000 | 30,358 | |||||
MEG Energy Corp., 7.00%, 3/31/24(3) | 100,000 | 87,000 | |||||
MEG Energy Corp., 6.50%, 1/15/25(3) | 75,000 | 73,594 | |||||
Murphy Oil Corp., 4.70%, 12/1/22 | 90,000 | 88,200 | |||||
Newfield Exploration Co., 5.75%, 1/30/22 | 85,000 | 90,950 | |||||
Newfield Exploration Co., 5.625%, 7/1/24 | 88,000 | 93,720 | |||||
Noble Energy, Inc., 4.15%, 12/15/21 | 60,000 | 63,513 | |||||
Oasis Petroleum, Inc., 6.875%, 3/15/22 | 125,000 | 126,875 | |||||
Petroleos Mexicanos, 6.00%, 3/5/20 | 80,000 | 86,670 | |||||
Petroleos Mexicanos, 4.875%, 1/24/22 | 20,000 | 20,908 | |||||
Petroleos Mexicanos, 3.50%, 1/30/23 | 30,000 | 29,168 | |||||
Petroleos Mexicanos, 6.625%, 6/15/35 | 30,000 | 31,713 | |||||
Petroleos Mexicanos, 5.50%, 6/27/44 | 60,000 | 54,054 | |||||
Phillips 66, 4.30%, 4/1/22 | 70,000 | 75,824 | |||||
QEP Resources, Inc., 5.375%, 10/1/22 | 150,000 | 147,375 | |||||
Range Resources Corp., 5.00%, 8/15/22(3) | 155,000 | 153,062 | |||||
Rice Energy, Inc., 6.25%, 5/1/22 | 50,000 | 52,125 | |||||
Sanchez Energy Corp., 7.75%, 6/15/21 | 75,000 | 71,250 | |||||
Shell International Finance BV, 2.375%, 8/21/22 | 80,000 | 80,173 | |||||
Shell International Finance BV, 3.625%, 8/21/42 | 55,000 | 51,354 | |||||
Shell International Finance BV, 4.55%, 8/12/43 | 4,000 | 4,265 | |||||
SM Energy Co., 6.50%, 1/1/23 | 45,000 | 44,550 | |||||
SM Energy Co., 5.00%, 1/15/24 | 70,000 | 65,100 | |||||
Southwestern Energy Co., 6.70%, 1/23/25 | 80,000 | 79,400 | |||||
Statoil ASA, 2.45%, 1/17/23 | 80,000 | 79,716 | |||||
Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.50%, 6/1/24 | 50,000 | 50,375 | |||||
Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.75%, 3/1/25 | 135,000 | 135,337 | |||||
Suncor Energy, Inc., 6.50%, 6/15/38 | 20,000 | 25,652 | |||||
Sunoco LP / Sunoco Finance Corp., 5.50%, 8/1/20 | 100,000 | 103,375 | |||||
Sunoco LP / Sunoco Finance Corp., 6.375%, 4/1/23 | 68,000 | 72,760 | |||||
Total Capital Canada Ltd., 2.75%, 7/15/23 | 40,000 | 40,582 | |||||
Whiting Petroleum Corp., 5.75%, 3/15/21 | 100,000 | 98,750 | |||||
WPX Energy, Inc., 6.00%, 1/15/22 | 50,000 | 50,750 | |||||
WPX Energy, Inc., 8.25%, 8/1/23 | 65,000 | 71,500 | |||||
6,382,801 | |||||||
Paper and Forest Products† | |||||||
International Paper Co., 4.40%, 8/15/47 | 50,000 | 50,329 | |||||
Personal Products† | |||||||
Avon Products, Inc., 7.00%, 3/15/23 | 85,000 | 79,263 |
51
Shares/ Principal Amount | Value | ||||||
Pharmaceuticals — 0.2% | |||||||
Actavis, Inc., 3.25%, 10/1/22 | $ | 18,000 | $ | 18,437 | |||
Allergan Funding SCS, 3.85%, 6/15/24 | 120,000 | 125,140 | |||||
Allergan Funding SCS, 4.55%, 3/15/35 | 40,000 | 41,537 | |||||
Capsugel SA, PIK, 7.00%, 5/15/19(3) | 31,000 | 31,031 | |||||
Endo Dac / Endo Finance LLC / Endo Finco, Inc., 6.00%, 7/15/23(3) | 35,000 | 32,419 | |||||
Endo Dac / Endo Finance LLC / Endo Finco, Inc., 6.00%, 2/1/25(3) | 130,000 | 117,130 | |||||
Endo Finance LLC / Endo Finco, Inc., 5.375%, 1/15/23(3) | 130,000 | 118,625 | |||||
Merck & Co., Inc., 2.40%, 9/15/22 | 60,000 | 60,602 | |||||
Quintiles IMS, Inc., 4.875%, 5/15/23(3) | 90,000 | 92,925 | |||||
Shire Acquisitions Investments Ireland DAC, 2.40%, 9/23/21 | 200,000 | 198,874 | |||||
Valeant Pharmaceuticals International, Inc., 5.375%, 3/15/20(3) | 100,000 | 93,500 | |||||
Valeant Pharmaceuticals International, Inc., 6.375%, 10/15/20(3) | 20,000 | 18,825 | |||||
Valeant Pharmaceuticals International, Inc., 6.75%, 8/15/21(3) | 115,000 | 104,075 | |||||
Valeant Pharmaceuticals International, Inc., 7.25%, 7/15/22(3) | 210,000 | 187,425 | |||||
Valeant Pharmaceuticals International, Inc., 5.50%, 3/1/23(3) | 150,000 | 121,125 | |||||
Valeant Pharmaceuticals International, Inc., 7.00%, 3/15/24(3) | 50,000 | 53,000 | |||||
Valeant Pharmaceuticals International, Inc., 6.125%, 4/15/25(3) | 120,000 | 96,150 | |||||
1,510,820 | |||||||
Professional Services† | |||||||
Team Health Holdings, Inc., 6.375%, 2/1/25(3) | 45,000 | 43,819 | |||||
Real Estate Management and Development† | |||||||
Realogy Group LLC / Realogy Co-Issuer Corp., 4.50%, 4/15/19(3) | 110,000 | 114,538 | |||||
Road and Rail — 0.1% | |||||||
Burlington Northern Santa Fe LLC, 3.60%, 9/1/20 | 103,000 | 108,153 | |||||
Burlington Northern Santa Fe LLC, 3.25%, 6/15/27 | 20,000 | 20,606 | |||||
Burlington Northern Santa Fe LLC, 4.95%, 9/15/41 | 30,000 | 34,541 | |||||
Burlington Northern Santa Fe LLC, 4.45%, 3/15/43 | 12,000 | 13,004 | |||||
Burlington Northern Santa Fe LLC, 4.15%, 4/1/45 | 55,000 | 57,016 | |||||
CSX Corp., 3.40%, 8/1/24 | 60,000 | 62,188 | |||||
CSX Corp., 3.25%, 6/1/27 | 40,000 | 40,549 | |||||
Norfolk Southern Corp., 5.75%, 4/1/18 | 20,000 | 20,692 | |||||
Union Pacific Corp., 4.75%, 9/15/41 | 80,000 | 89,322 | |||||
446,071 | |||||||
Semiconductors and Semiconductor Equipment — 0.1% | |||||||
Advanced Micro Devices, Inc., 7.50%, 8/15/22 | 23,000 | 25,501 | |||||
Advanced Micro Devices, Inc., 7.00%, 7/1/24 | 45,000 | 47,475 | |||||
Amkor Technology, Inc., 6.375%, 10/1/22 | 75,000 | 78,469 | |||||
Intel Corp., 3.15%, 5/11/27 | 60,000 | 60,553 | |||||
Lam Research Corp., 2.80%, 6/15/21 | 70,000 | 70,956 | |||||
Micron Technology, Inc., 5.25%, 8/1/23(3) | 100,000 | 103,250 |
52
Shares/ Principal Amount | Value | ||||||
Micron Technology, Inc., 5.50%, 2/1/25 | $ | 23,000 | $ | 24,107 | |||
NXP BV / NXP Funding LLC, 3.875%, 9/1/22(3) | 75,000 | 78,469 | |||||
QUALCOMM, Inc., 3.25%, 5/20/27 | 60,000 | 59,903 | |||||
548,683 | |||||||
Software — 0.1% | |||||||
Activision Blizzard, Inc., 2.30%, 9/15/21(3) | 50,000 | 49,614 | |||||
Infor US, Inc., 6.50%, 5/15/22 | 263,000 | 275,164 | |||||
Microsoft Corp., 2.70%, 2/12/25 | 100,000 | 100,137 | |||||
Microsoft Corp., 3.125%, 11/3/25 | 90,000 | 92,529 | |||||
Microsoft Corp., 3.45%, 8/8/36 | 20,000 | 19,615 | |||||
Microsoft Corp., 4.25%, 2/6/47 | 90,000 | 95,903 | |||||
Oracle Corp., 3.625%, 7/15/23 | 90,000 | 95,594 | |||||
Oracle Corp., 2.65%, 7/15/26 | 50,000 | 48,554 | |||||
Oracle Corp., 4.00%, 7/15/46 | 100,000 | 99,543 | |||||
Quintiles IMS, Inc., 5.00%, 10/15/26(3) | 45,000 | 46,565 | |||||
Rackspace Hosting, Inc., 8.625%, 11/15/24(3) | 125,000 | 133,750 | |||||
1,056,968 | |||||||
Specialty Retail — 0.2% | |||||||
Asbury Automotive Group, Inc., 6.00%, 12/15/24 | 160,000 | 164,500 | |||||
Ashtead Capital, Inc., 5.625%, 10/1/24(3) | 168,000 | 180,180 | |||||
Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 5.125%, 6/1/22(3) | 70,000 | 68,688 | |||||
Herc Rentals, Inc., 7.50%, 6/1/22(3) | 68,000 | 72,590 | |||||
Hertz Corp. (The), 6.75%, 4/15/19 | 45,000 | 45,068 | |||||
Hertz Corp. (The), 6.25%, 10/15/22 | 65,000 | 55,819 | |||||
Home Depot, Inc. (The), 3.75%, 2/15/24 | 130,000 | 139,216 | |||||
Home Depot, Inc. (The), 5.95%, 4/1/41 | 70,000 | 92,143 | |||||
Lowe's Cos., Inc., 3.10%, 5/3/27 | 50,000 | 50,147 | |||||
Michaels Stores, Inc., 5.875%, 12/15/20(3) | 105,000 | 107,756 | |||||
Party City Holdings, Inc., 6.125%, 8/15/23(3) | 75,000 | 77,625 | |||||
PetSmart, Inc., 5.875%, 6/1/25(3) | 60,000 | 60,450 | |||||
Rent-A-Center, Inc., 6.625%, 11/15/20 | 70,000 | 65,100 | |||||
Sally Holdings LLC / Sally Capital, Inc., 5.50%, 11/1/23 | 75,000 | 76,406 | |||||
Sonic Automotive, Inc., 5.00%, 5/15/23 | 50,000 | 47,875 | |||||
United Rentals North America, Inc., 6.125%, 6/15/23 | 25,000 | 26,450 | |||||
United Rentals North America, Inc., 4.625%, 7/15/23 | 160,000 | 167,144 | |||||
United Rentals North America, Inc., 5.50%, 7/15/25 | 200,000 | 211,550 | |||||
United Rentals North America, Inc., 5.50%, 5/15/27 | 50,000 | 51,500 | |||||
1,760,207 | |||||||
Technology Hardware, Storage and Peripherals — 0.2% | |||||||
Apple, Inc., 2.85%, 5/6/21 | 60,000 | 61,917 | |||||
Apple, Inc., 3.00%, 2/9/24 | 20,000 | 20,468 | |||||
Apple, Inc., 2.50%, 2/9/25 | 205,000 | 201,353 | |||||
Apple, Inc., 3.20%, 5/11/27 | 70,000 | 71,016 | |||||
Apple, Inc., 4.65%, 2/23/46 | 10,000 | 11,121 | |||||
CommScope Technologies LLC, 6.00%, 6/15/25(3) | 170,000 | 181,509 | |||||
Dell International LLC / EMC Corp., 7.125%, 6/15/24(3) | 245,000 | 273,114 |
53
Shares/ Principal Amount | Value | ||||||
Dell International LLC / EMC Corp., 6.02%, 6/15/26(3) | $ | 170,000 | $ | 187,834 | |||
Dell, Inc., 5.875%, 6/15/19 | 120,000 | 127,350 | |||||
EMC Corp., 2.65%, 6/1/20 | 50,000 | 49,337 | |||||
NCR Corp., 5.00%, 7/15/22 | 100,000 | 102,625 | |||||
Seagate HDD Cayman, 4.75%, 6/1/23 | 50,000 | 51,381 | |||||
Western Digital Corp., 10.50%, 4/1/24 | 125,000 | 146,875 | |||||
1,485,900 | |||||||
Textiles, Apparel and Luxury Goods† | |||||||
Hanesbrands, Inc., 4.625%, 5/15/24(3) | 90,000 | 90,450 | |||||
L Brands, Inc., 5.625%, 2/15/22 | 140,000 | 149,450 | |||||
Men's Wearhouse, Inc. (The), 7.00%, 7/1/22 | 195,000 | 167,700 | |||||
407,600 | |||||||
Tobacco† | |||||||
Altria Group, Inc., 2.85%, 8/9/22 | 140,000 | 142,624 | |||||
Philip Morris International, Inc., 4.125%, 5/17/21 | 110,000 | 118,019 | |||||
260,643 | |||||||
Wireless Telecommunication Services — 0.1% | |||||||
Sprint Communications, Inc., 9.00%, 11/15/18(3) | 37,000 | 40,654 | |||||
Sprint Communications, Inc., 6.00%, 11/15/22 | 220,000 | 234,850 | |||||
Sprint Corp., 7.25%, 9/15/21 | 160,000 | 182,050 | |||||
Sprint Corp., 7.875%, 9/15/23 | 70,000 | 81,112 | |||||
Sprint Corp., 7.125%, 6/15/24 | 255,000 | 287,481 | |||||
T-Mobile USA, Inc., 6.125%, 1/15/22 | 75,000 | 79,125 | |||||
T-Mobile USA, Inc., 6.625%, 4/1/23 | 95,000 | 101,384 | |||||
T-Mobile USA, Inc., 6.375%, 3/1/25 | 130,000 | 141,212 | |||||
T-Mobile USA, Inc., 6.50%, 1/15/26 | 50,000 | 55,312 | |||||
1,203,180 | |||||||
TOTAL CORPORATE BONDS (Cost $73,147,999) | 74,817,211 | ||||||
U.S. TREASURY SECURITIES — 7.1% | |||||||
U.S. Treasury Bonds, 3.50%, 2/15/39 | 850,000 | 961,014 | |||||
U.S. Treasury Bonds, 4.375%, 11/15/39 | 100,000 | 127,441 | |||||
U.S. Treasury Bonds, 2.875%, 5/15/43 | 950,000 | 953,526 | |||||
U.S. Treasury Bonds, 3.75%, 11/15/43 | 140,000 | 163,822 | |||||
U.S. Treasury Bonds, 3.125%, 8/15/44 | 210,000 | 220,783 | |||||
U.S. Treasury Bonds, 3.00%, 11/15/44 | 100,000 | 102,701 | |||||
U.S. Treasury Bonds, 2.50%, 2/15/45 | 2,010,000 | 1,865,845 | |||||
U.S. Treasury Bonds, 3.00%, 5/15/45 | 200,000 | 205,109 | |||||
U.S. Treasury Inflation Indexed Bonds, 2.375%, 1/15/25 | 2,586,800 | 2,987,956 | |||||
U.S. Treasury Inflation Indexed Bonds, 2.00%, 1/15/26 | 1,412,614 | 1,607,207 | |||||
U.S. Treasury Inflation Indexed Bonds, 2.375%, 1/15/27 | 241,788 | 286,713 | |||||
U.S. Treasury Inflation Indexed Bonds, 2.50%, 1/15/29 | 2,441,411 | 2,994,483 | |||||
U.S. Treasury Inflation Indexed Bonds, 2.125%, 2/15/40 | 406,073 | 514,444 | |||||
U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/42 | 712,107 | 690,297 | |||||
U.S. Treasury Inflation Indexed Bonds, 0.625%, 2/15/43 | 328,727 | 308,352 | |||||
U.S. Treasury Inflation Indexed Bonds, 1.375%, 2/15/44 | 1,203,004 | 1,332,524 | |||||
U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/45 | 1,263,103 | 1,209,307 |
54
Shares/ Principal Amount | Value | ||||||
U.S. Treasury Inflation Indexed Bonds, 0.875%, 2/15/47 | $ | 605,988 | $ | 599,594 | |||
U.S. Treasury Inflation Indexed Notes, 0.125%, 4/15/19 | 884,391 | 890,457 | |||||
U.S. Treasury Inflation Indexed Notes, 1.375%, 1/15/20 | 676,452 | 707,317 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 4/15/20 | 4,164,320 | 4,201,649 | |||||
U.S. Treasury Inflation Indexed Notes, 1.125%, 1/15/21 | 2,563,373 | 2,687,335 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 4/15/21 | 2,365,941 | 2,384,864 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 1/15/22 | 1,400,321 | 1,411,972 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 4/15/22 | 150,374 | 151,224 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 7/15/22 | 2,438,391 | 2,463,489 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 1/15/23 | 1,531,534 | 1,534,555 | |||||
U.S. Treasury Inflation Indexed Notes, 0.375%, 7/15/23 | 1,466,668 | 1,494,082 | |||||
U.S. Treasury Inflation Indexed Notes, 0.625%, 1/15/24 | 783,653 | 804,912 | |||||
U.S. Treasury Inflation Indexed Notes, 0.375%, 7/15/25 | 1,881,368 | 1,893,909 | |||||
U.S. Treasury Inflation Indexed Notes, 0.625%, 1/15/26 | 615,630 | 629,259 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 7/15/26 | 3,661,560 | 3,589,043 | |||||
U.S. Treasury Notes, 1.00%, 2/15/18 | 60,000 | 59,911 | |||||
U.S. Treasury Notes, 1.00%, 3/15/18 | 3,400,000 | 3,394,155 | |||||
U.S. Treasury Notes, 0.75%, 4/15/18 | 500,000 | 497,969 | |||||
U.S. Treasury Notes, 1.375%, 9/30/18 | 3,300,000 | 3,306,574 | |||||
U.S. Treasury Notes, 1.25%, 11/30/18 | 200,000 | 200,031 | |||||
U.S. Treasury Notes, 1.25%, 12/15/18 | 1,100,000 | 1,100,172 | |||||
U.S. Treasury Notes, 1.125%, 1/31/19 | 4,300,000 | 4,291,348 | |||||
U.S. Treasury Notes, 1.75%, 9/30/19 | 50,000 | 50,490 | |||||
U.S. Treasury Notes, 1.50%, 11/30/19 | 1,350,000 | 1,354,772 | |||||
U.S. Treasury Notes, 1.625%, 12/31/19 | 350,000 | 352,276 | |||||
U.S. Treasury Notes, 1.375%, 1/15/20 | 600,000 | 600,094 | |||||
U.S. Treasury Notes, 1.375%, 2/29/20 | 850,000 | 849,303 | |||||
U.S. Treasury Notes, 1.50%, 5/31/20 | 200,000 | 200,289 | |||||
U.S. Treasury Notes, 1.625%, 6/30/20 | 450,000 | 452,057 | |||||
U.S. Treasury Notes, 1.375%, 9/30/20 | 500,000 | 497,608 | |||||
U.S. Treasury Notes, 2.00%, 11/30/20 | 250,000 | 253,789 | |||||
U.S. Treasury Notes, 1.75%, 12/31/20 | 100,000 | 100,619 | |||||
U.S. Treasury Notes, 2.25%, 4/30/21 | 150,000 | 153,527 | |||||
U.S. Treasury Notes, 1.375%, 5/31/21 | 250,000 | 247,437 | |||||
U.S. Treasury Notes, 1.125%, 8/31/21 | 80,000 | 78,180 | |||||
U.S. Treasury Notes, 2.00%, 10/31/21 | 4,010,000 | 4,059,419 | |||||
U.S. Treasury Notes, 2.00%, 12/31/21(5) | 500,000 | 506,006 | |||||
U.S. Treasury Notes, 1.875%, 1/31/22 | 2,550,000 | 2,565,639 | |||||
U.S. Treasury Notes, 1.875%, 4/30/22 | 1,000,000 | 1,005,352 | |||||
U.S. Treasury Notes, 1.75%, 9/30/22(5) | 100,000 | 99,617 | |||||
U.S. Treasury Notes, 1.25%, 7/31/23 | 50,000 | 48,015 | |||||
U.S. Treasury Notes, 2.00%, 11/15/26 | 350,000 | 343,875 | |||||
TOTAL U.S. TREASURY SECURITIES (Cost $67,779,770) | 68,643,709 | ||||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES(6) — 2.3% | |||||||
Adjustable-Rate U.S. Government Agency Mortgage-Backed Securities — 0.3% | |||||||
FHLMC, VRN, 1.81%, 6/15/17 | 38,358 | 39,684 |
55
Shares/ Principal Amount | Value | ||||||
FHLMC, VRN, 1.91%, 6/15/17 | $ | 53,902 | $ | 55,654 | |||
FHLMC, VRN, 1.99%, 6/15/17 | 64,695 | 67,206 | |||||
FHLMC, VRN, 2.32%, 6/15/17 | 155,379 | 157,832 | |||||
FHLMC, VRN, 2.38%, 6/15/17 | 173,914 | 178,064 | |||||
FHLMC, VRN, 2.68%, 6/15/17 | 75,987 | 80,323 | |||||
FHLMC, VRN, 2.86%, 6/15/17 | 38,244 | 40,382 | |||||
FHLMC, VRN, 2.90%, 6/15/17 | 156,325 | 164,809 | |||||
FHLMC, VRN, 2.93%, 6/15/17 | 23,770 | 25,075 | |||||
FHLMC, VRN, 2.93%, 6/15/17 | 80,678 | 85,020 | |||||
FHLMC, VRN, 3.14%, 6/15/17 | 47,466 | 49,630 | |||||
FHLMC, VRN, 3.34%, 6/15/17 | 49,192 | 51,891 | |||||
FHLMC, VRN, 3.63%, 6/15/17 | 15,649 | 16,554 | |||||
FHLMC, VRN, 3.67%, 6/15/17 | 52,518 | 54,961 | |||||
FHLMC, VRN, 4.07%, 6/15/17 | 54,726 | 56,761 | |||||
FHLMC, VRN, 4.12%, 6/15/17 | 41,203 | 42,716 | |||||
FHLMC, VRN, 4.25%, 6/15/17 | 64,730 | 67,320 | |||||
FHLMC, VRN, 5.12%, 6/15/17 | 3,397 | 3,524 | |||||
FNMA, VRN, 2.82%, 6/25/17 | 20,664 | 21,544 | |||||
FNMA, VRN, 2.82%, 6/25/17 | 88,543 | 92,196 | |||||
FNMA, VRN, 2.82%, 6/25/17 | 94,870 | 100,094 | |||||
FNMA, VRN, 2.83%, 6/25/17 | 63,747 | 66,724 | |||||
FNMA, VRN, 2.87%, 6/25/17 | 170,998 | 178,189 | |||||
FNMA, VRN, 2.88%, 6/25/17 | 23,796 | 24,691 | |||||
FNMA, VRN, 2.89%, 6/25/17 | 82,654 | 86,175 | |||||
FNMA, VRN, 2.89%, 6/25/17 | 137,256 | 142,875 | |||||
FNMA, VRN, 2.93%, 6/25/17 | 200,000 | 206,644 | |||||
FNMA, VRN, 3.07%, 6/25/17 | 33,638 | 35,333 | |||||
FNMA, VRN, 3.18%, 6/25/17 | 124,227 | 127,828 | |||||
FNMA, VRN, 3.21%, 6/25/17 | 148,714 | 153,039 | |||||
FNMA, VRN, 3.30%, 6/25/17 | 28,048 | 29,599 | |||||
FNMA, VRN, 3.31%, 6/25/17 | 62,495 | 65,267 | |||||
FNMA, VRN, 3.32%, 6/25/17 | 23,111 | 24,206 | |||||
FNMA, VRN, 3.60%, 6/25/17 | 44,076 | 46,109 | |||||
FNMA, VRN, 3.93%, 6/25/17 | 53,760 | 55,932 | |||||
FNMA, VRN, 4.96%, 6/25/17 | 60,364 | 63,890 | |||||
2,757,741 | |||||||
Fixed-Rate U.S. Government Agency Mortgage-Backed Securities — 2.0% | |||||||
FHLMC, 4.50%, 1/1/19 | 17,041 | 17,464 | |||||
FHLMC, 7.00%, 8/1/29 | 751 | 819 | |||||
FHLMC, 8.00%, 7/1/30 | 6,639 | 7,811 | |||||
FHLMC, 5.50%, 12/1/33 | 42,248 | 47,925 | |||||
FHLMC, 6.00%, 11/1/38 | 182,282 | 206,480 | |||||
FHLMC, 6.50%, 7/1/47 | 5,214 | 5,599 | |||||
FNMA, 3.00%, 6/13/17(7) | 1,700,000 | 1,707,836 | |||||
FNMA, 3.50%, 6/13/17(7) | 3,985,000 | 4,113,404 | |||||
FNMA, 4.00%, 6/13/17(7) | 2,350,000 | 2,481,453 | |||||
FNMA, 4.50%, 6/13/17(7) | 500,000 | 538,943 |
56
Shares/ Principal Amount | Value | ||||||
FNMA, 5.00%, 9/1/20 | $ | 14,966 | $ | 15,404 | |||
FNMA, 7.00%, 6/1/26 | 316 | 355 | |||||
FNMA, 7.50%, 3/1/27 | 300 | 300 | |||||
FNMA, 7.00%, 1/1/29 | 3,936 | 4,286 | |||||
FNMA, 6.50%, 4/1/29 | 9,073 | 10,085 | |||||
FNMA, 6.50%, 8/1/29 | 4,522 | 5,172 | |||||
FNMA, 6.50%, 12/1/29 | 11,665 | 12,967 | |||||
FNMA, 7.00%, 3/1/30 | 2,954 | 3,268 | |||||
FNMA, 8.00%, 7/1/30 | 5,196 | 5,333 | |||||
FNMA, 7.50%, 9/1/30 | 1,803 | 2,172 | |||||
FNMA, 5.00%, 7/1/31 | 6,500 | 7,172 | |||||
FNMA, 7.00%, 9/1/31 | 9,117 | 10,055 | |||||
FNMA, 6.50%, 1/1/32 | 2,536 | 2,819 | |||||
FNMA, 6.50%, 8/1/32 | 4,867 | 5,583 | |||||
FNMA, 6.50%, 11/1/32 | 46,111 | 52,076 | |||||
FNMA, 5.50%, 6/1/33 | 15,799 | 17,783 | |||||
FNMA, 5.50%, 8/1/33 | 25,972 | 29,178 | |||||
FNMA, 5.00%, 11/1/33 | 194,394 | 214,519 | |||||
FNMA, 4.50%, 9/1/35 | 103,911 | 112,461 | |||||
FNMA, 5.00%, 2/1/36 | 145,920 | 161,217 | |||||
FNMA, 5.50%, 1/1/37 | 101,560 | 113,883 | |||||
FNMA, 6.50%, 8/1/37 | 90,931 | 100,773 | |||||
FNMA, 5.00%, 4/1/40 | 374,428 | 412,118 | |||||
FNMA, 4.00%, 1/1/41 | 1,153,562 | 1,235,021 | |||||
FNMA, 4.50%, 7/1/41 | 504,588 | 547,841 | |||||
FNMA, 4.50%, 9/1/41 | 45,368 | 49,117 | |||||
FNMA, 4.00%, 12/1/41 | 343,562 | 366,255 | |||||
FNMA, 3.50%, 5/1/42 | 257,207 | 266,867 | |||||
FNMA, 3.50%, 6/1/42 | 155,440 | 161,326 | |||||
FNMA, 3.00%, 11/1/42 | 538,505 | 544,083 | |||||
FNMA, 3.50%, 5/1/45 | 776,984 | 803,670 | |||||
FNMA, 3.50%, 2/1/46 | 1,339,623 | 1,385,835 | |||||
FNMA, 6.50%, 8/1/47 | 10,111 | 10,935 | |||||
FNMA, 6.50%, 9/1/47 | 23,237 | 25,079 | |||||
FNMA, 6.50%, 9/1/47 | 1,045 | 1,130 | |||||
FNMA, 6.50%, 9/1/47 | 17,161 | 18,511 | |||||
FNMA, 6.50%, 9/1/47 | 4,579 | 4,928 | |||||
GNMA, 2.50%, 6/21/17(7) | 35,000 | 34,441 | |||||
GNMA, 3.50%, 6/21/17(7) | 275,000 | 286,773 | |||||
GNMA, 4.00%, 6/21/17(7) | 585,000 | 619,003 | |||||
GNMA, 3.00%, 6/21/17(7) | 700,000 | 712,852 | |||||
GNMA, 7.50%, 10/15/25 | 1,160 | 1,193 | |||||
GNMA, 6.00%, 3/15/26 | 3,502 | 3,974 | |||||
GNMA, 7.00%, 12/15/27 | 3,093 | 3,125 | |||||
GNMA, 6.50%, 2/15/28 | 521 | 576 | |||||
GNMA, 7.50%, 5/15/30 | 2,851 | 2,940 | |||||
GNMA, 7.00%, 5/15/31 | 12,721 | 15,009 |
57
Shares/ Principal Amount | Value | ||||||
GNMA, 5.50%, 11/15/32 | $ | 25,562 | $ | 28,939 | |||
GNMA, 6.50%, 10/15/38 | 402,495 | 474,973 | |||||
GNMA, 4.50%, 5/20/41 | 330,841 | 358,008 | |||||
GNMA, 4.50%, 6/15/41 | 400,243 | 440,446 | |||||
GNMA, 3.50%, 4/20/45 | 108,328 | 113,110 | |||||
GNMA, 2.50%, 7/20/46 | 142,516 | 140,397 | |||||
GNMA, 2.50%, 8/20/46 | 311,852 | 307,214 | |||||
19,390,284 | |||||||
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Cost $21,786,008) | 22,148,025 | ||||||
SOVEREIGN GOVERNMENTS AND AGENCIES — 1.5% | |||||||
Australia — 0.1% | |||||||
Australia Government Bond, 4.50%, 4/15/20 | AUD | 175,000 | 140,410 | ||||
Australia Government Bond, 2.75%, 4/21/24 | AUD | 217,000 | 167,450 | ||||
New South Wales Treasury Corp., 3.00%, 3/20/28 | AUD | 110,000 | 82,956 | ||||
390,816 | |||||||
Austria† | |||||||
Republic of Austria Government Bond, 3.50%, 9/15/21(3) | EUR | 85,000 | 111,600 | ||||
Republic of Austria Government Bond, 0.75%, 10/20/26(3) | EUR | 50,000 | 57,502 | ||||
Republic of Austria Government Bond, 4.15%, 3/15/37(3) | EUR | 23,000 | 39,382 | ||||
208,484 | |||||||
Belgium† | |||||||
Kingdom of Belgium Government Bond, 2.25%, 6/22/23 | EUR | 65,000 | 83,566 | ||||
Kingdom of Belgium Government Bond, 4.25%, 3/28/41(3) | EUR | 25,000 | 43,890 | ||||
127,456 | |||||||
Canada — 0.1% | |||||||
Canadian Government Bond, 4.00%, 6/1/41 | CAD | 100,000 | 101,116 | ||||
Province of British Columbia Canada, 3.25%, 12/18/21 | CAD | 170,000 | 136,275 | ||||
Province of British Columbia Canada, 2.85%, 6/18/25 | CAD | 160,000 | 127,147 | ||||
Province of Quebec Canada, 3.00%, 9/1/23 | CAD | 135,000 | 107,838 | ||||
Province of Quebec Canada, 5.75%, 12/1/36 | CAD | 100,000 | 106,474 | ||||
Province of Quebec Canada, 3.50%, 12/1/48 | CAD | 20,000 | 16,588 | ||||
595,438 | |||||||
Colombia† | |||||||
Colombia Government International Bond, 4.375%, 7/12/21 | $ | 100,000 | 106,850 | ||||
Colombia Government International Bond, 7.375%, 9/18/37 | $ | 100,000 | 129,250 | ||||
236,100 | |||||||
Czech† | |||||||
Czech Republic Government Bond, 4.70%, 9/12/22 | CZK | 610,000 | 32,684 | ||||
Denmark† | |||||||
Denmark Government Bond, 0.50%, 11/15/27 | DKK | 315,000 | 47,313 | ||||
Denmark Government Bond, 4.50%, 11/15/39 | DKK | 62,000 | 15,725 | ||||
63,038 | |||||||
Finland† | |||||||
Finland Government Bond, 4.00%, 7/4/25(3) | EUR | 59,000 | 86,638 | ||||
France — 0.2% | |||||||
French Republic Government Bond OAT, 0.00%, 5/25/21(8) | EUR | 560,000 | 638,611 |
58
Shares/ Principal Amount | Value | ||||||
French Republic Government Bond OAT, 3.25%, 10/25/21 | EUR | 90,000 | $ | 117,174 | |||
French Republic Government Bond OAT, 1.75%, 11/25/24 | EUR | 225,000 | 280,980 | ||||
French Republic Government Bond OAT, 5.50%, 4/25/29 | EUR | 77,000 | 131,992 | ||||
French Republic Government Bond OAT, 3.25%, 5/25/45 | EUR | 140,000 | 210,913 | ||||
1,379,670 | |||||||
Germany — 0.1% | |||||||
Bundesobligation, 0.00%, 10/8/21(8) | EUR | 30,000 | 34,474 | ||||
Bundesrepublik Deutschland, 0.50%, 2/15/25 | EUR | 120,000 | 140,153 | ||||
Bundesrepublik Deutschland, 0.00%, 8/15/26(8) | EUR | 370,000 | 406,995 | ||||
Bundesrepublik Deutschland, 0.25%, 2/15/27 | EUR | 168,000 | 187,981 | ||||
Bundesrepublik Deutschland, 4.75%, 7/4/28 | EUR | 107,000 | 176,816 | ||||
Bundesrepublik Deutschland, 4.75%, 7/4/40 | EUR | 35,000 | 70,004 | ||||
Bundesrepublik Deutschland, 2.50%, 7/4/44 | EUR | 25,000 | 36,999 | ||||
1,053,422 | |||||||
Ireland† | |||||||
Ireland Government Bond, 3.40%, 3/18/24 | EUR | 71,000 | 96,404 | ||||
Italy — 0.1% | |||||||
Italy Buoni Poliennali Del Tesoro, 0.45%, 6/1/21 | EUR | 463,000 | 518,408 | ||||
Italy Buoni Poliennali Del Tesoro, 2.00%, 12/1/25 | EUR | 245,000 | 277,218 | ||||
Italy Buoni Poliennali Del Tesoro, 4.75%, 9/1/44(3) | EUR | 85,000 | 119,787 | ||||
Republic of Italy Government International Bond, 6.875%, 9/27/23 | $ | 60,000 | 71,145 | ||||
986,558 | |||||||
Japan — 0.5% | |||||||
Japan Government Ten Year Bond, 1.00%, 12/20/21 | JPY | 120,450,000 | 1,143,010 | ||||
Japan Government Ten Year Bond, 0.80%, 6/20/23 | JPY | 46,300,000 | 440,680 | ||||
Japan Government Thirty Year Bond, 2.40%, 3/20/37 | JPY | 62,700,000 | 760,707 | ||||
Japan Government Thirty Year Bond, 2.00%, 9/20/41 | JPY | 29,100,000 | 339,587 | ||||
Japan Government Thirty Year Bond, 1.40%, 12/20/45 | JPY | 20,150,000 | 211,146 | ||||
Japan Government Twenty Year Bond, 2.10%, 12/20/26 | JPY | 128,100,000 | 1,383,787 | ||||
4,278,917 | |||||||
Malaysia† | |||||||
Malaysia Government Bond, 3.96%, 9/15/25 | MYR | 300,000 | 70,073 | ||||
Mexico† | |||||||
Mexican Bonos, 6.50%, 6/9/22 | MXN | 2,160,000 | 112,051 | ||||
Mexico Government International Bond, 4.15%, 3/28/27 | $ | 200,000 | 206,740 | ||||
Mexico Government International Bond, MTN, 4.75%, 3/8/44 | $ | 48,000 | 47,712 | ||||
366,503 | |||||||
Netherlands† | |||||||
Netherlands Government Bond, 0.00%, 1/15/22(3)(8) | EUR | 240,000 | 274,139 | ||||
Netherlands Government Bond, 0.50%, 7/15/26(3) | EUR | 55,000 | 62,621 | ||||
Netherlands Government Bond, 2.75%, 1/15/47(3) | EUR | 11,000 | 17,084 | ||||
353,844 | |||||||
New Zealand† | |||||||
New Zealand Government Bond, 5.00%, 3/15/19 | NZD | 122,000 | 91,079 | ||||
Norway — 0.2% | |||||||
Norway Government Bond, 3.75%, 5/25/21(3) | NOK | 11,387,000 | 1,500,300 |
59
Shares/ Principal Amount | Value | ||||||
Norway Government Bond, 1.50%, 2/19/26(3) | NOK | 495,000 | $ | 59,003 | |||
1,559,303 | |||||||
Peru† | |||||||
Peruvian Government International Bond, 6.55%, 3/14/37 | $ | 40,000 | 53,200 | ||||
Peruvian Government International Bond, 5.625%, 11/18/50 | $ | 60,000 | 73,830 | ||||
127,030 | |||||||
Poland† | |||||||
Republic of Poland Government Bond, 4.00%, 10/25/23 | PLN | 200,000 | 57,436 | ||||
Republic of Poland Government International Bond, 5.125%, 4/21/21 | $ | 70,000 | 77,420 | ||||
134,856 | |||||||
Russia† | |||||||
Russian Foreign Bond - Eurobond, 12.75%, 6/24/28 | $ | 200,000 | 355,497 | ||||
Singapore† | |||||||
Singapore Government Bond, 3.125%, 9/1/22 | SGD | 50,000 | 38,874 | ||||
South Africa† | |||||||
Republic of South Africa Government Bond, 7.75%, 2/28/23 | ZAR | 1,500,000 | 113,010 | ||||
Spain — 0.1% | |||||||
Spain Government Bond, 4.30%, 10/31/19(3) | EUR | 115,000 | 143,185 | ||||
Spain Government Bond, 1.60%, 4/30/25(3) | EUR | 170,000 | 197,775 | ||||
Spain Government Bond, 1.95%, 4/30/26(3) | EUR | 20,000 | 23,632 | ||||
Spain Government Bond, 5.15%, 10/31/28(3) | EUR | 28,000 | 42,659 | ||||
Spain Government Bond, 5.15%, 10/31/44(3) | EUR | 57,000 | 92,848 | ||||
500,099 | |||||||
Sweden† | |||||||
Sweden Government Bond, 3.50%, 6/1/22 | SEK | 260,000 | 35,429 | ||||
Sweden Government Bond, 2.50%, 5/12/25 | SEK | 370,000 | 50,003 | ||||
85,432 | |||||||
Switzerland† | |||||||
Swiss Confederation Government Bond, 2.00%, 4/28/21 | CHF | 282,000 | 322,960 | ||||
Swiss Confederation Government Bond, 1.25%, 5/28/26 | CHF | 30,000 | 35,254 | ||||
358,214 | |||||||
Thailand† | |||||||
Thailand Government Bond, 3.85%, 12/12/25 | THB | 2,500,000 | 80,857 | ||||
United Kingdom — 0.1% | |||||||
United Kingdom Gilt, 4.25%, 12/7/27 | GBP | 20,000 | 34,029 | ||||
United Kingdom Gilt, 4.50%, 12/7/42 | GBP | 201,000 | 409,199 | ||||
United Kingdom Gilt, 4.25%, 12/7/55 | GBP | 11,000 | 25,136 | ||||
468,364 | |||||||
Uruguay† | |||||||
Uruguay Government International Bond, 4.125%, 11/20/45 | $ | 30,000 | 27,300 | ||||
TOTAL SOVEREIGN GOVERNMENTS AND AGENCIES (Cost $13,862,791) | 14,265,960 | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(6) — 0.6% | |||||||
Private Sponsor Collateralized Mortgage Obligations — 0.5% | |||||||
ABN Amro Mortgage Corp., Series 2003-4, Class A4, 5.50%, 3/25/33 | 15,122 | 15,283 |
60
Shares/ Principal Amount | Value | ||||||
Adjustable Rate Mortgage Trust, Series 2004-4, Class 4A1, VRN, 3.32%, 6/1/17 | $ | 26,912 | $ | 26,872 | |||
Banc of America Mortgage Trust, Series 2004-E, Class 2A6 SEQ, VRN, 3.65%, 6/1/17 | 123,836 | 123,207 | |||||
Banc of America Mortgage Trust, Series 2005-1, Class 1A15, 5.50%, 2/25/35 | 37,435 | 38,571 | |||||
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-8, Class 2A1, VRN, 3.32%, 6/1/17 | 34,582 | 33,449 | |||||
Citigroup Mortgage Loan Trust, Inc., Series 2004-UST1, Class A4, VRN, 3.21%, 6/1/17 | 43,019 | 41,958 | |||||
Citigroup Mortgage Loan Trust, Inc., Series 2004-UST1, Class A5, VRN, 2.75%, 6/1/17 | 102,364 | 101,438 | |||||
Citigroup Mortgage Loan Trust, Inc., Series 2005-4, Class A, VRN, 3.06%, 6/1/17 | 42,728 | 42,279 | |||||
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-3, Class 1A1, VRN, 5.44%, 6/1/17 | 96,967 | 93,085 | |||||
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA4, Class A1, VRN, 3.16%, 6/1/17 | 93,740 | 92,553 | |||||
First Horizon Mortgage Pass-Through Trust, Series 2005-AR3, Class 4A1, VRN, 2.97%, 6/1/17 | 32,177 | 31,508 | |||||
FNMA, Series 2017-C03, Class 1M1, VRN, 1.97%, 6/26/17 | 245,765 | 246,597 | |||||
GSR Mortgage Loan Trust, Series 2004-7, Class 3A1, VRN, 2.90%, 6/1/17 | 64,169 | 62,649 | |||||
GSR Mortgage Loan Trust, Series 2004-AR5, Class 3A3, VRN, 3.57%, 6/1/17 | 93,435 | 93,123 | |||||
GSR Mortgage Loan Trust, Series 2005-AR1, Class 3A1, VRN, 3.10%, 6/1/17 | 88,610 | 88,071 | |||||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1, VRN, 3.10%, 6/1/17 | 136,812 | 141,947 | |||||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5, VRN, 3.06%, 6/1/17 | 44,082 | 44,295 | |||||
JPMorgan Mortgage Trust, Series 2005-A4, Class 1A1, VRN, 3.22%, 6/1/17 | 40,877 | 40,833 | |||||
JPMorgan Mortgage Trust, Series 2005-A4, Class 2A1, VRN, 3.48%, 6/1/17 | 28,580 | 28,573 | |||||
JPMorgan Mortgage Trust, Series 2006-A3, Class 7A1, VRN, 3.61%, 6/1/17 | 71,001 | 71,956 | |||||
JPMorgan Mortgage Trust, Series 2013-1, Class 2A2 SEQ, VRN, 2.50%, 6/1/17(3) | 89,851 | 90,061 | |||||
JPMorgan Mortgage Trust, Series 2016-4, Class A3, VRN, 3.50%, 6/1/17(3) | 68,524 | 70,028 | |||||
JPMorgan Mortgage Trust, Series 2017-1, Class A2, VRN, 3.50%, 6/1/17(3) | 245,530 | 250,919 | |||||
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7, VRN, 3.09%, 6/1/17 | 189,683 | 194,804 | |||||
Merrill Lynch Mortgage Investors Trust Series MLCC, Series 2005-3, Class 2A, VRN, 3.12%, 6/25/17 | 78,427 | 77,428 | |||||
Merrill Lynch Mortgage Investors Trust Series MLMI, Series 2005-A2, Class A1, VRN, 2.98%, 6/1/17 | 55,790 | 55,091 | |||||
Merrill Lynch Mortgage Investors Trust Series MLMI, Series 2005-A2, Class A2, VRN, 2.98%, 6/1/17 | 22,316 | 22,774 | |||||
New Residential Mortgage Loan Trust, Series 2017-2A, Class A3, VRN, 4.00%, 6/1/17(3) | 193,960 | 202,830 | |||||
PHHMC Series Trust, Series 2007-6, Class A1, VRN, 5.83%, 6/1/17 | 16,765 | 17,301 | |||||
Sequoia Mortgage Trust, Series 2012-1, Class 1A1, VRN, 2.87%, 6/1/17 | 18,070 | 18,340 |
61
Shares/ Principal Amount | Value | ||||||
Sequoia Mortgage Trust, Series 2013-12, Class A1 SEQ, 4.00%, 12/25/43(3) | $ | 74,969 | $ | 77,819 | |||
Sequoia Mortgage Trust, Series 2017-1, Class A1, VRN, 3.50%, 6/1/17(3) | 171,782 | 175,303 | |||||
Sofi Mortgage Trust, Series 2016-1A, Class 1A4 SEQ, VRN, 3.00%, 6/1/17(3) | 71,395 | 70,313 | |||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8, Class 2A1, VRN, 3.23%, 6/1/17 | 52,427 | 52,606 | |||||
Structured Adjustable Rate Mortgage Loan Trust Series, Series 2004-6, Class 3A2, VRN, 3.25%, 6/1/17 | 99,381 | 103,465 | |||||
Thornburg Mortgage Securities Trust, Series 2004-3, Class A, VRN, 1.76%, 6/26/17 | 73,080 | 67,939 | |||||
WaMu Mortgage Pass-Through Certificates, Series 2003-S11, Class 3A5, 5.95%, 11/25/33 | 57,224 | 60,274 | |||||
WaMu Mortgage Pass-Through Certificates, Series 2005-AR3, Class A1, VRN, 3.03%, 6/1/17 | 167,760 | 164,813 | |||||
WaMu Mortgage Pass-Through Certificates, Series 2005-AR7, Class A3, VRN, 2.83%, 6/1/17 | 91,454 | 92,259 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-Z, Class 2A2, VRN, 3.00%, 6/1/17 | 92,520 | 94,034 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR4, Class 2A1, VRN, 3.31%, 6/1/17 | 50,381 | 50,563 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR7, Class 1A1, VRN, 3.33%, 6/1/17 | 124,538 | 124,993 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-4, Class 2A1, 6.00%, 4/25/36 | 55,987 | 56,550 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 1A1, VRN, 3.18%, 6/1/17 | 77,027 | 74,702 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR12, Class 1A1, VRN, 3.25%, 6/1/17 | 71,859 | 68,429 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-15, Class A1, 6.00%, 11/25/37 | 49,830 | 49,624 | |||||
Wells Fargo-Mortgage Backed Securities Trust, Series 2004-S, Class A1, VRN, 3.08%, 6/1/17 | 76,880 | 78,625 | |||||
Wells Fargo-Mortgage Backed Securities Trust, Series 2005-17, Class 1A1, 5.50%, 1/25/36 | 45,961 | 45,288 | |||||
Wells Fargo-Mortgage Backed Securities Trust, Series 2005-9, Class 2A6, 5.25%, 10/25/35 | 91,815 | 94,588 | |||||
Wells Fargo-Mortgage Backed Securities Trust, Series 2005-AR10, Class 1A1, VRN, 3.12%, 6/1/17 | 183,952 | 192,950 | |||||
Wells Fargo-Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A17, VRN, 3.12%, 6/1/17 | 79,939 | 81,840 | |||||
Wells Fargo-Mortgage Backed Securities Trust, Series 2005-AR12, Class 2A6, VRN, 3.14%, 6/1/17 | 25,897 | 26,634 | |||||
Wells Fargo-Mortgage Backed Securities Trust, Series 2005-AR16, Class 3A2, VRN, 3.20%, 6/1/17 | 51,803 | 52,262 | |||||
Wells Fargo-Mortgage Backed Securities Trust, Series 2006-10, Class A4 SEQ, 6.00%, 8/25/36 | 74,031 | 74,072 | |||||
Wells Fargo-Mortgage Backed Securities Trust, Series 2006-AR14, Class 1A7 SEQ, VRN, 3.07%, 6/1/17 | 60,558 | 57,230 | |||||
Wells Fargo-Mortgage Backed Securities Trust, Series 2007-13, Class A1, 6.00%, 9/25/37 | 37,514 | 37,861 | |||||
Wells Fargo-Mortgage Backed Securities Trust, Series 2007-14, Class 2A2, 5.50%, 10/25/22 | 22,214 | 22,824 | |||||
Wells Fargo-Mortgage Backed Securities Trust, Series 2007-16, Class 1A1, 6.00%, 12/28/37 | 20,433 | 21,406 | |||||
Wells Fargo-Mortgage Backed Securities Trust, Series 2007-AR10, Class 1A1, VRN, 6.39%, 6/1/17 | 78,316 | 76,110 |
62
Shares/ Principal Amount | Value | ||||||
Wells Fargo-Mortgage Backed Securities Trust, Series 2007-AR7, Class A1, VRN, 3.16%, 6/1/17 | $ | 51,670 | $ | 49,888 | |||
Wells Fargo-Mortgage Backed Securities Trust, Series 2008-1, Class 4A1, 5.75%, 2/25/38 | 38,422 | 40,567 | |||||
4,793,654 | |||||||
U.S. Government Agency Collateralized Mortgage Obligations — 0.1% | |||||||
FHLMC, Series 2016-DNA4, Class M2, VRN, 2.32%, 6/26/17 | 5,000 | 5,046 | |||||
FHLMC, Series 2016-HQA3, Class M2, VRN, 2.37%, 6/26/17 | 75,000 | 76,019 | |||||
FHLMC, Series KF29, Class A, VRN, 1.34%, 6/25/17 | 399,957 | 400,564 | |||||
FNMA, Series 2014-C02, Class 1M2, VRN, 3.62%, 6/26/17 | 125,000 | 130,887 | |||||
FNMA, Series 2014-C02, Class 2M2, VRN, 3.62%, 6/26/17 | 300,000 | 311,300 | |||||
FNMA, Series 2016-C04, Class 1M1, VRN, 2.47%, 6/26/17 | 152,238 | 154,108 | |||||
FNMA, Series 2016-C04, Class 1M2, VRN, 5.27%, 6/26/17 | 50,000 | 55,189 | |||||
FNMA, Series 2016-C05, Class 2M1, VRN, 2.37%, 6/26/17 | 91,530 | 92,263 | |||||
FNMA, Series 2016-C05, Class 2M2, VRN, 5.47%, 6/26/17 | 50,000 | 55,155 | |||||
FNMA, Series 2017-C01, Class 1M1, VRN, 2.32%, 6/26/17 | 146,856 | 148,106 | |||||
FNMA, Series 2017-C01, Class 1M2, VRN, 4.57%, 6/26/17 | 75,000 | 79,254 | |||||
1,507,891 | |||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $6,268,311) | 6,301,545 | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES(6) — 0.5% | |||||||
BAMLL Commercial Mortgage Securities Trust, Series 2014-ICTS, Class A, VRN, 1.79%, 6/15/17(3) | 275,000 | 275,350 | |||||
Bank of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2015-200P, Class B, 3.49%, 4/14/33(3) | 225,000 | 230,822 | |||||
BB-UBS Trust, Series 2012-SHOW, Class A SEQ, 3.43%, 11/5/36(3) | 300,000 | 310,385 | |||||
BLCP Hotel Trust, Series 2014-CLRN, Class A, VRN, 1.94%, 6/15/17(3) | 322,322 | 322,800 | |||||
CD 2016-CD2 Mortgage Trust, Series 2016-CD2, Class A4, VRN, 3.53%, 6/1/17 | 200,000 | 208,884 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-BBG, Class A, VRN, 1.79%, 6/15/17(3) | 125,000 | 125,440 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-CR15, Class AM SEQ, VRN, 4.43%, 6/1/17 | 250,000 | 271,176 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-LC17, Class AM, VRN, 4.19%, 6/1/17 | 225,000 | 239,277 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS5, Class AM, VRN, 4.19%, 6/1/17 | 200,000 | 211,700 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2015-CR22, Class AM, VRN, 3.60%, 6/1/17 | 275,000 | 283,281 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2016-CR28, Class B, VRN, 4.65%, 6/1/17 | 50,000 | 53,427 | |||||
Core Industrial Trust, Series 2015-WEST, Class A SEQ, 3.29%, 2/10/37(3) | 300,000 | 308,238 | |||||
GS Mortgage Securities Corp. II, Series 2015-GC28, Class AS, 3.76%, 2/10/48 | 75,000 | 77,338 | |||||
GS Mortgage Securities Corp. II, Series 2016-GS2, Class B, VRN, 3.76%, 6/1/17 | 200,000 | 206,223 | |||||
Hudson Yards Mortgage Trust, Series 2016-10HY, Class A SEQ, 2.84%, 8/10/38(3) | 400,000 | 394,054 |
63
Shares/ Principal Amount | Value | ||||||
Irvine Core Office Trust, Series 2013-IRV, Class A2 SEQ, VRN, 3.17%, 6/10/17(3) | $ | 350,000 | $ | 363,053 | |||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class B, VRN, 4.34%, 6/1/17 | 100,000 | 105,053 | |||||
JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class A4, 3.41%, 3/15/50 | 80,000 | 83,005 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class AS, 4.52%, 12/15/46 | 100,000 | 108,433 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-CBM, Class A, VRN, 1.89%, 6/15/17(3) | 400,000 | 400,232 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class A4, 2.82%, 8/15/49 | 100,000 | 98,750 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class B, VRN, 3.46%, 8/15/49 | 100,000 | 99,609 | |||||
Morgan Stanley Capital I Trust, Series 2014-CPT, Class C, VRN, 3.45%, 6/1/17(3) | 225,000 | 229,365 | |||||
UBS Commercial Mortgage Securities Trust, Series 2017-C1, Class A3, 3.20%, 6/15/50(2) | 250,000 | 252,482 | |||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $5,169,169) | 5,258,377 | ||||||
ASSET-BACKED SECURITIES(6) — 0.5% | |||||||
American Airlines Pass Through Trust, 7.00%, 7/31/19(3) | 42,163 | 43,480 | |||||
Avis Budget Rental Car Funding AESOP LLC, Series 2012-3A, Class A SEQ, 2.10%, 3/20/19(3) | 100,000 | 100,237 | |||||
Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class B, 3.42%, 12/20/21(3) | 75,000 | 76,740 | |||||
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A, Class A SEQ, 2.94%, 5/25/29(3) | 193,408 | 194,689 | |||||
Citibank Credit Card Issuance Trust, Series 2017-A5, Class A5, VRN, 1.64%, 6/22/17 | 300,000 | 301,777 | |||||
Colony American Homes, Series 2014-2A, Class A, VRN, 1.98%, 6/17/17(3) | 191,785 | 191,638 | |||||
Colony Starwood Homes, Series 2016-2A, Class A, VRN, 2.25%, 6/17/17(3) | 419,039 | 422,511 | |||||
Enterprise Fleet Financing LLC, Series 2015-2, Class A2 SEQ, 1.59%, 2/22/21(3) | 144,989 | 145,034 | |||||
Enterprise Fleet Financing LLC, Series 2016-1, Class A2 SEQ, 1.83%, 9/20/21(3) | 170,098 | 170,209 | |||||
Enterprise Fleet Financing LLC, Series 2017-1, Class A2 SEQ, 2.13%, 7/20/22(3) | 150,000 | 150,554 | |||||
Hertz Fleet Lease Funding LP, Series 2014-1, Class A, VRN, 1.39%, 6/10/17(3) | 53,605 | 53,599 | |||||
Hertz Vehicle Financing LLC, Series 2013-1A, Class A2 SEQ, 1.83%, 8/25/19(3) | 175,000 | 174,609 | |||||
Hilton Grand Vacations Trust, Series 2013-A, Class A SEQ, 2.28%, 1/25/26(3) | 34,999 | 34,945 | |||||
Hilton Grand Vacations Trust, Series 2014-AA, Class A SEQ, 1.77%, 11/25/26(3) | 178,919 | 176,415 | |||||
Hilton Grand Vacations Trust, Series 2017-AA, Class A SEQ, 2.66%, 12/26/28(3) | 168,175 | 168,823 | |||||
Honda Auto Receivables Owner Trust, Series 2017-1, Class A2 SEQ, 1.42%, 7/22/19 | 200,000 | 200,009 | |||||
Hyundai Auto Receivables Trust, Series 2017-A, Class A2A SEQ, 1.48%, 2/18/20 | 200,000 | 200,314 | |||||
Invitation Homes Trust, Series 2014-SFR3, Class A, VRN, 2.20%, 6/17/17(3) | 79,909 | 80,006 |
64
Shares/ Principal Amount | Value | ||||||
MVW Owner Trust, Series 2014-1A, Class A, 2.25%, 9/22/31(3) | $ | 107,239 | $ | 106,773 | |||
MVW Owner Trust, Series 2015-1A, Class A SEQ, 2.52%, 12/20/32(3) | 96,922 | 96,698 | |||||
MVW Owner Trust, Series 2016-1A, Class A SEQ, 2.25%, 12/20/33(3) | 107,327 | 106,401 | |||||
Progress Residential Trust, Series 2016-SFR2, Class A, VRN, 2.40%, 6/17/17(3) | 175,000 | 176,745 | |||||
Sierra Receivables Funding Co. LLC, Series 2017-1A, Class A SEQ, 2.91%, 3/20/34(3) | 180,386 | 182,652 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A SEQ, 1.59%, 11/20/29(3) | 43,472 | 43,387 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2013-2A, Class A SEQ, 2.28%, 11/20/25(3) | 24,757 | 24,782 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2014-1A, Class A SEQ, 2.07%, 3/20/30(3) | 120,983 | 120,919 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2015-1A, Class A, 2.40%, 3/22/32(3) | 127,133 | 127,575 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2016-2A, Class A SEQ, 2.33%, 7/20/33(3) | 59,173 | 59,237 | |||||
Towd Point Mortgage Trust, Series 2017-2, Class A1, VRN, 2.75%, 6/1/17(3) | 200,000 | 202,162 | |||||
UAL Pass-Through Trust, Series 2007-1, Class A, 6.64%, 1/2/24 | 70,109 | 75,543 | |||||
US Airways Pass-Through Trust, Series 2013-1, Class A, 3.95%, 5/15/27 | 48,333 | 50,025 | |||||
VSE VOI Mortgage LLC, Series 2016-A, Class A SEQ, 2.54%, 7/20/33(3) | 241,162 | 240,847 | |||||
TOTAL ASSET-BACKED SECURITIES (Cost $4,481,732) | 4,499,335 | ||||||
EXCHANGE-TRADED FUNDS — 0.4% | |||||||
iShares Russell 1000 Growth ETF | 3,722 | 444,183 | |||||
iShares Russell 1000 Value ETF | 12,620 | 1,445,369 | |||||
iShares Russell Mid-Cap Value ETF | 12,167 | 1,008,158 | |||||
SPDR S&P Bank ETF | 30,862 | 1,269,354 | |||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $3,965,490) | 4,167,064 | ||||||
MUNICIPAL SECURITIES — 0.4% | |||||||
Bay Area Toll Authority Rev., 6.92%, 4/1/40 | $ | 100,000 | 137,584 | ||||
Chicago Midway International Airport Rev., VRDN, 0.76%, 6/1/17 (LOC: Bank of Montreal) | 435,000 | 435,000 | |||||
Los Angeles Community College District GO, 6.68%, 8/1/36 | 50,000 | 68,243 | |||||
Los Angeles Department of Water & Power Power System Rev. Rev., VRDN, 0.60%, 6/1/17 (SBBPA: Citibank N.A.) | 410,000 | 410,000 | |||||
Massachusetts Health & Educational Facilities Authority Rev., (Harrington Memorial Hospital, Inc.), VRDN, 0.77%, 6/7/17 (LOC: TD Bank N.A.) | 300,000 | 300,000 | |||||
Metropolitan Transportation Authority Rev., 6.69%, 11/15/40 | 15,000 | 20,372 | |||||
Metropolitan Transportation Authority Rev., 6.81%, 11/15/40 | 10,000 | 13,729 | |||||
New Jersey State Turnpike Authority Rev., 7.41%, 1/1/40 | 70,000 | 103,246 | |||||
New Jersey Turnpike Authority Rev., 7.10%, 1/1/41 | 30,000 | 42,936 | |||||
New York City GO, 6.27%, 12/1/37 | 5,000 | 6,649 | |||||
Ohio Water Development Authority Water Pollution Control Loan Fund Rev., 4.88%, 12/1/34 | 80,000 | 92,024 |
65
Shares/ Principal Amount | Value | ||||||
Pasadena Public Financing Authority Rev., VRDN, 1.00%, 6/1/17 (SBBPA: Bank of the West) | $ | 570,000 | $ | 570,000 | |||
Port Authority of New York & New Jersey Rev., 4.46%, 10/1/62 | 10,000 | 10,783 | |||||
Red River Education Finance Corp. Rev., (Texas Christian University), VRDN, 0.77%, 6/7/17 (SBBPA: Northern Trust Company) | 500,000 | 500,000 | |||||
Rutgers The State University of New Jersey Rev., 5.67%, 5/1/40 | 90,000 | 108,286 | |||||
Sacramento Municipal Utility District Electric Rev., 6.16%, 5/15/36 | 140,000 | 176,135 | |||||
Salt River Project Agricultural Improvement & Power District Rev., 4.84%, 1/1/41 | 45,000 | 52,782 | |||||
San Francisco Public Utilities Commission Water Rev., 6.00%, 11/1/40 | 10,000 | 12,556 | |||||
San Francisco Public Utilities Commission Water Rev., 6.95%, 11/1/50 | 5,000 | 7,284 | |||||
Santa Clara Valley Transportation Authority Rev., 5.88%, 4/1/32 | 55,000 | 68,319 | |||||
State of California GO, 6.65%, 3/1/22 | 20,000 | 23,585 | |||||
State of California GO, 7.55%, 4/1/39 | 20,000 | 30,234 | |||||
State of California GO, 7.30%, 10/1/39 | 45,000 | 64,995 | |||||
State of California GO, (Building Bonds), 7.60%, 11/1/40 | 40,000 | 61,511 | |||||
State of Connecticut GO, 1.42%, 3/15/18 | 240,000 | 240,077 | |||||
State of Illinois GO, 5.10%, 6/1/33 | 45,000 | 40,702 | |||||
State of Kansas Department of Transportation Rev., 4.60%, 9/1/35 | 50,000 | 57,132 | |||||
State of Oregon Department of Transportation Rev., Series 2010 A, (Building Bonds), 5.83%, 11/15/34 | 50,000 | 64,539 | |||||
State of Washington GO, 5.14%, 8/1/40 | 20,000 | 24,516 | |||||
TOTAL MUNICIPAL SECURITIES (Cost $3,486,323) | 3,743,219 | ||||||
COMMERCIAL PAPER(4) — 0.3% | |||||||
BASF SE, 0.99%, 6/26/17(3) | 475,000 | 474,691 | |||||
Canadian Imperial Bank of Commerce, 1.19%, 6/1/17 | 450,000 | 450,848 | |||||
Societe Generale SA, 1.12%, 6/1/17 | 400,000 | 399,990 | |||||
State of California, 1.05%, 6/20/17 | 500,000 | 500,005 | |||||
Thunder Bay Funding LLC, 1.12%, 6/22/17(3) | 400,000 | 399,755 | |||||
University of Texas System (The), 0.77%, 6/6/17 | 400,000 | 399,996 | |||||
TOTAL COMMERCIAL PAPER (Cost $2,625,168) | 2,625,285 | ||||||
U.S. GOVERNMENT AGENCY SECURITIES — 0.2% | |||||||
FNMA, 2.125%, 4/24/26 | 80,000 | 78,238 | |||||
FNMA, 6.625%, 11/15/30 | 1,230,000 | 1,768,734 | |||||
TOTAL U.S. GOVERNMENT AGENCY SECURITIES (Cost $1,735,451) | 1,846,972 | ||||||
CONVERTIBLE PREFERRED STOCKS† | |||||||
Machinery† | |||||||
Rexnord Corp., 5.75%, 11/15/19 (Cost $45,958) | 918 | 48,737 |
66
Shares/ Principal Amount | Value | ||||||
TEMPORARY CASH INVESTMENTS — 1.9% | |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class (Cost $18,788,513) | 18,788,513 | $ | 18,788,513 | ||||
TOTAL INVESTMENT SECURITIES — 101.1% (Cost $806,139,358) | 981,371,912 | ||||||
OTHER ASSETS AND LIABILITIES — (1.1)% | (10,809,011 | ) | |||||
TOTAL NET ASSETS — 100.0% | $ | 970,562,901 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
AUD | 83,058 | USD | 63,468 | JPMorgan Chase Bank N.A. | 6/21/17 | $ | (1,772 | ) | ||
AUD | 25,678 | USD | 19,285 | JPMorgan Chase Bank N.A. | 6/21/17 | (211 | ) | |||
AUD | 46,573 | USD | 34,437 | JPMorgan Chase Bank N.A. | 6/21/17 | 158 | ||||
AUD | 40,612 | USD | 30,295 | JPMorgan Chase Bank N.A. | 6/21/17 | (128 | ) | |||
USD | 454,439 | AUD | 603,567 | JPMorgan Chase Bank N.A. | 6/21/17 | 6,101 | ||||
USD | 56,472 | AUD | 74,949 | JPMorgan Chase Bank N.A. | 6/21/17 | 799 | ||||
USD | 57,354 | AUD | 76,706 | JPMorgan Chase Bank N.A. | 6/21/17 | 376 | ||||
USD | 64,575 | AUD | 85,923 | JPMorgan Chase Bank N.A. | 6/21/17 | 750 | ||||
USD | 28,145 | AUD | 38,330 | JPMorgan Chase Bank N.A. | 6/21/17 | (328 | ) | |||
BRL | 378,090 | USD | 118,520 | Goldman Sachs & Co. | 6/21/17 | (2,174 | ) | |||
USD | 120,796 | BRL | 378,090 | Goldman Sachs & Co. | 6/21/17 | 4,449 | ||||
USD | 54,466 | BRL | 187,228 | Goldman Sachs & Co. | 6/21/17 | (3,148 | ) | |||
CAD | 10,603 | USD | 7,940 | JPMorgan Chase Bank N.A. | 6/21/17 | (88 | ) | |||
CAD | 21,717 | USD | 16,071 | JPMorgan Chase Bank N.A. | 6/21/17 | 11 | ||||
CAD | 121,191 | USD | 90,061 | JPMorgan Chase Bank N.A. | 6/21/17 | (316 | ) | |||
CAD | 33,418 | USD | 25,155 | Morgan Stanley | 6/30/17 | (403 | ) | |||
CAD | 39,846 | USD | 29,789 | Morgan Stanley | 6/30/17 | (277 | ) | |||
CAD | 3,628 | USD | 2,708 | Morgan Stanley | 6/30/17 | (20 | ) | |||
CAD | 2,343 | USD | 1,761 | Morgan Stanley | 6/30/17 | (26 | ) | |||
CAD | 50,266 | USD | 37,780 | Morgan Stanley | 6/30/17 | (551 | ) | |||
CAD | 11,521 | USD | 8,661 | Morgan Stanley | 6/30/17 | (128 | ) | |||
CAD | 4,103 | USD | 3,067 | Morgan Stanley | 6/30/17 | (28 | ) | |||
CAD | 66,453 | USD | 49,375 | Morgan Stanley | 6/30/17 | (157 | ) | |||
CAD | 9,535 | USD | 7,101 | Morgan Stanley | 6/30/17 | (39 | ) | |||
CAD | 7,806 | USD | 5,759 | Morgan Stanley | 6/30/17 | 22 | ||||
CAD | 26,015 | USD | 18,971 | Morgan Stanley | 6/30/17 | 297 | ||||
CAD | 46,330 | USD | 33,874 | Morgan Stanley | 6/30/17 | 440 | ||||
CAD | 1,931 | USD | 1,410 | Morgan Stanley | 6/30/17 | 20 | ||||
CAD | 12,486 | USD | 9,176 | Morgan Stanley | 6/30/17 | 72 | ||||
USD | 608,978 | CAD | 818,796 | JPMorgan Chase Bank N.A. | 6/21/17 | 2,639 | ||||
USD | 56,168 | CAD | 75,518 | JPMorgan Chase Bank N.A. | 6/21/17 | 245 | ||||
USD | 17,692 | CAD | 24,174 | JPMorgan Chase Bank N.A. | 6/21/17 | (209 | ) | |||
USD | 58,863 | CAD | 80,810 | JPMorgan Chase Bank N.A. | 6/21/17 | (978 | ) | |||
USD | 56,516 | CAD | 77,606 | JPMorgan Chase Bank N.A. | 6/21/17 | (954 | ) | |||
USD | 7,075 | CAD | 9,554 | JPMorgan Chase Bank N.A. | 6/21/17 | — | ||||
USD | 79,528 | CAD | 106,271 | Morgan Stanley | 6/30/17 | 818 | ||||
USD | 823,840 | CAD | 1,100,876 | Morgan Stanley | 6/30/17 | 8,476 |
67
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
USD | 357,451 | CAD | 477,653 | Morgan Stanley | 6/30/17 | $ | 3,678 | |||
USD | 1,262,445 | CAD | 1,686,973 | Morgan Stanley | 6/30/17 | 12,989 | ||||
USD | 8,377 | CAD | 11,229 | Morgan Stanley | 6/30/17 | 60 | ||||
USD | 30,518 | CAD | 40,907 | Morgan Stanley | 6/30/17 | 220 | ||||
USD | 8,457 | CAD | 11,263 | Morgan Stanley | 6/30/17 | 115 | ||||
USD | 2,831 | CAD | 3,811 | Morgan Stanley | 6/30/17 | 9 | ||||
USD | 41,875 | CAD | 56,968 | Morgan Stanley | 6/30/17 | (318 | ) | |||
USD | 1,253 | CAD | 1,708 | Morgan Stanley | 6/30/17 | (12 | ) | |||
USD | 2,365 | CAD | 3,225 | Morgan Stanley | 6/30/17 | (23 | ) | |||
USD | 9,849 | CAD | 13,506 | Morgan Stanley | 6/30/17 | (154 | ) | |||
USD | 1,693 | CAD | 2,323 | Morgan Stanley | 6/30/17 | (27 | ) | |||
USD | 7,466 | CAD | 10,045 | Morgan Stanley | 6/30/17 | 26 | ||||
USD | 1,716 | CAD | 2,311 | Morgan Stanley | 6/30/17 | 5 | ||||
CHF | 22,627 | USD | 22,525 | Credit Suisse AG | 6/21/17 | 866 | ||||
CHF | 64,947 | USD | 65,045 | Credit Suisse AG | 6/21/17 | 2,095 | ||||
CHF | 58,803 | USD | 59,197 | Credit Suisse AG | 6/21/17 | 1,592 | ||||
CHF | 64,764 | USD | 66,380 | Credit Suisse AG | 6/21/17 | 570 | ||||
CHF | 23,880 | USD | 24,031 | Credit Suisse AG | 6/30/17 | 670 | ||||
USD | 434,913 | CHF | 438,477 | Credit Suisse AG | 6/21/17 | (18,368 | ) | |||
USD | 59,081 | CHF | 58,697 | Credit Suisse AG | 6/21/17 | (1,598 | ) | |||
USD | 60,727 | CHF | 61,020 | Credit Suisse AG | 6/21/17 | (2,353 | ) | |||
USD | 376,750 | CHF | 371,889 | Credit Suisse AG | 6/30/17 | (7,938 | ) | |||
USD | 37,170 | CHF | 36,867 | Credit Suisse AG | 6/30/17 | (965 | ) | |||
USD | 40,833 | CHF | 40,620 | Credit Suisse AG | 6/30/17 | (1,185 | ) | |||
USD | 46,245 | CHF | 46,050 | Credit Suisse AG | 6/30/17 | (1,390 | ) | |||
USD | 35,215 | CHF | 35,103 | Credit Suisse AG | 6/30/17 | (1,096 | ) | |||
USD | 99,011 | CHF | 98,826 | Credit Suisse AG | 6/30/17 | (3,216 | ) | |||
USD | 39,025 | CHF | 39,102 | Credit Suisse AG | 6/30/17 | (1,422 | ) | |||
USD | 17,405 | CHF | 17,420 | Credit Suisse AG | 6/30/17 | (614 | ) | |||
USD | 36,616 | CHF | 36,349 | Credit Suisse AG | 6/30/17 | (984 | ) | |||
USD | 30,633 | CHF | 30,450 | Credit Suisse AG | 6/30/17 | (864 | ) | |||
USD | 19,812 | CHF | 19,666 | Credit Suisse AG | 6/30/17 | (532 | ) | |||
USD | 18,887 | CHF | 18,718 | Credit Suisse AG | 6/30/17 | (475 | ) | |||
USD | 41,248 | CHF | 40,860 | Credit Suisse AG | 6/30/17 | (1,018 | ) | |||
USD | 24,664 | CHF | 24,290 | Credit Suisse AG | 6/30/17 | (462 | ) | |||
USD | 117,640 | CHF | 114,546 | Credit Suisse AG | 6/30/17 | (848 | ) | |||
USD | 52,346 | CHF | 50,584 | Credit Suisse AG | 6/30/17 | 22 | ||||
USD | 58,074 | CLP | 38,722,314 | Goldman Sachs & Co. | 6/21/17 | 642 | ||||
USD | 30,932 | CLP | 20,668,528 | Goldman Sachs & Co. | 6/21/17 | 277 | ||||
USD | 60,909 | CLP | 41,509,716 | Goldman Sachs & Co. | 6/21/17 | (657 | ) | |||
COP | 172,944,820 | USD | 58,035 | Goldman Sachs & Co. | 6/21/17 | 1,102 | ||||
COP | 170,029,426 | USD | 57,770 | Goldman Sachs & Co. | 6/21/17 | 370 | ||||
COP | 168,848,315 | USD | 58,244 | Goldman Sachs & Co. | 6/21/17 | (507 | ) | |||
USD | 58,791 | COP | 172,944,820 | Goldman Sachs & Co. | 6/21/17 | (347 | ) | |||
USD | 57,808 | COP | 170,592,735 | Goldman Sachs & Co. | 6/21/17 | (525 | ) | |||
USD | 56,671 | COP | 168,285,006 | Goldman Sachs & Co. | 6/21/17 | (873 | ) | |||
USD | 30,750 | CZK | 781,704 | Goldman Sachs & Co. | 6/21/17 | (2,614 | ) | |||
DKK | 473,126 | USD | 68,059 | JPMorgan Chase Bank N.A. | 6/21/17 | 3,469 | ||||
DKK | 20,020 | USD | 2,863 | JPMorgan Chase Bank N.A. | 6/21/17 | 164 | ||||
USD | 81,930 | DKK | 574,265 | JPMorgan Chase Bank N.A. | 6/21/17 | (4,889 | ) |
68
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
USD | 48,130 | DKK | 334,772 | JPMorgan Chase Bank N.A. | 6/21/17 | $ | (2,482 | ) | ||
EUR | 33,461 | USD | 35,586 | JPMorgan Chase Bank N.A. | 6/21/17 | 2,040 | ||||
EUR | 251 | USD | 267 | JPMorgan Chase Bank N.A. | 6/21/17 | 15 | ||||
EUR | 94,403 | USD | 103,176 | JPMorgan Chase Bank N.A. | 6/21/17 | 2,976 | ||||
EUR | 217,792 | USD | 238,314 | JPMorgan Chase Bank N.A. | 6/21/17 | 6,586 | ||||
EUR | 107,874 | USD | 117,758 | JPMorgan Chase Bank N.A. | 6/21/17 | 3,542 | ||||
EUR | 98,992 | USD | 108,068 | JPMorgan Chase Bank N.A. | 6/21/17 | 3,246 | ||||
EUR | 120,336 | USD | 131,074 | JPMorgan Chase Bank N.A. | 6/21/17 | 4,241 | ||||
EUR | 83,565 | USD | 90,967 | JPMorgan Chase Bank N.A. | 6/21/17 | 3,000 | ||||
EUR | 8,773 | USD | 9,549 | JPMorgan Chase Bank N.A. | 6/21/17 | 316 | ||||
EUR | 225,915 | USD | 253,514 | JPMorgan Chase Bank N.A. | 6/21/17 | 520 | ||||
EUR | 43,227 | USD | 48,507 | JPMorgan Chase Bank N.A. | 6/21/17 | 100 | ||||
EUR | 32,950 | USD | 37,065 | JPMorgan Chase Bank N.A. | 6/21/17 | (13 | ) | |||
EUR | 80,183 | USD | 90,201 | JPMorgan Chase Bank N.A. | 6/21/17 | (37 | ) | |||
EUR | 27,911 | USD | 31,416 | JPMorgan Chase Bank N.A. | 6/21/17 | (30 | ) | |||
EUR | 17,792 | USD | 19,318 | UBS AG | 6/30/17 | 699 | ||||
EUR | 15,715 | USD | 16,830 | UBS AG | 6/30/17 | 850 | ||||
EUR | 444 | USD | 475 | UBS AG | 6/30/17 | 25 | ||||
EUR | 1,304 | USD | 1,387 | UBS AG | 6/30/17 | 80 | ||||
EUR | 11,395 | USD | 12,124 | UBS AG | 6/30/17 | 696 | ||||
EUR | 250 | USD | 267 | UBS AG | 6/30/17 | 15 | ||||
EUR | 11,995 | USD | 12,937 | UBS AG | 6/30/17 | 557 | ||||
EUR | 16,780 | USD | 18,268 | UBS AG | 6/30/17 | 610 | ||||
EUR | 60,791 | USD | 66,183 | UBS AG | 6/30/17 | 2,210 | ||||
EUR | 1,059 | USD | 1,161 | UBS AG | 6/30/17 | 30 | ||||
EUR | 2,662 | USD | 2,903 | UBS AG | 6/30/17 | 92 | ||||
EUR | 26,672 | USD | 29,086 | UBS AG | 6/30/17 | 921 | ||||
EUR | 986 | USD | 1,076 | UBS AG | 6/30/17 | 33 | ||||
EUR | 590 | USD | 644 | UBS AG | 6/30/17 | 20 | ||||
EUR | 4,637 | USD | 5,045 | UBS AG | 6/30/17 | 171 | ||||
EUR | 17,003 | USD | 18,987 | UBS AG | 6/30/17 | 142 | ||||
EUR | 138,879 | USD | 155,636 | UBS AG | 6/30/17 | 608 | ||||
EUR | 13,542 | USD | 15,190 | UBS AG | 6/30/17 | 46 | ||||
EUR | 29,806 | USD | 33,436 | UBS AG | 6/30/17 | 97 | ||||
EUR | 58,950 | USD | 66,129 | UBS AG | 6/30/17 | 192 | ||||
EUR | 60,215 | USD | 67,757 | UBS AG | 6/30/17 | (13 | ) | |||
USD | 560,722 | EUR | 527,324 | JPMorgan Chase Bank N.A. | 6/21/17 | (32,237 | ) | |||
USD | 48,591 | EUR | 45,692 | JPMorgan Chase Bank N.A. | 6/21/17 | (2,788 | ) | |||
USD | 2,004 | EUR | 1,882 | JPMorgan Chase Bank N.A. | 6/21/17 | (113 | ) | |||
USD | 1,531 | EUR | 1,425 | JPMorgan Chase Bank N.A. | 6/21/17 | (72 | ) | |||
USD | 6,179,563 | EUR | 5,651,488 | JPMorgan Chase Bank N.A. | 6/21/17 | (175,359 | ) | |||
USD | 5,643 | EUR | 5,133 | JPMorgan Chase Bank N.A. | 6/21/17 | (128 | ) | |||
USD | 3,147 | EUR | 2,862 | JPMorgan Chase Bank N.A. | 6/21/17 | (72 | ) | |||
USD | 212,667 | EUR | 194,182 | JPMorgan Chase Bank N.A. | 6/21/17 | (5,684 | ) | |||
USD | 19,109 | EUR | 17,556 | JPMorgan Chase Bank N.A. | 6/21/17 | (632 | ) | |||
USD | 737 | EUR | 674 | JPMorgan Chase Bank N.A. | 6/21/17 | (21 | ) | |||
USD | 14,557 | EUR | 12,943 | JPMorgan Chase Bank N.A. | 6/21/17 | 3 | ||||
USD | 22,312 | EUR | 19,937 | JPMorgan Chase Bank N.A. | 6/21/17 | (106 | ) | |||
USD | 54,815 | EUR | 48,956 | JPMorgan Chase Bank N.A. | 6/21/17 | (235 | ) | |||
USD | 81,519 | EUR | 72,504 | JPMorgan Chase Bank N.A. | 6/21/17 | (9 | ) |
69
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
USD | 515,572 | EUR | 473,149 | UBS AG | 6/30/17 | $ | (16,740 | ) | ||
USD | 581,250 | EUR | 533,423 | UBS AG | 6/30/17 | (18,872 | ) | |||
USD | 12,165 | EUR | 11,164 | UBS AG | 6/30/17 | (395 | ) | |||
USD | 2,567,197 | EUR | 2,355,961 | UBS AG | 6/30/17 | (83,352 | ) | |||
USD | 14,465 | EUR | 13,384 | UBS AG | 6/30/17 | (592 | ) | |||
USD | 108,952 | EUR | 101,899 | UBS AG | 6/30/17 | (5,689 | ) | |||
USD | 416 | EUR | 391 | UBS AG | 6/30/17 | (24 | ) | |||
USD | 401 | EUR | 377 | UBS AG | 6/30/17 | (23 | ) | |||
USD | 12,521 | EUR | 11,414 | UBS AG | 6/30/17 | (320 | ) | |||
USD | 19,205 | EUR | 17,507 | UBS AG | 6/30/17 | (491 | ) | |||
USD | 17,495 | EUR | 15,985 | UBS AG | 6/30/17 | (489 | ) | |||
USD | 15,518 | EUR | 14,089 | UBS AG | 6/30/17 | (333 | ) | |||
USD | 85,874 | EUR | 76,900 | UBS AG | 6/30/17 | (642 | ) | |||
GBP | 6,199 | USD | 7,596 | Credit Suisse AG | 6/21/17 | 396 | ||||
GBP | 52,359 | USD | 65,523 | Credit Suisse AG | 6/21/17 | 1,979 | ||||
GBP | 6,523 | USD | 8,170 | Credit Suisse AG | 6/21/17 | 239 | ||||
GBP | 22,862 | USD | 28,501 | Credit Suisse AG | 6/21/17 | 973 | ||||
GBP | 48,507 | USD | 61,815 | Credit Suisse AG | 6/21/17 | 721 | ||||
GBP | 19,999 | USD | 25,704 | Credit Suisse AG | 6/21/17 | 80 | ||||
GBP | 33,342 | USD | 43,264 | Credit Suisse AG | 6/21/17 | (279 | ) | |||
GBP | 7,820 | USD | 10,126 | Credit Suisse AG | 6/21/17 | (44 | ) | |||
GBP | 19,519 | USD | 25,425 | Credit Suisse AG | 6/21/17 | (261 | ) | |||
GBP | 21,577 | USD | 27,643 | Credit Suisse AG | 6/30/17 | 182 | ||||
GBP | 21,977 | USD | 28,472 | Credit Suisse AG | 6/30/17 | (131 | ) | |||
GBP | 12,374 | USD | 16,145 | Credit Suisse AG | 6/30/17 | (187 | ) | |||
USD | 1,036,292 | GBP | 849,838 | Credit Suisse AG | 6/21/17 | (59,328 | ) | |||
USD | 5,498 | GBP | 4,439 | Credit Suisse AG | 6/21/17 | (225 | ) | |||
USD | 13,544 | GBP | 10,813 | Credit Suisse AG | 6/21/17 | (396 | ) | |||
USD | 102,681 | GBP | 80,196 | Credit Suisse AG | 6/21/17 | (709 | ) | |||
USD | 8,163 | GBP | 6,346 | Credit Suisse AG | 6/21/17 | (18 | ) | |||
USD | 33,726 | GBP | 26,037 | Credit Suisse AG | 6/21/17 | 159 | ||||
USD | 2,292 | GBP | 1,772 | Credit Suisse AG | 6/21/17 | 8 | ||||
USD | 55,869 | GBP | 43,407 | Credit Suisse AG | 6/21/17 | (92 | ) | |||
USD | 10,996 | GBP | 8,514 | Credit Suisse AG | 6/21/17 | 20 | ||||
USD | 591,005 | GBP | 471,815 | Credit Suisse AG | 6/30/17 | (17,451 | ) | |||
USD | 21,257 | GBP | 17,016 | Credit Suisse AG | 6/30/17 | (686 | ) | |||
USD | 16,905 | GBP | 13,070 | Credit Suisse AG | 6/30/17 | 50 | ||||
USD | 15,691 | GBP | 12,110 | Credit Suisse AG | 6/30/17 | 74 | ||||
USD | 18,247 | GBP | 14,157 | Credit Suisse AG | 6/30/17 | (9 | ) | |||
HUF | 17,082,250 | USD | 61,374 | Goldman Sachs & Co. | 6/21/17 | 923 | ||||
USD | 56,995 | HUF | 16,733,926 | Goldman Sachs & Co. | 6/21/17 | (4,032 | ) | |||
USD | 30,813 | HUF | 8,809,007 | Goldman Sachs & Co. | 6/21/17 | (1,312 | ) | |||
USD | 29,012 | HUF | 8,295,298 | Goldman Sachs & Co. | 6/21/17 | (1,241 | ) | |||
USD | 26,391 | HUF | 7,272,479 | Goldman Sachs & Co. | 6/21/17 | (131 | ) | |||
IDR | 1,564,418,592 | USD | 116,141 | Goldman Sachs & Co. | 6/21/17 | 1,299 | ||||
IDR | 792,875,703 | USD | 59,436 | Goldman Sachs & Co. | 6/21/17 | 85 | ||||
USD | 116,141 | IDR | 1,564,418,592 | Goldman Sachs & Co. | 6/21/17 | (1,299 | ) | |||
ILS | 208,326 | USD | 58,857 | Goldman Sachs & Co. | 6/21/17 | 18 | ||||
INR | 11,864,783 | USD | 175,801 | Morgan Stanley | 6/21/17 | 7,900 | ||||
INR | 3,874,725 | USD | 60,087 | Morgan Stanley | 6/21/17 | (95 | ) |
70
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
USD | 3,087 | INR | 200,247 | Morgan Stanley | 6/21/17 | $ | (13 | ) | ||
USD | 62,604 | INR | 4,064,244 | Morgan Stanley | 6/21/17 | (322 | ) | |||
USD | 87,727 | INR | 5,725,063 | Morgan Stanley | 6/21/17 | (913 | ) | |||
JPY | 6,996,543 | USD | 62,458 | Credit Suisse AG | 6/21/17 | 768 | ||||
JPY | 25,194,964 | USD | 226,926 | Credit Suisse AG | 6/21/17 | 754 | ||||
JPY | 2,468,763 | USD | 22,259 | Credit Suisse AG | 6/21/17 | 51 | ||||
JPY | 951,341 | USD | 8,570 | Credit Suisse AG | 6/21/17 | 27 | ||||
JPY | 1,267,678 | USD | 11,466 | Credit Suisse AG | 6/30/17 | (5 | ) | |||
JPY | 1,375,586 | USD | 12,149 | Credit Suisse AG | 6/30/17 | 288 | ||||
JPY | 2,569,306 | USD | 23,224 | Credit Suisse AG | 6/30/17 | 5 | ||||
JPY | 2,304,582 | USD | 20,831 | Credit Suisse AG | 6/30/17 | 4 | ||||
USD | 4,335,375 | JPY | 486,212,293 | Credit Suisse AG | 6/21/17 | (58,398 | ) | |||
USD | 86,064 | JPY | 9,654,421 | Credit Suisse AG | 6/21/17 | (1,181 | ) | |||
USD | 10,599 | JPY | 1,207,569 | Credit Suisse AG | 6/21/17 | (313 | ) | |||
USD | 127,010 | JPY | 14,167,621 | Credit Suisse AG | 6/21/17 | (1,019 | ) | |||
USD | 7,084 | JPY | 784,047 | Credit Suisse AG | 6/21/17 | (1 | ) | |||
USD | 309,721 | JPY | 34,034,750 | Credit Suisse AG | 6/30/17 | 2,022 | ||||
USD | 12,002 | JPY | 1,324,777 | Credit Suisse AG | 6/30/17 | 25 | ||||
USD | 5,731 | JPY | 639,702 | Credit Suisse AG | 6/30/17 | (52 | ) | |||
USD | 21,999 | JPY | 2,462,144 | Credit Suisse AG | 6/30/17 | (260 | ) | |||
USD | 10,540 | JPY | 1,180,836 | Credit Suisse AG | 6/30/17 | (136 | ) | |||
USD | 76,176 | JPY | 8,534,616 | Credit Suisse AG | 6/30/17 | (983 | ) | |||
USD | 11,717 | JPY | 1,317,760 | Credit Suisse AG | 6/30/17 | (197 | ) | |||
USD | 55,133 | JPY | 6,173,931 | Credit Suisse AG | 6/30/17 | (684 | ) | |||
USD | 12,489 | JPY | 1,401,321 | Credit Suisse AG | 6/30/17 | (180 | ) | |||
USD | 52,835 | JPY | 5,954,376 | Credit Suisse AG | 6/30/17 | (997 | ) | |||
USD | 51,851 | JPY | 5,827,100 | Credit Suisse AG | 6/30/17 | (830 | ) | |||
USD | 42,597 | JPY | 4,797,148 | Credit Suisse AG | 6/30/17 | (773 | ) | |||
USD | 25,291 | JPY | 2,852,755 | Credit Suisse AG | 6/30/17 | (500 | ) | |||
USD | 22,183 | JPY | 2,530,763 | Credit Suisse AG | 6/30/17 | (697 | ) | |||
USD | 35,321 | JPY | 4,021,964 | Credit Suisse AG | 6/30/17 | (1,041 | ) | |||
USD | 21,892 | JPY | 2,474,830 | Credit Suisse AG | 6/30/17 | (482 | ) | |||
USD | 11,422 | JPY | 1,295,217 | Credit Suisse AG | 6/30/17 | (288 | ) | |||
KRW | 50,665,554 | USD | 43,741 | Morgan Stanley | 6/21/17 | 1,532 | ||||
KRW | 43,949,656 | USD | 38,791 | Morgan Stanley | 6/21/17 | 482 | ||||
KRW | 99,500,196 | USD | 87,774 | Morgan Stanley | 6/21/17 | 1,137 | ||||
KRW | 33,867,156 | USD | 30,222 | Morgan Stanley | 6/21/17 | 41 | ||||
USD | 225,336 | KRW | 254,573,549 | Morgan Stanley | 6/21/17 | (2,144 | ) | |||
MXN | 1,248,715 | USD | 65,176 | JPMorgan Chase Bank N.A. | 6/21/17 | 1,579 | ||||
USD | 101,541 | MXN | 2,018,782 | JPMorgan Chase Bank N.A. | 6/21/17 | (6,381 | ) | |||
USD | 13,139 | MXN | 246,136 | JPMorgan Chase Bank N.A. | 6/21/17 | (19 | ) | |||
MYR | 244,459 | USD | 55,736 | Goldman Sachs & Co. | 6/21/17 | 1,211 | ||||
MYR | 246,392 | USD | 56,818 | Goldman Sachs & Co. | 6/21/17 | 579 | ||||
MYR | 276,388 | USD | 64,127 | Goldman Sachs & Co. | 6/21/17 | 258 | ||||
USD | 65,647 | MYR | 293,542 | Goldman Sachs & Co. | 6/21/17 | (2,734 | ) | |||
USD | 89,281 | MYR | 389,085 | Goldman Sachs & Co. | 6/21/17 | (1,357 | ) | |||
NOK | 502,724 | USD | 59,700 | JPMorgan Chase Bank N.A. | 6/21/17 | (183 | ) | |||
USD | 1,537,193 | NOK | 13,052,610 | JPMorgan Chase Bank N.A. | 6/21/17 | (8,081 | ) | |||
USD | 72,298 | NOK | 611,729 | JPMorgan Chase Bank N.A. | 6/21/17 | (123 | ) | |||
USD | 19,254 | NOK | 165,388 | JPMorgan Chase Bank N.A. | 6/21/17 | (326 | ) |
71
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
USD | 7,197 | NOK | 61,578 | JPMorgan Chase Bank N.A. | 6/21/17 | $ | (93 | ) | ||
USD | 56,817 | NOK | 487,237 | JPMorgan Chase Bank N.A. | 6/21/17 | (866 | ) | |||
USD | 23,307 | NOK | 200,460 | JPMorgan Chase Bank N.A. | 6/21/17 | (425 | ) | |||
USD | 58,420 | NOK | 503,668 | JPMorgan Chase Bank N.A. | 6/21/17 | (1,209 | ) | |||
NZD | 135,106 | USD | 94,994 | JPMorgan Chase Bank N.A. | 6/21/17 | 690 | ||||
USD | 90,500 | NZD | 131,063 | JPMorgan Chase Bank N.A. | 6/21/17 | (2,320 | ) | |||
USD | 57,123 | NZD | 82,097 | JPMorgan Chase Bank N.A. | 6/21/17 | (1,019 | ) | |||
USD | 58,075 | NZD | 84,581 | JPMorgan Chase Bank N.A. | 6/21/17 | (1,827 | ) | |||
USD | 62,931 | NZD | 91,494 | JPMorgan Chase Bank N.A. | 6/21/17 | (1,866 | ) | |||
PEN | 190,840 | USD | 58,486 | Goldman Sachs & Co. | 6/21/17 | (245 | ) | |||
PHP | 2,925,706 | USD | 58,333 | Morgan Stanley | 6/21/17 | 386 | ||||
USD | 169,055 | PHP | 8,579,548 | Morgan Stanley | 6/21/17 | (3,139 | ) | |||
USD | 5,485 | PHP | 273,130 | Morgan Stanley | 6/21/17 | 3 | ||||
USD | 59,254 | PHP | 2,952,644 | Morgan Stanley | 6/21/17 | (6 | ) | |||
PLN | 137,821 | USD | 33,702 | Goldman Sachs & Co. | 6/21/17 | 3,340 | ||||
PLN | 596,548 | USD | 150,621 | Goldman Sachs & Co. | 6/21/17 | 9,711 | ||||
PLN | 232,932 | USD | 58,423 | Goldman Sachs & Co. | 6/21/17 | 4,181 | ||||
PLN | 232,845 | USD | 59,600 | Goldman Sachs & Co. | 6/21/17 | 2,981 | ||||
USD | 231,486 | PLN | 946,220 | Goldman Sachs & Co. | 6/21/17 | (22,825 | ) | |||
USD | 9,469 | PLN | 35,303 | Goldman Sachs & Co. | 6/21/17 | (19 | ) | |||
USD | 58,456 | PLN | 218,560 | Goldman Sachs & Co. | 6/21/17 | (286 | ) | |||
RUB | 3,434,629 | USD | 57,339 | Morgan Stanley | 6/21/17 | 2,958 | ||||
RUB | 3,507,059 | USD | 60,383 | Morgan Stanley | 6/21/17 | 1,186 | ||||
USD | 64,020 | RUB | 3,659,089 | Morgan Stanley | 6/21/17 | (219 | ) | |||
USD | 57,701 | RUB | 3,282,599 | Morgan Stanley | 6/21/17 | 72 | ||||
SEK | 111,949 | USD | 12,460 | JPMorgan Chase Bank N.A. | 6/21/17 | 434 | ||||
SEK | 349,772 | USD | 39,067 | JPMorgan Chase Bank N.A. | 6/21/17 | 1,220 | ||||
SEK | 535,624 | USD | 61,242 | JPMorgan Chase Bank N.A. | 6/21/17 | 451 | ||||
USD | 6,722 | SEK | 60,506 | JPMorgan Chase Bank N.A. | 6/21/17 | (247 | ) | |||
USD | 63,718 | SEK | 557,570 | JPMorgan Chase Bank N.A. | 6/21/17 | (503 | ) | |||
USD | 109,077 | SEK | 977,741 | JPMorgan Chase Bank N.A. | 6/21/17 | (3,540 | ) | |||
USD | 11,427 | SEK | 100,225 | JPMorgan Chase Bank N.A. | 6/21/17 | (117 | ) | |||
USD | 38,629 | SGD | 54,752 | JPMorgan Chase Bank N.A. | 6/21/17 | (950 | ) | |||
THB | 3,063,483 | USD | 89,812 | Goldman Sachs & Co. | 6/21/17 | 164 | ||||
USD | 70,218 | THB | 2,453,400 | Goldman Sachs & Co. | 6/21/17 | (1,840 | ) | |||
USD | 9,004 | THB | 312,217 | Goldman Sachs & Co. | 6/21/17 | (166 | ) | |||
USD | 59,112 | THB | 2,040,260 | Goldman Sachs & Co. | 6/21/17 | (811 | ) | |||
USD | 27,342 | THB | 945,007 | Goldman Sachs & Co. | 6/21/17 | (414 | ) | |||
TRY | 43,250 | USD | 11,249 | Goldman Sachs & Co. | 6/21/17 | 940 | ||||
TRY | 163,589 | USD | 42,235 | Goldman Sachs & Co. | 6/21/17 | 3,866 | ||||
TRY | 172,508 | USD | 46,566 | Goldman Sachs & Co. | 6/21/17 | 2,049 | ||||
TRY | 243,959 | USD | 67,481 | Goldman Sachs & Co. | 6/21/17 | 1,270 | ||||
TRY | 433,855 | USD | 121,305 | Goldman Sachs & Co. | 6/21/17 | 961 | ||||
TWD | 1,878,970 | USD | 61,788 | Morgan Stanley | 6/21/17 | 584 | ||||
TWD | 1,787,897 | USD | 58,948 | Morgan Stanley | 6/21/17 | 401 | ||||
USD | 62,218 | TWD | 1,878,970 | Morgan Stanley | 6/21/17 | (154 | ) | |||
USD | 118,216 | TWD | 3,579,568 | Morgan Stanley | 6/21/17 | (607 | ) | |||
USD | 59,533 | TWD | 1,793,127 | Morgan Stanley | 6/21/17 | 10 | ||||
USD | 59,773 | TWD | 1,813,498 | Morgan Stanley | 6/21/17 | (426 | ) | |||
ZAR | 805,009 | USD | 60,829 | Goldman Sachs & Co. | 6/21/17 | 337 |
72
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
USD | 112,822 | ZAR | 1,503,701 | Goldman Sachs & Co. | 6/21/17 | $ | (1,432 | ) | ||
USD | 61,586 | ZAR | 810,468 | Goldman Sachs & Co. | 6/21/17 | 5 | ||||
$ | (489,950 | ) |
FUTURES CONTRACTS | ||||||||
Contracts Purchased | Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation (Depreciation) | |||||
10 | Euro-Schatz 2-Year Bonds | September 2017 | $ | 1,259,893 | $ | 205 | ||
3 | Korean Treasury 10-Year Bonds | June 2017 | 334,432 | (5 | ) | |||
15 | U.S. Treasury 10-Year Notes | September 2017 | 1,894,453 | 2,544 | ||||
22 | U.S. Treasury 2-Year Notes | September 2017 | 4,762,656 | 1,326 | ||||
16 | U.S. Treasury 5-Year Notes | September 2017 | 1,893,000 | 2,409 | ||||
4 | U.S. Treasury Long Bonds | September 2017 | 615,250 | 1,960 | ||||
1 | U.S. Treasury Ultra Bonds | September 2017 | 165,125 | 873 | ||||
$ | 10,924,809 | $ | 9,312 | |||||
Contracts Sold | Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation (Depreciation) | |||||
10 | Euro-Bobl 5-Year Bonds | September 2017 | $ | 1,494,055 | $ | 74 | ||
1 | Euro-Bund 10-Year Bonds | September 2017 | 184,566 | 32 | ||||
5 | U.K. Gilt 10-Year Bonds | September 2017 | 824,222 | 2,247 | ||||
$ | 2,502,843 | $ | 2,353 |
SWAP AGREEMENTS | |||||||||||||
CENTRALLY CLEARED CREDIT DEFAULT | |||||||||||||
Reference Entity | Notional Amount | Buy/Sell* Protection | Interest Rate | Termination Date | Implied Credit Spread** | Unrealized Appreciation (Depreciation) | Value | ||||||
Markit CDX North America High Yield Index Series 26 | $ | 1,291,950 | Sell | 5.00% | 6/20/21 | 2.71% | $ | 104,088 | $ | 121,846 | |||
Markit CDX North America High Yield Index Series 27 | 287,100 | Sell | 5.00% | 12/20/21 | 3.02% | 16,846 | 25,815 | ||||||
Markit CDX North America High Yield Index Series 28 | 650,000 | Sell | 5.00% | 6/20/22 | 3.30% | 5,857 | 54,945 | ||||||
$ | 126,791 | $ | 202,606 |
73
INTEREST RATE | ||||||||||
Counterparty | Notional Amount | Floating Rate Index | Pay/Receive Floating Rate Index | Fixed Rate | Termination Date | Value | ||||
Bank of America N.A. | BRL | 6,914,000 | BZDIOVRA | Receive | 9.60 | % | 1/2/19 | $ | (9,483 | ) |
Bank of America N.A. | BRL | 1,694,000 | BZDIOVRA | Pay | 10.78 | % | 1/2/23 | 5,696 | ||
$ | (3,787 | ) |
* | The maximum potential amount the fund could be required to deliver as a seller of credit protection if a credit event occurs as defined under the terms of the agreement is the notional amount. The maximum potential amount may be partially offset by any recovery values of the reference entities and upfront payments received upon entering into the agreement. |
**Implied credit spreads for centrally cleared credit default swap agreements are linked to the weighted average spread across the underlying reference entities included in a particular index. Implied credit spreads serve as an indication of the seller's performance risk related to the likelihood of a credit event occurring as defined in the agreement. Implied credit spreads are used to determine the value of swap agreements and reflect the cost of buying/selling protection, which may include upfront payments made/received upon entering the agreement. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform under the contract terms. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk.
74
NOTES TO SCHEDULE OF INVESTMENTS | |||||
ADR | - | American Depositary Receipt | LOC | - | Letter of Credit |
AUD | - | Australian Dollar | MTN | - | Medium Term Note |
BRL | - | Brazilian Real | MXN | - | Mexican Peso |
BZDIOVRA | - | Brazil Interbank Deposit Rate | MYR | - | Malaysian Ringgit |
CAD | - | Canadian Dollar | NOK | - | Norwegian Krone |
CDX | - | Credit Derivatives Indexes | NZD | - | New Zealand Dollar |
CHF | - | Swiss Franc | PEN | - | Peruvian Sol |
CLP | - | Chilean Peso | PHP | - | Philippine Peso |
COP | - | Colombian Peso | PIK | - | Payment in Kind |
CVA | - | Certificaten Van Aandelen | PLN | - | Polish Zloty |
CZK | - | Czech Koruna | RUB | - | Russian Ruble |
DKK | - | Danish Krone | SBBPA | - | Standby Bond Purchase Agreement |
EUR | - | Euro | SEK | - | Swedish Krona |
FHLMC | - | Federal Home Loan Mortgage Corporation | SEQ | - | Sequential Payer |
FNMA | - | Federal National Mortgage Association | SGD | - | Singapore Dollar |
GBP | - | British Pound | THB | - | Thai Baht |
GDR | - | Global Depositary Receipt | TRY | - | Turkish Lira |
GNMA | - | Government National Mortgage Association | TWD | - | Taiwanese Dollar |
GO | - | General Obligation | USD | - | United States Dollar |
HUF | - | Hungarian Forint | VRDN | - | Variable Rate Demand Note. Interest reset date is indicated. Rate shown is effective at the period end. |
IDR | - | Indonesian Rupiah | |||
ILS | - | Israeli Shekel | VRN | - | Variable Rate Note. Interest reset date is indicated. Rate shown is effective at the period end. |
INR | - | Indian Rupee | |||
JPY | - | Japanese Yen | ZAR | - | South African Rand |
KRW | - | South Korean Won |
† | Category is less than 0.05% of total net assets. |
(1) | Non-income producing. |
(2) | When-issued security. The issue price and yield are fixed on the date of the commitment, but payment and delivery are scheduled for a future date. |
(3) | Security was purchased pursuant to Rule 144A or Section 4(2) under the Securities Act of 1933 and may be sold in transactions exempt from registration, normally to qualified institutional investors. The aggregate value of these securities at the period end was $31,296,546, which represented 3.2% of total net assets. |
(4) | The rate indicated is the yield to maturity at purchase for non-interest bearing securities. For interest bearing securities, the stated coupon rate is shown. |
(5) | Security, or a portion thereof, has been pledged at the custodian bank or with a broker for margin requirements on forward commitments, forward foreign currency exchange contracts, futures contracts, |
and/or swap agreements. At the period end, the aggregate value of securities pledged was $132,532.
(6) | Final maturity date indicated, unless otherwise noted. |
(7) | Forward commitment. Settlement date is indicated. |
(8) | Security is a zero-coupon bond. |
(9) | Security is in default. |
See Notes to Financial Statements.
75
Statement of Assets and Liabilities |
MAY 31, 2017 (UNAUDITED) | |||
Assets | |||
Investment securities, at value (cost of $806,139,358) | $ | 981,371,912 | |
Cash | 3,397 | ||
Foreign currency holdings, at value (cost of $430,403) | 430,400 | ||
Deposits with broker for futures contracts and swap agreements | 111,522 | ||
Receivable for investments sold | 3,246,293 | ||
Receivable for capital shares sold | 351,976 | ||
Receivable for variation margin on futures contracts | 12,543 | ||
Receivable for variation margin on swap agreements | 64 | ||
Unrealized appreciation on forward foreign currency exchange contracts | 153,362 | ||
Swap agreements, at value | 5,696 | ||
Dividends and interest receivable | 3,671,733 | ||
Other assets | 23,494 | ||
989,382,392 | |||
Liabilities | |||
Payable for investments purchased | 13,546,542 | ||
Payable for capital shares redeemed | 3,544,495 | ||
Unrealized depreciation on forward foreign currency exchange contracts | 643,312 | ||
Swap agreements, at value | 9,483 | ||
Accrued management fees | 875,770 | ||
Distribution and service fees payable | 116,167 | ||
Accrued foreign taxes | 83,722 | ||
18,819,491 | |||
Net Assets | $ | 970,562,901 | |
Net Assets Consist of: | |||
Capital (par value and paid-in surplus) | $ | 767,259,996 | |
Undistributed net investment income | 2,746,236 | ||
Undistributed net realized gain | 25,764,741 | ||
Net unrealized appreciation | 174,791,928 | ||
$ | 970,562,901 |
Net Assets | Shares Outstanding | Net Asset Value Per Share | ||
Investor Class, $0.01 Par Value | $458,970,950 | 55,010,691 | $8.34 | |
I Class, $0.01 Par Value | $126,790,205 | 15,276,674 | $8.30 | |
A Class, $0.01 Par Value | $225,373,427 | 26,839,157 | $8.40* | |
C Class, $0.01 Par Value | $67,423,098 | 8,209,872 | $8.21 | |
R Class, $0.01 Par Value | $22,346,091 | 2,664,668 | $8.39 | |
R5 Class, $0.01 Par Value | $5,156 | 621 | $8.30 | |
R6 Class, $0.01 Par Value | $69,653,974 | 8,406,801 | $8.29 | |
*Maximum offering price $8.91 (net asset value divided by 0.9425). |
See Notes to Financial Statements.
76
Statement of Operations |
FOR THE SIX MONTHS ENDED MAY 31, 2017 (UNAUDITED) | |||
Investment Income (Loss) | |||
Income: | |||
Dividends (net of foreign taxes withheld of $363,634) | $ | 8,147,845 | |
Interest | 3,220,691 | ||
11,368,536 | |||
Expenses: | |||
Management fees | 5,327,586 | ||
Distribution and service fees: | |||
A Class | 302,394 | ||
C Class | 340,976 | ||
R Class | 60,030 | ||
Directors' fees and expenses | 13,764 | ||
Other expenses | 24,612 | ||
6,069,362 | |||
Fees waived(1) | (241,709 | ) | |
5,827,653 | |||
Net investment income (loss) | 5,540,883 | ||
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss) on: | |||
Investment transactions (net of foreign tax expenses paid (refunded) of $13,557) | 36,790,876 | ||
Futures contract transactions | 41,267 | ||
Swap agreement transactions | 96,698 | ||
Foreign currency transactions | 1,261,649 | ||
38,190,490 | |||
Change in net unrealized appreciation (depreciation) on: | |||
Investments (includes (increase) decrease in accrued foreign taxes of $(83,722)) | 51,359,050 | ||
Futures contracts | 23,207 | ||
Swap agreements | 21,649 | ||
Translation of assets and liabilities in foreign currencies | (1,979,124 | ) | |
49,424,782 | |||
Net realized and unrealized gain (loss) | 87,615,272 | ||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 93,156,155 |
(1) | Amount consists of $111,726, $31,147, $60,479, $17,049, $6,002, $1 and $15,305 for the Investor Class, I Class, A Class, C Class, R Class, R5 Class and R6 Class, respectively. |
See Notes to Financial Statements.
77
Statement of Changes in Net Assets |
SIX MONTHS ENDED MAY 31, 2017 (UNAUDITED) AND YEAR ENDED NOVEMBER 30, 2016 | ||||||
Increase (Decrease) in Net Assets | May 31, 2017 | November 30, 2016 | ||||
Operations | ||||||
Net investment income (loss) | $ | 5,540,883 | $ | 10,973,352 | ||
Net realized gain (loss) | 38,190,490 | 14,081,637 | ||||
Change in net unrealized appreciation (depreciation) | 49,424,782 | 4,697,030 | ||||
Net increase (decrease) in net assets resulting from operations | 93,156,155 | 29,752,019 | ||||
Distributions to Shareholders | ||||||
From net investment income: | ||||||
Investor Class | (6,025,744 | ) | (5,071,352 | ) | ||
I Class | (1,882,284 | ) | (1,777,887 | ) | ||
A Class | (2,729,951 | ) | (2,282,641 | ) | ||
C Class | (253,034 | ) | (54,355 | ) | ||
R Class | (212,585 | ) | (133,864 | ) | ||
R6 Class | (898,697 | ) | (518,683 | ) | ||
From net realized gains: | ||||||
Investor Class | (6,631,519 | ) | (33,343,841 | ) | ||
I Class | (1,805,880 | ) | (9,845,003 | ) | ||
A Class | (3,678,967 | ) | (19,567,988 | ) | ||
C Class | (1,052,993 | ) | (5,262,095 | ) | ||
R Class | (370,021 | ) | (1,648,355 | ) | ||
R6 Class | (786,747 | ) | (2,570,523 | ) | ||
Decrease in net assets from distributions | (26,328,422 | ) | (82,076,587 | ) | ||
Capital Share Transactions | ||||||
Net increase (decrease) in net assets from capital share transactions (Note 5) | (47,948,168 | ) | (50,282,982 | ) | ||
Net increase (decrease) in net assets | 18,879,565 | (102,607,550 | ) | |||
Net Assets | ||||||
Beginning of period | 951,683,336 | 1,054,290,886 | ||||
End of period | $ | 970,562,901 | $ | 951,683,336 | ||
Undistributed net investment income | $ | 2,746,236 | $ | 9,207,648 |
See Notes to Financial Statements.
78
Notes to Financial Statements |
MAY 31, 2017 (UNAUDITED)
1. Organization
American Century Strategic Asset Allocations, Inc. (the corporation) is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company and is organized as a Maryland corporation. Strategic Allocation: Aggressive Fund (the fund) is one fund in a series issued by the corporation. The fund is an asset allocation fund and its investment objective is to seek the highest level of total return consistent with its asset mix.
The fund offers the Investor Class, I Class (formerly Institutional Class), A Class, C Class, R Class, R5 Class and R6 Class. The A Class may incur an initial sales charge. The A Class and C Class may be subject to a contingent deferred sales charge. Sale of the R5 Class commenced on April 10, 2017.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently followed by the fund in preparation of its financial statements. The fund is an investment company and follows accounting and reporting guidance in accordance with accounting principles generally accepted in the United States of America. This may require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from these estimates. Management evaluated the impact of events or transactions occurring through the date the financial statements were issued that would merit recognition or disclosure.
Investment Valuations — The fund determines the fair value of its investments and computes its net asset value per share at the close of regular trading (usually 4 p.m. Eastern time) on the New York Stock Exchange (NYSE) on each day the NYSE is open. The Board of Directors has adopted valuation policies and procedures to guide the investment advisor in the fund’s investment valuation process and to provide methodologies for the oversight of the fund’s pricing function.
Equity securities that are listed or traded on a domestic securities exchange are valued at the last reported sales price or at the official closing price as provided by the exchange. Equity securities traded on foreign securities exchanges are generally valued at the closing price of such securities on the exchange where primarily traded or at the close of the NYSE, if that is earlier. If no last sales price is reported, or if local convention or regulation so provides, the mean of the latest bid and asked prices may be used. Securities traded over-the-counter are valued at the mean of the latest bid and asked prices, the last sales price, or the official closing price. Equity securities initially expressed in local currencies are translated into U.S. dollars at the mean of the appropriate currency exchange rate at the close of the NYSE as provided by an independent pricing service.
Fixed income securities are valued at the evaluated mean as provided by independent pricing services or at the mean of the most recent bid and asked prices as provided by investment dealers. Corporate bonds, U.S. Treasury and Government Agency securities, convertible bonds, municipal securities, and sovereign governments and agencies are valued using market models that consider trade data, quotations from dealers and active market makers, relevant yield curve and spread data, creditworthiness, trade data or market information on comparable securities, and other relevant security specific information. Mortgage-related and asset-backed securities are valued based on models that consider trade data, prepayment and default projections, benchmark yield and spread data and estimated cash flows of each tranche of the issuer. Commercial paper is valued using a curve-based approach that considers money market rates for specific instruments, programs, currencies and maturity points from a variety of active market makers. Fixed income securities initially expressed in local currencies are translated into U.S. dollars at the mean of the appropriate currency exchange rate at the close of the NYSE as provided by an independent pricing service.
Open-end management investment companies are valued at the reported net asset value per share. Exchange-traded futures contracts are valued at the settlement price as provided by the appropriate clearing corporation. Swap agreements are valued at an evaluated mean as provided by independent pricing services or independent brokers. Forward foreign currency exchange contracts are valued at the mean of the appropriate forward exchange rate at the close of the NYSE as provided by an independent pricing service. Investments initially expressed in local currencies are translated into U.S. dollars at the mean of the appropriate currency exchange rate at the close of the NYSE as provided by an independent pricing service.
79
If the fund determines that the market price for an investment is not readily available or the valuation methods mentioned above do not reflect an investment’s fair value, such investment is valued as determined in good faith by the Board of Directors or its delegate, in accordance with policies and procedures adopted by the Board of Directors. In its determination of fair value, the fund may review several factors including, but not limited to, market information regarding the specific investment or comparable investments and correlation with other investment types, futures indices or general market indicators. Circumstances that may cause the fund to use these procedures to value an investment include, but are not limited to: an investment has been declared in default or is distressed; trading in a security has been suspended during the trading day or a security is not actively trading on its principal exchange; prices received from a regular pricing source are deemed unreliable; or there is a foreign market holiday and no trading occurred.
The fund monitors for significant events occurring after the close of an investment’s primary exchange but before the fund’s net asset value per share is determined. Significant events may include, but are not limited to: corporate announcements and transactions; governmental action and political unrest that could impact a specific investment or an investment sector; or armed conflicts, natural disasters and similar events that could affect investments in a specific country or region. The fund also monitors for significant fluctuations between domestic and foreign markets, as evidenced by the U.S. market or such other indicators that the Board of Directors, or its delegate, deems appropriate. If significant fluctuations in foreign markets are identified, the fund may apply a model-derived factor to the closing price of equity securities traded on foreign securities exchanges. The factor is based on observable market data as provided by an independent pricing service.
Security Transactions — Security transactions are accounted for as of the trade date. Net realized gains and losses are determined on the identified cost basis, which is also used for federal income tax purposes. Certain countries impose taxes on realized gains on the sale of securities registered in their country. The fund records the foreign tax expense, if any, on an accrual basis. The foreign tax expense on realized gains and unrealized appreciation reduces the net realized gain (loss) on investment transactions and net unrealized appreciation (depreciation) on investments, respectively.
Investment Income — Income and capital gain distributions, if any, are recorded as of the ex-dividend date. Long-term capital gain distributions, if any, are a component of net realized gain (loss). Dividend income less foreign taxes withheld, if any, is recorded as of the ex-dividend date. Distributions received on securities that represent a return of capital or long-term capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The fund may estimate the components of distributions received that may be considered nontaxable distributions or long-term capital gain distributions for income tax purposes. Interest income is recorded on the accrual basis and includes paydown gain (loss) and accretion of discounts and amortization of premiums. Inflation adjustments related to inflation-linked debt securities are reflected as interest income.
Segregated Assets — In accordance with the 1940 Act, the fund segregates assets on its books and records to cover certain types of investments, including, but not limited to, futures contracts, forward commitments, when-issued securities, swap agreements and certain forward foreign currency exchange contracts. American Century Investment Management, Inc. (ACIM) (the investment advisor) monitors, on a daily basis, the securities segregated to ensure the fund designates a sufficient amount of liquid assets, marked-to-market daily. The fund may also receive assets or be required to pledge assets at the custodian bank or with a broker for margin requirements on futures contracts, forward commitments, swap agreements and certain forward foreign currency exchange contracts.
Foreign Currency Translations — All assets and liabilities initially expressed in foreign currencies are translated into U.S. dollars at prevailing exchange rates at period end. The fund may enter into spot foreign currency exchange contracts to facilitate transactions denominated in a foreign currency. Purchases and sales of investment securities, dividend and interest income, spot foreign currency exchange contracts, and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Net realized and unrealized foreign currency exchange gains or losses related to investment securities are a component of net realized gain (loss) on investment transactions and change in net unrealized appreciation (depreciation) on investments, respectively.
Forward Commitments — The fund may engage in securities transactions on a forward commitment basis. In these transactions, the securities’ prices and yields are fixed on the date of the commitment. The fund may sell a to-be-announced (TBA) security and at the same time make a commitment to purchase the same security at a future date at a specified price. Conversely, the fund may purchase a TBA security and at the same time make a commitment to sell the same security at a future date at a specified price. These types of transactions are known as “TBA roll” transactions and are accounted for as purchases and sales. The fund will segregate cash, cash equivalents or other appropriate liquid securities on its records in amounts sufficient to meet the purchase price.
80
Income Tax Status — It is the fund’s policy to distribute substantially all net investment income and net realized gains to shareholders and to otherwise qualify as a regulated investment company under provisions of the Internal Revenue Code. Accordingly, no provision has been made for income taxes. The fund files U.S. federal, state, local and non-U.S. tax returns as applicable. The fund's tax returns are subject to examination by the relevant taxing authority until expiration of the applicable statute of limitations, which is generally three years from the date of filing but can be longer in certain jurisdictions. At this time, management believes there are no uncertain tax positions which, based on their technical merit, would not be sustained upon examination and for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
Multiple Class — All shares of the fund represent an equal pro rata interest in the net assets of the class to which such shares belong, and have identical voting, dividend, liquidation and other rights and the same terms and conditions, except for class specific expenses and exclusive rights to vote on matters affecting only individual classes. Income, non-class specific expenses, and realized and unrealized capital gains and losses of the fund are allocated to each class of shares based on their relative net assets.
Distributions to Shareholders — Distributions from net investment income and net realized gains, if any, are generally declared and paid annually. The fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code, in all events in a manner consistent with provisions of the 1940 Act.
Indemnifications — Under the corporation’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the fund. In addition, in the normal course of business, the fund enters into contracts that provide general indemnifications. The maximum exposure under these arrangements is unknown as this would involve future claims that may be made against a fund. The risk of material loss from such claims is considered by management to be remote.
3. Fees and Transactions with Related Parties
Certain officers and directors of the corporation are also officers and/or directors of American Century Companies, Inc. (ACC). The corporation’s investment advisor, ACIM, the corporation's distributor, American Century Investment Services, Inc. (ACIS), and the corporation’s transfer agent, American Century Services, LLC, are wholly owned, directly or indirectly, by ACC.
Management Fees — The corporation has entered into a management agreement with ACIM, under which ACIM provides the fund with investment advisory and management services in exchange for a single, unified management fee (the fee) per class. The agreement provides that all expenses of managing and operating the fund, except distribution and service fees, brokerage expenses, taxes, interest, fees and expenses of the independent directors (including legal counsel fees), and extraordinary expenses, will be paid by ACIM. The fee is computed and accrued daily based on each class’s daily net assets and paid monthly in arrears. The difference in the fee among the classes is a result of their separate arrangements for shareholder services. It is not the result of any difference in advisory or custodial fees or other expenses related to the management of the fund’s assets, which do not vary by class. The rate of the fee is determined by applying a fee rate calculation formula. This formula takes into account the fund’s assets as well as certain assets, if any, of other clients of the investment advisor outside the American Century Investments family of funds (such as subadvised funds and separate accounts) that use very similar investment teams and strategies (strategy assets). During the period ended May 31, 2017, the investment advisor agreed to waive 0.05% of the fund's management fee. The investment advisor expects this waiver to continue until April 9, 2018 and cannot terminate it prior to such date without the approval of the Board of Directors.
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The management fee schedule range and the effective annual management fee before and after waiver for each class for the period ended May 31, 2017 are as follows:
Effective Annual Management Fee | |||
Management Fee Schedule Range | Before Waiver | After Waiver | |
Investor Class | 0.90% to 1.15% | 1.15% | 1.10% |
I Class | 0.70% to 0.95% | 0.95% | 0.90% |
A Class | 0.90% to 1.15% | 1.15% | 1.10% |
C Class | 0.90% to 1.15% | 1.15% | 1.10% |
R Class | 0.90% to 1.15% | 1.15% | 1.10% |
R5 Class | 0.70% to 0.95% | 0.95% | 0.90% |
R6 Class | 0.55% to 0.80% | 0.80% | 0.75% |
Distribution and Service Fees — The Board of Directors has adopted a separate Master Distribution and Individual Shareholder Services Plan for each of the A Class, C Class and R Class (collectively the plans), pursuant to Rule 12b-1 of the 1940 Act. The plans provide that the A Class will pay ACIS an annual distribution and service fee of 0.25%. The plans provide that the C Class will pay ACIS an annual distribution and service fee of 1.00%, of which 0.25% is paid for individual shareholder services and 0.75% is paid for distribution services. The plans provide that the R Class will pay ACIS an annual distribution and service fee of 0.50%. The fees are computed and accrued daily based on each class’s daily net assets and paid monthly in arrears. The fees are used to pay financial intermediaries for distribution and individual shareholder services. Fees incurred under the plans during the period ended May 31, 2017 are detailed in the Statement of Operations.
Directors' Fees and Expenses — The Board of Directors is responsible for overseeing the investment advisor’s management and operations of the fund. The directors receive detailed information about the fund and its investment advisor regularly throughout the year, and meet at least quarterly with management of the investment advisor to review reports about fund operations. The fund’s officers do not receive compensation from the fund.
Interfund Transactions — The fund may enter into security transactions with other American Century Investments funds and other client accounts of the investment advisor, in accordance with the 1940 Act rules and procedures adopted by the Board of Directors. The rules and procedures require, among other things, that these transactions be effected at the independent current market price of the security. During the period, the interfund purchases and sales were $3,282,072 and $2,995,241, respectively. The effect of interfund transactions on the Statement of Operations was $312,973 in net realized gain (loss) on investment transactions.
4. Investment Transactions
Purchases of investment securities, excluding short-term investments, for the period ended May 31, 2017 totaled $385,956,725, of which $79,513,891 represented U.S. Treasury and Government Agency obligations.
Sales of investment securities, excluding short-term investments, for the period ended May 31, 2017 totaled $452,838,564, of which $65,989,317 represented U.S. Treasury and Government Agency obligations.
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5. Capital Share Transactions
Transactions in shares of the fund were as follows:
Six months ended May 31, 2017(1) | Year ended November 30, 2016 | |||||||||
Shares | Amount | Shares | Amount | |||||||
Investor Class/Shares Authorized | 600,000,000 | 600,000,000 | ||||||||
Sold | 5,849,795 | $ | 47,349,536 | 5,813,408 | $ | 43,576,048 | ||||
Issued in reinvestment of distributions | 1,620,801 | 12,464,888 | 5,139,942 | 37,829,972 | ||||||
Redeemed | (8,642,314 | ) | (69,517,300 | ) | (14,918,716 | ) | (112,567,049 | ) | ||
(1,171,718 | ) | (9,702,876 | ) | (3,965,366 | ) | (31,161,029 | ) | |||
I Class/Shares Authorized | 150,000,000 | 150,000,000 | ||||||||
Sold | 4,476,733 | 36,335,289 | 2,953,484 | 22,074,915 | ||||||
Issued in reinvestment of distributions | 475,813 | 3,635,473 | 1,571,260 | 11,501,624 | ||||||
Redeemed | (5,607,294 | ) | (45,192,063 | ) | (6,311,299 | ) | (46,003,969 | ) | ||
(654,748 | ) | (5,221,301 | ) | (1,786,555 | ) | (12,427,430 | ) | |||
A Class/Shares Authorized | 375,000,000 | 375,000,000 | ||||||||
Sold | 1,900,711 | 15,309,607 | 3,120,587 | 23,438,961 | ||||||
Issued in reinvestment of distributions | 808,422 | 6,265,765 | 2,884,961 | 21,406,412 | ||||||
Redeemed | (7,260,647 | ) | (59,032,675 | ) | (10,943,818 | ) | (82,826,224 | ) | ||
(4,551,514 | ) | (37,457,303 | ) | (4,938,270 | ) | (37,980,851 | ) | |||
C Class/Shares Authorized | 90,000,000 | 80,000,000 | ||||||||
Sold | 477,539 | 3,768,793 | 999,782 | 7,311,612 | ||||||
Issued in reinvestment of distributions | 165,938 | 1,261,263 | 703,385 | 5,120,645 | ||||||
Redeemed | (1,327,278 | ) | (10,501,561 | ) | (2,262,926 | ) | (16,840,664 | ) | ||
(683,801 | ) | (5,471,505 | ) | (559,759 | ) | (4,408,407 | ) | |||
R Class/Shares Authorized | 50,000,000 | 50,000,000 | ||||||||
Sold | 283,388 | 2,284,333 | 800,919 | 6,089,598 | ||||||
Issued in reinvestment of distributions | 74,055 | 573,976 | 239,573 | 1,775,235 | ||||||
Redeemed | (850,545 | ) | (6,880,613 | ) | (821,189 | ) | (6,198,433 | ) | ||
(493,102 | ) | (4,022,304 | ) | 219,303 | 1,666,400 | |||||
R5 Class/Shares Authorized | 50,000,000 | N/A | ||||||||
Sold | 621 | 5,000 | ||||||||
R6 Class/Shares Authorized | 90,000,000 | 50,000,000 | ||||||||
Sold | 1,975,984 | 15,576,527 | 5,277,365 | 40,872,583 | ||||||
Issued in reinvestment of distributions | 221,169 | 1,685,444 | 423,179 | 3,089,206 | ||||||
Redeemed | (419,735 | ) | (3,339,850 | ) | (1,345,995 | ) | (9,933,454 | ) | ||
1,777,418 | 13,922,121 | 4,354,549 | 34,028,335 | |||||||
Net increase (decrease) | (5,776,844 | ) | $ | (47,948,168 | ) | (6,676,098 | ) | $ | (50,282,982 | ) |
(1) | April 10, 2017 (commencement of sale) through May 31, 2017 for the R5 Class. |
6. Fair Value Measurements
The fund’s investments valuation process is based on several considerations and may use multiple inputs to determine the fair value of the investments held by the fund. In conformity with accounting principles generally accepted in the United States of America, the inputs used to determine a valuation are classified into three broad levels.
• | Level 1 valuation inputs consist of unadjusted quoted prices in an active market for identical investments. |
• | Level 2 valuation inputs consist of direct or indirect observable market data (including quoted prices for comparable investments, evaluations of subsequent market events, interest rates, prepayment speeds, credit risk, etc.). These inputs also consist of quoted prices for identical investments initially expressed in local currencies that are adjusted through translation into U.S. dollars. |
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• | Level 3 valuation inputs consist of unobservable data (including a fund’s own assumptions). |
The level classification is based on the lowest level input that is significant to the fair valuation measurement. The valuation inputs are not necessarily an indication of the risks associated with investing in these securities or other financial instruments. There were no significant transfers between levels during the period.
The following is a summary of the level classifications as of period end. The Schedule of Investments provides additional information on the fund’s portfolio holdings.
Level 1 | Level 2 | Level 3 | ||||||
Assets | ||||||||
Investment Securities | ||||||||
Common Stocks | $ | 533,902,121 | $ | 220,315,839 | — | |||
Corporate Bonds | — | 74,817,211 | — | |||||
U.S. Treasury Securities | — | 68,643,709 | — | |||||
U.S. Government Agency Mortgage-Backed Securities | — | 22,148,025 | — | |||||
Sovereign Governments and Agencies | — | 14,265,960 | — | |||||
Collateralized Mortgage Obligations | — | 6,301,545 | — | |||||
Commercial Mortgage-Backed Securities | — | 5,258,377 | — | |||||
Asset-Backed Securities | — | 4,499,335 | — | |||||
Exchange-Traded Funds | 4,167,064 | — | — | |||||
Municipal Securities | — | 3,743,219 | — | |||||
Commercial Paper | — | 2,625,285 | — | |||||
U.S. Government Agency Securities | — | 1,846,972 | — | |||||
Convertible Preferred Stocks | — | 48,737 | — | |||||
Temporary Cash Investments | 18,788,513 | — | — | |||||
$ | 556,857,698 | $ | 424,514,214 | — | ||||
Other Financial Instruments | ||||||||
Futures Contracts | $ | 9,112 | $ | 2,558 | — | |||
Swap Agreements | — | 208,302 | — | |||||
Forward Foreign Currency Exchange Contracts | — | 153,362 | — | |||||
$ | 9,112 | $ | 364,222 | — | ||||
Liabilities | ||||||||
Other Financial Instruments | ||||||||
Futures Contracts | — | $ | 5 | — | ||||
Swap Agreements | — | 9,483 | — | |||||
Forward Foreign Currency Exchange Contracts | — | 643,312 | — | |||||
— | $ | 652,800 | — |
7. Derivative Instruments
Credit Risk — The fund is subject to credit risk in the normal course of pursuing its investment objectives. The value of a bond generally declines as the credit quality of its issuer declines. Credit default swap agreements enable a fund to buy/sell protection against a credit event of a specific issuer or index. A fund may attempt to enhance returns by selling protection or attempt to mitigate credit risk by buying protection. Upon entering into a centrally cleared swap, a fund is required to deposit cash or securities (initial margin) with a financial intermediary in an amount equal to a certain percentage of the notional amount. Subsequent payments (variation margin) are made or received daily, in cash, by a fund. The variation margin is equal to the daily change in the value and is a component of unrealized gains and losses. Realized gain or loss is recorded upon receipt or payment of a periodic settlement or termination of swap agreements. Net realized and unrealized gains or losses occurring during the holding period of swap agreements are a component of net realized gain (loss) on swap agreement transactions and change in net unrealized appreciation (depreciation) on swap agreements, respectively. The risks of entering into swap agreements include the
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possible lack of liquidity, failure of the counterparty to meet its obligations, and that there may be unfavorable changes in the underlying investments or instruments. The fund's average notional amount held during the period was $2,455,700.
Foreign Currency Risk — The fund is subject to foreign currency exchange rate risk in the normal course of pursuing its investment objectives. The value of foreign investments held by a fund may be significantly affected by changes in foreign currency exchange rates. The dollar value of a foreign security generally decreases when the value of the dollar rises against the foreign currency in which the security is denominated and tends to increase when the value of the dollar declines against such foreign currency. A fund may enter into forward foreign currency exchange contracts to reduce a fund's exposure to foreign currency exchange rate fluctuations or to gain exposure to the fluctuations in the value of foreign currencies. The net U.S. dollar value of foreign currency underlying all contractual commitments held by a fund and the resulting unrealized appreciation or depreciation are determined daily. Realized gain or loss is recorded upon the termination of the contract. Net realized and unrealized gains or losses occurring during the holding period of forward foreign currency exchange contracts are a component of net realized gain (loss) on foreign currency transactions and change in net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies, respectively. A fund bears the risk of an unfavorable change in the foreign currency exchange rate underlying the forward contract. Additionally, losses, up to the fair value, may arise if the counterparties do not perform under the contract terms. The fund's average U.S. dollar exposure to foreign currency risk derivative instruments held during the period was $30,806,876.
Interest Rate Risk — The fund is subject to interest rate risk in the normal course of pursuing its investment objectives. A fund may enter into futures contracts or interest rate swap agreements in order to manage its exposure to changes in market conditions. The value of bonds generally declines as interest rates rise. The risks of entering into interest rate risk derivative instruments include the possible lack of liquidity, failure of the counterparty to meet its obligations, and that there may be unfavorable changes in the underlying investments or instruments.
A fund may enter into futures contracts based on a bond index or a specific underlying security. A fund may purchase futures contracts to gain exposure to increases in market value or sell futures contracts to protect against a decline in market value. Upon entering into a futures contract, a fund will segregate cash, cash equivalents or other appropriate liquid securities on its records in amounts sufficient to meet requirements. Subsequent payments (variation margin) are made or received daily, in cash, by a fund. The variation margin is equal to the daily change in the contract value and is recorded as unrealized gains and losses. A fund
recognizes a realized gain or loss when the futures contract is closed or expires. Net realized and unrealized gains or losses occurring during the holding period of futures contracts are a component of net realized gain (loss) on futures contract transactions and change in net unrealized appreciation (depreciation) on futures contracts, respectively. The fund's average exposure to these interest rate risk derivative instruments during the period was 74 futures contracts.
A fund may enter into interest rate swap agreements to gain exposure to declines in interest rates, to protect against increases in interest rates, or to maintain its ability to generate income at prevailing interest rates. A fund will segregate cash, cash equivalents or other appropriate liquid securities on its records in amounts sufficient to meet requirements. Changes in value, including the periodic amounts of interest to be paid or received on swap agreements, are recorded as unrealized appreciation (depreciation) on swap agreements. Realized gain or loss is recorded upon receipt or payment of a periodic settlement or termination of swap agreements. Net realized and unrealized gains or losses occurring during the holding period of swap agreements are a component of net realized gain (loss) on swap agreement transactions and change in net unrealized appreciation (depreciation) on swap agreements, respectively. The fund began investing in interest rate swap agreements in May 2017. The fund’s notional amount exposure to interest rate swap agreements at period end was $2,660,115.
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Value of Derivative Instruments as of May 31, 2017
Asset Derivatives | Liability Derivatives | |||||||
Type of Risk Exposure | Location on Statement of Assets and Liabilities | Value | Location on Statement of Assets and Liabilities | Value | ||||
Credit Risk | Receivable for variation margin on swap agreements* | $ | 64 | Payable for variation margin on swap agreements* | — | |||
Foreign Currency Risk | Unrealized appreciation on forward foreign currency exchange contracts | 153,362 | Unrealized depreciation on forward foreign currency exchange contracts | $ | 643,312 | |||
Interest Rate Risk | Receivable for variation margin on futures contracts* | 12,543 | Payable for variation margin on futures contracts* | — | ||||
Interest Rate Risk | Swap agreements | 5,696 | Swap agreements | 9,483 | ||||
$ | 171,665 | $ | 652,795 | |||||
* Included in the unrealized appreciation (depreciation) on centrally cleared credit default swap agreements or futures contracts, as applicable, as reported in the Schedule of Investments. | ||||||||
Effect of Derivative Instruments on the Statement of Operations for the Six Months Ended May 31, 2017 | ||||||||
Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) | |||||||
Type of Risk Exposure | Location on Statement of Operations | Value | Location on Statement of Operations | Value | ||||
Credit Risk | Net realized gain (loss) on swap agreement transactions | $ | 96,698 | Change in net unrealized appreciation (depreciation) on swap agreements | $ | 25,436 | ||
Foreign Currency Risk | Net realized gain (loss) on foreign currency transactions | 1,279,367 | Change in net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies | (2,046,909 | ) | |||
Interest Rate Risk | Net realized gain (loss) on futures contract transactions | 41,267 | Change in net unrealized appreciation (depreciation) on futures contracts | 23,207 | ||||
Interest Rate Risk | Net realized gain (loss) on swap agreement transactions | — | Change in net unrealized appreciation (depreciation) on swap agreements | (3,787 | ) | |||
$ | 1,417,332 | $ | (2,002,053 | ) |
8. Risk Factors
There are certain risks involved in investing in foreign securities. These risks include those resulting from future adverse political, social and economic developments, fluctuations in currency exchange rates, the possible imposition of exchange controls, and other foreign laws or restrictions. Investing in emerging markets may accentuate these risks.
9. Federal Tax Information
The book-basis character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. These differences reflect the differing character of certain income items and net realized gains and losses for financial statement and tax purposes, and may result in reclassification among certain capital accounts on the financial statements.
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As of period end, the components of investments for federal income tax purposes were as follows:
Federal tax cost of investments | $ | 817,192,561 | |
Gross tax appreciation of investments | $ | 173,319,843 | |
Gross tax depreciation of investments | (9,140,492 | ) | |
Net tax appreciation (depreciation) of investments | $ | 164,179,351 |
The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales.
10. Recently Issued Accounting Guidance and Standards
In October 2016, the Securities and Exchange Commission adopted new rules and forms as well as amendments to its rules and forms to modernize the reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, as well as other provisions. Compliance with the amendments is effective on August 1, 2017. Management is currently evaluating the impact that adopting the amendments will have on the financial statement disclosures.
In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update
No. 2017-08, “Receivables - Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities” (ASU 2017-08). ASU 2017-08 amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the impact that adopting ASU 2017-08 will have on the financial statements.
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Financial Highlights |
For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | |||||||||||||||||
Per-Share Data | Ratios and Supplemental Data | ||||||||||||||||
Income From Investment Operations: | Distributions From: | Ratio to Average Net Assets of: | |||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Period | Total Return(2) | Operating Expenses | Operating Expenses (before expense waiver) | Net Investment Income (Loss) | Net Investment Income (Loss) (before expense waiver) | Portfolio Turnover Rate | Net Assets, End of Period (in thousands) | |||
Investor Class | |||||||||||||||||
2017(3) | $7.80 | 0.05 | 0.72 | 0.77 | (0.11) | (0.12) | (0.23) | $8.34 | 10.06% | 1.11%(4) | 1.16%(4) | 1.24%(4) | 1.19%(4) | 40% | $458,971 | ||
2016 | $8.19 | 0.09 | 0.17 | 0.26 | (0.09) | (0.56) | (0.65) | $7.80 | 3.61% | 1.11% | 1.16% | 1.23% | 1.18% | 82% | $438,001 | ||
2015 | $9.19 | 0.08 | (0.14) | (0.06) | (0.03) | (0.91) | (0.94) | $8.19 | (0.27)% | 1.13% | 1.15% | 0.98% | 0.96% | 94% | $492,452 | ||
2014 | $9.46 | 0.07 | 0.71 | 0.78 | (0.12) | (0.93) | (1.05) | $9.19 | 9.47% | 1.17% | 1.17% | 0.76% | 0.76% | 77% | $527,740 | ||
2013 | $8.31 | 0.08 | 1.48 | 1.56 | (0.11) | (0.30) | (0.41) | $9.46 | 19.71% | 1.20% | 1.20% | 0.96% | 0.96% | 79% | $507,497 | ||
2012 | $7.46 | 0.10 | 0.85 | 0.95 | (0.10) | — | (0.10) | $8.31 | 12.92% | 1.20% | 1.20% | 1.30% | 1.30% | 80% | $442,983 | ||
I Class(5) | |||||||||||||||||
2017(3) | $7.76 | 0.06 | 0.72 | 0.78 | (0.12) | (0.12) | (0.24) | $8.30 | 10.34% | 0.91%(4) | 0.96%(4) | 1.44%(4) | 1.39%(4) | 40% | $126,790 | ||
2016 | $8.16 | 0.11 | 0.15 | 0.26 | (0.10) | (0.56) | (0.66) | $7.76 | 3.71% | 0.91% | 0.96% | 1.43% | 1.38% | 82% | $123,699 | ||
2015 | $9.16 | 0.10 | (0.14) | (0.04) | (0.05) | (0.91) | (0.96) | $8.16 | (0.06)% | 0.93% | 0.95% | 1.18% | 1.16% | 94% | $144,546 | ||
2014 | $9.44 | 0.08 | 0.71 | 0.79 | (0.14) | (0.93) | (1.07) | $9.16 | 9.62% | 0.97% | 0.97% | 0.96% | 0.96% | 77% | $134,763 | ||
2013 | $8.28 | 0.10 | 1.48 | 1.58 | (0.12) | (0.30) | (0.42) | $9.44 | 20.13% | 1.00% | 1.00% | 1.16% | 1.16% | 79% | $104,332 | ||
2012 | $7.44 | 0.12 | 0.85 | 0.97 | (0.13) | — | (0.13) | $8.28 | 13.13% | 1.00% | 1.00% | 1.50% | 1.50% | 80% | $163,871 |
For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | |||||||||||||||||
Per-Share Data | Ratios and Supplemental Data | ||||||||||||||||
Income From Investment Operations: | Distributions From: | Ratio to Average Net Assets of: | |||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Period | Total Return(2) | Operating Expenses | Operating Expenses (before expense waiver) | Net Investment Income (Loss) | Net Investment Income (Loss) (before expense waiver) | Portfolio Turnover Rate | Net Assets, End of Period (in thousands) | |||
A Class | |||||||||||||||||
2017(3) | $7.84 | 0.04 | 0.73 | 0.77 | (0.09) | (0.12) | (0.21) | $8.40 | 9.99% | 1.36%(4) | 1.41%(4) | 0.99%(4) | 0.94%(4) | 40% | $225,373 | ||
2016 | $8.22 | 0.07 | 0.18 | 0.25 | (0.07) | (0.56) | (0.63) | $7.84 | 3.44% | 1.36% | 1.41% | 0.98% | 0.93% | 82% | $245,955 | ||
2015 | $9.22 | 0.06 | (0.14) | (0.08) | (0.01) | (0.91) | (0.92) | $8.22 | (0.56)% | 1.38% | 1.40% | 0.73% | 0.71% | 94% | $298,762 | ||
2014 | $9.49 | 0.05 | 0.70 | 0.75 | (0.09) | (0.93) | (1.02) | $9.22 | 9.13% | 1.42% | 1.42% | 0.51% | 0.51% | 77% | $346,972 | ||
2013 | $8.34 | 0.06 | 1.50 | 1.56 | (0.11) | (0.30) | (0.41) | $9.49 | 19.54% | 1.45% | 1.45% | 0.71% | 0.71% | 79% | $391,638 | ||
2012 | $7.47 | 0.08 | 0.85 | 0.93 | (0.06) | — | (0.06) | $8.34 | 12.61% | 1.45% | 1.45% | 1.05% | 1.05% | 80% | $351,492 | ||
C Class | |||||||||||||||||
2017(3) | $7.64 | 0.01 | 0.71 | 0.72 | (0.03) | (0.12) | (0.15) | $8.21 | 9.53% | 2.11%(4) | 2.16%(4) | 0.24%(4) | 0.19%(4) | 40% | $67,423 | ||
2016 | $8.03 | 0.02 | 0.16 | 0.18 | (0.01) | (0.56) | (0.57) | $7.64 | 2.56% | 2.11% | 2.16% | 0.23% | 0.18% | 82% | $67,920 | ||
2015 | $9.08 | —(6) | (0.14) | (0.14) | — | (0.91) | (0.91) | $8.03 | (1.27)% | 2.13% | 2.15% | (0.02)% | (0.04)% | 94% | $75,881 | ||
2014 | $9.35 | (0.02) | 0.70 | 0.68 | (0.02) | (0.93) | (0.95) | $9.08 | 8.36% | 2.17% | 2.17% | (0.24)% | (0.24)% | 77% | $77,937 | ||
2013 | $8.27 | —(6) | 1.47 | 1.47 | (0.09) | (0.30) | (0.39) | $9.35 | 18.57% | 2.20% | 2.20% | (0.04)% | (0.04)% | 79% | $72,756 | ||
2012 | $7.39 | 0.02 | 0.86 | 0.88 | — | — | — | $8.27 | 11.91% | 2.20% | 2.20% | 0.30% | 0.30% | 80% | $57,519 |
For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | |||||||||||||||||
Per-Share Data | Ratios and Supplemental Data | ||||||||||||||||
Income From Investment Operations: | Distributions From: | Ratio to Average Net Assets of: | |||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Period | Total Return(2) | Operating Expenses | Operating Expenses (before expense waiver) | Net Investment Income (Loss) | Net Investment Income (Loss) (before expense waiver) | Portfolio Turnover Rate | Net Assets, End of Period (in thousands) | |||
R Class | |||||||||||||||||
2017(3) | $7.82 | 0.03 | 0.73 | 0.76 | (0.07) | (0.12) | (0.19) | $8.39 | 9.87% | 1.61%(4) | 1.66%(4) | 0.74%(4) | 0.69%(4) | 40% | $22,346 | ||
2016 | $8.20 | 0.06 | 0.17 | 0.23 | (0.05) | (0.56) | (0.61) | $7.82 | 3.18% | 1.61% | 1.66% | 0.73% | 0.68% | 82% | $24,678 | ||
2015 | $9.22 | 0.04 | (0.15) | (0.11) | — | (0.91) | (0.91) | $8.20 | (0.89)% | 1.63% | 1.65% | 0.48% | 0.46% | 94% | $24,106 | ||
2014 | $9.48 | 0.02 | 0.72 | 0.74 | (0.07) | (0.93) | (1.00) | $9.22 | 8.96% | 1.67% | 1.67% | 0.26% | 0.26% | 77% | $24,106 | ||
2013 | $8.35 | 0.04 | 1.49 | 1.53 | (0.10) | (0.30) | (0.40) | $9.48 | 19.18% | 1.70% | 1.70% | 0.46% | 0.46% | 79% | $22,513 | ||
2012 | $7.47 | 0.06 | 0.85 | 0.91 | (0.03) | — | (0.03) | $8.35 | 12.30% | 1.70% | 1.70% | 0.80% | 0.80% | 80% | $21,458 | ||
R5 Class | |||||||||||||||||
2017(9) | $8.05 | 0.02 | 0.23 | 0.25 | — | — | — | $8.30 | 3.11% | 0.91%(4) | 0.96%(4) | 1.97%(4) | 1.92%(4) | 40%(10) | $5 | ||
R6 Class | |||||||||||||||||
2017(3) | $7.76 | 0.06 | 0.73 | 0.79 | (0.14) | (0.12) | (0.26) | $8.29 | 10.38% | 0.76%(4) | 0.81%(4) | 1.59%(4) | 1.54%(4) | 40% | $69,654 | ||
2016 | $8.15 | 0.12 | 0.16 | 0.28 | (0.11) | (0.56) | (0.67) | $7.76 | 4.02% | 0.76% | 0.81% | 1.58% | 1.53% | 82% | $51,430 | ||
2015 | $9.16 | 0.11 | (0.15) | (0.04) | (0.06) | (0.91) | (0.97) | $8.15 | 0.00% | 0.78% | 0.80% | 1.33% | 1.31% | 94% | $18,544 | ||
2014 | $9.44 | 0.08 | 0.72 | 0.80 | (0.15) | (0.93) | (1.08) | $9.16 | 9.82% | 0.80% | 0.80% | 1.13% | 1.13% | 77% | $5,136 | ||
2013(7) | $8.88 | 0.03 | 0.53 | 0.56 | — | — | — | $9.44 | 6.31% | 0.85%(4) | 0.85%(4) | 1.12%(4) | 1.12%(4) | 79%(8) | $27 |
Notes to Financial Highlights |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Total returns are calculated based on the net asset value of the last business day and do not reflect applicable sales charges, if any. Total returns for periods less than one year are not annualized. |
(3) | Six months ended May 31, 2017 (unaudited). |
(4) | Annualized. |
(5) | Prior to April 10, 2017, the I Class was referred to as the Institutional Class. |
(6) | Per-share amount was less than $0.005. |
(7) | July 26, 2013 (commencement of sale) through November 30, 2013. |
(8) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the year ended November 30, 2013. |
(9) | April 10, 2017 (commencement of sale) through May 31, 2017 (unaudited). |
(10) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the six months ended May 31, 2017. |
See Notes to Financial Statements.
Additional Information |
Retirement Account Information
As required by law, distributions you receive from certain IRAs are subject to federal income tax withholding, unless you elect not to have withholding apply. Tax will be withheld on the total amount withdrawn even though you may be receiving amounts that are not subject to withholding, such as nondeductible contributions. In such case, excess amounts of withholding could occur. You may adjust your withholding election so that a greater or lesser amount will be withheld.
If you don’t want us to withhold on this amount, you must notify us to not withhold the federal income tax. You may notify us in writing or in certain situations by telephone or through other electronic means. For systematic withdrawals, your withholding election will remain in effect until revoked or changed by filing a new election. You have the right to revoke your election at any time.
Remember, even if you elect not to have income tax withheld, you are liable for paying income tax on the taxable portion of your withdrawal. If you elect not to have income tax withheld or you don’t have enough income tax withheld, you may be responsible for payment of estimated tax. You may incur penalties under the estimated tax rules if your withholding and estimated tax payments are not sufficient. You can reduce or defer the income tax on a distribution by directly or indirectly rolling such distribution over to another IRA or eligible plan. You should consult your tax advisor for additional information.
State tax will be withheld if, at the time of your distribution, your address is within one of the mandatory withholding states and you have federal income tax withheld (or as otherwise required by state law). State taxes will be withheld from your distribution in accordance with the respective state rules.
Distributions you receive from 403(b), 457 and qualified plans are subject to special tax and withholding rules. Your plan administrator or plan sponsor is required to provide you with a special tax notice explaining those rules at the time you request a distribution. If applicable, federal and/or state taxes may be withheld from your distribution amount.
Proxy Voting Policies
A description of the policies that the fund's investment advisor uses in exercising the voting rights associated with the securities purchased and/or held by the fund is available without charge, upon request, by calling 1-800-345-2021. It is also available on the "About Us" page of American Century Investments’ website at americancentury.com and on the Securities and Exchange Commission’s website at sec.gov. Information regarding how the investment advisor voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the "About Us" page at americancentury.com. It is also available at sec.gov.
Quarterly Portfolio Disclosure
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. The fund’s Forms N-Q are available on the SEC’s website at sec.gov, and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The fund also makes its complete schedule of portfolio holdings for the most recent quarter of its fiscal year available on its website at americancentury.com and, upon request, by calling 1-800-345-2021.
92
Contact Us | americancentury.com | |
Automated Information Line | 1-800-345-8765 | |
Investor Services Representative | 1-800-345-2021 or 816-531-5575 | |
Investors Using Advisors | 1-800-378-9878 | |
Business, Not-For-Profit, Employer-Sponsored Retirement Plans | 1-800-345-3533 | |
Banks and Trust Companies, Broker-Dealers, Financial Professionals, Insurance Companies | 1-800-345-6488 | |
Telecommunications Relay Service for the Deaf | 711 | |
American Century Strategic Asset Allocations, Inc. | ||
Investment Advisor: American Century Investment Management, Inc. Kansas City, Missouri | ||
This report and the statements it contains are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. | ||
©2017 American Century Proprietary Holdings, Inc. All rights reserved. CL-SAN-92640 1707 |
Semiannual Report | |
May 31, 2017 | |
Strategic Allocation: Conservative Fund |
Table of Contents |
Any opinions expressed in this report reflect those of the author as of the date of the report, and do not necessarily represent the opinions of American Century Investments® or any other person in the American Century Investments organization. Any such opinions are subject to change at any time based upon market or other conditions and American Century Investments disclaims any responsibility to update such opinions. These opinions may not be relied upon as investment advice and, because investment decisions made by American Century Investments funds are based on numerous factors, may not be relied upon as an indication of trading intent on behalf of any American Century Investments fund. Security examples are used for representational purposes only and are not intended as recommendations to purchase or sell securities. Performance information for comparative indices and securities is provided to American Century Investments by third party vendors. To the best of American Century Investments’ knowledge, such information is accurate at the time of printing.
President’s Letter |
Jonathan Thomas
Dear Investor:
Thank you for reviewing this semiannual report for the period ended May 31, 2017. It provides a market overview (below), followed by a schedule of fund investments and other financial information. For additional commentary and information on fund performance, plus other investment insights, we encourage you to visit our website, americancentury.com.
“Risk-On” Sentiment Generally Prevailed Among Investors
Optimism surrounding President Trump’s aggressive pro-growth agenda, along with improving global economic data, upbeat corporate earnings reports in the U.S. and Europe, and continued accommodative central bank policies, triggered rallies among higher-risk assets during the six-month period. In addition, moderate candidate Emmanuel Macron’s victory in France’s presidential election helped ease political uncertainty in Europe, which further aided financial market performance. Global equity markets soared, including the S&P 500 Index, the MSCI EAFE Index, and the MSCI Emerging Markets Index, which gained 10.81%, 17.91%, and 17.51%, respectively. Within these indices, growth stocks significantly outperformed their value counterparts, as investors generally favored companies expected to perform well as economic fundamentals improve.
A similar pattern prevailed within the global fixed-income markets, where higher-risk and higher-yielding sectors were top performers. Meanwhile, yields on short-maturity U.S. Treasuries increased as the Federal Reserve (the Fed) raised its interest rate target twice during the reporting period. However, yields on longer-maturity U.S. Treasuries declined, largely due to waning U.S. economic growth and inflation expectations as the reporting period unfolded. Outside the U.S., ongoing central bank stimulus programs helped keep government bond yields low. Overall, returns among broad U.S. and global fixed-income indices were positive.
Late in the reporting period, investor optimism toward President Trump’s policy agenda faded as health care and tax reform remained stalled. Further delays to these and other pro-growth proposals, combined with the Fed’s efforts to normalize U.S. monetary policy, may impede future risk-on sentiment. Meanwhile, as the Fed continues to tighten, central banks in Europe, the U.K., and Japan remain extremely accommodative. In this environment, we continue to believe in a disciplined, diversified, and risk-aware approach, using professionally managed portfolios in pursuit of investment goals. We appreciate your continued trust in us.
Sincerely,
Jonathan Thomas
President and Chief Executive Officer
American Century Investments
2
Fund Characteristics |
MAY 31, 2017 | |
Top Ten Common Stocks | % of net assets |
Alphabet, Inc., Class A | 0.8% |
Apple, Inc. | 0.6% |
Amazon.com, Inc. | 0.5% |
Microsoft Corp. | 0.5% |
Johnson Controls International plc | 0.4% |
Wal-Mart Stores, Inc. | 0.4% |
Applied Materials, Inc. | 0.4% |
Facebook, Inc., Class A | 0.4% |
Johnson & Johnson | 0.4% |
Oracle Corp.(1) | 0.3% |
(1) Includes shares traded on all exchanges. | |
Geographic Composition of Common Stocks | % of net assets |
United States | 33.0% |
United Kingdom | 2.2% |
Japan | 2.0% |
France | 1.6% |
Other Countries | 5.2% |
Key Fixed-Income Portfolio Statistics | |
Weighted Average Life | 6.6 years |
Average Duration (effective) | 5.2 years |
Types of Investments in Portfolio | % of net assets |
Domestic Common Stocks | 33.0% |
Foreign Common Stocks(2) | 11.0% |
U.S. Treasury Securities | 19.2% |
Corporate Bonds | 12.3% |
Sovereign Governments and Agencies | 8.3% |
U.S. Government Agency Mortgage-Backed Securities | 6.3% |
Municipal Securities | 3.1% |
Collateralized Mortgage Obligations | 1.7% |
Commercial Mortgage-Backed Securities | 1.4% |
Commercial Paper | 1.4% |
Asset-Backed Securities | 1.3% |
U.S. Government Agency Securities | 0.6% |
Exchange-Traded Funds | 0.3% |
Convertible Preferred Stocks | —(3) |
Temporary Cash Investments | 2.0% |
Other Assets and Liabilities | (1.9)% |
(2) Includes depositary shares, dual listed securities and foreign ordinary shares. | |
(3) Category is less than 0.05% of total net assets. |
3
Shareholder Fee Example |
Fund shareholders may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption/exchange fees; and (2) ongoing costs, including management fees; distribution and service (12b-1) fees; and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in your fund and to compare these costs with the ongoing cost of investing in other mutual funds.
The example is based on an investment of $1,000 made at the beginning of the period and held for the entire period from December 1, 2016 to May 31, 2017 (except as noted).
Actual Expenses
The table provides information about actual account values and actual expenses for each class. You may use the information, together with the amount you invested, to estimate the expenses that you paid over the period. First, identify the share class you own. Then simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
If you hold Investor Class shares of any American Century Investments fund, or I Class shares of the American Century Diversified Bond Fund, in an American Century Investments account (i.e., not a financial intermediary or retirement plan account), American Century Investments may charge you a $12.50 semiannual account maintenance fee if the value of those shares is less than $10,000. We will redeem shares automatically in one of your accounts to pay the $12.50 fee. In determining your total eligible investment amount, we will include your investments in all personal accounts (including American Century Investments Brokerage accounts) registered under your Social Security number. Personal accounts include individual accounts, joint accounts, UGMA/UTMA accounts, personal trusts, Coverdell Education Savings Accounts and IRAs (including traditional, Roth, Rollover, SEP-, SARSEP- and SIMPLE-IRAs), and certain other retirement accounts. If you have only business, business retirement, employer-sponsored or American Century Investments Brokerage accounts, you are currently not subject to this fee. If you are subject to the Account Maintenance Fee, your account value could be reduced by the fee amount.
Hypothetical Example for Comparison Purposes
The table also provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio of each class of your fund and an assumed rate of return of 5% per year before expenses, which is not the actual return of a fund’s share class. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption/exchange fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
4
Beginning Account Value 12/1/16 | Ending Account Value 5/31/17 | Expenses Paid During Period(1) 12/1/16 - 5/31/17 | Annualized Expense Ratio(1) | |
Actual | ||||
Investor Class | $1,000 | $1,062.10 | $5.14 | 1.00% |
I Class | $1,000 | $1,060.80 | $4.11 | 0.80% |
A Class | $1,000 | $1,059.60 | $6.42 | 1.25% |
C Class | $1,000 | $1,056.30 | $10.25 | 2.00% |
R Class | $1,000 | $1,057.10 | $7.69 | 1.50% |
R5 Class | $1,000 | $1,019.20(2) | $1.15(3) | 0.80% |
R6 Class | $1,000 | $1,063.10 | $3.34 | 0.65% |
Hypothetical | ||||
Investor Class | $1,000 | $1,019.95 | $5.04 | 1.00% |
I Class | $1,000 | $1,020.94 | $4.03 | 0.80% |
A Class | $1,000 | $1,018.70 | $6.29 | 1.25% |
C Class | $1,000 | $1,014.96 | $10.05 | 2.00% |
R Class | $1,000 | $1,017.45 | $7.54 | 1.50% |
R5 Class | $1,000 | $1,020.94(4) | $4.03(4) | 0.80% |
R6 Class | $1,000 | $1,021.69 | $3.28 | 0.65% |
(1) | Expenses are equal to the class's annualized expense ratio listed in the table above, multiplied by the average account value over the period, multiplied by 182, the number of days in the most recent fiscal half-year, divided by 365, to reflect the one-half year period. |
(2) | Ending account value based on actual return from April 10, 2017 (commencement of sale) through May 31, 2017. |
(3) | Expenses are equal to the class's annualized expense ratio listed in the table above, multiplied by the average account value over the period, multiplied by 52, the number of days in the period from April 10, 2017 (commencement of sale) through May 31, 2017, divided by 365, to reflect the period. Had the class been available for the full period, the expenses paid during the period would have been higher. |
(4) | Ending account value and expenses paid during the period assumes the class had been available throughout the entire period and are calculated using the class’s annualized expense ratio listed in the table above. |
5
Schedule of Investments |
MAY 31, 2017 (UNAUDITED)
Shares/ Principal Amount | Value | ||||||
COMMON STOCKS — 44.0% | |||||||
Aerospace and Defense — 0.8% | |||||||
AAR Corp. | 471 | $ | 16,457 | ||||
Astronics Corp.(1) | 109 | 3,335 | |||||
Boeing Co. (The) | 5,935 | 1,113,584 | |||||
Cubic Corp. | 339 | 15,713 | |||||
Curtiss-Wright Corp. | 198 | 17,826 | |||||
Hexcel Corp. | 738 | 37,955 | |||||
KLX, Inc.(1) | 535 | 25,889 | |||||
L3 Technologies, Inc. | 807 | 136,052 | |||||
Lockheed Martin Corp. | 2,004 | 563,385 | |||||
Mercury Systems, Inc.(1) | 599 | 23,822 | |||||
Textron, Inc. | 17,028 | 813,938 | |||||
United Technologies Corp. | 11,533 | 1,398,722 | |||||
4,166,678 | |||||||
Air Freight and Logistics† | |||||||
Royal Mail plc | 15,988 | 90,927 | |||||
XPO Logistics, Inc.(1) | 554 | 29,141 | |||||
120,068 | |||||||
Airlines — 0.3% | |||||||
American Airlines Group, Inc. | 873 | 42,262 | |||||
Delta Air Lines, Inc. | 8,174 | 401,589 | |||||
Deutsche Lufthansa AG | 9,954 | 193,390 | |||||
easyJet plc | 2,930 | 53,381 | |||||
Japan Airlines Co. Ltd. | 2,100 | 61,530 | |||||
JetBlue Airways Corp.(1) | 3,165 | 70,959 | |||||
Qantas Airways Ltd. | 42,518 | 158,281 | |||||
Ryanair Holdings plc ADR(1) | 3,524 | 376,152 | |||||
Spirit Airlines, Inc.(1) | 1,713 | 90,960 | |||||
1,448,504 | |||||||
Auto Components — 0.4% | |||||||
Bridgestone Corp. | 4,900 | 205,822 | |||||
Cie Generale des Etablissements Michelin, Class B | 170 | 21,389 | |||||
Delphi Automotive plc | 10,027 | 882,075 | |||||
Faurecia | 2,452 | 128,716 | |||||
LCI Industries | 674 | 59,986 | |||||
NGK Spark Plug Co. Ltd. | 2,600 | 52,845 | |||||
Nokian Renkaat Oyj | 2,293 | 93,709 | |||||
Schaeffler AG Preference Shares | 4,330 | 71,527 | |||||
Stoneridge, Inc.(1) | 555 | 8,580 | |||||
Tenneco, Inc. | 338 | 19,215 | |||||
Toyota Boshoku Corp. | 4,000 | 77,183 | |||||
TS Tech Co. Ltd. | 2,400 | 67,503 |
6
Shares/ Principal Amount | Value | ||||||
Valeo SA | 4,455 | $ | 310,130 | ||||
1,998,680 | |||||||
Automobiles — 0.4% | |||||||
Brilliance China Automotive Holdings Ltd. | 40,000 | 74,635 | |||||
Daimler AG | 73 | 5,298 | |||||
Ferrari NV | 780 | 67,468 | |||||
Fiat Chrysler Automobiles NV(1) | 5,168 | 54,252 | |||||
Ford Motor Co. | 39,423 | 438,384 | |||||
Harley-Davidson, Inc. | 670 | 35,517 | |||||
Honda Motor Co. Ltd. | 2,500 | 70,361 | |||||
Honda Motor Co. Ltd. ADR | 17,245 | 481,653 | |||||
Peugeot SA | 8,769 | 172,879 | |||||
Subaru Corp. | 5,700 | 192,745 | |||||
Suzuki Motor Corp. | 2,700 | 127,138 | |||||
Toyota Motor Corp. | 5,800 | 310,660 | |||||
2,030,990 | |||||||
Banks — 3.2% | |||||||
Ameris Bancorp | 352 | 15,259 | |||||
Australia & New Zealand Banking Group Ltd. | 15,099 | 314,253 | |||||
Banco Santander SA | 44,262 | 287,441 | |||||
Bank of America Corp. | 51,864 | 1,162,272 | |||||
Bank of Hawaii Corp. | 1,781 | 138,437 | |||||
Bank of the Ozarks, Inc. | 1,204 | 53,217 | |||||
Bankia SA | 26,290 | 30,242 | |||||
BankUnited, Inc. | 4,303 | 142,688 | |||||
Barclays plc | 27,800 | 75,220 | |||||
BB&T Corp. | 26,899 | 1,120,343 | |||||
BNP Paribas SA | 12,366 | 872,654 | |||||
BOC Hong Kong Holdings Ltd. | 38,000 | 171,407 | |||||
Boston Private Financial Holdings, Inc. | 1,509 | 21,881 | |||||
CaixaBank SA | 30,360 | 143,377 | |||||
Capital Bank Financial Corp., Class A | 873 | 32,388 | |||||
Cathay General Bancorp | 808 | 28,684 | |||||
China CITIC Bank Corp. Ltd., H Shares | 60,000 | 37,035 | |||||
China Construction Bank Corp., H Shares | 104,000 | 85,949 | |||||
Citigroup, Inc. | 3,193 | 193,304 | |||||
Citizens Financial Group, Inc. | 3,219 | 109,768 | |||||
Comerica, Inc. | 1,663 | 114,015 | |||||
Commerce Bancshares, Inc. | 5,374 | 287,670 | |||||
Commonwealth Bank of Australia | 2,108 | 124,760 | |||||
DNB ASA | 14,690 | 248,795 | |||||
East West Bancorp, Inc. | 4,896 | 267,958 | |||||
Erste Group Bank AG | 10,413 | 377,827 | |||||
FCB Financial Holdings, Inc., Class A(1) | 1,557 | 71,311 | |||||
FinecoBank Banca Fineco SpA | 5,660 | 42,536 | |||||
First Financial Bankshares, Inc. | 417 | 15,950 | |||||
First Hawaiian, Inc. | 1,081 | 29,792 |
7
Shares/ Principal Amount | Value | ||||||
FNB Corp. | 2,786 | $ | 36,775 | ||||
HSBC Holdings plc (Hong Kong) | 41,600 | 361,412 | |||||
HSBC Holdings plc (London) | 72,378 | 630,034 | |||||
Industrial & Commercial Bank of China Ltd., H Shares | 62,000 | 41,452 | |||||
ING Groep NV | 21,975 | 367,569 | |||||
JPMorgan Chase & Co. | 10,692 | 878,348 | |||||
KBC Group NV | 9,237 | 695,010 | |||||
LegacyTexas Financial Group, Inc. | 1,052 | 37,051 | |||||
Lloyds Banking Group plc | 54,164 | 49,263 | |||||
M&T Bank Corp. | 5,372 | 840,557 | |||||
Mitsubishi UFJ Financial Group, Inc. | 37,400 | 233,315 | |||||
Mizuho Financial Group, Inc. | 95,900 | 166,948 | |||||
National Australia Bank Ltd. | 4,539 | 101,586 | |||||
Oversea-Chinese Banking Corp. Ltd. | 1,300 | 9,856 | |||||
PNC Financial Services Group, Inc. (The) | 8,958 | 1,063,315 | |||||
Regions Financial Corp. | 6,792 | 94,001 | |||||
Societe Generale SA | 5,254 | 275,450 | |||||
Southside Bancshares, Inc. | 604 | 19,657 | |||||
Sumitomo Mitsui Financial Group, Inc. | 3,500 | 125,589 | |||||
SunTrust Banks, Inc. | 1,925 | 102,737 | |||||
SVB Financial Group(1) | 694 | 118,327 | |||||
Texas Capital Bancshares, Inc.(1) | 461 | 33,837 | |||||
U.S. Bancorp | 29,777 | 1,515,352 | |||||
UMB Financial Corp. | 2,030 | 142,161 | |||||
UniCredit SpA(1) | 9,390 | 164,236 | |||||
Unione di Banche Italiane SpA | 5,470 | 20,659 | |||||
United Overseas Bank Ltd. | 3,200 | 53,146 | |||||
Valley National Bancorp | 12,982 | 146,437 | |||||
Wells Fargo & Co. | 24,104 | 1,232,679 | |||||
Westamerica Bancorporation | 4,460 | 228,843 | |||||
Western Alliance Bancorp(1) | 527 | 24,094 | |||||
Westpac Banking Corp. | 8,066 | 182,800 | |||||
Yes Bank Ltd. | 791 | 17,548 | |||||
Zions Bancorporation | 3,641 | 145,895 | |||||
16,772,372 | |||||||
Beverages — 0.5% | |||||||
Boston Beer Co., Inc. (The), Class A(1) | 721 | 102,923 | |||||
Coca-Cola Bottling Co. Consolidated | 118 | 26,873 | |||||
Coca-Cola Co. (The) | 620 | 28,191 | |||||
Constellation Brands, Inc., Class A | 969 | 177,085 | |||||
Davide Campari-Milano SpA | 1,570 | 10,979 | |||||
Dr Pepper Snapple Group, Inc. | 568 | 52,716 | |||||
Heineken NV | 2,490 | 245,225 | |||||
MGP Ingredients, Inc. | 309 | 15,824 | |||||
Molson Coors Brewing Co., Class B | 1,594 | 151,095 | |||||
Monster Beverage Corp.(1) | 4,012 | 202,847 | |||||
PepsiCo, Inc. | 5,582 | 652,368 |
8
Shares/ Principal Amount | Value | ||||||
Remy Cointreau SA | 1,970 | $ | 215,723 | ||||
Treasury Wine Estates Ltd. | 54,913 | 531,257 | |||||
2,413,106 | |||||||
Biotechnology — 1.1% | |||||||
AbbVie, Inc. | 13,447 | 887,771 | |||||
Aimmune Therapeutics, Inc.(1) | 383 | 6,358 | |||||
Alder Biopharmaceuticals, Inc.(1) | 306 | 4,712 | |||||
Alexion Pharmaceuticals, Inc.(1) | 1,146 | 112,342 | |||||
Alkermes plc(1) | 746 | 43,089 | |||||
Amgen, Inc. | 8,234 | 1,278,246 | |||||
Biogen, Inc.(1) | 2,944 | 729,435 | |||||
Biohaven Pharmaceutical Holding Co. Ltd.(1) | 222 | 5,597 | |||||
BioMarin Pharmaceutical, Inc.(1) | 951 | 83,346 | |||||
Celgene Corp.(1) | 5,835 | 667,582 | |||||
Clovis Oncology, Inc.(1) | 150 | 7,749 | |||||
CSL Ltd. | 3,130 | 300,696 | |||||
Exact Sciences Corp.(1) | 345 | 12,582 | |||||
Exelixis, Inc.(1) | 648 | 12,124 | |||||
FibroGen, Inc.(1) | 335 | 8,811 | |||||
Flexion Therapeutics, Inc.(1) | 366 | 6,255 | |||||
Galapagos NV(1) | 533 | 44,355 | |||||
Genmab A/S(1) | 257 | 54,843 | |||||
Gilead Sciences, Inc. | 7,402 | 480,316 | |||||
Halozyme Therapeutics, Inc.(1) | 553 | 6,525 | |||||
Incyte Corp.(1) | 2,276 | 294,355 | |||||
Ironwood Pharmaceuticals, Inc.(1) | 418 | 7,403 | |||||
Jounce Therapeutics, Inc.(1) | 107 | 2,167 | |||||
Kite Pharma, Inc.(1) | 184 | 13,307 | |||||
Ligand Pharmaceuticals, Inc., Class B(1) | 75 | 8,121 | |||||
Neurocrine Biosciences, Inc.(1) | 87 | 3,782 | |||||
Portola Pharmaceuticals, Inc.(1) | 228 | 8,402 | |||||
Prothena Corp. plc(1) | 98 | 4,999 | |||||
Puma Biotechnology, Inc.(1) | 66 | 5,049 | |||||
Radius Health, Inc.(1) | 173 | 5,989 | |||||
Regeneron Pharmaceuticals, Inc.(1) | 600 | 275,436 | |||||
Sage Therapeutics, Inc.(1) | 117 | 7,735 | |||||
Sarepta Therapeutics, Inc.(1) | 141 | 4,207 | |||||
Shire plc | 6,150 | 354,320 | |||||
Spark Therapeutics, Inc.(1) | 140 | 7,130 | |||||
TESARO, Inc.(1) | 96 | 14,334 | |||||
Ultragenyx Pharmaceutical, Inc.(1) | 131 | 7,054 | |||||
5,776,524 | |||||||
Building Products — 0.6% | |||||||
Apogee Enterprises, Inc. | 307 | 16,357 | |||||
Continental Building Products, Inc.(1) | 353 | 8,613 | |||||
CSW Industrials, Inc.(1) | 1,309 | 46,208 | |||||
Daikin Industries Ltd. | 3,000 | 294,041 |
9
Shares/ Principal Amount | Value | ||||||
dormakaba Holding AG | 23 | $ | 20,767 | ||||
Fortune Brands Home & Security, Inc. | 2,307 | 145,572 | |||||
Johnson Controls International plc | 48,615 | 2,030,162 | |||||
Lennox International, Inc. | 645 | 114,229 | |||||
LIXIL Group Corp. | 1,800 | 43,769 | |||||
Masonite International Corp.(1) | 297 | 21,874 | |||||
NCI Building Systems, Inc.(1) | 1,243 | 20,696 | |||||
Nichias Corp. | 2,000 | 23,765 | |||||
Owens Corning | 6,041 | 376,958 | |||||
PGT Innovations, Inc.(1) | 1,698 | 19,442 | |||||
USG Corp.(1) | 2,016 | 57,335 | |||||
3,239,788 | |||||||
Capital Markets — 1.6% | |||||||
3i Group plc | 16,931 | 195,242 | |||||
Affiliated Managers Group, Inc. | 2,134 | 328,316 | |||||
Ameriprise Financial, Inc. | 5,937 | 717,130 | |||||
Ares Management LP | 1,554 | 28,050 | |||||
AURELIUS Equity Opportunities SE & Co. KGaA | 980 | 57,092 | |||||
Bank of New York Mellon Corp. (The) | 17,240 | 812,349 | |||||
BlackRock, Inc. | 460 | 188,250 | |||||
Brookfield Asset Management, Inc., Class A | 2,281 | 86,353 | |||||
CBOE Holdings, Inc. | 1,284 | 110,899 | |||||
Charles Schwab Corp. (The) | 7,051 | 273,226 | |||||
Daiwa Securities Group, Inc. | 14,000 | 85,138 | |||||
Deutsche Boerse AG | 2,730 | 283,613 | |||||
Evercore Partners, Inc., Class A | 5,828 | 395,138 | |||||
Franklin Resources, Inc. | 5,571 | 232,812 | |||||
Goldman Sachs Group, Inc. (The) | 2,555 | 539,769 | |||||
Invesco Ltd. | 33,496 | 1,061,823 | |||||
Investec plc | 7,079 | 55,455 | |||||
Janus Henderson Group plc(1) | 1,219 | 38,143 | |||||
Julius Baer Group Ltd. | 9,227 | 477,760 | |||||
London Stock Exchange Group plc | 9,620 | 424,525 | |||||
NEX Group plc | 4,840 | 40,192 | |||||
Northern Trust Corp. | 10,131 | 885,855 | |||||
Partners Group Holding AG | 100 | 61,277 | |||||
S&P Global, Inc. | 1,073 | 153,235 | |||||
SBI Holdings, Inc. | 5,600 | 72,509 | |||||
SEI Investments Co. | 3,723 | 186,485 | |||||
State Street Corp. | 2,544 | 207,234 | |||||
T. Rowe Price Group, Inc. | 3,736 | 263,164 | |||||
UBS Group AG | 7,265 | 115,514 | |||||
8,376,548 | |||||||
Chemicals — 0.9% | |||||||
Air Products & Chemicals, Inc. | 3,840 | 553,190 | |||||
Arkema SA | 3,530 | 368,864 | |||||
Axalta Coating Systems Ltd.(1) | 2,641 | 82,663 |
10
Shares/ Principal Amount | Value | ||||||
BASF SE | 851 | $ | 80,149 | ||||
Cabot Corp. | 7,009 | 366,080 | |||||
Chase Corp. | 52 | 5,486 | |||||
Chr Hansen Holding A/S | 3,510 | 245,805 | |||||
Covestro AG | 558 | 41,734 | |||||
Dow Chemical Co. (The) | 13,583 | 841,603 | |||||
E.I. du Pont de Nemours & Co. | 2,303 | 181,753 | |||||
FMC Corp. | 5,333 | 401,948 | |||||
Hitachi Chemical Co. Ltd. | 3,100 | 85,512 | |||||
Ingevity Corp.(1) | 2,164 | 127,828 | |||||
Innophos Holdings, Inc. | 788 | 33,325 | |||||
Innospec, Inc. | 483 | 30,912 | |||||
Kanto Denka Kogyo Co. Ltd. | 2,300 | 18,774 | |||||
Koppers Holdings, Inc.(1) | 270 | 9,734 | |||||
Lenzing AG | 210 | 37,615 | |||||
Lotte Chemical Corp. | 78 | 25,115 | |||||
LyondellBasell Industries NV, Class A | 2,739 | 220,544 | |||||
Minerals Technologies, Inc. | 474 | 34,104 | |||||
Mitsubishi Chemical Holdings Corp. | 17,300 | 130,980 | |||||
Mitsui Chemicals, Inc. | 9,000 | 44,695 | |||||
Monsanto Co. | 1,396 | 163,918 | |||||
PolyOne Corp. | 809 | 30,208 | |||||
Scotts Miracle-Gro Co. (The), Class A | 979 | 84,791 | |||||
Sensient Technologies Corp. | 448 | 35,970 | |||||
Shin-Etsu Chemical Co. Ltd. | 2,800 | 251,103 | |||||
Taiyo Nippon Sanso Corp. | 4,100 | 41,611 | |||||
Tosoh Corp. | 16,000 | 135,946 | |||||
Valvoline, Inc. | 533 | 11,923 | |||||
WR Grace & Co. | 412 | 29,536 | |||||
4,753,419 | |||||||
Commercial Services and Supplies — 0.2% | |||||||
ABM Industries, Inc. | 388 | 16,700 | |||||
Advanced Disposal Services, Inc.(1) | 1,257 | 29,313 | |||||
Brink's Co. (The) | 1,521 | 95,975 | |||||
Deluxe Corp. | 284 | 19,357 | |||||
Downer EDI Ltd. | 20,983 | 99,785 | |||||
G4S plc | 24,722 | 103,522 | |||||
InnerWorkings, Inc.(1) | 1,537 | 16,661 | |||||
Interface, Inc. | 666 | 13,686 | |||||
Intrum Justitia AB | 1,629 | 55,141 | |||||
Knoll, Inc. | 459 | 9,869 | |||||
Loomis AB, B Shares | 868 | 32,707 | |||||
Multi-Color Corp. | 507 | 43,551 | |||||
Rentokil Initial plc | 16,390 | 56,089 | |||||
Republic Services, Inc. | 4,053 | 257,811 | |||||
SP Plus Corp.(1) | 111 | 3,275 | |||||
Waste Management, Inc. | 3,314 | 241,624 | |||||
1,095,066 |
11
Shares/ Principal Amount | Value | ||||||
Communications Equipment — 0.4% | |||||||
ARRIS International plc(1) | 121 | $ | 3,393 | ||||
Ciena Corp.(1) | 723 | 16,976 | |||||
Cisco Systems, Inc. | 50,949 | 1,606,422 | |||||
F5 Networks, Inc.(1) | 136 | 17,425 | |||||
Lumentum Holdings, Inc.(1) | 165 | 9,413 | |||||
Palo Alto Networks, Inc.(1) | 3,569 | 423,248 | |||||
2,076,877 | |||||||
Construction and Engineering — 0.1% | |||||||
CIMIC Group Ltd. | 695 | 20,915 | |||||
Dycom Industries, Inc.(1) | 151 | 12,713 | |||||
Granite Construction, Inc. | 596 | 27,929 | |||||
Hyundai Development Co-Engineering & Construction | 1,396 | 64,089 | |||||
Jacobs Engineering Group, Inc. | 1,694 | 88,800 | |||||
Kier Group plc | 550 | 8,901 | |||||
Maeda Corp. | 2,000 | 21,616 | |||||
NCC AB, B Shares | 1,928 | 53,904 | |||||
Peab AB | 4,720 | 55,990 | |||||
Toshiba Plant Systems & Services Corp. | 2,300 | 34,225 | |||||
Valmont Industries, Inc. | 181 | 26,498 | |||||
415,580 | |||||||
Construction Materials — 0.3% | |||||||
Buzzi Unicem SpA | 1,620 | 42,056 | |||||
CRH plc | 14,467 | 520,942 | |||||
Eagle Materials, Inc. | 617 | 58,183 | |||||
HeidelbergCement AG | 4,160 | 387,309 | |||||
Summit Materials, Inc., Class A(1) | 1,209 | 32,474 | |||||
Vulcan Materials Co. | 1,897 | 236,461 | |||||
Wienerberger AG | 2,920 | 68,835 | |||||
1,346,260 | |||||||
Consumer Finance — 0.1% | |||||||
Ally Financial, Inc. | 1,262 | 23,398 | |||||
American Express Co. | 3,035 | 233,513 | |||||
Credit Acceptance Corp.(1) | 463 | 99,554 | |||||
Discover Financial Services | 2,142 | 125,735 | |||||
Enova International, Inc.(1) | 1,087 | 14,457 | |||||
Green Dot Corp., Class A(1) | 465 | 17,084 | |||||
OneMain Holdings, Inc.(1) | 1,307 | 29,486 | |||||
543,227 | |||||||
Containers and Packaging — 0.4% | |||||||
Amcor Ltd. | 22,990 | 262,049 | |||||
AptarGroup, Inc. | 139 | 11,816 | |||||
Ball Corp. | 7,650 | 312,885 | |||||
Bemis Co., Inc. | 6,998 | 312,391 | |||||
CCL Industries, Inc., Class B | 250 | 59,070 | |||||
Graphic Packaging Holding Co. | 4,811 | 64,997 | |||||
Myers Industries, Inc. | 366 | 6,185 |
12
Shares/ Principal Amount | Value | ||||||
RPC Group plc | 8,003 | $ | 88,473 | ||||
Silgan Holdings, Inc. | 1,583 | 50,355 | |||||
Smurfit Kappa Group plc | 2,696 | 75,880 | |||||
Sonoco Products Co. | 4,754 | 241,075 | |||||
WestRock Co. | 9,670 | 526,242 | |||||
2,011,418 | |||||||
Distributors† | |||||||
LKQ Corp.(1) | 4,992 | 157,198 | |||||
Diversified Consumer Services† | |||||||
AA plc | 6,259 | 18,830 | |||||
Bright Horizons Family Solutions, Inc.(1) | 554 | 42,503 | |||||
Capella Education Co. | 94 | 8,136 | |||||
Chegg, Inc.(1) | 2,215 | 26,580 | |||||
96,049 | |||||||
Diversified Financial Services — 0.2% | |||||||
Berkshire Hathaway, Inc., Class B(1) | 1,976 | 326,593 | |||||
Challenger Ltd. | 10,490 | 99,693 | |||||
Compass Diversified Holdings | 2,764 | 44,639 | |||||
Industrivarden AB, C Shares | 2,179 | 51,495 | |||||
Investor AB, B Shares | 293 | 13,545 | |||||
Kinnevik AB, B Shares | 2,031 | 58,327 | |||||
L E Lundbergforetagen AB, B Shares | 138 | 10,837 | |||||
Leucadia National Corp. | 4,944 | 120,584 | |||||
ORIX Corp. | 27,700 | 437,197 | |||||
1,162,910 | |||||||
Diversified Telecommunication Services — 0.5% | |||||||
AT&T, Inc. | 8,128 | 313,172 | |||||
Deutsche Telekom AG | 2,952 | 58,778 | |||||
Level 3 Communications, Inc.(1) | 5,898 | 351,049 | |||||
LG Uplus Corp. | 3,954 | 57,212 | |||||
Nippon Telegraph & Telephone Corp. | 3,700 | 177,333 | |||||
Orange SA | 6,221 | 109,298 | |||||
PCCW Ltd. | 120,000 | 69,913 | |||||
Swisscom AG | 214 | 102,609 | |||||
TDC A/S | 11,054 | 65,992 | |||||
Telefonica SA | 17,510 | 195,007 | |||||
Telstra Corp. Ltd. | 18,885 | 61,743 | |||||
Verizon Communications, Inc. | 20,343 | 948,797 | |||||
2,510,903 | |||||||
Electric Utilities — 0.8% | |||||||
ALLETE, Inc. | 370 | 27,154 | |||||
Edison International | 10,396 | 848,002 | |||||
EDP - Energias de Portugal SA | 39,746 | 146,180 | |||||
Endesa SA | 7,400 | 184,668 | |||||
Enel SpA | 13,847 | 74,011 | |||||
Eversource Energy | 2,237 | 138,851 | |||||
FirstEnergy Corp. | 11,692 | 341,874 |
13
Shares/ Principal Amount | Value | ||||||
PG&E Corp. | 10,805 | $ | 738,846 | ||||
Pinnacle West Capital Corp. | 2,584 | 228,296 | |||||
PPL Corp. | 12,089 | 482,472 | |||||
Spark Energy, Inc., Class A | 78 | 3,420 | |||||
Tata Power Co. Ltd. (The) | 27,455 | 34,468 | |||||
Westar Energy, Inc. | 2,483 | 131,475 | |||||
Xcel Energy, Inc. | 16,402 | 785,820 | |||||
4,165,537 | |||||||
Electrical Equipment — 0.4% | |||||||
ABB Ltd. | 2,711 | 68,101 | |||||
AMETEK, Inc. | 1,963 | 119,782 | |||||
Eaton Corp. plc | 5,547 | 429,227 | |||||
Emerson Electric Co. | 5,159 | 305,000 | |||||
Furukawa Electric Co. Ltd. | 800 | 35,792 | |||||
Generac Holdings, Inc.(1) | 449 | 15,558 | |||||
Hubbell, Inc. | 3,363 | 389,805 | |||||
Mabuchi Motor Co. Ltd. | 900 | 50,709 | |||||
Melrose Industries plc | 34,706 | 106,985 | |||||
Nexans SA | 1,039 | 56,823 | |||||
Rockwell Automation, Inc. | 1,302 | 206,654 | |||||
Schneider Electric SE | 373 | 28,727 | |||||
Thermon Group Holdings, Inc.(1) | 368 | 6,816 | |||||
Vestas Wind Systems A/S | 2,158 | 191,798 | |||||
2,011,777 | |||||||
Electronic Equipment, Instruments and Components — 0.5% | |||||||
Alps Electric Co. Ltd. | 1,400 | 39,314 | |||||
Anritsu Corp. | 3,000 | 25,950 | |||||
AVX Corp. | 539 | 8,824 | |||||
Belden, Inc. | 115 | 8,165 | |||||
CDW Corp. | 2,663 | 160,259 | |||||
Coherent, Inc.(1) | 102 | 25,311 | |||||
Dolby Laboratories, Inc., Class A | 3,541 | 178,431 | |||||
Fabrinet(1) | 226 | 7,962 | |||||
Hexagon AB, B Shares | 8,100 | 354,796 | |||||
IPG Photonics Corp.(1) | 51 | 7,091 | |||||
Keyence Corp. | 800 | 363,413 | |||||
Keysight Technologies, Inc.(1) | 9,735 | 376,160 | |||||
National Instruments Corp. | 847 | 32,313 | |||||
Omron Corp. | 3,084 | 128,929 | |||||
Orbotech Ltd.(1) | 457 | 16,306 | |||||
OSI Systems, Inc.(1) | 398 | 31,518 | |||||
TE Connectivity Ltd. | 9,984 | 787,238 | |||||
Tongda Group Holdings Ltd. | 170,000 | 48,431 | |||||
Topcon Corp. | 1,800 | 32,880 | |||||
Trimble, Inc.(1) | 4,239 | 152,774 | |||||
TTM Technologies, Inc.(1) | 1,089 | 17,685 | |||||
VeriFone Systems, Inc.(1) | 1,656 | 30,288 | |||||
2,834,038 |
14
Shares/ Principal Amount | Value | ||||||
Energy Equipment and Services — 0.8% | |||||||
Baker Hughes, Inc. | 20,944 | $ | 1,155,062 | ||||
Dril-Quip, Inc.(1) | 5,671 | 281,282 | |||||
Halliburton Co. | 4,587 | 207,286 | |||||
Helix Energy Solutions Group, Inc.(1) | 827 | 4,118 | |||||
Helmerich & Payne, Inc. | 4,711 | 248,081 | |||||
Keane Group, Inc.(1) | 507 | 7,798 | |||||
Mammoth Energy Services, Inc.(1) | 588 | 10,684 | |||||
National Oilwell Varco, Inc. | 9,892 | 323,172 | |||||
Petrofac Ltd. | 4,705 | 23,036 | |||||
Rowan Cos. plc(1) | 2,714 | 32,677 | |||||
Schlumberger Ltd. | 21,091 | 1,467,723 | |||||
Subsea 7 SA | 10,419 | 149,824 | |||||
TechnipFMC plc(1) | 1,132 | 32,771 | |||||
Trican Well Service Ltd.(1) | 12,540 | 37,225 | |||||
3,980,739 | |||||||
Equity Real Estate Investment Trusts (REITs) — 2.2% | |||||||
Activia Properties, Inc. | 25 | 115,350 | |||||
Alexandria Real Estate Equities, Inc. | 2,389 | 278,749 | |||||
American Homes 4 Rent, Class A | 1,119 | 25,144 | |||||
American Tower Corp. | 2,549 | 334,403 | |||||
Apartment Investment & Management Co., Class A | 4,787 | 205,458 | |||||
Armada Hoffler Properties, Inc. | 1,221 | 16,129 | |||||
Ascendas Real Estate Investment Trust | 56,800 | 107,553 | |||||
AvalonBay Communities, Inc. | 1,892 | 361,826 | |||||
Boston Properties, Inc. | 2,060 | 249,919 | |||||
British Land Co. plc (The) | 16,732 | 136,680 | |||||
BWP Trust | 8,988 | 20,303 | |||||
Canadian Apartment Properties REIT | 2,120 | 52,543 | |||||
Care Capital Properties, Inc. | 7,658 | 201,329 | |||||
CareTrust REIT, Inc. | 812 | 14,819 | |||||
Charter Hall Group | 25,883 | 109,432 | |||||
Chatham Lodging Trust | 304 | 6,034 | |||||
Colony Starwood Homes | 7,050 | 243,718 | |||||
Community Healthcare Trust, Inc. | 505 | 12,474 | |||||
Corporate Office Properties Trust | 947 | 31,942 | |||||
Crown Castle International Corp. | 1,553 | 157,862 | |||||
CyrusOne, Inc. | 3,177 | 178,738 | |||||
Daiwa House REIT Investment Corp. | 55 | 141,634 | |||||
Derwent London plc | 1,557 | 55,489 | |||||
Dexus | 24,026 | 185,488 | |||||
DiamondRock Hospitality Co. | 661 | 7,330 | |||||
Digital Realty Trust, Inc. | 1,359 | 160,620 | |||||
Duke Realty Corp. | 2,411 | 69,123 | |||||
DuPont Fabros Technology, Inc. | 1,457 | 79,596 | |||||
Empire State Realty Trust, Inc. | 13,027 | 270,962 | |||||
EPR Properties | 77 | 5,460 |
15
Shares/ Principal Amount | Value | ||||||
Equinix, Inc. | 920 | $ | 405,729 | ||||
Equity Residential | 5,208 | 338,989 | |||||
Essex Property Trust, Inc. | 1,261 | 323,976 | |||||
Extra Space Storage, Inc. | 3,518 | 272,539 | |||||
Four Corners Property Trust, Inc. | 328 | 8,075 | |||||
Gaming and Leisure Properties, Inc. | 3,885 | 142,618 | |||||
Gecina SA | 1,246 | 191,548 | |||||
GGP, Inc. | 5,463 | 121,716 | |||||
Goodman Group | 28,464 | 179,777 | |||||
Healthcare Trust of America, Inc., Class A | 2,807 | 86,147 | |||||
Hudson Pacific Properties, Inc. | 4,756 | 155,807 | |||||
Hulic Reit, Inc. | 78 | 129,026 | |||||
Kite Realty Group Trust | 2,173 | 39,049 | |||||
Lexington Realty Trust | 966 | 9,283 | |||||
Link REIT | 23,000 | 181,520 | |||||
MedEquities Realty Trust, Inc. | 1,906 | 22,262 | |||||
Medical Properties Trust, Inc. | 1,087 | 14,077 | |||||
Merlin Properties Socimi SA | 8,606 | 109,147 | |||||
MGM Growth Properties LLC, Class A | 12,037 | 338,842 | |||||
Mirvac Group | 5,861 | 9,929 | |||||
National Health Investors, Inc. | 260 | 19,635 | |||||
Nippon Building Fund, Inc. | 14 | 74,582 | |||||
Orix JREIT, Inc. | 48 | 76,020 | |||||
Paramount Group, Inc. | 7,930 | 122,281 | |||||
Physicians Realty Trust | 4,487 | 91,266 | |||||
Piedmont Office Realty Trust, Inc., Class A | 11,826 | 250,593 | |||||
Prologis, Inc. | 6,424 | 356,789 | |||||
PS Business Parks, Inc. | 113 | 14,270 | |||||
Pure Industrial Real Estate Trust | 15,146 | 75,907 | |||||
QTS Realty Trust, Inc., Class A | 524 | 27,363 | |||||
Rayonier, Inc. | 3,415 | 95,927 | |||||
Regency Centers Corp. | 2,381 | 144,908 | |||||
RLJ Lodging Trust | 351 | 7,143 | |||||
Sabra Health Care REIT, Inc. | 647 | 15,159 | |||||
Safestore Holdings plc | 20,430 | 115,821 | |||||
SBA Communications Corp.(1) | 3,367 | 465,252 | |||||
Scentre Group | 37,489 | 118,667 | |||||
Segro plc | 43,085 | 279,230 | |||||
Simon Property Group, Inc. | 1,851 | 285,517 | |||||
Summit Hotel Properties, Inc. | 741 | 13,264 | |||||
Sun Communities, Inc. | 100 | 8,614 | |||||
Sunstone Hotel Investors, Inc. | 9,076 | 141,676 | |||||
UDR, Inc. | 834 | 32,201 | |||||
Unibail-Rodamco SE | 893 | 230,374 | |||||
UNITE Group plc (The) | 8,158 | 66,220 | |||||
Urban Edge Properties | 3,127 | 74,548 | |||||
Urstadt Biddle Properties, Inc., Class A | 557 | 10,427 |
16
Shares/ Principal Amount | Value | ||||||
Ventas, Inc. | 5,386 | $ | 358,115 | ||||
Welltower, Inc. | 3,735 | 270,937 | |||||
Westfield Corp. | 7,971 | 50,226 | |||||
Weyerhaeuser Co. | 17,736 | 584,579 | |||||
WP Carey, Inc. | 6,206 | 404,817 | |||||
11,798,491 | |||||||
Food and Staples Retailing — 0.9% | |||||||
Ain Holdings, Inc. | 400 | 32,181 | |||||
Axfood AB | 803 | 13,433 | |||||
Costco Wholesale Corp. | 774 | 139,653 | |||||
CVS Health Corp. | 14,532 | 1,116,493 | |||||
Jeronimo Martins SGPS SA | 16,030 | 319,089 | |||||
Kroger Co. (The) | 4,978 | 148,245 | |||||
METRO AG | 940 | 31,467 | |||||
Sysco Corp. | 4,953 | 270,236 | |||||
Wal-Mart Stores, Inc. | 24,581 | 1,932,067 | |||||
Walgreens Boots Alliance, Inc. | 7,196 | 583,020 | |||||
4,585,884 | |||||||
Food Products — 1.1% | |||||||
a2 Milk Co. Ltd.(1) | 18,740 | 44,281 | |||||
Associated British Foods plc | 6,880 | 265,582 | |||||
Blue Buffalo Pet Products, Inc.(1) | 3,745 | 87,970 | |||||
Bunge Ltd. | 1,778 | 142,187 | |||||
Calbee, Inc. | 9,300 | 360,244 | |||||
Campbell Soup Co. | 6,902 | 397,900 | |||||
Chocoladefabriken Lindt & Spruengli AG | 30 | 182,283 | |||||
Conagra Brands, Inc. | 12,630 | 486,760 | |||||
Dean Foods Co. | 8,331 | 151,958 | |||||
General Mills, Inc. | 8,980 | 509,525 | |||||
Glanbia plc | 1,330 | 27,042 | |||||
Hormel Foods Corp. | 4,672 | 157,119 | |||||
Hostess Brands, Inc.(1) | 1,106 | 17,408 | |||||
J.M. Smucker Co. (The) | 1,588 | 203,026 | |||||
John B Sanfilippo & Son, Inc. | 116 | 7,513 | |||||
Kellogg Co. | 3,834 | 274,514 | |||||
Kerry Group plc, A Shares | 3,110 | 274,563 | |||||
Lamb Weston Holdings, Inc. | 2,137 | 99,178 | |||||
Mead Johnson Nutrition Co. | 1,568 | 140,211 | |||||
Mondelez International, Inc., Class A | 22,885 | 1,066,212 | |||||
Nestle SA | 700 | 59,734 | |||||
Premium Brands Holdings Corp. | 740 | 50,579 | |||||
TreeHouse Foods, Inc.(1) | 2,214 | 170,877 | |||||
Tyson Foods, Inc., Class A | 7,583 | 434,809 | |||||
5,611,475 | |||||||
Gas Utilities — 0.1% | |||||||
Atmos Energy Corp. | 2,314 | 192,779 | |||||
National Fuel Gas Co. | 4,312 | 244,749 |
17
Shares/ Principal Amount | Value | ||||||
Spire, Inc. | 3,397 | $ | 240,678 | ||||
678,206 | |||||||
Health Care Equipment and Supplies — 1.6% | |||||||
Abbott Laboratories | 14,415 | 658,189 | |||||
Ambu A/S, B Shares | 271 | 18,172 | |||||
Baxter International, Inc. | 7,793 | 462,203 | |||||
Becton Dickinson and Co. | 3,131 | 592,479 | |||||
BioMerieux | 310 | 65,295 | |||||
Cooper Cos., Inc. (The) | 288 | 63,000 | |||||
CR Bard, Inc. | 657 | 201,981 | |||||
Danaher Corp. | 2,203 | 187,123 | |||||
Edwards Lifesciences Corp.(1) | 3,047 | 350,618 | |||||
Essilor International SA | 1,944 | 258,452 | |||||
Hill-Rom Holdings, Inc. | 52 | 4,023 | |||||
Hologic, Inc.(1) | 14,416 | 624,357 | |||||
Intuitive Surgical, Inc.(1) | 469 | 428,985 | |||||
Ion Beam Applications | 648 | 39,315 | |||||
Masimo Corp.(1) | 213 | 18,540 | |||||
Medtronic plc | 17,238 | 1,452,819 | |||||
Merit Medical Systems, Inc.(1) | 934 | 33,157 | |||||
Nevro Corp.(1) | 1,439 | 99,046 | |||||
NuVasive, Inc.(1) | 1,930 | 144,808 | |||||
STERIS plc | 2,879 | 223,295 | |||||
Sysmex Corp. | 3,400 | 202,004 | |||||
Teleflex, Inc. | 1,127 | 225,423 | |||||
Utah Medical Products, Inc. | 224 | 15,053 | |||||
Varex Imaging Corp.(1) | 541 | 18,583 | |||||
West Pharmaceutical Services, Inc. | 1,523 | 147,761 | |||||
Zimmer Biomet Holdings, Inc. | 13,704 | 1,633,654 | |||||
8,168,335 | |||||||
Health Care Providers and Services — 1.0% | |||||||
Acadia Healthcare Co., Inc.(1) | 447 | 18,479 | |||||
Ambea AB(1) | 2,904 | 30,656 | |||||
Amedisys, Inc.(1) | 2,206 | 132,183 | |||||
American Renal Associates Holdings, Inc.(1) | 643 | 10,416 | |||||
AMN Healthcare Services, Inc.(1) | 931 | 33,749 | |||||
Anthem, Inc. | 3,210 | 585,343 | |||||
Cardinal Health, Inc. | 5,627 | 418,030 | |||||
Chartwell Retirement Residences | 4,271 | 50,840 | |||||
Cigna Corp. | 521 | 84,001 | |||||
CVS Group plc | 3,170 | 57,467 | |||||
Express Scripts Holding Co.(1) | 6,684 | 399,369 | |||||
Fresenius Medical Care AG & Co. KGaA | 2,840 | 271,687 | |||||
HCA Healthcare, Inc.(1) | 5,834 | 477,863 | |||||
HealthEquity, Inc.(1) | 606 | 27,755 | |||||
Humana, Inc. | 1,007 | 233,886 | |||||
LifePoint Health, Inc.(1) | 6,276 | 381,581 |
18
Shares/ Principal Amount | Value | ||||||
McKesson Corp. | 2,585 | $ | 421,588 | ||||
Miraca Holdings, Inc. | 2,300 | 96,673 | |||||
Owens & Minor, Inc. | 604 | 19,255 | |||||
PharMerica Corp.(1) | 317 | 7,830 | |||||
Providence Service Corp. (The)(1) | 446 | 20,846 | |||||
Quest Diagnostics, Inc. | 3,666 | 398,751 | |||||
Tivity Health, Inc.(1) | 1,127 | 38,262 | |||||
UnitedHealth Group, Inc. | 5,782 | 1,012,891 | |||||
Universal Health Services, Inc., Class B | 975 | 110,818 | |||||
5,340,219 | |||||||
Health Care Technology — 0.1% | |||||||
Cerner Corp.(1) | 2,749 | 179,647 | |||||
CompuGroup Medical SE | 613 | 34,830 | |||||
Cotiviti Holdings, Inc.(1) | 585 | 22,306 | |||||
Evolent Health, Inc., Class A(1) | 1,030 | 23,638 | |||||
RaySearch Laboratories AB(1) | 1,594 | 43,833 | |||||
Veeva Systems, Inc., Class A(1) | 703 | 44,669 | |||||
348,923 | |||||||
Hotels, Restaurants and Leisure — 0.9% | |||||||
Accor SA | 5,330 | 253,060 | |||||
Aramark | 2,008 | 74,818 | |||||
Carnival Corp. | 14,239 | 912,293 | |||||
Carnival plc | 3,170 | 202,994 | |||||
Cedar Fair LP | 397 | 28,195 | |||||
Chipotle Mexican Grill, Inc.(1) | 817 | 389,995 | |||||
Churchill Downs, Inc. | 365 | 61,192 | |||||
ClubCorp Holdings, Inc. | 3,553 | 47,255 | |||||
Compass Group plc | 12,630 | 271,761 | |||||
Corporate Travel Management Ltd. | 1,680 | 27,501 | |||||
Darden Restaurants, Inc. | 8,220 | 731,005 | |||||
Domino's Pizza Enterprises Ltd. | 4,410 | 188,321 | |||||
Elior Group | 370 | 10,482 | |||||
Hilton Worldwide Holdings, Inc. | 3,725 | 247,601 | |||||
Jack in the Box, Inc. | 94 | 10,018 | |||||
Las Vegas Sands Corp. | 5,364 | 317,173 | |||||
McDonald's Corp. | 72 | 10,864 | |||||
MGM Resorts International | 5,853 | 185,657 | |||||
NH Hotel Group SA(1) | 2,360 | 13,812 | |||||
Papa John's International, Inc. | 1,234 | 99,423 | |||||
Planet Fitness, Inc., Class A | 1,023 | 22,353 | |||||
Red Robin Gourmet Burgers, Inc.(1) | 261 | 18,812 | |||||
Royal Caribbean Cruises Ltd. | 2,115 | 233,031 | |||||
Sands China Ltd. | 31,200 | 143,937 | |||||
Texas Roadhouse, Inc. | 217 | 10,616 | |||||
Vail Resorts, Inc. | 619 | 132,404 | |||||
4,644,573 | |||||||
Household Durables — 0.3% | |||||||
Cairn Homes plc(1) | 36,108 | 64,493 |
19
Shares/ Principal Amount | Value | ||||||
DR Horton, Inc. | 1,310 | $ | 42,824 | ||||
Electrolux ABSeries B | 7,119 | 228,607 | |||||
Garmin Ltd. | 1,690 | 87,948 | |||||
Haier Electronics Group Co. Ltd. | 23,000 | 58,499 | |||||
Installed Building Products, Inc.(1) | 437 | 21,675 | |||||
Mohawk Industries, Inc.(1) | 476 | 113,907 | |||||
Newell Brands, Inc. | 8,859 | 469,084 | |||||
NVR, Inc.(1) | 65 | 148,355 | |||||
PulteGroup, Inc. | 9,482 | 214,957 | |||||
SEB SA | 264 | 46,323 | |||||
1,496,672 | |||||||
Household Products — 0.5% | |||||||
Church & Dwight Co., Inc. | 3,700 | 191,142 | |||||
Kimberly-Clark Corp. | 3,303 | 428,498 | |||||
Procter & Gamble Co. (The) | 16,656 | 1,467,227 | |||||
Reckitt Benckiser Group plc | 2,040 | 208,646 | |||||
Spectrum Brands Holdings, Inc. | 3,347 | 450,004 | |||||
2,745,517 | |||||||
Independent Power and Renewable Electricity Producers† | |||||||
eRex Co. Ltd. | 2,700 | 25,549 | |||||
Uniper SE(1) | 4,108 | 80,089 | |||||
105,638 | |||||||
Industrial Conglomerates — 0.7% | |||||||
3M Co. | 2,119 | 433,272 | |||||
Carlisle Cos., Inc. | 4,087 | 414,136 | |||||
DCC plc | 806 | 76,589 | |||||
General Electric Co. | 54,486 | 1,491,826 | |||||
Honeywell International, Inc. | 3,592 | 477,700 | |||||
Koninklijke Philips NV | 9,630 | 340,330 | |||||
Siemens AG | 2,169 | 309,563 | |||||
3,543,416 | |||||||
Insurance — 1.5% | |||||||
Aflac, Inc. | 5,874 | 442,782 | |||||
AIA Group Ltd. | 57,800 | 409,808 | |||||
Allianz SE | 2,180 | 418,517 | |||||
Allied World Assurance Co. Holdings AG | 460 | 24,182 | |||||
Allstate Corp. (The) | 5,011 | 432,650 | |||||
Arthur J Gallagher & Co. | 1,973 | 111,928 | |||||
Atlas Financial Holdings, Inc.(1) | 236 | 3,540 | |||||
Aviva plc | 56,785 | 384,114 | |||||
AXA SA | 6,040 | 161,077 | |||||
Brown & Brown, Inc. | 4,548 | 197,520 | |||||
Chubb Ltd. | 8,576 | 1,227,997 | |||||
CNP Assurances | 8,444 | 185,727 | |||||
Dai-ichi Life Holdings, Inc. | 1,700 | 28,313 | |||||
Everest Re Group Ltd. | 986 | 251,085 | |||||
Hannover Rueck SE | 1,393 | 165,872 |
20
Shares/ Principal Amount | Value | ||||||
Hanover Insurance Group, Inc. (The) | 702 | $ | 58,540 | ||||
Hiscox Ltd. | 15,324 | 242,459 | |||||
Infinity Property & Casualty Corp. | 62 | 5,936 | |||||
James River Group Holdings Ltd. | 976 | 38,689 | |||||
Kinsale Capital Group, Inc. | 552 | 20,004 | |||||
Legal & General Group plc | 11,284 | 36,609 | |||||
Lincoln National Corp. | 746 | 48,475 | |||||
Loews Corp. | 1,304 | 61,497 | |||||
Mapfre SA | 34,318 | 122,053 | |||||
MetLife, Inc. | 7,237 | 366,120 | |||||
Muenchener Rueckversicherungs-Gesellschaft AG | 332 | 65,546 | |||||
NN Group NV | 2,262 | 81,313 | |||||
Old Republic International Corp. | 5,417 | 107,148 | |||||
ProAssurance Corp. | 2,376 | 141,491 | |||||
Reinsurance Group of America, Inc. | 2,140 | 266,451 | |||||
RLI Corp. | 595 | 33,046 | |||||
SCOR SE | 663 | 26,101 | |||||
Sompo Holdings, Inc. | 700 | 27,014 | |||||
Sony Financial Holdings, Inc. | 1,500 | 23,093 | |||||
St. James's Place plc | 17,385 | 262,749 | |||||
Storebrand ASA | 4,590 | 29,960 | |||||
Swiss Re AG | 2,469 | 225,092 | |||||
Torchmark Corp. | 1,317 | 99,433 | |||||
Travelers Cos., Inc. (The) | 2,838 | 354,324 | |||||
Trisura Group Ltd.(1)(2) | 13 | 205 | |||||
UnipolSai Assicurazioni SpA | 15,798 | 35,777 | |||||
Unum Group | 6,622 | 297,858 | |||||
Validus Holdings Ltd. | 2,813 | 150,214 | |||||
Zurich Insurance Group AG | 1,218 | 358,024 | |||||
8,030,333 | |||||||
Internet and Direct Marketing Retail — 0.9% | |||||||
Amazon.com, Inc.(1) | 2,871 | 2,855,554 | |||||
ASOS plc(1) | 5,396 | 446,141 | |||||
Expedia, Inc. | 3,197 | 459,665 | |||||
Priceline Group, Inc. (The)(1) | 20 | 37,542 | |||||
Rakuten, Inc. | 20,000 | 243,070 | |||||
Shutterfly, Inc.(1) | 890 | 44,046 | |||||
Start Today Co. Ltd. | 16,100 | 401,809 | |||||
Zalando SE(1) | 8,148 | 389,096 | |||||
4,876,923 | |||||||
Internet Software and Services — 1.4% | |||||||
2U, Inc.(1) | 700 | 29,925 | |||||
Alarm.com Holdings, Inc.(1) | 685 | 22,297 | |||||
Alphabet, Inc., Class A(1) | 4,367 | 4,310,622 | |||||
Carbonite, Inc.(1) | 80 | 1,488 | |||||
CoStar Group, Inc.(1) | 483 | 126,338 | |||||
Criteo SA ADR(1) | 3,770 | 197,661 |
21
Shares/ Principal Amount | Value | ||||||
eBay, Inc.(1) | 2,331 | $ | 79,953 | ||||
Facebook, Inc., Class A(1) | 12,517 | 1,895,825 | |||||
Five9, Inc.(1) | 1,097 | 24,650 | |||||
j2 Global, Inc. | 204 | 17,262 | |||||
Just Eat plc(1) | 5,030 | 43,519 | |||||
LogMeIn, Inc. | 1,959 | 217,449 | |||||
Mixi, Inc. | 200 | 12,551 | |||||
Q2 Holdings, Inc.(1) | 700 | 27,720 | |||||
Shopify, Inc., Class A(1) | 318 | 29,212 | |||||
Stamps.com, Inc.(1) | 30 | 4,137 | |||||
VeriSign, Inc.(1) | 2,005 | 180,771 | |||||
Wix.com Ltd.(1) | 200 | 14,740 | |||||
7,236,120 | |||||||
IT Services — 0.8% | |||||||
Accenture plc, Class A | 87 | 10,829 | |||||
Acxiom Corp.(1) | 915 | 23,973 | |||||
Alliance Data Systems Corp. | 789 | 190,252 | |||||
Amadeus IT Group SA, A Shares | 1,800 | 104,842 | |||||
Booz Allen Hamilton Holding Corp. | 5,777 | 227,845 | |||||
CSG Systems International, Inc. | 990 | 39,491 | |||||
CSRA, Inc. | 1,212 | 36,554 | |||||
DXC Technology Co.(1) | 3,497 | 271,087 | |||||
EVERTEC, Inc. | 2,345 | 38,692 | |||||
Fidelity National Information Services, Inc. | 3,436 | 295,049 | |||||
First Data Corp., Class A(1) | 7,025 | 120,338 | |||||
Fiserv, Inc.(1) | 3,288 | 411,921 | |||||
Global Payments, Inc. | 1,855 | 169,937 | |||||
GMO Payment Gateway, Inc. | 600 | 34,944 | |||||
International Business Machines Corp. | 5,249 | 801,155 | |||||
Jack Henry & Associates, Inc. | 631 | 67,018 | |||||
MAXIMUS, Inc. | 110 | 6,829 | |||||
Presidio, Inc.(1) | 1,053 | 16,185 | |||||
Science Applications International Corp. | 332 | 25,229 | |||||
Teradata Corp.(1) | 1,536 | 41,871 | |||||
Vantiv, Inc., Class A(1) | 3,200 | 200,704 | |||||
Visa, Inc., Class A | 8,903 | 847,833 | |||||
Worldpay Group plc | 90,973 | 364,067 | |||||
4,346,645 | |||||||
Leisure Products — 0.2% | |||||||
Brunswick Corp. | 7,881 | 435,504 | |||||
Malibu Boats, Inc., Class A(1) | 420 | 10,185 | |||||
Mattel, Inc. | 21,156 | 484,684 | |||||
MCBC Holdings, Inc. | 787 | 15,134 | |||||
Sega Sammy Holdings, Inc. | 5,500 | 69,774 | |||||
1,015,281 | |||||||
Life Sciences Tools and Services — 0.2% | |||||||
Agilent Technologies, Inc. | 3,860 | 232,912 |
22
Shares/ Principal Amount | Value | ||||||
Bio-Techne Corp. | 1,291 | $ | 144,695 | ||||
Eurofins Scientific SE | 55 | 29,208 | |||||
Illumina, Inc.(1) | 1,139 | 202,013 | |||||
Lonza Group AG | 2,374 | 491,688 | |||||
PRA Health Sciences, Inc.(1) | 375 | 27,094 | |||||
Waters Corp.(1) | 975 | 175,130 | |||||
1,302,740 | |||||||
Machinery — 1.2% | |||||||
Cargotec Oyj, B Shares | 1,269 | 75,553 | |||||
Caterpillar, Inc. | 1,576 | 166,158 | |||||
CIRCOR International, Inc. | 266 | 17,146 | |||||
Cummins, Inc. | 5,729 | 903,463 | |||||
DMG Mori Co. Ltd. | 1,400 | 22,021 | |||||
Donaldson Co., Inc. | 1,442 | 69,158 | |||||
EnPro Industries, Inc. | 883 | 58,993 | |||||
FANUC Corp. | 1,000 | 196,569 | |||||
Fortive Corp. | 705 | 44,027 | |||||
Gardner Denver Holdings, Inc.(1) | 497 | 11,396 | |||||
Global Brass & Copper Holdings, Inc. | 1,053 | 31,906 | |||||
Graham Corp. | 379 | 7,933 | |||||
Harsco Corp.(1) | 1,037 | 15,451 | |||||
Hitachi Construction Machinery Co. Ltd. | 1,900 | 44,073 | |||||
Industria Macchine Automatiche SpA | 350 | 31,277 | |||||
Ingersoll-Rand plc | 11,562 | 1,035,955 | |||||
ITT, Inc. | 1,366 | 51,922 | |||||
John Bean Technologies Corp. | 1,333 | 115,038 | |||||
Kennametal, Inc. | 2,534 | 97,483 | |||||
KION Group AG | 817 | 60,445 | |||||
Komatsu Ltd. | 10,600 | 252,055 | |||||
Konecranes Oyj, Class B | 1,221 | 50,379 | |||||
Middleby Corp. (The)(1) | 2,002 | 256,977 | |||||
NSK Ltd. | 5,500 | 65,553 | |||||
Oshkosh Corp. | 2,277 | 143,724 | |||||
Parker-Hannifin Corp. | 3,760 | 592,087 | |||||
Rexnord Corp.(1) | 681 | 15,527 | |||||
Sandvik AB | 29,097 | 455,969 | |||||
SKF AB, B Shares | 3,705 | 75,793 | |||||
Snap-on, Inc. | 2,119 | 342,558 | |||||
Stanley Black & Decker, Inc. | 399 | 54,919 | |||||
Timken Co. (The) | 681 | 31,428 | |||||
Toro Co. (The) | 3,928 | 269,029 | |||||
WABCO Holdings, Inc.(1) | 2,737 | 333,421 | |||||
Wabtec Corp. | 2,499 | 204,293 | |||||
Weir Group plc (The) | 12,580 | 294,350 | |||||
Woodward, Inc. | 232 | 15,804 | |||||
6,509,833 | |||||||
Marine — 0.1% | |||||||
AP Moller - Maersk A/S, B Shares | 140 | 266,618 |
23
Shares/ Principal Amount | Value | ||||||
Media — 0.8% | |||||||
AMC Entertainment Holdings, Inc., Class A | 480 | $ | 10,800 | ||||
Charter Communications, Inc., Class A(1) | 95 | 32,827 | |||||
Cineworld Group plc | 6,020 | 55,691 | |||||
Comcast Corp., Class A | 22,686 | 945,779 | |||||
CyberAgent, Inc. | 5,500 | 198,646 | |||||
DISH Network Corp., Class A(1) | 7,094 | 452,384 | |||||
Emerald Expositions Events, Inc.(1) | 317 | 6,492 | |||||
Entravision Communications Corp., Class A | 8,301 | 47,731 | |||||
Gray Television, Inc.(1) | 912 | 10,990 | |||||
Liberty Media Corp-Liberty Formula One, Class C(1) | 2,112 | 70,330 | |||||
Madison Square Garden Co. (The)(1) | 55 | 10,748 | |||||
Metropole Television SA | 1,221 | 29,078 | |||||
MSG Networks, Inc., Class A(1) | 3,721 | 78,327 | |||||
Omnicom Group, Inc. | 4,815 | 403,112 | |||||
ProSiebenSat.1 Media SE | 3,935 | 167,068 | |||||
Publicis Groupe SA | 4,120 | 315,412 | |||||
RTL Group SA | 682 | 53,077 | |||||
Scripps Networks Interactive, Inc., Class A | 1,258 | 83,305 | |||||
Sirius XM Holdings, Inc. | 25,551 | 134,143 | |||||
Time Warner, Inc. | 2,069 | 205,845 | |||||
Townsquare Media, Inc.(1) | 538 | 5,412 | |||||
Twenty-First Century Fox, Inc., Class A | 18,102 | 490,926 | |||||
Walt Disney Co. (The) | 2,759 | 297,806 | |||||
4,105,929 | |||||||
Metals and Mining — 0.4% | |||||||
Anglo American plc(1) | 3,854 | 51,221 | |||||
Barrick Gold Corp. | 20,889 | 345,504 | |||||
BHP Billiton plc | 1,523 | 23,018 | |||||
Boliden AB | 1,920 | 52,554 | |||||
Centamin plc | 6,453 | 13,843 | |||||
Evraz plc(1) | 15,456 | 37,837 | |||||
Fortescue Metals Group Ltd. | 24,474 | 88,199 | |||||
Glencore plc | 4,293 | 15,770 | |||||
Lundin Mining Corp. | 6,000 | 33,046 | |||||
Nucor Corp. | 6,795 | 394,790 | |||||
Regis Resources Ltd. | 9,969 | 24,222 | |||||
Reliance Steel & Aluminum Co. | 1,631 | 118,982 | |||||
Rio Tinto Ltd. | 6,800 | 317,363 | |||||
Rio Tinto plc | 6,204 | 248,000 | |||||
Salzgitter AG | 760 | 28,942 | |||||
SSAB AB, A Shares(1) | 5,800 | 23,670 | |||||
Steel Dynamics, Inc. | 1,679 | 57,069 | |||||
Teck Resources Ltd., Class B | 2,640 | 47,150 | |||||
Vedanta Resources plc | 7,005 | 55,192 | |||||
1,976,372 | |||||||
Mortgage Real Estate Investment Trusts (REITs)† | |||||||
Blackstone Mortgage Trust, Inc., Class A | 251 | 7,794 | |||||
New Residential Investment Corp. | 327 | 5,261 |
24
Shares/ Principal Amount | Value | ||||||
Starwood Property Trust, Inc. | 4,215 | $ | 92,814 | ||||
Two Harbors Investment Corp. | 1,966 | 19,621 | |||||
125,490 | |||||||
Multi-Utilities — 0.2% | |||||||
Ameren Corp. | 3,939 | 223,538 | |||||
Centrica plc | 63,161 | 165,445 | |||||
E.ON SE | 16,375 | 143,259 | |||||
Engie SA | 5,967 | 91,061 | |||||
NorthWestern Corp. | 3,168 | 196,289 | |||||
819,592 | |||||||
Multiline Retail — 0.3% | |||||||
B&M European Value Retail SA | 8,840 | 41,493 | |||||
Dollar General Corp. | 1,613 | 118,378 | |||||
Dollar Tree, Inc.(1) | 6,688 | 519,657 | |||||
Don Quijote Holdings Co. Ltd. | 1,400 | 54,736 | |||||
Marks & Spencer Group plc | 9,765 | 48,125 | |||||
Nordstrom, Inc. | 441 | 18,434 | |||||
Ollie's Bargain Outlet Holdings, Inc.(1) | 604 | 24,855 | |||||
Ryohin Keikaku Co. Ltd. | 600 | 156,190 | |||||
Seria Co. Ltd. | 1,200 | 58,077 | |||||
Target Corp. | 7,935 | 437,615 | |||||
1,477,560 | |||||||
Oil, Gas and Consumable Fuels — 2.3% | |||||||
Aegean Marine Petroleum Network, Inc. | 698 | 3,211 | |||||
Anadarko Petroleum Corp. | 14,417 | 728,491 | |||||
Apache Corp. | 4,336 | 202,751 | |||||
Ardmore Shipping Corp. | 1,935 | 13,932 | |||||
BP plc | 25,022 | 150,462 | |||||
Callon Petroleum Co.(1) | 2,208 | 24,995 | |||||
Chevron Corp. | 10,274 | 1,063,153 | |||||
Cimarex Energy Co. | 876 | 94,223 | |||||
Concho Resources, Inc.(1) | 2,487 | 315,302 | |||||
Contango Oil & Gas Co.(1) | 1,447 | 8,914 | |||||
Devon Energy Corp. | 7,848 | 266,675 | |||||
Eclipse Resources Corp.(1) | 4,849 | 10,862 | |||||
EQT Corp. | 9,713 | 536,837 | |||||
Extraction Oil & Gas, Inc.(1) | 873 | 12,431 | |||||
Exxon Mobil Corp. | 11,048 | 889,364 | |||||
Galp Energia SGPS SA | 572 | 8,822 | |||||
Imperial Oil Ltd. | 37,064 | 1,048,663 | |||||
JXTG Holdings, Inc. | 44,850 | 195,356 | |||||
Kinder Morgan, Inc. | 14,507 | 272,151 | |||||
Lundin Petroleum AB(1) | 14,333 | 278,368 | |||||
Marathon Petroleum Corp. | 5,415 | 281,797 | |||||
Noble Energy, Inc. | 13,506 | 387,487 | |||||
Occidental Petroleum Corp. | 17,609 | 1,037,698 | |||||
OMV AG | 2,441 | 127,247 |
25
Shares/ Principal Amount | Value | ||||||
ONEOK, Inc. | 2,172 | $ | 107,905 | ||||
Repsol SA | 9,204 | 154,211 | |||||
Royal Dutch Shell plc, A Shares | 11,205 | 303,979 | |||||
Royal Dutch Shell plc ADR | 4,960 | 278,802 | |||||
Royal Dutch Shell plc, B Shares | 17,197 | 474,946 | |||||
RSP Permian, Inc.(1) | 605 | 21,532 | |||||
Scorpio Tankers, Inc. | 2,825 | 10,509 | |||||
Seven Generations Energy Ltd., Class A(1) | 2,315 | 41,524 | |||||
SK Innovation Co. Ltd. | 647 | 97,663 | |||||
Spectra Energy Partners LP | 2,558 | 110,352 | |||||
Statoil ASA | 3,270 | 56,852 | |||||
TOTAL SA | 11,939 | 633,970 | |||||
TOTAL SA ADR | 18,110 | 947,153 | |||||
Tullow Oil plc(1) | 81,144 | 191,117 | |||||
WildHorse Resource Development Corp.(1) | 846 | 10,084 | |||||
Williams Cos., Inc. (The) | 15,901 | 454,769 | |||||
11,854,560 | |||||||
Paper and Forest Products† | |||||||
KapStone Paper and Packaging Corp. | 885 | 18,700 | |||||
UPM-Kymmene Oyj | 3,853 | 108,640 | |||||
127,340 | |||||||
Personal Products — 0.4% | |||||||
Edgewell Personal Care Co.(1) | 423 | 30,938 | |||||
Estee Lauder Cos., Inc. (The), Class A | 2,764 | 260,203 | |||||
Inter Parfums, Inc. | 426 | 14,825 | |||||
Kose Corp. | 3,200 | 345,282 | |||||
L'Oreal SA | 1,550 | 331,610 | |||||
Medifast, Inc. | 99 | 4,119 | |||||
Nu Skin Enterprises, Inc., Class A | 1,400 | 76,832 | |||||
Pola Orbis Holdings, Inc. | 500 | 13,996 | |||||
Unilever NV CVA | 13,580 | 773,433 | |||||
1,851,238 | |||||||
Pharmaceuticals — 1.6% | |||||||
Aerie Pharmaceuticals, Inc.(1) | 129 | 7,153 | |||||
Allergan plc | 1,751 | 391,786 | |||||
AstraZeneca plc | 696 | 46,936 | |||||
Bristol-Myers Squibb Co. | 4,497 | 242,613 | |||||
Catalent, Inc.(1) | 1,259 | 44,732 | |||||
Dermira, Inc.(1) | 209 | 5,731 | |||||
Eli Lilly & Co. | 1,468 | 116,809 | |||||
GlaxoSmithKline plc | 9,231 | 202,609 | |||||
H Lundbeck A/S | 659 | 35,162 | |||||
Horizon Pharma plc(1) | 842 | 8,420 | |||||
Impax Laboratories, Inc.(1) | 344 | 5,246 | |||||
Indivior plc | 5,891 | 24,721 | |||||
Jazz Pharmaceuticals plc(1) | 833 | 121,251 | |||||
Johnson & Johnson | 14,579 | 1,869,757 |
26
Shares/ Principal Amount | Value | ||||||
Medicines Co. (The)(1) | 258 | $ | 10,261 | ||||
Merck & Co., Inc. | 23,338 | 1,519,537 | |||||
Nippon Shinyaku Co. Ltd. | 700 | 40,831 | |||||
Pacira Pharmaceuticals, Inc.(1) | 192 | 8,525 | |||||
Pfizer, Inc. | 48,782 | 1,592,732 | |||||
Roche Holding AG | 5,277 | 1,448,172 | |||||
Sanofi | 1,271 | 125,887 | |||||
Sawai Pharmaceutical Co. Ltd. | 1,000 | 54,086 | |||||
Supernus Pharmaceuticals, Inc.(1) | 303 | 11,393 | |||||
Teva Pharmaceutical Industries Ltd. ADR | 2,950 | 82,187 | |||||
Theravance Biopharma, Inc.(1) | 116 | 4,234 | |||||
Zoetis, Inc. | 6,084 | 378,912 | |||||
8,399,683 | |||||||
Professional Services — 0.2% | |||||||
Advisory Board Co. (The)(1) | 235 | 12,150 | |||||
Equifax, Inc. | 1,533 | 209,714 | |||||
Huron Consulting Group, Inc.(1) | 135 | 5,609 | |||||
IHS Markit Ltd.(1) | 2,457 | 112,654 | |||||
Korn/Ferry International | 804 | 25,816 | |||||
ManpowerGroup, Inc. | 737 | 75,078 | |||||
On Assignment, Inc.(1) | 195 | 10,218 | |||||
Outsourcing, Inc. | 700 | 31,982 | |||||
RELX plc | 13,580 | 290,978 | |||||
Teleperformance | 682 | 89,215 | |||||
Temp Holdings Co. Ltd. | 3,000 | 59,242 | |||||
Verisk Analytics, Inc., Class A(1) | 2,971 | 240,324 | |||||
Yumeshin Holdings Co. Ltd. | 2,500 | 16,614 | |||||
1,179,594 | |||||||
Real Estate Management and Development — 0.6% | |||||||
Aroundtown Property Holdings plc | 6,776 | 35,091 | |||||
Ayala Land, Inc. | 116,100 | 91,900 | |||||
CapitaLand Ltd. | 17,600 | 45,283 | |||||
Central Pattana PCL | 26,800 | 53,309 | |||||
Cheung Kong Property Holdings Ltd. | 34,000 | 255,244 | |||||
China Overseas Land & Investment Ltd. | 18,000 | 54,052 | |||||
China Resources Land Ltd. | 40,000 | 117,548 | |||||
City Developments Ltd. | 10,700 | 82,358 | |||||
Country Garden Holdings Co. Ltd. | 208,000 | 245,835 | |||||
Daito Trust Construction Co. Ltd. | 1,000 | 157,743 | |||||
Daiwa House Industry Co. Ltd. | 1,400 | 45,748 | |||||
Deutsche Wohnen AG | 10,450 | 409,867 | |||||
Fabege AB | 7,660 | 143,921 | |||||
FirstService Corp. | 308 | 19,269 | |||||
Global Logistic Properties Ltd. | 32,200 | 67,488 | |||||
Grand City Properties SA | 521 | 10,795 | |||||
Hang Lung Properties Ltd. | 11,000 | 28,444 | |||||
Hongkong Land Holdings Ltd. | 15,000 | 113,400 |
27
Shares/ Principal Amount | Value | ||||||
Iguatemi Empresa de Shopping Centers SA | 6,100 | $ | 59,587 | ||||
Inmobiliaria Colonial SA | 17,834 | 145,005 | |||||
Kerry Properties Ltd. | 5,000 | 17,677 | |||||
Leopalace21 Corp. | 12,800 | 75,355 | |||||
Longfor Properties Co. Ltd. | 44,500 | 90,570 | |||||
Mitsubishi Estate Co. Ltd. | 6,700 | 125,137 | |||||
Mitsui Fudosan Co. Ltd. | 7,500 | 177,494 | |||||
New World Development Co. Ltd. | 23,000 | 28,630 | |||||
PT Bumi Serpong Damai Tbk | 270,300 | 36,730 | |||||
RE/MAX Holdings, Inc., Class A | 293 | 15,573 | |||||
Realogy Holdings Corp. | 3,653 | 111,270 | |||||
RMR Group, Inc. (The), Class A | 32 | 1,571 | |||||
Sumitomo Realty & Development Co. Ltd. | 5,000 | 150,790 | |||||
Sun Hung Kai Properties Ltd. | 8,000 | 118,370 | |||||
Wharf Holdings Ltd. (The) | 13,000 | 110,606 | |||||
Wheelock & Co. Ltd. | 7,000 | 52,371 | |||||
3,294,031 | |||||||
Road and Rail — 0.4% | |||||||
Canadian Pacific Railway Ltd. | 515 | 81,488 | |||||
DSV A/S | 8,342 | 507,843 | |||||
Firstgroup plc(1) | 5,829 | 11,251 | |||||
Heartland Express, Inc. | 16,579 | 322,462 | |||||
Norfolk Southern Corp. | 1,001 | 124,154 | |||||
Saia, Inc.(1) | 334 | 15,431 | |||||
Union Pacific Corp. | 11,280 | 1,244,184 | |||||
2,306,813 | |||||||
Semiconductors and Semiconductor Equipment — 1.9% | |||||||
Advanced Micro Devices, Inc.(1) | 1,001 | 11,201 | |||||
Analog Devices, Inc. | 792 | 67,922 | |||||
Applied Materials, Inc. | 41,366 | 1,897,872 | |||||
ASM Pacific Technology Ltd. | 6,300 | 90,386 | |||||
ASML Holding NV | 3,656 | 482,568 | |||||
Broadcom Ltd. | 2,524 | 604,448 | |||||
Cavium, Inc.(1) | 1,598 | 116,606 | |||||
Cypress Semiconductor Corp. | 1,475 | 20,635 | |||||
Dialog Semiconductor plc(1) | 4,930 | 235,342 | |||||
Disco Corp. | 200 | 34,492 | |||||
Infineon Technologies AG | 11,140 | 246,403 | |||||
Inphi Corp.(1) | 263 | 10,436 | |||||
Intel Corp. | 33,319 | 1,203,149 | |||||
KLA-Tencor Corp. | 2,179 | 226,616 | |||||
Kulicke & Soffa Industries, Inc.(1) | 1,005 | 22,261 | |||||
Lam Research Corp. | 7,688 | 1,192,947 | |||||
MACOM Technology Solutions Holdings, Inc.(1) | 193 | 11,767 | |||||
Marvell Technology Group Ltd. | 4,064 | 70,063 | |||||
Maxim Integrated Products, Inc. | 12,735 | 608,733 | |||||
Microsemi Corp.(1) | 850 | 41,744 |
28
Shares/ Principal Amount | Value | ||||||
Monolithic Power Systems, Inc. | 308 | $ | 30,246 | ||||
NVIDIA Corp. | 1,415 | 204,255 | |||||
Power Integrations, Inc. | 173 | 11,582 | |||||
QUALCOMM, Inc. | 15,089 | 864,147 | |||||
Rohm Co. Ltd. | 2,400 | 192,650 | |||||
Skyworks Solutions, Inc. | 278 | 29,588 | |||||
Sumco Corp. | 4,400 | 72,744 | |||||
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 1,441 | 50,954 | |||||
Teradyne, Inc. | 10,735 | 381,629 | |||||
Texas Instruments, Inc. | 8,298 | 684,502 | |||||
Tower Semiconductor Ltd.(1) | 782 | 20,245 | |||||
X-Fab Silicon Foundries SE(1) | 2,863 | 29,267 | |||||
9,767,400 | |||||||
Software — 1.9% | |||||||
Activision Blizzard, Inc. | 10,713 | 627,568 | |||||
Adobe Systems, Inc.(1) | 4,883 | 692,702 | |||||
BroadSoft, Inc.(1) | 1,110 | 44,400 | |||||
Cadence Design Systems, Inc.(1) | 124 | 4,357 | |||||
Callidus Software, Inc.(1) | 916 | 21,892 | |||||
CDK Global, Inc. | 2,056 | 126,362 | |||||
Citrix Systems, Inc.(1) | 740 | 61,080 | |||||
Electronic Arts, Inc.(1) | 5,171 | 586,029 | |||||
Guidewire Software, Inc.(1) | 1,913 | 127,062 | |||||
Intuit, Inc. | 2,859 | 402,090 | |||||
Microsoft Corp. | 38,570 | 2,693,729 | |||||
Oracle Corp. (New York) | 38,415 | 1,743,657 | |||||
Oracle Corp. (Tokyo)(1) | 300 | 17,661 | |||||
Proofpoint, Inc.(1) | 195 | 16,770 | |||||
RealPage, Inc.(1) | 781 | 27,023 | |||||
RingCentral, Inc., Class A(1) | 1,003 | 34,202 | |||||
salesforce.com, Inc.(1) | 3,375 | 302,535 | |||||
SAP SE | 3,510 | 376,316 | |||||
ServiceNow, Inc.(1) | 1,656 | 173,300 | |||||
Splunk, Inc.(1) | 5,201 | 318,509 | |||||
SS&C Technologies Holdings, Inc. | 31 | 1,165 | |||||
Symantec Corp. | 6,215 | 188,377 | |||||
Synopsys, Inc.(1) | 1,515 | 113,428 | |||||
Take-Two Interactive Software, Inc.(1) | 88 | 6,753 | |||||
Temenos Group AG | 3,510 | 326,520 | |||||
Tyler Technologies, Inc.(1) | 1,314 | 224,536 | |||||
VMware, Inc., Class A(1) | 6,942 | 674,415 | |||||
9,932,438 | |||||||
Specialty Retail — 1.1% | |||||||
Advance Auto Parts, Inc. | 5,738 | 766,769 | |||||
AutoZone, Inc.(1) | 156 | 94,523 | |||||
Best Buy Co., Inc. | 8,316 | 493,887 | |||||
Burlington Stores, Inc.(1) | 1,831 | 179,163 |
29
Shares/ Principal Amount | Value | ||||||
Camping World Holdings, Inc., Class A | 772 | $ | 20,844 | ||||
Children's Place, Inc. (The) | 553 | 59,835 | |||||
CST Brands, Inc. | 2,702 | 130,588 | |||||
Foundation Building Materials, Inc.(1) | 1,281 | 17,293 | |||||
Home Depot, Inc. (The) | 1,954 | 299,959 | |||||
Industria de Diseno Textil SA | 11,340 | 463,628 | |||||
L Brands, Inc. | 3,106 | 160,270 | |||||
Lowe's Cos., Inc. | 7,652 | 602,748 | |||||
Maisons du Monde SA(1) | 1,934 | 73,020 | |||||
MarineMax, Inc.(1) | 1,041 | 18,790 | |||||
Michaels Cos., Inc. (The)(1) | 3,136 | 60,619 | |||||
Nitori Holdings Co. Ltd. | 2,600 | 380,081 | |||||
O'Reilly Automotive, Inc.(1) | 2,887 | 698,885 | |||||
Penske Automotive Group, Inc. | 354 | 14,992 | |||||
Pier 1 Imports, Inc. | 518 | 2,595 | |||||
RH(1) | 225 | 12,625 | |||||
Ross Stores, Inc. | 6,096 | 389,656 | |||||
Sleep Country Canada Holdings, Inc. | 2,140 | 61,783 | |||||
TJX Cos., Inc. (The) | 4,700 | 353,487 | |||||
Tokyo Base Co. Ltd.(1) | 600 | 18,474 | |||||
Ulta Salon Cosmetics & Fragrance, Inc.(1) | 484 | 147,543 | |||||
5,522,057 | |||||||
Technology Hardware, Storage and Peripherals — 0.7% | |||||||
Apple, Inc. | 21,533 | 3,289,381 | |||||
Asetek A/S | 1,849 | 24,181 | |||||
Brother Industries Ltd. | 2,800 | 62,144 | |||||
Canon, Inc. | 2,700 | 92,153 | |||||
Cray, Inc.(1) | 1,034 | 18,354 | |||||
Lite-On Technology Corp. | 15,000 | 25,184 | |||||
Logitech International SA | 3,439 | 125,694 | |||||
NetApp, Inc. | 133 | 5,385 | |||||
Quanta Computer, Inc. | 37,000 | 84,630 | |||||
Samsung Electronics Co. Ltd. | 29 | 57,891 | |||||
3,784,997 | |||||||
Textiles, Apparel and Luxury Goods — 0.3% | |||||||
adidas AG | 1,770 | 338,513 | |||||
Cie Financiere Richemont SA | 2,420 | 201,885 | |||||
Coach, Inc. | 5,978 | 276,243 | |||||
Columbia Sportswear Co. | 1,331 | 72,247 | |||||
Culp, Inc. | 273 | 8,763 | |||||
Kering | 1,720 | 568,828 | |||||
Ralph Lauren Corp. | 3,106 | 210,587 | |||||
Salvatore Ferragamo SpA | 1,949 | 54,407 | |||||
Samsonite International SA | 11,100 | 44,799 | |||||
1,776,272 | |||||||
Thrifts and Mortgage Finance — 0.1% | |||||||
Capitol Federal Financial, Inc. | 18,467 | 255,214 |
30
Shares/ Principal Amount | Value | ||||||
Essent Group Ltd.(1) | 13,787 | $ | 500,054 | ||||
755,268 | |||||||
Tobacco — 0.2% | |||||||
Altria Group, Inc. | 4,971 | 375,012 | |||||
British American Tobacco plc | 7,420 | 528,685 | |||||
Imperial Brands plc | 1,823 | 85,240 | |||||
Philip Morris International, Inc. | 1,992 | 238,641 | |||||
1,227,578 | |||||||
Trading Companies and Distributors — 0.3% | |||||||
Ashtead Group plc | 17,423 | 351,546 | |||||
BMC Stock Holdings, Inc.(1) | 1,554 | 30,303 | |||||
Bunzl plc | 7,820 | 245,041 | |||||
DXP Enterprises, Inc.(1) | 135 | 4,837 | |||||
GMS, Inc.(1) | 268 | 8,753 | |||||
MonotaRO Co. Ltd. | 7,200 | 242,492 | |||||
MRC Global, Inc.(1) | 1,285 | 23,194 | |||||
SiteOne Landscape Supply, Inc.(1) | 634 | 33,716 | |||||
Sumitomo Corp. | 1,400 | 17,856 | |||||
Toyota Tsusho Corp. | 2,700 | 82,768 | |||||
United Rentals, Inc.(1) | 1,791 | 194,735 | |||||
Wolseley plc | 5,450 | 358,827 | |||||
1,594,068 | |||||||
Transportation Infrastructure† | |||||||
BBA Aviation plc | 12,520 | 51,992 | |||||
Water Utilities† | |||||||
Beijing Enterprises Water Group Ltd. | 42,000 | 33,632 | |||||
Wireless Telecommunication Services — 0.1% | |||||||
Drillisch AG | 665 | 42,020 | |||||
KDDI Corp. | 2,300 | 63,673 | |||||
NTT DOCOMO, Inc. | 7,200 | 176,636 | |||||
282,329 | |||||||
TOTAL COMMON STOCKS (Cost $179,815,329) | 230,402,331 | ||||||
U.S. TREASURY SECURITIES — 19.2% | |||||||
U.S. Treasury Bonds, 3.50%, 2/15/39 | $ | 1,696,000 | 1,917,506 | ||||
U.S. Treasury Bonds, 4.375%, 11/15/39 | 10,000 | 12,744 | |||||
U.S. Treasury Bonds, 2.875%, 5/15/43 | 920,000 | 923,414 | |||||
U.S. Treasury Bonds, 3.75%, 11/15/43 | 20,000 | 23,403 | |||||
U.S. Treasury Bonds, 3.125%, 8/15/44 | 200,000 | 210,270 | |||||
U.S. Treasury Bonds, 3.00%, 11/15/44 | 30,000 | 30,810 | |||||
U.S. Treasury Bonds, 2.50%, 2/15/45(3) | 2,850,000 | 2,645,601 | |||||
U.S. Treasury Bonds, 3.00%, 11/15/45 | 750,000 | 768,604 | |||||
U.S. Treasury Inflation Indexed Bonds, 2.375%, 1/15/25 | 2,263,450 | 2,614,461 | |||||
U.S. Treasury Inflation Indexed Bonds, 2.375%, 1/15/27 | 544,023 | 645,103 | |||||
U.S. Treasury Inflation Indexed Notes, 2.125%, 1/15/19 | 1,135,540 | 1,182,216 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 4/15/19 | 7,023,105 | 7,071,277 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 4/15/20 | 2,446,538 | 2,468,469 |
31
Shares/ Principal Amount | Value | ||||||
U.S. Treasury Inflation Indexed Notes, 1.25%, 7/15/20 | $ | 4,471,680 | $ | 4,700,505 | |||
U.S. Treasury Inflation Indexed Notes, 1.125%, 1/15/21 | 1,671,765 | 1,752,610 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 4/15/21 | 3,343,178 | 3,369,916 | |||||
U.S. Treasury Inflation Indexed Notes, 0.625%, 7/15/21 | 3,191,045 | 3,302,731 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 4/15/22 | 1,002,490 | 1,008,161 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 7/15/22 | 2,597,417 | 2,624,152 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 1/15/23 | 4,013,674 | 4,021,593 | |||||
U.S. Treasury Inflation Indexed Notes, 0.375%, 7/15/23 | 3,457,146 | 3,521,764 | |||||
U.S. Treasury Inflation Indexed Notes, 0.625%, 1/15/24 | 1,358,331 | 1,395,181 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 7/15/24 | 6,673,940 | 6,641,611 | |||||
U.S. Treasury Inflation Indexed Notes, 0.25%, 1/15/25 | 4,117,320 | 4,097,697 | |||||
U.S. Treasury Inflation Indexed Notes, 0.375%, 7/15/25 | 5,397,368 | 5,433,346 | |||||
U.S. Treasury Inflation Indexed Notes, 0.625%, 1/15/26 | 1,641,680 | 1,678,025 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 7/15/26 | 4,678,660 | 4,585,999 | |||||
U.S. Treasury Notes, 0.75%, 10/31/17 | 600,000 | 599,110 | |||||
U.S. Treasury Notes, 1.00%, 3/15/18 | 6,800,000 | 6,788,311 | |||||
U.S. Treasury Notes, 2.625%, 4/30/18 | 37,000 | 37,475 | |||||
U.S. Treasury Notes, 1.375%, 9/30/18 | 1,700,000 | 1,703,386 | |||||
U.S. Treasury Notes, 1.25%, 12/15/18 | 1,500,000 | 1,500,234 | |||||
U.S. Treasury Notes, 1.125%, 1/31/19 | 1,900,000 | 1,896,177 | |||||
U.S. Treasury Notes, 1.50%, 2/28/19 | 150,000 | 150,603 | |||||
U.S. Treasury Notes, 1.625%, 7/31/19 | 350,000 | 352,406 | |||||
U.S. Treasury Notes, 1.75%, 9/30/19 | 1,400,000 | 1,413,727 | |||||
U.S. Treasury Notes, 1.50%, 11/30/19 | 1,440,000 | 1,445,090 | |||||
U.S. Treasury Notes, 1.375%, 1/15/20 | 100,000 | 100,016 | |||||
U.S. Treasury Notes, 1.25%, 1/31/20 | 613,000 | 610,881 | |||||
U.S. Treasury Notes, 1.375%, 5/15/20 | 2,050,000 | 2,053,924 | |||||
U.S. Treasury Notes, 1.50%, 5/31/20 | 300,000 | 300,434 | |||||
U.S. Treasury Notes, 1.375%, 10/31/20 | 2,350,000 | 2,336,828 | |||||
U.S. Treasury Notes, 2.00%, 11/30/20 | 250,000 | 253,789 | |||||
U.S. Treasury Notes, 1.375%, 5/31/21 | 100,000 | 98,975 | |||||
U.S. Treasury Notes, 2.00%, 10/31/21 | 2,600,000 | 2,632,042 | |||||
U.S. Treasury Notes, 1.875%, 1/31/22 | 1,000,000 | 1,006,133 | |||||
U.S. Treasury Notes, 1.875%, 4/30/22 | 2,950,000 | 2,965,788 | |||||
U.S. Treasury Notes, 1.50%, 2/28/23 | 380,000 | 372,029 | |||||
U.S. Treasury Notes, 1.375%, 6/30/23 | 1,550,000 | 1,501,229 | |||||
U.S. Treasury Notes, 1.25%, 7/31/23 | 350,000 | 336,103 | |||||
U.S. Treasury Notes, 1.375%, 8/31/23 | 1,540,000 | 1,488,507 | |||||
U.S. Treasury Notes, 2.00%, 11/15/26 | 150,000 | 147,375 | |||||
U.S. Treasury Notes, 0.375%, 1/15/27 | 201,856 | 201,688 | |||||
TOTAL U.S. TREASURY SECURITIES (Cost $100,123,689) | 100,939,429 | ||||||
CORPORATE BONDS — 12.3% | |||||||
Aerospace and Defense — 0.1% | |||||||
Boeing Co. (The), 2.20%, 10/30/22 | 60,000 | 59,379 | |||||
Bombardier, Inc., 7.50%, 3/15/25(4) | 35,000 | 36,294 | |||||
Lockheed Martin Corp., 4.25%, 11/15/19 | 120,000 | 126,788 |
32
Shares/ Principal Amount | Value | ||||||
Lockheed Martin Corp., 3.55%, 1/15/26 | $ | 160,000 | $ | 166,682 | |||
Rockwell Collins, Inc., 4.35%, 4/15/47 | 30,000 | 31,254 | |||||
TransDigm, Inc., 6.00%, 7/15/22 | 40,000 | 41,545 | |||||
United Technologies Corp., 6.05%, 6/1/36 | 51,000 | 65,160 | |||||
United Technologies Corp., 5.70%, 4/15/40 | 75,000 | 94,259 | |||||
621,361 | |||||||
Air Freight and Logistics† | |||||||
XPO Logistics, Inc., 6.50%, 6/15/22(4) | 25,000 | 26,636 | |||||
Airlines† | |||||||
American Airlines Group, Inc., 4.625%, 3/1/20(4) | 40,000 | 41,300 | |||||
United Continental Holdings, Inc., 5.00%, 2/1/24 | 25,000 | 25,500 | |||||
66,800 | |||||||
Auto Components† | |||||||
American Axle & Manufacturing, Inc., 6.625%, 10/15/22 | 30,000 | 31,125 | |||||
Goodyear Tire & Rubber Co. (The), 5.125%, 11/15/23 | 75,000 | 79,125 | |||||
Tenneco, Inc., 5.00%, 7/15/26 | 50,000 | 50,688 | |||||
160,938 | |||||||
Automobiles — 0.2% | |||||||
American Honda Finance Corp., 1.50%, 9/11/17(4) | 40,000 | 40,022 | |||||
American Honda Finance Corp., 2.125%, 10/10/18 | 80,000 | 80,583 | |||||
BMW Finance NV, MTN, 1.00%, 2/15/22 | EUR | 40,000 | 46,671 | ||||
Fiat Chrysler Automobiles NV, 4.50%, 4/15/20 | $ | 25,000 | 25,656 | ||||
Ford Motor Co., 4.35%, 12/8/26 | 90,000 | 92,022 | |||||
Ford Motor Credit Co. LLC, 5.00%, 5/15/18 | 110,000 | 113,215 | |||||
Ford Motor Credit Co. LLC, 5.875%, 8/2/21 | 240,000 | 267,989 | |||||
General Motors Co., 5.00%, 4/1/35 | 70,000 | 69,650 | |||||
General Motors Financial Co., Inc., 3.25%, 5/15/18 | 60,000 | 60,800 | |||||
General Motors Financial Co., Inc., 3.10%, 1/15/19 | 170,000 | 172,559 | |||||
General Motors Financial Co., Inc., 3.20%, 7/6/21 | 190,000 | 192,003 | |||||
General Motors Financial Co., Inc., 5.25%, 3/1/26 | 50,000 | 53,881 | |||||
1,215,051 | |||||||
Banks — 3.0% | |||||||
Asian Development Bank, MTN, 2.35%, 6/21/27 | JPY | 30,000,000 | 337,310 | ||||
Banco Inbursa SA Institucion de Banca Multiple, 4.375%, 4/11/27(4) | $ | 150,000 | 148,688 | ||||
Bank of America Corp., 4.10%, 7/24/23 | 70,000 | 74,201 | |||||
Bank of America Corp., MTN, 5.625%, 7/1/20 | 120,000 | 131,576 | |||||
Bank of America Corp., MTN, 4.00%, 4/1/24 | 120,000 | 126,109 | |||||
Bank of America Corp., MTN, 4.20%, 8/26/24 | 190,000 | 197,789 | |||||
Bank of America Corp., MTN, 4.00%, 1/22/25 | 90,000 | 91,917 | |||||
Bank of America Corp., MTN, 5.00%, 1/21/44 | 60,000 | 67,857 | |||||
Bank of America Corp., MTN, VRN, 4.44%, 1/20/47 | 40,000 | 41,529 | |||||
Bank of Montreal, MTN, 1.21%, 7/14/17 | 1,400,000 | 1,400,076 | |||||
Bank of Nova Scotia (The), 1.375%, 12/18/17 | 1,600,000 | 1,600,736 | |||||
Barclays Bank plc, 5.14%, 10/14/20 | 100,000 | 107,739 | |||||
Barclays plc, MTN, VRN, 2.625%, 11/11/20 | EUR | 200,000 | 232,747 | ||||
BPCE SA, VRN, 2.75%, 7/8/21 | EUR | 100,000 | 118,821 |
33
Shares/ Principal Amount | Value | ||||||
Branch Banking & Trust Co., 3.625%, 9/16/25 | $ | 60,000 | $ | 62,431 | |||
Branch Banking & Trust Co., 3.80%, 10/30/26 | 70,000 | 73,953 | |||||
Canadian Imperial Bank of Commerce, VRN, 1.42%, 8/4/17 | 640,000 | 640,470 | |||||
Capital One Financial Corp., 4.20%, 10/29/25 | 255,000 | 260,383 | |||||
Citigroup, Inc., 4.50%, 1/14/22 | 160,000 | 172,557 | |||||
Citigroup, Inc., 4.05%, 7/30/22 | 50,000 | 52,527 | |||||
Citigroup, Inc., 4.45%, 9/29/27 | 560,000 | 584,626 | |||||
Co-Operative Bank plc, 4.75%, 11/11/21 (Secured) | GBP | 200,000 | 287,207 | ||||
Commerzbank AG, MTN, 4.00%, 3/23/26 | EUR | 120,000 | 147,591 | ||||
Cooperatieve Rabobank UA, 3.875%, 2/8/22 | $ | 170,000 | 181,458 | ||||
Cooperatieve Rabobank UA, MTN, 4.375%, 6/7/21 | EUR | 100,000 | 131,898 | ||||
Cooperatieve Rabobank UA, VRN, 2.50%, 5/26/21 | EUR | 100,000 | 119,008 | ||||
European Financial Stability Facility, MTN, 1.875%, 5/23/23 | EUR | 240,000 | 299,311 | ||||
European Financial Stability Facility, MTN, 2.125%, 2/19/24 | EUR | 480,000 | 609,246 | ||||
European Financial Stability Facility, MTN, 2.35%, 7/29/44 | EUR | 95,000 | 124,338 | ||||
European Investment Bank, MTN, 3.625%, 1/15/21 | EUR | 307,000 | 394,825 | ||||
European Investment Bank, MTN, 4.25%, 12/7/21 | GBP | 420,000 | 626,662 | ||||
European Investment Bank, MTN, 2.25%, 10/14/22 | EUR | 350,000 | 443,546 | ||||
Fifth Third Bancorp, 4.30%, 1/16/24 | $ | 60,000 | 63,614 | ||||
Fifth Third Bank, 2.875%, 10/1/21 | 31,000 | 31,692 | |||||
HSBC Bank plc, MTN, VRN, 5.375%, 11/4/25 | GBP | 90,000 | 142,818 | ||||
Huntington Bancshares, Inc., 2.30%, 1/14/22 | $ | 80,000 | 78,960 | ||||
International Bank for Reconstruction & Development, MTN, 3.875%, 5/20/19 | EUR | 630,000 | 768,833 | ||||
JPMorgan Chase & Co., 3.25%, 9/23/22 | $ | 70,000 | 71,928 | ||||
JPMorgan Chase & Co., 3.875%, 9/10/24 | 610,000 | 630,780 | |||||
JPMorgan Chase & Co., 3.125%, 1/23/25 | 240,000 | 239,847 | |||||
KeyCorp, MTN, 2.30%, 12/13/18 | 120,000 | 120,770 | |||||
Kreditanstalt fuer Wiederaufbau, 3.875%, 1/21/19 | EUR | 225,000 | 271,322 | ||||
Kreditanstalt fuer Wiederaufbau, 4.625%, 1/4/23 | EUR | 475,000 | 676,721 | ||||
Lloyds Bank plc, MTN, 7.625%, 4/22/25 | GBP | 80,000 | 140,668 | ||||
PNC Financial Services Group, Inc. (The), 4.375%, 8/11/20 | $ | 80,000 | 85,393 | ||||
Royal Bank of Canada, MTN, 1.50%, 1/16/18 | 1,000,000 | 1,000,439 | |||||
Royal Bank of Scotland Group plc, 6.125%, 12/15/22 | 25,000 | 27,412 | |||||
Santander Issuances SAU, MTN, 2.50%, 3/18/25 | EUR | 200,000 | 229,613 | ||||
Santander UK plc, MTN, 5.125%, 4/14/21 (Secured) | GBP | 100,000 | 150,044 | ||||
US Bancorp, MTN, 3.00%, 3/15/22 | $ | 9,000 | 9,262 | ||||
US Bancorp, MTN, 3.60%, 9/11/24 | 24,000 | 25,025 | |||||
US Bank N.A., 2.80%, 1/27/25 | 250,000 | 248,491 | |||||
Wells Fargo & Co., 3.07%, 1/24/23 | 80,000 | 81,293 | |||||
Wells Fargo & Co., 4.125%, 8/15/23 | 100,000 | 106,139 | |||||
Wells Fargo & Co., 3.00%, 4/22/26 | 180,000 | 176,066 | |||||
Wells Fargo & Co., MTN, 2.60%, 7/22/20 | 130,000 | 131,970 | |||||
Wells Fargo & Co., MTN, 2.25%, 9/3/20 | EUR | 100,000 | 120,131 | ||||
Wells Fargo & Co., MTN, 3.55%, 9/29/25 | $ | 80,000 | 81,946 | ||||
Wells Fargo & Co., MTN, 4.10%, 6/3/26 | 120,000 | 124,951 | |||||
Wells Fargo & Co., MTN, 4.65%, 11/4/44 | 115,000 | 119,292 | |||||
15,844,552 |
34
Shares/ Principal Amount | Value | ||||||
Beverages — 0.2% | |||||||
Anheuser-Busch InBev Finance, Inc., 3.30%, 2/1/23 | $ | 310,000 | $ | 320,152 | |||
Anheuser-Busch InBev Finance, Inc., 3.65%, 2/1/26 | 200,000 | 206,060 | |||||
Anheuser-Busch InBev Finance, Inc., 4.90%, 2/1/46 | 180,000 | 200,344 | |||||
Anheuser-Busch InBev Worldwide, Inc., 7.75%, 1/15/19 | 30,000 | 32,802 | |||||
Constellation Brands, Inc., 4.75%, 12/1/25 | 150,000 | 164,775 | |||||
Molson Coors Brewing Co., 3.00%, 7/15/26 | 100,000 | 97,310 | |||||
1,021,443 | |||||||
Biotechnology — 0.3% | |||||||
AbbVie, Inc., 2.90%, 11/6/22 | 195,000 | 196,788 | |||||
AbbVie, Inc., 3.60%, 5/14/25 | 40,000 | 40,966 | |||||
AbbVie, Inc., 4.40%, 11/6/42 | 130,000 | 129,419 | |||||
AbbVie, Inc., 4.45%, 5/14/46 | 10,000 | 10,021 | |||||
AMAG Pharmaceuticals, Inc., 7.875%, 9/1/23(4) | 35,000 | 34,037 | |||||
Amgen, Inc., 4.66%, 6/15/51 | 138,000 | 143,237 | |||||
Biogen, Inc., 3.625%, 9/15/22 | 160,000 | 168,210 | |||||
Celgene Corp., 3.25%, 8/15/22 | 90,000 | 92,927 | |||||
Celgene Corp., 3.625%, 5/15/24 | 15,000 | 15,556 | |||||
Celgene Corp., 3.875%, 8/15/25 | 130,000 | 136,109 | |||||
Celgene Corp., 5.00%, 8/15/45 | 70,000 | 76,727 | |||||
Concordia International Corp., 9.50%, 10/21/22(4) | 10,000 | 2,350 | |||||
Concordia International Corp., 7.00%, 4/15/23(4) | 20,000 | 4,150 | |||||
Gilead Sciences, Inc., 4.40%, 12/1/21 | 110,000 | 119,399 | |||||
Gilead Sciences, Inc., 3.65%, 3/1/26 | 230,000 | 236,387 | |||||
1,406,283 | |||||||
Building Products† | |||||||
Masco Corp., 4.45%, 4/1/25 | 110,000 | 118,305 | |||||
Capital Markets — 0.1% | |||||||
ABN AMRO Bank NV, MTN, VRN, 2.875%, 6/30/20 | EUR | 100,000 | 119,299 | ||||
Jefferies Group LLC, 5.125%, 4/13/18 | $ | 90,000 | 92,501 | ||||
Jefferies Group LLC, 4.85%, 1/15/27 | 50,000 | 52,634 | |||||
264,434 | |||||||
Chemicals — 0.1% | |||||||
Ashland LLC, 4.75%, 8/15/22 | 30,000 | 31,350 | |||||
Blue Cube Spinco, Inc., 9.75%, 10/15/23 | 15,000 | 18,375 | |||||
CF Industries, Inc., 3.45%, 6/1/23 | 20,000 | 18,775 | |||||
Chemours Co. (The), 6.625%, 5/15/23 | 25,000 | 26,810 | |||||
E.I. du Pont de Nemours & Co., 4.15%, 2/15/43 | 30,000 | 30,298 | |||||
Eastman Chemical Co., 3.60%, 8/15/22 | 6,000 | 6,263 | |||||
Ecolab, Inc., 4.35%, 12/8/21 | 160,000 | 174,307 | |||||
Hexion, Inc., 6.625%, 4/15/20 | 10,000 | 9,350 | |||||
Huntsman International LLC, 5.125%, 11/15/22 | 25,000 | 27,062 | |||||
INEOS Group Holdings SA, 5.625%, 8/1/24(4) | 30,000 | 30,900 | |||||
LyondellBasell Industries NV, 4.625%, 2/26/55 | 50,000 | 49,074 | |||||
Mosaic Co. (The), 5.625%, 11/15/43 | 60,000 | 61,599 | |||||
NOVA Chemicals Corp., 4.875%, 6/1/24(2)(4) | 70,000 | 70,262 | |||||
Platform Specialty Products Corp., 6.50%, 2/1/22(4) | 20,000 | 20,700 |
35
Shares/ Principal Amount | Value | ||||||
Sherwin-Williams Co. (The), 3.45%, 6/1/27 | $ | 70,000 | $ | 70,852 | |||
Tronox Finance LLC, 6.375%, 8/15/20 | 20,000 | 20,250 | |||||
666,227 | |||||||
Commercial Services and Supplies — 0.1% | |||||||
ADT Corp. (The), 6.25%, 10/15/21 | 20,000 | 22,100 | |||||
Clean Harbors, Inc., 5.25%, 8/1/20 | 25,000 | 25,437 | |||||
Covanta Holding Corp., 5.875%, 3/1/24 | 35,000 | 34,650 | |||||
Envision Healthcare Corp., 5.125%, 7/1/22(4) | 25,000 | 25,750 | |||||
Iron Mountain, Inc., 5.75%, 8/15/24 | 35,000 | 36,094 | |||||
Prime Security Services Borrower LLC / Prime Finance, Inc., 9.25%, 5/15/23(4) | 35,000 | 38,354 | |||||
Republic Services, Inc., 3.55%, 6/1/22 | 220,000 | 230,594 | |||||
Waste Management, Inc., 4.10%, 3/1/45 | 70,000 | 72,373 | |||||
485,352 | |||||||
Communications Equipment† | |||||||
Cisco Systems, Inc., 5.90%, 2/15/39 | 27,000 | 35,087 | |||||
CommScope Technologies LLC, 5.00%, 3/15/27(4) | 60,000 | 60,150 | |||||
Zayo Group LLC / Zayo Capital, Inc., 6.00%, 4/1/23 | 25,000 | 26,562 | |||||
Zayo Group LLC / Zayo Capital, Inc., 5.75%, 1/15/27(4) | 40,000 | 42,296 | |||||
164,095 | |||||||
Construction and Engineering† | |||||||
SBA Communications Corp., 4.875%, 7/15/22 | 35,000 | 36,269 | |||||
Construction Materials† | |||||||
Builders FirstSource, Inc., 10.75%, 8/15/23(4) | 20,000 | 23,250 | |||||
Builders FirstSource, Inc., 5.625%, 9/1/24(4) | 10,000 | 10,413 | |||||
Owens Corning, 4.20%, 12/15/22 | 90,000 | 95,674 | |||||
Ply Gem Industries, Inc., 6.50%, 2/1/22 | 25,000 | 26,250 | |||||
155,587 | |||||||
Consumer Finance — 0.3% | |||||||
American Express Centurion Bank, MTN, 6.00%, 9/13/17 | 250,000 | 253,091 | |||||
American Express Co., 1.55%, 5/22/18 | 60,000 | 59,985 | |||||
American Express Credit Corp., 2.60%, 9/14/20 | 60,000 | 61,017 | |||||
American Express Credit Corp., MTN, 2.25%, 5/5/21 | 70,000 | 70,088 | |||||
Capital One Bank USA N.A., 2.30%, 6/5/19 | 250,000 | 250,789 | |||||
CIT Group, Inc., 5.00%, 8/15/22 | 90,000 | 97,623 | |||||
Discover Financial Services, 3.75%, 3/4/25 | 200,000 | 199,504 | |||||
Equifax, Inc., 3.30%, 12/15/22 | 100,000 | 102,886 | |||||
GLP Capital LP / GLP Financing II, Inc., 5.375%, 11/1/23 | 20,000 | 21,725 | |||||
GLP Capital LP / GLP Financing II, Inc., 5.375%, 4/15/26 | 10,000 | 10,850 | |||||
Navient Corp., 5.00%, 10/26/20 | 45,000 | 46,125 | |||||
Navient Corp., 5.50%, 1/25/23 | 10,000 | 9,909 | |||||
Park Aerospace Holdings Ltd., 5.25%, 8/15/22(4) | 20,000 | 21,063 | |||||
Synchrony Financial, 2.60%, 1/15/19 | 60,000 | 60,350 | |||||
Synchrony Financial, 3.00%, 8/15/19 | 50,000 | 50,738 | |||||
1,315,743 | |||||||
Containers and Packaging — 0.1% | |||||||
Ball Corp., 4.00%, 11/15/23 | 60,000 | 61,350 |
36
Shares/ Principal Amount | Value | ||||||
Berry Plastics Corp., 5.125%, 7/15/23 | $ | 25,000 | $ | 26,294 | |||
BWAY Holding Co., 5.50%, 4/15/24(4) | 10,000 | 10,250 | |||||
Crown Americas LLC / Crown Americas Capital Corp. IV, 4.50%, 1/15/23 | 175,000 | 182,875 | |||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 5.75%, 10/15/20 | 35,000 | 36,006 | |||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 7.00%, 7/15/24(4) | 40,000 | 43,125 | |||||
Sealed Air Corp., 5.125%, 12/1/24(4) | 35,000 | 37,012 | |||||
396,912 | |||||||
Diversified Consumer Services† | |||||||
Catholic Health Initiatives, 2.95%, 11/1/22 | 70,000 | 68,123 | |||||
Service Corp. International/US, 5.375%, 5/15/24 | 25,000 | 26,435 | |||||
94,558 | |||||||
Diversified Financial Services — 1.4% | |||||||
Ally Financial, Inc., 3.60%, 5/21/18 | 120,000 | 121,950 | |||||
Ally Financial, Inc., 4.125%, 2/13/22 | 90,000 | 92,532 | |||||
Ally Financial, Inc., 4.625%, 3/30/25 | 40,000 | 40,258 | |||||
Ally Financial, Inc., 5.75%, 11/20/25 | 45,000 | 46,912 | |||||
Credit Agricole SA, MTN, 7.375%, 12/18/23 | GBP | 100,000 | 170,256 | ||||
GE Capital European Funding Unlimited. Co., MTN, 5.375%, 1/23/20 | EUR | 200,000 | 256,498 | ||||
GE Capital International Funding Co. Unlimited. Co., 2.34%, 11/15/20 | $ | 286,000 | 289,015 | ||||
Goldman Sachs Group, Inc. (The), 2.30%, 12/13/19 | 280,000 | 281,188 | |||||
Goldman Sachs Group, Inc. (The), 2.75%, 9/15/20 | 50,000 | 50,698 | |||||
Goldman Sachs Group, Inc. (The), 5.50%, 10/12/21 | GBP | 50,000 | 74,826 | ||||
Goldman Sachs Group, Inc. (The), 5.75%, 1/24/22 | $ | 540,000 | 610,670 | ||||
Goldman Sachs Group, Inc. (The), 3.50%, 1/23/25 | 20,000 | 20,242 | |||||
Goldman Sachs Group, Inc. (The), 4.25%, 10/21/25 | 155,000 | 161,044 | |||||
Goldman Sachs Group, Inc. (The), 3.50%, 11/16/26 | 150,000 | 149,010 | |||||
Goldman Sachs Group, Inc. (The), MTN, 4.80%, 7/8/44 | 90,000 | 98,253 | |||||
Gulf Gate Apartments LLC, VRN, 1.08%, 6/1/17 (Acquired 9/29/03 - 11/10/03, Cost $3,000,000)(6) | 3,000,000 | 3,000,000 | |||||
HSBC Holdings plc, 4.30%, 3/8/26 | 200,000 | 213,505 | |||||
HSBC Holdings plc, VRN, 3.26%, 3/13/22 | 200,000 | 203,682 | |||||
HUB International Ltd., 7.875%, 10/1/21(4) | 30,000 | 31,425 | |||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp., 5.875%, 2/1/22 | 50,000 | 51,437 | |||||
Morgan Stanley, 2.75%, 5/19/22 | 50,000 | 50,108 | |||||
Morgan Stanley, 4.375%, 1/22/47 | 40,000 | 41,346 | |||||
Morgan Stanley, MTN, 5.625%, 9/23/19 | 250,000 | 269,461 | |||||
Morgan Stanley, MTN, 3.70%, 10/23/24 | 250,000 | 258,094 | |||||
Morgan Stanley, MTN, 4.00%, 7/23/25 | 350,000 | 366,257 | |||||
Nationstar Mortgage LLC / Nationstar Capital Corp., 6.50%, 7/1/21 | 15,000 | 15,394 | |||||
UniCredit SpA, MTN, VRN, 5.75%, 10/28/20 | EUR | 100,000 | 123,638 | ||||
7,087,699 |
37
Shares/ Principal Amount | Value | ||||||
Diversified Telecommunication Services — 0.5% | |||||||
AT&T, Inc., 5.00%, 3/1/21 | $ | 150,000 | $ | 163,114 | |||
AT&T, Inc., 3.60%, 2/17/23 | 90,000 | 92,192 | |||||
AT&T, Inc., 4.45%, 4/1/24 | 50,000 | 52,927 | |||||
AT&T, Inc., 3.40%, 5/15/25 | 90,000 | 88,571 | |||||
AT&T, Inc., 2.60%, 12/17/29 | EUR | 100,000 | 117,739 | ||||
AT&T, Inc., 6.55%, 2/15/39 | $ | 171,000 | 205,921 | ||||
AT&T, Inc., 4.30%, 12/15/42 | 130,000 | 119,248 | |||||
British Telecommunications plc, 5.95%, 1/15/18 | 230,000 | 236,063 | |||||
CenturyLink, Inc., 5.625%, 4/1/20 | 50,000 | 53,188 | |||||
Cincinnati Bell, Inc., 7.00%, 7/15/24(4) | 20,000 | 21,000 | |||||
Deutsche Telekom International Finance BV, 3.60%, 1/19/27(4) | 170,000 | 174,010 | |||||
Frontier Communications Corp., 8.50%, 4/15/20 | 20,000 | 21,250 | |||||
Frontier Communications Corp., 10.50%, 9/15/22 | 85,000 | 83,725 | |||||
Frontier Communications Corp., 11.00%, 9/15/25 | 35,000 | 32,856 | |||||
Hughes Satellite Systems Corp., 5.25%, 8/1/26 | 25,000 | 25,781 | |||||
Intelsat Jackson Holdings SA, 7.25%, 4/1/19 | 70,000 | 67,200 | |||||
Level 3 Financing, Inc., 5.375%, 8/15/22 | 35,000 | 36,138 | |||||
Orange SA, 4.125%, 9/14/21 | 120,000 | 128,406 | |||||
Telecom Italia Capital SA, 6.375%, 11/15/33 | 45,000 | 48,600 | |||||
Telecom Italia SpA/Milano, MTN, 5.875%, 5/19/23 | GBP | 50,000 | 74,992 | ||||
Telefonica Europe BV, VRN, 5.875%, 3/31/24 | EUR | 100,000 | 127,836 | ||||
Verizon Communications, Inc., 3.65%, 9/14/18 | $ | 38,000 | 38,923 | ||||
Verizon Communications, Inc., 2.45%, 11/1/22 | 10,000 | 9,862 | |||||
Verizon Communications, Inc., 2.625%, 8/15/26 | 60,000 | 55,821 | |||||
Verizon Communications, Inc., 4.125%, 3/16/27 | 30,000 | 31,159 | |||||
Verizon Communications, Inc., 5.05%, 3/15/34 | 340,000 | 357,979 | |||||
Verizon Communications, Inc., 4.40%, 11/1/34 | 40,000 | 39,248 | |||||
Verizon Communications, Inc., 4.75%, 11/1/41 | 15,000 | 14,843 | |||||
Verizon Communications, Inc., 4.86%, 8/21/46 | 57,000 | 56,401 | |||||
Verizon Communications, Inc., 5.01%, 8/21/54 | 107,000 | 105,346 | |||||
Windstream Services LLC, 7.75%, 10/15/20 | 40,000 | 40,488 | |||||
2,720,827 | |||||||
Electronic Equipment, Instruments and Components† | |||||||
Sanmina Corp., 4.375%, 6/1/19(4) | 25,000 | 25,688 | |||||
Energy Equipment and Services — 0.1% | |||||||
Ensco plc, 4.70%, 3/15/21 | 10,000 | 10,150 | |||||
Ensco plc, 8.00%, 1/31/24 | 7,000 | 6,926 | |||||
Halliburton Co., 3.80%, 11/15/25 | 120,000 | 124,087 | |||||
Noble Holding International Ltd., 7.75%, 1/15/24 | 45,000 | 39,924 | |||||
SESI LLC, 6.375%, 5/1/19 | 10,000 | 9,900 | |||||
Transocean, Inc., 4.50%, 10/15/17 | 25,000 | 25,328 | |||||
Transocean, Inc., 9.00%, 7/15/23(4) | 35,000 | 36,750 | |||||
Weatherford International Ltd., 7.75%, 6/15/21 | 10,000 | 10,591 | |||||
Weatherford International Ltd., 4.50%, 4/15/22 | 50,000 | 46,625 | |||||
310,281 |
38
Shares/ Principal Amount | Value | ||||||
Equity Real Estate Investment Trusts (REITs) — 0.2% | |||||||
American Tower Corp., 5.05%, 9/1/20 | $ | 40,000 | $ | 43,320 | |||
American Tower Corp., 3.375%, 10/15/26 | 150,000 | 147,834 | |||||
Boston Properties LP, 3.65%, 2/1/26 | 60,000 | 61,330 | |||||
CoreCivic, Inc., 4.125%, 4/1/20 | 15,000 | 15,487 | |||||
Crown Castle International Corp., 5.25%, 1/15/23 | 10,000 | 11,180 | |||||
Crown Castle International Corp., 4.45%, 2/15/26 | 80,000 | 85,383 | |||||
CTR Partnership LP / CareTrust Capital Corp., 5.875%, 6/1/21 | 25,000 | 25,747 | |||||
Equinix, Inc., 5.375%, 4/1/23 | 35,000 | 36,827 | |||||
Essex Portfolio LP, 3.625%, 8/15/22 | 90,000 | 93,196 | |||||
Essex Portfolio LP, 3.25%, 5/1/23 | 30,000 | 30,310 | |||||
Hospitality Properties Trust, 4.65%, 3/15/24 | 60,000 | 62,638 | |||||
Kilroy Realty LP, 3.80%, 1/15/23 | 110,000 | 114,310 | |||||
Kilroy Realty LP, 4.375%, 10/1/25 | 30,000 | 31,694 | |||||
Kimco Realty Corp., 2.80%, 10/1/26 | 80,000 | 74,642 | |||||
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc., 5.625%, 5/1/24 | 20,000 | 21,675 | |||||
Simon Property Group LP, 3.25%, 11/30/26 | 50,000 | 49,898 | |||||
Uniti Group, Inc. / CSL Capital LLC, 8.25%, 10/15/23 | 50,000 | 52,875 | |||||
Uniti Group, Inc. / CSL Capital LLC, 7.125%, 12/15/24(4) | 10,000 | 10,050 | |||||
Welltower, Inc., 3.75%, 3/15/23 | 100,000 | 103,742 | |||||
1,072,138 | |||||||
Financial Services† | |||||||
PetSmart, Inc., 7.125%, 3/15/23(4) | 60,000 | 56,100 | |||||
Solera LLC / Solera Finance, Inc., 10.50%, 3/1/24(4) | 45,000 | 51,750 | |||||
107,850 | |||||||
Food and Staples Retailing — 0.2% | |||||||
Albertsons Cos. LLC / Safeway, Inc. / New Albertson's, Inc. / Albertson's LLC, 6.625%, 6/15/24(4) | 25,000 | 25,938 | |||||
CVS Health Corp., 3.50%, 7/20/22 | 110,000 | 114,712 | |||||
CVS Health Corp., 5.125%, 7/20/45 | 60,000 | 68,208 | |||||
Dollar General Corp., 3.25%, 4/15/23 | 70,000 | 71,423 | |||||
Dollar Tree, Inc., 5.75%, 3/1/23 | 15,000 | 15,960 | |||||
Horizon Pharma, Inc., 6.625%, 5/1/23 | 20,000 | 18,850 | |||||
Kroger Co. (The), 3.30%, 1/15/21 | 170,000 | 175,739 | |||||
Kroger Co. (The), 3.875%, 10/15/46 | 50,000 | 46,333 | |||||
Mondelez International Holdings Netherlands BV, 1.625%, 10/28/19(4) | 200,000 | 197,573 | |||||
Rite Aid Corp., 6.125%, 4/1/23(4) | 50,000 | 49,853 | |||||
SUPERVALU, Inc., 6.75%, 6/1/21 | 10,000 | 10,263 | |||||
Sysco Corp., 3.30%, 7/15/26 | 40,000 | 40,171 | |||||
Target Corp., 2.50%, 4/15/26 | 100,000 | 95,881 | |||||
Tesco plc, MTN, 5.00%, 3/24/23 | GBP | 50,000 | 71,918 | ||||
Wal-Mart Stores, Inc., 2.55%, 4/11/23 | $ | 150,000 | 152,574 | ||||
Wal-Mart Stores, Inc., 5.625%, 4/1/40 | 120,000 | 153,533 | |||||
1,308,929 | |||||||
Food Products — 0.1% | |||||||
B&G Foods, Inc., 5.25%, 4/1/25 | 20,000 | 20,750 |
39
Shares/ Principal Amount | Value | ||||||
JBS USA LUX SA / JBS USA Finance, Inc., 5.75%, 6/15/25(4) | $ | 55,000 | $ | 53,350 | |||
Kraft Heinz Foods Co., 3.95%, 7/15/25 | 50,000 | 51,599 | |||||
Kraft Heinz Foods Co., 5.20%, 7/15/45 | 70,000 | 75,194 | |||||
Kraft Heinz Foods Co., 4.375%, 6/1/46 | 50,000 | 47,976 | |||||
Lamb Weston Holdings, Inc., 4.625%, 11/1/24(4) | 70,000 | 72,100 | |||||
Nature's Bounty Co. (The), 7.625%, 5/15/21(4) | 15,000 | 15,713 | |||||
Pilgrim's Pride Corp., 5.75%, 3/15/25(4) | 50,000 | 51,500 | |||||
Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp., 4.875%, 5/1/21 | 25,000 | 25,687 | |||||
Post Holdings, Inc., 5.00%, 8/15/26(4) | 70,000 | 70,700 | |||||
484,569 | |||||||
Gas Utilities — 0.5% | |||||||
Boardwalk Pipelines LP, 4.45%, 7/15/27 | 40,000 | 41,309 | |||||
Cheniere Corpus Christi Holdings LLC, 7.00%, 6/30/24 | 20,000 | 22,500 | |||||
Cheniere Corpus Christi Holdings LLC, 5.875%, 3/31/25 | 10,000 | 10,775 | |||||
Cheniere Corpus Christi Holdings LLC, 5.125%, 6/30/27(4) | 20,000 | 20,300 | |||||
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 5.75%, 4/1/25(4) | 25,000 | 25,625 | |||||
Enbridge Energy Partners LP, 6.50%, 4/15/18 | 130,000 | 135,119 | |||||
Enbridge, Inc., 4.00%, 10/1/23 | 70,000 | 73,517 | |||||
Enbridge, Inc., 4.50%, 6/10/44 | 60,000 | 58,841 | |||||
Energy Transfer Equity LP, 5.875%, 1/15/24 | 25,000 | 26,812 | |||||
Energy Transfer Equity LP, 5.50%, 6/1/27 | 15,000 | 15,863 | |||||
Energy Transfer LP, 4.15%, 10/1/20 | 110,000 | 115,095 | |||||
Energy Transfer LP, 3.60%, 2/1/23 | 110,000 | 111,991 | |||||
Energy Transfer LP, 6.50%, 2/1/42 | 80,000 | 91,107 | |||||
Enterprise Products Operating LLC, 4.85%, 3/15/44 | 220,000 | 232,298 | |||||
Genesis Energy LP / Genesis Energy Finance Corp., 6.75%, 8/1/22 | 35,000 | 36,269 | |||||
Genesis Energy LP / Genesis Energy Finance Corp., 5.625%, 6/15/24 | 10,000 | 9,775 | |||||
Kinder Morgan Energy Partners LP, 6.50%, 9/1/39 | 200,000 | 231,209 | |||||
Magellan Midstream Partners LP, 6.55%, 7/15/19 | 100,000 | 109,125 | |||||
MPLX LP, 4.875%, 12/1/24 | 25,000 | 26,878 | |||||
MPLX LP, 4.875%, 6/1/25 | 160,000 | 171,612 | |||||
MPLX LP, 5.20%, 3/1/47 | 20,000 | 20,777 | |||||
NGPL PipeCo LLC, 7.12%, 12/15/17(4) | 25,000 | 25,687 | |||||
Plains All American Pipeline LP / PAA Finance Corp., 3.65%, 6/1/22 | 160,000 | 164,140 | |||||
Regency Energy Partners LP / Regency Energy Finance Corp., 5.50%, 4/15/23 | 25,000 | 26,100 | |||||
Rockies Express Pipeline LLC, 5.625%, 4/15/20(4) | 35,000 | 37,450 | |||||
Sabine Pass Liquefaction LLC, 5.625%, 3/1/25 | 220,000 | 244,530 | |||||
Sunoco Logistics Partners Operations LP, 3.45%, 1/15/23 | 170,000 | 172,733 | |||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 4.25%, 11/15/23 | 35,000 | 34,825 | |||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.125%, 2/1/25(4) | 20,000 | 20,775 | |||||
Tesoro Logistics LP / Tesoro Logistics Finance Corp., 6.25%, 10/15/22 | 25,000 | 26,859 |
40
Shares/ Principal Amount | Value | ||||||
TransCanada PipeLines Ltd., 2.50%, 8/1/22 | $ | 19,000 | $ | 19,050 | |||
Williams Cos., Inc. (The), 3.70%, 1/15/23 | 80,000 | 79,200 | |||||
Williams Cos., Inc. (The), 4.55%, 6/24/24 | 60,000 | 61,950 | |||||
Williams Partners LP, 4.125%, 11/15/20 | 20,000 | 21,082 | |||||
Williams Partners LP, 5.10%, 9/15/45 | 90,000 | 93,174 | |||||
2,614,352 | |||||||
Health Care Equipment and Supplies — 0.2% | |||||||
Abbott Laboratories, 2.00%, 9/15/18 | 40,000 | 40,141 | |||||
Abbott Laboratories, 3.75%, 11/30/26 | 120,000 | 122,627 | |||||
Alere, Inc., 6.50%, 6/15/20 | 20,000 | 20,450 | |||||
Becton Dickinson and Co., 3.73%, 12/15/24 | 120,000 | 122,460 | |||||
Becton Dickinson and Co., 3.70%, 6/6/27(2) | 50,000 | 50,081 | |||||
Mallinckrodt International Finance SA / Mallinckrodt CB LLC, 5.625%, 10/15/23(4) | 70,000 | 67,550 | |||||
Medtronic, Inc., 2.50%, 3/15/20 | 70,000 | 71,247 | |||||
Medtronic, Inc., 3.50%, 3/15/25 | 12,000 | 12,525 | |||||
Medtronic, Inc., 4.375%, 3/15/35 | 190,000 | 205,341 | |||||
Thermo Fisher Scientific, Inc., 3.60%, 8/15/21 | 93,000 | 97,149 | |||||
Thermo Fisher Scientific, Inc., 3.30%, 2/15/22 | 35,000 | 36,212 | |||||
Thermo Fisher Scientific, Inc., 5.30%, 2/1/44 | 60,000 | 69,318 | |||||
Zimmer Biomet Holdings, Inc., 2.70%, 4/1/20 | 60,000 | 60,747 | |||||
975,848 | |||||||
Health Care Providers and Services — 0.3% | |||||||
Acadia Healthcare Co., Inc., 5.125%, 7/1/22 | 35,000 | 35,875 | |||||
Aetna, Inc., 2.75%, 11/15/22 | 90,000 | 90,786 | |||||
Ascension Health, 3.95%, 11/15/46 | 30,000 | 29,862 | |||||
Centene Corp., 5.625%, 2/15/21 | 25,000 | 26,172 | |||||
Centene Corp., 6.125%, 2/15/24 | 35,000 | 38,117 | |||||
CHS / Community Health Systems, Inc., 6.875%, 2/1/22 | 50,000 | 44,625 | |||||
CHS / Community Health Systems, Inc., 6.25%, 3/31/23 | 20,000 | 20,740 | |||||
CHS/Community Health Systems, Inc., 5.125%, 8/1/21 | 20,000 | 20,375 | |||||
DaVita, Inc., 5.75%, 8/15/22 | 15,000 | 15,572 | |||||
DaVita, Inc., 5.125%, 7/15/24 | 25,000 | 25,484 | |||||
DaVita, Inc., 5.00%, 5/1/25 | 10,000 | 9,963 | |||||
Envision Healthcare Corp., 5.625%, 7/15/22 | 25,000 | 26,184 | |||||
Express Scripts Holding Co., 3.40%, 3/1/27 | 190,000 | 183,563 | |||||
Fresenius Medical Care US Finance II, Inc., 4.75%, 10/15/24(4) | 50,000 | 53,001 | |||||
HCA, Inc., 3.75%, 3/15/19 | 250,000 | 255,937 | |||||
HCA, Inc., 4.75%, 5/1/23 | 80,000 | 85,532 | |||||
HCA, Inc., 5.375%, 2/1/25 | 90,000 | 94,838 | |||||
HCA, Inc., 4.50%, 2/15/27 | 15,000 | 15,469 | |||||
HealthSouth Corp., 5.75%, 11/1/24 | 15,000 | 15,563 | |||||
IASIS Healthcare LLC / IASIS Capital Corp., 8.375%, 5/15/19 | 40,000 | 40,525 | |||||
Jaguar Holding Co. II / Pharmaceutical Product Development LLC, 6.375%, 8/1/23(4) | 30,000 | 31,800 | |||||
Kindred Healthcare, Inc., 8.00%, 1/15/20 | 20,000 | 21,175 |
41
Shares/ Principal Amount | Value | ||||||
LifePoint Health, Inc., 5.50%, 12/1/21 | $ | 10,000 | $ | 10,394 | |||
Mylan NV, 3.95%, 6/15/26 | 70,000 | 70,320 | |||||
NYU Hospitals Center, 4.43%, 7/1/42 | 70,000 | 71,948 | |||||
Tenet Healthcare Corp., 5.00%, 3/1/19 | 45,000 | 46,125 | |||||
Tenet Healthcare Corp., 6.00%, 10/1/20 | 25,000 | 26,844 | |||||
Tenet Healthcare Corp., 4.50%, 4/1/21 | 10,000 | 10,313 | |||||
Tenet Healthcare Corp., 8.125%, 4/1/22 | 35,000 | 37,056 | |||||
Tenet Healthcare Corp., 6.75%, 6/15/23 | 40,000 | 39,900 | |||||
UnitedHealth Group, Inc., 2.875%, 3/15/22 | 120,000 | 123,454 | |||||
UnitedHealth Group, Inc., 3.75%, 7/15/25 | 50,000 | 52,933 | |||||
UnitedHealth Group, Inc., 4.25%, 3/15/43 | 80,000 | 84,534 | |||||
Universal Health Services, Inc., 5.00%, 6/1/26(4) | 20,000 | 20,650 | |||||
1,775,629 | |||||||
Hotels, Restaurants and Leisure — 0.2% | |||||||
1011778 BC ULC / New Red Finance, Inc., 4.625%, 1/15/22(4) | 50,000 | 51,525 | |||||
1011778 BC ULC / New Red Finance, Inc., 6.00%, 4/1/22(4) | 45,000 | 46,955 | |||||
Aramark Services, Inc., 5.125%, 1/15/24 | 15,000 | 15,863 | |||||
Aramark Services, Inc., 5.00%, 4/1/25(4) | 40,000 | 42,100 | |||||
Boyd Gaming Corp., 6.875%, 5/15/23 | 10,000 | 10,863 | |||||
Boyd Gaming Corp., 6.375%, 4/1/26 | 25,000 | 27,340 | |||||
Caesars Entertainment Resort Properties LLC / Caesars Entertainment Resort Prope, 8.00%, 10/1/20 | 35,000 | 36,334 | |||||
Eldorado Resorts, Inc., 7.00%, 8/1/23 | 25,000 | 27,219 | |||||
FelCor Lodging LP, 5.625%, 3/1/23 | 10,000 | 10,500 | |||||
Golden Nugget, Inc., 8.50%, 12/1/21(4) | 35,000 | 37,537 | |||||
Hilton Domestic Operating Co., Inc., 4.25%, 9/1/24(4) | 110,000 | 111,375 | |||||
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp., 4.625%, 4/1/25(4) | 20,000 | 20,700 | |||||
International Game Technology plc, 6.25%, 2/15/22(4) | 25,000 | 27,162 | |||||
International Game Technology plc, 6.50%, 2/15/25(4) | 35,000 | 38,391 | |||||
Jack Ohio Finance LLC / Jack Ohio Finance 1 Corp., 6.75%, 11/15/21(4) | 20,000 | 20,775 | |||||
McDonald's Corp., MTN, 3.375%, 5/26/25 | 60,000 | 61,501 | |||||
McDonald's Corp., MTN, 4.70%, 12/9/35 | 40,000 | 43,597 | |||||
MGM Resorts International, 5.25%, 3/31/20 | 30,000 | 32,005 | |||||
MGM Resorts International, 6.00%, 3/15/23 | 30,000 | 33,009 | |||||
MGM Resorts International, 4.625%, 9/1/26 | 10,000 | 10,063 | |||||
Penn National Gaming, Inc., 5.625%, 1/15/27(4) | 35,000 | 35,481 | |||||
Pinnacle Entertainment, Inc., 5.625%, 5/1/24(4) | 15,000 | 15,563 | |||||
Rivers Pittsburgh Borrower, LP / Rivers Pittsburgh Finance Corp., 6.125%, 8/15/21(4) | 10,000 | 10,150 | |||||
Royal Caribbean Cruises Ltd., 5.25%, 11/15/22 | 85,000 | 94,137 | |||||
Scientific Games International, Inc., 6.25%, 9/1/20 | 15,000 | 14,869 | |||||
Scientific Games International, Inc., 7.00%, 1/1/22(4) | 40,000 | 42,800 | |||||
Scientific Games International, Inc., 10.00%, 12/1/22 | 20,000 | 21,850 | |||||
Station Casinos LLC, 7.50%, 3/1/21 | 17,000 | 17,723 | |||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.50%, 3/1/25(4) | 30,000 | 31,800 |
42
Shares/ Principal Amount | Value | ||||||
Yum! Brands, Inc., 3.75%, 11/1/21 | $ | 25,000 | $ | 25,531 | |||
1,014,718 | |||||||
Household Durables — 0.1% | |||||||
Beazer Homes USA, Inc., 7.25%, 2/1/23 | 25,000 | 26,250 | |||||
CalAtlantic Group, Inc., 5.375%, 10/1/22 | 10,000 | 10,763 | |||||
KB Home, 4.75%, 5/15/19 | 15,000 | 15,525 | |||||
KB Home, 7.00%, 12/15/21 | 15,000 | 17,025 | |||||
Lennar Corp., 4.75%, 4/1/21 | 30,000 | 31,762 | |||||
Lennar Corp., 4.50%, 4/30/24 | 30,000 | 30,525 | |||||
Newell Brands, Inc., 4.20%, 4/1/26 | 50,000 | 53,114 | |||||
Newell Brands, Inc., 5.50%, 4/1/46 | 60,000 | 71,105 | |||||
PulteGroup, Inc., 5.50%, 3/1/26 | 20,000 | 21,213 | |||||
Shea Homes LP / Shea Homes Funding Corp., 5.875%, 4/1/23(4) | 20,000 | 20,600 | |||||
Taylor Morrison Communities, Inc. / Taylor Morrison Holdings II, Inc., 5.625%, 3/1/24(4) | 55,000 | 57,887 | |||||
TRI Pointe Group, Inc. / TRI Pointe Homes, Inc., 5.875%, 6/15/24 | 40,000 | 42,100 | |||||
WCI Communities, Inc. / Lennar Corp., 6.875%, 8/15/21 | 25,000 | 26,187 | |||||
William Lyon Homes, Inc., 5.875%, 1/31/25(4) | 25,000 | 25,875 | |||||
449,931 | |||||||
Household Products† | |||||||
Energizer Holdings, Inc., 5.50%, 6/15/25(4) | 25,000 | 26,469 | |||||
Spectrum Brands, Inc., 5.75%, 7/15/25 | 40,000 | 42,704 | |||||
69,173 | |||||||
Industrial Conglomerates — 0.1% | |||||||
Bombardier, Inc., 8.75%, 12/1/21(4) | 25,000 | 27,797 | |||||
FedEx Corp., 4.40%, 1/15/47 | 40,000 | 40,365 | |||||
General Electric Co., 2.70%, 10/9/22 | 90,000 | 92,131 | |||||
General Electric Co., 4.125%, 10/9/42 | 60,000 | 62,740 | |||||
General Electric Co., MTN, 5.625%, 9/15/17 | 51,000 | 51,601 | |||||
General Electric Co., MTN, 4.375%, 9/16/20 | 154,000 | 165,671 | |||||
HD Supply, Inc., 5.25%, 12/15/21(4) | 30,000 | 31,717 | |||||
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc., 6.375%, 5/1/22(4) | 50,000 | 52,375 | |||||
524,397 | |||||||
Insurance — 0.5% | |||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 5.00%, 10/1/21 | 150,000 | 163,021 | |||||
American International Group, Inc., 4.125%, 2/15/24 | 240,000 | 254,070 | |||||
American International Group, Inc., 4.50%, 7/16/44 | 70,000 | 71,695 | |||||
Aquarius & Investments plc for Zurich Insurance Co. Ltd., MTN, VRN, 4.25%, 10/2/23 | EUR | 100,000 | 129,259 | ||||
Assicurazioni Generali SpA, VRN, 6.42%, 2/8/22 | GBP | 50,000 | 70,424 | ||||
AXA SA, 7.125%, 12/15/20 | GBP | 110,000 | 170,102 | ||||
AXA SA, MTN, VRN, 3.375%, 7/6/27 | EUR | 200,000 | 239,108 | ||||
Berkshire Hathaway Finance Corp., 3.00%, 5/15/22 | $ | 90,000 | 93,220 | ||||
Berkshire Hathaway, Inc., 2.75%, 3/15/23 | 50,000 | 50,562 | |||||
Berkshire Hathaway, Inc., 4.50%, 2/11/43 | 110,000 | 121,122 |
43
Shares/ Principal Amount | Value | ||||||
Chubb INA Holdings, Inc., 3.15%, 3/15/25 | $ | 120,000 | $ | 122,441 | |||
Chubb INA Holdings, Inc., 3.35%, 5/3/26 | 60,000 | 61,958 | |||||
CNP Assurances, VRN, 4.00%, 11/18/24 | EUR | 100,000 | 119,842 | ||||
Genworth Holdings, Inc., 7.625%, 9/24/21 | $ | 20,000 | 19,100 | ||||
Hartford Financial Services Group, Inc. (The), 5.95%, 10/15/36 | 30,000 | 36,333 | |||||
International Lease Finance Corp., 3.875%, 4/15/18 | 120,000 | 121,975 | |||||
Markel Corp., 4.90%, 7/1/22 | 120,000 | 132,260 | |||||
Markel Corp., 3.625%, 3/30/23 | 30,000 | 31,207 | |||||
MetLife, Inc., 4.125%, 8/13/42 | 9,000 | 9,175 | |||||
MetLife, Inc., 4.875%, 11/13/43 | 70,000 | 79,272 | |||||
Metropolitan Life Global Funding I, 3.00%, 1/10/23(4) | 100,000 | 101,860 | |||||
Principal Financial Group, Inc., 3.30%, 9/15/22 | 50,000 | 51,724 | |||||
Prudential Financial, Inc., 5.375%, 6/21/20 | 12,000 | 13,153 | |||||
Prudential Financial, Inc., 5.625%, 5/12/41 | 130,000 | 156,941 | |||||
Travelers Cos., Inc. (The), 4.30%, 8/25/45 | 30,000 | 32,359 | |||||
Voya Financial, Inc., 5.70%, 7/15/43 | 110,000 | 127,048 | |||||
WR Berkley Corp., 4.625%, 3/15/22 | 80,000 | 86,442 | |||||
WR Berkley Corp., 4.75%, 8/1/44 | 50,000 | 51,112 | |||||
2,716,785 | |||||||
Internet Software and Services† | |||||||
Match Group, Inc., 6.75%, 12/15/22 | 30,000 | 31,538 | |||||
Netflix, Inc., 5.75%, 3/1/24 | 35,000 | 38,062 | |||||
VeriSign, Inc., 4.625%, 5/1/23 | 10,000 | 10,313 | |||||
79,913 | |||||||
IT Services — 0.1% | |||||||
CDW LLC / CDW Finance Corp., 5.00%, 9/1/23 | 25,000 | 25,875 | |||||
Fidelity National Information Services, Inc., 3.875%, 6/5/24 | 70,000 | 73,280 | |||||
Fidelity National Information Services, Inc., 3.00%, 8/15/26 | 90,000 | 87,408 | |||||
First Data Corp., 7.00%, 12/1/23(4) | 55,000 | 59,400 | |||||
First Data Corp., 5.00%, 1/15/24(4) | 85,000 | 88,400 | |||||
First Data Corp., 5.75%, 1/15/24(4) | 15,000 | 15,919 | |||||
Hewlett Packard Enterprise Co., 3.60%, 10/15/20 | 170,000 | 176,904 | |||||
Hewlett Packard Enterprise Co., 4.90%, 10/15/25 | 50,000 | 52,948 | |||||
580,134 | |||||||
Machinery† | |||||||
BlueLine Rental Finance Corp. / BlueLine Rental LLC, 9.25%, 3/15/24(4) | 15,000 | 15,712 | |||||
Caterpillar Financial Services Corp., MTN, 2.85%, 6/1/22 | 16,000 | 16,364 | |||||
CNH Industrial Capital LLC, 3.375%, 7/15/19 | 25,000 | 25,594 | |||||
57,670 | |||||||
Marine† | |||||||
Martin Midstream Partners LP / Martin Midstream Finance Corp., 7.25%, 2/15/21 | 40,000 | 41,200 | |||||
Media — 0.7% | |||||||
21st Century Fox America, Inc., 3.70%, 10/15/25 | 30,000 | 31,040 | |||||
21st Century Fox America, Inc., 6.90%, 8/15/39 | 70,000 | 92,517 | |||||
21st Century Fox America, Inc., 4.75%, 9/15/44 | 12,000 | 12,402 |
44
Shares/ Principal Amount | Value | ||||||
21st Century Fox America, Inc., 4.75%, 11/15/46 | $ | 20,000 | $ | 20,776 | |||
Altice Financing SA, 6.625%, 2/15/23(4) | 70,000 | 74,655 | |||||
Altice Financing SA, 7.50%, 5/15/26(4) | 35,000 | 38,631 | |||||
Altice Luxembourg SA, 7.75%, 5/15/22(4) | 50,000 | 53,188 | |||||
Altice US Finance I Corp., 5.50%, 5/15/26(4) | 25,000 | 26,250 | |||||
AMC Entertainment Holdings, Inc., 5.75%, 6/15/25 | 25,000 | 26,015 | |||||
CBS Corp., 3.50%, 1/15/25 | 80,000 | 80,621 | |||||
CBS Corp., 4.85%, 7/1/42 | 50,000 | 52,076 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp., 5.25%, 9/30/22 | 170,000 | 176,429 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp., 5.75%, 2/15/26(4) | 75,000 | 80,531 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp., 5.125%, 5/1/27(4) | 15,000 | 15,384 | |||||
Cequel Communications Holdings I LLC / Cequel Capital Corp., 5.125%, 12/15/21(4) | 25,000 | 25,625 | |||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 4.91%, 7/23/25 | 290,000 | 314,381 | |||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 6.48%, 10/23/45 | 20,000 | 23,982 | |||||
Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/20 | 45,000 | 45,394 | |||||
Comcast Corp., 6.40%, 5/15/38 | 110,000 | 144,652 | |||||
Comcast Corp., 4.75%, 3/1/44 | 120,000 | 132,265 | |||||
CSC Holdings LLC, 7.625%, 7/15/18 | 10,000 | 10,625 | |||||
CSC Holdings LLC, 6.75%, 11/15/21 | 45,000 | 49,894 | |||||
CSC Holdings LLC, 10.125%, 1/15/23(4) | 5,000 | 5,835 | |||||
CSC Holdings LLC, 6.625%, 10/15/25(4) | 50,000 | 55,207 | |||||
CSC Holdings LLC, 5.50%, 4/15/27(4) | 20,000 | 20,996 | |||||
Discovery Communications LLC, 5.625%, 8/15/19 | 80,000 | 85,967 | |||||
Discovery Communications LLC, 3.25%, 4/1/23 | 7,000 | 6,917 | |||||
Discovery Communications LLC, 4.90%, 3/11/26 | 50,000 | 52,735 | |||||
DISH DBS Corp., 6.75%, 6/1/21 | 25,000 | 27,719 | |||||
DISH DBS Corp., 5.00%, 3/15/23 | 15,000 | 15,455 | |||||
DISH DBS Corp., 5.875%, 11/15/24 | 55,000 | 58,781 | |||||
Gray Television, Inc., 5.125%, 10/15/24(4) | 25,000 | 25,063 | |||||
Lamar Media Corp., 5.00%, 5/1/23 | 30,000 | 31,425 | |||||
Lamar Media Corp., 5.375%, 1/15/24 | 100,000 | 105,550 | |||||
NBCUniversal Media LLC, 4.375%, 4/1/21 | 140,000 | 151,914 | |||||
NBCUniversal Media LLC, 2.875%, 1/15/23 | 60,000 | 61,277 | |||||
Nexstar Broadcasting, Inc., 5.625%, 8/1/24(4) | 25,000 | 25,250 | |||||
Nielsen Finance LLC / Nielsen Finance Co., 5.00%, 4/15/22(4) | 120,000 | 123,750 | |||||
Omnicom Group, Inc., 3.60%, 4/15/26 | 130,000 | 132,494 | |||||
Regal Entertainment Group, 5.75%, 3/15/22 | 30,000 | 31,463 | |||||
RR Donnelley & Sons Co., 6.00%, 4/1/24 | 25,000 | 24,625 | |||||
SFR Group SA, 6.00%, 5/15/22(4) | 35,000 | 36,706 | |||||
SFR Group SA, 7.375%, 5/1/26(4) | 35,000 | 38,040 | |||||
Sinclair Television Group, Inc., 5.375%, 4/1/21 | 30,000 | 30,900 | |||||
Sirius XM Radio, Inc., 4.625%, 5/15/23(4) | 15,000 | 15,272 |
45
Shares/ Principal Amount | Value | ||||||
Sirius XM Radio, Inc., 5.375%, 4/15/25(4) | $ | 50,000 | $ | 51,500 | |||
TEGNA, Inc., 5.50%, 9/15/24(4) | 30,000 | 31,050 | |||||
Time Warner Cable LLC, 4.50%, 9/15/42 | 110,000 | 105,531 | |||||
Time Warner, Inc., 3.60%, 7/15/25 | 50,000 | 50,059 | |||||
Time Warner, Inc., 3.80%, 2/15/27 | 100,000 | 99,946 | |||||
Time Warner, Inc., 5.35%, 12/15/43 | 50,000 | 53,062 | |||||
Univision Communications, Inc., 5.125%, 2/15/25(4) | 45,000 | 44,606 | |||||
Viacom, Inc., 3.125%, 6/15/22 | 60,000 | 60,173 | |||||
Viacom, Inc., 4.25%, 9/1/23 | 80,000 | 83,749 | |||||
Virgin Media Secured Finance plc, 5.25%, 1/15/26(4) | 60,000 | 61,275 | |||||
Walt Disney Co. (The), MTN, 2.35%, 12/1/22 | 12,000 | 12,029 | |||||
Walt Disney Co. (The), MTN, 4.125%, 6/1/44 | 30,000 | 31,258 | |||||
WideOpenWest Finance LLC / WideOpenWest Capital Corp., 10.25%, 7/15/19 | 13,000 | 13,503 | |||||
Wind Acquisition Finance SA, 4.75%, 7/15/20(4) | 25,000 | 25,410 | |||||
Wind Acquisition Finance SA, 7.375%, 4/23/21(4) | 25,000 | 26,066 | |||||
WMG Acquisition Corp., 5.625%, 4/15/22(4) | 16,000 | 16,700 | |||||
3,456,591 | |||||||
Metals and Mining — 0.2% | |||||||
AK Steel Corp., 7.00%, 3/15/27 | 15,000 | 15,150 | |||||
Alcoa Nederland Holding BV, 6.75%, 9/30/24(4) | 20,000 | 21,700 | |||||
Aleris International, Inc., 9.50%, 4/1/21(4) | 10,000 | 10,500 | |||||
Allegheny Technologies, Inc., 5.95%, 1/15/21 | 35,000 | 35,000 | |||||
Anglo American Capital plc, 3.625%, 5/14/20(4) | 10,000 | 10,180 | |||||
Anglo American Capital plc, 4.875%, 5/14/25(4) | 25,000 | 26,048 | |||||
ArcelorMittal, 6.00%, 3/1/21 | 60,000 | 65,250 | |||||
Arconic, Inc., 5.125%, 10/1/24 | 50,000 | 53,400 | |||||
Barrick North America Finance LLC, 5.75%, 5/1/43 | 30,000 | 36,240 | |||||
Cliffs Natural Resources, Inc., 8.25%, 3/31/20(4) | 23,000 | 25,415 | |||||
Cliffs Natural Resources, Inc., 5.75%, 3/1/25(4) | 20,000 | 19,200 | |||||
Freeport-McMoRan, Inc., 3.55%, 3/1/22 | 55,000 | 51,700 | |||||
Freeport-McMoRan, Inc., 3.875%, 3/15/23 | 5,000 | 4,672 | |||||
Freeport-McMoRan, Inc., 5.40%, 11/14/34 | 55,000 | 48,950 | |||||
Glencore Finance Canada Ltd., 4.95%, 11/15/21(4) | 70,000 | 75,123 | |||||
Kinross Gold Corp., 5.125%, 9/1/21 | 10,000 | 10,600 | |||||
Lundin Mining Corp., 7.875%, 11/1/22(4) | 20,000 | 22,000 | |||||
Novelis Corp., 5.875%, 9/30/26(4) | 45,000 | 46,688 | |||||
Steel Dynamics, Inc., 5.25%, 4/15/23 | 30,000 | 31,163 | |||||
Steel Dynamics, Inc., 5.00%, 12/15/26 | 50,000 | 51,000 | |||||
Teck Resources Ltd., 4.75%, 1/15/22 | 45,000 | 47,306 | |||||
United States Steel Corp., 7.375%, 4/1/20 | 25,000 | 27,150 | |||||
Vale Overseas Ltd., 6.25%, 8/10/26 | 86,000 | 93,095 | |||||
827,530 | |||||||
Mortgage Real Estate Investment Trusts (REITs)† | |||||||
iStar, Inc., 5.00%, 7/1/19 | 25,000 | 25,375 | |||||
Multi-Utilities — 0.5% | |||||||
AES Corp., 4.875%, 5/15/23 | 65,000 | 66,381 |
46
Shares/ Principal Amount | Value | ||||||
AmeriGas Partners LP / AmeriGas Finance Corp., 5.625%, 5/20/24 | $ | 60,000 | $ | 61,944 | |||
AmeriGas Partners LP / AmeriGas Finance Corp., 5.875%, 8/20/26 | 25,000 | 25,625 | |||||
AmeriGas Partners LP / AmeriGas Finance Corp., 5.75%, 5/20/27 | 10,000 | 10,150 | |||||
Berkshire Hathaway Energy Co., 3.50%, 2/1/25 | 80,000 | 82,782 | |||||
Calpine Corp., 5.375%, 1/15/23 | 25,000 | 24,563 | |||||
Calpine Corp., 5.75%, 1/15/25 | 65,000 | 61,994 | |||||
Consolidated Edison Co. of New York, Inc., 3.95%, 3/1/43 | 60,000 | 60,775 | |||||
Dominion Energy, Inc., 6.40%, 6/15/18 | 190,000 | 199,099 | |||||
Dominion Energy, Inc., 2.75%, 9/15/22 | 80,000 | 80,143 | |||||
Dominion Energy, Inc., 3.625%, 12/1/24 | 80,000 | 81,994 | |||||
Dominion Energy, Inc., 4.90%, 8/1/41 | 70,000 | 75,902 | |||||
Duke Energy Florida LLC, 6.35%, 9/15/37 | 170,000 | 230,481 | |||||
Duke Energy Florida LLC, 3.85%, 11/15/42 | 80,000 | 79,802 | |||||
Duke Energy Progress LLC, 4.15%, 12/1/44 | 9,000 | 9,442 | |||||
Dynegy, Inc., 7.375%, 11/1/22 | 60,000 | 59,250 | |||||
Exelon Corp., 5.15%, 12/1/20 | 120,000 | 130,265 | |||||
Exelon Corp., 4.45%, 4/15/46 | 30,000 | 30,745 | |||||
Exelon Generation Co. LLC, 4.25%, 6/15/22 | 60,000 | 63,568 | |||||
Exelon Generation Co. LLC, 5.60%, 6/15/42 | 40,000 | 39,808 | |||||
FirstEnergy Corp., 4.25%, 3/15/23 | 120,000 | 125,257 | |||||
GenOn Energy, Inc., 9.875%, 10/15/20(10) | 15,000 | 10,988 | |||||
Georgia Power Co., 4.30%, 3/15/42 | 50,000 | 50,686 | |||||
MidAmerican Energy Co., 4.40%, 10/15/44 | 100,000 | 109,182 | |||||
NiSource Finance Corp., 5.65%, 2/1/45 | 70,000 | 84,563 | |||||
NRG Energy, Inc., 6.25%, 7/15/22 | 75,000 | 77,015 | |||||
Pacific Gas & Electric Co., 4.00%, 12/1/46 | 75,000 | 76,897 | |||||
Potomac Electric Power Co., 3.60%, 3/15/24 | 70,000 | 73,260 | |||||
Progress Energy, Inc., 3.15%, 4/1/22 | 60,000 | 61,612 | |||||
Sempra Energy, 2.875%, 10/1/22 | 130,000 | 130,776 | |||||
Southern Co. Gas Capital Corp., 3.95%, 10/1/46 | 30,000 | 28,474 | |||||
Southern Power Co., 5.15%, 9/15/41 | 40,000 | 42,198 | |||||
SSE plc, VRN, 2.375%, 4/1/21 | EUR | 100,000 | 112,845 | ||||
Talen Energy Supply LLC, 4.625%, 7/15/19(4) | $ | 7,000 | 6,843 | ||||
Xcel Energy, Inc., 3.35%, 12/1/26 | 40,000 | 40,752 | |||||
Xcel Energy, Inc., 4.80%, 9/15/41 | 30,000 | 31,986 | |||||
2,538,047 | |||||||
Multiline Retail† | |||||||
JC Penney Corp., Inc., 5.65%, 6/1/20 | 25,000 | 24,906 | |||||
Macy's Retail Holdings, Inc., 2.875%, 2/15/23 | 120,000 | 111,519 | |||||
Neiman Marcus Group Ltd. LLC, 8.00%, 10/15/21(4) | 20,000 | 10,450 | |||||
146,875 | |||||||
Oil, Gas and Consumable Fuels — 0.7% | |||||||
Alta Mesa Holdings LP / Alta Mesa Finance Services Corp., 7.875%, 12/15/24(4) | 30,000 | 31,575 | |||||
Anadarko Petroleum Corp., 5.55%, 3/15/26 | 40,000 | 44,983 |
47
Shares/ Principal Amount | Value | ||||||
Anadarko Petroleum Corp., 6.45%, 9/15/36 | $ | 60,000 | $ | 71,537 | |||
Antero Resources Corp., 5.125%, 12/1/22 | 95,000 | 96,544 | |||||
Antero Resources Corp., 5.00%, 3/1/25(4) | 80,000 | 78,800 | |||||
Apache Corp., 4.75%, 4/15/43 | 50,000 | 51,063 | |||||
BP Capital Markets plc, 4.50%, 10/1/20 | 40,000 | 43,092 | |||||
BP Capital Markets plc, 2.75%, 5/10/23 | 100,000 | 100,615 | |||||
California Resources Corp., 8.00%, 12/15/22(4) | 30,000 | 22,575 | |||||
Calumet Specialty Products Partners LP / Calumet Finance Corp., 6.50%, 4/15/21 | 25,000 | 22,500 | |||||
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20 | 35,000 | 35,919 | |||||
Cenovus Energy, Inc., 4.25%, 4/15/27(4) | 40,000 | 39,892 | |||||
Cenovus Energy, Inc., 6.75%, 11/15/39 | 20,000 | 22,393 | |||||
Chesapeake Energy Corp., 8.00%, 12/15/22(4) | 35,000 | 37,975 | |||||
Chesapeake Energy Corp., 8.00%, 1/15/25(4) | 30,000 | 29,963 | |||||
Chevron Corp., 2.10%, 5/16/21 | 100,000 | 100,019 | |||||
Cimarex Energy Co., 4.375%, 6/1/24 | 100,000 | 105,512 | |||||
Concho Resources, Inc., 5.50%, 10/1/22 | 20,000 | 20,700 | |||||
Concho Resources, Inc., 5.50%, 4/1/23 | 55,000 | 57,131 | |||||
Concho Resources, Inc., 4.375%, 1/15/25 | 120,000 | 123,000 | |||||
ConocoPhillips Holding Co., 6.95%, 4/15/29 | 40,000 | 52,415 | |||||
CONSOL Energy, Inc., 5.875%, 4/15/22 | 40,000 | 39,650 | |||||
Continental Resources, Inc., 3.80%, 6/1/24 | 110,000 | 103,334 | |||||
Continental Resources, Inc., 4.90%, 6/1/44 | 15,000 | 12,909 | |||||
Denbury Resources, Inc., 4.625%, 7/15/23 | 15,000 | 10,088 | |||||
Diamondback Energy, Inc., 4.75%, 11/1/24(4) | 25,000 | 25,188 | |||||
Ecopetrol SA, 5.875%, 5/28/45 | 50,000 | 46,187 | |||||
Encana Corp., 6.50%, 2/1/38 | 50,000 | 58,190 | |||||
EOG Resources, Inc., 5.625%, 6/1/19 | 210,000 | 224,844 | |||||
EOG Resources, Inc., 4.10%, 2/1/21 | 70,000 | 74,190 | |||||
EP Energy LLC / Everest Acquisition Finance, Inc., 9.375%, 5/1/20 | 30,000 | 27,225 | |||||
EP Energy LLC / Everest Acquisition Finance, Inc., 8.00%, 11/29/24(4) | 20,000 | 20,800 | |||||
Exxon Mobil Corp., 2.71%, 3/6/25 | 140,000 | 139,807 | |||||
Exxon Mobil Corp., 3.04%, 3/1/26 | 50,000 | 50,787 | |||||
Ferrellgas LP / Ferrellgas Finance Corp., 6.50%, 5/1/21 | 30,000 | 29,250 | |||||
Gulfport Energy Corp., 6.00%, 10/15/24(4) | 15,000 | 14,775 | |||||
Gulfport Energy Corp., 6.375%, 5/15/25(4) | 15,000 | 14,944 | |||||
Halcon Resources Corp., 6.75%, 2/15/25(4) | 30,000 | 28,125 | |||||
Hess Corp., 6.00%, 1/15/40 | 80,000 | 84,888 | |||||
Marathon Oil Corp., 3.85%, 6/1/25 | 50,000 | 49,884 | |||||
Marathon Oil Corp., 5.20%, 6/1/45 | 40,000 | 40,477 | |||||
MEG Energy Corp., 6.50%, 1/15/25(4) | 25,000 | 24,531 | |||||
Murphy Oil Corp., 4.70%, 12/1/22 | 20,000 | 19,600 | |||||
Newfield Exploration Co., 5.75%, 1/30/22 | 150,000 | 160,500 | |||||
Noble Energy, Inc., 4.15%, 12/15/21 | 120,000 | 127,025 | |||||
Oasis Petroleum, Inc., 6.875%, 3/15/22 | 30,000 | 30,450 | |||||
Occidental Petroleum Corp., 4.625%, 6/15/45 | 20,000 | 21,356 |
48
Shares/ Principal Amount | Value | ||||||
Phillips 66, 4.30%, 4/1/22 | $ | 160,000 | $ | 173,313 | |||
QEP Resources, Inc., 5.375%, 10/1/22 | 50,000 | 49,125 | |||||
Range Resources Corp., 5.00%, 8/15/22(4) | 45,000 | 44,437 | |||||
Sanchez Energy Corp., 7.75%, 6/15/21 | 15,000 | 14,250 | |||||
Shell International Finance BV, 2.375%, 8/21/22 | 100,000 | 100,216 | |||||
Shell International Finance BV, 3.625%, 8/21/42 | 120,000 | 112,045 | |||||
Shell International Finance BV, 4.55%, 8/12/43 | 6,000 | 6,397 | |||||
SM Energy Co., 5.00%, 1/15/24 | 25,000 | 23,250 | |||||
Southwestern Energy Co., 6.70%, 1/23/25 | 15,000 | 14,888 | |||||
Statoil ASA, 3.95%, 5/15/43 | 102,000 | 101,442 | |||||
Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.50%, 6/1/24 | 50,000 | 50,375 | |||||
Suncor Energy, Inc., 6.50%, 6/15/38 | 20,000 | 25,652 | |||||
Sunoco LP / Sunoco Finance Corp., 5.50%, 8/1/20 | 25,000 | 25,844 | |||||
Sunoco LP / Sunoco Finance Corp., 6.375%, 4/1/23 | 19,000 | 20,330 | |||||
Total Capital Canada Ltd., 2.75%, 7/15/23 | 10,000 | 10,146 | |||||
TOTAL SA, MTN, VRN, 2.25%, 2/26/21 | EUR | 100,000 | 113,994 | ||||
Whiting Petroleum Corp., 5.75%, 3/15/21 | $ | 35,000 | 34,563 | ||||
WPX Energy, Inc., 6.00%, 1/15/22 | 35,000 | 35,525 | |||||
3,622,999 | |||||||
Paper and Forest Products† | |||||||
International Paper Co., 4.40%, 8/15/47 | 80,000 | 80,526 | |||||
Pharmaceuticals — 0.2% | |||||||
Actavis, Inc., 3.25%, 10/1/22 | 190,000 | 194,608 | |||||
Allergan Funding SCS, 3.85%, 6/15/24 | 80,000 | 83,427 | |||||
Allergan Funding SCS, 4.55%, 3/15/35 | 80,000 | 83,074 | |||||
Capsugel SA, PIK, 7.00%, 5/15/19(4) | 8,000 | 8,008 | |||||
Endo Finance LLC / Endo Finco, Inc., 5.375%, 1/15/23(4) | 80,000 | 73,000 | |||||
GlaxoSmithKline Capital plc, 2.85%, 5/8/22 | 9,000 | 9,259 | |||||
Merck & Co., Inc., 2.40%, 9/15/22 | 110,000 | 111,104 | |||||
Quintiles IMS, Inc., 4.875%, 5/15/23(4) | 20,000 | 20,650 | |||||
Shire Acquisitions Investments Ireland DAC, 2.40%, 9/23/21 | 80,000 | 79,550 | |||||
Valeant Pharmaceuticals International, Inc., 6.375%, 10/15/20(4) | 10,000 | 9,413 | |||||
Valeant Pharmaceuticals International, Inc., 5.50%, 3/1/23(4) | 65,000 | 52,487 | |||||
Valeant Pharmaceuticals International, Inc., 7.00%, 3/15/24(4) | 15,000 | 15,900 | |||||
Valeant Pharmaceuticals International, Inc., 6.125%, 4/15/25(4) | 85,000 | 68,106 | |||||
808,586 | |||||||
Professional Services† | |||||||
Team Health Holdings, Inc., 6.375%, 2/1/25(4) | 10,000 | 9,738 | |||||
Real Estate Management and Development† | |||||||
Realogy Group LLC / Realogy Co-Issuer Corp., 4.50%, 4/15/19(4) | 20,000 | 20,825 | |||||
Road and Rail — 0.2% | |||||||
Burlington Northern Santa Fe LLC, 3.60%, 9/1/20 | 142,000 | 149,104 | |||||
Burlington Northern Santa Fe LLC, 3.25%, 6/15/27 | 40,000 | 41,213 | |||||
Burlington Northern Santa Fe LLC, 4.95%, 9/15/41 | 90,000 | 103,624 |
49
Shares/ Principal Amount | Value | ||||||
Burlington Northern Santa Fe LLC, 4.45%, 3/15/43 | $ | 16,000 | $ | 17,339 | |||
Burlington Northern Santa Fe LLC, 4.15%, 4/1/45 | 40,000 | 41,466 | |||||
CSX Corp., 3.40%, 8/1/24 | 110,000 | 114,010 | |||||
CSX Corp., 3.25%, 6/1/27 | 50,000 | 50,687 | |||||
Norfolk Southern Corp., 5.75%, 4/1/18 | 17,000 | 17,588 | |||||
Norfolk Southern Corp., 3.25%, 12/1/21 | 90,000 | 93,518 | |||||
Union Pacific Corp., 4.00%, 2/1/21 | 60,000 | 64,025 | |||||
Union Pacific Corp., 4.75%, 9/15/41 | 120,000 | 133,982 | |||||
826,556 | |||||||
Semiconductors and Semiconductor Equipment — 0.1% | |||||||
Advanced Micro Devices, Inc., 7.50%, 8/15/22 | 16,000 | 17,740 | |||||
Intel Corp., 3.15%, 5/11/27 | 80,000 | 80,738 | |||||
Lam Research Corp., 2.80%, 6/15/21 | 110,000 | 111,501 | |||||
Micron Technology, Inc., 5.25%, 8/1/23(4) | 10,000 | 10,325 | |||||
Micron Technology, Inc., 5.50%, 2/1/25 | 10,000 | 10,481 | |||||
QUALCOMM, Inc., 3.25%, 5/20/27 | 80,000 | 79,871 | |||||
310,656 | |||||||
Software — 0.2% | |||||||
Infor US, Inc., 6.50%, 5/15/22 | 60,000 | 62,775 | |||||
Microsoft Corp., 2.70%, 2/12/25 | 210,000 | 210,289 | |||||
Microsoft Corp., 3.125%, 11/3/25 | 60,000 | 61,686 | |||||
Microsoft Corp., 3.45%, 8/8/36 | 50,000 | 49,037 | |||||
Microsoft Corp., 4.25%, 2/6/47 | 160,000 | 170,494 | |||||
Oracle Corp., 2.50%, 10/15/22 | 200,000 | 201,932 | |||||
Oracle Corp., 3.625%, 7/15/23 | 60,000 | 63,729 | |||||
Oracle Corp., 2.65%, 7/15/26 | 180,000 | 174,794 | |||||
Oracle Corp., 4.30%, 7/8/34 | 20,000 | 21,428 | |||||
Oracle Corp., 4.00%, 7/15/46 | 70,000 | 69,680 | |||||
Quintiles IMS, Inc., 5.00%, 10/15/26(4) | 10,000 | 10,348 | |||||
Rackspace Hosting, Inc., 8.625%, 11/15/24(4) | 25,000 | 26,750 | |||||
1,122,942 | |||||||
Specialty Retail — 0.1% | |||||||
Asbury Automotive Group, Inc., 6.00%, 12/15/24 | 35,000 | 35,984 | |||||
Ashtead Capital, Inc., 5.625%, 10/1/24(4) | 31,000 | 33,247 | |||||
Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 5.125%, 6/1/22(4) | 15,000 | 14,719 | |||||
Hertz Corp. (The), 6.25%, 10/15/22 | 40,000 | 34,350 | |||||
Home Depot, Inc. (The), 3.75%, 2/15/24 | 70,000 | 74,963 | |||||
Home Depot, Inc. (The), 5.95%, 4/1/41 | 180,000 | 236,940 | |||||
Lowe's Cos., Inc., 3.10%, 5/3/27 | 80,000 | 80,235 | |||||
Michaels Stores, Inc., 5.875%, 12/15/20(4) | 30,000 | 30,787 | |||||
Party City Holdings, Inc., 6.125%, 8/15/23(4) | 25,000 | 25,875 | |||||
PetSmart, Inc., 5.875%, 6/1/25(4) | 10,000 | 10,075 | |||||
Sonic Automotive, Inc., 5.00%, 5/15/23 | 25,000 | 23,938 | |||||
United Rentals North America, Inc., 4.625%, 7/15/23 | 105,000 | 109,688 | |||||
United Rentals North America, Inc., 5.50%, 7/15/25 | 45,000 | 47,599 | |||||
United Rentals North America, Inc., 5.50%, 5/15/27 | 15,000 | 15,450 | |||||
773,850 |
50
Shares/ Principal Amount | Value | ||||||
Technology Hardware, Storage and Peripherals — 0.2% | |||||||
Apple, Inc., 2.85%, 5/6/21 | $ | 100,000 | $ | 103,195 | |||
Apple, Inc., 3.00%, 2/9/24 | 30,000 | 30,702 | |||||
Apple, Inc., 2.50%, 2/9/25 | 220,000 | 216,086 | |||||
Apple, Inc., 3.20%, 5/11/27 | 100,000 | 101,451 | |||||
Apple, Inc., 4.65%, 2/23/46 | 30,000 | 33,363 | |||||
CommScope Technologies LLC, 6.00%, 6/15/25(4) | 50,000 | 53,385 | |||||
Dell International LLC / EMC Corp., 7.125%, 6/15/24(4) | 60,000 | 66,885 | |||||
Dell International LLC / EMC Corp., 6.02%, 6/15/26(4) | 280,000 | 309,374 | |||||
Dell, Inc., 5.875%, 6/15/19 | 25,000 | 26,531 | |||||
NCR Corp., 5.00%, 7/15/22 | 20,000 | 20,525 | |||||
Seagate HDD Cayman, 4.75%, 6/1/23 | 90,000 | 92,486 | |||||
Western Digital Corp., 10.50%, 4/1/24 | 30,000 | 35,250 | |||||
1,089,233 | |||||||
Textiles, Apparel and Luxury Goods† | |||||||
Hanesbrands, Inc., 4.625%, 5/15/24(4) | 65,000 | 65,325 | |||||
L Brands, Inc., 5.625%, 2/15/22 | 40,000 | 42,700 | |||||
Men's Wearhouse, Inc. (The), 7.00%, 7/1/22 | 40,000 | 34,400 | |||||
142,425 | |||||||
Tobacco — 0.1% | |||||||
Altria Group, Inc., 2.85%, 8/9/22 | 132,000 | 134,474 | |||||
Philip Morris International, Inc., 4.125%, 5/17/21 | 150,000 | 160,935 | |||||
295,409 | |||||||
Wireless Telecommunication Services — 0.1% | |||||||
Sprint Communications, Inc., 6.00%, 11/15/22 | 20,000 | 21,350 | |||||
Sprint Corp., 7.25%, 9/15/21 | 85,000 | 96,714 | |||||
Sprint Corp., 7.875%, 9/15/23 | 35,000 | 40,556 | |||||
Sprint Corp., 7.125%, 6/15/24 | 70,000 | 78,916 | |||||
T-Mobile USA, Inc., 6.625%, 4/1/23 | 55,000 | 58,696 | |||||
T-Mobile USA, Inc., 6.375%, 3/1/25 | 30,000 | 32,587 | |||||
T-Mobile USA, Inc., 6.50%, 1/15/26 | 10,000 | 11,063 | |||||
339,882 | |||||||
TOTAL CORPORATE BONDS (Cost $62,646,874) | 64,516,322 | ||||||
SOVEREIGN GOVERNMENTS AND AGENCIES — 8.3% | |||||||
Australia — 0.2% | |||||||
Australia Government Bond, 4.50%, 4/15/20 | AUD | 574,000 | 460,544 | ||||
Australia Government Bond, 2.75%, 4/21/24 | AUD | 840,000 | 648,195 | ||||
New South Wales Treasury Corp., 3.00%, 3/20/28 | AUD | 285,000 | 214,932 | ||||
1,323,671 | |||||||
Austria — 0.1% | |||||||
Republic of Austria Government Bond, 3.50%, 9/15/21(4) | EUR | 260,000 | 341,365 | ||||
Republic of Austria Government Bond, 0.75%, 10/20/26(4) | EUR | 145,000 | 166,755 | ||||
Republic of Austria Government Bond, 4.15%, 3/15/37(4) | EUR | 95,000 | 162,666 | ||||
670,786 | |||||||
Belgium — 0.1% | |||||||
Kingdom of Belgium Government Bond, 3.00%, 9/28/19 | EUR | 50,000 | 60,886 |
51
Shares/ Principal Amount | Value | ||||||
Kingdom of Belgium Government Bond, 4.25%, 9/28/22 | EUR | 115,000 | $ | 160,308 | |||
Kingdom of Belgium Government Bond, 2.25%, 6/22/23 | EUR | 341,000 | 438,401 | ||||
Kingdom of Belgium Government Bond, 4.25%, 3/28/41(4) | EUR | 72,000 | 126,402 | ||||
785,997 | |||||||
Canada — 0.4% | |||||||
Canadian Government Bond, 3.75%, 6/1/19 | CAD | 348,000 | 273,132 | ||||
Canadian Government Bond, 4.00%, 6/1/41 | CAD | 240,000 | 242,679 | ||||
Province of British Columbia Canada, 3.25%, 12/18/21 | CAD | 372,000 | 298,201 | ||||
Province of British Columbia Canada, 2.85%, 6/18/25 | CAD | 700,000 | 556,269 | ||||
Province of Quebec Canada, 3.00%, 9/1/23 | CAD | 410,000 | 327,507 | ||||
Province of Quebec Canada, 5.75%, 12/1/36 | CAD | 325,000 | 346,041 | ||||
Province of Quebec Canada, 5.00%, 12/1/41 | CAD | 33,000 | 33,206 | ||||
Province of Quebec Canada, 3.50%, 12/1/48 | CAD | 95,000 | 78,792 | ||||
2,155,827 | |||||||
Colombia† | |||||||
Colombia Government International Bond, 7.375%, 9/18/37 | $ | 200,000 | 258,500 | ||||
Czech† | |||||||
Czech Republic Government Bond, 4.70%, 9/12/22 | CZK | 1,940,000 | 103,945 | ||||
Denmark† | |||||||
Denmark Government Bond, 0.50%, 11/15/27 | DKK | 900,000 | 135,180 | ||||
Denmark Government Bond, 4.50%, 11/15/39 | DKK | 285,000 | 72,286 | ||||
207,466 | |||||||
Finland — 0.1% | |||||||
Finland Government Bond, 4.00%, 7/4/25(4) | EUR | 194,000 | 284,876 | ||||
France — 0.9% | |||||||
French Republic Government Bond OAT, 1.00%, 5/25/19 | EUR | 130,000 | 150,639 | ||||
French Republic Government Bond OAT, 0.00%, 5/25/21(7) | EUR | 1,375,000 | 1,568,017 | ||||
French Republic Government Bond OAT, 3.25%, 10/25/21 | EUR | 360,000 | 468,697 | ||||
French Republic Government Bond OAT, 1.75%, 11/25/24 | EUR | 1,209,000 | 1,509,798 | ||||
French Republic Government Bond OAT, 5.50%, 4/25/29 | EUR | 207,000 | 354,835 | ||||
French Republic Government Bond OAT, 3.25%, 5/25/45 | EUR | 388,000 | 584,531 | ||||
4,636,517 | |||||||
Germany — 0.6% | |||||||
Bundesobligation, 0.00%, 10/8/21(7) | EUR | 50,000 | 57,457 | ||||
Bundesrepublik Deutschland, 0.50%, 2/15/25 | EUR | 285,000 | 332,863 | ||||
Bundesrepublik Deutschland, 0.00%, 8/15/26(7) | EUR | 1,123,000 | 1,235,285 | ||||
Bundesrepublik Deutschland, 0.25%, 2/15/27 | EUR | 671,000 | 750,804 | ||||
Bundesrepublik Deutschland, 4.75%, 7/4/28 | EUR | 146,000 | 241,263 | ||||
Bundesrepublik Deutschland, 4.75%, 7/4/40 | EUR | 186,000 | 372,022 | ||||
Bundesrepublik Deutschland, 2.50%, 7/4/44 | EUR | 146,000 | 216,074 | ||||
3,205,768 | |||||||
Ireland — 0.1% | |||||||
Ireland Government Bond, 3.40%, 3/18/24 | EUR | 234,000 | 317,726 | ||||
Italy — 0.7% | |||||||
Italy Buoni Poliennali Del Tesoro, 0.45%, 6/1/21 | EUR | 1,740,000 | 1,948,228 | ||||
Italy Buoni Poliennali Del Tesoro, 2.00%, 12/1/25 | EUR | 1,013,000 | 1,146,214 | ||||
Italy Buoni Poliennali Del Tesoro, 4.75%, 9/1/44(4) | EUR | 290,000 | 408,684 | ||||
3,503,126 |
52
Shares/ Principal Amount | Value | ||||||
Japan — 2.7% | |||||||
Japan Government Ten Year Bond, 1.00%, 12/20/21 | JPY | 365,300,000 | $ | 3,466,514 | |||
Japan Government Ten Year Bond, 0.80%, 6/20/23 | JPY | 217,400,000 | 2,069,196 | ||||
Japan Government Thirty Year Bond, 2.40%, 3/20/37 | JPY | 162,950,000 | 1,976,988 | ||||
Japan Government Thirty Year Bond, 2.00%, 9/20/41 | JPY | 152,300,000 | 1,777,290 | ||||
Japan Government Thirty Year Bond, 1.40%, 12/20/45 | JPY | 57,900,000 | 606,719 | ||||
Japan Government Twenty Year Bond, 2.10%, 12/20/26 | JPY | 382,900,000 | 4,136,238 | ||||
14,032,945 | |||||||
Malaysia† | |||||||
Malaysia Government Bond, 3.96%, 9/15/25 | MYR | 600,000 | 140,147 | ||||
Mexico — 0.1% | |||||||
Mexican Bonos, 6.50%, 6/9/22 | MXN | 7,800,000 | 404,630 | ||||
Mexico Government International Bond, 4.15%, 3/28/27 | $ | 400,000 | 413,480 | ||||
818,110 | |||||||
Netherlands — 0.2% | |||||||
Netherlands Government Bond, 0.00%, 1/15/22(4)(7) | EUR | 415,000 | 474,032 | ||||
Netherlands Government Bond, 0.50%, 7/15/26(4) | EUR | 245,000 | 278,947 | ||||
Netherlands Government Bond, 2.75%, 1/15/47(4) | EUR | 85,000 | 132,011 | ||||
884,990 | |||||||
New Zealand — 0.1% | |||||||
New Zealand Government Bond, 5.00%, 3/15/19 | NZD | 417,000 | 311,310 | ||||
Norway — 0.7% | |||||||
Norway Government Bond, 3.75%, 5/25/21(4) | NOK | 26,951,000 | 3,550,942 | ||||
Norway Government Bond, 1.50%, 2/19/26(4) | NOK | 1,425,000 | 169,857 | ||||
3,720,799 | |||||||
Poland† | |||||||
Republic of Poland Government Bond, 4.00%, 10/25/23 | PLN | 650,000 | 186,668 | ||||
Russia — 0.1% | |||||||
Russian Foreign Bond - Eurobond, 12.75%, 6/24/28 | $ | 200,000 | 355,497 | ||||
Singapore† | |||||||
Singapore Government Bond, 3.125%, 9/1/22 | SGD | 98,000 | 76,193 | ||||
South Africa — 0.1% | |||||||
Republic of South Africa Government Bond, 7.75%, 2/28/23 | ZAR | 4,000,000 | 301,361 | ||||
Spain — 0.4% | |||||||
Spain Government Bond, 4.30%, 10/31/19(4) | EUR | 680,000 | 846,658 | ||||
Spain Government Bond, 5.85%, 1/31/22(4) | EUR | 145,000 | 205,367 | ||||
Spain Government Bond, 1.60%, 4/30/25(4) | EUR | 700,000 | 814,366 | ||||
Spain Government Bond, 5.15%, 10/31/28(4) | EUR | 5,000 | 7,618 | ||||
Spain Government Bond, 5.15%, 10/31/44(4) | EUR | 175,000 | 285,060 | ||||
2,159,069 | |||||||
Sweden — 0.1% | |||||||
Sweden Government Bond, 3.50%, 6/1/22 | SEK | 1,130,000 | 153,980 | ||||
Sweden Government Bond, 2.50%, 5/12/25 | SEK | 1,070,000 | 144,602 | ||||
298,582 | |||||||
Switzerland — 0.2% | |||||||
Swiss Confederation Government Bond, 2.00%, 4/28/21 | CHF | 680,000 | 778,770 | ||||
Swiss Confederation Government Bond, 1.25%, 5/28/26 | CHF | 40,000 | 47,005 |
53
Shares/ Principal Amount | Value | ||||||
Swiss Confederation Government Bond, 2.50%, 3/8/36 | CHF | 77,000 | $ | 113,996 | |||
939,771 | |||||||
Thailand — 0.1% | |||||||
Thailand Government Bond, 3.85%, 12/12/25 | THB | 8,600,000 | 278,147 | ||||
United Kingdom — 0.3% | |||||||
United Kingdom Gilt, 4.50%, 12/7/42 | GBP | 562,000 | 1,144,129 | ||||
United Kingdom Gilt, 4.25%, 12/7/55 | GBP | 232,000 | 530,141 | ||||
1,674,270 | |||||||
TOTAL SOVEREIGN GOVERNMENTS AND AGENCIES (Cost $42,887,952) | 43,632,064 | ||||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES(8) — 6.3% | |||||||
Adjustable-Rate U.S. Government Agency Mortgage-Backed Securities — 0.7% | |||||||
FHLMC, VRN, 1.81%, 6/15/17 | $ | 57,537 | 59,526 | ||||
FHLMC, VRN, 1.85%, 6/15/17 | 97,365 | 101,014 | |||||
FHLMC, VRN, 1.91%, 6/15/17 | 80,854 | 83,480 | |||||
FHLMC, VRN, 1.99%, 6/15/17 | 116,451 | 120,970 | |||||
FHLMC, VRN, 2.07%, 6/15/17 | 36,824 | 37,458 | |||||
FHLMC, VRN, 2.32%, 6/15/17 | 254,256 | 258,271 | |||||
FHLMC, VRN, 2.38%, 6/15/17 | 173,914 | 178,065 | |||||
FHLMC, VRN, 2.68%, 6/15/17 | 60,790 | 64,258 | |||||
FHLMC, VRN, 2.86%, 6/15/17 | 83,659 | 88,336 | |||||
FHLMC, VRN, 2.90%, 6/15/17 | 234,487 | 247,213 | |||||
FHLMC, VRN, 2.93%, 6/15/17 | 145,221 | 153,036 | |||||
FHLMC, VRN, 3.14%, 6/15/17 | 94,932 | 99,259 | |||||
FHLMC, VRN, 3.34%, 6/15/17 | 16,397 | 17,297 | |||||
FHLMC, VRN, 3.63%, 6/15/17 | 22,822 | 24,142 | |||||
FHLMC, VRN, 3.67%, 6/15/17 | 52,518 | 54,961 | |||||
FHLMC, VRN, 4.07%, 6/15/17 | 86,918 | 90,149 | |||||
FHLMC, VRN, 4.12%, 6/15/17 | 66,559 | 69,003 | |||||
FHLMC, VRN, 4.25%, 6/15/17 | 116,515 | 121,177 | |||||
FHLMC, VRN, 5.12%, 6/15/17 | 16,984 | 17,620 | |||||
FNMA, VRN, 2.62%, 6/25/17 | 130,179 | 133,192 | |||||
FNMA, VRN, 2.71%, 6/25/17 | 18,935 | 19,436 | |||||
FNMA, VRN, 2.82%, 6/25/17 | 121,746 | 126,769 | |||||
FNMA, VRN, 2.82%, 6/25/17 | 129,148 | 134,649 | |||||
FNMA, VRN, 2.82%, 6/25/17 | 135,529 | 142,992 | |||||
FNMA, VRN, 2.83%, 6/25/17 | 103,589 | 108,428 | |||||
FNMA, VRN, 2.87%, 6/25/17 | 170,998 | 178,189 | |||||
FNMA, VRN, 2.88%, 6/25/17 | 19,830 | 20,576 | |||||
FNMA, VRN, 2.89%, 6/25/17 | 251,636 | 261,938 | |||||
FNMA, VRN, 3.07%, 6/25/17 | 16,819 | 17,666 | |||||
FNMA, VRN, 3.18%, 6/25/17 | 198,763 | 204,524 | |||||
FNMA, VRN, 3.21%, 6/25/17 | 99,143 | 102,026 | |||||
FNMA, VRN, 3.30%, 6/25/17 | 43,630 | 46,042 | |||||
FNMA, VRN, 3.31%, 6/25/17 | 93,742 | 97,900 | |||||
FNMA, VRN, 3.32%, 6/25/17 | 38,066 | 39,869 | |||||
FNMA, VRN, 3.60%, 6/25/17 | 117,535 | 122,957 |
54
Shares/ Principal Amount | Value | ||||||
FNMA, VRN, 3.93%, 6/25/17 | $ | 97,746 | $ | 101,694 | |||
FNMA, VRN, 4.96%, 6/25/17 | 99,423 | 105,231 | |||||
3,849,313 | |||||||
Fixed-Rate U.S. Government Agency Mortgage-Backed Securities — 5.6% | |||||||
FHLMC, 4.50%, 1/1/19 | 46,269 | 47,419 | |||||
FHLMC, 8.00%, 7/1/30 | 3,035 | 3,571 | |||||
FHLMC, 6.50%, 5/1/31 | 7,957 | 8,842 | |||||
FHLMC, 5.50%, 12/1/33 | 92,945 | 105,434 | |||||
FHLMC, 5.50%, 1/1/38 | 151,396 | 168,493 | |||||
FHLMC, 6.00%, 2/1/38 | 182,982 | 207,835 | |||||
FHLMC, 6.00%, 11/1/38 | 127,728 | 144,683 | |||||
FHLMC, 6.50%, 7/1/47 | 8,373 | 8,991 | |||||
FNMA, 3.00%, 6/13/17(9) | 1,250,000 | 1,255,762 | |||||
FNMA, 3.50%, 6/13/17(9) | 4,050,000 | 4,180,499 | |||||
FNMA, 4.00%, 6/13/17(9) | 1,605,000 | 1,694,780 | |||||
FNMA, 4.50%, 6/13/17(9) | 50,000 | 53,894 | |||||
FNMA, 5.00%, 9/1/20 | 83,144 | 85,575 | |||||
FNMA, 7.00%, 6/1/26 | 316 | 355 | |||||
FNMA, 7.50%, 3/1/27 | 300 | 300 | |||||
FNMA, 6.50%, 6/1/29 | 10,691 | 11,879 | |||||
FNMA, 7.00%, 7/1/29 | 991 | 1,016 | |||||
FNMA, 7.00%, 3/1/30 | 5,907 | 6,536 | |||||
FNMA, 7.50%, 9/1/30 | 3,605 | 4,345 | |||||
FNMA, 6.50%, 9/1/31 | 20,169 | 22,419 | |||||
FNMA, 7.00%, 9/1/31 | 9,117 | 10,055 | |||||
FNMA, 6.50%, 1/1/32 | 5,072 | 5,638 | |||||
FNMA, 5.50%, 6/1/33 | 77,780 | 87,548 | |||||
FNMA, 5.50%, 8/1/33 | 363,606 | 408,492 | |||||
FNMA, 5.50%, 9/1/33 | 100,629 | 114,046 | |||||
FNMA, 5.00%, 11/1/33 | 360,781 | 398,133 | |||||
FNMA, 5.50%, 1/1/34 | 315,883 | 354,534 | |||||
FNMA, 4.50%, 9/1/35 | 187,039 | 202,430 | |||||
FNMA, 5.00%, 2/1/36 | 318,591 | 351,989 | |||||
FNMA, 5.50%, 4/1/36 | 56,478 | 63,334 | |||||
FNMA, 5.00%, 10/1/36 | 28,579 | 31,403 | |||||
FNMA, 5.50%, 12/1/36 | 119,187 | 133,223 | |||||
FNMA, 5.50%, 1/1/37 | 365,615 | 409,980 | |||||
FNMA, 6.50%, 8/1/37 | 146,011 | 161,814 | |||||
FNMA, 5.00%, 4/1/40 | 655,250 | 721,207 | |||||
FNMA, 4.00%, 1/1/41 | 867,746 | 929,023 | |||||
FNMA, 5.00%, 6/1/41 | 544,474 | 599,377 | |||||
FNMA, 4.50%, 7/1/41 | 434,990 | 472,277 | |||||
FNMA, 4.50%, 9/1/41 | 326,748 | 353,727 | |||||
FNMA, 4.50%, 9/1/41 | 1,058,585 | 1,146,059 | |||||
FNMA, 4.00%, 12/1/41 | 801,646 | 854,596 | |||||
FNMA, 4.00%, 1/1/42 | 491,739 | 521,402 | |||||
FNMA, 3.50%, 5/1/42 | 977,386 | 1,014,094 |
55
Shares/ Principal Amount | Value | ||||||
FNMA, 3.50%, 6/1/42 | $ | 621,762 | $ | 645,302 | |||
FNMA, 3.00%, 11/1/42 | 1,177,980 | 1,190,181 | |||||
FNMA, 3.50%, 5/1/45 | 776,984 | 803,670 | |||||
FNMA, 3.50%, 2/1/46 | 1,786,165 | 1,847,779 | |||||
FNMA, 6.50%, 8/1/47 | 16,236 | 17,558 | |||||
FNMA, 6.50%, 9/1/47 | 37,313 | 40,271 | |||||
FNMA, 6.50%, 9/1/47 | 1,678 | 1,814 | |||||
FNMA, 6.50%, 9/1/47 | 27,556 | 29,723 | |||||
FNMA, 6.50%, 9/1/47 | 7,352 | 7,913 | |||||
GNMA, 2.50%, 6/21/17(9) | 50,000 | 49,201 | |||||
GNMA, 3.00%, 6/21/17(9) | 1,100,000 | 1,120,195 | |||||
GNMA, 3.50%, 6/21/17(9) | 175,000 | 182,492 | |||||
GNMA, 4.00%, 6/21/17(9) | 1,100,000 | 1,163,938 | |||||
GNMA, 7.00%, 1/15/24 | 1,371 | 1,468 | |||||
GNMA, 8.00%, 7/15/24 | 4,264 | 4,452 | |||||
GNMA, 8.00%, 9/15/24 | 3,299 | 3,511 | |||||
GNMA, 9.00%, 4/20/25 | 668 | 751 | |||||
GNMA, 7.00%, 9/15/25 | 6,786 | 6,993 | |||||
GNMA, 7.50%, 10/15/25 | 4,253 | 4,374 | |||||
GNMA, 7.50%, 2/15/26 | 10,278 | 11,286 | |||||
GNMA, 8.25%, 7/15/26 | 26,652 | 27,322 | |||||
GNMA, 7.00%, 12/15/27 | 14,435 | 14,583 | |||||
GNMA, 6.50%, 2/15/28 | 5,846 | 6,466 | |||||
GNMA, 6.50%, 3/15/28 | 9,225 | 10,198 | |||||
GNMA, 6.50%, 4/15/28 | 1,125 | 1,245 | |||||
GNMA, 6.00%, 10/15/28 | 19,513 | 22,227 | |||||
GNMA, 7.00%, 5/15/31 | 7,269 | 8,577 | |||||
GNMA, 5.50%, 11/15/32 | 51,125 | 57,879 | |||||
GNMA, 6.50%, 10/15/38 | 667,426 | 787,609 | |||||
GNMA, 4.50%, 5/20/41 | 507,289 | 548,946 | |||||
GNMA, 4.50%, 6/15/41 | 275,723 | 303,418 | |||||
GNMA, 4.00%, 12/15/41 | 999,139 | 1,060,766 | |||||
GNMA, 3.50%, 6/20/42 | 423,111 | 443,589 | |||||
GNMA, 3.50%, 7/20/42 | 323,598 | 338,963 | |||||
GNMA, 3.50%, 4/20/45 | 140,190 | 146,377 | |||||
GNMA, 2.50%, 7/20/46 | 180,520 | 177,836 | |||||
GNMA, 2.50%, 8/20/46 | 575,727 | 567,165 | |||||
29,013,047 | |||||||
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Cost $32,274,820) | 32,862,360 | ||||||
MUNICIPAL SECURITIES — 3.1% | |||||||
Bay Area Toll Authority Rev., 6.92%, 4/1/40 | 105,000 | 144,463 | |||||
Calcasieu Parish Public Trust Authority Rev., (WPT Corp.), VRDN, 0.81%, 6/7/17 (LOC: Bank of America N.A.) | 1,600,000 | 1,600,000 | |||||
Chicago Midway International Airport Rev., VRDN, 0.78%, 6/1/17 (LOC: Bank of Montreal) | 1,545,000 | 1,545,000 | |||||
Illinois Housing Development Authority Rev., VRDN, 0.85%, 6/1/17 (LIQ FAC: FHLB) | 2,150,000 | 2,150,000 |
56
Shares/ Principal Amount | Value | ||||||
Los Angeles Community College District GO, 6.68%, 8/1/36 | $ | 10,000 | $ | 13,649 | |||
Massachusetts Health & Educational Facilities Authority Rev., (Harrington Memorial Hospital, Inc.), VRDN, 0.77%, 6/7/17 (LOC: TD Bank N.A.) | 500,000 | 500,000 | |||||
Metropolitan Transportation Authority Rev., 6.81%, 11/15/40 | 30,000 | 41,187 | |||||
New Jersey State Turnpike Authority Rev., 7.41%, 1/1/40 | 100,000 | 147,494 | |||||
New Jersey Turnpike Authority Rev., 7.10%, 1/1/41 | 9,000 | 12,881 | |||||
New York City GO, 6.27%, 12/1/37 | 40,000 | 53,193 | |||||
Ohio Water Development Authority Water Pollution Control Loan Fund Rev., 4.88%, 12/1/34 | 110,000 | 126,533 | |||||
Orange County Housing Finance Authority Rev., (Landings on Millenia Boulevard Partners Ltd.), VRDN, 1.01%, 6/7/17 (LOC: FNMA) | 475,000 | 475,000 | |||||
Pasadena Public Financing Authority Rev., VRDN, 1.00%, 6/1/17 (SBBPA: Bank of the West) | 2,480,000 | 2,480,000 | |||||
Port Authority of New York & New Jersey Rev., 4.93%, 10/1/51 | 50,000 | 58,229 | |||||
Port Authority of New York & New Jersey Rev., 4.46%, 10/1/62 | 15,000 | 16,174 | |||||
Red River Education Finance Corp. Rev., (Texas Christian University), VRDN, 0.77%, 6/7/17 (SBBPA: Northern Trust Company) | 1,500,000 | 1,500,000 | |||||
Rutgers The State University of New Jersey Rev., 5.67%, 5/1/40 | 150,000 | 180,477 | |||||
Sacramento Municipal Utility District Electric Rev., 6.16%, 5/15/36 | 180,000 | 226,460 | |||||
Salt River Project Agricultural Improvement & Power District Rev., 4.84%, 1/1/41 | 10,000 | 11,729 | |||||
San Francisco Public Utilities Commission Water Rev., 6.00%, 11/1/40 | 75,000 | 94,167 | |||||
San Francisco Public Utilities Commission Water Rev., 6.95%, 11/1/50 | 5,000 | 7,284 | |||||
Santa Clara Valley Transportation Authority Rev., 5.88%, 4/1/32 | 105,000 | 130,428 | |||||
State of California GO, 7.55%, 4/1/39 | 30,000 | 45,351 | |||||
State of California GO, 7.30%, 10/1/39 | 55,000 | 79,438 | |||||
State of California GO, (Building Bonds), 7.60%, 11/1/40 | 65,000 | 99,956 | |||||
State of Connecticut GO, 1.42%, 3/15/18 | 960,000 | 960,307 | |||||
State of Illinois GO, 5.10%, 6/1/33 | 65,000 | 58,791 | |||||
State of Oregon Department of Transportation Rev., Series 2010 A, (Building Bonds), 5.83%, 11/15/34 | 70,000 | 90,355 | |||||
State of Texas GO, 5.52%, 4/1/39 | 15,000 | 19,438 | |||||
State of Washington GO, 5.14%, 8/1/40 | 5,000 | 6,129 | |||||
Tempe Industrial Development Authority Rev., (ASUF Brickyard LLC), VRDN, 0.97%, 6/1/17 (LOC: Bank of America N.A.) | 2,000,000 | 2,000,000 | |||||
Tennis for Charity, Inc. Rev., VRDN, 1.00%, 6/7/17 (LOC: JPMorgan Chase Bank N.A.) | 1,530,000 | 1,530,000 | |||||
TOTAL MUNICIPAL SECURITIES (Cost $16,079,560) | 16,404,113 | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(8) — 1.7% | |||||||
Private Sponsor Collateralized Mortgage Obligations — 1.3% | |||||||
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-8, Class 2A1, VRN, 3.32%, 6/1/17 | 614,796 | 594,652 |
57
Shares/ Principal Amount | Value | ||||||
Citigroup Mortgage Loan Trust, Inc., Series 2004-UST1, Class A5, VRN, 2.75%, 6/1/17 | $ | 249,426 | $ | 247,170 | |||
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-3, Class 1A1, VRN, 5.44%, 6/1/17 | 164,844 | 158,244 | |||||
FNMA, Series 2017-C03, Class 1M1, VRN, 1.97%, 6/26/17 | 196,612 | 197,277 | |||||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1, VRN, 3.10%, 6/1/17 | 1,026,088 | 1,064,601 | |||||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5, VRN, 3.06%, 6/1/17 | 718,540 | 722,013 | |||||
JP Morgan Mortgage Trust, Series 2014-5, Class A1, VRN, 3.00%, 6/1/17(4) | 264,197 | 268,765 | |||||
JPMorgan Mortgage Trust, Series 2013-1, Class 2A2 SEQ, VRN, 2.50%, 6/1/17(4) | 89,851 | 90,061 | |||||
JPMorgan Mortgage Trust, Series 2016-4, Class A3, VRN, 3.50%, 6/1/17(4) | 159,890 | 163,399 | |||||
JPMorgan Mortgage Trust, Series 2017-1, Class A2, VRN, 3.50%, 6/1/17(4) | 196,424 | 200,735 | |||||
New Residential Mortgage Loan Trust, Series 2017-2A, Class A3, VRN, 4.00%, 6/1/17(4) | 266,695 | 278,891 | |||||
Sequoia Mortgage Trust, Series 2014-4, Class A2 SEQ, VRN, 3.50%, 6/1/17(4) | 124,733 | 128,693 | |||||
Sequoia Mortgage Trust, Series 2017-1, Class A1, VRN, 3.50%, 6/1/17(4) | 196,322 | 200,346 | |||||
Sofi Mortgage Trust, Series 2016-1A, Class 1A4 SEQ, VRN, 3.00%, 6/1/17(4) | 95,194 | 93,751 | |||||
Thornburg Mortgage Securities Trust, Series 2004-3, Class A, VRN, 1.76%, 6/26/17 | 414,120 | 384,986 | |||||
Towd Point Mortgage Trust, Series 2016-1, Class A1, VRN, 3.50%, 6/1/17(4) | 152,059 | 156,119 | |||||
WaMu Mortgage Pass-Through Certificates, Series 2005-AR3, Class A1, VRN, 3.03%, 6/1/17 | 221,444 | 217,553 | |||||
WaMu Mortgage Pass-Through Certificates, Series 2005-AR7, Class A3, VRN, 2.83%, 6/1/17 | 121,938 | 123,011 | |||||
Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A15, VRN, 3.12%, 6/1/17 | 87,933 | 90,244 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-A, Class A1, VRN, 3.11%, 6/1/17 | 48,950 | 49,595 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR4, Class 2A1, VRN, 3.31%, 6/1/17 | 627,826 | 630,089 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-4, Class 2A1, 6.00%, 4/25/36 | 33,592 | 33,930 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 1A1, VRN, 3.18%, 6/1/17 | 96,284 | 93,377 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR12, Class 1A1, VRN, 3.25%, 6/1/17 | 89,204 | 84,947 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-15, Class A1, 6.00%, 11/25/37 | 221,465 | 220,551 | |||||
Wells Fargo-Mortgage Backed Securities Trust, Series 2006-AR14, Class 1A7 SEQ, VRN, 3.07%, 6/1/17 | 22,709 | 21,461 | |||||
6,514,461 | |||||||
U.S. Government Agency Collateralized Mortgage Obligations — 0.4% | |||||||
FHLMC, Series 2016-HQA3, Class M2, VRN, 2.37%, 6/26/17 | 50,000 | 50,679 | |||||
FHLMC, Series KF29, Class A, VRN, 1.34%, 6/25/17 | 699,925 | 700,986 | |||||
FNMA, Series 2014-C02, Class 1M2, VRN, 3.62%, 6/26/17 | 250,000 | 261,775 |
58
Shares/ Principal Amount | Value | ||||||
FNMA, Series 2014-C02, Class 2M2, VRN, 3.62%, 6/26/17 | $ | 275,000 | $ | 285,358 | |||
FNMA, Series 2016-C04, Class 1M1, VRN, 2.47%, 6/26/17 | 304,476 | 308,216 | |||||
FNMA, Series 2016-C04, Class 1M2, VRN, 5.27%, 6/26/17 | 50,000 | 55,189 | |||||
FNMA, Series 2016-C05, Class 2M1, VRN, 2.37%, 6/26/17 | 137,295 | 138,395 | |||||
FNMA, Series 2016-C05, Class 2M2, VRN, 5.47%, 6/26/17 | 70,000 | 77,217 | |||||
FNMA, Series 2017-C01, Class 1M1, VRN, 2.32%, 6/26/17 | 244,759 | 246,843 | |||||
FNMA, Series 2017-C01, Class 1M2, VRN, 4.57%, 6/26/17 | 100,000 | 105,672 | |||||
2,230,330 | |||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $8,683,989) | 8,744,791 | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES(8) — 1.4% | |||||||
BAMLL Commercial Mortgage Securities Trust, Series 2014-ICTS, Class A, VRN, 1.79%, 6/15/17(4) | 450,000 | 450,573 | |||||
Bank of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2015-200P, Class B, 3.49%, 4/14/33(4) | 400,000 | 410,351 | |||||
BB-UBS Trust, Series 2012-SHOW, Class A SEQ, 3.43%, 11/5/36(4) | 425,000 | 439,712 | |||||
BLCP Hotel Trust, Series 2014-CLRN, Class A, VRN, 1.94%, 6/15/17(4) | 606,723 | 607,624 | |||||
CD 2016-CD2 Mortgage Trust, Series 2016-CD2, Class A4, VRN, 3.53%, 6/1/17 | 350,000 | 365,547 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-BBG, Class A, VRN, 1.79%, 6/15/17(4) | 175,000 | 175,615 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-CR15, Class AM SEQ, VRN, 4.43%, 6/1/17 | 375,000 | 406,764 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-LC17, Class AM, VRN, 4.19%, 6/1/17 | 425,000 | 451,968 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-LC17, Class B, VRN, 4.49%, 6/1/17 | 108,000 | 114,535 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS5, Class AM, VRN, 4.19%, 6/1/17 | 375,000 | 396,938 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2015-CR22, Class AM, VRN, 3.60%, 6/1/17 | 125,000 | 128,764 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2016-CR28, Class B, VRN, 4.65%, 6/1/17 | 75,000 | 80,140 | |||||
Core Industrial Trust, Series 2015-WEST, Class A SEQ, 3.29%, 2/10/37(4) | 500,000 | 513,730 | |||||
GS Mortgage Securities Corp. II, Series 2015-GC28, Class AS, 3.76%, 2/10/48 | 100,000 | 103,117 | |||||
GS Mortgage Securities Corp. II, Series 2016-GS2, Class B, VRN, 3.76%, 6/1/17 | 325,000 | 335,113 | |||||
Hudson Yards Mortgage Trust, Series 2016-10HY, Class A SEQ, 2.84%, 8/10/38(4) | 400,000 | 394,054 | |||||
Irvine Core Office Trust, Series 2013-IRV, Class A2 SEQ, VRN, 3.17%, 6/10/17(4) | 450,000 | 466,782 | |||||
JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class A4, 3.41%, 3/15/50 | 100,000 | 103,756 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-CBM, Class A, VRN, 1.89%, 5/15/17(4) | 850,000 | 850,492 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class A4, 2.82%, 8/15/49 | 200,000 | 197,500 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class B, VRN, 3.46%, 6/1/17 | 100,000 | 99,609 |
59
Shares/ Principal Amount | Value | ||||||
UBS Commercial Mortgage Securities Trust, Series 2017-C1, Class A3, 3.20%, 6/15/50(2) | $ | 370,000 | $ | 373,674 | |||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $7,350,952) | 7,466,358 | ||||||
COMMERCIAL PAPER(5) — 1.4% | |||||||
BASF SE, 0.99%, 6/26/17(4) | 1,600,000 | 1,598,959 | |||||
COCA-COLA Co., 0.93%, 6/7/17(4) | 1,014,000 | 1,013,842 | |||||
COCA-COLA Co., 1.01%, 7/18/17(4) | 600,000 | 599,317 | |||||
Thunder Bay Funding LLC, 1.12%, 6/22/17(4) | 1,600,000 | 1,599,019 | |||||
University of Texas System (The), 0.77%, 6/6/17 | 1,600,000 | 1,599,984 | |||||
Wells Fargo Bank N.A., 1.36%, 6/12/17 | 1,000,000 | 1,000,198 | |||||
TOTAL COMMERCIAL PAPER (Cost $7,411,011) | 7,411,319 | ||||||
ASSET-BACKED SECURITIES(8) — 1.3% | |||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class B, 3.42%, 12/20/21(4) | 75,000 | 76,740 | |||||
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A, Class A SEQ, 2.94%, 5/25/29(4) | 290,113 | 292,034 | |||||
Citibank Credit Card Issuance Trust, Series 2017-A5, Class A5, VRN, 1.64%, 6/22/17 | 400,000 | 402,369 | |||||
Colony American Homes, Series 2014-2A, Class A, VRN, 1.98%, 6/17/17(4) | 239,732 | 239,547 | |||||
Colony Starwood Homes, Series 2016-2A, Class A, VRN, 2.25%, 6/17/17(4) | 658,490 | 663,946 | |||||
Enterprise Fleet Financing LLC, Series 2015-2, Class A2 SEQ, 1.59%, 2/22/21(4) | 265,813 | 265,896 | |||||
Enterprise Fleet Financing LLC, Series 2016-1, Class A2 SEQ, 1.83%, 9/20/21(4) | 264,597 | 264,770 | |||||
Enterprise Fleet Financing LLC, Series 2017-1, Class A2 SEQ, 2.13%, 7/20/22(4) | 250,000 | 250,923 | |||||
Hertz Fleet Lease Funding LP, Series 2014-1, Class A, VRN, 1.39%, 6/10/17(4) | 87,912 | 87,902 | |||||
Hertz Vehicle Financing LLC, Series 2013-1A, Class A2 SEQ, 1.83%, 8/25/19(4) | 250,000 | 249,442 | |||||
Hilton Grand Vacations Trust, Series 2013-A, Class A SEQ, 2.28%, 1/25/26(4) | 55,999 | 55,912 | |||||
Hilton Grand Vacations Trust, Series 2014-AA, Class A SEQ, 1.77%, 11/25/26(4) | 268,379 | 264,622 | |||||
Hilton Grand Vacations Trust, Series 2017-AA, Class A SEQ, 2.66%, 12/26/28(4) | 242,920 | 243,856 | |||||
Honda Auto Receivables Owner Trust, Series 2017-1, Class A2 SEQ, 1.42%, 7/22/19 | 300,000 | 300,014 | |||||
Hyundai Auto Receivables Trust, Series 2017-A, Class A2A SEQ, 1.48%, 2/18/20 | 300,000 | 300,471 | |||||
Invitation Homes Trust, Series 2014-SFR3, Class A, VRN, 2.20%, 6/17/17(4) | 167,808 | 168,013 | |||||
MVW Owner Trust, Series 2015-1A, Class A SEQ, 2.52%, 12/20/32(4) | 193,845 | 193,396 | |||||
MVW Owner Trust, Series 2016-1A, Class A SEQ, 2.25%, 12/20/33(4) | 193,189 | 191,521 | |||||
Progress Residential Trust, Series 2016-SFR2, Class A, VRN, 2.40%, 6/17/17(4) | 275,000 | 277,742 | |||||
Sierra Receivables Funding Co. LLC, Series 2017-1A, Class A SEQ, 2.91%, 3/20/34(4) | 252,540 | 255,712 |
60
Shares/ Principal Amount | Value | ||||||
Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A SEQ, 1.59%, 11/20/29(4) | $ | 242,200 | $ | 241,729 | |||
Sierra Timeshare Receivables Funding LLC, Series 2013-2A, Class A SEQ, 2.28%, 11/20/25(4) | 30,946 | 30,978 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2014-1A, Class A SEQ, 2.07%, 3/20/30(4) | 223,352 | 223,235 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2015-1A, Class A, 2.40%, 3/22/32(4) | 186,960 | 187,611 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2015-2A, Class A, 2.43%, 6/20/32(4) | 256,250 | 256,298 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2016-2A, Class A SEQ, 2.33%, 7/20/33(4) | 73,967 | 74,046 | |||||
Towd Point Mortgage Trust, Series 2017-2, Class A1, VRN, 2.75%, 6/1/17(4) | 150,000 | 151,621 | |||||
US Airways Pass-Through Trust, Series 2013-1, Class A, 3.95%, 5/15/27 | 64,444 | 66,700 | |||||
VSE VOI Mortgage LLC, Series 2016-A, Class A SEQ, 2.54%, 7/20/33(4) | 377,820 | 377,328 | |||||
TOTAL ASSET-BACKED SECURITIES (Cost $6,630,912) | 6,654,374 | ||||||
U.S. GOVERNMENT AGENCY SECURITIES — 0.6% | |||||||
FNMA, 2.125%, 4/24/26 | 110,000 | 107,578 | |||||
FNMA, 6.625%, 11/15/30 | 2,000,000 | 2,875,990 | |||||
TOTAL U.S. GOVERNMENT AGENCY SECURITIES (Cost $2,825,098) | 2,983,568 | ||||||
EXCHANGE-TRADED FUNDS — 0.3% | |||||||
iShares Russell 1000 Growth ETF | 796 | 94,995 | |||||
iShares Russell 1000 Value ETF | 4,950 | 566,924 | |||||
iShares Russell Mid-Cap Value ETF | 6,861 | 568,502 | |||||
SPDR S&P Bank ETF | 10,463 | 430,343 | |||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $1,538,435) | 1,660,764 | ||||||
CONVERTIBLE PREFERRED STOCKS† | |||||||
Machinery† | |||||||
Rexnord Corp., 5.75%, 11/15/19 (Cost $16,362) | 328 | 17,414 | |||||
TEMPORARY CASH INVESTMENTS — 2.0% | |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 10,335,010 | 10,335,010 | |||||
U.S. Treasury Bills, 0.64%, 8/10/17(3)(5) | $ | 100,000 | 99,825 | ||||
TOTAL TEMPORARY CASH INVESTMENTS (Cost $10,434,889) | 10,434,835 | ||||||
TOTAL INVESTMENT SECURITIES — 101.9% (Cost $478,719,872) | 534,130,042 | ||||||
OTHER ASSETS AND LIABILITIES — (1.9)% | (9,995,785 | ) | |||||
TOTAL NET ASSETS — 100.0% | $ | 524,134,257 |
61
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
ARS | 1,129,564 | USD | 72,711 | Goldman Sachs & Co. | 6/21/17 | $ | (3,224 | ) | ||
ARS | 1,047,068 | USD | 67,401 | Goldman Sachs & Co. | 6/21/17 | (2,988 | ) | |||
AUD | 120,198 | USD | 91,849 | JPMorgan Chase Bank N.A. | 6/21/17 | (2,564 | ) | |||
AUD | 106,717 | USD | 81,547 | JPMorgan Chase Bank N.A. | 6/21/17 | (2,276 | ) | |||
AUD | 22,890 | USD | 17,246 | JPMorgan Chase Bank N.A. | 6/21/17 | (243 | ) | |||
AUD | 73,917 | USD | 55,514 | JPMorgan Chase Bank N.A. | 6/21/17 | (608 | ) | |||
AUD | 36,307 | USD | 27,268 | JPMorgan Chase Bank N.A. | 6/21/17 | (299 | ) | |||
AUD | 45,757 | USD | 34,133 | JPMorgan Chase Bank N.A. | 6/21/17 | (144 | ) | |||
AUD | 47,971 | USD | 35,784 | JPMorgan Chase Bank N.A. | 6/21/17 | (151 | ) | |||
USD | 53,444 | AUD | 70,982 | JPMorgan Chase Bank N.A. | 6/21/17 | 717 | ||||
USD | 528,620 | AUD | 702,091 | JPMorgan Chase Bank N.A. | 6/21/17 | 7,097 | ||||
USD | 20,572 | AUD | 26,700 | JPMorgan Chase Bank N.A. | 6/21/17 | 739 | ||||
USD | 72,105 | AUD | 95,696 | JPMorgan Chase Bank N.A. | 6/21/17 | 1,020 | ||||
USD | 80,041 | AUD | 106,229 | JPMorgan Chase Bank N.A. | 6/21/17 | 1,132 | ||||
USD | 11,623 | AUD | 15,437 | JPMorgan Chase Bank N.A. | 6/21/17 | 157 | ||||
USD | 72,161 | AUD | 96,509 | JPMorgan Chase Bank N.A. | 6/21/17 | 473 | ||||
USD | 60,751 | AUD | 81,249 | JPMorgan Chase Bank N.A. | 6/21/17 | 398 | ||||
USD | 78,256 | AUD | 104,128 | JPMorgan Chase Bank N.A. | 6/21/17 | 908 | ||||
USD | 69,422 | AUD | 92,373 | JPMorgan Chase Bank N.A. | 6/21/17 | 806 | ||||
USD | 34,590 | AUD | 47,108 | JPMorgan Chase Bank N.A. | 6/21/17 | (403 | ) | |||
USD | 36,558 | AUD | 49,788 | JPMorgan Chase Bank N.A. | 6/21/17 | (425 | ) | |||
USD | 17,530 | AUD | 23,432 | JPMorgan Chase Bank N.A. | 6/21/17 | 124 | ||||
BRL | 430,823 | USD | 135,050 | Goldman Sachs & Co. | 6/21/17 | (2,477 | ) | |||
BRL | 467,075 | USD | 146,414 | Goldman Sachs & Co. | 6/21/17 | (2,685 | ) | |||
USD | 137,643 | BRL | 430,823 | Goldman Sachs & Co. | 6/21/17 | 5,070 | ||||
USD | 149,225 | BRL | 467,075 | Goldman Sachs & Co. | 6/21/17 | 5,497 | ||||
USD | 67,293 | BRL | 231,318 | Goldman Sachs & Co. | 6/21/17 | (3,889 | ) | |||
USD | 63,266 | BRL | 217,477 | Goldman Sachs & Co. | 6/21/17 | (3,656 | ) | |||
CAD | 21,206 | USD | 15,881 | JPMorgan Chase Bank N.A. | 6/21/17 | (177 | ) | |||
CAD | 25,552 | USD | 19,072 | JPMorgan Chase Bank N.A. | 6/21/17 | (150 | ) | |||
CAD | 353,324 | USD | 263,910 | JPMorgan Chase Bank N.A. | 6/21/17 | (2,264 | ) | |||
CAD | 13,920 | USD | 10,188 | JPMorgan Chase Bank N.A. | 6/21/17 | 121 | ||||
CAD | 38,005 | USD | 28,125 | JPMorgan Chase Bank N.A. | 6/21/17 | 19 | ||||
CAD | 136,524 | USD | 101,456 | JPMorgan Chase Bank N.A. | 6/21/17 | (356 | ) | |||
CAD | 145,929 | USD | 108,445 | JPMorgan Chase Bank N.A. | 6/21/17 | (381 | ) | |||
CAD | 3,414 | USD | 2,552 | Morgan Stanley | 6/30/17 | (24 | ) | |||
CAD | 25,095 | USD | 18,761 | Morgan Stanley | 6/30/17 | (174 | ) | |||
CAD | 664 | USD | 499 | Morgan Stanley | 6/30/17 | (7 | ) | |||
CAD | 21,043 | USD | 15,816 | Morgan Stanley | 6/30/17 | (231 | ) | |||
CAD | 798 | USD | 600 | Morgan Stanley | 6/30/17 | (9 | ) | |||
CAD | 3,253 | USD | 2,432 | Morgan Stanley | 6/30/17 | (22 | ) | |||
CAD | 1,124 | USD | 830 | Morgan Stanley | 6/30/17 | 3 | ||||
CAD | 16,892 | USD | 12,463 | Morgan Stanley | 6/30/17 | 48 | ||||
CAD | 22,972 | USD | 16,849 | Morgan Stanley | 6/30/17 | 165 | ||||
CAD | 13,343 | USD | 9,745 | Morgan Stanley | 6/30/17 | 137 | ||||
CAD | 25,749 | USD | 18,714 | Morgan Stanley | 6/30/17 | 356 | ||||
CAD | 525 | USD | 383 | Morgan Stanley | 6/30/17 | 5 | ||||
CAD | 2,819 | USD | 2,072 | Morgan Stanley | 6/30/17 | 16 |
62
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
CAD | 19,126 | USD | 14,056 | Morgan Stanley | 6/30/17 | $ | 110 | |||
CAD | 14,620 | USD | 10,744 | Morgan Stanley | 6/30/17 | 84 | ||||
USD | 751,027 | CAD | 1,009,787 | JPMorgan Chase Bank N.A. | 6/21/17 | 3,254 | ||||
USD | 105,951 | CAD | 142,456 | JPMorgan Chase Bank N.A. | 6/21/17 | 459 | ||||
USD | 6,113 | CAD | 8,130 | JPMorgan Chase Bank N.A. | 6/21/17 | 93 | ||||
USD | 12,668 | CAD | 16,923 | JPMorgan Chase Bank N.A. | 6/21/17 | 136 | ||||
USD | 74,245 | CAD | 99,822 | JPMorgan Chase Bank N.A. | 6/21/17 | 324 | ||||
USD | 71,483 | CAD | 96,109 | JPMorgan Chase Bank N.A. | 6/21/17 | 312 | ||||
USD | 21,041 | CAD | 28,750 | JPMorgan Chase Bank N.A. | 6/21/17 | (249 | ) | |||
USD | 72,141 | CAD | 99,038 | JPMorgan Chase Bank N.A. | 6/21/17 | (1,199 | ) | |||
USD | 72,608 | CAD | 99,679 | JPMorgan Chase Bank N.A. | 6/21/17 | (1,207 | ) | |||
USD | 65,088 | CAD | 89,377 | JPMorgan Chase Bank N.A. | 6/21/17 | (1,098 | ) | |||
USD | 69,280 | CAD | 95,134 | JPMorgan Chase Bank N.A. | 6/21/17 | (1,169 | ) | |||
USD | 26,464 | CAD | 35,681 | JPMorgan Chase Bank N.A. | 6/21/17 | 41 | ||||
USD | 5,253 | CAD | 7,094 | JPMorgan Chase Bank N.A. | 6/21/17 | — | ||||
USD | 8,997 | CAD | 12,149 | JPMorgan Chase Bank N.A. | 6/21/17 | — | ||||
USD | 23,614 | CAD | 32,097 | Morgan Stanley | 6/21/17 | (154 | ) | |||
USD | 81,036 | CAD | 108,287 | Morgan Stanley | 6/30/17 | 834 | ||||
USD | 22,593 | CAD | 30,191 | Morgan Stanley | 6/30/17 | 232 | ||||
USD | 521,125 | CAD | 696,367 | Morgan Stanley | 6/30/17 | 5,362 | ||||
USD | 449,191 | CAD | 600,242 | Morgan Stanley | 6/30/17 | 4,622 | ||||
USD | 20,123 | CAD | 26,973 | Morgan Stanley | 6/30/17 | 145 | ||||
USD | 1,899 | CAD | 2,546 | Morgan Stanley | 6/30/17 | 14 | ||||
USD | 1,917 | CAD | 2,553 | Morgan Stanley | 6/30/17 | 26 | ||||
USD | 738 | CAD | 993 | Morgan Stanley | 6/30/17 | 2 | ||||
USD | 17,530 | CAD | 23,848 | Morgan Stanley | 6/30/17 | (133 | ) | |||
USD | 643 | CAD | 876 | Morgan Stanley | 6/30/17 | (6 | ) | |||
USD | 1,692 | CAD | 2,321 | Morgan Stanley | 6/30/17 | (27 | ) | |||
USD | 1,686 | CAD | 2,268 | Morgan Stanley | 6/30/17 | 6 | ||||
USD | 619 | CAD | 834 | Morgan Stanley | 6/30/17 | 2 | ||||
CHF | 85,086 | USD | 85,215 | Credit Suisse AG | 6/21/17 | 2,744 | ||||
CHF | 71,290 | USD | 71,398 | Credit Suisse AG | 6/21/17 | 2,299 | ||||
CHF | 65,458 | USD | 65,896 | Credit Suisse AG | 6/21/17 | 1,772 | ||||
CHF | 74,685 | USD | 75,185 | Credit Suisse AG | 6/21/17 | 2,022 | ||||
CHF | 73,050 | USD | 74,873 | Credit Suisse AG | 6/21/17 | 643 | ||||
CHF | 69,652 | USD | 71,390 | Credit Suisse AG | 6/21/17 | 613 | ||||
CHF | 21,072 | USD | 21,205 | Credit Suisse AG | 6/30/17 | 592 | ||||
USD | 502,610 | CHF | 506,729 | Credit Suisse AG | 6/21/17 | (21,227 | ) | |||
USD | 153,341 | CHF | 154,598 | Credit Suisse AG | 6/21/17 | (6,476 | ) | |||
USD | 75,053 | CHF | 74,565 | Credit Suisse AG | 6/21/17 | (2,030 | ) | |||
USD | 71,494 | CHF | 71,029 | Credit Suisse AG | 6/21/17 | (1,933 | ) | |||
USD | 66,546 | CHF | 66,867 | Credit Suisse AG | 6/21/17 | (2,578 | ) | |||
USD | 68,459 | CHF | 68,789 | Credit Suisse AG | 6/21/17 | (2,652 | ) | |||
USD | 9,664 | CHF | 9,379 | Credit Suisse AG | 6/21/17 | (32 | ) | |||
USD | 154,620 | CHF | 152,625 | Credit Suisse AG | 6/30/17 | (3,258 | ) | |||
USD | 17,474 | CHF | 17,332 | Credit Suisse AG | 6/30/17 | (454 | ) | |||
USD | 16,828 | CHF | 16,741 | Credit Suisse AG | 6/30/17 | (488 | ) | |||
USD | 17,245 | CHF | 17,173 | Credit Suisse AG | 6/30/17 | (518 | ) | |||
USD | 15,784 | CHF | 15,734 | Credit Suisse AG | 6/30/17 | (491 | ) |
63
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
USD | 41,798 | CHF | 41,720 | Credit Suisse AG | 6/30/17 | $ | (1,358 | ) | ||
USD | 16,076 | CHF | 16,108 | Credit Suisse AG | 6/30/17 | (586 | ) | |||
USD | 6,864 | CHF | 6,885 | Credit Suisse AG | 6/30/17 | (258 | ) | |||
USD | 14,718 | CHF | 14,611 | Credit Suisse AG | 6/30/17 | (395 | ) | |||
USD | 12,973 | CHF | 12,895 | Credit Suisse AG | 6/30/17 | (366 | ) | |||
USD | 9,162 | CHF | 9,095 | Credit Suisse AG | 6/30/17 | (246 | ) | |||
USD | 7,848 | CHF | 7,778 | Credit Suisse AG | 6/30/17 | (197 | ) | |||
USD | 9,446 | CHF | 9,308 | Credit Suisse AG | 6/30/17 | (182 | ) | |||
USD | 9,503 | CHF | 9,563 | Credit Suisse AG | 6/30/17 | (388 | ) | |||
USD | 46,223 | CHF | 45,008 | Credit Suisse AG | 6/30/17 | (333 | ) | |||
USD | 21,402 | CHF | 20,681 | Credit Suisse AG | 6/30/17 | 9 | ||||
CLP | 4,758,166 | USD | 7,307 | Goldman Sachs & Co. | 6/21/17 | (250 | ) | |||
USD | 74,019 | CLP | 49,354,163 | Goldman Sachs & Co. | 6/21/17 | 818 | ||||
USD | 68,074 | CLP | 45,390,430 | Goldman Sachs & Co. | 6/21/17 | 752 | ||||
USD | 36,327 | CLP | 24,273,378 | Goldman Sachs & Co. | 6/21/17 | 325 | ||||
USD | 34,673 | CLP | 23,168,759 | Goldman Sachs & Co. | 6/21/17 | 310 | ||||
USD | 69,386 | CLP | 47,286,377 | Goldman Sachs & Co. | 6/21/17 | (748 | ) | |||
USD | 74,867 | CLP | 51,021,602 | Goldman Sachs & Co. | 6/21/17 | (807 | ) | |||
COP | 199,581,634 | USD | 67,811 | Goldman Sachs & Co. | 6/21/17 | 435 | ||||
COP | 216,713,802 | USD | 73,632 | Goldman Sachs & Co. | 6/21/17 | 472 | ||||
COP | 197,978,065 | USD | 68,292 | Goldman Sachs & Co. | 6/21/17 | (595 | ) | |||
COP | 215,192,084 | USD | 74,230 | Goldman Sachs & Co. | 6/21/17 | (646 | ) | |||
COP | 222,633,403 | USD | 74,709 | Goldman Sachs & Co. | 6/21/17 | 1,419 | ||||
COP | 194,960,245 | USD | 65,423 | Goldman Sachs & Co. | 6/21/17 | 1,242 | ||||
USD | 66,275 | COP | 194,960,245 | Goldman Sachs & Co. | 6/21/17 | (391 | ) | |||
USD | 75,682 | COP | 222,633,403 | Goldman Sachs & Co. | 6/21/17 | (446 | ) | |||
USD | 73,806 | COP | 217,802,532 | Goldman Sachs & Co. | 6/21/17 | (670 | ) | |||
USD | 67,387 | COP | 198,858,003 | Goldman Sachs & Co. | 6/21/17 | (612 | ) | |||
USD | 72,101 | COP | 214,103,354 | Goldman Sachs & Co. | 6/21/17 | (1,110 | ) | |||
USD | 66,914 | COP | 198,701,696 | Goldman Sachs & Co. | 6/21/17 | (1,031 | ) | |||
USD | 7,043 | CZK | 179,534 | Goldman Sachs & Co. | 6/21/17 | (620 | ) | |||
USD | 35,285 | CZK | 896,994 | Goldman Sachs & Co. | 6/21/17 | (3,000 | ) | |||
USD | 1,422 | CZK | 36,154 | Goldman Sachs & Co. | 6/21/17 | (121 | ) | |||
DKK | 46,682 | USD | 6,715 | JPMorgan Chase Bank N.A. | 6/21/17 | 342 | ||||
DKK | 558,405 | USD | 80,326 | JPMorgan Chase Bank N.A. | 6/21/17 | 4,095 | ||||
DKK | 817,590 | USD | 117,610 | JPMorgan Chase Bank N.A. | 6/21/17 | 5,995 | ||||
DKK | 60,190 | USD | 8,591 | JPMorgan Chase Bank N.A. | 6/21/17 | 508 | ||||
DKK | 47,647 | USD | 6,798 | JPMorgan Chase Bank N.A. | 6/21/17 | 406 | ||||
USD | 104,960 | DKK | 735,692 | JPMorgan Chase Bank N.A. | 6/21/17 | (6,263 | ) | |||
USD | 57,468 | DKK | 399,728 | JPMorgan Chase Bank N.A. | 6/21/17 | (2,963 | ) | |||
USD | 71,836 | DKK | 499,659 | JPMorgan Chase Bank N.A. | 6/21/17 | (3,704 | ) | |||
EUR | 52,003 | USD | 55,304 | JPMorgan Chase Bank N.A. | 6/21/17 | 3,171 | ||||
EUR | 1,118 | USD | 1,192 | JPMorgan Chase Bank N.A. | 6/21/17 | 65 | ||||
EUR | 180,792 | USD | 197,594 | JPMorgan Chase Bank N.A. | 6/21/17 | 5,700 | ||||
EUR | 839,732 | USD | 918,197 | JPMorgan Chase Bank N.A. | 6/21/17 | 26,056 | ||||
EUR | 116,230 | USD | 127,358 | JPMorgan Chase Bank N.A. | 6/21/17 | 3,339 | ||||
EUR | 335,868 | USD | 367,517 | JPMorgan Chase Bank N.A. | 6/21/17 | 10,156 | ||||
EUR | 217,792 | USD | 238,314 | JPMorgan Chase Bank N.A. | 6/21/17 | 6,586 | ||||
EUR | 218,557 | USD | 238,583 | JPMorgan Chase Bank N.A. | 6/21/17 | 7,177 |
64
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
EUR | 107,874 | USD | 117,758 | JPMorgan Chase Bank N.A. | 6/21/17 | $ | 3,542 | |||
EUR | 195,936 | USD | 213,899 | JPMorgan Chase Bank N.A. | 6/21/17 | 6,424 | ||||
EUR | 240,673 | USD | 262,147 | JPMorgan Chase Bank N.A. | 6/21/17 | 8,481 | ||||
EUR | 95,385 | USD | 103,833 | JPMorgan Chase Bank N.A. | 6/21/17 | 3,424 | ||||
EUR | 104,096 | USD | 113,316 | JPMorgan Chase Bank N.A. | 6/21/17 | 3,737 | ||||
EUR | 206,903 | USD | 225,204 | JPMorgan Chase Bank N.A. | 6/21/17 | 7,452 | ||||
EUR | 49,435 | USD | 55,475 | JPMorgan Chase Bank N.A. | 6/21/17 | 114 | ||||
EUR | 521,258 | USD | 584,938 | JPMorgan Chase Bank N.A. | 6/21/17 | 1,201 | ||||
EUR | 20,282 | USD | 22,814 | JPMorgan Chase Bank N.A. | 6/21/17 | (8 | ) | |||
EUR | 70,160 | USD | 78,925 | JPMorgan Chase Bank N.A. | 6/21/17 | (32 | ) | |||
EUR | 65,149 | USD | 73,288 | JPMorgan Chase Bank N.A. | 6/21/17 | (30 | ) | |||
EUR | 19,408 | USD | 21,721 | JPMorgan Chase Bank N.A. | 6/21/17 | 103 | ||||
EUR | 11,091 | USD | 12,412 | JPMorgan Chase Bank N.A. | 6/21/17 | 59 | ||||
EUR | 72,129 | USD | 81,186 | JPMorgan Chase Bank N.A. | 6/21/17 | (79 | ) | |||
EUR | 25,049 | USD | 28,194 | JPMorgan Chase Bank N.A. | 6/21/17 | (27 | ) | |||
EUR | 10,488 | USD | 11,388 | UBS AG | 6/30/17 | 412 | ||||
EUR | 7,687 | USD | 8,232 | UBS AG | 6/30/17 | 416 | ||||
EUR | 570 | USD | 611 | UBS AG | 6/30/17 | 31 | ||||
EUR | 5,729 | USD | 6,126 | UBS AG | 6/30/17 | 320 | ||||
EUR | 143 | USD | 153 | UBS AG | 6/30/17 | 8 | ||||
EUR | 433 | USD | 460 | UBS AG | 6/30/17 | 27 | ||||
EUR | 82 | USD | 88 | UBS AG | 6/30/17 | 5 | ||||
EUR | 3,858 | USD | 4,161 | UBS AG | 6/30/17 | 179 | ||||
EUR | 25,772 | USD | 27,670 | UBS AG | 6/30/17 | 1,325 | ||||
EUR | 8,858 | USD | 9,660 | UBS AG | 6/30/17 | 306 | ||||
EUR | 944 | USD | 1,029 | UBS AG | 6/30/17 | 33 | ||||
EUR | 357 | USD | 390 | UBS AG | 6/30/17 | 12 | ||||
EUR | 24,638 | USD | 26,958 | UBS AG | 6/30/17 | 760 | ||||
EUR | 4,154 | USD | 4,569 | UBS AG | 6/30/17 | 104 | ||||
EUR | 406 | USD | 443 | UBS AG | 6/30/17 | 14 | ||||
EUR | 1,564 | USD | 1,702 | UBS AG | 6/30/17 | 58 | ||||
EUR | 10,457 | USD | 11,677 | UBS AG | 6/30/17 | 87 | ||||
EUR | 59,676 | USD | 66,877 | UBS AG | 6/30/17 | 261 | ||||
EUR | 3,619 | USD | 4,060 | UBS AG | 6/30/17 | 12 | ||||
EUR | 12,368 | USD | 13,874 | UBS AG | 6/30/17 | 40 | ||||
EUR | 25,111 | USD | 28,169 | UBS AG | 6/30/17 | 82 | ||||
EUR | 23,939 | USD | 26,938 | UBS AG | 6/30/17 | (5 | ) | |||
USD | 1,490,944 | EUR | 1,402,139 | JPMorgan Chase Bank N.A. | 6/21/17 | (85,718 | ) | |||
USD | 86,384 | EUR | 81,230 | JPMorgan Chase Bank N.A. | 6/21/17 | (4,957 | ) | |||
USD | 4,826 | EUR | 4,534 | JPMorgan Chase Bank N.A. | 6/21/17 | (272 | ) | |||
USD | 3,088 | EUR | 2,875 | JPMorgan Chase Bank N.A. | 6/21/17 | (144 | ) | |||
USD | 8,348,245 | EUR | 7,634,845 | JPMorgan Chase Bank N.A. | 6/21/17 | (236,901 | ) | |||
USD | 3,777 | EUR | 3,435 | JPMorgan Chase Bank N.A. | 6/21/17 | (86 | ) | |||
USD | 12,776 | EUR | 11,620 | JPMorgan Chase Bank N.A. | 6/21/17 | (291 | ) | |||
USD | 3,777 | EUR | 3,435 | JPMorgan Chase Bank N.A. | 6/21/17 | (86 | ) | |||
USD | 58,425 | EUR | 53,022 | JPMorgan Chase Bank N.A. | 6/21/17 | (1,197 | ) | |||
USD | 9,464 | EUR | 8,607 | JPMorgan Chase Bank N.A. | 6/21/17 | (214 | ) | |||
USD | 212,667 | EUR | 194,182 | JPMorgan Chase Bank N.A. | 6/21/17 | (5,684 | ) | |||
USD | 309,886 | EUR | 282,950 | JPMorgan Chase Bank N.A. | 6/21/17 | (8,283 | ) |
65
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
USD | 3,102 | EUR | 2,850 | JPMorgan Chase Bank N.A. | 6/21/17 | $ | (103 | ) | ||
USD | 3,722 | EUR | 3,420 | JPMorgan Chase Bank N.A. | 6/21/17 | (123 | ) | |||
USD | 1,968 | EUR | 1,800 | JPMorgan Chase Bank N.A. | 6/21/17 | (56 | ) | |||
USD | 230,812 | EUR | 205,685 | JPMorgan Chase Bank N.A. | 6/21/17 | (474 | ) | |||
USD | 4,288 | EUR | 3,813 | JPMorgan Chase Bank N.A. | 6/21/17 | 1 | ||||
USD | 335,319 | EUR | 298,145 | JPMorgan Chase Bank N.A. | 6/21/17 | 64 | ||||
USD | 18,775 | EUR | 16,694 | JPMorgan Chase Bank N.A. | 6/21/17 | 4 | ||||
USD | 20,327 | EUR | 18,079 | JPMorgan Chase Bank N.A. | 6/21/17 | (3 | ) | |||
USD | 93,575 | EUR | 83,227 | JPMorgan Chase Bank N.A. | 6/21/17 | (11 | ) | |||
USD | 77,159 | EUR | 68,626 | JPMorgan Chase Bank N.A. | 6/21/17 | (9 | ) | |||
USD | 4,627 | EUR | 4,246 | UBS AG | 6/30/17 | (150 | ) | |||
USD | 324,686 | EUR | 297,970 | UBS AG | 6/30/17 | (10,542 | ) | |||
USD | 134,042 | EUR | 123,013 | UBS AG | 6/30/17 | (4,352 | ) | |||
USD | 1,051,083 | EUR | 964,597 | UBS AG | 6/30/17 | (34,127 | ) | |||
USD | 3,761 | EUR | 3,480 | UBS AG | 6/30/17 | (154 | ) | |||
USD | 68,455 | EUR | 64,024 | UBS AG | 6/30/17 | (3,574 | ) | |||
USD | 137 | EUR | 129 | UBS AG | 6/30/17 | (8 | ) | |||
USD | 132 | EUR | 124 | UBS AG | 6/30/17 | (8 | ) | |||
USD | 3,161 | EUR | 2,881 | UBS AG | 6/30/17 | (81 | ) | |||
USD | 10,718 | EUR | 9,731 | UBS AG | 6/30/17 | (230 | ) | |||
GBP | 20,120 | USD | 24,529 | Credit Suisse AG | 6/21/17 | 1,409 | ||||
GBP | 4,650 | USD | 5,697 | Credit Suisse AG | 6/21/17 | 297 | ||||
GBP | 1,756 | USD | 2,196 | Credit Suisse AG | 6/21/17 | 68 | ||||
GBP | 56,938 | USD | 71,253 | Credit Suisse AG | 6/21/17 | 2,152 | ||||
GBP | 66,618 | USD | 83,367 | Credit Suisse AG | 6/21/17 | 2,518 | ||||
GBP | 8,001 | USD | 10,042 | Credit Suisse AG | 6/21/17 | 273 | ||||
GBP | 8,046 | USD | 10,078 | Credit Suisse AG | 6/21/17 | 295 | ||||
GBP | 24,773 | USD | 30,883 | Credit Suisse AG | 6/21/17 | 1,055 | ||||
GBP | 25,487 | USD | 31,773 | Credit Suisse AG | 6/21/17 | 1,085 | ||||
GBP | 26,106 | USD | 33,268 | Credit Suisse AG | 6/21/17 | 388 | ||||
GBP | 63,371 | USD | 80,757 | Credit Suisse AG | 6/21/17 | 941 | ||||
GBP | 16,038 | USD | 20,613 | Credit Suisse AG | 6/21/17 | 64 | ||||
GBP | 19,999 | USD | 25,704 | Credit Suisse AG | 6/21/17 | 80 | ||||
GBP | 62,244 | USD | 80,765 | Credit Suisse AG | 6/21/17 | (520 | ) | |||
GBP | 53,683 | USD | 69,384 | Credit Suisse AG | 6/21/17 | (176 | ) | |||
GBP | 7,820 | USD | 10,126 | Credit Suisse AG | 6/21/17 | (44 | ) | |||
GBP | 7,820 | USD | 10,126 | Credit Suisse AG | 6/21/17 | (44 | ) | |||
GBP | 14,240 | USD | 18,534 | Credit Suisse AG | 6/21/17 | (176 | ) | |||
GBP | 21,524 | USD | 28,037 | Credit Suisse AG | 6/21/17 | (288 | ) | |||
GBP | 703,252 | USD | 857,545 | Credit Suisse AG | 6/21/17 | 49,094 | ||||
GBP | 39,446 | USD | 50,716 | UBS AG | 6/21/17 | 139 | ||||
GBP | 6,453 | USD | 8,090 | Credit Suisse AG | 6/30/17 | 231 | ||||
GBP | 5,689 | USD | 7,288 | Credit Suisse AG | 6/30/17 | 48 | ||||
GBP | 4,664 | USD | 5,990 | Credit Suisse AG | 6/30/17 | 25 | ||||
GBP | 11,716 | USD | 15,179 | Credit Suisse AG | 6/30/17 | (70 | ) | |||
GBP | 4,871 | USD | 6,355 | Credit Suisse AG | 6/30/17 | (74 | ) | |||
USD | 1,183,039 | GBP | 970,181 | Credit Suisse AG | 6/21/17 | (67,729 | ) | |||
USD | 71,097 | GBP | 57,986 | Credit Suisse AG | 6/21/17 | (3,659 | ) | |||
USD | 14,524 | GBP | 11,727 | Credit Suisse AG | 6/21/17 | (594 | ) |
66
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
USD | 10,229 | GBP | 8,166 | Credit Suisse AG | 6/21/17 | $ | (299 | ) | ||
USD | 40,120 | GBP | 32,031 | Credit Suisse AG | 6/21/17 | (1,175 | ) | |||
USD | 53,525 | GBP | 43,023 | Credit Suisse AG | 6/21/17 | (1,940 | ) | |||
USD | 94,124 | GBP | 73,513 | Credit Suisse AG | 6/21/17 | (650 | ) | |||
USD | 9,615 | GBP | 7,474 | Credit Suisse AG | 6/21/17 | (21 | ) | |||
USD | 52,209 | GBP | 40,652 | Credit Suisse AG | 6/21/17 | (200 | ) | |||
USD | 30,927 | GBP | 23,835 | Credit Suisse AG | 6/21/17 | 199 | ||||
USD | 41,294 | GBP | 31,880 | Credit Suisse AG | 6/21/17 | 194 | ||||
USD | 2,292 | GBP | 1,772 | Credit Suisse AG | 6/21/17 | 8 | ||||
USD | 48,304 | GBP | 37,083 | Credit Suisse AG | 6/21/17 | 496 | ||||
USD | 70,440 | GBP | 54,728 | Credit Suisse AG | 6/21/17 | (116 | ) | |||
USD | 48,672 | GBP | 37,815 | Credit Suisse AG | 6/21/17 | (80 | ) | |||
USD | 13,110 | GBP | 10,151 | Credit Suisse AG | 6/21/17 | 23 | ||||
USD | 14,053 | GBP | 10,881 | Credit Suisse AG | 6/21/17 | 25 | ||||
USD | 244,831 | GBP | 195,455 | Credit Suisse AG | 6/30/17 | (7,230 | ) | |||
USD | 8,371 | GBP | 6,717 | Credit Suisse AG | 6/30/17 | (292 | ) | |||
USD | 7,009 | GBP | 5,631 | Credit Suisse AG | 6/30/17 | (254 | ) | |||
USD | 7,551 | GBP | 5,828 | Credit Suisse AG | 6/30/17 | 36 | ||||
USD | 7,293 | GBP | 5,658 | Credit Suisse AG | 6/30/17 | (4 | ) | |||
HKD | 86,538 | USD | 11,154 | Credit Suisse AG | 6/21/17 | (44 | ) | |||
HUF | 21,101,460 | USD | 75,815 | Goldman Sachs & Co. | 6/21/17 | 1,141 | ||||
HUF | 19,559,606 | USD | 70,275 | Goldman Sachs & Co. | 6/21/17 | 1,057 | ||||
USD | 72,632 | HUF | 21,324,961 | Goldman Sachs & Co. | 6/21/17 | (5,138 | ) | |||
USD | 66,692 | HUF | 19,580,906 | Goldman Sachs & Co. | 6/21/17 | (4,718 | ) | |||
USD | 36,172 | HUF | 10,340,921 | Goldman Sachs & Co. | 6/21/17 | (1,540 | ) | |||
USD | 34,144 | HUF | 9,761,108 | Goldman Sachs & Co. | 6/21/17 | (1,454 | ) | |||
USD | 35,452 | HUF | 10,136,726 | Goldman Sachs & Co. | 6/21/17 | (1,516 | ) | |||
USD | 32,884 | HUF | 9,402,616 | Goldman Sachs & Co. | 6/21/17 | (1,406 | ) | |||
USD | 32,542 | HUF | 8,967,559 | Goldman Sachs & Co. | 6/21/17 | (161 | ) | |||
USD | 35,075 | HUF | 9,665,345 | Goldman Sachs & Co. | 6/21/17 | (174 | ) | |||
IDR | 1,762,273,696 | USD | 130,830 | Goldman Sachs & Co. | 6/21/17 | 1,463 | ||||
IDR | 2,013,759,510 | USD | 149,500 | Goldman Sachs & Co. | 6/21/17 | 1,672 | ||||
IDR | 911,017,885 | USD | 68,292 | Goldman Sachs & Co. | 6/21/17 | 97 | ||||
IDR | 982,794,466 | USD | 73,673 | Goldman Sachs & Co. | 6/21/17 | 105 | ||||
USD | 130,830 | IDR | 1,762,273,696 | Goldman Sachs & Co. | 6/21/17 | (1,463 | ) | |||
USD | 149,500 | IDR | 2,013,759,510 | Goldman Sachs & Co. | 6/21/17 | (1,672 | ) | |||
ILS | 234,917 | USD | 66,370 | Goldman Sachs & Co. | 6/21/17 | 21 | ||||
ILS | 263,276 | USD | 74,382 | Goldman Sachs & Co. | 6/21/17 | 23 | ||||
ILS | 291,140 | USD | 79,301 | Goldman Sachs & Co. | 6/21/17 | 2,979 | ||||
INR | 15,604,013 | USD | 231,205 | Morgan Stanley | 6/21/17 | 10,390 | ||||
INR | 13,239,777 | USD | 196,174 | Morgan Stanley | 6/21/17 | 8,816 | ||||
INR | 4,199,960 | USD | 65,131 | Morgan Stanley | 6/21/17 | (103 | ) | |||
INR | 4,588,548 | USD | 71,157 | Morgan Stanley | 6/21/17 | (113 | ) | |||
USD | 13,436 | INR | 871,447 | Morgan Stanley | 6/21/17 | (57 | ) | |||
USD | 65,541 | INR | 4,254,889 | Morgan Stanley | 6/21/17 | (337 | ) | |||
USD | 78,519 | INR | 5,097,468 | Morgan Stanley | 6/21/17 | (404 | ) | |||
USD | 109,096 | INR | 7,119,629 | Morgan Stanley | 6/21/17 | (1,136 | ) | |||
USD | 99,692 | INR | 6,505,928 | Morgan Stanley | 6/21/17 | (1,038 | ) | |||
JPY | 164,877,761 | USD | 1,470,154 | Credit Suisse AG | 6/21/17 | 19,803 |
67
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
JPY | 2,120,032 | USD | 18,815 | Credit Suisse AG | 6/21/17 | $ | 343 | |||
JPY | 8,717,079 | USD | 77,817 | Credit Suisse AG | 6/21/17 | 957 | ||||
JPY | 6,638,528 | USD | 59,262 | Credit Suisse AG | 6/21/17 | 729 | ||||
JPY | 33,538,705 | USD | 302,077 | Credit Suisse AG | 6/21/17 | 1,003 | ||||
JPY | 30,985,052 | USD | 279,077 | Credit Suisse AG | 6/21/17 | 927 | ||||
JPY | 2,979,234 | USD | 26,861 | Credit Suisse AG | 6/21/17 | 61 | ||||
JPY | 1,164,165 | USD | 10,487 | Credit Suisse AG | 6/21/17 | 33 | ||||
JPY | 2,045,208 | USD | 18,276 | Credit Suisse AG | 6/21/17 | 206 | ||||
JPY | 2,283,748 | USD | 20,665 | Credit Suisse AG | 6/21/17 | (27 | ) | |||
JPY | 542,974 | USD | 4,795 | Credit Suisse AG | 6/30/17 | 114 | ||||
JPY | 1,011,166 | USD | 9,140 | Credit Suisse AG | 6/30/17 | 2 | ||||
JPY | 735,363 | USD | 6,647 | Credit Suisse AG | 6/30/17 | 1 | ||||
USD | 5,351,699 | JPY | 600,193,090 | Credit Suisse AG | 6/21/17 | (72,088 | ) | |||
USD | 110,772 | JPY | 12,426,091 | Credit Suisse AG | 6/21/17 | (1,520 | ) | |||
USD | 113,675 | JPY | 12,751,725 | Credit Suisse AG | 6/21/17 | (1,559 | ) | |||
USD | 185,203 | JPY | 20,541,289 | Credit Suisse AG | 6/21/17 | (423 | ) | |||
USD | 12,373 | JPY | 1,373,472 | Credit Suisse AG | 6/21/17 | (39 | ) | |||
USD | 111,357 | JPY | 12,421,495 | Credit Suisse AG | 6/21/17 | (893 | ) | |||
USD | 31,224 | JPY | 3,482,890 | Credit Suisse AG | 6/21/17 | (250 | ) | |||
USD | 52,315 | JPY | 5,789,882 | Credit Suisse AG | 6/21/17 | (7 | ) | |||
USD | 46,865 | JPY | 5,186,770 | Credit Suisse AG | 6/21/17 | (6 | ) | |||
USD | 173,538 | JPY | 19,069,856 | Credit Suisse AG | 6/30/17 | 1,133 | ||||
USD | 6,303 | JPY | 700,685 | Credit Suisse AG | 6/30/17 | (31 | ) | |||
USD | 2,273 | JPY | 253,675 | Credit Suisse AG | 6/30/17 | (21 | ) | |||
USD | 8,666 | JPY | 969,936 | Credit Suisse AG | 6/30/17 | (103 | ) | |||
USD | 30,293 | JPY | 3,393,945 | Credit Suisse AG | 6/30/17 | (391 | ) | |||
USD | 4,623 | JPY | 519,951 | Credit Suisse AG | 6/30/17 | (78 | ) | |||
USD | 21,706 | JPY | 2,430,672 | Credit Suisse AG | 6/30/17 | (269 | ) | |||
USD | 4,788 | JPY | 537,265 | Credit Suisse AG | 6/30/17 | (69 | ) | |||
USD | 21,041 | JPY | 2,371,227 | Credit Suisse AG | 6/30/17 | (397 | ) | |||
USD | 20,105 | JPY | 2,259,436 | Credit Suisse AG | 6/30/17 | (322 | ) | |||
USD | 17,028 | JPY | 1,917,692 | Credit Suisse AG | 6/30/17 | (309 | ) | |||
USD | 9,929 | JPY | 1,119,929 | Credit Suisse AG | 6/30/17 | (196 | ) | |||
USD | 8,780 | JPY | 1,001,703 | Credit Suisse AG | 6/30/17 | (276 | ) | |||
USD | 13,915 | JPY | 1,584,459 | Credit Suisse AG | 6/30/17 | (410 | ) | |||
USD | 8,151 | JPY | 921,388 | Credit Suisse AG | 6/30/17 | (179 | ) | |||
KRW | 562,041,255 | USD | 497,492 | Morgan Stanley | 6/21/17 | 4,734 | ||||
KRW | 90,536,236 | USD | 78,163 | Morgan Stanley | 6/21/17 | 2,738 | ||||
KRW | 59,259,586 | USD | 52,303 | Morgan Stanley | 6/21/17 | 650 | ||||
KRW | 57,130,278 | USD | 50,424 | Morgan Stanley | 6/21/17 | 626 | ||||
KRW | 100,922,705 | USD | 89,029 | Morgan Stanley | 6/21/17 | 1,154 | ||||
KRW | 128,096,328 | USD | 113,000 | Morgan Stanley | 6/21/17 | 1,464 | ||||
KRW | 40,262,278 | USD | 35,929 | Morgan Stanley | 6/21/17 | 48 | ||||
KRW | 41,835,809 | USD | 37,333 | Morgan Stanley | 6/21/17 | 50 | ||||
KRW | 73,476,479 | USD | 63,435 | Morgan Stanley | 6/21/17 | 2,222 | ||||
USD | 310,201 | KRW | 350,450,062 | Morgan Stanley | 6/21/17 | (2,952 | ) | |||
MXN | 1,476,046 | USD | 77,042 | JPMorgan Chase Bank N.A. | 6/21/17 | 1,866 | ||||
MXN | 1,343,304 | USD | 70,113 | JPMorgan Chase Bank N.A. | 6/21/17 | 1,698 | ||||
USD | 40,708 | MXN | 809,328 | JPMorgan Chase Bank N.A. | 6/21/17 | (2,558 | ) |
68
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
USD | 155,812 | MXN | 3,097,766 | JPMorgan Chase Bank N.A. | 6/21/17 | $ | (9,792 | ) | ||
USD | 14,086 | MXN | 263,863 | JPMorgan Chase Bank N.A. | 6/21/17 | (20 | ) | |||
MYR | 312,922 | USD | 69,981 | Goldman Sachs & Co. | 6/21/17 | 2,914 | ||||
MYR | 334,210 | USD | 76,199 | Goldman Sachs & Co. | 6/21/17 | 1,655 | ||||
MYR | 311,615 | USD | 71,048 | Goldman Sachs & Co. | 6/21/17 | 1,543 | ||||
MYR | 272,772 | USD | 62,901 | Goldman Sachs & Co. | 6/21/17 | 641 | ||||
MYR | 315,187 | USD | 72,682 | Goldman Sachs & Co. | 6/21/17 | 741 | ||||
MYR | 327,710 | USD | 76,035 | Goldman Sachs & Co. | 6/21/17 | 306 | ||||
MYR | 297,787 | USD | 69,092 | Goldman Sachs & Co. | 6/21/17 | 278 | ||||
USD | 43,765 | MYR | 195,695 | Goldman Sachs & Co. | 6/21/17 | (1,822 | ) | |||
USD | 110,597 | MYR | 481,982 | Goldman Sachs & Co. | 6/21/17 | (1,681 | ) | |||
USD | 99,093 | MYR | 431,846 | Goldman Sachs & Co. | 6/21/17 | (1,506 | ) | |||
NOK | 575,895 | USD | 68,389 | JPMorgan Chase Bank N.A. | 6/21/17 | (210 | ) | |||
NOK | 627,157 | USD | 74,476 | JPMorgan Chase Bank N.A. | 6/21/17 | (228 | ) | |||
USD | 1,948,570 | NOK | 16,545,694 | JPMorgan Chase Bank N.A. | 6/21/17 | (10,244 | ) | |||
USD | 1,677,901 | NOK | 14,247,397 | JPMorgan Chase Bank N.A. | 6/21/17 | (8,821 | ) | |||
USD | 11,650 | NOK | 98,503 | JPMorgan Chase Bank N.A. | 6/21/17 | (12 | ) | |||
USD | 80,070 | NOK | 677,489 | JPMorgan Chase Bank N.A. | 6/21/17 | (137 | ) | |||
USD | 92,756 | NOK | 784,823 | JPMorgan Chase Bank N.A. | 6/21/17 | (158 | ) | |||
USD | 19,837 | NOK | 170,399 | JPMorgan Chase Bank N.A. | 6/21/17 | (336 | ) | |||
USD | 20,421 | NOK | 175,411 | JPMorgan Chase Bank N.A. | 6/21/17 | (346 | ) | |||
USD | 6,747 | NOK | 57,730 | JPMorgan Chase Bank N.A. | 6/21/17 | (88 | ) | |||
USD | 8,421 | NOK | 72,050 | JPMorgan Chase Bank N.A. | 6/21/17 | (109 | ) | |||
USD | 68,154 | NOK | 584,454 | JPMorgan Chase Bank N.A. | 6/21/17 | (1,038 | ) | |||
USD | 72,576 | NOK | 622,375 | JPMorgan Chase Bank N.A. | 6/21/17 | (1,106 | ) | |||
USD | 12,236 | NOK | 105,242 | JPMorgan Chase Bank N.A. | 6/21/17 | (223 | ) | |||
USD | 9,906 | NOK | 85,196 | JPMorgan Chase Bank N.A. | 6/21/17 | (181 | ) | |||
USD | 68,821 | NOK | 593,343 | JPMorgan Chase Bank N.A. | 6/21/17 | (1,424 | ) | |||
USD | 63,535 | NOK | 547,768 | JPMorgan Chase Bank N.A. | 6/21/17 | (1,315 | ) | |||
NZD | 163,365 | USD | 114,864 | JPMorgan Chase Bank N.A. | 6/21/17 | 834 | ||||
NZD | 151,738 | USD | 106,689 | JPMorgan Chase Bank N.A. | 6/21/17 | 775 | ||||
USD | 104,945 | NZD | 151,982 | JPMorgan Chase Bank N.A. | 6/21/17 | (2,691 | ) | |||
USD | 112,154 | NZD | 162,422 | JPMorgan Chase Bank N.A. | 6/21/17 | (2,875 | ) | |||
USD | 73,144 | NZD | 105,122 | JPMorgan Chase Bank N.A. | 6/21/17 | (1,305 | ) | |||
USD | 77,098 | NZD | 110,805 | JPMorgan Chase Bank N.A. | 6/21/17 | (1,376 | ) | |||
USD | 70,291 | NZD | 102,372 | JPMorgan Chase Bank N.A. | 6/21/17 | (2,211 | ) | |||
USD | 74,048 | NZD | 107,844 | JPMorgan Chase Bank N.A. | 6/21/17 | (2,329 | ) | |||
USD | 73,489 | NZD | 106,844 | JPMorgan Chase Bank N.A. | 6/21/17 | (2,180 | ) | |||
USD | 69,848 | NZD | 101,551 | JPMorgan Chase Bank N.A. | 6/21/17 | (2,072 | ) | |||
PEN | 243,229 | USD | 74,542 | Goldman Sachs & Co. | 6/21/17 | (312 | ) | |||
PEN | 223,887 | USD | 68,614 | Goldman Sachs & Co. | 6/21/17 | (287 | ) | |||
PHP | 3,983,611 | USD | 79,426 | Morgan Stanley | 6/21/17 | 526 | ||||
PHP | 3,577,298 | USD | 71,325 | Morgan Stanley | 6/21/17 | 472 | ||||
USD | 200,249 | PHP | 10,162,616 | Morgan Stanley | 6/21/17 | (3,718 | ) | |||
USD | 222,770 | PHP | 11,305,592 | Morgan Stanley | 6/21/17 | (4,136 | ) | |||
USD | 4,037 | PHP | 201,039 | Morgan Stanley | 6/21/17 | 2 | ||||
USD | 73,213 | PHP | 3,648,199 | Morgan Stanley | 6/21/17 | (7 | ) | |||
USD | 69,217 | PHP | 3,449,060 | Morgan Stanley | 6/21/17 | (7 | ) | |||
PLN | 205,656 | USD | 50,289 | Goldman Sachs & Co. | 6/21/17 | 4,984 |
69
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
PLN | 188,761 | USD | 46,158 | Goldman Sachs & Co. | 6/21/17 | $ | 4,574 | |||
PLN | 760,403 | USD | 191,992 | Goldman Sachs & Co. | 6/21/17 | 12,378 | ||||
PLN | 686,261 | USD | 173,272 | Goldman Sachs & Co. | 6/21/17 | 11,171 | ||||
PLN | 298,650 | USD | 74,906 | Goldman Sachs & Co. | 6/21/17 | 5,361 | ||||
PLN | 295,272 | USD | 74,058 | Goldman Sachs & Co. | 6/21/17 | 5,301 | ||||
PLN | 294,756 | USD | 75,447 | Goldman Sachs & Co. | 6/21/17 | 3,773 | ||||
PLN | 266,542 | USD | 68,225 | Goldman Sachs & Co. | 6/21/17 | 3,412 | ||||
USD | 6,466 | PLN | 26,428 | Goldman Sachs & Co. | 6/21/17 | (636 | ) | |||
USD | 14,226 | PLN | 58,141 | Goldman Sachs & Co. | 6/21/17 | (1,400 | ) | |||
USD | 288,196 | PLN | 1,178,029 | Goldman Sachs & Co. | 6/21/17 | (28,417 | ) | |||
USD | 173,289 | PLN | 708,335 | Goldman Sachs & Co. | 6/21/17 | (17,087 | ) | |||
USD | 21,106 | PLN | 78,688 | Goldman Sachs & Co. | 6/21/17 | (42 | ) | |||
USD | 12,329 | PLN | 45,966 | Goldman Sachs & Co. | 6/21/17 | (25 | ) | |||
USD | 68,724 | PLN | 256,952 | Goldman Sachs & Co. | 6/21/17 | (336 | ) | |||
USD | 73,904 | PLN | 276,320 | Goldman Sachs & Co. | 6/21/17 | (361 | ) | |||
RUB | 4,376,937 | USD | 73,071 | Morgan Stanley | 6/21/17 | 3,770 | ||||
RUB | 7,829,557 | USD | 130,710 | Morgan Stanley | 6/21/17 | 6,744 | ||||
RUB | 4,198,507 | USD | 72,288 | Morgan Stanley | 6/21/17 | 1,420 | ||||
RUB | 4,001,038 | USD | 68,888 | Morgan Stanley | 6/21/17 | 1,353 | ||||
USD | 77,459 | RUB | 4,427,210 | Morgan Stanley | 6/21/17 | (265 | ) | |||
USD | 71,713 | RUB | 4,098,806 | Morgan Stanley | 6/21/17 | (245 | ) | |||
USD | 67,893 | RUB | 3,862,456 | Morgan Stanley | 6/21/17 | 85 | ||||
USD | 72,917 | RUB | 4,148,234 | Morgan Stanley | 6/21/17 | 91 | ||||
SEK | 700,818 | USD | 78,277 | JPMorgan Chase Bank N.A. | 6/21/17 | 2,444 | ||||
SEK | 453,874 | USD | 50,695 | JPMorgan Chase Bank N.A. | 6/21/17 | 1,583 | ||||
SEK | 678,807 | USD | 77,613 | JPMorgan Chase Bank N.A. | 6/21/17 | 572 | ||||
SEK | 570,147 | USD | 65,189 | JPMorgan Chase Bank N.A. | 6/21/17 | 480 | ||||
SEK | 144,903 | USD | 16,128 | JPMorgan Chase Bank N.A. | 6/21/17 | 562 | ||||
SEK | 1,644,329 | USD | 183,014 | JPMorgan Chase Bank N.A. | 6/21/17 | 6,381 | ||||
USD | 7,394 | SEK | 66,556 | JPMorgan Chase Bank N.A. | 6/21/17 | (272 | ) | |||
USD | 58,471 | SEK | 510,633 | JPMorgan Chase Bank N.A. | 6/21/17 | (344 | ) | |||
USD | 82,750 | SEK | 724,106 | JPMorgan Chase Bank N.A. | 6/21/17 | (653 | ) | |||
USD | 138,597 | SEK | 1,242,356 | JPMorgan Chase Bank N.A. | 6/21/17 | (4,498 | ) | |||
USD | 145,844 | SEK | 1,307,313 | JPMorgan Chase Bank N.A. | 6/21/17 | (4,733 | ) | |||
USD | 31,484 | SEK | 276,143 | JPMorgan Chase Bank N.A. | 6/21/17 | (322 | ) | |||
USD | 22,234 | SEK | 195,009 | JPMorgan Chase Bank N.A. | 6/21/17 | (227 | ) | |||
SGD | 233,822 | USD | 167,001 | JPMorgan Chase Bank N.A. | 6/21/17 | 2,025 | ||||
USD | 115,081 | SGD | 163,112 | JPMorgan Chase Bank N.A. | 6/21/17 | (2,830 | ) | |||
THB | 597,149 | USD | 17,091 | Goldman Sachs & Co. | 6/21/17 | 448 | ||||
THB | 3,414,664 | USD | 100,107 | Goldman Sachs & Co. | 6/21/17 | 182 | ||||
THB | 3,799,125 | USD | 111,379 | Goldman Sachs & Co. | 6/21/17 | 203 | ||||
USD | 95,751 | THB | 3,345,546 | Goldman Sachs & Co. | 6/21/17 | (2,509 | ) | |||
USD | 28,059 | THB | 972,950 | Goldman Sachs & Co. | 6/21/17 | (517 | ) | |||
USD | 5,607 | THB | 194,411 | Goldman Sachs & Co. | 6/21/17 | (103 | ) | |||
USD | 75,036 | THB | 2,589,874 | Goldman Sachs & Co. | 6/21/17 | (1,029 | ) | |||
USD | 74,483 | THB | 2,570,780 | Goldman Sachs & Co. | 6/21/17 | (1,022 | ) | |||
USD | 32,138 | THB | 1,110,795 | Goldman Sachs & Co. | 6/21/17 | (486 | ) | |||
USD | 31,360 | THB | 1,083,911 | Goldman Sachs & Co. | 6/21/17 | (474 | ) | |||
TRY | 184,733 | USD | 47,694 | Goldman Sachs & Co. | 6/21/17 | 4,366 |
70
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
TRY | 208,346 | USD | 53,790 | Goldman Sachs & Co. | 6/21/17 | $ | 4,924 | |||
TRY | 172,508 | USD | 46,566 | Goldman Sachs & Co. | 6/21/17 | 2,049 | ||||
TRY | 172,508 | USD | 46,566 | Goldman Sachs & Co. | 6/21/17 | 2,049 | ||||
TRY | 298,179 | USD | 82,479 | Goldman Sachs & Co. | 6/21/17 | 1,552 | ||||
TRY | 308,498 | USD | 85,333 | Goldman Sachs & Co. | 6/21/17 | 1,606 | ||||
TRY | 517,605 | USD | 144,721 | Goldman Sachs & Co. | 6/21/17 | 1,147 | ||||
TRY | 480,017 | USD | 134,211 | Goldman Sachs & Co. | 6/21/17 | 1,064 | ||||
TRY | 103,618 | USD | 26,950 | Goldman Sachs & Co. | 6/21/17 | 2,251 | ||||
TRY | 78,959 | USD | 20,536 | Goldman Sachs & Co. | 6/21/17 | 1,715 | ||||
TWD | 2,116,607 | USD | 69,602 | Morgan Stanley | 6/21/17 | 658 | ||||
TWD | 2,418,658 | USD | 79,535 | Morgan Stanley | 6/21/17 | 752 | ||||
TWD | 2,106,874 | USD | 69,465 | Morgan Stanley | 6/21/17 | 472 | ||||
TWD | 2,269,349 | USD | 74,822 | Morgan Stanley | 6/21/17 | 509 | ||||
USD | 70,086 | TWD | 2,116,607 | Morgan Stanley | 6/21/17 | (174 | ) | |||
USD | 80,088 | TWD | 2,418,658 | Morgan Stanley | 6/21/17 | (199 | ) | |||
USD | 137,329 | TWD | 4,158,330 | Morgan Stanley | 6/21/17 | (705 | ) | |||
USD | 148,042 | TWD | 4,482,719 | Morgan Stanley | 6/21/17 | (760 | ) | |||
USD | 73,553 | TWD | 2,215,411 | Morgan Stanley | 6/21/17 | 13 | ||||
USD | 69,080 | TWD | 2,080,693 | Morgan Stanley | 6/21/17 | 12 | ||||
USD | 70,478 | TWD | 2,138,300 | Morgan Stanley | 6/21/17 | (502 | ) | |||
USD | 73,855 | TWD | 2,240,766 | Morgan Stanley | 6/21/17 | (526 | ) | |||
ZAR | 989,781 | USD | 74,791 | Goldman Sachs & Co. | 6/21/17 | 414 | ||||
ZAR | 909,182 | USD | 68,701 | Goldman Sachs & Co. | 6/21/17 | 380 | ||||
USD | 75,215 | ZAR | 1,002,468 | Goldman Sachs & Co. | 6/21/17 | (955 | ) | |||
USD | 93,897 | ZAR | 1,251,466 | Goldman Sachs & Co. | 6/21/17 | (1,192 | ) | |||
USD | 75,488 | ZAR | 993,419 | Goldman Sachs & Co. | 6/21/17 | 6 | ||||
USD | 70,780 | ZAR | 931,461 | Goldman Sachs & Co. | 6/21/17 | 5 | ||||
$ | (419,518 | ) |
FUTURES CONTRACTS | ||||||||
Contracts Purchased | Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation (Depreciation) | |||||
25 | Euro-Schatz 2-Year Bonds | September 2017 | $ | 3,149,731 | $ | 513 | ||
8 | Korean Treasury 10-Year Bonds | June 2017 | 891,819 | (14 | ) | |||
42 | U.S. Treasury 10-Year Notes | September 2017 | 5,304,469 | 7,124 | ||||
49 | U.S. Treasury 2-Year Notes | September 2017 | 10,607,734 | 3,609 | ||||
7 | U.S. Treasury 5-Year Notes | September 2017 | 828,187 | 476 | ||||
3 | U.S. Treasury Long Bonds | September 2017 | 461,438 | 1,118 | ||||
2 | U.S. Treasury Ultra Bonds | September 2017 | 330,250 | 1,746 | ||||
$ | 21,573,628 | $ | 14,572 | |||||
Contracts Sold | Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation (Depreciation) | |||||
27 | Euro-Bobl 5-Year Bonds | September 2017 | $ | 4,033,948 | $ | 198 | ||
4 | Euro-Bund 10-Year Bonds | September 2017 | 738,265 | 128 | ||||
12 | U.K. Gilt 10-Year Bonds | September 2017 | 1,978,132 | 5,394 | ||||
2 | U.S. Treasury 10-Year Ultra Notes | September 2017 | 271,469 | (723 | ) | |||
$ | 7,021,814 | $ | 4,997 |
71
SWAP AGREEMENTS
CENTRALLY CLEARED CREDIT DEFAULT | |||||||||||||
Reference Entity | Notional Amount | Buy/Sell* Protection | Interest Rate | Termination Date | Implied Credit Spread** | Unrealized Appreciation (Depreciation) | Value | ||||||
Markit CDX North America High Yield Index Series 25 | $ | 1,685,600 | Sell | 5.00% | 12/20/20 | 2.64% | $ | 162,769 | $ | 146,818 | |||
Markit CDX North America High Yield Index Series 26 | 772,200 | Sell | 5.00% | 6/20/21 | 2.71% | 60,948 | 72,828 | ||||||
Markit CDX North America High Yield Index Series 27 | 792,000 | Sell | 5.00% | 12/20/21 | 3.02% | 46,801 | 71,213 | ||||||
Markit CDX North America High Yield Index Series 28 | 650,000 | Sell | 5.00% | 6/20/22 | 3.30% | 5,857 | 54,944 | ||||||
$ | 276,375 | $ | 345,803 |
INTEREST RATE | |||||||||||
Counterparty | Notional Amount | Floating Rate Index | Pay/Receive Floating Rate | Fixed Rate | Termination Date | Value | |||||
Bank of America N.A. | BRL | 16,421,000 | BZDIOVRA | Receive | 9.60 | % | 1/2/19 | $ | (22,523 | ) | |
Bank of America N.A. | BRL | 4,518,000 | BZDIOVRA | Pay | 10.78 | % | 1/2/23 | 15,192 | |||
$ | (7,331 | ) |
* The maximum potential amount the fund could be required to deliver as a seller of credit protection if a credit event occurs as defined under the terms of the agreement is the notional amount. The maximum potential amount may be partially offset by any recovery values of the reference entities and upfront payments received upon entering into the agreement.
**Implied credit spreads for centrally cleared credit default swap agreements are linked to the weighted average spread across the underlying reference entities included in a particular index. Implied credit spreads serve as an indication of the seller's performance risk related to the likelihood of a credit event occurring as defined in the agreement. Implied credit spreads are used to determine the value of swap agreements and reflect the cost of buying/selling protection, which may include upfront payments made/received upon entering the agreement. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform under the contract terms. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk.
72
NOTES TO SCHEDULE OF INVESTMENTS | |||||
ADR | - | American Depositary Receipt | KRW | - | South Korean Won |
ARS | - | Argentine Peso | LIQ FAC | - | Liquidity Facilities |
AUD | - | Australian Dollar | LOC | - | Letter of Credit |
BRL | - | Brazilian Real | MTN | - | Medium Term Note |
BZDIOVRA | - | Brazil Interbank Deposit Rate | MXN | - | Mexican Peso |
CAD | - | Canadian Dollar | MYR | - | Malaysian Ringgit |
CDX | - | Credit Derivatives Indexes | NOK | - | Norwegian Krone |
CHF | - | Swiss Franc | NZD | - | New Zealand Dollar |
CLP | - | Chilean Peso | PEN | - | Peruvian Sol |
COP | - | Colombian Peso | PHP | - | Philippine Peso |
CVA | - | Certificaten Van Aandelen | PIK | - | Payment in Kind |
CZK | - | Czech Koruna | PLN | - | Polish Zloty |
DKK | - | Danish Krone | RUB | - | Russian Ruble |
EUR | - | Euro | SBBPA | - | Standby Bond Purchase Agreement |
FHLB | - | Federal Home Loan Bank | SEK | - | Swedish Krona |
FHLMC | - | Federal Home Loan Mortgage Corporation | SEQ | - | Sequential Payer |
FNMA | - | Federal National Mortgage Association | SGD | - | Singapore Dollar |
GBP | - | British Pound | THB | - | Thai Baht |
GNMA | - | Government National Mortgage Association | TRY | - | Turkish Lira |
GO | - | General Obligation | TWD | - | Taiwanese Dollar |
HKD | - | Hong Kong Dollar | USD | - | United States Dollar |
HUF | - | Hungarian Forint | VRDN | - | Variable Rate Note. Interest reset date is indicated. Rate shown is effective at the period end. |
IDR | - | Indonesian Rupiah | |||
ILS | - | Israeli Shekel | VRN | - | Variable Rate Note. Interest reset date is indicated. Rate shown is effective at the period end. |
INR | - | Indian Rupee | |||
JPY | - | Japanese Yen | ZAR | - | South African Rand |
† | Category is less than 0.05% of total net assets. |
(1) | Non-income producing. |
(2) | When-issued security. The issue price and yield are fixed on the date of the commitment, but payment and delivery are scheduled for a future date. |
(3) | Security, or a portion thereof, has been pledged at the custodian bank or with a broker for margin requirements on forward commitments, forward foreign currency exchange contracts, futures contracts, |
and/or swap agreements. At the period end, the aggregate value of securities pledged was $229,582.
(4) | Security was purchased pursuant to Rule 144A or Section 4(2) under the Securities Act of 1933 and may be sold in transactions exempt from registration, normally to qualified institutional investors. The aggregate value of these securities at the period end was $30,150,860, which represented 5.8% of total net assets. |
(5) | The rate indicated is the yield to maturity at purchase for non-interest bearing securities. For interest bearing securities, the stated coupon rate is shown. |
(6) | Restricted security that may not be offered for public sale without being registered with the Securities and Exchange Commission and/or may be subject to resale, redemption or transferability restrictions. The aggregate value of these securities at the period end was $3,000,000, which represented 0.6% of total net assets. |
(7) | Security is a zero-coupon bond. |
(8) | Final maturity date indicated, unless otherwise noted. |
(9) | Forward commitment. Settlement date is indicated. |
(10) | Security is in default. |
See Notes to Financial Statements.
73
Statement of Assets and Liabilities |
MAY 31, 2017 (UNAUDITED) | |||
Assets | |||
Investment securities, at value (cost of $478,719,872) | $ | 534,130,042 | |
Foreign currency holdings, at value (cost of $238,274) | 237,522 | ||
Deposits with broker for futures contracts and swap agreements | 182,182 | ||
Receivable for investments sold | 1,054,767 | ||
Receivable for capital shares sold | 210,321 | ||
Receivable for variation margin on futures contracts | 15,108 | ||
Unrealized appreciation on forward foreign currency exchange contracts | 417,624 | ||
Swap agreements, at value | 15,192 | ||
Interest and dividends receivable | 2,177,819 | ||
538,440,577 | |||
Liabilities | |||
Payable for investments purchased | 11,382,325 | ||
Payable for capital shares redeemed | 1,580,253 | ||
Unrealized depreciation on forward foreign currency exchange contracts | 837,142 | ||
Swap agreements, at value | 22,523 | ||
Payable for variation margin on swap agreements | 17 | ||
Accrued management fees | 421,273 | ||
Distribution and service fees payable | 62,098 | ||
Accrued foreign taxes | 689 | ||
14,306,320 | |||
Net Assets | $ | 524,134,257 | |
Net Assets Consist of: | |||
Capital (par value and paid-in surplus) | $ | 459,414,357 | |
Undistributed net investment income | 1,126,526 | ||
Undistributed net realized gain | 8,297,546 | ||
Net unrealized appreciation | 55,295,828 | ||
$ | 524,134,257 |
Net Assets | Shares Outstanding | Net Asset Value Per Share | ||
Investor Class, $0.01 Par Value | $253,462,666 | 43,425,188 | $5.84 | |
I Class, $0.01 Par Value | $48,500,669 | 8,300,413 | $5.84 | |
A Class, $0.01 Par Value | $120,366,916 | 20,656,603 | $5.83* | |
C Class, $0.01 Par Value | $34,119,629 | 5,943,609 | $5.74 | |
R Class, $0.01 Par Value | $15,334,474 | 2,638,052 | $5.81 | |
R5 Class, $0.01 Par Value | $5,099 | 873 | $5.84 | |
R6 Class, $0.01 Par Value | $52,344,804 | 8,955,069 | $5.85 | |
*Maximum offering price $6.19 (net asset value divided by 0.9425). |
See Notes to Financial Statements.
74
Statement of Operations |
FOR THE SIX MONTHS ENDED MAY 31, 2017 (UNAUDITED) | |||
Investment Income (Loss) | |||
Income: | |||
Interest | $ | 3,425,378 | |
Dividends (net of foreign taxes withheld of $96,141) | 2,727,237 | ||
6,152,615 | |||
Expenses: | |||
Management fees | 2,506,500 | ||
Distribution and service fees: | |||
A Class | 167,576 | ||
C Class | 178,690 | ||
R Class | 39,189 | ||
Directors' fees and expenses | 7,558 | ||
Other expenses | 10,286 | ||
2,909,799 | |||
Net investment income (loss) | 3,242,816 | ||
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss) on: | |||
Investment transactions (net of foreign tax expenses paid (refunded) of $165) | 12,591,481 | ||
Futures contract transactions | (23,346 | ) | |
Swap agreement transactions | 67,107 | ||
Foreign currency transactions | 1,294,935 | ||
13,930,177 | |||
Change in net unrealized appreciation (depreciation) on: | |||
Investments (includes (increase) decrease in accrued foreign taxes of $(689)) | 15,700,741 | ||
Futures contracts | 49,730 | ||
Swap agreements | 68,042 | ||
Translation of assets and liabilities in foreign currencies | (1,918,663 | ) | |
13,899,850 | |||
Net realized and unrealized gain (loss) | 27,830,027 | ||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 31,072,843 |
See Notes to Financial Statements.
75
Statement of Changes in Net Assets |
SIX MONTHS ENDED MAY 31, 2017 (UNAUDITED) AND YEAR ENDED NOVEMBER 30, 2016 | ||||||
Increase (Decrease) in Net Assets | May 31, 2017 | November 30, 2016 | ||||
Operations | ||||||
Net investment income (loss) | $ | 3,242,816 | $ | 6,060,551 | ||
Net realized gain (loss) | 13,930,177 | 10,639,266 | ||||
Change in net unrealized appreciation (depreciation) | 13,899,850 | (559,622 | ) | |||
Net increase (decrease) in net assets resulting from operations | 31,072,843 | 16,140,195 | ||||
Distributions to Shareholders | ||||||
From net investment income: | ||||||
Investor Class | (1,473,188 | ) | (2,348,924 | ) | ||
I Class | (497,025 | ) | (884,721 | ) | ||
A Class | (727,319 | ) | (784,142 | ) | ||
C Class | (119,930 | ) | — | |||
R Class | (71,416 | ) | (27,961 | ) | ||
R6 Class | (144,777 | ) | (233,267 | ) | ||
From net realized gains: | ||||||
Investor Class | (3,890,619 | ) | (14,883,532 | ) | ||
I Class | (1,196,385 | ) | (3,940,984 | ) | ||
A Class | (2,179,440 | ) | (8,812,132 | ) | ||
C Class | (596,270 | ) | (2,340,904 | ) | ||
R Class | (246,181 | ) | (816,446 | ) | ||
R6 Class | (326,436 | ) | (701,907 | ) | ||
Decrease in net assets from distributions | (11,468,986 | ) | (35,774,920 | ) | ||
Capital Share Transactions | ||||||
Net increase (decrease) in net assets from capital share transactions (Note 5) | (27,880,574 | ) | (22,715,341 | ) | ||
Net increase (decrease) in net assets | (8,276,717 | ) | (42,350,066 | ) | ||
Net Assets | ||||||
Beginning of period | 532,410,974 | 574,761,040 | ||||
End of period | $ | 524,134,257 | $ | 532,410,974 | ||
Undistributed net investment income | $ | 1,126,526 | $ | 917,365 |
See Notes to Financial Statements.
76
Notes to Financial Statements |
MAY 31, 2017 (UNAUDITED)
1. Organization
American Century Strategic Asset Allocations, Inc. (the corporation) is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company and is organized as a Maryland corporation. Strategic Allocation: Conservative Fund (the fund) is one fund in a series issued by the corporation. The fund is an asset allocation fund and its investment objective is to seek the highest level of total return consistent with its asset mix.
The fund offers the Investor Class, I Class (formerly Institutional Class), A Class, C Class, R Class, R5 Class and R6 Class. The A Class may incur an initial sales charge. The A Class and C Class may be subject to a contingent deferred sales charge. Sale of the R5 Class commenced on April 10, 2017.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently followed by the fund in preparation of its financial statements. The fund is an investment company and follows accounting and reporting guidance in accordance with accounting principles generally accepted in the United States of America. This may require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from these estimates. Management evaluated the impact of events or transactions occurring through the date the financial statements were issued that would merit recognition or disclosure.
Investment Valuations — The fund determines the fair value of its investments and computes its net asset value per share at the close of regular trading (usually 4 p.m. Eastern time) on the New York Stock Exchange (NYSE) on each day the NYSE is open. The Board of Directors has adopted valuation policies and procedures to guide the investment advisor in the fund’s investment valuation process and to provide methodologies for the oversight of the fund’s pricing function.
Equity securities that are listed or traded on a domestic securities exchange are valued at the last reported sales price or at the official closing price as provided by the exchange. Equity securities traded on foreign securities exchanges are generally valued at the closing price of such securities on the exchange where primarily traded or at the close of the NYSE, if that is earlier. If no last sales price is reported, or if local convention or regulation so provides, the mean of the latest bid and asked prices may be used. Securities traded over-the-counter are valued at the mean of the latest bid and asked prices, the last sales price, or the official closing price. Equity securities initially expressed in local currencies are translated into U.S. dollars at the mean of the appropriate currency exchange rate at the close of the NYSE as provided by an independent pricing service.
Fixed income securities are valued at the evaluated mean as provided by independent pricing services or at the mean of the most recent bid and asked prices as provided by investment dealers. Corporate bonds, U.S. Treasury and Government Agency securities, convertible bonds, municipal securities, and sovereign governments and agencies are valued using market models that consider trade data, quotations from dealers and active market makers, relevant yield curve and spread data, creditworthiness, trade data or market information on comparable securities, and other relevant security specific information. Mortgage-related and asset-backed securities are valued based on models that consider trade data, prepayment and default projections, benchmark yield and spread data and estimated cash flows of each tranche of the issuer. Commercial paper is valued using a curve-based approach that considers money market rates for specific instruments, programs, currencies and maturity points from a variety of active market makers. Fixed income securities initially expressed in local currencies are translated into U.S. dollars at the mean of the appropriate currency exchange rate at the close of the NYSE as provided by an independent pricing service.
Open-end management investment companies are valued at the reported net asset value per share. Exchange-traded futures contracts are valued at the settlement price as provided by the appropriate clearing corporation. Swap agreements are valued at an evaluated mean as provided by independent pricing services or independent brokers. Forward foreign currency exchange contracts are valued at the mean of the appropriate forward exchange rate at the close of the NYSE as provided by an independent pricing service. Investments initially expressed in local currencies are translated into U.S. dollars at the mean of the appropriate currency exchange rate at the close of the NYSE as provided by an independent pricing service.
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If the fund determines that the market price for an investment is not readily available or the valuation methods mentioned above do not reflect an investment’s fair value, such investment is valued as determined in good faith by the Board of Directors or its delegate, in accordance with policies and procedures adopted by the Board of Directors. In its determination of fair value, the fund may review several factors including, but not limited to, market information regarding the specific investment or comparable investments and correlation with other investment types, futures indices or general market indicators. Circumstances that may cause the fund to use these procedures to value an investment include, but are not limited to: an investment has been declared in default or is distressed; trading in a security has been suspended during the trading day or a security is not actively trading on its principal exchange; prices received from a regular pricing source are deemed unreliable; or there is a foreign market holiday and no trading occurred.
The fund monitors for significant events occurring after the close of an investment’s primary exchange but before the fund’s net asset value per share is determined. Significant events may include, but are not limited to: corporate announcements and transactions; governmental action and political unrest that could impact a specific investment or an investment sector; or armed conflicts, natural disasters and similar events that could affect investments in a specific country or region. The fund also monitors for significant fluctuations between domestic and foreign markets, as evidenced by the U.S. market or such other indicators that the Board of Directors, or its delegate, deems appropriate. If significant fluctuations in foreign markets are identified, the fund may apply a model-derived factor to the closing price of equity securities traded on foreign securities exchanges. The factor is based on observable market data as provided by an independent pricing service.
Security Transactions — Security transactions are accounted for as of the trade date. Net realized gains and losses are determined on the identified cost basis, which is also used for federal income tax purposes. Certain
countries impose taxes on realized gains on the sale of securities registered in their country. The fund records
the foreign tax expense, if any, on an accrual basis. The foreign tax expense on realized gains and unrealized
appreciation reduces the net realized gain (loss) on investment transactions and net unrealized appreciation
(depreciation) on investments, respectively.
Investment Income — Dividend income less foreign taxes withheld, if any, is recorded as of the ex-dividend date. Distributions received on securities that represent a return of capital or long-term capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The fund may estimate the components of distributions received that may be considered nontaxable distributions or long-term capital gain distributions for income tax purposes. Interest income is recorded on the accrual basis and includes paydown gain (loss) and accretion of discounts and amortization of premiums. Inflation adjustments related to inflation-linked debt securities are reflected as interest income.
Segregated Assets — In accordance with the 1940 Act, the fund segregates assets on its books and records to cover certain types of investments, including, but not limited to, futures contracts, forward commitments, when-issued securities, swap agreements and certain forward foreign currency exchange contracts. American Century Investment Management, Inc. (ACIM) (the investment advisor) monitors, on a daily basis, the securities segregated to ensure the fund designates a sufficient amount of liquid assets, marked-to-market daily. The fund may also receive assets or be required to pledge assets at the custodian bank or with a broker for margin requirements on futures contracts, forward commitments, swap agreements and certain forward foreign currency exchange contracts.
Foreign Currency Translations — All assets and liabilities initially expressed in foreign currencies are translated into U.S. dollars at prevailing exchange rates at period end. The fund may enter into spot foreign currency exchange contracts to facilitate transactions denominated in a foreign currency. Purchases and sales of investment securities, dividend and interest income, spot foreign currency exchange contracts, and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Net realized and unrealized foreign currency exchange gains or losses related to investment securities are a component of net realized gain (loss) on investment transactions and change in net unrealized appreciation (depreciation) on investments, respectively.
Forward Commitments — The fund may engage in securities transactions on a forward commitment basis. In these transactions, the securities’ prices and yields are fixed on the date of the commitment. The fund may sell a to-be-announced (TBA) security and at the same time make a commitment to purchase the same security at a future date at a specified price. Conversely, the fund may purchase a TBA security and at the same time make a commitment to sell the same security at a future date at a specified price. These types of transactions are known as “TBA roll” transactions and are accounted for as purchases and sales. The fund will segregate cash, cash equivalents or other appropriate liquid securities on its records in amounts sufficient to meet the purchase price.
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Income Tax Status — It is the fund’s policy to distribute substantially all net investment income and net realized gains to shareholders and to otherwise qualify as a regulated investment company under provisions of the Internal Revenue Code. Accordingly, no provision has been made for income taxes. The fund files U.S. federal, state, local and non-U.S. tax returns as applicable. The fund's tax returns are subject to examination by the relevant taxing authority until expiration of the applicable statute of limitations, which is generally three years from the date of filing but can be longer in certain jurisdictions. At this time, management believes there are no uncertain tax positions which, based on their technical merit, would not be sustained upon examination and for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
Multiple Class — All shares of the fund represent an equal pro rata interest in the net assets of the class to which such shares belong, and have identical voting, dividend, liquidation and other rights and the same terms and conditions, except for class specific expenses and exclusive rights to vote on matters affecting only individual classes. Income, non-class specific expenses, and realized and unrealized capital gains and losses of the fund are allocated to each class of shares based on their relative net assets.
Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid quarterly. Distributions from net realized gains, if any, are generally declared and paid annually. The fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code, in all events in a manner consistent with provisions of the 1940 Act.
Indemnifications — Under the corporation’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the fund. In addition, in the normal course of business, the fund enters into contracts that provide general indemnifications. The maximum exposure under these arrangements is unknown as this would involve future claims that may be made against a fund. The risk of material loss from such claims is considered by management to be remote.
3. Fees and Transactions with Related Parties
Certain officers and directors of the corporation are also officers and/or directors of American Century Companies, Inc. (ACC). The corporation’s investment advisor, ACIM, the corporation's distributor, American Century Investment Services, Inc. (ACIS), and the corporation’s transfer agent, American Century Services, LLC, are wholly owned, directly or indirectly, by ACC.
Management Fees — The corporation has entered into a management agreement with ACIM, under which ACIM provides the fund with investment advisory and management services in exchange for a single, unified management fee (the fee) per class. The agreement provides that all expenses of managing and operating the fund, except distribution and service fees, brokerage expenses, taxes, interest, fees and expenses of the independent directors (including legal counsel fees), and extraordinary expenses, will be paid by ACIM. The fee is computed and accrued daily based on each class's daily net assets and paid monthly in arrears. The difference in the fee among the classes is a result of their separate arrangements for shareholder services. It is not the result of any difference in advisory or custodial fees or other expenses related to the management of the fund’s assets, which do not vary by class. The rate of the fee is determined by applying a fee rate calculation formula. This formula takes into account the fund’s assets as well as certain assets, if any, of other clients of the investment advisor outside the American Century Investments family of funds (such as subadvised funds and separate accounts) that use very similar investment teams and strategies (strategy assets).
The management fee schedule range and the effective annual management fee for each class for the period ended May 31, 2017 are as follows:
Management Fee Schedule Range | Effective Annual Management Fee | |
Investor Class | 0.80% to 1.00% | 1.00% |
I Class | 0.60% to 0.80% | 0.80% |
A Class | 0.80% to 1.00% | 1.00% |
C Class | 0.80% to 1.00% | 1.00% |
R Class | 0.80% to 1.00% | 1.00% |
R5 Class | 0.60% to 0.80% | 0.80% |
R6 Class | 0.45% to 0.65% | 0.65% |
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Distribution and Service Fees — The Board of Directors has adopted a separate Master Distribution and Individual Shareholder Services Plan for each of the A Class, C Class and R Class (collectively the plans), pursuant to Rule 12b-1 of the 1940 Act. The plans provide that the A Class will pay ACIS an annual distribution and service fee of 0.25%. The plans provide that the C Class will pay ACIS an annual distribution and service fee of 1.00%, of which 0.25% is paid for individual shareholder services and 0.75% is paid for distribution services. The plans provide that the R Class will pay ACIS an annual distribution and service fee of 0.50%. The fees are computed and accrued daily based on each class’s daily net assets and paid monthly in arrears. The fees are used to pay financial intermediaries for distribution and individual shareholder services. Fees incurred under the plans during the period ended May 31, 2017 are detailed in the Statement of Operations.
Directors' Fees and Expenses — The Board of Directors is responsible for overseeing the investment advisor’s management and operations of the fund. The directors receive detailed information about the fund and its investment advisor regularly throughout the year, and meet at least quarterly with management of the investment advisor to review reports about fund operations. The fund’s officers do not receive compensation from the fund.
Interfund Transactions — The fund may enter into security transactions with other American Century Investments funds and other client accounts of the investment advisor, in accordance with the 1940 Act rules and procedures adopted by the Board of Directors. The rules and procedures require, among other things, that these transactions be effected at the independent current market price of the security. During the period, the interfund purchases and sales were $1,288,872 and $1,723,032, respectively. The effect of interfund transactions on the Statement of Operations was $299,355 in net realized gain (loss) on investment transactions.
4. Investment Transactions
Purchases of investment securities, excluding short-term investments, for the period ended May 31, 2017 totaled $198,806,195, of which $79,266,456 represented U.S. Treasury and Government Agency obligations.
Sales of investment securities, excluding short-term investments, for the period ended May 31, 2017 totaled $232,062,187, of which $74,915,708 represented U.S. Treasury and Government Agency obligations.
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5. Capital Share Transactions
Transactions in shares of the fund were as follows:
Six months ended May 31, 2017(1) | Year ended November 30, 2016 | |||||||||
Shares | Amount | Shares | Amount | |||||||
Investor Class/Shares Authorized | 500,000,000 | 500,000,000 | ||||||||
Sold | 5,464,658 | $ | 31,349,577 | 5,367,885 | $ | 29,809,907 | ||||
Issued in reinvestment of distributions | 943,069 | 5,254,801 | 3,114,135 | 16,926,011 | ||||||
Redeemed | (6,678,076 | ) | (38,074,672 | ) | (12,146,098 | ) | (67,374,096 | ) | ||
(270,349 | ) | (1,470,294 | ) | (3,664,078 | ) | (20,638,178 | ) | |||
I Class/Shares Authorized | 120,000,000 | 120,000,000 | ||||||||
Sold | 2,059,166 | 11,701,757 | 3,644,653 | 20,192,823 | ||||||
Issued in reinvestment of distributions | 303,939 | 1,693,349 | 885,528 | 4,825,471 | ||||||
Redeemed | (7,664,772 | ) | (42,988,330 | ) | (3,307,346 | ) | (18,401,873 | ) | ||
(5,301,667 | ) | (29,593,224 | ) | 1,222,835 | 6,616,421 | |||||
A Class/Shares Authorized | 270,000,000 | 275,000,000 | ||||||||
Sold | 2,493,539 | 14,125,014 | 4,791,407 | 26,352,263 | ||||||
Issued in reinvestment of distributions | 503,977 | 2,803,506 | 1,681,221 | 9,114,052 | ||||||
Redeemed | (6,760,423 | ) | (38,614,550 | ) | (9,933,782 | ) | (54,956,172 | ) | ||
(3,762,907 | ) | (21,686,030 | ) | (3,461,154 | ) | (19,489,857 | ) | |||
C Class/Shares Authorized | 70,000,000 | 70,000,000 | ||||||||
Sold | 310,353 | 1,747,040 | 764,173 | 4,182,497 | ||||||
Issued in reinvestment of distributions | 125,861 | 690,804 | 419,993 | 2,246,961 | ||||||
Redeemed | (1,199,870 | ) | (6,728,211 | ) | (1,876,877 | ) | (10,301,837 | ) | ||
(763,656 | ) | (4,290,367 | ) | (692,711 | ) | (3,872,379 | ) | |||
R Class/Shares Authorized | 50,000,000 | 50,000,000 | ||||||||
Sold | 310,075 | 1,754,774 | 786,551 | 4,358,403 | ||||||
Issued in reinvestment of distributions | 56,427 | 313,493 | 154,537 | 835,472 | ||||||
Redeemed | (474,717 | ) | (2,705,668 | ) | (741,579 | ) | (4,134,611 | ) | ||
(108,215 | ) | (637,401 | ) | 199,509 | 1,059,264 | |||||
R5 Class/Shares Authorized | 50,000,000 | N/A | ||||||||
Sold | 873 | 5,000 | ||||||||
R6 Class/Shares Authorized | 90,000,000 | 50,000,000 | ||||||||
Sold | 5,892,619 | 33,000,533 | 3,801,716 | 21,336,192 | ||||||
Issued in reinvestment of distributions | 84,577 | 471,213 | 171,100 | 935,174 | ||||||
Redeemed | (646,877 | ) | (3,680,004 | ) | (1,572,175 | ) | (8,661,978 | ) | ||
5,330,319 | 29,791,742 | 2,400,641 | 13,609,388 | |||||||
Net increase (decrease) | (4,875,602 | ) | $ | (27,880,574 | ) | (3,994,958 | ) | $ | (22,715,341 | ) |
(1) | April 10, 2017 (commencement of sale) through May 31, 2017 for the R5 Class. |
6. Fair Value Measurements
The fund’s investments valuation process is based on several considerations and may use multiple inputs to determine the fair value of the investments held by the fund. In conformity with accounting principles generally accepted in the United States of America, the inputs used to determine a valuation are classified into three broad levels.
• | Level 1 valuation inputs consist of unadjusted quoted prices in an active market for identical investments. |
• | Level 2 valuation inputs consist of direct or indirect observable market data (including quoted prices for comparable investments, evaluations of subsequent market events, interest rates, prepayment speeds, credit risk, etc.). These inputs also consist of quoted prices for identical investments initially expressed in local currencies that are adjusted through translation into U.S. dollars. |
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• | Level 3 valuation inputs consist of unobservable data (including a fund’s own assumptions). |
The level classification is based on the lowest level input that is significant to the fair valuation measurement. The valuation inputs are not necessarily an indication of the risks associated with investing in these securities or other financial instruments. There were no significant transfers between levels during the period.
The following is a summary of the level classifications as of period end. The Schedule of Investments provides additional information on the fund’s portfolio holdings.
Level 1 | Level 2 | Level 3 | ||||||
Assets | ||||||||
Investment Securities | ||||||||
Common Stocks | $ | 172,786,183 | $ | 57,616,148 | — | |||
U.S. Treasury Securities | — | 100,939,429 | — | |||||
Corporate Bonds | — | 64,516,322 | — | |||||
Sovereign Governments and Agencies | — | 43,632,064 | — | |||||
U.S. Government Agency Mortgage-Backed Securities | — | 32,862,360 | — | |||||
Municipal Securities | — | 16,404,113 | — | |||||
Collateralized Mortgage Obligations | — | 8,744,791 | — | |||||
Commercial Mortgage-Backed Securities | — | 7,466,358 | — | |||||
Commercial Paper | — | 7,411,319 | — | |||||
Asset-Backed Securities | — | 6,654,374 | — | |||||
U.S. Government Agency Securities | — | 2,983,568 | — | |||||
Exchange-Traded Funds | 1,660,764 | — | — | |||||
Convertible Preferred Stocks | — | 17,414 | — | |||||
Temporary Cash Investments | 10,335,010 | 99,825 | — | |||||
$ | 184,781,957 | $ | 349,348,085 | — | ||||
Other Financial Instruments | ||||||||
Futures Contracts | $ | 14,073 | $ | 6,233 | — | |||
Swap Agreements | — | 360,995 | — | |||||
Forward Foreign Currency Exchange Contracts | — | 417,624 | — | |||||
$ | 14,073 | $ | 784,852 | — | ||||
Liabilities | ||||||||
Other Financial Instruments | ||||||||
Futures Contracts | $ | 723 | $ | 14 | — | |||
Swap Agreements | — | 22,523 | — | |||||
Forward Foreign Currency Exchange Contracts | — | 837,142 | — | |||||
$ | 723 | $ | 859,679 | — |
7. Derivative Instruments
Credit Risk — The fund is subject to credit risk in the normal course of pursuing its investment objectives. The value of a bond generally declines as the credit quality of its issuer declines. Credit default swap agreements enable a fund to buy/sell protection against a credit event of a specific issuer or index. A fund may attempt to enhance returns by selling protection or attempt to mitigate credit risk by buying protection. Upon entering into a centrally cleared swap, a fund is required to deposit cash or securities (initial margin) with a financial intermediary in an amount equal to a certain percentage of the notional amount. Subsequent payments (variation margin) are made or received daily, in cash, by a fund. The variation margin is equal to the daily change in the value and is a component of unrealized gains and losses. Realized gain or loss is recorded upon receipt or payment of a periodic settlement or termination of swap agreements. Net realized and unrealized gains or losses occurring during the holding period of swap agreements are a component of net realized gain (loss) on swap agreement transactions and change in net unrealized appreciation
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(depreciation) on swap agreements, respectively. The risks of entering into swap agreements include the possible lack of liquidity, failure of the counterparty to meet its obligations, and that there may be unfavorable changes in the underlying investments or instruments. The fund's average notional amount held during the period was $3,419,133.
Foreign Currency Risk — The fund is subject to foreign currency exchange rate risk in the normal course of pursuing its investment objectives. The value of foreign investments held by a fund may be significantly affected by changes in foreign currency exchange rates. The dollar value of a foreign security generally decreases when the value of the dollar rises against the foreign currency in which the security is denominated and tends to increase when the value of the dollar declines against such foreign currency. A fund may enter into forward foreign currency exchange contracts to reduce a fund's exposure to foreign currency exchange rate fluctuations or to gain exposure to the fluctuations in the value of foreign currencies. The net U.S. dollar value of foreign currency underlying all contractual commitments held by a fund and the resulting unrealized appreciation or depreciation are determined daily. Realized gain or loss is recorded upon the termination of the contract. Net realized and unrealized gains or losses occurring during the holding period of forward foreign currency exchange contracts are a component of net realized gain (loss) on foreign currency transactions and change in net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies, respectively. A fund bears the risk of an unfavorable change in the foreign currency exchange rate underlying the forward contract. Additionally, losses, up to the fair value, may arise if the counterparties do not perform under the contract terms. The fund's average U.S. dollar exposure to foreign currency risk derivative instruments held during the period was $48,493,868.
Interest Rate Risk — The fund is subject to interest rate risk in the normal course of pursuing its investment objectives. A fund may enter into futures contracts or interest rate swap agreements in order to manage its exposure to changes in market conditions. The value of bonds generally declines as interest rates rise. The risks of entering into interest rate risk derivative instruments include the possible lack of liquidity, failure of the counterparty to meet its obligations, and that there may be unfavorable changes in the underlying investments or instruments.
A fund may enter into futures contracts based on a bond index or a specific underlying security. A fund may purchase futures contracts to gain exposure to increases in market value or sell futures contracts to protect against a decline in market value. Upon entering into a futures contract, a fund will segregate cash, cash equivalents or other appropriate liquid securities on its records in amounts sufficient to meet requirements. Subsequent payments (variation margin) are made or received daily, in cash, by a fund. The variation margin is equal to the daily change in the contract value and is recorded as unrealized gains and losses. A fund recognizes a realized gain or loss when the futures contract is closed or expires. Net realized and unrealized gains or losses occurring during the holding period of futures contracts are a component of net realized gain(loss) on futures contract transactions and change in net unrealized appreciation (depreciation) on futures contracts, respectively. The fund's average exposure to these interest rate risk derivative instruments during the period was 155 futures contracts.
A fund may enter into interest rate swap agreements to gain exposure to declines in interest rates, to protect against increases in interest rates, or to maintain its ability to generate income at prevailing interest rates. A fund will segregate cash, cash equivalents or other appropriate liquid securities on its records in amounts sufficient to meet requirements. Changes in value, including the periodic amounts of interest to be paid or received on swap agreements, are recorded as unrealized appreciation (depreciation) on swap agreements. Realized gain or loss is recorded upon receipt or payment of a periodic settlement or termination of swap agreements. Net realized and unrealized gains or losses occurring during the holding period of swap agreements are a component of net realized gain (loss) on swap agreement transactions and change in net unrealized appreciation (depreciation) on swap agreements, respectively. The fund began investing in interest rate swap agreements in May 2017. The fund’s notional amount exposure to interest rate swap agreements at period end was $6,470,743.
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Value of Derivative Instruments as of May 31, 2017 | ||||||||
Asset Derivatives | Liability Derivatives | |||||||
Type of Risk Exposure | Location on Statement of Assets and Liabilities | Value | Location on Statement of Assets and Liabilities | Value | ||||
Credit Risk | Receivable for variation margin on swap agreements* | — | Payable for variation margin on swap agreements* | $ | 17 | |||
Foreign Currency Risk | Unrealized appreciation on forward foreign currency exchange contracts | $ | 417,624 | Unrealized depreciation on forward foreign currency exchange contracts | 837,142 | |||
Interest Rate Risk | Receivable for variation margin on futures contracts* | 15,108 | Payable for variation margin on futures contracts* | — | ||||
Interest Rate Risk | Swap agreements | 15,192 | Swap agreements | 22,523 | ||||
$ | 447,924 | $ | 859,682 | |||||
* Included in the unrealized appreciation (depreciation) on centrally cleared credit default swap agreements or futures contracts, as reported in the Schedule of Investments. |
Effect of Derivative Instruments on the Statement of Operations for the Six Months Ended May 31, 2017 | ||||||||
Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) | |||||||
Type of Risk Exposure | Location on Statement of Operations | Value | Location on Statement of Operations | Value | ||||
Credit Risk | Net realized gain (loss) on swap agreement transactions | $ | 67,107 | Change in net unrealized appreciation (depreciation) on swap agreements | $ | 75,373 | ||
Foreign Currency Risk | Net realized gain (loss) on foreign currency transactions | 1,319,677 | Change in net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies | (1,974,644 | ) | |||
Interest Rate Risk | Net realized gain (loss) on futures contract transactions | (23,346 | ) | Change in net unrealized appreciation (depreciation) on futures contracts | 49,730 | |||
Interest Rate Risk | Net realized gain (loss) on swap agreement transactions | — | Change in net unrealized appreciation (depreciation) on swap agreements | (7,331 | ) | |||
$ | 1,363,438 | $ | (1,856,872 | ) |
8. Risk Factors
There are certain risks involved in investing in foreign securities. These risks include those resulting from future adverse political, social and economic developments, fluctuations in currency exchange rates, the possible imposition of exchange controls, and other foreign laws or restrictions. Investing in emerging markets may accentuate these risks.
9. Federal Tax Information
The book-basis character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. These differences reflect the differing character of certain income items and net realized gains and losses for financial statement and tax purposes, and may result in reclassification among certain capital accounts on the financial statements.
As of period end, the components of investments for federal income tax purposes were as follows:
Federal tax cost of investments | $ | 483,593,548 | |
Gross tax appreciation of investments | $ | 54,749,131 | |
Gross tax depreciation of investments | (4,212,637 | ) | |
Net tax appreciation (depreciation) of investments | $ | 50,536,494 |
The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales.
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10. Recently Issued Accounting Guidance and Standards
In October 2016, the Securities and Exchange Commission adopted new rules and forms as well as amendments to its rules and forms to modernize the reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, as well as other provisions. Compliance with the amendments is effective on August 1, 2017. Management is currently evaluating the impact that adopting the amendments will have on the financial statement disclosures.
In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update No. 2017-08, “Receivables - Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities” (ASU 2017-08). ASU 2017-08 amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the impact that adopting ASU 2017-08 will have on the financial statements.
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Financial Highlights |
For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | |||||||||||||||
Per-Share Data | Ratios and Supplemental Data | ||||||||||||||
Income From Investment Operations: | Distributions From: | Ratio to Average Net Assets of: | |||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Period | Total Return(2) | Operating Expenses | Net Investment Income (Loss) | Portfolio Turnover Rate | Net Assets, End of Period (in thousands) | |||
Investor Class | |||||||||||||||
2017(3) | $5.62 | 0.04 | 0.30 | 0.34 | (0.03) | (0.09) | (0.12) | $5.84 | 6.21% | 1.00%(4) | 1.32%(4) | 38% | $253,463 | ||
2016 | $5.83 | 0.07 | 0.09 | 0.16 | (0.05) | (0.32) | (0.37) | $5.62 | 2.96% | 1.00% | 1.21% | 87% | $245,726 | ||
2015 | $6.21 | 0.05 | (0.07) | (0.02) | (0.02) | (0.34) | (0.36) | $5.83 | (0.25)% | 1.00% | 0.81% | 90% | $275,947 | ||
2014 | $6.23 | 0.05 | 0.36 | 0.41 | (0.06) | (0.37) | (0.43) | $6.21 | 7.00% | 0.99% | 0.91% | 59% | $304,125 | ||
2013 | $5.95 | 0.06 | 0.50 | 0.56 | (0.07) | (0.21) | (0.28) | $6.23 | 9.74% | 1.00% | 1.06% | 68% | $280,568 | ||
2012 | $5.60 | 0.08 | 0.45 | 0.53 | (0.08) | (0.10) | (0.18) | $5.95 | 9.75% | 1.00% | 1.44% | 76% | $253,750 | ||
I Class(5) | |||||||||||||||
2017(3) | $5.63 | 0.04 | 0.30 | 0.34 | (0.04) | (0.09) | (0.13) | $5.84 | 6.08% | 0.80%(4) | 1.52%(4) | 38% | $48,501 | ||
2016 | $5.84 | 0.08 | 0.10 | 0.18 | (0.07) | (0.32) | (0.39) | $5.63 | 3.27% | 0.80% | 1.41% | 87% | $76,532 | ||
2015 | $6.21 | 0.06 | (0.07) | (0.01) | (0.02) | (0.34) | (0.36) | $5.84 | 0.02% | 0.80% | 1.01% | 90% | $72,235 | ||
2014 | $6.23 | 0.06 | 0.36 | 0.42 | (0.07) | (0.37) | (0.44) | $6.21 | 7.21% | 0.79% | 1.11% | 59% | $66,425 | ||
2013 | $5.95 | 0.07 | 0.50 | 0.57 | (0.08) | (0.21) | (0.29) | $6.23 | 9.95% | 0.80% | 1.26% | 68% | $33,833 | ||
2012 | $5.60 | 0.09 | 0.45 | 0.54 | (0.09) | (0.10) | (0.19) | $5.95 | 9.97% | 0.80% | 1.64% | 76% | $60,090 | ||
A Class | |||||||||||||||
2017(3) | $5.62 | 0.03 | 0.30 | 0.33 | (0.03) | (0.09) | (0.12) | $5.83 | 5.96% | 1.25%(4) | 1.07%(4) | 38% | $120,367 | ||
2016 | $5.81 | 0.05 | 0.11 | 0.16 | (0.03) | (0.32) | (0.35) | $5.62 | 2.94% | 1.25% | 0.96% | 87% | $137,168 | ||
2015 | $6.20 | 0.03 | (0.07) | (0.04) | (0.01) | (0.34) | (0.35) | $5.81 | (0.52)% | 1.25% | 0.56% | 90% | $162,077 | ||
2014 | $6.22 | 0.04 | 0.35 | 0.39 | (0.04) | (0.37) | (0.41) | $6.20 | 6.74% | 1.24% | 0.66% | 59% | $187,559 | ||
2013 | $5.94 | 0.05 | 0.50 | 0.55 | (0.06) | (0.21) | (0.27) | $6.22 | 9.49% | 1.25% | 0.81% | 68% | $242,796 | ||
2012 | $5.60 | 0.07 | 0.44 | 0.51 | (0.07) | (0.10) | (0.17) | $5.94 | 9.30% | 1.25% | 1.19% | 76% | $236,226 |
For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | |||||||||||||||
Per-Share Data | Ratios and Supplemental Data | ||||||||||||||
Income From Investment Operations: | Distributions From: | Ratio to Average Net Assets of: | |||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Period | Total Return(2) | Operating Expenses | Net Investment Income (Loss) | Portfolio Turnover Rate | Net Assets, End of Period (in thousands) | |||
C Class | |||||||||||||||
2017(3) | $5.54 | 0.01 | 0.30 | 0.31 | (0.02) | (0.09) | (0.11) | $5.74 | 5.63% | 2.00%(4) | 0.32%(4) | 38% | $34,120 | ||
2016 | $5.75 | 0.01 | 0.10 | 0.11 | — | (0.32) | (0.32) | $5.54 | 2.06% | 2.00% | 0.21% | 87% | $37,188 | ||
2015 | $6.18 | (0.01) | (0.08) | (0.09) | — | (0.34) | (0.34) | $5.75 | (1.38)% | 2.00% | (0.19)% | 90% | $42,585 | ||
2014 | $6.21 | (0.01) | 0.35 | 0.34 | —(6) | (0.37) | (0.37) | $6.18 | 5.93% | 1.99% | (0.09)% | 59% | $43,361 | ||
2013 | $5.94 | —(6) | 0.50 | 0.50 | (0.02) | (0.21) | (0.23) | $6.21 | 8.65% | 2.00% | 0.06% | 68% | $40,650 | ||
2012 | $5.59 | 0.03 | 0.45 | 0.48 | (0.03) | (0.10) | (0.13) | $5.94 | 8.73% | 2.00% | 0.44% | 76% | $35,998 | ||
R Class | |||||||||||||||
2017(3) | $5.61 | 0.02 | 0.30 | 0.32 | (0.03) | (0.09) | (0.12) | $5.81 | 5.71% | 1.50%(4) | 0.82%(4) | 38% | $15,334 | ||
2016 | $5.80 | 0.04 | 0.10 | 0.14 | (0.01) | (0.32) | (0.33) | $5.61 | 2.59% | 1.50% | 0.71% | 87% | $15,398 | ||
2015 | $6.20 | 0.02 | (0.07) | (0.05) | (0.01) | (0.34) | (0.35) | $5.80 | (0.77)% | 1.50% | 0.31% | 90% | $14,766 | ||
2014 | $6.22 | 0.02 | 0.36 | 0.38 | (0.03) | (0.37) | (0.40) | $6.20 | 6.48% | 1.49% | 0.41% | 59% | $16,239 | ||
2013 | $5.94 | 0.03 | 0.50 | 0.53 | (0.04) | (0.21) | (0.25) | $6.22 | 9.24% | 1.50% | 0.56% | 68% | $15,392 | ||
2012 | $5.59 | 0.05 | 0.45 | 0.50 | (0.05) | (0.10) | (0.15) | $5.94 | 9.22% | 1.50% | 0.94% | 76% | $13,824 | ||
R5 Class | |||||||||||||||
2017(9) | $5.73 | 0.01 | 0.10 | 0.11 | — | — | — | $5.84 | 1.92% | 0.80%(4) | 1.77%(4) | 38%(10) | $5 | ||
R6 Class | |||||||||||||||
2017(3) | $5.63 | 0.05 | 0.30 | 0.35 | (0.04) | (0.09) | (0.13) | $5.85 | 6.31% | 0.65%(4) | 1.67%(4) | 38% | $52,345 | ||
2016 | $5.84 | 0.09 | 0.10 | 0.19 | (0.08) | (0.32) | (0.40) | $5.63 | 3.50% | 0.65% | 1.56% | 87% | $20,398 | ||
2015 | $6.21 | 0.07 | (0.07) | — | (0.03) | (0.34) | (0.37) | $5.84 | 0.09% | 0.65% | 1.16% | 90% | $7,150 | ||
2014 | $6.23 | 0.07 | 0.36 | 0.43 | (0.08) | (0.37) | (0.45) | $6.21 | 7.37% | 0.64% | 1.26% | 59% | $1,815 | ||
2013(7) | $6.05 | 0.03 | 0.17 | 0.20 | (0.02) | — | (0.02) | $6.23 | 3.32% | 0.65%(4) | 1.19%(4) | 68%(8) | $241 |
Notes to Financial Highlights |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Total returns are calculated based on the net asset value of the last business day and do not reflect applicable sales charges, if any. Total returns for periods less than one year are not annualized. |
(3) | Six months ended May 31, 2017 (unaudited). |
(4) | Annualized. |
(5) | Prior to April 10, 2017, the I Class was referred to as the Institutional Class. |
(6) | Per-share amount was less than $0.005. |
(7) | July 26, 2013 (commencement of sale) through November 30, 2013. |
(8) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the year ended November 30, 2013. |
(9) | April 10, 2017 (commencement of sale) through May 31, 2017 (unaudited). |
(10) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the six months ended May 31, 2017. |
See Notes to Financial Statements.
Additional Information |
Retirement Account Information
As required by law, distributions you receive from certain IRAs are subject to federal income tax withholding, unless you elect not to have withholding apply. Tax will be withheld on the total amount withdrawn even though you may be receiving amounts that are not subject to withholding, such as nondeductible contributions. In such case, excess amounts of withholding could occur. You may adjust your withholding election so that a greater or lesser amount will be withheld.
If you don’t want us to withhold on this amount, you must notify us to not withhold the federal income tax. You may notify us in writing or in certain situations by telephone or through other electronic means. For systematic withdrawals, your withholding election will remain in effect until revoked or changed by filing a new election. You have the right to revoke your election at any time.
Remember, even if you elect not to have income tax withheld, you are liable for paying income tax on the taxable portion of your withdrawal. If you elect not to have income tax withheld or you don’t have enough income tax withheld, you may be responsible for payment of estimated tax. You may incur penalties under the estimated tax rules if your withholding and estimated tax payments are not sufficient. You can reduce or defer the income tax on a distribution by directly or indirectly rolling such distribution over to another IRA or eligible plan. You should consult your tax advisor for additional information.
State tax will be withheld if, at the time of your distribution, your address is within one of the mandatory withholding states and you have federal income tax withheld (or as otherwise required by state law). State taxes will be withheld from your distribution in accordance with the respective state rules.
Distributions you receive from 403(b), 457 and qualified plans are subject to special tax and withholding rules. Your plan administrator or plan sponsor is required to provide you with a special tax notice explaining those rules at the time you request a distribution. If applicable, federal and/or state taxes may be withheld from your distribution amount.
Proxy Voting Policies
A description of the policies that the fund's investment advisor uses in exercising the voting rights associated with the securities purchased and/or held by the fund is available without charge, upon request, by calling 1-800-345-2021. It is also available on the "About Us" page of American Century Investments’ website at americancentury.com and on the Securities and Exchange Commission’s website at sec.gov. Information regarding how the investment advisor voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the "About Us" page at americancentury.com. It is also available at sec.gov.
Quarterly Portfolio Disclosure
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. The fund’s Forms N-Q are available on the SEC’s website at sec.gov, and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The fund also makes its complete schedule of portfolio holdings for the most recent quarter of its fiscal year available on its website at americancentury.com and, upon request, by calling 1-800-345-2021.
89
Notes |
90
Notes |
91
Notes |
92
Contact Us | americancentury.com | |
Automated Information Line | 1-800-345-8765 | |
Investor Services Representative | 1-800-345-2021 or 816-531-5575 | |
Investors Using Advisors | 1-800-378-9878 | |
Business, Not-For-Profit, Employer-Sponsored Retirement Plans | 1-800-345-3533 | |
Banks and Trust Companies, Broker-Dealers, Financial Professionals, Insurance Companies | 1-800-345-6488 | |
Telecommunications Relay Service for the Deaf | 711 | |
American Century Strategic Asset Allocations, Inc. | ||
Investment Advisor: American Century Investment Management, Inc. Kansas City, Missouri | ||
This report and the statements it contains are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. | ||
©2017 American Century Proprietary Holdings, Inc. All rights reserved. CL-SAN-92642 1707 |
Semiannual Report | |
May 31, 2017 | |
Strategic Allocation: Moderate Fund |
Table of Contents |
Any opinions expressed in this report reflect those of the author as of the date of the report, and do not necessarily represent the opinions of American Century Investments® or any other person in the American Century Investments organization. Any such opinions are subject to change at any time based upon market or other conditions and American Century Investments disclaims any responsibility to update such opinions. These opinions may not be relied upon as investment advice and, because investment decisions made by American Century Investments funds are based on numerous factors, may not be relied upon as an indication of trading intent on behalf of any American Century Investments fund. Security examples are used for representational purposes only and are not intended as recommendations to purchase or sell securities. Performance information for comparative indices and securities is provided to American Century Investments by third party vendors. To the best of American Century Investments’ knowledge, such information is accurate at the time of printing.
President’s Letter |
Jonathan Thomas
Dear Investor:
Thank you for reviewing this semiannual report for the period ended May 31, 2017. It provides a market overview (below), followed by a schedule of fund investments and other financial information. For additional commentary and information on fund performance, plus other investment insights, we encourage you to visit our website, americancentury.com.
“Risk-On” Sentiment Generally Prevailed Among Investors
Optimism surrounding President Trump’s aggressive pro-growth agenda, along with improving global economic data, upbeat corporate earnings reports in the U.S. and Europe, and continued accommodative central bank policies, triggered rallies among higher-risk assets during the six-month period. In addition, moderate candidate Emmanuel Macron’s victory in France’s presidential election helped ease political uncertainty in Europe, which further aided financial market performance. Global equity markets soared, including the S&P 500 Index, the MSCI EAFE Index, and the MSCI Emerging Markets Index, which gained 10.81%, 17.91%, and 17.51%, respectively. Within these indices, growth stocks significantly outperformed their value counterparts, as investors generally favored companies expected to perform well as economic fundamentals improve.
A similar pattern prevailed within the global fixed-income markets, where higher-risk and higher-yielding sectors were top performers. Meanwhile, yields on short-maturity U.S. Treasuries increased as the Federal Reserve (the Fed) raised its interest rate target twice during the reporting period. However, yields on longer-maturity U.S. Treasuries declined, largely due to waning U.S. economic growth and inflation expectations as the reporting period unfolded. Outside the U.S., ongoing central bank stimulus programs helped keep government bond yields low. Overall, returns among broad U.S. and global fixed-income indices were positive.
Late in the reporting period, investor optimism toward President Trump’s policy agenda faded as health care and tax reform remained stalled. Further delays to these and other pro-growth proposals, combined with the Fed’s efforts to normalize U.S. monetary policy, may impede future risk-on sentiment. Meanwhile, as the Fed continues to tighten, central banks in Europe, the U.K., and Japan remain extremely accommodative. In this environment, we continue to believe in a disciplined, diversified, and risk-aware approach, using professionally managed portfolios in pursuit of investment goals. We appreciate your continued trust in us.
Sincerely,
Jonathan Thomas
President and Chief Executive Officer
American Century Investments
2
Fund Characteristics |
MAY 31, 2017 | |
Top Ten Common Stocks | % of net assets |
Alphabet, Inc., Class A | 1.3% |
Apple, Inc. | 1.0% |
Amazon.com, Inc. | 0.8% |
Microsoft Corp. | 0.8% |
Facebook, Inc., Class A | 0.6% |
Wal-Mart Stores, Inc. | 0.5% |
Johnson & Johnson | 0.5% |
Applied Materials, Inc. | 0.5% |
Oracle Corp.(1) | 0.5% |
Cisco Systems, Inc. | 0.4% |
(1) Includes shares traded on all exchanges. | |
Geographic Composition of Common Stocks | % of net assets |
United States | 46.0% |
United Kingdom | 3.0% |
Japan | 2.5% |
France | 1.9% |
Other Countries | 9.5% |
Key Fixed-Income Portfolio Statistics | |
Weighted Average Life | 7.1 years |
Average Duration (effective) | 5.4 years |
Types of Investments in Portfolio | % of net assets |
Domestic Common Stocks | 46.0% |
Foreign Common Stocks(2) | 16.9% |
U.S. Treasury Securities | 11.6% |
Corporate Bonds | 9.6% |
U.S. Government Agency Mortgage-Backed Securities | 4.4% |
Sovereign Governments and Agencies | 4.0% |
Municipal Securities | 2.4% |
Commercial Paper | 1.4% |
Collateralized Mortgage Obligations | 1.2% |
Commercial Mortgage-Backed Securities | 1.1% |
Asset-Backed Securities | 0.9% |
U.S. Government Agency Securities | 0.4% |
Exchange-Traded Funds | 0.4% |
Convertible Preferred Stocks | —(3) |
Temporary Cash Investments | 1.4% |
Other Assets and Liabilities | (1.7)% |
(2) Includes depositary shares, dual listed securities and foreign ordinary shares.
(3) Category is less than 0.05% of total net assets.
3
Shareholder Fee Example |
Fund shareholders may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption/exchange fees; and (2) ongoing costs, including management fees; distribution and service (12b-1) fees; and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in your fund and to compare these costs with the ongoing cost of investing in other mutual funds.
The example is based on an investment of $1,000 made at the beginning of the period and held for the entire period from December 1, 2016 to May 31, 2017 (except as noted).
Actual Expenses
The table provides information about actual account values and actual expenses for each class. You may use the information, together with the amount you invested, to estimate the expenses that you paid over the period. First, identify the share class you own. Then simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
If you hold Investor Class shares of any American Century Investments fund, or I Class shares of the American Century Diversified Bond Fund, in an American Century Investments account (i.e., not a financial intermediary or retirement plan account), American Century Investments may charge you a $12.50 semiannual account maintenance fee if the value of those shares is less than $10,000. We will redeem shares automatically in one of your accounts to pay the $12.50 fee. In determining your total eligible investment amount, we will include your investments in all personal accounts (including American Century Investments Brokerage accounts) registered under your Social Security number. Personal accounts include individual accounts, joint accounts, UGMA/UTMA accounts, personal trusts, Coverdell Education Savings Accounts and IRAs (including traditional, Roth, Rollover, SEP-, SARSEP- and SIMPLE-IRAs), and certain other retirement accounts. If you have only business, business retirement, employer-sponsored or American Century Investments Brokerage accounts, you are currently not subject to this fee. If you are subject to the Account Maintenance Fee, your account value could be reduced by the fee amount.
Hypothetical Example for Comparison Purposes
The table also provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio of each class of your fund and an assumed rate of return of 5% per year before expenses, which is not the actual return of a fund’s share class. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption/exchange fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
4
Beginning Account Value 12/1/16 | Ending Account Value 5/31/17 | Expenses Paid During Period(1) 12/1/16 - 5/31/17 | Annualized Expense Ratio(1) | |
Actual | ||||
Investor Class | $1,000 | $1,083.10 | $5.61 | 1.08% |
I Class | $1,000 | $1,082.50 | $4.57 | 0.88% |
A Class | $1,000 | $1,080.30 | $6.90 | 1.33% |
C Class | $1,000 | $1,077.00 | $10.77 | 2.08% |
R Class | $1,000 | $1,078.20 | $8.19 | 1.58% |
R5 Class | $1,000 | $1,024.50(2) | $1.27(3) | 0.88% |
R6 Class | $1,000 | $1,083.40 | $3.79 | 0.73% |
Hypothetical | ||||
Investor Class | $1,000 | $1,019.55 | $5.44 | 1.08% |
I Class | $1,000 | $1,020.54 | $4.43 | 0.88% |
A Class | $1,000 | $1,018.30 | $6.69 | 1.33% |
C Class | $1,000 | $1,014.56 | $10.45 | 2.08% |
R Class | $1,000 | $1,017.05 | $7.95 | 1.58% |
R5 Class | $1,000 | $1,020.54(4) | $4.43(4) | 0.88% |
R6 Class | $1,000 | $1,021.29 | $3.68 | 0.73% |
(1) | Expenses are equal to the class's annualized expense ratio listed in the table above, multiplied by the average account value over the period, multiplied by 182, the number of days in the most recent fiscal half-year, divided by 365, to reflect the one-half year period. |
(2) | Ending account value based on actual return from April 10, 2017 (commencement of sale) through May 31, 2017. |
(3) | Expenses are equal to the class's annualized expense ratio listed in the table above, multiplied by the average account value over the period, multiplied by 52, the number of days in the period from April 10, 2017 (commencement of sale) through May 31, 2017, divided by 365, to reflect the period. Had the class been available for the full period, the expenses paid during the period would have been higher. |
(4) | Ending account value and expenses paid during the period assumes the class had been available throughout the entire period and are calculated using the class’s annualized expense ratio listed in the table above. |
5
Schedule of Investments |
MAY 31, 2017 (UNAUDITED)
Shares/ Principal Amount | Value | ||||||
COMMON STOCKS — 62.9% | |||||||
Aerospace and Defense — 1.1% | |||||||
AAR Corp. | 1,963 | $ | 68,587 | ||||
Astronics Corp.(1) | 482 | 14,749 | |||||
Boeing Co. (The) | 24,650 | 4,625,080 | |||||
Cubic Corp. | 1,402 | 64,983 | |||||
Curtiss-Wright Corp. | 749 | 67,432 | |||||
Hexcel Corp. | 2,854 | 146,781 | |||||
KLX, Inc.(1) | 2,212 | 107,039 | |||||
L3 Technologies, Inc. | 3,752 | 632,550 | |||||
Lockheed Martin Corp. | 8,034 | 2,258,598 | |||||
Mercury Systems, Inc.(1) | 2,469 | 98,192 | |||||
Textron, Inc. | 49,997 | 2,389,857 | |||||
United Technologies Corp. | 44,485 | 5,395,141 | |||||
15,868,989 | |||||||
Air Freight and Logistics† | |||||||
Royal Mail plc | 64,206 | 365,154 | |||||
XPO Logistics, Inc.(1) | 2,297 | 120,822 | |||||
485,976 | |||||||
Airlines — 0.4% | |||||||
American Airlines Group, Inc. | 3,274 | 158,494 | |||||
Delta Air Lines, Inc. | 33,094 | 1,625,908 | |||||
Deutsche Lufthansa AG | 40,956 | 795,706 | |||||
easyJet plc | 12,140 | 221,175 | |||||
Japan Airlines Co. Ltd. | 7,400 | 216,822 | |||||
JetBlue Airways Corp.(1) | 14,393 | 322,691 | |||||
Qantas Airways Ltd. | 176,793 | 658,144 | |||||
Ryanair Holdings plc ADR(1) | 13,240 | 1,413,238 | |||||
Spirit Airlines, Inc.(1) | 7,439 | 395,011 | |||||
5,807,189 | |||||||
Auto Components — 0.6% | |||||||
Bridgestone Corp. | 19,500 | 819,088 | |||||
Cie Generale des Etablissements Michelin, Class B | 670 | 84,296 | |||||
Delphi Automotive plc | 35,017 | 3,080,445 | |||||
Faurecia | 9,505 | 498,957 | |||||
Hota Industrial Manufacturing Co. Ltd. | 57,766 | 287,111 | |||||
Ichikoh Industries Ltd. | 4,000 | 24,524 | |||||
LCI Industries | 2,857 | 254,273 | |||||
Motherson Sumi Systems Ltd.(1) | 78,983 | 551,547 | |||||
NGK Spark Plug Co. Ltd. | 10,000 | 203,251 | |||||
Nokian Renkaat Oyj | 9,036 | 369,278 | |||||
Schaeffler AG Preference Shares | 19,775 | 326,660 | |||||
Stoneridge, Inc.(1) | 2,138 | 33,053 |
6
Shares/ Principal Amount | Value | ||||||
Tenneco, Inc. | 1,403 | $ | 79,761 | ||||
Toyota Boshoku Corp. | 15,900 | 306,802 | |||||
TS Tech Co. Ltd. | 9,600 | 270,013 | |||||
Valeo SA | 15,511 | 1,079,782 | |||||
8,268,841 | |||||||
Automobiles — 0.8% | |||||||
Astra International Tbk PT | 2,159,800 | 1,418,788 | |||||
Brilliance China Automotive Holdings Ltd. | 444,000 | 828,453 | |||||
Daimler AG | 424 | 30,774 | |||||
Ferrari NV | 3,110 | 269,008 | |||||
Fiat Chrysler Automobiles NV(1) | 20,473 | 214,919 | |||||
Ford Motor Co. | 174,062 | 1,935,569 | |||||
Harley-Davidson, Inc. | 2,455 | 130,140 | |||||
Honda Motor Co. Ltd. | 10,500 | 295,517 | |||||
Honda Motor Co. Ltd. ADR | 48,973 | 1,367,816 | |||||
Peugeot SA | 36,348 | 716,593 | |||||
Subaru Corp. | 23,000 | 777,743 | |||||
Suzuki Motor Corp. | 12,000 | 565,056 | |||||
Tata Motors Ltd. | 148,170 | 1,093,477 | |||||
Tofas Turk Otomobil Fabrikasi AS | 55,913 | 464,370 | |||||
Toyota Motor Corp. | 23,700 | 1,269,421 | |||||
11,377,644 | |||||||
Banks — 4.8% | |||||||
Ameris Bancorp | 1,447 | 62,727 | |||||
Australia & New Zealand Banking Group Ltd. | 60,281 | 1,254,619 | |||||
Banco do Brasil SA | 27,900 | 243,999 | |||||
Banco Macro SA ADR | 2,420 | 216,517 | |||||
Banco Santander SA | 178,839 | 1,161,395 | |||||
Bank Mandiri Persero Tbk PT | 847,400 | 801,595 | |||||
Bank of America Corp. | 183,007 | 4,101,187 | |||||
Bank of Hawaii Corp. | 4,463 | 346,909 | |||||
Bank of the Ozarks, Inc. | 4,981 | 220,160 | |||||
Bank Rakyat Indonesia Persero Tbk PT | 429,700 | 466,960 | |||||
Bankia SA | 108,770 | 125,119 | |||||
BankUnited, Inc. | 19,350 | 641,646 | |||||
Barclays plc | 115,053 | 311,304 | |||||
BB&T Corp. | 82,693 | 3,444,163 | |||||
BNP Paribas SA | 42,508 | 2,999,739 | |||||
BOC Hong Kong Holdings Ltd. | 149,500 | 674,352 | |||||
Boston Private Financial Holdings, Inc. | 6,211 | 90,060 | |||||
CaixaBank SA | 89,190 | 421,205 | |||||
Capital Bank Financial Corp., Class A | 3,611 | 133,968 | |||||
Capitec Bank Holdings Ltd. | 7,302 | 433,599 | |||||
Cathay General Bancorp | 3,345 | 118,748 | |||||
China CITIC Bank Corp. Ltd., H Shares | 280,000 | 172,832 | |||||
China Construction Bank Corp., H Shares | 452,000 | 373,547 | |||||
Citigroup, Inc. | 14,137 | 855,854 |
7
Shares/ Principal Amount | Value | ||||||
Citizens Financial Group, Inc. | 13,412 | $ | 457,349 | ||||
Comerica, Inc. | 4,169 | 285,827 | |||||
Commerce Bancshares, Inc. | 13,971 | 747,868 | |||||
Commercial International Bank Egypt S.A.E. | 39,490 | 182,178 | |||||
Commercial International Bank Egypt S.A.E. GDR | 63,201 | 278,084 | |||||
Commonwealth Bank of Australia | 8,421 | 498,388 | |||||
Credicorp Ltd. | 1,296 | 217,106 | |||||
DNB ASA | 46,060 | 780,087 | |||||
East West Bancorp, Inc. | 21,950 | 1,201,323 | |||||
Erste Group Bank AG | 29,240 | 1,060,950 | |||||
FCB Financial Holdings, Inc., Class A(1) | 6,439 | 294,906 | |||||
FinecoBank Banca Fineco SpA | 24,460 | 183,822 | |||||
First Financial Bankshares, Inc. | 1,718 | 65,714 | |||||
First Hawaiian, Inc. | 4,494 | 123,855 | |||||
FNB Corp. | 11,470 | 151,404 | |||||
Hana Financial Group, Inc. | 3,523 | 129,170 | |||||
HDFC Bank Ltd. | 60,661 | 1,544,402 | |||||
HSBC Holdings plc (Hong Kong) | 122,000 | 1,059,910 | |||||
HSBC Holdings plc (London) | 297,804 | 2,592,316 | |||||
Industrial & Commercial Bank of China Ltd., H Shares | 1,425,105 | 952,807 | |||||
ING Groep NV | 87,660 | 1,466,260 | |||||
Itau Unibanco Holding SA ADR | 46,785 | 510,424 | |||||
Itau Unibanco Holding SA Preference Shares | 41,400 | 456,098 | |||||
JPMorgan Chase & Co. | 39,442 | 3,240,160 | |||||
Kasikornbank PCL | 43,700 | 239,927 | |||||
KBC Group NV | 33,739 | 2,538,588 | |||||
LegacyTexas Financial Group, Inc. | 4,333 | 152,608 | |||||
Lloyds Banking Group plc | 277,699 | 252,572 | |||||
M&T Bank Corp. | 16,297 | 2,549,992 | |||||
Mitsubishi UFJ Financial Group, Inc. | 156,500 | 976,306 | |||||
Mizuho Financial Group, Inc. | 401,800 | 699,477 | |||||
Moneta Money Bank AS | 113,637 | 386,824 | |||||
National Australia Bank Ltd. | 18,781 | 420,331 | |||||
OTP Bank plc | 12,360 | 385,352 | |||||
Oversea-Chinese Banking Corp. Ltd. | 17,200 | 130,400 | |||||
PNC Financial Services Group, Inc. (The) | 28,903 | 3,430,786 | |||||
Regions Financial Corp. | 28,238 | 390,814 | |||||
Sberbank of Russia PJSC ADR (London) | 51,559 | 574,883 | |||||
Societe Generale SA | 21,594 | 1,132,102 | |||||
Southside Bancshares, Inc. | 2,499 | 81,366 | |||||
Sumitomo Mitsui Financial Group, Inc. | 14,800 | 531,063 | |||||
SunTrust Banks, Inc. | 4,858 | 259,271 | |||||
SVB Financial Group(1) | 2,890 | 492,745 | |||||
Texas Capital Bancshares, Inc.(1) | 1,911 | 140,267 | |||||
U.S. Bancorp | 112,292 | 5,714,540 | |||||
UMB Financial Corp. | 5,839 | 408,905 | |||||
UniCredit SpA(1) | 43,600 | 762,588 |
8
Shares/ Principal Amount | Value | ||||||
Unione di Banche Italiane SpA | 22,400 | $ | 84,598 | ||||
United Overseas Bank Ltd. | 13,100 | 217,568 | |||||
Valley National Bancorp | 59,362 | 669,603 | |||||
Wells Fargo & Co. | 83,925 | 4,291,924 | |||||
Westamerica Bancorporation | 11,393 | 584,575 | |||||
Western Alliance Bancorp(1) | 2,166 | 99,030 | |||||
Westpac Banking Corp. | 31,486 | 713,568 | |||||
Yes Bank Ltd. | 2,879 | 63,869 | |||||
Zions Bancorporation | 16,522 | 662,037 | |||||
68,191,091 | |||||||
Beverages — 0.6% | |||||||
Boston Beer Co., Inc. (The), Class A(1) | 3,207 | 457,799 | |||||
Coca-Cola Bottling Co. Consolidated | 484 | 110,226 | |||||
Coca-Cola Co. (The) | 2,823 | 128,362 | |||||
Constellation Brands, Inc., Class A | 4,219 | 771,022 | |||||
Davide Campari-Milano SpA | 6,450 | 45,104 | |||||
Dr Pepper Snapple Group, Inc. | 2,308 | 214,205 | |||||
Heineken NV | 7,630 | 751,433 | |||||
MGP Ingredients, Inc. | 1,269 | 64,986 | |||||
Molson Coors Brewing Co., Class B | 7,606 | 720,973 | |||||
Monster Beverage Corp.(1) | 17,152 | 867,205 | |||||
PepsiCo, Inc. | 22,410 | 2,619,057 | |||||
Treasury Wine Estates Ltd. | 175,080 | 1,693,814 | |||||
8,444,186 | |||||||
Biotechnology — 1.7% | |||||||
AbbVie, Inc. | 56,227 | 3,712,107 | |||||
Aimmune Therapeutics, Inc.(1) | 1,586 | 26,328 | |||||
Alder Biopharmaceuticals, Inc.(1) | 1,299 | 20,005 | |||||
Alexion Pharmaceuticals, Inc.(1) | 5,416 | 530,930 | |||||
Alkermes plc(1) | 3,519 | 203,257 | |||||
Amgen, Inc. | 34,934 | 5,423,154 | |||||
Biogen, Inc.(1) | 12,306 | 3,049,058 | |||||
Biohaven Pharmaceutical Holding Co. Ltd.(1) | 915 | 23,067 | |||||
BioMarin Pharmaceutical, Inc.(1) | 3,858 | 338,115 | |||||
Celgene Corp.(1) | 25,196 | 2,882,674 | |||||
Clovis Oncology, Inc.(1) | 627 | 32,391 | |||||
CSL Ltd. | 10,940 | 1,050,994 | |||||
Exact Sciences Corp.(1) | 1,422 | 51,860 | |||||
Exelixis, Inc.(1) | 2,725 | 50,985 | |||||
FibroGen, Inc.(1) | 1,387 | 36,478 | |||||
Flexion Therapeutics, Inc.(1) | 1,495 | 25,550 | |||||
Galapagos NV(1) | 2,317 | 192,815 | |||||
Genmab A/S(1) | 1,084 | 231,323 | |||||
Gilead Sciences, Inc. | 31,863 | 2,067,590 | |||||
Halozyme Therapeutics, Inc.(1) | 2,299 | 27,128 | |||||
Incyte Corp.(1) | 9,599 | 1,241,439 | |||||
Ironwood Pharmaceuticals, Inc.(1) | 1,735 | 30,727 |
9
Shares/ Principal Amount | Value | ||||||
Jounce Therapeutics, Inc.(1) | 485 | $ | 9,821 | ||||
Kite Pharma, Inc.(1) | 755 | 54,602 | |||||
Ligand Pharmaceuticals, Inc., Class B(1) | 311 | 33,675 | |||||
Medy-Tox, Inc. | 1,462 | 681,640 | |||||
Neurocrine Biosciences, Inc.(1) | 353 | 15,345 | |||||
Portola Pharmaceuticals, Inc.(1) | 924 | 34,049 | |||||
Prothena Corp. plc(1) | 404 | 20,608 | |||||
Puma Biotechnology, Inc.(1) | 274 | 20,961 | |||||
Radius Health, Inc.(1) | 724 | 25,065 | |||||
Regeneron Pharmaceuticals, Inc.(1) | 2,424 | 1,112,761 | |||||
Sage Therapeutics, Inc.(1) | 477 | 31,534 | |||||
Sarepta Therapeutics, Inc.(1) | 565 | 16,860 | |||||
Seegene, Inc.(1) | 9,365 | 324,965 | |||||
Shire plc | 21,050 | 1,212,755 | |||||
Spark Therapeutics, Inc.(1) | 581 | 29,590 | |||||
TESARO, Inc.(1) | 399 | 59,575 | |||||
Ultragenyx Pharmaceutical, Inc.(1) | 550 | 29,618 | |||||
24,961,399 | |||||||
Building Products — 0.8% | |||||||
Apogee Enterprises, Inc. | 1,266 | 67,452 | |||||
Continental Building Products, Inc.(1) | 1,448 | 35,331 | |||||
CSW Industrials, Inc.(1) | 5,389 | 190,232 | |||||
Daikin Industries Ltd. | 10,800 | 1,058,546 | |||||
dormakaba Holding AG | 88 | 79,455 | |||||
Fortune Brands Home & Security, Inc. | 9,596 | 605,508 | |||||
Johnson Controls International plc | 143,558 | 5,994,982 | |||||
Lennox International, Inc. | 2,740 | 485,254 | |||||
LIXIL Group Corp. | 7,800 | 189,665 | |||||
Masonite International Corp.(1) | 1,222 | 90,000 | |||||
NCI Building Systems, Inc.(1) | 5,185 | 86,330 | |||||
Nichias Corp. | 9,000 | 106,944 | |||||
Owens Corning | 26,908 | 1,679,059 | |||||
PGT Innovations, Inc.(1) | 7,039 | 80,597 | |||||
USG Corp.(1) | 8,032 | 228,430 | |||||
10,977,785 | |||||||
Capital Markets — 2.0% | |||||||
3i Group plc | 59,661 | 687,989 | |||||
Affiliated Managers Group, Inc. | 9,571 | 1,472,498 | |||||
Ameriprise Financial, Inc. | 17,125 | 2,068,529 | |||||
Ares Management LP | 6,393 | 115,394 | |||||
AURELIUS Equity Opportunities SE & Co. KGaA | 3,900 | 227,202 | |||||
Bank of New York Mellon Corp. (The) | 57,410 | 2,705,159 | |||||
BlackRock, Inc. | 1,540 | 630,230 | |||||
Brookfield Asset Management, Inc., Class A | 6,185 | 234,150 | |||||
CBOE Holdings, Inc. | 5,619 | 485,313 | |||||
Charles Schwab Corp. (The) | 28,634 | 1,109,568 | |||||
Daiwa Securities Group, Inc. | 56,000 | 340,551 |
10
Shares/ Principal Amount | Value | ||||||
Deutsche Boerse AG | 8,210 | $ | 852,915 | ||||
Evercore Partners, Inc., Class A | 25,698 | 1,742,324 | |||||
Franklin Resources, Inc. | 24,452 | 1,021,849 | |||||
Goldman Sachs Group, Inc. (The) | 11,448 | 2,418,504 | |||||
Invesco Ltd. | 99,317 | 3,148,349 | |||||
Investec plc | 28,944 | 226,741 | |||||
Janus Henderson Group plc(1) | 5,823 | 182,151 | |||||
Julius Baer Group Ltd. | 31,036 | 1,606,995 | |||||
London Stock Exchange Group plc | 33,910 | 1,496,429 | |||||
NEX Group plc | 21,490 | 178,454 | |||||
Northern Trust Corp. | 25,404 | 2,221,326 | |||||
Partners Group Holding AG | 420 | 257,364 | |||||
S&P Global, Inc. | 4,877 | 696,484 | |||||
SBI Holdings, Inc. | 21,400 | 277,089 | |||||
SEI Investments Co. | 15,598 | 781,304 | |||||
State Street Corp. | 6,379 | 519,633 | |||||
T. Rowe Price Group, Inc. | 9,365 | 659,671 | |||||
UBS Group AG | 27,148 | 431,655 | |||||
28,795,820 | |||||||
Chemicals — 1.3% | |||||||
Air Products & Chemicals, Inc. | 16,839 | 2,425,826 | |||||
Arkema SA | 12,580 | 1,314,534 | |||||
Axalta Coating Systems Ltd.(1) | 10,436 | 326,647 | |||||
BASF SE | 3,033 | 285,653 | |||||
Cabot Corp. | 31,549 | 1,647,804 | |||||
Chase Corp. | 219 | 23,104 | |||||
Chr Hansen Holding A/S | 11,420 | 799,742 | |||||
Covestro AG | 2,788 | 208,522 | |||||
Dow Chemical Co. (The) | 52,338 | 3,242,862 | |||||
E.I. du Pont de Nemours & Co. | 10,092 | 796,461 | |||||
FMC Corp. | 22,587 | 1,702,382 | |||||
Hitachi Chemical Co. Ltd. | 12,200 | 336,533 | |||||
Ingevity Corp.(1) | 9,099 | 537,478 | |||||
Innophos Holdings, Inc. | 3,111 | 131,564 | |||||
Innospec, Inc. | 1,987 | 127,168 | |||||
Kanto Denka Kogyo Co. Ltd. | 9,400 | 76,728 | |||||
Koppers Holdings, Inc.(1) | 897 | 32,337 | |||||
Lenzing AG | 840 | 150,459 | |||||
Lotte Chemical Corp. | 304 | 97,885 | |||||
LyondellBasell Industries NV, Class A | 10,932 | 880,245 | |||||
Minerals Technologies, Inc. | 1,954 | 140,590 | |||||
Mitsubishi Chemical Holdings Corp. | 72,600 | 549,662 | |||||
Mitsui Chemicals, Inc. | 34,000 | 168,849 | |||||
Monsanto Co. | 5,504 | 646,280 | |||||
PolyOne Corp. | 3,362 | 125,537 | |||||
Scotts Miracle-Gro Co. (The), Class A | 4,074 | 352,849 | |||||
Sensient Technologies Corp. | 1,858 | 149,179 |
11
Shares/ Principal Amount | Value | ||||||
Shin-Etsu Chemical Co. Ltd. | 9,800 | $ | 878,859 | ||||
Taiyo Nippon Sanso Corp. | 16,100 | 163,399 | |||||
Tosoh Corp. | 64,000 | 543,783 | |||||
Valvoline, Inc. | 2,225 | 49,773 | |||||
WR Grace & Co. | 1,484 | 106,388 | |||||
19,019,082 | |||||||
Commercial Services and Supplies — 0.3% | |||||||
ABM Industries, Inc. | 1,595 | 68,649 | |||||
Advanced Disposal Services, Inc.(1) | 5,201 | 121,287 | |||||
Brink's Co. (The) | 7,389 | 466,246 | |||||
Deluxe Corp. | 1,172 | 79,883 | |||||
Downer EDI Ltd. | 81,031 | 385,345 | |||||
G4S plc | 105,594 | 442,171 | |||||
InnerWorkings, Inc.(1) | 6,326 | 68,574 | |||||
Interface, Inc. | 2,741 | 56,328 | |||||
Intrum Justitia AB | 6,820 | 230,854 | |||||
Knoll, Inc. | 1,690 | 36,335 | |||||
Loomis AB, B Shares | 3,470 | 130,753 | |||||
Multi-Color Corp. | 2,090 | 179,531 | |||||
Rentokil Initial plc | 66,330 | 226,989 | |||||
Republic Services, Inc. | 10,158 | 646,150 | |||||
SP Plus Corp.(1) | 506 | 14,927 | |||||
Waste Management, Inc. | 14,346 | 1,045,967 | |||||
4,199,989 | |||||||
Communications Equipment — 0.6% | |||||||
ARRIS International plc(1) | 204 | 5,720 | |||||
Ciena Corp.(1) | 3,005 | 70,557 | |||||
Cisco Systems, Inc. | 198,075 | 6,245,305 | |||||
F5 Networks, Inc.(1) | 518 | 66,371 | |||||
Lumentum Holdings, Inc.(1) | 671 | 38,281 | |||||
Palo Alto Networks, Inc.(1) | 14,603 | 1,731,770 | |||||
8,158,004 | |||||||
Construction and Engineering — 0.2% | |||||||
China Railway Construction Corp. Ltd., H Shares | 341,500 | 468,916 | |||||
CIMIC Group Ltd. | 2,425 | 72,977 | |||||
Dycom Industries, Inc.(1) | 617 | 51,945 | |||||
Granite Construction, Inc. | 2,469 | 115,697 | |||||
Hyundai Development Co-Engineering & Construction | 6,123 | 281,102 | |||||
Jacobs Engineering Group, Inc. | 7,052 | 369,666 | |||||
Kier Group plc | 2,127 | 34,421 | |||||
Larsen & Toubro Ltd. | 12,468 | 340,242 | |||||
Maeda Corp. | 7,000 | 75,657 | |||||
NCC AB, B Shares | 8,498 | 237,593 | |||||
Peab AB | 16,518 | 195,942 | |||||
Toshiba Plant Systems & Services Corp. | 8,300 | 123,507 | |||||
Valmont Industries, Inc. | 746 | 109,214 | |||||
2,476,879 |
12
Shares/ Principal Amount | Value | ||||||
Construction Materials — 0.4% | |||||||
Anhui Conch Cement Co. Ltd., H Shares | 125,000 | $ | 414,659 | ||||
Buzzi Unicem SpA | 6,790 | 176,272 | |||||
Cemex SAB de CV ADR(1) | 44,658 | 369,321 | |||||
CRH plc | 49,947 | 1,798,540 | |||||
Eagle Materials, Inc. | 2,269 | 213,967 | |||||
HeidelbergCement AG | 12,490 | 1,162,859 | |||||
Summit Materials, Inc., Class A(1) | 5,005 | 134,434 | |||||
Vulcan Materials Co. | 7,897 | 984,361 | |||||
Wienerberger AG | 12,120 | 285,711 | |||||
5,540,124 | |||||||
Consumer Finance — 0.2% | |||||||
Ally Financial, Inc. | 5,495 | 101,877 | |||||
American Express Co. | 12,444 | 957,441 | |||||
Bharat Financial Inclusion Ltd.(1) | 22,135 | 252,398 | |||||
Credit Acceptance Corp.(1) | 2,134 | 458,853 | |||||
Discover Financial Services | 9,230 | 541,801 | |||||
Enova International, Inc.(1) | 4,496 | 59,797 | |||||
Green Dot Corp., Class A(1) | 1,925 | 70,724 | |||||
KRUK SA | 2,696 | 218,069 | |||||
OneMain Holdings, Inc.(1) | 5,878 | 132,608 | |||||
Srisawad Power 1979 PCL | 235,417 | 347,320 | |||||
3,140,888 | |||||||
Containers and Packaging — 0.4% | |||||||
AptarGroup, Inc. | 533 | 45,310 | |||||
Ball Corp. | 32,524 | 1,330,232 | |||||
Bemis Co., Inc. | 17,614 | 786,289 | |||||
CCL Industries, Inc., Class B | 980 | 231,555 | |||||
Graphic Packaging Holding Co. | 19,877 | 268,538 | |||||
Klabin SA | 40,800 | 213,081 | |||||
Myers Industries, Inc. | 1,459 | 24,657 | |||||
RPC Group plc | 33,074 | 365,630 | |||||
Silgan Holdings, Inc. | 6,549 | 208,324 | |||||
Smurfit Kappa Group plc | 11,953 | 336,423 | |||||
Sonoco Products Co. | 11,974 | 607,202 | |||||
WestRock Co. | 27,143 | 1,477,122 | |||||
5,894,363 | |||||||
Distributors — 0.1% | |||||||
LKQ Corp.(1) | 22,357 | 704,022 | |||||
Diversified Consumer Services — 0.1% | |||||||
AA plc | 25,066 | 75,412 | |||||
Bright Horizons Family Solutions, Inc.(1) | 2,299 | 176,379 | |||||
Capella Education Co. | 316 | 27,350 | |||||
Chegg, Inc.(1) | 9,136 | 109,632 | |||||
Kroton Educacional SA | 67,900 | 302,785 | |||||
New Oriental Education & Technology Group, Inc. ADR(1) | 6,933 | 496,888 |
13
Shares/ Principal Amount | Value | ||||||
TAL Education Group ADR | 5,604 | $ | 652,698 | ||||
1,841,144 | |||||||
Diversified Financial Services — 0.4% | |||||||
Berkshire Hathaway, Inc., Class B(1) | 9,133 | 1,509,502 | |||||
Challenger Ltd. | 43,500 | 413,407 | |||||
Compass Diversified Holdings | 11,431 | 184,611 | |||||
Industrivarden AB, C Shares | 9,753 | 230,488 | |||||
Investor AB, B Shares | 3,125 | 144,468 | |||||
Kinnevik AB, B Shares | 9,092 | 261,104 | |||||
L E Lundbergforetagen AB, B Shares | 1,244 | 97,686 | |||||
Leucadia National Corp. | 22,711 | 553,921 | |||||
ORIX Corp. | 97,900 | 1,545,185 | |||||
Pargesa Holding SA | 555 | 43,149 | |||||
4,983,521 | |||||||
Diversified Telecommunication Services — 0.7% | |||||||
AT&T, Inc. | 36,991 | 1,425,263 | |||||
Deutsche Telekom AG | 15,423 | 307,093 | |||||
Level 3 Communications, Inc.(1) | 14,844 | 883,515 | |||||
LG Uplus Corp. | 18,196 | 263,286 | |||||
Nippon Telegraph & Telephone Corp. | 14,000 | 670,989 | |||||
Orange SA | 23,529 | 413,385 | |||||
PCCW Ltd. | 396,000 | 230,713 | |||||
Swisscom AG | 1,080 | 517,838 | |||||
TDC A/S | 43,922 | 262,214 | |||||
Telefonica SA | 67,484 | 751,562 | |||||
Telekomunikasi Indonesia Persero Tbk PT | 1,098,700 | 358,810 | |||||
Telstra Corp. Ltd. | 77,544 | 253,524 | |||||
Verizon Communications, Inc. | 71,152 | 3,318,529 | |||||
9,656,721 | |||||||
Electric Utilities — 0.9% | |||||||
ALLETE, Inc. | 1,906 | 139,881 | |||||
Edison International | 30,405 | 2,480,136 | |||||
EDP - Energias de Portugal SA | 160,732 | 591,148 | |||||
Endesa SA | 34,715 | 866,320 | |||||
Enel SpA | 49,317 | 263,594 | |||||
Eversource Energy | 5,708 | 354,296 | |||||
FirstEnergy Corp. | 53,162 | 1,554,457 | |||||
PG&E Corp. | 30,900 | 2,112,942 | |||||
Pinnacle West Capital Corp. | 6,512 | 575,335 | |||||
PPL Corp. | 45,617 | 1,820,574 | |||||
Spark Energy, Inc., Class A | 366 | 16,049 | |||||
Tata Power Co. Ltd. (The) | 104,840 | 131,619 | |||||
Westar Energy, Inc. | 6,090 | 322,465 | |||||
Xcel Energy, Inc. | 47,460 | 2,273,809 | |||||
13,502,625 | |||||||
Electrical Equipment — 0.5% | |||||||
ABB Ltd. | 14,103 | 354,268 |
14
Shares/ Principal Amount | Value | ||||||
AMETEK, Inc. | 8,190 | $ | 499,754 | ||||
Eaton Corp. plc | 24,958 | 1,931,250 | |||||
Emerson Electric Co. | 13,766 | 813,846 | |||||
Furukawa Electric Co. Ltd. | 3,000 | 134,221 | |||||
Generac Holdings, Inc.(1) | 1,513 | 52,425 | |||||
Havells India Ltd. | 49,903 | 376,980 | |||||
Hubbell, Inc. | 8,469 | 981,642 | |||||
Mabuchi Motor Co. Ltd. | 3,800 | 214,104 | |||||
Melrose Industries plc | 138,891 | 428,148 | |||||
Nexans SA | 3,993 | 218,378 | |||||
Rockwell Automation, Inc. | 3,761 | 596,946 | |||||
Schneider Electric SE | 1,096 | 84,410 | |||||
Thermon Group Holdings, Inc.(1) | 1,521 | 28,169 | |||||
Vestas Wind Systems A/S | 8,444 | 750,484 | |||||
7,465,025 | |||||||
Electronic Equipment, Instruments and Components — 0.8% | |||||||
AAC Technologies Holdings, Inc. | 37,500 | 397,495 | |||||
Alps Electric Co. Ltd. | 5,500 | 154,447 | |||||
Anritsu Corp. | 12,700 | 109,856 | |||||
AVX Corp. | 2,238 | 36,636 | |||||
Belden, Inc. | 480 | 34,080 | |||||
CDW Corp. | 10,581 | 636,765 | |||||
Coherent, Inc.(1) | 424 | 105,216 | |||||
Dolby Laboratories, Inc., Class A | 15,142 | 763,005 | |||||
Fabrinet(1) | 929 | 32,729 | |||||
Hexagon AB, B Shares | 26,490 | 1,160,313 | |||||
IPG Photonics Corp.(1) | 206 | 28,642 | |||||
KCE Electronics PCL | 65,700 | 208,326 | |||||
Keyence Corp. | 2,700 | 1,226,519 | |||||
Keysight Technologies, Inc.(1) | 24,400 | 942,816 | |||||
Largan Precision Co. Ltd. | 1,000 | 157,917 | |||||
National Instruments Corp. | 5,426 | 207,002 | |||||
Omron Corp. | 10,371 | 433,569 | |||||
Orbotech Ltd.(1) | 1,892 | 67,507 | |||||
OSI Systems, Inc.(1) | 1,635 | 129,476 | |||||
Sunny Optical Technology Group Co. Ltd. | 62,000 | 482,948 | |||||
TE Connectivity Ltd. | 30,080 | 2,371,808 | |||||
Tongda Group Holdings Ltd. | 690,000 | 196,572 | |||||
Topcon Corp. | 7,500 | 136,998 | |||||
Trimble, Inc.(1) | 17,194 | 619,672 | |||||
TTM Technologies, Inc.(1) | 4,470 | 72,593 | |||||
VeriFone Systems, Inc.(1) | 6,818 | 124,701 | |||||
10,837,608 | |||||||
Energy Equipment and Services — 1.0% | |||||||
Baker Hughes, Inc. | 71,477 | 3,941,957 | |||||
Basic Energy Services, Inc.(1) | 1,064 | 29,249 | |||||
Dril-Quip, Inc.(1) | 24,579 | 1,219,118 |
15
Shares/ Principal Amount | Value | ||||||
Halliburton Co. | 15,147 | $ | 684,493 | ||||
Helix Energy Solutions Group, Inc.(1) | 3,471 | 17,286 | |||||
Helmerich & Payne, Inc. | 15,718 | 827,710 | |||||
Keane Group, Inc.(1) | 2,088 | 32,113 | |||||
Mammoth Energy Services, Inc.(1) | 2,432 | 44,189 | |||||
National Oilwell Varco, Inc. | 24,793 | 809,987 | |||||
Petrofac Ltd. | 18,716 | 91,636 | |||||
Rowan Cos. plc(1) | 12,105 | 145,744 | |||||
Schlumberger Ltd. | 73,628 | 5,123,772 | |||||
Subsea 7 SA | 42,346 | 608,931 | |||||
TechnipFMC plc(1) | 4,683 | 135,573 | |||||
TMK PJSC | 150,026 | 216,866 | |||||
Trican Well Service Ltd.(1) | 48,170 | 142,993 | |||||
14,071,617 | |||||||
Equity Real Estate Investment Trusts (REITs) — 2.5% | |||||||
Activia Properties, Inc. | 70 | 322,980 | |||||
Alexandria Real Estate Equities, Inc. | 6,573 | 766,938 | |||||
American Homes 4 Rent, Class A | 3,080 | 69,208 | |||||
American Tower Corp. | 6,588 | 864,280 | |||||
Apartment Investment & Management Co., Class A | 13,228 | 567,746 | |||||
Armada Hoffler Properties, Inc. | 5,036 | 66,526 | |||||
Ascendas Real Estate Investment Trust | 156,300 | 295,961 | |||||
AvalonBay Communities, Inc. | 5,205 | 995,404 | |||||
Boston Properties, Inc. | 6,850 | 831,042 | |||||
British Land Co. plc (The) | 46,034 | 376,041 | |||||
BWP Trust | 19,670 | 44,432 | |||||
Canadian Apartment Properties REIT | 5,838 | 144,691 | |||||
Care Capital Properties, Inc. | 33,291 | 875,220 | |||||
CareTrust REIT, Inc. | 3,344 | 61,028 | |||||
Charter Hall Group | 71,255 | 301,263 | |||||
Chatham Lodging Trust | 1,259 | 24,991 | |||||
Colony Starwood Homes | 19,481 | 673,458 | |||||
Community Healthcare Trust, Inc. | 2,080 | 51,376 | |||||
Corporate Office Properties Trust | 2,595 | 87,529 | |||||
Crown Castle International Corp. | 6,931 | 704,536 | |||||
CyrusOne, Inc. | 8,749 | 492,219 | |||||
Daiwa House REIT Investment Corp. | 151 | 388,851 | |||||
Derwent London plc | 4,267 | 152,070 | |||||
Dexus | 73,840 | 570,066 | |||||
DiamondRock Hospitality Co. | 2,720 | 30,165 | |||||
Digital Realty Trust, Inc. | 3,738 | 441,794 | |||||
Duke Realty Corp. | 6,608 | 189,451 | |||||
DuPont Fabros Technology, Inc. | 6,462 | 353,019 | |||||
Empire State Realty Trust, Inc. | 34,229 | 711,963 | |||||
EPR Properties | 314 | 22,266 | |||||
Equinix, Inc. | 3,413 | 1,505,167 | |||||
Equity Residential | 21,096 | 1,373,139 |
16
Shares/ Principal Amount | Value | ||||||
Essex Property Trust, Inc. | 3,470 | $ | 891,512 | ||||
Extra Space Storage, Inc. | 9,752 | 755,487 | |||||
Four Corners Property Trust, Inc. | 1,349 | 33,212 | |||||
Gaming and Leisure Properties, Inc. | 17,114 | 628,255 | |||||
Gecina SA | 3,427 | 526,834 | |||||
GGP, Inc. | 15,026 | 334,779 | |||||
Goodman Group | 80,007 | 505,318 | |||||
Healthcare Trust of America, Inc., Class A | 7,709 | 236,589 | |||||
Hudson Pacific Properties, Inc. | 13,012 | 426,273 | |||||
Hulic Reit, Inc. | 219 | 362,265 | |||||
Kite Realty Group Trust | 9,010 | 161,910 | |||||
Lexington Realty Trust | 3,977 | 38,219 | |||||
Link REIT | 64,000 | 505,098 | |||||
MedEquities Realty Trust, Inc. | 7,848 | 91,665 | |||||
Medical Properties Trust, Inc. | 4,468 | 57,861 | |||||
Merlin Properties Socimi SA | 23,708 | 300,679 | |||||
MGM Growth Properties LLC, Class A | 31,903 | 898,069 | |||||
Mirvac Group | 23,104 | 39,142 | |||||
National Health Investors, Inc. | 1,074 | 81,108 | |||||
Nippon Building Fund, Inc. | 41 | 218,420 | |||||
Orix JREIT, Inc. | 129 | 204,303 | |||||
Paramount Group, Inc. | 21,808 | 336,279 | |||||
Physicians Realty Trust | 12,353 | 251,260 | |||||
Piedmont Office Realty Trust, Inc., Class A | 30,975 | 656,360 | |||||
Prologis, Inc. | 17,675 | 981,670 | |||||
PS Business Parks, Inc. | 470 | 59,352 | |||||
Pure Industrial Real Estate Trust | 41,698 | 208,976 | |||||
QTS Realty Trust, Inc., Class A | 2,174 | 113,526 | |||||
Rayonier, Inc. | 9,401 | 264,074 | |||||
Regency Centers Corp. | 6,547 | 398,450 | |||||
RLJ Lodging Trust | 1,443 | 29,365 | |||||
Sabra Health Care REIT, Inc. | 2,665 | 62,441 | |||||
Safestore Holdings plc | 56,243 | 318,852 | |||||
SBA Communications Corp.(1) | 14,111 | 1,949,858 | |||||
Scentre Group | 132,871 | 420,589 | |||||
Segro plc | 124,959 | 809,848 | |||||
Simon Property Group, Inc. | 5,093 | 785,595 | |||||
Summit Hotel Properties, Inc. | 3,054 | 54,667 | |||||
Sun Communities, Inc. | 408 | 35,145 | |||||
Sunstone Hotel Investors, Inc. | 25,491 | 397,915 | |||||
UDR, Inc. | 2,287 | 88,301 | |||||
Unibail-Rodamco SE | 2,468 | 636,688 | |||||
UNITE Group plc (The) | 22,702 | 184,278 | |||||
Urban Edge Properties | 8,478 | 202,116 | |||||
Urstadt Biddle Properties, Inc., Class A | 2,297 | 43,000 | |||||
Ventas, Inc. | 14,817 | 985,182 | |||||
Welltower, Inc. | 10,355 | 751,152 |
17
Shares/ Principal Amount | Value | ||||||
Westfield Corp. | 21,030 | $ | 132,511 | ||||
Weyerhaeuser Co. | 44,438 | 1,464,676 | |||||
WP Carey, Inc. | 27,659 | 1,804,197 | |||||
36,078,141 | |||||||
Food and Staples Retailing — 1.4% | |||||||
Ain Holdings, Inc. | 1,600 | 128,722 | |||||
Axfood AB | 3,426 | 57,314 | |||||
BIM Birlesik Magazalar AS | 18,180 | 323,364 | |||||
Costco Wholesale Corp. | 3,045 | 549,409 | |||||
CP ALL PCL | 163,700 | 300,389 | |||||
CVS Health Corp. | 57,258 | 4,399,132 | |||||
GS Retail Co. Ltd. | 7,641 | 382,869 | |||||
Jeronimo Martins SGPS SA | 53,400 | 1,062,967 | |||||
Kroger Co. (The) | 19,861 | 591,461 | |||||
METRO AG | 3,823 | 127,978 | |||||
President Chain Store Corp. | 48,000 | 429,270 | |||||
Raia Drogasil SA | 10,500 | 233,560 | |||||
Sysco Corp. | 12,414 | 677,308 | |||||
Wal-Mart Stores, Inc. | 95,534 | 7,508,972 | |||||
Walgreens Boots Alliance, Inc. | 31,331 | 2,538,438 | |||||
X5 Retail Group NV GDR(1) | 14,774 | 534,819 | |||||
19,845,972 | |||||||
Food Products — 1.3% | |||||||
a2 Milk Co. Ltd.(1) | 77,200 | 182,416 | |||||
Associated British Foods plc | 19,400 | 748,878 | |||||
Blue Buffalo Pet Products, Inc.(1) | 16,136 | 379,035 | |||||
Bunge Ltd. | 8,029 | 642,079 | |||||
Calbee, Inc. | 32,600 | 1,262,790 | |||||
Campbell Soup Co. | 29,973 | 1,727,943 | |||||
Conagra Brands, Inc. | 31,654 | 1,219,945 | |||||
Dean Foods Co. | 37,692 | 687,502 | |||||
General Mills, Inc. | 26,126 | 1,482,389 | |||||
Glanbia plc | 5,500 | 111,829 | |||||
Hormel Foods Corp. | 19,598 | 659,081 | |||||
Hostess Brands, Inc.(1) | 4,597 | 72,357 | |||||
Indofood Sukses Makmur Tbk PT | 687,200 | 451,426 | |||||
J.M. Smucker Co. (The) | 4,822 | 616,493 | |||||
John B Sanfilippo & Son, Inc. | 483 | 31,284 | |||||
Kellogg Co. | 9,710 | 695,236 | |||||
Lamb Weston Holdings, Inc. | 5,346 | 248,108 | |||||
Mead Johnson Nutrition Co. | 3,849 | 344,178 | |||||
Mondelez International, Inc., Class A | 70,342 | 3,277,234 | |||||
Nestle SA | 2,072 | 176,811 | |||||
Premium Brands Holdings Corp. | 3,180 | 217,352 | |||||
TreeHouse Foods, Inc.(1) | 9,804 | 756,673 | |||||
Tyson Foods, Inc., Class A | 33,293 | 1,909,021 | |||||
17,900,060 |
18
Shares/ Principal Amount | Value | ||||||
Gas Utilities — 0.2% | |||||||
Atmos Energy Corp. | 5,905 | $ | 491,946 | ||||
China Gas Holdings Ltd. | 182,000 | 277,465 | |||||
National Fuel Gas Co. | 19,070 | 1,082,413 | |||||
Spire, Inc. | 8,670 | 614,269 | |||||
2,466,093 | |||||||
Health Care Equipment and Supplies — 2.1% | |||||||
Abbott Laboratories | 44,451 | 2,029,633 | |||||
Ambu A/S, B Shares | 1,147 | 76,912 | |||||
Baxter International, Inc. | 26,766 | 1,587,492 | |||||
Becton Dickinson and Co. | 13,797 | 2,610,806 | |||||
BioMerieux | 1,260 | 265,391 | |||||
Cooper Cos., Inc. (The) | 1,349 | 295,094 | |||||
CR Bard, Inc. | 2,863 | 880,172 | |||||
Danaher Corp. | 9,093 | 772,359 | |||||
Edwards Lifesciences Corp.(1) | 12,327 | 1,418,468 | |||||
Essilor International SA | 6,242 | 829,864 | |||||
Hill-Rom Holdings, Inc. | 216 | 16,710 | |||||
Hologic, Inc.(1) | 61,294 | 2,654,643 | |||||
Intuitive Surgical, Inc.(1) | 1,897 | 1,735,148 | |||||
Ion Beam Applications | 2,638 | 160,053 | |||||
Masimo Corp.(1) | 737 | 64,149 | |||||
Medtronic plc | 66,753 | 5,625,943 | |||||
Merit Medical Systems, Inc.(1) | 3,855 | 136,853 | |||||
Nevro Corp.(1) | 6,206 | 427,159 | |||||
NuVasive, Inc.(1) | 8,578 | 643,607 | |||||
STERIS plc | 7,215 | 559,595 | |||||
Sysmex Corp. | 12,000 | 712,957 | |||||
Teleflex, Inc. | 5,023 | 1,004,700 | |||||
Utah Medical Products, Inc. | 924 | 62,093 | |||||
Varex Imaging Corp.(1) | 2,238 | 76,875 | |||||
West Pharmaceutical Services, Inc. | 6,455 | 626,264 | |||||
Zimmer Biomet Holdings, Inc. | 45,702 | 5,448,135 | |||||
30,721,075 | |||||||
Health Care Providers and Services — 1.3% | |||||||
Acadia Healthcare Co., Inc.(1) | 1,836 | 75,900 | |||||
Ambea AB(1) | 12,388 | 130,773 | |||||
Amedisys, Inc.(1) | 9,204 | 551,504 | |||||
American Renal Associates Holdings, Inc.(1) | 2,612 | 42,314 | |||||
AMN Healthcare Services, Inc.(1) | 3,858 | 139,853 | |||||
Anthem, Inc. | 12,899 | 2,352,133 | |||||
Cardinal Health, Inc. | 17,370 | 1,290,417 | |||||
Chartwell Retirement Residences | 11,703 | 139,308 | |||||
Cigna Corp. | 2,106 | 339,550 | |||||
CVS Group plc | 13,550 | 245,641 | |||||
Express Scripts Holding Co.(1) | 20,767 | 1,240,828 | |||||
Fresenius Medical Care AG & Co. KGaA | 9,530 | 911,682 |
19
Shares/ Principal Amount | Value | ||||||
HCA Healthcare, Inc.(1) | 17,501 | $ | 1,433,507 | ||||
HealthEquity, Inc.(1) | 2,498 | 114,408 | |||||
Humana, Inc. | 4,113 | 955,285 | |||||
LifePoint Health, Inc.(1) | 16,044 | 975,475 | |||||
McKesson Corp. | 7,348 | 1,198,385 | |||||
Miraca Holdings, Inc. | 10,400 | 437,129 | |||||
Owens & Minor, Inc. | 2,495 | 79,541 | |||||
PharMerica Corp.(1) | 1,314 | 32,456 | |||||
Providence Service Corp. (The)(1) | 1,855 | 86,703 | |||||
Quest Diagnostics, Inc. | 10,737 | 1,167,864 | |||||
Tivity Health, Inc.(1) | 4,667 | 158,445 | |||||
UnitedHealth Group, Inc. | 24,974 | 4,374,945 | |||||
Universal Health Services, Inc., Class B | 4,404 | 500,559 | |||||
18,974,605 | |||||||
Health Care Technology — 0.1% | |||||||
Cerner Corp.(1) | 11,268 | 736,364 | |||||
CompuGroup Medical SE | 2,183 | 124,036 | |||||
Cotiviti Holdings, Inc.(1) | 2,420 | 92,275 | |||||
Evolent Health, Inc., Class A(1) | 4,228 | 97,033 | |||||
RaySearch Laboratories AB(1) | 6,411 | 176,292 | |||||
Veeva Systems, Inc., Class A(1) | 2,625 | 166,792 | |||||
1,392,792 | |||||||
Hotels, Restaurants and Leisure — 1.3% | |||||||
Accor SA | 17,740 | 842,266 | |||||
Alsea SAB de CV | 87,912 | 317,070 | |||||
Aramark | 8,145 | 303,483 | |||||
Carnival Corp. | 53,447 | 3,424,349 | |||||
Carnival plc | 10,270 | 657,650 | |||||
Cedar Fair LP | 1,641 | 116,544 | |||||
China Lodging Group Ltd. ADR(1) | 6,822 | 521,201 | |||||
Chipotle Mexican Grill, Inc.(1) | 3,458 | 1,650,676 | |||||
Churchill Downs, Inc. | 1,338 | 224,316 | |||||
ClubCorp Holdings, Inc. | 14,760 | 196,308 | |||||
Compass Group plc | 46,140 | 992,800 | |||||
Corporate Travel Management Ltd. | 7,060 | 115,568 | |||||
Darden Restaurants, Inc. | 35,398 | 3,147,944 | |||||
Elior Group | 1,540 | 43,630 | |||||
Hilton Worldwide Holdings, Inc. | 12,568 | 835,395 | |||||
Jack in the Box, Inc. | 391 | 41,673 | |||||
Las Vegas Sands Corp. | 22,190 | 1,312,095 | |||||
McDonald's Corp. | 261 | 39,382 | |||||
MGM Resorts International | 24,364 | 772,826 | |||||
Minor International PCL | 350,300 | 385,680 | |||||
NH Hotel Group SA(1) | 15,790 | 92,413 | |||||
Papa John's International, Inc. | 5,625 | 453,206 | |||||
Planet Fitness, Inc., Class A | 4,237 | 92,578 | |||||
Red Robin Gourmet Burgers, Inc.(1) | 1,072 | 77,264 |
20
Shares/ Principal Amount | Value | ||||||
Royal Caribbean Cruises Ltd. | 9,607 | $ | 1,058,499 | ||||
Sands China Ltd. | 109,200 | 503,781 | |||||
Texas Roadhouse, Inc. | 902 | 44,126 | |||||
Vail Resorts, Inc. | 2,625 | 561,488 | |||||
18,824,211 | |||||||
Household Durables — 0.4% | |||||||
Cairn Homes plc(1) | 156,895 | 280,234 | |||||
DR Horton, Inc. | 4,607 | 150,603 | |||||
Electrolux AB, Series B | 27,769 | 891,724 | |||||
Garmin Ltd. | 6,653 | 346,222 | |||||
Haier Electronics Group Co. Ltd. | 253,000 | 643,494 | |||||
Installed Building Products, Inc.(1) | 1,812 | 89,875 | |||||
Mohawk Industries, Inc.(1) | 2,074 | 496,308 | |||||
Newell Brands, Inc. | 37,520 | 1,986,684 | |||||
NVR, Inc.(1) | 286 | 652,761 | |||||
PulteGroup, Inc. | 23,769 | 538,843 | |||||
SEB SA | 1,169 | 205,121 | |||||
6,281,869 | |||||||
Household Products — 0.7% | |||||||
Church & Dwight Co., Inc. | 14,753 | 762,140 | |||||
Kimberly-Clark Corp. | 14,808 | 1,921,042 | |||||
Procter & Gamble Co. (The) | 59,414 | 5,233,779 | |||||
Reckitt Benckiser Group plc | 7,720 | 789,580 | |||||
Spectrum Brands Holdings, Inc. | 14,709 | 1,977,625 | |||||
10,684,166 | |||||||
Independent Power and Renewable Electricity Producers† | |||||||
eRex Co. Ltd. | 9,100 | 86,111 | |||||
Uniper SE(1) | 18,461 | 359,911 | |||||
446,022 | |||||||
Industrial Conglomerates — 0.9% | |||||||
3M Co. | 8,552 | 1,748,628 | |||||
Carlisle Cos., Inc. | 17,958 | 1,819,684 | |||||
DCC plc | 3,332 | 316,617 | |||||
General Electric Co. | 191,720 | 5,249,294 | |||||
Honeywell International, Inc. | 14,597 | 1,941,255 | |||||
Koninklijke Philips NV | 24,135 | 852,945 | |||||
Siemens AG | 8,377 | 1,195,578 | |||||
13,124,001 | |||||||
Insurance — 2.0% | |||||||
Aflac, Inc. | 17,960 | 1,353,825 | |||||
AIA Group Ltd. | 238,200 | 1,688,863 | |||||
Allianz SE | 8,473 | 1,626,650 | |||||
Allied World Assurance Co. Holdings AG | 1,910 | 100,409 | |||||
Allstate Corp. (The) | 22,806 | 1,969,070 | |||||
Arthur J Gallagher & Co. | 4,946 | 280,587 | |||||
Atlas Financial Holdings, Inc.(1) | 979 | 14,685 | |||||
Aviva plc | 189,038 | 1,278,722 |
21
Shares/ Principal Amount | Value | ||||||
AXA SA | 24,186 | $ | 645,000 | ||||
Brown & Brown, Inc. | 11,399 | 495,059 | |||||
Chubb Ltd. | 26,262 | 3,760,456 | |||||
CNP Assurances | 37,882 | 833,221 | |||||
Dai-ichi Life Holdings, Inc. | 6,900 | 114,917 | |||||
Discovery Ltd. | 42,787 | 417,985 | |||||
Everest Re Group Ltd. | 4,539 | 1,155,856 | |||||
Hannover Rueck SE | 5,066 | 603,234 | |||||
Hanover Insurance Group, Inc. (The) | 2,902 | 241,998 | |||||
Infinity Property & Casualty Corp. | 259 | 24,799 | |||||
James River Group Holdings Ltd. | 4,031 | 159,789 | |||||
Kinsale Capital Group, Inc. | 2,274 | 82,410 | |||||
Legal & General Group plc | 42,764 | 138,740 | |||||
Lincoln National Corp. | 3,580 | 232,628 | |||||
Loews Corp. | 6,245 | 294,514 | |||||
Mapfre SA | 139,750 | 497,024 | |||||
MetLife, Inc. | 23,169 | 1,172,120 | |||||
Muenchener Rueckversicherungs-Gesellschaft AG | 1,203 | 237,507 | |||||
NN Group NV | 7,928 | 284,989 | |||||
Old Republic International Corp. | 25,156 | 497,586 | |||||
Ping An Insurance Group Co. of China Ltd., H Shares | 109,500 | 701,892 | |||||
ProAssurance Corp. | 6,064 | 361,111 | |||||
Reinsurance Group of America, Inc. | 5,607 | 698,128 | |||||
RLI Corp. | 2,451 | 136,129 | |||||
SCOR SE | 2,099 | 82,633 | |||||
Sompo Holdings, Inc. | 2,900 | 111,915 | |||||
Sony Financial Holdings, Inc. | 6,800 | 104,686 | |||||
St. James's Place plc | 58,580 | 885,350 | |||||
Storebrand ASA | 19,050 | 124,343 | |||||
Swiss Re AG | 11,096 | 1,011,591 | |||||
Torchmark Corp. | 3,658 | 276,179 | |||||
Travelers Cos., Inc. (The) | 10,544 | 1,316,418 | |||||
Trisura Group Ltd.(1)(4) | 36 | 555 | |||||
UnipolSai Assicurazioni SpA | 81,411 | 184,369 | |||||
Unum Group | 16,538 | 743,879 | |||||
Validus Holdings Ltd. | 12,061 | 644,057 | |||||
Zurich Insurance Group AG | 4,135 | 1,215,461 | |||||
28,801,339 | |||||||
Internet and Direct Marketing Retail — 1.4% | |||||||
Amazon.com, Inc.(1) | 12,116 | 12,050,816 | |||||
ASOS plc(1) | 16,402 | 1,356,115 | |||||
Ctrip.com International Ltd. ADR(1) | 8,314 | 454,360 | |||||
Expedia, Inc. | 13,142 | 1,889,557 | |||||
Priceline Group, Inc. (The)(1) | 76 | 142,659 | |||||
Rakuten, Inc. | 60,800 | 738,933 | |||||
Shutterfly, Inc.(1) | 3,242 | 160,447 | |||||
Start Today Co. Ltd. | 56,000 | 1,397,598 |
22
Shares/ Principal Amount | Value | ||||||
Zalando SE(1) | 27,553 | $ | 1,315,754 | ||||
19,506,239 | |||||||
Internet Software and Services — 2.8% | |||||||
2U, Inc.(1) | 2,900 | 123,975 | |||||
Alarm.com Holdings, Inc.(1) | 2,851 | 92,800 | |||||
Alibaba Group Holding Ltd. ADR(1) | 28,838 | 3,531,501 | |||||
Alphabet, Inc., Class A(1) | 18,372 | 18,134,818 | |||||
Carbonite, Inc.(1) | 318 | 5,915 | |||||
CoStar Group, Inc.(1) | 1,987 | 519,740 | |||||
Criteo SA ADR(1) | 12,960 | 679,493 | |||||
eBay, Inc.(1) | 9,525 | 326,708 | |||||
Facebook, Inc., Class A(1) | 53,533 | 8,108,108 | |||||
Five9, Inc.(1) | 4,542 | 102,059 | |||||
j2 Global, Inc. | 852 | 72,096 | |||||
Just Eat plc(1) | 20,920 | 180,999 | |||||
LogMeIn, Inc. | 8,903 | 988,233 | |||||
Mixi, Inc. | 700 | 43,928 | |||||
Momo, Inc. ADR(1) | 5,535 | 210,551 | |||||
NAVER Corp. | 408 | 307,931 | |||||
Q2 Holdings, Inc.(1) | 2,884 | 114,206 | |||||
Shopify, Inc., Class A(1) | 1,349 | 123,919 | |||||
Stamps.com, Inc.(1) | 118 | 16,272 | |||||
Tencent Holdings Ltd. | 126,500 | 4,344,072 | |||||
VeriSign, Inc.(1) | 8,016 | 722,723 | |||||
Weibo Corp. ADR(1) | 3,899 | 286,693 | |||||
Wix.com Ltd.(1) | 828 | 61,024 | |||||
Yandex NV, A Shares(1) | 44,648 | 1,182,279 | |||||
40,280,043 | |||||||
IT Services — 1.3% | |||||||
Accenture plc, Class A | 336 | 41,822 | |||||
Acxiom Corp.(1) | 3,815 | 99,953 | |||||
Alliance Data Systems Corp. | 3,433 | 827,799 | |||||
Amadeus IT Group SA, A Shares | 5,190 | 302,295 | |||||
Booz Allen Hamilton Holding Corp. | 24,165 | 953,068 | |||||
CSG Systems International, Inc. | 3,505 | 139,814 | |||||
CSRA, Inc. | 4,998 | 150,740 | |||||
DXC Technology Co.(1) | 14,739 | 1,142,567 | |||||
EVERTEC, Inc. | 9,645 | 159,142 | |||||
Fidelity National Information Services, Inc. | 14,779 | 1,269,073 | |||||
First Data Corp., Class A(1) | 30,737 | 526,525 | |||||
Fiserv, Inc.(1) | 13,299 | 1,666,099 | |||||
Global Payments, Inc. | 7,561 | 692,663 | |||||
GMO Payment Gateway, Inc. | 2,400 | 139,774 | |||||
International Business Machines Corp. | 23,000 | 3,510,490 | |||||
Jack Henry & Associates, Inc. | 2,266 | 240,672 | |||||
MAXIMUS, Inc. | 450 | 27,936 | |||||
My EG Services Bhd | 714,200 | 353,763 |
23
Shares/ Principal Amount | Value | ||||||
Presidio, Inc.(1) | 4,419 | $ | 67,920 | ||||
Science Applications International Corp. | 1,374 | 104,410 | |||||
Teradata Corp.(1) | 6,333 | 172,638 | |||||
Vakrangee Ltd. | 56,799 | 321,233 | |||||
Vantiv, Inc., Class A(1) | 13,303 | 834,364 | |||||
Visa, Inc., Class A | 35,591 | 3,389,331 | |||||
Worldpay Group plc | 315,969 | 1,264,485 | |||||
18,398,576 | |||||||
Leisure Products — 0.3% | |||||||
Brunswick Corp. | 33,678 | 1,861,046 | |||||
Malibu Boats, Inc., Class A(1) | 1,719 | 41,686 | |||||
Mattel, Inc. | 63,666 | 1,458,588 | |||||
MCBC Holdings, Inc. | 3,354 | 64,497 | |||||
Sega Sammy Holdings, Inc. | 21,100 | 267,680 | |||||
3,693,497 | |||||||
Life Sciences Tools and Services — 0.4% | |||||||
Agilent Technologies, Inc. | 15,860 | 956,993 | |||||
Bio-Techne Corp. | 5,560 | 623,165 | |||||
Eurofins Scientific SE | 225 | 119,489 | |||||
Illumina, Inc.(1) | 4,877 | 864,985 | |||||
Lonza Group AG | 7,968 | 1,650,282 | |||||
PRA Health Sciences, Inc.(1) | 1,560 | 112,710 | |||||
Waters Corp.(1) | 3,944 | 708,421 | |||||
5,036,045 | |||||||
Machinery — 1.8% | |||||||
Airtac International Group | 21,000 | 231,790 | |||||
Cargotec Oyj, B Shares | 5,221 | 310,845 | |||||
Caterpillar, Inc. | 6,388 | 673,487 | |||||
CIRCOR International, Inc. | 1,103 | 71,099 | |||||
Cummins, Inc. | 22,162 | 3,494,947 | |||||
DMG Mori Co. Ltd. | 6,000 | 94,375 | |||||
Donaldson Co., Inc. | 5,378 | 257,929 | |||||
EnPro Industries, Inc. | 3,643 | 243,389 | |||||
FANUC Corp. | 4,000 | 786,275 | |||||
Fortive Corp. | 2,311 | 144,322 | |||||
Gardner Denver Holdings, Inc.(1) | 2,054 | 47,098 | |||||
Global Brass & Copper Holdings, Inc. | 4,344 | 131,623 | |||||
Graham Corp. | 1,561 | 32,672 | |||||
Harsco Corp.(1) | 4,263 | 63,519 | |||||
Hitachi Construction Machinery Co. Ltd. | 6,900 | 160,055 | |||||
Industria Macchine Automatiche SpA | 1,410 | 126,001 | |||||
Ingersoll-Rand plc | 39,687 | 3,555,955 | |||||
ITT, Inc. | 4,473 | 170,019 | |||||
John Bean Technologies Corp. | 6,340 | 547,142 | |||||
Kennametal, Inc. | 12,212 | 469,796 | |||||
KION Group AG | 3,854 | 285,134 | |||||
Komatsu Ltd. | 37,500 | 891,704 |
24
Shares/ Principal Amount | Value | ||||||
Konecranes Oyj, Class B | 4,762 | $ | 196,483 | ||||
Middleby Corp. (The)(1) | 8,443 | 1,083,743 | |||||
NSK Ltd. | 23,300 | 277,707 | |||||
Oshkosh Corp. | 10,942 | 690,659 | |||||
Parker-Hannifin Corp. | 14,255 | 2,244,735 | |||||
Rexnord Corp.(1) | 2,847 | 64,912 | |||||
Sandvik AB | 96,032 | 1,504,885 | |||||
SKF AB, B Shares | 16,364 | 334,758 | |||||
Snap-on, Inc. | 9,507 | 1,536,902 | |||||
Stanley Black & Decker, Inc. | 1,560 | 214,718 | |||||
Timken Co. (The) | 3,318 | 153,126 | |||||
Toro Co. (The) | 17,614 | 1,206,383 | |||||
WABCO Holdings, Inc.(1) | 11,079 | 1,349,644 | |||||
Wabtec Corp. | 10,248 | 837,774 | |||||
Weichai Power Co. Ltd., H Shares | 167,000 | 270,884 | |||||
Weir Group plc (The) | 41,060 | 960,733 | |||||
Woodward, Inc. | 954 | 64,986 | |||||
25,782,208 | |||||||
Marine — 0.1% | |||||||
AP Moller - Maersk A/S, B Shares | 470 | 895,076 | |||||
Media — 1.3% | |||||||
AMC Entertainment Holdings, Inc., Class A | 1,973 | 44,393 | |||||
Charter Communications, Inc., Class A(1) | 857 | 296,136 | |||||
Cineworld Group plc | 24,820 | 229,612 | |||||
Comcast Corp., Class A | 91,183 | 3,801,419 | |||||
CyberAgent, Inc. | 23,400 | 845,147 | |||||
DISH Network Corp., Class A(1) | 31,739 | 2,023,996 | |||||
Emerald Expositions Events, Inc.(1) | 1,309 | 26,808 | |||||
Entravision Communications Corp., Class A | 34,154 | 196,385 | |||||
Gray Television, Inc.(1) | 3,757 | 45,272 | |||||
Liberty Media Corp-Liberty Formula One, Class C(1) | 8,498 | 282,983 | |||||
Madison Square Garden Co. (The)(1) | 228 | 44,553 | |||||
Metropole Television SA | 4,864 | 115,836 | |||||
MSG Networks, Inc., Class A(1) | 16,456 | 346,399 | |||||
Naspers Ltd., N Shares | 5,021 | 1,039,636 | |||||
Omnicom Group, Inc. | 21,733 | 1,819,487 | |||||
ProSiebenSat.1 Media SE | 16,327 | 693,195 | |||||
Publicis Groupe SA | 13,930 | 1,066,429 | |||||
RTL Group SA | 3,058 | 237,991 | |||||
Scripps Networks Interactive, Inc., Class A | 5,491 | 363,614 | |||||
Sirius XM Holdings, Inc. | 101,408 | 532,392 | |||||
Time Warner, Inc. | 9,163 | 911,627 | |||||
Townsquare Media, Inc.(1) | 2,150 | 21,629 | |||||
Twenty-First Century Fox, Inc., Class A | 79,771 | 2,163,390 | |||||
Vector, Inc. | 100 | 1,467 | |||||
Walt Disney Co. (The) | 10,908 | 1,177,410 | |||||
18,327,206 |
25
Shares/ Principal Amount | Value | ||||||
Metals and Mining — 0.6% | |||||||
Anglo American plc(1) | 14,804 | $ | 196,751 | ||||
Barrick Gold Corp. | 93,430 | 1,545,332 | |||||
BHP Billiton plc | 5,642 | 85,271 | |||||
Boliden AB | 9,026 | 247,059 | |||||
Centamin plc | 26,072 | 55,931 | |||||
Evraz plc(1) | 73,680 | 180,373 | |||||
Fortescue Metals Group Ltd. | 96,329 | 347,150 | |||||
Gerdau SA Preference Shares | 89,200 | 262,973 | |||||
Glencore plc | 13,899 | 51,056 | |||||
Lundin Mining Corp. | 24,120 | 132,844 | |||||
Maanshan Iron & Steel Co. Ltd., H Shares(1) | 670,000 | 236,444 | |||||
Nucor Corp. | 30,375 | 1,764,787 | |||||
Regis Resources Ltd. | 40,186 | 97,643 | |||||
Reliance Steel & Aluminum Co. | 6,871 | 501,239 | |||||
Rio Tinto plc | 52,804 | 2,110,797 | |||||
Salzgitter AG | 3,180 | 121,099 | |||||
SSAB AB, A Shares(1) | 24,260 | 99,006 | |||||
Steel Dynamics, Inc. | 6,165 | 209,548 | |||||
Teck Resources Ltd., Class B | 10,760 | 192,174 | |||||
Vale SA ADR | 55,340 | 463,196 | |||||
Vedanta Resources plc | 27,835 | 219,309 | |||||
9,119,982 | |||||||
Mortgage Real Estate Investment Trusts (REITs)† | |||||||
Blackstone Mortgage Trust, Inc., Class A | 1,030 | 31,981 | |||||
New Residential Investment Corp. | 1,353 | 21,770 | |||||
Starwood Property Trust, Inc. | 11,604 | 255,520 | |||||
Two Harbors Investment Corp. | 8,096 | 80,798 | |||||
390,069 | |||||||
Multi-Utilities — 0.2% | |||||||
Ameren Corp. | 10,052 | 570,451 | |||||
Centrica plc | 244,062 | 639,301 | |||||
E.ON SE | 68,118 | 595,940 | |||||
Engie SA | 23,787 | 363,006 | |||||
NorthWestern Corp. | 8,085 | 500,947 | |||||
2,669,645 | |||||||
Multiline Retail — 0.4% | |||||||
B&M European Value Retail SA | 36,430 | 170,996 | |||||
Dollar General Corp. | 7,238 | 531,197 | |||||
Dollar Tree, Inc.(1) | 27,679 | 2,150,658 | |||||
Dollarama, Inc. | 6,960 | 644,709 | |||||
Don Quijote Holdings Co. Ltd. | 6,000 | 234,582 | |||||
Marks & Spencer Group plc | 38,633 | 190,396 | |||||
Nordstrom, Inc. | 1,588 | 66,378 | |||||
Ollie's Bargain Outlet Holdings, Inc.(1) | 2,501 | 102,916 | |||||
Ryohin Keikaku Co. Ltd. | 1,900 | 494,601 | |||||
Seria Co. Ltd. | 4,900 | 237,147 |
26
Shares/ Principal Amount | Value | ||||||
Target Corp. | 23,209 | $ | 1,279,976 | ||||
6,103,556 | |||||||
Oil, Gas and Consumable Fuels — 2.9% | |||||||
Aegean Marine Petroleum Network, Inc. | 2,876 | 13,230 | |||||
Anadarko Petroleum Corp. | 42,987 | 2,172,133 | |||||
Apache Corp. | 18,676 | 873,290 | |||||
Ardmore Shipping Corp. | 7,968 | 57,370 | |||||
BP plc | 99,495 | 598,283 | |||||
Callon Petroleum Co.(1) | 9,124 | 103,284 | |||||
Chevron Corp. | 35,302 | 3,653,051 | |||||
Cimarex Energy Co. | 2,318 | 249,324 | |||||
Comstock Resources, Inc.(1) | 193 | 1,266 | |||||
Concho Resources, Inc.(1) | 10,441 | 1,323,710 | |||||
Contango Oil & Gas Co.(1) | 5,957 | 36,695 | |||||
Devon Energy Corp. | 20,627 | 700,905 | |||||
Eclipse Resources Corp.(1) | 20,024 | 44,854 | |||||
EQT Corp. | 24,335 | 1,344,995 | |||||
Extraction Oil & Gas, Inc.(1) | 3,586 | 51,065 | |||||
Exxon Mobil Corp. | 46,282 | 3,725,701 | |||||
Galp Energia SGPS SA | 7,175 | 110,664 | |||||
Imperial Oil Ltd. | 109,491 | 3,097,861 | |||||
JXTG Holdings, Inc. | 201,300 | 876,814 | |||||
Kinder Morgan, Inc. | 64,579 | 1,211,502 | |||||
Lundin Petroleum AB(1) | 48,472 | 941,399 | |||||
Marathon Petroleum Corp. | 13,646 | 710,138 | |||||
Noble Energy, Inc. | 33,854 | 971,271 | |||||
Novatek PJSC GDR | 2,546 | 286,170 | |||||
Occidental Petroleum Corp. | 53,906 | 3,176,681 | |||||
OMV AG | 11,659 | 607,772 | |||||
ONEOK, Inc. | 9,997 | 496,651 | |||||
Petroleo Brasileiro SAPetrobras ADR(1) | 33,708 | 285,844 | |||||
Repsol SA | 35,339 | 592,096 | |||||
Royal Dutch Shell plc, A Shares | 32,135 | 871,787 | |||||
Royal Dutch Shell plc ADR | 16,840 | 946,576 | |||||
Royal Dutch Shell plc, B Shares | 70,270 | 1,940,713 | |||||
RSP Permian, Inc.(1) | 2,504 | 89,117 | |||||
Scorpio Tankers, Inc. | 11,687 | 43,476 | |||||
Seven Generations Energy Ltd., Class A(1) | 9,774 | 175,315 | |||||
SK Innovation Co. Ltd. | 2,721 | 410,726 | |||||
Spectra Energy Partners LP | 6,403 | 276,225 | |||||
TOTAL SA | 33,045 | 1,754,714 | |||||
TOTAL SA ADR | 60,480 | 3,163,104 | |||||
Tullow Oil plc(1) | 465,175 | 1,095,621 | |||||
United Tractors Tbk PT | 248,400 | 517,966 | |||||
WildHorse Resource Development Corp.(1) | 3,483 | 41,517 | |||||
Williams Cos., Inc. (The) | 69,668 | 1,992,505 |
27
Shares/ Principal Amount | Value | ||||||
YPF SA ADR | 8,236 | $ | 203,100 | ||||
41,836,481 | |||||||
Paper and Forest Products — 0.1% | |||||||
KapStone Paper and Packaging Corp. | 3,652 | 77,167 | |||||
Nine Dragons Paper Holdings Ltd. | 335,000 | 397,225 | |||||
Sappi Ltd. | 68,544 | 504,921 | |||||
UPM-Kymmene Oyj | 17,253 | 486,467 | |||||
1,465,780 | |||||||
Personal Products — 0.4% | |||||||
Cosmax, Inc. | 591 | 67,567 | |||||
Edgewell Personal Care Co.(1) | 1,744 | 127,556 | |||||
Estee Lauder Cos., Inc. (The), Class A | 11,042 | 1,039,494 | |||||
Godrej Consumer Products Ltd. | 17,503 | 491,438 | |||||
Inter Parfums, Inc. | 1,752 | 60,969 | |||||
Kose Corp. | 900 | 97,111 | |||||
L'Oreal SA | 5,490 | 1,174,541 | |||||
Medifast, Inc. | 353 | 14,688 | |||||
Nu Skin Enterprises, Inc., Class A | 5,125 | 281,260 | |||||
Pola Orbis Holdings, Inc. | 2,000 | 55,982 | |||||
Unilever NV CVA | 45,640 | 2,599,372 | |||||
6,009,978 | |||||||
Pharmaceuticals — 2.3% | |||||||
Aerie Pharmaceuticals, Inc.(1) | 538 | 29,832 | |||||
Allergan plc | 5,970 | 1,335,787 | |||||
AstraZeneca plc | 2,040 | 137,572 | |||||
Bristol-Myers Squibb Co. | 18,126 | 977,898 | |||||
Catalent, Inc.(1) | 5,189 | 184,365 | |||||
Dermira, Inc.(1) | 878 | 24,075 | |||||
Eli Lilly & Co. | 5,343 | 425,142 | |||||
GlaxoSmithKline plc | 37,188 | 816,230 | |||||
H Lundbeck A/S | 2,885 | 153,935 | |||||
Horizon Pharma plc(1) | 3,467 | 34,670 | |||||
Impax Laboratories, Inc.(1) | 1,393 | 21,243 | |||||
Indivior plc | 22,622 | 94,933 | |||||
Jazz Pharmaceuticals plc(1) | 3,871 | 563,463 | |||||
Johnson & Johnson | 58,356 | 7,484,157 | |||||
Medicines Co. (The)(1) | 1,058 | 42,077 | |||||
Merck & Co., Inc. | 92,173 | 6,001,384 | |||||
Nippon Shinyaku Co. Ltd. | 3,100 | 180,822 | |||||
Pacira Pharmaceuticals, Inc.(1) | 811 | 36,008 | |||||
Pfizer, Inc. | 171,248 | 5,591,247 | |||||
Richter Gedeon Nyrt | 19,598 | 500,953 | |||||
Roche Holding AG | 18,834 | 5,168,631 | |||||
Sanofi | 4,802 | 475,618 | |||||
Sawai Pharmaceutical Co. Ltd. | 4,000 | 216,343 | |||||
Supernus Pharmaceuticals, Inc.(1) | 1,263 | 47,489 | |||||
Teva Pharmaceutical Industries Ltd. ADR | 10,120 | 281,943 |
28
Shares/ Principal Amount | Value | ||||||
Theravance Biopharma, Inc.(1) | 495 | $ | 18,067 | ||||
Zoetis, Inc. | 26,695 | 1,662,565 | |||||
32,506,449 | |||||||
Professional Services — 0.3% | |||||||
Advisory Board Co. (The)(1) | 969 | 50,097 | |||||
Equifax, Inc. | 6,682 | 914,098 | |||||
Huron Consulting Group, Inc.(1) | 571 | 23,725 | |||||
IHS Markit Ltd.(1) | 10,754 | 493,071 | |||||
Korn/Ferry International | 3,312 | 106,348 | |||||
ManpowerGroup, Inc. | 3,424 | 348,803 | |||||
On Assignment, Inc.(1) | 803 | 42,077 | |||||
Outsourcing, Inc. | 3,100 | 141,634 | |||||
RELX plc | 47,760 | 1,023,350 | |||||
Teleperformance | 2,826 | 369,681 | |||||
Temp Holdings Co. Ltd. | 11,800 | 233,017 | |||||
Verisk Analytics, Inc., Class A(1) | 13,006 | 1,052,055 | |||||
Yumeshin Holdings Co. Ltd. | 7,500 | 49,842 | |||||
4,847,798 | |||||||
Real Estate Management and Development — 0.8% | |||||||
Aroundtown Property Holdings plc | 27,833 | 144,137 | |||||
Ayala Land, Inc. | 925,300 | 732,432 | |||||
CapitaLand Ltd. | 48,300 | 124,271 | |||||
Central Pattana PCL | 74,300 | 147,793 | |||||
Cheung Kong Property Holdings Ltd. | 94,000 | 705,674 | |||||
China Overseas Land & Investment Ltd. | 50,000 | 150,143 | |||||
China Resources Land Ltd. | 110,000 | 323,258 | |||||
City Developments Ltd. | 29,400 | 226,293 | |||||
Country Garden Holdings Co. Ltd. | 718,000 | 848,603 | |||||
Daito Trust Construction Co. Ltd. | 3,600 | 567,874 | |||||
Daiwa House Industry Co. Ltd. | 5,000 | 163,386 | |||||
Deutsche Wohnen AG | 33,576 | 1,316,909 | |||||
Fabege AB | 27,216 | 511,353 | |||||
FirstService Corp. | 1,285 | 80,390 | |||||
Global Logistic Properties Ltd. | 88,700 | 185,907 | |||||
Grand City Properties SA | 4,293 | 88,952 | |||||
Hang Lung Properties Ltd. | 30,000 | 77,574 | |||||
Hongkong Land Holdings Ltd. | 41,300 | 312,228 | |||||
Iguatemi Empresa de Shopping Centers SA | 16,900 | 165,086 | |||||
Inmobiliaria Colonial SA | 48,011 | 390,368 | |||||
Kerry Properties Ltd. | 22,000 | 77,779 | |||||
Leopalace21 Corp. | 49,900 | 293,768 | |||||
Longfor Properties Co. Ltd. | 123,000 | 250,339 | |||||
Mitsubishi Estate Co. Ltd. | 18,800 | 351,131 | |||||
Mitsui Fudosan Co. Ltd. | 20,800 | 492,251 | |||||
Multiplan Empreendimentos Imobiliarios SA | 17,866 | 353,902 | |||||
New World Development Co. Ltd. | 96,000 | 119,499 | |||||
PT Bumi Serpong Damai Tbk | 763,600 | 103,763 |
29
Shares/ Principal Amount | Value | ||||||
RE/MAX Holdings, Inc., Class A | 1,214 | $ | 64,524 | ||||
Realogy Holdings Corp. | 17,742 | 540,421 | |||||
RMR Group, Inc. (The), Class A | 118 | 5,794 | |||||
Sumitomo Realty & Development Co. Ltd. | 14,000 | 422,212 | |||||
Sun Hung Kai Properties Ltd. | 22,000 | 325,516 | |||||
Wharf Holdings Ltd. (The) | 38,000 | 323,309 | |||||
Wheelock & Co. Ltd. | 19,000 | 142,149 | |||||
11,128,988 | |||||||
Road and Rail — 0.6% | |||||||
Canadian Pacific Railway Ltd. | 2,112 | 334,182 | |||||
CJ Korea Express Corp.(1) | 1,704 | 292,980 | |||||
DSV A/S | 29,645 | 1,804,725 | |||||
Firstgroup plc(1) | 25,242 | 48,719 | |||||
Heartland Express, Inc. | 41,871 | 814,391 | |||||
Norfolk Southern Corp. | 4,132 | 512,492 | |||||
Saia, Inc.(1) | 1,373 | 63,433 | |||||
Union Pacific Corp. | 45,397 | 5,007,289 | |||||
8,878,211 | |||||||
Semiconductors and Semiconductor Equipment — 2.8% | |||||||
Advanced Micro Devices, Inc.(1) | 4,071 | 45,554 | |||||
Analog Devices, Inc. | 3,560 | 305,306 | |||||
Applied Materials, Inc. | 149,926 | 6,878,605 | |||||
ASM Pacific Technology Ltd. | 25,600 | 367,284 | |||||
ASML Holding NV | 13,613 | 1,796,828 | |||||
ASPEED Technology, Inc. | 10,000 | 251,671 | |||||
Broadcom Ltd. | 10,574 | 2,532,261 | |||||
Cavium, Inc.(1) | 6,323 | 461,389 | |||||
Cypress Semiconductor Corp. | 6,154 | 86,094 | |||||
Dialog Semiconductor plc(1) | 3,040 | 145,120 | |||||
Disco Corp. | 1,100 | 189,706 | |||||
Infineon Technologies AG | 37,130 | 821,269 | |||||
Inphi Corp.(1) | 1,098 | 43,569 | |||||
Intel Corp. | 138,034 | 4,984,408 | |||||
KLA-Tencor Corp. | 9,254 | 962,416 | |||||
Kulicke & Soffa Industries, Inc.(1) | 4,192 | 92,853 | |||||
Lam Research Corp. | 27,075 | 4,201,228 | |||||
MACOM Technology Solutions Holdings, Inc.(1) | 799 | 48,715 | |||||
Marvell Technology Group Ltd. | 16,457 | 283,719 | |||||
Maxim Integrated Products, Inc. | 37,678 | 1,801,008 | |||||
Microsemi Corp.(1) | 3,515 | 172,622 | |||||
Monolithic Power Systems, Inc. | 1,278 | 125,500 | |||||
NVIDIA Corp. | 6,406 | 924,706 | |||||
Power Integrations, Inc. | 729 | 48,807 | |||||
Powertech Technology, Inc. | 67,000 | 205,818 | |||||
QUALCOMM, Inc. | 61,089 | 3,498,567 | |||||
Rohm Co. Ltd. | 8,200 | 658,221 | |||||
SK Hynix, Inc. | 11,840 | 602,787 |
30
Shares/ Principal Amount | Value | ||||||
Skyworks Solutions, Inc. | 1,082 | $ | 115,157 | ||||
Sumco Corp. | 18,500 | 305,855 | |||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 435,500 | 2,939,144 | |||||
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 5,425 | 191,828 | |||||
Teradyne, Inc. | 26,906 | 956,508 | |||||
Texas Instruments, Inc. | 35,177 | 2,901,751 | |||||
Tower Semiconductor Ltd.(1) | 3,089 | 79,968 | |||||
X-Fab Silicon Foundries SE(1) | 10,851 | 110,924 | |||||
40,137,166 | |||||||
Software — 2.8% | |||||||
Activision Blizzard, Inc. | 43,696 | 2,559,712 | |||||
Adobe Systems, Inc.(1) | 20,821 | 2,953,667 | |||||
BroadSoft, Inc.(1) | 4,574 | 182,960 | |||||
Cadence Design Systems, Inc.(1) | 437 | 15,356 | |||||
Callidus Software, Inc.(1) | 3,804 | 90,916 | |||||
CDK Global, Inc. | 9,160 | 562,973 | |||||
Citrix Systems, Inc.(1) | 2,666 | 220,052 | |||||
Electronic Arts, Inc.(1) | 21,989 | 2,492,013 | |||||
Guidewire Software, Inc.(1) | 8,281 | 550,024 | |||||
Intuit, Inc. | 12,262 | 1,724,528 | |||||
Microsoft Corp. | 164,307 | 11,475,201 | |||||
Oracle Corp. (New York) | 146,793 | 6,662,934 | |||||
Oracle Corp. (Tokyo)(1) | 1,100 | 64,758 | |||||
Proofpoint, Inc.(1) | 796 | 68,456 | |||||
RealPage, Inc.(1) | 3,229 | 111,723 | |||||
RingCentral, Inc., Class A(1) | 4,158 | 141,788 | |||||
salesforce.com, Inc.(1) | 13,428 | 1,203,686 | |||||
SAP SE | 15,300 | 1,640,351 | |||||
ServiceNow, Inc.(1) | 7,109 | 743,957 | |||||
Splunk, Inc.(1) | 21,789 | 1,334,358 | |||||
SS&C Technologies Holdings, Inc. | 20 | 752 | |||||
Symantec Corp. | 26,327 | 797,971 | |||||
Synopsys, Inc.(1) | 6,106 | 457,156 | |||||
Take-Two Interactive Software, Inc.(1) | 415 | 31,847 | |||||
Tyler Technologies, Inc.(1) | 5,736 | 980,168 | |||||
VMware, Inc., Class A(1) | 30,207 | 2,934,610 | |||||
40,001,917 | |||||||
Specialty Retail — 1.5% | |||||||
Advance Auto Parts, Inc. | 17,131 | 2,289,216 | |||||
AutoZone, Inc.(1) | 643 | 389,607 | |||||
Best Buy Co., Inc. | 37,276 | 2,213,822 | |||||
Burlington Stores, Inc.(1) | 8,212 | 803,544 | |||||
Camping World Holdings, Inc., Class A | 3,180 | 85,860 | |||||
Children's Place, Inc. (The) | 2,038 | 220,512 | |||||
CST Brands, Inc. | 6,772 | 327,291 | |||||
Foundation Building Materials, Inc.(1) | 5,298 | 71,523 | |||||
Home Depot, Inc. (The) | 7,568 | 1,161,764 |
31
Shares/ Principal Amount | Value | ||||||
Industria de Diseno Textil SA | 43,225 | $ | 1,767,224 | ||||
L Brands, Inc. | 10,017 | 516,877 | |||||
Lowe's Cos., Inc. | 33,663 | 2,651,634 | |||||
Maisons du Monde SA(1) | 7,956 | 300,385 | |||||
MarineMax, Inc.(1) | 4,295 | 77,525 | |||||
Michaels Cos., Inc. (The)(1) | 10,450 | 201,998 | |||||
Nitori Holdings Co. Ltd. | 9,900 | 1,447,232 | |||||
O'Reilly Automotive, Inc.(1) | 12,123 | 2,934,736 | |||||
Penske Automotive Group, Inc. | 1,478 | 62,593 | |||||
Pier 1 Imports, Inc. | 1,883 | 9,434 | |||||
RH(1) | 926 | 51,958 | |||||
Ross Stores, Inc. | 25,078 | 1,602,986 | |||||
Sleep Country Canada Holdings, Inc. | 8,860 | 255,794 | |||||
TJX Cos., Inc. (The) | 19,111 | 1,437,338 | |||||
Tokyo Base Co. Ltd.(1) | 3,600 | 110,844 | |||||
Ulta Salon Cosmetics & Fragrance, Inc.(1) | 1,961 | 597,791 | |||||
21,589,488 | |||||||
Technology Hardware, Storage and Peripherals — 1.3% | |||||||
Apple, Inc. | 90,734 | 13,860,526 | |||||
Asetek A/S | 7,627 | 99,746 | |||||
Brother Industries Ltd. | 11,300 | 250,794 | |||||
Canon, Inc. | 10,100 | 344,722 | |||||
Cray, Inc.(1) | 4,257 | 75,562 | |||||
Lite-On Technology Corp. | 61,000 | 102,413 | |||||
Logitech International SA | 14,908 | 544,880 | |||||
NetApp, Inc. | 332 | 13,443 | |||||
Quanta Computer, Inc. | 162,000 | 370,544 | |||||
Samsung Electronics Co. Ltd. | 1,548 | 3,090,193 | |||||
18,752,823 | |||||||
Textiles, Apparel and Luxury Goods — 0.5% | |||||||
adidas AG | 6,250 | 1,195,314 | |||||
Cie Financiere Richemont SA | 8,190 | 683,240 | |||||
Coach, Inc. | 23,679 | 1,094,207 | |||||
Columbia Sportswear Co. | 5,786 | 314,064 | |||||
Culp, Inc. | 1,119 | 35,920 | |||||
HS Industries Co. Ltd. | 28,362 | 243,696 | |||||
Kering | 5,970 | 1,974,363 | |||||
Ralph Lauren Corp. | 9,017 | 611,353 | |||||
Salvatore Ferragamo SpA | 7,875 | 219,832 | |||||
Samsonite International SA | 42,900 | 173,140 | |||||
Shenzhou International Group Holdings Ltd. | 68,000 | 465,547 | |||||
Taiwan Paiho Ltd. | 140,000 | 467,768 | |||||
7,478,444 | |||||||
Thrifts and Mortgage Finance — 0.2% | |||||||
Capitol Federal Financial, Inc. | 48,371 | 668,487 | |||||
Essent Group Ltd.(1) | 60,362 | 2,189,330 | |||||
2,857,817 |
32
Shares/ Principal Amount | Value | ||||||
Tobacco — 0.4% | |||||||
Altria Group, Inc. | 19,823 | $ | 1,495,447 | ||||
British American Tobacco plc | 30,700 | 2,187,415 | |||||
Imperial Brands plc | 8,438 | 394,543 | |||||
Philip Morris International, Inc. | 8,131 | 974,094 | |||||
5,051,499 | |||||||
Trading Companies and Distributors — 0.4% | |||||||
Ashtead Group plc | 57,532 | 1,160,831 | |||||
BMC Stock Holdings, Inc.(1) | 6,299 | 122,831 | |||||
Bunzl plc | 23,890 | 748,596 | |||||
DXP Enterprises, Inc.(1) | 569 | 20,387 | |||||
GMS, Inc.(1) | 1,100 | 35,926 | |||||
MonotaRO Co. Ltd. | 20,800 | 700,533 | |||||
MRC Global, Inc.(1) | 5,285 | 95,394 | |||||
SiteOne Landscape Supply, Inc.(1) | 2,611 | 138,853 | |||||
Sumitomo Corp. | 11,700 | 149,221 | |||||
Toyota Tsusho Corp. | 10,300 | 315,743 | |||||
United Rentals, Inc.(1) | 7,840 | 852,443 | |||||
Wolseley plc | 19,210 | 1,264,783 | |||||
5,605,541 | |||||||
Transportation Infrastructure† | |||||||
Airports of Thailand PCL | 226,400 | 285,825 | |||||
BBA Aviation plc | 51,610 | 214,320 | |||||
500,145 | |||||||
Water Utilities† | |||||||
Beijing Enterprises Water Group Ltd. | 762,000 | 610,183 | |||||
Wireless Telecommunication Services — 0.1% | |||||||
Drillisch AG | 2,759 | 174,337 | |||||
KDDI Corp. | 11,200 | 310,060 | |||||
NTT DOCOMO, Inc. | 27,800 | 682,010 | |||||
1,166,407 | |||||||
TOTAL COMMON STOCKS (Cost $694,006,358) | 900,838,135 | ||||||
U.S. TREASURY SECURITIES — 11.6% | |||||||
U.S. Treasury Bonds, 3.50%, 2/15/39 | $ | 997,000 | 1,127,213 | ||||
U.S. Treasury Bonds, 4.375%, 11/15/39 | 2,200,000 | 2,803,711 | |||||
U.S. Treasury Bonds, 3.00%, 5/15/42 | 120,000 | 123,645 | |||||
U.S. Treasury Bonds, 2.875%, 5/15/43 | 2,410,000 | 2,418,944 | |||||
U.S. Treasury Bonds, 3.75%, 11/15/43 | 50,000 | 58,508 | |||||
U.S. Treasury Bonds, 3.125%, 8/15/44(2) | 390,000 | 410,026 | |||||
U.S. Treasury Bonds, 2.50%, 2/15/45 | 6,250,000 | 5,801,756 | |||||
U.S. Treasury Bonds, 3.00%, 5/15/45(2) | 160,000 | 164,088 | |||||
U.S. Treasury Inflation Indexed Bonds, 2.375%, 1/15/25 | 2,586,800 | 2,987,956 | |||||
U.S. Treasury Inflation Indexed Bonds, 2.375%, 1/15/27 | 725,364 | 860,137 | |||||
U.S. Treasury Inflation Indexed Bonds, 2.50%, 1/15/29 | 2,992,148 | 3,669,983 | |||||
U.S. Treasury Inflation Indexed Bonds, 3.375%, 4/15/32 | 137,353 | 193,515 | |||||
U.S. Treasury Inflation Indexed Bonds, 2.125%, 2/15/40 | 676,788 | 857,407 |
33
Shares/ Principal Amount | Value | ||||||
U.S. Treasury Inflation Indexed Bonds, 2.125%, 2/15/41 | $ | 2,304,510 | $ | 2,934,427 | |||
U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/42 | 2,103,953 | 2,039,513 | |||||
U.S. Treasury Inflation Indexed Bonds, 0.625%, 2/15/43 | 1,028,598 | 964,844 | |||||
U.S. Treasury Inflation Indexed Bonds, 1.375%, 2/15/44 | 3,085,966 | 3,418,213 | |||||
U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/45 | 3,219,876 | 3,082,742 | |||||
U.S. Treasury Inflation Indexed Notes, 2.125%, 1/15/19 | 1,135,540 | 1,182,216 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 4/15/19 | 1,508,667 | 1,519,015 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 4/15/20 | 8,849,180 | 8,928,504 | |||||
U.S. Treasury Inflation Indexed Notes, 1.125%, 1/15/21 | 6,464,158 | 6,776,758 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 4/15/21 | 4,114,680 | 4,147,589 | |||||
U.S. Treasury Inflation Indexed Notes, 0.625%, 7/15/21 | 5,408,550 | 5,597,849 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 4/15/22 | 4,511,205 | 4,536,725 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 7/15/22 | 1,749,281 | 1,767,286 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 1/15/23 | 6,971,118 | 6,984,872 | |||||
U.S. Treasury Inflation Indexed Notes, 0.375%, 7/15/23(2) | 2,409,526 | 2,454,562 | |||||
U.S. Treasury Inflation Indexed Notes, 0.625%, 1/15/24 | 5,224,350 | 5,366,081 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 7/15/24 | 667,394 | 664,161 | |||||
U.S. Treasury Inflation Indexed Notes, 0.25%, 1/15/25 | 4,117,320 | 4,097,697 | |||||
U.S. Treasury Inflation Indexed Notes, 0.375%, 7/15/25 | 9,406,841 | 9,469,546 | |||||
U.S. Treasury Inflation Indexed Notes, 0.625%, 1/15/26 | 2,052,100 | 2,097,531 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 7/15/26 | 9,967,580 | 9,770,172 | |||||
U.S. Treasury Notes, 0.75%, 10/31/17 | 1,125,000 | 1,123,331 | |||||
U.S. Treasury Notes, 1.00%, 2/15/18(2) | 50,000 | 49,926 | |||||
U.S. Treasury Notes, 1.00%, 3/15/18 | 5,000,000 | 4,991,405 | |||||
U.S. Treasury Notes, 0.75%, 4/15/18 | 2,200,000 | 2,191,064 | |||||
U.S. Treasury Notes, 2.625%, 4/30/18 | 300,000 | 303,850 | |||||
U.S. Treasury Notes, 1.375%, 9/30/18 | 6,000,000 | 6,011,952 | |||||
U.S. Treasury Notes, 1.25%, 11/30/18 | 800,000 | 800,125 | |||||
U.S. Treasury Notes, 1.125%, 1/31/19 | 1,300,000 | 1,297,384 | |||||
U.S. Treasury Notes, 1.50%, 2/28/19 | 650,000 | 652,615 | |||||
U.S. Treasury Notes, 1.50%, 11/30/19 | 50,000 | 50,177 | |||||
U.S. Treasury Notes, 1.375%, 12/15/19 | 500,000 | 500,235 | |||||
U.S. Treasury Notes, 1.375%, 1/15/20(2) | 1,500,000 | 1,500,234 | |||||
U.S. Treasury Notes, 1.375%, 2/29/20(2) | 4,656,000 | 4,652,182 | |||||
U.S. Treasury Notes, 1.375%, 3/31/20 | 7,303,000 | 7,295,441 | |||||
U.S. Treasury Notes, 1.375%, 5/15/20 | 3,300,000 | 3,306,316 | |||||
U.S. Treasury Notes, 1.50%, 5/31/20 | 1,700,000 | 1,702,456 | |||||
U.S. Treasury Notes, 1.625%, 6/30/20 | 2,250,000 | 2,260,282 | |||||
U.S. Treasury Notes, 1.375%, 10/31/20 | 700,000 | 696,077 | |||||
U.S. Treasury Notes, 2.00%, 11/30/20 | 250,000 | 253,789 | |||||
U.S. Treasury Notes, 1.75%, 12/31/20 | 2,900,000 | 2,917,954 | |||||
U.S. Treasury Notes, 2.25%, 4/30/21 | 1,000,000 | 1,023,516 | |||||
U.S. Treasury Notes, 2.00%, 10/31/21 | 1,420,000 | 1,437,500 | |||||
U.S. Treasury Notes, 2.00%, 12/31/21 | 7,350,000 | 7,438,288 | |||||
U.S. Treasury Notes, 1.875%, 1/31/22 | 1,450,000 | 1,458,893 | |||||
U.S. Treasury Notes, 1.875%, 4/30/22 | 3,000,000 | 3,016,056 | |||||
U.S. Treasury Notes, 1.375%, 6/30/23 | 450,000 | 435,841 |
34
Shares/ Principal Amount | Value | ||||||
U.S. Treasury Notes, 1.25%, 7/31/23 | $ | 50,000 | $ | 48,015 | |||
TOTAL U.S. TREASURY SECURITIES (Cost $164,146,131) | 166,692,096 | ||||||
CORPORATE BONDS — 9.6% | |||||||
Aerospace and Defense — 0.1% | |||||||
Boeing Co. (The), 2.20%, 10/30/22 | 90,000 | 89,068 | |||||
Bombardier, Inc., 4.75%, 4/15/19(3) | 60,000 | 61,275 | |||||
Bombardier, Inc., 5.75%, 3/15/22(3) | 30,000 | 30,000 | |||||
Bombardier, Inc., 6.00%, 10/15/22(3) | 35,000 | 35,153 | |||||
Bombardier, Inc., 7.50%, 3/15/25(3) | 80,000 | 82,958 | |||||
KLX, Inc., 5.875%, 12/1/22(3) | 75,000 | 79,313 | |||||
Lockheed Martin Corp., 4.25%, 11/15/19 | 220,000 | 232,445 | |||||
Lockheed Martin Corp., 3.55%, 1/15/26 | 290,000 | 302,110 | |||||
Rockwell Collins, Inc., 4.35%, 4/15/47 | 50,000 | 52,090 | |||||
TransDigm, Inc., 6.00%, 7/15/22 | 115,000 | 119,442 | |||||
TransDigm, Inc., 6.375%, 6/15/26 | 50,000 | 51,375 | |||||
United Technologies Corp., 6.05%, 6/1/36 | 140,000 | 178,870 | |||||
United Technologies Corp., 3.75%, 11/1/46 | 90,000 | 87,973 | |||||
1,402,072 | |||||||
Air Freight and Logistics† | |||||||
XPO Logistics, Inc., 6.50%, 6/15/22(3) | 70,000 | 74,582 | |||||
Airlines† | |||||||
American Airlines Group, Inc., 4.625%, 3/1/20(3) | 85,000 | 87,762 | |||||
United Continental Holdings, Inc., 5.00%, 2/1/24 | 75,000 | 76,500 | |||||
164,262 | |||||||
Auto Components† | |||||||
American Axle & Manufacturing, Inc., 6.25%, 3/15/21 | 25,000 | 25,826 | |||||
American Axle & Manufacturing, Inc., 6.625%, 10/15/22 | 50,000 | 51,875 | |||||
Goodyear Tire & Rubber Co. (The), 5.125%, 11/15/23 | 130,000 | 137,150 | |||||
Tenneco, Inc., 5.00%, 7/15/26 | 130,000 | 131,787 | |||||
ZF North America Capital, Inc., 4.75%, 4/29/25(3) | 105,000 | 110,744 | |||||
457,382 | |||||||
Automobiles — 0.2% | |||||||
American Honda Finance Corp., 1.50%, 9/11/17(3) | 70,000 | 70,039 | |||||
American Honda Finance Corp., 2.125%, 10/10/18 | 150,000 | 151,093 | |||||
BMW Finance NV, MTN, 1.00%, 2/15/22 | EUR | 10,000 | 11,668 | ||||
Fiat Chrysler Automobiles NV, 4.50%, 4/15/20 | $ | 50,000 | 51,313 | ||||
Ford Motor Co., 4.35%, 12/8/26 | 130,000 | 132,921 | |||||
Ford Motor Credit Co. LLC, 5.00%, 5/15/18 | 40,000 | 41,169 | |||||
Ford Motor Credit Co. LLC, 5.875%, 8/2/21 | 850,000 | 949,129 | |||||
General Motors Co., 5.00%, 4/1/35 | 190,000 | 189,050 | |||||
General Motors Financial Co., Inc., 3.25%, 5/15/18 | 180,000 | 182,399 | |||||
General Motors Financial Co., Inc., 3.10%, 1/15/19 | 270,000 | 274,063 | |||||
General Motors Financial Co., Inc., 3.20%, 7/6/21 | 430,000 | 434,533 | |||||
General Motors Financial Co., Inc., 5.25%, 3/1/26 | 200,000 | 215,525 | |||||
Jaguar Land Rover Automotive plc, 3.50%, 3/15/20(3) | 85,000 | 86,381 | |||||
2,789,283 |
35
Shares/ Principal Amount | Value | ||||||
Banks — 1.7% | |||||||
Asian Development Bank, MTN, 2.35%, 6/21/27 | JPY | 30,000,000 | $ | 337,310 | |||
Banco Inbursa SA Institucion de Banca Multiple, 4.375%, 4/11/27(3) | $ | 150,000 | 148,687 | ||||
Bank of America Corp., 4.10%, 7/24/23 | 110,000 | 116,602 | |||||
Bank of America Corp., MTN, 5.625%, 7/1/20 | 290,000 | 317,975 | |||||
Bank of America Corp., MTN, 4.00%, 4/1/24 | 90,000 | 94,582 | |||||
Bank of America Corp., MTN, 4.20%, 8/26/24 | 310,000 | 322,708 | |||||
Bank of America Corp., MTN, 4.00%, 1/22/25 | 250,000 | 255,324 | |||||
Bank of America Corp., MTN, 5.00%, 1/21/44 | 250,000 | 282,737 | |||||
Bank of America Corp., MTN, VRN, 4.44%, 1/20/47 | 80,000 | 83,057 | |||||
Bank of Montreal, MTN, 1.30%, 7/14/17 | 2,500,000 | 2,500,135 | |||||
Bank of Nova Scotia (The), 1.375%, 12/18/17 | 2,900,000 | 2,901,334 | |||||
Barclays Bank plc, 5.14%, 10/14/20 | 100,000 | 107,739 | |||||
Barclays Bank plc, MTN, 6.625%, 3/30/22 | EUR | 50,000 | 70,760 | ||||
Barclays plc, MTN, VRN, 2.625%, 11/11/20 | EUR | 200,000 | 232,747 | ||||
BPCE SA, VRN, 2.75%, 7/8/21 | EUR | 200,000 | 237,642 | ||||
Branch Banking & Trust Co., 3.625%, 9/16/25 | $ | 100,000 | 104,052 | ||||
Capital One Financial Corp., 4.20%, 10/29/25 | 115,000 | 117,428 | |||||
Citigroup, Inc., 4.50%, 1/14/22 | 580,000 | 625,519 | |||||
Citigroup, Inc., 4.05%, 7/30/22 | 80,000 | 84,043 | |||||
Citigroup, Inc., 4.45%, 9/29/27 | 905,000 | 944,797 | |||||
Co-Operative Bank plc, 4.75%, 11/11/21 (Secured) | GBP | 200,000 | 287,207 | ||||
Commerzbank AG, MTN, 4.00%, 3/23/26 | EUR | 150,000 | 184,489 | ||||
Cooperatieve Rabobank UA, 3.875%, 2/8/22 | $ | 280,000 | 298,872 | ||||
Cooperatieve Rabobank UA, MTN, 4.375%, 6/7/21 | EUR | 130,000 | 171,467 | ||||
Cooperatieve Rabobank UA, VRN, 2.50%, 5/26/21 | EUR | 150,000 | 178,512 | ||||
European Financial Stability Facility, MTN, 1.875%, 5/23/23 | EUR | 200,000 | 249,426 | ||||
European Financial Stability Facility, MTN, 2.125%, 2/19/24 | EUR | 590,000 | 748,865 | ||||
European Financial Stability Facility, MTN, 2.35%, 7/29/44 | EUR | 90,000 | 117,794 | ||||
European Investment Bank, MTN, 3.625%, 1/15/21 | EUR | 300,000 | 385,822 | ||||
European Investment Bank, MTN, 4.25%, 12/7/21 | GBP | 610,000 | 910,152 | ||||
European Investment Bank, MTN, 2.25%, 10/14/22 | EUR | 600,000 | 760,365 | ||||
Fifth Third Bancorp, 4.30%, 1/16/24 | $ | 120,000 | 127,229 | ||||
Fifth Third Bank, 2.875%, 10/1/21 | 230,000 | 235,137 | |||||
HSBC Bank plc, MTN, VRN, 5.375%, 11/4/25 | GBP | 50,000 | 79,343 | ||||
Huntington Bancshares, Inc., 2.30%, 1/14/22 | $ | 170,000 | 167,791 | ||||
International Bank for Reconstruction & Development, MTN, 3.875%, 5/20/19 | EUR | 570,000 | 695,611 | ||||
Intesa Sanpaolo SpA, 5.02%, 6/26/24(3) | $ | 250,000 | 244,126 | ||||
Intesa Sanpaolo SpA, MTN, 6.625%, 9/13/23 | EUR | 220,000 | 301,182 | ||||
JPMorgan Chase & Co., 4.625%, 5/10/21 | $ | 80,000 | 86,831 | ||||
JPMorgan Chase & Co., 3.25%, 9/23/22 | 130,000 | 133,581 | |||||
JPMorgan Chase & Co., 3.875%, 9/10/24 | 1,210,000 | 1,251,220 | |||||
JPMorgan Chase & Co., 3.125%, 1/23/25 | 320,000 | 319,796 | |||||
KeyCorp, MTN, 2.30%, 12/13/18 | 230,000 | 231,476 | |||||
Kreditanstalt fuer Wiederaufbau, 3.875%, 1/21/19 | EUR | 340,000 | 409,998 |
36
Shares/ Principal Amount | Value | ||||||
Kreditanstalt fuer Wiederaufbau, 2.00%, 10/4/22 | $ | 250,000 | $ | 249,883 | |||
Kreditanstalt fuer Wiederaufbau, 4.625%, 1/4/23 | EUR | 520,000 | 740,832 | ||||
Lloyds Bank plc, MTN, 7.625%, 4/22/25 | GBP | 120,000 | 211,002 | ||||
Lloyds Banking Group plc, VRN, 6.66%, 5/21/37(3) | $ | 140,000 | 156,450 | ||||
PNC Financial Services Group, Inc. (The), 4.375%, 8/11/20 | 160,000 | 170,785 | |||||
Royal Bank of Canada, MTN, 1.50%, 1/16/18 | 2,100,000 | 2,100,922 | |||||
Royal Bank of Scotland Group plc, 6.125%, 12/15/22 | 40,000 | 43,860 | |||||
Santander Issuances SAU, MTN, 2.50%, 3/18/25 | EUR | 300,000 | 344,419 | ||||
Santander UK plc, MTN, 5.125%, 4/14/21 (Secured) | GBP | 100,000 | 150,044 | ||||
Turkiye Garanti Bankasi AS, 5.875%, 3/16/23(3) | $ | 250,000 | 260,831 | ||||
US Bancorp, MTN, 3.00%, 3/15/22 | 130,000 | 133,784 | |||||
US Bancorp, MTN, 3.60%, 9/11/24 | 310,000 | 323,239 | |||||
Wells Fargo & Co., 3.07%, 1/24/23 | 170,000 | 172,747 | |||||
Wells Fargo & Co., 4.125%, 8/15/23 | 300,000 | 318,417 | |||||
Wells Fargo & Co., 3.00%, 4/22/26 | 220,000 | 215,192 | |||||
Wells Fargo & Co., MTN, 2.60%, 7/22/20 | 280,000 | 284,243 | |||||
Wells Fargo & Co., MTN, 2.25%, 9/3/20 | EUR | 100,000 | 120,131 | ||||
Wells Fargo & Co., MTN, 3.55%, 9/29/25 | $ | 110,000 | 112,676 | ||||
Wells Fargo & Co., MTN, 4.10%, 6/3/26 | 200,000 | 208,252 | |||||
Wells Fargo & Co., MTN, 4.65%, 11/4/44 | 175,000 | 181,531 | |||||
24,960,710 | |||||||
Beverages — 0.1% | |||||||
Anheuser-Busch InBev Finance, Inc., 3.30%, 2/1/23 | 540,000 | 557,684 | |||||
Anheuser-Busch InBev Finance, Inc., 3.65%, 2/1/26 | 320,000 | 329,695 | |||||
Anheuser-Busch InBev Finance, Inc., 4.90%, 2/1/46 | 370,000 | 411,818 | |||||
Constellation Brands, Inc., 4.75%, 12/1/25 | 270,000 | 296,595 | |||||
Molson Coors Brewing Co., 3.00%, 7/15/26 | 240,000 | 233,545 | |||||
1,829,337 | |||||||
Biotechnology — 0.2% | |||||||
AbbVie, Inc., 2.90%, 11/6/22 | 460,000 | 464,217 | |||||
AbbVie, Inc., 3.60%, 5/14/25 | 70,000 | 71,691 | |||||
AbbVie, Inc., 4.40%, 11/6/42 | 240,000 | 238,927 | |||||
AbbVie, Inc., 4.45%, 5/14/46 | 30,000 | 30,064 | |||||
AMAG Pharmaceuticals, Inc., 7.875%, 9/1/23(3) | 105,000 | 102,112 | |||||
Amgen, Inc., 4.66%, 6/15/51 | 219,000 | 227,311 | |||||
Biogen, Inc., 3.625%, 9/15/22 | 270,000 | 283,854 | |||||
Celgene Corp., 3.25%, 8/15/22 | 160,000 | 165,203 | |||||
Celgene Corp., 3.625%, 5/15/24 | 410,000 | 425,207 | |||||
Celgene Corp., 3.875%, 8/15/25 | 140,000 | 146,579 | |||||
Celgene Corp., 5.00%, 8/15/45 | 30,000 | 32,883 | |||||
Concordia International Corp., 9.50%, 10/21/22(3) | 20,000 | 4,700 | |||||
Concordia International Corp., 7.00%, 4/15/23(3) | 100,000 | 20,750 | |||||
Gilead Sciences, Inc., 4.40%, 12/1/21 | 100,000 | 108,545 | |||||
Gilead Sciences, Inc., 3.65%, 3/1/26 | 700,000 | 719,439 | |||||
3,041,482 | |||||||
Building Products† | |||||||
Masco Corp., 5.95%, 3/15/22 | 70,000 | 79,609 |
37
Shares/ Principal Amount | Value | ||||||
Masco Corp., 4.45%, 4/1/25 | $ | 170,000 | $ | 182,835 | |||
262,444 | |||||||
Capital Markets† | |||||||
Dresdner Funding Trust I, 8.15%, 6/30/31(3) | 65,000 | 80,962 | |||||
Jefferies Group LLC, 5.125%, 4/13/18 | 180,000 | 185,001 | |||||
Jefferies Group LLC, 4.85%, 1/15/27 | 90,000 | 94,742 | |||||
UBS Group Funding Switzerland AG, 3.49%, 5/23/23(3) | 200,000 | 204,420 | |||||
565,125 | |||||||
Chemicals — 0.1% | |||||||
Ashland LLC, 4.75%, 8/15/22 | 185,000 | 193,325 | |||||
Blue Cube Spinco, Inc., 9.75%, 10/15/23 | 50,000 | 61,250 | |||||
CF Industries, Inc., 3.45%, 6/1/23 | 80,000 | 75,100 | |||||
Chemours Co. (The), 6.625%, 5/15/23 | 70,000 | 75,067 | |||||
E.I. du Pont de Nemours & Co., 4.15%, 2/15/43 | 8,000 | 8,080 | |||||
Ecolab, Inc., 4.35%, 12/8/21 | 60,000 | 65,365 | |||||
Hexion, Inc., 6.625%, 4/15/20 | 30,000 | 28,050 | |||||
Huntsman International LLC, 5.125%, 11/15/22 | 85,000 | 92,013 | |||||
INEOS Group Holdings SA, 5.625%, 8/1/24(3) | 115,000 | 118,450 | |||||
LyondellBasell Industries NV, 5.00%, 4/15/19 | 200,000 | 209,692 | |||||
LyondellBasell Industries NV, 4.625%, 2/26/55 | 50,000 | 49,074 | |||||
Mosaic Co. (The), 5.625%, 11/15/43 | 120,000 | 123,198 | |||||
NOVA Chemicals Corp., 4.875%, 6/1/24(3)(4) | 170,000 | 170,637 | |||||
Platform Specialty Products Corp., 6.50%, 2/1/22(3) | 50,000 | 51,750 | |||||
Sherwin-Williams Co. (The), 3.45%, 6/1/27 | 130,000 | 131,582 | |||||
Tronox Finance LLC, 6.375%, 8/15/20 | 75,000 | 75,938 | |||||
1,528,571 | |||||||
Commercial Services and Supplies — 0.1% | |||||||
ADT Corp. (The), 6.25%, 10/15/21 | 100,000 | 110,500 | |||||
Clean Harbors, Inc., 5.25%, 8/1/20 | 50,000 | 50,875 | |||||
Covanta Holding Corp., 5.875%, 3/1/24 | 80,000 | 79,200 | |||||
Envision Healthcare Corp., 5.125%, 7/1/22(3) | 100,000 | 103,000 | |||||
Iron Mountain, Inc., 5.75%, 8/15/24 | 135,000 | 139,219 | |||||
Prime Security Services Borrower LLC / Prime Finance, Inc., 9.25%, 5/15/23(3) | 100,000 | 109,584 | |||||
Republic Services, Inc., 3.55%, 6/1/22 | 350,000 | 366,854 | |||||
Waste Management, Inc., 4.10%, 3/1/45 | 120,000 | 124,068 | |||||
1,083,300 | |||||||
Communications Equipment† | |||||||
Cisco Systems, Inc., 5.90%, 2/15/39 | 24,000 | 31,189 | |||||
CommScope Technologies LLC, 5.00%, 3/15/27(3) | 120,000 | 120,300 | |||||
CommScope, Inc., 5.50%, 6/15/24(3) | 65,000 | 68,412 | |||||
Zayo Group LLC / Zayo Capital, Inc., 6.00%, 4/1/23 | 130,000 | 138,125 | |||||
Zayo Group LLC / Zayo Capital, Inc., 5.75%, 1/15/27(3) | 30,000 | 31,722 | |||||
389,748 | |||||||
Construction and Engineering† | |||||||
SBA Communications Corp., 4.875%, 7/15/22 | 75,000 | 77,719 |
38
Shares/ Principal Amount | Value | ||||||
Construction Materials† | |||||||
Builders FirstSource, Inc., 10.75%, 8/15/23(3) | $ | 35,000 | $ | 40,688 | |||
Builders FirstSource, Inc., 5.625%, 9/1/24(3) | 90,000 | 93,712 | |||||
Owens Corning, 4.20%, 12/15/22 | 140,000 | 148,827 | |||||
Ply Gem Industries, Inc., 6.50%, 2/1/22 | 125,000 | 131,250 | |||||
Standard Industries, Inc., 6.00%, 10/15/25(3) | 60,000 | 65,100 | |||||
USG Corp., 5.50%, 3/1/25(3) | 65,000 | 69,144 | |||||
548,721 | |||||||
Consumer Finance — 0.2% | |||||||
American Express Centurion Bank, MTN, 6.00%, 9/13/17 | 250,000 | 253,091 | |||||
American Express Co., 1.55%, 5/22/18 | 120,000 | 119,970 | |||||
American Express Credit Corp., 2.60%, 9/14/20 | 105,000 | 106,781 | |||||
American Express Credit Corp., MTN, 2.25%, 5/5/21 | 140,000 | 140,175 | |||||
Capital One Bank USA N.A., 2.30%, 6/5/19 | 250,000 | 250,789 | |||||
Capital One Bank USA N.A., 3.375%, 2/15/23 | 250,000 | 253,049 | |||||
CIT Group, Inc., 5.00%, 8/15/22 | 190,000 | 206,093 | |||||
CIT Group, Inc., 5.00%, 8/1/23 | 100,000 | 108,125 | |||||
Discover Financial Services, 3.75%, 3/4/25 | 350,000 | 349,132 | |||||
Equifax, Inc., 3.30%, 12/15/22 | 170,000 | 174,905 | |||||
GLP Capital LP / GLP Financing II, Inc., 5.375%, 11/1/23 | 55,000 | 59,744 | |||||
GLP Capital LP / GLP Financing II, Inc., 5.375%, 4/15/26 | 65,000 | 70,525 | |||||
Harland Clarke Holdings Corp., 9.25%, 3/1/21(3) | 35,000 | 34,300 | |||||
Navient Corp., 5.00%, 10/26/20 | 100,000 | 102,500 | |||||
Navient Corp., 5.50%, 1/25/23 | 125,000 | 123,867 | |||||
OneMain Financial Holdings LLC, 6.75%, 12/15/19(3) | 85,000 | 89,356 | |||||
Park Aerospace Holdings Ltd., 5.25%, 8/15/22(3) | 80,000 | 84,250 | |||||
PNC Bank N.A., 1.95%, 3/4/19 | 250,000 | 250,724 | |||||
Synchrony Financial, 2.60%, 1/15/19 | 140,000 | 140,817 | |||||
Synchrony Financial, 3.00%, 8/15/19 | 50,000 | 50,738 | |||||
2,968,931 | |||||||
Containers and Packaging — 0.1% | |||||||
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc., 7.25%, 5/15/24(3) | 200,000 | 219,000 | |||||
Ball Corp., 4.00%, 11/15/23 | 195,000 | 199,387 | |||||
Ball Corp., 5.25%, 7/1/25 | 35,000 | 38,159 | |||||
Berry Plastics Corp., 5.50%, 5/15/22 | 60,000 | 62,625 | |||||
Berry Plastics Corp., 5.125%, 7/15/23 | 50,000 | 52,588 | |||||
BWAY Holding Co., 5.50%, 4/15/24(3) | 30,000 | 30,750 | |||||
Crown Americas LLC / Crown Americas Capital Corp. IV, 4.50%, 1/15/23 | 305,000 | 318,725 | |||||
Novelis Corp., 6.25%, 8/15/24(3) | 50,000 | 52,805 | |||||
Owens-Brockway Glass Container, Inc., 5.875%, 8/15/23(3) | 70,000 | 76,606 | |||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 6.875%, 2/15/21 | 64,814 | 66,515 | |||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 7.00%, 7/15/24(3) | 215,000 | 231,796 | |||||
Sealed Air Corp., 5.125%, 12/1/24(3) | 120,000 | 126,900 | |||||
1,475,856 |
39
Shares/ Principal Amount | Value | ||||||
Diversified Consumer Services† | |||||||
Catholic Health Initiatives, 2.95%, 11/1/22 | $ | 130,000 | $ | 126,515 | |||
Service Corp., International/US, 5.375%, 1/15/22 | 75,000 | 77,531 | |||||
204,046 | |||||||
Diversified Financial Services — 0.6% | |||||||
Ally Financial, Inc., 3.60%, 5/21/18 | 110,000 | 111,787 | |||||
Ally Financial, Inc., 8.00%, 3/15/20 | 145,000 | 165,590 | |||||
Ally Financial, Inc., 4.625%, 3/30/25 | 190,000 | 191,225 | |||||
Ally Financial, Inc., 5.75%, 11/20/25 | 130,000 | 135,525 | |||||
Ally Financial, Inc., 8.00%, 11/1/31 | 75,000 | 90,938 | |||||
Credit Agricole SA, MTN, 7.375%, 12/18/23 | GBP | 100,000 | 170,256 | ||||
GE Capital European Funding Unlimited. Co., MTN, 5.375%, 1/23/20 | EUR | 220,000 | 282,148 | ||||
GE Capital International Funding Co. Unlimited. Co., 2.34%, 11/15/20 | $ | 604,000 | 610,369 | ||||
Goldman Sachs Group, Inc. (The), 2.30%, 12/13/19 | 1,030,000 | 1,034,369 | |||||
Goldman Sachs Group, Inc. (The), 2.75%, 9/15/20 | 70,000 | 70,977 | |||||
Goldman Sachs Group, Inc. (The), 5.50%, 10/12/21 | GBP | 150,000 | 224,477 | ||||
Goldman Sachs Group, Inc. (The), 5.75%, 1/24/22 | $ | 580,000 | 655,905 | ||||
Goldman Sachs Group, Inc. (The), 3.50%, 1/23/25 | 200,000 | 202,418 | |||||
Goldman Sachs Group, Inc. (The), 4.25%, 10/21/25 | 280,000 | 290,918 | |||||
Goldman Sachs Group, Inc. (The), MTN, 4.80%, 7/8/44 | 290,000 | 316,592 | |||||
HSBC Holdings plc, 2.95%, 5/25/21 | 200,000 | 202,681 | |||||
HSBC Holdings plc, 4.30%, 3/8/26 | 400,000 | 427,009 | |||||
HSBC Holdings plc, 2.625%, 8/16/28 | GBP | 120,000 | 158,001 | ||||
HSBC Holdings plc, VRN, 3.26%, 3/13/22 | $ | 210,000 | 213,867 | ||||
HUB International Ltd., 7.875%, 10/1/21(3) | 75,000 | 78,563 | |||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp., 6.00%, 8/1/20 | 90,000 | 92,587 | |||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp., 5.875%, 2/1/22 | 80,000 | 82,300 | |||||
Jefferies Finance LLC / JFIN Co-Issuer Corp., 7.375%, 4/1/20(3) | 75,000 | 77,906 | |||||
Morgan Stanley, 2.75%, 5/19/22 | 90,000 | 90,195 | |||||
Morgan Stanley, 4.375%, 1/22/47 | 80,000 | 82,692 | |||||
Morgan Stanley, MTN, 5.625%, 9/23/19 | 770,000 | 829,940 | |||||
Morgan Stanley, MTN, 3.70%, 10/23/24 | 250,000 | 258,094 | |||||
Morgan Stanley, MTN, 4.00%, 7/23/25 | 770,000 | 805,766 | |||||
Nationstar Mortgage LLC / Nationstar Capital Corp., 6.50%, 7/1/21 | 60,000 | 61,575 | |||||
UniCredit SpA, MTN, VRN, 5.75%, 10/28/20 | EUR | 100,000 | 123,638 | ||||
8,138,308 | |||||||
Diversified Telecommunication Services — 0.5% | |||||||
AT&T, Inc., 5.00%, 3/1/21 | $ | 160,000 | 173,988 | ||||
AT&T, Inc., 3.875%, 8/15/21 | 100,000 | 104,973 | |||||
AT&T, Inc., 3.60%, 2/17/23 | 230,000 | 235,601 | |||||
AT&T, Inc., 4.45%, 4/1/24 | 120,000 | 127,025 | |||||
AT&T, Inc., 3.40%, 5/15/25 | 170,000 | 167,300 | |||||
AT&T, Inc., 2.60%, 12/17/29 | EUR | 120,000 | 141,287 |
40
Shares/ Principal Amount | Value | ||||||
AT&T, Inc., 6.55%, 2/15/39 | $ | 290,000 | $ | 349,223 | |||
AT&T, Inc., 4.30%, 12/15/42 | 210,000 | 192,632 | |||||
British Telecommunications plc, 5.95%, 1/15/18 | 420,000 | 431,071 | |||||
CenturyLink, Inc., 5.625%, 4/1/20 | 200,000 | 212,750 | |||||
Cincinnati Bell, Inc., 7.00%, 7/15/24(3) | 85,000 | 89,250 | |||||
Deutsche Telekom International Finance BV, 3.60%, 1/19/27(3) | 210,000 | 214,954 | |||||
Frontier Communications Corp., 7.125%, 3/15/19 | 100,000 | 106,000 | |||||
Frontier Communications Corp., 8.50%, 4/15/20 | 20,000 | 21,250 | |||||
Frontier Communications Corp., 10.50%, 9/15/22 | 90,000 | 88,650 | |||||
Frontier Communications Corp., 7.125%, 1/15/23 | 145,000 | 126,331 | |||||
Frontier Communications Corp., 6.875%, 1/15/25 | 140,000 | 113,313 | |||||
Hughes Satellite Systems Corp., 5.25%, 8/1/26 | 100,000 | 103,125 | |||||
Inmarsat Finance plc, 4.875%, 5/15/22(3) | 50,000 | 51,375 | |||||
Intelsat Jackson Holdings SA, 7.25%, 4/1/19 | 75,000 | 72,000 | |||||
Intelsat Jackson Holdings SA, 7.25%, 10/15/20 | 175,000 | 158,813 | |||||
Level 3 Financing, Inc., 5.375%, 8/15/22 | 90,000 | 92,925 | |||||
Level 3 Financing, Inc., 5.375%, 5/1/25 | 50,000 | 52,688 | |||||
Orange SA, 4.125%, 9/14/21 | 180,000 | 192,609 | |||||
Orange SA, MTN, VRN, 4.00%, 10/1/21 | EUR | 150,000 | 181,612 | ||||
Sprint Capital Corp., 8.75%, 3/15/32 | $ | 105,000 | 132,628 | ||||
Telecom Italia Capital SA, 6.375%, 11/15/33 | 175,000 | 189,000 | |||||
Telecom Italia SpA/Milano, MTN, 5.875%, 5/19/23 | GBP | 150,000 | 224,976 | ||||
Telefonica Emisiones SAU, 4.10%, 3/8/27 | $ | 350,000 | 362,498 | ||||
Telefonica Europe BV, VRN, 5.875%, 3/31/24 | EUR | 100,000 | 127,836 | ||||
Verizon Communications, Inc., 3.65%, 9/14/18 | $ | 550,000 | 563,354 | ||||
Verizon Communications, Inc., 2.625%, 8/15/26 | 130,000 | 120,945 | |||||
Verizon Communications, Inc., 4.125%, 3/16/27 | 60,000 | 62,318 | |||||
Verizon Communications, Inc., 5.05%, 3/15/34 | 750,000 | 789,660 | |||||
Verizon Communications, Inc., 4.75%, 11/1/41 | 100,000 | 98,955 | |||||
Verizon Communications, Inc., 4.86%, 8/21/46 | 90,000 | 89,054 | |||||
Verizon Communications, Inc., 5.01%, 8/21/54 | 144,000 | 141,775 | |||||
Windstream Services LLC, 7.75%, 10/15/20 | 70,000 | 70,853 | |||||
Windstream Services LLC, 6.375%, 8/1/23 | 100,000 | 85,316 | |||||
6,859,913 | |||||||
Electronic Equipment, Instruments and Components† | |||||||
Sanmina Corp., 4.375%, 6/1/19(3) | 125,000 | 128,437 | |||||
Energy Equipment and Services — 0.1% | |||||||
Ensco plc, 4.70%, 3/15/21 | 40,000 | 40,600 | |||||
Ensco plc, 8.00%, 1/31/24 | 50,000 | 49,469 | |||||
FTS International, Inc., 6.25%, 5/1/22 | 60,000 | 53,100 | |||||
Halliburton Co., 3.80%, 11/15/25 | 190,000 | 196,471 | |||||
Noble Holding International Ltd., 7.75%, 1/15/24 | 200,000 | 177,438 | |||||
Precision Drilling Corp., 5.25%, 11/15/24 | 105,000 | 97,650 | |||||
SESI LLC, 6.375%, 5/1/19 | 50,000 | 49,500 | |||||
Transocean, Inc., 4.50%, 10/15/17 | 110,000 | 111,444 | |||||
Transocean, Inc., 9.00%, 7/15/23(3) | 130,000 | 136,500 |
41
Shares/ Principal Amount | Value | ||||||
Weatherford International Ltd., 7.75%, 6/15/21 | $ | 95,000 | $ | 100,617 | |||
Weatherford International Ltd., 4.50%, 4/15/22 | 160,000 | 149,200 | |||||
1,161,989 | |||||||
Equity Real Estate Investment Trusts (REITs) — 0.2% | |||||||
American Tower Corp., 5.05%, 9/1/20 | 170,000 | 184,111 | |||||
American Tower Corp., 3.375%, 10/15/26 | 260,000 | 256,246 | |||||
Boston Properties LP, 3.65%, 2/1/26 | 120,000 | 122,659 | |||||
Crown Castle International Corp., 5.25%, 1/15/23 | 150,000 | 167,695 | |||||
Crown Castle International Corp., 4.45%, 2/15/26 | 150,000 | 160,093 | |||||
CTR Partnership LP / CareTrust Capital Corp., 5.875%, 6/1/21 | 75,000 | 77,242 | |||||
Equinix, Inc., 5.375%, 4/1/23 | 75,000 | 78,915 | |||||
Essex Portfolio LP, 3.625%, 8/15/22 | 100,000 | 103,552 | |||||
Essex Portfolio LP, 3.25%, 5/1/23 | 50,000 | 50,516 | |||||
Hospitality Properties Trust, 4.65%, 3/15/24 | 210,000 | 219,232 | |||||
Kilroy Realty LP, 3.80%, 1/15/23 | 160,000 | 166,269 | |||||
Kilroy Realty LP, 4.375%, 10/1/25 | 40,000 | 42,258 | |||||
Kimco Realty Corp., 2.80%, 10/1/26 | 150,000 | 139,953 | |||||
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc., 5.625%, 5/1/24 | 90,000 | 97,537 | |||||
RHP Hotel Properties LP / RHP Finance Corp., 5.00%, 4/15/21 | 75,000 | 77,063 | |||||
Simon Property Group LP, 3.25%, 11/30/26 | 200,000 | 199,592 | |||||
Uniti Group, Inc. / CSL Capital LLC, 8.25%, 10/15/23 | 140,000 | 148,050 | |||||
Uniti Group, Inc. / CSL Capital LLC, 7.125%, 12/15/24(3) | 55,000 | 55,275 | |||||
VEREIT Operating Partnership LP, 4.125%, 6/1/21 | 200,000 | 210,704 | |||||
Welltower, Inc., 3.75%, 3/15/23 | 160,000 | 165,988 | |||||
2,722,950 | |||||||
Financial Services† | |||||||
PetSmart, Inc., 7.125%, 3/15/23(3) | 230,000 | 215,050 | |||||
Solera LLC / Solera Finance, Inc., 10.50%, 3/1/24(3) | 195,000 | 224,250 | |||||
439,300 | |||||||
Food and Staples Retailing — 0.2% | |||||||
Albertsons Cos. LLC / Safeway, Inc. / New Albertson's, Inc. / Albertson's LLC, 6.625%, 6/15/24(3) | 100,000 | 103,750 | |||||
BI-LO LLC / BI-LO Finance Corp., 9.25%, 2/15/19(3) | 40,000 | 34,300 | |||||
CVS Health Corp., 3.50%, 7/20/22 | 160,000 | 166,854 | |||||
CVS Health Corp., 5.125%, 7/20/45 | 120,000 | 136,415 | |||||
Dollar General Corp., 3.25%, 4/15/23 | 100,000 | 102,033 | |||||
Horizon Pharma, Inc., 6.625%, 5/1/23 | 75,000 | 70,688 | |||||
Kroger Co. (The), 3.30%, 1/15/21 | 190,000 | 196,414 | |||||
Kroger Co. (The), 3.875%, 10/15/46 | 90,000 | 83,400 | |||||
Mondelez International Holdings Netherlands BV, 1.625%, 10/28/19(3) | 200,000 | 197,573 | |||||
Rite Aid Corp., 6.125%, 4/1/23(3) | 150,000 | 149,558 | |||||
SUPERVALU, Inc., 6.75%, 6/1/21 | 40,000 | 41,050 | |||||
Sysco Corp., 3.30%, 7/15/26 | 80,000 | 80,342 | |||||
Target Corp., 2.50%, 4/15/26 | 180,000 | 172,586 |
42
Shares/ Principal Amount | Value | ||||||
Tesco plc, 6.15%, 11/15/37(3) | $ | 80,000 | $ | 83,066 | |||
Tesco plc, MTN, 5.00%, 3/24/23 | GBP | 50,000 | 71,918 | ||||
Wal-Mart Stores, Inc., 2.55%, 4/11/23 | $ | 280,000 | 284,806 | ||||
Wal-Mart Stores, Inc., 5.625%, 4/1/40 | 340,000 | 435,011 | |||||
2,409,764 | |||||||
Food Products — 0.1% | |||||||
B&G Foods, Inc., 5.25%, 4/1/25 | 70,000 | 72,625 | |||||
JBS USA LUX SA / JBS USA Finance, Inc., 7.25%, 6/1/21(3) | 95,000 | 95,712 | |||||
JBS USA LUX SA / JBS USA Finance, Inc., 5.75%, 6/15/25(3) | 90,000 | 87,300 | |||||
Kraft Heinz Foods Co., 3.95%, 7/15/25 | 200,000 | 206,394 | |||||
Kraft Heinz Foods Co., 5.20%, 7/15/45 | 110,000 | 118,162 | |||||
Kraft Heinz Foods Co., 4.375%, 6/1/46 | 80,000 | 76,762 | |||||
Lamb Weston Holdings, Inc., 4.625%, 11/1/24(3) | 130,000 | 133,900 | |||||
Nature's Bounty Co. (The), 7.625%, 5/15/21(3) | 50,000 | 52,375 | |||||
Pilgrim's Pride Corp., 5.75%, 3/15/25(3) | 170,000 | 175,100 | |||||
Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp., 4.875%, 5/1/21 | 55,000 | 56,513 | |||||
Post Holdings, Inc., 5.00%, 8/15/26(3) | 235,000 | 237,350 | |||||
1,312,193 | |||||||
Gas Utilities — 0.4% | |||||||
Boardwalk Pipelines LP, 4.45%, 7/15/27 | 90,000 | 92,946 | |||||
Cheniere Corpus Christi Holdings LLC, 7.00%, 6/30/24 | 55,000 | 61,875 | |||||
Cheniere Corpus Christi Holdings LLC, 5.875%, 3/31/25 | 65,000 | 70,038 | |||||
Cheniere Corpus Christi Holdings LLC, 5.125%, 6/30/27(3) | 70,000 | 71,050 | |||||
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 6.25%, 4/1/23 | 40,000 | 41,675 | |||||
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 5.75%, 4/1/25(3) | 70,000 | 71,750 | |||||
Enbridge Energy Partners LP, 6.50%, 4/15/18 | 240,000 | 249,451 | |||||
Enbridge, Inc., 4.00%, 10/1/23 | 120,000 | 126,030 | |||||
Enbridge, Inc., 4.50%, 6/10/44 | 120,000 | 117,682 | |||||
Energy Transfer Equity LP, 5.875%, 1/15/24 | 110,000 | 117,975 | |||||
Energy Transfer Equity LP, 5.50%, 6/1/27 | 70,000 | 74,025 | |||||
Energy Transfer LP, 4.15%, 10/1/20 | 200,000 | 209,264 | |||||
Energy Transfer LP, 3.60%, 2/1/23 | 170,000 | 173,077 | |||||
Energy Transfer LP, 6.50%, 2/1/42 | 100,000 | 113,884 | |||||
Enterprise Products Operating LLC, 4.85%, 3/15/44 | 360,000 | 380,123 | |||||
Genesis Energy LP / Genesis Energy Finance Corp., 6.75%, 8/1/22 | 15,000 | 15,544 | |||||
Genesis Energy LP / Genesis Energy Finance Corp., 5.625%, 6/15/24 | 160,000 | 156,400 | |||||
Kinder Morgan Energy Partners LP, 6.50%, 4/1/20 | 150,000 | 165,961 | |||||
Kinder Morgan Energy Partners LP, 6.50%, 9/1/39 | 300,000 | 346,814 | |||||
Magellan Midstream Partners LP, 6.55%, 7/15/19 | 200,000 | 218,250 | |||||
MPLX LP, 4.875%, 6/1/25 | 350,000 | 375,400 | |||||
MPLX LP, 5.20%, 3/1/47 | 40,000 | 41,553 | |||||
NGPL PipeCo LLC, 7.12%, 12/15/17(3) | 75,000 | 77,063 | |||||
NuStar Logistics LP, 4.75%, 2/1/22 | 40,000 | 41,300 |
43
Shares/ Principal Amount | Value | ||||||
Plains All American Pipeline LP / PAA Finance Corp., 3.65%, 6/1/22 | $ | 270,000 | $ | 276,986 | |||
Regency Energy Partners LP / Regency Energy Finance Corp., 5.50%, 4/15/23 | 50,000 | 52,200 | |||||
Rockies Express Pipeline LLC, 5.625%, 4/15/20(3) | 160,000 | 171,200 | |||||
Sabine Pass Liquefaction LLC, 5.625%, 3/1/25 | 415,000 | 461,273 | |||||
Sunoco Logistics Partners Operations LP, 3.45%, 1/15/23 | 300,000 | 304,823 | |||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 6.375%, 8/1/22 | 56,000 | 58,100 | |||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 4.25%, 11/15/23 | 54,000 | 53,730 | |||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.125%, 2/1/25(3) | 86,000 | 89,332 | |||||
Tesoro Logistics LP / Tesoro Logistics Finance Corp., 5.50%, 10/15/19 | 120,000 | 127,500 | |||||
Tesoro Logistics LP / Tesoro Logistics Finance Corp., 6.25%, 10/15/22 | 50,000 | 53,719 | |||||
TransCanada PipeLines Ltd., 2.50%, 8/1/22 | 180,000 | 180,473 | |||||
Williams Cos., Inc. (The), 3.70%, 1/15/23 | 130,000 | 128,700 | |||||
Williams Cos., Inc. (The), 4.55%, 6/24/24 | 205,000 | 211,662 | |||||
Williams Partners LP, 5.10%, 9/15/45 | 150,000 | 155,289 | |||||
5,734,117 | |||||||
Health Care Equipment and Supplies — 0.2% | |||||||
Abbott Laboratories, 2.00%, 9/15/18 | 80,000 | 80,281 | |||||
Abbott Laboratories, 3.75%, 11/30/26 | 340,000 | 347,442 | |||||
Alere, Inc., 6.50%, 6/15/20 | 50,000 | 51,125 | |||||
Alere, Inc., 6.375%, 7/1/23(3) | 40,000 | 43,450 | |||||
Becton Dickinson and Co., 3.73%, 12/15/24 | 230,000 | 234,715 | |||||
Becton Dickinson and Co., 3.70%, 6/6/27(4) | 100,000 | 100,163 | |||||
DJO Finco, Inc. / DJO Finance LLC / DJO Finance Corp., 8.125%, 6/15/21(3) | 70,000 | 65,450 | |||||
Mallinckrodt International Finance SA, 4.75%, 4/15/23 | 160,000 | 142,400 | |||||
Mallinckrodt International Finance SA / Mallinckrodt CB LLC, 5.75%, 8/1/22(3) | 110,000 | 108,625 | |||||
Medtronic, Inc., 2.50%, 3/15/20 | 120,000 | 122,138 | |||||
Medtronic, Inc., 3.50%, 3/15/25 | 240,000 | 250,503 | |||||
Medtronic, Inc., 4.375%, 3/15/35 | 240,000 | 259,379 | |||||
Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA, 6.625%, 5/15/22(3) | 40,000 | 38,400 | |||||
Thermo Fisher Scientific, Inc., 3.60%, 8/15/21 | 210,000 | 219,368 | |||||
Thermo Fisher Scientific, Inc., 3.30%, 2/15/22 | 61,000 | 63,113 | |||||
Thermo Fisher Scientific, Inc., 5.30%, 2/1/44 | 110,000 | 127,083 | |||||
Zimmer Biomet Holdings, Inc., 2.70%, 4/1/20 | 100,000 | 101,245 | |||||
2,354,880 | |||||||
Health Care Providers and Services — 0.4% | |||||||
Acadia Healthcare Co., Inc., 5.125%, 7/1/22 | 35,000 | 35,875 | |||||
Acadia Healthcare Co., Inc., 5.625%, 2/15/23 | 110,000 | 114,813 | |||||
Aetna, Inc., 2.75%, 11/15/22 | 160,000 | 161,398 | |||||
Ascension Health, 3.95%, 11/15/46 | 40,000 | 39,816 | |||||
Centene Corp., 5.625%, 2/15/21 | 50,000 | 52,344 |
44
Shares/ Principal Amount | Value | ||||||
Centene Corp., 6.125%, 2/15/24 | $ | 125,000 | $ | 136,132 | |||
CHS / Community Health Systems, Inc., 8.00%, 11/15/19 | 155,000 | 156,356 | |||||
CHS / Community Health Systems, Inc., 7.125%, 7/15/20 | 60,000 | 59,250 | |||||
CHS / Community Health Systems, Inc., 6.875%, 2/1/22 | 60,000 | 53,550 | |||||
CHS / Community Health Systems, Inc., 6.25%, 3/31/23 | 80,000 | 82,960 | |||||
DaVita, Inc., 5.75%, 8/15/22 | 25,000 | 25,953 | |||||
DaVita, Inc., 5.125%, 7/15/24 | 180,000 | 183,487 | |||||
DaVita, Inc., 5.00%, 5/1/25 | 110,000 | 109,588 | |||||
Envision Healthcare Corp., 5.625%, 7/15/22 | 125,000 | 130,922 | |||||
Express Scripts Holding Co., 3.40%, 3/1/27 | 320,000 | 309,159 | |||||
Fresenius Medical Care US Finance II, Inc., 4.75%, 10/15/24(3) | 125,000 | 132,501 | |||||
HCA, Inc., 3.75%, 3/15/19 | 480,000 | 491,400 | |||||
HCA, Inc., 4.25%, 10/15/19 | 125,000 | 130,462 | |||||
HCA, Inc., 7.50%, 2/15/22 | 145,000 | 167,475 | |||||
HCA, Inc., 4.75%, 5/1/23 | 170,000 | 181,755 | |||||
HCA, Inc., 5.375%, 2/1/25 | 220,000 | 231,825 | |||||
HCA, Inc., 4.50%, 2/15/27 | 50,000 | 51,563 | |||||
HealthSouth Corp., 5.75%, 11/1/24 | 45,000 | 46,688 | |||||
IASIS Healthcare LLC / IASIS Capital Corp., 8.375%, 5/15/19 | 155,000 | 157,034 | |||||
Jaguar Holding Co. II / Pharmaceutical Product Development LLC, 6.375%, 8/1/23(3) | 100,000 | 106,000 | |||||
Kindred Healthcare, Inc., 8.00%, 1/15/20 | 70,000 | 74,113 | |||||
Kindred Healthcare, Inc., 6.375%, 4/15/22 | 25,000 | 24,469 | |||||
LifePoint Health, Inc., 5.50%, 12/1/21 | 75,000 | 77,953 | |||||
Mylan NV, 3.95%, 6/15/26 | 120,000 | 120,549 | |||||
NYU Hospitals Center, 4.43%, 7/1/42 | 110,000 | 113,061 | |||||
Tenet Healthcare Corp., 8.00%, 8/1/20 | 100,000 | 102,000 | |||||
Tenet Healthcare Corp., 6.00%, 10/1/20 | 100,000 | 107,375 | |||||
Tenet Healthcare Corp., 4.50%, 4/1/21 | 50,000 | 51,565 | |||||
Tenet Healthcare Corp., 8.125%, 4/1/22 | 235,000 | 248,806 | |||||
Tenet Healthcare Corp., 6.75%, 6/15/23 | 140,000 | 139,650 | |||||
UnitedHealth Group, Inc., 2.875%, 3/15/22 | 290,000 | 298,348 | |||||
UnitedHealth Group, Inc., 3.75%, 7/15/25 | 100,000 | 105,866 | |||||
Universal Health Services, Inc., 4.75%, 8/1/22(3) | 50,000 | 51,500 | |||||
Universal Health Services, Inc., 5.00%, 6/1/26(3) | 85,000 | 87,763 | |||||
4,951,324 | |||||||
Hotels, Restaurants and Leisure — 0.2% | |||||||
1011778 BC ULC / New Red Finance, Inc., 4.625%, 1/15/22(3) | 40,000 | 41,220 | |||||
1011778 BC ULC / New Red Finance, Inc., 6.00%, 4/1/22(3) | 160,000 | 166,952 | |||||
Aramark Services, Inc., 5.125%, 1/15/24 | 60,000 | 63,450 | |||||
Aramark Services, Inc., 5.00%, 4/1/25(3) | 70,000 | 73,675 | |||||
Boyd Gaming Corp., 6.875%, 5/15/23 | 81,000 | 87,986 | |||||
Boyd Gaming Corp., 6.375%, 4/1/26 | 85,000 | 92,956 | |||||
Caesars Entertainment Resort Properties LLC / Caesars Entertainment Resort Prope, 8.00%, 10/1/20 | 60,000 | 62,288 |
45
Shares/ Principal Amount | Value | ||||||
Caesars Entertainment Resort Properties LLC / Caesars Entertainment Resort Prope, 11.00%, 10/1/21 | $ | 60,000 | $ | 64,734 | |||
Eldorado Resorts, Inc., 7.00%, 8/1/23 | 100,000 | 108,875 | |||||
FelCor Lodging LP, 5.625%, 3/1/23 | 40,000 | 42,000 | |||||
Golden Nugget, Inc., 8.50%, 12/1/21(3) | 150,000 | 160,875 | |||||
Hilton Domestic Operating Co., Inc., 4.25%, 9/1/24(3) | 235,000 | 237,937 | |||||
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp., 4.625%, 4/1/25(3) | 80,000 | 82,800 | |||||
International Game Technology plc, 6.25%, 2/15/22(3) | 95,000 | 103,217 | |||||
International Game Technology plc, 6.50%, 2/15/25(3) | 95,000 | 104,204 | |||||
Jack Ohio Finance LLC / Jack Ohio Finance 1 Corp., 6.75%, 11/15/21(3) | 75,000 | 77,906 | |||||
KFC Holding Co/Pizza Hut Holdings LLC/Taco Bell of America LLC, 5.25%, 6/1/26(3) | 25,000 | 26,294 | |||||
McDonald's Corp., MTN, 3.375%, 5/26/25 | 100,000 | 102,502 | |||||
McDonald's Corp., MTN, 4.70%, 12/9/35 | 80,000 | 87,195 | |||||
MGM Resorts International, 5.25%, 3/31/20 | 150,000 | 160,026 | |||||
MGM Resorts International, 6.00%, 3/15/23 | 130,000 | 143,039 | |||||
Penn National Gaming, Inc., 5.625%, 1/15/27(3) | 150,000 | 152,062 | |||||
Pinnacle Entertainment, Inc., 5.625%, 5/1/24(3) | 25,000 | 25,938 | |||||
Rivers Pittsburgh Borrower, LP / Rivers Pittsburgh Finance Corp., 6.125%, 8/15/21(3) | 50,000 | 50,750 | |||||
Royal Caribbean Cruises Ltd., 5.25%, 11/15/22 | 170,000 | 188,275 | |||||
Scientific Games International, Inc., 6.25%, 9/1/20 | 100,000 | 99,125 | |||||
Scientific Games International, Inc., 7.00%, 1/1/22(3) | 115,000 | 123,050 | |||||
Scientific Games International, Inc., 10.00%, 12/1/22 | 115,000 | 125,637 | |||||
Station Casinos LLC, 7.50%, 3/1/21 | 65,000 | 67,763 | |||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.50%, 3/1/25(3) | 140,000 | 148,400 | |||||
3,071,131 | |||||||
Household Durables — 0.1% | |||||||
Beazer Homes USA, Inc., 7.25%, 2/1/23 | 96,000 | 100,800 | |||||
Brookfield Residential Properties, Inc. / Brookfield Residential US Corp., 6.125%, 7/1/22(3) | 75,000 | 77,438 | |||||
CalAtlantic Group, Inc., 5.375%, 10/1/22 | 45,000 | 48,431 | |||||
Century Communities, Inc., 6.875%, 5/15/22 | 30,000 | 31,613 | |||||
K Hovnanian Enterprises, Inc., 7.00%, 1/15/19(3) | 50,000 | 48,625 | |||||
KB Home, 4.75%, 5/15/19 | 35,000 | 36,225 | |||||
KB Home, 7.00%, 12/15/21 | 30,000 | 34,050 | |||||
Lennar Corp., 4.75%, 4/1/21 | 40,000 | 42,350 | |||||
Lennar Corp., 4.50%, 4/30/24 | 100,000 | 101,750 | |||||
Newell Brands, Inc., 4.20%, 4/1/26 | 220,000 | 233,700 | |||||
Newell Brands, Inc., 5.50%, 4/1/46 | 120,000 | 142,210 | |||||
PulteGroup, Inc., 5.50%, 3/1/26 | 100,000 | 106,063 | |||||
Shea Homes LP / Shea Homes Funding Corp., 5.875%, 4/1/23(3) | 60,000 | 61,800 | |||||
Taylor Morrison Communities, Inc. / Taylor Morrison Holdings II, Inc., 5.625%, 3/1/24(3) | 200,000 | 210,500 | |||||
TRI Pointe Group, Inc. / TRI Pointe Homes, Inc., 5.875%, 6/15/24 | 165,000 | 173,662 |
46
Shares/ Principal Amount | Value | ||||||
WCI Communities, Inc. / Lennar Corp., 6.875%, 8/15/21 | $ | 90,000 | $ | 94,275 | |||
William Lyon Homes, Inc., 5.875%, 1/31/25(3) | 100,000 | 103,500 | |||||
1,646,992 | |||||||
Household Products† | |||||||
Energizer Holdings, Inc., 5.50%, 6/15/25(3) | 70,000 | 74,113 | |||||
Spectrum Brands, Inc., 6.625%, 11/15/22 | 130,000 | 137,475 | |||||
Spectrum Brands, Inc., 5.75%, 7/15/25 | 144,000 | 153,734 | |||||
365,322 | |||||||
Industrial Conglomerates — 0.1% | |||||||
Bombardier, Inc., 8.75%, 12/1/21(3) | 50,000 | 55,594 | |||||
FedEx Corp., 4.40%, 1/15/47 | 100,000 | 100,912 | |||||
General Electric Co., 4.125%, 10/9/42 | 240,000 | 250,959 | |||||
General Electric Co., MTN, 5.625%, 9/15/17 | 112,000 | 113,319 | |||||
General Electric Co., MTN, 4.375%, 9/16/20 | 360,000 | 387,283 | |||||
HD Supply, Inc., 5.25%, 12/15/21(3) | 50,000 | 52,862 | |||||
Ingersoll-Rand Luxembourg Finance SA, 3.55%, 11/1/24 | 150,000 | 154,830 | |||||
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc., 6.375%, 5/1/22(3) | 205,000 | 214,737 | |||||
1,330,496 | |||||||
Insurance — 0.4% | |||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 5.00%, 10/1/21 | 180,000 | 195,626 | |||||
American International Group, Inc., 4.125%, 2/15/24 | 540,000 | 571,657 | |||||
American International Group, Inc., 4.50%, 7/16/44 | 110,000 | 112,664 | |||||
AXA SA, 7.125%, 12/15/20 | GBP | 55,000 | 85,051 | ||||
AXA SA, 6.69%, 7/6/26 | GBP | 50,000 | 75,317 | ||||
AXA SA, MTN, VRN, 3.375%, 7/6/27 | EUR | 200,000 | 239,108 | ||||
Berkshire Hathaway Finance Corp., 3.00%, 5/15/22 | $ | 290,000 | 300,375 | ||||
Berkshire Hathaway, Inc., 2.75%, 3/15/23 | 90,000 | 91,012 | |||||
Berkshire Hathaway, Inc., 4.50%, 2/11/43 | 170,000 | 187,189 | |||||
Chubb INA Holdings, Inc., 3.15%, 3/15/25 | 210,000 | 214,272 | |||||
Chubb INA Holdings, Inc., 3.35%, 5/3/26 | 100,000 | 103,264 | |||||
CNP Assurances, VRN, 4.00%, 11/18/24 | EUR | 400,000 | 479,368 | ||||
Credit Agricole Assurances SA, VRN, 4.25%, 1/13/25 | EUR | 100,000 | 119,370 | ||||
Genworth Holdings, Inc., 7.625%, 9/24/21 | $ | 35,000 | 33,425 | ||||
Genworth Holdings, Inc., VRN, 3.18%, 8/15/17 | 25,000 | 10,812 | |||||
Hartford Financial Services Group, Inc. (The), 5.95%, 10/15/36 | 60,000 | 72,666 | |||||
International Lease Finance Corp., 3.875%, 4/15/18 | 250,000 | 254,114 | |||||
International Lease Finance Corp., 6.25%, 5/15/19 | 60,000 | 64,533 | |||||
Liberty Mutual Group, Inc., VRN, 4.04%, 6/15/17(3) | 100,000 | 97,250 | |||||
Markel Corp., 4.90%, 7/1/22 | 200,000 | 220,432 | |||||
Markel Corp., 3.625%, 3/30/23 | 80,000 | 83,217 | |||||
MetLife, Inc., 4.125%, 8/13/42 | 90,000 | 91,747 | |||||
MetLife, Inc., 4.875%, 11/13/43 | 50,000 | 56,623 | |||||
Metropolitan Life Global Funding I, 3.00%, 1/10/23(3) | 250,000 | 254,651 | |||||
Principal Financial Group, Inc., 3.30%, 9/15/22 | 80,000 | 82,759 | |||||
Prudential Financial, Inc., 5.375%, 6/21/20 | 160,000 | 175,376 |
47
Shares/ Principal Amount | Value | ||||||
Prudential Financial, Inc., 5.625%, 5/12/41 | $ | 190,000 | $ | 229,375 | |||
Travelers Cos., Inc. (The), 4.30%, 8/25/45 | 60,000 | 64,717 | |||||
Voya Financial, Inc., 5.70%, 7/15/43 | 150,000 | 173,247 | |||||
Voya Financial, Inc., VRN, 5.65%, 5/15/23 | 75,000 | 78,937 | |||||
WR Berkley Corp., 4.625%, 3/15/22 | 130,000 | 140,468 | |||||
WR Berkley Corp., 4.75%, 8/1/44 | 80,000 | 81,780 | |||||
5,040,402 | |||||||
Internet Software and Services† | |||||||
Match Group, Inc., 6.75%, 12/15/22 | 80,000 | 84,100 | |||||
Netflix, Inc., 5.375%, 2/1/21 | 40,000 | 43,600 | |||||
Netflix, Inc., 5.75%, 3/1/24 | 100,000 | 108,750 | |||||
VeriSign, Inc., 5.25%, 4/1/25 | 40,000 | 42,650 | |||||
279,100 | |||||||
IT Services — 0.1% | |||||||
CDW LLC / CDW Finance Corp., 5.00%, 9/1/23 | 20,000 | 20,700 | |||||
CDW LLC / CDW Finance Corp., 5.50%, 12/1/24 | 90,000 | 97,650 | |||||
Fidelity National Information Services, Inc., 3.875%, 6/5/24 | 220,000 | 230,308 | |||||
Fidelity National Information Services, Inc., 3.00%, 8/15/26 | 260,000 | 252,512 | |||||
First Data Corp., 7.00%, 12/1/23(3) | 165,000 | 178,200 | |||||
First Data Corp., 5.00%, 1/15/24(3) | 150,000 | 156,000 | |||||
First Data Corp., 5.75%, 1/15/24(3) | 170,000 | 180,413 | |||||
Hewlett Packard Enterprise Co., 3.60%, 10/15/20 | 270,000 | 280,966 | |||||
Hewlett Packard Enterprise Co., 4.90%, 10/15/25 | 130,000 | 137,664 | |||||
1,534,413 | |||||||
Machinery† | |||||||
BlueLine Rental Finance Corp. / BlueLine Rental LLC, 9.25%, 3/15/24(3) | 60,000 | 62,850 | |||||
Caterpillar Financial Services Corp., MTN, 2.85%, 6/1/22 | 31,000 | 31,705 | |||||
CNH Industrial Capital LLC, 3.375%, 7/15/19 | 75,000 | 76,781 | |||||
Navistar International Corp., 8.25%, 11/1/21 | 25,000 | 25,422 | |||||
196,758 | |||||||
Marine† | |||||||
Martin Midstream Partners LP / Martin Midstream Finance Corp., 7.25%, 2/15/21 | 180,000 | 185,400 | |||||
Media — 0.7% | |||||||
21st Century Fox America, Inc., 3.70%, 10/15/25 | 50,000 | 51,734 | |||||
21st Century Fox America, Inc., 6.90%, 8/15/39 | 140,000 | 185,034 | |||||
21st Century Fox America, Inc., 4.75%, 9/15/44 | 40,000 | 41,339 | |||||
21st Century Fox America, Inc., 4.75%, 11/15/46 | 40,000 | 41,553 | |||||
Altice Financing SA, 6.625%, 2/15/23(3) | 225,000 | 239,962 | |||||
Altice Financing SA, 7.50%, 5/15/26(3) | 65,000 | 71,744 | |||||
Altice Finco SA, 7.625%, 2/15/25(3) | 115,000 | 120,319 | |||||
Altice Luxembourg SA, 7.75%, 5/15/22(3) | 70,000 | 74,462 | |||||
Altice Luxembourg SA, 7.625%, 2/15/25(3) | 140,000 | 153,300 | |||||
Altice US Finance I Corp., 5.375%, 7/15/23(3) | 105,000 | 109,856 | |||||
Altice US Finance I Corp., 5.50%, 5/15/26(3) | 25,000 | 26,250 | |||||
AMC Entertainment Holdings, Inc., 5.75%, 6/15/25 | 50,000 | 52,030 |
48
Shares/ Principal Amount | Value | ||||||
Cablevision Systems Corp., 5.875%, 9/15/22 | $ | 170,000 | $ | 176,800 | |||
CBS Corp., 3.50%, 1/15/25 | 116,000 | 116,901 | |||||
CBS Corp., 4.85%, 7/1/42 | 70,000 | 72,907 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp., 5.25%, 9/30/22 | 250,000 | 259,455 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp., 5.125%, 5/1/23(3) | 220,000 | 231,964 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp., 5.75%, 2/15/26(3) | 120,000 | 128,850 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp., 5.125%, 5/1/27(3) | 20,000 | 20,513 | |||||
Cequel Communications Holdings I LLC / Cequel Capital Corp., 5.125%, 12/15/21(3) | 130,000 | 133,250 | |||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 4.91%, 7/23/25 | 745,000 | 807,634 | |||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 6.48%, 10/23/45 | 40,000 | 47,964 | |||||
Cinemark USA, Inc., 5.125%, 12/15/22 | 60,000 | 61,950 | |||||
Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/20 | 140,000 | 141,225 | |||||
Clear Channel Worldwide Holdings, Inc., 6.50%, 11/15/22 | 60,000 | 61,500 | |||||
Comcast Corp., 6.40%, 5/15/38 | 230,000 | 302,453 | |||||
Comcast Corp., 4.75%, 3/1/44 | 150,000 | 165,331 | |||||
CSC Holdings LLC, 6.75%, 11/15/21 | 125,000 | 138,594 | |||||
CSC Holdings LLC, 10.125%, 1/15/23(3) | 70,000 | 81,683 | |||||
CSC Holdings LLC, 6.625%, 10/15/25(3) | 100,000 | 110,415 | |||||
CSC Holdings LLC, 10.875%, 10/15/25(3) | 45,000 | 54,900 | |||||
Cumulus Media Holdings, Inc., 7.75%, 5/1/19 | 50,000 | 13,438 | |||||
Discovery Communications LLC, 5.625%, 8/15/19 | 81,000 | 87,041 | |||||
Discovery Communications LLC, 3.25%, 4/1/23 | 130,000 | 128,457 | |||||
Discovery Communications LLC, 4.90%, 3/11/26 | 100,000 | 105,470 | |||||
DISH DBS Corp., 6.75%, 6/1/21 | 125,000 | 138,594 | |||||
DISH DBS Corp., 5.00%, 3/15/23 | 135,000 | 139,093 | |||||
DISH DBS Corp., 5.875%, 11/15/24 | 100,000 | 106,875 | |||||
Globo Comunicacao e Participacoes SA, 5.125%, 3/31/27(3) | 200,000 | 199,500 | |||||
Gray Television, Inc., 5.125%, 10/15/24(3) | 100,000 | 100,250 | |||||
Gray Television, Inc., 5.875%, 7/15/26(3) | 25,000 | 25,438 | |||||
Lamar Media Corp., 5.00%, 5/1/23 | 150,000 | 157,125 | |||||
Lamar Media Corp., 5.375%, 1/15/24 | 140,000 | 147,770 | |||||
McClatchy Co. (The), 9.00%, 12/15/22 | 40,000 | 41,800 | |||||
NBCUniversal Media LLC, 4.375%, 4/1/21 | 260,000 | 282,125 | |||||
NBCUniversal Media LLC, 2.875%, 1/15/23 | 350,000 | 357,448 | |||||
Nexstar Broadcasting, Inc., 5.625%, 8/1/24(3) | 135,000 | 136,350 | |||||
Nielsen Finance LLC / Nielsen Finance Co., 5.00%, 4/15/22(3) | 240,000 | 247,500 | |||||
Omnicom Group, Inc., 3.60%, 4/15/26 | 220,000 | 224,221 | |||||
Regal Entertainment Group, 5.75%, 3/15/22 | 100,000 | 104,875 | |||||
RR Donnelley & Sons Co., 6.00%, 4/1/24 | 65,000 | 64,025 | |||||
SFR Group SA, 6.00%, 5/15/22(3) | 180,000 | 188,775 | |||||
SFR Group SA, 7.375%, 5/1/26(3) | 175,000 | 190,202 |
49
Shares/ Principal Amount | Value | ||||||
Sinclair Television Group, Inc., 5.375%, 4/1/21 | $ | 50,000 | $ | 51,500 | |||
Sinclair Television Group, Inc., 5.625%, 8/1/24(3) | 80,000 | 82,500 | |||||
Sirius XM Radio, Inc., 5.75%, 8/1/21(3) | 75,000 | 77,812 | |||||
Sirius XM Radio, Inc., 4.625%, 5/15/23(3) | 70,000 | 71,269 | |||||
Sirius XM Radio, Inc., 5.375%, 4/15/25(3) | 60,000 | 61,800 | |||||
TEGNA, Inc., 5.50%, 9/15/24(3) | 140,000 | 144,900 | |||||
Time Warner Cable LLC, 6.75%, 7/1/18 | 240,000 | 252,324 | |||||
Time Warner Cable LLC, 5.50%, 9/1/41 | 80,000 | 85,626 | |||||
Time Warner Cable LLC, 4.50%, 9/15/42 | 90,000 | 86,344 | |||||
Time Warner, Inc., 3.60%, 7/15/25 | 240,000 | 240,284 | |||||
Time Warner, Inc., 3.80%, 2/15/27 | 180,000 | 179,903 | |||||
Time Warner, Inc., 5.35%, 12/15/43 | 80,000 | 84,899 | |||||
Unitymedia GmbH, 6.125%, 1/15/25(3) | 95,000 | 102,125 | |||||
Univision Communications, Inc., 5.125%, 2/15/25(3) | 100,000 | 99,125 | |||||
Viacom, Inc., 3.125%, 6/15/22 | 100,000 | 100,288 | |||||
Viacom, Inc., 4.25%, 9/1/23 | 135,000 | 141,327 | |||||
Videotron Ltd., 5.00%, 7/15/22 | 75,000 | 80,156 | |||||
Virgin Media Finance plc, 5.75%, 1/15/25(3) | 110,000 | 112,887 | |||||
Virgin Media Secured Finance plc, 5.25%, 1/15/26(3) | 145,000 | 148,081 | |||||
Walt Disney Co. (The), MTN, 2.35%, 12/1/22 | 160,000 | 160,389 | |||||
Walt Disney Co. (The), MTN, 4.125%, 6/1/44 | 44,000 | 45,845 | |||||
WideOpenWest Finance LLC / WideOpenWest Capital Corp., 10.25%, 7/15/19 | 62,000 | 64,399 | |||||
Wind Acquisition Finance SA, 7.375%, 4/23/21(3) | 175,000 | 182,459 | |||||
WMG Acquisition Corp., 5.625%, 4/15/22(3) | 110,000 | 114,812 | |||||
Ziggo Bond Finance BV, 5.875%, 1/15/25(3) | 90,000 | 92,475 | |||||
10,331,773 | |||||||
Metals and Mining — 0.2% | |||||||
AK Steel Corp., 7.00%, 3/15/27 | 80,000 | 80,800 | |||||
Alcoa Nederland Holding BV, 6.75%, 9/30/24(3) | 70,000 | 75,950 | |||||
Aleris International, Inc., 9.50%, 4/1/21(3) | 50,000 | 52,500 | |||||
Allegheny Technologies, Inc., 5.95%, 1/15/21 | 140,000 | 140,000 | |||||
Anglo American Capital plc, 3.625%, 5/14/20(3) | 75,000 | 76,353 | |||||
Anglo American Capital plc, 4.875%, 5/14/25(3) | 100,000 | 104,193 | |||||
ArcelorMittal, 6.125%, 6/1/25 | 100,000 | 113,200 | |||||
ArcelorMittal, 7.25%, 3/1/41 | 155,000 | 172,050 | |||||
Arconic, Inc., 5.40%, 4/15/21 | 25,000 | 27,012 | |||||
Arconic, Inc., 5.125%, 10/1/24 | 165,000 | 176,220 | |||||
Barrick North America Finance LLC, 5.75%, 5/1/43 | 70,000 | 84,560 | |||||
Cliffs Natural Resources, Inc., 8.25%, 3/31/20(3) | 47,000 | 51,935 | |||||
Cliffs Natural Resources, Inc., 5.75%, 3/1/25(3) | 75,000 | 72,000 | |||||
First Quantum Minerals Ltd., 7.25%, 5/15/22(3) | 160,000 | 165,600 | |||||
Freeport-McMoRan, Inc., 3.55%, 3/1/22 | 195,000 | 183,300 | |||||
Freeport-McMoRan, Inc., 3.875%, 3/15/23 | 16,000 | 14,950 | |||||
Freeport-McMoRan, Inc., 5.40%, 11/14/34 | 230,000 | 204,700 | |||||
Glencore Finance Canada Ltd., 4.95%, 11/15/21(3) | 130,000 | 139,514 | |||||
Kinross Gold Corp., 5.125%, 9/1/21 | 40,000 | 42,400 |
50
Shares/ Principal Amount | Value | ||||||
Lundin Mining Corp., 7.875%, 11/1/22(3) | $ | 70,000 | $ | 77,000 | |||
New Gold, Inc., 6.25%, 11/15/22(3) | 35,000 | 36,138 | |||||
Novelis Corp., 5.875%, 9/30/26(3) | 135,000 | 140,062 | |||||
Southern Copper Corp., 5.25%, 11/8/42 | 60,000 | 58,853 | |||||
Steel Dynamics, Inc., 5.25%, 4/15/23 | 100,000 | 103,875 | |||||
Steel Dynamics, Inc., 5.00%, 12/15/26 | 65,000 | 66,300 | |||||
Teck Resources Ltd., 4.75%, 1/15/22 | 170,000 | 178,712 | |||||
Teck Resources Ltd., 6.25%, 7/15/41 | 40,000 | 42,000 | |||||
United States Steel Corp., 7.375%, 4/1/20 | 94,000 | 102,084 | |||||
Vale Overseas Ltd., 5.625%, 9/15/19 | 100,000 | 106,000 | |||||
Vale Overseas Ltd., 6.25%, 8/10/26 | 80,000 | 86,600 | |||||
2,974,861 | |||||||
Mortgage Real Estate Investment Trusts (REITs)† | |||||||
iStar, Inc., 5.00%, 7/1/19 | 50,000 | 50,750 | |||||
Multi-Utilities — 0.4% | |||||||
AES Corp., 4.875%, 5/15/23 | 305,000 | 311,481 | |||||
AmeriGas Partners LP / AmeriGas Finance Corp., 5.625%, 5/20/24 | 120,000 | 123,888 | |||||
AmeriGas Partners LP / AmeriGas Finance Corp., 5.875%, 8/20/26 | 75,000 | 76,875 | |||||
AmeriGas Partners LP / AmeriGas Finance Corp., 5.75%, 5/20/27 | 70,000 | 71,050 | |||||
Berkshire Hathaway Energy Co., 3.50%, 2/1/25 | 140,000 | 144,868 | |||||
Calpine Corp., 5.375%, 1/15/23 | 110,000 | 108,075 | |||||
Calpine Corp., 5.875%, 1/15/24(3) | 50,000 | 51,875 | |||||
Calpine Corp., 5.75%, 1/15/25 | 230,000 | 219,363 | |||||
Consolidated Edison Co. of New York, Inc., 3.95%, 3/1/43 | 100,000 | 101,292 | |||||
Dominion Energy, Inc., 6.40%, 6/15/18 | 360,000 | 377,240 | |||||
Dominion Energy, Inc., 2.75%, 9/15/22 | 140,000 | 140,251 | |||||
Dominion Energy, Inc., 3.625%, 12/1/24 | 225,000 | 230,607 | |||||
Dominion Energy, Inc., 4.90%, 8/1/41 | 70,000 | 75,902 | |||||
Duke Energy Florida LLC, 6.35%, 9/15/37 | 270,000 | 366,058 | |||||
Duke Energy Florida LLC, 3.85%, 11/15/42 | 130,000 | 129,679 | |||||
Duke Energy Progress LLC, 4.15%, 12/1/44 | 120,000 | 125,888 | |||||
Dynegy, Inc., 7.375%, 11/1/22 | 115,000 | 113,563 | |||||
Dynegy, Inc., 7.625%, 11/1/24 | 115,000 | 112,125 | |||||
Exelon Corp., 5.15%, 12/1/20 | 200,000 | 217,108 | |||||
Exelon Corp., 4.45%, 4/15/46 | 100,000 | 102,483 | |||||
Exelon Generation Co. LLC, 4.25%, 6/15/22 | 120,000 | 127,136 | |||||
Exelon Generation Co. LLC, 5.60%, 6/15/42 | 80,000 | 79,617 | |||||
FirstEnergy Corp., 4.25%, 3/15/23 | 230,000 | 240,075 | |||||
Florida Power & Light Co., 4.125%, 2/1/42 | 225,000 | 238,323 | |||||
GenOn Energy, Inc., 9.50%, 10/15/18(9) | 40,000 | 29,000 | |||||
GenOn Energy, Inc., 9.875%, 10/15/20(9) | 30,000 | 21,975 | |||||
Georgia Power Co., 4.30%, 3/15/42 | 60,000 | 60,823 | |||||
MidAmerican Energy Co., 4.40%, 10/15/44 | 200,000 | 218,364 | |||||
NiSource Finance Corp., 5.65%, 2/1/45 | 110,000 | 132,886 | |||||
NRG Energy, Inc., 6.25%, 7/15/22 | 150,000 | 154,031 |
51
Shares/ Principal Amount | Value | ||||||
NRG Energy, Inc., 6.25%, 5/1/24 | $ | 80,000 | $ | 80,840 | |||
NRG Energy, Inc., 7.25%, 5/15/26 | 50,000 | 51,375 | |||||
Pacific Gas & Electric Co., 4.00%, 12/1/46 | 155,000 | 158,921 | |||||
Potomac Electric Power Co., 3.60%, 3/15/24 | 120,000 | 125,589 | |||||
Progress Energy, Inc., 3.15%, 4/1/22 | 110,000 | 112,954 | |||||
Sempra Energy, 2.875%, 10/1/22 | 220,000 | 221,313 | |||||
Southern Co. Gas Capital Corp., 3.95%, 10/1/46 | 50,000 | 47,457 | |||||
Southern Power Co., 5.15%, 9/15/41 | 60,000 | 63,297 | |||||
SSE plc, VRN, 2.375%, 4/1/21 | EUR | 200,000 | 225,691 | ||||
Talen Energy Supply LLC, 4.625%, 7/15/19(3) | $ | 30,000 | 29,325 | ||||
Xcel Energy, Inc., 3.35%, 12/1/26 | 70,000 | 71,316 | |||||
Xcel Energy, Inc., 4.80%, 9/15/41 | 50,000 | 53,310 | |||||
5,743,289 | |||||||
Multiline Retail† | |||||||
Bon-Ton Department Stores, Inc. (The), 8.00%, 6/15/21 | 60,000 | 22,500 | |||||
JC Penney Corp., Inc., 5.75%, 2/15/18 | 15,000 | 15,319 | |||||
JC Penney Corp., Inc., 5.65%, 6/1/20 | 75,000 | 74,719 | |||||
Macy's Retail Holdings, Inc., 2.875%, 2/15/23 | 210,000 | 195,157 | |||||
Neiman Marcus Group Ltd. LLC, 8.00%, 10/15/21(3) | 60,000 | 31,350 | |||||
339,045 | |||||||
Oil, Gas and Consumable Fuels — 0.7% | |||||||
Alta Mesa Holdings LP / Alta Mesa Finance Services Corp., 7.875%, 12/15/24(3) | 125,000 | 131,562 | |||||
Anadarko Petroleum Corp., 5.55%, 3/15/26 | 120,000 | 134,950 | |||||
Anadarko Petroleum Corp., 6.45%, 9/15/36 | 120,000 | 143,075 | |||||
Antero Resources Corp., 5.125%, 12/1/22 | 160,000 | 162,600 | |||||
Antero Resources Corp., 5.625%, 6/1/23 | 35,000 | 36,138 | |||||
Antero Resources Corp., 5.00%, 3/1/25(3) | 140,000 | 137,900 | |||||
Apache Corp., 4.75%, 4/15/43 | 100,000 | 102,126 | |||||
BP Capital Markets plc, 4.50%, 10/1/20 | 24,000 | 25,855 | |||||
BP Capital Markets plc, 2.75%, 5/10/23 | 150,000 | 150,923 | |||||
California Resources Corp., 8.00%, 12/15/22(3) | 130,000 | 97,825 | |||||
Calumet Specialty Products Partners LP / Calumet Finance Corp., 6.50%, 4/15/21 | 20,000 | 18,000 | |||||
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20 | 50,000 | 51,313 | |||||
Carrizo Oil & Gas, Inc., 6.25%, 4/15/23 | 70,000 | 68,425 | |||||
Cenovus Energy, Inc., 4.25%, 4/15/27(3) | 80,000 | 79,784 | |||||
Cenovus Energy, Inc., 6.75%, 11/15/39 | 50,000 | 55,981 | |||||
Chesapeake Energy Corp., 8.00%, 12/15/22(3) | 144,000 | 156,240 | |||||
Chesapeake Energy Corp., 8.00%, 1/15/25(3) | 105,000 | 104,869 | |||||
Chevron Corp., 2.10%, 5/16/21 | 180,000 | 180,034 | |||||
Cimarex Energy Co., 4.375%, 6/1/24 | 220,000 | 232,126 | |||||
CNOOC Nexen Finance 2014 ULC, 4.25%, 4/30/24 | 150,000 | 158,424 | |||||
Comstock Resources, Inc., PIK, 10.00%, 3/15/20 | 70,000 | 71,400 | |||||
Concho Resources, Inc., 5.50%, 10/1/22 | 50,000 | 51,750 | |||||
Concho Resources, Inc., 5.50%, 4/1/23 | 165,000 | 171,394 | |||||
Concho Resources, Inc., 4.375%, 1/15/25 | 210,000 | 215,250 |
52
Shares/ Principal Amount | Value | ||||||
ConocoPhillips Holding Co., 6.95%, 4/15/29 | $ | 80,000 | $ | 104,830 | |||
CONSOL Energy, Inc., 5.875%, 4/15/22 | 220,000 | 218,075 | |||||
Continental Resources, Inc., 5.00%, 9/15/22 | 10,000 | 10,050 | |||||
Continental Resources, Inc., 3.80%, 6/1/24 | 280,000 | 263,032 | |||||
Continental Resources, Inc., 4.90%, 6/1/44 | 65,000 | 55,940 | |||||
Denbury Resources, Inc., 4.625%, 7/15/23 | 75,000 | 50,438 | |||||
Diamondback Energy, Inc., 4.75%, 11/1/24(3) | 100,000 | 100,750 | |||||
Ecopetrol SA, 4.125%, 1/16/25 | 80,000 | 78,600 | |||||
Ecopetrol SA, 5.875%, 5/28/45 | 110,000 | 101,612 | |||||
Encana Corp., 6.50%, 2/1/38 | 100,000 | 116,379 | |||||
EOG Resources, Inc., 5.625%, 6/1/19 | 380,000 | 406,860 | |||||
EOG Resources, Inc., 4.10%, 2/1/21 | 130,000 | 137,781 | |||||
EP Energy LLC / Everest Acquisition Finance, Inc., 9.375%, 5/1/20 | 135,000 | 122,512 | |||||
EP Energy LLC / Everest Acquisition Finance, Inc., 8.00%, 11/29/24(3) | 80,000 | 83,200 | |||||
Exxon Mobil Corp., 2.71%, 3/6/25 | 240,000 | 239,669 | |||||
Exxon Mobil Corp., 3.04%, 3/1/26 | 170,000 | 172,676 | |||||
Ferrellgas LP / Ferrellgas Finance Corp., 6.75%, 1/15/22 | 95,000 | 92,150 | |||||
Ferrellgas LP / Ferrellgas Finance Corp., 6.75%, 6/15/23 | 55,000 | 53,488 | |||||
Gulfport Energy Corp., 6.00%, 10/15/24(3) | 65,000 | 64,025 | |||||
Gulfport Energy Corp., 6.375%, 5/15/25(3) | 60,000 | 59,775 | |||||
Halcon Resources Corp., 12.00%, 2/15/22(3) | 35,000 | 40,600 | |||||
Halcon Resources Corp., 6.75%, 2/15/25(3) | 115,000 | 107,812 | |||||
Hess Corp., 6.00%, 1/15/40 | 130,000 | 137,943 | |||||
Hilcorp Energy I LP / Hilcorp Finance Co., 5.75%, 10/1/25(3) | 70,000 | 68,775 | |||||
Laredo Petroleum, Inc., 6.25%, 3/15/23 | 85,000 | 85,319 | |||||
Marathon Oil Corp., 3.85%, 6/1/25 | 120,000 | 119,723 | |||||
Marathon Oil Corp., 5.20%, 6/1/45 | 80,000 | 80,955 | |||||
MEG Energy Corp., 7.00%, 3/31/24(3) | 50,000 | 43,500 | |||||
MEG Energy Corp., 6.50%, 1/15/25(3) | 100,000 | 98,125 | |||||
Murphy Oil Corp., 4.70%, 12/1/22 | 80,000 | 78,400 | |||||
Newfield Exploration Co., 5.75%, 1/30/22 | 230,000 | 246,100 | |||||
Newfield Exploration Co., 5.625%, 7/1/24 | 90,000 | 95,850 | |||||
Noble Energy, Inc., 4.15%, 12/15/21 | 300,000 | 317,564 | |||||
Oasis Petroleum, Inc., 6.875%, 3/15/22 | 125,000 | 126,875 | |||||
Petroleos Mexicanos, 6.00%, 3/5/20 | 190,000 | 205,840 | |||||
Petroleos Mexicanos, 4.875%, 1/24/22 | 40,000 | 41,816 | |||||
Petroleos Mexicanos, 3.50%, 1/30/23 | 70,000 | 68,057 | |||||
Petroleos Mexicanos, 6.625%, 6/15/35 | 70,000 | 73,997 | |||||
Petroleos Mexicanos, 5.50%, 6/27/44 | 230,000 | 207,207 | |||||
Phillips 66, 4.30%, 4/1/22 | 260,000 | 281,633 | |||||
QEP Resources, Inc., 5.375%, 10/1/22 | 140,000 | 137,550 | |||||
Range Resources Corp., 5.00%, 8/15/22(3) | 160,000 | 158,000 | |||||
Rice Energy, Inc., 6.25%, 5/1/22 | 65,000 | 67,762 | |||||
Sanchez Energy Corp., 7.75%, 6/15/21 | 50,000 | 47,500 | |||||
Shell International Finance BV, 2.375%, 8/21/22 | 280,000 | 280,606 |
53
Shares/ Principal Amount | Value | ||||||
Shell International Finance BV, 3.625%, 8/21/42 | $ | 165,000 | $ | 154,062 | |||
SM Energy Co., 6.50%, 1/1/23 | 20,000 | 19,800 | |||||
SM Energy Co., 5.00%, 1/15/24 | 80,000 | 74,400 | |||||
Southwestern Energy Co., 6.70%, 1/23/25 | 70,000 | 69,475 | |||||
Statoil ASA, 2.45%, 1/17/23 | 230,000 | 229,183 | |||||
Statoil ASA, 3.95%, 5/15/43 | 90,000 | 89,508 | |||||
Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.50%, 6/1/24 | 50,000 | 50,375 | |||||
Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.75%, 3/1/25 | 140,000 | 140,350 | |||||
Suncor Energy, Inc., 6.50%, 6/15/38 | 50,000 | 64,131 | |||||
Sunoco LP / Sunoco Finance Corp., 5.50%, 8/1/20 | 85,000 | 87,869 | |||||
Sunoco LP / Sunoco Finance Corp., 6.375%, 4/1/23 | 71,000 | 75,970 | |||||
Total Capital Canada Ltd., 2.75%, 7/15/23 | 110,000 | 111,601 | |||||
TOTAL SA, MTN, VRN, 2.25%, 2/26/21 | EUR | 150,000 | 170,991 | ||||
Whiting Petroleum Corp., 5.75%, 3/15/21 | $ | 95,000 | 93,812 | ||||
WPX Energy, Inc., 6.00%, 1/15/22 | 50,000 | 50,750 | |||||
WPX Energy, Inc., 8.25%, 8/1/23 | 70,000 | 77,000 | |||||
10,046,572 | |||||||
Paper and Forest Products† | |||||||
International Paper Co., 4.40%, 8/15/47 | 170,000 | 171,119 | |||||
Personal Products† | |||||||
Avon Products, Inc., 7.00%, 3/15/23 | 95,000 | 88,587 | |||||
Pharmaceuticals — 0.2% | |||||||
Actavis, Inc., 3.25%, 10/1/22 | 270,000 | 276,549 | |||||
Allergan Funding SCS, 3.85%, 6/15/24 | 230,000 | 239,852 | |||||
Allergan Funding SCS, 4.55%, 3/15/35 | 110,000 | 114,227 | |||||
Capsugel SA, PIK, 7.00%, 5/15/19(3) | 35,000 | 35,035 | |||||
Endo Dac / Endo Finance LLC / Endo Finco, Inc., 6.00%, 2/1/25(3) | 130,000 | 117,130 | |||||
Endo Finance LLC / Endo Finco, Inc., 5.375%, 1/15/23(3) | 130,000 | 118,625 | |||||
GlaxoSmithKline Capital plc, 2.85%, 5/8/22 | 44,000 | 45,265 | |||||
Merck & Co., Inc., 2.40%, 9/15/22 | 180,000 | 181,806 | |||||
Perrigo Finance Unlimited. Co., 3.50%, 3/15/21 | 200,000 | 208,237 | |||||
Quintiles IMS, Inc., 4.875%, 5/15/23(3) | 90,000 | 92,925 | |||||
Shire Acquisitions Investments Ireland DAC, 2.40%, 9/23/21 | 550,000 | 546,904 | |||||
Valeant Pharmaceuticals International, Inc., 6.375%, 10/15/20(3) | 40,000 | 37,650 | |||||
Valeant Pharmaceuticals International, Inc., 6.75%, 8/15/21(3) | 120,000 | 108,600 | |||||
Valeant Pharmaceuticals International, Inc., 7.25%, 7/15/22(3) | 225,000 | 200,813 | |||||
Valeant Pharmaceuticals International, Inc., 7.00%, 3/15/24(3) | 60,000 | 63,600 | |||||
Valeant Pharmaceuticals International, Inc., 6.125%, 4/15/25(3) | 235,000 | 188,294 | |||||
2,575,512 | |||||||
Professional Services† | |||||||
Team Health Holdings, Inc., 6.375%, 2/1/25(3) | 40,000 | 38,950 |
54
Shares/ Principal Amount | Value | ||||||
Real Estate Management and Development† | |||||||
Realogy Group LLC / Realogy Co-Issuer Corp., 4.50%, 4/15/19(3) | $ | 85,000 | $ | 88,506 | |||
Tesco Property Finance 3 plc, 5.74%, 4/13/40 | GBP | 97,740 | 138,988 | ||||
227,494 | |||||||
Road and Rail — 0.1% | |||||||
Burlington Northern Santa Fe LLC, 3.60%, 9/1/20 | $ | 265,000 | 278,258 | ||||
Burlington Northern Santa Fe LLC, 3.25%, 6/15/27 | 40,000 | 41,213 | |||||
Burlington Northern Santa Fe LLC, 4.95%, 9/15/41 | 130,000 | 149,679 | |||||
Burlington Northern Santa Fe LLC, 4.45%, 3/15/43 | 160,000 | 173,388 | |||||
Burlington Northern Santa Fe LLC, 4.15%, 4/1/45 | 70,000 | 72,566 | |||||
CSX Corp., 3.40%, 8/1/24 | 200,000 | 207,292 | |||||
CSX Corp., 3.25%, 6/1/27 | 100,000 | 101,373 | |||||
Norfolk Southern Corp., 5.75%, 4/1/18 | 40,000 | 41,384 | |||||
Norfolk Southern Corp., 3.25%, 12/1/21 | 70,000 | 72,736 | |||||
Union Pacific Corp., 4.00%, 2/1/21 | 100,000 | 106,708 | |||||
Union Pacific Corp., 4.75%, 9/15/41 | 220,000 | 245,634 | |||||
1,490,231 | |||||||
Semiconductors and Semiconductor Equipment — 0.1% | |||||||
Advanced Micro Devices, Inc., 7.50%, 8/15/22 | 20,000 | 22,175 | |||||
Advanced Micro Devices, Inc., 7.00%, 7/1/24 | 45,000 | 47,475 | |||||
Amkor Technology, Inc., 6.375%, 10/1/22 | 75,000 | 78,469 | |||||
Intel Corp., 3.15%, 5/11/27 | 160,000 | 161,475 | |||||
Lam Research Corp., 2.80%, 6/15/21 | 210,000 | 212,866 | |||||
Micron Technology, Inc., 5.25%, 8/1/23(3) | 100,000 | 103,250 | |||||
Micron Technology, Inc., 5.50%, 2/1/25 | 25,000 | 26,203 | |||||
NXP BV / NXP Funding LLC, 3.875%, 9/1/22(3) | 70,000 | 73,238 | |||||
QUALCOMM, Inc., 3.25%, 5/20/27 | 150,000 | 149,758 | |||||
874,909 | |||||||
Software — 0.2% | |||||||
Activision Blizzard, Inc., 2.30%, 9/15/21(3) | 150,000 | 148,843 | |||||
BMC Software Finance, Inc., 8.125%, 7/15/21(3) | 25,000 | 25,657 | |||||
Infor US, Inc., 6.50%, 5/15/22 | 248,000 | 259,470 | |||||
Microsoft Corp., 2.70%, 2/12/25 | 340,000 | 340,468 | |||||
Microsoft Corp., 3.125%, 11/3/25 | 100,000 | 102,810 | |||||
Microsoft Corp., 3.45%, 8/8/36 | 120,000 | 117,690 | |||||
Microsoft Corp., 4.25%, 2/6/47 | 340,000 | 362,300 | |||||
Oracle Corp., 3.625%, 7/15/23 | 280,000 | 297,404 | |||||
Oracle Corp., 2.65%, 7/15/26 | 280,000 | 271,902 | |||||
Oracle Corp., 4.00%, 7/15/46 | 130,000 | 129,405 | |||||
Quintiles IMS, Inc., 5.00%, 10/15/26(3) | 40,000 | 41,391 | |||||
Rackspace Hosting, Inc., 8.625%, 11/15/24(3) | 100,000 | 107,000 | |||||
2,204,340 | |||||||
Specialty Retail — 0.2% | |||||||
Asbury Automotive Group, Inc., 6.00%, 12/15/24 | 160,000 | 164,500 | |||||
Ashtead Capital, Inc., 5.625%, 10/1/24(3) | 158,000 | 169,455 |
55
Shares/ Principal Amount | Value | ||||||
Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 5.125%, 6/1/22(3) | $ | 60,000 | $ | 58,875 | |||
Herc Rentals, Inc., 7.50%, 6/1/22(3) | 68,000 | 72,590 | |||||
Hertz Corp. (The), 6.75%, 4/15/19 | 45,000 | 45,068 | |||||
Hertz Corp. (The), 6.25%, 10/15/22 | 75,000 | 64,406 | |||||
Home Depot, Inc. (The), 3.75%, 2/15/24 | 330,000 | 353,396 | |||||
Home Depot, Inc. (The), 5.95%, 4/1/41 | 260,000 | 342,246 | |||||
Lowe's Cos., Inc., 3.10%, 5/3/27 | 150,000 | 150,440 | |||||
Michaels Stores, Inc., 5.875%, 12/15/20(3) | 105,000 | 107,756 | |||||
Party City Holdings, Inc., 6.125%, 8/15/23(3) | 75,000 | 77,625 | |||||
PetSmart, Inc., 5.875%, 6/1/25(3) | 50,000 | 50,375 | |||||
Rent-A-Center, Inc., 6.625%, 11/15/20 | 70,000 | 65,100 | |||||
Sally Holdings LLC / Sally Capital, Inc., 5.50%, 11/1/23 | 75,000 | 76,406 | |||||
Sonic Automotive, Inc., 5.00%, 5/15/23 | 50,000 | 47,875 | |||||
United Rentals North America, Inc., 4.625%, 7/15/23 | 310,000 | 323,841 | |||||
United Rentals North America, Inc., 5.50%, 7/15/25 | 110,000 | 116,353 | |||||
United Rentals North America, Inc., 5.50%, 5/15/27 | 85,000 | 87,550 | |||||
2,373,857 | |||||||
Technology Hardware, Storage and Peripherals — 0.2% | |||||||
Apple, Inc., 2.85%, 5/6/21 | 180,000 | 185,751 | |||||
Apple, Inc., 3.00%, 2/9/24 | 70,000 | 71,638 | |||||
Apple, Inc., 2.50%, 2/9/25 | 380,000 | 373,240 | |||||
Apple, Inc., 3.20%, 5/11/27 | 190,000 | 192,756 | |||||
Apple, Inc., 4.65%, 2/23/46 | 50,000 | 55,605 | |||||
CommScope Technologies LLC, 6.00%, 6/15/25(3) | 135,000 | 144,139 | |||||
Dell International LLC / EMC Corp., 7.125%, 6/15/24(3) | 220,000 | 245,245 | |||||
Dell International LLC / EMC Corp., 6.02%, 6/15/26(3) | 520,000 | 574,552 | |||||
Dell, Inc., 5.875%, 6/15/19 | 125,000 | 132,656 | |||||
EMC Corp., 2.65%, 6/1/20 | 25,000 | 24,669 | |||||
NCR Corp., 5.00%, 7/15/22 | 90,000 | 92,362 | |||||
Seagate HDD Cayman, 4.75%, 6/1/23 | 150,000 | 154,144 | |||||
Western Digital Corp., 10.50%, 4/1/24 | 125,000 | 146,875 | |||||
2,393,632 | |||||||
Textiles, Apparel and Luxury Goods† | |||||||
Hanesbrands, Inc., 4.625%, 5/15/24(3) | 115,000 | 115,575 | |||||
L Brands, Inc., 5.625%, 2/15/22 | 135,000 | 144,112 | |||||
Men's Wearhouse, Inc. (The), 7.00%, 7/1/22 | 170,000 | 146,200 | |||||
PVH Corp., 4.50%, 12/15/22 | 50,000 | 51,750 | |||||
457,637 | |||||||
Tobacco — 0.1% | |||||||
Altria Group, Inc., 2.85%, 8/9/22 | 400,000 | 407,498 | |||||
Philip Morris International, Inc., 4.125%, 5/17/21 | 280,000 | 300,412 | |||||
707,910 | |||||||
Wireless Telecommunication Services — 0.1% | |||||||
Sprint Communications, Inc., 9.00%, 11/15/18(3) | 19,000 | 20,876 | |||||
Sprint Communications, Inc., 6.00%, 11/15/22 | 235,000 | 250,862 | |||||
Sprint Corp., 7.25%, 9/15/21 | 180,000 | 204,806 |
56
Shares/ Principal Amount | Value | ||||||
Sprint Corp., 7.875%, 9/15/23 | $ | 75,000 | $ | 86,906 | |||
Sprint Corp., 7.125%, 6/15/24 | 205,000 | 231,112 | |||||
T-Mobile USA, Inc., 6.625%, 4/1/23 | 155,000 | 165,416 | |||||
T-Mobile USA, Inc., 6.375%, 3/1/25 | 150,000 | 162,938 | |||||
T-Mobile USA, Inc., 6.50%, 1/15/26 | 80,000 | 88,500 | |||||
1,211,416 | |||||||
TOTAL CORPORATE BONDS (Cost $134,371,014) | 137,988,644 | ||||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES(5) — 4.4% | |||||||
Adjustable-Rate U.S. Government Agency Mortgage-Backed Securities — 0.5% | |||||||
FHLMC, VRN, 1.81%, 6/15/17 | 115,073 | 119,052 | |||||
FHLMC, VRN, 1.85%, 6/15/17 | 37,754 | 39,169 | |||||
FHLMC, VRN, 1.91%, 6/15/17 | 143,740 | 148,410 | |||||
FHLMC, VRN, 1.99%, 6/15/17 | 210,259 | 218,419 | |||||
FHLMC, VRN, 2.07%, 6/15/17 | 89,758 | 91,303 | |||||
FHLMC, VRN, 2.32%, 6/15/17 | 452,011 | 459,148 | |||||
FHLMC, VRN, 2.38%, 6/15/17 | 434,785 | 445,161 | |||||
FHLMC, VRN, 2.68%, 6/15/17 | 265,954 | 281,130 | |||||
FHLMC, VRN, 2.86%, 6/15/17 | 119,513 | 126,194 | |||||
FHLMC, VRN, 2.90%, 6/15/17 | 416,865 | 439,490 | |||||
FHLMC, VRN, 2.93%, 6/15/17 | 242,034 | 255,059 | |||||
FHLMC, VRN, 3.14%, 6/15/17 | 148,331 | 155,093 | |||||
FHLMC, VRN, 3.34%, 6/15/17 | 81,987 | 86,484 | |||||
FHLMC, VRN, 3.63%, 6/15/17 | 44,013 | 46,560 | |||||
FHLMC, VRN, 3.67%, 6/15/17 | 157,554 | 164,883 | |||||
FHLMC, VRN, 4.07%, 6/15/17 | 148,083 | 153,588 | |||||
FHLMC, VRN, 4.12%, 6/15/17 | 126,778 | 131,434 | |||||
FHLMC, VRN, 4.25%, 6/15/17 | 207,137 | 215,426 | |||||
FHLMC, VRN, 5.12%, 6/15/17 | 16,984 | 17,619 | |||||
FNMA, VRN, 2.62%, 6/25/17 | 303,750 | 310,781 | |||||
FNMA, VRN, 2.71%, 6/25/17 | 34,428 | 35,338 | |||||
FNMA, VRN, 2.82%, 6/25/17 | 221,357 | 230,490 | |||||
FNMA, VRN, 2.82%, 6/25/17 | 258,295 | 269,297 | |||||
FNMA, VRN, 2.82%, 6/25/17 | 271,057 | 285,984 | |||||
FNMA, VRN, 2.83%, 6/25/17 | 199,210 | 208,514 | |||||
FNMA, VRN, 2.87%, 6/25/17 | 299,246 | 311,831 | |||||
FNMA, VRN, 2.88%, 6/25/17 | 49,973 | 51,852 | |||||
FNMA, VRN, 2.89%, 6/25/17 | 457,520 | 476,250 | |||||
FNMA, VRN, 3.07%, 6/25/17 | 67,276 | 70,665 | |||||
FNMA, VRN, 3.18%, 6/25/17 | 347,835 | 357,918 | |||||
FNMA, VRN, 3.21%, 6/25/17 | 396,571 | 408,104 | |||||
FNMA, VRN, 3.30%, 6/25/17 | 74,795 | 78,930 | |||||
FNMA, VRN, 3.31%, 6/25/17 | 163,676 | 170,937 | |||||
FNMA, VRN, 3.32%, 6/25/17 | 65,256 | 68,347 | |||||
FNMA, VRN, 3.60%, 6/25/17 | 176,302 | 184,435 | |||||
FNMA, VRN, 3.93%, 6/25/17 | 156,394 | 162,711 |
57
Shares/ Principal Amount | Value | ||||||
FNMA, VRN, 4.96%, 6/25/17 | $ | 170,440 | $ | 180,396 | |||
7,456,402 | |||||||
Fixed-Rate U.S. Government Agency Mortgage-Backed Securities — 3.9% | |||||||
FHLMC, 4.50%, 1/1/19 | 61,842 | 63,380 | |||||
FHLMC, 5.00%, 10/1/19 | 2,608 | 2,680 | |||||
FHLMC, 5.00%, 11/1/19 | 14,213 | 14,604 | |||||
FHLMC, 5.50%, 11/1/19 | 582 | 589 | |||||
FHLMC, 5.50%, 11/1/19 | 553 | 559 | |||||
FHLMC, 5.50%, 11/1/19 | 1,270 | 1,300 | |||||
FHLMC, 5.50%, 11/1/19 | 503 | 508 | |||||
FHLMC, 5.50%, 11/1/19 | 114 | 114 | |||||
FHLMC, 5.50%, 12/1/19 | 1,227 | 1,260 | |||||
FHLMC, 5.00%, 2/1/20 | 852 | 875 | |||||
FHLMC, 5.00%, 2/1/20 | 280 | 288 | |||||
FHLMC, 5.50%, 3/1/20 | 1,441 | 1,481 | |||||
FHLMC, 5.50%, 3/1/20 | 1,508 | 1,551 | |||||
FHLMC, 5.50%, 3/1/20 | 2,525 | 2,597 | |||||
FHLMC, 5.00%, 5/1/20 | 907 | 932 | |||||
FHLMC, 5.00%, 5/1/20 | 2,953 | 3,034 | |||||
FHLMC, 5.00%, 5/1/20 | 2,951 | 3,032 | |||||
FHLMC, 4.50%, 7/1/20 | 10,949 | 11,329 | |||||
FHLMC, 4.00%, 10/1/20 | 3,868 | 4,020 | |||||
FHLMC, 8.00%, 6/1/26 | 4,173 | 4,296 | |||||
FHLMC, 8.00%, 6/1/26 | 345 | 388 | |||||
FHLMC, 7.00%, 8/1/29 | 1,251 | 1,366 | |||||
FHLMC, 8.00%, 7/1/30 | 10,054 | 11,828 | |||||
FHLMC, 5.50%, 12/1/33 | 168,992 | 191,699 | |||||
FHLMC, 6.50%, 5/1/34 | 7,360 | 8,517 | |||||
FHLMC, 5.50%, 6/1/35 | 5,140 | 5,707 | |||||
FHLMC, 5.00%, 9/1/35 | 4,164 | 4,571 | |||||
FHLMC, 5.00%, 9/1/35 | 3,311 | 3,648 | |||||
FHLMC, 5.50%, 10/1/35 | 31,769 | 35,890 | |||||
FHLMC, 5.50%, 10/1/35 | 18,697 | 21,102 | |||||
FHLMC, 5.00%, 11/1/35 | 66,020 | 72,935 | |||||
FHLMC, 5.00%, 11/1/35 | 95,741 | 106,150 | |||||
FHLMC, 6.50%, 3/1/36 | 4,050 | 4,502 | |||||
FHLMC, 6.50%, 3/1/36 | 1,453 | 1,614 | |||||
FHLMC, 5.50%, 1/1/38 | 120,428 | 134,028 | |||||
FHLMC, 6.00%, 2/1/38 | 70,314 | 79,864 | |||||
FHLMC, 6.00%, 11/1/38 | 293,008 | 331,904 | |||||
FHLMC, 6.50%, 7/1/47 | 15,691 | 16,849 | |||||
FNMA, 3.00%, 6/13/17(6) | 2,250,000 | 2,260,371 | |||||
FNMA, 3.50%, 6/13/17(6) | 11,650,000 | 12,025,385 | |||||
FNMA, 4.00%, 6/13/17(6) | 3,275,000 | 3,458,195 | |||||
FNMA, 4.50%, 6/13/17(6) | 2,150,000 | 2,317,453 | |||||
FNMA, 4.00%, 6/1/19 | 1,023 | 1,062 | |||||
FNMA, 4.50%, 6/1/19 | 18,940 | 19,413 |
58
Shares/ Principal Amount | Value | ||||||
FNMA, 4.50%, 12/1/19 | $ | 2,169 | $ | 2,223 | |||
FNMA, 5.00%, 3/1/20 | 5,404 | 5,546 | |||||
FNMA, 5.00%, 3/1/20 | 4,005 | 4,110 | |||||
FNMA, 5.00%, 4/1/20 | 2,827 | 2,901 | |||||
FNMA, 5.00%, 5/1/20 | 942 | 966 | |||||
FNMA, 5.00%, 5/1/20 | 3,062 | 3,142 | |||||
FNMA, 5.00%, 7/1/20 | 3,429 | 3,519 | |||||
FNMA, 7.00%, 5/1/26 | 2,213 | 2,352 | |||||
FNMA, 7.00%, 6/1/26 | 1,265 | 1,420 | |||||
FNMA, 7.50%, 3/1/27 | 300 | 300 | |||||
FNMA, 6.50%, 4/1/29 | 9,073 | 10,085 | |||||
FNMA, 6.50%, 6/1/29 | 10,691 | 11,879 | |||||
FNMA, 6.50%, 6/1/29 | 7,942 | 8,827 | |||||
FNMA, 7.00%, 7/1/29 | 1,982 | 2,032 | |||||
FNMA, 6.50%, 8/1/29 | 12,682 | 14,504 | |||||
FNMA, 7.00%, 3/1/30 | 8,861 | 9,805 | |||||
FNMA, 8.00%, 7/1/30 | 15,587 | 15,999 | |||||
FNMA, 7.50%, 9/1/30 | 6,009 | 7,241 | |||||
FNMA, 6.50%, 9/1/31 | 33,482 | 37,217 | |||||
FNMA, 7.00%, 9/1/31 | 27,350 | 30,166 | |||||
FNMA, 6.50%, 1/1/32 | 8,454 | 9,396 | |||||
FNMA, 5.50%, 6/1/33 | 58,335 | 65,661 | |||||
FNMA, 5.50%, 8/1/33 | 389,577 | 437,670 | |||||
FNMA, 5.00%, 11/1/33 | 357,860 | 394,910 | |||||
FNMA, 5.50%, 1/1/34 | 358,817 | 402,721 | |||||
FNMA, 5.50%, 9/1/34 | 23,125 | 25,999 | |||||
FNMA, 5.50%, 10/1/34 | 22,101 | 24,816 | |||||
FNMA, 6.00%, 10/1/34 | 21,235 | 24,045 | |||||
FNMA, 5.00%, 11/1/34 | 69,592 | 76,476 | |||||
FNMA, 5.50%, 3/1/35 | 716 | 797 | |||||
FNMA, 5.50%, 3/1/35 | 4,934 | 5,496 | |||||
FNMA, 5.50%, 3/1/35 | 7,266 | 8,132 | |||||
FNMA, 5.50%, 3/1/35 | 18,649 | 21,084 | |||||
FNMA, 5.50%, 3/1/35 | 13,605 | 15,394 | |||||
FNMA, 5.00%, 4/1/35 | 15,457 | 17,171 | |||||
FNMA, 6.00%, 5/1/35 | 6,855 | 7,793 | |||||
FNMA, 6.00%, 5/1/35 | 438 | 496 | |||||
FNMA, 6.00%, 6/1/35 | 7,874 | 8,916 | |||||
FNMA, 6.00%, 6/1/35 | 2,681 | 3,043 | |||||
FNMA, 6.00%, 6/1/35 | 416 | 472 | |||||
FNMA, 5.00%, 7/1/35 | 86,889 | 97,466 | |||||
FNMA, 5.50%, 7/1/35 | 13,421 | 15,100 | |||||
FNMA, 6.00%, 7/1/35 | 36,423 | 41,570 | |||||
FNMA, 6.00%, 7/1/35 | 3,169 | 3,588 | |||||
FNMA, 6.00%, 7/1/35 | 17,861 | 20,233 | |||||
FNMA, 5.50%, 8/1/35 | 6,582 | 7,405 | |||||
FNMA, 4.50%, 9/1/35 | 365,765 | 395,864 |
59
Shares/ Principal Amount | Value | ||||||
FNMA, 5.50%, 9/1/35 | $ | 19,727 | $ | 22,026 | |||
FNMA, 5.50%, 9/1/35 | 929 | 1,042 | |||||
FNMA, 5.50%, 9/1/35 | 463 | 521 | |||||
FNMA, 5.50%, 9/1/35 | 12,041 | 13,547 | |||||
FNMA, 5.50%, 9/1/35 | 68,720 | 77,238 | |||||
FNMA, 5.00%, 10/1/35 | 12,822 | 14,381 | |||||
FNMA, 5.50%, 10/1/35 | 122,446 | 137,477 | |||||
FNMA, 6.00%, 10/1/35 | 24,844 | 28,183 | |||||
FNMA, 5.50%, 11/1/35 | 90,327 | 101,621 | |||||
FNMA, 6.00%, 11/1/35 | 8,612 | 9,752 | |||||
FNMA, 6.50%, 11/1/35 | 2,966 | 3,297 | |||||
FNMA, 6.50%, 12/1/35 | 8,126 | 9,032 | |||||
FNMA, 6.50%, 4/1/36 | 12,201 | 13,774 | |||||
FNMA, 6.00%, 8/1/36 | 12,008 | 13,597 | |||||
FNMA, 5.00%, 10/1/36 | 105,847 | 116,308 | |||||
FNMA, 5.00%, 11/1/36 | 145,354 | 159,719 | |||||
FNMA, 5.50%, 1/1/37 | 487,486 | 546,640 | |||||
FNMA, 6.00%, 5/1/37 | 10,692 | 12,121 | |||||
FNMA, 6.00%, 7/1/37 | 2,018 | 2,285 | |||||
FNMA, 6.50%, 8/1/37 | 9,523 | 10,554 | |||||
FNMA, 6.50%, 8/1/37 | 345,697 | 368,264 | |||||
FNMA, 6.50%, 8/1/37 | 416,850 | 441,798 | |||||
FNMA, 5.00%, 4/1/40 | 1,216,892 | 1,339,385 | |||||
FNMA, 4.00%, 1/1/41 | 4,325,857 | 4,631,330 | |||||
FNMA, 5.00%, 6/1/41 | 977,060 | 1,075,584 | |||||
FNMA, 4.50%, 7/1/41 | 869,980 | 944,553 | |||||
FNMA, 4.50%, 9/1/41 | 23,526 | 25,468 | |||||
FNMA, 4.50%, 9/1/41 | 2,268,396 | 2,455,841 | |||||
FNMA, 4.00%, 12/1/41 | 1,832,333 | 1,953,361 | |||||
FNMA, 4.00%, 1/1/42 | 35,405 | 37,541 | |||||
FNMA, 3.50%, 5/1/42 | 1,534,091 | 1,591,709 | |||||
FNMA, 3.50%, 6/1/42 | 777,202 | 806,628 | |||||
FNMA, 3.00%, 11/1/42 | 1,177,980 | 1,190,181 | |||||
FNMA, 3.50%, 5/1/45 | 1,553,968 | 1,607,339 | |||||
FNMA, 4.00%, 4/1/46 | 1,793,050 | 1,894,896 | |||||
FNMA, 6.50%, 8/1/47 | 30,427 | 32,905 | |||||
FNMA, 6.50%, 9/1/47 | 69,927 | 75,470 | |||||
FNMA, 6.50%, 9/1/47 | 3,145 | 3,400 | |||||
FNMA, 6.50%, 9/1/47 | 51,642 | 55,703 | |||||
FNMA, 6.50%, 9/1/47 | 13,778 | 14,829 | |||||
GNMA, 2.50%, 6/21/17(6) | 100,000 | 98,403 | |||||
GNMA, 3.00%, 6/21/17(6) | 2,100,000 | 2,138,555 | |||||
GNMA, 3.50%, 6/21/17(6) | 350,000 | 364,984 | |||||
GNMA, 4.00%, 6/21/17(6) | 975,000 | 1,031,672 | |||||
GNMA, 9.00%, 4/20/25 | 668 | 751 | |||||
GNMA, 7.50%, 10/15/25 | 2,320 | 2,386 | |||||
GNMA, 6.00%, 4/15/26 | 615 | 698 |
60
Shares/ Principal Amount | Value | ||||||
GNMA, 7.50%, 6/15/26 | $ | 2,255 | $ | 2,338 | |||
GNMA, 7.00%, 12/15/27 | 10,311 | 10,416 | |||||
GNMA, 7.50%, 12/15/27 | 6,535 | 7,098 | |||||
GNMA, 6.00%, 5/15/28 | 13,733 | 15,587 | |||||
GNMA, 6.50%, 5/15/28 | 5,696 | 6,297 | |||||
GNMA, 7.00%, 5/15/31 | 23,987 | 28,303 | |||||
GNMA, 5.50%, 11/15/32 | 76,687 | 86,818 | |||||
GNMA, 6.50%, 10/15/38 | 1,237,578 | 1,460,430 | |||||
GNMA, 4.50%, 5/20/41 | 1,323,362 | 1,432,034 | |||||
GNMA, 4.50%, 6/15/41 | 511,421 | 562,792 | |||||
GNMA, 4.00%, 12/15/41 | 624,462 | 662,979 | |||||
GNMA, 3.50%, 7/20/42 | 539,330 | 564,938 | |||||
GNMA, 3.50%, 4/20/45 | 286,752 | 299,408 | |||||
GNMA, 2.50%, 7/20/46 | 356,289 | 350,991 | |||||
GNMA, 2.50%, 8/20/46 | 1,055,500 | 1,039,803 | |||||
55,545,799 | |||||||
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Cost $61,728,727) | 63,002,201 | ||||||
SOVEREIGN GOVERNMENTS AND AGENCIES — 4.0% | |||||||
Australia — 0.1% | |||||||
Australia Government Bond, 4.50%, 4/15/20 | AUD | 610,000 | 489,429 | ||||
Australia Government Bond, 2.75%, 4/21/24 | AUD | 1,048,000 | 808,700 | ||||
New South Wales Treasury Corp., 3.00%, 3/20/28 | AUD | 395,000 | 297,888 | ||||
1,596,017 | |||||||
Austria — 0.1% | |||||||
Republic of Austria Government Bond, 3.50%, 9/15/21(3) | EUR | 255,000 | 334,800 | ||||
Republic of Austria Government Bond, 0.75%, 10/20/26(3) | EUR | 205,000 | 235,757 | ||||
Republic of Austria Government Bond, 4.15%, 3/15/37(3) | EUR | 128,000 | 219,171 | ||||
789,728 | |||||||
Belgium — 0.1% | |||||||
Kingdom of Belgium Government Bond, 3.00%, 9/28/19 | EUR | 10,000 | 12,177 | ||||
Kingdom of Belgium Government Bond, 4.25%, 9/28/22 | EUR | 115,000 | 160,308 | ||||
Kingdom of Belgium Government Bond, 2.25%, 6/22/23 | EUR | 415,000 | 533,538 | ||||
Kingdom of Belgium Government Bond, 4.25%, 3/28/41(3) | EUR | 86,000 | 150,980 | ||||
857,003 | |||||||
Canada — 0.2% | |||||||
Canadian Government Bond, 4.00%, 6/1/41 | CAD | 320,000 | 323,572 | ||||
Province of British Columbia Canada, 3.25%, 12/18/21 | CAD | 686,000 | 549,910 | ||||
Province of British Columbia Canada, 2.85%, 6/18/25 | CAD | 713,000 | 566,599 | ||||
Province of Quebec Canada, 3.00%, 9/1/23 | CAD | 405,000 | 323,513 | ||||
Province of Quebec Canada, 5.75%, 12/1/36 | CAD | 420,000 | 447,191 | ||||
Province of Quebec Canada, 5.00%, 12/1/41 | CAD | 30,000 | 30,187 | ||||
Province of Quebec Canada, 3.50%, 12/1/48 | CAD | 190,000 | 157,584 | ||||
2,398,556 | |||||||
Chile† | |||||||
Chile Government International Bond, 3.25%, 9/14/21 | $ | 230,000 | 239,798 |
61
Shares/ Principal Amount | Value | ||||||
Colombia† | |||||||
Colombia Government International Bond, 4.375%, 7/12/21 | $ | 290,000 | $ | 309,865 | |||
Colombia Government International Bond, 7.375%, 9/18/37 | $ | 100,000 | 129,250 | ||||
439,115 | |||||||
Czech† | |||||||
Czech Republic Government Bond, 4.70%, 9/12/22 | CZK | 2,470,000 | 132,342 | ||||
Denmark† | |||||||
Denmark Government Bond, 0.50%, 11/15/27 | DKK | 990,000 | 148,698 | ||||
Denmark Government Bond, 4.50%, 11/15/39 | DKK | 410,000 | 103,990 | ||||
252,688 | |||||||
Dominican Republic† | |||||||
Dominican Republic International Bond, 6.875%, 1/29/26 | $ | 400,000 | 449,032 | ||||
Finland† | |||||||
Finland Government Bond, 4.00%, 7/4/25(3) | EUR | 239,000 | 350,955 | ||||
France — 0.4% | |||||||
French Republic Government Bond OAT, 1.00%, 5/25/19 | EUR | 60,000 | 69,525 | ||||
French Republic Government Bond OAT, 0.00%, 5/25/21(7) | EUR | 1,595,000 | 1,818,899 | ||||
French Republic Government Bond OAT, 3.25%, 10/25/21 | EUR | 315,000 | 410,110 | ||||
French Republic Government Bond OAT, 1.75%, 11/25/24 | EUR | 1,325,000 | 1,654,659 | ||||
French Republic Government Bond OAT, 5.50%, 4/25/29 | EUR | 134,000 | 229,700 | ||||
French Republic Government Bond OAT, 3.25%, 5/25/45 | EUR | 591,000 | 890,356 | ||||
5,073,249 | |||||||
Germany — 0.3% | |||||||
Bundesobligation, 0.00%, 10/8/21(7) | EUR | 735,000 | 844,626 | ||||
Bundesrepublik Deutschland, 0.50%, 2/15/25 | EUR | 470,000 | 548,932 | ||||
Bundesrepublik Deutschland, 0.00%, 8/15/26(7) | EUR | 985,000 | 1,083,486 | ||||
Bundesrepublik Deutschland, 0.25%, 2/15/27 | EUR | 813,000 | 909,693 | ||||
Bundesrepublik Deutschland, 4.75%, 7/4/28 | EUR | 293,000 | 484,177 | ||||
Bundesrepublik Deutschland, 4.75%, 7/4/40 | EUR | 164,000 | 328,020 | ||||
Bundesrepublik Deutschland, 2.50%, 7/4/44 | EUR | 218,000 | 322,631 | ||||
4,521,565 | |||||||
Ireland† | |||||||
Ireland Government Bond, 3.40%, 3/18/24 | EUR | 302,000 | 410,057 | ||||
Italy — 0.3% | |||||||
Italy Buoni Poliennali Del Tesoro, 0.45%, 6/1/21 | EUR | 1,947,000 | 2,180,000 | ||||
Italy Buoni Poliennali Del Tesoro, 2.00%, 12/1/25 | EUR | 1,292,000 | 1,461,904 | ||||
Italy Buoni Poliennali Del Tesoro, 4.75%, 9/1/44(3) | EUR | 335,000 | 472,100 | ||||
Republic of Italy Government International Bond, 6.875%, 9/27/23 | $ | 150,000 | 177,864 | ||||
4,291,868 | |||||||
Japan — 1.2% | |||||||
Japan Government Ten Year Bond, 1.00%, 12/20/21 | JPY | 476,050,000 | 4,517,476 | ||||
Japan Government Ten Year Bond, 0.80%, 6/20/23 | JPY | 246,550,000 | 2,346,643 | ||||
Japan Government Thirty Year Bond, 2.40%, 3/20/37 | JPY | 242,700,000 | 2,944,554 | ||||
Japan Government Thirty Year Bond, 2.00%, 9/20/41 | JPY | 177,500,000 | 2,071,366 | ||||
Japan Government Thirty Year Bond, 1.40%, 12/20/45 | JPY | 69,350,000 | 726,700 |
62
Shares/ Principal Amount | Value | ||||||
Japan Government Twenty Year Bond, 2.10%, 12/20/26 | JPY | 460,750,000 | $ | 4,977,204 | |||
17,583,943 | |||||||
Malaysia† | |||||||
Malaysia Government Bond, 3.96%, 9/15/25 | MYR | 1,250,000 | 291,972 | ||||
Mexico — 0.1% | |||||||
Mexican Bonos, 6.50%, 6/9/22 | MXN | 9,190,000 | 476,737 | ||||
Mexico Government International Bond, 4.15%, 3/28/27 | $ | 700,000 | 723,590 | ||||
Mexico Government International Bond, MTN, 4.75%, 3/8/44 | $ | 228,000 | 226,632 | ||||
1,426,959 | |||||||
Netherlands — 0.1% | |||||||
Netherlands Government Bond, 0.00%, 1/15/22(3)(7) | EUR | 760,000 | 868,107 | ||||
Netherlands Government Bond, 0.50%, 7/15/26(3) | EUR | 175,000 | 199,248 | ||||
Netherlands Government Bond, 2.75%, 1/15/47(3) | EUR | 120,000 | 186,369 | ||||
1,253,724 | |||||||
New Zealand† | |||||||
New Zealand Government Bond, 5.00%, 3/15/19 | NZD | 540,000 | 403,135 | ||||
Norway — 0.4% | |||||||
Norway Government Bond, 3.75%, 5/25/21(3) | NOK | 38,502,000 | 5,072,850 | ||||
Norway Government Bond, 1.50%, 2/19/26(3) | NOK | 1,870,000 | 222,900 | ||||
5,295,750 | |||||||
Peru† | |||||||
Peruvian Government International Bond, 6.55%, 3/14/37 | $ | 100,000 | 133,000 | ||||
Peruvian Government International Bond, 5.625%, 11/18/50 | $ | 160,000 | 196,880 | ||||
329,880 | |||||||
Philippines† | |||||||
Philippine Government International Bond, 4.00%, 1/15/21 | $ | 300,000 | 319,494 | ||||
Philippine Government International Bond, 6.375%, 10/23/34 | $ | 100,000 | 133,977 | ||||
453,471 | |||||||
Poland — 0.1% | |||||||
Republic of Poland Government Bond, 4.00%, 10/25/23 | PLN | 885,000 | 254,156 | ||||
Republic of Poland Government International Bond, 5.125%, 4/21/21 | $ | 250,000 | 276,498 | ||||
530,654 | |||||||
Russia† | |||||||
Russian Foreign Bond - Eurobond, 12.75%, 6/24/28 | $ | 200,000 | 355,497 | ||||
Singapore† | |||||||
Singapore Government Bond, 3.125%, 9/1/22 | SGD | 282,000 | 219,251 | ||||
South Africa — 0.1% | |||||||
Republic of South Africa Government Bond, 7.75%, 2/28/23 | ZAR | 6,043,000 | 455,281 | ||||
Spain — 0.2% | |||||||
Spain Government Bond, 4.30%, 10/31/19(3) | EUR | 715,000 | 890,236 | ||||
Spain Government Bond, 5.85%, 1/31/22(3) | EUR | 40,000 | 56,653 | ||||
Spain Government Bond, 1.60%, 4/30/25(3) | EUR | 742,000 | 863,228 | ||||
Spain Government Bond, 1.95%, 4/30/26(3) | EUR | 40,000 | 47,264 | ||||
Spain Government Bond, 5.15%, 10/31/28(3) | EUR | 87,000 | 132,550 | ||||
Spain Government Bond, 5.15%, 10/31/44(3) | EUR | 243,000 | 395,826 | ||||
2,385,757 |
63
Shares/ Principal Amount | Value | ||||||
Sweden† | |||||||
Sweden Government Bond, 3.50%, 6/1/22 | SEK | 1,360,000 | $ | 185,321 | |||
Sweden Government Bond, 2.50%, 5/12/25 | SEK | 1,445,000 | 195,280 | ||||
380,601 | |||||||
Switzerland — 0.1% | |||||||
Swiss Confederation Government Bond, 2.00%, 4/28/21 | CHF | 830,000 | 950,557 | ||||
Swiss Confederation Government Bond, 1.25%, 5/28/26 | CHF | 140,000 | 164,517 | ||||
Swiss Confederation Government Bond, 2.50%, 3/8/36 | CHF | 65,000 | 96,230 | ||||
1,211,304 | |||||||
Thailand† | |||||||
Thailand Government Bond, 3.85%, 12/12/25 | THB | 10,800,000 | 349,301 | ||||
Turkey† | |||||||
Turkey Government International Bond, 3.25%, 3/23/23 | $ | 47,000 | 44,512 | ||||
United Kingdom — 0.2% | |||||||
United Kingdom Gilt, 1.75%, 9/7/22 | GBP | 20,000 | 27,532 | ||||
United Kingdom Gilt, 4.50%, 12/7/42 | GBP | 746,000 | 1,518,720 | ||||
United Kingdom Gilt, 4.25%, 12/7/55 | GBP | 156,000 | 356,474 | ||||
1,902,726 | |||||||
Uruguay† | |||||||
Uruguay Government International Bond, 4.125%, 11/20/45 | $ | 80,000 | 72,800 | ||||
TOTAL SOVEREIGN GOVERNMENTS AND AGENCIES (Cost $55,501,035) | 56,748,491 | ||||||
MUNICIPAL SECURITIES — 2.4% | |||||||
Bay Area Toll Authority Rev., 6.92%, 4/1/40 | 130,000 | 178,859 | |||||
Calcasieu Parish Public Trust Authority Rev., (WPT Corp.), VRDN, 0.81%, 6/7/17 (LOC: Bank of America N.A.) | 1,285,000 | 1,285,000 | |||||
California Pollution Control Financing Authority Rev., (Pacific Gas & Electric Co.), VRDN, 0.62%, 6/1/17 (LOC: TD Bank N.A.) | 1,200,000 | 1,200,000 | |||||
Chicago Midway International Airport Rev., VRDN, 0.76%, 6/1/17 (LOC: Bank of Montreal) | 2,900,000 | 2,900,000 | |||||
Erie County Industrial Development Agency Rev., (Our Lady of Victory Renaissance Corp.), VRDN, 0.86%, 6/1/17 (LOC: HSBC Bank USA N.A.) | 1,285,000 | 1,285,000 | |||||
Illinois Housing Development Authority Rev., VRDN, 0.85%, 6/1/17 (LIQ FAC: FHLB) | 3,850,000 | 3,850,000 | |||||
Kansas City Rev., VRDN, 0.97%, 6/7/17 (LOC: JPMorgan Chase Bank N.A.) | 1,115,000 | 1,115,000 | |||||
Los Angeles Community College District GO, 6.68%, 8/1/36 | 120,000 | 163,783 | |||||
Massachusetts Health & Educational Facilities Authority Rev., (Harrington Memorial Hospital, Inc.), VRDN, 0.77%, 6/7/17 (LOC: TD Bank N.A.) | 500,000 | 500,000 | |||||
Metropolitan Transportation Authority Rev., 6.69%, 11/15/40 | 30,000 | 40,745 | |||||
Metropolitan Transportation Authority Rev., 6.81%, 11/15/40 | 15,000 | 20,593 | |||||
Metropolitan Water District of Southern California Rev., VRN, 0.90%, 6/1/17 | 1,300,000 | 1,300,000 | |||||
New Jersey State Turnpike Authority Rev., 7.41%, 1/1/40 | 180,000 | 265,489 | |||||
New Jersey Turnpike Authority Rev., 7.10%, 1/1/41 | 140,000 | 200,367 | |||||
New York City GO, 6.27%, 12/1/37 | 40,000 | 53,193 | |||||
Ohio Water Development Authority Water Pollution Control Loan Fund Rev., 4.88%, 12/1/34 | 200,000 | 230,060 |
64
Shares/ Principal Amount | Value | ||||||
Orange County Housing Finance Authority Rev., (Landings on Millenia Boulevard Partners Ltd.), VRDN, 1.01%, 6/7/17 (LOC: FNMA) | $ | 1,645,000 | $ | 1,645,000 | |||
Pasadena Public Financing Authority Rev., VRDN, 1.00%, 6/1/17 (SBBPA: Bank of the West) | 4,450,000 | 4,450,000 | |||||
Port Authority of New York & New Jersey Rev., 4.46%, 10/1/62 | 330,000 | 355,836 | |||||
Red River Education Finance Corp. Rev., (Texas Christian University), VRDN, 0.77%, 6/7/17 (SBBPA: Northern Trust Company) | 3,100,000 | 3,100,000 | |||||
Rutgers The State University of New Jersey Rev., 5.67%, 5/1/40 | 280,000 | 336,890 | |||||
Sacramento Municipal Utility District Electric Rev., 6.16%, 5/15/36 | 170,000 | 213,879 | |||||
Salt River Project Agricultural Improvement & Power District Rev., 4.84%, 1/1/41 | 170,000 | 199,398 | |||||
San Francisco Public Utilities Commission Water Rev., 6.00%, 11/1/40 | 135,000 | 169,501 | |||||
San Francisco Public Utilities Commission Water Rev., 6.95%, 11/1/50 | 15,000 | 21,851 | |||||
Santa Clara Valley Transportation Authority Rev., 5.88%, 4/1/32 | 195,000 | 242,223 | |||||
State of California GO, 7.55%, 4/1/39 | 60,000 | 90,702 | |||||
State of California GO, 7.30%, 10/1/39 | 160,000 | 231,093 | |||||
State of California GO, (Building Bonds), 7.60%, 11/1/40 | 145,000 | 222,980 | |||||
State of Connecticut GO, 1.42%, 3/15/18 | 1,800,000 | 1,800,576 | |||||
State of Illinois GO, 5.10%, 6/1/33 | 170,000 | 153,762 | |||||
State of Oregon Department of Transportation Rev., Series 2010 A, (Building Bonds), 5.83%, 11/15/34 | 130,000 | 167,801 | |||||
Tempe Industrial Development Authority Rev., (ASUF Brickyard LLC), VRDN, 0.97%, 6/1/17 (LOC: Bank of America N.A.) | 2,900,000 | 2,900,000 | |||||
Tennis for Charity, Inc. Rev., VRDN, 1.00%, 6/7/17 (LOC: JPMorgan Chase Bank N.A.) | 2,870,000 | 2,870,000 | |||||
TOTAL MUNICIPAL SECURITIES (Cost $33,103,574) | 33,759,581 | ||||||
COMMERCIAL PAPER(8) — 1.4% | |||||||
BASF SE, 0.99%, 6/26/17(3) | 2,925,000 | 2,923,097 | |||||
Board of Governors, 0.77%, 6/2/17 | 2,500,000 | 2,500,000 | |||||
Coca-Cola Co., 1.01%, 7/18/17(3) | 2,900,000 | 2,896,698 | |||||
Societe Generale SA, 1.12%, 6/1/17 | 2,000,000 | 1,999,953 | |||||
State of California, 1.05%, 6/20/17 | 2,500,000 | 2,500,025 | |||||
Thunder Bay Funding LLC, 1.12%, 6/22/17(3) | 2,900,000 | 2,898,222 | |||||
University of Texas System (The), 0.77%, 6/6/17 | 3,000,000 | 2,999,970 | |||||
Wells Fargo Bank N.A., 1.51%, 6/12/17 | 1,000,000 | 1,000,198 | |||||
TOTAL COMMERCIAL PAPER (Cost $19,717,466) | 19,718,163 | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(5) — 1.2% | |||||||
Private Sponsor Collateralized Mortgage Obligations — 0.9% | |||||||
ABN Amro Mortgage Corp., Series 2003-4, Class A4, 5.50%, 3/25/33 | 37,806 | 38,207 | |||||
Adjustable Rate Mortgage Trust, Series 2004-4, Class 4A1, VRN, 3.32%, 6/1/17 | 86,120 | 85,991 |
65
Shares/ Principal Amount | Value | ||||||
Agate Bay Mortgage Trust, Series 2014-2, Class A14, VRN, 3.75%, 6/1/17(3) | $ | 216,552 | $ | 224,036 | |||
Banc of America Mortgage Trust, Series 2004-E, Class 2A6 SEQ, VRN, 3.65%, 6/1/17 | 247,672 | 246,415 | |||||
Banc of America Mortgage Trust, Series 2005-1, Class 1A15, 5.50%, 2/25/35 | 97,330 | 100,286 | |||||
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-8, Class 2A1, VRN, 3.32%, 6/1/17 | 57,637 | 55,749 | |||||
Citigroup Mortgage Loan Trust, Inc., Series 2004-UST1, Class A4, VRN, 3.21%, 6/1/17 | 129,058 | 125,875 | |||||
Citigroup Mortgage Loan Trust, Inc., Series 2004-UST1, Class A5, VRN, 2.75%, 6/1/17 | 204,727 | 202,875 | |||||
Citigroup Mortgage Loan Trust, Inc., Series 2005-4, Class A, VRN, 3.06%, 6/1/17 | 147,607 | 146,053 | |||||
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-3, Class 1A1, VRN, 5.44%, 6/1/17 | 193,934 | 186,169 | |||||
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA4, Class A1, VRN, 3.16%, 6/1/17 | 234,350 | 231,382 | |||||
First Horizon Mortgage Pass-Through Trust, Series 2005-AR3, Class 4A1, VRN, 2.97%, 6/1/17 | 88,487 | 86,647 | |||||
FNMA, Series 2017-C03, Class 1M1, VRN, 1.97%, 6/26/17 | 294,918 | 295,916 | |||||
GSR Mortgage Loan Trust, Series 2004-7, Class 3A1, VRN, 2.90%, 6/1/17 | 128,339 | 125,298 | |||||
GSR Mortgage Loan Trust, Series 2004-AR5, Class 3A3, VRN, 3.57%, 6/1/17 | 186,871 | 186,245 | |||||
GSR Mortgage Loan Trust, Series 2005-AR1, Class 3A1, VRN, 3.10%, 6/1/17 | 269,682 | 268,041 | |||||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1, VRN, 3.10%, 6/1/17 | 436,087 | 452,455 | |||||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5, VRN, 3.06%, 6/1/17 | 94,777 | 95,235 | |||||
JPMorgan Mortgage Trust, Series 2005-A4, Class 1A1, VRN, 3.22%, 6/1/17 | 151,398 | 151,233 | |||||
JPMorgan Mortgage Trust, Series 2005-A4, Class 2A1, VRN, 3.48%, 6/1/17 | 103,927 | 103,902 | |||||
JPMorgan Mortgage Trust, Series 2006-A3, Class 7A1, VRN, 3.61%, 6/1/17 | 215,453 | 218,350 | |||||
JPMorgan Mortgage Trust, Series 2013-1, Class 2A2 SEQ, VRN, 2.50%, 6/1/17(3) | 125,791 | 126,086 | |||||
JPMorgan Mortgage Trust, Series 2016-4, Class A3, VRN, 3.50%, 6/1/17(3) | 319,780 | 326,799 | |||||
JPMorgan Mortgage Trust, Series 2017-1, Class A2, VRN, 3.50%, 6/1/17(3) | 441,954 | 451,654 | |||||
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7, VRN, 3.09%, 6/1/17 | 750,487 | 770,747 | |||||
Merrill Lynch Mortgage Investors Trust Series MLCC, Series 2005-3, Class 2A, VRN, 3.12%, 6/25/17 | 156,854 | 154,855 | |||||
Merrill Lynch Mortgage Investors Trust Series MLMI, Series 2005-A2, Class A1, VRN, 2.98%, 6/1/17 | 178,528 | 176,292 | |||||
Merrill Lynch Mortgage Investors Trust Series MLMI, Series 2005-A2, Class A2, VRN, 2.98%, 6/1/17 | 55,790 | 56,935 | |||||
New Residential Mortgage Loan Trust, Series 2017-2A, Class A3, VRN, 4.00%, 6/1/17(3) | 533,391 | 557,783 | |||||
PHHMC Series Trust, Series 2007-6, Class A1, VRN, 5.83%, 6/1/17 | 41,913 | 43,253 | |||||
Sequoia Mortgage Trust, Series 2012-1, Class 1A1, VRN, 2.87%, 6/1/17 | 49,692 | 50,434 |
66
Shares/ Principal Amount | Value | ||||||
Sequoia Mortgage Trust, Series 2013-12, Class A1 SEQ, 4.00%, 12/25/43(3) | $ | 194,920 | $ | 202,330 | |||
Sequoia Mortgage Trust, Series 2017-1, Class A1, VRN, 3.50%, 6/1/17(3) | 638,046 | 651,125 | |||||
Sofi Mortgage Trust, Series 2016-1A, Class 1A4 SEQ, VRN, 3.00%, 6/1/17(3) | 214,186 | 210,939 | |||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8, Class 2A1, VRN, 3.23%, 6/1/17 | 157,280 | 157,817 | |||||
Structured Adjustable Rate Mortgage Loan Trust Series, Series 2004-6, Class 3A2, VRN, 3.25%, 6/1/17 | 173,917 | 181,064 | |||||
Thornburg Mortgage Securities Trust, Series 2004-3, Class A, VRN, 1.76%, 6/26/17 | 453,096 | 421,220 | |||||
Towd Point Mortgage Trust, Series 2016-1, Class A1, VRN, 3.50%, 6/1/17(3) | 270,326 | 277,545 | |||||
WaMu Mortgage Pass-Through Certificates, Series 2003-S11, Class 3A5, 5.95%, 11/25/33 | 145,660 | 153,424 | |||||
WaMu Mortgage Pass-Through Certificates, Series 2005-AR3, Class A1, VRN, 3.03%, 6/1/17 | 483,150 | 474,661 | |||||
WaMu Mortgage Pass-Through Certificates, Series 2005-AR7, Class A3, VRN, 2.83%, 6/1/17 | 228,634 | 230,646 | |||||
Wells Fargo-Mortgage Backed Securities Trust, Series 2004-S, Class A1, VRN, 3.08%, 6/1/17 | 138,384 | 141,526 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-Z, Class 2A2, VRN, 3.00%, 6/1/17 | 259,055 | 263,296 | |||||
Wells Fargo-Mortgage Backed Securities Trust, Series 2005-17, Class 1A1, 5.50%, 1/25/36 | 110,306 | 108,691 | |||||
Wells Fargo-Mortgage Backed Securities Trust, Series 2005-9, Class 2A6, 5.25%, 10/25/35 | 309,874 | 319,236 | |||||
Wells Fargo-Mortgage Backed Securities Trust, Series 2005-AR10, Class 1A1, VRN, 3.12%, 6/1/17 | 490,540 | 514,534 | |||||
Wells Fargo-Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A17, VRN, 3.12%, 6/1/17 | 239,818 | 245,519 | |||||
Wells Fargo-Mortgage Backed Securities Trust, Series 2005-AR12, Class 2A6, VRN, 3.14%, 6/1/17 | 64,743 | 66,585 | |||||
Wells Fargo-Mortgage Backed Securities Trust, Series 2005-AR16, Class 3A2, VRN, 3.20%, 6/1/17 | 238,292 | 240,407 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR4, Class 2A1, VRN, 3.31%, 6/1/17 | 127,891 | 128,351 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR7, Class 1A1, VRN, 3.33%, 6/1/17 | 249,077 | 249,986 | |||||
Wells Fargo-Mortgage Backed Securities Trust, Series 2006-10, Class A4 SEQ, 6.00%, 8/25/36 | 172,739 | 172,835 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-4, Class 2A1, 6.00%, 4/25/36 | 195,955 | 197,925 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 1A1, VRN, 3.18%, 6/1/17 | 192,567 | 186,754 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR12, Class 1A1, VRN, 3.25%, 6/1/17 | 148,673 | 141,578 | |||||
Wells Fargo-Mortgage Backed Securities Trust, Series 2006-AR14, Class 1A7 SEQ, VRN, 3.07%, 6/1/17 | 302,788 | 286,151 | |||||
Wells Fargo-Mortgage Backed Securities Trust, Series 2007-13, Class A1, 6.00%, 9/25/37 | 93,785 | 94,653 | |||||
Wells Fargo-Mortgage Backed Securities Trust, Series 2007-14, Class 2A2, 5.50%, 10/25/22 | 61,089 | 62,767 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-15, Class A1, 6.00%, 11/25/37 | 110,732 | 110,276 |
67
Shares/ Principal Amount | Value | ||||||
Wells Fargo-Mortgage Backed Securities Trust, Series 2007-16, Class 1A1, 6.00%, 12/28/37 | $ | 61,298 | $ | 64,216 | |||
Wells Fargo-Mortgage Backed Securities Trust, Series 2007-AR10, Class 1A1, VRN, 6.39%, 6/1/17 | 113,558 | 110,360 | |||||
Wells Fargo-Mortgage Backed Securities Trust, Series 2007-AR7, Class A1, VRN, 3.16%, 6/1/17 | 129,175 | 124,719 | |||||
Wells Fargo-Mortgage Backed Securities Trust, Series 2008-1, Class 4A1, 5.75%, 2/25/38 | 122,251 | 129,077 | |||||
13,261,411 | |||||||
U.S. Government Agency Collateralized Mortgage Obligations — 0.3% | |||||||
FHLMC, Series 2016-DNA4, Class M2, VRN, 2.32%, 6/26/17 | 25,000 | 25,230 | |||||
FHLMC, Series 2016-HQA3, Class M2, VRN, 2.37%, 6/26/17 | 100,000 | 101,359 | |||||
FHLMC, Series KF29, Class A, VRN, 1.34%, 6/25/17 | 1,199,872 | 1,201,691 | |||||
FNMA, Series 2014-C02, Class 1M2, VRN, 3.62%, 6/26/17 | 475,000 | 497,372 | |||||
FNMA, Series 2014-C02, Class 2M2, VRN, 3.62%, 6/26/17 | 600,000 | 622,599 | |||||
FNMA, Series 2016-C04, Class 1M1, VRN, 2.47%, 6/26/17 | 532,833 | 539,377 | |||||
FNMA, Series 2016-C04, Class 1M2, VRN, 5.27%, 6/26/17 | 75,000 | 82,783 | |||||
FNMA, Series 2016-C05, Class 2M1, VRN, 2.37%, 6/26/17 | 366,119 | 369,053 | |||||
FNMA, Series 2016-C05, Class 2M2, VRN, 5.47%, 6/26/17 | 140,000 | 154,435 | |||||
FNMA, Series 2017-C01, Class 1M1, VRN, 2.32%, 6/26/17 | 489,519 | 493,686 | |||||
FNMA, Series 2017-C01, Class 1M2, VRN, 4.57%, 6/26/17 | 200,000 | 211,345 | |||||
4,298,930 | |||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $17,467,417) | 17,560,341 | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES(5) — 1.1% | |||||||
BAMLL Commercial Mortgage Securities Trust, Series 2014-ICTS, Class A, VRN, 1.79%, 6/15/17(3) | 775,000 | 775,986 | |||||
Bank of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2015-200P, Class B, 3.49%, 4/14/33(3) | 700,000 | 718,114 | |||||
BB-UBS Trust, Series 2012-SHOW, Class A SEQ, 3.43%, 11/5/36(3) | 850,000 | 879,424 | |||||
BLCP Hotel Trust, Series 2014-CLRN, Class A, VRN, 1.94%, 6/15/17(3) | 966,966 | 968,400 | |||||
CD 2016-CD2 Mortgage Trust, Series 2016-CD2, Class A4, VRN, 3.53%, 6/1/17 | 700,000 | 731,094 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-BBG, Class A, VRN, 1.79%, 6/15/17(3) | 940,000 | 943,305 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-CR15, Class AM SEQ, VRN, 4.43%, 6/1/17 | 700,000 | 759,293 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-LC17, Class AM, VRN, 4.19%, 6/1/17 | 700,000 | 744,417 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS5, Class AM, VRN, 4.19%, 6/1/17 | 750,000 | 793,875 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2015-CR22, Class AM, VRN, 3.60%, 6/1/17 | 775,000 | 798,338 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2016-CR28, Class B, VRN, 4.65%, 6/1/17 | 150,000 | 160,281 | |||||
Core Industrial Trust, Series 2015-WEST, Class A SEQ, 3.29%, 2/10/37(3) | 975,000 | 1,001,773 | |||||
GS Mortgage Securities Corp. II, Series 2015-GC28, Class AS, 3.76%, 2/10/48 | 200,000 | 206,233 |
68
Shares/ Principal Amount | Value | ||||||
GS Mortgage Securities Corp. II, Series 2016-GS2, Class B, VRN, 3.76%, 6/1/17 | $ | 700,000 | $ | 721,782 | |||
Hudson Yards Mortgage Trust, Series 2016-10HY, Class A SEQ, 2.84%, 8/10/38(3) | 300,000 | 295,541 | |||||
Irvine Core Office Trust, Series 2013-IRV, Class A2 SEQ, VRN, 3.17%, 6/10/17(3) | 900,000 | 933,565 | |||||
JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class A4, 3.41%, 3/15/50 | 210,000 | 217,888 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class AS, 4.52%, 12/15/46 | 400,000 | 433,734 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-CBM, Class A, VRN, 1.89%, 6/15/17(3) | 1,150,000 | 1,150,666 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class A4, 2.82%, 8/15/49 | 400,000 | 395,001 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class B, VRN, 3.46%, 8/15/49 | 200,000 | 199,218 | |||||
Morgan Stanley Capital I Trust, Series 2014-CPT, Class C, VRN, 3.45%, 6/1/17(3) | 700,000 | 713,580 | |||||
UBS Commercial Mortgage Securities Trust, Series 2017-C1, Class A3, 3.20%, 6/15/50(4) | 630,000 | 636,255 | |||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $14,926,209) | 15,177,763 | ||||||
ASSET-BACKED SECURITIES(5) — 0.9% | |||||||
American Airlines Pass Through Trust, 7.00%, 7/31/19(3) | 42,163 | 43,480 | |||||
Avis Budget Rental Car Funding AESOP LLC, Series 2012-3A, Class A SEQ, 2.10%, 3/20/19(3) | 250,000 | 250,592 | |||||
Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class B, 3.42%, 12/20/21(3) | 175,000 | 179,060 | |||||
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A, Class A SEQ, 2.94%, 5/25/29(3) | 507,697 | 511,059 | |||||
CenterPoint Energy Transition Bond Co. II LLC, Series 2005-A, Class A4 SEQ, 5.17%, 8/1/19 | 5,496 | 5,530 | |||||
Citibank Credit Card Issuance Trust, Series 2017-A5, Class A5, VRN, 1.64%, 6/22/17 | 800,000 | 804,738 | |||||
Colony American Homes, Series 2014-2A, Class A, VRN, 1.98%, 6/17/17(3) | 527,410 | 527,004 | |||||
Colony Starwood Homes, Series 2016-2A, Class A, VRN, 2.25%, 6/17/17(3) | 1,207,232 | 1,217,234 | |||||
Enterprise Fleet Financing LLC, Series 2015-2, Class A2 SEQ, 1.59%, 2/22/21(3) | 459,132 | 459,276 | |||||
Enterprise Fleet Financing LLC, Series 2016-1, Class A2 SEQ, 1.83%, 9/20/21(3) | 510,295 | 510,628 | |||||
Enterprise Fleet Financing LLC, Series 2017-1, Class A2 SEQ, 2.13%, 7/20/22(3) | 450,000 | 451,661 | |||||
Hertz Fleet Lease Funding LP, Series 2014-1, Class A, VRN, 1.39%, 6/10/17(3) | 157,242 | 157,223 | |||||
Hertz Vehicle Financing LLC, Series 2013-1A, Class A2 SEQ, 1.83%, 8/25/19(3) | 500,000 | 498,883 | |||||
Hilton Grand Vacations Trust, Series 2013-A, Class A SEQ, 2.28%, 1/25/26(3) | 97,998 | 97,846 | |||||
Hilton Grand Vacations Trust, Series 2014-AA, Class A SEQ, 1.77%, 11/25/26(3) | 496,998 | 490,040 | |||||
Hilton Grand Vacations Trust, Series 2017-AA, Class A SEQ, 2.66%, 12/26/28(3) | 485,840 | 487,712 | |||||
Honda Auto Receivables Owner Trust, Series 2017-1, Class A2 SEQ, 1.42%, 7/22/19 | 550,000 | 550,026 |
69
Shares/ Principal Amount | Value | ||||||
Hyundai Auto Receivables Trust, Series 2017-A, Class A2A SEQ, 1.48%, 2/18/20 | $ | 600,000 | $ | 600,941 | |||
Invitation Homes Trust, Series 2014-SFR3, Class A, VRN, 2.20%, 6/17/17(3) | 223,745 | 224,018 | |||||
MVW Owner Trust, Series 2014-1A, Class A, 2.25%, 9/22/31(3) | 309,802 | 308,454 | |||||
MVW Owner Trust, Series 2015-1A, Class A SEQ, 2.52%, 12/20/32(3) | 332,306 | 331,536 | |||||
MVW Owner Trust, Series 2016-1A, Class A SEQ, 2.25%, 12/20/33(3) | 364,912 | 361,762 | |||||
Progress Residential Trust, Series 2016-SFR2, Class A, VRN, 2.40%, 6/17/17(3) | 475,000 | 479,737 | |||||
Sierra Receivables Funding Co. LLC, Series 2017-1A, Class A SEQ, 2.91%, 3/20/34(3) | 496,061 | 502,292 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A SEQ, 1.59%, 11/20/29(3) | 114,890 | 114,666 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2013-2A, Class A SEQ, 2.28%, 11/20/25(3) | 64,987 | 65,054 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2014-1A, Class A SEQ, 2.07%, 3/20/30(3) | 372,254 | 372,058 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2015-1A, Class A, 2.40%, 3/22/32(3) | 344,007 | 345,204 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2016-2A, Class A SEQ, 2.33%, 7/20/33(3) | 147,933 | 148,093 | |||||
Towd Point Mortgage Trust, Series 2017-2, Class A1, VRN, 2.75%, 6/1/17(3) | 300,000 | 303,243 | |||||
UAL Pass-Through Trust, Series 2007-1, Class A, 6.64%, 1/2/24 | 72,806 | 78,448 | |||||
US Airways Pass-Through Trust, Series 2013-1, Class A, 3.95%, 5/15/27 | 120,832 | 125,062 | |||||
VSE VOI Mortgage LLC, Series 2016-A, Class A SEQ, 2.54%, 7/20/33(3) | 860,144 | 859,022 | |||||
TOTAL ASSET-BACKED SECURITIES (Cost $12,421,044) | 12,461,582 | ||||||
U.S. GOVERNMENT AGENCY SECURITIES — 0.4% | |||||||
FNMA, 2.125%, 4/24/26 | 230,000 | 224,936 | |||||
FNMA, 6.625%, 11/15/30 | 4,120,000 | 5,924,539 | |||||
TOTAL U.S. GOVERNMENT AGENCY SECURITIES (Cost $5,792,886) | 6,149,475 | ||||||
EXCHANGE-TRADED FUNDS — 0.4% | |||||||
iShares Russell 1000 Growth ETF | 5,817 | 694,201 | |||||
iShares Russell 1000 Value ETF | 16,550 | 1,895,471 | |||||
iShares Russell Mid-Cap Value ETF | 17,196 | 1,424,861 | |||||
SPDR S&P Bank ETF | 49,868 | 2,051,071 | |||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $5,797,449) | 6,065,604 | ||||||
CONVERTIBLE PREFERRED STOCKS† | |||||||
Machinery† | |||||||
Rexnord Corp., 5.75%, 11/15/19 (Cost $67,314) | 1,349 | 71,618 | |||||
TEMPORARY CASH INVESTMENTS — 1.4% | |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 20,054,302 | 20,054,302 |
70
Shares/ Principal Amount | Value | ||||||
U.S. Treasury Bills, 0.64%, 8/10/17(2)(8) | $ | 100,000 | $ | 99,825 | |||
TOTAL TEMPORARY CASH INVESTMENTS (Cost $20,154,181) | 20,154,127 | ||||||
TOTAL INVESTMENT SECURITIES — 101.7% (Cost $1,239,200,805) | 1,456,387,821 | ||||||
OTHER ASSETS AND LIABILITIES — (1.7)% | (24,893,892 | ) | |||||
TOTAL NET ASSETS — 100.0% | $ | 1,431,493,929 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
ARS | 884,142 | USD | 56,913 | Goldman Sachs & Co. | 6/21/17 | $ | (2,523 | ) | ||
ARS | 2,220,613 | USD | 142,943 | Goldman Sachs & Co. | 6/21/17 | (6,338 | ) | |||
AUD | 67,973 | USD | 51,941 | JPMorgan Chase Bank N.A. | 6/21/17 | (1,450 | ) | |||
AUD | 211,085 | USD | 161,299 | JPMorgan Chase Bank N.A. | 6/21/17 | (4,502 | ) | |||
AUD | 15,507 | USD | 11,770 | JPMorgan Chase Bank N.A. | 6/21/17 | (251 | ) | |||
AUD | 191,001 | USD | 143,449 | JPMorgan Chase Bank N.A. | 6/21/17 | (1,570 | ) | |||
AUD | 5,266 | USD | 3,955 | JPMorgan Chase Bank N.A. | 6/21/17 | (43 | ) | |||
AUD | 43,688 | USD | 32,304 | JPMorgan Chase Bank N.A. | 6/21/17 | 148 | ||||
AUD | 113,277 | USD | 83,760 | JPMorgan Chase Bank N.A. | 6/21/17 | 384 | ||||
AUD | 40,592 | USD | 30,280 | JPMorgan Chase Bank N.A. | 6/21/17 | (128 | ) | |||
AUD | 93,608 | USD | 69,828 | JPMorgan Chase Bank N.A. | 6/21/17 | (294 | ) | |||
USD | 1,135,819 | AUD | 1,508,546 | JPMorgan Chase Bank N.A. | 6/21/17 | 15,248 | ||||
USD | 5,798 | AUD | 7,701 | JPMorgan Chase Bank N.A. | 6/21/17 | 78 | ||||
USD | 16,458 | AUD | 21,360 | JPMorgan Chase Bank N.A. | 6/21/17 | 591 | ||||
USD | 12,966 | AUD | 17,085 | JPMorgan Chase Bank N.A. | 6/21/17 | 275 | ||||
USD | 142,904 | AUD | 189,660 | JPMorgan Chase Bank N.A. | 6/21/17 | 2,022 | ||||
USD | 64,347 | AUD | 85,400 | JPMorgan Chase Bank N.A. | 6/21/17 | 910 | ||||
USD | 15,156 | AUD | 20,128 | JPMorgan Chase Bank N.A. | 6/21/17 | 204 | ||||
USD | 143,116 | AUD | 191,404 | JPMorgan Chase Bank N.A. | 6/21/17 | 938 | ||||
USD | 48,507 | AUD | 64,873 | JPMorgan Chase Bank N.A. | 6/21/17 | 318 | ||||
USD | 58,487 | AUD | 77,823 | JPMorgan Chase Bank N.A. | 6/21/17 | 679 | ||||
USD | 154,140 | AUD | 205,099 | JPMorgan Chase Bank N.A. | 6/21/17 | 1,789 | ||||
USD | 25,875 | AUD | 35,239 | JPMorgan Chase Bank N.A. | 6/21/17 | (301 | ) | |||
USD | 68,582 | AUD | 93,402 | JPMorgan Chase Bank N.A. | 6/21/17 | (798 | ) | |||
USD | 13,901 | AUD | 18,582 | JPMorgan Chase Bank N.A. | 6/21/17 | 98 | ||||
BRL | 366,485 | USD | 114,882 | Goldman Sachs & Co. | 6/21/17 | (2,107 | ) | |||
BRL | 921,070 | USD | 288,728 | Goldman Sachs & Co. | 6/21/17 | (5,295 | ) | |||
USD | 294,272 | BRL | 921,070 | Goldman Sachs & Co. | 6/21/17 | 10,839 | ||||
USD | 117,088 | BRL | 366,485 | Goldman Sachs & Co. | 6/21/17 | 4,313 | ||||
USD | 53,767 | BRL | 184,823 | Goldman Sachs & Co. | 6/21/17 | (3,107 | ) | |||
USD | 132,700 | BRL | 456,156 | Goldman Sachs & Co. | 6/21/17 | (7,669 | ) | |||
CAD | 71,385 | USD | 53,092 | JPMorgan Chase Bank N.A. | 6/21/17 | (230 | ) | |||
CAD | 21,280 | USD | 15,936 | JPMorgan Chase Bank N.A. | 6/21/17 | (177 | ) | |||
CAD | 84,826 | USD | 63,522 | JPMorgan Chase Bank N.A. | 6/21/17 | (706 | ) | |||
CAD | 5,426 | USD | 4,055 | JPMorgan Chase Bank N.A. | 6/21/17 | (37 | ) | |||
CAD | 515,310 | USD | 384,903 | JPMorgan Chase Bank N.A. | 6/21/17 | (3,303 | ) | |||
CAD | 11,902 | USD | 8,711 | JPMorgan Chase Bank N.A. | 6/21/17 | 103 |
71
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
CAD | 108,587 | USD | 80,357 | JPMorgan Chase Bank N.A. | 6/21/17 | $ | 55 | |||
CAD | 290,738 | USD | 216,058 | JPMorgan Chase Bank N.A. | 6/21/17 | (759 | ) | |||
CAD | 119,230 | USD | 88,604 | JPMorgan Chase Bank N.A. | 6/21/17 | (311 | ) | |||
CAD | 6,138 | USD | 4,589 | Morgan Stanley | 6/30/17 | (43 | ) | |||
CAD | 2,843 | USD | 2,134 | Morgan Stanley | 6/30/17 | (28 | ) | |||
CAD | 51,674 | USD | 38,839 | Morgan Stanley | 6/30/17 | (567 | ) | |||
CAD | 9,275 | USD | 6,972 | Morgan Stanley | 6/30/17 | (103 | ) | |||
CAD | 6,429 | USD | 4,806 | Morgan Stanley | 6/30/17 | (44 | ) | |||
CAD | 65,841 | USD | 48,920 | Morgan Stanley | 6/30/17 | (155 | ) | |||
CAD | 9,506 | USD | 7,079 | Morgan Stanley | 6/30/17 | (39 | ) | |||
CAD | 6,006 | USD | 4,431 | Morgan Stanley | 6/30/17 | 17 | ||||
CAD | 47,715 | USD | 34,997 | Morgan Stanley | 6/30/17 | 343 | ||||
CAD | 61,556 | USD | 44,961 | Morgan Stanley | 6/30/17 | 631 | ||||
CAD | 38,973 | USD | 28,495 | Morgan Stanley | 6/30/17 | 370 | ||||
CAD | 57,653 | USD | 41,978 | Morgan Stanley | 6/30/17 | 723 | ||||
CAD | 2,152 | USD | 1,572 | Morgan Stanley | 6/30/17 | 22 | ||||
CAD | 24,014 | USD | 17,507 | Morgan Stanley | 6/30/17 | 279 | ||||
CAD | 57,210 | USD | 42,044 | Morgan Stanley | 6/30/17 | 329 | ||||
CAD | 12,874 | USD | 9,461 | Morgan Stanley | 6/30/17 | 74 | ||||
USD | 1,560,273 | CAD | 2,097,851 | JPMorgan Chase Bank N.A. | 6/21/17 | 6,761 | ||||
USD | 23,041 | CAD | 30,817 | JPMorgan Chase Bank N.A. | 6/21/17 | 220 | ||||
USD | 22,604 | CAD | 30,061 | JPMorgan Chase Bank N.A. | 6/21/17 | 343 | ||||
USD | 15,715 | CAD | 20,994 | JPMorgan Chase Bank N.A. | 6/21/17 | 168 | ||||
USD | 55,993 | CAD | 75,283 | JPMorgan Chase Bank N.A. | 6/21/17 | 244 | ||||
USD | 140,420 | CAD | 188,795 | JPMorgan Chase Bank N.A. | 6/21/17 | 613 | ||||
USD | 40,907 | CAD | 55,894 | JPMorgan Chase Bank N.A. | 6/21/17 | (484 | ) | |||
USD | 143,262 | CAD | 196,676 | JPMorgan Chase Bank N.A. | 6/21/17 | (2,381 | ) | |||
USD | 54,711 | CAD | 75,110 | JPMorgan Chase Bank N.A. | 6/21/17 | (909 | ) | |||
USD | 51,703 | CAD | 70,998 | JPMorgan Chase Bank N.A. | 6/21/17 | (872 | ) | |||
USD | 137,763 | CAD | 189,173 | JPMorgan Chase Bank N.A. | 6/21/17 | (2,325 | ) | |||
USD | 23,338 | CAD | 31,467 | JPMorgan Chase Bank N.A. | 6/21/17 | 36 | ||||
USD | 10,704 | CAD | 14,454 | JPMorgan Chase Bank N.A. | 6/21/17 | — | ||||
USD | 17,480 | CAD | 23,604 | JPMorgan Chase Bank N.A. | 6/21/17 | — | ||||
USD | 34,211 | CAD | 46,501 | Morgan Stanley | 6/21/17 | (224 | ) | |||
USD | 87,183 | CAD | 116,501 | Morgan Stanley | 6/30/17 | 897 | ||||
USD | 1,130,328 | CAD | 1,510,429 | Morgan Stanley | 6/30/17 | 11,630 | ||||
USD | 1,679,502 | CAD | 2,244,276 | Morgan Stanley | 6/30/17 | 17,280 | ||||
USD | 352,075 | CAD | 470,468 | Morgan Stanley | 6/30/17 | 3,622 | ||||
USD | 86,367 | CAD | 115,770 | Morgan Stanley | 6/30/17 | 622 | ||||
USD | 8,251 | CAD | 11,060 | Morgan Stanley | 6/30/17 | 60 | ||||
USD | 8,330 | CAD | 11,094 | Morgan Stanley | 6/30/17 | 113 | ||||
USD | 3,070 | CAD | 4,132 | Morgan Stanley | 6/30/17 | 10 | ||||
USD | 36,412 | CAD | 49,536 | Morgan Stanley | 6/30/17 | (276 | ) | |||
USD | 2,637 | CAD | 3,595 | Morgan Stanley | 6/30/17 | (26 | ) | |||
USD | 9,689 | CAD | 13,287 | Morgan Stanley | 6/30/17 | (152 | ) | |||
USD | 1,559 | CAD | 2,120 | Morgan Stanley | 6/30/17 | (11 | ) | |||
USD | 6,912 | CAD | 9,301 | Morgan Stanley | 6/30/17 | 24 | ||||
USD | 2,180 | CAD | 2,935 | Morgan Stanley | 6/30/17 | 6 | ||||
CHF | 34,289 | USD | 34,341 | Credit Suisse AG | 6/21/17 | 1,106 |
72
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
CHF | 168,743 | USD | 168,998 | Credit Suisse AG | 6/21/17 | $ | 5,442 | |||
CHF | 146,541 | USD | 147,522 | Credit Suisse AG | 6/21/17 | 3,967 | ||||
CHF | 55,068 | USD | 55,437 | Credit Suisse AG | 6/21/17 | 1,491 | ||||
CHF | 144,031 | USD | 147,626 | Credit Suisse AG | 6/21/17 | 1,268 | ||||
CHF | 58,892 | USD | 60,362 | Credit Suisse AG | 6/21/17 | 519 | ||||
CHF | 57,120 | USD | 57,482 | Credit Suisse AG | 6/30/17 | 1,603 | ||||
USD | 21,626 | CHF | 21,803 | Credit Suisse AG | 6/21/17 | (913 | ) | |||
USD | 1,003,921 | CHF | 1,012,148 | Credit Suisse AG | 6/21/17 | (42,400 | ) | |||
USD | 147,260 | CHF | 146,303 | Credit Suisse AG | 6/21/17 | (3,982 | ) | |||
USD | 60,450 | CHF | 60,057 | Credit Suisse AG | 6/21/17 | (1,635 | ) | |||
USD | 134,740 | CHF | 135,389 | Credit Suisse AG | 6/21/17 | (5,221 | ) | |||
USD | 59,452 | CHF | 59,739 | Credit Suisse AG | 6/21/17 | (2,304 | ) | |||
USD | 14,731 | CHF | 14,296 | Credit Suisse AG | 6/21/17 | (48 | ) | |||
USD | 500,881 | CHF | 494,420 | Credit Suisse AG | 6/30/17 | (10,553 | ) | |||
USD | 52,451 | CHF | 52,023 | Credit Suisse AG | 6/30/17 | (1,362 | ) | |||
USD | 53,002 | CHF | 52,726 | Credit Suisse AG | 6/30/17 | (1,538 | ) | |||
USD | 58,724 | CHF | 58,477 | Credit Suisse AG | 6/30/17 | (1,765 | ) | |||
USD | 46,977 | CHF | 46,828 | Credit Suisse AG | 6/30/17 | (1,463 | ) | |||
USD | 160,374 | CHF | 160,074 | Credit Suisse AG | 6/30/17 | (5,209 | ) | |||
USD | 55,020 | CHF | 55,128 | Credit Suisse AG | 6/30/17 | (2,005 | ) | |||
USD | 22,565 | CHF | 22,585 | Credit Suisse AG | 6/30/17 | (796 | ) | |||
USD | 50,900 | CHF | 50,528 | Credit Suisse AG | 6/30/17 | (1,367 | ) | |||
USD | 39,691 | CHF | 39,453 | Credit Suisse AG | 6/30/17 | (1,120 | ) | |||
USD | 26,986 | CHF | 26,788 | Credit Suisse AG | 6/30/17 | (724 | ) | |||
USD | 25,898 | CHF | 25,666 | Credit Suisse AG | 6/30/17 | (651 | ) | |||
USD | 31,172 | CHF | 30,715 | Credit Suisse AG | 6/30/17 | (600 | ) | |||
USD | 31,361 | CHF | 31,556 | Credit Suisse AG | 6/30/17 | (1,281 | ) | |||
USD | 160,258 | CHF | 156,043 | Credit Suisse AG | 6/30/17 | (1,155 | ) | |||
USD | 66,653 | CHF | 64,410 | Credit Suisse AG | 6/30/17 | 27 | ||||
CLP | 3,821,582 | USD | 5,869 | Goldman Sachs & Co. | 6/21/17 | (201 | ) | |||
USD | 59,458 | CLP | 39,645,069 | Goldman Sachs & Co. | 6/21/17 | 657 | ||||
USD | 147,203 | CLP | 98,152,258 | Goldman Sachs & Co. | 6/21/17 | 1,627 | ||||
USD | 69,688 | CLP | 46,565,217 | Goldman Sachs & Co. | 6/21/17 | 623 | ||||
USD | 27,018 | CLP | 18,053,714 | Goldman Sachs & Co. | 6/21/17 | 242 | ||||
USD | 58,989 | CLP | 40,201,034 | Goldman Sachs & Co. | 6/21/17 | (636 | ) | |||
USD | 148,322 | CLP | 101,081,270 | Goldman Sachs & Co. | 6/21/17 | (1,599 | ) | |||
COP | 174,959,707 | USD | 58,711 | Goldman Sachs & Co. | 6/21/17 | 1,115 | ||||
COP | 439,889,127 | USD | 147,614 | Goldman Sachs & Co. | 6/21/17 | 2,803 | ||||
COP | 175,961,400 | USD | 59,786 | Goldman Sachs & Co. | 6/21/17 | 383 | ||||
COP | 430,985,916 | USD | 146,434 | Goldman Sachs & Co. | 6/21/17 | 938 | ||||
COP | 171,919,862 | USD | 59,303 | Goldman Sachs & Co. | 6/21/17 | (516 | ) | |||
COP | 425,393,546 | USD | 146,738 | Goldman Sachs & Co. | 6/21/17 | (1,278 | ) | |||
USD | 61,032 | COP | 180,106,593 | Goldman Sachs & Co. | 6/21/17 | (554 | ) | |||
USD | 147,995 | COP | 436,734,384 | Goldman Sachs & Co. | 6/21/17 | (1,343 | ) | |||
USD | 59,476 | COP | 174,959,707 | Goldman Sachs & Co. | 6/21/17 | (351 | ) | |||
USD | 149,536 | COP | 439,889,127 | Goldman Sachs & Co. | 6/21/17 | (881 | ) | |||
USD | 56,499 | COP | 167,774,669 | Goldman Sachs & Co. | 6/21/17 | (870 | ) | |||
USD | 141,318 | COP | 419,645,078 | Goldman Sachs & Co. | 6/21/17 | (2,176 | ) | |||
USD | 6,036 | CZK | 153,887 | Goldman Sachs & Co. | 6/21/17 | (532 | ) |
73
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
USD | 68,040 | CZK | 1,729,677 | Goldman Sachs & Co. | 6/21/17 | $ | (5,784 | ) | ||
USD | 5,391 | CZK | 137,056 | Goldman Sachs & Co. | 6/21/17 | (458 | ) | |||
DKK | 164,303 | USD | 23,441 | JPMorgan Chase Bank N.A. | 6/21/17 | 1,399 | ||||
DKK | 124,484 | USD | 17,907 | JPMorgan Chase Bank N.A. | 6/21/17 | 913 | ||||
DKK | 171,166 | USD | 24,622 | JPMorgan Chase Bank N.A. | 6/21/17 | 1,255 | ||||
DKK | 1,060,747 | USD | 152,588 | JPMorgan Chase Bank N.A. | 6/21/17 | 7,778 | ||||
DKK | 373,755 | USD | 53,764 | JPMorgan Chase Bank N.A. | 6/21/17 | 2,741 | ||||
USD | 214,235 | DKK | 1,501,629 | JPMorgan Chase Bank N.A. | 6/21/17 | (12,784 | ) | |||
USD | 109,190 | DKK | 759,482 | JPMorgan Chase Bank N.A. | 6/21/17 | (5,630 | ) | |||
USD | 33,044 | DKK | 229,843 | JPMorgan Chase Bank N.A. | 6/21/17 | (1,704 | ) | |||
EUR | 83,722 | USD | 89,038 | JPMorgan Chase Bank N.A. | 6/21/17 | 5,105 | ||||
EUR | 1,080 | USD | 1,151 | JPMorgan Chase Bank N.A. | 6/21/17 | 63 | ||||
EUR | 267,725 | USD | 292,607 | JPMorgan Chase Bank N.A. | 6/21/17 | 8,441 | ||||
EUR | 544,855 | USD | 595,766 | JPMorgan Chase Bank N.A. | 6/21/17 | 16,906 | ||||
EUR | 116,230 | USD | 127,358 | JPMorgan Chase Bank N.A. | 6/21/17 | 3,339 | ||||
EUR | 59,474 | USD | 65,415 | JPMorgan Chase Bank N.A. | 6/21/17 | 1,461 | ||||
EUR | 335,868 | USD | 367,517 | JPMorgan Chase Bank N.A. | 6/21/17 | 10,156 | ||||
EUR | 217,792 | USD | 238,314 | JPMorgan Chase Bank N.A. | 6/21/17 | 6,586 | ||||
EUR | 222,309 | USD | 242,679 | JPMorgan Chase Bank N.A. | 6/21/17 | 7,300 | ||||
EUR | 222,309 | USD | 242,679 | JPMorgan Chase Bank N.A. | 6/21/17 | 7,300 | ||||
EUR | 292,527 | USD | 319,346 | JPMorgan Chase Bank N.A. | 6/21/17 | 9,592 | ||||
EUR | 361,009 | USD | 393,221 | JPMorgan Chase Bank N.A. | 6/21/17 | 12,722 | ||||
EUR | 203,119 | USD | 221,110 | JPMorgan Chase Bank N.A. | 6/21/17 | 7,291 | ||||
EUR | 81,272 | USD | 88,470 | JPMorgan Chase Bank N.A. | 6/21/17 | 2,917 | ||||
EUR | 101,884 | USD | 114,330 | JPMorgan Chase Bank N.A. | 6/21/17 | 235 | ||||
EUR | 917,629 | USD | 1,029,731 | JPMorgan Chase Bank N.A. | 6/21/17 | 2,114 | ||||
EUR | 43,743 | USD | 49,087 | JPMorgan Chase Bank N.A. | 6/21/17 | 101 | ||||
EUR | 20,682 | USD | 23,265 | JPMorgan Chase Bank N.A. | 6/21/17 | (8 | ) | |||
EUR | 177,586 | USD | 199,762 | JPMorgan Chase Bank N.A. | 6/21/17 | (72 | ) | |||
EUR | 105,241 | USD | 118,388 | JPMorgan Chase Bank N.A. | 6/21/17 | (48 | ) | |||
EUR | 60,137 | USD | 67,650 | JPMorgan Chase Bank N.A. | 6/21/17 | (28 | ) | |||
EUR | 56,207 | USD | 62,905 | JPMorgan Chase Bank N.A. | 6/21/17 | 298 | ||||
EUR | 25,309 | USD | 28,455 | JPMorgan Chase Bank N.A. | 6/21/17 | 4 | ||||
EUR | 66,919 | USD | 75,321 | JPMorgan Chase Bank N.A. | 6/21/17 | (73 | ) | |||
EUR | 49,154 | USD | 55,326 | JPMorgan Chase Bank N.A. | 6/21/17 | (54 | ) | |||
EUR | 35,093 | USD | 38,102 | UBS AG | 6/30/17 | 1,378 | ||||
EUR | 1,513 | USD | 1,620 | UBS AG | 6/30/17 | 82 | ||||
EUR | 592 | USD | 632 | UBS AG | 6/30/17 | 34 | ||||
EUR | 1,800 | USD | 1,915 | UBS AG | 6/30/17 | 111 | ||||
EUR | 11,553 | USD | 12,292 | UBS AG | 6/30/17 | 705 | ||||
EUR | 340 | USD | 363 | UBS AG | 6/30/17 | 20 | ||||
EUR | 12,200 | USD | 13,159 | UBS AG | 6/30/17 | 567 | ||||
EUR | 99,393 | USD | 106,712 | UBS AG | 6/30/17 | 5,109 | ||||
EUR | 27,819 | USD | 30,286 | UBS AG | 6/30/17 | 1,011 | ||||
EUR | 4,725 | USD | 5,152 | UBS AG | 6/30/17 | 163 | ||||
EUR | 33,951 | USD | 37,024 | UBS AG | 6/30/17 | 1,173 | ||||
EUR | 1,495 | USD | 1,631 | UBS AG | 6/30/17 | 51 | ||||
EUR | 865 | USD | 944 | UBS AG | 6/30/17 | 29 | ||||
EUR | 6,424 | USD | 6,989 | UBS AG | 6/30/17 | 238 |
74
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
EUR | 12,837 | USD | 13,977 | UBS AG | 6/30/17 | $ | 464 | |||
EUR | 90,193 | USD | 100,146 | UBS AG | 6/30/17 | 1,325 | ||||
EUR | 22,719 | USD | 25,370 | UBS AG | 6/30/17 | 190 | ||||
EUR | 153,811 | USD | 172,369 | UBS AG | 6/30/17 | 674 | ||||
EUR | 14,343 | USD | 16,089 | UBS AG | 6/30/17 | 48 | ||||
EUR | 34,309 | USD | 38,487 | UBS AG | 6/30/17 | 112 | ||||
EUR | 81,631 | USD | 91,572 | UBS AG | 6/30/17 | 266 | ||||
EUR | 77,421 | USD | 87,119 | UBS AG | 6/30/17 | (17 | ) | |||
USD | 2,196,024 | EUR | 2,065,223 | JPMorgan Chase Bank N.A. | 6/21/17 | (126,255 | ) | |||
USD | 140,374 | EUR | 131,998 | JPMorgan Chase Bank N.A. | 6/21/17 | (8,054 | ) | |||
USD | 8,055 | EUR | 7,568 | JPMorgan Chase Bank N.A. | 6/21/17 | (455 | ) | |||
USD | 4,803 | EUR | 4,471 | JPMorgan Chase Bank N.A. | 6/21/17 | (225 | ) | |||
USD | 15,531,376 | EUR | 14,204,141 | JPMorgan Chase Bank N.A. | 6/21/17 | (440,738 | ) | |||
USD | 22,478 | EUR | 20,445 | JPMorgan Chase Bank N.A. | 6/21/17 | (511 | ) | |||
USD | 7,553 | EUR | 6,870 | JPMorgan Chase Bank N.A. | 6/21/17 | (172 | ) | |||
USD | 3,147 | EUR | 2,862 | JPMorgan Chase Bank N.A. | 6/21/17 | (72 | ) | |||
USD | 22,032 | EUR | 19,995 | JPMorgan Chase Bank N.A. | 6/21/17 | (451 | ) | |||
USD | 79,782 | EUR | 72,404 | JPMorgan Chase Bank N.A. | 6/21/17 | (1,634 | ) | |||
USD | 212,667 | EUR | 194,182 | JPMorgan Chase Bank N.A. | 6/21/17 | (5,684 | ) | |||
USD | 315,962 | EUR | 288,498 | JPMorgan Chase Bank N.A. | 6/21/17 | (8,445 | ) | |||
USD | 13,876 | EUR | 12,749 | JPMorgan Chase Bank N.A. | 6/21/17 | (459 | ) | |||
USD | 6,204 | EUR | 5,700 | JPMorgan Chase Bank N.A. | 6/21/17 | (205 | ) | |||
USD | 7,679 | EUR | 7,055 | JPMorgan Chase Bank N.A. | 6/21/17 | (254 | ) | |||
USD | 3,803 | EUR | 3,478 | JPMorgan Chase Bank N.A. | 6/21/17 | (108 | ) | |||
USD | 284,366 | EUR | 252,841 | JPMorgan Chase Bank N.A. | 6/21/17 | 54 | ||||
USD | 33,630 | EUR | 29,902 | JPMorgan Chase Bank N.A. | 6/21/17 | 6 | ||||
USD | 88,614 | EUR | 79,178 | JPMorgan Chase Bank N.A. | 6/21/17 | (420 | ) | |||
USD | 25,545 | EUR | 22,815 | JPMorgan Chase Bank N.A. | 6/21/17 | (109 | ) | |||
USD | 202,123 | EUR | 179,770 | JPMorgan Chase Bank N.A. | 6/21/17 | (23 | ) | |||
USD | 188,139 | EUR | 167,333 | JPMorgan Chase Bank N.A. | 6/21/17 | (21 | ) | |||
USD | 18,206 | EUR | 16,708 | UBS AG | 6/30/17 | (591 | ) | |||
USD | 524,367 | EUR | 481,221 | UBS AG | 6/30/17 | (17,025 | ) | |||
USD | 818,113 | EUR | 750,796 | UBS AG | 6/30/17 | (26,563 | ) | |||
USD | 3,409,796 | EUR | 3,129,229 | UBS AG | 6/30/17 | (110,709 | ) | |||
USD | 14,712 | EUR | 13,612 | UBS AG | 6/30/17 | (602 | ) | |||
USD | 298,366 | EUR | 279,052 | UBS AG | 6/30/17 | (15,579 | ) | |||
USD | 567 | EUR | 533 | UBS AG | 6/30/17 | (33 | ) | |||
USD | 546 | EUR | 513 | UBS AG | 6/30/17 | (31 | ) | |||
USD | 27,344 | EUR | 24,926 | UBS AG | 6/30/17 | (699 | ) | |||
USD | 26,856 | EUR | 24,383 | UBS AG | 6/30/17 | (576 | ) | |||
USD | 29,186 | EUR | 25,938 | UBS AG | 6/30/17 | 6 | ||||
GBP | 631,582 | USD | 770,151 | Credit Suisse AG | 6/21/17 | 44,091 | ||||
GBP | 18,572 | USD | 22,643 | Credit Suisse AG | 6/21/17 | 1,301 | ||||
GBP | 10,849 | USD | 13,293 | Credit Suisse AG | 6/21/17 | 694 | ||||
GBP | 6,199 | USD | 7,596 | Credit Suisse AG | 6/21/17 | 396 | ||||
GBP | 106,488 | USD | 131,956 | Credit Suisse AG | 6/21/17 | 5,329 | ||||
GBP | 26,336 | USD | 32,933 | Credit Suisse AG | 6/21/17 | 1,019 | ||||
GBP | 44,312 | USD | 55,453 | Credit Suisse AG | 6/21/17 | 1,675 | ||||
GBP | 132,359 | USD | 165,636 | Credit Suisse AG | 6/21/17 | 5,003 |
75
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
GBP | 16,556 | USD | 20,737 | Credit Suisse AG | 6/21/17 | $ | 607 | |||
GBP | 10,817 | USD | 13,523 | Credit Suisse AG | 6/21/17 | 422 | ||||
GBP | 55,261 | USD | 68,891 | Credit Suisse AG | 6/21/17 | 2,352 | ||||
GBP | 115,895 | USD | 147,691 | Credit Suisse AG | 6/21/17 | 1,722 | ||||
GBP | 28,321 | USD | 36,091 | Credit Suisse AG | 6/21/17 | 421 | ||||
GBP | 69,500 | USD | 89,323 | Credit Suisse AG | 6/21/17 | 277 | ||||
GBP | 103,460 | USD | 132,970 | Credit Suisse AG | 6/21/17 | 412 | ||||
GBP | 26,674 | USD | 34,611 | Credit Suisse AG | 6/21/17 | (223 | ) | |||
GBP | 17,792 | USD | 23,087 | Credit Suisse AG | 6/21/17 | (149 | ) | |||
GBP | 42,206 | USD | 54,551 | Credit Suisse AG | 6/21/17 | (138 | ) | |||
GBP | 4,692 | USD | 6,076 | Credit Suisse AG | 6/21/17 | (27 | ) | |||
GBP | 23,461 | USD | 30,379 | Credit Suisse AG | 6/21/17 | (133 | ) | |||
GBP | 12,460 | USD | 16,218 | Credit Suisse AG | 6/21/17 | (154 | ) | |||
GBP | 40,668 | USD | 52,973 | Credit Suisse AG | 6/21/17 | (544 | ) | |||
GBP | 18,345 | USD | 23,819 | Credit Suisse AG | 6/21/17 | (169 | ) | |||
GBP | 21,368 | USD | 26,791 | Credit Suisse AG | 6/30/17 | 765 | ||||
GBP | 18,839 | USD | 24,136 | Credit Suisse AG | 6/30/17 | 159 | ||||
GBP | 15,444 | USD | 19,835 | Credit Suisse AG | 6/30/17 | 82 | ||||
GBP | 35,545 | USD | 46,050 | Credit Suisse AG | 6/30/17 | (211 | ) | |||
GBP | 16,214 | USD | 21,154 | Credit Suisse AG | 6/30/17 | (245 | ) | |||
USD | 9,456 | GBP | 7,763 | Credit Suisse AG | 6/21/17 | (552 | ) | |||
USD | 2,577,488 | GBP | 2,113,735 | Credit Suisse AG | 6/21/17 | (147,561 | ) | |||
USD | 71,097 | GBP | 57,986 | Credit Suisse AG | 6/21/17 | (3,659 | ) | |||
USD | 31,802 | GBP | 25,677 | Credit Suisse AG | 6/21/17 | (1,301 | ) | |||
USD | 146,579 | GBP | 118,309 | Credit Suisse AG | 6/21/17 | (5,946 | ) | |||
USD | 19,639 | GBP | 15,679 | Credit Suisse AG | 6/21/17 | (574 | ) | |||
USD | 9,933 | GBP | 7,908 | Credit Suisse AG | 6/21/17 | (261 | ) | |||
USD | 35,208 | GBP | 28,109 | Credit Suisse AG | 6/21/17 | (1,031 | ) | |||
USD | 42,961 | GBP | 34,363 | Credit Suisse AG | 6/21/17 | (1,340 | ) | |||
USD | 18,439 | GBP | 14,725 | Credit Suisse AG | 6/21/17 | (545 | ) | |||
USD | 8,921 | GBP | 7,170 | Credit Suisse AG | 6/21/17 | (323 | ) | |||
USD | 34,227 | GBP | 26,732 | Credit Suisse AG | 6/21/17 | (236 | ) | |||
USD | 132,336 | GBP | 103,358 | Credit Suisse AG | 6/21/17 | (914 | ) | |||
USD | 19,265 | GBP | 14,976 | Credit Suisse AG | 6/21/17 | (42 | ) | |||
USD | 17,363 | GBP | 13,497 | Credit Suisse AG | 6/21/17 | (38 | ) | |||
USD | 65,356 | GBP | 50,889 | Credit Suisse AG | 6/21/17 | (251 | ) | |||
USD | 77,898 | GBP | 60,139 | Credit Suisse AG | 6/21/17 | 366 | ||||
USD | 4,584 | GBP | 3,543 | Credit Suisse AG | 6/21/17 | 16 | ||||
USD | 2,292 | GBP | 1,772 | Credit Suisse AG | 6/21/17 | 8 | ||||
USD | 40,794 | GBP | 31,318 | Credit Suisse AG | 6/21/17 | 419 | ||||
USD | 28,863 | GBP | 22,425 | Credit Suisse AG | 6/21/17 | (47 | ) | |||
USD | 134,456 | GBP | 104,464 | Credit Suisse AG | 6/21/17 | (220 | ) | |||
USD | 38,349 | GBP | 29,693 | Credit Suisse AG | 6/21/17 | 69 | ||||
USD | 25,692 | GBP | 19,893 | Credit Suisse AG | 6/21/17 | 46 | ||||
USD | 788,480 | GBP | 629,465 | Credit Suisse AG | 6/30/17 | (23,283 | ) | |||
USD | 49,900 | GBP | 40,043 | Credit Suisse AG | 6/30/17 | (1,740 | ) | |||
USD | 23,209 | GBP | 18,649 | Credit Suisse AG | 6/30/17 | (841 | ) | |||
USD | 25,005 | GBP | 19,299 | Credit Suisse AG | 6/30/17 | 118 | ||||
USD | 24,153 | GBP | 18,738 | Credit Suisse AG | 6/30/17 | (12 | ) |
76
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
HKD | 69,494 | USD | 8,958 | Credit Suisse AG | 6/21/17 | $ | (36 | ) | ||
HUF | 41,605,227 | USD | 149,482 | Goldman Sachs & Co. | 6/21/17 | 2,249 | ||||
HUF | 16,504,528 | USD | 59,298 | Goldman Sachs & Co. | 6/21/17 | 892 | ||||
USD | 58,922 | HUF | 17,299,728 | Goldman Sachs & Co. | 6/21/17 | (4,168 | ) | |||
USD | 144,955 | HUF | 42,559,271 | Goldman Sachs & Co. | 6/21/17 | (10,255 | ) | |||
USD | 26,159 | HUF | 7,478,332 | Goldman Sachs & Co. | 6/21/17 | (1,114 | ) | |||
USD | 68,843 | HUF | 19,681,114 | Goldman Sachs & Co. | 6/21/17 | (2,932 | ) | |||
USD | 70,616 | HUF | 20,191,217 | Goldman Sachs & Co. | 6/21/17 | (3,020 | ) | |||
USD | 28,099 | HUF | 8,034,180 | Goldman Sachs & Co. | 6/21/17 | (1,201 | ) | |||
USD | 67,419 | HUF | 18,578,329 | Goldman Sachs & Co. | 6/21/17 | (335 | ) | |||
USD | 27,485 | HUF | 7,573,811 | Goldman Sachs & Co. | 6/21/17 | (136 | ) | |||
IDR | 769,261,157 | USD | 57,666 | Goldman Sachs & Co. | 6/21/17 | 82 | ||||
IDR | 1,932,078,866 | USD | 144,834 | Goldman Sachs & Co. | 6/21/17 | 207 | ||||
IDR | 1,581,673,378 | USD | 117,422 | Goldman Sachs & Co. | 6/21/17 | 1,313 | ||||
IDR | 3,979,234,418 | USD | 295,415 | Goldman Sachs & Co. | 6/21/17 | 3,304 | ||||
USD | 295,415 | IDR | 3,979,234,418 | Goldman Sachs & Co. | 6/21/17 | (3,304 | ) | |||
USD | 117,422 | IDR | 1,581,673,378 | Goldman Sachs & Co. | 6/21/17 | (1,313 | ) | |||
ILS | 233,800 | USD | 63,683 | Goldman Sachs & Co. | 6/21/17 | 2,392 | ||||
ILS | 212,449 | USD | 60,022 | Goldman Sachs & Co. | 6/21/17 | 19 | ||||
ILS | 515,037 | USD | 145,510 | Goldman Sachs & Co. | 6/21/17 | 46 | ||||
INR | 3,476,426 | USD | 53,911 | Morgan Stanley | 6/21/17 | (86 | ) | |||
INR | 8,996,863 | USD | 139,519 | Morgan Stanley | 6/21/17 | (221 | ) | |||
INR | 12,112,226 | USD | 179,467 | Morgan Stanley | 6/21/17 | 8,065 | ||||
INR | 30,788,080 | USD | 456,187 | Morgan Stanley | 6/21/17 | 20,501 | ||||
USD | 8,691 | INR | 563,673 | Morgan Stanley | 6/21/17 | (37 | ) | |||
USD | 27,575 | INR | 1,788,483 | Morgan Stanley | 6/21/17 | (116 | ) | |||
USD | 59,947 | INR | 3,891,727 | Morgan Stanley | 6/21/17 | (309 | ) | |||
USD | 154,562 | INR | 10,034,148 | Morgan Stanley | 6/21/17 | (796 | ) | |||
USD | 213,811 | INR | 13,953,317 | Morgan Stanley | 6/21/17 | (2,226 | ) | |||
USD | 83,622 | INR | 5,457,171 | Morgan Stanley | 6/21/17 | (871 | ) | |||
JPY | 145,111,671 | USD | 1,293,907 | Credit Suisse AG | 6/21/17 | 17,429 | ||||
JPY | 17,032,528 | USD | 152,049 | Credit Suisse AG | 6/21/17 | 1,869 | ||||
JPY | 14,034,492 | USD | 125,286 | Credit Suisse AG | 6/21/17 | 1,540 | ||||
JPY | 25,872,216 | USD | 233,026 | Credit Suisse AG | 6/21/17 | 774 | ||||
JPY | 24,215,680 | USD | 218,106 | Credit Suisse AG | 6/21/17 | 725 | ||||
JPY | 5,768,391 | USD | 52,009 | Credit Suisse AG | 6/21/17 | 119 | ||||
JPY | 2,343,110 | USD | 21,108 | Credit Suisse AG | 6/21/17 | 66 | ||||
JPY | 1,478,206 | USD | 13,209 | Credit Suisse AG | 6/21/17 | 149 | ||||
JPY | 2,654,563 | USD | 24,021 | Credit Suisse AG | 6/21/17 | (32 | ) | |||
JPY | 1,803,033 | USD | 15,924 | Credit Suisse AG | 6/30/17 | 377 | ||||
JPY | 3,220,557 | USD | 29,110 | Credit Suisse AG | 6/30/17 | 6 | ||||
JPY | 3,370,550 | USD | 30,466 | Credit Suisse AG | 6/30/17 | 6 | ||||
USD | 10,036,708 | JPY | 1,125,616,791 | Credit Suisse AG | 6/21/17 | (135,196 | ) | |||
USD | 44,830 | JPY | 5,028,889 | Credit Suisse AG | 6/21/17 | (615 | ) | |||
USD | 217,407 | JPY | 24,388,122 | Credit Suisse AG | 6/21/17 | (2,983 | ) | |||
USD | 42,398 | JPY | 4,830,279 | Credit Suisse AG | 6/21/17 | (1,252 | ) | |||
USD | 39,050 | JPY | 4,448,943 | Credit Suisse AG | 6/21/17 | (1,153 | ) | |||
USD | 155,950 | JPY | 17,296,750 | Credit Suisse AG | 6/21/17 | (356 | ) | |||
USD | 69,393 | JPY | 7,703,182 | Credit Suisse AG | 6/21/17 | (219 | ) |
77
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
USD | 79,478 | JPY | 8,865,539 | Credit Suisse AG | 6/21/17 | $ | (638 | ) | ||
USD | 265,632 | JPY | 29,630,474 | Credit Suisse AG | 6/21/17 | (2,131 | ) | |||
USD | 43,595 | JPY | 4,824,902 | Credit Suisse AG | 6/21/17 | (6 | ) | |||
USD | 27,247 | JPY | 3,015,564 | Credit Suisse AG | 6/21/17 | (4 | ) | |||
USD | 430,540 | JPY | 47,311,414 | Credit Suisse AG | 6/30/17 | 2,811 | ||||
USD | 18,716 | JPY | 2,080,338 | Credit Suisse AG | 6/30/17 | (91 | ) | |||
USD | 7,510 | JPY | 838,229 | Credit Suisse AG | 6/30/17 | (68 | ) | |||
USD | 28,913 | JPY | 3,235,881 | Credit Suisse AG | 6/30/17 | (342 | ) | |||
USD | 100,054 | JPY | 11,209,972 | Credit Suisse AG | 6/30/17 | (1,292 | ) | |||
USD | 15,435 | JPY | 1,735,922 | Credit Suisse AG | 6/30/17 | (259 | ) | |||
USD | 72,382 | JPY | 8,105,470 | Credit Suisse AG | 6/30/17 | (897 | ) | |||
USD | 16,339 | JPY | 1,833,348 | Credit Suisse AG | 6/30/17 | (236 | ) | |||
USD | 69,556 | JPY | 7,838,791 | Credit Suisse AG | 6/30/17 | (1,312 | ) | |||
USD | 67,797 | JPY | 7,619,161 | Credit Suisse AG | 6/30/17 | (1,085 | ) | |||
USD | 56,017 | JPY | 6,308,499 | Credit Suisse AG | 6/30/17 | (1,016 | ) | |||
USD | 32,824 | JPY | 3,702,452 | Credit Suisse AG | 6/30/17 | (649 | ) | |||
USD | 28,957 | JPY | 3,303,664 | Credit Suisse AG | 6/30/17 | (910 | ) | |||
USD | 45,980 | JPY | 5,235,721 | Credit Suisse AG | 6/30/17 | (1,355 | ) | |||
USD | 15,083 | JPY | 1,710,373 | Credit Suisse AG | 6/30/17 | (380 | ) | |||
USD | 29,164 | JPY | 3,296,935 | Credit Suisse AG | 6/30/17 | (642 | ) | |||
KRW | 28,349,903 | USD | 24,475 | Morgan Stanley | 6/21/17 | 857 | ||||
KRW | 119,715,077 | USD | 103,354 | Morgan Stanley | 6/21/17 | 3,620 | ||||
KRW | 30,691,594 | USD | 27,089 | Morgan Stanley | 6/21/17 | 336 | ||||
KRW | 119,532,672 | USD | 105,501 | Morgan Stanley | 6/21/17 | 1,310 | ||||
KRW | 84,790,853 | USD | 74,798 | Morgan Stanley | 6/21/17 | 969 | ||||
KRW | 251,870,306 | USD | 222,186 | Morgan Stanley | 6/21/17 | 2,879 | ||||
KRW | 82,494,809 | USD | 73,617 | Morgan Stanley | 6/21/17 | 99 | ||||
KRW | 33,650,106 | USD | 30,029 | Morgan Stanley | 6/21/17 | 40 | ||||
KRW | 533,040,398 | USD | 471,822 | Morgan Stanley | 6/21/17 | 4,490 | ||||
USD | 565,082 | KRW | 638,401,034 | Morgan Stanley | 6/21/17 | (5,378 | ) | |||
MXN | 982,867 | USD | 51,301 | JPMorgan Chase Bank N.A. | 6/21/17 | 1,243 | ||||
MXN | 3,047,518 | USD | 159,065 | JPMorgan Chase Bank N.A. | 6/21/17 | 3,853 | ||||
USD | 31,709 | MXN | 630,419 | JPMorgan Chase Bank N.A. | 6/21/17 | (1,993 | ) | |||
USD | 247,365 | MXN | 4,917,970 | JPMorgan Chase Bank N.A. | 6/21/17 | (15,545 | ) | |||
USD | 32,197 | MXN | 603,133 | JPMorgan Chase Bank N.A. | 6/21/17 | (46 | ) | |||
MYR | 245,327 | USD | 55,934 | Goldman Sachs & Co. | 6/21/17 | 1,215 | ||||
MYR | 610,001 | USD | 139,079 | Goldman Sachs & Co. | 6/21/17 | 3,021 | ||||
MYR | 613,991 | USD | 141,587 | Goldman Sachs & Co. | 6/21/17 | 1,443 | ||||
MYR | 221,624 | USD | 51,107 | Goldman Sachs & Co. | 6/21/17 | 521 | ||||
MYR | 250,269 | USD | 58,067 | Goldman Sachs & Co. | 6/21/17 | 233 | ||||
MYR | 645,232 | USD | 149,706 | Goldman Sachs & Co. | 6/21/17 | 602 | ||||
MYR | 148,947 | USD | 33,310 | Goldman Sachs & Co. | 6/21/17 | 1,387 | ||||
USD | 164,119 | MYR | 733,856 | Goldman Sachs & Co. | 6/21/17 | (6,834 | ) | |||
USD | 82,589 | MYR | 359,925 | Goldman Sachs & Co. | 6/21/17 | (1,255 | ) | |||
USD | 217,645 | MYR | 948,497 | Goldman Sachs & Co. | 6/21/17 | (3,308 | ) | |||
NOK | 1,225,789 | USD | 145,565 | JPMorgan Chase Bank N.A. | 6/21/17 | (446 | ) | |||
NOK | 482,971 | USD | 57,354 | JPMorgan Chase Bank N.A. | 6/21/17 | (176 | ) | |||
USD | 3,786,878 | NOK | 32,155,135 | JPMorgan Chase Bank N.A. | 6/21/17 | (19,908 | ) | |||
USD | 1,486,267 | NOK | 12,620,190 | JPMorgan Chase Bank N.A. | 6/21/17 | (7,813 | ) |
78
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
USD | 5,825 | NOK | 49,252 | JPMorgan Chase Bank N.A. | 6/21/17 | $ | (6 | ) | ||
USD | 64,320 | NOK | 544,221 | JPMorgan Chase Bank N.A. | 6/21/17 | (110 | ) | |||
USD | 182,596 | NOK | 1,544,985 | JPMorgan Chase Bank N.A. | 6/21/17 | (311 | ) | |||
USD | 9,335 | NOK | 80,188 | JPMorgan Chase Bank N.A. | 6/21/17 | (158 | ) | |||
USD | 3,501 | NOK | 30,070 | JPMorgan Chase Bank N.A. | 6/21/17 | (59 | ) | |||
USD | 5,791 | NOK | 49,548 | JPMorgan Chase Bank N.A. | 6/21/17 | (75 | ) | |||
USD | 15,845 | NOK | 135,576 | JPMorgan Chase Bank N.A. | 6/21/17 | (206 | ) | |||
USD | 141,996 | NOK | 1,217,683 | JPMorgan Chase Bank N.A. | 6/21/17 | (2,164 | ) | |||
USD | 57,931 | NOK | 496,789 | JPMorgan Chase Bank N.A. | 6/21/17 | (883 | ) | |||
USD | 18,646 | NOK | 160,368 | JPMorgan Chase Bank N.A. | 6/21/17 | (340 | ) | |||
USD | 135,602 | NOK | 1,169,102 | JPMorgan Chase Bank N.A. | 6/21/17 | (2,806 | ) | |||
USD | 53,325 | NOK | 459,749 | JPMorgan Chase Bank N.A. | 6/21/17 | (1,103 | ) | |||
NZD | 324,720 | USD | 228,314 | JPMorgan Chase Bank N.A. | 6/21/17 | 1,658 | ||||
NZD | 129,020 | USD | 90,715 | JPMorgan Chase Bank N.A. | 6/21/17 | 659 | ||||
USD | 90,068 | NZD | 130,437 | JPMorgan Chase Bank N.A. | 6/21/17 | (2,309 | ) | |||
USD | 237,394 | NZD | 343,795 | JPMorgan Chase Bank N.A. | 6/21/17 | (6,086 | ) | |||
USD | 141,945 | NZD | 204,002 | JPMorgan Chase Bank N.A. | 6/21/17 | (2,533 | ) | |||
USD | 60,767 | NZD | 87,334 | JPMorgan Chase Bank N.A. | 6/21/17 | (1,084 | ) | |||
USD | 59,444 | NZD | 86,575 | JPMorgan Chase Bank N.A. | 6/21/17 | (1,870 | ) | |||
USD | 145,125 | NZD | 211,361 | JPMorgan Chase Bank N.A. | 6/21/17 | (4,564 | ) | |||
USD | 59,678 | NZD | 86,765 | JPMorgan Chase Bank N.A. | 6/21/17 | (1,770 | ) | |||
USD | 146,774 | NZD | 213,391 | JPMorgan Chase Bank N.A. | 6/21/17 | (4,353 | ) | |||
PEN | 195,910 | USD | 60,040 | Goldman Sachs & Co. | 6/21/17 | (251 | ) | |||
PEN | 482,273 | USD | 147,800 | Goldman Sachs & Co. | 6/21/17 | (618 | ) | |||
PHP | 7,825,825 | USD | 156,033 | Morgan Stanley | 6/21/17 | 1,033 | ||||
PHP | 2,938,908 | USD | 58,597 | Morgan Stanley | 6/21/17 | 388 | ||||
USD | 10,558 | PHP | 525,771 | Morgan Stanley | 6/21/17 | 5 | ||||
USD | 438,704 | PHP | 22,264,221 | Morgan Stanley | 6/21/17 | (8,145 | ) | |||
USD | 160,796 | PHP | 8,160,400 | Morgan Stanley | 6/21/17 | (2,985 | ) | |||
USD | 144,422 | PHP | 7,196,531 | Morgan Stanley | 6/21/17 | (15 | ) | |||
USD | 59,247 | PHP | 2,952,289 | Morgan Stanley | 6/21/17 | (6 | ) | |||
PLN | 141,034 | USD | 34,487 | Goldman Sachs & Co. | 6/21/17 | 3,418 | ||||
PLN | 388,767 | USD | 95,066 | Goldman Sachs & Co. | 6/21/17 | 9,421 | ||||
PLN | 605,977 | USD | 153,001 | Goldman Sachs & Co. | 6/21/17 | 9,864 | ||||
PLN | 1,517,465 | USD | 383,140 | Goldman Sachs & Co. | 6/21/17 | 24,702 | ||||
PLN | 234,814 | USD | 58,895 | Goldman Sachs & Co. | 6/21/17 | 4,215 | ||||
PLN | 581,155 | USD | 145,762 | Goldman Sachs & Co. | 6/21/17 | 10,432 | ||||
PLN | 579,568 | USD | 148,349 | Goldman Sachs & Co. | 6/21/17 | 7,419 | ||||
PLN | 226,671 | USD | 58,020 | Goldman Sachs & Co. | 6/21/17 | 2,902 | ||||
USD | 27,159 | PLN | 110,996 | Goldman Sachs & Co. | 6/21/17 | (2,673 | ) | |||
USD | 160,105 | PLN | 654,443 | Goldman Sachs & Co. | 6/21/17 | (15,787 | ) | |||
USD | 570,057 | PLN | 2,330,161 | Goldman Sachs & Co. | 6/21/17 | (56,209 | ) | |||
USD | 19,030 | PLN | 70,945 | Goldman Sachs & Co. | 6/21/17 | (38 | ) | |||
USD | 25,978 | PLN | 96,849 | Goldman Sachs & Co. | 6/21/17 | (52 | ) | |||
USD | 144,505 | PLN | 540,290 | Goldman Sachs & Co. | 6/21/17 | (706 | ) | |||
USD | 58,404 | PLN | 218,365 | Goldman Sachs & Co. | 6/21/17 | (285 | ) | |||
RUB | 8,175,483 | USD | 140,762 | Morgan Stanley | 6/21/17 | 2,765 | ||||
RUB | 3,146,439 | USD | 54,174 | Morgan Stanley | 6/21/17 | 1,064 | ||||
RUB | 6,917,413 | USD | 115,483 | Morgan Stanley | 6/21/17 | 5,958 |
79
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
RUB | 8,735,267 | USD | 145,831 | Morgan Stanley | 6/21/17 | $ | 7,524 | |||
USD | 61,313 | RUB | 3,504,376 | Morgan Stanley | 6/21/17 | (209 | ) | |||
USD | 153,885 | RUB | 8,795,386 | Morgan Stanley | 6/21/17 | (526 | ) | |||
USD | 142,650 | RUB | 8,115,364 | Morgan Stanley | 6/21/17 | 178 | ||||
USD | 57,605 | RUB | 3,277,164 | Morgan Stanley | 6/21/17 | 72 | ||||
SEK | 1,475,943 | USD | 164,273 | JPMorgan Chase Bank N.A. | 6/21/17 | 5,728 | ||||
SEK | 326,202 | USD | 36,306 | JPMorgan Chase Bank N.A. | 6/21/17 | 1,266 | ||||
SEK | 711,680 | USD | 79,490 | JPMorgan Chase Bank N.A. | 6/21/17 | 2,482 | ||||
SEK | 858,997 | USD | 95,944 | JPMorgan Chase Bank N.A. | 6/21/17 | 2,996 | ||||
SEK | 1,336,482 | USD | 152,811 | JPMorgan Chase Bank N.A. | 6/21/17 | 1,126 | ||||
SEK | 466,557 | USD | 53,345 | JPMorgan Chase Bank N.A. | 6/21/17 | 393 | ||||
USD | 18,822 | SEK | 169,416 | JPMorgan Chase Bank N.A. | 6/21/17 | (691 | ) | |||
USD | 16,806 | SEK | 151,264 | JPMorgan Chase Bank N.A. | 6/21/17 | (617 | ) | |||
USD | 42,937 | SEK | 374,976 | JPMorgan Chase Bank N.A. | 6/21/17 | (253 | ) | |||
USD | 161,604 | SEK | 1,414,119 | JPMorgan Chase Bank N.A. | 6/21/17 | (1,276 | ) | |||
USD | 134,713 | SEK | 1,207,542 | JPMorgan Chase Bank N.A. | 6/21/17 | (4,372 | ) | |||
USD | 274,343 | SEK | 2,459,151 | JPMorgan Chase Bank N.A. | 6/21/17 | (8,904 | ) | |||
USD | 36,346 | SEK | 318,783 | JPMorgan Chase Bank N.A. | 6/21/17 | (372 | ) | |||
USD | 27,945 | SEK | 245,101 | JPMorgan Chase Bank N.A. | 6/21/17 | (286 | ) | |||
SGD | 196,458 | USD | 140,315 | JPMorgan Chase Bank N.A. | 6/21/17 | 1,701 | ||||
USD | 95,067 | SGD | 134,745 | JPMorgan Chase Bank N.A. | 6/21/17 | (2,338 | ) | |||
USD | 154,517 | SGD | 219,008 | JPMorgan Chase Bank N.A. | 6/21/17 | (3,800 | ) | |||
THB | 2,904,336 | USD | 85,146 | Goldman Sachs & Co. | 6/21/17 | 155 | ||||
THB | 7,468,301 | USD | 218,948 | Goldman Sachs & Co. | 6/21/17 | 399 | ||||
THB | 945,274 | USD | 27,054 | Goldman Sachs & Co. | 6/21/17 | 709 | ||||
USD | 33,070 | THB | 1,146,695 | Goldman Sachs & Co. | 6/21/17 | (609 | ) | |||
USD | 9,670 | THB | 335,293 | Goldman Sachs & Co. | 6/21/17 | (178 | ) | |||
USD | 147,091 | THB | 5,076,835 | Goldman Sachs & Co. | 6/21/17 | (2,018 | ) | |||
USD | 68,469 | THB | 2,363,194 | Goldman Sachs & Co. | 6/21/17 | (939 | ) | |||
USD | 27,163 | THB | 938,836 | Goldman Sachs & Co. | 6/21/17 | (411 | ) | |||
USD | 63,591 | THB | 2,197,904 | Goldman Sachs & Co. | 6/21/17 | (962 | ) | |||
USD | 185,119 | THB | 6,468,055 | Goldman Sachs & Co. | 6/21/17 | (4,850 | ) | |||
TRY | 161,818 | USD | 42,087 | Goldman Sachs & Co. | 6/21/17 | 3,515 | ||||
TRY | 94,847 | USD | 24,669 | Goldman Sachs & Co. | 6/21/17 | 2,060 | ||||
TRY | 415,991 | USD | 107,400 | Goldman Sachs & Co. | 6/21/17 | 9,832 | ||||
TRY | 161,546 | USD | 41,708 | Goldman Sachs & Co. | 6/21/17 | 3,818 | ||||
TRY | 388,143 | USD | 104,774 | Goldman Sachs & Co. | 6/21/17 | 4,609 | ||||
TRY | 129,381 | USD | 34,925 | Goldman Sachs & Co. | 6/21/17 | 1,536 | ||||
TRY | 234,282 | USD | 64,804 | Goldman Sachs & Co. | 6/21/17 | 1,219 | ||||
TRY | 588,327 | USD | 162,736 | Goldman Sachs & Co. | 6/21/17 | 3,062 | ||||
TRY | 1,021,701 | USD | 285,665 | Goldman Sachs & Co. | 6/21/17 | 2,264 | ||||
TRY | 405,448 | USD | 113,362 | Goldman Sachs & Co. | 6/21/17 | 898 | ||||
TWD | 1,793,460 | USD | 59,132 | Morgan Stanley | 6/21/17 | 402 | ||||
TWD | 4,449,306 | USD | 146,697 | Morgan Stanley | 6/21/17 | 997 | ||||
TWD | 4,779,324 | USD | 157,163 | Morgan Stanley | 6/21/17 | 1,486 | ||||
TWD | 1,899,694 | USD | 62,469 | Morgan Stanley | 6/21/17 | 590 | ||||
USD | 158,256 | TWD | 4,779,324 | Morgan Stanley | 6/21/17 | (393 | ) | |||
USD | 62,904 | TWD | 1,899,694 | Morgan Stanley | 6/21/17 | (156 | ) | |||
USD | 291,080 | TWD | 8,813,906 | Morgan Stanley | 6/21/17 | (1,495 | ) |
80
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
USD | 116,605 | TWD | 3,530,807 | Morgan Stanley | 6/21/17 | $ | (599 | ) | ||
USD | 58,923 | TWD | 1,774,757 | Morgan Stanley | 6/21/17 | 10 | ||||
USD | 145,075 | TWD | 4,369,656 | Morgan Stanley | 6/21/17 | 25 | ||||
USD | 145,615 | TWD | 4,417,973 | Morgan Stanley | 6/21/17 | (1,038 | ) | |||
USD | 59,883 | TWD | 1,816,837 | Morgan Stanley | 6/21/17 | (427 | ) | |||
ZAR | 1,962,175 | USD | 148,269 | Goldman Sachs & Co. | 6/21/17 | 821 | ||||
ZAR | 690,363 | USD | 52,166 | Goldman Sachs & Co. | 6/21/17 | 289 | ||||
USD | 50,657 | ZAR | 675,163 | Goldman Sachs & Co. | 6/21/17 | (643 | ) | |||
USD | 285,817 | ZAR | 3,809,377 | Goldman Sachs & Co. | 6/21/17 | (3,627 | ) | |||
USD | 60,170 | ZAR | 791,837 | Goldman Sachs & Co. | 6/21/17 | 5 | ||||
USD | 150,152 | ZAR | 1,976,002 | Goldman Sachs & Co. | 6/21/17 | 11 | ||||
$ | (1,001,504 | ) |
FUTURES CONTRACTS | ||||||||
Contracts Purchased | Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation (Depreciation) | |||||
37 | Euro-Schatz 2-Year Bonds | September 2017 | $ | 4,661,602 | $ | 758 | ||
12 | Korean Treasury 10-Year Bonds | June 2017 | 1,337,728 | (21 | ) | |||
54 | U.S. Treasury 10-Year Notes | September 2017 | 6,820,031 | 9,160 | ||||
37 | U.S. Treasury 2-Year Notes | September 2017 | 8,009,922 | 2,714 | ||||
12 | U.S. Treasury 5-Year Notes | September 2017 | 1,419,750 | 817 | ||||
4 | U.S. Treasury Long Bonds | September 2017 | 615,250 | 1,491 | ||||
3 | U.S. Treasury Ultra Bonds | September 2017 | 495,375 | 2,619 | ||||
$ | 23,359,658 | $ | 17,538 | |||||
Contracts Sold | Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation (Depreciation) | |||||
38 | Euro-Bobl 5-Year Bonds | September 2017 | $ | 5,677,408 | $ | 280 | ||
5 | Euro-Bund 10-Year Bonds | September 2017 | 922,832 | 160 | ||||
17 | U.K. Gilt 10-Year Bonds | September 2017 | 2,802,354 | 7,641 | ||||
2 | U.S. Treasury 10-Year Ultra Notes | September 2017 | 271,469 | (723 | ) | |||
1 | U.S. Treasury Long Bonds | September 2017 | 153,812 | (440 | ) | |||
$ | 9,827,875 | $ | 6,918 |
81
SWAP AGREEMENTS
CENTRALLY CLEARED CREDIT DEFAULT | |||||||||||||
Reference Entity | Notional Amount | Buy/Sell* Protection | Interest Rate | Termination Date | Implied Credit Spread** | Unrealized Appreciation (Depreciation) | Value | ||||||
Markit CDX North America High Yield Index Series 26 | $ | 3,519,450 | Sell | 5.00% | 6/20/21 | 2.71% | $ | 285,690 | $ | 331,927 | |||
Markit CDX North America High Yield Index Series 27 | 564,300 | Sell | 5.00% | 12/20/21 | 3.02% | 33,385 | 50,739 | ||||||
Markit CDX North America High Yield Index Series 28 | 1,300,000 | Sell | 5.00% | 6/20/22 | 3.30% | 12,208 | 109,890 | ||||||
$ | 331,283 | $ | 492,556 |
INTEREST RATE | ||||||||||
Counterparty | Notional Amount | Floating Rate Index | Pay/Receive Floating Rate | Fixed Rate | Termination Date | Value | ||||
Bank of America N.A. | BRL | 23,335,000 | BZDIOVRA | Receive | 9.60 | % | 1/2/19 | $ | (32,006 | ) |
Bank of America N.A. | BRL | 6,212,000 | BZDIOVRA | Pay | 10.78 | % | 1/2/23 | 20,888 | ||
$ | (11,118 | ) |
*The maximum potential amount the fund could be required to deliver as a seller of credit protection if a credit event occurs as defined under the terms of the agreement is the notional amount. The maximum potential amount may be partially offset by any recovery values of the reference entities and upfront payments received upon entering into the agreement.
**Implied credit spreads for centrally cleared credit default swap agreements are linked to the weighted average spread across the underlying reference entities included in a particular index. Implied credit spreads serve as an indication of the seller's performance risk related to the likelihood of a credit event occurring as defined in the agreement. Implied credit spreads are used to determine the value of swap agreements and reflect the cost of buying/selling protection, which may include upfront payments made/received upon entering the agreement. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform under the contract terms. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk.
82
NOTES TO SCHEDULE OF INVESTMENTS | |||||
ADR | - | American Depositary Receipt | KRW | - | South Korean Won |
ARS | - | Argentine Peso | LIQ FAC | - | Liquidity Facilities |
AUD | - | Australian Dollar | LOC | - | Letter of Credit |
BRL | - | Brazilian Real | MTN | - | Medium Term Note |
BZDIOVRA | - | Brazil Interbank Deposit Rate | MXN | - | Mexican Peso |
CAD | - | Canadian Dollar | MYR | - | Malaysian Ringgit |
CDX | - | Credit Derivatives Indexes | NOK | - | Norwegian Krone |
CHF | - | Swiss Franc | NZD | - | New Zealand Dollar |
CLP | - | Chilean Peso | PEN | - | Peruvian Sol |
COP | - | Colombian Peso | PHP | - | Philippine Peso |
CVA | - | Certificaten Van Aandelen | PIK | - | Payment in Kind |
CZK | - | Czech Koruna | PLN | - | Polish Zloty |
DKK | - | Danish Krone | RUB | - | Russian Ruble |
EUR | - | Euro | SBBPA | - | Standby Bond Purchase Agreement |
FHLB | - | Federal Home Loan Bank | SEK | - | Swedish Krona |
FHLMC | - | Federal Home Loan Mortgage Corporation | SEQ | - | Sequential Payer |
FNMA | - | Federal National Mortgage Association | SGD | - | Singapore Dollar |
GBP | - | British Pound | THB | - | Thai Baht |
GDR | - | Global Depositary Receipt | TRY | - | Turkish Lira |
GNMA | - | Government National Mortgage Association | TWD | - | Taiwanese Dollar |
GO | - | General Obligation | USD | - | United States Dollar |
HKD | - | Hong Kong Dollar | VRDN | - | Variable Rate Demand Note. Interest reset date is indicated. Rate shown is effective at the period end. |
HUF | - | Hungarian Forint | |||
IDR | - | Indonesian Rupiah | VRN | - | Variable Rate Note. Interest reset date is indicated. Rate shown is effective at the period end. |
ILS | - | Israeli Shekel | |||
INR | - | Indian Rupee | ZAR | - | South African Rand |
JPY | - | Japanese Yen |
† Category is less than 0.05% of total net assets.
(1) | Non-income producing. |
(2) | Security, or a portion thereof, has been pledged at the custodian bank or with a broker for margin requirements on forward commitments, forward foreign currency exchange contracts, futures contracts, and/or swap agreements. At the period end, the aggregate value of securities pledged was |
$651,726.
(3) | Security was purchased pursuant to Rule 144A or Section 4(2) under the Securities Act of 1933 and may be sold in transactions exempt from registration, normally to qualified institutional investors. The aggregate value of these securities at the period end was $61,990,282, which represented 4.3% of total net assets. |
(4) | When-issued security. The issue price and yield are fixed on the date of the commitment, but payment and delivery are scheduled for a future date. |
(5) | Final maturity date indicated, unless otherwise noted. |
(6) | Forward commitment. Settlement date is indicated. |
(7) | Security is a zero-coupon bond. |
(8) | The rate indicated is the yield to maturity at purchase for non-interest bearing securities. For interest bearing securities, the stated coupon rate is shown. |
(9) | Security is in default. |
See Notes to Financial Statements.
83
Statement of Assets and Liabilities |
MAY 31, 2017 (UNAUDITED) | |||
Assets | |||
Investment securities, at value (cost of $1,239,200,805) | $ | 1,456,387,821 | |
Cash | 37,271 | ||
Foreign currency holdings, at value (cost of $507,814) | 507,586 | ||
Deposits with broker for futures contracts and swap agreements | 243,148 | ||
Receivable for investments sold | 3,897,141 | ||
Receivable for capital shares sold | 646,537 | ||
Receivable for variation margin on futures contracts | 18,547 | ||
Receivable for variation margin on swap agreements | 183 | ||
Unrealized appreciation on forward foreign currency exchange contracts | 546,982 | ||
Swap agreements, at value | 20,888 | ||
Dividends and interest receivable | 5,855,361 | ||
Other assets | 13,463 | ||
1,468,174,928 | |||
Liabilities | |||
Payable for investments purchased | 28,596,981 | ||
Payable for capital shares redeemed | 4,972,580 | ||
Unrealized depreciation on forward foreign currency exchange contracts | 1,548,486 | ||
Swap agreements, at value | 32,006 | ||
Accrued management fees | 1,245,734 | ||
Distribution and service fees payable | 200,080 | ||
Accrued foreign taxes | 85,132 | ||
36,680,999 | |||
Net Assets | $ | 1,431,493,929 | |
Net Assets Consist of: | |||
Capital (par value and paid-in surplus) | $ | 1,172,353,952 | |
Undistributed net investment income | 3,287,858 | ||
Undistributed net realized gain | 39,380,409 | ||
Net unrealized appreciation | 216,471,710 | ||
$ | 1,431,493,929 |
Net Assets | Shares Outstanding | Net Asset Value Per Share | ||
Investor Class, $0.01 Par Value | $564,403,600 | 79,511,875 | $7.10 | |
I Class, $0.01 Par Value | $184,889,160 | 26,041,094 | $7.10 | |
A Class, $0.01 Par Value | $418,803,302 | 59,168,080 | $7.08* | |
C Class, $0.01 Par Value | $101,491,116 | 14,487,053 | $7.01 | |
R Class, $0.01 Par Value | $51,354,088 | 7,289,842 | $7.04 | |
R5 Class, $0.01 Par Value | $5,126 | 722 | $7.10 | |
R6 Class, $0.01 Par Value | $110,547,537 | 15,582,032 | $7.09 |
*Maximum offering price $7.51 (net asset value divided by 0.9425).
See Notes to Financial Statements.
84
Statement of Operations |
FOR THE SIX MONTHS ENDED MAY 31, 2017 (UNAUDITED) | |||
Investment Income (Loss) | |||
Income: | |||
Dividends (net of foreign taxes withheld of $403,259) | $ | 10,197,101 | |
Interest | 6,910,496 | ||
17,107,597 | |||
Expenses: | |||
Management fees | 7,451,445 | ||
Distribution and service fees: | |||
A Class | 555,734 | ||
C Class | 525,319 | ||
R Class | 135,178 | ||
Directors' fees and expenses | 20,890 | ||
Other expenses | 45,081 | ||
8,733,647 | |||
Net investment income (loss) | 8,373,950 | ||
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss) on: | |||
Investment transactions (net of foreign tax expenses paid (refunded) of $18,998) | 54,679,420 | ||
Futures contract transactions | 24,930 | ||
Swap agreement transactions | 75,203 | ||
Foreign currency transactions | 2,854,050 | ||
57,633,603 | |||
Change in net unrealized appreciation (depreciation) on: | |||
Investments (includes (increase) decrease in accrued foreign taxes of $(84,153)) | 53,098,974 | ||
Futures contracts | 67,594 | ||
Swap agreements | 111,776 | ||
Translation of assets and liabilities in foreign currencies | (4,289,807 | ) | |
48,988,537 | |||
Net realized and unrealized gain (loss) | 106,622,140 | ||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 114,996,090 |
See Notes to Financial Statements.
85
Statement of Changes in Net Assets |
SIX MONTHS ENDED MAY 31, 2017 (UNAUDITED) AND YEAR ENDED NOVEMBER 30, 2016 | ||||||
Increase (Decrease) in Net Assets | May 31, 2017 | November 30, 2016 | ||||
Operations | ||||||
Net investment income (loss) | $ | 8,373,950 | $ | 16,789,501 | ||
Net realized gain (loss) | 57,633,603 | 27,070,565 | ||||
Change in net unrealized appreciation (depreciation) | 48,988,537 | 6,181,593 | ||||
Net increase (decrease) in net assets resulting from operations | 114,996,090 | 50,041,659 | ||||
Distributions to Shareholders | ||||||
From net investment income: | ||||||
Investor Class | (3,173,875 | ) | (6,329,924 | ) | ||
I Class | (1,228,859 | ) | (3,089,872 | ) | ||
A Class | (1,935,622 | ) | (3,735,948 | ) | ||
C Class | (211,911 | ) | (298,255 | ) | ||
R Class | (185,461 | ) | (269,299 | ) | ||
R6 Class | (573,512 | ) | (748,063 | ) | ||
From net realized gains: | ||||||
Investor Class | (6,815,126 | ) | (41,011,983 | ) | ||
I Class | (2,219,335 | ) | (17,220,342 | ) | ||
A Class | (5,400,813 | ) | (32,026,445 | ) | ||
C Class | (1,271,860 | ) | (7,878,800 | ) | ||
R Class | (649,685 | ) | (3,370,686 | ) | ||
R6 Class | (856,845 | ) | (2,716,709 | ) | ||
Decrease in net assets from distributions | (24,522,904 | ) | (118,696,326 | ) | ||
Capital Share Transactions | ||||||
Net increase (decrease) in net assets from capital share transactions (Note 5) | (135,686,849 | ) | (78,277,084 | ) | ||
Net increase (decrease) in net assets | (45,213,663 | ) | (146,931,751 | ) | ||
Net Assets | ||||||
Beginning of period | 1,476,707,592 | 1,623,639,343 | ||||
End of period | $ | 1,431,493,929 | $ | 1,476,707,592 | ||
Undistributed net investment income | $ | 3,287,858 | $ | 2,223,148 |
See Notes to Financial Statements.
86
Notes to Financial Statements |
MAY 31, 2017 (UNAUDITED)
1. Organization
American Century Strategic Asset Allocations, Inc. (the corporation) is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company and is organized as a Maryland corporation. Strategic Allocation: Moderate Fund (the fund) is one fund in a series issued by the corporation. The fund is an asset allocation fund and its investment objective is to seek the highest level of total return consistent with its asset mix.
The fund offers the Investor Class, I Class (formerly Institutional Class), A Class, C Class, R Class, R5 Class and R6 Class. The A Class may incur an initial sales charge. The A Class and C Class may be subject to a contingent deferred sales charge. Sale of the R5 Class commenced on April 10, 2017.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently followed by the fund in preparation of its financial statements. The fund is an investment company and follows accounting and reporting guidance in accordance with accounting principles generally accepted in the United States of America. This may require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from these estimates. Management evaluated the impact of events or transactions occurring through the date the financial statements were issued that would merit recognition or disclosure.
Investment Valuations — The fund determines the fair value of its investments and computes its net asset value per share at the close of regular trading (usually 4 p.m. Eastern time) on the New York Stock Exchange (NYSE) on each day the NYSE is open. The Board of Directors has adopted valuation policies and procedures to guide the investment advisor in the fund’s investment valuation process and to provide methodologies for the oversight of the fund’s pricing function.
Equity securities that are listed or traded on a domestic securities exchange are valued at the last reported sales price or at the official closing price as provided by the exchange. Equity securities traded on foreign securities exchanges are generally valued at the closing price of such securities on the exchange where primarily traded or at the close of the NYSE, if that is earlier. If no last sales price is reported, or if local convention or regulation so provides, the mean of the latest bid and asked prices may be used. Securities traded over-the-counter are valued at the mean of the latest bid and asked prices, the last sales price, or the official closing price. Equity securities initially expressed in local currencies are translated into U.S. dollars at the mean of the appropriate currency exchange rate at the close of the NYSE as provided by an independent pricing service.
Fixed income securities are valued at the evaluated mean as provided by independent pricing services or at the mean of the most recent bid and asked prices as provided by investment dealers. Corporate bonds, U.S. Treasury and Government Agency securities, convertible bonds, municipal securities, and sovereign governments and agencies are valued using market models that consider trade data, quotations from dealers and active market makers, relevant yield curve and spread data, creditworthiness, trade data or market information on comparable securities, and other relevant security specific information. Mortgage-related and asset-backed securities are valued based on models that consider trade data, prepayment and default projections, benchmark yield and spread data and estimated cash flows of each tranche of the issuer. Commercial paper is valued using a curve-based approach that considers money market rates for specific instruments, programs, currencies and maturity points from a variety of active market makers. Fixed income securities initially expressed in local currencies are translated into U.S. dollars at the mean of the appropriate currency exchange rate at the close of the NYSE as provided by an independent pricing service.
Open-end management investment companies are valued at the reported net asset value per share. Exchange-traded futures contracts are valued at the settlement price as provided by the appropriate clearing corporation. Swap agreements are valued at an evaluated mean as provided by independent pricing services or independent brokers. Forward foreign currency exchange contracts are valued at the mean of the appropriate forward exchange rate at the close of the NYSE as provided by an independent pricing service. Investments initially expressed in local currencies are translated into U.S. dollars at the mean of the appropriate currency exchange rate at the close of the NYSE as provided by an independent pricing service.
87
If the fund determines that the market price for an investment is not readily available or the valuation methods mentioned above do not reflect an investment’s fair value, such investment is valued as determined in good faith by the Board of Directors or its delegate, in accordance with policies and procedures adopted by the Board of Directors. In its determination of fair value, the fund may review several factors including, but not limited to, market information regarding the specific investment or comparable investments and correlation with other investment types, futures indices or general market indicators. Circumstances that may cause the fund to use these procedures to value an investment include, but are not limited to: an investment has been declared in default or is distressed; trading in a security has been suspended during the trading day or a security is not actively trading on its principal exchange; prices received from a regular pricing source are deemed unreliable; or there is a foreign market holiday and no trading occurred.
The fund monitors for significant events occurring after the close of an investment’s primary exchange but before the fund’s net asset value per share is determined. Significant events may include, but are not limited to: corporate announcements and transactions; governmental action and political unrest that could impact a specific investment or an investment sector; or armed conflicts, natural disasters and similar events that could affect investments in a specific country or region. The fund also monitors for significant fluctuations between domestic and foreign markets, as evidenced by the U.S. market or such other indicators that the Board of Directors, or its delegate, deems appropriate. If significant fluctuations in foreign markets are identified, the fund may apply a model-derived factor to the closing price of equity securities traded on foreign securities exchanges. The factor is based on observable market data as provided by an independent pricing service.
Security Transactions — Security transactions are accounted for as of the trade date. Net realized gains and losses are determined on the identified cost basis, which is also used for federal income tax purposes. Certain countries impose taxes on realized gains on the sale of securities registered in their country. The fund records the foreign tax expense, if any, on an accrual basis. The foreign tax expense on realized gains and unrealized appreciation reduces the net realized gain (loss) on investment transactions and net unrealized appreciation (depreciation) on investments, respectively.
Investment Income — Income and capital gain distributions, if any, are recorded as of the ex-dividend date. Long-term capital gain distributions, if any, are a component of net realized gain (loss). Dividend income less foreign taxes withheld, if any, is recorded as of the ex-dividend date. Distributions received on securities that represent a return of capital or long-term capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The fund may estimate the components of distributions received that may be considered nontaxable distributions or long-term capital gain distributions for income tax purposes. Interest income is recorded on the accrual basis and includes paydown gain (loss) and accretion of discounts and amortization of premiums. Inflation adjustments related to inflation-linked debt securities are reflected as interest income.
Segregated Assets — In accordance with the 1940 Act, the fund segregates assets on its books and records to cover certain types of investments, including, but not limited to, futures contracts, forward commitments, when-issued securities, swap agreements and certain forward foreign currency exchange contracts. American Century Investment Management, Inc. (ACIM) (the investment advisor) monitors, on a daily basis, the securities segregated to ensure the fund designates a sufficient amount of liquid assets, marked-to-market daily. The fund may also receive assets or be required to pledge assets at the custodian bank or with a broker for margin requirements on futures contracts, forward commitments, swap agreements and certain forward foreign currency exchange contracts.
Foreign Currency Translations — All assets and liabilities initially expressed in foreign currencies are translated into U.S. dollars at prevailing exchange rates at period end. The fund may enter into spot foreign currency exchange contracts to facilitate transactions denominated in a foreign currency. Purchases and sales of investment securities, dividend and interest income, spot foreign currency exchange contracts, and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Net realized and unrealized foreign currency exchange gains or losses related to investment securities are a component of net realized gain (loss) on investment transactions and change in net unrealized appreciation (depreciation) on investments, respectively.
Forward Commitments — The fund may engage in securities transactions on a forward commitment basis. In these transactions, the securities’ prices and yields are fixed on the date of the commitment. The fund may sell a to-be-announced (TBA) security and at the same time make a commitment to purchase the same security at a future date at a specified price. Conversely, the fund may purchase a TBA security and at the same time make a commitment to sell the same security at a future date at a specified price. These types of transactions are known as “TBA roll” transactions and are accounted for as purchases and sales. The fund will segregate cash, cash equivalents or other appropriate liquid securities on its records in amounts sufficient to meet the purchase price.
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Income Tax Status — It is the fund’s policy to distribute substantially all net investment income and net realized gains to shareholders and to otherwise qualify as a regulated investment company under provisions of the Internal Revenue Code. Accordingly, no provision has been made for income taxes. The fund files U.S. federal, state, local and non-U.S. tax returns as applicable. The fund's tax returns are subject to examination by the relevant taxing authority until expiration of the applicable statute of limitations, which is generally three years from the date of filing but can be longer in certain jurisdictions. At this time, management believes there are no uncertain tax positions which, based on their technical merit, would not be sustained upon examination and for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
Multiple Class — All shares of the fund represent an equal pro rata interest in the net assets of the class to which such shares belong, and have identical voting, dividend, liquidation and other rights and the same terms and conditions, except for class specific expenses and exclusive rights to vote on matters affecting only individual classes. Income, non-class specific expenses, and realized and unrealized capital gains and losses of the fund are allocated to each class of shares based on their relative net assets.
Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid quarterly. Distributions from net realized gains, if any, are generally declared and paid annually. The fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code, in all events in a manner consistent with provisions of the 1940 Act.
Indemnifications — Under the corporation’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the fund. In addition, in the normal course of business, the fund enters into contracts that provide general indemnifications. The maximum exposure under these arrangements is unknown as this would involve future claims that may be made against a fund. The risk of material loss from such claims is considered by management to be remote.
3. Fees and Transactions with Related Parties
Certain officers and directors of the corporation are also officers and/or directors of American Century Companies, Inc. (ACC). The corporation’s investment advisor, ACIM, the corporation's distributor, American Century Investment Services, Inc. (ACIS), and the corporation’s transfer agent, American Century Services, LLC, are wholly owned, directly or indirectly, by ACC.
Management Fees — The corporation has entered into a management agreement with ACIM, under which ACIM provides the fund with investment advisory and management services in exchange for a single, unified management fee (the fee) per class. The agreement provides that all expenses of managing and operating the fund, except distribution and service fees, brokerage expenses, taxes, interest, fees and expenses of the independent directors (including legal counsel fees), and extraordinary expenses, will be paid by ACIM. The fee is computed and accrued daily based on each class’s daily net assets and paid monthly in arrears. The difference in the fee among the classes is a result of their separate arrangements for shareholder services. It is not the result of any difference in advisory or custodial fees or other expenses related to the management of the fund’s assets, which do not vary by class. The rate of the fee is determined by applying a fee rate calculation formula. This formula takes into account the fund’s assets as well as certain assets, if any, of other clients of the investment advisor outside the American Century Investments family of funds (such as subadvised funds and separate accounts) that use very similar investment teams and strategies (strategy assets).
The management fee schedule range and the effective annual management fee for each class for the period ended May 31, 2017 are as follows:
Management Fee Schedule Range | Effective Annual Management Fee | |
Investor Class | 0.90% to 1.10% | 1.07% |
I Class | 0.70% to 0.90% | 0.87% |
A Class | 0.90% to 1.10% | 1.07% |
C Class | 0.90% to 1.10% | 1.07% |
R Class | 0.90% to 1.10% | 1.07% |
R5 Class | 0.70% to 0.90% | 0.87% |
R6 Class | 0.55% to 0.75% | 0.72% |
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Distribution and Service Fees — The Board of Directors has adopted a separate Master Distribution and Individual Shareholder Services Plan for each of the A Class, C Class and R Class (collectively the plans), pursuant to Rule 12b-1 of the 1940 Act. The plans provide that the A Class will pay ACIS an annual distribution and service fee of 0.25%. The plans provide that the C Class will pay ACIS an annual distribution and service fee of 1.00%, of which 0.25% is paid for individual shareholder services and 0.75% is paid for distribution services. The plans provide that the R Class will pay ACIS an annual distribution and service fee of 0.50%. The fees are computed and accrued daily based on each class’s daily net assets and paid monthly in arrears. The fees are used to pay financial intermediaries for distribution and individual shareholder services. Fees incurred under the plans during the period ended May 31, 2017 are detailed in the Statement of Operations.
Directors' Fees and Expenses — The Board of Directors is responsible for overseeing the investment advisor’s management and operations of the fund. The directors receive detailed information about the fund and its investment advisor regularly throughout the year, and meet at least quarterly with management of the investment advisor to review reports about fund operations. The fund’s officers do not receive compensation from the fund.
Interfund Transactions — The fund may enter into security transactions with other American Century Investments funds and other client accounts of the investment advisor, in accordance with the 1940 Act rules and procedures adopted by the Board of Directors. The rules and procedures require, among other things, that these transactions be effected at the independent current market price of the security. During the period, the interfund purchases and sales were $7,345,127 and $4,799,538, respectively. The effect of interfund transactions on the Statement of Operations was $523,439 in net realized gain (loss) on investment transactions.
4. Investment Transactions
Purchases of investment securities, excluding short-term investments, for the period ended May 31, 2017 totaled $599,338,179, of which $198,028,100 represented U.S. Treasury and Government Agency obligations.
Sales of investment securities, excluding short-term investments, for the period ended May 31, 2017 totaled $743,454,286, of which $191,453,318 represented U.S. Treasury and Government Agency obligations.
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5. Capital Share Transactions
Transactions in shares of the fund were as follows:
Six months ended May 31, 2017(1) | Year ended November 30, 2016 | |||||||||
Shares | Amount | Shares | Amount | |||||||
Investor Class/Shares Authorized | 790,000,000 | 750,000,000 | ||||||||
Sold | 8,823,409 | $ | 60,977,078 | 9,650,979 | $ | 62,633,858 | ||||
Issued in reinvestment of distributions | 1,479,929 | 9,886,301 | 7,315,353 | 46,833,411 | ||||||
Redeemed | (16,930,312 | ) | (116,530,533 | ) | (23,447,616 | ) | (153,540,470 | ) | ||
(6,626,974 | ) | (45,667,154 | ) | (6,481,284 | ) | (44,073,201 | ) | |||
I Class/Shares Authorized | 380,000,000 | 400,000,000 | ||||||||
Sold | 3,625,246 | 24,923,538 | 6,160,737 | 40,306,124 | ||||||
Issued in reinvestment of distributions | 514,748 | 3,439,408 | 3,169,738 | 20,295,351 | ||||||
Redeemed | (10,080,963 | ) | (68,992,894 | ) | (15,088,931 | ) | (98,592,206 | ) | ||
(5,940,969 | ) | (40,629,948 | ) | (5,758,456 | ) | (37,990,731 | ) | |||
A Class/Shares Authorized | 670,000,000 | 650,000,000 | ||||||||
Sold | 4,132,395 | 28,294,461 | 11,798,982 | 76,356,489 | ||||||
Issued in reinvestment of distributions | 1,077,007 | 7,167,763 | 5,492,296 | 35,032,891 | ||||||
Redeemed | (14,606,495 | ) | (100,391,800 | ) | (21,315,773 | ) | (138,210,359 | ) | ||
(9,397,093 | ) | (64,929,576 | ) | (4,024,495 | ) | (26,820,979 | ) | |||
C Class/Shares Authorized | 160,000,000 | 150,000,000 | ||||||||
Sold | 613,328 | 4,159,770 | 1,484,066 | 9,541,583 | ||||||
Issued in reinvestment of distributions | 216,422 | 1,427,938 | 1,237,265 | 7,832,786 | ||||||
Redeemed | (2,499,272 | ) | (17,015,452 | ) | (4,179,728 | ) | (26,797,522 | ) | ||
(1,669,522 | ) | (11,427,744 | ) | (1,458,397 | ) | (9,423,153 | ) | |||
R Class/Shares Authorized | 90,000,000 | 70,000,000 | ||||||||
Sold | 617,445 | 4,204,160 | 1,951,844 | 12,587,215 | ||||||
Issued in reinvestment of distributions | 123,968 | 821,174 | 566,588 | 3,595,176 | ||||||
Redeemed | (1,584,676 | ) | (10,877,300 | ) | (1,931,736 | ) | (12,541,648 | ) | ||
(843,263 | ) | (5,851,966 | ) | 586,696 | 3,640,743 | |||||
R5 Class/Shares Authorized | 50,000,000 | N/A | ||||||||
Sold | 722 | 5,000 | ||||||||
R6 Class/Shares Authorized | 150,000,000 | 70,000,000 | ||||||||
Sold | 6,761,424 | 45,683,146 | 6,786,620 | 44,485,357 | ||||||
Issued in reinvestment of distributions | 214,023 | 1,430,357 | 540,186 | 3,464,772 | ||||||
Redeemed | (2,085,987 | ) | (14,298,964 | ) | (1,780,405 | ) | (11,559,892 | ) | ||
4,889,460 | 32,814,539 | 5,546,401 | 36,390,237 | |||||||
Net increase (decrease) | (19,587,639 | ) | $ | (135,686,849 | ) | (11,589,535 | ) | $ | (78,277,084 | ) |
(1) | April 10, 2017 (commencement of sale) through May 31, 2017 for the R5 Class. |
6. Fair Value Measurements
The fund’s investments valuation process is based on several considerations and may use multiple inputs to determine the fair value of the investments held by the fund. In conformity with accounting principles generally accepted in the United States of America, the inputs used to determine a valuation are classified into three broad levels.
• | Level 1 valuation inputs consist of unadjusted quoted prices in an active market for identical investments. |
• | Level 2 valuation inputs consist of direct or indirect observable market data (including quoted prices for comparable investments, evaluations of subsequent market events, interest rates, prepayment speeds, credit risk, etc.). These inputs also consist of quoted prices for identical investments initially expressed in local currencies that are adjusted through translation into U.S. dollars. |
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• | Level 3 valuation inputs consist of unobservable data (including a fund’s own assumptions). |
The level classification is based on the lowest level input that is significant to the fair valuation measurement. The valuation inputs are not necessarily an indication of the risks associated with investing in these securities or other financial instruments. There were no significant transfers between levels during the period.
The following is a summary of the level classifications as of period end. The Schedule of Investments provides additional information on the fund’s portfolio holdings.
Level 1 | Level 2 | Level 3 | ||||||
Assets | ||||||||
Investment Securities | ||||||||
Common Stocks | $ | 658,045,714 | $ | 242,792,421 | — | |||
U.S. Treasury Securities | — | 166,692,096 | — | |||||
Corporate Bonds | — | 137,988,644 | — | |||||
U.S. Government Agency Mortgage-Backed Securities | — | 63,002,201 | — | |||||
Sovereign Governments and Agencies | — | 56,748,491 | — | |||||
Municipal Securities | — | 33,759,581 | — | |||||
Commercial Paper | — | 19,718,163 | — | |||||
Collateralized Mortgage Obligations | — | 17,560,341 | — | |||||
Commercial Mortgage-Backed Securities | — | 15,177,763 | — | |||||
Asset-Backed Securities | — | 12,461,582 | — | |||||
U.S. Government Agency Securities | — | 6,149,475 | — | |||||
Exchange-Traded Funds | 6,065,604 | — | — | |||||
Convertible Preferred Stocks | — | 71,618 | — | |||||
Temporary Cash Investments | 20,054,302 | 99,825 | — | |||||
$ | 684,165,620 | $ | 772,222,201 | — | ||||
Other Financial Instruments | ||||||||
Futures Contracts | $ | 16,801 | $ | 8,839 | — | |||
Swap Agreements | — | 513,444 | — | |||||
Forward Foreign Currency Exchange Contracts | — | 546,982 | — | |||||
$ | 16,801 | $ | 1,069,265 | — | ||||
Liabilities | ||||||||
Other Financial Instruments | ||||||||
Futures Contracts | $ | 1,163 | $ | 21 | — | |||
Swap Agreements | — | 32,006 | — | |||||
Forward Foreign Currency Exchange Contracts | — | 1,548,486 | — | |||||
$ | 1,163 | $ | 1,580,513 | — |
7. Derivative Instruments
Credit Risk — The fund is subject to credit risk in the normal course of pursuing its investment objectives. The value of a bond generally declines as the credit quality of its issuer declines. Credit default swap agreements enable a fund to buy/sell protection against a credit event of a specific issuer or index. A fund may attempt to enhance returns by selling protection or attempt to mitigate credit risk by buying protection. Upon entering into a centrally cleared swap, a fund is required to deposit cash or securities (initial margin) with a financial intermediary in an amount equal to a certain percentage of the notional amount. Subsequent payments (variation margin) are made or received daily, in cash, by a fund. The variation margin is equal to the daily change in the value and is a component of unrealized gains and losses. Realized gain or loss is recorded upon receipt or payment of a periodic settlement or termination of swap agreements. Net realized and unrealized gains or losses occurring during the holding period of swap agreements are a component of
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net realized gain (loss) on swap agreement transactions and change in net unrealized appreciation (depreciation) on swap agreements, respectively. The risks of entering into swap agreements include the possible lack of liquidity, failure of the counterparty to meet its obligations, and that there may be unfavorable changes in the underlying investments or instruments. The fund's average notional amount held during the period was $4,314,167.
Foreign Currency Risk — The fund is subject to foreign currency exchange rate risk in the normal course of pursuing its investment objectives. The value of foreign investments held by a fund may be significantly affected by changes in foreign currency exchange rates. The dollar value of a foreign security generally decreases when the value of the dollar rises against the foreign currency in which the security is denominated and tends to increase when the value of the dollar declines against such foreign currency. A fund may enter into forward foreign currency exchange contracts to reduce a fund's exposure to foreign currency exchange rate fluctuations or to gain exposure to the fluctuations in the value of foreign currencies. The net U.S. dollar value of foreign currency underlying all contractual commitments held by a fund and the resulting unrealized appreciation or depreciation are determined daily. Realized gain or loss is recorded upon the termination of the contract. Net realized and unrealized gains or losses occurring during the holding period of forward foreign currency exchange contracts are a component of net realized gain (loss) on foreign currency transactions and change in net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies, respectively. A fund bears the risk of an unfavorable change in the foreign currency exchange rate underlying the forward contract. Additionally, losses, up to the fair value, may arise if the counterparties do not perform under the contract terms. The fund's average U.S. dollar exposure to foreign currency risk derivative instruments held during the period was $83,238,078.
Interest Rate Risk — The fund is subject to interest rate risk in the normal course of pursuing its investment objectives. A fund may enter into futures contracts or interest rate swap agreements in order to manage its exposure to changes in market conditions. The value of bonds generally declines as interest rates rise. The risks of entering into interest rate risk derivative instruments include the possible lack of liquidity, failure of the counterparty to meet its obligations, and that there may be unfavorable changes in the underlying investments or instruments.
A fund may enter into futures contracts based on a bond index or a specific underlying security. A fund may purchase futures contracts to gain exposure to increases in market value or sell futures contracts to protect against a decline in market value. Upon entering into a futures contract, a fund will segregate cash, cash equivalents or other appropriate liquid securities on its records in amounts sufficient to meet requirements. Subsequent payments (variation margin) are made or received daily, in cash, by a fund. The variation margin is equal to the daily change in the contract value and is recorded as unrealized gains and losses. A fund recognizes a realized gain or loss when the futures contract is closed or expires. Net realized and unrealized gains or losses occurring during the holding period of futures contracts are a component of net realized gain (loss) on futures contract transactions and change in net unrealized appreciation (depreciation) on futures contracts, respectively. The fund's average exposure to these interest rate risk derivative instruments during the period was 192 futures contracts.
A fund may enter into interest rate swap agreements to gain exposure to declines in interest rates, to protect against increases in interest rates, or to maintain its ability to generate income at prevailing interest rates. A fund will segregate cash, cash equivalents or other appropriate liquid securities on its records in amounts sufficient to meet requirements. Changes in value, including the periodic amounts of interest to be paid or received on swap agreements, are recorded as unrealized appreciation (depreciation) on swap agreements. Realized gain or loss is recorded upon receipt or payment of a periodic settlement or termination of swap agreements. Net realized and unrealized gains or losses occurring during the holding period of swap agreements are a component of net realized gain (loss) on swap agreement transactions and change in net unrealized appreciation (depreciation) on swap agreements, respectively. The fund began investing in interest rate swap agreements in May 2017. The fund’s notional amount exposure to interest rate swap agreements at period end was $9,130,858.
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Value of Derivative Instruments as of May 31, 2017
Asset Derivatives | Liability Derivatives | |||||||
Type of Risk Exposure | Location on Statement of Assets and Liabilities | Value | Location on Statement of Assets and Liabilities | Value | ||||
Credit Risk | Receivable for variation margin on swap agreements* | $ | 183 | Payable for variation margin on swap agreements* | — | |||
Foreign Currency Risk | Unrealized appreciation on forward foreign currency exchange contracts | 546,982 | Unrealized depreciation on forward foreign currency exchange contracts | $ | 1,548,486 | |||
Interest Rate Risk | Receivable for variation margin on futures contracts* | 18,547 | Payable for variation margin on futures contracts* | — | ||||
Interest Rate Risk | Swap agreements | 20,888 | Swap agreements | 32,006 | ||||
$ | 586,600 | $ | 1,580,492 |
* | Included in the unrealized appreciation (depreciation) on centrally cleared credit default swap agreements or futures contracts, as applicable, as reported in the Schedule of Investments. |
Effect of Derivative Instruments on the Statement of Operations for the Six Months Ended May 31, 2017 | ||||||||
Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) | |||||||
Type of Risk Exposure | Location on Statement of Operations | Value | Location on Statement of Operations | Value | ||||
Credit Risk | Net realized gain (loss) on swap agreement transactions | $ | 75,203 | Change in net unrealized appreciation (depreciation) on swap agreements | $ | 122,894 | ||
Foreign Currency Risk | Net realized gain (loss) on foreign currency transactions | 2,909,152 | Change in net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies | (4,416,648 | ) | |||
Interest Rate Risk | Net realized gain (loss) on futures contract transactions | 24,930 | Change in net unrealized appreciation (depreciation) on futures contracts | 67,594 | ||||
Interest Rate Risk | Net realized gain (loss) on swap agreement transactions | — | Change in net unrealized appreciation (depreciation) on swap agreements | (11,118 | ) | |||
$ | 3,009,285 | $ | (4,237,278 | ) |
8. Risk Factors
There are certain risks involved in investing in foreign securities. These risks include those resulting from future adverse political, social and economic developments, fluctuations in currency exchange rates, the possible imposition of exchange controls, and other foreign laws or restrictions. Investing in emerging markets may accentuate these risks.
9. Federal Tax Information
The book-basis character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. These differences reflect the differing character of certain income items and net realized gains and losses for financial statement and tax purposes, and may result in reclassification among certain capital accounts on the financial statements.
As of period end, the components of investments for federal income tax purposes were as follows:
Federal tax cost of investments | $ | 1,254,889,341 | |
Gross tax appreciation of investments | $ | 214,180,004 | |
Gross tax depreciation of investments | (12,681,524 | ) | |
Net tax appreciation (depreciation) of investments | $ | 201,498,480 |
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The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales.
10. Recently Issued Accounting Guidance and Standards
In October 2016, the Securities and Exchange Commission adopted new rules and forms as well as amendments to its rules and forms to modernize the reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, as well as other provisions. Compliance with the amendments is effective on August 1, 2017. Management is currently evaluating the impact that adopting the amendments will have on the financial statement disclosures.
In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update No. 2017-08, “Receivables - Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities” (ASU 2017-08). ASU 2017-08 amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the impact that adopting ASU 2017-08 will have on the financial statements.
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Financial Highlights |
For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | |||||||||||||||
Per-Share Data | Ratios and Supplemental Data | ||||||||||||||
Income From Investment Operations: | Distributions From: | Ratio to Average Net Assets of: | |||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Period | Total Return(2) | Operating Expenses | Net Investment Income (Loss) | Portfolio Turnover Rate | Net Assets, End of Period (in thousands) | |||
Investor Class | |||||||||||||||
2017(3) | $6.67 | 0.04 | 0.51 | 0.55 | (0.04) | (0.08) | (0.12) | $7.10 | 8.31% | 1.08%(4) | 1.26%(4) | 42% | $564,404 | ||
2016 | $6.97 | 0.08 | 0.14 | 0.22 | (0.07) | (0.45) | (0.52) | $6.67 | 3.49% | 1.07% | 1.22% | 82% | $574,968 | ||
2015 | $7.67 | 0.07 | (0.13) | (0.06) | (0.04) | (0.60) | (0.64) | $6.97 | (0.56)% | 1.06% | 0.97% | 88% | $645,785 | ||
2014 | $7.75 | 0.07 | 0.53 | 0.60 | (0.07) | (0.61) | (0.68) | $7.67 | 8.46% | 1.06% | 0.92% | 69% | $714,110 | ||
2013 | $7.08 | 0.08 | 0.97 | 1.05 | (0.10) | (0.28) | (0.38) | $7.75 | 15.44% | 1.06% | 1.13% | 74% | $681,335 | ||
2012 | $6.48 | 0.10 | 0.66 | 0.76 | (0.10) | (0.06) | (0.16) | $7.08 | 11.81% | 1.07% | 1.48% | 78% | $627,729 | ||
I Class(5) | |||||||||||||||
2017(3) | $6.68 | 0.05 | 0.49 | 0.54 | (0.04) | (0.08) | (0.12) | $7.10 | 8.25% | 0.88%(4) | 1.46%(4) | 42% | $184,889 | ||
2016 | $6.97 | 0.09 | 0.15 | 0.24 | (0.08) | (0.45) | (0.53) | $6.68 | 3.86% | 0.87% | 1.42% | 82% | $213,502 | ||
2015 | $7.68 | 0.08 | (0.13) | (0.05) | (0.06) | (0.60) | (0.66) | $6.97 | (0.50)% | 0.86% | 1.17% | 88% | $263,207 | ||
2014 | $7.75 | 0.08 | 0.54 | 0.62 | (0.08) | (0.61) | (0.69) | $7.68 | 8.82% | 0.86% | 1.12% | 69% | $289,676 | ||
2013 | $7.08 | 0.09 | 0.97 | 1.06 | (0.11) | (0.28) | (0.39) | $7.75 | 15.66% | 0.86% | 1.33% | 74% | $255,268 | ||
2012 | $6.48 | 0.12 | 0.65 | 0.77 | (0.11) | (0.06) | (0.17) | $7.08 | 12.03% | 0.87% | 1.68% | 78% | $240,396 |
For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | |||||||||||||||
Per-Share Data | Ratios and Supplemental Data | ||||||||||||||
Income From Investment Operations: | Distributions From: | Ratio to Average Net Assets of: | |||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Period | Total Return(2) | Operating Expenses | Net Investment Income (Loss) | Portfolio Turnover Rate | Net Assets, End of Period (in thousands) | |||
A Class | |||||||||||||||
2017(3) | $6.66 | 0.03 | 0.50 | 0.53 | (0.03) | (0.08) | (0.11) | $7.08 | 8.03% | 1.33%(4) | 1.01%(4) | 42% | $418,803 | ||
2016 | $6.95 | 0.06 | 0.15 | 0.21 | (0.05) | (0.45) | (0.50) | $6.66 | 3.38% | 1.32% | 0.97% | 82% | $456,392 | ||
2015 | $7.66 | 0.05 | (0.13) | (0.08) | (0.03) | (0.60) | (0.63) | $6.95 | (0.90)% | 1.31% | 0.72% | 88% | $504,771 | ||
2014 | $7.74 | 0.05 | 0.53 | 0.58 | (0.05) | (0.61) | (0.66) | $7.66 | 8.22% | 1.31% | 0.67% | 69% | $606,035 | ||
2013 | $7.07 | 0.06 | 0.97 | 1.03 | (0.08) | (0.28) | (0.36) | $7.74 | 15.19% | 1.31% | 0.88% | 74% | $675,093 | ||
2012 | $6.47 | 0.08 | 0.66 | 0.74 | (0.08) | (0.06) | (0.14) | $7.07 | 11.57% | 1.32% | 1.23% | 78% | $620,975 | ||
C Class | |||||||||||||||
2017(3) | $6.60 | 0.01 | 0.49 | 0.50 | (0.01) | (0.08) | (0.09) | $7.01 | 7.70% | 2.08%(4) | 0.26%(4) | 42% | $101,491 | ||
2016 | $6.91 | 0.01 | 0.15 | 0.16 | (0.02) | (0.45) | (0.47) | $6.60 | 2.55% | 2.07% | 0.22% | 82% | $106,604 | ||
2015 | $7.64 | —(6) | (0.13) | (0.13) | —(6) | (0.60) | (0.60) | $6.91 | (1.57)% | 2.06% | (0.03)% | 88% | $121,748 | ||
2014 | $7.74 | (0.01) | 0.53 | 0.52 | (0.01) | (0.61) | (0.62) | $7.64 | 7.33% | 2.06% | (0.08)% | 69% | $128,076 | ||
2013 | $7.07 | 0.01 | 0.97 | 0.98 | (0.03) | (0.28) | (0.31) | $7.74 | 14.39% | 2.06% | 0.13% | 74% | $121,782 | ||
2012 | $6.48 | 0.03 | 0.66 | 0.69 | (0.04) | (0.06) | (0.10) | $7.07 | 10.73% | 2.07% | 0.48% | 78% | $100,437 | ||
R Class | |||||||||||||||
2017(3) | $6.63 | 0.03 | 0.48 | 0.51 | (0.02) | (0.08) | (0.10) | $7.04 | 7.82% | 1.58%(4) | 0.76%(4) | 42% | $51,354 | ||
2016 | $6.93 | 0.05 | 0.13 | 0.18 | (0.03) | (0.45) | (0.48) | $6.63 | 2.98% | 1.57% | 0.72% | 82% | $53,902 | ||
2015 | $7.64 | 0.03 | (0.12) | (0.09) | (0.02) | (0.60) | (0.62) | $6.93 | (1.04)% | 1.56% | 0.47% | 88% | $52,262 | ||
2014 | $7.72 | 0.03 | 0.54 | 0.57 | (0.04) | (0.61) | (0.65) | $7.64 | 8.02% | 1.56% | 0.42% | 69% | $49,716 | ||
2013 | $7.06 | 0.05 | 0.95 | 1.00 | (0.06) | (0.28) | (0.34) | $7.72 | 14.78% | 1.56% | 0.63% | 74% | $46,052 | ||
2012 | $6.46 | 0.07 | 0.66 | 0.73 | (0.07) | (0.06) | (0.13) | $7.06 | 11.36% | 1.57% | 0.98% | 78% | $48,677 |
For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | |||||||||||||||
Per-Share Data | Ratios and Supplemental Data | ||||||||||||||
Income From Investment Operations: | Distributions From: | Ratio to Average Net Assets of: | |||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Period | Total Return(2) | Operating Expenses | Net Investment Income (Loss) | Portfolio Turnover Rate | Net Assets, End of Period (in thousands) | |||
R5 Class | |||||||||||||||
2017(9) | $6.93 | 0.02 | 0.15 | 0.17 | — | — | — | $7.10 | 2.45% | 0.88%(4) | 1.92%(4) | 42%(10) | $5 | ||
R6 Class | |||||||||||||||
2017(3) | $6.67 | 0.06 | 0.49 | 0.55 | (0.05) | (0.08) | (0.13) | $7.09 | 8.34% | 0.73%(4) | 1.61%(4) | 42% | $110,548 | ||
2016 | $6.97 | 0.10 | 0.14 | 0.24 | (0.09) | (0.45) | (0.54) | $6.67 | 3.86% | 0.72% | 1.57% | 82% | $71,340 | ||
2015 | $7.67 | 0.09 | (0.12) | (0.03) | (0.07) | (0.60) | (0.67) | $6.97 | (0.20)% | 0.71% | 1.32% | 88% | $35,867 | ||
2014 | $7.75 | 0.08 | 0.55 | 0.63 | (0.10) | (0.61) | (0.71) | $7.67 | 8.84% | 0.71% | 1.27% | 69% | $8,420 | ||
2013(7) | $7.41 | 0.03 | 0.34 | 0.37 | (0.03) | — | (0.03) | $7.75 | 4.97% | 0.71%(4) | 1.17%(4) | 74%(8) | $127 |
Notes to Financial Highlights |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Total returns are calculated based on the net asset value of the last business day and do not reflect applicable sales charges, if any. Total returns for periods less than one year are not annualized. |
(3) | Six months ended May 31, 2017 (unaudited). |
(4) | Annualized. |
(5) | Prior to April 10, 2017, the I Class was referred to as the Institutional Class. |
(6) | Per share amount was less than $0.005. |
(7) | July 26, 2013 (commencement of sale) through November 30, 2013. |
(8) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the year ended November 30, 2013. |
(9) | April 10, 2017 (commencement of sale) through May 31, 2017 (unaudited). |
(10) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the six months ended May 31, 2017. |
See Notes to Financial Statements.
Additional Information |
Retirement Account Information
As required by law, distributions you receive from certain IRAs are subject to federal income tax withholding, unless you elect not to have withholding apply. Tax will be withheld on the total amount withdrawn even though you may be receiving amounts that are not subject to withholding, such as nondeductible contributions. In such case, excess amounts of withholding could occur. You may adjust your withholding election so that a greater or lesser amount will be withheld.
If you don’t want us to withhold on this amount, you must notify us to not withhold the federal income tax. You may notify us in writing or in certain situations by telephone or through other electronic means. For systematic withdrawals, your withholding election will remain in effect until revoked or changed by filing a new election. You have the right to revoke your election at any time.
Remember, even if you elect not to have income tax withheld, you are liable for paying income tax on the taxable portion of your withdrawal. If you elect not to have income tax withheld or you don’t have enough income tax withheld, you may be responsible for payment of estimated tax. You may incur penalties under the estimated tax rules if your withholding and estimated tax payments are not sufficient. You can reduce or defer the income tax on a distribution by directly or indirectly rolling such distribution over to another IRA or eligible plan. You should consult your tax advisor for additional information.
State tax will be withheld if, at the time of your distribution, your address is within one of the mandatory withholding states and you have federal income tax withheld (or as otherwise required by state law). State taxes will be withheld from your distribution in accordance with the respective state rules.
Distributions you receive from 403(b), 457 and qualified plans are subject to special tax and withholding rules. Your plan administrator or plan sponsor is required to provide you with a special tax notice explaining those rules at the time you request a distribution. If applicable, federal and/or state taxes may be withheld from your distribution amount.
Proxy Voting Policies
A description of the policies that the fund's investment advisor uses in exercising the voting rights associated with the securities purchased and/or held by the fund is available without charge, upon request, by calling 1-800-345-2021. It is also available on the "About Us" page of American Century Investments’ website at americancentury.com and on the Securities and Exchange Commission’s website at sec.gov. Information regarding how the investment advisor voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the "About Us" page at americancentury.com. It is also available at sec.gov.
Quarterly Portfolio Disclosure
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. The fund’s Forms N-Q are available on the SEC’s website at sec.gov, and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The fund also makes its complete schedule of portfolio holdings for the most recent quarter of its fiscal year available on its website at americancentury.com and, upon request, by calling 1-800-345-2021.
99
Notes |
100
Contact Us | americancentury.com | |
Automated Information Line | 1-800-345-8765 | |
Investor Services Representative | 1-800-345-2021 or 816-531-5575 | |
Investors Using Advisors | 1-800-378-9878 | |
Business, Not-For-Profit, Employer-Sponsored Retirement Plans | 1-800-345-3533 | |
Banks and Trust Companies, Broker-Dealers, Financial Professionals, Insurance Companies | 1-800-345-6488 | |
Telecommunications Relay Service for the Deaf | 711 | |
American Century Strategic Asset Allocations, Inc. | ||
Investment Advisor: American Century Investment Management, Inc. Kansas City, Missouri | ||
This report and the statements it contains are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. | ||
©2017 American Century Proprietary Holdings, Inc. All rights reserved. CL-SAN-92641 1707 |
ITEM 2. CODE OF ETHICS.
Not applicable for semiannual report filings.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for semiannual report filings.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for semiannual report filings.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. INVESTMENTS.
(a) | The schedule of investments is included as part of the report to stockholders filed under Item 1 of this Form. |
(b) | Not applicable. |
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
During the reporting period, there were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board.
ITEM 11. CONTROLS AND PROCEDURES.
(a) | The registrant's principal executive officer and principal financial officer have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) are effective based on their evaluation of these controls and procedures 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 Investment Company Act of 1940) that occurred during the registrant's second fiscal quarter of 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. EXHIBITS.
(a)(1) | Not applicable for semiannual report filings. |
(a)(2) | Separate certifications by the registrant’s principal executive officer and principal financial officer, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(a) under the Investment Company Act of 1940, are filed and attached hereto as EX-99.CERT. |
(a)(3) | Not applicable. |
(b) | A certification by the registrant’s chief executive officer and chief financial officer, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, is furnished and attached hereto as EX- 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: | American Century Strategic Asset Allocations, Inc. | |||
By: | /s/ Jonathan S. Thomas | |||
Name: | Jonathan S. Thomas | |||
Title: | President | |||
Date: | July 28, 2017 |
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/ Jonathan S. Thomas | ||
Name: Jonathan S. Thomas | |||
Title: President | |||
(principal executive officer) | |||
Date: | July 28, 2017 |
By: | /s/ C. Jean Wade | ||
Name: C. Jean Wade | |||
Title: Vice President, Treasurer, and | |||
Chief Financial Officer | |||
(principal financial officer) | |||
Date: | July 28, 2017 |